<PAGE>
TRAK(R)
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Personalized Investment Advisory Service
CONSULTING GROUP
CAPITAL
MARKETS FUNDS
Annual Report
August 31, 1999
[LOGO OF SALOMON SMITH BARNEY]
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
TABLE OF CONTENTS
<TABLE>
<S> <C>
Shareholder Letter.......................................................... 2
Schedules of Investments:
Government Money Investments.............................................. 5
High Yield Investments.................................................... 6
Intermediate Fixed Income Investments..................................... 10
Long-Term Bond Investments................................................ 14
Municipal Bond Investments................................................ 16
Mortgage Backed Investments............................................... 18
Balanced Investments...................................................... 20
Large Capitalization Value Equity Investments............................. 27
Large Capitalization Growth Investments................................... 42
Small Capitalization Value Equity Investments............................. 54
Small Capitalization Growth Investments................................... 80
International Equity Investments.......................................... 109
International Fixed Income Investments.................................... 133
Emerging Markets Equity Investments....................................... 136
Statements of Assets and Liabilities........................................ 148
Statements of Operations.................................................... 150
Statements of Changes in Net Assets......................................... 152
Notes to Financial Statements............................................... 156
Financial Highlights........................................................ 168
Portfolio Highlights........................................................ 177
Independent Auditors' Report................................................ 216
Tax Information............................................................. 217
</TABLE>
1
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
Dear Shareholder:
Two different markets emerged in the last six months of the fiscal year for
the Consulting Group Capital Markets Funds ("Portfolios"). First came the
highly concentrated market where diversification away from a few select stocks
negatively impacted performance. Second came the more broadly distributed
market where allocations across asset classes were a positive for a diversified
portfolio.
The U.S. stock market saw a sudden and dramatic change in leadership in the
second quarter of 1999, as momentum shifted away from the handful of large-cap
growth stocks that dominated the first quarter. Moving to the forefront were
the cyclical and small-cap stocks that lagged throughout much of 1998 and early
1999. At the same time, fear of inflation -- and of a Federal Reserve Board
("Fed") rate hike -- kept the U.S. bond market on the defensive. During July
and August the momentum shifted again with the familiar large-cap names making
a comeback. Foreign markets generally prospered, as emerging Asian and Latin
American markets continued their recovery from last year's currency crisis.
U.S. Market Overview
Through April, the large-cap growth sector of the U.S. equity market
continued its dominance. On March 29, 1999, the Dow Jones Industrial Average
traded above 10,000 for the first time in history. Over the past several years,
the returns of the Dow and the S&P 500 have outpaced all other asset classes
including small-caps and emerging markets, which have suffered and yielded
disappointing returns. Such a concentrated market put the principles of asset
allocation and diversification to the test. However, the key word here is
concentrated. For instance, only twenty-one stocks contributed to the S&P 500's
advance during the first quarter of 1999 and one-third of this performance can
be attributed to only two stocks.
Since April, investors have seen a significant shift in the equity markets
away from large cap growth stocks as the specter of higher interest rates, as
well as record-high valuation levels, focused attention on other asset classes.
Asset classes that under-performed in 1998 such as emerging markets, large
value and small growth showed renewed vigor. In a particularly stunning
turnaround, small-cap benchmarks greatly outperformed their large-cap
counterparts. The Russell 2000 Index, which suffered losses of negative 2.54%
in 1998 and negative 5.43% in the first quarter, posted a 15.55% total return
in the second quarter. The first two months of the third quarter saw the
leadership again change hands with a handful of large-cap stocks leading the
way. Even with this reversal of leadership, the Russell 2000 Growth Index was
the leading domestic equity asset class over the last six months with a return
of 10.85% while large cap growth was up by 7.57% for the period ended August
31st.
Over the past six months, the U.S. fixed-income market was impacted by an
inordinate amount of new issuance as well as a preoccupation about the Fed. The
federal funds rate was increased by 0.25% on August 25th following an earlier
hike -- the Fed's first in more than two years -- at the end of June. Tentative
signs of inflationary pressure -- as seen by a renewed rise in oil prices --
also contributed to a difficult six months for fixed-income investors.
The future course of the Fed remained uppermost on investors' minds
throughout the third quarter. But market reaction to Fed policy moves changed
over the course of the summer. The Fed's June move actually triggered a market
rally in early July, after investors concluded that additional moves were not
likely. The Dow Jones Industrial Average and the S&P 500 Index both hit record
highs in July, and again in mid-August. However, investors grew more defensive
as the fiscal year ended with economic data that reported rising labor costs
and other inflationary pressures, as well as the dollar weakening against the
yen.
International Market Overview
The economic and financial picture abroad was mixed in early 1999. The onset
of tentative recoveries in some Asian and Latin American economies that had
been hit by the 1997-1998 currency crisis sparked strong rallies in many
emerging markets, including Mexico, Chile, South Korea and South Africa. The
Morgan Stanley Capital International ("MSCI") Emerging Markets Free Index
roared back with a 26.35% return in dollar terms in the first four months of
the year.
2
<PAGE>
In the major developed markets, strength in Japan and Hong Kong was offset by
weakness in many continental European markets. By June 30, the euro -- the
common currency for 11 of the 15 members of the European Union -- was trading
at $1.034, down from $1.077 at the start of the second quarter. The weaker euro
trimmed dollar gains in many major European markets, even though several --
including Germany and France -- posted very healthy returns in euro terms. In
dollar terms, the MSCI Germany Index returned 5.69% in the second quarter,
while the France Index posted a 3.34% return.
Since June, developments have been mixed as momentum shifted just like the
U.S. equity markets. A decline in the value of the dollar against the Japanese
yen and the European euro helped cushion a generally weak third-quarter in most
major developed foreign markets. A decline in the dollar tends to boost foreign
returns by increasing the dollar value of stocks denominated in local
currencies. Most emerging stock markets also fared less well, as many investors
took profits in the wake of the strong gains made in the first six months of
1999. Fears of further Fed rate hikes -- and the effect they might have on
capital flows to the developing world -- pushed a number of emerging currencies
lower against the dollar. As a result, the Emerging Markets Free Index posted a
negative 1.83% loss in dollar terms during July and August. Still the index
showed a return of 37.30% for the calendar year-to-date.
Consulting Group Asset Allocation
The Consulting Group Asset Allocation Committee ("Committee") meets each
month for a formal review of economic and market data and then determines any
recommended course of action. The Committee recently recommended two
adjustments: 1) allocate a portion of assets away from emerging markets to
developed international equities and 2) allocate a portion of assets away from
high-yield bonds to intermediate fixed income. In making this recommendation,
the Committee highlighted concerns about reduced liquidity in emerging markets,
as well as higher trading costs and volatility. In addition, the potential for
the widening of credit spreads favors quality investments over higher yielding
bonds.
Currently, the Committee maintains the following stance:
. U.S. Equities. U.S. economic conditions still strongly favor continuation
of large-cap dominance of the equity markets. Consulting Group recommends
an overweight allocation to large-cap relative to small-cap.
. Foreign Equities. Emerging markets have outperformed year-to-date, but
risks are still high. Consulting Group maintains an overweight allocation
to developed international markets relative to emerging markets.
. Fixed Income. Intermediate bonds are still favored and Consulting Group
maintains an overweight allocation. Consulting Group maintains an
underweight stance towards high-yield bonds and a neutral stance towards
long-term and non-U.S. bonds.
Just like the financial markets themselves, dynamic and vibrant, the
Committee constantly seeks new opportunities to enhance the risk-return trade-
off. As a result, the current positions on markets listed above may change.
Your Financial Consultant is in the best situation to provide advice and
guidance in interpreting your personalized asset allocation.
Consulting Group Capital Markets Funds
During the six months ended August 31, 1999, the Portfolios generally performed
in line with their respective benchmarks and market sectors.
During the reporting period, one additional portfolio was added to the fund
family. Multi-Strategy Market Neutral Investments, launched on May 10th,
utilizes alternative investment strategies as a means to achieve capital
appreciation while limiting exposure to stock market fluctuations. This
Portfolio is not a hedge fund, rather it combines the benefits of three
separate and distinct hedging strategies -- equity market neutral, convertible
arbitrage and merger arbitrage -- in an open-ended mutual fund.
3
<PAGE>
In addition, two Portfolios were filed with the Securities and Exchange
Commission ("SEC") during the reporting period. S&P 500 Index Investments and
Multi-Sector Fixed Income Investments have since received requisite SEC
approval and were launched to investors on October 1st. Additional information
on all three new Portfolios is available by contacting your Financial
Consultant.
Consulting Group, as investment manager, is responsible for hiring advisors
that it determines will benefit shareholders, and changing advisors when
appropriate. During the last six months, the Board of Trustees approved
Consulting Group's recommendation that the following four investment advisors
be hired: Chartwell Investment Partners (Large Capitalization Value Equity
Investments), Kern Capital Management (Small Capitalization Growth
Investments), Marvin&Palmer Associates (International Equity Investments) and
Pacific Invesment Management Company (Intermediate Fixed Income Investments).
Shareholders of the individual Portfolios have previously received an
Information Statement detailing the additions and the advisors.
We wish to thank you for the confidence you have shown in Consulting Group
and your investment in Consulting Group Capital Markets Funds. As always, if
you should have any questions or comments about the Consulting Group Capital
Markets Funds, your 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 Investment Officer of the Consulting
of the Consulting Group Capital Group Capital Markets Funds
Markets Funds
September 30, 1999
4
<PAGE>
Schedules of Investments August 31, 1999
Government Money Investments
<TABLE>
<CAPTION>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 3.3%
$ 10,000,000 U.S. Treasury Note matures 1/6/00
(Cost -- $9,839,839)................ 4.65% $ 9,839,839
- -------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 96.7%
2,500,000 Federal Farm Credit Bank matures
10/1/99............................. 5.37 2,488,913
14,400,000 Federal Home Loan Bank mature 9/17/99
to 10/29/99......................... 4.95 to 5.14 14,295,349
125,018,000 Federal Home Loan Mortgage Corp.
mature 9/3/99 to 11/26/99........... 4.97 to 5.31 124,063,089
152,840,000 Federal National Mortgage Association
mature 9/7/99 to 11/22/99........... 4.94 to 5.31 151,613,210
- -------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY DISCOUNT
NOTES
(Cost -- $292,460,561)............... 292,460,561
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$302,300,400*)...................... $302,300,400
- -------------------------------------------------------------------------------
</TABLE>
* Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
5
<PAGE>
Schedules of Investments (continued) August 31, 1999
High Yield Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS & NOTES -- 97.1%
- -------------------------------------------------------------------------------
Air Transportation -- 0.3%
Canadian Airlines Corp., Sr. Notes,
$ 500,000 B- 10.000% due 5/1/05........................ $ 392,500
- -------------------------------------------------------------------------------
Automotive -- 3.4%
Group 1 Automotive Inc., Company
1,500,000 B Guaranteed, 10.875% due 3/1/09............ 1,487,528
Safelite Glass Corp., Sr. Sub. Notes:
1,500,000 B- Class B, 9.875% due 12/15/06............. 1,350,000
1,000,000 B- Class D, 9.875% due 12/15/06............. 900,000
Special Devices Inc., Sr. Sub. Notes,
1,750,000 NR 11.375% due 12/15/08+..................... 1,461,250
- -------------------------------------------------------------------------------
5,198,778
- -------------------------------------------------------------------------------
Broadcasting -- 2.8%
Classic Cable Inc., Sr. Sub. Notes, 9.375%
2,000,000 B- due 8/1/09+............................... 1,950,000
Jones International Networks Ltd., Company
2,000,000 B Guaranteed, 11.750% due 7/1/05............ 1,780,000
Optel Inc., Sr. Notes, 11.500% due
750,000 B- 7/1/08.................................... 511,875
- -------------------------------------------------------------------------------
4,241,875
- -------------------------------------------------------------------------------
Chemicals -- 6.7%
Aqua Chemical Inc., Sr. Sub. Notes,
2,000,000 B- 11.250% due 7/1/08........................ 1,400,000
Crown Central Petroleum Corp., Sr. Notes,
1,500,000 B 10.875% due 2/1/05........................ 1,320,000
General Chemical Industrial Products, Sr.
1,500,000 B+ Notes, 10.625% due 5/1/09+................ 1,515,000
GEO Specialty Chemicals, Sr. Sub. Notes,
1,000,000 B- 10.125% due 8/1/08........................ 966,250
Great Lakes Carbon Corp., Company
500,000 B- Guaranteed, 10.250% due 5/15/08........... 508,125
LLS Corp., Sr. Sub. Notes, 11.625% due
1,500,000 B- 8/1/09+................................... 1,492,500
Lyondell Chemical Co., Secured:
1,000,000 NR 9.625% due 5/1/07+....................... 1,015,000
500,000 NR 9.875% due 5/1/07+....................... 503,750
Philipp Brothers Chemicals, Inc., Company
1,500,000 B- Guaranteed, 9.875% due 6/1/08............. 1,357,500
- -------------------------------------------------------------------------------
10,078,125
- -------------------------------------------------------------------------------
Communications -- 10.5%
AMSC Acquisition Co., Inc., Company
2,000,000 NR Guaranteed, 12.250% due 4/1/08............ 1,520,000
ICG Services, Sr. Discount Notes, 9.875%
2,250,000 B- due 5/1/08................................ 1,305,000
KMC Telecom Holdings, Inc., Sr. Notes,
1,500,000 B- 13.500% due 5/15/09+...................... 1,470,000
Nextlink Communications, Inc., Sr. Notes,
1,500,000 B 10.750% due 6/1/09........................ 1,515,000
Northeast Optic Network, Sr. Notes,
1,000,000 NR 12.750% due 8/15/08....................... 1,045,000
Orbital Imaging Corp., Sr. Notes, 11.625%
2,000,000 NR due 3/1/05+............................... 1,570,000
Orion Network Systems Inc., Sr. Notes,
2,000,000 B+ 11.250% due 1/15/07....................... 1,780,000
United Pan-Europe, Sr. Notes, 10.875% due
2,000,000 B- 8/1/09+................................... 2,010,000
Versatel Telecom International NV, Sr.
2,000,000 NR Notes, 11.875% due 7/15/09................ 1,900,000
WinStar Communications, Inc., Sr. Sub.
2,000,000 CCC Notes, 11.000% due 3/15/08................ 1,810,000
- -------------------------------------------------------------------------------
15,925,000
- -------------------------------------------------------------------------------
Consumer Staples -- 6.7%
Bell Sports Inc., Company Guaranteed,
1,000,000 B- 11.000% due 8/15/08....................... 1,006,250
Evenflo Co., Inc., Sr. Notes, 11.750% due
1,000,000 B+ 8/15/06................................... 1,010,000
Hedstrom Corp., Company Guaranteed,
2,000,000 B- 10.000% due 6/1/07........................ 1,730,000
Moll Industries, Sr. Sub. Notes, 10.500%
1,500,000 B due 7/1/08................................ 1,282,500
Outsourcing Services Group, Company
2,000,000 B- Guaranteed, 10.875% due 3/1/06............ 1,915,000
Revlon Consumer Products Corp., Sr. Sub.
2,000,000 B- Notes, 8.625% due 2/1/08.................. 1,670,000
Syratech Corp., Sr. Notes, 11.000% due
2,500,000 CCC+ 4/15/07................................... 1,550,000
- -------------------------------------------------------------------------------
10,163,750
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
Schedules of Investments (continued) August 31, 1999
High Yield Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Electronics -- 4.4%
Amkor Technologies Inc., Sr. Notes, 9.250%
$2,000,000 BB- due 5/1/06+............................... $ 1,950,000
Details Holdings Corp., Sr. Notes, 12.500%
1,500,000 B+ due 11/15/07.............................. 757,500
Elgar Holdings Inc., Company Guaranty,
1,500,000 B 9.875% due 2/1/08......................... 1,125,000
Pacific Aerospace & Electronics, Inc.,
1,000,000 B- Company Guaranteed, 11.250% due 8/1/05.... 748,750
SCG Holdings & Semiconductor Co., Sr. Sub.
2,000,000 B Notes, 12.000% due 8/1/09+................ 2,060,000
- -------------------------------------------------------------------------------
6,641,250
- -------------------------------------------------------------------------------
Energy -- 6.2%
Belden & Blake Corp., Company Guaranteed,
2,055,000 CCC- 9.875% due 6/15/07........................ 1,541,250
Continental Resources Corp., Company
2,000,000 CCC Guaranteed, 10.250% due 8/1/08............ 1,515,000
Key Energy Services Inc., Units, 14.000%
2,000,000 B- due 1/15/09............................... 2,130,000
Michael Petroleum Corp., Sr. Sub. Notes,
2,000,000 CC 11.500% due 4/1/05........................ 960,000
Ocean Rig ASA, Company Guaranteed, 10.250%
1,750,000 CCC due 6/1/08................................ 1,299,375
Panaco Inc., Company Guaranteed, 10.625%
2,000,000 CCC- due 10/1/04............................... 1,195,000
Queen Sand Resources Inc., Company
1,000,000 CCC+ Guaranteed, 12.500% due 7/1/08............ 658,750
- -------------------------------------------------------------------------------
9,299,375
- -------------------------------------------------------------------------------
Entertainment -- 1.6%
Marvel Enterprises Inc., Sr. Notes,
2,000,000 NR 12.000% due 6/15/09+...................... 1,840,000
TVN Entertainment Corp., Units, 14.000%
1,000,000 NR due 8/1/08................................ 550,000
- -------------------------------------------------------------------------------
2,390,000
- -------------------------------------------------------------------------------
Financial -- 2.9%
Lodgian Financing Corp., Sr. Sub. Notes,
1,500,000 B 12.250% due 7/15/09+...................... 1,492,500
Port Arthur Finance Corp., Secured,
2,000,000 BB 12.500% due 1/15/09+...................... 2,005,000
Willis Corron Corp., Sr. Sub. Notes,
1,000,000 B+ 9.000% due 2/1/09+........................ 945,000
- -------------------------------------------------------------------------------
4,442,500
- -------------------------------------------------------------------------------
Food -- 4.5%
RAB Enterprises Inc., Company Guaranteed,
1,000,000 CCC+ 10.500% due 5/1/05........................ 700,000
Richmont Marketing Specialists, Company
1,500,000 CCC Guaranteed, 10.125% due 12/15/07.......... 1,305,000
Specialty Foods Corp., Sr. Notes, 12.125%
2,000,000 CCC+ due 10/1/02............................... 1,932,680
Stater Brothers Holdings, Sr. Notes,
1,500,000 B+ 10.750% due 8/15/06+...................... 1,530,000
Vlasic Foods Inc., Sr. Sub. Notes, 10.250%
1,500,000 B due 7/1/09+............................... 1,387,500
- -------------------------------------------------------------------------------
6,855,180
- -------------------------------------------------------------------------------
Industrial -- 14.0%
Allied Waste North America Inc., Sr. Sub.
2,000,000 B+ Notes, 10.000% due 8/1/09+................ 1,940,000
Amtrol Inc., Sr. Sub. Notes, 10.625% due
2,004,000 B- 12/31/06.................................. 1,978,950
Anchor Lamina Inc., Sr. Sub. Notes, 9.875%
2,500,000 B- due 2/1/08................................ 2,256,250
Concentra Operating Corp., Sr. Sub. Notes,
1,000,000 B- 13.000% due 8/15/09+...................... 997,500
Derby Cycle Corp., Sr. Notes, 10.000% due
1,500,000 B- 5/15/08................................... 1,211,250
Generac Portable Products, Inc., Sr. Sub.
2,500,000 B- Notes, 11.250% due 7/1/06+................ 2,637,500
Hexcel Corp., Sr. Sub. Notes, 9.750% due
2,000,000 B+ 1/15/09................................... 1,880,000
High Voltage Engineering, Sr. Notes,
1,500,000 B+ 10.500% due 8/15/04....................... 1,402,500
Huntsman ICI Chemicals, Sr. Sub. Notes,
1,500,000 B+ 10.125% due 7/1/09+....................... 1,496,250
Imperial Home Decor Group, Company
2,000,000 CCC+ Guaranteed, 11.000% due 3/15/08........... 1,415,000
Russell-Stanley Holdings Inc., Sr. Sub.
2,000,000 B- Notes, 10.875% due 2/15/09+............... 1,840,000
Viasystems Inc., Sr. Sub. Notes, 9.750%
2,500,000 B- due 6/1/07................................ 2,181,250
- -------------------------------------------------------------------------------
21,236,450
- -------------------------------------------------------------------------------
Manufacturing -- 1.0%
Gentek, Inc., Company Guaranteed, 11.000%
1,500,000 B+ due 8/1/09+............................... 1,530,000
- -------------------------------------------------------------------------------
Medical -- 2.1%
LifePoint Hospitals, Inc., Sr. Sub. Notes,
1,650,000 B- 10.750% due 5/15/09+...................... 1,650,000
Triad Hospitals, Inc., Sr. Sub. Notes,
1,500,000 B- 11.000% due 5/15/09+...................... 1,515,000
- -------------------------------------------------------------------------------
3,165,000
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
Schedules of Investments (continued) August 31, 1999
High Yield Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Metals -- 4.4%
Commonwealth Aluminum Co., Sr. Sub. Notes,
$2,000,000 B- 10.750% due 10/1/06....................... $ 2,037,500
Continental Global Group, Sr. Notes,
1,000,000 B- 11.000% due 4/1/07........................ 700,000
Metal Management Inc., Company Guaranteed:
1,000,000 B- 12.750% due 6/15/04+..................... 947,500
2,000,000 CCC+ 10.000% due 5/15/08...................... 1,560,000
Russel Metals Inc., 10.000% due
1,500,000 B+ 6/1/09(b)................................. 1,470,000
- -------------------------------------------------------------------------------
6,715,000
- -------------------------------------------------------------------------------
Oil Exploration -- 2.2%
Lomak Petroleum Inc., Company Guaranteed,
2,000,000 B 8.750% due 1/15/07........................ 1,860,000
Western Gas Resources, Sr. Sub. Notes,
1,500,000 BB- 10.000% due 6/15/09+...................... 1,530,000
- -------------------------------------------------------------------------------
3,390,000
- -------------------------------------------------------------------------------
Paper -- 4.3%
Crown Paper Co., Sr. Sub. Notes, 11.000%
1,550,000 CCC+ due 9/1/05................................ 1,185,750
Doman Industries Ltd.:
1,000,000 B+ Secured, 12.000% due 7/1/04+............. 1,005,000
1,950,000 B Sr. Notes, 8.750% due 3/15/04............ 1,355,250
Fonda Group, Inc., Sr. Sub. Notes, 9.500%
2,275,000 B- due 3/1/07................................ 1,984,938
Stone Container Corp., Sr. Notes, 9.875%
1,000,000 B due 2/1/01................................ 1,010,000
- -------------------------------------------------------------------------------
6,540,938
- -------------------------------------------------------------------------------
Real Estate -- 1.0%
LNR Property Corp., Sr. Sub. Notes,
1,000,000 B 10.500% due 1/15/09....................... 1,002,500
Reliant Building Products, Inc., Sr. Sub.
1,500,000 CCC+ Notes, 10.875% due 5/1/04................. 558,750
- -------------------------------------------------------------------------------
1,561,250
- -------------------------------------------------------------------------------
Retail -- 3.1%
AAI.Fostergrant Inc., Company Guaranteed,
2,000,000 CCC+ 10.750% due 7/15/06....................... 840,000
Frank's Nursery & Crafts, Sr. Sub. Notes,
1,500,000 B- 10.250% due 3/1/08........................ 1,455,000
Just For Feet Inc., Sr. Notes, 11.000% due
1,500,000 CCC 5/1/09+................................... 412,500
Pentacon Inc., Company Guaranteed, 12.250%
2,000,000 B- due 4/1/09................................ 1,972,500
- -------------------------------------------------------------------------------
4,680,000
- -------------------------------------------------------------------------------
Services -- 5.8%
Building One Services, Sr. Notes, 10.500%
1,500,000 B due 5/1/09+............................... 1,402,500
Dialog Corp., Sr. Sub. Notes, 11.000% due
2,000,000 B- 11/15/07.................................. 1,852,500
Intertek Finance PLC, Company Guaranteed,
2,300,000 B- 10.250% due 11/1/06....................... 2,127,500
U.S. Office Products Co., Company
1,500,000 CCC+ Guaranteed, 9.750% due 6/15/08............ 870,000
URS Corp., Sr. Sub. Notes, 12.250% due
1,500,000 B+ 5/1/09+................................... 1,500,000
Worldwide Flight Service, Sr. Notes,
1,000,000 B 12.250% due 8/15/07+...................... 991,250
- -------------------------------------------------------------------------------
8,743,750
- -------------------------------------------------------------------------------
Steel -- 2.6%
Euramax International PLC, Sr. Sub. Notes,
1,000,000 B 11.250% due 10/1/06....................... 1,010,000
Republic Technologies International,
3,000,000 B Units, 13.750% due 7/15/09................ 2,955,000
- -------------------------------------------------------------------------------
3,965,000
- -------------------------------------------------------------------------------
Technology -- 3.2%
Anteon Corp., Sr. Notes, 12.000% due
2,000,000 B- 5/15/09+.................................. 1,960,000
Global Imaging Systems, Inc., Company
1,000,000 B- Guaranteed, 10.750% due 2/15/07+.......... 990,000
IPC Information, Sr. Discount Notes,
1,000,000 B 10.875% due 5/1/08........................ 773,750
Phase Metrics Inc., Company Guaranteed,
2,000,000 B- 10.750% due 2/1/05........................ 1,120,000
- -------------------------------------------------------------------------------
4,843,750
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
Schedules of Investments (continued) August 31, 1999
High Yield Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <C> <S> <C>
Textile -- 1.4%
Dyersburg Corp., Company Guaranteed, 9.750%
$1,050,000 B+ due 9/1/07................................. $ 441,000
HCI Direct Inc., Sr. Notes, 13.750% due
1,500,000 B- 8/1/02..................................... 1,590,000
- --------------------------------------------------------------------------------
2,031,000
- --------------------------------------------------------------------------------
Transportation -- 1.3%
Millenium Seacarriers, Company Guaranteed,
750,000 B 12.000% due 7/15/05........................ 397,500
Pacer International Inc., Sr. Sub. Notes,
1,500,000 B- 11.750% due 6/1/07+........................ 1,515,000
- --------------------------------------------------------------------------------
1,912,500
- --------------------------------------------------------------------------------
Utility -- 0.7%
Cogentrix Energy, Inc., Company Guaranteed,
1,000,000 BB+ 8.750% due 10/15/08........................ 1,010,000
- --------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$157,263,809)............................. 146,952,971
- --------------------------------------------------------------------------------
FOREIGN CORPORATE BONDS -- 0.7%
Kappa Beheer BV, Company Guaranteed,
1,000,000 B 10.625% due 7/15/09+ (Cost -- $1,021,795).. 1,084,028
- --------------------------------------------------------------------------------
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <C> <S> <C>
PREFERRED STOCK -- 0.3%
HH Acquisition Corp., 13.500% (Cost --
1,104 $1,030,521)............................... 507,840
- --------------------------------------------------------------------------------
WARRANTS++ -- 0.0%
American Mobile Satellite Corp., Expire
2,000 4/1/08..................................... 70,000
750 Millenium Seacarriers, Expire 7/15/05...... 750
- --------------------------------------------------------------------------------
TOTAL WARRANTS (Cost -- $18,247)........... 70,750
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <C> <S> <C>
REPURCHASE AGREEMENT -- 1.9%
$2,848,000 Morgan Stanley Dean Witter & Co., 5.400%
due 9/1/99; Proceeds at maturity --
$2,848,427; (Fully collateralized by U.S.
Treasury Notes & Bonds, 6.375% to 6.625%
due 4/30/02 to 8/15/27; Market value --
$2,925,752) (Cost -- $2,848,000).......... 2,848,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$162,182,372**).......................... $151,463,589
- --------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service.
(b) Security has been issued with attached warrants.
+ Security is exempt under Rule 144A of the Securities Act of 1933. This
security may be resold in transactions that are exempt from registration,
normally to qualified institutional buyers.
++Non-income producing securities.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 146 for definition of ratings.
[CHART]
Classification of Investment
Corporate Bonds & Notes 97.8%
Repurchase Agreement 1.9%
Warrants & Preferred Stock 0.3%
See Notes to Financial Statements.
9
<PAGE>
Schedules of Investments (continued) August 31, 1999
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- ---------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES & OBLIGATIONS -- 30.8%
- ---------------------------------------------------------------------------------
U.S. Treasury Obligations -- 30.8%
U.S. Treasury Notes:
$ 2,000,000 5.625% due 11/30/99................................. $ 2,002,780
19,550,000 4.625% due 11/30/00................................. 19,312,859
7,450,000 5.250% due 5/31/01.................................. 7,389,432
14,600,000 6.250% due 6/30/01.................................. 14,812,138
29,250,000 6.625% due 4/30/02.................................. 29,805,458
9,754,850 3.625% due 7/15/02.................................. 9,666,374
325,000 4.750% due 2/15/04.................................. 309,969
3,350,000 5.250% due 5/15/04.................................. 3,260,019
69,600,000 6.500% due 10/15/06................................. 70,820,784
6,500,000 12.500% due 8/15/14................................. 9,397,570
13,000,000 U.S. Treasury Bond, 8.750% due 11/5/08............... 14,193,270
125,000 U.S. Treasury Strips, zero coupon due 11/15/99....... 123,697
- ---------------------------------------------------------------------------------
181,094,350
- ---------------------------------------------------------------------------------
U.S. Government Agencies -- 0.0%
Government Trust Certificate, Resolution Trust Corp.,
43,750 9.000% due 9/25/28................................... 44,061
- ---------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost --
$182,632,443)....................................... 181,138,411
- ---------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS & NOTES -- 56.4%
- -------------------------------------------------------------------------------
Auto - Cars/Light Trucks -- 0.8%
DaimlerChrysler NA Holdings, Notes,
4,500,000 A+ 5.750% due 8/23/02....................... 4,502,250
- -------------------------------------------------------------------------------
Banking -- 5.8%
2,055,000 A3* BB&T Corp., Bonds, 6.375% due 6/30/05.... 1,931,700
Chase Manhattan Corp., Sub. Notes, 5.812%
2,000,000 A1* due 12/30/09............................. 1,925,000
First National Bank of Boston, Notes,
2,000,000 A2* 8.375% due 12/15/02...................... 2,085,000
First Union National Bank, Sub. Notes,
7,125,000 A1* 5.800% due 12/1/08....................... 6,457,031
1,325,000 BBB+ Markel Corp., Notes, 7.250% due 11/1/03.. 1,333,281
Merita Bank, Sub. Notes, 7.500% due
2,350,000 A3* 12/29/49................................. 2,200,115
National City Corp., Sub. Notes, 5.750%
4,000,000 A2* due 2/1/09............................... 3,600,000
National Westminster Bank, Sub. Notes,
1,500,000 Aa3* 7.750% due 4/29/49....................... 1,455,000
News America Holdings Inc., Sr. Notes,
400,000 BBB- 8.500% due 2/15/05....................... 414,500
2,500,000 BBB+ Popular Inc., Notes, 6.200% due 4/30/01.. 2,471,875
St. Georges Bank, Notes, 7.150% due
500,000 A- 10/15/05+................................ 487,650
U.S. Bank NA, Notes, 5.625% due
10,625,000 Aa3* 11/30/05................................. 9,788,281
- -------------------------------------------------------------------------------
34,149,433
- -------------------------------------------------------------------------------
Cable TV -- 1.6%
TCI Communications Inc., Notes:
3,100,000 AA- 7.375% due 2/15/00....................... 3,118,073
2,800,000 AA- 5.985% due 9/11/00....................... 2,791,989
3,575,000 AA- 6.375% due 5/1/03........................ 3,525,844
- -------------------------------------------------------------------------------
9,435,906
- -------------------------------------------------------------------------------
Communications -- 1.4%
Cox Enterprises Inc., Notes, 6.625% due
4,000,000 BBB+ 6/14/02+................................. 3,975,000
PanAmSat Corp., Notes:
3,000,000 A- 6.000% due 1/15/03....................... 2,842,500
1,850,000 A- 6.125% due 1/15/05....................... 1,692,750
- -------------------------------------------------------------------------------
8,510,250
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
Schedules of Investments (continued) August 31, 1999
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
Drug Store -- 0.7%
$ 4,300,000 A CVS Corp., Notes, 5.500% due 2/15/04+ ... $ 4,133,375
- -------------------------------------------------------------------------------
Electric - Integrated -- 0.3%
Niagara Mohawk Power, Notes, 6.875% due
2,000,000 BBB+ 4/1/03................................... 1,987,500
- -------------------------------------------------------------------------------
Entertainment -- 1.0%
Walt Disney Co., Notes, 5.125% due
6,150,000 A 12/15/03................................. 5,788,688
- -------------------------------------------------------------------------------
Financial Services -- 33.5%
American Health Properties, Notes, 7.050%
2,500,000 BBB- due 1/15/02.............................. 2,496,875
Amvescap PLC, Sr. Notes:
2,000,000 A3* 6.375% due 5/15/03....................... 1,887,500
4,925,000 A3* 6.600% due 5/15/05....................... 4,481,750
Associates Corp., Sr. Notes:
2,300,000 AA- 5.750% due 11/1/03....................... 2,202,250
4,000,000 AA- 5.800% due 4/20/04....................... 3,810,000
AT&T Capital Corp., Notes:
1,000,000 BBB 5.580% due 9/20/99....................... 999,937
2,000,000 BBB 6.230% due 9/24/99....................... 2,000,240
1,100,000 BBB 5.650% due 3/21/00....................... 1,100,227
2,000,000 BBB 7.500% due 11/15/00...................... 2,029,120
3,000,000 BBB 7.000% due 8/15/01....................... 2,989,800
BanPonce Corp., Notes, 6.750% due
2,625,000 Baa1* 12/15/05................................. 2,572,500
Bear, Stearns & Co., Inc., Notes:
6,200,000 A 5.238% due 5/7/02........................ 6,187,786
3,575,000 A 6.450% due 8/1/02........................ 3,521,375
2,000,000 A 6.500% due 8/1/02........................ 1,970,000
CarrAmerica Realty Corp., Company
2,300,000 BBB Guaranteed, 7.200% due 7/1/04............ 2,248,250
Chase Mortgage Securities Corp., Sub.
3,575,000 BBB Bonds, 7.370% due 5/19/07................ 3,404,629
Chelsea GCA Realty Partnership, Notes,
2,300,000 BBB- 7.750% due 1/26/01....................... 2,314,375
Colonial Realty LP, Notes, 6.960% due
2,350,000 BBB- 7/26/04.................................. 2,288,313
CP Ltd. Partnership, Sr. Notes, 8.750%
750,000 BBB due 3/2/00............................... 758,115
Evans Withycombe Residential Inc., Notes,
1,000,000 A3* 7.500% due 4/15/04....................... 1,006,250
Federal National Mortgage Association,
16,275,000 Aaa* 5.625% due 5/14/04....................... 15,640,322
First Tennessee National Corp., Sub.
13,000,000 A- Notes, 5.750% due 12/1/08................ 11,651,250
Florida Property & Casualty, Notes,
2,050,000 A- 7.250% due 7/1/02+....................... 2,062,813
Florida Resident Property & Casualty,
3,450,000 A- Notes, 7.375% due 7/1/03+................ 3,471,563
Florida Windstorm, Bonds+:
4,575,000 A- 6.500% due 8/25/02....................... 4,523,531
3,000,000 A- 6.700% due 8/25/04....................... 2,925,000
Ford Motor Credit Co., Notes:
5,600,000 A1* 5.750% due 1/25/01....................... 5,544,000
4,000,000 A 5.870% due 7/13/01....................... 4,025,920
1,300,000 A 7.750% due 11/15/02...................... 1,329,913
3,975,000 A 6.700% due 7/16/04....................... 3,920,344
2,000,000 A1* 5.800% due 1/12/09....................... 1,800,000
Freddie Mac:
9,700,000 Aaa* 5.750% due 6/15/01....................... 9,632,488
33,150,000 Aaa* 5.750% due 3/15/09....................... 30,498,000
General Electric Capital Corp., Notes:
1,150,000 AAA 5.650% due 3/31/03....................... 1,116,938
3,800,000 AAA 6.267% due 7/23/03....................... 3,674,828
General Motors Acceptance Corp.:
6,000,000 A 5.250% due 4/5/04........................ 5,976,342
3,500,000 A 6.850% due 6/17/04....................... 3,473,750
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
Schedules of Investments (continued) August 31, 1999
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
Financial Services -- 33.5% (continued)
Goldman Sachs Group LP, Notes:
$ 1,000,000 A+ 7.250% due 10/1/05+...................... $ 995,000
450,000 A+ 7.200% due 3/1/07+....................... 442,688
Homeside Lending, Inc., Notes:
3,775,000 A+ 6.875% due 6/30/02....................... 3,775,000
4,000,000 A+ 6.750% due 8/1/04........................ 3,930,000
Household Financial Corp., Medium Term
4,675,000 A Notes, 6.125% due 7/15/02................ 4,575,656
MBNA America Bank NA, Notes, 6.875% due
3,700,000 BBB+ 7/15/04.................................. 3,645,721
Morgan Stanley Dean Witter & Co., Notes,
4,000,000 A+ 5.250% due 4/22/04....................... 4,000,000
Norwest Corp., Medium Term Notes:
2,425,000 Aa3* 6.875% due 8/8/06........................ 2,385,596
1,780,000 Aa3* 6.750% due 6/15/07....................... 1,739,950
Norwest Financial, Inc., Notes, 6.375%
3,000,000 Aa3* due 11/15/01............................. 2,985,000
Realty Income Corp., Inc., Notes, 7.750%
3,450,000 BBB- due 5/6/07............................... 3,393,938
Wells Fargo & Co., Sub. Notes, 6.625% due
3,600,000 A1* 7/15/04.................................. 3,545,998
- -------------------------------------------------------------------------------
196,950,841
- -------------------------------------------------------------------------------
Food - Retail -- 0.2%
Ahold Finance USA Inc., Series Callable,
1,500,000 A 6.250% due 5/1/09........................ 1,385,625
- -------------------------------------------------------------------------------
Health Care -- 0.2%
Meditrust Corp., Notes, 7.375% due
1,425,000 Ba1* 7/15/00.................................. 1,395,203
- -------------------------------------------------------------------------------
Industrial -- 4.2%
Abitibi Consolidated Inc., Notes, 6.950%
3,000,000 BBB- due 4/1/08............................... 2,756,250
3,450,000 BBB Brascan Ltd., Notes, 7.375% due 10/1/02.. 3,458,625
Delphi Auto Systems Corp., Notes, 6.125%
4,000,000 BBB due 5/1/04............................... 3,850,000
Diageo Capital PLC, Company Guaranteed:
3,900,000 A+ 6.625% due 6/24/04....................... 3,854,643
6,025,000 A+ 6.125% due 8/15/05....................... 5,723,750
La Quinta Inns, Inc., Notes, 7.110% due
4,900,000 Ba1* 10/17/01................................. 4,771,375
- -------------------------------------------------------------------------------
24,414,643
- -------------------------------------------------------------------------------
Insurance -- 1.5%
Marsh & McLennan Cos. Inc., Notes, 6.625%
8,725,000 AA- due 6/15/04.............................. 8,626,914
- -------------------------------------------------------------------------------
Publishing -- 0.6%
Houghton Mifflin Co., Notes, 5.360% due
3,400,000 BBB+ 12/1/00.................................. 3,391,500
- -------------------------------------------------------------------------------
Retail -- 2.2%
Sears Roebuck Acceptance Corp., Notes,
5,335,000 A2* 6.690% due 4/30/01....................... 5,335,000
Tyco International Group, Notes:
5,100,000 A- 6.750% due 9/5/02........................ 5,057,211
2,450,000 A- 5.875% due 11/1/04....................... 2,303,000
- -------------------------------------------------------------------------------
12,695,211
- -------------------------------------------------------------------------------
Telephone -- 0.6%
Sprint Capital Corp., Notes, 5.875% due
4,000,000 BBB+ 5/1/04................................... 3,805,000
- -------------------------------------------------------------------------------
Tobacco -- 1.1%
Philip Morris Cos. Inc., Notes, 9.000%
6,000,000 A due 1/1/01............................... 6,180,000
- -------------------------------------------------------------------------------
Transportation -- 0.7%
CSX Corp., Medium Term Notes, 5.380% due
4,000,000 BBB 6/15/00.................................. 3,998,799
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$341,387,307)........................... 331,351,138
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
Schedules of Investments (continued) August 31, 1999
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 10.0%
- -------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 1.0%
$ 6,100,000 FNMA, 5.375% due 3/2/01............................ $ 6,039,201
- -------------------------------------------------------------------------------
Government National Mortgage Association (GNMA) -- 2.5%
15,000,000 GNMA, 7.000% due 2/22/29 - 9/21/29++............... 14,535,850
- -------------------------------------------------------------------------------
Collateralized Mortgage Obligations (CMO) -- 6.5%
6,465,802 AAMES Mortgage Trust, 5.609% due 7/15/29........... 6,449,638
2,929,598 Ameresco Commercial Lending, 7.120% due 3/15/12+... 2,878,330
734,284 Banc One Auto Grantor Trust, 6.100% due 10/15/02... 735,063
Capital Asset Research Funding LP, 5.905% due
805,071 12/15/05........................................... 799,912
2,330,987 CMC Securities Corp. III, 6.750% due 11/25/23...... 2,327,356
2,775,000 Copelco Capital Funding Corp., 5.950% due 6/15/04.. 2,690,030
GE Capital Mortgage Services, Inc., 6.380% due
1,846,846 5/25/14............................................ 1,840,671
2,491,956 Green Tree Financial Corp., 6.420% due 11/15/28.... 2,493,903
Residential Funding Mortgage Securities, Inc.:
1,000,000 7.000% due 10/25/27................................ 937,975
8,725,000 5.980% due 10/25/29................................ 8,077,125
9,000,000 SBIC Business Investment Cos., 7.540% due 8/10/09.. 9,022,500
- -------------------------------------------------------------------------------
38,252,503
- -------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$59,902,187)...................................... 58,827,554
- -------------------------------------------------------------------------------
COMMERCIAL PAPER -- 1.3%
General Electric Capital Corp., Discount Notes:
5,100,000 5.240% due 9/16/99................................. 5,088,865
500,000 5.280% due 9/16/99................................. 498,900
US West Capital Funding Inc., Discount Notes,
2,000,000 6.246% due 2/8/00.................................. 1,944,173
- -------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost -- $7,531,938)........ 7,531,938
- -------------------------------------------------------------------------------
REGIONAL GOVERNMENT OBLIGATIONS -- 1.5%
5,975,000 Ontario Province, 5.500% due 10/1/08............... 5,384,969
3,500,000 Quebec Province, 7.500% due 7/15/02................ 3,574,375
- -------------------------------------------------------------------------------
TOTAL REGIONAL GOVERNMENT OBLIGATIONS (Cost --
$9,659,818)....................................... 8,959,344
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$601,113,693**)................................... $587,808,385
- -------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service, except those
identified by an asterisk (*), which are rated by Moody's Investors
Service, Inc.
+ Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
++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 146 for definition of ratings.
[CHART]
Classification of Investments
U.S. Government Agencies & Obligations 30.8%
Commercial Paper 1.3%
Corporate Bonds & Notes 56.4%
Mortgage-Backed Securities 10.0%
Regional Government Obligations 1.5%
See Notes to Financial Statements.
13
<PAGE>
Schedules of Investments (continued) August 31, 1999
Long-Term Bond Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES & OBLIGATIONS -- 55.5%
- ------------------------------------------------------------------------------
U.S. Treasury Obligations -- 47.7%
U.S. Treasury Bonds:
$ 600,000 11.250% due 2/15/15............................... $ 882,120
1,130,000 7.500% due 11/15/16............................... 1,247,079
7,030,000 8.500% due 2/15/20................................ 8,617,233
1,750,000 8.750% due 5/15/20................................ 2,196,688
9,600,000 7.875% due 2/15/21................................ 11,140,032
7,010,000 8.125% due 8/15/21................................ 8,350,312
11,225,000 6.875% due 8/15/25................................ 11,880,428
1,925,000 6.125% due 11/15/27............................... 1,865,806
10,595,000 5.250% due 11/15/28............................... 9,167,006
- ------------------------------------------------------------------------------
55,346,704
- ------------------------------------------------------------------------------
U.S. Government Agencies -- 7.8%
Federal Home Loan Mortgage Corp. (FHLMC) REMIC:
4,550,000 FHLMC, 6.250% due 10/15/27........................ 4,254,751
4,535,000 FHLMC, 6.000% due 11/15/28........................ 3,985,539
855,000 FHLMC, 6.000% due 12/15/28........................ 743,499
- ------------------------------------------------------------------------------
8,983,789
- ------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS
(Cost -- $66,454,976).............................. 64,330,493
- ------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS & NOTES -- 44.0%
- -------------------------------------------------------------------------------
Auto & Transportation -- 4.7%
Federal Express Corp., 7.630% due
2,396,145 BBB+ 1/5/14................................... 2,369,189
3,500,000 A Ford Motor Co., 6.625% due 10/1/28....... 3,106,250
- -------------------------------------------------------------------------------
5,475,439
- -------------------------------------------------------------------------------
Banking -- 6.5%
3,650,000 A Bank One Corp., 8.000% due 4/29/27....... 3,677,375
International Bank of Reconstruction &
3,350,000 AAA Development, 8.250% due 9/1/16........... 3,806,437
- -------------------------------------------------------------------------------
7,483,812
- -------------------------------------------------------------------------------
Consumer Products -- 3.4%
1,550,000 A+ BestFoods, Series F, 6.625% due 4/15/28.. 1,389,188
The Proctor & Gamble Co., 9.360% due
2,075,000 AA 1/1/21................................... 2,541,875
- -------------------------------------------------------------------------------
3,931,063
- -------------------------------------------------------------------------------
Financial Services -- 7.7%
2,400,000 BBB- Continental Corp., 8.375% due 8/15/12.... 2,484,000
Lubermens Mutual Casualty, Surplus Notes,
1,450,000 A- 8.300% due 12/1/37+...................... 1,335,813
Nationwide CSN Trust, 9.875% due
3,000,000 A+ 2/15/25.................................. 3,243,750
US West Capital Funding Inc., 6.875% due
2,100,000 A- 7/15/28.................................. 1,850,625
- -------------------------------------------------------------------------------
8,914,188
- -------------------------------------------------------------------------------
Industrial -- 5.9%
Applied Materials Inc., Sr. Notes, 7.125%
4,500,000 BBB+ due 10/15/17............................. 4,185,000
1,600,000 A+ Cargill Inc., 6.875% due 5/1/28.......... 1,440,000
1,350,000 A Lowe's Co., 6.875% due 2/15/28........... 1,236,938
- -------------------------------------------------------------------------------
6,861,938
- -------------------------------------------------------------------------------
Media & Entertainment -- 4.7%
News America Holdings, Inc., 9.250% due
1,275,000 BBB- 2/1/13................................... 1,418,438
3,800,000 BBB Time Warner Inc., 8.375% due 7/15/33..... 3,994,750
- -------------------------------------------------------------------------------
5,413,188
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
Schedules of Investments (continued) August 31, 1999
Long-Term Bond Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Miscellaneous -- 5.3%
$ 3,250,000 BBB+ Boston University, 7.625% due 7/15/2097... $ 3,103,750
2,850,000 BBB+ Ogden Corp., 9.250% due 3/1/22............ 3,074,437
- -------------------------------------------------------------------------------
6,178,187
- -------------------------------------------------------------------------------
Utilities -- 5.8%
Columbia Gas Systems Inc., 7.320% due
2,275,000 BBB+ 11/28/10.................................. 2,198,218
3,000,000 A+ New York Telephone, 6.700% due 11/1/23.... 2,662,500
Puget Sound Energy Inc., Series A, 6.740%
2,100,000 A- due 6/15/18 .............................. 1,884,750
- -------------------------------------------------------------------------------
6,745,468
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$52,868,821)............................. 51,003,283
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.5%
666,000 Morgan Stanley Dean Witter & Co., 5.400%
due 9/1/99; Proceeds at maturity --
$666,099; (Fully collateralized by U.S.
Treasury Notes & Bonds, 6.375% to 6.625%
due 4/30/02 to 8/15/27; Market value --
$684,182) (Cost -- $666,000)............. 666,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$119,989,797**).......................... $115,999,776
- -------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service.
+ 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 146 for definition of ratings.
[CHART]
Classification of Investments
U.S. Government Agencies & Obligations 55.5%
Corporate Bonds & Notes 44.0%
Repurchase Agreement 0.5%
See Notes to Financial Statements.
15
<PAGE>
Schedules of Investments (continued) August 31, 1999
Municipal Bond Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
California -- 12.2%
California State Public Works Board Lease
Revenue:
$3,100,000 A1* California Community Colleges, Series D,
4.750% due 10/1/14........................ $ 2,863,625
2,000,000 A1* Department of Corrections, Series A,
5.250% due 9/1/15......................... 1,952,500
3,000,000 AAA San Diego, CA Special Tax Refunding,
Community Facilities District No. 1, MBIA-
Insured, 4.750% due 9/1/20................ 2,640,000
- -------------------------------------------------------------------------------
7,456,125
- -------------------------------------------------------------------------------
Florida -- 21.0%
Florida State Board of Education Capital
Outlay, Public Education GO:
2,500,000 AA+ Series A, 5.250% due 6/1/17............... 2,434,375
5,000,000 AA+ Series B, 5.000% due 6/1/14............... 4,831,250
2,000,000 AAA Reedy Creek, FL Improvement District,
Series A, MBIA-Insured, 5.250% due
6/1/15.................................... 1,967,500
3,765,000 AAA Tampa Bay, FL Water Utilities System
Revenue, Series A, 5.125% due 10/1/17..... 3,614,400
- -------------------------------------------------------------------------------
12,847,525
- -------------------------------------------------------------------------------
Georgia -- 4.8%
3,000,000 AAA Gwinnett County, GA Water & Sewer Authority
Revenue, 5.250% due 8/1/18................ 2,910,000
- -------------------------------------------------------------------------------
Iowa -- 4.5%
3,000,000 AAA Iowa Finance Authority, Hospital Facility
Revenue, Health System, Series A,
MBIA-Insured, 5.125% due 7/1/20........... 2,733,750
- -------------------------------------------------------------------------------
Massachusetts -- 8.8%
3,000,000 AA- Massachusetts State Consolidated Loan GO,
Series C, 5.250% due 8/1/14............... 2,951,250
2,500,000 AAA Massachusetts State Turnpike Authority,
Metropolitan Highway System, Series A,
MBIA-Insured, 5.000% due 1/1/13........... 2,412,500
- -------------------------------------------------------------------------------
5,363,750
- -------------------------------------------------------------------------------
Minnesota -- 4.8%
3,000,000 AAA Minnesota Public Facility Authority, Water
PCR, Series B,
5.125% due 3/1/13......................... 2,958,750
- -------------------------------------------------------------------------------
New Jersey -- 7.6%
2,720,000 AAA New Jersey Sports & Exposition Authority
State Contract, Series A, MBIA-Insured,
5.250% due 3/1/12......................... 2,737,000
2,000,000 Aa2* New Jersey State Transportation Trust Fund
Authority, Series A, 5.125% due 6/15/15... 1,935,000
- -------------------------------------------------------------------------------
4,672,000
- -------------------------------------------------------------------------------
New Mexico -- 0.8%
480,000 VMIG 1* Farmington, NM PCR, VRDN, Arizona Public
Services Co., Series B, 2.700% due
9/1/24.................................... 480,000
- -------------------------------------------------------------------------------
New York -- 8.1%
3,000,000 A- New York, NY GO, Series J, 5.375% due
8/1/13.................................... 2,962,500
2,000,000 A- New York State Dormitory Authority, State
University Educational Facility, Series A,
5.500% due 5/15/13........................ 2,015,000
- -------------------------------------------------------------------------------
4,977,500
- -------------------------------------------------------------------------------
Texas -- 23.6%
3,570,000 AAA Arlington, TX GO, ISD, PSFG, 4.500% due
2/15/20................................... 2,994,337
3,000,000 AAA Dallas, TX Civic Center, MBIA-Insured,
5.000% due 8/15/18........................ 2,733,750
3,000,000 AA Fort Worth, TX Water & Sewer Revenue,
5.250% due 2/15/16........................ 2,898,750
2,990,000 AAA Texas State Public Finance Authority
Building Revenue, (Department of Criminal
Justice Project), Series A, FSA-Insured,
5.250% due 2/1/11......................... 2,993,738
3,000,000 AAA Texas Water Development Board Revenue,
State Revolving Fund, Sr. Lien, Series B,
5.125% due 7/15/18........................ 2,827,500
- -------------------------------------------------------------------------------
14,448,075
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
Schedules of Investments (continued) August 31, 1999
Municipal Bond Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <C> <S> <C>
Washington -- 3.8%
$2,600,000 AA- King County, WA GO, School District No.
412, Shoreline, 4.750% due 6/1/15......... $ 2,336,750
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$65,443,722**)............................ $61,184,225
- ------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service, except those
identified by an asterisk (*), which are rated by Moody's Investors
Service, Inc.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 146 for definition of ratings and certain security descriptions.
[CHART]
Classification of Investments
Massachusetts 8.8%
Iowa 4.5%
New York 8.1%
Florida 21.0%
Minnesota 4.8%
Georgia 4.8%
Texas 23.6%
New Jersey 7.6%
California 12.2%
Other States 4.6%
See Notes to Financial Statements.
17
<PAGE>
Schedules of Investments (continued) August 31, 1999
Mortgage Backed Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 95.6%
- ------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 55.6%
$ 65,407 FHLMC, 11.000% due 4/1/00 - 10/1/00................ $ 68,925
223,304 FHLMC, 10.000% due 4/1/09 - 10/1/09................ 241,727
95,189 FHLMC, 10.250% due 11/1/03 - 2/1/10................ 103,577
496,878 FHLMC, 9.000% due 10/1/09 - 7/1/11................. 518,198
69,680 FHLMC, 11.500% due 10/1/15......................... 78,064
40,243 FHLMC, 7.500% due 6/1/16........................... 40,419
631,852 FHLMC, 9.500% due 10/1/08 - 8/1/16................. 674,503
968,433 FHLMC, 8.000% due 8/1/08 - 6/1/17.................. 992,335
2,162,040 FHLMC, 8.500% due 12/1/06 - 7/1/17................. 2,250,533
8,432,450 FHLMC, 6.500% due 2/1/11 - 7/1/29.................. 8,073,397
83,433 FHLMC GOLD, 9.500% due 4/1/10...................... 88,725
17,832,675 FHLMC GOLD, 7.000% due 5/1/12 - 8/1/12............. 17,399,743
591,930 FHLMC GOLD, 8.500% due 9/1/08 - 2/1/18............. 610,429
6,861,401 FHLMC GOLD, 7.500% due 12/1/12 - 5/1/25............ 6,816,272
3,581,137 FHLMC GOLD, 8.000% due 5/1/06 - 12/1/26............ 3,633,708
4,000,000 FHLMC GOLD, 8.000% due 3/1/27*..................... 4,606,844
10,682,236 FHLMC GOLD, 6.000% due 10/1/27 - 1/1/29............ 9,834,281
20,131,985 FHLMC GOLD, 6.500% due 7/1/23 - 5/1/29............. 19,075,057
- ------------------------------------------------------------------------------
75,106,737
- ------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 19.9%
333,829 FNMA, 9.500% due 4/1/01 - 6/1/02................... 354,502
1,307,109 FNMA, 9.000% due 8/1/02............................ 1,367,349
2,241,150 FNMA, 8.000% due 9/1/02............................ 2,272,738
751,343 FNMA, 8.500% due 6/1/06............................ 774,597
3,629,138 FNMA, 7.500% due 12/1/06 - 10/1/07................. 3,609,697
2,036,861 FNMA, 5.500% due 11/1/08........................... 1,898,090
5,136,590 FNMA, 6.500% due 3/1/09............................ 4,903,193
152,227 FNMA, 10.750% due 10/1/12.......................... 167,592
21,161 FNMA, 12.500% due 6/1/15........................... 24,250
28,735 FNMA, 10.000% due 1/1/21........................... 31,016
2,516,737 FNMA, 7.000% due 1/1/24............................ 2,444,382
9,632,519 FNMA, 6.000% due 12/1/23 - 9/1/28.................. 9,037,309
- ------------------------------------------------------------------------------
26,884,715
- ------------------------------------------------------------------------------
Government National Mortgage Association (GNMA) -- 20.1%
103,340 GNMA I, 11.000% due 7/15/10 - 9/15/10.............. 114,255
88,805 GNMA I, 9.000% due 10/15/16........................ 93,217
192,543 GNMA I, 9.500% due 12/15/16 - 8/15/19.............. 206,503
2,783,649 GNMA I, 8.000% due 1/15/14 - 8/15/23............... 2,819,308
619,269 GNMA I, 8.500% due 5/15/17 - 7/15/27............... 640,746
2,660,090 GNMA I, 7.500% due 9/15/27......................... 2,637,640
13,314,433 GNMA I, 7.000% due 4/15/23 - 3/15/28............... 12,902,485
835,119 GNMA II, 7.000% due 11/20/16....................... 805,623
1,021,198 GNMA II, 8.500% due 6/20/16 - 1/20/17.............. 1,046,401
500,974 GNMA II, 9.000% due 4/20/17 - 11/20/21............. 520,227
5,707,738 GNMA II, 6.500% due 12/20/23 - 5/20/24............. 5,359,909
- ------------------------------------------------------------------------------
27,146,314
- ------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$132,975,623).................................... 129,137,766
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
Schedules of Investments (continued) August 31, 1999
Mortgage Backed Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 4.4%
$ 6,000,000 Morgan Stanley Dean Witter & Co., 5.400% due 9/1/99;
Proceeds at maturity -- $6,000,900;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 6.375% to 6.625% due 4/30/02 to 8/15/27;
Market value -- $6,163,803) (Cost -- $6,000,000).... $ 6,000,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $138,975,623**).. $135,137,766
- --------------------------------------------------------------------------------
</TABLE>
* Security is traded on a "to be announced" basis (See Note 10).
** Aggregate cost for Federal income tax purposes is substantially the same.
[CHART]
Classification of Investments
FNMA 19.9%
FHLMC 55.6%
GNMA 20.1%
Repurchase Agreement 4.4%
See Notes to Financial Statements.
19
<PAGE>
Schedules of Investments (continued) August 31, 1999
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 54.3%
- --------------------------------------------------------------------------------
Aerospace -- 1.1%
5,100 AlliedSignal Inc. ......................................... $ 312,375
4,500 The Boeing Co. ............................................ 203,907
3,200 General Dynamics Corp. .................................... 201,600
3,300 United Technologies Corp. ................................. 218,212
- --------------------------------------------------------------------------------
936,094
- --------------------------------------------------------------------------------
Airlines -- 0.1%
3,600 US Airways Group, Inc. .................................... 110,925
- --------------------------------------------------------------------------------
Automotive -- 0.3%
6,945 Delphi Automotive Systems Corp. ........................... 130,218
900 Honeywell Inc. ............................................ 102,150
- --------------------------------------------------------------------------------
232,368
- --------------------------------------------------------------------------------
Banking -- 3.9%
13,800 Bank One Corp. ............................................ 553,725
7,000 Chase Manhattan Corp. ..................................... 585,813
2,900 First Security Corp. ...................................... 62,893
11,400 Fleet Financial Group, Inc. ............................... 453,862
1,500 GreenPoint Financial Corp. ................................ 38,812
3,000 Lehman Brothers Holdings Inc. ............................. 161,250
8,800 MBNA Corp. ................................................ 217,250
3,700 PNC Bank Corp. ............................................ 193,557
6,200 SouthTrust Corp. .......................................... 218,937
2,200 Summit Bancorp. ........................................... 73,425
2,400 SunTrust Banks, Inc. ...................................... 154,350
3,332 Washington Mutual, Inc. ................................... 105,791
9,400 Wells Fargo Co. ........................................... 374,237
- --------------------------------------------------------------------------------
3,193,902
- --------------------------------------------------------------------------------
Beverages -- 1.4%
4,500 Anheuser-Busch Co. ........................................ 346,500
7,100 The Coca Cola Co. ......................................... 424,668
10,400 PepsiCo, Inc. ............................................. 354,900
- --------------------------------------------------------------------------------
1,126,068
- --------------------------------------------------------------------------------
Business Machines -- 3.5%
10,000 Dell Computer Corp. ....................................... 488,125
5,200 EMC Corp. ................................................. 312,000
4,100 Hewlett-Packard Co. ....................................... 432,037
8,200 International Business Machines Corp. ..................... 1,021,412
3,500 Lexmark International Group, Inc., Class A Shares.......... 275,625
4,400 Sun Microsystems, Inc. .................................... 349,800
- --------------------------------------------------------------------------------
2,878,999
- --------------------------------------------------------------------------------
Cable Services -- 0.3%
4,594 Fox Entertainment Group, Inc. ............................. 105,949
5,300 Infinity Broadcasting Corp.+ .............................. 143,432
- --------------------------------------------------------------------------------
249,381
- --------------------------------------------------------------------------------
Chemicals -- 1.0%
7,700 E.I. du Pont de Nemours & Co.+ ............................ 487,987
3,300 PPG Industries, Inc. ...................................... 198,206
2,800 Rohm and Haas Co. ......................................... 104,650
- --------------------------------------------------------------------------------
790,843
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
Schedules of Investments (continued) August 31, 1999
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
Construction -- 0.5%
2,900 Champion International Corp. .............................. $ 159,500
1,800 Martin Marietta Materials Inc. ............................ 82,125
3,100 Southdown, Inc. ........................................... 156,550
- --------------------------------------------------------------------------------
398,175
- --------------------------------------------------------------------------------
Drugs -- 4.7%
6,100 American Home Products Corp. .............................. 253,150
5,000 Amgen, Inc.+ .............................................. 415,937
11,300 Bristol-Myers Squibb Co. .................................. 795,237
9,500 Elan Corp. PLC Sponsored ADR+.............................. 304,593
7,800 Eli Lilly & Co. ........................................... 582,075
2,000 Immunex Corp. ............................................. 134,625
5,100 Merck & Co., Inc. ......................................... 342,656
8,900 Schering-Plough Corp. ..................................... 467,806
8,200 Warner-Lambert Co. ........................................ 543,250
- --------------------------------------------------------------------------------
3,839,329
- --------------------------------------------------------------------------------
Electric & Gas Utilities -- 2.7%
4,900 Energy East Corp. ......................................... 122,500
3,200 Florida Progress Corp.+ ................................... 150,000
11,700 General Electric Co. ...................................... 1,314,056
4,200 GPU, Inc. ................................................. 143,325
3,300 PECO Energy Co. ........................................... 134,062
1,900 Pinnacle West Capital Corp. ............................... 72,200
2,100 Public Service Enterprise Group Inc. ...................... 86,100
4,600 Texas Utilities Co. ....................................... 186,012
- --------------------------------------------------------------------------------
2,208,255
- --------------------------------------------------------------------------------
Electronics -- 2.3%
2,600 General Instrument Corp.+ ................................. 127,887
13,800 Intel Corp. ............................................... 1,134,187
2,400 Maxim Integrated Products, Inc.+ .......................... 161,550
2,200 Nokia Oyj Sponsored ADR.................................... 183,426
4,200 Tellabs, Inc.+ ............................................ 250,162
- --------------------------------------------------------------------------------
1,857,212
- --------------------------------------------------------------------------------
Financial Services -- 1.8%
4,800 A.G. Edwards, Inc.......................................... 120,600
1,500 American General Corp...................................... 106,500
2,300 Countrywide Credit Industries, Inc......................... 73,887
5,400 Fannie Mae................................................. 335,475
3,245 Merrill Lynch & Co., Inc................................... 242,158
3,362 Morgan Stanley Dean Witter & Co............................ 288,501
1,000 Providian Financial Corp................................... 77,625
4,100 SLM Holding Corp........................................... 181,168
2,600 Torchmark Corp............................................. 74,100
- --------------------------------------------------------------------------------
1,500,014
- --------------------------------------------------------------------------------
Food -- 1.5%
6,100 ConAgra, Inc............................................... 149,450
2,300 General Mills, Inc......................................... 192,625
5,200 Louisiana Pacific Corp. ................................... 96,200
3,800 Nabisco Holdings Corp. .................................... 149,387
3,100 The Quaker Oats Co. ....................................... 207,118
6,600 Ralston-Ralston Purina Group............................... 181,500
3,425 Unilever NV ............................................... 235,897
- --------------------------------------------------------------------------------
1,212,177
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
Schedules of Investments (continued) August 31, 1999
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
Health Care -- 1.3%
8,700 Abbott Laboratories........................................ $ 377,362
2,000 Bausch & Lomb Inc. ........................................ 132,125
4,100 Medtronic, Inc. ........................................... 320,825
2,500 United HealthCare Corp. ................................... 152,031
1,700 Wellpoint Health Networks Inc. ............................ 123,887
- --------------------------------------------------------------------------------
1,106,230
- --------------------------------------------------------------------------------
Insurance -- 1.3%
4,700 Ace Ltd. .................................................. 100,756
7,800 Allstate Corp. ............................................ 255,937
2,100 Ambac Financial Group, Inc. ............................... 110,906
1,875 American International Group, Inc. ........................ 173,789
2,000 CIGNA Corp. ............................................... 179,625
4,600 Hartford Financial Services Group, Inc. ................... 209,012
3,100 Old Republic International Corp. .......................... 48,050
- --------------------------------------------------------------------------------
1,078,075
- --------------------------------------------------------------------------------
Manufacturing -- 2.1%
2,800 Applied Materials, Inc. ................................... 198,975
3,500 Caterpillar Inc. .......................................... 198,187
4,100 Fortune Brands, Inc. ...................................... 153,750
3,100 Ingersoll-Rand Co. ........................................ 197,237
9,000 Tyco International Ltd. ................................... 911,812
2,500 USX-U.S. Steel Group+...................................... 67,500
- --------------------------------------------------------------------------------
1,727,461
- --------------------------------------------------------------------------------
Media -- 1.1%
2,200 Clear Channel Communications, Inc. ........................ 154,137
8,000 Time Warner, Inc. ......................................... 474,500
7,300 Viacom Inc. ............................................... 307,056
- --------------------------------------------------------------------------------
935,693
- --------------------------------------------------------------------------------
Metals -- 0.4%
2,200 Alcan Aluminum Ltd. ....................................... 72,325
3,900 Alcoa Inc. ................................................ 251,793
- --------------------------------------------------------------------------------
324,118
- --------------------------------------------------------------------------------
Motor Vehicles -- 0.6%
5,772 Ford Motor Co. ............................................ 300,866
3,200 General Motors Corp. ...................................... 211,600
- --------------------------------------------------------------------------------
512,466
- --------------------------------------------------------------------------------
Oil -- 3.8%
4,700 Atlantic Richfield Co. .................................... 413,306
5,300 Coastal Corp. ............................................. 229,556
3,700 Columbia Energy Group...................................... 218,531
7,700 Diamond Offshore Drilling, Inc. ........................... 294,525
6,400 Enron Corp. ............................................... 268,000
3,600 Mobil Corp. ............................................... 368,550
14,300 Royal Dutch Petroleum Co. ................................. 884,812
6,400 Texaco Inc. ............................................... 406,400
2,500 Tidewater Inc. ............................................ 81,250
- --------------------------------------------------------------------------------
3,164,930
- --------------------------------------------------------------------------------
Paper -- 0.1%
3,000 Fort James Corp. .......................................... 96,750
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
Schedules of Investments (continued) August 31, 1999
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
Photo Equipment -- 0.2%
2,400 Eastman Kodak Co. ......................................... $ 176,250
- --------------------------------------------------------------------------------
Pollution Control -- 0.1%
8,200 Republic Services Inc. .................................... 89,175
- --------------------------------------------------------------------------------
Publishing -- 0.4%
2,300 Tribune Co. ............................................... 214,619
1,950 Valassis Communications, Inc. ............................. 85,313
- --------------------------------------------------------------------------------
299,932
- --------------------------------------------------------------------------------
Restaurant -- 0.3%
5,700 McDonald's Corp. .......................................... 235,837
- --------------------------------------------------------------------------------
Retail -- 3.5%
3,200 Best Buy Co., Inc. ........................................ 224,800
3,900 Dayton-Hudson Corp. ....................................... 226,200
3,400 Federated Department Stores, Inc. ......................... 156,400
7,800 Kroger Co. ................................................ 180,375
6,400 The Limited Inc.+ ......................................... 242,400
3,700 Lowe's Cos., Inc. ......................................... 167,425
4,000 Safeway Inc. .............................................. 186,250
7,150 Staples, Inc. ............................................. 155,512
3,900 Tandy Corp. ............................................... 184,275
8,600 The TJX Cos., Inc. ........................................ 248,325
914 Too Inc.+ ................................................. 16,057
20,500 Wal-Mart Stores, Inc. ..................................... 908,406
- --------------------------------------------------------------------------------
2,896,425
- --------------------------------------------------------------------------------
Services -- 6.3%
5,600 America Online, Inc. ...................................... 511,350
3,700 BMC Software, Inc.+ ....................................... 199,107
4,500 Carnival Corp. ............................................ 201,093
4,400 Ceridian Corp. ............................................ 123,200
15,400 Cisco Systems, Inc. ....................................... 1,044,313
5,500 Compuware Corp.+ .......................................... 166,031
20,100 Microsoft Corp. ........................................... 1,860,506
3,700 Motorola, Inc. ............................................ 341,325
3,000 Omnicom Group Inc. ........................................ 226,125
12,300 Oracle Corp. .............................................. 448,950
2,200 Quintiles Transnational Corp. ............................. 78,787
- --------------------------------------------------------------------------------
5,200,787
- --------------------------------------------------------------------------------
Soaps -- 1.1%
5,500 The Dial Corp. ............................................ 152,625
7,200 The Procter & Gamble Co. .................................. 714,600
- --------------------------------------------------------------------------------
867,225
- --------------------------------------------------------------------------------
Telephone -- 5.8%
6,100 Ameritech Corp. ........................................... 385,062
5,800 AT&T Corp. ................................................ 261,000
8,000 Bell Atlantic Corp.+ ...................................... 490,000
10,400 BellSouth Corp. ........................................... 470,600
2,400 Corning Inc. .............................................. 159,600
4,000 GTE Corp. ................................................. 274,500
13,800 Lucent Technologies, Inc. ................................. 884,062
9,380 MCI WorldCom, Inc. ........................................ 710,535
1,700 MediaOne Group, Inc. ...................................... 111,775
3,500 Qwest Communications International Inc.+ .................. 100,625
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
Schedules of Investments (continued) August 31, 1999
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Telephone -- 5.8% (continued)
8,200 SBC Communications, Inc.+ .......................... $ 393,600
2,200 Telefonos de Mexico SA Sponsored ADR................ 163,625
1,900 Vodafone AirTouch PLC Sponsored ADR+................ 381,068
- -------------------------------------------------------------------------------
4,786,052
- -------------------------------------------------------------------------------
Tobacco -- 0.5%
10,300 Philip Morris Cos. Inc. ............................ 385,606
- -------------------------------------------------------------------------------
Transportation --
0.3%
4,200 Burlington Northern Santa Fe Corp. ................. 121,800
1,500 Canadian National Railway Co. ...................... 95,343
- -------------------------------------------------------------------------------
217,143
- -------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $41,225,998)............ 44,633,897
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 10.8%
U.S. Treasury Notes:
$ 465,000 5.625% due 4/30/00................................. 465,720
475,000 6.750% due 4/30/00................................. 479,227
1,365,000 5.750% due 10/31/00................................ 1,367,607
305,000 5.750% due 11/30/02................................ 303,722
590,000 5.250% due 8/15/03................................. 576,022
560,000 6.000% due 8/15/04................................. 563,150
40,000 7.500% due 2/15/05................................. 42,563
160,000 7.000% due 7/15/06................................. 167,145
760,000 6.125% due 8/15/07................................. 757,370
1,090,000 5.500% due 5/15/09................................. 1,047,141
1,050,000 6.000% due 8/15/09................................. 1,051,512
2,285,000 5.250% due 2/15/29................................. 1,998,301
40,000 U.S. Treasury Bond, 7.500% due 11/15/16............. 44,144
- -------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost --
$8,984,496)....................................... 8,863,624
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 10.6%
- -------------------------------------------------------------------------------
Banking -- 2.2%
1,045,000 BBB- Bank United, 8.000% due 3/15/09.......... 996,668
260,000 A+ BankAmerica Corp., 5.215% due 9/11/01.... 260,179
265,000 A- Compass Bank, 8.100% due 8/15/09......... 266,987
250,000 A+ Fleet National Bank, 5.332% due 7/31/01.. 249,000
- -------------------------------------------------------------------------------
1,772,834
- -------------------------------------------------------------------------------
Cable Services --
0.7%
175,000 Cox Communications Inc., 7.875% due
BBB+ 8/15/09.................................. 178,281
402,000 TCI Communications Inc., 8.000% due
AA- 8/1/05................................... 419,587
- -------------------------------------------------------------------------------
597,868
- -------------------------------------------------------------------------------
Chemicals -- 0.3%
250,000 Morton International Inc., 9.250% due
A- 6/1/20................................... 285,937
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
Schedules of Investments (continued) August 31, 1999
Balanced Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
Financial Services -- 3.2%
$ 380,000 AA- Associates Corp., 5.750% due 11/1/03..... $ 363,850
290,000 A+ CIT Group Inc., 6.500% due 6/14/02....... 288,550
150,000 Finova Capital Corp., 5.875% due
A- 10/15/01................................. 147,187
250,000 A Ford Motor Credit, 5.570% due 7/16/02.... 250,000
235,000 Heller Financial Inc., 5.830% due
A- 8/20/01.................................. 235,646
Lehman Brothers Holdings Inc.:
250,000 A 5.528% due 1/18/00...................... 249,670
620,000 A 6.625% due 2/5/06....................... 588,225
555,000 Liberty Financial Co., 7.625% due
A 11/15/28................................. 530,025
- -------------------------------------------------------------------------------
2,653,153
- -------------------------------------------------------------------------------
Industrial -- 2.5%
150,000 A- Burlington Resources Inc., 9.125% due
10/1/21................................. 170,812
370,000 BBB Lasmo (USA) Inc., 7.300% due 11/15/27.... 332,537
275,000 BBB Occidental Petroleum Corp., 11.125% due
8/1/10.................................. 339,968
300,000 AAA Philadelphia Electric, 5.625% due
11/1/01................................. 294,000
410,000 BB- Rouse Co., 8.000% due 4/30/09............ 395,650
75,000 BBB+ Union Oil Co. of California, 6.700% due
10/15/07................................ 71,156
430,000 A+ Vulcan Materials Co., 5.750% due 4/1/04.. 417,100
- -------------------------------------------------------------------------------
2,021,223
- -------------------------------------------------------------------------------
Services -- 0.3%
265,000 BBB+ ERP Operating LP, 7.100% due 6/23/04..... 260,031
- -------------------------------------------------------------------------------
Telephone -- 0.2%
240,000 BBB Metronet Communications Corp., step bond
to yield 9.950% due 6/15/08............. 183,640
- -------------------------------------------------------------------------------
Transportation --
1.2%
855,000 BBB Greyhound Lines Inc., 11.500% due
4/15/07................................. 966,150
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$8,952,865)............................ 8,740,836
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
ASSET-BACKED SECURITIES -- 4.3%
225,000 American Express Master Trust, 5.388% due
8/15/02................................. 225,000
AT&T Universal Card Master Trust:
240,000 5.435% due 4/17/03...................... 239,904
225,000 5.255% due 9/17/03...................... 225,203
250,000 BA Master Credit Card Trust, 5.399% due
8/15/03................................. 249,850
225,000 Chase Credit Card Master Trust, 5.528%
due 5/15/02............................. 225,990
103,727 Countrywide Home Equity Loan Trust,
5.458% due 3/15/24...................... 103,176
225,000 Discover Card Master Trust I, 5.338% due
4/16/03................................. 225,000
225,000 First Chicago Master Trust II, 5.548% due
10/15/03................................ 225,633
225,000 First Union Master Credit Card Trust,
5.438% due 9/15/03...................... 225,202
225,000 First USA Credit Card Master Trust,
5.4287% due 11/15/03.................... 225,652
255,000 Fleet Credit Card Master Trust, 5.4588%
due 8/1/03.............................. 255,332
228,723 Green Tree Home Equity Loan Trust, 5.537%
due 2/15/29............................. 227,329
220,000 Household Affinity Credit Card Master
Trust, 5.4188% due 2/15/02.............. 220,132
225,000 MBNA Master Credit Card Trust, 5.5225%
due 11/15/02............................ 224,345
250,000 People's Bank Credit Card Master Trust,
5.418% due 11/15/04..................... 250,196
225,000 Providian Master Trust, 5.378% due
12/15/05................................ 224,995
- -------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES (Cost --
$3,575,240)............................ 3,572,939
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
Schedules of Investments (continued) August 31, 1999
Balanced Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C> <C>
MORTGAGE-BACKED SECURITIES -- 10.9%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 1.0%
$ 165,000 FHLMC, 6.500% due 8/13/27.......................... $ 156,233
665,000 FHLMC Gold, 6.000% due 6/1/12...................... 633,412
- --------------------------------------------------------------------------------
789,645
- --------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 7.3%
1,750,000 FNMA, 6.500% due 11/2/13 - 11/15/28++.............. 1,668,437
2,700,645 FNMA, 7.000% due 10/1/28 - 12/15/28++.............. 2,621,300
850,000 FNMA, 7.500% due 12/1/29........................... 843,888
950,000 FNMA, 6.000% due 8/1/09 - 9/1/30++................. 899,919
- --------------------------------------------------------------------------------
6,033,544
- --------------------------------------------------------------------------------
Government National Mortgage Association (GNMA) -- 2.6%
519,122 GNMA, 7.000% due 7/15/28 - 2/22/29................. 503,013
1,636,393 GNMA, 7.500% due 1/15/28 - 4/15/29................. 1,621,878
- --------------------------------------------------------------------------------
2,124,891
- --------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$9,018,832)...................................... 8,948,080
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 3.1%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 1.5%
1,190,000 FHLMC, Discount Note, 5.090% due 9/17/99........... 1,187,550
- --------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 1.6%
1,350,000 FNMA, 5.220% due 9/17/99........................... 1,346,970
- --------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost -- $2,534,521)........ 2,534,520
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 6.0%
4,968,000 Morgan Stanley Dean Witter & Co., 5.400% due
9/1/99; Proceeds at maturity -- $4,968,745;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 6.375% to 6.625% due 4/30/02 to 8/15/27;
Market value -- $5,103,629) (Cost -- $4,968,000)... 4,968,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $79,259,952**).. $82,261,896
- --------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service, except those
identified by an asterisk (*), which are rated by Moody's Investors
Service, Inc.
+ All or a portion of this security is on loan (See Note 12).
++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 146 for definition of ratings.
[CHART]
Classification of Investments
Asset-Backed Securities 4.3%
Commercial Paper 3.1%
Common Stock 54.3%
Corporate Bonds & Notes 10.6%
Repurchase Agreement 6.0%
U.S. Treasury Obligations 10.8%
Mortgage-Backed Securities 10.9%
See Notes to Financial Statements.
26
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
STOCK -- 98.1%
- --------------------------------------------------------------------------------
Business Equipment & Services -- 1.8%
241,000 Compuware Corp.+..................................... $ 7,275,188
184 Convergys Corp.*..................................... 3,795
158,530 Deluxe Corp.......................................... 5,399,928
3,078 Diebold, Inc......................................... 81,951
649 Dow Jones & Co., Inc................................. 32,612
1,043 DST Systems, Inc.*................................... 69,359
7,435 The Dun & Bradstreet Corp............................ 194,705
158,023 Electronic Data Systems Corp......................... 8,869,040
90,354 First Data Corp...................................... 3,975,576
3,374 Fluor Corp........................................... 139,599
6,341 IKON Office Solutions, Inc........................... 70,544
2,695 Modis Professional Services, Inc.*................... 42,614
197 National Data Corp................................... 7,535
1,764 National Service Industries, Inc..................... 56,448
169,757 Office Depot, Inc.*.................................. 1,771,839
98,500 Pitney Bowes, Inc.................................... 5,811,500
23,088 Prologis Trust....................................... 453,102
3,293 Reynolds & Reynolds Co., Class A Shares.............. 72,035
2,741 Steelcase Inc........................................ 39,915
1,522 Tech Data Corp.*..................................... 56,409
609 United Rentals, Inc.*................................ 14,883
1,579 Viad Corp............................................ 47,271
3,308 W.W. Grainger, Inc................................... 144,105
- --------------------------------------------------------------------------------
34,629,953
- --------------------------------------------------------------------------------
Capital Goods -- 3.5%
4,619 Autoliv, Inc......................................... 160,221
1,518 Avnet, Inc........................................... 67,172
115,988 The Boeing Co........................................ 5,255,706
31,020 Borg-Warner Automotive, Inc.......................... 1,469,572
3,297 Case Corp............................................ 162,790
15,987 Caterpillar Inc...................................... 905,263
2,162 Cooper Cameron Corp.*................................ 89,994
3,645 Cooper Industries Inc................................ 189,084
92,272 Crane Co.+........................................... 2,220,296
1,820 Cummins Engine Co., Inc.............................. 107,835
10,508 Deere & Co........................................... 408,498
314,367 Delphi Automotive Systems Corp....................... 5,894,382
19,491 Emerson Electric Co.................................. 1,220,623
3,137 Federal-Mogul Corp................................... 143,125
145 Howmet International Inc.*........................... 2,592
168,124 Ingersoll-Rand Co.................................... 10,696,889
78,466 Johnson Controls Inc................................. 5,365,113
22,104 Lafarge Corp......................................... 607,860
8,843 Leggett & Platt, Inc................................. 195,651
62,015 Martin Marietta Materials, Inc....................... 2,829,434
2,625 Meritor Automotive Inc............................... 57,257
153,959 Navistar International Corp.*........................ 7,486,256
3,075 Northrop Grumman Corp................................ 222,937
98,195 Paccar Inc........................................... 5,412,999
7,828 PPG Industries Inc................................... 470,170
6,898 Rockwell International Corp.......................... 407,844
80,766 SPX Corp.*........................................... 6,844,919
1,518 Teleflex Inc......................................... 70,587
55,546 USG Corp............................................. 2,721,754
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Capital Goods -- 3.5% (continued)
259,670 Waste Management, Inc............................... $ 5,664,052
21,722 York International Corp............................. 893,317
- -------------------------------------------------------------------------------
68,244,192
- -------------------------------------------------------------------------------
Consumer Durables -- 3.7%
3,168 American Standard Co.*.............................. 129,888
9,936 AutoNation, Inc.*................................... 128,547
381 Avery Dennison Corp................................. 20,908
46,307 Ball Corp........................................... 2,080,920
94,663 The B.F. Goodrich Co................................ 3,496,614
32,368 The Black & Decker Corp............................. 1,703,366
1,008 Briggs & Stratton Corp.............................. 61,362
5,482 Crown Cork & Seal Co., Inc.......................... 145,615
82,601 Dana Corp........................................... 3,598,306
57,439 Eaton Corp.......................................... 5,629,022
583,549 Ford Motor Co....................................... 30,417,492
141,605 General Motors Corp................................. 9,363,631
8,054 Genuine Parts Co.................................... 232,559
7,037 The Goodyear Tire & Rubber Co....................... 394,951
2,573 HON Industries Inc.................................. 60,626
5,655 Honeywell Inc....................................... 641,842
31,852 ITT Industries, Inc................................. 1,076,995
81,008 Koninklijke Philips Electronics ADR................. 8,328,635
1,546 Lancaster Colony Corp............................... 50,824
2,982 Lear Corp.*......................................... 119,839
387 Maytag Corp......................................... 24,235
2,341 Molex Inc........................................... 75,058
10,942 Newell Rubbermaid Inc............................... 448,622
7,022 Owens - Illinois, Inc.*............................. 173,794
5,523 Shaw Industries Inc................................. 110,460
2,933 Snap-on Inc......................................... 99,172
3,060 Stanley Works....................................... 80,707
25,917 Tecumseh Products Co., Class A Shares............... 1,477,269
28,364 Whirlpool Corp...................................... 2,004,980
- -------------------------------------------------------------------------------
72,176,239
- -------------------------------------------------------------------------------
Consumer Non-Durables -- 6.0%
290 Adelphia Communications Corp., Class A Shares*...... 17,980
26,572 Adolph Coors Co., Class B Shares.................... 1,516,264
2,819 American Greetings Corp., Class A Shares............ 78,051
95,421 Anheuser-Busch Co., Inc............................. 7,347,417
27,691 Archer-Daniels-Midland Co........................... 359,977
24,620 Avon Products, Inc.................................. 1,080,202
5,947 Bestfoods........................................... 292,146
2,154 Brown-Forman Corp., Class B Shares.................. 127,624
6,650 Campbell Soup Co.................................... 293,846
702 Chris Craft Industries, Inc.*....................... 35,538
121,935 ConAgra Inc......................................... 2,987,407
3,015 Cooper Tire & Rubber Co............................. 57,285
1,703 Dean Foods Co....................................... 68,545
2,116 Dole Food Inc....................................... 53,296
164,942 Eastman Kodak Co.................................... 12,112,928
100,481 Flowers Industries Inc.............................. 1,588,855
36,961 Fort James Corp..................................... 1,191,992
57,752 Fortune Brands Inc.................................. 2,165,700
62,566 Gannett Co., Inc.................................... 4,250,577
102,740 General Mills Inc.+................................. 8,604,475
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Non-Durables -- 6.0% (continued)
68,151 H.J. Heinz & Co...................................... $ 3,181,799
1,457 Hannaford Brothers Co................................ 104,539
9,308 Harcourt General Inc................................. 407,806
117,690 Harrah's Entertainment Inc.*......................... 2,648,025
1,557 Harte-Hanks, Inc..................................... 34,935
254,985 Hasbro Inc........................................... 6,231,195
3,719 Hershey Foods Corp................................... 199,198
352 Hollinger International Inc.......................... 3,784
51,889 Hormel Foods Corp.................................... 2,088,532
23,265 IBP, Inc............................................. 533,640
4,780 International Flavors & Fragrances Inc............... 194,785
1,746 Interstate Bakeries Corp............................. 41,794
5,453 Kellogg Co........................................... 193,922
120,527 Kimberly-Clark Corp.................................. 6,862,506
2,764 Liz Claiborne, Inc................................... 101,577
300,208 Mattel, Inc.......................................... 6,398,183
3,186 McCormick & Co., Inc................................. 101,952
800 Media General, Inc................................... 39,200
40,069 Minnesota Mining and Manufacturing Co................ 3,786,520
51,925 Mohawk Industries, Inc.*............................. 1,174,803
14,550 Nabisco Holdings Corp................................ 258,262
2,308 Nabisco Holdings Corp., Class A Shares............... 90,733
123,900 Nike, Inc., Class B Shares+.......................... 5,730,370
21,585 Payless ShoeSource, Inc.*............................ 1,076,551
428,562 Philip Morris Cos. Inc............................... 16,044,289
2,760 Premark International Inc............................ 91,770
3,928 PRIMEDIA Inc.*....................................... 54,255
89,653 The Quaker Oats Co................................... 5,989,941
3,318 R.J. Reynolds Tobacco Holdings, Inc.................. 91,039
11,547 Ralston-Ralston Purina Group......................... 317,542
4,938 RPM Inc.............................................. 65,737
3,565 Sara Lee Corp........................................ 79,098
90,749 SUPERVALU, INC.+..................................... 2,041,852
939 Sylvan Learning Systems, Inc.*....................... 18,662
1,148 Tootsie Roll Industries Inc.......................... 39,247
5,712 Tyson Foods Inc., Class A Shares..................... 91,749
1,628 U.S. Foodservice*.................................... 33,882
54,779 UST Inc.+............................................ 1,735,809
1,239 The Valspar Corp..................................... 44,991
140,184 VF Corp.............................................. 5,046,624
2,291 The Warnaco Group, Inc............................... 50,402
678 Weis Markets, Inc.................................... 24,026
4,165 Whitman Corp......................................... 69,503
1,405 Wm. Wrigley Jr. Co................................... 110,029
- --------------------------------------------------------------------------------
117,755,163
- --------------------------------------------------------------------------------
Consumer Services -- 3.9%
942 ACNielsen Corp.*..................................... 23,550
2,289 Allied Waste Industries, Inc.*....................... 29,184
2,729 American Tower Corp., Class A Shares*................ 62,084
6,413 AMFM Inc.*........................................... 315,840
1,549 Armstrong World Industries, Inc...................... 75,223
2,948 Brinker International Inc.*.......................... 70,752
4,173 Brunswick Corp....................................... 106,672
232,081 CBS Corp.*+.......................................... 10,907,807
314,895 Cendant Corp.*+...................................... 5,648,429
257 Central Newspapers, Inc., Class A Shares............. 10,874
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Services -- 3.9% (continued)
2,348 Circuit City Stores-Circuit City Group............... $ 100,964
74,000 Comcast Corp., Class A Shares........................ 2,414,250
105,980 Darden Restaurants Inc............................... 1,655,937
1,143 E.W. Scripps Co., Class A Shares..................... 54,864
526 Hearst-Argyle Television, Inc.*...................... 13,314
300,549 Host Marriott Corp................................... 2,780,078
666 Houghton Mifflin Co.................................. 31,801
4,273 International Game Technology........................ 74,777
2,609 King World Productions, Inc.*........................ 99,468
80,505 Knight-Ridder, Inc.+................................. 4,342,238
99 Lamar Advertising Co.*............................... 4,133
3,269 Manpower Inc......................................... 88,263
818 McClatchy Newspapers, Inc., Class A Shares........... 28,272
31,256 McDonald's Corp...................................... 1,293,217
88,013 The McGraw-Hill Cos., Inc............................ 4,549,171
913 Meredith Corp........................................ 31,669
135,126 The New York Times Co., Class A Shares............... 5,278,359
276,300 News Corp Ltd. ADR+.................................. 7,304,681
852 Nielson Media Research, Inc.*........................ 31,257
364 Outback Steakhouse, Inc.*............................ 10,783
30,458 Premier Parks Inc.*+................................. 997,499
4,281 R.R. Donnelley & Sons Co............................. 134,316
2,203 The Reader's Digest Association Inc.................. 68,843
111,156 Republic Services, Inc.*............................. 1,208,821
2,545 Safety-Kleen Corp.*.................................. 32,448
77,568 The ServiceMaster Co................................. 1,279,872
554 SFX Entertainment, Inc.*............................. 22,797
146 StarMedia Network, Inc.*............................. 5,648
366 Time Warner Telecom Inc.*............................ 9,882
517 Times Mirror Co., Class A Shares..................... 29,856
4,155 Tribune Co........................................... 387,713
142,250 Tricon Global Restaurants, Inc.*..................... 5,778,906
1,957 USA Networks, Inc.*.................................. 87,820
131,979 Viacom Inc., Class B Shares*......................... 5,551,366
468,381 The Walt Disney Co................................... 12,997,572
169 Washington Post Co., Class B Shares.................. 91,091
4,889 Wendy's International, Inc........................... 136,892
- --------------------------------------------------------------------------------
76,259,253
- --------------------------------------------------------------------------------
Energy -- 10.9%
3,499 Amerada Hess Corp. .................................. 217,156
53,693 Anadarko Petroleum Corp.............................. 1,825,562
2,709 Apache Corp.......................................... 123,259
3,312 Ashland Inc.......................................... 127,719
114,501 Atlantic Richfield Co................................ 10,068,931
12,276 Baker Hughes Inc..................................... 417,384
2,664 BJ Services Co.*..................................... 91,242
7,968 Burlington Resources Inc............................. 333,162
25,331 Calpine Corp.*....................................... 2,295,621
262,817 Chevron Corp......................................... 24,244,868
648,835 Conoco Inc........................................... 17,437,441
13,445 Conoco Inc., Class A Shares+......................... 359,653
4,338 Consolidated Natural Gas Co.......................... 276,276
662 Devon Energy Corp.................................... 25,569
2,126 Diamond Offshore Drilling, Inc....................... 81,319
1,310 Dynegy, Inc.......................................... 30,785
105,075 El Paso Energy Corp.+................................ 3,841,804
</TABLE>
30
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Energy -- 10.9% (continued)
19,900 Elf Aquitaine Sponsored ADR.......................... $ 1,752,443
3,154 Enron Oil & Gas Co................................... 75,301
4,491 ENSCO International, Inc............................. 95,714
668,863 Exxon Corp........................................... 52,756,569
6,175 Global Marine Inc.*.................................. 109,606
9,496 Halliburton Co....................................... 440,377
2,828 K N Energy, Inc...................................... 57,620
3,911 Kerr McGee Corp...................................... 219,016
27,772 MidAmerican Energy Holdings Co....................... 794,973
416,072 Mobil Corp........................................... 42,595,371
1,941 Murphy Oil Corp...................................... 98,505
2,732 Nabors Industries, Inc.*............................. 73,764
1,667 National Fuel Gas Co................................. 78,453
2,118 Noble Affiliates, Inc................................ 65,658
3,391 Noble Drilling Corp.*................................ 83,503
582 NOVA Corp.*.......................................... 15,132
15,630 Occidental Petroleum Corp............................ 338,975
7,549 Ocean Energy Inc.*................................... 76,433
17,141 PG&E Corp............................................ 519,586
9,386 Phillips Petroleum Co................................ 478,686
3,770 Questar Corp......................................... 71,158
4,287 R&B Falcon Corp.*.................................... 55,195
3,219 Rowan Cos. Inc.*..................................... 59,953
7,669 Santa Fe Snyder Corp.*............................... 74,772
45,200 Schlumberger Ltd..................................... 3,017,100
1,410 Smith International, Inc.*........................... 65,829
45,806 Sunoco Inc.+......................................... 1,491,557
79,542 Tenneco Inc.......................................... 1,600,782
228,951 Texaco Inc........................................... 14,538,388
45,000 Tidewater, Inc....................................... 1,462,500
244,881 Tosco Corp........................................... 6,244,465
52,500 Transocean Offshore, Inc............................. 1,785,000
84,238 Ultramar Diamond Shamrock Corp....................... 2,200,717
11,290 Union Pacific Resources Group Inc. .................. 202,514
146,931 Unocal Corp.......................................... 6,152,735
281,203 USX-Marathon Group, Inc.............................. 8,752,443
3,790 Weatherford International, Inc.*..................... 135,018
85,793 The Williams Cos., Inc............................... 3,538,961
- --------------------------------------------------------------------------------
213,972,523
- --------------------------------------------------------------------------------
Financial Services -- 25.9%
3,985 20th Century Industries.............................. 74,718
9,883 AFLAC INC............................................ 444,117
127,395 AG Edwards, Inc...................................... 3,200,799
7,938 Allegheny Teledyne Inc............................... 148,341
62,050 Allmerica Financial Corp............................. 3,505,825
343,501 Allstate Corp........................................ 11,271,126
54,720 Ambac Financial Group, Inc........................... 2,889,900
8,449 American Express Co.................................. 1,161,737
1,750 American Financial Group, Inc........................ 51,625
160,986 American General Corp................................ 11,430,006
467,491 American International Group, Inc.................... 43,330,572
443 American National Insurance Co....................... 31,010
7,912 AmSouth Bancorp...................................... 173,075
62,626 Aon Corp............................................. 2,090,142
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Financial Services -- 25.9% (continued)
2,837 Associated Banc-Corp................................. $ 100,004
52,385 Associated First Capital Corp........................ 1,797,460
2,485 Astoria Financial Corp............................... 81,694
140,973 Bank of New York+.................................... 5,039,784
446,524 Bank One Corp........................................ 17,916,775
828,734 BankAmerica Corp..................................... 50,138,407
417,226 BankBoston Corp...................................... 19,374,932
13,938 BB&T Corp............................................ 466,923
83,150 Bear Stearns Cos. Inc................................ 3,461,118
26,735 CCB Financial Corp................................... 1,263,228
1,330 Centura Banks, Inc................................... 61,595
7,461 Charter One Financial, Inc........................... 174,634
536,737 Chase Manhattan Corp................................. 44,918,177
64,269 Chubb Corp........................................... 3,675,383
7,014 Cincinnati Financial Corp............................ 277,929
1,696 The CIT Group, Inc................................... 40,386
151,234 Citigroup, Inc....................................... 6,720,460
26,702 City National Corp................................... 886,172
739 CNA Financial Corp.*................................. 26,881
1,326 CNB Bancshares, Inc.................................. 75,747
4,388 Colonial Bancgroup Inc............................... 54,301
72,191 Comerica, Inc. ...................................... 3,758,443
35,800 Commerce Bancshares Inc.............................. 1,322,362
2,691 Commercial Federal Corp.............................. 62,565
81,672 Compass Bancshares, Inc.............................. 2,169,412
181,765 Conseco, Inc......................................... 4,362,360
90,362 Countrywide Credit Industries, Inc................... 2,902,879
2,367 Cullen Frost Bankers Inc............................. 61,837
55,009 Dime Bancorp, Inc.................................... 1,010,790
697 DLJdirect*........................................... 11,892
66,846 Donaldson, Lufkin & Jenrette, Inc.................... 3,196,074
118,092 Equitable Cos., Inc.................................. 7,292,181
2,991 Erie Indemnity Co.................................... 80,757
124,995 Everest Reinsurance Holdings, Inc.................... 3,468,611
46,735 Federal Home Loan Mortgage Corp...................... 2,406,852
443,082 Federal National Mortgage Association................ 27,526,469
2,241 Fifth Third Bancorp.................................. 148,466
839 Financial Security Assurance Holdings, Ltd........... 42,002
17,570 The FINOVA Group Inc................................. 667,660
5,231 First American Corp.................................. 209,893
8,906 First Security Corp.................................. 193,148
5,465 First Tennessee National Corp........................ 174,880
291,061 First Union Corp..................................... 12,079,031
2,164 First Virginia Banks, Inc............................ 95,757
4,995 Firstar Corp......................................... 133,928
3,735 FirstMerit Corp...................................... 98,160
296,829 Fleet Financial Group Inc.+.......................... 11,817,504
2,567 Franchise Financial Corp............................. 55,671
3,349 Franklin Resources Inc............................... 120,354
2,611 Fremont General Corp................................. 25,946
3,088 Fulton Financial Corp................................ 59,251
3,211 Golden State Bancorp, Inc.*.......................... 64,420
34,792 Golden West Financial Corp.+......................... 3,159,548
60,894 Goldman Sachs Group, Inc............................. 3,642,222
143,974 Greenpoint Financial Corp............................ 3,725,327
3,370 H&R Block, Inc....................................... 187,456
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Financial Services -- 25.9% (continued)
137,062 Hartford Financial Services, Inc..................... $ 6,227,754
26,060 Hartford Life, Inc., Class A Shares.................. 1,131,981
52,777 Heller Financial Inc................................. 1,207,273
7,161 Hibernia Corp., Class A Shares....................... 92,645
19,100 Household International, Inc......................... 721,025
9,169 Huntington Bancshares................................ 274,496
44,450 J.P. Morgan & Co. Inc................................ 5,742,384
4,775 Jefferson Pilot...................................... 318,731
20,097 KeyCorp.............................................. 582,813
2,204 Keystone Financial Inc............................... 58,543
2,510 Legg Mason Inc....................................... 95,850
45,657 Lehman Brothers Holdings Inc......................... 2,454,063
32,850 Liberty Financial Cos., Inc.......................... 845,887
176,942 Lincoln National Corp................................ 8,294,156
41,325 Loews Corp........................................... 3,244,012
346 M&T Bank Corp........................................ 160,544
120,777 Marsh & McLennan Cos, Inc............................ 8,794,075
4,178 Marshall & Ilsley Corp............................... 244,674
4,508 MBIA Inc............................................. 233,852
187,538 Mellon Bank Corp..................................... 6,259,080
7,108 Mercantile Bancorp Inc............................... 392,272
3,103 Mercantile Bankshares Corp........................... 101,623
1,262 Mercury General Corp................................. 38,175
147,389 Merrill Lynch & Co. Inc. ............................ 10,998,904
4,882 MGIC Investment Corp................................. 212,061
292,972 Morgan Stanley Dean Witter & Co...................... 25,140,659
329,840 National City Corp................................... 9,111,830
215 National Commerce Bancorporation..................... 4,555
21,027 Nationwide Financial Services, Inc................... 767,485
54,593 North Fork Bancorporation, Inc....................... 989,498
43,395 Northern Trust Corp.................................. 3,680,438
57,135 Old Kent Financial Corp.............................. 2,256,832
2,062 Old National Bancorp................................. 61,860
5,895 Old Republic International Corp...................... 91,372
3,578 Pacific Century Financial Corp....................... 66,416
82,497 PaineWebber Group, Inc............................... 3,238,007
1,166 Peoples Bank Bridgeport.............................. 30,607
4,695 Peoples Heritage Financial Group, Inc................ 78,934
1,418 The PMI Group Inc.................................... 60,265
13,548 PNC Bank Corp........................................ 708,729
155,261 Popular, Inc......................................... 4,279,381
1,836 The Progressive Corp................................. 187,272
2,327 Protective Life Corp................................. 69,228
25,800 Provident Financial Group Inc........................ 1,080,375
10,098 Regions Financial Corp............................... 356,585
645 Reinsurance Group of America, Inc.................... 20,640
3,724 Reliastar Financial Corp............................. 167,812
3,298 Republic of New York Corp............................ 228,798
3,511 Roslyn Bancorp Inc................................... 59,687
6,086 SAFECO Corp.......................................... 216,813
97,374 SouthTrust Corp...................................... 3,438,519
8,311 Sovereign Bancorp., Inc.............................. 83,369
104,825 St. Paul Cos......................................... 3,360,951
4,022 State Street Corp.................................... 240,817
7,725 Summit Bancorp....................................... 257,821
103,778 Suntrust Banks Inc................................... 6,674,222
</TABLE>
33
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Financial Services -- 25.9% (continued)
5,033 Synovus Financial Corp.............................. $ 94,997
3,740 TCF Financial Corp.................................. 105,655
6,058 Torchmark Corp...................................... 172,653
766 Transatlantic Holdings, Inc......................... 55,247
2,829 Travelers Property Casualty Corp.................... 100,429
47,873 Trustmark Corp...................................... 1,104,071
280,704 U.S. Bancorp+....................................... 8,666,736
6,355 Union Planters Corp................................. 268,101
83,976 Unionbancal Corp.................................... 3,222,579
2,175 Unitrin Inc......................................... 78,164
2,807 Valley National Bancorp............................. 72,982
63,478 Wachovia Corp....................................... 4,975,088
191,515 Washington Mutual, Inc.............................. 6,080,601
609,213 Wells Fargo Co.+.................................... 24,254,292
50 Wesco Financial Corp................................ 14,500
1,654 Westamerica Bancorporation.......................... 52,824
1,445 Wilmington Trust Corp............................... 72,250
1,741 Zions Bancorp....................................... 86,614
- -------------------------------------------------------------------------------
507,903,524
- -------------------------------------------------------------------------------
Health Care -- 4.8%
260,878 Abbott Laboratories+................................ 11,315,583
91,610 AETNA, Inc.+........................................ 7,122,677
1,512 Alberto Culver Co., Class B Shares.................. 38,461
121,813 American Home Products Corp......................... 5,055,239
22,869 Avalonbay Communities, Inc.......................... 806,132
36,026 Bausch & Lomb Inc.+................................. 2,379,967
88,345 Baxter International Inc............................ 5,937,632
3,505 Becton, Dickinson & Co.............................. 98,578
72,150 Bergen Brunswig Corp., Class A Shares............... 1,113,815
76,849 Bristol-Myers Squibb Co............................. 5,408,248
32,333 C.R. Bard, Inc...................................... 1,507,526
38,595 Cardinal Health, Inc................................ 2,460,431
148,398 CIGNA Corp.......................................... 13,327,995
321,303 Columbia/HCA Healthcare Corp.+...................... 7,912,086
1,708 DENTSPLY International Inc.......................... 42,379
4,422 Foundation Health Systems Inc., Class A Shares*..... 56,380
42,492 Genzyme Corp. - General Division*................... 2,398,142
7,160 Genzyme Surgical Products*.......................... 46,540
2,852 HCR Manor Care, Inc.*............................... 55,792
1,214 Health Managment Associates, Inc.*.................. 9,712
16,401 HEALTHSOUTH Corp.*.................................. 134,283
2,208 Hillenbrand Industries, Inc......................... 62,928
7,139 Humana, Inc.*....................................... 64,697
298 ICN Pharmaceutical, Inc............................. 6,183
7,449 Johnson & Johnson................................... 761,660
915 Lincare Holdings Inc.*.............................. 24,133
3,179 Mallinckrodt Inc.................................... 101,926
60,645 McKesson HBOC, Inc.+................................ 1,887,575
7,286 Merck & Co., Inc.................................... 489,528
966 Mylan Laboratories Inc.............................. 19,138
2,362 Omnicare, Inc....................................... 22,734
39,412 PacifiCare Health Systems, Inc.*.................... 2,364,720
168,429 Pharmacia & Upjohn Inc.............................. 8,800,415
12,247 Service Corp........................................ 169,161
183 Shared Medical Systems Corp......................... 10,282
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Health Care -- 4.8% (continued)
4,548 Sigma Aldrich Corp.................................. $ 146,673
2,676 St. Jude Medical, Inc.*............................. 97,005
3,058 Stewart Enterprises, Inc............................ 16,532
231,912 Tenet Healthcare Corp.*............................. 4,043,965
1,827 Trigon Healthcare, Inc.*............................ 66,342
6,368 United HealthCare Corp.............................. 387,254
762 Universal Health Services Inc., Class B Shares*..... 25,431
9,315 UnumProvident Corp.................................. 335,931
40,195 Warner-Lambert Co................................... 2,662,918
290 Watson Pharmaceuticals, Inc.*....................... 10,403
53,525 Wellpoint Health Networks Inc.*..................... 3,900,634
- -------------------------------------------------------------------------------
93,705,766
- -------------------------------------------------------------------------------
Multi-Industry -- 0.7%
90,614 AlliedSignal Inc.+.................................. 5,550,107
2,072 Bemis, Inc.......................................... 78,606
9,525 Dover Corp.......................................... 368,498
24,191 FMC Corp.*.......................................... 1,409,125
1,828 Illinois Tool Works Inc............................. 142,469
5,583 Pall Corp........................................... 110,962
19,844 Pentair, Inc........................................ 902,902
4,599 Sonoco Products Co.................................. 109,226
62,001 Textron, Inc........................................ 5,006,580
2,555 Thomas & Betts Corp................................. 114,975
- -------------------------------------------------------------------------------
13,793,450
- -------------------------------------------------------------------------------
Raw Materials -- 3.6%
9,551 Air Products and Chemicals, Inc..................... 324,734
91,685 AK Steel Holding Corp............................... 1,925,385
176,244 Alcoa, Inc.......................................... 11,378,753
2,332 Bowater, Inc........................................ 125,053
30,634 Cabot Corp.......................................... 706,496
4,332 Champion International Corp......................... 238,260
2,539 Consolidated Papers, Inc............................ 67,600
146,027 Dow Chemical Corp.+................................. 16,592,317
219,607 E.I. du Pont de Nemours & Co.+...................... 13,931,315
3,476 Eastman Chemical Co................................. 161,416
44,270 Engelhard Corp...................................... 882,633
2,334 Great Lakes Chemical Corp........................... 96,131
49,726 Hercules Inc........................................ 1,619,202
10,433 Homestake Mining Co................................. 88,680
175,006 IMC Global Inc...................................... 2,789,158
22,499 Lubrizol Corp....................................... 570,912
3,187 Lyondell Petrochemical Co........................... 46,410
4,602 Mead Corp........................................... 171,712
3,463 Millennium Chemicals Inc............................ 79,649
2,839 Nalco Chemical Co................................... 145,853
7,528 Newmont Mining Corp................................. 153,853
53,869 Nucor Corp.......................................... 2,508,275
2,602 Phelps Dodge Corp................................... 145,549
7,102 Praxair, Inc........................................ 333,794
2,697 Reynolds Metals Co.................................. 170,753
74,370 Rohm & Haas Co...................................... 2,779,578
5,168 Smurfit-Stone Container Corp.*...................... 109,497
105,023 Solutia, Inc........................................ 2,100,460
1,671 Southdown, Inc...................................... 84,385
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Raw Materials -- 3.6% (continued)
1,157 The St. Joe Paper Co................................. $ 27,044
36,701 Union Carbide Corp................................... 2,087,369
76,915 USX-U.S. Steel Group, Inc.+.......................... 2,076,705
127,847 Vulcan Materials Co.+................................ 5,449,478
3,869 Westvaco Corp........................................ 101,319
- --------------------------------------------------------------------------------
70,069,728
- --------------------------------------------------------------------------------
Retail -- 2.6%
7 Abercrombie & Fitch Co., Class A Shares*............. 258
160,438 Albertson's, Inc..................................... 7,690,996
4,733 AutoZone, Inc.*...................................... 112,704
1,274 Barnes & Noble, Inc.*................................ 30,177
2,661 BJ's Wholesale Club, Inc.*........................... 75,173
278 Claire's Stores, Inc................................. 5,229
2,763 Consolidated Stores Corp.*........................... 44,553
92,455 Costco Wholesale Cos.*+.............................. 6,911,011
88,465 Dayton Hudson Corp................................... 5,130,970
4,640 Dillard's, Inc., Class A Shares...................... 109,040
95 eToys Inc.*.......................................... 4,132
301,157 Federated Department Stores, Inc.*+.................. 13,853,222
15,928 Food Lion Inc., Class B Shares....................... 128,419
10,419 J.C. Penney Co....................................... 377,688
135,182 Kmart Corp.*+........................................ 1,698,223
71,000 Kroger Co.*.......................................... 1,641,875
81,425 The Limited, Inc..................................... 3,083,971
1,328 Longs Drug Stores Corp............................... 41,749
14,987 May Department Stores Co............................. 585,429
400 Neiman Marcus Group, Inc.*........................... 8,900
29,007 Nordstrom, Inc....................................... 821,260
4,885 Parker-Hannifin Corp................................. 213,718
2,185 Polo Ralph Lauren Corp.*............................. 42,334
11,576 Rite Aid Corp........................................ 214,156
1,055 Ross Stores, Inc..................................... 43,914
4,366 Saks Inc.*........................................... 73,403
15,441 Sears, Roebuck & Co.................................. 579,037
2,391 SYSCO Corp........................................... 78,006
53,400 Tandy Corp........................................... 2,523,150
312 Ticketmaster Online-CitySearch, Inc.*................ 7,995
160 Tiffany & Co......................................... 8,460
998 Too Inc.*............................................ 17,529
241,442 Toys "R" Us, Inc.*................................... 3,334,917
207,157 Venator Group Inc.*.................................. 1,475,993
4,071 Winn-Dixie Stores, Inc............................... 138,414
1,313 Zale Corp.*.......................................... 45,544
- --------------------------------------------------------------------------------
51,151,549
- --------------------------------------------------------------------------------
Shelter -- 3.2%
210,875 Abitibi-Consolidated Inc............................. 2,599,140
33,377 Amb Property LP...................................... 717,605
2,763 Apartment Investment & Management Co................. 113,283
3,988 Archstone Communities Trust.......................... 85,243
2,459 Arden Realty, Inc.................................... 57,325
62,338 Boise Cascade Corp................................... 2,267,544
1,319 Carlisle Cos. Inc.................................... 52,760
3,200 CarrAmerica Realty Corp.............................. 73,600
2,009 Catellus Development Corp.*.......................... 27,498
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Shelter -- 3.2% (continued)
173,157 Centex Corp........................................ $ 4,870,040
4,470 Clayton Homes, Inc................................. 42,465
3,805 Cornerstone Properties Inc......................... 60,642
40,810 Crescent Real Estate Equities Co................... 846,807
5,244 Duke Weeks Realty Corp............................. 117,662
75,533 Equity Office Properties Trust..................... 1,930,812
35,276 Equity Residential Properties Trust................ 1,552,144
2,655 Felcor Lodging Trust, Inc.......................... 47,624
2,284 General Growth Properties, Inc..................... 75,943
215,313 Georgia-Pacific Corp.+............................. 8,908,575
3,931 Georgia-Pacific Corp. (Timber Group)............... 94,589
2,762 Highwoods Properties Inc........................... 68,532
189,782 HRPT Properties Trust.............................. 2,633,225
70,416 International Paper Co............................. 3,313,953
1 Interstate Hotels Corp.*........................... 3
41,490 Johns Manville Corp................................ 596,418
2,033 Kimco Realty Corp.................................. 75,729
32,932 Liberty Property Trust............................. 806,834
154,835 Louisiana Pacific Corp............................. 2,864,447
2,618 Mack-Cali Realty Corp.............................. 74,285
3,192 Mandalay Resort Group*............................. 65,436
5,028 Marriott International Co.......................... 172,209
362,332 Masco Corp......................................... 10,258,524
652 Metro-Goldwyn-Mayer Inc.*.......................... 13,040
846 MGM Grand, Inc.*................................... 41,559
8,276 Mirage Resorts Inc.*............................... 108,105
3,967 New Plan Excel Realty Trust........................ 75,125
2,253 Owens Corning...................................... 63,365
1,649 Post Properties Inc................................ 67,402
5,238 Prison Realty Trust, Inc........................... 68,421
3,104 Promus Hotel Corp.*................................ 90,210
3,882 Public Storage Inc................................. 100,932
3,221 The Rouse Co....................................... 73,277
6,478 Sherwin-Williams Co................................ 157,901
25,536 Simon Property Group, Inc. ........................ 651,168
520 Sodexho Marriott Services, Inc.*................... 7,345
2,679 Spieker Properties, Inc. .......................... 102,471
265,100 Starwood Hotels & Resorts Worldwide, Inc........... 6,312,693
27,658 Temple-Inland Inc.................................. 1,714,796
164,263 U.S. Industries, Inc............................... 2,648,740
23,838 Vornado Realty Trust............................... 813,471
81,953 Weyerhaeuser Co.+.................................. 4,609,856
4,585 Willamette Industries, Inc......................... 181,680
- ------------------------------------------------------------------------------
63,372,453
- ------------------------------------------------------------------------------
Technology -- 8.0%
5,734 3Com Corp.*........................................ 142,274
4,024 A.H. Belo Corp..................................... 76,204
101,271 Adaptec, Inc.*..................................... 3,949,569
6,228 Advanced Micro Devices, Inc.*...................... 128,841
200 Affiliated Computer Services, Inc., Class A
Shares*........................................... 8,550
193,574 Apple Computer, Inc.*+............................. 12,630,703
4,331 Arrow Electronics, Inc.*........................... 86,078
1,283 Associated Group Inc.*............................. 72,008
2,280 Atmel Corp.*....................................... 89,632
1,417 Autodesk, Inc...................................... 32,591
983 AVX Corp. ......................................... 29,428
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Technology -- 8.0% (continued)
150 BHC Communications, Inc.............................. $ 19,725
71,100 BMC Software, Inc.*+................................. 3,826,068
145,223 Cabletron Systems, Inc.*............................. 2,441,561
5,205 Cadence Design Systems, Inc.*........................ 70,918
51,697 Centurytel, Inc...................................... 2,032,338
72,447 Chiron Corp.*........................................ 2,327,359
1,956 Clear Channel Communications, Inc.*.................. 137,042
4,435 Comdisco, Inc........................................ 93,412
32,853 Compaq Computer Corp................................. 761,778
121,000 Computer Associates International, Inc.+............. 6,836,500
823 Computer Sciences Corp.*............................. 56,941
27,080 Cordant Technologies, Inc............................ 1,120,435
372 Covad Communications Group, Inc.*.................... 17,158
3,917 Cox Communications, Inc.*............................ 145,663
2,692 Crown Castle International Corp.*.................... 40,716
634 EchoStar Communications Corp.*....................... 53,018
232 Galileo International Inc............................ 11,252
151,382 General Dynamics Corp................................ 9,537,066
1,123 General Instrument Corp.*............................ 55,237
2,527 General Motors Corp., Class H Shares*................ 130,140
3,550 Harris Corp.......................................... 93,187
135,359 Hewlett-Packard Co................................... 14,263,454
2,320 Hubbell, Inc., Class B Shares........................ 90,045
1,405 Ingram Micro Inc.*................................... 35,476
246,727 International Business Machines Corp................. 30,732,931
191 Intuit Inc.*......................................... 17,106
111,319 IVAX Corp.*.......................................... 1,836,763
580 J.D. Edwards & Co.*.................................. 10,657
1,469 KLA-Tencor Corp.*.................................... 92,271
46,567 Litton Industries, Inc.*............................. 2,980,288
15,299 Lockheed Martin Corp................................. 566,063
3,178 LSI Logic Corp.*..................................... 180,351
50 Marimba, Inc.*....................................... 1,371
7,976 Micron Technology Inc.*.............................. 594,710
71,207 Motorola, Inc........................................ 6,568,845
7,555 National Semiconductor Corp.*........................ 212,956
35,421 NCR Corp.*+.......................................... 1,549,668
2,818 Networks Associates Inc.*............................ 47,553
116,600 Nortel Networks Corp.+............................... 4,787,887
53 NorthPoint Communications Group, Inc.*............... 1,401
111 Novellus Systems, Inc.*.............................. 5,987
977 Panamsat Corp.*...................................... 36,087
11,781 Park Place Entertainment Corp.*...................... 133,272
43 Portal Software, Inc.*............................... 2,023
6,442 Quantum Corp. - DLT & Storage Systems*............... 117,969
3,071 Quantum Corp. - Hard Disk Drive*..................... 21,880
15,108 Raytheon Co.......................................... 1,029,232
1,321 Safeguard Scientifics, Inc........................... 88,837
1,487 SCI Systems, Inc.*................................... 74,071
355 Scientific-Atlanta, Inc.............................. 18,193
300 SDL, Inc.*........................................... 24,562
33,446 Seagate Technology, Inc.*............................ 1,109,989
8,503 Silicon Graphics, Inc.*.............................. 97,253
91,000 Sterling Commerce, Inc.*............................. 1,740,375
52,880 Sterling Software, Inc.*............................. 1,064,210
4,222 Storage Technology Corp.*............................ 88,662
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Technology -- 8.0% (continued)
59,800 Sun Microsystems, Inc.............................. $ 4,754,100
339 SunGard Data Systems Inc.*......................... 8,475
50,353 Symantec Corp.*.................................... 1,510,590
25,217 Synopsys, Inc.*.................................... 1,410,575
489 Teradyne, Inc.*.................................... 33,282
6,291 Thermo Electron Corp.*............................. 99,869
471 Thermo Instruments Systems Inc.*................... 5,239
62,160 True North Communications Inc...................... 2,047,395
75,000 Unisys Corp.*...................................... 3,225,000
237,184 United Technologies Corp........................... 15,683,792
300 Valhi Inc.......................................... 3,393
53,280 Vishay Intertechnology Inc.*....................... 1,142,190
61,000 Vitesse Semiconductor Corp.*....................... 4,148,000
958 WinStar Communications, Inc.*...................... 48,678
99,045 Xerox Corp......................................... 4,729,398
- ------------------------------------------------------------------------------
156,125,766
- ------------------------------------------------------------------------------
Transportation -- 1.7%
6,973 AMR Corp.*......................................... 408,792
21,116 Burlington Northern Santa Fe Corp.................. 612,364
129,764 CNF Transportation, Inc............................ 5,052,685
1,201 COMAIR Holdings, Inc............................... 25,371
1,963 Continental Airlines, Inc., Class B Shares*........ 80,114
9,786 CSX Corp........................................... 427,525
81,018 Delta Air Lines Inc................................ 4,116,727
83,347 FDX Corp.*......................................... 3,537,038
2,235 GATX Corp.......................................... 74,593
403 Hertz Corp., Class A Shares........................ 16,245
126,000 Kansas City Southern Industries, Inc............... 5,835,375
17,035 Norfolk Southern Corp.............................. 446,104
1,189 Northwest Airlines Corp.*.......................... 35,075
30,000 Ogden Corp......................................... 682,500
3,169 Ryder System Inc................................... 69,916
254,089 Southwest Airlines Co.............................. 4,240,110
29,499 TRW Inc............................................ 1,607,695
1,186 UAL Corp.*......................................... 76,867
104,793 Union Pacific Corp.+............................... 5,102,109
4,051 USAIR Group, Inc................................... 124,821
- ------------------------------------------------------------------------------
32,572,026
- ------------------------------------------------------------------------------
Utilities -- 17.8%
5,469 Allegheny Energy, Inc.............................. 184,578
3,455 Alliant Energy Corp................................ 99,979
30,456 Alltel Corp........................................ 2,059,587
6,126 Ameren Corp........................................ 245,422
8,696 American Electric Power, Inc....................... 315,773
4,217 American Power Conversion Corp.*................... 74,061
1,097,937 AT&T Corp.......................................... 49,407,165
39,313 AT&T Corp. - Liberty Media Group, Class A
Shares*+.......................................... 1,258,016
3,699 American Water Works Inc........................... 107,733
486,830 Ameritech Corp..................................... 30,731,143
86,202 BCE Inc............................................ 4,029,943
2,007 BEC Energy......................................... 88,508
457,996 Bell Atlantic Corp.+............................... 28,052,255
709,296 BellSouth Corp..................................... 32,095,644
74,990 Cable & Wireless PLC Sponsored ADR................. 2,596,528
1,553 Cablevision Systems Corp., Class A Shares*......... 108,710
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Utilities -- 17.8% (continued)
7,136 Carolina Power & Light Co............................ $ 259,572
9,583 Central & Southwest Corp............................. 216,815
437 Century Communications Corp., Class A Shares*........ 20,375
6,758 Cinergy Corp......................................... 205,274
11,617 Citizens Utilities Co., Class B Shares*.............. 127,787
92,628 CMS Energy Corp...................................... 3,664,595
157,217 Coastal Corp......................................... 6,809,461
3,707 Columbia Gas System Inc.............................. 218,944
76,369 COMSAT Corp.......................................... 2,653,822
4,256 Conectiv Inc......................................... 91,238
177,671 Consolidated Edison, Inc.+........................... 7,817,524
93,059 Constellation Energy Group........................... 2,756,872
117,150 Dominion Resources Inc.+............................. 5,418,187
7,265 DPL, Inc............................................. 137,580
3,439 DQE, Inc............................................. 133,046
143,465 DTE Energy Co.+...................................... 5,657,900
114,999 Duke Energy Corp..................................... 6,612,442
267,596 Edison International................................. 6,790,248
216,856 Energy East Corp. ................................... 5,421,400
164,884 Enron Corp........................................... 6,904,517
95,396 Entergy Corp......................................... 2,843,993
80,525 FirstEnergy Corp..................................... 2,299,995
4,102 Florida Progress Corp................................ 192,281
144,381 FPL Group, Inc....................................... 7,796,574
90,419 GPU, Inc............................................. 3,085,548
332,798 GTE Corp............................................. 22,838,262
100,535 Illinova Corp........................................ 3,204,553
3,547 Ipalco Enterprises Inc............................... 74,265
2,773 Kansas City Power & Light Co......................... 66,725
6,370 Keyspan Corp......................................... 187,915
111,611 LG&E Energy Corp..................................... 2,567,053
221,910 MCI WorldCom, Inc.*.................................. 16,809,682
3,846 MCN Energy Group, Inc................................ 68,747
73,175 MediaOne Group, Inc.*................................ 4,811,256
3,322 Minnesota Power Inc.................................. 59,173
93,368 The Montana Power Co................................. 2,888,572
18,564 New Century Energies, Inc............................ 670,624
2,654 New England Electric System.......................... 138,505
2,402 Nextlink Communications, Inc.*....................... 121,000
8,393 Niagara Mohawk Holdings Inc.*........................ 126,944
2,050 NICOR, Inc........................................... 79,309
5,576 NiSource, Inc........................................ 132,430
6,122 Northeast Utilities*................................. 107,517
6,914 Northern States Power Co............................. 162,911
3,460 OGE Energy Corp...................................... 81,310
238,542 PacifiCorp........................................... 4,875,202
8,685 Peco Energy Co....................................... 352,828
7,094 Pennsylvania Power & Light, Inc...................... 198,632
1,640 Peoples Energy Corp.................................. 59,757
3,756 Pinnacle West Capital Corp........................... 142,728
5,319 Potomac Electric Power Co............................ 140,953
49,784 Public Services Enterprise Group, Inc.+.............. 2,041,144
3,852 Puget Sound Energy, Inc.............................. 91,244
11,668 Reliant Energy, Inc.................................. 323,057
331 Rhythms NetConnections Inc.*......................... 12,660
486,912 SBC Communications, Inc.+............................ 23,371,776
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Utilities -- 17.8% (continued)
4,673 Scana Corp........................................ $ 116,825
10,770 Sempra Energy..................................... 240,305
85,740 Sonat Inc......................................... 3,097,357
162,538 Southern Co.+..................................... 4,398,684
117,549 Sprint Corp. (FON Group).......................... 5,216,236
8,710 Sprint Corp. (PCS Group).......................... 520,422
5,899 Teco Energy Inc................................... 123,879
50,800 Telefonos de Mexico SA ADR+....................... 3,778,250
2,351 Telephone & Data Systems, Inc..................... 163,688
119,794 Texas Utilities Co.+.............................. 4,844,169
74,600 Time Warner, Inc.................................. 4,424,712
12,794 U.S. West Inc..................................... 668,486
9,775 Unicom Corp....................................... 377,559
363 United States Cellular Corp.*..................... 20,441
629 UnitedGlobalCom Inc.*............................. 46,074
183,543 Utilicorp United Inc.+............................ 4,256,172
2,104 VoiceStream Wireless Corp.*....................... 86,790
2,965 Western Resources, Inc............................ 70,789
5,220 Wisconsin Energy Corp............................. 127,563
- -------------------------------------------------------------------------------
348,976,170
- -------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $1,601,784,588).............. 1,920,707,755
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATIONS -- 0.0%
U.S. Treasury Bills:
$ 200,000 4.590% due 9/23/99................................ 199,441
50,000 4.660% due 9/23/99................................ 49,862
- -------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost --
$249,303)........................................ 249,303
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.9%
38,100,000 Morgan Stanley Dean Witter & Co., 5.400% due
9/1/99; Proceeds at maturity -- $38,105,715;
Fully collateralized by U.S. Treasury Notes &
Bonds, 6.375% to 6.625% due 4/30/02 to 8/15/27;
Market value -- $39,140,152) (Cost --
$38,100,000)..................................... 38,100,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,640,133,891**)................................ $1,959,057,058
- -------------------------------------------------------------------------------
</TABLE>
+ All or a portion of this security is on loan (See Note 12).
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
[CHART]
Classification of Investments
Consumer Services 3.9%
Energy 10.9%
Financial Services 25.9%
Consumer Durables 3.7%
Consumer Non-Durables 6.0%
Health Care 4.8%
Technology 8.0%
Utilities 17.8%
Other 17.1%
Repurchase Agreement 1.9%
See Notes to Financial Statements.
41
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
COMMON STOCK -- 99.8%
- ------------------------------------------------------------------------------
Advertising -- 0.4%
4,883 Catalina Marketing Corp.*......................... $ 443,132
85,290 Interpublic Group of Cos., Inc. .................. 3,379,616
10,604 Lamar Advertising Co.*+........................... 442,717
54,328 Omnicom Group Inc.+ .............................. 4,094,971
33,815 Outdoor Systems, Inc. ............................ 1,092,647
15,712 Snyder Communications, Inc.+ ..................... 320,132
6,238 TMP Worldwide Inc.*............................... 345,429
10,306 Young & Rubicam Inc. ............................. 459,905
- ------------------------------------------------------------------------------
10,578,549
- ------------------------------------------------------------------------------
Basic Industry -- 2.3%
41,670 Allied Waste Industries, Inc.*.................... 531,292
629 Carlisle Cos., Inc. .............................. 25,160
7,164 Centex Corp. ..................................... 201,487
42,500 Freeport-McMoRan Copper & Gold, Inc., Class B
Shares*.......................................... 682,656
15,745 General Dynamics Corp. ........................... 991,935
22,150 Gentex Corp.*..................................... 423,619
6,084 Panamsat Corp. ................................... 224,728
60,423 Pioneer Hi-Bred International, Inc. .............. 2,364,050
77,298 Pitney Bowes, Inc. ............................... 4,560,582
25,376 Sealed Air Corp. ................................. 1,490,840
7,654 SPX Corp. ........................................ 648,676
2,669 The St. Joe Paper Co. ............................ 62,388
365,751 Tyco International Ltd. .......................... 37,055,148
5,261 Vastar Resources, Inc.+ .......................... 350,514
182,710 Waste Management, Inc. ........................... 3,985,362
11,934 Westpoint Stevens Inc. ........................... 286,416
10,596 Whittman-Hart, Inc.*.............................. 278,807
- ------------------------------------------------------------------------------
54,163,660
- ------------------------------------------------------------------------------
Broadcasting -- 1.5%
6,018 Adelphia Communications Corp., Class A Shares*+... 373,116
17,014 American Tower Corp., Class A Shares*............. 387,069
22,111 Cablevision Systems Corp., Class A Shares*+....... 1,547,770
133,717 CBS Corp.*+....................................... 6,284,698
6,467 Century Communications Corp., Class A Shares*..... 301,524
143,460 Clear Channel Communications, Inc.*+.............. 10,051,166
221,816 Comcast Corp., Class A Shares*.................... 7,236,747
18,389 Cox Communications, Inc.*......................... 683,841
2,663 Cox Radio, Inc., Class A Shares................... 141,139
11,553 Hispanic Broadcasting Corp.*...................... 863,587
151,784 Infinity Broadcasting Corp.*+..................... 4,107,654
5,023 Meredith Corp. ................................... 174,235
10,629 SFX Entertainment, Inc.+ ......................... 437,761
5,847 TV Guide, Inc.*................................... 162,254
23,003 Univision Communications, Inc.*+.................. 1,696,471
2,133 USA Networks, Inc.*............................... 95,718
- ------------------------------------------------------------------------------
34,544,750
- ------------------------------------------------------------------------------
Capital Goods -- 0.9%
75,678 AlliedSignal Inc.+ ............................... 4,635,277
21,103 American Power Conversion Corp.*+................. 370,621
32,857 The Boeing Co. ................................... 1,488,832
23,896 Conexant Systems, Inc.*+.......................... 1,717,525
739 Cordant Technologies, Inc. ....................... 30,576
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Capital Goods -- 0.9% (continued)
15,053 General Motors Corp., Class H Shares*............. $ 775,229
10,616 Howmet International Inc.*........................ 189,761
49,674 Illinois Tool Works Inc. ......................... 3,871,467
3,489 Meritor Automotive Inc. .......................... 76,104
5,299 Smith International, Inc. ........................ 247,397
1,559 Teleflex Inc. .................................... 72,493
4,268 Textron, Inc. .................................... 344,641
5,319 Thermo Electron Corp.*............................ 84,439
107,784 United Technologies Corp. ........................ 7,127,215
17,377 Valassis Communications, Inc.*.................... 760,244
- ------------------------------------------------------------------------------
21,791,821
- ------------------------------------------------------------------------------
Computer Services -- 15.1%
16,658 Acxiom Corp.*+.................................... 292,557
18,567 Adobe Systems Inc. ............................... 1,849,737
9,227 Affiliated Computer Services, Inc., Class A
Shares*+......................................... 394,455
454,729 America Online, Inc.*............................. 41,522,440
6,796 Autodesk, Inc. ................................... 156,308
187,752 Automatic Data Processing, Inc. .................. 7,381,000
23,553 BEA Systems, Inc.*+............................... 568,216
8,181 BISYS Group, Inc.*................................ 388,597
245,370 BMC Software, Inc.*+.............................. 13,203,973
39,370 Cadence Design Systems, Inc.*..................... 536,416
38,139 Ceridian Corp.*................................... 1,067,892
11,622 CheckFree Holdings Corp.*......................... 339,943
1,128,344 Cisco Systems, Inc.*+............................. 76,515,826
24,732 Citrix Systems, Inc.*............................. 1,409,724
12,793 CNET, Inc.*....................................... 480,537
4,356 Comdisco, Inc.+ .................................. 91,748
126,308 Computer Associates International, Inc.+ ......... 7,136,402
40,305 Computer Sciences Corp.*.......................... 2,788,602
93,708 Compuware Corp.*+................................. 2,828,810
2,878 Convergys Corp.*.................................. 59,359
14,693 CSG Systems International, Inc.*.................. 331,511
9,457 DoubleClick Inc.*+................................ 944,518
3,897 DST Systems, Inc.................................. 259,150
6,235 EarthLink Network, Inc.*.......................... 305,515
8,702 eBay Inc.*+....................................... 1,092,645
5,480 EchoStar Communications Corp.*.................... 458,265
32,334 Electronic Data Systems Corp. .................... 1,814,746
14,426 Electronics for Imaging, Inc.*.................... 845,724
6,359 Extreme Networks, Inc.*........................... 406,579
30,359 First Data Corp. ................................. 1,335,796
9,716 i2 Technologies, Inc.*+........................... 308,483
2,511 IKON Office Solutions, Inc. ...................... 27,935
14,520 Infoseek Corp.*................................... 441,952
10,414 Inktomi Corp.*+................................... 1,180,687
10,410 International Network Services*................... 553,682
12,804 Intuit Inc.*...................................... 1,146,758
3,597 Investment Technology Group, Inc. ................ 98,018
9,228 J.D. Edwards & Co.*............................... 169,564
17,210 Keane, Inc.*+..................................... 372,166
24,866 Legato Systems, Inc.*............................. 1,070,792
11,050 Macromedia, Inc.*................................. 437,856
3,731 Marimba, Inc.*+................................... 102,369
1,269 Media General, Inc. .............................. 62,181
1,592,472 Microsoft Corp.*.................................. 147,403,189
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Computer Services -- 15.1% (continued)
10,443 MindSpring Enterprises, Inc.*....................... $ 304,805
8,957 National Data Corp. ................................ 342,605
19,793 Network Appliance, Inc.*+........................... 1,300,152
3,927 Network Solutions Inc., Class A Shares.............. 226,293
23,165 Networks Associates Inc.*........................... 390,909
6,842 New Era of Networks, Inc.*+......................... 114,603
4,076 NorthPoint Communications Group, Inc.*.............. 107,759
101,711 Novell Inc. ........................................ 2,409,279
337,588 Oracle Corp. ....................................... 12,321,960
82,353 Parametric Technology Corp. ........................ 1,152,942
55,641 PeopleSoft, Inc.+ .................................. 785,929
14,640 Perot Systems Corp. ................................ 303,780
3,690 Pixar, Inc.+ ....................................... 125,691
1,790 Portal Software, Inc. .............................. 84,242
3,440 Prodigy Communications Corp. ....................... 63,855
26,460 Rational Software Corp. ............................ 716,074
8,746 RealNetworks, Inc. ................................. 714,985
1,388 Redback Networks Inc.+ ............................. 149,210
7,060 Sabre Holdings Inc. ................................ 395,360
3,931 Sapient Corp.+ ..................................... 286,963
811 Scient Corp. ....................................... 51,194
6,057 Shared Medical Systems Corp. ....................... 340,328
19,964 Siebel Systems, Inc. ............................... 1,371,277
26,218 Sterling Commerce, Inc.+ ........................... 501,419
2,396 Sterling Software, Inc. ............................ 48,219
32,417 SunGard Data Systems Inc. .......................... 810,425
13,633 Symantec Corp.*..................................... 408,990
17,969 Synopsys, Inc.*..................................... 1,005,141
5,661 Tech Data Corp.*.................................... 209,811
11,565 Total System Services Inc.+ ........................ 179,257
81,899 Unisys Corp.*....................................... 3,521,656
22,727 USWeb Corp.*........................................ 443,176
19,950 Verio Inc.*+........................................ 741,891
11,567 VeriSign, Inc.*..................................... 1,252,851
25,240 Veritas Software Corp.*............................. 1,495,470
- --------------------------------------------------------------------------------
354,861,124
- --------------------------------------------------------------------------------
Consumer Durables -- 0.1%
34,302 Ecolab, Inc. ....................................... 1,288,469
52,743 Fort James Corp. ................................... 1,700,962
1,097 HON Industries Inc. ................................ 25,848
- --------------------------------------------------------------------------------
3,015,279
- --------------------------------------------------------------------------------
Consumer Non-Durables -- 0.0%
1,828 Flowers Industries Inc. ............................ 28,905
11,200 U.S. Foodservice*................................... 233,100
- --------------------------------------------------------------------------------
262,005
- --------------------------------------------------------------------------------
Consumer Products -- 12.4%
40,286 Anheuser-Busch Co., Inc. ........................... 3,102,022
27,066 Avery Dennison Corp. ............................... 1,485,247
79,498 Avon Products, Inc. ................................ 3,487,975
8,184 Beckman Coulter, Inc. .............................. 387,717
45,050 Bestfoods........................................... 2,213,082
24,607 Black & Decker Corp.+ .............................. 1,294,943
10,595 Blyth Industries, Inc.*............................. 299,971
2,566 Cabot Corp. ........................................ 59,178
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Products -- 12.4% (continued)
55,578 Campbell Soup Co.+ ................................. $ 2,455,852
71,140 The Clorox Co. ..................................... 3,219,085
691,576 The Coca-Cola Co. .................................. 41,364,889
72,448 Coca-Cola Enterprises Inc. ......................... 2,060,240
177,326 Colgate-Palmolive Co.+ ............................. 9,486,941
74,070 Corning Inc. ....................................... 4,925,655
28,809 Danaher Corp. ...................................... 1,692,529
28,106 Dial Corp. ......................................... 779,941
26,484 The Estee Lauder Cos. Inc., Class A Shares+......... 1,216,609
1,653 eToys Inc.*+........................................ 71,905
992,520 General Electric Co.++ ............................. 111,472,401
22,913 General Mills Inc. ................................. 1,918,964
335,891 The Gillette Co. ................................... 15,660,916
27,914 H.J. Heinz & Co. ................................... 1,303,235
116,583 Harley-Davidson, Inc.+ ............................. 6,353,773
24,219 Herman Miller, Inc. ................................ 570,660
3,887 Hershey Foods Corp. ................................ 208,197
3,648 Hertz Corp., Class A Shares......................... 147,060
20,519 IVAX Corp.*......................................... 338,563
6,205 Keebler Foods Co.*.................................. 184,987
29,677 Kellogg Co.+ ....................................... 1,055,388
84,182 Kimberly-Clark Corp. ............................... 4,793,113
24,172 Maytag Corp.+ ...................................... 1,513,771
744 Mohawk Industries, Inc.*............................ 16,833
11,300 Newell Rubbermaid Inc.+ ............................ 463,300
30,493 The Pepsi Bottling Group, Inc. ..................... 577,461
443,637 PepsiCo, Inc. ...................................... 15,139,111
402,537 The Procter & Gamble Co. ........................... 39,951,797
18,952 The Quaker Oats Co. ................................ 1,266,230
20,500 Ralston-Ralston Purina Group........................ 563,750
6,209 Revlon, Inc.+ ...................................... 126,120
250,355 Sara Lee Corp. ..................................... 5,554,752
55,260 Starbucks Corp.+ ................................... 1,264,072
2,159 Tootsie Roll Industries Inc. ....................... 73,811
3,408 The Valspar Corp. .................................. 123,753
6,805 Whitman Corp. ...................................... 113,558
14,484 Wm. Wrigley Jr. Co.+ ............................... 1,134,277
2,026 Zale Corp.*......................................... 70,277
- --------------------------------------------------------------------------------
291,563,911
- --------------------------------------------------------------------------------
Consumer Services -- 1.4%
23,429 Apollo Group, Inc., Class A Shares*................. 513,974
27,691 At Home Corp.*+..................................... 1,111,101
59,096 AutoNation, Inc.*+.................................. 764,555
9,075 Bausch & Lomb Inc................................... 599,517
3,256 BJ's Wholesale Club, Inc.*.......................... 91,982
106,871 Cendant Corp.*+..................................... 1,916,999
18,271 DeVry, Inc.*........................................ 381,407
16,886 Galileo International Inc. ......................... 818,971
23,218 Gartner Group, Inc.*+............................... 486,127
6,731 LHS Group Inc.*+.................................... 223,385
1,980 Manpower Inc. ...................................... 53,460
48,735 Mattel, Inc. ....................................... 1,038,665
12,484 Modis Professional Services, Inc.*.................. 197,403
66,039 Paychex, Inc. ...................................... 1,944,023
390,859 Philip Morris Cos. Inc. ............................ 14,632,784
9,011 Priceline.com Inc.+ ................................ 613,874
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Services -- 1.4% (continued)
34,094 Quintiles Transnational Corp. ...................... $ 1,220,991
10,384 R.J. Reynolds Tobacco Holdings, Inc. ............... 284,911
11,398 Republic Services, Inc. ............................ 123,953
27,835 Robert Half International, Inc. .................... 730,669
89,544 The Servicemaster Co. .............................. 1,477,476
12,371 Sotheby's Holdings, Inc. ........................... 360,305
8,667 Stewart Enterprises, Inc. .......................... 46,856
7,666 Sylvan Learning Systems, Inc.*+..................... 152,362
84,891 SYSCO Corp. ........................................ 2,769,569
5,336 United Rentals, Inc.*............................... 130,398
17,385 Viad Corp. ......................................... 520,463
- --------------------------------------------------------------------------------
33,206,180
- --------------------------------------------------------------------------------
Energy -- 1.8%
40,479 AES Corp.*+......................................... 2,456,569
7,526 Anadarko Petroleum Corp. ........................... 255,884
12,166 Apache Corp. ....................................... 553,553
173,082 Baker Hughes Inc. .................................. 5,884,788
1,324 BJ Services Co.*.................................... 45,347
5,683 Calpine Corp.*+..................................... 515,022
1,452 Cooper Cameron Corp.+............................... 60,439
4,483 Devon Energy Corp. ................................. 173,156
5,687 Diamond Offshore Drilling, Inc.*.................... 217,528
2,610 Dynegy, Inc. ....................................... 61,335
256,094 Enron Corp. ........................................ 10,723,936
11,669 ENSCO International, Inc. .......................... 248,696
52,352 Frontier Corp. ..................................... 2,195,512
6,783 Global Marine Inc.*................................. 120,398
69,536 Halliburton Co. .................................... 3,224,732
12,431 Nabors Industries, Inc.*+........................... 335,637
3,189 Noble Affiliates, Inc. ............................. 98,859
16,823 Noble Drilling Corp.*............................... 414,266
13,110 NOVA Corp.*......................................... 340,860
22,750 R&B Falcon Corp. ................................... 292,906
132,200 Schlumberger Ltd.+ ................................. 8,824,350
7,108 USX-Marathon Group, Inc. ........................... 221,236
4,321 Weatherford International, Inc.*.................... 153,936
101,010 The Williams Cos., Inc.+ ........................... 4,166,662
- --------------------------------------------------------------------------------
41,585,607
- --------------------------------------------------------------------------------
Entertainment -- 0.4%
58,927 Hilton Hotels Corp. ................................ 721,856
3,165 International Game Technology*...................... 55,387
6,667 International Speedway Corp. ....................... 339,600
25,380 Marriott International Co.+ ........................ 869,265
865 MGM Grand, Inc.*+................................... 42,493
4,427 Mirage Resorts Inc.*................................ 57,828
19,985 Premier Parks Inc. ................................. 654,509
4,239 Promus Hotel Corp. ................................. 123,196
6,071 Sodexho Marriott Services, Inc. .................... 85,753
4,128 Speedway Motorsports, Inc. ......................... 154,026
10,464 Starwood Hotels & Resorts Worldwide, Inc. .......... 249,174
74,462 Viacom Inc., Class B Shares*........................ 3,132,057
80,553 The Walt Disney Co. ................................ 2,235,346
- --------------------------------------------------------------------------------
8,720,490
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Financial Services -- 3.6%
79,411 American Express Co. .............................. $ 10,919,012
19,503 Ameritrade Holding Corp.*+......................... 397,374
5,049 Andrx Corp.*....................................... 362,897
67,652 Associated First Capital Corp. .................... 2,321,309
60,049 Capital One Financial Corp. ....................... 2,266,850
199,422 The Charles Schwab Corp. .......................... 7,877,169
39,802 Concord EFS, Inc.+................................. 1,477,649
51,449 E*TRADE Group, Inc.+............................... 1,286,225
43,920 Equifax Inc. ...................................... 1,339,560
131,988 Federal Home Loan Mortgage Corp. .................. 6,797,382
45,050 Federal National Mortgage Association.............. 2,798,731
18,019 Federated Investors Inc. .......................... 331,099
1,595 The FINOVA Group Inc. ............................. 60,610
2,481 First Tennessee National Corp. .................... 79,392
367,712 Firstar Corp.+..................................... 9,859,278
37,577 Fiserv, Inc.*...................................... 1,157,841
27,671 Franklin Resources Inc.+........................... 994,427
1,337 Goldman Sachs Group, Inc.*......................... 79,969
7,564 H&R Block, Inc. ................................... 420,747
17,985 Household International, Inc. ..................... 678,934
20,128 Knight/Trimark Group, Inc.*+....................... 659,192
599,835 MBNA Corp. ........................................ 14,808,427
22,962 National Commerce Bancorporation................... 486,507
8,467 Northern Trust Corp. .............................. 718,107
3,177 The Progressive Corp.+............................. 324,054
121,494 Providian Financial Corp. ......................... 9,430,972
3,821 SEI Investments Co. ............................... 351,293
49,468 SLM Holding Corp. ................................. 2,185,867
22,019 State Street Corp. ................................ 1,318,388
36,720 Synovus Financial Corp. ........................... 693,090
31,123 T. Rowe Price Associates, Inc. .................... 962,868
5,645 U.S. Trust Corp. .................................. 469,241
21,945 UST Inc. .......................................... 695,382
20,231 Waddell & Reed Financial, Inc., Class A Shares..... 458,991
895 Westamerica Bancorporation......................... 28,584
11,725 Zions Bancorporation+.............................. 583,319
- -------------------------------------------------------------------------------
85,680,737
- -------------------------------------------------------------------------------
Health Care -- 17.8%
304,421 Abbott Laboratories+............................... 13,204,260
20,196 Allergan, Inc. .................................... 2,017,075
26,242 ALZA Corp.*........................................ 1,321,941
245,198 American Home Products Corp. ...................... 10,175,716
155,394 Amgen Inc.*........................................ 12,926,838
19,553 Baxter International Inc. ......................... 1,311,274
51,923 Becton, Dickinson & Co. ........................... 1,460,335
26,310 Bergen Brunswig Corp., Class A Shares.............. 406,161
45,579 Biogen, Inc.*...................................... 3,498,189
30,489 Biomet, Inc. ...................................... 1,089,982
192,004 Boston Scientific Corp.*+.......................... 6,516,136
556,436 Bristol-Myers Squibb Co. .......................... 39,159,183
82,653 Cardinal Health, Inc. ............................. 5,269,128
21,537 Centocor, Inc.*.................................... 1,289,528
1,648 DENTSPLY International Inc. ....................... 40,891
280,327 Eli Lilly & Co.+................................... 20,919,402
5,576 Express Scripts, Inc.*............................. 375,683
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Health Care -- 17.8% (continued)
25,317 Forest Laboratories, Inc.*......................... $ 1,227,874
30,100 Genentech, Inc.*................................... 4,943,925
8,309 Genzyme Corp. - General Division*.................. 468,939
234,433 Guidant Corp.*+.................................... 13,758,285
4,355 HCR Manor Care, Inc.*.............................. 85,195
68,314 Health Management Associates, Inc.*................ 546,512
7,052 Healtheon Corp.*+.................................. 238,446
15,248 HEALTHSOUTH Corp.*................................. 124,843
21,561 ICN Pharmaceutical, Inc. .......................... 447,391
11,348 ICOS Corp.*+....................................... 361,008
22,700 Immunex Corp.*+.................................... 1,527,994
266,488 IMS Health Inc.+................................... 7,361,730
357,640 Johnson & Johnson+................................. 36,568,690
6,449 Lincare Holdings Inc.*+............................ 170,092
38,104 McKesson HBOC, Inc. ............................... 1,185,987
6,215 Medical Manager Corp.*............................. 369,792
71,740 MedImmune, Inc.*................................... 7,402,671
270,162 Medtronic, Inc. ................................... 21,140,176
666,728 Merck & Co., Inc.+................................. 44,795,787
6,077 MiniMed, Inc.*+.................................... 552,627
191,649 Monsanto Co. ...................................... 7,869,587
33,174 Mylan Laboratories Inc. ........................... 657,260
14,151 Nu Skin Enterprises, Inc.*......................... 151,239
12,684 Omnicare, Inc. .................................... 122,083
24,806 Oxford Health Plans, Inc. ......................... 384,493
1,430 PacifiCare Health Systems, Inc. ................... 85,800
30,994 PE Corp. .......................................... 2,132,773
1,655,194 Pfizer Inc.+....................................... 62,483,572
789,395 Schering-Plough Corp. ............................. 41,492,575
10,028 Sepracor Inc. ..................................... 750,846
7,490 St. Jude Medical, Inc. ............................ 271,512
21,674 Stryker Corp.+..................................... 1,248,964
31,415 Sybron International Corp.*........................ 808,936
3,042 United Health Care Corp. .......................... 184,992
2,168 Universal Health Services Inc., Class B Shares*.... 72,357
16,733 VISX, Inc.*........................................ 1,514,336
431,259 Warner-Lambert Co. ................................ 28,570,907
26,981 Watson Pharmaceuticals, Inc.*...................... 967,943
49,915 Wellpoint Health Networks Inc.*.................... 3,637,554
- -------------------------------------------------------------------------------
417,667,415
- -------------------------------------------------------------------------------
Insurance -- 0.9%
14,341 AFLAC Inc. ........................................ 644,449
219,578 American International Group, Inc. ................ 20,352,134
432 Hartford Life, Inc., Class A Shares................ 18,765
5,405 Jones Intercable, Inc.*............................ 237,144
503 Reinsurance Co. of America, Inc. .................. 16,096
- -------------------------------------------------------------------------------
21,268,588
- -------------------------------------------------------------------------------
Publishing -- 0.3%
7,034 Central Newspapers, Inc., Class A Shares........... 297,626
9,788 Dow Jones & Co., Inc. ............................. 491,847
49,544 Fifth Third Bancorp................................ 3,282,290
3,922 Harte-Hanks, Inc. ................................. 88,000
155 Hollinger International Inc. ...................... 1,666
3,492 Houghton Mifflin Co. .............................. 166,743
14,744 John Wiley & Sons, Inc. ........................... 239,590
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Publishing -- 0.3% (continued)
5,852 The McGraw-Hill Cos., Inc. ......................... $ 302,475
13,146 The Reader's Digest Association Inc. ............... 410,812
11,156 Times Mirror Co., Class A Shares.................... 644,259
- --------------------------------------------------------------------------------
5,925,308
- --------------------------------------------------------------------------------
Real Estate -- 0.1%
14,830 Boston Properties, Inc. ............................ 494,024
18,907 Catellus Development Corp.*......................... 258,790
2,571 Clayton Homes, Inc. ................................ 24,424
38,140 The Meditrust Cos. ................................. 340,876
16,132 Starwood Financial Trust+........................... 451,696
- --------------------------------------------------------------------------------
1,569,810
- --------------------------------------------------------------------------------
Restaurants -- 0.4%
198,740 McDonald's Corp.+................................... 8,222,867
18,177 Outback Steakhouse, Inc. ........................... 538,494
24,099 Tricon Global Restaurants, Inc.*.................... 979,022
- --------------------------------------------------------------------------------
9,740,383
- --------------------------------------------------------------------------------
Retail -- 10.0%
29,459 Abercrombie & Fitch Co., Class A Shares*+........... 1,027,383
21,861 Albertson's, Inc. .................................. 1,047,962
25,746 Amazon.com, Inc.*+.................................. 3,202,159
6,463 American Eagle Outfitters, Inc.*.................... 253,673
13,409 AutoZone, Inc.*..................................... 319,302
7,566 Barnes & Noble, Inc.*............................... 179,220
301,376 Bed Bath & Beyond Inc.*............................. 8,287,840
137,073 Best Buy Co., Inc.*................................. 9,629,378
7,431 CDW Computer Centers, Inc.*......................... 329,751
23,010 Cintas Corp. ....................................... 1,182,139
45,648 Circuit City Stores - Circuit City Group............ 1,962,864
10,691 Claire's Stores, Inc. .............................. 201,124
14,774 Consolidated Stores Corp.*.......................... 238,231
245,506 Costco Wholesale Cos.*+............................. 18,351,573
239,272 CVS Corp. .......................................... 9,974,651
110,567 Dayton Hudson Corp. ................................ 6,412,886
42,339 Dollar General Corp. ............................... 1,100,814
18,618 Dollar Tree Stores Inc.*............................ 614,394
44,328 Family Dollar Stores, Inc. ......................... 872,707
8,543 Fastenal Co.+....................................... 428,218
197,779 The Gap, Inc. ...................................... 7,738,103
584,383 Home Depot, Inc. ................................... 35,720,409
12,221 Intimate Brands, Inc. .............................. 471,272
28,321 Jones Apparel Group, Inc.*.......................... 734,576
264,027 Kohl's Corp.*+...................................... 18,811,924
451,684 Kroger Co.*+........................................ 10,445,192
3,070 The Limited, Inc.+.................................. 116,276
12,052 Linens 'n Things, Inc.*............................. 412,781
401,823 Lowe's Cos., Inc. .................................. 18,182,491
20,891 Nike, Inc., Class B Shares+......................... 966,209
5,940 Nordstrom, Inc. .................................... 168,176
86,711 Office Depot, Inc. ................................. 905,046
2,243 Polo Ralph Lauren Corp. ............................ 43,458
6,472 Ross Stores, Inc. .................................. 269,397
310,551 Safeway Inc.*....................................... 14,460,031
14,531 Saks, Inc. ......................................... 244,302
380,382 Staples, Inc.*...................................... 8,273,308
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Retail -- 10.0% (continued)
58,768 Tandy Corp. ...................................... $ 2,776,788
3,941 Ticketmaster Online-CitySearch, Inc.*............. 100,988
16,486 Tiffany & Co. .................................... 871,697
96,446 The TJX Cos., Inc. ............................... 2,784,878
439 Too Inc.+......................................... 7,702
825,605 Wal-Mart Stores, Inc.+............................ 36,584,620
304,523 Walgreen Co. ..................................... 7,061,127
1,581 Warnaco Group, Inc. .............................. 34,782
13,118 Williams-Sonoma Inc.*+............................ 511,602
- ------------------------------------------------------------------------------
234,313,404
- ------------------------------------------------------------------------------
Technology -- 19.4%
70,858 3Com Corp.*....................................... 1,758,164
22,826 Adaptec, Inc.*+................................... 890,214
2,859 Advanced Micro Devices, Inc.*..................... 59,146
53,183 Altera Corp.*..................................... 2,240,334
51,746 Analog Devices, Inc.*............................. 2,664,919
2,308 Apple Computer, Inc.*+............................ 150,597
113,893 Applied Materials, Inc.*.......................... 8,093,520
6,946 Applied Micro Circuits Corp.*..................... 640,768
15,127 Atmel Corp.*...................................... 594,680
14,440 Broadcom Corp.*................................... 1,859,150
880 Brocade Communications Systems, Inc.*+............ 165,550
8,184 Cabletron Systems, Inc. .......................... 137,593
14,651 Chiron Corp.*..................................... 470,663
293,528 Compaq Computer Corp. ............................ 6,806,180
19,580 Comverse Technology, Inc.*+....................... 1,527,240
4,251 Critical Path, Inc.*.............................. 142,408
867,204 Dell Computer Corp.*.............................. 42,330,395
18,721 Electronic Arts Inc.*+............................ 1,284,729
470,136 EMC Corp.*+....................................... 28,208,160
22,537 Gateway Inc.*+.................................... 2,184,680
201,111 Hewlett-Packard Co. .............................. 21,192,070
7,065 InfoSpace.com, Inc.*.............................. 325,432
8,935 Ingram Micro Inc.*................................ 225,609
1,236,849 Intel Corp. ...................................... 101,653,526
452,600 International Business Machines Corp. ............ 56,376,987
15,140 Jabil Circuit, Inc.*.............................. 678,461
24,562 JDS Uniphase Corp.*............................... 2,605,107
17,096 KLA-Tencor Corp.*................................. 1,073,842
183,159 Lexmark International Group, Inc., Class A
Shares*.......................................... 14,423,771
112,511 Linear Technology Corp. .......................... 7,081,161
22,384 LSI Logic Corp.*.................................. 1,270,292
20,626 Lycos, Inc.*...................................... 837,931
40,460 Maxim Integrated Products, Inc.*+................. 2,723,464
15,576 Microchip Technology Inc.*........................ 852,786
10,438 Micron Technology Inc.*........................... 778,283
13,436 Millipore Corp.+.................................. 507,209
179,112 Motorola, Inc. ................................... 16,523,080
7,658 NCR Corp.*+....................................... 335,037
164,400 Nokia Corp. ADR+.................................. 13,706,850
11,064 Novellus Systems, Inc.*........................... 596,764
18,789 PMC-Sierra, Inc. ................................. 1,747,377
10,976 QLogic Corp. ..................................... 955,598
7,411 Quantum Corp. - DLT & Storage Systems............. 135,714
3,805 Quantum Corp. - Hard Disk Drive................... 27,111
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Technology -- 19.4% (continued)
5,500 Rambus Inc.+........................................ $ 533,500
15,570 RF Micro Devices, Inc. ............................. 684,107
1,162 Safeguard Scientifics, Inc. ........................ 78,144
17,317 Sanmina Corp.+...................................... 1,298,775
10,519 SCI Systems, Inc. .................................. 523,978
5,955 SDL, Inc. .......................................... 487,566
21,714 Seagate Technology, Inc.+........................... 720,633
256,740 Solectron Corp.*.................................... 20,089,905
1,281 Starmedia Network, Inc. ............................ 49,559
338,425 Sun Microsystems, Inc.+............................. 26,904,787
26,836 Symbol Technologies, Inc. .......................... 934,228
6,015 TCI Music, Inc.*.................................... 108,270
22,460 Teradyne, Inc.*..................................... 1,528,684
317,094 Texas Instruments Inc. ............................. 26,021,526
2,773 Thermo Instruments Systems Inc. .................... 30,850
98,346 Vitesse Semiconductor Corp.*........................ 6,687,521
18,623 Waters Corp.*....................................... 1,227,954
7,393 WinStar Communications, Inc.*+...................... 375,657
200,252 Xerox Corp. ........................................ 9,562,031
40,267 Xilinx, Inc.*....................................... 2,816,172
36,456 Yahoo! Inc.*........................................ 5,377,260
- --------------------------------------------------------------------------------
454,883,659
- --------------------------------------------------------------------------------
Telecommunications -- 9.9%
41,133 ADC Telecommunications, Inc.*+...................... 1,524,492
15,278 Allegiance Telecom, Inc.*........................... 918,590
178,840 ALLTEL Corp. ....................................... 12,094,053
244,202 AT&T Corp. - Liberty Media, Class A Shares*......... 7,814,464
4,679 Centennial Cellular Corp.*.......................... 183,066
33,456 CIENA Corp.*........................................ 1,175,142
41,851 Cincinnati Bell Inc. ............................... 774,243
22,675 CMGI Inc.*+......................................... 1,903,283
5,804 COMSAT Corp......................................... 201,689
1,121 Copper Mountain Networks, Inc.*..................... 131,157
18,282 Covad Communications Group, Inc.*................... 843,257
9,042 E-tek Dynamics Inc.*................................ 512,568
25,112 Exodus Communications, Inc.*+....................... 2,018,377
38,031 General Instrument Corp.*+.......................... 1,870,650
50,740 Global TeleSystems Group, Inc.*..................... 1,639,536
9,880 L-3 Communications Holdings, Inc.*.................. 392,112
80,527 Level 3 Communications, Inc.*+...................... 4,811,488
1,180,859 Lucent Technologies Inc. ........................... 75,648,780
754,211 MCI WorldCom, Inc.*................................. 57,131,483
30,904 McLeod USA Inc., Class A Shares*+................... 1,031,421
38,074 MediaOne Group, Inc.*............................... 2,503,365
25,298 Metromedia Fiber Network, Inc.*+.................... 744,710
8,800 Molex Inc.+......................................... 282,150
42,593 Nextel Communications Inc.*+........................ 2,462,406
19,810 Nextlink Communications, Inc.*+..................... 997,929
22,221 NTL Inc.*+.......................................... 2,181,824
17,987 PRIMEDIA Inc. ...................................... 248,445
13,037 PSINet Inc.+........................................ 624,146
43,317 QUALCOMM, Inc.+..................................... 8,324,986
11,034 RCN Corp. .......................................... 463,428
15,781 Rhythms NetConnections Inc. ........................ 603,623
153,195 SBC Communications, Inc.+........................... 7,353,360
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Telecommunications -- 9.9% (continued)
20,472 Scientific-Atlanta, Inc. .......................... $ 1,049,190
4,356 Sprint Corp.+...................................... 260,271
6,595 Teligent, Inc., Class A Shares*+................... 415,897
287,037 Tellabs, Inc.*..................................... 17,096,641
3,153 Time Warner Telecom Inc.*.......................... 85,131
66,431 U.S. West, Inc. ................................... 3,471,020
2,508 United States Cellular Corp.*+..................... 141,232
8,737 UnitedGlobalCom Inc.*.............................. 639,985
3,508 Vignette Corp.*.................................... 237,886
45,700 Vodafone Airtouch PLC+............................. 9,165,706
16,820 VoiceStream Wireless Corp.*+....................... 693,825
13,765 Western Wireless Corp., Class A Shares*............ 532,533
- -------------------------------------------------------------------------------
233,199,540
- -------------------------------------------------------------------------------
Television -- 1.0%
9,774 ACNielsen Corp.*................................... 244,350
38,005 Fox Entertainment Group, Inc.*..................... 876,490
2,645 Hearst-Argyle Television, Inc.*.................... 66,952
9,842 Nielson Media Research, Inc.*...................... 361,078
29,236 Qwest Communications International Inc.+........... 840,535
344,565 Time Warner, Inc. ................................. 20,437,103
- -------------------------------------------------------------------------------
22,826,508
- -------------------------------------------------------------------------------
Transportation -- 0.1%
14,821 COMAIR Holdings, Inc. ............................. 313,094
14,380 Expeditors International of Washington, Inc. ...... 464,654
33,481 Kansas City Southern Industries, Inc. ............. 1,550,589
- -------------------------------------------------------------------------------
2,328,337
- -------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,156,337,532)........ 2,343,697,065
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
Schedules of Investments (continued) August 31, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY BILLS -- 0.1%
U.S. Treasury Bills:
$1,000,000 4.590% due 9/23/99................................ $ 997,195
700,000 4.950% due 9/23/99................................ 698,032
- --------------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS (Cost -- $1,695,227)..... 1,695,227
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.1%
3,396,000 Morgan Stanley Dean Witter & Co., 5.400% due
9/1/99; Proceeds at maturity -- $3,396,509;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 6.375% to 6.625% due 4/30/02 to 8/15/27;
Market value -- $3,574,082) (Cost -- $3,396,000) .. 3,396,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,161,428,759**)................................ $2,348,788,292
- --------------------------------------------------------------------------------
</TABLE>
* Non-income producing security.
+ All or a portion of this security is on loan (See Note 12).
++Security has been partially segregated by Custodian for futures contracts
commitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
[CHART]
Classification of Investments
Consumer Products 12.4%
Computer Services 15.1%
Financial Services 3.6%
Health Care 17.8%
Retail 10.0%
Technology 19.4%
Telecommunications 9.9%
Other Common Stocks 11.6%
U.S. Treasury Bills
& Repurchase Agreement 0.2%
See Notes to Financial Statements.
53
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.7%
- --------------------------------------------------------------------------------
Advertising -- 0.1%
4,243 GC Cos., Inc.(a)......................................... $ 142,141
7,900 Gray Communications System, Inc. ........................ 139,238
400 Grey Advertising Inc. ................................... 148,400
12,600 True North Communications Inc. .......................... 415,013
- --------------------------------------------------------------------------------
844,792
- --------------------------------------------------------------------------------
Aerospace & Defense -- 1.4%
97,598 AAR CORP. ............................................... 2,086,157
4,828 Alliant Techsystems Inc.(a).............................. 352,444
4,500 BE Aerospace, Inc.(a).................................... 77,906
4,300 Curtiss-Wright Corp. .................................... 142,169
19,468 The Fairchild Corp., Class A Shares(a)................... 177,646
156,300 GenCorp Inc. ............................................ 3,360,450
203,840 Kaman Corp., Class A Shares.............................. 2,662,660
4,600 Kellstrom Industries, Inc.(a)............................ 47,222
8,400 OEA, Inc. ............................................... 58,800
4,900 Orbital Sciences Corp.(a)................................ 108,719
16,900 REMEC, Inc.(a)........................................... 210,194
8,198 Sequa Corp., Class A Shares.............................. 554,390
6,800 Triumph Group Inc.(a).................................... 168,300
- --------------------------------------------------------------------------------
10,007,057
- --------------------------------------------------------------------------------
Auto Parts -- 1.3%
20,201 Arvin Industries, Inc. .................................. 722,186
47,000 Borg-Warner Automotive, Inc. ............................ 2,226,625
3,300 Delco Remy International Inc.(a)......................... 31,763
6,979 Detroit Diesel Corp. .................................... 142,633
6,200 Dura Automotive Systems, Inc.(a)......................... 160,425
207,561 Intermet Corp. .......................................... 2,393,438
13,800 Kaydon Corp. ............................................ 423,488
22,391 MascoTech, Inc. ......................................... 386,245
26,400 Ogden Corp. ............................................. 600,600
450 Oshkosh Truck Corp. ..................................... 15,131
42,586 The Pep Boys - Manny, Moe & Jack......................... 620,159
14,393 Simpson Industries, Inc. ................................ 179,913
6,389 Standard Motor Products, Inc. ........................... 143,753
15,795 Superior Industries International, Inc. ................. 442,260
12,479 Titan International Inc. ................................ 138,829
26,698 Tower Automotive, Inc.(a)................................ 533,960
15,742 Wabash National Corp. ................................... 330,582
2,900 Wynns International Inc. ................................ 52,200
- --------------------------------------------------------------------------------
9,544,190
- --------------------------------------------------------------------------------
Banking -- 6.7%
6,300 Advest Group Inc. ....................................... 120,488
6,700 Alabama National BanCorp. ............................... 178,388
22,289 AMCORE Financial, Inc. .................................. 487,572
16,200 Anchor Bancorp Wisconsin, Inc. .......................... 269,325
55,200 Andover Bancorp, Inc. ................................... 1,738,800
9,124 Area Bancshares Corp. ................................... 228,100
50 BancFirst Corp. ......................................... 1,728
3,300 BancFirst Ohio Corp. .................................... 71,363
44,432 Bancorp South, Inc. ..................................... 688,696
17,200 BancWest Corp. .......................................... 719,175
700 Bank of Granite Corp. ................................... 15,138
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Banking -- 6.7% (continued)
365,387 BankAtlantic Bancorp, Inc., Class A Shares+.............. $ 2,310,796
30,498 BankAtlantic Bancorp, Inc., Class B Shares............... 221,110
18,448 Banknorth Group, Inc. ................................... 534,992
5,004 BOK Financial Corp.(a)................................... 107,899
4,000 Brenton Banks, Inc. ..................................... 55,250
10,800 Brookline Bancorp, Inc. ................................. 117,450
5,504 BSB Bancorp, Inc. ....................................... 137,256
7,928 BT Financial Corp. ...................................... 186,308
3,715 Capital City Bank Group Inc. ............................ 83,588
17,900 Carolina First Corp. .................................... 391,563
6,200 Cathay Bancorp, Inc. .................................... 247,225
5,000 Century South Banks, Inc. ............................... 117,188
11,121 Chemical Financial Corp. ................................ 347,531
20,738 Citizens Banking Corp. of Michigan....................... 549,557
11,300 City Holding Co. ........................................ 259,900
10,269 Commerce Bancorp Inc. of New Jersey...................... 441,567
122,269 Commercial Federal Corp. ................................ 2,842,754
11,694 Commonwealth Bancorp, Inc.+.............................. 209,761
9 Community Bank System Inc. .............................. 222
6,600 Community First Bancshares, Inc. ........................ 135,506
8,850 Community Trust Bancorp.................................. 199,125
7,485 CORUS Bancorp............................................ 214,258
6,900 CPB Inc. ................................................ 159,131
8,600 Cullen Frost Bankers Inc. ............................... 224,675
496 CVB Financial Corp.+..................................... 12,896
10,234 Dime Community Bancshares................................ 222,590
14,425 F.N.B. Corp. ............................................ 389,475
2,833 F&M Bancorp Inc. of Wisconsin............................ 96,676
5,827 F&M Bancorp of Maryland.................................. 167,526
9,410 F&M National Corp. ...................................... 296,415
4,500 Farmers Capital Bank Corp. .............................. 159,188
4,000 FCNB Corp. .............................................. 80,000
13,100 First Charter Corp. ..................................... 284,925
4,305 First Citizens Bancshares Inc. .......................... 336,866
4,553 First Commerce Bancshares Inc. .......................... 95,328
23,047 First Commonwealth Financial Corp. ...................... 554,568
9,336 First Federal Capital Corp. ............................. 146,459
7,411 First Financial Bankshares Inc. ......................... 226,036
9,500 First Merchants Corp. ................................... 217,609
18,414 First Midwest Bancorp Inc. .............................. 734,258
8,161 First Republic Bank(a)................................... 209,636
33,807 First Sentinel Bancorp Inc. ............................. 300,037
19,942 First United Bancshares of Arkansas...................... 312,840
10,155 First Washington Bancorp, Inc. .......................... 190,406
17,100 FirstFed Financial Corp.(a).............................. 260,775
12,100 Fisher Scientific International.......................... 217,800
123,534 Flagstar Bancorp, Inc. .................................. 2,439,797
10,186 GBC Bancorp.............................................. 199,900
1,300 Glacier Bancorp, Inc. ................................... 26,650
2,700 Greater Bay Bancorp...................................... 92,475
3,500 Hamilton Bancorp Inc.(a)................................. 85,313
11,400 Harbor Florida Bancshares, Inc. ......................... 140,363
85,000 Hudson United Bancorp+................................... 2,704,063
10,200 Imperial Bancorp(a)...................................... 173,400
60,100 Independence Community Bank.............................. 743,738
8,500 Independent Bank Corp. .................................. 114,750
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Banking -- 6.7% (continued)
10,075 International Bancshares Corp. .......................... $ 444,559
12,240 InterWest Bancorp, Inc. ................................. 269,280
5,600 JeffBanks, Inc. ......................................... 166,600
6,908 JSB Financial, Inc. ..................................... 366,988
19,109 MAF Bancorp, Inc. ....................................... 406,066
4,600 Mahoning National Bancorp. Inc. ......................... 181,700
4,000 Mid-State Bancshares..................................... 137,000
4,000 Midwest Banc Holdings, Inc. ............................. 68,500
10,832 National Bancorp of Alaska............................... 283,663
6,491 National Penn Bancshares, Inc. .......................... 141,991
9,245 NBT Bancorp Inc. ........................................ 174,499
10,300 Northwest Bancorp, Inc. ................................. 85,619
11,198 Ocean Financial Corp. ................................... 200,164
1,766 Old National Bancorp+.................................... 52,980
27,497 One Valley Bancorp Inc. ................................. 1,051,760
11,469 PFF Bancorp, Inc. ....................................... 227,946
4,100 Pinnacle Banc Group, Inc. ............................... 123,000
18,649 Provident Bankshares Corp. .............................. 449,907
5,182 Queens County Bancorp Inc. .............................. 142,505
1,000 R&G Financial Corp. ..................................... 16,250
6,992 Reliance Bancorp Inc. ................................... 241,661
32,262 Republic Bancorp, Inc. .................................. 435,537
4,400 Republic Bancshares Inc.(a).............................. 65,450
39,959 Republic Security Financial Corp. ....................... 382,108
15,088 Riggs National Corp. .................................... 281,014
1,206 S&T Bancorp, Inc. ....................................... 27,964
2,600 Sandy Spring Bancorp, Inc. .............................. 67,600
14,400 Silicon Valley Bancshares(a)............................. 323,100
5,000 Simmons First National Corp. ............................ 152,813
712 Sky Financial Group, Inc. ............................... 17,311
20,640 Sovereign Bancorp., Inc.+................................ 207,045
5,000 St. Francis Capital Corp. ............................... 103,750
31,497 St. Paul Bancorp Inc. ................................... 685,060
186,150 Susquehanna Bancshares Inc. ............................. 3,094,744
7,748 Texas Regional Bancshares, Inc. ......................... 198,058
1,800 Triangle Bancorp......................................... 36,563
1,100 The Trust Co. of New Jersey.............................. 24,406
2,600 U.S.B. Holding Co., Inc. ................................ 36,888
12,756 UMB Financial Corp. ..................................... 542,130
10,990 United National Bancorp.................................. 240,406
9,622 USBANCORP, Inc. ......................................... 141,624
148,708 UST Corp. ............................................... 4,517,006
162,121 Washington Federal, Inc. ................................ 3,870,639
28,810 Webster Financial Corp. ................................. 776,069
14,191 WesBanco, Inc. .......................................... 404,444
8,440 West Coast Bancorp of Oregon............................. 145,590
8,455 Westcorp................................................. 118,370
4,500 Western Bancorp.......................................... 178,875
18,561 Whitney Holding Corp. ................................... 700,678
2,100 Wilshire Financial Services Group Inc.(a)................ 525
- --------------------------------------------------------------------------------
49,854,548
- --------------------------------------------------------------------------------
Basic Industries -- 13.4%
15,595 Aftermarket Technology Corp.(a).......................... 140,355
47,950 AGCO Corp. .............................................. 494,484
30,400 AgriBioTech, Inc.(a)+.................................... 118,750
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Basic Industries -- 13.4% (continued)
8,532 Agribrands International, Inc.(a)........................ $ 414,869
4,988 AK Steel Holding Corp. .................................. 104,748
19,018 Albemarle Corp. ......................................... 329,249
14,204 AMCOL International Corp. ............................... 205,958
6,700 American States Water Co. ............................... 236,175
2,902 Aquarion Co. ............................................ 104,454
52,200 Armco Inc.(a)............................................ 358,875
1,900 Atwood Oceanics, Inc.(a)................................. 59,850
136,182 Barnes Group Inc. ....................................... 2,698,106
8,000 Boise Cascade Office Products Corp.(a)................... 77,000
13,521 Brush Wellman Inc. ...................................... 229,857
89,503 Butler Manufacturing Co. ................................ 2,489,302
29,526 Calgon Carbon Corp. ..................................... 197,455
9,068 California Water Service Group........................... 270,907
18,342 Cambrex Corp. ........................................... 492,941
120,505 Caraustar Industries Inc. ............................... 2,733,957
14,870 Carpenter Technology Corp. .............................. 340,151
69,800 Centex Corp. ............................................ 2,682,934
107,215 Chemed Corp. ............................................ 3,256,656
17,062 Chesapeake Corp. ........................................ 576,909
19,531 Clarcor Inc. ............................................ 350,337
48,910 Collins & Aikman Corp.(a)................................ 259,834
8,200 Comfort Systems USA, Inc.(a)............................. 115,825
100,138 Commercial Metals Co. ................................... 3,066,726
2,000 Crossmann Communities, Inc.(a)........................... 50,500
5,155 CSS Industries, Inc.(a).................................. 106,966
5,000 CUNO Inc.(a)............................................. 103,125
67,443 Cyprus Amax Minerals Co. ................................ 1,142,316
34,973 D.R. Horton, Inc. ....................................... 509,294
11,816 Del Webb Corp. .......................................... 256,998
9,700 Dexter Corp. ............................................ 353,444
17,916 Eastern Enterprises...................................... 805,100
2,162 Florida Rock Industries Inc. ............................ 86,345
356,893 Fritz Cos., Inc.(a)...................................... 4,059,658
5,700 Furniture Brands International, Inc.(a).................. 114,356
2,972 General Binding Corp. ................................... 44,580
13,863 The Geon Co. ............................................ 414,157
5,400 Giant Cement Holding, Inc.(a)............................ 119,475
4,960 Gibraltar Steel Corp. ................................... 122,140
145,000 Gleason Corp. ........................................... 2,718,750
13,362 Granite Construction Inc. ............................... 334,050
10,658 Greif Brothers Corp., Class A Shares..................... 258,457
10,000 Group Maintenance America Corp.(a)....................... 123,125
73,068 Harman International Industries, Inc. ................... 3,105,390
11,600 Hexel Corp. ............................................. 97,150
354,700 Hollinger International Inc. ............................ 3,813,025
32,900 HomeBase, Inc.(a)........................................ 143,938
6,047 The Houston Exploration Co.(a)........................... 128,499
35,617 Input/Output, Inc.(a).................................... 262,675
9,700 Integrated Electrical Services, Inc.(a).................. 147,925
15,100 The IT Group, Inc.(a).................................... 180,256
9,400 IVAX Corp.(a)............................................ 155,100
16,500 Ivex Packaging Corp.(a).................................. 255,750
6,441 Jacobs Engineering Group Inc.(a)......................... 212,553
15,753 John H. Harland Co. ..................................... 313,091
13,200 Justin Industries, Inc. ................................. 188,513
</TABLE>
See Notes to Financial Statements.
57
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Basic Industries -- 13.4% (continued)
25,158 Kaiser Aluminum Corp. ................................... $ 224,850
35,168 Kaufman & Broad Home Corp. .............................. 718,746
84,900 Lancaster Colony Corp. .................................. 2,791,088
147,300 Lennar Corp. ............................................ 2,798,700
15,376 Lilly Industries, Inc., Class A Shares................... 244,094
90,178 Lone Star Industries, Inc. .............................. 3,099,869
7,500 Lone Star Technologies, Inc. ............................ 150,000
3,434 Maxxam Inc.(a)........................................... 196,167
137,000 McGrath Rentcorp......................................... 2,547,344
148,200 MDC Holdings Inc. ....................................... 2,788,013
2,600 Mestek, Inc.(a).......................................... 54,600
13,700 Metals USA, Inc.(a)...................................... 145,563
40,800 Metromedia International Group, Inc.(a).................. 255,000
29,462 Milacron Inc. ........................................... 530,316
15,200 Miller Industries Inc. .................................. 38,950
11,740 Modine Manufacturing Co. ................................ 349,265
3,349 Moog Inc., Class A Shares(a)............................. 110,098
25,481 Morrison Knudsen Corp. .................................. 273,921
5,109 NACCO Industries, Inc., Class A Shares................... 397,863
1,840 NCH Corp. ............................................... 81,880
8,082 NCI Building Systems, Inc.(a)............................ 148,002
100,000 Newport News Shipbuilding Inc. .......................... 3,143,750
10,888 Nichols Research Corp. .................................. 231,370
11,802 NL Industries, Inc. ..................................... 142,362
8,281 Nortek, Inc.(a).......................................... 295,011
18,695 OM Group, Inc. .......................................... 736,116
33,260 Paxar Corp.(a)........................................... 288,946
24,329 Philadelphia Suburban Corp. ............................. 564,129
2,822 Polaris Industries Inc. ................................. 101,416
34,933 Polaroid Corp. .......................................... 947,558
154,700 Policy Management Systems Corp.(a)....................... 4,728,019
15,300 Polymer Group, Inc.(a)................................... 214,200
21,900 Potlatch Corp. .......................................... 845,888
94,600 Precision Castparts Corp. ............................... 3,358,300
25,474 Pulte Corp. ............................................. 589,086
10,576 Quanex Corp. ............................................ 274,976
22,000 Rayonier Inc. ........................................... 913,000
8,877 Reliance Steel & Aluminum Co. ........................... 294,051
4,000 Republic Group Inc. ..................................... 63,750
6,758 Robbins & Meyers, Inc. .................................. 158,813
10,205 Rock-Tenn Co., Class A Shares............................ 144,146
153,600 Roper Industries, Inc. .................................. 5,500,800
11,912 RTI International Metals, Inc.(a)........................ 110,931
12,149 Ryland Group Inc. ....................................... 292,335
309,507 Safety-Kleen Corp.(a).................................... 3,946,214
4,800 Service Experts, Inc.(a)................................. 54,000
8,736 Silgan Holdings Inc.(a).................................. 157,248
500 Simpson Manufacturing Co., Inc.(a)....................... 25,750
7,110 Skyline Corp. ........................................... 197,303
20,700 Southern Peru Cooper Corp. .............................. 318,263
19,700 StaffMark, Inc.(a)....................................... 191,459
9,133 Standard Pacific Corp. .................................. 102,175
131,959 Standard Products Co. ................................... 4,569,080
1,900 Steinway Musical Instruments, Inc.(a).................... 39,663
4,985 Stepan Chemical Co. ..................................... 122,444
9,397 Texas Industries, Inc. .................................. 300,704
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Basic Industries -- 13.4% (continued)
10,081 TJ International Inc. ................................... $ 293,609
14,983 Toll Brothers Inc.(a).................................... 303,406
13,700 TransMontaigne, Inc.(a).................................. 162,688
9,700 U.S. Home Corp. ......................................... 291,000
79,300 USEC Inc. ............................................... 857,431
6,600 Valmont Industries, Inc. ................................ 104,775
18,100 Veritas DGC Inc.(a)...................................... 323,538
3,600 Virco Manufacturing Corp. ............................... 55,800
2,350 Watsco, Inc. ............................................ 32,900
13,526 Watts Industries, Inc., Class A Shares................... 297,572
24,927 Wellman, Inc. ........................................... 419,085
33,300 Wisconsin Central Transport Corp.(a)..................... 530,719
11,117 Wolverine Tube, Inc.(a).................................. 170,924
- --------------------------------------------------------------------------------
98,884,397
- --------------------------------------------------------------------------------
Biotechnology -- 0.1%
14,400 MEMC Electronic Materials Inc.(a)........................ 286,200
12,530 Regeneron Pharmaceuticals Inc.(a)........................ 119,035
13,200 Thermedics Inc.(a)....................................... 88,275
- --------------------------------------------------------------------------------
493,510
- --------------------------------------------------------------------------------
Broadcasting -- 0.1%
350 AFC Cable Systems, Inc.(a)............................... 15,050
18,408 Anixter International Inc.(a)............................ 387,719
5,016 On Command Corp.(a)...................................... 90,288
400 Radio One, Inc.(a)....................................... 16,675
14,500 Sinclair Broadcast Group Inc., Class A Shares(a)+........ 235,625
2,200 Young Broadcasting Inc., Class A Shares(a)............... 132,413
- --------------------------------------------------------------------------------
877,770
- --------------------------------------------------------------------------------
Capital Goods -- 1.9%
16,564 A.O. Smith Corp. ........................................ 449,299
2,600 Allied Products Corp. ................................... 12,025
16,454 Applied Industrial Technologies, Inc. ................... 247,838
2,600 Applied Power Inc., Class A Shares....................... 79,625
2,100 Asyst Technologies, Inc. ................................ 65,625
77,700 Aura Systems Inc.(a)..................................... 33,994
600 Briggs & Stratton Corp. ................................. 36,525
51,300 CommScope, Inc.(a)....................................... 1,766,634
14,034 Electroglas, Inc.(a)..................................... 270,155
20,125 Fedders Corp. ........................................... 130,813
29,058 Flowserve Corp. ......................................... 459,480
13,287 FSI International, Inc. ................................. 85,535
10,200 Gardner Denver Inc.(a)................................... 195,713
17,600 Global Industrial Technologies, Inc.(a).................. 195,800
14,209 IDEX Corp. .............................................. 420,054
12,326 JLG Industries Inc. ..................................... 218,787
16,800 Kulicke & Soffa Industries Inc.(a)....................... 345,450
5,278 Lawson Products, Inc. ................................... 121,394
3,779 The Manitowoc Co., Inc. ................................. 140,041
35,400 National-Oilwell Inc.(a)................................. 601,800
4,977 Nordson Corp. ........................................... 244,651
254,700 Ralcorp Holdings Inc.(a)................................. 4,170,713
16,500 Regal-Beloit Corp. ...................................... 368,156
5,900 Sauer Inc. .............................................. 73,750
41,000 Tecumseh Products Co., Class A Shares.................... 2,337,000
2,900 Terex Corp. ............................................. 77,938
</TABLE>
See Notes to Financial Statements.
59
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Capital Goods -- 1.9% (continued)
1,800 Trex Co., Inc.(a)........................................ $ 37,463
35,660 Trinity Industries, Inc. ................................ 1,118,833
- --------------------------------------------------------------------------------
14,305,091
- --------------------------------------------------------------------------------
Chemicals -- 0.7%
40,700 Airgas Inc.(a)........................................... 534,188
13,100 Arch Chemicals, Inc. .................................... 257,906
14,525 ChemFirst Inc. .......................................... 370,388
17,231 Crompton & Knowles Corp. ................................ 301,543
12,901 Ferro Corp. ............................................. 309,624
23,300 Gaylord Container Corp.(a)............................... 190,769
11,730 Georgia Gulf Corp. ...................................... 213,339
14,288 Minerals Technologies Inc. .............................. 707,256
21,572 Mississippi Chemical Corp. .............................. 163,138
32,600 Olin Corp. .............................................. 462,513
300 Penford Corp. ........................................... 4,425
7,000 Primex Technologies, Inc. ............................... 146,125
2,380 Scotts Co., Class A Shares(a)............................ 94,456
23,915 Terra Industries Inc.(a)................................. 53,809
1,900 Tetra Tech, Inc.(a)...................................... 19,713
19,500 W.R. Grace & Co.(a)...................................... 372,938
43,082 Witco Corp. ............................................. 697,390
- --------------------------------------------------------------------------------
4,899,520
- --------------------------------------------------------------------------------
Consumer Durables -- 5.8%
9,646 A.M. Castle & Co. ....................................... 142,279
25,415 A. Schulman, Inc. ....................................... 455,882
12,200 Actel Corp.(a)........................................... 191,388
10,400 ACX Technologies, Inc.(a)................................ 128,700
5,400 Alltrista Corp.(a)....................................... 135,000
6,000 Amkor Technology, Inc.(a)+............................... 105,750
4,400 Ampex Corp., Class A Shares(a)........................... 13,750
700 Amphenol Corp., Class A Shares(a)........................ 32,769
4,600 Analogic Corp. .......................................... 154,100
31,700 ASARCO Inc. ............................................. 661,738
2,992 Bacou USA, Inc.(a)....................................... 53,856
22,276 Baldor Electric Co. ..................................... 395,399
1,100 Battle Mountain Gold Co. ................................ 1,925
17,698 Belden Inc. ............................................. 414,797
15,000 BMC Industries Inc. ..................................... 184,688
8,800 Brooks Automation, Inc.(a)............................... 191,400
22,264 Cable Design Technologies Corp.(a)....................... 468,936
12,200 Canandaigua Brands, Inc., Class A Shares(a).............. 706,075
13,573 Coachmen Industries Inc. ................................ 214,623
6,500 Cohu, Inc. .............................................. 277,875
8,214 Columbus McKinnon Corp. ................................. 143,745
10,621 Commercial Intertech Corp. .............................. 132,763
4,659 Cubic Corp. ............................................. 111,816
445,900 DIMON Inc. .............................................. 1,922,934
14,370 Donaldson Co., Inc. ..................................... 282,011
13,500 EarthShell Corp.(a)+..................................... 65,391
1,749 Electro Scientific Industries Inc.(a).................... 69,960
7,400 Exar Corp.(a)............................................ 270,100
94,400 Fleetwood Enterprises, Inc. ............................. 1,923,400
9,600 The Genlyte Group Inc.(a)................................ 235,200
15,000 Global Industries Ltd.(a)................................ 167,813
24,505 Griffon Corp.(a)......................................... 174,598
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Durables -- 5.8% (continued)
9,454 H.B. Fuller Co. ......................................... $ 569,604
7,700 Hadco Corp.(a)........................................... 320,031
33,100 Hardinge, Inc. .......................................... 504,775
11,731 Harnischfeger Industries, Inc.+.......................... 16,863
1,600 hi/fi, inc.(a)........................................... 193,100
30,361 Imation Corp.(a)......................................... 855,801
12,073 IMCO Recycling Inc. ..................................... 190,150
65,542 Integrated Device Technology, Inc.(a).................... 1,278,069
12,756 Ionics, Inc.(a).......................................... 373,113
1,100 Itron, Inc.(a)........................................... 7,425
3,000 JLK Direct Distribution Inc., Class A Shares(a).......... 24,563
23,100 Kennametal Inc. ......................................... 612,150
18,800 Kent Electronics Corp.(a)................................ 318,425
7,700 Lam Research Corp.(a).................................... 434,569
161,622 Lincoln Electric Holding Inc. ........................... 3,272,846
4,663 Littelfuse, Inc.(a)...................................... 92,677
40,742 Longview Fibre Co. ...................................... 527,100
12,423 Lydall Inc. ............................................. 134,324
38,700 Mark IV Industries, Inc. ................................ 766,744
13,060 Marshall Industries(a)................................... 479,139
8,688 Methode Electronics Inc. ................................ 156,384
2,813 Mine Safety Appliances Co. .............................. 180,032
8,582 MotivePower Industries, Inc. ............................ 106,202
24,458 Mueller Industries, Inc.(a).............................. 758,198
3,035 Oak Technology, Inc.(a).................................. 14,416
2,000 Oakley, Inc.(a).......................................... 12,250
35,138 Oakwood Homes Corp. ..................................... 213,024
8,057 Otter Tail Power Co. .................................... 320,769
8,700 P-Com, Inc.(a)+.......................................... 41,869
7,279 Park Electrochemical Corp. .............................. 211,546
20,754 Pioneer Standard Electronics, Inc. ...................... 293,150
7,600 Pittway Corp., Delaware, Class A Shares.................. 250,325
151,322 Prentiss Properties Trust................................ 3,433,118
1,100 Recoton Corp.(a)......................................... 8,663
6,000 Rogers Corp.(a).......................................... 191,250
3,000 Scott Technologies Inc. ................................. 56,906
7,600 Shorewood Packaging Corp.(a)............................. 112,100
22,611 Silicon Valley Group Inc.(a)............................. 268,506
312 Siliconix Inc.(a)........................................ 13,572
9,393 Southern Union Co.(a).................................... 196,672
9,800 Sovran Self Storage, Inc. ............................... 224,175
4,400 Spartech Corp. .......................................... 122,375
1,500 SpeedFam International, Inc.(a).......................... 14,813
10,734 SpeedFam-IPEC, Inc.(a)................................... 105,998
9,500 SPS Technologies, Inc.(a)................................ 372,281
3,981 Standex International Corp. ............................. 91,065
9,600 Stoneridge, Inc.(a)...................................... 172,800
4,500 Superior Services, Inc.(a)............................... 120,938
37,766 Tektronix, Inc. ......................................... 1,255,720
3,250 Tennant Co. ............................................. 109,891
693 Thermo Optek Corp.(a).................................... 5,631
40,623 The Timken Co. .......................................... 713,441
14,000 Titanium Metals Corp. ................................... 119,875
1,300 Tredegar Corp. .......................................... 28,275
19,432 Tupperware Corp. ........................................ 438,435
35,348 UCAR International Inc.(a)............................... 861,608
</TABLE>
See Notes to Financial Statements.
61
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Consumer Durables -- 5.8% (continued)
8,006 Ultratech Stepper, Inc.(a).............................. $ 107,080
27,900 United Stationers Inc. ................................. 631,238
116,300 Universal Corp. ........................................ 3,300,013
147,256 Universal Forest Products, Inc. ........................ 2,530,963
5,100 Varian Inc.(a).......................................... 80,963
7,970 Varian Semiconductor Equipment Associates, Inc.(a)...... 181,318
6,773 Vishay Intertechnology, Inc.(a)......................... 145,196
2,000 Watkins-Johnson Co. .................................... 66,250
179,998 Wausau-Mosinee Paper Corp. ............................. 2,474,973
7,100 Woodward Governor Co. .................................. 176,613
11,900 Wyman-Gordon Co.(a)..................................... 218,663
2,100 X-Rite, Inc. ........................................... 14,306
- -------------------------------------------------------------------------------
42,925,978
- -------------------------------------------------------------------------------
Consumer Goods -- 3.2%
3,955 Aaron Rents Inc. ....................................... 74,898
132,200 ACNielsen Corp.(a)...................................... 3,304,990
12,721 American Business Products Inc. ........................ 190,815
10,036 Bassett Furniture Industries Inc. ...................... 204,484
4,200 Brady Corp., Class A Shares............................. 126,000
100,000 C&D Technology, Inc. ................................... 3,150,000
14,400 Central Garden & Pet Co.(a)............................. 111,600
5,900 Champion Enterprises Inc.(a)............................ 50,150
3,600 Direct Focus Inc.(a).................................... 63,450
147,100 Ennis Business Forms, Inc. ............................. 1,305,513
6,500 Ethan Allen Interiors, Inc.+............................ 189,719
13,712 The Great Atlantic & Pacific Tea Co., Inc. ............. 481,634
182,000 Haverty Furniture Cos., Inc. ........................... 2,946,125
32,590 Interface, Inc. ........................................ 283,126
175,046 Kimball International, Inc., Class B Shares............. 3,380,576
1,400 Knoll, Inc.(a).......................................... 37,450
97,171 La-Z-Boy Inc. .......................................... 2,131,689
5,186 Marvel Enterprises, Inc.(a)............................. 28,199
5,809 Mikasa, Inc. ........................................... 70,434
5,905 National Presto Industries, Inc. ....................... 231,033
12,776 O'Sullivan Industries Holdings, Inc.(a)................. 201,222
4,400 Pier 1 Imports, Inc. ................................... 23,925
11,941 Playtex Products Inc.(a)................................ 173,891
38,282 Riviana Foods Inc. ..................................... 732,143
6,362 Robert Mondavi Corp., Class A Shares(a)................. 219,887
128,796 Russ Berrie & Co. Inc. ................................. 3,018,656
8,000 Select Comfort Corp.(a)................................. 58,500
12,960 Thomas Industries Inc. ................................. 251,910
9,119 The Toro Co. ........................................... 335,123
14,200 Windmere-Durable Holdings Inc. ......................... 206,788
- -------------------------------------------------------------------------------
23,583,930
- -------------------------------------------------------------------------------
Consumer Non-Durables -- 3.9%
900 American Italian Pasta Co.(a)........................... 25,200
6,500 Aurora Foods Inc.(a).................................... 109,688
32,357 Bob Evans Farms, Inc. .................................. 659,274
21,700 Boyds Collection Ltd.(a)................................ 291,594
10,600 Buckeye Technologies Inc.(a)............................ 168,275
5,359 Bush Boake Allen Inc.(a)................................ 139,669
7,406 Bush Industries Inc., Class A Shares.................... 96,741
306,000 Chiquita Brands International, Inc. .................... 2,027,250
29,650 Corn Products International Inc. ....................... 965,478
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Non-Durables -- 3.9% (continued)
9,752 CORT Business Services Corp.(a).......................... $ 244,410
7,346 Department 56, Inc.(a)................................... 205,688
30,388 Earthgrains Co. ......................................... 733,111
215,300 Golden State Bancorp, Inc.(a)+........................... 4,319,456
4,000 Grand Union Co.(a)....................................... 51,750
200,550 Hussmann International Inc. ............................. 3,409,350
14,400 Imperial Sugar Co. ...................................... 87,300
22,545 Information Resources Inc.(a)............................ 245,177
4,740 International Home Foods, Inc.(a)........................ 94,800
14,100 International Multifoods Corp. .......................... 319,894
21,810 J.M. Smucker Co., Class A Shares......................... 501,630
4,900 J&J Snack Foods Co. ..................................... 102,900
6,900 Lance, Inc. ............................................. 89,700
6,141 Libbey Inc. ............................................. 188,068
116,185 Michael Foods Inc. ...................................... 3,216,874
99,300 Nash-Finch Co. .......................................... 899,910
55,600 Olsten Corp. ............................................ 569,900
21,081 P.H. Glatfelter Co. ..................................... 278,006
61,518 Pennzoil-Quaker State, Co. .............................. 853,562
4,628 Performance Food Group Co.(a)............................ 120,473
150,763 Pilgrims Pride Corp., Class A Shares..................... 1,224,949
116,527 Pilgrims Pride Corp., Class B Shares..................... 1,238,099
4,700 Sanderson Farms, Inc. ................................... 49,938
333 Seaboard Corp. .......................................... 80,586
12,759 Schweitzer-Mauduit International, Inc. .................. 173,044
9,400 Smithfield Foods, Inc.(a)................................ 276,125
8,276 Springs Industries Inc. ................................. 310,867
10,517 Standard Register Co. ................................... 284,616
26,700 Suiza Foods Corp.(a)..................................... 851,063
69,200 Sunbeam Corp.(a)+........................................ 428,175
150,300 Universal Foods Corp. ................................... 3,175,088
6,000 Worthington Foods, Inc. ................................. 78,750
- --------------------------------------------------------------------------------
29,186,428
- --------------------------------------------------------------------------------
Consumer Services -- 7.2%
14,500 ABC Rail Products Corp.(a)............................... 205,719
2,168 ABM Industries Inc. ..................................... 49,864
9,070 Acceptance Insurance Cos. Inc. .......................... 120,178
26,550 Alfa Corp. .............................................. 449,691
3,821 Alleghany Corp.(a)....................................... 690,646
6,900 American Annuity Group, Inc. ............................ 152,231
12,090 American Heritage Life Investment Corp. ................. 379,324
132,024 AmerUs Life Holdings, Inc., Class A Shares............... 3,185,079
15,196 Argonaut Group, Inc. .................................... 383,699
2,300 ARM Financial Group, Inc. ............................... 575
52,000 Arthur J. Gallagher & Co. ............................... 2,840,500
15,600 Avis Rent A Car, Inc.(a)................................. 343,200
74,500 Bandag, Inc., Class A Shares............................. 1,978,896
1,754 Berlitz International Inc.(a)............................ 32,011
31,871 Boyd Gaming Corp.(a)..................................... 171,307
2,600 Burns International Services Corp.(a).................... 40,788
2,600 CACI International Inc.(a)............................... 58,500
1,600 Carey International, Inc.(a)............................. 34,800
3,900 Carriage Services, Inc.(a)............................... 43,631
4,940 The Chubb Corp. ......................................... 282,506
1,400 Corporate Executive Board Co.(a)......................... 49,175
77,800 Corporate Express Inc.(a)................................ 692,906
</TABLE>
See Notes to Financial Statements.
63
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Consumer Services -- 7.2% (continued)
700 CPI Corp. .............................................. $ 22,750
416,200 Dal-Tile International Inc.(a).......................... 3,693,765
11,720 Delphi Financial Group, Inc., Class A Shares(a)......... 416,060
11,800 Electro Rent Corp.(a)................................... 143,075
190,000 ESG Re Ltd.(a).......................................... 2,565,000
242,782 Exide Corp. ............................................ 2,685,776
30,000 Extended Stay America, Inc.(a).......................... 270,000
16,076 Franklin Covey Co.(a)................................... 124,589
10,400 Harleysville Group Inc. ................................ 202,150
216,700 HCC Insurance Holdings, Inc. ........................... 3,169,238
2,200 Heidrick & Struggles International, Inc.(a)............. 33,550
33,700 Horace Mann Educators Corp. ............................ 1,015,213
107,750 HSB Group, Inc. ........................................ 4,006,953
33,224 Interim Services Inc. .................................. 612,568
800 Intraware, Inc.(a)...................................... 14,400
122,600 Kelly Services, Inc., Class A Shares.................... 3,448,125
3,700 Korn/Ferry International(a)............................. 61,975
12,600 LandAmerica Financial Group............................. 291,375
1,500 Lason, Inc.(a)+......................................... 67,781
31,810 Leucadia National Corp. ................................ 673,974
10,400 Liberty Financial Cos., Inc. ........................... 267,800
2,926 Markel Corp.+........................................... 513,879
19,513 Medical Assurance, Inc.(a).............................. 490,264
37,010 MeriStar Hospitality Corp. ............................. 624,544
37,600 The Mony Group Inc. .................................... 1,052,800
6,783 National Processing Inc.(a)............................. 58,503
1,459 National Western Life Insurance, Class A Shares(a)...... 132,040
2,000 NFO Worldwide, Inc.(a).................................. 26,250
49,340 Ohio Casualty Corp. .................................... 758,603
5,193 Penn Treaty American Corp.(a)........................... 122,685
18,418 Personnel Group of America, Inc.(a)..................... 154,251
3,000 Pitt-Des Moines, Inc. .................................. 72,750
14,100 PMA Capital Corp. ...................................... 279,356
184,071 Presidential Life Corp. ................................ 3,313,278
25,734 Radian Group, Inc. ..................................... 1,191,806
54,800 Reliance Group Holdings, Inc. .......................... 260,300
8,312 Risk Capital Holdings, Inc.(a).......................... 124,680
169,274 Selective Insurance Group, Inc. ........................ 3,015,193
2,900 SITEL Corp.(a).......................................... 11,419
5,900 StanCorp Financial Group, Inc. ......................... 139,756
11,998 State Auto Financial Corp. ............................. 149,975
993 Station Casinos, Inc.(a)................................ 20,108
8,900 Stewart Info Services Corp. ............................ 185,231
9,500 Superior National Insurance Group(a).................... 140,719
314,900 Total Renal Care Holdings, Inc.(a)...................... 2,538,881
10,400 US Liquids Inc.(a)...................................... 78,000
5,951 United Fire & Casualty Co. ............................. 137,245
7,000 Volt Information Sciences, Inc.(a)...................... 168,438
15,435 W.R. Berkley Corp. ..................................... 351,146
615 The Wackenhut Corp.(a).................................. 14,875
4,370 White Mountains Insurance Group......................... 569,193
10,971 XTRA Corp.(a)........................................... 497,123
- -------------------------------------------------------------------------------
53,164,634
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Distribution -- 0.1%
7,500 Anicom, Inc.(a).......................................... $ 46,406
15,800 Aviall Inc. ............................................. 175,775
69,700 Merisel, Inc.(a)......................................... 113,263
1,500 Valley Media, Inc.(a).................................... 18,375
4,800 WESCO International, Inc. ............................... 60,600
- --------------------------------------------------------------------------------
414,419
- --------------------------------------------------------------------------------
Energy -- 1.6%
14,578 Arch Coal, Inc. ......................................... 194,981
6,700 Belco Oil & Gas Corp.(a)................................. 46,063
10,000 CONSOL Energy Inc. ...................................... 134,375
33,500 EEX Corp. ............................................... 159,125
4,200 Hanover Compressor Co.(a)................................ 150,938
39,200 Helmerich & Payne, Inc. ................................. 1,080,450
12,200 IRI International Corp.(a)............................... 57,188
66,300 Key Energy Group, Inc.(a)................................ 310,781
6,200 McMoRan Exploration Co.(a)............................... 125,163
25,700 Patterson Energy, Inc.(a)................................ 345,344
129,590 RGS Energy Group Inc. ................................... 3,353,141
18,800 Seitel, Inc.(a).......................................... 183,300
9,000 St. Mary Land & Exploration Co. ......................... 238,500
170,000 Stolt Comex Seaway, S.A.(a).............................. 2,167,500
2,000 Thermo Ecotek Corp.(a)................................... 15,500
1,200 Trigen Energy Corp. ..................................... 20,850
10,200 UTI Energy Corp.(a)...................................... 204,000
437,200 Vlasic Foods International Inc.(a)....................... 3,224,350
12,700 Zapata Corp.(a).......................................... 75,406
- --------------------------------------------------------------------------------
12,086,955
- --------------------------------------------------------------------------------
Entertainment -- 0.5%
1,400 The Ackerly Group, Inc. ................................. 21,350
1,024 AMC Entertainment Inc. .................................. 14,336
4,000 Anchor Gaming(a)......................................... 194,375
23,432 Ascent Entertainment Group, Inc.(a)...................... 319,261
32,701 Aztar Corp.(a)........................................... 300,440
6,600 Carmike Cinemas Inc., Class A Shares(a).................. 89,100
500 Choice Hotels Corp.(a)................................... 8,125
2,000 Dover Downs Entertainment, Inc. ......................... 29,250
23,122 Florida Panthers Holdings, Inc.(a)....................... 229,775
14,233 Gaylord Entertainment Co., Class A Shares................ 434,107
15,500 GTECH Holdings Corp.(a).................................. 391,375
15,909 Hollywood Park Inc. ..................................... 269,459
19,800 Lodgian, Inc.+........................................... 86,625
4,000 Lowes Cineplex Entertainment(a).......................... 31,750
19,748 The Marcus Corp. ........................................ 235,742
12,400 Players International, Inc.(a)........................... 94,163
40,552 Prime Hospitality Corp.(a)............................... 377,641
7,600 Scientific Games Holdings Inc.(a)........................ 154,375
153,222 Wyndham International Inc.(a)............................ 545,854
- --------------------------------------------------------------------------------
3,827,103
- --------------------------------------------------------------------------------
Financial Services -- 5.6%
14,643 Advanta Corp., Class A Shares+........................... 288,284
2,600 Affiliated Managers Group, Inc.(a)....................... 69,388
6,000 Alliance Bancorp......................................... 129,000
33,700 Allied Capital Corp. .................................... 761,409
6,379 AMERCO(a)................................................ 160,272
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Financial Services -- 5.6% (continued)
30,910 Arcadia Financial Ltd. .................................. $ 175,801
10,700 Baldwin & Lyons Inc., Class B Shares..................... 227,375
2,000 Banco Santander Puerto Rico.............................. 34,125
9,950 Bandag, Inc. ............................................ 330,838
22,400 Bank United Corp., Class A Shares+....................... 768,600
15,800 Bay View Capital Corp. .................................. 257,738
4,931 Black Hills Corp. ....................................... 122,042
17,361 Building One Services, Corp.(a).......................... 225,693
17,500 Capital Reorg Corp. ..................................... 212,188
61,600 Capitol Federal Financial(a)............................. 623,700
112,700 CDI Corp.(a)............................................. 3,395,078
4,100 Century Business Services, Inc.(a)+...................... 53,044
12,900 CFS Bancorp.............................................. 137,869
16,300 Charter Municipal Mortgage Acceptence Corp. ............. 202,731
11,300 Chicago Title Corp. ..................................... 512,031
8,797 Chittenden Corp. ........................................ 238,619
13,076 CNA Surety Corp. ........................................ 169,171
20,845 Commerce Group Inc. ..................................... 463,801
1,900 CompuCredit Corp.(a)..................................... 35,150
8,700 ContiFinancial Corp.(a)+................................. 11,419
16,530 Credit Acceptance Corp.(a)+.............................. 97,114
2,600 Creditrust Corp.(a)+..................................... 67,600
57,370 Dain Rauscher Corp. ..................................... 2,846,986
1,106 Delta Financial Corp.(a)+................................ 6,636
5,800 Doral Financial Corp. ................................... 80,475
16,828 Downey Financial Corp. .................................. 357,595
7,600 DVI, Inc.(a)............................................. 127,775
1,338 E. W. Blanch Holdings, Inc. ............................. 88,643
5,100 East West Bancorp Inc. .................................. 50,363
21,872 Enhance Financial Services Group Inc. ................... 448,376
1,828 EVEREN Capital Corp. .................................... 55,526
3,400 Farm Family Holdings Inc.(a)............................. 135,575
15,184 FBL Financial Group Inc. ................................ 300,833
975 Financial Federal Corp.(a)............................... 18,342
43,955 The First American Financial Corp. ...................... 653,831
1,400 First Bankcorp of Puerto Rico............................ 28,875
4,000 First Busey Corp. ....................................... 84,750
5,168 First Financial Corp. of Indiana......................... 191,216
8,880 First Financial Holdings Inc. ........................... 166,500
7,400 First Indiana Corp. ..................................... 170,200
5,600 First Liberty Financial Corp. ........................... 163,100
2,700 FirstCity Financial Corp.(a)............................. 4,050
7,883 Foremost Corp. of America................................ 187,221
9,100 Franchise Mortgage Acceptance Co.(a)..................... 77,919
10,300 Freedom Securities Corp. ................................ 144,844
24,804 Frontier Insurance Group Inc. ........................... 300,749
11,924 Grand Premier Financial, Inc. ........................... 152,031
7,622 Guarantee Life Cos., Inc. ............................... 191,503
7,751 Hancock Holding Co. ..................................... 295,507
5,518 Harleysville National Corp. ............................. 193,475
5,900 Harris Financial, Inc. .................................. 60,106
11,500 Hudson River Bancorp..................................... 134,406
22,800 Imperial Credit Industries, Inc.(a)...................... 123,975
17,400 Jefferies Group, Inc. ................................... 430,650
6,168 Kansas City Life Insurance Co. .......................... 251,732
12,198 Liberty Corp. ........................................... 586,266
</TABLE>
See Notes to Financial Statements.
66
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Financial Services -- 5.6% (continued)
16,200 Local Financial Corp.(a)................................. $ 154,913
2,800 Medallion Financial Co. ................................. 55,475
2,100 Michigan Financial Corp. ................................ 67,988
6,688 MidAmerica Bancorp....................................... 154,660
3,600 Midland, Co.............................................. 84,600
13,360 MMI Cos., Inc. .......................................... 177,855
8,400 Morgan Keegan Inc. ...................................... 142,275
13,365 National City Bancshares Inc. ........................... 341,643
7,700 New Century Financial Corp.(a)........................... 129,938
900 NextCard, Inc.(a)........................................ 22,050
5,400 Niagara Bancorp.......................................... 56,025
25,600 Ocwen Financial Corp.(a)................................. 171,200
5,750 Omega Financial Corp. ................................... 185,078
111,600 Orion Capital Corp. ..................................... 5,384,700
1,600 PBOC Holdings, Inc.(a)................................... 16,000
4,102 PEC Israel Economic Corp.(a)............................. 140,237
4,500 The Peoples Holding Co. ................................. 121,500
6,200 Philadelphia Consolidated Holding Corp.(a)............... 114,700
37,890 Phoenix Investment Partners, Ltd. ....................... 326,801
7,900 PICO Holdings, Inc.(a)................................... 158,000
10,000 Premier National Bancorp, Inc. .......................... 173,750
16,626 Primark Corp. ........................................... 417,728
1,400 Prism Financial Corp.+................................... 27,650
6,600 Professional Group(a).................................... 171,600
109,394 PXRE Corp. .............................................. 1,852,861
4,600 Rare Medium Group(a)+.................................... 43,700
130,200 Raymond James Financial, Inc. ........................... 2,547,038
4,872 Reinsurance Group of America, Inc. ...................... 155,904
2,000 Republic Bancorp......................................... 19,313
17,300 Resource America, Inc., Class A Shares................... 173,000
17,792 Resource Bancshares Mortgage Group, Inc. ................ 106,752
25,700 Richmond County Financial Corp. ......................... 509,181
6,712 RLI Corp. ............................................... 225,272
3,900 Rock Financial Corp.(a)+................................. 68,250
9,944 SCPIE Holdings Inc. ..................................... 301,428
10,900 Seacoast Financial Services Corp. ....................... 121,263
4,000 Second Bancorp Inc. ..................................... 101,500
34,500 Staten Island Bancorp Inc. .............................. 618,844
3,200 Student Loan Corp. ...................................... 128,000
17,026 Thornberg Mortgage Asset Corp. .......................... 156,426
8,780 Trenwick Group Inc. ..................................... 192,611
9,420 Triad Guaranty Inc.(a)................................... 183,690
26,000 UICI(a).................................................. 684,125
18,300 UniCapital Corp.(a)...................................... 67,481
7,600 Unistar Financial Service Corp.(a)+...................... 0
19,500 United Asset Management Corp. ........................... 381,469
19,300 United Community Financial Corp. ........................ 232,806
323,900 UNOVA, Inc.(a)........................................... 4,878,744
2,000 WFS Financial Inc.(a).................................... 41,750
789 WSFS Financial Corp. .................................... 11,539
7,615 Zenith National Insurance Corp. ......................... 164,198
- --------------------------------------------------------------------------------
41,643,622
- --------------------------------------------------------------------------------
Health Care -- 3.7%
800 Accredo Health, Inc.(a).................................. 27,750
11,400 Acuson Corp.(a).......................................... 179,550
</TABLE>
See Notes to Financial Statements.
67
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Health Care -- 3.7% (continued)
6,200 Alterra Healthcare Corp.(a)+............................. $ 62,000
5,794 American HomePatient, Inc.(a)............................ 5,070
10,800 AmeriPath, Inc.(a)....................................... 101,250
38,933 Apria Healthcare Group Inc.(a)........................... 656,994
133,216 Arrow International Inc. ................................ 3,863,264
73,242 Beverly Enterprises, Inc.(a)............................. 366,210
6,761 Bio-Rad Laboratories, Inc., Class A Shares(a)............ 180,012
1,900 BriteSmile, Inc.(a)+..................................... 17,813
13,100 Carter Wallace Inc. ..................................... 234,163
1,000 Cell Pathways Inc.(a)+................................... 10,000
18,824 Coherent Inc.(a)......................................... 356,480
2,800 Columbia Laboratories, Inc.(a)........................... 17,850
1,500 Cooper Cos., Inc. ....................................... 35,906
14,300 Copley Pharmaceutical, Inc.(a)........................... 155,513
41,200 Coventry Health Care, Inc.(a)............................ 414,575
3,800 Cygnus, Inc.(a).......................................... 44,413
9,238 Datascope Corp.(a)....................................... 288,688
8,284 Deltic Timber Corp. ..................................... 206,582
7,799 Diagnostic Products Corp. ............................... 202,774
18,500 Dura Pharmaceuticals, Inc.(a)............................ 246,281
134,600 EG&G, Inc. .............................................. 4,281,953
8,268 First Health Group Corp.(a).............................. 178,279
3,500 GelTex Pharmaceuticals, Inc.(a)+......................... 47,250
14,100 Guilford Pharmaceuticals Inc.(a)......................... 190,350
6,405 Haemonetics Corp.(a)..................................... 125,298
3,200 Hanger Orthopedic Group Inc.(a).......................... 44,000
1,700 Hologic Inc.(a).......................................... 8,394
4,920 Innovative Clinical Solutions, Ltd.(a)................... 5,996
40,800 Integrated Health Services Inc. ......................... 124,950
154,906 Invacare Corp. .......................................... 2,894,806
42,991 Laboratory Corp. of America Holdings(a).................. 123,599
9,837 LifePoint Hospitals, Inc.(a)............................. 67,629
5,368 Longs Drug Stores Corp. ................................. 168,757
25,100 Magellan Health Services, Inc.(a)........................ 229,038
1,900 Mannatech, Inc.(a)+...................................... 13,300
33,197 Mariner Post-Acute Network(a)............................ 18,673
24,000 Matria Healthcare, Inc.(a)............................... 142,500
11,300 Maxxim Medical, Inc.(a).................................. 278,263
3,000 MEDE AMERICA Corp.(a).................................... 68,625
2,200 Mentor Corp. ............................................ 51,425
20,980 Mid Atlantic Medical Services, Inc.(a)................... 177,019
19,212 National Health Investors Inc. .......................... 341,013
46,400 NBTY Inc.(a)............................................. 377,000
3,700 NCS Healthcare Inc.(a)+.................................. 13,413
8,948 Neurogen Corp.(a)........................................ 144,287
15,640 Omega Healthcare Inc. ................................... 311,823
2,300 Omega Protein Corp.(a)................................... 10,063
3,700 OnHealth Network Co.(a).................................. 24,975
287,066 Owens & Minor Inc. Holding Co. .......................... 3,175,668
2,000 PathoGenesis Corp.(a).................................... 35,000
17,700 Pe, Corp. - Celera Genomics Group(a)..................... 508,875
4,000 Pediatrix Medical Group Inc.(a)+......................... 59,750
48,582 Perrigo Co.(a)........................................... 385,620
2,000 Pharmaceutical Resources Inc. ........................... 12,750
47,800 PhyCor, Inc.(a).......................................... 194,188
8,800 Protein Design Labs, Inc.(a)............................. 234,300
</TABLE>
See Notes to Financial Statements.
68
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Health Care -- 3.7% (continued)
1,000 Province Healthcare Co.(a).............................. $ 15,750
5,754 PSS World Medical, Inc.(a).............................. 51,426
2,800 QuadraMed Corp.(a)...................................... 24,938
22,252 Quest Diagnostics Inc.(a)............................... 588,287
58,479 Quorum Health Group, Inc.(a)............................ 515,346
2,200 Respironics, Inc.(a).................................... 21,863
5,473 Roberts Pharmaceutical Corp.(a)......................... 146,745
17,025 Serologicals Corp.(a)................................... 108,534
64,500 SICOR Inc.(a)........................................... 258,000
21,533 Sierra Health Services, Inc.(a)......................... 255,704
19,700 Sola International Inc.(a).............................. 312,738
1,900 Spectra-Physics Lasers Inc.(a).......................... 16,031
31,371 Sun Healthcare Group, Inc.(a)+.......................... 10,980
17,217 Sunrise Medical Inc.(a)................................. 120,519
4,271 Trex Medical Corp.(a)................................... 18,686
7,737 Triad Hospitals, Inc.(a)................................ 86,558
18,900 Twinlab Corp.(a)........................................ 167,147
12,900 Unilab Corp.(a)......................................... 70,144
26,113 US Oncology, Inc.(a).................................... 267,658
24,870 Varian Medical Systems, Inc. ........................... 537,814
49,800 Vencor Inc.(a)+......................................... 3,984
39,500 Ventas, Inc. ........................................... 150,594
17,400 Vertex Pharmaceuticals, Inc.(a)......................... 482,850
7,256 Veterinary Centers of America, Inc.(a).................. 80,723
4,486 Vital Signs Inc. ....................................... 90,000
9,588 West Pharmaceutical Services............................ 360,749
- -------------------------------------------------------------------------------
27,505,735
- -------------------------------------------------------------------------------
Publishing & Printing -- 3.4%
900 Adelphia Communications Corp., Class A Shares(a)+ ...... 55,800
12,599 Applied Graphics Technologies, Inc.(a).................. 113,391
131,900 Banta Corp. ............................................ 3,099,650
900 Big Flower Holdings Inc.(a)............................. 25,988
29,724 Bowne & Co., Inc. ...................................... 412,421
1,008 Houghton Mifflin Co. ................................... 48,132
13,700 Journal Register Co.(a)................................. 210,638
116,200 Lee Enterprises Inc. ................................... 3,333,488
78,000 Life USA Holding Inc. .................................. 1,603,885
196,200 Merrill Corp. .......................................... 3,997,575
5,000 Pulitzer Inc. .......................................... 219,063
3,100 R.R. Donnelley, Corp.(a)................................ 53,669
179,583 Ryerson Tull, Inc. ..................................... 3,400,853
8,410 Scholastic Corp.(a)..................................... 333,246
327,600 Stride Rite Corp. ...................................... 2,846,025
5,100 West Marine(a).......................................... 45,581
30,428 World Color Press, Inc.(a).............................. 1,118,229
239,122 Yellow Corp.(a)......................................... 3,796,062
21,000 Ziff-Davis Inc. - ZD(a)................................. 324,188
- -------------------------------------------------------------------------------
25,037,884
- -------------------------------------------------------------------------------
Real Estate -- 9.5%
1,000 Act Networks Inc.(a).................................... 9,625
34,300 Alexander & Baldwin, Inc. .............................. 829,631
7,750 Alexandria Real Estate Equities, Inc. .................. 227,172
169,004 American Health Properties, Inc. ....................... 3,337,829
7,000 American Industrial Properties REIT..................... 78,313
1,500 American Retirement Corp.(a)............................ 17,531
</TABLE>
See Notes to Financial Statements.
69
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Real Estate -- 9.5% (continued)
11,310 Amli Residential Properties Trust........................ $ 234,683
35,500 AMRESCO Inc.(a).......................................... 237,406
309 Apartment Investment & Management Co.................... 12,669
5,100 Assisted Living Concepts Inc.(a)......................... 14,663
14,800 Associated Estates Realty Corp. ......................... 137,825
18,155 Bedford Property Investors, Inc. ........................ 322,251
30,300 Berkshire Realty Co. .................................... 352,238
13,419 Boykin Lodging Co. ...................................... 184,511
20,876 Bradley Real Estate Inc. ................................ 399,254
28,500 Brandywine Realty Trust.................................. 511,219
35,013 BRE Properties, Class A Shares........................... 884,078
25,800 Burnham Pacific Property Inc. ........................... 295,088
36,177 Camden Property Trust.................................... 1,003,912
16,200 Capital Automotive REIT.................................. 202,500
54,644 Capstead Mortgage Corp. ................................. 249,313
12,537 Castle & Cooke Inc.(a)................................... 178,652
5,900 CB Richard Ellis Services Inc.(a)........................ 73,750
17,696 CBL & Associates Properties, Inc. ....................... 440,188
18,000 Center Trust, Inc. ...................................... 231,084
15,896 CenterPoint Properties Corp. ............................ 533,510
8,445 Chateau Communities, Inc. ............................... 245,961
10,330 Chelsea GCA Realty Inc. ................................. 351,220
21,100 Colonial Properties Trust................................ 573,656
23,779 Commercial Net Lease Realty Inc. ........................ 274,945
32,000 Cornerstone Realty Income Trust.......................... 318,000
6,400 Crestline Capital, Corp.(a).............................. 121,200
19,908 Crown American Realty Trust.............................. 146,822
47,800 Developers Divers Realty Corp. .......................... 714,013
14,102 EastGroup Properties, Inc. .............................. 262,650
315,009 Enesco Group, Inc. ...................................... 5,433,895
11,400 Entertainment Properties Trust........................... 174,563
135,776 Equitable Resources, Inc. ............................... 4,989,757
31,859 Equity Inns, Inc. ....................................... 278,766
11,980 Essex Property Trust Inc. ............................... 420,798
23,848 Federal Realty Investment Trust.......................... 521,675
6,720 Felcor Lodging Trust, Inc. .............................. 120,540
30,069 First Industrial Realty Trust, Inc. ..................... 770,518
5,000 First Washington Realty Trust............................ 110,313
1,400 Forest City Enterprises, Inc., Class A Shares............ 34,125
135,000 Franchise Financial Corp. ............................... 2,927,813
20,786 Gables Residential Trust................................. 497,565
1,300 General Growth Properties, Inc. ......................... 43,225
25,294 Glenborough Realty Trust, Inc. .......................... 437,902
180,600 Glimcher Realty Trust.................................... 2,754,150
5,850 Golf Trust of America Inc. .............................. 112,978
13,620 Great Lakes REIT, Inc. .................................. 212,813
11,922 Health Care Property Investors, Inc. .................... 309,972
22,346 Health Care REIT, Inc. .................................. 449,713
31,370 Healthcare Realty Trust Inc. ............................ 637,203
14,252 Home Properties of New York, Inc. ....................... 384,804
39,756 Hospitality Property Trust............................... 1,068,443
27,500 Imperial Credit Commercial............................... 300,781
58,200 IndyMac Mortgage Holdings, Inc. ......................... 782,063
301,801 Innkeepers USA Trust..................................... 2,735,072
6,188 Insignia Financial Group, Inc.(a)........................ 61,493
27,200 IRT Property Co. ........................................ 266,900
</TABLE>
See Notes to Financial Statements.
70
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Real Estate -- 9.5% (continued)
26,230 JDN Realty Corp. ........................................ $ 550,830
10,300 JP Realty Inc. .......................................... 199,563
21,806 Kilroy Realty Corp. ..................................... 500,175
20,981 Koger Equity Inc. ....................................... 361,922
13,400 Konover Property Trust................................... 87,100
9,400 Lasalle Hotel Properties................................. 135,713
14,100 Lexington Corporate Properties Trust..................... 157,744
21,207 LNR Property Corp. ...................................... 394,980
24,183 LTC Properties, Inc. .................................... 269,036
23,900 Macerich Co. ............................................ 598,994
12,300 Manufactured Home Communities, Inc. ..................... 299,813
16,100 Mid-America Apartment Communities, Inc. ................. 351,181
122,373 National Golf Properties Inc. ........................... 2,738,096
36,252 Nationwide Health Properties, Inc. ...................... 564,172
140,000 New Plan Excel Realty Trust.............................. 2,651,250
14,414 Pacific Gulf Properties Inc. ............................ 315,306
7,000 Pan Pacific Retail Properties Inc. ...................... 129,938
9,200 Parkway Properties, Inc. ................................ 303,600
8,500 Pennsylvania REIT........................................ 169,469
4,300 Prime Group Realty Trust................................. 71,219
39,041 Prime Retail, Inc. ...................................... 292,808
5,700 Prison Realty Trust Inc. ................................ 74,456
19,000 PS Business Parks Inc. .................................. 427,500
21,221 Realty Income Corp. ..................................... 503,999
31,600 Reckson Associates Realty Corp. ......................... 655,700
7,500 Redwood Trust Inc. ...................................... 105,469
27,188 Regency Realty Corp. .................................... 570,948
18,600 RFS Hotels Investment Inc. .............................. 212,738
2,000 Saul Centers Inc. ....................................... 30,875
29,100 Security Capital Group, Class B Shares(a)................ 409,219
122,779 Shurgard Storage Centers Inc., Class A Shares............ 3,100,170
17,100 SL Green Realty Corp. ................................... 355,894
20,888 Storage USA Inc. ........................................ 604,447
17,814 Summit Properties Inc.+ ................................. 354,053
13,426 Sun Communities Inc. .................................... 479,980
30,955 Sunstone Hotel Investors Inc. ........................... 278,595
4,744 Tanger Factory Outlet Center, Inc. ...................... 115,339
29,900 Taubman Centers, Inc. ................................... 381,225
139,655 TriNet Corp. Realty Trust, Inc. ......................... 3,412,819
325,900 United Dominion Realty Trust............................. 3,747,850
8,000 Urban Shopping Centers Inc. ............................. 245,500
11,600 US Restaurant Properties................................. 197,200
19,085 Walden Residential Properties, Inc. ..................... 359,037
33,794 Walter Industries, Inc.(a)............................... 418,201
4,463 Washington Real Estate Investment Trust.................. 71,966
17,500 Weingarten Realty Investments............................ 694,531
15,000 Wellsford Residential Property Trust(a).................. 137,805
16,300 Western Properties Trust................................. 180,319
21,600 Westfield America, Inc. ................................. 313,200
- --------------------------------------------------------------------------------
70,427,146
- --------------------------------------------------------------------------------
Recreation -- 0.7%
43,994 AMF Bowling, Inc.(a)+.................................... 175,976
16,653 Arctic Cat Inc. ......................................... 157,163
3,785 Coleman Co., Inc.(a)..................................... 34,775
5,800 Sodak Gaming Inc.(a)..................................... 56,550
</TABLE>
See Notes to Financial Statements.
71
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Recreation -- 0.7% (continued)
315,400 Sturm Ruger & Co. Inc. .................................. $ 3,035,725
3,300 Sunterra, Corp.(a)....................................... 43,519
41,263 Thor Industries, Inc. ................................... 1,108,943
15,400 Vail Resorts(a)+......................................... 272,388
3,900 WMS Industries Inc. ..................................... 42,413
- --------------------------------------------------------------------------------
4,927,452
- --------------------------------------------------------------------------------
Restaurant -- 0.8%
25,900 Advantica Restaurant Group(a)............................ 79,319
5,300 Applebee's International, Inc. .......................... 164,631
7,300 Avado Brands, Inc. ...................................... 50,188
34,663 Buffetts Inc.(a)......................................... 387,792
43,511 CBRL Group, Inc. ........................................ 571,082
13,450 CKE Restaurants, Inc. ................................... 108,441
4,100 Consolidated Products, Inc. ............................. 59,450
10,200 Del Monte Foods Co.(a)................................... 154,275
735 Farmer Brothers Co. ..................................... 147,459
2,402 IHOP Corp.(a)............................................ 54,045
22,838 Landry's Seafood Restaurant, Inc.(a)..................... 194,123
32,539 Lone Star Steakhouse & Saloon, Inc.(a)................... 248,110
218,786 Luby's, Inc. ............................................ 2,926,263
4,100 O' Charley's Inc.(a)..................................... 63,038
2,400 P.F. Changs China Bistro Inc.(a)......................... 52,800
1,100 RARE Hospitality International Inc.(a)................... 21,656
4,638 Ruby Tuesday, Inc. ...................................... 84,064
31,100 Ryan's Family Steak Houses Inc.(a)....................... 301,281
7,643 Sbarro Inc. ............................................. 210,183
6,125 Smart & Final Inc.(a).................................... 59,336
- --------------------------------------------------------------------------------
5,937,536
- --------------------------------------------------------------------------------
Retail -- 3.5%
4,000 Ames Department Stores, Inc.(a).......................... 117,500
1,139 AnnTaylor Stores Corp.(a)................................ 37,729
7,600 barnesandnoble.com inc.(a)............................... 142,500
8,693 Bindley Wetern Industries, Inc. ......................... 145,608
16,800 The Bombay Co. Inc.(a)................................... 103,950
31,642 Borders Group, Inc.(a)................................... 421,234
149,400 Brown Shoe Co., Inc. .................................... 2,595,825
156,380 Burlington Coat Factory Wholesale Corp. ................. 2,580,270
36,430 Callaway Golf Co. ....................................... 362,023
6,400 Casey's General Stores Inc. ............................. 85,600
20,012 Cash America International Inc. ......................... 143,836
11,500 The Cato Corp., Class A Shares........................... 154,531
77,621 Charming Shoppes Inc.(a)................................. 431,767
600 Cheap Tickets Inc.(a).................................... 22,200
29,800 CHS Electronics, Inc.(a)................................. 70,776
100 Claire's Stores, Inc. ................................... 1,881
2,900 Columbia Sportswear Co.(a)............................... 52,019
61,181 CompUSA, Inc.(a)......................................... 370,910
2,900 Cyberian Outpost Inc.(a)+................................ 23,744
2,400 David's Bridal(a)+....................................... 21,975
7,082 Discount Auto Parts Inc.(a).............................. 135,443
7,534 Donna Karan International, Inc.(a)....................... 62,156
12,900 Dress Barn Inc.(a)....................................... 194,306
9,200 Family Golf Centers Inc.(a)+............................. 11,500
7,700 The Finish Line, Class A Shares(a)....................... 68,819
</TABLE>
See Notes to Financial Statements.
72
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Retail -- 3.5% (continued)
30,334 Fleming Cos. Inc. ....................................... $ 365,904
10,329 Footstar Inc.(a)......................................... 335,693
311,800 Foster Wheeler Corp. .................................... 4,033,913
8,900 Goody's Family Clothing Inc. ............................ 82,047
2,414 Guess ?, Inc.(a)......................................... 31,835
14,400 Gymboree Corp.(a)........................................ 74,700
23,115 Handleman Co. ........................................... 306,274
48,826 Helig-Meyers Co. ........................................ 259,388
123,550 Hughes Supply Inc. ...................................... 2,872,538
1,700 Imall, Inc.(a)........................................... 29,431
7,189 Ingles Markets, Inc., Class A Shares..................... 96,602
5,600 InterTAN, Inc.(a)........................................ 103,600
13,900 Jo-Ann Stores, Inc., Class A Shares(a)................... 190,256
152,000 Jostens, Inc. ........................................... 3,059,000
8,300 Just For Feet Inc.(a)+................................... 33,719
5,887 L.S. Starrett Co., Class A Shares........................ 143,864
1,610 Lands' End, Inc. ........................................ 81,104
8,815 Michaels Stores Inc.(a).................................. 270,510
22,587 Micro Warehouse Inc.(a).................................. 276,691
3,800 Movado Group, Inc. ...................................... 101,175
18,000 Nautica Enterprises, Inc.(a)............................. 241,875
71,918 OfficeMax, Inc.(a)....................................... 543,880
16,700 PETCO Animal Supplies, Inc.(a)........................... 208,750
34,582 Reebok International Ltd.(a)+............................ 408,500
22,121 Ruddick Corp. ........................................... 410,621
22,900 Russell Corp. ........................................... 383,575
57,700 Seven Eleven Japan Co. ADR............................... 119,006
23,742 ShopKo Stores, Inc. ..................................... 679,615
12,738 Spiegel Inc., Class A Shares............................. 113,846
4,900 Stein Mart Inc.(a)....................................... 33,994
27,000 Systemax, Inc.(a)........................................ 251,438
6,446 The Talbots, Inc. ....................................... 199,423
3,900 Tractor Supply Co.(a).................................... 80,438
9,800 Trans World Entertainment Corp.(a)....................... 117,600
1,600 Tuesday Morning Corp.(a)................................. 31,900
1,000 U.S.A Floral Products, Inc.(a)........................... 4,188
23,600 U.S. Office Products Co.(a).............................. 91,450
10,400 United Retail Grouptelegraph(a).......................... 131,300
2,900 Value America Inc.(a)+................................... 30,631
9,843 Value City Department Stores Inc.(a)..................... 123,038
30,100 Wolverine World Wide, Inc. .............................. 340,506
- --------------------------------------------------------------------------------
25,651,920
- --------------------------------------------------------------------------------
Software -- 1.2%
5,000 AboveNet Communications Inc.(a).......................... 169,688
300 Allaire Corp.(a)......................................... 15,000
7,300 Ashton Technology Group(a)+.............................. 67,297
95,800 Autodesk, Inc. .......................................... 2,203,400
8,000 Avant Corp.(a)........................................... 113,000
12,500 Avid Technology, Inc.(a)................................. 157,813
31,644 CompuCom Systems, Inc.(a)................................ 114,710
1,300 Epicor Software, Corp.(a)................................ 4,875
2,000 Fidelity Holdings Inc.(a)+............................... 39,500
21,149 Fidelity National Financial, Inc.(a)..................... 325,166
900 Flashnet Communications Inc.(a).......................... 11,475
24,788 InaCom Corp.(a).......................................... 241,683
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Software -- 1.2% (continued)
8,500 JDA Software Group Inc.(a)............................... $ 75,969
4,000 Launch Media Inc.(a)..................................... 49,250
6,300 Manugistics Group, Inc.(a)............................... 78,750
500 Media Metrix Inc.(a)..................................... 23,984
2,400 Midway Games Inc.(a)..................................... 31,500
700 Mpath Interactive Inc.(a)................................ 8,269
1,800 Onemain.com Inc.(a)...................................... 30,150
14,800 Pegasystems, Inc.(a)..................................... 123,950
10,100 Phoenix Technology Ltd.(a)............................... 112,994
1,700 Proxicom Inc.(a)......................................... 77,350
34,547 S3 Inc.(a)............................................... 345,470
1,000 Structural Dynamics Research Corp.(a).................... 16,125
218,100 Wallace Computer Service Inc. ........................... 4,661,888
8,800 Wave Systems, Class A Shares(a)+......................... 85,250
1,100 Worldgate Communication Inc.(a).......................... 31,694
- --------------------------------------------------------------------------------
9,216,200
- --------------------------------------------------------------------------------
Steel -- 1.3%
104,600 Bethlehem Steel Corp.(a)................................. 804,113
9,511 Citation Corp.(a)........................................ 150,393
94,156 Cleveland Cliffs Inc. ................................... 3,018,877
135,625 Harsco Corp. ............................................ 3,755,117
83,500 LTV Corp. ............................................... 480,125
12,200 Maverick Tube Corp.(a)................................... 215,788
15,465 National Steel Corp., Class A Shares..................... 125,653
20,040 Oregon Steel Mills Inc. ................................. 219,188
5,282 Rogue Industries Inc. ................................... 38,295
851 Shiloh Industries, Inc.(a)............................... 10,212
2,400 Steel Dynamics, Inc.(a)+................................. 43,200
61,501 Worthington Industries, Inc. ............................ 922,515
- --------------------------------------------------------------------------------
9,783,476
- --------------------------------------------------------------------------------
Technology -- 4.1%
600 Albany Molecular Research, Inc.(a)....................... 18,750
19,100 Alliance Semiconductor Corp.(a).......................... 213,681
4,100 Anacomp Inc.(a).......................................... 68,675
20,692 AptarGroup, Inc. ........................................ 532,819
6,800 Aspen Technology, Inc.(a)................................ 58,225
5,100 Auspex Systems Inc.(a)................................... 56,419
11,740 Block Drug Inc., Class A Shares.......................... 471,801
22,657 Checkpoint Systems, Inc.(a).............................. 192,585
50,835 Cirrus Logic Inc.(a)..................................... 568,717
65,000 Cordant Technologies, Inc. .............................. 2,689,375
34,200 Cypress Semiconductor Corp.(a)........................... 790,875
33,860 Cytec Industries Inc.(a)................................. 789,361
7,700 Daisytek International Corp.(a).......................... 89,513
53,000 Dallas Semiconductor Corp. .............................. 2,676,500
40,200 Data General Corp.(a).................................... 741,188
6,800 EMCOR Group, Inc.(a)..................................... 144,925
20,600 Ess Technology, Inc.(a).................................. 260,075
13,630 Esterline Technologies Corp.(a).......................... 223,191
451,600 Ethyl Corp. ............................................. 2,399,125
10,100 Gentek, Inc.(a).......................................... 120,569
453,300 Halter Marine Group, Inc.(a)............................. 2,408,156
10,200 Herbalife International, Inc. ........................... 122,400
4,600 Hutchinson Tech(a)....................................... 124,200
9,600 Hypercom Corp.(a)........................................ 74,400
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Technology -- 4.1% (continued)
15,100 In Focus Systems, Inc.(a)................................ $ 241,600
3,800 Innovex Inc. ............................................ 52,725
35,866 Intergraph Corp.(a)...................................... 199,505
23,782 International Rectifier Corp.(a)......................... 383,485
11,840 International Specialty Products, Inc. .................. 111,740
5,800 ITI Technologies Inc.(a)................................. 134,125
41,700 Komag Inc.(a)............................................ 132,919
39,073 M.A. Hanna Co. .......................................... 534,812
1,300 Maxwell Technologies Inc. ............................... 28,763
31,743 Mentor Graphics Corp.(a)................................. 284,695
3,800 Micron Electronics Inc.(a)............................... 36,813
234,460 MTS Systems Corp. ....................................... 2,579,060
153,300 Nabors Industries, Inc.(a)+.............................. 4,139,100
9,600 Octel Corp.(a)........................................... 109,200
27,425 Read-Rite Corp.(a)....................................... 154,266
46,000 Sensormatic Electronics Corp.(a)......................... 537,625
32,974 Sequent Computer Systems Inc.(a)......................... 581,167
1,600 SMART Modular Technologies, Inc.(a)...................... 33,300
7,034 Stone & Webster Inc. .................................... 180,686
2,115 Superior Telecom Inc.+ .................................. 55,651
54,600 Sybase Inc.(a)........................................... 682,500
929 Telxon Corp. ............................................ 7,780
4,809 ThermoQuest Corp.(a)..................................... 49,893
2,200 Tut Systems Inc.(a)...................................... 54,450
9,000 URS Corp. ............................................... 222,750
38,100 Western Digital Corp.(a)+................................ 233,363
146,733 Westinghouse Air Brake Co. .............................. 2,962,172
- --------------------------------------------------------------------------------
30,559,670
- --------------------------------------------------------------------------------
Telecommunications -- 0.9%
1,230 Adaptive Broadband, Corp.(a)............................. 39,206
150,645 Albany International Corp., Class A Shares............... 2,495,048
20,627 Allen Telecom Inc.(a).................................... 174,040
799 ALLTEL Corp. ............................................ 54,032
50,706 Andrew Corp.(a).......................................... 887,355
12,400 Aspect Telecommunications Corp.(a)....................... 137,175
4,900 Associated Group Inc.(a)................................. 275,013
20,900 Brightpoint, Inc.(a)..................................... 73,803
2,000 CellNet Data Systems, Inc.(a)............................ 13,938
1,000 Com21, Inc.(a)........................................... 18,000
1,600 CommNet Cellular Inc.(a)................................. 50,000
7,400 CT Communications, Inc. ................................. 299,700
400 Davox Corp.(a)........................................... 5,575
27,987 General Communications, Inc., Class A Shares(a).......... 170,546
50,648 Glenayre Technologies, Inc.(a)........................... 158,275
1,000 Hyperion Telecommunications, Inc.(a)..................... 18,813
800 IPC Communications(a).................................... 39,400
500 L-3 Communications Holdings, Inc.(a)..................... 19,844
1,200 Leap Wireless International, Inc.(a)+.................... 20,850
700 Metricom, Inc.(a)+....................................... 16,800
18,300 MRV Communications Inc.(a)+.............................. 337,406
16,560 Network Equipment Technologies, Inc.(a).................. 144,900
2,500 Network Peripherals Inc.(a).............................. 49,375
2,100 Omnipoint Corp.(a)+...................................... 85,050
2,700 Pagemart Wireless Inc., Class A Shares(a)................ 17,213
6,500 Paging Network, Inc.(a).................................. 20,109
31,849 PictureTel Corp.(a)...................................... 176,165
</TABLE>
See Notes to Financial Statements.
75
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Telecommunications -- 0.9% (continued)
20,200 Pinnacle Holdings Inc.(a)................................ $ 508,788
9,300 Premiere Technologies Inc.(a)............................ 60,741
4,000 Premisys Communications, Inc.(a)......................... 29,250
1,300 TALK.com, Inc.(a)........................................ 13,406
500 Viatel, Inc.(a).......................................... 19,344
- --------------------------------------------------------------------------------
6,429,160
- --------------------------------------------------------------------------------
Textiles -- 1.1%
160,267 Authentic Fitness Corp. ................................. 2,774,622
44,916 Burlington Industries Inc.(a)............................ 255,460
676 CN Galey & Lord Inc.(a).................................. 2,789
17,500 Dan River Inc., Class A Shares(a)........................ 122,500
169,360 Gerber Scientific, Inc. ................................. 3,461,295
12,991 Guilford Mills Inc. ..................................... 122,603
17,893 Kellwood Co. ............................................ 427,195
26,600 Kemet Corp.(a)........................................... 686,613
4,831 Oxford Industries Inc. .................................. 104,470
17,359 Phillips-Van Heusen...................................... 147,552
7,720 Pillowtex Corp. ......................................... 84,438
6,900 Synthetic Industries Inc.(a)............................. 175,950
8,247 UniFirst Corp. .......................................... 124,736
- --------------------------------------------------------------------------------
8,490,223
- --------------------------------------------------------------------------------
Tobacco -- 0.5%
5,800 Brooke Group Ltd.+....................................... 112,738
165,900 Cabot Industrial Trust................................... 3,349,096
5,818 General Cigar Holdings, Inc.(a).......................... 37,453
- --------------------------------------------------------------------------------
3,499,287
- --------------------------------------------------------------------------------
Transportation -- 4.4%
16,274 Air Express International Corp. ......................... 397,696
138,300 Airborne Freight Corp. .................................. 3,483,431
7,975 Airtran Holdings, Inc.(a)................................ 44,112
20,575 Alaska Air Group Inc.(a)................................. 889,869
27,421 America West Holdings Corp.(a)........................... 534,710
4,200 American Axel & Manufacturing Holdings(a)................ 65,625
9,809 American Freightways Corp.(a)............................ 205,989
15,091 Arnold Industries Inc. .................................. 215,047
600 Atlantic Coast Airlines Holdings, Inc.(a)................ 11,925
20,100 Budget Group Inc., Class A Shares(a)..................... 177,131
4,200 C.H. Robinson Worldwide, Inc. ........................... 132,300
9,693 Circle International Group Inc. ......................... 239,902
18,338 Consolidated Freightways Corp.(a)........................ 198,280
4,100 Covenant Transport, Inc.(a).............................. 69,188
18,900 Dollar Thrifty Automotive Group(a)....................... 355,556
23,356 Florida East Coast Industries, Inc. ..................... 840,816
7,600 Frontier Airlines, Inc.(a)............................... 95,475
300 Gulfmark Offshore, Inc.(a)............................... 5,625
6,800 Heartland Express, Inc.(a)............................... 101,150
4,900 Hub Group(a)............................................. 113,313
4,563 Hvide Marine Inc.(a)+.................................... 2,424
10,098 Interpool Inc. .......................................... 95,931
16,900 J.B.Hunt Transport Services, Inc. ....................... 250,331
3,000 Keystone Automotive Industries Inc.(a)................... 43,500
1,205 Kirby Corp. ............................................. 24,100
3,381 Landstar Systems Inc.(a)................................. 125,097
6,810 M.S. Carriers Inc.(a).................................... 194,085
</TABLE>
See Notes to Financial Statements.
76
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Transportation -- 4.4% (continued)
408,400 MagneTek, Inc.(a)........................................ $ 3,777,700
155,000 Meritor Automotive Inc. ................................. 3,380,938
19,700 Mesa Air Group Inc.(a)................................... 135,438
4,810 Midwest Express Holdings, Inc.(a)........................ 129,870
13,204 Myers Industries Inc. ................................... 270,690
5,000 National Equipment Services, Inc.(a)..................... 43,438
15,000 NationsRent, Inc.(a)..................................... 101,250
17,918 Offshore Logistics, Inc. ................................ 209,417
22,004 Overseas Shipholding Group, Inc. ........................ 306,681
14,762 Pittston BAX Group....................................... 131,935
28,347 Pittston Brink's Group Inc. ............................. 675,013
9,978 Roadway Express Inc. .................................... 210,162
302,453 Rollins Truck Leasing Corp............................... 3,137,950
334,500 Scitex Corp.(a).......................................... 3,135,938
75,000 Sea Containers Ltd. ..................................... 2,287,500
3,700 SkyWest Inc. ............................................ 74,463
22,101 Stewart & Stevenson Services, Inc. ...................... 262,449
51,722 Trans World Airlines, Inc.(a)+........................... 203,655
6,100 U.S. Xpress Enterprises, Inc., Class A Shares(a)......... 64,813
16,253 United Auto Group Inc.(a)................................ 205,194
85,783 US Freightways Corp. .................................... 4,160,476
24,476 Werner Enterprises Inc. ................................. 517,820
- --------------------------------------------------------------------------------
32,335,398
- --------------------------------------------------------------------------------
Utilities -- 10.0%
47,088 AGL Resources Inc. ...................................... 850,527
24,321 Atmos Energy Corp. ...................................... 609,545
188,564 Avista Corp. ............................................ 3,252,729
1,200 Basin Exploration Inc.(a)................................ 27,300
15,529 Cabot Oil & Gas Corp., Class A Shares.................... 296,022
5,500 Cascade Natural Gas Corp. ............................... 100,719
13,300 Central Hudson Gas & Electric Corp. ..................... 561,925
113,200 Central Newspapers, Inc., Class A Shares................. 4,789,765
33,773 Chesapeake Energy Corp. ................................. 109,762
10,764 CILCORP, Inc. ........................................... 693,605
17,807 Cleco Corp. ............................................. 592,083
165,600 CMP Group Inc. .......................................... 4,398,750
2,390 Colonial Gas Co. ........................................ 89,924
12,131 Commonwealth Energy Systems Co. ......................... 534,977
2,600 Compx International Inc.(a).............................. 44,200
8,558 Connecticut Energy Corp. ................................ 319,855
5,000 Cross Timbers Oil Co. ................................... 61,875
6,800 CTG Resources, Inc. ..................................... 243,525
6,719 E' Town Corp. ........................................... 340,989
1,363 Eagle Geophysical, Inc.(a)............................... 852
16,115 Eastern Utilities Associates............................. 482,443
47,102 El Paso Electric Co.(a).................................. 432,750
12,805 Empire District Electric Co. ............................ 326,528
160,966 Energen Corp. ........................................... 3,038,233
4,165 Forest Oil Corp.(a)...................................... 62,215
10,004 General Cable Corp. ..................................... 145,058
110,100 Grey Wolf Inc.(a)........................................ 323,419
106,000 Harken Energy Corp.(a)................................... 178,875
25,435 Hawaiian Electric Industries, Inc. ...................... 904,532
13,829 HS Resources, Inc.(a).................................... 236,822
30,400 IDACORP, Inc. ........................................... 951,900
</TABLE>
See Notes to Financial Statements.
77
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Utilities -- 10.0% (continued)
24,712 Indiana Energy, Inc. ............................... $ 523,586
14,513 Laclede Gas Co. .................................... 314,751
15,347 Louis Dreyfus Natural Gas Corp.(a).................. 335,716
12,959 Madison Gas & Electric Co. ......................... 255,940
45,200 Marine Drilling Cos., Inc.(a)....................... 717,550
38,150 MDU Resources Group, Inc. .......................... 896,525
3,042 The Meridian Resource Corp.(a)...................... 14,450
16,100 Mitchell Energy & Development Corp., Class A
Shares............................................. 328,038
185,000 Mitchell Energy & Development Corp., Class B
Shares............................................. 3,653,750
58,000 National Fuel Gas Co. .............................. 2,729,625
14,103 New Jersey Resources Corp. ......................... 546,491
6,500 Newfield Exploration Co.(a)+........................ 197,438
19,636 Northwest Natural Gas Co. .......................... 490,900
18,409 NorthWestern Corp. ................................. 455,623
14,068 Nuevo Energy Co.(a)................................. 246,190
11,073 NUI Corp. .......................................... 283,746
14,329 Oceaneering International, Inc.(a).................. 287,476
25,265 ONEOK, Inc. ........................................ 784,794
51,295 Parker Drilling Co.(a).............................. 256,475
75,000 Penn Virginia Corp. ................................ 1,635,938
4,003 Pennsylvania Enterprises Inc. ...................... 125,094
24,408 Piedmont Natural Gas Inc. .......................... 819,194
80,714 Pioneer Natural Resource Co. ....................... 918,122
18,302 Pool Energy Services Co.(a)......................... 482,715
34,100 Pride International Inc.(a)......................... 507,238
164,054 Public Service Co. of New Mexico.................... 3,086,266
14,313 Public Service Co. of North Carolina Inc. .......... 436,547
12,276 RPC Energy Services................................. 93,605
298,255 Santa Fe Snyder Corp.(a)............................ 2,907,986
9,608 SEACOR SMIT Inc.(a)................................. 499,016
13,839 SEMCO Energy, Inc. ................................. 200,666
75,943 Sierra Pacific Resorces............................. 1,851,111
18,636 Sigcorp, Inc. ...................................... 499,678
1,600 SJW Corp. .......................................... 137,400
6,180 South Jersey Industries Inc. ....................... 176,130
24,067 Southwest Gas Corp. ................................ 670,868
20,414 Southwestern Energy Co. ............................ 182,450
12,040 Swift Energy Co.(a)................................. 152,005
25,512 Tesoro Petroleum Corp.(a)........................... 460,811
9,966 TNP Enterprises Inc. ............................... 372,479
12,028 Tom Brown Inc.(a)................................... 197,710
23,000 Tuboscope Inc.(a)................................... 334,938
25,959 UGI Corp.+ ......................................... 595,435
270,059 Unifi, Inc.(a)...................................... 3,645,797
26,020 Unisource Energy Corp.(a)........................... 310,614
74,389 United Illuminating Co.............................. 3,719,450
21,457 United Water Resources, Inc......................... 718,810
39,240 Valero Energy Corp.................................. 833,850
43,900 Varco International, Inc.(a)........................ 543,263
2,802 Vintage Petroleum, Inc.............................. 40,104
152,524 Washington Gas Light Co............................. 4,070,484
12,083 Western Gas Resource, Inc........................... 206,166
29,546 Wicor Inc........................................... 864,221
225,000 World Fuel Services Corp............................ 2,475,000
</TABLE>
See Notes to Financial Statements.
78
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Utilities -- 10.0% (continued)
21,002 WPS Resources Corp................................... $ 611,683
8,434 Yankee Energy Systems Inc............................ 345,794
- -------------------------------------------------------------------------------
74,049,406
- -------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $797,298,511)............ 730,394,437
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 0.1%
$ 700,000 U.S. Treasury Bill, 4.635% due 9/16/99 (Cost --
$698,648).......................................... 698,648
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.2%
8,937,000 Morgan Stanley Dean Witter & Co., 5.400% due 9/1/99;
Proceeds at maturity -- $8,938,341;
(Fully collateralized by U.S. Treasury Notes and
Bonds, 6.375% to 6.625% due 4/30/02 to 8/15/27;
Market value -- $9,180,985) (Cost -- $8,937,000)..... 8,937,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $806,934,159**)... $740,030,085
- -------------------------------------------------------------------------------
</TABLE>
(a) Non-income producing security.
+ All or portion of this security is on loan (See Note 12).
** Aggregate cost for Federal income tax purposes is substantially the same.
[CHART]
Classification of Investments
Banking 6.7%
Technology 4.1%
Basic Industries 13.4%
Consumer Services 7.2%
Consumer Durables and Non-Durables 9.7%
Transportation 4.4%
Utilities 10.0%
Financial Services 5.6%
Other Common Stock 28.1%
Real Estate 9.5%
U.S. Treasury Obligations
& Repurchase Agreement 1.3%
See Notes to Financial Statements.
79
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.6%
- --------------------------------------------------------------------------------
Advertising -- 0.6%
12,400 Ackerley Group, Inc.* ................................... $ 189,100
5,200 Adforce Inc. ............................................ 84,175
21,915 Advo Inc.* .............................................. 430,082
158,000 E4l, Inc. ............................................... 691,250
4,100 Flycast Communications Corp. ............................ 94,813
27,900 Getty Images Inc. ....................................... 574,302
200 Grey Advertising Inc. ................................... 74,200
48,612 HA-LO Industries, Inc. .................................. 294,710
70,300 Lamar Advertising Co., Class A Shares+ .................. 2,935,025
4,300 Modem Media Poppe Tyson, Inc.+ .......................... 137,600
28,700 MSC Industrial Direct Co., Inc. ......................... 274,444
24,100 Penton Media, Inc. ...................................... 331,375
30,300 True North Communications, Inc. ......................... 998,006
- --------------------------------------------------------------------------------
7,109,082
- --------------------------------------------------------------------------------
Aerospace and Defense -- 0.4%
26,600 Alliant Techsystems Inc. ................................ 1,941,800
19,200 BE Aerospace, Inc. ...................................... 332,400
6,900 Heico Corp. ............................................. 151,800
74,800 Kellstrom Industries Inc. ............................... 767,869
13,000 Kroll-O'Gara Co. ........................................ 249,438
8,000 OEA Inc. ................................................ 56,000
30,200 Orbital Sciences, Corp. ................................. 670,063
39,800 Titan Corp. ............................................. 405,463
3,200 Triumph Group Inc. ...................................... 79,200
- --------------------------------------------------------------------------------
4,654,033
- --------------------------------------------------------------------------------
Agriculture -- 0.2%
42,100 Cadiz, Inc. ............................................. 421,000
44,300 Delta & Pine Land Co.*+ ................................. 1,254,244
26,400 Hines Horticulture, Inc. ................................ 227,700
8,200 Tejon Ranch Co. ......................................... 251,125
- --------------------------------------------------------------------------------
2,154,069
- --------------------------------------------------------------------------------
Airlines -- 0.1%
4,000 Amtran Inc. ............................................. 80,000
12,800 Atlantic Coast Airlines Holdings, Inc. .................. 254,400
9,800 Frontier Airlines, Inc. ................................. 123,113
14,550 Mesaba Holdings, Inc. ................................... 180,056
8,425 Midwest Express Holdings, Inc. .......................... 227,475
19,200 SkyWest Inc. ............................................ 386,400
- --------------------------------------------------------------------------------
1,251,444
- --------------------------------------------------------------------------------
Automotive -- 0.9%
11,600 A.S.V. Inc.* ............................................ 211,700
1,800 Aftermarket Technology Corp. ............................ 16,200
20,070 Copart Inc. ............................................. 439,031
22,700 CSK Auto Corp. .......................................... 539,125
17,800 Delco Remy International Inc., Class A Shares ........... 171,325
23,900 Dura Automotive Systems Inc. ............................ 618,413
18,500 Group 1 Automotive Inc. ................................. 342,250
21,500 Hayes Lemmerz International Inc. ........................ 606,031
14,800 Keystone Automotive Industries, Inc. .................... 214,600
18,600 Midas, Inc. ............................................. 439,425
7,800 Modine Manufacturing Co. ................................ 232,050
</TABLE>
See Notes to Financial Statements.
80
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Automotive -- 0.9% (continued)
26,510 Myers Industries Inc. ................................... $ 543,455
19,202 O'Reilly Automotive, Inc. ............................... 734,477
11,250 Oshkosh Truck Corp., Class B Shares ..................... 378,281
168,000 Tower Automotive Inc. ................................... 3,360,000
37,700 Wabash National Corp. ................................... 791,700
15,362 Winnebago Industries Inc. ............................... 367,728
11,750 Wynn's International Inc. ............................... 211,500
- --------------------------------------------------------------------------------
10,217,291
- --------------------------------------------------------------------------------
Banking -- 2.9%
1,000 Alabama National Bancorp*................................ 26,625
48,600 Alpine Group Inc. ....................................... 795,825
13,000 Area Bancshares Corp. ................................... 325,000
3,200 Bancfirst Ohio Corp.* ................................... 69,200
12,362 Bank of Granite Corp.* .................................. 267,328
25,924 BOK Financial Corp. ..................................... 558,986
12,980 Brenton Banks, Inc.* .................................... 179,286
4,100 BT Financial Corp.* ..................................... 96,350
18,100 Capitol Federal Financial Corp.* ........................ 183,263
17,100 Cathay Bancorp Inc.* .................................... 681,863
20,338 Centennial Bancorp....................................... 238,972
2,900 Century South Banks Inc.* ............................... 67,969
2,832 City Holding Co.* ....................................... 65,136
17,258 Commerce Bancorp of New Jersey*.......................... 742,094
11,100 Cullen Frost Bankers Inc.* .............................. 289,988
13,425 CVB Financial Corp.*+ ................................... 349,050
8,100 East West Bancorp*....................................... 79,988
1,365 F&M Bancorp of Maryland*................................. 39,244
9,810 F&M Bancorp Inc. of Wisconsin*........................... 334,766
11,300 F&M National Corp.* ..................................... 355,950
11,700 Factset Research Systems Inc.* .......................... 541,856
2,000 Farmers Capital Bank Corp.* ............................. 70,750
2,500 FCNB Corp.* ............................................. 50,000
4,700 First Busey Corp., Class A Shares* ...................... 99,581
2,200 First Commonwealth Financial Corp.* ..................... 52,938
4,800 First Federal Capital Corp.* ............................ 75,300
30,850 First Financial Bancorp*................................. 638,209
4,800 First Liberty Bank*...................................... 139,800
2,000 First Midwest Bancorp Inc.* ............................. 79,750
12,830 First Source Corp.* ..................................... 378,485
500 Flagstar Bancorp Inc.* .................................. 9,875
7,100 Glacier Bancorp, Inc. ................................... 145,550
7,900 Great Southern Bancorp Inc.* ............................ 180,713
7,200 Greater Bay Bancorp*..................................... 246,600
35,459 Hamilton Bancorp Inc. ................................... 864,313
3,000 Hudson River Bancorp Inc.* .............................. 35,062
46,346 Hudson United Bancorp*................................... 1,474,382
45,048 Imperial Bancorp......................................... 765,824
2,500 Independent Bank Corp.* ................................. 33,750
12,300 Irwin Financial Corp.* .................................. 295,200
1,000 Jeffbanks Inc.* ......................................... 29,750
900 Mahoning National Bancorp Inc.* ......................... 35,550
11,184 Merchants New York Bancorp, Inc.* ....................... 403,323
3,300 Midwest Bancorp Holdings, Inc.* ......................... 56,513
9,900 National Penn Bancshares Inc.* .......................... 216,563
23,100 Net.B@nk, Inc. .......................................... 537,075
2,800 Northwest Bancorp Inc.* ................................. 23,275
</TABLE>
See Notes to Financial Statements.
81
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Banking -- 2.9% (continued)
13,966 Oriental Financial Group................................. $ 329,947
27,954 Pacific Capital Bancorp*................................. 859,586
9,500 Park National Corp.* .................................... 912,000
31,400 Premier Bancshares Inc. ................................. 523,988
49,200 Provident Bankshares Corp.* ............................. 1,186,951
23,100 Queens County Bancorp Inc.* ............................. 635,250
84,500 R&G Financial Corp., Class B Shares* .................... 1,373,125
21,000 Roslyn Bancorp Inc.* .................................... 357,000
29,900 S&T Bancorp Inc.* ....................................... 693,306
6,900 Sandy Spring Bancorp Inc.* .............................. 179,400
6,000 Seacoast Financial Services Corp.* ...................... 66,750
11,625 Shoreline Financial Corp.* .............................. 256,477
15,600 Silicon Valley Bancshares................................ 350,025
70,628 Sky Financial Group, Inc.* .............................. 1,717,143
57,832 Southwest Bancorp of Texas............................... 997,602
35,965 Southwest Securities Group*.............................. 1,213,819
21,900 Staten Island Bancorp Inc.* ............................. 392,831
29,650 Sterling Bancshares Inc. ................................ 355,800
5,400 Sterling Financial Corp.* ............................... 172,800
75,600 Telebanc Financial Corp. ................................ 1,786,050
6,300 Texas Regional Bancshares, Class A Shares*............... 161,044
25,288 Triangle Bancorp Inc. ................................... 513,663
30,781 TrustCo Bank Corp. of NY................................. 915,735
15,900 The Trust Company of New Jersey.......................... 352,781
50,658 United Bankshares, Inc.* ................................ 1,301,277
1,850 United National Bancorp*................................. 40,469
6,880 USB Holding Co., Inc.* .................................. 97,610
2,800 WesBanco, Inc.* ......................................... 79,800
4,895 West Coast Bancorp of Oregon............................. 84,439
18,200 Western Bancorp*......................................... 723,450
46,800 Westernbank Puerto Rico*................................. 561,600
- --------------------------------------------------------------------------------
32,418,588
- --------------------------------------------------------------------------------
Batteries -- 0.2%
29,350 C&D Technology Inc.* .................................... 924,525
33,000 Rayovac Corp. ........................................... 775,500
22,700 Valence Technology Inc. ................................. 99,313
- --------------------------------------------------------------------------------
1,799,338
- --------------------------------------------------------------------------------
Beverages -- 0.1%
21,600 Beringer Wine Estates, Class B Shares+................... 899,100
1,200 Canadaigua Brands Inc., Class A Shares................... 69,450
1,500 Coca Cola Bottling Co.* ................................. 86,438
- --------------------------------------------------------------------------------
1,054,988
- --------------------------------------------------------------------------------
Biotechnology -- 1.2%
57,200 Abgenix, Inc. ........................................... 1,837,550
18,300 Affymetrix, Inc. ........................................ 1,566,938
6,200 Albany Molecular Research, Inc. ......................... 193,750
14,700 Aviron+.................................................. 412,519
121,500 Biomatrix Inc.+ ......................................... 2,384,438
62,800 Bio-Technology General Corp. ............................ 639,775
30,500 Cephalon Inc. ........................................... 577,594
14,800 EntreMed Inc.+ .......................................... 308,950
24,517 Enzo Biochem, Inc. ...................................... 565,423
28,000 Fisher Scientific International, Inc.* .................. 504,000
30,900 Hemispherx Biopharmaceuticals, Inc.+ .................... 189,263
</TABLE>
See Notes to Financial Statements.
82
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Biotechnology -- 1.2% (continued)
16,200 Inhale Therapeutic Systems, Inc. ........................ $ 533,587
13,000 Invitrogen Corp. ........................................ 333,125
43,500 The Liposome Co., Inc. .................................. 857,766
37,988 Organogenesis Inc. ...................................... 303,904
21,305 Pharmaceutical Product Development, Inc. ................ 431,426
9,400 SafeScience, Inc.+ ...................................... 198,575
18,200 Thermo BioAnalysis Corp. ................................ 332,150
19,100 Transkaryotic Therapies, Inc. ........................... 752,063
31,887 US Bioscience Inc. ...................................... 368,693
20,200 Vical Inc. .............................................. 270,175
- --------------------------------------------------------------------------------
13,561,664
- --------------------------------------------------------------------------------
Broadcasting -- 1.9%
241,800 ACTV, Inc.* ............................................. 2,644,688
26,500 Advanced Radio Telecom Corp. ............................ 289,844
19,425 AFC Cable Systems, Inc.* ................................ 835,275
16,500 CD Radio Inc.+ .......................................... 535,219
66,600 Cox Radio Inc., Class A Shares .......................... 3,529,800
20,000 Cumulus Media Inc., Class A Shares ...................... 557,500
28,200 Emmis Communications Corp., Class A Shares............... 1,593,300
20,300 Entercom Communications Corp. ........................... 740,950
9,998 Hearst-Argyle Television, Inc. .......................... 253,074
10,500 Metro Networks Inc. ..................................... 598,500
40,900 Network Event Theater, Inc. ............................. 1,032,725
20,900 On Command Corp. ........................................ 376,200
32,909 Paxson Communications Corp. ............................. 473,067
7,400 Radio One Inc. .......................................... 308,488
7,100 Saga Communications Inc., Class A Shares ................ 161,525
65,250 SFX Entertainment Inc., Class A Shares .................. 2,687,484
1,200 Sinclair Broadcast Group Inc., Class A Shares............ 19,500
12,500 Source Media, Inc. ...................................... 102,734
18,700 United Television Inc. .................................. 2,019,600
29,000 Valuevision International Inc., Class A Shares........... 692,375
23,265 Westwood One, Inc. ...................................... 892,794
7,300 Young Broadcasting Inc., Class A Shares.................. 439,369
- --------------------------------------------------------------------------------
20,784,011
- --------------------------------------------------------------------------------
Building & Construction -- 1.4%
31,000 Apogee Enterprises Inc.* ................................ 255,750
9,754 Centex Construction Products, Inc.* ..................... 374,919
20,300 Comfort Systems USA Inc. ................................ 286,737
22,300 Crossmann Communities Inc. .............................. 563,075
153,600 D.R. Horton, Inc.+ ...................................... 2,236,800
45,800 Dal-tile International Inc. ............................. 406,475
72,050 Dycom Industries, Inc.+ ................................. 2,224,544
22,618 Elcor Corp.* ............................................ 435,397
18,100 Florida Rock Industries, Inc.* .......................... 722,869
2,200 Giant Cement Holding Inc. ............................... 48,675
2,200 Granite Construction Inc. ............................... 55,000
20,800 Group Maintenance America Corp. ......................... 256,100
22,600 Insituform Tech, Class A Shares.......................... 468,950
16,800 Integrated Electrical Services........................... 256,200
15,000 Jacobs Engineering Group Inc. ........................... 495,000
10,800 LSI Industries, Inc. .................................... 255,825
60,450 Monaco Coach Corp. ...................................... 1,753,050
46,250 National R.V. Holdings, Inc. ............................ 1,115,781
55,000 NCI Building Systems, Inc. .............................. 1,007,188
</TABLE>
See Notes to Financial Statements.
83
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Building & Construction -- 1.4% (continued)
6,200 Republic Group, Inc. .................................... $ 98,812
12,800 Service Experts Inc. .................................... 144,000
8,869 Simpson Manufacturing Co., Inc. ......................... 456,754
55,800 Texas Industries Inc. ................................... 1,785,600
2,400 Trex Co. ................................................ 49,950
1,700 Westfield America, Inc. ................................. 24,650
5,200 WesTower Corp. .......................................... 119,600
- --------------------------------------------------------------------------------
15,897,701
- --------------------------------------------------------------------------------
Business Services -- 2.8%
9,400 AHL Services, Inc. ...................................... 273,775
17,380 Brady, Corp., Class A Shares*............................ 521,400
3,900 Careerbuilder, Inc. ..................................... 28,763
27,400 CCC Information Services Group........................... 263,725
8,000 Charles Rivers Associates Inc. .......................... 194,000
118,600 CSG Systems International, Inc. ......................... 2,675,913
12,400 The Corporate Executive Board Co. ....................... 435,550
10,000 Diamond Technology Partners Inc., Class A Shares ........ 331,250
16,200 Documentum, Inc. ........................................ 245,025
26,300 Donaldson Co., Inc.* .................................... 516,138
37,400 Fair, Issac & Co., Inc.* ................................ 1,056,550
20,100 First Consulting Group Inc. ............................. 257,531
2,600 Forrester Research Inc. ................................. 87,100
10,100 Heidrick & Struggles International, Inc. ................ 154,025
18,800 Korn/Ferry International................................. 314,900
39,600 Labor Ready, Inc. ....................................... 636,075
15,700 Marketing Services Group, Inc.+ ......................... 187,419
13,800 MAXIMUS, Inc. ........................................... 477,825
20,100 Merrill Corp. ........................................... 409,537
129,700 Navigant Consulting, Co.+ ............................... 5,690,588
7,300 Nextera Enterprises Inc., Class A Shares ................ 33,306
12,400 On Assignment, Inc. ..................................... 370,450
7,200 Personnel Group of America, Inc. ........................ 60,300
86,950 Probusiness Services Inc. ............................... 2,325,912
4,500 Professional Detailing, Inc. ............................ 140,625
10,700 PROVANT Inc. ............................................ 147,125
19,200 PubliCARD Inc. .......................................... 124,800
18,400 Quadramed Corp. ......................................... 163,875
26,700 Remedy Corp. ............................................ 654,150
39,480 Renaissance Worldwide, Inc. ............................. 192,465
50,188 Romac International, Inc. ............................... 363,863
36,800 Select Appointments Holdings PLC......................... 1,025,800
19,100 Staff Leasing Inc. ...................................... 176,675
4,900 Staffmark, Inc. ......................................... 47,622
87,300 Sybase, Inc. ............................................ 1,091,250
186,583 Tetra Tech Inc. ......................................... 2,996,981
146,500 TSI International Software Ltd. ......................... 2,783,500
20,500 URS Corp. ............................................... 507,375
113,000 Whittman-Hart Inc. ...................................... 2,973,313
- --------------------------------------------------------------------------------
30,936,476
- --------------------------------------------------------------------------------
Chemicals -- 1.2%
12,400 Airgas Inc.* ............................................ 162,750
5,500 Arch Chemicals, Inc.* ................................... 108,281
39,400 Cambrex Corp.* .......................................... 1,058,875
39,995 Church & Dwight Co., Inc.* .............................. 1,859,768
50,600 Crompton & Knowles Corp. ................................ 885,500
</TABLE>
See Notes to Financial Statements.
84
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Chemicals -- 1.2% (continued)
12,300 Dexter Corp.* ........................................... $ 448,181
20,450 Ferro Corp.* ............................................ 490,800
26,900 Gaylord Container Corp., Class A Shares ................. 220,244
2,700 Gentek, Inc. ............................................ 32,231
18,200 The Geon Co. ............................................ 543,725
18,600 Georgia Gulf Corp. ...................................... 338,288
1,600 H.B. Fuller & Co. ....................................... 96,400
5,100 Lilly Industrial, Inc., Class A Shares................... 80,963
33,700 MacDermid, Inc. ......................................... 1,116,313
1,200 Minerals Technologies Inc. .............................. 59,400
8,300 NL Industries Inc. ...................................... 100,119
2,000 Polymer Group, Inc. ..................................... 28,000
101,700 Scotts Co., Class A Shares .............................. 4,036,219
11,600 Spartech Corp. .......................................... 322,625
25,100 U.S. Plastic Lumber Corp. ............................... 266,687
41,200 W.R. Grace & Co. ........................................ 787,950
14,800 WD-40 Co. ............................................... 362,600
- --------------------------------------------------------------------------------
13,405,919
- --------------------------------------------------------------------------------
Collectibles -- 0.3%
199,000 Boyds Collection, Ltd. .................................. 2,674,063
10,900 Department 56 Inc. ...................................... 305,200
13,100 Enesco Group Inc. ....................................... 225,975
16,600 Racing Champions Corp. .................................. 106,344
49,000 The Topps Co. ........................................... 434,875
- --------------------------------------------------------------------------------
3,746,457
- --------------------------------------------------------------------------------
Commercial Services -- 3.6%
11,100 Abacus Direct Corp. ..................................... 1,131,506
14,300 ABM Industries Inc.* .................................... 328,900
10,700 Administaff Inc. ........................................ 169,194
84,800 AnswerThink Consulting Group, Inc.+ ..................... 1,568,800
10,400 Burns International Corp. ............................... 163,150
56,600 Cambridge Technology Partners Inc. ...................... 774,713
9,700 Carey International Inc. ................................ 210,975
6,700 Carriage Services Inc. .................................. 74,956
20,700 CDI Corp. ............................................... 623,588
11,050 Central Parking Corp.* .................................. 354,981
60,300 Century Business Services, Inc. ......................... 780,131
18,100 Coinstar, Inc. .......................................... 418,563
6,700 CoStar Group Inc. ....................................... 192,206
2,300 Creditrust Corp.+ ....................................... 59,800
35,400 Data Broadcasting Corp. ................................. 265,500
12,400 Data Transmission Network................................ 316,200
10,800 DBT Online, Inc. ........................................ 324,675
21,100 Dendrite International, Inc. ............................ 878,287
65,300 Electro Rent Corp. ...................................... 791,763
28,100 F.Y.I. Inc. ............................................. 918,519
7,100 Global Imaging Systems Inc. ............................. 134,900
28,200 InfoUSA Inc., Class B Shares............................. 142,763
111,320 Interim Services Inc.+ .................................. 2,052,463
60,350 International Network Services........................... 3,209,866
18,800 International Telecomm Data Systems Inc. ................ 148,050
24,600 Iron Mountain Inc. ...................................... 774,900
63,300 Lason Inc.+ ............................................. 2,860,369
71,400 Macrovision Corp. ....................................... 2,387,438
15,100 Memberworks Inc. ........................................ 518,119
</TABLE>
See Notes to Financial Statements.
85
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Commercial Services -- 3.6% (continued)
11,800 NCO Group Inc. .......................................... $ 536,900
17,400 NFO Worldwide Inc. ...................................... 228,375
52,200 Nova Corp. .............................................. 1,357,200
20,000 Ogden Corp. ............................................. 455,000
8,700 Pierce Leahy Corp. ...................................... 185,963
37,600 Plexus Corp. ............................................ 1,118,600
45,600 Prepaid Legal Services Inc. ............................. 1,462,050
21,900 ProxyMed, Inc. .......................................... 294,281
35,800 Quanta Services Inc. .................................... 803,263
59,890 Regis Corp. ............................................. 1,145,396
20,862 Rollins Inc. ............................................ 327,273
5,400 RWD Technologies Inc. ................................... 42,863
45,000 Sitel Corp. ............................................. 177,188
11,200 Source Information Management Co. ....................... 155,400
9,100 Startek Inc. ............................................ 334,425
29,700 Sylvan Learning Systems Inc. ............................ 590,288
601,300 Teletech Holdings Inc. .................................. 6,689,462
13,800 Towne Services, Inc. .................................... 63,825
3,300 Track Data Corp. ........................................ 32,175
31,900 Wackenhut Corp. ......................................... 771,581
12,100 Xceed Inc. .............................................. 215,531
- --------------------------------------------------------------------------------
39,562,314
- --------------------------------------------------------------------------------
Communications -- 2.0%
14,900 Adaptive Broadband Corp. ................................ 474,938
13,500 Advanced Communications Group............................ 99,563
65,691 ANTEC Corp. ............................................. 2,993,046
41,600 Billing Concepts Corp. .................................. 218,400
92,700 Citadel Communications Corp. ............................ 3,441,488
139,666 Commscope Inc. .......................................... 4,809,748
46,300 DSP Communications, Inc.+ ............................... 1,088,050
17,300 Entrust Technologies Inc. ............................... 384,925
35,900 General Semiconductor Inc. .............................. 352,269
2,600 Latitude Communications Inc. ............................ 36,238
9,790 Libbey Inc. ............................................. 299,819
215,000 Metromedia Fiber Network Inc., Class A Shares............ 6,329,063
1,700 Network Equipment Technologies, Inc. .................... 14,875
44,900 Pegasus Communications Corp. ............................ 1,885,800
10,300 Worldgate Communications Inc. ........................... 296,769
- --------------------------------------------------------------------------------
22,724,991
- --------------------------------------------------------------------------------
Computer Services -- 3.8%
116,700 Action Performance Cos.+................................. 2,881,031
57,800 Airtran Holdings Inc. ................................... 319,706
7,500 Anacomp Inc. ............................................ 125,625
26,500 Analysts International Corp.* ........................... 354,438
84,200 Bell & Howell Co. ....................................... 2,820,700
25,700 The BISYS Group Inc. .................................... 1,220,750
50,600 CACI International Inc., Class A Shares.................. 1,138,500
169,400 CIBER Inc.+ ............................................. 3,102,138
40,800 Cognizant Technology Solutions Corp. .................... 984,300
27,400 Complete Business Solutions, Inc. ....................... 422,988
800 CompX International Inc. ................................ 13,600
80,900 Concentric Network Corp. ................................ 1,774,744
14,400 Cotelligent, Inc. ....................................... 69,300
128,400 Digital River, Inc. ..................................... 3,089,625
14,000 Engineering Animation Inc.+ ............................. 238,000
</TABLE>
See Notes to Financial Statements.
86
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Computer Services -- 3.8% (continued)
36,200 Extreme Networks Inc. ................................... $ 2,314,538
87,100 Globix Corp. ............................................ 4,186,244
8,576 InaCom Corp. ............................................ 83,616
3,600 International Integration Inc. .......................... 82,800
14,300 Intraware, Inc. ......................................... 257,400
26,000 ISS Group, Inc. ......................................... 641,875
3,000 Manhattan Associates, Inc. .............................. 19,313
42,550 Mastec Inc.+ ............................................ 1,188,741
39,600 Mastech Corp.+ .......................................... 685,575
107,050 Metamor Worldwide, Inc. ................................. 1,716,145
85,500 National Data Corp. ..................................... 3,270,375
42,900 Polycom, Inc. ........................................... 1,568,531
78,900 Pomeroy Computer Resources Inc. ......................... 1,050,356
11,800 S3 Inc. ................................................. 118,000
40,700 Security Dynamics Tech Inc. ............................. 961,538
5,800 Syntel, Inc. ............................................ 54,194
49,950 Technology Solutions Co. ................................ 599,400
38,800 Tyler Technologies, Inc. ................................ 223,100
43,400 Verisign Inc. ........................................... 4,700,763
- --------------------------------------------------------------------------------
42,277,949
- --------------------------------------------------------------------------------
Computer Software -- 6.5%
44,000 Acclaim Entertainment Inc. .............................. 310,750
75,100 Accrue Software Inc. .................................... 1,098,338
116,700 Activision Inc. ......................................... 1,692,150
14,300 Actuate Software Corp. .................................. 471,900
42,200 Acxiom Corp. ............................................ 741,138
10,100 Advantage Learning Systems, Inc. ........................ 226,619
14,100 Advent Software Inc. .................................... 692,663
131,400 Ardent Software Inc. .................................... 3,120,750
27,100 Aspect Development Inc. ................................. 425,131
18,500 Aspen Technology, Inc. .................................. 158,406
101,575 Avant Corp. ............................................. 1,434,747
8,000 Avid Technology Inc. .................................... 101,000
48,500 AVT, Corp.* ............................................. 1,370,125
32,600 Axent Technologies Inc. ................................. 411,575
23,600 Banyan Systems Inc. ..................................... 182,900
12,500 BARRA Inc. .............................................. 256,250
8,300 Best Software, Inc. ..................................... 136,950
18,900 Bindview Development Corp. .............................. 403,988
21,900 Black Box Corp. ......................................... 1,004,662
7,400 Bottomline Technologies, Inc. ........................... 205,350
12,600 Brio Technology Inc. .................................... 177,975
20,400 Broadvision Inc.+ ....................................... 2,031,075
24,200 Clarify Inc. ............................................ 1,064,800
35,300 Computer Horizons Corp. ................................. 458,900
18,900 Computer Task Group Inc.* ............................... 316,575
44,300 Concord Communications Inc. ............................. 1,635,004
24,800 Cybex Computer Products.................................. 678,900
19,000 Datastream Systems, Inc. ................................ 230,375
20,300 Echelon Corp. ........................................... 145,906
44,633 Epicor Software, Corp. .................................. 167,374
11,900 Excalibur Technologies Corp. ............................ 110,075
13,200 Exchange Applications, Inc. ............................. 394,350
37,418 FileNET Corp. ........................................... 388,212
76,300 Genesys Telecomm Labs Inc. .............................. 2,231,775
11,900 Great Plains Software Inc. .............................. 554,094
</TABLE>
See Notes to Financial Statements.
87
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Computer Software -- 6.5% (continued)
32,900 GT Interactive Software Corp. ........................... $ 96,644
46,900 Harbinger Corp. ......................................... 562,800
28,500 HNC Software Inc. ....................................... 1,036,688
36,435 Hyperion Solutions, Corp. ............................... 557,911
62,200 i2 Technologies, Inc.+ .................................. 1,974,850
17,750 IMRglobal, Corp. ........................................ 302,859
8,400 Informatica Corp. ....................................... 471,450
5,000 Information Holdings Inc. ............................... 92,187
214,600 Informix Corp. .......................................... 1,562,556
19,800 Integrated Systems Inc. ................................. 196,762
23,500 Inter-Tel Inc. .......................................... 502,313
104,900 Intervoice-Brite Inc. ................................... 1,442,375
14,900 iVillage Inc.+ .......................................... 541,056
59,200 Jack Henry & Associates.................................. 1,924,000
11,650 JDA Software Group, Inc. ................................ 104,122
13,600 Manugistics Group Inc. .................................. 170,000
22,900 MAPICS Inc. ............................................. 197,513
11,500 Mercury Computer Systems................................. 299,000
136,500 Mercury Interactive Corp. ............................... 6,517,875
26,300 Messagemedia, Inc. ...................................... 350,119
6,600 Metro Information Services, Inc.+ ....................... 106,013
11,000 Miami Computer Supply Corp. ............................. 195,250
66,000 Micromuse Inc. .......................................... 3,770,250
43,700 Microstrategy Inc.+ ..................................... 1,737,075
4,200 Mid-State Bancshares..................................... 143,850
29,794 Midway Games Inc. ....................................... 391,046
28,500 National Instruments Corp. .............................. 853,219
6,300 NEON Systems, Inc. ...................................... 207,113
10,200 Network Peripherals Inc. ................................ 201,450
4,500 Omega Research Inc. ..................................... 27,844
8,600 Onyx Software Corp. ..................................... 138,675
31,500 Open Market Inc. ........................................ 381,938
24,500 Packeteer, Inc. ......................................... 903,438
77,500 Pairgain Technologies Inc. .............................. 808,906
6,900 Pegasystems, Inc. ....................................... 57,788
96,300 Peregrine Systems Inc. .................................. 3,177,900
15,600 Pervasive Software Inc. ................................. 331,500
12,500 Phoenix Technology Ltd .................................. 139,844
59,000 Pinnacle Systems, Inc. .................................. 1,924,875
25,600 Pixar Inc. .............................................. 872,000
41,400 Policy Management Systems Corp. ......................... 1,265,288
2,600 Private Business Inc. ................................... 16,250
7,100 Project Software & Development, Inc. .................... 311,957
21,100 Quest Software........................................... 883,563
3,800 Razorfish Inc. .......................................... 106,400
33,200 SAGA Systems, Inc. ...................................... 390,100
13,800 Sagent Technology, Inc. ................................. 156,975
5,200 Saleslogix Corp. ........................................ 93,600
14,100 Sanchez Computer Associates, Inc. ....................... 630,975
23,200 Santa Cruz Operation, Inc. .............................. 210,250
14,100 SCM Microsystems, Inc. .................................. 592,200
7,600 Serena Software, Inc. ................................... 106,875
8,700 SPSS Inc. ............................................... 206,081
9,100 SS&C Technologies, Inc. ................................. 53,463
40,000 Structural Dynamics Research Corp. ...................... 645,000
26,700 SVI Holdings, Inc. ...................................... 245,306
25,500 Sykes Enterprises, Inc. ................................. 612,000
</TABLE>
See Notes to Financial Statements.
88
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Computer Software -- 6.5% (continued)
38,300 Systems & Computer Tech Corp. ........................... $ 560,138
5,500 Tenfold Corp. ........................................... 150,219
14,100 THQ Inc. ................................................ 445,913
36,100 Transaction Systems Architects, Inc. .................... 1,062,694
31,400 Vantive Corp. ........................................... 261,012
14,100 Verity, Inc. ............................................ 687,375
31,400 Visio Corp. ............................................. 887,050
48,100 Western Digital Corp. ................................... 294,613
40,387 Wind River Systems Inc. ................................. 643,668
11,400 Zomax Inc. .............................................. 260,062
- --------------------------------------------------------------------------------
72,082,863
- --------------------------------------------------------------------------------
Computers -- 5.2%
84,200 3Dfx Interactive, Inc. .................................. 936,725
134,900 American Management Systems Inc. ........................ 3,861,513
22,229 Apex Inc. ............................................... 737,725
56,200 Audible, Inc............................................. 625,225
21,900 Auspex Systems Inc ...................................... 242,268
9,000 Autobytel.com Inc.+ ..................................... 141,188
13,800 Brooktrout Technology Inc. .............................. 217,350
6,100 Catapult Communications Corp. ........................... 93,788
64,300 Cognex Corp. ............................................ 1,941,056
24,900 Computer Network Technology Corp. ....................... 393,731
52,600 Concurrent Computer Corp. ............................... 379,706
4,800 Critical Path, Inc. ..................................... 160,800
102,400 Emulex Corp. ............................................ 7,059,200
15,700 Hutchinson Technology Inc. .............................. 423,900
3,500 In Focus Systems, Inc. .................................. 56,000
12,900 Inspire Insurance Solutions, Inc. ....................... 126,581
304,600 Iomega Corp.+ ........................................... 1,028,023
3,200 Komag, Inc. ............................................. 10,200
68,825 Kronos Inc. ............................................. 3,452,004
72,600 Maxtor Corp. ............................................ 465,094
10,200 Maxwell Technologies Inc. ............................... 225,675
152,200 Mentor Graphics Corp. ................................... 1,365,044
37,800 Micrel, Inc. ............................................ 2,896,425
69,200 Microchip Technology Inc. ............................... 3,788,700
79,155 Micron Electronics Inc. ................................. 766,814
114,000 Micros Systems Inc. ..................................... 3,847,500
35,000 MMC Networks Inc. ....................................... 1,080,625
32,400 MTI Technology Corp. .................................... 722,925
85,500 National Computer Systems Inc. .......................... 3,334,500
27,800 Neomagic Corp. .......................................... 225,875
47,300 NVIDIA Corp.+ ........................................... 1,330,313
98,593 Per-Se Technologies, Inc. ............................... 351,238
63,704 Progress Software Corp. ................................. 1,950,935
8,400 Protein Design Labs Inc. ................................ 223,650
30,950 QRS Corp. ............................................... 1,489,469
13,300 Radiant Systems Inc. .................................... 261,844
8,100 RadiSys Corp. ........................................... 311,850
10,600 Read-Rite Corp. ......................................... 59,625
23,300 SandDisk Corp. .......................................... 1,965,937
60,100 SBS Technologies Inc. ................................... 1,419,863
21,300 SIPEX Corp. ............................................. 376,744
29,500 Smart Modular Technologies, Inc. ........................ 613,969
5,500 Unigraphics Solutions Inc. .............................. 186,656
39,400 Verticalnet, Inc. ....................................... 1,359,300
</TABLE>
See Notes to Financial Statements.
89
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Computers -- 5.2% (continued)
23,500 Visual Networks, Inc. ................................... $ 975,250
29,100 Wave Systems Corp., Class A Shares....................... 281,906
68,300 Xircom, Inc. ............................................ 2,719,194
28,000 Zebra Technologies Corp., Class A Shares................. 1,316,000
- --------------------------------------------------------------------------------
57,799,903
- --------------------------------------------------------------------------------
Consumer Products -- 0.3%
6,100 Brooke Group Ltd.*+...................................... 118,569
11,500 Chattem, Inc. ........................................... 277,438
7,300 The Coleman Co., Inc. ................................... 67,069
30,517 Fossil Inc.+ ............................................ 951,749
8,400 JAKKS Pacific, Inc. ..................................... 254,100
4,200 Marvel Enterprises, Inc. ................................ 22,838
65,200 Natures Sunshine Products Inc. .......................... 635,700
19,800 Playtex Products, Inc. .................................. 288,338
37,400 Tupperware Corp. ........................................ 843,838
1,700 West Marine, Inc. ....................................... 15,194
- --------------------------------------------------------------------------------
3,474,833
- --------------------------------------------------------------------------------
Consumer Services -- 0.6%
9,700 Carematrix Corp. ........................................ 78,812
16,400 Choicepoint Inc. ........................................ 1,079,325
9,400 Cornell Corrections, Inc. ............................... 149,225
8,900 CPI Corp.* .............................................. 289,250
39,500 Extended Stay America Inc. .............................. 355,500
51,100 Federal Signal Corp. .................................... 1,069,906
32,800 HSB Group Inc. .......................................... 1,219,750
23,450 Insight Enterprises Inc.+ ............................... 709,362
17,500 ITT Educational Services, Inc. .......................... 273,437
14,500 Pegasus Systems Inc ..................................... 523,813
25,100 Polaris Industries Inc. ................................. 902,031
24,100 Protection One, Inc. .................................... 84,350
7,900 Superior Consultants Holdings Corp. ..................... 180,713
10,800 Wackenhut Corrections Corp. ............................. 204,525
- --------------------------------------------------------------------------------
7,119,999
- --------------------------------------------------------------------------------
Containers -- 0.2%
25,000 AEP Industries Inc. ..................................... 962,500
10,900 Earthshell Corp.+ ....................................... 52,797
3,300 Liqui-Box Corp. ......................................... 173,663
82,800 Shorewood Packaging Corp. ............................... 1,221,300
11,700 U.S. Can Corp. .......................................... 283,725
- --------------------------------------------------------------------------------
2,693,985
- --------------------------------------------------------------------------------
Distribution/Wholesale -- 1.3%
121,678 Amerisource Health Corp. ................................ 3,140,813
17,200 Anicom, Inc. ............................................ 106,425
129,379 Aviation Sales Co.+ ..................................... 4,010,749
128,034 Bindley Western Industries Inc.* ........................ 2,144,575
38,100 Cellstar Corp. .......................................... 202,406
63,400 Central Garden & Pet Co. ................................ 491,350
5,163 CHS Electronics, Inc. ................................... 12,262
8,400 Daisytek International Corp. ............................ 97,650
2,300 JLK Direct Distribution Inc., Class A Shares............. 18,831
16,300 Navarre Corp. ........................................... 153,322
85,700 Owens & Minor Co., Inc. ................................. 948,056
81,300 SCP Pool Corp. .......................................... 1,869,900
</TABLE>
See Notes to Financial Statements.
90
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Distribution/Wholesale -- 1.3% (continued)
38,800 United Stationers Inc. .................................. $ 877,850
18,700 Watsco, Inc. ............................................ 261,800
14,800 WESCO International, Inc. ............................... 186,850
- --------------------------------------------------------------------------------
14,522,839
- --------------------------------------------------------------------------------
Education -- 0.3%
14,500 Bright Horizons Inc. .................................... 257,375
8,100 Career Education Corp. .................................. 210,600
4,400 Corinthian Colleges, Inc. ............................... 90,475
20,000 Devry Inc. .............................................. 417,500
174,100 Education Management Corp. .............................. 2,252,419
13,300 Learning Tree International, Inc. ....................... 169,575
7,700 Strayer Education Inc. .................................. 180,469
- --------------------------------------------------------------------------------
3,578,413
- --------------------------------------------------------------------------------
Electronic Components & Semiconductors -- 7.4%
58,800 Actel Corp. ............................................. 922,425
18,200 Alpha Indusrties, Inc.*.................................. 1,036,263
16,100 American Superconductor Corp. ........................... 195,213
88,800 Amkor Technology, Inc.+.................................. 1,565,100
19,100 Applied Micro Circuits Corp. ............................ 1,761,975
12,000 Arguss Holdings, Inc. ................................... 189,000
2,200 Belden Inc.*............................................. 51,563
8,600 BriteSmile Inc.+......................................... 80,625
43,700 Broadcom Corp. .......................................... 5,626,375
29,405 Burr-Brown Corp. ........................................ 1,121,066
29,200 Cree Research, Inc.+..................................... 987,325
61,600 CTS Corp. ............................................... 2,933,700
157,300 Cymer Inc.+.............................................. 5,495,669
141,600 Cypress Semiconductor Corp.+............................. 3,274,500
114,600 Dallas Semiconductor Corp.*.............................. 5,787,300
99,800 DuPont Photomasks Inc. .................................. 5,351,775
121,869 Etec Systems, Inc. ...................................... 5,362,236
71,500 Fairchild Semiconductor Corp. ........................... 1,939,438
5,100 Franklin Electric Co. Inc.*.............................. 359,550
23,000 Galileo Technology Ltd. ................................. 1,198,875
76,900 Genesis Microchip Inc. .................................. 1,908,081
10,200 Harmon Industries, Inc. ................................. 177,225
29,400 hi/fn, inc.+............................................. 3,548,213
9,900 Innovex, Inc. ........................................... 137,363
240,500 International Rectifier Corp. ........................... 3,878,063
121,300 Kent Electronics Corp. .................................. 2,054,519
15,100 Kopin Corp. ............................................. 544,544
53,200 Lam Research Corp.+...................................... 3,002,475
25,600 Lattice Semiconductor Corp. ............................. 1,577,600
15,800 Littlefuse Inc. ......................................... 314,025
4,400 Maker Communications Inc. ............................... 103,950
39,600 Methode Electronics Inc. ................................ 712,800
107,800 MIPS Technology Inc. .................................... 3,692,150
6,300 MKS Instruments, Inc. ................................... 115,763
14,000 Optical Coating Laboratory, Inc. ........................ 1,074,500
68,000 Photronics, Inc. ........................................ 1,623,500
52,300 PLX Technology, Inc. .................................... 1,255,200
22,300 PRI Automation Inc. ..................................... 638,338
25,200 Siliconix Inc. .......................................... 1,096,200
57,000 Telcom Semiconductor Inc. ............................... 776,625
29,100 TranSwitch Corp. ........................................ 1,445,907
</TABLE>
See Notes to Financial Statements.
91
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Electronic Components & Semiconductors -- 7.4% (continued)
106,350 Triquint Semiconductor, Inc. ............................ $ 5,623,256
15,200 Ultratech Stepper, Inc. ................................. 203,300
37,100 Unitrode Corp. .......................................... 1,516,463
- --------------------------------------------------------------------------------
82,260,033
- --------------------------------------------------------------------------------
Electronics -- 4.6%
88,000 Aavid Thermal Technologies, Inc. ........................ 2,002,000
21,400 Advanced Digital Information............................. 690,150
21,900 Aeroflex Inc. ........................................... 358,613
15,500 American Xtal Technology, Inc. .......................... 385,563
38,200 AMETEK Inc.*............................................. 795,038
28,500 Ampex Corp., Class A Shares.............................. 89,063
17,100 Amphenol Corp., Class A Shares........................... 800,494
226,974 Artesyn Technologies Inc. ............................... 4,979,242
116,500 Atmi Inc. ............................................... 3,844,500
27,590 Benchmark Electronics Inc. .............................. 1,015,657
8,400 BMC Industries Inc. ..................................... 103,425
74,400 C-Cube Microsystems Inc. ................................ 2,069,250
2,000 Cohu, Inc.*.............................................. 85,500
54,000 Credence Systems Corp. .................................. 2,322,000
102,500 DII Group, Inc. ......................................... 3,632,344
25,100 Dionex Corp. ............................................ 999,294
41,100 DSP Group Inc. .......................................... 1,582,350
19,000 EG&G Inc.*............................................... 604,438
3,400 Electroglas Inc. ........................................ 65,450
11,600 EMCORE Corp. ............................................ 205,900
31,700 Genrad Inc. ............................................. 598,338
4,611 Hadco Corp. ............................................. 191,645
112,500 Integrated Device Tech, Inc. ............................ 2,193,750
35,200 L-3 Communications Holdings, Inc. ....................... 1,397,000
40,800 LTX Corp. ............................................... 530,400
8,900 Mechanical Technology Inc.+.............................. 267,000
44,300 Mettler-Toledo International Inc. ....................... 1,179,488
86,100 Oak Industries Inc. ..................................... 2,701,388
8,700 ParkerVision Inc. ....................................... 240,881
24,500 Pittway Corp., Class A Shares............................ 806,969
12,700 Power Intergrations, Inc. ............................... 862,806
35,137 Profit Recovery Group, International..................... 1,337,402
76,000 RF Micro Devices, Inc. .................................. 3,339,250
27,400 Sawtek Inc. ............................................. 905,912
11,000 Schwak Inc. ............................................. 98,312
16,900 Semtech Corp. ........................................... 1,184,056
5,400 Silicon Valley Group Inc. ............................... 64,125
140,500 SLI Inc. ................................................ 3,442,250
12,416 SpeedFam-IPEC, Inc. ..................................... 122,608
55,300 Stoneridge Inc. ......................................... 995,400
14,000 Technitrol Inc. ......................................... 490,000
22,300 Trimble Navigation Ltd. ................................. 252,269
2,151 Value Line Inc. ......................................... 80,125
21,400 Varian Semiconductor Equipment Associates, Inc. ......... 486,850
27,300 Varian, Inc. ............................................ 433,388
9,900 Veeco Instruments Inc. .................................. 332,269
3,800 Watkins-Johnson Co. ..................................... 125,875
- --------------------------------------------------------------------------------
51,290,027
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
92
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Energy -- 0.6%
11,400 Advanced Energy Industries, Inc. ........................ $ 391,875
49,900 Black Hills Corp. ....................................... 1,235,025
113,100 Catalytica Inc. ......................................... 1,774,256
113,200 Power-One Inc. .......................................... 2,992,725
21,500 Vicor Corp. ............................................. 415,219
- --------------------------------------------------------------------------------
6,809,100
- --------------------------------------------------------------------------------
Entertainment and Leisure -- 2.0%
20,900 AMC Entertaiment Inc.* .................................. 292,600
107,200 American Classic Voyages Co. ............................ 2,184,200
2,300 Anchor Gaming Co. ....................................... 111,766
104,600 Argosy Gaming Co. ....................................... 1,418,638
26,000 Ballys Total Fitness Holdings*........................... 833,625
32,400 Callaway Golf Co.*....................................... 321,975
11,200 Championship Auto Racing Teams Inc. ..................... 371,700
7,300 Churchill Downs Inc.*+................................... 189,800
176,800 Cinar Corp., Class B Shares.............................. 4,420,000
4,200 Direct Focus, Inc. ...................................... 74,026
13,000 Dover Downs Entertainment, Inc.*......................... 190,125
140,000 Fairfield Communities, Inc. ............................. 1,820,000
9,929 Family Golf Centers+..................................... 12,411
157,600 GTECH Holdings Corp. .................................... 3,979,400
68,500 Hollywood Park Inc. ..................................... 1,160,219
9,200 Lowes Cineplex Entertainment, Inc. ...................... 73,025
83,000 Premier Parks Inc.*...................................... 2,718,250
15,300 Preview Travel Inc. ..................................... 254,363
22,000 Station Casinos Inc. .................................... 445,500
7,200 Steinway Musical Instruments, Inc. ...................... 150,300
37,050 Sunterra, Corp. ......................................... 488,597
3,600 Trendwest Resorts Inc. .................................. 89,100
7,300 Vail Resorts, Inc. ...................................... 129,119
11,826 Vistana, Inc. ........................................... 184,781
22,000 WMS Industries Inc. ..................................... 239,250
- --------------------------------------------------------------------------------
22,152,770
- --------------------------------------------------------------------------------
Fiber Optics -- 0.9%
11,100 C-COR.net Corp. ......................................... 251,138
15,100 Harmonic Inc. ........................................... 1,902,600
31,300 International FiberCom, Inc. ............................ 234,750
66,372 JDS Uniphase Corp. ...................................... 7,039,580
5,900 NorthEast Optic Network, Inc. ........................... 212,400
3,100 Optical Cable Corp. ..................................... 30,613
- --------------------------------------------------------------------------------
9,671,081
- --------------------------------------------------------------------------------
Financial Services -- 2.5%
51,000 Affiliated Managers Group................................ 1,361,062
16,300 Allied Capital Corp.*.................................... 368,278
118,700 Americredit Corp.*....................................... 1,520,844
1,900 AMRESCO Inc. ............................................ 12,706
8,900 Anchor Financial Corp.*.................................. 277,569
21,300 Arm Financial Group, Inc. ............................... 5,325
3,500 Banco Santander Puerto Rico*............................. 59,719
85,466 Building One Services, Corp. ............................ 1,111,058
21,100 Chittenden, Corp.*....................................... 572,338
43,900 Community First Bank*.................................... 901,322
7,300 Compucredit Corp. ....................................... 135,050
14,500 Conning Corp.*........................................... 166,750
</TABLE>
See Notes to Financial Statements.
93
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Financial Services -- 2.5% (continued)
1,000 Dain Rauscher Corp.*..................................... $ 49,625
27,500 Doral Financial Corp.*................................... 381,563
5,100 Duff & Phelps Credit Rating Co.*......................... 388,238
34,200 Eaton Vance Corp.*....................................... 1,043,100
16,000 Everen Capital Corp.*.................................... 486,000
10,200 Federal Agricultural Mortgage Corp. ..................... 202,088
38,830 Fidelity National Financial Inc.*........................ 597,011
12,500 Financial Federal Corp.*................................. 235,156
55,300 Finet.com, Inc. ......................................... 146,891
25,024 First Bankcorp of Puerto Rico*........................... 516,120
2,800 First Financial Holdings Inc.*........................... 52,500
17,200 First Sierra Financial Inc. ............................. 189,200
27,200 Friedman, Billings, Ramsey Group, Class A Shares......... 187,000
15,600 Frontier Financial Corp.*................................ 343,200
71,848 Hambrecht & Quist Inc. .................................. 2,743,696
1,700 Harris Financial Inc.*................................... 17,319
18,500 Healthcare Investors of America, Inc..................... 481,000
41,500 Investors Financial Services*............................ 1,519,938
7,983 The John Nuveen Co.*..................................... 311,836
25,678 Long Beach Financial Corp. .............................. 386,775
9,600 Medallion Financial Co.*................................. 190,200
231,200 Metris Cos. Inc.*+....................................... 6,372,450
6,900 Mississippi Valley Bancshares............................ 213,900
19,650 Morgan Keegan Inc.*...................................... 332,823
2,000 National Bancorp of Alaska, Inc.*........................ 52,375
11,400 National Discount Brokers Group, Inc.+................... 348,413
1,050 NBT Bancorp Inc. ........................................ 19,819
4,500 Nextcard Inc. ........................................... 110,250
2,000 Omega Financial Corp.*................................... 64,375
600 Pennsylvania Real Estate Invest Trust.................... 11,963
100 Philadelphia Consolidated Holdings*...................... 1,850
30,660 Pioneer Group Inc. ...................................... 461,816
39,500 Raymond James Financial Corp.*........................... 772,719
46,900 Resource America Inc., Class A Shares*................... 469,000
2,100 Rock Financial Corp.*.................................... 36,750
5,200 Stancorp Financial Group, Inc.*.......................... 123,175
31,200 Syntroleum, Corp. ....................................... 218,400
900 Triad Guaranty Inc. ..................................... 17,550
21,800 Unicapital Corp. ........................................ 80,388
32,500 United Asset Management Corp.*........................... 635,781
4,800 United Community Financial*.............................. 57,900
16,400 Winfield Capital Corp. .................................. 262,400
- --------------------------------------------------------------------------------
27,624,574
- --------------------------------------------------------------------------------
Food -- 0.8%
20,500 American Italian Pasta Co., Class A Shares............... 574,000
4,400 Aurora Foods Inc. ....................................... 74,250
44,500 Del Monte Foods Co. ..................................... 673,063
17,200 Dreyer's Grand Ice Cream Inc.*........................... 292,400
5,000 The Earthgrains Co. ..................................... 120,625
48,400 Foodmaker Inc. .......................................... 1,116,225
15,300 Hain Food Group Inc. .................................... 401,625
19,800 International Home Foods Inc. ........................... 396,000
16,100 Lance Inc.*.............................................. 209,300
1,700 Michael Foods Inc. ...................................... 47,069
50,150 Performance Food Group................................... 1,305,467
5,300 Pilgrims Pride Corp., Class A Shares*.................... 43,063
</TABLE>
See Notes to Financial Statements.
94
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Food -- 0.8% (continued)
16,600 Pilgrims Pride Corp., Class B Shares*.................... $ 176,375
5,000 Riviana Foods, Inc. ..................................... 95,625
86,000 Smithfield Foods Inc. ................................... 2,526,250
20,600 Triarc Cos. ............................................. 432,600
9,600 United National Foods, Inc. ............................. 110,400
10,500 Universal Foods Corp. ................................... 221,813
12,800 Vlasic Foods International............................... 94,400
5,200 Worthington Foods Inc. .................................. 68,250
- --------------------------------------------------------------------------------
8,978,800
- --------------------------------------------------------------------------------
Grocery Stores -- 0.5%
17,100 Grand Union Co. ......................................... 221,231
2,400 Ruddick Corp. ........................................... 44,550
30,800 Whole Foods Market Inc. ................................. 1,106,875
103,800 Wild Oats Markets Inc. .................................. 3,775,725
- --------------------------------------------------------------------------------
5,148,381
- --------------------------------------------------------------------------------
Health Care -- 2.1%
26,000 Alkermes Inc. ........................................... 965,250
1,100 Arrow International Inc. ................................ 31,900
60,600 Celgene Corp. ........................................... 1,033,988
42,900 Crawford & Co.*.......................................... 533,569
22,200 Deltic Timber Corp.*..................................... 553,613
76,200 Hooper Holmes Inc. ...................................... 1,752,600
258,700 Jones Pharma Inc. ....................................... 7,001,069
9,100 Laboratory Corp. of America Holdings..................... 26,163
100,000 Medquist Inc. ........................................... 3,481,250
15,700 Pathogenesis Corp. ...................................... 274,750
8,700 Perclose Inc. ........................................... 460,556
40,950 Res-care Inc.+........................................... 772,931
11,700 Sabratek Corp. .......................................... 45,337
16,400 Sangstat Medical Corp. .................................. 338,250
199,700 Sunrise Assisted Living, Inc. ........................... 4,980,019
38,900 United Payors & United Providers, Inc. .................. 780,431
5,200 Ventas, Inc. ............................................ 19,825
- --------------------------------------------------------------------------------
23,051,501
- --------------------------------------------------------------------------------
Health Care Products & Services -- 1.3%
2,000 Accredo Health, Inc. .................................... 69,375
16,200 Alterra Healthcare, Corp.+............................... 162,000
16,300 American Retirement Corp. ............................... 190,506
6,800 Ameripath Inc. .......................................... 63,750
10,300 Assisted Living Concepts Inc. ........................... 29,613
13,200 Capital Senior Living Corp. ............................. 103,950
136,700 Coventry Health Care Corp. .............................. 1,375,544
31,700 Eclipsys Corp. .......................................... 457,669
15,900 IDX Systems Corp. ....................................... 321,975
29,600 Infocure Corp. .......................................... 569,800
5,800 Invacare Corp. .......................................... 108,388
21,700 LifePoint Hospitals, Inc. ............................... 149,188
2,200 Mannatech, Inc. ......................................... 15,400
226,400 Medpartners, Inc. ....................................... 1,584,800
22,000 Mid Atlantic Medical Services, Inc. ..................... 185,625
13,100 Morrison Management Specialists, Inc. ................... 307,850
11,100 NCS Healthcare, Inc.+.................................... 40,238
18,300 Ocular Sciences Inc. .................................... 300,806
154,900 Orthodontic Centers of America, Inc. .................... 2,517,125
</TABLE>
See Notes to Financial Statements.
95
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Health Care Products & Services -- 1.3% (continued)
44,200 Oxford Health Plans, Inc. ............................... $ 685,100
31,300 Pediatrix Medical Group Inc.+............................ 467,544
17,800 Phycor Inc. ............................................. 72,313
11,200 Province Healthcare Co. ................................. 176,400
125,975 Renal Care Group Inc. ................................... 2,409,272
83,600 Total Renal Care Holdings Inc. .......................... 674,025
21,600 Triad Hospitals, Inc. ................................... 241,650
44,756 US Oncology, Inc. ....................................... 458,749
19,050 Xomed Surgical Products Inc. ............................ 1,120,378
- --------------------------------------------------------------------------------
14,859,033
- --------------------------------------------------------------------------------
Home Building -- 0.4%
73,544 Champion Enterprises Inc. ............................... 625,124
6,900 Fleetwood Enterprises, Inc. ............................. 140,588
67,400 Kaufman & Broad Home Corp. .............................. 1,377,488
16,200 Lennar Corp. ............................................ 307,800
1,900 LNR Property Corp. ...................................... 35,388
111 Modtech Holdings, Inc. .................................. 961
12,100 NVR, Inc. ............................................... 698,775
5,400 Oakwood Homes Corp. ..................................... 32,738
22,247 Palm Harbor Homes Inc. .................................. 340,657
110,400 Standard Pacific Corp. .................................. 1,235,100
5,000 Thor Industries Inc. .................................... 134,375
2,100 Toll Brothers, Inc. ..................................... 42,525
- --------------------------------------------------------------------------------
4,971,519
- --------------------------------------------------------------------------------
Home Furnishings & Appliances -- 1.0%
5,000 American Woodmark Corp.*................................. 135,625
85,000 Anaren Microwave Inc. ................................... 2,284,375
12,600 Bombay Co. .............................................. 77,963
84,000 Ethan Allen Interiors Inc.*+............................. 2,451,750
3,600 Fedders Corp.*........................................... 23,400
120,500 Furniture Brands International, Inc. .................... 2,417,531
36,200 Haverty Furniture........................................ 585,988
33,200 La-Z-Boy Inc. ........................................... 728,325
15,600 Oneida Ltd .............................................. 372,450
98,500 Pier 1 Imports Inc. ..................................... 535,594
32,850 Salton, Inc. ............................................ 915,694
9,400 Select Comfort Corp. .................................... 68,738
5,400 Windmere-Durable Holdings, Inc. ......................... 78,638
- --------------------------------------------------------------------------------
10,676,071
- --------------------------------------------------------------------------------
Hotels -- 0.1%
59,100 Choice Hotels Corp. Inc. ................................ 960,375
14,800 U.S. Franchises Systems, Inc., Class A Shares............ 246,050
- --------------------------------------------------------------------------------
1,206,425
- --------------------------------------------------------------------------------
Insurance -- 0.6%
1,000 American Heritage Life Insurance Co.*.................... 31,375
20,300 Arthur J. Gallagher & Co. ............................... 1,108,888
11,900 Brown & Brown, Inc.*..................................... 425,425
13,300 E.W. Blanch Holdings, Inc.*.............................. 881,125
70,600 First American Financial Corp.*.......................... 1,050,175
10,000 Foremost Corp. of America*............................... 237,500
10,600 FPIC Insurance Group Inc. ............................... 184,175
8,800 FSI International Inc. .................................. 56,650
700 Harleysville National Corp.*............................. 24,544
</TABLE>
See Notes to Financial Statements.
96
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Insurance -- 0.6% (continued)
3,300 HCC Insurance Holdings Inc. ............................. $ 48,263
14,993 Hilb, Rogal, & Hamilton Co.*............................. 361,706
700 Markel Corp.+............................................ 122,937
9,600 Provident America Corp. ................................. 168,000
25,812 Radian Group, Inc. ...................................... 1,195,418
5,800 UICI..................................................... 152,613
4,200 Unistar Financial Service Corp. ......................... 116,025
- --------------------------------------------------------------------------------
6,164,819
- --------------------------------------------------------------------------------
Internet -- 1.2%
15,100 24/7 Media, Inc. ........................................ 517,175
2,800 About.com, Inc. ......................................... 86,275
12,900 Ashton Technology Group, Inc.+........................... 118,922
5,300 Autoweb.com.............................................. 48,859
18,200 CyberCash Inc.+.......................................... 159,250
6,700 Earthweb Inc. ........................................... 244,550
21,100 Edify Corp. ............................................. 240,013
9,600 Efax.com................................................. 97,200
4,000 Fatbrain.com, Inc. ...................................... 96,250
30,200 Go2Net+.................................................. 1,963,000
33,500 Inktomi Corp. ........................................... 3,798,063
2,480 Internet Capitial Group, Inc.+........................... 186,000
5,900 iturf Inc, Class A Shares................................ 72,275
6,800 Launch Media Inc. ....................................... 83,725
29,600 Leran2.com Inc.+......................................... 92,500
6,300 Mapquest.com Inc. ....................................... 75,994
3,600 Marketwatch.com, Inc.+................................... 109,800
2,600 Media Metrix, Inc. ...................................... 124,719
12,400 Multex.com+.............................................. 206,150
17,000 Netgravity, Inc. ........................................ 459,000
17,700 Onemain.com Inc. ........................................ 296,475
71,900 Rare Medium Group, Inc. ................................. 683,050
29,100 Security First Technologies Corp. ....................... 1,076,700
17,900 Sportsline USA Inc. ..................................... 431,838
17,700 Spyglass, Inc. .......................................... 210,188
14,100 Telescan, Inc. .......................................... 206,213
13,400 Theglobe.com............................................. 147,400
7,100 Thestreet.com Inc. ...................................... 125,138
8,800 Xoom.com Inc. ........................................... 342,100
120,500 Youbet.com............................................... 1,001,656
14,100 Ziff-Davis Inc. - ZDet................................... 213,263
- --------------------------------------------------------------------------------
13,513,741
- --------------------------------------------------------------------------------
Internet Software -- 1.3%
24,800 Abovenet Communications Inc. ............................ 841,650
5,700 Allaire Corp. ........................................... 285,000
3,900 AppliedTheory Corp. ..................................... 52,406
5,100 CAIS Internet, Inc. ..................................... 61,838
18,200 CustomTracks Corp.*+..................................... 698,425
8,700 Flashnet Communications, Inc. ........................... 110,925
9,500 InterVU Inc. ............................................ 308,156
7,200 Juno Online Services Inc. ............................... 136,350
10,700 Mpath Interactive Inc. .................................. 126,394
12,000 Net Perceptions Inc. .................................... 198,000
5,000 NetObjects Inc. ......................................... 26,875
103,200 Netopia, Inc. ........................................... 2,850,900
2,600 Pcoder.com Inc.+......................................... 83,363
</TABLE>
See Notes to Financial Statements.
97
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Internet Software -- 1.3% (continued)
8,200 Proxicom, Inc. .......................................... $ 373,100
62,900 Realnetworks, Inc. ...................................... 5,142,075
3,700 Silknet Software, Inc. .................................. 125,338
9,400 Softnet Systems, Inc. ................................... 191,525
18,500 Software.com............................................. 840,594
10,400 USinternetworking Inc. .................................. 156,000
30,100 Vignette Corp. .......................................... 2,041,156
6,600 WebTrends Corp. ......................................... 202,950
- --------------------------------------------------------------------------------
14,853,020
- --------------------------------------------------------------------------------
Machinery -- 1.8%
58,660 Applied Power Inc., Class A Shares*...................... 1,796,463
43,000 Astec Industries Inc. ................................... 1,456,625
9,800 Asyst Technologies Inc. ................................. 306,250
30,500 Briggs & Stratton Corp.*................................. 1,856,688
18,150 Chart Industries, Inc. .................................. 77,138
18,500 CMI Corp.*............................................... 148,000
2,100 Columbus McKinnon Corp.*................................. 36,750
16,100 Concur Technologies...................................... 402,500
16,325 Graco Inc. .............................................. 549,948
25,500 Helix Technology Corp. .................................. 720,375
12,450 IDEX Corp. .............................................. 368,053
92,300 JLG Industries Inc. ..................................... 1,638,325
37,700 Kulicke & Soffa Industries Inc. ......................... 775,206
12,900 Lincoln Electric Holding Inc. ........................... 261,225
13,450 Lindsay Manufacturing Co. ............................... 230,331
55,413 Manitowoc Co., Inc. ..................................... 2,053,726
17,800 MotivePower Industries, Inc. ............................ 220,275
16,400 NACCO Industries, Inc. .................................. 1,277,150
8,800 Nordson Corp. ........................................... 432,575
27,100 Presstek, Inc. .......................................... 165,988
4,300 Sauer, Inc. ............................................. 53,750
14,721 Speciality Equipment Cos., Inc. ......................... 339,503
5,400 Tennant Co. ............................................. 182,588
149,977 Terex Corp. ............................................. 4,030,632
9,300 Thermo Fibertek Inc. .................................... 62,775
- --------------------------------------------------------------------------------
19,442,839
- --------------------------------------------------------------------------------
Manufacturing -- 0.4%
2,400 American Axel & Manufacturing Holdings, Inc. ............ 37,500
6,900 AptarGroup, Inc.*........................................ 177,675
4,018 Barnes Group Inc.*....................................... 79,607
20,746 Furon Co. ............................................... 331,936
11,000 Gerber Scientific, Inc. ................................. 224,813
16,100 Kaydon Corp. ............................................ 494,069
10,200 Mascotech Inc. .......................................... 175,950
41,836 Matthews International Corp., Class A Shares............. 1,134,802
7,600 Precision Castparts Co. ................................. 269,800
34,200 Roper Industries Inc. ................................... 1,224,788
1,000 SPS Technologies, Inc. .................................. 39,188
7,250 Standex International Corp. ............................. 165,844
19,360 Tredegar Corp. .......................................... 421,080
1,140 Virco Manufacturing Corp. ............................... 17,670
- --------------------------------------------------------------------------------
4,794,722
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
98
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Manufacturing - Apparel & Footwear -- 0.4%
20,700 Authentic Fitness Corp.*................................. $ 358,369
15,300 OshKosh B'Gosh, Inc., Class A Shares..................... 246,713
156,893 Quiksilver Inc. ......................................... 2,706,404
12,800 Timberland, Class A Shares............................... 920,001
4,900 Tropical Sportswear International Corp. ................. 96,775
- --------------------------------------------------------------------------------
4,328,262
- --------------------------------------------------------------------------------
Medical Equipment -- 0.8%
14,200 CardioThoractic Systems Inc. ............................ 258,262
18,300 Cell Pathways, Inc.+..................................... 183,000
19,900 Cyberonics, Inc. ........................................ 369,394
86,500 Cytyc Corp. ............................................. 2,919,375
27,500 Datascope Corp. ......................................... 859,375
1,800 Diagnostic Products Corp.*............................... 46,800
19,900 Eclipse Surgical Technology Inc. ........................ 286,063
10,400 Gliatech Inc. ........................................... 209,950
20,400 Haemonetics Corp. ....................................... 399,075
11,200 Igen International Inc.*................................. 266,000
10,500 Molecular Devices Corp. ................................. 300,563
16,600 Novoste Corp.+........................................... 364,163
14,200 OEC Medical Systems, Inc. ............................... 489,900
9,000 Onhealth Network Co. .................................... 60,750
30,900 ResMed Inc. ............................................. 857,475
12,500 Scott Technologies, Inc. ................................ 237,109
3,200 Thermo Optek Corp. ...................................... 26,000
4,600 Trex Medical Corp. ...................................... 20,125
25,300 Unilab Corp. ............................................ 137,569
16,800 Ventana Medical Systems, Inc. ........................... 268,800
1,100 Vital Signs Inc. ........................................ 22,069
1,300 West Pharmaceutical Services, Inc. ...................... 48,912
- --------------------------------------------------------------------------------
8,630,729
- --------------------------------------------------------------------------------
Medical Information Systems -- 0.3%
30,700 Cerner Corp. ............................................ 510,388
11,500 MEDE AMERICA Corp. ...................................... 263,063
190,900 Mediconsult.com, Inc. ................................... 1,324,369
81,500 Sunquest Information Systems, Inc. ...................... 1,304,000
- --------------------------------------------------------------------------------
3,401,820
- --------------------------------------------------------------------------------
Medical Products & Supplies -- 1.7%
7,900 Acuson Corp. ............................................ 124,425
16,300 Alaris Medical Inc. ..................................... 53,994
36,500 Ballard Medical Products*................................ 894,250
6,600 Closure Medical Corp.+................................... 94,050
31,579 CONMED Corp. ............................................ 884,212
62,500 The Cooper Companies Inc.*............................... 1,496,094
18,300 Cygnus Inc. ............................................. 213,881
47,500 First Health Group Corp. ................................ 1,024,219
45,500 Hanger Orthopedic Group, Inc. ........................... 625,625
43,879 IDEXX Laboratories, Inc. ................................ 745,943
9,300 IMPATH Inc. ............................................. 253,425
9,100 Landauer, Inc. .......................................... 227,500
18,500 Laser Sight, Inc. ....................................... 228,938
21,300 Mentor Corp. ............................................ 497,888
16,000 Osteotech, Inc. ......................................... 330,000
54,400 Patterson Dental Co. .................................... 2,230,400
60,400 Priority Healthcare Corp. Class B Shares................. 1,698,750
</TABLE>
See Notes to Financial Statements.
99
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Medical Products & Supplies -- 1.7% (continued)
73,500 PSS World Medical, Inc. ................................. $ 656,906
31,259 Respironics Inc. ........................................ 310,636
52,600 Safeskin Corp. .......................................... 417,513
77,500 STERIS Corp. ............................................ 973,594
50,600 Summit Technology Inc. .................................. 809,600
83,200 Techne Corp. ............................................ 2,579,200
20,600 Thermo Cardiosystems Inc. ............................... 172,525
85,200 Veterinary Centers of America............................ 947,850
- --------------------------------------------------------------------------------
18,491,418
- --------------------------------------------------------------------------------
Metals & Mining -- 0.3%
9,800 AMCOL International, Corp.*.............................. 142,100
143,600 Battle Mountain Gold..................................... 251,300
14,400 Metals USA Inc. ......................................... 153,000
26,600 Mueller Industries, Inc. ................................ 824,600
15,697 Quanex Corp. ............................................ 408,122
73,900 Stillwater Mining Co. ................................... 1,630,419
11,122 Valmont Industries, Inc. ................................ 176,562
7,500 Wyman-Gordon, Co. ....................................... 137,813
- --------------------------------------------------------------------------------
3,723,916
- --------------------------------------------------------------------------------
Office Equipment & Supplies -- 0.4%
3,000 Boise Cascade Office Products............................ 28,875
100,000 CBT Group PLC ADR........................................ 2,100,000
12,800 CompUSA.................................................. 77,600
5,000 Corporate Express Inc. .................................. 44,531
2,500 General Binding Corp. ................................... 37,500
13,000 John H. Harland Co. ..................................... 258,375
35,300 Knoll, Inc. ............................................. 944,275
15,800 New England Business Service, Inc. ...................... 446,350
26,800 Officemax Inc. .......................................... 202,675
- --------------------------------------------------------------------------------
4,140,181
- --------------------------------------------------------------------------------
Oil & Gas -- 0.7%
5,500 Carbo Ceramics Inc.*..................................... 147,125
39,300 Coflexip, SA*............................................ 1,778,325
8,736 Getty Realty Corp. ...................................... 122,850
141,300 Global Industries, Ltd. ................................. 1,580,794
15,800 Lone Star Technologies Inc. ............................. 316,000
160,400 National Oilwell Inc. ................................... 2,726,800
2,700 Oceaneering International, Inc. ......................... 54,169
8,000 Pride International Inc. ................................ 119,000
5,800 Seacor Smit Inc. ........................................ 301,238
12,500 Transmontaigne, Inc. .................................... 148,438
- --------------------------------------------------------------------------------
7,294,739
- --------------------------------------------------------------------------------
Oil & Gas Drilling -- 1.4%
10,100 Drill-Quip Inc. ......................................... 282,169
16,300 Friede Goldman International Inc. ....................... 199,675
20,600 Grey Wolf Inc. .......................................... 60,513
49,900 Hanover Compressor Co. .................................. 1,793,281
142,200 Marine Drilling Co., Inc. ............................... 2,257,425
64,600 Nabors Industries Inc. .................................. 1,744,200
144,000 Patterson Energy, Inc. .................................. 1,935,000
207,600 Precision Drilling Corp. ................................ 4,722,900
184,800 Varco International Inc. ................................ 2,286,900
- --------------------------------------------------------------------------------
15,282,063
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
100
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Oil Exploration & Production -- 2.2%
47,200 Atwood Oceanics Inc. .................................... $ 1,486,800
33,160 Barrett Resources Corp. ................................. 1,195,832
13,600 Basin Exploration Inc. .................................. 309,400
20,400 Berry Petroleum Co.*..................................... 267,750
4,800 Cabot Oil & Gas Corp.*................................... 91,500
6,600 Cal Dive International, Inc. ............................ 248,325
34,300 Chesapeake Energy Corp. ................................. 111,475
46,425 Cross Timbers Oil Co.*................................... 574,509
75,500 Devon Energy Corp.*...................................... 2,916,188
3,600 EEX, Corp. .............................................. 17,100
56,200 Evergreenresources Inc. ................................. 1,366,363
24,400 Forest Oil Corp. ........................................ 364,475
394,600 Horizon Offshore Inc. ................................... 3,304,775
1,300 Houston Exploration Co. ................................. 27,625
29,600 Meridian Resource Corp. ................................. 140,600
58,100 Newfield Exploration Co.+................................ 1,764,788
294,840 Newpark Resources Inc. .................................. 2,653,560
37,313 Plains Resources Inc. ................................... 713,611
76,400 Pogo Producing Co. ...................................... 1,594,850
18,500 Stone Energy Corp. ...................................... 985,125
49,200 Tom Brown, Inc. ......................................... 808,725
163,300 Veritas DGC Inc. ........................................ 2,918,987
46,360 Vintage Petroleum, Inc. ................................. 663,528
- --------------------------------------------------------------------------------
24,525,891
- --------------------------------------------------------------------------------
Paper & Related Products -- 0.2%
68,062 Buckeye Technologies Inc. ............................... 1,080,484
6,400 Caraustar Industries Inc.*............................... 145,200
37,713 Wausau-Mosinee Paper Corp. .............................. 518,553
- --------------------------------------------------------------------------------
1,744,237
- --------------------------------------------------------------------------------
Pharmaceuticals -- 4.4%
59,900 Advance Paradigm Inc. ................................... 3,174,700
63,100 Algos Pharmaceuticals Corp. ............................. 524,519
66,800 Alpharma Inc.*+.......................................... 2,262,850
50,600 Anesta Corp. ............................................ 581,900
10,100 Applied Analytical Industries Inc. ...................... 74,487
48,825 Barr Laboratories Inc. .................................. 1,684,463
4,700 Carter-Wallace Inc.*..................................... 84,012
77,200 Chirex Inc. ............................................. 2,335,300
21,700 Columbia Laboratories, Inc. ............................. 138,337
24,756 COR Therapeutics, Inc. .................................. 539,990
18,300 Corixa Corp. ............................................ 247,050
51,100 Coulter Pharmaceutical Inc.+............................. 1,018,806
69,000 Covance Inc. ............................................ 1,108,312
109,900 Dura Pharmaceuticals Inc. ............................... 1,463,044
22,400 Duramed Pharmaceuticals, Inc. ........................... 229,600
40,800 Enzon, Inc. ............................................. 1,377,000
10,000 Geltex Pharmaceuticals Inc.+............................. 135,000
156,191 Gilead Sciences Inc.+.................................... 12,173,136
25,500 Human Genome Sciences, Inc. ............................. 1,735,594
23,700 IDEC Pharmaceuticals Corp.+.............................. 3,011,381
29,300 Imclone Systems Inc. .................................... 849,700
27,700 Incyte Pharmaceuticals Inc. ............................. 785,988
34,200 Isis Pharmaceuticals Inc. ............................... 346,275
15,000 King Pharmaceutical Inc.+................................ 519,375
12,900 K-V Phamaceuticals Co., Class B Shares................... 220,106
</TABLE>
See Notes to Financial Statements.
101
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Pharmaceuticals -- 4.4% (continued)
50,000 Ligand Pharmaceuticals Inc. ............................. $ 337,500
23,900 MacroChem Corp. - Delaware+.............................. 163,566
12,700 Medco Research Inc. ..................................... 290,513
121,750 Medicis Pharmaceutical, Class A Shares................... 3,317,688
41,000 Millennium Pharmaceuticals, Inc. ........................ 2,416,437
98,200 NBTY, Inc. .............................................. 797,875
26,900 PAREXEL International Corp. ............................. 265,638
13,600 Pharmaceutical Resources Inc. ........................... 86,700
15,100 Pharmacyclics Inc. ...................................... 426,575
62,700 Roberts Pharmaceutical Corp. ............................ 1,681,144
6,200 Schein Pharmaceutical Inc. .............................. 86,025
17,500 Sicor, Inc. ............................................. 70,000
12,500 SUGEN, Inc. ............................................. 390,625
19,300 Supergen Inc. ........................................... 386,000
28,000 Syncor International Corp. .............................. 1,008,000
27,300 Theragenics Corp. ....................................... 267,881
30,200 Triangle Pharmaceuticals, Inc. .......................... 554,925
3,800 Vertex Pharmaceuticals Inc. ............................. 105,450
- --------------------------------------------------------------------------------
49,273,467
- --------------------------------------------------------------------------------
Printing & Publishing -- 0.8%
68,300 Big Flower Holdings Inc. ................................ 1,972,162
15,800 Consolidated Graphics Inc. .............................. 667,550
2,900 IDG Books Worldwide, Inc., Class A Shares................ 49,844
33,300 Journal Register Co. .................................... 511,987
50,300 Lee Enterprises, Inc. ................................... 1,442,981
146,100 Mail-Well, Inc. ......................................... 2,081,925
64,200 Playboy Enterprises, Class B Shares...................... 1,352,212
1,100 Pulitizer, Inc. ......................................... 48,193
35,319 R.H. Donnelley, Corp. ................................... 611,460
3,700 Scholastic Corp. ........................................ 146,613
- --------------------------------------------------------------------------------
8,884,927
- --------------------------------------------------------------------------------
Real Estate -- 0.5%
800 Alexandria Real Estate*.................................. 23,450
14,539 CB Richard Ellis Services Inc. .......................... 181,738
11,300 Chateau Communities Inc.*................................ 329,113
3,200 Chelsea GCA Realty, Inc.*................................ 108,800
28,700 Cousins Properties Inc.*................................. 1,029,613
12,561 Crestline Capital, Corp. ................................ 237,874
10,600 Federal Realty Investment Trust.......................... 231,875
14,408 Forest City Enterprises Inc., Class A Shares............. 351,195
11,466 Insignia Financial Group, Inc. .......................... 113,943
33,100 Jones Lang Lasalle Inc. ................................. 422,025
8,000 Manufactured Home Communities, Inc. ..................... 195,000
25,250 Miller Industries Inc. .................................. 64,703
18,000 Mills Corp. ............................................. 345,375
9,000 National Golf Properties, Inc. .......................... 201,375
21,000 Smith Charles E. Residential Realty, Inc. ............... 720,563
18,600 Town & Country Trust..................................... 323,175
28,100 Trammell Crow Co. ....................................... 400,425
35,900 Washington Real Estate Investment Co. ................... 578,888
5,900 Weingarten Realty Investement............................ 234,156
- --------------------------------------------------------------------------------
6,093,286
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
102
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Rental Services -- 0.8%
38,200 Aaron Rents, Inc.*....................................... $ 723,413
108,900 Avis Rent A Car, Inc. ................................... 2,395,800
34,300 Budget Group Inc., Class A Shares........................ 302,269
18,500 Cort Business Services Corp. ............................ 463,656
9,600 McGrath Rent Corp. ...................................... 178,500
18,400 National Equipment Services, Inc. ....................... 159,850
14,000 Nationsrent Inc. ........................................ 94,500
15,100 Neff Corp. .............................................. 188,750
45,300 Rent-A-Center, Inc. ..................................... 1,005,094
167,990 Rent-way, Inc. .......................................... 3,464,794
- --------------------------------------------------------------------------------
8,976,626
- --------------------------------------------------------------------------------
Restaurants -- 0.9%
32,100 Applebees International Inc.*............................ 997,106
13,100 Avado Brands, Inc.*...................................... 90,062
109,462 CEC Entertainment, Inc. ................................. 3,051,253
19,550 The Cheesecake Factory Inc. ............................. 591,388
36,900 CKE Restaurants, Inc.*................................... 297,506
18,415 Consolidated Products Inc. .............................. 267,018
32,100 Dave & Buster's Inc. .................................... 377,175
17,400 IHOP Corp. .............................................. 391,500
33,180 NPC International, Inc. ................................. 375,349
8,500 O'Charley's Inc. ........................................ 130,688
26,325 Papa John's International Inc.+.......................... 1,046,419
4,700 PF Changs China Bistro, Inc. ............................ 103,400
10,100 RARE Hospitality International Inc. ..................... 198,844
35,600 Rubios Restaurants, Inc. ................................ 391,600
30,400 Ruby Tuesday Inc. ....................................... 551,000
5,300 Sbarro Inc. ............................................. 145,750
21,030 Sonic Corp. ............................................. 644,044
- --------------------------------------------------------------------------------
9,650,102
- --------------------------------------------------------------------------------
Retail -- 3.7%
75,300 7-Eleven, Inc. .......................................... 155,306
9,693 99 Cents Only Stores..................................... 348,948
3,800 Alexander's Inc. ........................................ 305,662
71,500 Ames Department Stores Inc. ............................. 2,100,312
38,700 Borders Group, Inc. ..................................... 515,194
4,200 Burlington Coat Factory Wholesale Corp.*................. 69,300
50,046 Caseys General Stores Inc.*.............................. 669,365
71,700 Cheap Tickets Inc. ...................................... 2,652,900
19,300 The Children's Place Retail Stores, Inc.+................ 610,363
53,100 Claire's Stores Inc.*.................................... 998,944
3,000 Coldwater Creek Inc. .................................... 52,875
55,450 Cost Plus Inc. .......................................... 2,467,525
9,500 Creative Computers, Inc. ................................ 54,625
5,300 DELIA*s Inc. ............................................ 43,063
69,575 Dollar Tree Stores Inc. ................................. 2,295,975
19,100 Duane Reade Inc. ........................................ 601,650
31,200 Egghead Inc. ............................................ 235,950
5,600 Electronics Boutique Holdings Corp. ..................... 126,000
13,500 Factory 2-U Stores, Inc. ................................ 385,594
8,600 The Finish Line, Class A Shares.......................... 76,863
8,774 Goody's Family Clothing Inc. ............................ 80,885
23,800 Guitar Center, Inc. ..................................... 184,450
4,700 Gymboree Corp. .......................................... 24,381
730,300 Hanover Direct Inc. ..................................... 1,278,025
</TABLE>
See Notes to Financial Statements.
103
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Retail -- 3.7% (continued)
27,800 Henry Schein Inc. ....................................... $ 474,338
72,200 Hollywood Entertainment Corp. ........................... 979,213
8,500 InterTAN Inc. ........................................... 157,250
33,900 J. Jill Group, Inc. ..................................... 567,825
21,865 Jostens Inc. ............................................ 440,033
12,900 Lands End Inc. .......................................... 649,838
38,200 Lithia Motors, Inc., Class A Shares...................... 773,550
123,318 The Mens Wearhouse....................................... 2,543,434
46,500 Michaels Stores Inc. .................................... 1,426,969
97,000 Micro Warehouse Inc. .................................... 1,188,250
5,300 Movado Group, Inc. ...................................... 141,112
87,100 Musicland Stores Corp. .................................. 740,350
29,100 Oakley Inc. ............................................. 178,238
157,088 Pacific Sunware of California, Inc.+..................... 3,652,284
6,300 PC Connection Inc. ...................................... 79,931
135,100 Petsmart Inc. ........................................... 650,169
13,700 Restoration Hardware Inc. ............................... 107,888
37,700 Rexall Sundown Inc. ..................................... 471,250
21,900 School Specialty, Inc. .................................. 271,012
32,400 Shop At Home, Inc. ...................................... 281,475
46,654 Sunglass Hut International Inc. ......................... 589,007
2,000 Systemax Inc. ........................................... 18,625
7,000 Tarrant Apparel Group.................................... 102,375
19,700 Tractor Supply Co. ...................................... 406,313
24,500 Trans World Entertainment Corp. ......................... 294,000
4,200 Tuesday Morning Corp. ................................... 83,737
63,200 Tweeter Home Entertainment Group......................... 2,125,100
5,500 Value America Inc. ...................................... 58,094
10,500 Whitehall Jewlers, Inc. ................................. 295,313
74,200 Williams-Sonoma, Inc. ................................... 2,893,800
45,200 Zale Corp. .............................................. 1,567,875
- --------------------------------------------------------------------------------
40,542,803
- --------------------------------------------------------------------------------
Retail - Apparel & Shoes -- 1.3%
136,000 AnnTaylor Stores Corp. .................................. 4,505,000
3,200 Bebe Stores Inc.+........................................ 76,800
10,559 Buckle Inc. ............................................. 178,183
2,200 Cato Corp. .............................................. 29,563
8,200 Chico's Fas Inc. ........................................ 181,938
6,800 Columbia Sportswear Co. ................................. 121,975
5,300 Davids Bridal, Inc.+..................................... 48,528
4,400 Deb Shops Inc.*.......................................... 68,750
3,800 Donna Karan International Inc. .......................... 31,350
10,100 Footstar Inc. ........................................... 328,250
146,300 Genesco Inc. ............................................ 1,737,313
5,700 Global Sports, Inc.+..................................... 116,850
9,900 Guess ? Inc. ............................................ 130,556
14,625 Just For Feet Inc.+...................................... 59,414
54,800 Kenneth Cole Productions, Inc. .......................... 1,873,475
7,100 K-Swiss Inc. ............................................ 222,763
9,000 Nautica Enterprises Inc. ................................ 120,938
9,400 Onsale Inc. ............................................. 143,350
2,900 Reebok International Ltd. ............................... 34,256
10,300 Shoe Carnival, Inc. ..................................... 119,737
24,500 Stein Mart, Inc. ........................................ 169,969
46,700 Stride Rite Corp. ....................................... 405,706
</TABLE>
See Notes to Financial Statements.
104
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Retail - Apparel & Shoes -- 1.3% (continued)
3,200 The Talbot's Inc. ........................................ $ 99,000
79,400 Tommy Hilfiger Corp. ..................................... 2,694,638
11,700 Urban Outfitters Inc. .................................... 334,181
32,900 Wet Seal Inc., Class A Shares............................. 501,725
5,600 Wolverine Worldwide Inc. ................................. 63,350
- --------------------------------------------------------------------------------
14,397,558
- --------------------------------------------------------------------------------
Retail - Internet -- 0.3%
16,700 Barnes and Noble.com Inc.+................................ 313,125
22,100 Beyond.com Corp.+......................................... 372,938
17,854 CDnow Inc. ............................................... 252,188
10,900 Cyberian Outpost, Inc.+................................... 89,244
10,500 Imall, Inc. .............................................. 181,781
82,700 Musicmaker.com, Inc. ..................................... 979,478
18,400 RoweCom Inc. ............................................. 331,200
51,000 Ticketmaster Online-Citysearch Inc. ...................... 1,306,875
2,300 Ubid Inc. ................................................ 48,587
- --------------------------------------------------------------------------------
3,875,416
- --------------------------------------------------------------------------------
Security -- 0.1%
36,100 Checkpoint Systems, Inc. ................................. 306,850
23,200 Identix Inc. ............................................. 185,600
1,600 ITI Technologies Inc. .................................... 37,000
81,200 Sensormatic Electronics Corp. ............................ 949,025
- --------------------------------------------------------------------------------
1,478,475
- --------------------------------------------------------------------------------
Shipbuilding -- 0.1%
15,799 Halter Marine Group Inc. ................................. 83,932
37,700 Newport News Shipbuilding Inc.+........................... 1,185,194
- --------------------------------------------------------------------------------
1,269,126
- --------------------------------------------------------------------------------
Steel -- 0.3%
39,300 Armco Inc. ............................................... 270,188
20,800 Carpenter Technology Corp.*............................... 475,800
1,500 Gibraltar Steel Corp. .................................... 36,938
44,800 Reliance Steel & Aluminum Co. ............................ 1,484,000
45,100 Steel Dynamics Inc. ...................................... 811,800
- --------------------------------------------------------------------------------
3,078,726
- --------------------------------------------------------------------------------
Telecommunications - Equipment -- 1.0%
22,300 ADTRAN, Inc. ............................................. 850,188
83,600 Advanced Fibre Communications, Inc. ...................... 1,363,725
21,300 Andrew Corp. ............................................. 372,750
37,200 Aspect Telecommunications Corp. .......................... 411,525
7,800 The Associated Group Inc. ................................ 437,775
18,800 Aware, Inc. .............................................. 629,800
20,400 Com21, Inc. .............................................. 367,200
24,300 CommNet Cellular Inc. .................................... 759,375
69,700 Excel Switching Corp. .................................... 2,430,788
70,100 Executone Information Systems, Inc. ...................... 254,113
8,200 IPC Communications, Inc. ................................. 403,850
16,600 North Pittsburgh Systems Inc. ............................ 216,838
22,900 Premisys Communications, Inc. ............................ 167,456
9,164 Superior Telecom Inc. .................................... 241,129
800 Superior Trust............................................ 21,050
31,900 Tekelec................................................... 514,388
10,600 Tut Systems, Inc. ........................................ 262,350
</TABLE>
See Notes to Financial Statements.
105
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Telecommunications - Equipment -- 1.0% (continued)
22,800 Westell Technologies Inc. ............................... $ 172,425
53,600 World Access, Inc. ...................................... 666,650
- --------------------------------------------------------------------------------
10,543,375
- --------------------------------------------------------------------------------
Telecommunications - Services -- 3.3%
11,900 ACT Networks Inc. ....................................... 114,538
65,900 Allegience Telecom, Inc. ................................ 3,952,117
14,534 American Mobile Satellite Corp.+......................... 283,413
16,300 ANADIGICS, Inc. ......................................... 582,725
160,300 Anchor Communications Inc. .............................. 4,247,950
34,200 CapRock Communications Corp. ............................ 842,175
71,100 Commonwealth Telephone Enterprises, Inc.*................ 3,030,638
131,900 CTC Communications Corp. ................................ 1,986,744
9,200 Destia Communications, Inc.+............................. 147,200
54,900 E.Spire Communications Inc. ............................. 439,200
15,000 Hyperion Telecommunications, Inc. ....................... 282,188
54,300 ICG Communications, Inc. ................................ 1,126,725
22,700 IDT Corp. ............................................... 672,488
6,500 Inet Technologies, Inc. ................................. 201,906
89,600 ITC/DeltaCom, Inc. ...................................... 2,363,200
33,800 IXC Communications, Inc. ................................ 1,187,225
5,700 Melita International Corp. .............................. 51,300
10,500 Metricom, Inc.+.......................................... 252,000
57,100 MGC Communications, Inc. ................................ 1,313,300
77,700 Orckit Communications Ltd. .............................. 2,423,269
48,100 Pacific Gateway Exchange Inc. ........................... 980,038
38,600 P-Com, Inc. ............................................. 185,763
32,900 Plantronics, Inc. ....................................... 1,665,562
42,400 Premiere Technologies, Inc. ............................. 276,925
12,200 Stanford Telecommunications, Inc. ....................... 350,750
39,300 Star Telecommunications, Inc. ........................... 225,975
154,275 Talk.com, Inc. .......................................... 1,590,961
100,450 Transaction Network Services, Inc. ...................... 4,407,244
23,500 US LEC Corp., Class A Shares............................. 763,750
12,000 West TeleServices Corp. ................................. 127,500
- --------------------------------------------------------------------------------
36,074,769
- --------------------------------------------------------------------------------
Telecommunications - Wireless -- 1.9%
13,397 Aerial Communications, Inc. ............................. 211,003
29,974 Brightpoint, Inc. ....................................... 105,846
10,900 Carrier Access Corp.+.................................... 528,650
39,600 Cellnet Data Systems Inc. ............................... 275,963
73,300 Digital Microwave Corp. ................................. 1,003,294
22,100 General Cable Corp. ..................................... 320,450
54,400 InterDigital Communications Corp. ....................... 329,800
18,200 Leap Wireless International, Inc.+....................... 316,225
25,200 Netro Corp. ............................................. 782,775
32,400 Omnipoint Corp.+......................................... 1,312,200
38,100 Pagemart Wireless, Inc., Class A Shares.................. 242,888
95,300 Paging Network, Inc. .................................... 294,834
82,000 Pinnacle Holdings Inc. .................................. 2,065,375
26,486 Powertel, Inc. .......................................... 979,982
47,800 Powerwave Technologies, Inc. ............................ 2,028,513
127,470 Price Communications Corp. .............................. 2,621,102
31,800 Proxim, Inc. ............................................ 1,550,250
85,400 SBA Communications Corp. ................................ 976,763
</TABLE>
See Notes to Financial Statements.
106
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Telecommunications - Wireless -- 1.9% (continued)
68,089 Skytel Communications Inc. ............................... $ 1,349,013
94,700 Terayon Communication Systems, Inc. ...................... 3,409,200
- --------------------------------------------------------------------------------
20,704,126
- --------------------------------------------------------------------------------
Telephone -- 0.8%
14,600 CFW Communications, Co.*+................................. 309,338
52,600 Intermedia Communications Inc.+........................... 1,367,600
77,200 NEXTLINK Communications, Class A Shares................... 3,888,950
23,980 Primus Telecommunications Group, Inc. .................... 563,530
59,900 Viatel, Inc. ............................................. 2,317,381
- --------------------------------------------------------------------------------
8,446,799
- --------------------------------------------------------------------------------
Textiles -- 0.1%
22,500 G&K Services Inc., Class A Shares......................... 935,156
6,100 Kemet Corp. .............................................. 157,456
26,800 Pillowtex Corp. .......................................... 293,125
- --------------------------------------------------------------------------------
1,385,737
- --------------------------------------------------------------------------------
Transportation -- 0.8%
14,100 Air Express International Corp.*.......................... 344,569
10,500 American Freightways Corp. ............................... 220,500
17,050 Atlas Air, Inc. .......................................... 464,612
40,700 C.H. Robinson Worldwide, Inc.*............................ 1,282,050
3,500 Convenant Transport, Inc. ................................ 59,063
36,150 Eagle USA Airfreight Inc. ................................ 1,012,200
2,800 Florida East Coast Industries, Inc. ...................... 100,800
10,200 Forward Air Corp. ........................................ 229,500
38,300 Gulfmark Offshore, Inc. .................................. 718,125
9,885 Heartland Express, Inc. .................................. 147,039
20,400 Kirby Corp. .............................................. 408,000
7,400 Knight Transportation Inc. ............................... 111,000
6,800 Landstar Systems, Inc. ................................... 251,600
900 M.S. Carriers, Inc. ...................................... 25,650
61,800 Swift Transportation Co., Inc. ........................... 1,286,212
49,900 U.S. Freightways Corp. ................................... 2,420,150
12,100 Wisconsin Central Transmission Corp. ..................... 192,844
- --------------------------------------------------------------------------------
9,273,914
- --------------------------------------------------------------------------------
Utilities -- 0.8%
9,500 Aquarion Co. ............................................. 342,000
6,066 Baldor Electric Co.*...................................... 107,671
57,200 Calpine Corp. ............................................ 5,183,750
6,600 Colonial Gas Co.*......................................... 248,325
4,100 Commonwealth Energy System Co.*........................... 180,810
11,000 Consol Energy Inc.*....................................... 147,813
11,100 Cuno Inc. ................................................ 228,938
11,800 Electric Lightway Inc., Class A Shares.................... 151,925
1,300 Empire District Electric Co.*............................. 33,150
6,400 MDU Resources Group, Inc. ................................ 150,400
1,700 Otter Tail Power Co. ..................................... 67,681
7,400 Pennsylvania Enterprises, Inc. ........................... 231,250
4,800 Philadelphia Suburban Corp. .............................. 111,300
2,700 Public Service Co. of North Carolina...................... 82,350
9,030 Southern Union Co. ....................................... 189,066
46,200 UTI Energy Corp. ......................................... 924,000
- --------------------------------------------------------------------------------
8,380,429
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
107
<PAGE>
Schedules of Investments (continued) August 31, 1999
Small Capitalization Growth Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Visioncare -- 0.7%
43,000 Electro Scientific Industries, Inc. .............. $ 1,720,000
114,000 Laser Vision Centers Inc. ........................ 2,728,875
54,200 The Lazer Center.................................. 1,619,225
28,300 LCA-Vision Inc ................................... 189,256
49,800 Sunrise Technologies, Inc. ....................... 211,650
30,595 Wesley Jessen VisionCare.......................... 938,884
- -------------------------------------------------------------------------------
7,407,890
- -------------------------------------------------------------------------------
Waste Management -- 0.1%
12,000 Casella Waste Systems Inc., Class A Shares........ 204,000
17,400 Stericycle, Inc. ................................. 277,313
16,100 Waste Connections Inc. ........................... 347,156
3,800 Waste Industries, Inc. ........................... 57,000
- -------------------------------------------------------------------------------
885,469
- -------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,048,503,182)....... 1,094,483,882
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATIONS -- 0.1%
U.S. Treasury Bills:
$ 200,000 4.450% due 9/16/99++.............................. 199,630
800,000 4.630% due 9/16/99++.............................. 798,456
- -------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost --
$998,086)....................................... 998,086
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.3%
14,203,000 Morgan Stanley Dean Witter & Co., 5.400% due
9/1/99; Proceeds at maturity -- $14,205,130;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 6.375% to 6.625% due 8/15/02 to 8/15/27;
Market value -- $14,590,750) (Cost --
$14,203,000)..................................... 14,203,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,063,704,268**)............................... $1,109,684,968
- -------------------------------------------------------------------------------
</TABLE>
+ All or a portion of the security is on loan (See Note 12).
* Denotes income producing security.
++ Security has been partially segregated by Custodian for futures contracts
commitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
[CHART]
Classification of Investments
Electronics 4.6%
Retail 3.7%
Commercial Services 3.6%
Electronic Component & Semiconductors 7.4%
Banking 2.9%
Pharmaceuticals 4.4%
Computers 5.2%
Computer Software 6.5%
Other Common Stock 60.3%
U.S. Government Obligations
& Repurchase Agreement 1.4%
108
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
STOCK -- 98.0%
- --------------------------------------------------------------------------------
Australia -- 1.8%
43,700 Amcor Ltd. ........................................ $ 227,359
77,100 Amp Ltd. .......................................... 766,838
9,300 Ashton Mining Ltd. ................................ 3,733
1,184,092 Australia New Zealand Banking Group Ltd. .......... 7,688,370
25,145 Australian Gas Light Co. Ltd. ..................... 163,107
79,293 Boral Ltd. (a)..................................... 121,260
15,200 Brambles Industries Ltd. .......................... 422,749
249,544 Broken Hill Proprietary Co. Ltd. (b)............... 2,679,301
64,645 Coca-Cola Amatil Ltd. ............................. 233,021
80,815 Coles Myer Ltd. ................................... 450,119
65,985 Colonial Ltd. ..................................... 247,606
10,400 CSL Ltd. .......................................... 123,637
71,400 CSR Ltd. .......................................... 181,983
26,048 David Jones Ltd. .................................. 20,415
13,300 Delta Gold NL...................................... 18,712
5,500 Dominion Mining Ltd.*.............................. 1,296
24,266 Email Ltd. ........................................ 43,294
10,918 F.H. Faulding & Co. Ltd. .......................... 71,934
121,600 Fosters Brewing Group Ltd.*........................ 355,648
40,361 Futuris Corp. Ltd. ................................ 54,007
101,787 General Property Trust............................. 172,523
42,189 GIO Australia Holdings Ltd. ....................... 68,040
6,802 Goldfields Ltd. ................................... 4,724
100,576 Goodman Fielder Ltd. .............................. 92,285
13,118 Howard Smith Ltd. ................................. 104,484
10,786 Iluka Resources Ltd. .............................. 25,703
30,432 James Hardie Industries Ltd. ...................... 80,842
19,600 Leighton Holdings Ltd. ............................ 78,156
35,182 Lend Lease Corp. Ltd. ............................. 429,123
101,125 M.I.M. Holdings Ltd.*.............................. 79,257
24,712 Mayne Nickless Ltd. ............................... 80,149
12,300 Metal Manufactures Ltd. ........................... 14,891
102,000 National Australia Bank Ltd. ...................... 1,539,713
18,442 Newcrest Mining Ltd.*.............................. 43,479
138,428 News Corp. Ltd. ................................... 1,009,959
149,267 News Corp. Ltd. Preferred.......................... 986,318
137,615 Normandy Mining Ltd. .............................. 98,210
48,575 North Ltd. ........................................ 107,093
19,400 Orica Ltd. ........................................ 100,500
70,800 Pacific Dunlop Ltd. ............................... 105,114
53,625 Pioneer International Ltd. ........................ 136,679
0 Publishing & Broadcasting Ltd. .................... 2
30,445 QBE Insurance Group Ltd. .......................... 108,636
11,820 Resolute Ltd. ..................................... 4,293
18,443 Rio Tinto Ltd. .................................... 316,124
9,300 Rothmans Holdings Ltd. ............................ 96,889
40,825 Santos Ltd. ....................................... 121,743
31,201 Schroders Property Fund............................ 50,498
8,486 Sons of Gwalia Ltd. ............................... 21,088
44,412 Southcorp Ltd. .................................... 166,852
25,842 Stockland Trust Group.............................. 59,262
15,700 Suncorp-Metway Ltd. ............................... 85,334
41,700 Sydney Harbour Casino Holdings Ltd. ............... 39,856
22,300 TABCORP Holdings Ltd. ............................. 152,041
368,700 Telstra Corp. Ltd.*................................ 1,914,720
</TABLE>
See Notes to Financial Statements.
109
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Australia -- 1.8% (continued)
20,240 Wesfarmers Ltd. ................................. $ 181,846
96,163 Westfield Trust.................................. 195,466
127,900 Westpac Banking Corp. Ltd. (a)................... 774,228
70,375 WMC Ltd. ........................................ 309,729
82,731 Woolworths Ltd. ................................. 288,778
2,660 Zimbabwe Platinum Mines Ltd.*.................... 932
- ------------------------------------------------------------------------------
24,119,948
- ------------------------------------------------------------------------------
Austria -- 0.1%
200 Austria Mikro Systeme International AG........... 7,531
1,900 Austria Tabakwerke AG............................ 103,559
2,800 Austrian Airlines Osterreichische Luftverkehrs
AG.............................................. 65,216
9,975 Bank Austria AG*................................. 529,464
300 Bau Holding AG................................... 10,473
1,000 Boehler-Uddeholm AG.............................. 48,051
100 BWT AG........................................... 18,643
700 EA-Generali AG................................... 119,784
1,800 Flughafen Wien AG*............................... 71,205
200 Lenzing AG....................................... 11,196
1,000 Mayr-Melnhof Karton AG........................... 47,956
1,000 Oesterreichische Brau-Beteiligungs AG*........... 45,632
2,500 Oesterreichische Elektrizitaetswirtschafts AG,
Class A Shares.................................. 374,986
2,230 OMV AG........................................... 223,659
1,000 Radex-Heraklith Industriebeteiligungs AG......... 28,372
300 Universale-Bau AG................................ 10,140
1,200 VA Technolgie AG................................. 105,841
5,600 Wiener Baustoffindustrie AG...................... 133,034
- ------------------------------------------------------------------------------
1,954,742
- ------------------------------------------------------------------------------
Belgium -- 0.6%
45 Almanij NV - STRIP VVPR*......................... 3
591 AXA Warrants, Expire 7/13/01*.................... 0
900 Barco NV......................................... 124,537
160 Bekaert NV....................................... 74,126
1,675 Cimenteries CBR Cementbedrijven.................. 152,337
250 Cimenteries CBR Cementbedrijven - STRIP VVPR*.... 7
275 Colruyt NV....................................... 183,294
600 Compagnie Maritime Belge S.A. ................... 25,477
25 Copeba........................................... 1,571
395 D'leteren S.A. .................................. 183,585
4,100 Delhaize-Le Lion S.A. ........................... 348,632
3,850 Electrabel S.A. ................................. 1,286,315
625 Electrabel S.A. - STRIP VVPR*.................... 118
51,418 Fortis AG........................................ 1,765,168
41,418 Fortis AG - STRIP VVPR........................... 437
110 Generale de Banque S.A. - STRIP VVPR*............ 2
600 Glaverbel S.A. .................................. 61,476
1,850 Groupe Bruxelles Lambert S.A. ................... 353,506
21,440 KBC Bancassurance Holdings NV.................... 1,200,295
2,140 KBC Bancassurance Holdings NV - STRIP VVPR*...... 90
175 Royale Belge - STRIP VVPR*....................... 3
5,900 Solvay S.A. ..................................... 415,374
5,750 Tractebel........................................ 1,050,147
750 Tractebel - STRIP VVPR........................... 7
1,100 Tractebel Warrants, Expire 11/30/99*............. 11
</TABLE>
See Notes to Financial Statements.
110
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Belgium -- 0.6% (continued)
9,830 UCB S.A. ........................................ $ 416,375
1,700 Union Miniere S.A. .............................. 68,075
- ------------------------------------------------------------------------------
7,710,968
- ------------------------------------------------------------------------------
Canada -- 1.5%
202,300 BCE Inc.*........................................ 9,435,786
22,600 Biochem Pharma, Inc.*............................ 585,834
21,200 Newbridge Networks Corp.*........................ 581,675
14,000 Nortel Networks Corp. ........................... 574,875
172,800 The Seagram Co. Ltd. (a)......................... 9,177,322
28,600 TD Waterhouse Group, Inc.*....................... 433,159
- ------------------------------------------------------------------------------
20,788,651
- ------------------------------------------------------------------------------
Denmark -- 0.4%
255 Aarhus Oliefabrik A/S, Class A Shares............ 6,701
65 Aarhus Oliefabrik A/S, Class B Limited Voting
Shares.......................................... 1,736
1,015 Bang & Olufsen Holding A/S, Class B Shares....... 59,696
2,945 Carlsberg A/S, Class A Shares.................... 112,961
2,760 Carlsberg A/S, Class B Shares.................... 108,751
93 D/S 1912, Class B Shares ........................ 898,410
62 D/S Dampskibsselskabet Svendborg, Class B
Shares.......................................... 846,443
4,750 Danisco A/S (a).................................. 202,440
4,425 Den Danske Bank Group............................ 504,162
1,710 Det Ostasiatiske Kompagni A/S*................... 19,434
4,190 FLS Industries A/S, Class B Shares............... 107,144
2,375 GN Store Nord A/S (a)............................ 80,301
3,125 ISS International Service System A/S, Class B
Shares*......................................... 172,252
215 J. Lauritzen Holdings A/S*....................... 24,434
970 Korn-OG Foderstof Kompagniet A/S................. 22,048
600 NKT Holdings A/S................................. 48,585
6,310 Novo Nordisk A/S, Class B Shares................. 744,029
825 Radiometer A/S, Class B Shares................... 35,863
3,750 SAS Danmark A/S (a).............................. 39,955
524 Sophus Berendsen A/S, Class A Shares............. 10,719
2,475 Superfos A/S..................................... 52,389
17,480 Tele Danmark A/S................................. 988,342
4,550 Unidanmark A/S, Class A Shares................... 298,631
- ------------------------------------------------------------------------------
5,385,426
- ------------------------------------------------------------------------------
Finland -- 1.5%
1,900 Amer Group Ltd. ................................. 33,817
3,090 Asko Oyj, Class A Shares......................... 52,158
2,487 Finnlines Oyj.................................... 68,827
4,306 Hartwall Oyj AB.................................. 58,219
1,100 Instrumentarium Group, Class A Shares............ 41,248
860 Instrumentarium Group, Class B Shares............ 30,886
10,900 Kemira Oyj....................................... 62,173
8,300 Kesko Oyj*....................................... 101,875
700 Kone Corp., Class B Shares....................... 86,880
68,566 Merita PLC, Class A Shares*...................... 362,131
1,100 Metra Oyj, Class A Shares........................ 19,834
3,600 Metra Oyj, Class B Shares........................ 64,645
184,500 Nokia Oyj AB, Class K Shares..................... 15,382,704
10,800 Outokumpu Oyj, Class A Shares*................... 141,117
1,500 Pohjola Insurance Group, Class A Shares.......... 71,300
2,000 Pohjola Insurance Group, Class B Shares.......... 97,390
11,089 Raisio Group PLC................................. 111,979
</TABLE>
See Notes to Financial Statements.
111
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Finland -- 1.5% (continued)
7,376 The Rauma Group Oyj.............................. $ 93,492
12,271 Rautaruukki Oyj*................................. 88,140
5,100 Sampo Insurance Co. Ltd., Class A Shares*........ 167,001
36,542 Sonera Group Oyj................................. 885,854
1,800 Stockmann AB, Class A Shares..................... 32,322
2,300 Stockmann AB, Class B Shares..................... 32,919
1 Stora Enso Oyj, Class R Shares................... 13
4,149 Tietoenator Corp. ............................... 140,242
51,260 UPM-Kymmene Oyj.................................. 1,773,280
- ------------------------------------------------------------------------------
20,000,446
- ------------------------------------------------------------------------------
France -- 8.8%
2,841 Accor S.A.* ..................................... 683,616
13,820 Alcatel.......................................... 2,116,721
596 Allianz Cert, Value Guaranteed................... 0
828 Assurance Generales de France Convertible........ 472
23,307 Axa.............................................. 2,900,142
16,914 Banque Nationale de Paris........................ 1,293,518
210 Bongrain S.A. ................................... 80,078
1,645 Bouygues S.A. (a) ............................... 453,517
9,412 Canal Plus....................................... 646,223
4,800 Cap Gemini S.A. (a) ............................. 823,914
83,290 Carrefour Supermarche S.A. ...................... 13,548,811
650 Chargeurs S.A. .................................. 38,792
1,344 Club Mediterranee S.A.* ......................... 139,127
1,400 Coflexip S.A. ................................... 124,590
1 Compagnie Bancaire S.A.* ........................ 135
5,960 Compagnie de Saint Gobain........................ 1,152,087
10,396 Compagnie Financiere de Paribas.................. 1,105,817
1,450 Compagnie Francaise d'Etudes et de Construction
Technip......................................... 160,209
450 Compagnie Generale de Geophysique S.A. .......... 27,308
10,660 Compagnie Generale des Establissements Michelin,
Class B Shares.................................. 461,779
1,250 CPR S.A. ........................................ 56,776
9,968 Dassault Systemes S.A. (a) ...................... 379,051
400 Dollfus-Mieg & Cie S.A. ......................... 2,142
28,377 Elf Aquitaine S.A. .............................. 4,975,792
91,298 Equant N.V.* .................................... 8,076,695
2,400 Eridania Beghin-Say S.A. (a) .................... 317,397
950 Essilor International S.A. ...................... 317,101
6,600 Etablissements Economiques du Casino Guichard-
Perrachon S.A. ................................. 695,067
1,550 Etablissements Economiques du Casino Guichard-
Perrachon S.A. Preferred........................ 101,510
69,305 France Telecom S.A. (a) ......................... 5,395,350
4,924 Groupe Danone.................................... 1,218,126
1,369 Groupe GTM....................................... 149,524
1,350 Groupe SEB S.A. ................................. 102,743
600 Groupement pour le Financement de la
Construction.................................... 70,349
1,400 Imetal S.A. ..................................... 223,006
6,764 L'Air Liquide*................................... 1,037,427
4,874 L'oreal S.A. .................................... 3,148,252
8,491 Lafarge S.A. .................................... 912,152
11,140 Lagardere S.C.A. ................................ 451,860
1,810 Legrand S.A. .................................... 430,178
7,485 LVMH............................................. 2,277,837
1,686 Natexis (a)...................................... 113,800
2,100 Pathe S.A. ...................................... 244,005
5,300 Pechiney S.A.* .................................. 308,471
5,250 Pernod Ricard.................................... 402,609
</TABLE>
See Notes to Financial Statements.
112
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
France -- 8.8% (continued)
7,950 Pinault Printemps Redout S.A. ................... $ 1,377,205
1,850 Primagaz Cie..................................... 155,550
1,300 Promodes......................................... 1,226,259
2,975 PSA Peugeot Citroen.............................. 546,794
25,564 Rhone-Poulenc S.A.* ............................. 1,239,990
350 Sagem S.A. ...................................... 221,823
71,088 Sanofi S.A.* .................................... 2,958,558
12,906 Schneider S.A. .................................. 865,671
2,500 Sidel S.A. (a)................................... 276,486
1,684 Simco S.A. ...................................... 148,085
1,150 Skis Rossignol S.A. ............................. 17,091
5,150 Societe BIC S.A. ................................ 269,821
350 Societe Eurafrance S.A. ......................... 214,798
1,400 Societe Francaise d'Investissements Immobiliers
et de Gestion (a)............................... 96,197
6,793 Societe Generale, Class A Shares................. 1,329,611
4,850 Societe Nationale d'Exploitation Industrielle des
Tabacs et Allumettes............................ 264,349
2,388 Sodex Alliance S.A. ............................. 392,240
1,900 Sommer-Allibert.................................. 51,799
87,700 STMicroelectronics............................... 5,822,272
99,874 Suez Lyonnaise des Eaux (a)...................... 16,657,974
12,012 Thomson CSF...................................... 439,014
10,170 Total Fina S.A., Class B Shares.................. 1,312,743
10,170 Total Fina S.A. - STRIP VVPR*.................... 107
13,277 Total S.A., Class B Shares*...................... 1,710,989
1,000 Union du Credit-Bail Immobilier.................. 137,847
11,950 Usinor S.A.* .................................... 184,923
142,715 Valeo S.A. ...................................... 11,532,372
181,749 Vivendi.......................................... 14,033,856
42,873 Vivendi - Rights*................................ 51,626
505 Zodiac S.A. ..................................... 112,234
- -------------------------------------------------------------------------------
120,812,360
- -------------------------------------------------------------------------------
Germany -- 8.5%
3,100 Adidas AG*....................................... 287,340
2,450 AGIV AG.......................................... 51,888
17,382 Allianz AG Registered Shares..................... 4,549,761
3,800 AMB Aachener & Muenchener Beteiligungs AG........ 336,368
1,900 Axa Colonia Konzern AG........................... 184,641
500 Axa Colonia Konzern AG Preferred................. 42,252
44,350 BASF AG.......................................... 1,981,625
50,824 Bayer AG (a)..................................... 2,184,997
266,760 Bayerische Motoren Werke AG...................... 8,242,030
27,975 Bayerische Vereinsbank AG........................ 1,672,530
5,400 Beiersdorf AG.................................... 371,332
2,700 Bilfinger & Berger Bau AG........................ 67,877
400 Brau Und Brunnen AG*............................. 25,773
5,200 Buderus AG....................................... 85,137
8,900 Continental AG................................... 205,883
71,577 DaimlerChrysler AG (b)........................... 5,447,449
59,986 Deutsche Bank AG*................................ 4,083,129
26,900 Deutsche Lufthansa AG............................ 511,460
175,864 Deutsche Telekom AG* (b)......................... 7,625,665
5,200 Deutz AG*........................................ 37,076
2,500 Douglas Holding AG............................... 112,231
36,503 Dresdner Bank AG (a)............................. 1,675,351
156 Dyckerhoff AG.................................... 4,729
</TABLE>
See Notes to Financial Statements.
113
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Germany -- 8.5% (continued)
1,656 Dyckerhoff AG Preferred.......................... $ 52,477
50 Escanda AG....................................... 6,707
50 Escanda AG Preferred............................. 6,918
5,280 FAG Kugelfischer Georg Schaefer AG (a)........... 54,936
250 Friedrich Grohe AG - Vorzugsak................... 71,960
61,100 Global TeleSystems Group, Inc.................... 1,974,293
3,635 Heidelberger Zement AG........................... 371,294
100 Herlitz AG....................................... 2,651
100 Herlitz AG Preferred............................. 1,927
5,850 Hochtief AG...................................... 262,622
220,820 Hoechst AG (a)................................... 9,330,094
100 Holsten-Brauerei AG.............................. 18,379
2,000 IWKA AG.......................................... 39,822
550 Karstadt AG...................................... 259,110
7,000 Linde AG......................................... 424,421
7,700 MAN AG........................................... 261,085
3,300 MAN AG - Vorzugsaktien........................... 71,458
186,608 Mannesmann AG* (b)............................... 28,207,039
12,600 Merck KGaA (a)*.................................. 433,886
230,804 Metallgesellschaft AG............................ 5,241,666
19,394 Metro AG (a)..................................... 1,087,801
2,000 Metro AG Preferred............................... 62,744
350 Muenchener Rueckversicherungs - Gesellschaft AG.. 92,056
12,476 Muenchener Rueckversicherungs - Gesellschaft AG
Registered Shares............................... 2,385,292
364 Muenchener Rueckversicherungs Warrants, Expire
6/30/02*........................................ 12,149
25,768 Preussag AG (a).................................. 1,464,369
500 Preussag AG - Rights*............................ 0
1,950 Rheinmetall Berlin AG............................ 41,298
826 Rheinmetall Berlin AG Preferred.................. 13,131
33,626 RWE AG........................................... 1,434,974
5,850 RWE AG Preferred................................. 189,088
100 Salamander AG.................................... 12,147
4,850 SAP AG (a)....................................... 1,680,363
2,423 SAP AG Preferred................................. 960,677
4,500 Schering AG...................................... 501,954
1,550 SGL Carbon AG.................................... 110,351
178,643 Siemens AG....................................... 14,926,229
150 Strabag AG*...................................... 9,665
34,500 Thyssen Krupp AG*................................ 792,621
34,242 Veba AG.......................................... 2,157,531
45,656 Viag AG (a)...................................... 949,580
21,460 Volkswagen AG ................................... 1,293,221
8,750 Volkswagen AG Preferred.......................... 305,931
- -------------------------------------------------------------------------------
117,362,441
- -------------------------------------------------------------------------------
Greece -- 0.2%
132,320 Hellenic Telecommunication Organization S.A...... 2,740,608
- -------------------------------------------------------------------------------
Hong Kong -- 2.7%
101,608 Bank of East Asia Ltd. (a)....................... 234,222
184,000 Cathay Pacific Airways (a)....................... 312,780
454,000 Cheung Kong Holdings Ltd. ....................... 3,946,453
177,608 Chinese Estates Holdings......................... 29,047
17,760 Chinese Estates Holdings Warrants, Expire
11/24/99*....................................... 651
17,760 Chinese Estates Holdings Warrants, Expire
11/24/00*....................................... 1,120
174,000 CLP Holdings Ltd. ............................... 824,602
65,000 Elec & Eltek International Holdings Ltd. ........ 11,384
</TABLE>
See Notes to Financial Statements.
114
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Hong Kong -- 2.7% (continued)
718,000 First Pacific Co. Ltd. (a) ...................... $ 554,782
64,000 Giordano International Ltd. ..................... 59,341
93,000 Hang Lung Development Co. Ltd. (a) .............. 107,189
122,900 Hang Seng Bank Ltd. ............................. 1,388,821
16,800 Hong Kong Aircraft Engineering Co. Ltd. ......... 29,639
308,793 Hong Kong & China Gas Co. Ltd. .................. 433,452
19,396 Hong Kong & China Gas Co. Ltd. Warrants, Expires
9/30/99*........................................ 849
6,800 Hong Kong Construction Warrants, Expire 12/31/99*
(a)............................................. 499
79,500 Hong Kong & Shanghai Hotels Ltd. (a) ............ 62,963
921,509 Hong Kong Telecommunications Ltd. ............... 2,094,554
208 Hong Kong Telecommunications Ltd. ADR............ 4,693
63,400 Hopewell Holdings Ltd. (a) ...................... 44,089
552,800 HSBC Holdings PLC................................ 6,851,980
1,300,000 Hutchison Whampoa Ltd. .......................... 12,681,579
71,271 Hysan Development Co. Ltd. (a) .................. 92,700
63,100 Johnson Electric Holdings Ltd. .................. 284,409
34,000 KUMAGAI GUMI Co. Ltd. ........................... 16,638
4,900 Melco International Development Ltd. ............ 523
41,000 Miramar Hotel and Investment Ltd. ............... 44,351
155,864 New World Development Co. Ltd. .................. 375,348
449 New World Infrastructure Ltd.* .................. 630
132,000 Oriental Press Group............................. 16,998
52,000 Peregrine Investment Holdings Ltd.* ............. 0
360,800 Regal Hotels International (a)................... 38,564
52,000 Shangri-La Asia Ltd. (a) ........................ 58,929
125,243 Shun Tak Holdings Ltd. .......................... 26,451
256,000 Sino Land Co. (a) ............................... 128,573
128,000 South China Morning Post Holdings Ltd. .......... 81,182
242,000 Sun Hung Kai Properties Ltd. .................... 2,072,451
102,000 Swire Pacific Ltd., Class A Shares............... 526,734
41,000 Tai Cheung Holdings Ltd. ........................ 10,031
168,000 Tan Chong International Ltd. .................... 46,515
306,000 Television Broadcasts Ltd.* ..................... 1,363,467
22,000 Varitronix International Ltd. ................... 48,446
777,607 Wharf Holdings Ltd. (a) ......................... 2,112,953
16,968 Wing Lung Bank................................... 70,142
- -------------------------------------------------------------------------------
37,090,724
- -------------------------------------------------------------------------------
Hungary -- 0.3%
81,630 Gedeon Richter Ltd. ADR*......................... 4,155,007
- -------------------------------------------------------------------------------
Ireland -- 0.3%
62,802 Allied Irish Banks PLC........................... 811,311
149,300 Bord Telecom Eireann PLC*........................ 679,711
3,944 Clondalkin Group PLC............................. 34,161
52,540 CRH PLC.......................................... 1,179,336
6,000 DCC PLC.......................................... 46,582
20,567 Fyffes PLC....................................... 39,104
13,464 Greencore Group PLC.............................. 46,221
18,005 Independent Newspapers PLC....................... 87,866
2,405 Irish Continental Group PLC...................... 28,325
22,821 Irish Life & Permanent PLC....................... 236,237
3,159 James Crean PLC.................................. 1,668
72,899 Jefferson Smurfit Group PLC...................... 207,908
5,200 Jurys Hotel Group PLC*........................... 42,843
12,100 Kerry Group PLC, Class A Shares.................. 148,262
11,600 Ryanair Holdings PLC*............................ 107,827
</TABLE>
See Notes to Financial Statements.
115
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Ireland -- 0.3% (continued)
21,200 Tullow Oil PLC*.................................. $ 22,393
51,020 Waterford Foods PLC, Class A Shares.............. 50,658
- ------------------------------------------------------------------------------
3,770,413
- ------------------------------------------------------------------------------
Italy -- 5.2%
120,000 Alitalia S.p.A. (a).............................. 320,692
11,000 Arnoldo Mondadori Editore S.p.A. ................ 177,682
76,828 Assicurazioni Generali........................... 2,602,592
118,000 Banca Commerciale Italiana....................... 802,704
167,998 Banca Intesa S.p.A. (a).......................... 709,825
69,666 Banca Intesa S.p.A. di Risp NC#.................. 141,289
3,273,758 Banca Nazionale del Lavoro*...................... 10,650,865
20,000 Banca Popolare di Milano......................... 145,769
148,200 Benetton Group S.p.A. (a)........................ 285,066
21,000 Bulgari S.p.A. .................................. 137,752
9,000 Burgo Cartiere S.p.A. (a)........................ 65,691
18,000 Cementir S.p.A. ................................. 19,697
2,177,941 Credito Italiano S.p.A. (a)...................... 10,076,456
3,000 Danieli & Co. (a)................................ 17,777
3,000 Danieli & Co. di Risp NC#........................ 9,317
49,000 Edison S.p.A. (a)................................ 409,825
558,000 ENI S.p.A.*...................................... 3,359,670
26,120 Fiat S.p.A. (a).................................. 841,512
7,000 Fiat S.p.A. di Risp NC#.......................... 112,242
9,120 Fiat S.p.A. Preferred............................ 143,153
30,000 Impregilo S.p.A. ................................ 22,975
102,385 Istituto Bancario San Paolo di Torino S.p.A. .... 1,379,013
298,000 Istituto Nazionale delle Assicurazioni* (a)...... 723,360
12,000 Italcementi S.p.A. (a)........................... 163,515
7,000 Italcementi S.p.A. di Risp NC#................... 35,351
53,000 Italgas S.p.A. .................................. 221,584
18,600 La Rinascente S.p.A. (a)......................... 148,532
3,000 La Rinascente S.p.A. di Risp NC#................. 11,217
2,000 La Rinascente S.p.A. Preferred................... 8,767
26,950 Magneti Marelli S.p.A. .......................... 70,770
4,000 Marzotto & Figli S.p.A. (a)...................... 29,872
1,772,068 Mediaset S.p.A.* (a)............................. 15,888,151
45,600 Mediobanca S.p.A.*............................... 472,087
1,600 Mediobanco S.p.A. Warrants, Expire 12/31/00*..... 3,270
27,844 Montedison S.p.A. (a)............................ 42,029
23,400 Montedison S.p.A. di Risp NC# ................... 27,683
231,868 Olivetti Group* (a).............................. 539,808
130,000 Parmalat Finanziaria S.p.A. (a).................. 168,354
144,000 Pirelli S.p.A. (a)............................... 361,559
7,000 Pirelli S.p.A. di Risp NC#....................... 13,146
6,790 Reno de Medici S.p.A ............................ 22,807
35,000 Riunione Adriatica di Sicurta S.p.A. (a)......... 329,334
11,800 Riunione Adriatica di Sicurta S.p.A. di Risp
NC#............................................. 98,468
17,000 Sirti S.p.A. (a)................................. 88,007
55,000 Snia BPD S.p.A. (a).............................. 61,872
5,000 Snia BPD S.p.A. di Risp NC#...................... 3,908
11,000 Societa Assicuratrice Industriale S.p.A. ........ 115,658
4,000 Societa Assicuratrice Industriale S.p.A. di Risp
NC# (a)......................................... 20,154
493,000 Telecom Italia Mobile S.p.A.* (a) ............... 2,862,597
82,500 Telecom Italia Mobile S.p.A. di Risp NC*#........ 286,706
1,564,743 Telecom Italia S.p.A. ........................... 15,815,280
</TABLE>
See Notes to Financial Statements.
116
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Italy -- 5.2% (continued)
56,201 Telecom Italia S.p.A. di Risp NC# ................ $ 331,554
352,000 Unione Immobiliare S.p.A. (a)..................... 167,764
- -------------------------------------------------------------------------------
71,564,728
- -------------------------------------------------------------------------------
Japan -- 28.5%
10,900 Acom Co. Ltd. (a) ................................ 1,104,464
5,200 Advantest Corp. .................................. 704,272
51,000 Ajinomoto Co. Inc. ............................... 581,887
47,000 Alps Electric Co. Ltd.* (a)....................... 1,363,126
23,000 Amada Co. Ltd. (a)................................ 192,986
8,000 Amano Corp. ...................................... 62,018
6,500 Aoyamma Trading Co. Ltd.*......................... 242,464
4,800 Arabian Oil Co. Ltd. ............................. 78,799
214,000 Asahi Bank Ltd. .................................. 1,307,674
36,000 Asahi Breweries Ltd. ............................. 546,345
112,000 Asahi Chemical Industry Co. Ltd. ................. 597,564
92,000 Asahi Glass Co. Ltd. (a).......................... 580,637
2,700 Asatsu-DK Inc. ................................... 96,037
56,000 Ashikaga Bank Ltd. ............................... 114,916
2,900 Autobacs Seven Co. Ltd.* ......................... 153,404
37,000 Bank of Fukuoka Ltd. ............................. 218,669
582,600 Bank of Tokyo-Mitsubishi Ltd. (b)................. 8,687,590
100,000 Bank of Yokohama Ltd. ............................ 310,091
3,000 Benesse Corp. .................................... 519,860
54,000 Bridgestone Corp. (a)............................. 1,526,745
22,000 Brother Industries Ltd. .......................... 64,207
322,000 Canon, Inc. ...................................... 9,397,601
25,000 Casio Computer Co. Ltd. .......................... 173,742
82,200 Chichibu Onoda Cement Corp. ...................... 215,161
22,000 Chiyoda Corp.* ................................... 40,530
21,000 Chugai Pharmaceutical Co., Ltd. .................. 231,747
28,000 Citizen Watch Co. Ltd. ........................... 240,558
46,000 Cosmo Oil Co. Ltd. ............................... 83,907
14,200 Credit Saison Co. Ltd. ........................... 319,886
5,800 CSK Corp. ........................................ 163,983
54,000 Dai Nippon Printing Co., Ltd. .................... 881,572
28,000 Daicel Chemical Industries Ltd.* ................. 114,916
64,000 Daiei Inc. (a).................................... 272,588
9,000 Daifuku Co. Ltd. ................................. 65,666
23,000 Daiichi Pharmaceutical Co. Ltd. .................. 354,717
21,000 Daikin Industries Ltd. ........................... 229,832
15,000 Daikyo Inc.* (a).................................. 50,617
24,000 Daimaru Inc. ..................................... 112,727
70,000 Dainippon Ink and Chemicals, Inc. ................ 271,330
14,000 Dainippon Screen Manufacturing Co., Ltd. (a)...... 95,763
12,425 Daito Trust Construction Co. Ltd. ................ 161,481
70,000 Daiwa Bank Ltd. .................................. 222,810
41,000 Daiwa House Industry Co. Ltd. .................... 411,327
12,000 Daiwa Kosho Lease Co. Ltd. ....................... 55,159
80,000 Daiwa Securities Co. Ltd. (a)..................... 723,060
35,000 Denki Kagaku Kogyo Kabushiki Kaisha............... 82,037
65,000 Denso Corp. ...................................... 1,446,486
301 East Japan Railway Co. ........................... 1,820,083
24,000 Ebara Corp. ...................................... 295,499
22,800 Eisai Co. Ltd. ................................... 526,097
13,800 Fanuc Ltd. ....................................... 830,680
</TABLE>
See Notes to Financial Statements.
117
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Japan -- 28.5% (continued)
3,900 Fast Retailing Co. Ltd. .......................... $ 629,577
1,557,000 Fuji Bank Ltd. (a)................................ 16,046,422
3,000 Fuji Machine Manufacturing Co., Ltd. ............. 151,854
39,000 Fuji Photo Film Co.*.............................. 1,422,773
2,000 Fuji Soft ABC Inc. ............................... 138,629
30,000 Fujikura Ltd. .................................... 192,074
55,000 Fujita Corp. (a).................................. 42,637
755,000 Fujitsu Ltd. (a).................................. 22,103,607
54,000 Furukawa Electric Co. Ltd.* ...................... 305,349
43,000 Gunma Bank Ltd. (a)............................... 278,444
19,000 Gunze Ltd. ....................................... 49,906
17,000 Hankyu Department Stores Inc. .................... 118,144
34,000 Heseko Corp.* (a)................................. 23,256
1,900 Hirose Electric Co. Ltd. ......................... 239,135
222,000 Hitachi Ltd. ..................................... 2,249,459
90,000 Hitachi Zosen Corp. .............................. 105,887
62,000 Hokuriku Bank Ltd. ............................... 124,966
64,000 Honda Motor Corp. Ltd. ........................... 2,568,288
10,000 House Foods Corp. ................................ 150,941
16,000 Hoya Corp. ....................................... 957,271
21,000 Inax Corp. ....................................... 154,753
172,200 Industrial Bank of Japan Ltd.* ................... 1,751,133
18,000 Isetan Co. Ltd. .................................. 160,062
35,000 Ishihara Sangyo Kaisha Ltd.* ..................... 63,842
78,000 Ishikawajima-Harima Heavy Industries Co., Ltd. ... 152,948
220,000 Ito-Yokado Co. Ltd. .............................. 16,172,192
107,000 Itochu Corp. ..................................... 326,918
20,000 Iwatani International Corp. ...................... 48,520
12,000 Jaccs Co. Ltd. ................................... 52,642
153,000 Japan Airlines Co. Ltd. (a)....................... 587,468
98,000 Japan Energy Corp. ............................... 125,131
41,000 Japan Steel Works Ltd.* .......................... 51,228
128 Japan Tobacco Inc. ............................... 1,774,454
20,000 JGC Corp. (a)..................................... 53,992
66,600 Joyo Bank Ltd. ................................... 267,262
22,000 Jusco Co. Ltd. ................................... 423,366
1,000 Kadokawa Shoten Publishing Co., Ltd. ............. 223,448
48,000 Kajima Corp. (a).................................. 207,068
10,000 Kaken Pharmaceutical Co. Ltd. .................... 72,962
21,000 Kamigumi Co. Ltd. ................................ 126,407
200 Kandenko Co. Ltd. ................................ 1,183
41,000 Kanebo Ltd.* ..................................... 68,056
29,000 Kaneka Corp. (a).................................. 330,612
71,600 Kansai Electric Power Co. Inc. ................... 1,371,334
468,000 Kao Corp.* ....................................... 13,274,476
4,000 Katokichi Co. Ltd. ............................... 75,334
119,000 Kawasaki Heavy Industries Ltd.* .................. 271,330
53,000 Kawasaki Kisen Kaisha Ltd. ....................... 107,793
263,000 Kawasaki Steel Corp. ............................. 599,662
45,930 Keihin Electric Express Railway Co. Ltd. (a)...... 164,626
2,300 Keyence Corp. .................................... 521,273
17,600 Kikkoman Corp. (a)................................ 144,305
23,500 Kinden Corp. ..................................... 235,760
130,940 Kinki Nippon Railway Co. Ltd. (a)................. 654,431
136,000 Kirin Brewery Co. Ltd. ........................... 1,649,687
300 Kissei Pharmaceutical Co. Ltd. ................... 5,882
</TABLE>
See Notes to Financial Statements.
118
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Japan -- 28.5% (continued)
12,000 Kokuyo Co. Ltd. .................................. $ 213,416
71,000 Komatsu Ltd. ..................................... 453,281
7,000 Komori Corp. (a).................................. 150,029
4,200 Konami Co. Ltd. .................................. 367,349
32,000 Konica Corp. ..................................... 128,706
14,000 Koyo Seiko Co. Ltd. (a)........................... 130,110
125,000 Kubota Corp. ..................................... 394,454
56,000 Kumagai Gumi Co. Ltd. (a)......................... 58,735
30,000 Kuraray Co. Ltd. ................................. 360,071
24,000 Kureha Chemical Industry Co. Ltd. ................ 71,138
10,800 Kurita Water Industries Ltd. ..................... 195,620
15,000 Kyocera Corp. .................................... 984,997
7,000 Kyowa Exeo Corp. ................................. 68,311
36,000 Kyowa Hakko Kogyo Co. Ltd.*....................... 272,515
5,000 Mabuchi Motor Co., Ltd. .......................... 622,007
11,000 Maeda Road Construction Co. Ltd. ................. 70,728
10,000 Makino Milling Machine Co. Ltd. (a)............... 74,148
15,000 Makita Corp. ..................................... 177,846
127,000 Marubeni Corp. ................................... 299,995
24,000 Maruha Corp. (a).................................. 25,172
28,000 Marui Co. Ltd. ................................... 467,326
57,000 Matsushita Communication Industrial Co., Ltd. .... 4,839,892
140,000 Matsushita Electric Industrial Co. Ltd. .......... 2,757,992
300 Matsuzakaya Co. Ltd. ............................. 1,324
27,000 Meiji Milk Products Co. Ltd. ..................... 101,454
32,000 Meiji Seika Kaisha, Ltd. ......................... 239,317
3,000 Meitec Corp. ..................................... 106,708
23,000 Minebea Co. Ltd. (a).............................. 276,893
115,000 Mitsubishi Chemical Corp. ........................ 385,972
96,000 Mitsubishi Corp. ................................. 797,628
142,000 Mitsubishi Electric Corp. (a)..................... 717,479
94,000 Mitsubishi Estate Co. Ltd. ....................... 970,477
37,000 Mitsubishi Gas Chemical Co. Inc. ................. 106,297
242,000 Mitsubishi Heavy Industries Ltd. ................. 1,052,797
15,000 Mitsubishi Logistics Corp. ....................... 168,270
85,000 Mitsubishi Materials Corp. (a).................... 239,545
26,000 Mitsubishi Paper Mills............................ 46,714
50,000 Mitsubishi Rayon Co. Ltd. ........................ 140,909
166,000 Mitsubishi Trust & Banking Corp. ................. 1,741,073
120,000 Mitsui & Co.*..................................... 843,814
71,000 Mitsui Engineering & Shipbuilding Co.*............ 76,410
64,000 Mitsui Fudosan Co. Ltd. .......................... 520,078
61,000 Mitsui Marine & Fire Insurance Co. Ltd.*.......... 334,360
40,000 Mitsui Mining & Smelting Co., Ltd. (a)............ 236,034
15,000 Mitsui Soko Co. Ltd. ............................. 49,933
87,000 Mitsui Trust & Banking Co. Ltd. .................. 179,324
36,000 Mitsukoshi Ltd. (a)............................... 213,416
9,000 Mori Seiki Co. Ltd. .............................. 148,980
229,000 Murata Manufacturing Co., Ltd. ................... 18,379,315
25,000 Mycal Corp. (a)................................... 150,485
4,900 Namco Ltd. (a).................................... 184,568
450 Nankai Electric Railway Co., Ltd. ................ 1,846
114,000 NEC Corp. ........................................ 1,850,699
29,000 NGK Insulators Ltd. .............................. 304,163
18,000 NGK Spark Plug Co. Ltd. (a)....................... 184,522
350 Nichido Fire & Marine Insurance Co. Ltd. ......... 1,675
</TABLE>
See Notes to Financial Statements.
119
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Japan -- 28.5% (continued)
4,300 Nichiei Co. Ltd. .................................. $ 396,096
31,000 Nichirei Corp. .................................... 84,819
2,000 Nidec Corp. ....................................... 393,816
81,000 Nikon Corp.* ...................................... 1,371,115
8,900 Nintendo Co. Ltd. ................................. 1,505,723
12,000 Nippon Comsys Corp. (a) ........................... 214,729
7,000 Nippon Denko Co. Ltd. ............................. 10,534
90,000 Nippon Express Co. Ltd. ........................... 687,035
40,000 Nippon Light Metal Co. Ltd. (a) ................... 55,086
20,000 Nippon Meat Packers Inc. .......................... 273,610
119,000 Nippon Oil Co. Ltd. ............................... 526,380
76,000 Nippon Paper Industries Co. ....................... 499,065
16,000 Nippon Sharyo Ltd. ................................ 46,258
39,000 Nippon Sheet Glass Co. Ltd. ....................... 181,403
26,000 Nippon Shinpan Co. Ltd.* .......................... 90,108
18,000 Nippon Shokubai Co. Ltd. .......................... 107,693
585,000 Nippon Steel Corp.* ............................... 1,531,259
33,000 Nippon Suisan Kaisha Ltd. ......................... 64,708
14,040 Nippon Telegraph & Telephone Corp.* (c) ........... 15,750,101
104,000 Nippon Yusen Kabushiki Kaisha (a).................. 379,406
25,000 Nishimatsu Construction Co. Ltd. (a) .............. 144,785
174,000 Nissan Motor Co. Ltd. ............................. 1,012,467
17,000 Nisshin Flour Milling Co. Ltd. .................... 146,518
18,000 Nisshinbo Industries Inc.* ........................ 93,738
10,000 Nissin Food Products Co., Ltd. .................... 264,489
16,000 Nitto Boseki Co. Ltd. ............................. 36,919
9,000 Nitto Denko Corp. (a) ............................. 248,711
17,000 NOF Corp. ......................................... 41,397
450,000 Nomura Securities Co. Ltd. ........................ 6,587,167
14,000 Noritake Co. Ltd. ................................. 71,886
42,000 NSK Ltd. .......................................... 269,670
34,000 NTN Corp. ......................................... 117,834
1,050 NTT Data Corp. .................................... 1,015,094
20,490 NTT Mobile Communication Network, Inc. (a) ........ 34,011,400
56,000 Obayashi Corp. .................................... 301,846
320 Odakyu Electric Railway Co., Ltd................... 1,027
79,000 Oji Paper Co. Ltd. ................................ 547,587
11,000 Okuma Corp. ....................................... 58,187
22,000 Okumura Corp. ..................................... 83,268
22,000 Olympus Optical Co. Ltd. .......................... 327,256
16,000 Omron Corp. ....................................... 326,143
16,000 Onward Kashiyama Co. Ltd. ......................... 244,279
29,000 Orient Corp. ...................................... 84,107
6,000 Oriental Land Co. Ltd. ............................ 432,304
4,900 Orix Corp. (a) .................................... 471,029
183,000 Osaka Gas Co. Ltd. (a) ............................ 584,157
3,600 Oyo Corp. ......................................... 67,308
29,000 Penta-Ocean Construction Co. Ltd. ................. 50,782
14,000 Pioneer Electronic Corp.* ......................... 247,963
7,700 Promise Co. Ltd. .................................. 639,062
22,000 Renown Inc.* ...................................... 30,097
90,800 Rohm Co., Ltd. .................................... 18,053,171
2,159,000 Sakura Bank Ltd. (a) .............................. 11,420,675
13,000 Sanden Corp. ...................................... 112,636
32,000 Sankyo Co. Ltd. ................................... 890,145
3,000 Sanrio Co. Ltd. (a) ............................... 142,003
</TABLE>
See Notes to Financial Statements.
120
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Japan -- 28.5% (continued)
233,000 The Sanwa Bank, Ltd.* ............................ $ 3,187,559
17,000 Sanwa Shutter Corp. (a) .......................... 83,104
125,000 Sanyo Electric Co. Ltd. (a) ...................... 541,520
30,000 Sapporo Breweries Ltd.* .......................... 125,860
8,000 Secom Co. Ltd. ................................... 1,090,793
9,000 Sega Enterprises Ltd. (a) ........................ 164,166
13,000 Seino Transportation Co. Ltd. (a) ................ 82,757
20,000 Seiyu Ltd. (a) ................................... 100,688
46,000 Sekisui Chemical Co. Ltd. ........................ 255,916
57,000 Sekisui House Ltd. ............................... 611,874
800 Seven-Eleven Japan Co., Ltd. (a) ................. 58,151
36,000 Seventy-Seventh Bank Ltd. (a) .................... 351,643
75,000 Sharp Corp. ...................................... 1,142,322
4,000 Shimachu Co. Ltd. ................................ 74,057
2,000 Shimamura Co. Ltd. ............................... 264,490
12,000 Shimano Inc. ..................................... 286,743
65,000 Shimizu Corp. (a) ................................ 289,890
24,000 Shin-Etsu Chemical Co. Ltd. ...................... 976,241
33,000 Shionogi & Co. Ltd. .............................. 282,913
34,000 Shiseido Co. Ltd. ................................ 474,440
58,000 Shizuoka Bank Ltd. ............................... 634,775
1,800 Sho-Bond Corp. ................................... 44,325
2,260 Shohkoh Fund & Co., Ltd. ......................... 1,634,529
93,000 Showa Denko K.K. ................................. 127,228
23,000 Showa Shell Sekiyu K.K. .......................... 154,809
8,000 Skylark Co. Ltd. (a) ............................. 210,132
3,600 SMC Corp. (a) .................................... 548,315
29,000 Snow Brand Milk Products Co. Ltd. ................ 132,509
40,800 Softbank Corp. ................................... 13,991,335
61,700 Sony Corp. (a) ................................... 7,979,443
239,000 Sumitomo Bank Ltd.*(a) ........................... 3,269,642
121,000 Sumitomo Chemical Co. Ltd. (a) ................... 620,201
86,000 Sumitomo Corp.* .................................. 611,792
49,000 Sumitomo Electric Industries...................... 665,876
16,000 Sumitomo Forestry Co. Ltd. ....................... 126,663
53,000 Sumitomo Heavy Industries Ltd. ................... 177,883
54,000 Sumitomo Marine & Fire Insurance Co., Ltd. (a) ... 349,673
288,000 Sumitomo Metal Industries Ltd. ................... 386,118
50,000 Sumitomo Metal Mining Co. ........................ 194,263
29,000 Sumitomo Osaka Cement Co. Ltd. ................... 54,749
82,000 Taisei Corp. (a) ................................. 183,227
25,000 Taisho Pharmaceutical Co. Ltd. ................... 1,051,119
9,000 Taiyo Yuden Co. Ltd. (a) ......................... 192,895
19,000 Takara Shuzo Co. Ltd. ............................ 282,283
13,000 Takara Standard Co. Ltd. (a) ..................... 82,639
26,000 Takashimaya Co. Ltd. (a) ......................... 232,386
429,000 Takeda Chemical Industries, Ltd.* ................ 21,519,449
8,000 Takefuji Corp. ................................... 1,284,874
10,000 Takuma Co. Ltd. .................................. 107,255
54,000 TDK Corp.* ....................................... 6,550,230
72,000 Teijin Ltd. ...................................... 305,349
23,000 Teikoku Oil Co. Ltd. ............................. 84,746
13,000 Terumo Corp. ..................................... 414,976
22,000 Toa Corp. ........................................ 38,323
72,000 Tobu Railway Co. Ltd. ............................ 222,609
22,000 Toda Corp. ....................................... 120,790
</TABLE>
See Notes to Financial Statements.
121
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Japan -- 28.5% (continued)
13,000 Toei Co. Ltd. ..................................... $ 48,374
1,600 Toho Co. Ltd. ..................................... 246,614
40,000 Tohoku Electric Power Co. Inc. .................... 634,775
174,000 Tokai Bank Ltd. (a)................................ 1,104,510
102,000 Tokio Marine & Fire Insurance Co. Ltd. ............ 1,200,054
14,000 Tokyo Broadcasting System Inc. .................... 226,640
13,000 Tokyo Dome Corp. .................................. 73,035
86,900 Tokyo Electric Power Co. .......................... 2,021,022
87,000 Tokyo Electron Ltd. ............................... 6,109,717
239,000 Tokyo Gas Co. Ltd. (a)............................. 588,535
17,000 Tokyo Tatemono Co. Ltd. (a)........................ 41,087
32,000 Tokyotokeiba Co. Ltd. ............................. 54,576
92,000 Tokyu Corp. ....................................... 241,652
9,000 Tokyu Style Co. Ltd. .............................. 96,858
50,000 Toppan Printing Co. Ltd. .......................... 638,424
112,000 Toray Industries Inc. ............................. 574,070
728,000 Toshiba Corp. ..................................... 6,460,340
43,000 Tosoh Corp. ....................................... 135,300
17,000 Tostem Corp. ...................................... 348,853
31,000 Toto Ltd. ......................................... 229,011
2,000 Toyo Information Systems Co., Ltd. ................ 86,643
17,000 Toyo Seikan Kaisha, Ltd. .......................... 395,366
59,000 Toyobo Co. Ltd. ................................... 94,167
261,000 Toyota Motor Corp. (c)............................. 7,688,723
2,000 Trans Cosmo Inc. .................................. 203,383
15,000 Tsubakimoto Chain Co. ............................. 86,871
6,000 Tsugami Corp. ..................................... 14,829
63,000 UBE Industries Ltd. ............................... 139,048
6,000 Uni-Charm Corp. ................................... 311,368
53,000 Unitika Ltd. (a)................................... 43,504
16,000 Uny Co. Ltd. ...................................... 218,888
12,000 Wacoal Corp. ...................................... 150,624
2,000 World Co. Ltd. .................................... 232,569
9,000 Yakult Honsha Co. Ltd.............................. 130,512
16,000 Yamaha Corp. ...................................... 175,110
106,000 Yamaichi Securities Co. Ltd.*...................... 0
174,000 Yamanouchi Pharmaceutical Co. Ltd. ................ 7,744,265
50,000 Yamato Transport Co. Ltd. (a)...................... 1,208,445
18,000 Yamazaki Baking Co. Ltd. .......................... 238,040
22,000 Yokogawa Electric Corp. ........................... 153,495
- --------------------------------------------------------------------------------
391,819,678
- --------------------------------------------------------------------------------
Malaysia -- 0.5%
9,000 Aluminium Co. of Malaysia Berhad................... 3,907
33,000 AMMB Holdings Berhad............................... 59,046
105,000 Amsteel Corp. Berhad............................... 27,490
15,000 Antah Holdings Berhad.............................. 4,933
433 Aokam Perdana Berhad............................... 70
71,000 Berjaya Group Berhad............................... 20,737
56,000 Berjaya Land Berhad................................ 31,680
79,200 Commerce Asset Holding Berhad...................... 182,349
19,000 Edaran Otomobil Nasional Berhad.................... 69,992
47,000 Ekran Berhad*...................................... 22,260
200 Genting Berhad..................................... 736
128,000 Golden Hope Plantations Berhad..................... 105,083
10,000 Golden Plus Holdings Berhad*....................... 3,683
</TABLE>
See Notes to Financial Statements.
122
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Malaysia -- 0.5% (continued)
25,000 Guinness Anchor Berhad............................. $ 27,891
77,000 Highlands & Lowlands Berhad........................ 46,802
20,400 Hong Leong Industries Berhad....................... 23,725
58,000 Hong Leong Properties Berhad....................... 18,161
21,000 Hume Industries Berhad............................. 20,445
47,000 Idris Hydraulic Berhad*............................ 8,224
31,000 IGB Corp. Berhad................................... 14,111
70,000 IOI Corp. Berhad................................... 42,548
21,000 Jaya Tiasa Holdings Berhad......................... 39,232
21,000 Johan Holdings Berhad*............................. 5,498
31,000 Kedah Cement Holdings Berhad*...................... 20,474
8,000 Kelanamas Industries Berhad*....................... 1,705
30,000 Keymayan Corp. Berhad*............................. 3,907
10,000 Kian Joo Can Factory Berhad........................ 18,024
91,000 Kuala Lumpur Kepong Berhad......................... 120,921
40,000 Land & General Berhad*............................. 22,839
35,000 Landmarks Berhad................................... 13,169
36,000 Leader Universal Holdings Berhad*.................. 14,398
191,500 Magnum Corp. Berhad................................ 168,300
292,000 Malayan Banking Berhad............................. 960,425
35,000 Malayan Cement Berhad.............................. 11,419
210,000 Malayan Cement Berhad - Rights..................... 16,024
151,200 Malayan United Industries Berhad*.................. 40,978
13,500 Malayawata Steel Berhad............................ 5,328
102,000 Malaysia International Shipping Berhad............. 155,667
85,000 Malaysia Mining Corp. Berhad....................... 40,035
98,000 Malaysian Airline System Berhad.................... 109,851
400 Malaysian Helicopter Services Berhad............... 164
18,000 Malaysian Mosaics Berhad*.......................... 8,004
12,000 Malaysian Oxygen Berhad............................ 25,102
27,000 Malaysian Pacific Industries Berhad................ 96,621
87,000 Malaysian Resources Corp. Berhad*.................. 77,833
65,000 MBF Capitol Berhad*................................ 21,892
66,000 Metroplex Berhad................................... 22,229
78,750 Mulpha International Berhad*....................... 20,928
64,000 Multi-Purpose Holdings Berhad*..................... 38,732
23,000 Mycom Berhad*...................................... 5,023
30,000 Nestle Malaysia Berhad............................. 116,040
15,000 New Straits Times Press Berhad*.................... 32,759
27,200 Oriental Holdings Berhad*.......................... 59,762
10,000 Palmco Holdings Berhad............................. 4,210
55,000 Pan-Malaysia Cement Works Berhad................... 21,274
31,000 Perlis Plantations Berhad.......................... 32,465
45,000 Perusahaan Otomobil Nasional Berhad................ 89,398
13,000 Petaling Garden Berhad............................. 8,038
14,000 Pilecon Engineering Berhad......................... 5,525
49,000 Promet Berhad*..................................... 3,739
266,532 Public Bank Berhad................................. 251,074
22,000 R.J. Reynolds Berhad............................... 24,081
35,000 Rashid Hussain Berhad.............................. 25,970
139,000 Resorts World Berhad............................... 352,949
212,000 RHB Capital Berhad................................. 180,738
36,000 Rothmans of Pall Mall Berhad....................... 253,394
23,000 Selangor Properties Berhad......................... 11,196
25,000 Shell Refining Co. Berhad.......................... 32,101
3,675 Silverstone Berhad*................................ 0
</TABLE>
See Notes to Financial Statements.
123
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Malaysia -- 0.5% (continued)
297,000 Sime Darby Berhad................................. $ 390,748
35,200 Sungei Way Holdings Berhad*....................... 21,766
51,000 TA Enterprise Berhad.............................. 21,337
56,000 Tan Chong Motor Holdings Berhad*.................. 33,301
63,000 Technology Resources Industries Berhad............ 43,266
382,000 Telekom Malaysia Berhad........................... 1,135,827
395,000 Tenaga Nasional Berhad............................ 904,246
68,000 Time Engineering Berhad*.......................... 24,692
22,000 UMW Holdings Berhad............................... 47,468
72,000 United Engineers Malaysia Ltd. Berhad*............ 135,459
159,500 YTL Corp. Berhad.................................. 325,261
- -------------------------------------------------------------------------------
7,406,679
- -------------------------------------------------------------------------------
Mexico -- 0.1%
25,500 Grupo Televisa S.A. .............................. 927,562
8,300 Telefonos de Mexico S.A. ADR...................... 617,312
5,300 Telefonos de Mexico S.A. ADR, Class L Series...... 394,187
- -------------------------------------------------------------------------------
1,939,061
- -------------------------------------------------------------------------------
Netherlands -- 6.1%
105,758 ABN AMRO Holding NV............................... 2,574,967
43,862 Aegon NV.......................................... 3,836,245
19,454 Akzo Nobel NV..................................... 905,195
64,200 ASM Lithography Holding NV*....................... 4,062,089
5,902 Buhrmann NV*...................................... 104,112
59,644 Elsevier NV....................................... 686,721
7,055 Getronics NV...................................... 345,409
7,753 Hagemeyer NV*..................................... 192,453
24,414 Heineken NV....................................... 1,217,218
3,070 Hollandsche Beton Groep NV........................ 36,319
2,071 IHC Caland NV..................................... 97,457
68,262 ING Groep NV* (a)................................. 3,742,260
5,595 KLM Royal Dutch Air Lines NV...................... 153,660
51,407 Koninklijke Ahold NV.............................. 1,840,812
2,921 Koninklijke Hoogovens NV.......................... 168,928
1,819 Koninklijke Nedlloyd Groep NV..................... 51,878
2,401 Koninklijke Pakhoed NV............................ 61,755
54,446 Koninklijke Philips Electronic NV (a)............. 5,610,187
444,321 KPN NV (a)........................................ 19,899,873
1 Laurus NV......................................... 17
6,245 Oce NV............................................ 132,591
345,373 Royal Dutch Petroleum Co. (a)..................... 21,232,395
2,489 Stork NV*......................................... 53,765
35,987 TNT Post Group NV................................. 887,605
44,113 Unilever NV....................................... 3,068,408
7,069 Vedior NV......................................... 122,089
310,500 VNU NV*........................................... 11,905,725
21,010 Wolters Kluwer NV................................. 781,189
- -------------------------------------------------------------------------------
83,771,322
- -------------------------------------------------------------------------------
New Zealand -- 0.6%
240,000 Brierley Investments Ltd. ........................ 57,076
138,400 Carter Holt Harvey Ltd. .......................... 163,855
3,200 Ceramco Corp. Ltd ................................ 2,233
48,300 Contact Energy Ltd.*.............................. 80,406
7,800 Fisher & Paykel Industries Ltd. (a)............... 22,985
25,233 Fletcher Challenge Building* (a).................. 34,961
</TABLE>
See Notes to Financial Statements.
124
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
New Zealand -- 0.6% (continued)
25,226 Fletcher Challenge Energy*....................... $ 64,556
73,284 Fletcher Challenge Forests....................... 35,235
48,950 Fletcher Challenge Paper......................... 35,429
45,400 Lion Nathan Ltd. ................................ 100,928
1,707,593 Telecom Corp. of New Zealand Ltd.* (a) .......... 7,654,081
- -------------------------------------------------------------------------------
8,251,745
- -------------------------------------------------------------------------------
Norway -- 0.3%
5,100 Aker RGI ASA*.................................... 78,311
1,260 Aker RGI ASA, Class B Shares*.................... 17,741
3,700 ASK ASA*......................................... 24,045
4,800 Bergesen d.y. ASA, Class A Shares................ 71,870
2,100 Bergesen d.y. ASA, Class B Shares................ 30,640
44,800 Christiania Bank Og Kreditkasse ASA.............. 190,103
52,700 Den Norske Bank ASA.............................. 210,195
2,300 Dyno Industrier ASA.............................. 48,652
4,000 Elkem ASA*....................................... 71,360
6,200 Hafslund ASA, Class A Shares (a)................. 36,342
2,700 Hafslund ASA, Class B Shares..................... 10,356
3,740 Kvaerner ASA*.................................... 82,925
1,260 Kvaerner ASA, Class B Shares..................... 22,317
2,700 Leif Hoegh & Co. ASA............................. 31,309
7,500 Merkantildata ASA................................ 79,324
17,111 NCL Holding ASA* (a)............................. 53,420
22,600 Norsk Hydro ASA.................................. 941,726
2,400 Norske Skogindustrier ASA, Class A Shares........ 100,312
400 Norske Skogindustrier ASA, Class B Shares........ 13,558
13,200 Orkla ASA........................................ 205,211
3,200 Orkla ASA, Class B Shares........................ 44,039
44,400 Petroleum Geo-Services ASA* (a).................. 888,282
3,800 Sas Norge ASA, Class B Shares.................... 36,317
5,500 Schibsted ASA.................................... 56,068
2,700 Smedvig ASA, Class A Shares...................... 32,341
21,800 Storebrand ASA*.................................. 144,453
3,400 Tomra Systems ASA................................ 119,362
1,300 Unitor ASA....................................... 9,608
- -------------------------------------------------------------------------------
3,650,187
- -------------------------------------------------------------------------------
Portugal -- 0.8%
16,507 Banco Comercial Portugues S.A. Registered
Shares*......................................... 438,350
10,162 Banco Espirito Santo e Comercial de Lisboa
S.A. ........................................... 257,726
9,317 BPI-SGPS S.A. Registered Shares.................. 187,094
2,200 Brisa Auto Estradas de Portugal S.A. ............ 85,169
3,500 Brisa Auto Estradas de Portugal S.A. Registered
Shares.......................................... 136,790
15,200 Cimpor-Cimentos de Portugal S.A. ................ 259,621
428 CIN-Corparacao Industrial do Norte S.A. ......... 11,980
1,100 Colep Portugal - Embalagens, Produtos
Enchinentose Equipmentos S.A.* ................. 7,389
1,800 Companhia de Seguros Tranquilidade Registered
Shares.......................................... 50,385
1,300 Corticeira Amorim S.A. .......................... 13,210
51,600 Electricidade de Portugal S.A. .................. 872,081
1,552 Engil-SGPS....................................... 13,541
3,000 INAPA-Investimentos Participacoes e Gestao
S.A. ........................................... 27,474
7,433 Jeronimo Martins S.A. ........................... 216,779
7,500 Portucel Industrial-Empresa Produtora de Celulose
S.A.* .......................................... 50,702
205,578 Portugal Telecom S.A. Registered Shares.......... 8,597,056
1,554 Somague-Sociedad Gestora de Participacoes
S.A.* .......................................... 5,269
</TABLE>
See Notes to Financial Statements.
125
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Portugal -- 0.8% (continued)
3,400 Sonae Investimentos-Sociedade Gestora de
Participacoes Sociais S.A. ..................... $ 113,165
1,600 UNICER-Uniao Cervejeira S.A. .................... 29,677
- ------------------------------------------------------------------------------
11,373,458
- ------------------------------------------------------------------------------
Singapore -- 1.4%
26,666 Asia Food & Properties Ltd. ..................... 15,599
2,000 Asia Food & Properties Ltd. Warrants, Expire
7/12/02*........................................ 940
15,000 Chuan Hup Holdings Ltd. ......................... 12,646
265,000 City Developments Ltd. .......................... 1,604,820
42,000 Comfort Group Ltd. .............................. 21,195
8,000 Creative Technology Ltd. ........................ 79,320
21,000 Cycle & Carriage Ltd. ........................... 118,446
98,000 DBS Land Ltd. ................................... 223,428
592,316 Development Bank of Singapore Ltd.* (a).......... 6,787,209
27,000 First Capital Corp. Ltd. ........................ 37,511
29,200 Fraser & Neave Ltd. ............................. 110,954
2,400 Genting International PLC........................ 936
30,000 Goldtron Ltd.* .................................. 4,720
6,000 Goldtron Ltd. Preferred*......................... 908
12,000 Haw Par Corp. Ltd. .............................. 19,948
37,000 Hotel Properties Ltd. ........................... 34,049
13,000 Inchcape Motors Ltd. ............................ 17,597
94,800 IPC Corp. ....................................... 16,322
311 Jardine Matheson Holdings Ltd.* ................. 1,486
60,250 Keppel Corp. Ltd. ............................... 194,954
8,000 Low Keng Huat Ltd.* ............................. 2,327
26,400 Lum Chang Holdings Ltd. ......................... 12,382
7,000 Metro Holdings Ltd.* ............................ 8,644
30,000 Natsteel Ltd. ................................... 63,765
73,023 Neptune Orient Lines Ltd. ....................... 94,514
144,239 Oversea-Chinese Banking Corp. Ltd. (a) .......... 1,010,520
11,000 Overseas Union Enterprise Ltd. .................. 30,956
41,000 Parkway Holdings Ltd. ........................... 86,172
3,000 Prima Ltd. ...................................... 6,554
4,800 Robinson and Co. Ltd. ........................... 15,104
134,241 Sembcorp Industries Ltd. (a) .................... 178,531
11,000 Shangri-La Hotel Ltd. ........................... 24,556
91,000 Singapore Airlines Ltd. (a) ..................... 853,648
164,749 Singapore Press Holdings Ltd. ................... 2,738,803
233,000 Singapore Technologies Engineering Ltd. ......... 280,823
499,000 Singapore Telecommunications Ltd. (a) ........... 885,833
2,400 Star Cruises Public Co. Ltd. .................... 14,640
27,000 Straits Trading Co. Ltd. ........................ 32,060
122,000 United Industrial Corp. Ltd. .................... 69,898
417,000 United Overseas Bank Ltd. (a) ................... 3,094,757
53,000 United Overseas Land Ltd. ....................... 49,403
9,000 Van Der Horst Ltd.* ............................. 2,484
16,000 Venture Manufacturing Ltd. ...................... 152,941
- ------------------------------------------------------------------------------
19,012,303
- ------------------------------------------------------------------------------
South Korea -- 0.6%
91,400 Korea Telecom Corp. ADR*......................... 2,970,500
45,800 Pohang Iron & Steel Co. Ltd. ADR................. 1,683,150
25,700 Samsung Electronics.............................. 2,390,100
106,200 SK Telecom Co. Ltd. ADR.......................... 1,201,386
- ------------------------------------------------------------------------------
8,245,136
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
126
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Spain -- 2.8%
3,950 Acerinox S.A. ................................... $ 130,846
2,786 Actividades de Construccion y Servicios, S.A. ... 77,957
398,285 Argentaria, Caja Postal y Banco Hipotecario de
Espana, S.A.* (a) .............................. 9,066,274
19,244 Autopistas Concesionaria Espanola S.A. (a) ...... 215,262
6,066 Azucarera Ebro Agricolas S.A. ................... 89,320
140,675 Banco Bilbao Vizcaya S.A. (a) ................... 1,875,270
76,999 Banco Popular Espanol S.A. ...................... 5,640,520
236,852 Banco Santander S.A. ............................ 2,379,278
5,300 Corporacion Mapfre............................... 99,931
5,700 Corporation Financiera Alba S.A. ................ 167,682
2,600 Cortefiel S.A. .................................. 74,207
1,950 El Aguila S.A.* ................................. 18,744
1,650 Empresa Nacional de Celulosas S.A. .............. 33,115
64,950 Endesa S.A. ..................................... 1,303,528
16,366 Ercros S.A.* .................................... 12,446
3,800 Fomento de Construcciones y Contratas S.A. (a) .. 225,382
32,412 GAS Natural SDG S.A. ............................ 762,454
11,000 Grupo Dragados, S.A. ............................ 135,132
61,872 Iberdrola S.A. .................................. 888,834
6,400 Inmobilaria Urbis S.A. .......................... 40,899
4,051 Metrovacesa S.A. ................................ 87,070
1,650 Portland Valderrivas S.A. ....................... 48,818
4,650 Prosegur CIA de Seguridad S.A. .................. 45,876
75,679 Repsol S.A. ..................................... 1,585,206
9,291 Sociedad General de Aguas de Barcelona, S.A.
(a) ............................................ 153,099
8,250 Sol Melia S.A. .................................. 112,329
14,200 Tabacalera S.A., Class A Shares (a).............. 272,540
731,271 Telefonica S.A. ................................. 11,663,883
19,050 Telepizza S.A. .................................. 99,405
20,550 Union Electrica Fenosa S.A. (a) ................. 293,044
4,100 Uralita S.A. (a) ................................ 36,119
10,050 Vallehermos S.A. ................................ 93,950
4,168 Zardoya-Otis S.A. ............................... 107,921
- -------------------------------------------------------------------------------
37,836,341
- -------------------------------------------------------------------------------
Sweden -- 2.0%
41,239 ABB Ltd.* ....................................... 4,224,231
8,900 AGA AB, Class A Shares........................... 150,326
7,700 AGA AB, Class B Shares*.......................... 130,058
84,925 Astrazeneca Group PLC............................ 3,321,306
26,500 Atlas Copco AB, Class A Shares................... 763,651
4,600 Atlas Copco AB, Class B Shares................... 131,166
4,100 Autoliv AB*...................................... 142,218
4,181 Boliden Ltd.* ................................... 9,820
3,870 Diligentia AB.................................... 28,817
8,900 Drott AB......................................... 77,049
27,100 Electrolux AB Series B........................... 544,690
1,400 Esselte AB, Class A Shares....................... 11,526
1,100 Esselte AB, Class B Shares....................... 9,256
41,700 ForeningsSparbaken AB*........................... 626,080
2,850 Granges AB....................................... 54,177
109,700 Hennes Mauritz AB, Class B Shares (b)............ 2,769,396
1,615 Mandamus AB...................................... 8,682
2,500 Meto AG*......................................... 19,070
8,200 Netcom Systems AB*............................... 277,006
7,800 OM Gruppen AB.................................... 88,303
</TABLE>
See Notes to Financial Statements.
127
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Sweden -- 2.0% (continued)
13,900 Sandvik AB, Class A Shares....................... $ 378,677
5,100 Sandvik AB, Class B Shares....................... 139,865
94,500 Securitas AB, Class B Shares..................... 1,350,163
40,500 Skandia Forsakrings AB........................... 823,828
45,100 Skandinaviska Enskilda Banken, Class A Shares.... 466,890
9,000 Skanska AB, Class B Shares....................... 351,979
3,700 SKF AB, Class A Shares (a)....................... 78,847
5,000 SKF AB, Class B Shares........................... 113,815
30,300 Svenska Cellulosa AB, Class B Shares............. 880,494
50,400 Svenska Handelsbanken, Class A Shares............ 698,729
4,800 Svenska Handelsbanken, Class B Shares............ 61,605
3,200 Svenskt Stal AB, Class A Shares.................. 43,782
6,600 Svenskt Stal AB, Class B Shares.................. 91,899
36,000 Swedish Match AB................................. 145,150
86,100 Telefonaktiebolaget LM Ericsson ADR.............. 2,803,631
153,100 Telefonaktiebolaget LM Ericsson, Class B Shares.. 4,930,935
8,500 Trelleborg AB, Class B Shares.................... 76,159
10,900 Volvo AB, Class A Shares (a)..................... 306,847
24,000 Volvo AB, Class B Shares......................... 671,267
5,800 Wm-Data AB, Class B Shares....................... 215,243
- -------------------------------------------------------------------------------
28,016,633
- -------------------------------------------------------------------------------
Switzerland -- 4.2%
8,685 ABB Ltd.*........................................ 885,601
1,315 Adecco S.A. ..................................... 724,721
455 Alusuisse-Lonza Holding AG Registered Shares..... 540,558
19,091 Clariant AG Registered Shares*................... 9,173,155
19,895 Credit Suisse Group Registered Shares............ 3,755,507
110 Forbo Holding AG Registered Shares............... 43,561
250 Georg Fisher AG Registered Shares................ 76,727
564 Holderbank Financiere Glarus AG Bearer Shares*... 694,251
426 Holderbank Financiere Glarus AG Registered
Shares.......................................... 143,116
30 Jelmoli Holding AG Bearer Shares................. 30,394
90 Jelmoli Holding AG Registered Shares............. 18,533
35 Kuoni Reisen AG Registered Shares, Category B.... 139,875
90 Moevenpick Holding AG Bearer Shares.............. 39,799
2,910 Nestle S.A. Registered Shares*................... 5,742,790
11,509 Novartis AG Registered Shares*................... 16,559,712
120 Roche Holding AG Bearer Shares................... 2,138,472
495 Roche Holding AG Genusss*........................ 5,723,978
860 Sairgroup Registered Shares...................... 180,786
100 Schindler Holding AG Participating Certificates.. 152,333
30 Schindler Holding AG Registered Shares........... 48,511
1,057 Schweizerische Rueckversicherungs-Gesellschaft
Registered Shares*.............................. 2,061,537
175 SGS Societe Generale de Surveillance Holding
S.A., Class B Shares............................ 199,014
180 Sika Finanz AG Bearer Shares..................... 54,234
270 Sulzer AG........................................ 169,473
275 Swatch Group AG, Class B Shares.................. 202,197
1,095 Swatch Group AG Registered Shares................ 174,718
5,590 Swisscom AG Registered Shares*................... 1,842,917
16,463 UBS AG Registered Shares......................... 4,645,150
295 Valora Holdings AG............................... 74,377
3,665 Zurich Allied AG*................................ 2,150,475
- -------------------------------------------------------------------------------
58,386,472
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
128
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Thailand -- 0.1%
28,600 Advanced Info Service Public Co. Ltd., Registered
Shares.......................................... $ 392,220
196,000 Bangkok Bank Public Co. Ltd.* ................... 498,240
79,900 Thai Farmers Bank Public Co. Ltd. ............... 114,574
79,900 Thai Farmers - Rights............................ 72,910
- -------------------------------------------------------------------------------
1,077,944
- -------------------------------------------------------------------------------
United States -- 0.1%
16,000 Tommy Hilfiger Corp. ............................ 543,000
- -------------------------------------------------------------------------------
United Kingdom -- 18.0%
100,600 Abbey National PLC............................... 1,755,149
250,486 Allied Zurich AG................................. 3,111,489
21,000 AMEC PLC......................................... 90,667
3,030 Amstrad PLC...................................... 4,628
20,653 Anglian Water PLC................................ 246,588
27,500 Arjo Wiggins Appleton PLC........................ 95,736
55,972 Associated British Foods PLC..................... 386,563
70,100 BAA PLC.......................................... 736,631
101,283 Barclays PLC..................................... 3,016,226
23,700 Barratt Developments PLC......................... 123,475
55,082 Bass PLC......................................... 742,677
18,700 BBA Group PLC.................................... 153,355
9,500 The Berkeley Group PLC........................... 120,298
262,747 BG PLC........................................... 1,583,309
43,036 The BICC Group................................... 78,198
58,500 Blue Circle Industries PLC....................... 401,200
33,500 BOC Group PLC.................................... 706,210
58,500 Boots Co. PLC.................................... 733,260
14,442 Bowthorpe PLC.................................... 139,568
19,100 BPB PLC.......................................... 116,248
2,368,003 British Aerospace PLC............................ 17,639,411
65,600 British Airways PLC.............................. 432,751
809,466 British American Tobacco PLC..................... 6,807,485
35,800 British Land Co. PLC............................. 300,496
841,182 British Petroleum Co. PLC (c).................... 15,717,465
811,629 British Sky Broadcasting Group PLC............... 7,700,093
79,300 British Steel PLC................................ 208,805
498,416 British Telecommunications PLC................... 7,782,114
38,400 Bunzl PLC........................................ 199,752
8,500 Burmah Castrol PLC............................... 163,196
170,007 Cable & Wireless PLC............................. 1,965,541
130,700 Cadbury Schweppes PLC............................ 825,951
32,760 Caradon PLC...................................... 91,396
16,121 Carillion PLC*................................... 35,773
35,850 Carlton Communications PLC....................... 273,247
256,060 Centrica PLC..................................... 684,525
55,300 Coats Viyella PLC................................ 46,906
6,500 Cobham PLC....................................... 89,364
208,600 Colt Telecom Group PLC........................... 4,581,961
83,607 Commercial Union PLC............................. 1,269,115
47,600 Compass Group PLC................................ 446,233
6,100 Courtaulds Textiles PLC.......................... 16,576
17,700 De La Rue PLC.................................... 106,731
11,800 Delta PLC........................................ 31,023
1,189,522 Diageo PLC....................................... 12,203,364
121,930 Dixons Group PLC................................. 2,301,786
23,438 Electrocomponents PLC............................ 193,152
</TABLE>
See Notes to Financial Statements.
129
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
United Kingdom -- 18.0% (continued)
44,080 Elementis PLC.................................... $ 82,930
51,700 EMI Group PLC.................................... 439,569
33,800 FKI PLC.......................................... 115,494
105,000 Freeserve PLC*................................... 306,444
357,300 General Electric Co. PLC......................... 3,602,358
28,500 George Wimpey PLC................................ 69,658
48,900 GKN PLC.......................................... 753,287
652,201 Glaxo Wellcome PLC............................... 17,188,850
122,674 Granada Group PLC................................ 1,105,642
26,088 Great Portland Estates PLC....................... 94,596
68,500 Great Universal Stores PLC....................... 703,846
158,671 Halifax PLC...................................... 1,771,970
23,291 Hammerson PLC.................................... 186,323
39,925 Hanson PLC....................................... 340,578
19,300 Hepworth PLC..................................... 70,758
568,239 HSBC Holdings PLC (c)............................ 7,099,675
14,800 Hyder PLC........................................ 133,747
25,400 IMI PLC.......................................... 124,980
631,868 Imperial Chemical Industries PLC................. 7,239,318
117,800 J. Sainsbury PLC................................. 809,307
12,100 Jarvis PLC....................................... 56,424
16,300 Johnson Matthey PLC.............................. 160,538
92,600 Kingfisher PLC................................... 1,108,567
105,021 Ladbroke Group PLC............................... 403,186
14,600 Laird Group PLC.................................. 71,721
37,900 Land Securities PLC.............................. 532,034
81,100 LASMO PLC*....................................... 199,851
313,200 Legal & General Group PLC........................ 867,495
7,000 Lex Service PLC.................................. 69,562
345,064 Lloyds TBS Group PLC............................. 4,791,245
165,500 Logica PLC....................................... 2,029,197
11,227 Lonmin PLC....................................... 103,078
15,527 Lonrho Africa PLC................................ 11,734
194,674 Marks & Spencer PLC.............................. 1,306,142
27,439 MEPC PLC......................................... 229,435
10,100 Meyer International PLC.......................... 73,083
33,700 Misys PLC........................................ 299,126
103,264 National Grid Group PLC.......................... 691,594
84,000 National Power PLC............................... 599,383
24,800 Next PLC......................................... 297,493
3,159 Oakhill Group PLC*............................... 1,668
5,900 Ocean Group PLC.................................. 96,057
38,955 Pearson PLC...................................... 806,799
42,719 The Peninsular and Oriental Steam Navigation
Co.............................................. 705,812
63,000 Pilkington PLC................................... 109,408
18,956 Provident Financial PLC.......................... 244,461
131,700 Prudential Corp. PLC............................. 1,972,672
22,200 Racal Electronics PLC............................ 134,401
526,902 Railtrack Group PLC.............................. 10,175,582
32,900 Rank Group PLC................................... 136,887
954,397 Reed International PLC........................... 6,388,071
193,600 Rentokil Initial PLC............................. 779,050
171,766 Reuters Group PLC................................ 2,521,705
27,433 Rexam PLC........................................ 129,471
69,700 Rio Tinto PLC Registered Shares.................. 1,260,874
17,900 RMC Group PLC.................................... 291,430
</TABLE>
See Notes to Financial Statements.
130
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
United Kingdom -- 18.0% (continued)
88,200 Rolls-Royce PLC*................................. $ 352,436
97,565 Royal & Sun Alliance Insurance Group PLC......... 807,167
62,298 Royal Bank of Scotland Group PLC................. 1,298,271
42,800 Rugby Group PLC.................................. 76,048
72,500 Safeway PLC...................................... 301,651
18,601 Schroders PLC.................................... 404,688
50,500 Scottish & Newcastle PLC......................... 504,277
48,705 Scottish & Southern Energy PLC................... 446,413
85,449 Scottish Power PLC............................... 789,375
805,281 Siebe PLC........................................ 4,124,236
33,400 Slough Estates PLC............................... 195,494
358,178 Smithkline Beecham PLC........................... 4,668,080
11,300 Smiths Industries PLC............................ 170,711
1,666,372 Somerfield PLC................................... 6,216,506
30,100 St. James Place Capital PLC...................... 99,463
93,200 Stagecoach Holdings PLC.......................... 324,459
154,900 Standard Chartered PLC........................... 2,281,568
16,121 Tarmac PLC....................................... 130,261
35,700 Tate & Lyle PLC.................................. 230,483
40,653 Taylor Woodrow PLC............................... 120,607
410,203 Tesco PLC........................................ 1,218,623
21,158 Thames Water PLC................................. 304,842
32,018 TI Group PLC..................................... 259,226
5,030 Transport Development Group PLC.................. 21,069
16,500 Unigate PLC...................................... 101,087
193,657 Unilever PLC..................................... 1,852,835
29,566 United Biscuits Holdings PLC..................... 93,656
35,520 United Utilities PLC............................. 421,232
9,046 Value Realisation Trust PLC...................... 20,945
23,066 Vickers PLC...................................... 65,648
67 Viglen Floating Rate Guaranteed Loan Notes 2001.. 0
6,900 Viglen Technology Letters of Entitlements
Litigation Notes*............................... 0
1,861,410 Vodafone Group PLC............................... 37,593,962
50,417 Williams PLC..................................... 287,595
11,800 Wilson Connolly Holdings PLC..................... 33,679
33,700 Wolseley PLC..................................... 271,761
89,144 Zeneca Group PLC................................. 3,495,276
- -------------------------------------------------------------------------------
247,933,883
- -------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $1,122,430,337)............. 1,346,720,304
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
131
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Equity Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------------------------
<C> <S> <C>
FOREIGN BOND -- 0.0%
- ------------------------------------------------------------------------------------------------
Italy -- 0.0%
28,027,992++ Olivetti, Convertible Bond, 6.500% due 9/30/02 (Cost --
$15,976)........................................................ $ 64,406
- ------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.0%
$27,055,000 CIBC Wood Gundy Securities Inc., 5.300% due 9/1/99; Procceds at
maturity -- $27,058,982;
(Fully collateralized by U.S. Treasury Notes, 5.375% due 7/31/00;
Market value -- $27,715,334) (Cost -- $27,055,000)............... 27,055,000
- ------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $1,149,501,313**)............. $1,373,839,710
- ------------------------------------------------------------------------------------------------
</TABLE>
(a) All or a portion of this security is on loan (See Note 12).
(b) Security is segregated for open foreign currency contracts.
* Non-income producing security.
(c) Security is segregated for futures contracts commitments.
# Risp NC -- Risparmio Non-Convertible (Non-Convertible savings shares).
++Represents local currency.
** Aggregate cost for Federal income tax purposes is substantially the same.
[CHART]
Classification of Investments
Japan 28.5%
United Kingdom 18.0%
France 8.8%
Germany 8.5%
Spain 2.8%
Switzerland 4.2%
Italy 5.2%
Hong Kong 2.7%
Repurchase Agreement 2.0%
Netherlands 6.1%
Other Stock 13.2%
See Notes to Financial Statements.
132
<PAGE>
Schedule of Investments (continued) August 31, 1999
International Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
BONDS -- 98.6%
- ------------------------------------------------------------------------------
Argentina -- 2.8%
7,810,000 Republic of Argentina, 8.750% due 7/10/02........ $ 6,397,030
- ------------------------------------------------------------------------------
Canada -- 3.9%
970,000,000 Canada Government, 1.900% due 3/23/09............ 8,855,456
- ------------------------------------------------------------------------------
Cayman Islands -- 0.5%
1,100,000 Hutchison Whampoa Ltd., 5.500% due 3/16/06....... 1,148,103
- ------------------------------------------------------------------------------
France -- 4.7%
10,300,000 French Treasury Note, 3.500% due 7/12/04......... 10,533,917
- ------------------------------------------------------------------------------
Germany -- 11.4%
3,240,000 Bundesobligation, 3.750% due 8/26/03............. 3,369,026
Bundesrepublic Deutschland:
2,200,000 6.000% due 9/15/03............................... 2,473,518
11,600,000 6.000% due 1/5/06................................ 13,137,763
6,000,000 Treuhandanstalt, 6.625% due 7/9/03............... 6,864,476
- ------------------------------------------------------------------------------
25,844,783
- ------------------------------------------------------------------------------
Greece -- 11.6%
Hellenic Republic:
531,000,000 8.900% due 4/1/03................................ 1,823,434
500,000,000 6.600% due 1/15/04............................... 1,613,467
2,143,000,000 8.700% due 4/8/05................................ 7,550,430
2,145,000,000 6.000% due 2/19/06............................... 6,704,339
1,203,000,000 8.600% due 3/26/08............................... 4,374,649
443,000,000 7.500% due 5/20/13............................... 1,522,056
2,660,000 Public Power Corp., 4.500% due 3/12/09........... 2,546,205
- ------------------------------------------------------------------------------
26,134,580
- ------------------------------------------------------------------------------
Japan -- 3.0%
4,200,000 Japan Financial Corp., 6.375% due 3/9/04......... 6,703,218
- ------------------------------------------------------------------------------
Netherlands -- 5.8%
53,000,000 Bank Nederlandse Gemeeten, zero coupon due
12/29/20........................................ 474,926
47,000,000 Deutsche Finance BV, zero coupon due 4/16/18..... 571,851
1,693,000 Koninklijke PTT Nederland, 4.750% due 11/5/08*... 1,717,589
2,296,000 Mannesmann Finance BV, 4.750% due 5/27/09*....... 2,255,498
7,100,000 Netherlands Government, 7.750% due 3/1/05........ 8,635,945
- ------------------------------------------------------------------------------
13,655,809
- ------------------------------------------------------------------------------
New Zealand -- 4.1%
New Zealand Government:
6,820,000 5.500% due 4/15/03............................... 3,402,455
11,462,000 7.000% due 7/15/09............................... 5,920,970
- ------------------------------------------------------------------------------
9,323,425
- ------------------------------------------------------------------------------
Norway -- 3.8%
Norwegian Government:
42,450,000 6.750% due 1/15/07............................... 5,685,244
22,520,000 5.500% due 5/15/09*.............................. 2,789,352
- ------------------------------------------------------------------------------
8,474,596
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
133
<PAGE>
Schedule of Investments (continued) August 31, 1999
International Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
South Africa -- 3.1%
Republic of South Africa:
30,560,000 12.000% due 2/28/05............................ $ 4,533,408
13,440,000 13.000% due 8/31/10............................ 1,946,920
- ------------------------------------------------------------------------------
6,480,328
- ------------------------------------------------------------------------------
Spain -- 3.3%
747,000,000 Kingdom of Spain, 3.100% due 9/20/06*.......... 7,486,691
- ------------------------------------------------------------------------------
Supranational -- 9.6%
74,600,000 European Bank Reconstruction & Development,
15.700% due 5/10/02........................... 1,792,116
European Investment Bank:
710,000 7.000% due 12/8/03............................. 1,162,831
886,000,000 2.125% due 9/20/07............................. 8,287,891
970,000,000 Inter-American Development Bank, 1.900% due
7/8/09........................................ 8,773,747
66,000,000 International Bank Reconstruction &
Development, zero coupon due 5/14/12.......... 1,733,016
- ------------------------------------------------------------------------------
21,749,601
- ------------------------------------------------------------------------------
Sweden -- 3.0%
AB Spintab:
21,200,000 6.250% due 9/18/02............................. 2,609,971
20,300,000 5.500% due 9/17/03............................. 2,416,877
1,707,715 Investor AB, 5.250% due 6/30/08................ 1,756,239
- ------------------------------------------------------------------------------
6,783,087
- ------------------------------------------------------------------------------
Turkey -- 1.1%
Turkey T-Bill:
689,000,000,000 Zero coupon due 2/9/00......................... 1,125,594
861,000,000,000 Zero coupon due 3/15/00........................ 1,303,924
- ------------------------------------------------------------------------------
2,429,518
- ------------------------------------------------------------------------------
United Kingdom -- 13.6%
1,000,000 BG PLC, 7.000% due 4/4/00...................... 1,613,644
1,620,000 Burmah Castrol PLC, 4.875% due 3/31/09......... 1,610,181
2,300,000 Halifax PLC, 4.750% due 3/24/09................ 2,246,308
3,200,000 Prudential Financial BV, 9.375% due 6/4/07..... 5,960,910
2,300,000 Standard Chartered Bank, 5.375% due 5/6/09..... 2,259,306
United Kingdom Treasury:
3,100,000 6.750% due 11/26/04............................ 5,212,112
6,473,000 8.500% due 12/7/05............................. 11,915,758
- ------------------------------------------------------------------------------
30,818,219
- ------------------------------------------------------------------------------
United States -- 13.3%
1,560,000 Enron Corp., 4.375% due 4/8/05*................ 1,563,790
Federal National Mortgage Association:
1,173,000 6.875% due 6/7/02.............................. 1,909,103
17,415,000 6.375% due 8/15/07............................. 10,916,486
920,000,000 1.750% due 3/26/08*............................ 8,391,462
2,300,000 General Motors Acceptance Corp., 4.000% due
2/9/06........................................ 2,265,625
1,950,000 Household Finance Corp., 5.125% due 6/24/09.... 1,932,934
5,000,000 Tennessee Valley Authority, 6.375% due
9/18/06....................................... 2,925,019
- ------------------------------------------------------------------------------
29,904,419
- ------------------------------------------------------------------------------
TOTAL BONDS (Cost -- $225,299,111)............. 222,722,780
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
134
<PAGE>
Schedules of Investments (continued) August 31, 1999
International Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.4%
$ 3,100,000 CIBC Wood Gundy Securities Inc., 5.300% due
9/1/99; Proceeds at maturity -- $3,100,456;
(Fully collateralized by U.S. Treasury Notes,
5.375% due 7/31/00;
Market value -- $3,162,307) (Cost -- $3,100,000).. $ 3,100,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$228,399,111**)................................. $225,822,780
- --------------------------------------------------------------------------------
</TABLE>
+ Represents local currency.
* All or a portion of this security is on loan (See Note 12).
** Aggregate cost for Federal income tax purposes is substantially the same.
[CHART]
Classification of Investments
Germany 11.4%
Supranational 9.6%
Repurchase Agreement 1.4%
Other Bonds 24.5%
United States 13.3%
Greece 11.6%
France 4.7%
United Kingdom 13.6%
New Zealand 4.1%
Netherlands 5.8%
See Notes to Financial Statements.
135
<PAGE>
Schedules of Investments (continued) August 31, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
STOCK -- 98.9%
- -------------------------------------------------------------------------------
Argentina -- 1.6%
71,790 Astra Cia Argentina de Petroleo S.A. .............. $ 148,620
23,527 Banco de Galicia y Buenos Aires S.A. de C.V. Series
B Shares.......................................... 113,882
6,086 Banco Frances S.A. ................................ 35,789
22,934 Central Puerto S.A. Class B Shares................. 43,349
10,677 Cresud S.A.C.I.F.y.A. ............................. 11,211
8,903 IRSA Inversiones y Representacions S.A. ........... 25,821
7,530 Juan Minetti S.A.* ................................ 20,333
11,700 Molinos Rio de la Plata S.A. ...................... 20,009
5,020 Nobeleza Piccardo S.A.I.C.y.F. .................... 13,806
395,364 Perez Companc S.A. Class B Shares.................. 2,301,248
10,173 Renault Argentina S.A. ............................ 11,903
3,355 Siderca S.A.I.C. Class A Shares.................... 11,039
83,879 Siderca S.A.I.C. .................................. 132,542
48,920 Sociedad Commercial del Plata S.A.* ............... 14,432
3,486 Telecom Argentina Stet - France Telecom S.A. Class
B Shares.......................................... 19,732
53,600 Telefonica de Argentina S.A. ADR................... 1,594,600
22,500 Telefonica de Argentina S.A. Class B Shares........ 67,056
10,332 YPF Sociedad Anonima Class D Shares................ 405,571
- -------------------------------------------------------------------------------
4,990,943
- -------------------------------------------------------------------------------
Brazil -- 9.7%
9,900 Aracruz Celulose S.A. ADR.......................... 196,144
107,000 Aracruz Celulose S.A. Preferred Class B Shares..... 215,447
90,949,800 Banco Bradesco S.A. Preferred...................... 359,635
3,420,000 Banco do Estado de Sao Paulo S.A. Preferred........ 104,984
31,973,000 Banco Itau S.A. Preferred.......................... 1,480,539
5,300 Banco Santiago ADR................................. 111,300
1,210,000 Caemi Mineracao e Metalurgica S.A. ................ 38,402
68,975,000 Centrais Electricas Brasileiras S.A. .............. 1,069,435
2,864,000 Centrais Electricas Brasileiras S.A. - Electrobras
Preferred Class B Shares.......................... 44,852
8,500 Companhia Brasileira de Distribuicao Grupo Pao de
Acucar ADR........................................ 175,312
14,600,000 Companhia Brasileira de Petroleo Ipiranga
Preferred......................................... 79,760
636,800 Companhia Cervejaria Brahma Preferred.............. 336,954
82,999 Companhia Energetica de Minas Gerais ADR........... 1,286,906
12,541,000 Companhia Energetica de Minas Gerais Preferred..... 194,444
84,209,325 Companhia Paranaense de Energia - Copel ADR........ 591,480
25,000 Companhia Paranaense de Energia - Copel Preferred
Class B Shares.................................... 171,875
1,670,000 Companhia Siderurgica Belgo - Mineir Preferred..... 52,046
14,977,452 Companhia Siderurgica de Tubarao Preferred*........ 132,474
8,177,600 Companhia Siderurgica Nacional S.A. ............... 199,972
7,500 Companhia Vale do Rio Doce Preferred ADR*.......... 166,237
1,140,000 Compania de Saneamento Basico do Estado De Sao
Paulo............................................. 75,031
188,400 Compania Vale do Rio Doce Preferred Class A
Shares*........................................... 4,175,775
370,667 Copene Petroquimica do Nordeste S.A. Preferred
Class A Shares.................................... 55,677
15,600 Embratel Participacoes S.A. ADR.................... 166,725
48,377,000 Embratel Participacoes S.A. Preferred.............. 505,919
24,165,800 Gerdau Metalurgica S.A. Preferred.................. 364,624
203,900 Investimentos Itau S.A. Preferred.................. 95,478
26,979,700 Petroleo Brasileiro S.A. Preferred................. 3,607,587
36,500 Souza Cruz S.A. ................................... 204,908
5,199 Tele Centro Oeste Celular Participacoes S.A. ADR... 17,548
16,800,000 Tele Centro Sul Participacoes S.A.* ............... 79,542
5,420 Tele Centro Sul Participacoes S.A. ADR............. 296,406
166,300,300 Tele Centro Sul Participacoes S.A. Preferred....... 1,799,711
159,324,401 Tele Norte Leste Participacoes S.A. Preferred...... 2,436,699
</TABLE>
See Notes to Financial Statements.
136
<PAGE>
Schedules of Investments (continued) August 31, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Brazil -- 9.7% (continued)
28,600 Tele Norte Leste Participacoes S.A. Preferred ADR.. $ 457,600
3,120 Tele Sudeste Cellular Participacoes S.A. ADR(a).... 73,125
199,220,500 Tele Sudeste Cellular Participacoes S.A.
Preferred......................................... 943,239
27,940 Telecomunicacoes Brasileiras S.A. Preferred ADR.... 2,072,798
28,900 Telecomunicacoes Brasileiras S.A. ADR*............. 1,354
8,041,173 Telecomunicacoes de Sao Paulo S.A. Preferred....... 711,237
316,400 Telecomunicacoes do Parana S.A. Preferred.......... 49,386
10,472,300 Telemig Cellular S.A. Preferred Class C Shares*.... 84,998
1,088,000 Telepar Cellular S.A. Preferred Class B Shares..... 39,059
5,240 Telesp Cellular Participacoes S.A. ADR............. 121,175
15,851,000 Telesp Cellular S.A. Preferred Class B Shares...... 721,624
74,300 Telesp Participacoes S.A. ADR(a)................... 1,212,018
24,781,900 Telesp Participacoes S.A. Preferred*............... 408,733
117,400 Uniao de Bancos Brasileiros S.A. GDR............... 2,054,500
5,100,000 Uniao de Bancos Brasileiros S.A. Preferred......... 68,194
25,000 Usinas Siderurigicas de Minas Gerais S.A. ......... 72,320
- -------------------------------------------------------------------------------
29,981,188
- -------------------------------------------------------------------------------
Chile -- 1.5%
25,400 Banca Santander Chile ADR.......................... 425,450
2,300 Banco de A. Edwards ADR............................ 34,787
63,650 Cia. de Telecomunicaciones de Chile S.A. ADR....... 1,432,125
1,900 Cristalerias de Chile ADR.......................... 26,006
25,600 Distribcion y Servicio D&S S.A. ADR(a)............. 422,400
27,500 Embotelladora Andina S.A. ADR...................... 464,062
34,868 Empresa Nacional de Electricidad S.A. ADR.......... 431,491
46,524 Enersis S.A. ADR................................... 1,043,882
7,100 Gener S.A. ADR(a).................................. 130,018
1,400 Laboratorio Chile S.A. ADR......................... 25,900
2,500 Madeco S.A. ADR.................................... 26,562
2,400 Maderas y Sinteticos S.A. ADR...................... 23,550
1,500 Santa Isabel S.A. ADR*............................. 13,125
1,400 Sociedad Quimica & Minera de Chile S.A. ADR........ 42,087
4,895 Vina Concha y Toro ADR............................. 190,293
- -------------------------------------------------------------------------------
4,731,738
- -------------------------------------------------------------------------------
China -- 0.3%
86,250 Huaneng Power International ADR.................... 1,078,125
- -------------------------------------------------------------------------------
Colombia -- 0.3%
28,900 Banco Gandero S.A. ADR(a).......................... 507,556
85,100 Bancolumbia ADR.................................... 430,819
6,000 Cementos Diamante S.A. GDR......................... 8,250
- -------------------------------------------------------------------------------
946,625
- -------------------------------------------------------------------------------
Czech Republic -- 0.9%
136,100 Ceska Sporitelna A.S. ............................. 671,589
108,336 SPT Telecom A.S. .................................. 1,840,281
12,325 SPT Telecom A.S. GDR*.............................. 209,216
- -------------------------------------------------------------------------------
2,721,086
- -------------------------------------------------------------------------------
Egypt -- 0.4%
3,400 Al Ahram Beverages Co. S.A.E. ADR*................. 102,000
6,310 Al Ezz Steel Rebars GDR*........................... 67,201
14,200 Commercial International Bank...................... 124,002
5,500 Eastern Co. for Tobacco & Cigarettes............... 126,289
13,000 Egyptian Co. for Mobile Services................... 271,207
6,700 Helwan For Cement.................................. 75,833
</TABLE>
See Notes to Financial Statements.
137
<PAGE>
Schedules of Investments (continued) August 31, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Egypt -- 0.4% (continued)
2,380 Madinet NSAR......................................... $ 24,707
5,000 Misr International Bank.............................. 86,666
10,000 Orascom Construction Industries*..................... 127,972
10,300 Suez Cement Co. ..................................... 146,742
- --------------------------------------------------------------------------------
1,152,619
- --------------------------------------------------------------------------------
Greece -- 5.4%
16,800 Aegek S.A. .......................................... 286,525
52,435 Alpha Credit Bank S.A. .............................. 3,936,868
3,600 Aluminum of Greece S.A. ............................. 210,688
14,625 Commercial Bank of Greece S.A. ...................... 1,417,536
7,861 Commercial Bank of Greece S.A. Rights................ 599,115
2,020 Delta Dairy S.A. .................................... 65,699
2,840 Elais S.A. .......................................... 151,558
2,820 Hellas Can Packaging S.A. ........................... 161,533
6,240 Hellenic Bottling Co. S.A. .......................... 153,071
4,680 Hellenic Technodomiki S.A. .......................... 193,864
90,060 Hellenic Telecommunication Organization S.A. ........ 1,865,320
2,540 Heracles General Cement S.A. ........................ 79,652
4,296 Intracom S.A. ....................................... 372,459
23,188 Lavipharm S.A. ...................................... 457,756
23,160 Michaniki S.A. ...................................... 604,183
33,560 National Bank of Greece S.A. ........................ 2,476,271
13,080 Nikas S.A. .......................................... 325,941
31,818 Panafon Hellenic Telecom S.A.*....................... 926,737
4,904 Papastratos Cigarettes S.A. ......................... 225,282
31,100 Selected Textile Ind. Assoc. S.A. ................... 380,446
16,237 Titan Cement Co. S.A. ............................... 1,773,721
- --------------------------------------------------------------------------------
16,664,225
- --------------------------------------------------------------------------------
Hong Kong -- 3.1%
906,000 China Telecom Ltd.*(a)............................... 2,817,686
198,000 Cosco Pacific Ltd. .................................. 173,388
119,250 HSBC Holdings PLC.................................... 1,478,109
162,500 Hutchison Whampoa Ltd. .............................. 1,585,197
560,000 New World Development Company Ltd.(a)................ 1,348,580
286,000 Swire Pacific Ltd., Class A Shares................... 1,476,922
478,000 Tsingtao Brewery Co., Ltd.*.......................... 156,969
656,000 Yanzhou Coal Mining Co. Ltd. ........................ 289,342
754,000 Zhehuang Expressway Co. Ltd. ........................ 133,997
- --------------------------------------------------------------------------------
9,460,190
- --------------------------------------------------------------------------------
Hungary -- 2.3%
1,420 Gedeon Richter RT. .................................. 71,242
14,596 Gedeon Richter RT. GDR+.............................. 729,800
52,360 Magyar Tavkozlesi RT. ............................... 319,677
125,968 Magyar Tavkozlesi RT. ADR............................ 3,826,278
9,430 MOL Magyar Olaj-es Gazipari RT. ..................... 242,932
53,250 MOL Magyar Olaj-es Gazipari RT. GDR.................. 1,349,887
22,568 OTP Bank RT. GDR .................................... 1,026,844
- --------------------------------------------------------------------------------
7,566,660
- --------------------------------------------------------------------------------
India -- 6.3%
12,000 Bajaj Auto Ltd. GDR+................................. 153,000
31,775 BSES Ltd. GDR*....................................... 492,060
13,700 Dr. Reddy Laboratories Ltd. GDR*..................... 366,475
106,780 Hindalco Industries Ltd. GDR......................... 2,963,144
</TABLE>
See Notes to Financial Statements.
138
<PAGE>
Schedules of Investments (continued) August 31, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
India -- 6.3% (continued)
89,300 ITC Ltd. GDR+...................................... $ 2,745,975
34,500 Larsen & Toubro Ltd. GDR+.......................... 793,500
320,785 Mahanagar Telephone Nigam Ltd. GDR+................ 3,448,438
174,600 Morgan Stanley India fund.......................... 2,171,587
10,500 Pentafour Software & Exports Ltd. GDR.............. 283,450
19,800 Reliance Industries Ltd. GDR+...................... 219,780
189,068 Reliance Industries Ltd. GDR....................... 2,112,834
151,400 State Bank of India GDR............................ 2,100,674
121,330 Videsh Sanchar Nigam Ltd. ......................... 1,713,786
7,900 Videsh Sanchar Nigam Ltd. GRD...................... 111,587
- ------------------------------------------------------------------------------
19,676,290
- ------------------------------------------------------------------------------
Indonesia -- 0.9%
673,500 PT Astra International Tbk*........................ 236,931
722,000 PT Bank Pan Indonesia Tbk.......................... 131,700
160,500 PT Daya Guna Samudera Tbk.......................... 64,827
175,500 PT Gudang Garam Tbk................................ 423,029
30,000 PT Hanjaya Mandala Sampoerna Tbk*.................. 62,345
1,205,500 PT Indah Kiat Pulp & Paper Corp. Tbk*.............. 439,791
55,500 PT Indosat Tbk..................................... 86,232
240,875 PT Indofood Sukses Makmur Tbk*..................... 257,351
248,500 PT Lippo Bank Tbk.................................. 4,856
93,000 PT Semen Gresik Tbk................................ 181,758
275,500 PT Tambang Timah Tbk............................... 181,273
1,691,520 PT Telekomunikasi Indonesia........................ 650,160
- ------------------------------------------------------------------------------
2,720,253
- ------------------------------------------------------------------------------
Israel -- 2.1%
8,358 Azorim Investment Development & Construction Co.
Ltd. ............................................. 81,178
417,035 Bank Hapoalim Ltd. ................................ 961,503
336,020 Bank Leumi Le...................................... 580,643
176,292 Bezeq Israeli Telecommunication Corp. Ltd.* ....... 637,941
6,690 Blue Square Chain Investments and Properties
Ltd. ............................................. 85,164
7,230 Discount Investment Corp. ......................... 243,562
20,948 ECI Telecom Ltd.*(a) .............................. 594,399
11,819 Elbit System Ltd. ................................. 164,388
19,650 Elco Holdings Ltd.* ............................... 158,889
2,906 Elite Industries Ltd. ............................. 130,231
13,730 IDB Holding Corp. Ltd. ............................ 370,932
131,338 Israel Chemicals Ltd. ............................. 128,802
11,793 Koor Industries Ltd. .............................. 1,034,205
3,400 Orbotech, Ltd.* ................................... 181,687
23,155 Supersol Ltd. ..................................... 60,754
20,600 Teva Pharmaceutical Industries Ltd. ADR............ 969,487
- ------------------------------------------------------------------------------
6,383,765
- ------------------------------------------------------------------------------
Malaysia -- 1.9%
833,000 Commerce Asset Holding Berhad...................... 1,917,890
320,000 Perusahaan Otomobil Nasional Berhad................ 635,722
845,000 Resorts World Berhad............................... 2,145,629
550,000 Tenaga Nasional Berhad............................. 1,259,077
- ------------------------------------------------------------------------------
5,958,318
- ------------------------------------------------------------------------------
Mexico -- 13.0%
195,500 Alfa, S.A. de C.V. Class A Shares.................. 739,977
35,000 Carso Global Telecom*.............................. 195,170
155,762 Cemex S.A. ........................................ 691,703
</TABLE>
See Notes to Financial Statements.
139
<PAGE>
Schedules of Investments (continued) August 31, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Mexico -- 13.0% (continued)
102,000 Cemex S.A. de C.V., Class B Shares(a).............. $ 452,414
345,916 Cemex S.A. de C.V., Class B Shares ADR............. 3,072,354
1,604,490 Cifra S.A. de C.V. Series C Shares*................ 2,449,759
618,000 Cifra S.A. de C.V. Series V Shares*................ 1,030,549
22,300 Coca Cola Femsa S.A. ADR........................... 338,681
245,000 Controladora Comercial Mexicana S.A. de C.V. ...... 230,397
40,000 Corporacion GEO, S.A. de C.V.* .................... 133,702
113,000 Cydsa S.A. ........................................ 161,445
23,400 Desc S.A. de C.V. ADR.............................. 457,762
248,000 Desc S.A. de C.V. Series B Shares.................. 227,930
72,000 Embotelladoras Argos S.A.(a) ...................... 74,464
50,000 Empresas ICA Sociedad Controladora S.A. de C.V. ... 31,133
1,035,284 Fomento Economico Mexicano, S.A. de C.V. .......... 3,388,764
4,200 Fomento Economico Mexicano, S.A. de C.V. ADR....... 138,862
636,187 Grupo Carso S.A. de C.V. Series A1 Shares*......... 2,455,482
100,000 Grupo Casa Autrey S.A. de C.V.* ................... 35,184
72,000 Grupo Contintetal.................................. 99,029
1 Grupo Financiero Ban-l............................. 0
186,600 Grupo Financiero Banamex Accival, S.A. de C.V.
Series O Shares*.................................. 370,056
159,300 Grupo Financiero Banamex, S.A. de C.V. Series L
Shares............................................ 305,725
230,000 Grupo Giganta S.A. de C.V. Series B Shares......... 82,396
590,000 Grupo Herdez S.A. de C.V. Series B Shares.......... 178,654
101,000 Grupo Industrial Bimbo S.A. de C.V. Series A
Shares............................................ 213,005
96,000 Grupo Mexico S.A. Series B Shares.................. 416,078
1,322,700 Grupo Modelo S.A. de C.V. Series C Shares.......... 3,539,798
121,200 Grupo Televisa S.A.* .............................. 4,408,650
24,000 Grupo Televisa S.A. GDR*........................... 438,852
103,400 Hylsamex S.A.* .................................... 319,714
18,000 Industrias Penoles S.A.* .......................... 47,979
292,000 Kimberly-Clark de Mexico, S.A. de C.V., Class A
Shares............................................ 924,661
411,860 Organizacion Sorina S.A. de C.V., Class B Shares... 1,624,780
56,000 Savia Sa de C.V., Class A Shares*.................. 315,854
2,535,250 Telefonos de Mexico S.A. Series L Shares........... 9,474,412
16,700 Telefonos de Mexico S.A. Series L Shares ADR....... 1,242,062
3,000 Tubos de Acero de Mexico S.A. ADR.................. 35,250
77,700 TV Azteca S.A. de C.V. ............................ 23,942
- ------------------------------------------------------------------------------
40,366,629
- ------------------------------------------------------------------------------
Peru -- 0.1%
14,800 Credicorp. Ltd. ................................... 152,625
16,700 Telefonica del Peru S.A. ADR....................... 228,581
- ------------------------------------------------------------------------------
381,206
- ------------------------------------------------------------------------------
Philippines -- 1.6%
446,800 Ayala Land, Inc. .................................. 111,489
1,650,000 C & P Homes Inc.* ................................. 32,022
545,800 Filinvest Land Inc.* .............................. 43,333
339,100 Manila Electric Co., Class B Shares................ 1,008,539
132,350 Metropolitan Bank & Trust Co. ..................... 1,092,492
1,499,600 Petron Corp. ...................................... 134,179
53,900 Philippine Long Distance Telephone Co. ............ 1,277,025
33,000 Philippine National Bank........................... 108,960
615,285 San Miguel Corp., Class B Shares................... 1,000,274
1,256,800 SM Prime Holdings.................................. 231,244
- ------------------------------------------------------------------------------
5,039,557
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
140
<PAGE>
Schedules of Investments (continued) August 31, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Poland -- 2.0%
1,430 Agora S.A.* ......................................... $ 15,730
9,440 Agros Holding S.A. Class C Shares*................... 54,762
5,855 Bank Handlowy w Warszawie............................ 84,547
13,100 Bank Handlowy w Warszawie GDR........................ 192,570
2,020 Bank Slaski S.A. w Katowicach........................ 133,416
52,158 BRE Bank S.A. ....................................... 1,702,797
82,152 Elektrim Spolka Akcyjna S.A. ........................ 1,031,541
12,840 Kghm Polska Miedz S.A. .............................. 82,869
11,600 KGHM Polska Miedz S.A. GDR........................... 158,340
27,775 Mostostal-Export S.A.* .............................. 32,783
13,000 Powszechny Bank Kredy GDR............................ 276,250
350,327 Telekomunikacja Polska S.A. GDR...................... 2,373,465
2,900 Zaklady Metali Lekkich Kety*......................... 32,189
- --------------------------------------------------------------------------------
6,171,259
- --------------------------------------------------------------------------------
Russia -- 0.5%
19,800 Lukoil Holding ADR................................... 594,000
21,200 Mosenergo ADR........................................ 63,600
21,300 RAO Unified Energy Systems*.......................... 149,100
79,300 Surgutneftegaz ADR................................... 626,470
- --------------------------------------------------------------------------------
1,433,170
- --------------------------------------------------------------------------------
South Africa -- 7.7%
208,300 ABSA Group Ltd. ..................................... 1,071,982
96,900 AECI Ltd. ........................................... 259,695
51,400 Anglo American Platinum Corp. Ltd. .................. 1,169,641
43,584 Anglo American PLC*.................................. 2,399,198
19,650 AngloGold Ltd. ...................................... 985,408
160,452 Anglovaal Industries Ltd. ........................... 108,163
31,400 Anglovaal Mining Ltd. ............................... 242,134
160,452 Aveng Ltd.* ......................................... 168,840
145,800 Avgold Ltd.* ........................................ 76,711
22,500 Barlow Ltd. ......................................... 114,682
25,600 Bidvest Group Ltd. .................................. 183,518
707,700 BOE Ltd. ............................................ 523,619
8,200 Coronation Holdings Ltd. ............................ 138,059
77,300 De Beers(a).......................................... 2,109,799
183,400 Del Monte Royal Foods Ltd.* ......................... 140,218
72,965 Dimension Data Holdings Ltd. ........................ 302,921
8,139 Edgars Consolidated Stores Ltd. ..................... 67,978
1,041,700 FirstRand Ltd. ...................................... 1,056,772
108,700 Foschini Ltd. ....................................... 268,086
21,665 Gold Fields Ltd. .................................... 74,805
53,600 Gold Fields of South Africa Ltd. .................... 103,992
19,600 Impala Platinum Holdings Ltd.(a) .................... 628,411
16,734 Imperial Holdings Ltd. .............................. 153,527
13,800 Investec Group Ltd. ................................. 481,025
935,700 Iron & Steel Industries Corp. ....................... 341,541
24,000 JD Group Ltd. ....................................... 128,247
1 Liberty International PLC............................ 6
87,521 Liberty Life Association of Africa Ltd. ............. 1,026,018
105,100 Metropolitan Life Ltd. .............................. 135,133
74,100 Nampak Ltd. ......................................... 177,878
27,287 Nedcor Investment Bank............................... 19,516
121,687 Nedcor Ltd.(a) ...................................... 2,420,935
74,200 Nedcor Ltd. -- Rights................................ 122
95,000 Old Mutual PLC*...................................... 200,715
</TABLE>
See Notes to Financial Statements.
141
<PAGE>
Schedules of Investments (continued) August 31, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
South Africa -- 7.7% (continued)
103,100 Primedia Ltd. Class N Shares....................... $ 126,289
226,400 Profurn Ltd. ...................................... 169,744
43,900 Randfontein Estates Gold Mining Co., Witwaterdtrand
Ltd. ............................................. 65,323
302,100 Rembrandt Group Ltd. .............................. 2,265,004
59,500 Reunert Ltd. ...................................... 75,817
114,800 Safmarine & Rennies Holdings Ltd. ................. 72,103
479,200 Sanlam Ltd.*....................................... 571,226
101,300 Sappi Ltd. ........................................ 934,385
110,200 Sasol Ltd.(a)...................................... 800,861
119,220 South African Breweries Ltd.(a).................... 980,105
21,200 Standard Bank Investment Corp. Ltd.*............... 66,228
515,900 Sun International Ltd. ............................ 114,512
24,500 The Tongaat-Hulett Group Ltd. ..................... 120,042
13,700 Tiger Oats Ltd. ................................... 117,132
24,600 Western Area Gold Mining Co. Ltd.*................. 70,378
- -------------------------------------------------------------------------------
23,828,444
- -------------------------------------------------------------------------------
South Korea -- 19.0%
3,760 Cheil Jedang Corp. ................................ 297,806
28,200 Daewoo Corp. ...................................... 44,193
10,200 Daewoo Electronics Co. ............................ 18,749
22,080 Daewoo Heavy Industries............................ 34,976
3,316 Daewoo - Rights.................................... 16,853
13,490 Daewoo Securities Co. ............................. 247,973
5,970 Daishin Securities Co. ............................ 85,466
6,320 Dongwon Securities Co. ............................ 154,185
19,300 Hana Bank.......................................... 171,664
26,340 Hanjin Heavy Industries............................ 247,669
9,464 Hansol Paper Co. .................................. 128,271
37,400 Hanvit Bank GDR*................................... 304,810
3,505 Hite Brewery Co. Ltd. ............................. 109,559
147,000 Housing & Commercial Bank, Korea................... 3,436,848
31,370 Hyundai Engineering & Construction Co. ............ 279,021
4,230 Hyundai Heavy Industries*.......................... 237,209
21,390 Hyundai Merchant Marine............................ 329,773
58,205 Hyundai Motor Co. Ltd. ............................ 1,804,576
47,020 Kookmin Bank....................................... 657,204
1,600 Korea Chemical Co. Ltd. ........................... 125,777
139,221 Korea Electric Power Corp. ........................ 5,189,092
95,779 Korea Telecom Corp. ADR*........................... 3,112,817
12,280 Korean Air......................................... 244,455
201,649 L.G. Chemical Ltd. ................................ 6,439,785
21,200 L.G. Electronics................................... 897,924
5,717 L.G. Securities.................................... 99,278
5,330 Namhae Chemical Co. ............................... 188,728
1,700 Nong Shim Co.*..................................... 105,412
70,140 Pohang Iron & Steel Co. Ltd. ...................... 9,481,525
16,698 Pohang Iron & Steel Co. Ltd. ADR................... 613,651
1,394 S1 Corp. .......................................... 240,823
72,300 Samsung Corp. ..................................... 1,273,900
7,400 Samsung Display Devices Co. ....................... 428,140
7,213 Samsung Electro-Mechanics Co. ..................... 378,827
90,861 Samsung Electronics................................ 17,240,884
3,180 Samsung Electronics GDR+........................... 242,622
13,280 Samsung Fire & Marine Insurance.................... 674,968
27,590 Samsung Heavy Industries........................... 254,748
14,340 Samsung Securities Co. Ltd. ....................... 562,424
</TABLE>
See Notes to Financial Statements.
142
<PAGE>
Schedules of Investments (continued) August 31, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
South Korea -- 19.0% (continued)
10,110 Shin Young Securities................................ $ 184,986
13,840 Shinhan Bank......................................... 148,892
5,600 Shinsegae Department Store Co. ...................... 440,694
3,060 Sindo Ricoh Co. ..................................... 119,237
9,040 SK Corp. ............................................ 218,246
3,540 SK Telecom Co. Ltd. ................................. 354,150
27,450 SK Telecom Co. Ltd. ADR.............................. 310,528
12,600 Ssangyong Oil Refining Co. Ltd. ..................... 312,731
100 Tae Kwang Industry Co. .............................. 41,761
14,050 Taehan Electric Wire Co. ............................ 193,997
- --------------------------------------------------------------------------------
58,727,807
- --------------------------------------------------------------------------------
Sri Lanka -- 0.1%
63,000 Development Finance Co. of Ceylon.................... 106,061
57,166 Hayleys Ltd. ........................................ 84,483
78,960 John Keells Holdings Ltd. ........................... 190,450
- --------------------------------------------------------------------------------
380,994
- --------------------------------------------------------------------------------
Taiwan -- 9.5%
109,250 Acer Inc. ........................................... 233,304
39,852 Advanced Semiconductor Engineering Inc. ............. 119,521
184,800 Asia Cement Corp. ................................... 148,571
418,398 Asustek Computer Inc. ............................... 4,493,747
200,000 Cathay Construction Corp. ........................... 95,469
207,000 Cathay Life Insurance Corp. ......................... 620,821
68,000 Chang Hwa Commercial Bank............................ 84,566
180,700 China Development Industrial Bank.................... 314,951
49,350 China Motor Co. Ltd. ................................ 63,542
4,505,250 China Steel Corp. ................................... 3,508,838
234,320 Chinatrust Commercial Bank........................... 234,007
291,540 Chung Hsing Bills Finance Corp. ..................... 131,384
86,000 Compal Electronics Inc. ............................. 287,634
180,495 CTCI Corp. .......................................... 166,083
25,200 Delta Electronics, Inc. ............................. 102,485
1,304,963 Evergreen Marine Corp. .............................. 1,348,301
185,760 Far Eastern Department Stores Ltd. .................. 94,506
140,170 Far Eastern Textile Ltd. ............................ 202,931
108,000 First Commercial Bank................................ 169,245
172,640 Formosa Chemicals & Fibre Corp. ..................... 173,493
395,030 Formosa Plastics Corp. .............................. 756,750
220,480 Formosa Taffeta Co. ................................. 137,096
108,000 Fubon Insurance Co. ................................. 103,446
300,860 Hon Hai Precision Industry Co., Ltd. ................ 1,955,814
104,000 Hua Nan Commercial Bank.............................. 171,468
106,000 International Bank of Taipei......................... 125,498
173,800 International Commercial Bank of China............... 200,312
45,000 Inventec Co., Ltd. .................................. 115,176
336,330 Nan Ya Plastic Corp. ................................ 554,520
92,340 Nien Hsing Textile Co., Ltd. ........................ 184,143
134,000 Pacific Electrical Wire & Cable Co., Ltd. ........... 69,014
510,468 President Chain Store Corp. ......................... 1,490,885
243,000 Taichung Commercial Bank............................. 86,996
90,000 Taiwan Cement Corp. ................................. 58,506
89,000 Taiwan Glass Industrial Corp. ....................... 67,639
837,270 Taiwan Semiconductor Manufacturing Co. .............. 3,549,704
150,000 Tatung Co., Ltd. .................................... 181,361
1,120,375 United Microelectronics Corp. Ltd. .................. 2,849,976
</TABLE>
See Notes to Financial Statements.
143
<PAGE>
Schedules of Investments (continued) August 31, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Taiwan -- 9.5% (continued)
2,944,160 United World Chinese Commercial Bank................ $ 3,948,045
33,000 Walsin Lihwa Corp.* ................................ 16,063
74,000 Yulon Motor Co., Ltd. .............................. 70,182
84,000 Yungtay Engineering Co., Ltd. ...................... 62,520
- -------------------------------------------------------------------------------
29,348,513
- -------------------------------------------------------------------------------
Thailand -- 3.4%
275,700 Advanced Info Service Public Co. Ltd................ 3,749,784
417,600 Bangkok Bank Public Co. Ltd.*....................... 1,057,555
1,853,450 Bangkok Expressway Public Co. Ltd.*................. 1,024,119
61,600 BEC World Public Co. Ltd............................ 366,179
15,100 Electricity Generating Public Co.................... 23,621
2,076,720 Krung Thai Bank Public Co. Ltd.(a).................. 812,170
289,300 PTT Exploration and Production Public Co. Ltd....... 2,277,893
512,000 Thai Farmers Bank Public Co. Ltd.................... 734,193
512,000 Thai Farmers Bank Public Co. Ltd. - Rights.......... 467,214
- -------------------------------------------------------------------------------
10,512,728
- -------------------------------------------------------------------------------
Turkey -- 2.8%
38,945,478 Akbank T.A.S. ...................................... 515,661
6,736,000 Akcansa Cimento A.S. ............................... 92,211
367,000 Aktas Elektrik Ticaret A.S. ........................ 70,830
4,656,122 Arcelik A.S. ....................................... 107,103
952,500 Aselan Elektronik Sanayi Ve Ticaret A.S. ........... 24,583
1,306,000 Aska Akrilik Kimya Sanayii A.S. .................... 28,137
598,000 Aygaz A.S. ......................................... 46,299
2,672,714 Beko Elektronik A.S. ............................... 19,494
4,484,480 Bolu Cimento Sanayii A.S. .......................... 30,192
19,566,000 Dogan Sirketler Grubu Holding A.S. ................. 232,719
156,000 Ege Biracilik Ve Malt Sanayii A.S. ................. 11,728
1,344,000 Eregli Demir Ve Celik Fabrikalari T.A.S. ........... 23,526
756,000 Ford Otomobiv Sanayi A.S. .......................... 8,822
69,331,000 Haci Omer Sabanci Holding A.S. ..................... 1,509,225
2,313,480 Mardin Cimento Sanayii ve Ticaret................... 26,997
3,260,400 Migros Turk T.A.S. ................................. 1,298,745
16,773,750 Net Holding A.S. ................................... 28,232
3,813,000 Sabah Yayincilik A.S. .............................. 7,016
2,952,000 Tat Konerve Sanayii A.S. ........................... 23,849
1,222,568 Tat Konserve Samayii................................ 7,133
1,680,668 Tofas Turk Otomobil Fabrikasi A.S. ................. 5,468
1,091,492 Turk Sise ve Cam Fabrikalari A.S. .................. 10,655
75,431,168 Turkiye Garanti Bankasi A.S. ....................... 507,840
50,912,224 Turkiye Is Bankasi.................................. 776,936
128,000 Vestel Elektronik Sanayi ve Ticaret A.S. ........... 13,644
254,588,309 Yapi ve Kredi Bankasi A.S. ......................... 3,317,729
- -------------------------------------------------------------------------------
8,744,774
- -------------------------------------------------------------------------------
United States -- 2.0%
30,000 Chile Fund.......................................... 328,125
3,960 Comverse Technology, Inc. .......................... 308,880
460,400 The India Fund...................................... 5,438,475
- -------------------------------------------------------------------------------
6,075,480
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
144
<PAGE>
Schedules of Investments (continued) August 31, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Venezuela -- 0.5%
20,400 C.A. La Electricidad de Caracas ADR............... $ 290,700
54,700 Compania Anonima Nacional Telefonos de Venezuela
ADR.............................................. 1,090,581
14,100 F.V.I. Fondo de Valores Inmobiliarios S.A.C.A.
ADR.............................................. 34,968
25,000 Mavesa S.A. ADR................................... 70,312
- -------------------------------------------------------------------------------
1,486,561
- -------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $252,221,279)................ 306,529,147
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
FOREIGN BOND -- 0.0%
- -------------------------------------------------------------------------------
South Africa -- 0.0%
12,380++ Anglovaal, 5.000% due 12/29/49 (Cost -- $2,052)... 72
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.1%
$3,500,000 CIBC Wood Gundy Securities Inc., 5.300% due
9/1/99; Proceeds at maturity -- $3,500,515;
(Fully collateralized by U.S. Treasury Notes,
5.375% due 7/31/00; Market value -- $3,570,638)
(Cost -- $3,500,000).............................. 3,500,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$255,723,331**)................................. $310,029,219
- -------------------------------------------------------------------------------
</TABLE>
* Non-income producing security.
(a) All or a portion of this security is on loan (See Note 12).
+ Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
++Represents local currency.
** Aggregate cost for Federal income tax purposes is substantially the same.
[CHART]
Classification of Investments
Greece 5.4%
Mexico 13.0%
Hong Kong 3.1%
South Africa 7.7%
Turkey 2.8%
India 6.3%
South Korea 19.0%
Taiwan 9.5%
Thailand 3.4%
Repurchase Agreement 1.1%
Other Stocks and Bonds 19.0%
Brazil 9.7%
See Notes to Financial Statements.
145
<PAGE>
Bond Ratings (unaudited)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor's Ratings Service ("Standard & Poor's") -- Ratings from "AA" to
"CCC" 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 debt in this category than in higher
rated categories.
BB,
B,
CCC,
CC
and
C -- Bonds rated BB, B, CCC, CC and C are regarded, on balance, as
predominantly speculative with respect to the issuer's capacity to pay
interest and repay principal in accordance with the terms of the
obligation. BB indicates the lowest degree of speculation and C the
highest degree of speculation. While such bonds will likely have some
quality and protective characteristics, these are outweighted by large
uncertainties or major risk exposures to adverse conditions.
Moody's Investors Service, Inc. ("Moody's") -- Numerical modifiers 1, 2, and 3
may be applied to each generic rating from "Aa" to "B," where 1 is the highest
and 3 the lowest rating within its generic category.
Aaa -- Bonds rated "Aaa" are judged to be of the best quality. They carry the
smallest degree of investment risk and are generally referred to as "gilt
edge." Interest payments are protected by a large or by an exceptionally
stable margin and principal is secure. While the various protective
elements are likely to change, such changes as can be visualized are most
unlikely to impair the fundamentally strong position of such issues.
Aa -- Bonds rated "Aa" are judged to be of high quality by all standards.
Together with the "Aaa" group they comprise what are generally known as
high grade bonds. They are rated lower than the best bonds because
margins of protection may not be as large as in "Aaa" securities or
fluctuation of protective elements may be of greater amplitude or there
may be other elements present which make the long-term risks appear
somewhat larger than in "Aaa" securities.
A -- Bonds rated "A" possess many favorable investment attributes and are to
be considered as upper medium grade obligations. Factors giving security
to principal and interest are considered adequate but elements may be
present which suggest a susceptibility to impairment some time in the
future.
Baa -- Bonds rated "Baa" are considered to be medium grade obligations, i.e.,
they are neither highly protected nor poorly secured. Interest payments
and principal security appear adequate for the present but certain
protective elements may be lacking or may be characteristically
unreliable over any great length of time. Such bonds lack outstanding
investment characteristics and in fact have speculative characteristics
as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements; their future
cannot be considered as well assured. Often the protection of interest
and principal payments may be very moderate, and thereby not well
safeguarded during both good and bad times over the future. Uncertainty
of position characterizes bonds in this class.
B -- Bonds rated "B" generally lack characteristics of desirable investments.
Assurance of interest and principal payments or of maintenance of other
terms of the contract over any long period of time may be small.
NR -- Indicates that the bond is not rated by Standard & Poor's or Moody's.
Short-Term Security Ratings (unaudited)
VMIG 1 -- Moody's highest rating for issues having demand feature -- variable-
rate demand obligation (VRDO).
P-1 -- Moody's highest rating for commercial paper and for VRDO prior to the
advent of the VMIG 1 rating.
A-1 -- Standard & Poor's highest commercial paper and VRDO rating indicating
that the degree of safety regarding timely payment is either
overwhelming or very strong; those issues determined to possess
overwhelming safety characteristics are denoted with a plus (+) sign.
Security Descriptions (unaudited)
AMBAC -- AMBAC Indemnity Corporation MBIA -- Municipal Bond Investors
FGIC -- Financial Guaranty Insurance Company Assurance Corporation
GO -- General Obligation PCR -- Pollution Control Revenue
ISD -- Independent School District PSFG -- Permanent School Fund
Guaranty
VRDN -- Variable Rate Demand Note
146
<PAGE>
[This page intentionally left blank]
147
<PAGE>
Statements of Assets and Liabilities
<TABLE>
<CAPTION>
Government Intermediate Long-Term Municipal Mortgage
Money High Yield Fixed Income Bond Bond Backed
Investments Investments Investments Investments Investments Investments
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at cost... $302,300,400 $162,182,372 $601,113,693 $119,989,797 $65,443,722 $138,975,623
Foreign currency, at
cost.................. -- -- -- -- -- --
Foreign currency
segregated for futures
contracts, at cost.... -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------
Investments, at value.. $302,300,400 $151,463,589 $587,808,385 $115,999,776 $61,184,225 $135,137,766
Foreign currency, at
value................. -- -- -- -- -- --
Foreign currency
segregated for futures
contracts, at value... -- -- -- -- -- --
Cash................... 48,250 -- 3,591,796 501 48,476 --
Collateral for
securities on loan
(Note 12)............. -- -- -- -- -- --
Receivable for
securities sold....... -- 172,500 23,031,194 -- -- 10,060,000
Receivable for Fund
shares sold........... 1,331,319 533,667 1,126,395 111,558 174,217 162,740
Dividends and interest
receivable............ 784 4,352,117 8,658,612 1,518,040 765,235 896,094
Receivable for open
forward foreign
currency contracts.... -- -- -- -- -- --
Receivable from
manager............... 218,338 -- -- -- 69,588 --
Receivable from
broker --
variation margin...... -- -- 6,672 -- -- --
- -----------------------------------------------------------------------------------------------------------
Total Assets........... 303,899,091 156,521,873 624,223,054 117,629,875 62,241,741 146,256,600
- -----------------------------------------------------------------------------------------------------------
LIABILITIES:
Dividends payable...... 550,793 -- -- -- -- --
Administration fees
payable............... -- 27,128 102,307 20,897 69,718 91,671
Management fees
payable............... 28,720 94,948 212,561 41,794 169,805 228,291
Payable for open
forward foreign
currency contracts.... -- -- -- -- -- --
Payable for Fund shares
purchased............. -- 188,027 4,411,225 2,158,946 225,701 164,188
Payable for securities
on loan (Note 12)..... -- -- -- -- -- --
Payable to broker --
variation margin..... -- -- -- -- -- --
Payable to bank........ -- 10,565 -- -- -- 600,435
Payable for securities
purchased............. -- 1,047,088 24,674,062 -- -- 14,120,306
Accrued expenses....... 159,685 97,538 156,977 53,477 33,175 12,439
- -----------------------------------------------------------------------------------------------------------
Total Liabilities...... 739,198 1,465,294 29,557,132 2,275,114 498,399 15,217,330
- -----------------------------------------------------------------------------------------------------------
Total Net Assets........ $303,159,893 $155,056,579 $594,665,922 $115,354,761 $61,743,342 $131,039,270
- -----------------------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of
beneficial interest... $ 303,129 $ 21,164 $ 75,942 $ 14,975 $ 7,508 $ 16,961
Capital paid in excess
of par value.......... 302,825,382 166,801,304 621,186,961 118,612,940 65,931,746 135,447,463
Undistributed
(overdistributed)
net investment
income................ 55,375 110,603 -- -- -- --
Accumulated net
realized gain (loss)
on security
transactions, futures
contracts and foreign
currencies............ (23,993) (1,151,970) (13,387,329) 716,867 63,585 (587,297)
Net unrealized
appreciation
(depreciation) of
investments, futures
contracts and foreign
currencies............ -- (10,724,522) (13,209,652) (3,990,021) (4,259,497) (3,837,857)
- -----------------------------------------------------------------------------------------------------------
Total Net Assets........ $303,159,893 $155,056,579 $594,665,922 $115,354,761 $61,743,342 $131,039,270
- -----------------------------------------------------------------------------------------------------------
Shares Outstanding...... 303,128,511 21,163,554 75,942,484 14,974,930 7,507,633 16,961,221
- -----------------------------------------------------------------------------------------------------------
Net Asset Value......... $1.00 $7.33 $7.83 $7.70 $8.22 $7.73
- -----------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
148
<PAGE>
August 31, 1999
See Notes to Financial Statements.
<TABLE>
<CAPTION>
Large Large Small Small Emerging
Capitalization Capitalization Capitalization Capitalization International International Markets
Balanced Value Equity Growth Value Equity Growth Equity Fixed Income Equity
Investments Investments Investments Investments Investments Investments Investments Investments
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$79,259,952 $1,640,133,891 $1,161,428,759 $806,934,159 $1,063,704,268 $1,149,501,313 $228,399,111 $ 255,723,331
-- -- -- -- -- 15,210,446 77,229 4,845,913
-- -- -- -- -- 234,700 -- --
- ----------------------------------------------------------------------------------------------------------------------
$82,261,896 $1,959,057,058 $2,348,788,292 $740,030,085 $1,109,684,968 $1,373,839,710 $225,822,780 $ 310,029,219
-- -- -- -- -- 15,558,008 78,235 4,869,994
-- -- -- -- -- 3,689,945 -- --
4,510 230,755 1,357 2,835 1,719 3,331,798 69,981 2,503,109
3,829,858 217,561,625 340,618,939 17,722,030 134,143,097 182,058,557 23,249,979 9,655,002
3,571,978 3,792,217 9,092,377 5,074,796 10,310,682 10,001,097 18,898,541 794,165
20,663 2,516,892 2,774,047 1,203,250 1,446,288 1,561,896 507,563 477,398
330,331 3,630,857 918,464 1,188,803 216,842 2,915,800 5,035,559 1,022,799
-- -- -- -- -- 2,594,993 473,623 --
-- -- -- -- -- -- -- --
-- -- -- 22,500 32,625 -- -- 86,280
- ----------------------------------------------------------------------------------------------------------------------
90,019,236 2,186,789,404 2,702,193,476 765,244,299 1,255,836,221 1,595,551,804 274,136,261 329,437,966
- ----------------------------------------------------------------------------------------------------------------------
-- -- -- -- -- -- -- --
24,301 358,407 417,601 133,952 165,796 257,989 42,338 54,162
73,545 850,963 768,635 405,049 576,704 690,278 103,654 246,737
-- -- -- -- -- 1,832,367 1,829,463 --
33,210 17,010,096 29,125,811 714,140 6,783,962 7,038,983 318,057 313,328
3,829,858 217,561,625 340,618,939 17,722,030 134,143,097 182,058,557 23,249,979 9,655,002
-- 99,200 4,350 -- -- 439,218 -- --
-- -- -- -- -- -- -- --
11,169,525 4,053,945 4,744,644 2,044,515 4,498,175 17,001,864 12,267,062 1,143,222
23,076 575,409 206,755 260,516 292,943 763,414 71,954 400,002
- ----------------------------------------------------------------------------------------------------------------------
15,153,515 240,509,645 375,886,735 21,280,202 146,460,677 210,082,670 37,882,507 11,812,453
- ----------------------------------------------------------------------------------------------------------------------
$74,865,721 $1,946,279,759 $2,326,306,741 $743,964,097 $1,109,375,544 $1,385,469,134 $236,253,754 $ 317,625,513
- ----------------------------------------------------------------------------------------------------------------------
$ 6,563 $ 143,885 $ 95,542 $ 70,483 $ 61,877 $ 111,420 $ 29,160 $ 47,119
62,290,320 1,370,732,467 956,479,377 794,239,225 961,235,814 1,054,230,085 247,754,774 395,349,314
278,373 14,221,800 (26,105) 7,701,051 26,508 (4,732,266) (7,747,186) 620,781
9,288,521 242,546,265 182,499,994 9,023,062 102,156,970 107,364,685 -- (132,690,006)
3,001,944 318,635,342 1,187,257,933 (67,069,724) 45,894,375 228,495,210 (3,782,994) 54,298,305
- ----------------------------------------------------------------------------------------------------------------------
$74,865,721 $1,946,279,759 $2,326,306,741 $743,964,097 $1,109,375,544 $1,385,469,134 $236,253,754 $ 317,625,513
- ----------------------------------------------------------------------------------------------------------------------
6,562,640 143,885,139 95,541,638 70,483,108 61,876,562 111,420,239 29,159,675 47,119,192
- ----------------------------------------------------------------------------------------------------------------------
$11.41 $13.53 $24.35 $10.56 $17.93 $12.43 $8.10 $6.74
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
149
<PAGE>
Statements of Operations
<TABLE>
<CAPTION>
Government Intermediate Long-Term Municipal Mortgage
Money High Yield Fixed Income Bond Bond Backed
Investments Investments Investments Investments Investments Investments
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest............... $16,753,049 $ 15,577,145 $ 38,083,868 $ 9,241,749 $ 3,415,940 $ 9,470,762
Dividends.............. -- 31,289 -- 955 -- --
Less: Foreign
withholding tax....... -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------
Total Investment
Income................ 16,753,049 15,608,434 38,083,868 9,242,704 3,415,940 9,470,762
- -----------------------------------------------------------------------------------------------------------
EXPENSES:
Shareholder and system
servicing fees........ 914,650 260,055 609,000 196,601 35,529 219,000
Administration fees
(Note 2).............. 662,677 263,880 1,224,478 279,947 142,156 293,046
Management fees (Note
2).................... 497,007 923,581 2,448,152 559,894 284,311 732,616
Shareholder
communications........ 166,250 5,600 35,000 6,401 4,001 5,000
Registration fees...... 39,800 63,200 80,000 25,457 33,003 30,000
Audit and legal........ 34,550 28,000 36,000 35,645 37,054 37,000
Custody................ 16,985 7,400 30,000 4,835 5,000 8,000
Trustees' fees......... 8,495 3,350 10,500 4,000 3,000 4,000
Pricing service fees... -- 8,865 10,000 3,000 4,000 --
Amortization of
deferred organization
costs................. -- -- -- -- -- --
Other.................. 4,195 6,295 6,997 5,174 3,001 6,427
- -----------------------------------------------------------------------------------------------------------
Total Expenses......... 2,344,609 1,570,226 4,490,127 1,120,954 551,055 1,335,089
Less: Management and
administration fee
waivers (Note 2).... (364,437) -- -- -- -- (163,318)
- -----------------------------------------------------------------------------------------------------------
Net Expenses........... 1,980,172 1,570,226 4,490,127 1,120,954 551,055 1,171,771
- -----------------------------------------------------------------------------------------------------------
Net Investment Income
(Loss)................. 14,772,877 14,038,208 33,593,741 8,121,750 2,864,885 8,298,991
- -----------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, FUTURES
CONTRACTS AND FOREIGN
CURRENCIES (NOTES 4, 5
AND 7):
Realized Gain (Loss)
From:
Security transactions
(excluding short-term
securities)........... (2,280)* (982,354) (8,223,174) 1,468,720 1,207,483 (27,158)
Futures contracts...... -- -- -- -- -- --
Foreign currency
transactions.......... -- (27,402) -- -- -- --
- -----------------------------------------------------------------------------------------------------------
Net Realized Gain
(Loss)................ (2,280) (1,009,756) (8,223,174) 1,468,720 1,207,483 (27,158)
- -----------------------------------------------------------------------------------------------------------
Change in Net
Unrealized Appreciation
(Depreciation) of
Investments, Futures
Contracts and Foreign
Currencies:
Beginning of year...... -- (2,299,908) 6,453,021 13,648,375 1,442,990 2,333,392
End of year............ -- (10,724,522) (13,209,652) (3,990,021) (4,259,497) (3,837,857)
- -----------------------------------------------------------------------------------------------------------
Change in Net
Unrealized
Appreciation
(Depreciation)........ -- (8,424,614) (19,662,673) (17,638,396) (5,702,487) (6,171,249)
- -----------------------------------------------------------------------------------------------------------
Net Gain (Loss) on
Investments, Futures
Contracts and Foreign
Currencies ............ (2,280) (9,434,370) (27,885,847) (16,169,676) (4,495,004) (6,198,407)
- -----------------------------------------------------------------------------------------------------------
Increase (Decrease) in
Net Assets
From Operations........ $14,770,597 $ 4,603,838 $ 5,707,894 $ (8,047,926) $(1,630,119) $ 2,100,584
- -----------------------------------------------------------------------------------------------------------
</TABLE>
*Represents net realized gains from the sale of short-term securities for
Government Money Investments.
See Notes to Financial Statements.
150
<PAGE>
For the Year Ended August 31, 1999
<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>
$ 1,622,759 $ 1,482,855 $ 1,455,056 $ 1,040,161 $ 2,680,237 $ 3,500,916 $13,684,897 $ 841,405
749,328 37,778,766 15,341,828 19,291,233 3,044,142 24,223,846 -- 6,735,715
(12,829) (49,153) (19,051) (1,061) -- (2,757,724) (101,350) (632,955)
- -----------------------------------------------------------------------------------------------------------------------
2,359,258 39,212,468 16,777,833 20,330,333 5,724,379 24,967,038 13,583,547 6,944,165
- -----------------------------------------------------------------------------------------------------------------------
76,000 1,874,500 1,834,000 869,000 1,160,294 1,209,000 324,000 759,000
148,790 3,901,989 4,546,476 1,530,784 2,077,503 2,706,824 475,963 536,702
436,950 9,718,618 8,640,613 4,638,188 6,456,592 6,938,953 1,165,291 2,444,974
6,000 121,000 101,326 25,000 48,253 50,000 9,022 9,000
35,000 110,000 100,000 105,000 47,315 50,000 54,999 50,000
35,000 39,000 35,006 34,000 15,175 38,000 36,999 37,000
12,400 141,000 120,777 90,000 123,296 730,000 115,000 772,096
3,000 35,000 33,000 10,000 4,212 30,000 6,000 8,000
2,500 -- -- -- -- 140,000 2,668 39,000
-- -- -- -- -- -- -- 4,189
10,775 11,728 25,002 9,999 51,414 20,000 4,800 6,918
- -----------------------------------------------------------------------------------------------------------------------
766,415 15,952,835 15,436,200 7,311,971 9,984,054 11,912,777 2,194,742 4,666,879
-- -- -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
766,415 15,952,835 15,436,200 7,311,971 9,984,054 11,912,777 2,194,742 4,666,879
- -----------------------------------------------------------------------------------------------------------------------
1,592,843 23,259,633 1,341,633 13,018,362 (4,259,675) 13,054,261 11,388,805 2,277,286
- -----------------------------------------------------------------------------------------------------------------------
10,166,423 253,132,329 188,135,096 8,625,583 109,878,338 116,192,717 (1,739,991) (50,387,233)
-- 2,556,759 1,510,733 (398,069) 923,009 7,706,408 -- 2,288,965
-- -- -- -- -- (9,516,108) (363,197) (1,342,572)
- -----------------------------------------------------------------------------------------------------------------------
10,166,423 255,689,088 189,645,829 8,227,514 110,801,347 114,383,017 (2,103,188) (49,440,840)
- -----------------------------------------------------------------------------------------------------------------------
2,109,463 155,590,845 572,475,765 (141,398,451) (217,663,364) 60,153,722 3,407,847 (110,318,147)
3,001,944 318,635,342 1,187,257,933 (67,069,724) 45,894,375 228,495,210 (3,782,994) 54,298,305
- -----------------------------------------------------------------------------------------------------------------------
892,481 163,044,497 614,782,168 74,328,727 263,557,739 168,341,488 (7,190,841) 164,616,452
- -----------------------------------------------------------------------------------------------------------------------
11,058,904 418,733,585 804,427,997 82,556,241 374,359,086 282,724,505 (9,294,029) 115,175,612
- -----------------------------------------------------------------------------------------------------------------------
$12,651,747 $441,993,218 $ 805,769,630 $ 95,574,603 $ 370,099,411 $295,778,766 $ 2,094,776 $ 117,452,898
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
151
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Government Intermediate Long-Term Municipal Mortgage
Money High Yield Fixed Income Bond Bond Backed
Investments Investments Investments Investments Investments Investments
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)... $ 14,772,877 $ 14,038,208 $ 33,593,741 $ 8,121,750 $ 2,864,885 $ 8,298,991
Net realized gain (loss)....... (2,280) (1,009,756) (8,223,174) 1,468,720 1,207,483 (27,158)
Change in net unrealized
appreciation (depreciation)... -- (8,424,614) (19,662,673) (17,638,396) (5,702,487) (6,171,249)
- -----------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets From Operations........ 14,770,597 4,603,838 5,707,894 (8,047,926) (1,630,119) 2,100,584
- -----------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM
(NOTE 3):
Net investment income.......... (14,769,135) (14,417,141) (34,294,296) (8,265,999) (2,864,885) (8,236,317)
Net realized gains............. -- (221,603) -- (5,665,399) (1,100,764) (863,284)
Capital ....................... -- -- -- -- -- (155,996)
- -----------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets From
Distributions to Shareholders.. (14,769,135) (14,638,744) (34,294,296) (13,931,398) (3,965,649) (9,255,597)
- -----------------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE
13):
Net proceeds from sale of
shares........................ 851,220,980 126,370,359 270,102,012 46,112,013 20,389,540 32,036,084
Net asset value of shares
issued for reinvestment of
dividends..................... 14,498,758 14,513,511 33,496,895 13,486,530 3,761,727 8,869,067
Cost of shares reacquired...... (938,322,010) (52,349,167) (255,344,729) (79,876,792) (29,323,170) (58,753,722)
- -----------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets From Fund Share
Transactions.................. (72,602,272) 88,534,703 48,254,178 (20,278,249) (5,171,903) (17,848,571)
- -----------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in
Net Assets..................... (72,600,810) 78,499,797 19,667,776 (42,257,573) (10,767,671) (25,003,584)
NET ASSETS:
Beginning of year.............. 375,760,703 76,556,782 574,998,146 157,612,334 72,511,013 156,042,854
- -----------------------------------------------------------------------------------------------------------------------
End of year*................... $ 303,159,893 $155,056,579 $ 594,665,922 $115,354,761 $ 61,743,342 $131,039,270
- -----------------------------------------------------------------------------------------------------------------------
* Includes undistributed
(overdistributed) net
investment income of:......... $55,375 $110,603 -- -- -- --
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
152
<PAGE>
For the Year Ended August 31, 1999
<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>
$ 1,592,843 $ 23,259,633 $ 1,341,633 $ 13,018,362 $ (4,259,675) $ 13,054,261 $ 11,388,805 $ 2,277,286
10,166,423 255,689,088 189,645,829 8,227,514 110,801,347 114,383,017 (2,103,188) (49,440,840)
892,481 163,044,497 614,782,168 74,328,727 263,557,739 168,341,488 (7,190,841) 164,616,452
- ------------------------------------------------------------------------------------------------------------------------------
12,651,747 441,993,218 805,769,630 95,574,603 370,099,411 295,778,766 2,094,776 117,452,898
- ------------------------------------------------------------------------------------------------------------------------------
(1,864,163) (24,090,151) (1,394,003) (13,030,887) -- (17,799,556) (7,975,035) (2,193,397)
(7,093,352) (228,220,596) (82,674,037) (117,115,012) (33,622,731) (69,094,047) (3,599,905) --
-- -- -- -- -- -- (28,247) --
- ------------------------------------------------------------------------------------------------------------------------------
(8,957,515) (252,310,747) (84,068,040) (130,145,899) (33,622,731) (86,893,603) (11,603,187) (2,193,397)
- ------------------------------------------------------------------------------------------------------------------------------
34,336,221 719,922,680 629,395,099 254,966,829 374,207,710 782,939,276 106,412,056 189,783,469
8,942,096 249,441,932 83,203,975 128,710,339 33,406,703 86,017,381 11,310,781 2,174,644
(40,576,739) (925,011,514) (901,439,891) (345,481,496) (493,225,800) (1,023,559,456) (64,028,598) (220,118,029)
- ------------------------------------------------------------------------------------------------------------------------------
2,701,578 44,353,098 (188,840,817) 38,195,672 (85,611,387) (154,602,799) 53,694,239 (28,159,916)
- ------------------------------------------------------------------------------------------------------------------------------
6,395,810 234,035,569 532,860,773 3,624,376 250,865,293 54,282,364 44,185,828 87,099,585
68,469,911 1,712,244,190 1,793,445,968 740,339,721 858,510,251 1,331,186,770 192,067,926 230,525,928
- ------------------------------------------------------------------------------------------------------------------------------
$ 74,865,721 $1,946,279,759 $2,326,306,741 $ 743,964,097 $1,109,375,544 $ 1,385,469,134 $236,253,754 $ 317,625,513
- ------------------------------------------------------------------------------------------------------------------------------
$278,373 $14,221,800 $(26,105) $7,701,051 $26,508 $(4,732,266) $(7,747,186) $620,781
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
153
<PAGE>
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Government Intermediate Long-Term Municipal Mortgage
Money High Yield Fixed Income Bond Bond Backed
Investments Investments* Investments Investments Investments Investments
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss)... $ 20,854,536 $ 516,938 $ 27,284,549 $ 10,498,725 $ 2,691,994 $ 8,727,876
Net realized gain (loss)....... 15,183 51,987 3,744,712 5,797,072 1,912,093 920,742
Change in net unrealized
appreciation (depreciation)... -- (2,299,908) 4,644,525 10,550,443 264,172 2,463,610
- -------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets From Operations........ 20,869,719 (1,730,983) 35,673,786 26,846,240 4,868,259 12,112,228
- -------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM
(NOTE 3):
Net investment income.......... (20,817,444) -- (28,668,737) (10,320,616) (2,798,542) (9,085,434)
In excess of net
investment income............. -- -- -- -- (12,577) --
Net realized gains............. -- -- -- -- -- --
Capital........................ -- -- -- -- -- --
- -------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets From
Distributions to Shareholders.. (20,817,444) -- (28,668,737) (10,320,616) (2,811,119) (9,085,434)
- -------------------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE
13):
Net proceeds from sale
of shares..................... 1,099,355,642 84,271,048 318,866,875 71,893,064 38,878,990 59,556,774
Net asset value of shares
issued for reinvestment of
dividends..................... 20,711,995 -- 27,942,868 9,966,479 2,676,826 8,741,346
Cost of shares reacquired...... (1,133,072,640) (5,983,283) (162,910,906) (123,824,171) (23,125,787) (51,868,166)
- -------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets From Fund Share
Transactions.................. (13,005,003) 78,287,765 183,898,837 (41,964,628) 18,430,029 16,429,954
- -------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in
Net Assets..................... (12,952,728) 76,556,782 190,903,886 (25,439,004) 20,487,169 19,456,748
NET ASSETS:
Beginning of year.............. 388,713,431 -- 384,094,260 183,051,338 52,023,844 136,586,106
- -------------------------------------------------------------------------------------------------------------------------
End of year**.................. $ 375,760,703 $76,556,782 $ 574,998,146 $ 157,612,334 $ 72,511,013 $156,042,854
- -------------------------------------------------------------------------------------------------------------------------
** Includes undistributed
(overdistributed) net
investment income of:....... $51,633 $516,938 -- $145,204 -- $(308,791)
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* For the period from July 13, 1998 (commencement of operations) to August 31,
1998.
See Notes to Financial Statements.
154
<PAGE>
For the Year Ended August 31, 1998
<TABLE>
<CAPTION>
Large Large Small Small Emerging
Capitalization Capitalization Capitalization Capitalization International International Markets
Balanced Value Equity Growth Value Equity Growth Equity Fixed Income Equity
Investments Investments Investments Investments Investments Investments Investments Investments
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 1,623,294 $ 23,091,038 $ 3,115,159 $ 12,507,740 $ (4,598,693) $ 16,602,744 $ 7,754,609 $ 2,147,800
6,248,631 309,582,594 92,315,984 126,717,993 63,217,819 68,494,731 (2,357,523) (83,481,396)
(8,745,235) (328,306,395) 33,403,155 (267,653,788) (355,285,479) (33,327,025) 9,192,849 (112,237,146)
- -----------------------------------------------------------------------------------------------------------------------------
(873,310) 4,367,237 128,834,298 (128,428,055) (296,666,353) 51,770,450 14,589,935 (193,570,742)
- -----------------------------------------------------------------------------------------------------------------------------
(2,039,127) (15,036,214) (8,248,609) (7,959,256) -- (20,300,462) (3,603,597) (3,287,443)
-- -- -- -- -- -- -- --
(4,410,524) (315,031,240) (116,496,378) (92,050,884) (63,933,403) (15,037,570) (6,258,532) (13,499,891)
-- -- -- -- -- -- (1,915,349) --
- -----------------------------------------------------------------------------------------------------------------------------
(6,449,651) (330,067,454) (124,744,987) (100,010,140) (63,933,403) (35,338,032) (11,777,478) (16,787,334)
- -----------------------------------------------------------------------------------------------------------------------------
30,327,843 751,729,348 672,757,886 511,096,587 880,641,543 1,100,027,468 109,345,425 406,163,589
6,438,720 325,590,404 123,688,134 99,076,852 63,551,193 34,828,762 11,416,196 16,701,768
(50,762,907) (974,122,692) (851,906,290) (263,767,519) (502,403,869) (956,546,192) (57,116,635) (208,261,232)
- -----------------------------------------------------------------------------------------------------------------------------
(13,996,344) 103,197,060 (55,460,270) 346,405,920 441,788,867 178,310,038 63,644,986 214,604,125
- -----------------------------------------------------------------------------------------------------------------------------
(21,319,305) (222,503,157) (51,370,959) 117,967,725 81,189,111 194,742,456 66,457,443 4,246,049
89,789,216 1,934,747,347 1,844,816,927 622,371,996 777,321,140 1,136,444,314 125,610,483 226,279,879
- -----------------------------------------------------------------------------------------------------------------------------
$ 68,469,911 $1,712,244,190 $1,793,445,968 $ 740,339,721 $ 858,510,251 $1,331,186,770 $192,067,926 $ 230,525,928
- -----------------------------------------------------------------------------------------------------------------------------
$531,699 $15,415,722 -- $8,405,581 $45,823 $(9,037,763) $(5,017,595) $382,813
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
155
<PAGE>
Notes to Financial Statements
1. Significant Accounting Policies
Consulting Group Capital Markets Funds ("Fund"), a Massachusetts business
trust, is registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Fund consists of
fifteen separate investment portfolios ("Portfolios"): Government Money
Investments, High Yield Investments, Intermediate Fixed Income Investments,
Long-Term Bond Investments, Municipal Bond Investments, Mortgage Backed
Investments, Balanced Investments, Large Capitalization Value Equity
Investments, Large Capitalization Growth Investments, Small Capitalization
Value Equity Investments, Small Capitalization Growth Investments,
International Equity Investments, International Fixed Income Investments,
Emerging Markets Equity Investments and Multi-Strategy Market Neutral
Investments. The financial statements and financial highlights for Multi-
Strategy Market Neutral Investments will be presented in a separate shareholder
report.
The significant accounting policies consistently followed by the Fund are:
(a) security transactions are accounted for on trade date; (b) securities
traded on national securities markets are valued at the closing prices on such
markets or, if there were no sales during the day, at current quoted bid price;
except for Government Money Investments, which values investments using the
amortized cost method; securities primarily traded on foreign exchanges are
generally valued at the preceding closing values of such securities on their
respective exchanges, except that when a significant occurrence subsequent to
the time a value was so established is likely to have significantly changed the
value then the fair value of those securities will be determined by
consideration of other factors by or under the direction of the Board of
Trustees; securities traded in the over-the-counter market are valued on the
basis of the bid price at the close of business on each day; certain debt
securities of U.S. issuers (other than U.S. government securities and short-
term investments) are valued at the mean between the quoted bid and ask prices;
U.S. government agencies and obligations are valued at the mean between the bid
and ask prices; (c) securities maturing within 60 days are valued at cost plus
accreted discount, or minus amortized premium, which approximates value;
(d) dividend income is recorded on the ex-dividend date except that foreign
dividends are recorded on the ex-dividend date or as soon as practical after
the Fund determines the existence of a dividend declaration after exercising
reasonable due diligence; and interest income is recorded on an accrual basis;
(e) gains or losses on the sale of securities are calculated by using the
specific identification method; (f) dividends and distributions to shareholders
are recorded on the ex-dividend date; (g) the accounting records of the Fund
are maintained in U.S. dollars. All assets and liabilities denominated in
foreign currencies are translated into U.S. dollars based on the rate of
exchange of such currencies against U.S. dollars on the date of valuation.
Purchases and sales of securities and income and expenses are translated at the
rate of exchange quoted on the respective date that such transactions are
recorded. Differences between income or expense amounts recorded and collected
or paid are adjusted when reported by the custodian bank; (h) each Portfolio
intends to comply with the requirements of the Internal Revenue Code of 1986,
as amended, pertaining to regulated investment companies and to make
distributions of taxable income sufficient to relieve it from substantially all
Federal income and excise taxes; (i) the character of income and gains to be
distributed are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. At August 31, 1999,
reclassifications were made to the capital accounts of the Intermediate Fixed
Income Investments, Long-Term 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 to reflect permanent book/tax differences and income and gains
available for distributions under income tax regulations. Accordingly, a
portion of undistributed (overdistributed) net investment income amounting to
$(346,107) was reclassified to paid-in capital for Intermediate Fixed Income
Investments. Net investment income, net realized gains and net assets were not
affected by this adjustment; and (j) estimates and assumptions are required to
be made regarding assets, liabilities and changes in net assets resulting from
operations when financial statements are prepared. Changes in the economic
environment, financial markets and any other parameters used in determining
these estimates could cause actual results to differ.
Organization costs have been deferred and amortized on a straight line basis
over a five-year period, beginning with each Portfolio's respective
commencement of operations. As of August 31, 1999, deferred organization costs
had been fully amortized for all Portfolios.
156
<PAGE>
Notes to Financial Statements (continued)
In addition, certain portfolios may from time to time enter into futures
contracts in order to hedge market risk. Also, certain Portfolios may enter
into forward exchange contracts in order to hedge against foreign currency
risk. These contracts are marked to market daily, by recognizing the difference
between the contract exchange rate and the current market rate as an unrealized
gain or loss. Realized gains or losses are recognized when contracts are
settled.
2. Investment Advisory Agreement, Administration Agreement and Other
Transactions
The Fund has entered into an investment management agreement ("Management
Agreement") with SSB Citi Fund Management LLC ("SSBC"), formerly known as SSBC
Fund Management Inc., a subsidiary of Salomon Smith Barney Holdings Inc.
("SSBH"). The Consulting Group ("Manager"), a division of SSBC provides
investment evaluation services with respect to the investment advisors of the
Fund. SSBC has entered into an investment advisory agreement with each advisor
selected for the Portfolios (collectively, "Advisors").
Under the Management Agreement, each Portfolio pays SSBC 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, SSBC pays each Advisor,
based on the rates applied to each respective Portfolio's average daily net
assets on a monthly basis. The applicable management fee, advisory fee paid by
SSBC to each Advisor, and the Advisor for each Portfolio are indicated below:
<TABLE>
<CAPTION>
Annual
Advisor Management
Portfolio Advisors Fee Fee
- --------------------------------------------------------------------------------------------
<C> <S> <C> <C>
Government Money Investments Standish, Ayer & Wood,
Inc.
on the first $100
million 0.15% 0.15%
on the amount over $100
million 0.10 0.15
High Yield Investments Alliance Capital
Management L.P. 0.45 0.70
Intermediate Fixed Income Investments Standish, Ayer & Wood,
Inc.:
on the first $200
million 0.20 0.40
on the amount over $200
million 0.15 0.40
Pacific Investment
Management Co. 0.25 0.45
Long-Term Bond Investments National Asset
Management Corp. 0.20 0.40
Municipal Bond Investments Smith Affiliated Capital
Corp. 0.20 0.40
Mortgage Backed Investments Atlantic Portfolio
Analytics & Management,
Inc. 0.25 0.50
Balanced Investments Laurel Capital Advisors,
LLP 0.30 0.60
Seix Investment
Advisors, Inc. 0.25 0.60
Large Capitalization Value Equity Investments Barclays Global Fund
Advisors 0.02 0.32
The Boston Co. Asset
Management, Inc.:
on the first $350
million 0.30 0.60
on the amount over $350
million 0.25 0.60
Parametric Portfolio
Associates:
on the first $300
million 0.20 0.50
on the amount over $300
million 0.15 0.45
Chartwell Investment
Partners 0.30 0.60
Large Capitalization Growth Investments Provident Investment
Counsel Inc.
on the first $100
million 0.30 0.60
on the amount over $100
million 0.25 0.60
Barclays Global Fund
Advisors 0.02 0.32
Small Capitalization Value Equity Investments NFJ Investment Group
on the first $450
million 0.50 0.80
on the amount over $450
million 0.45 0.75
David L. Babson & Co.,
Inc.
on the first $100
million 0.50 0.80
on the amount over $100
million 0.45 0.80
Mellon Capital
Management Corp. 0.06 0.36
Small Capitalization Growth Investments Wall Street Associates 0.50 0.80
Mellon Capital
Management Corp. 0.06 0.36
Westpeak Investment
Advisors, L.P. 0.50 0.80
Kern Capital Management
LLC 0.50 0.80
International Equity Investments Oechsle International
Advisors, LLC 0.40 0.70
Marvin & Palmer
Associates, Inc. 0.40 0.70
State Street Global
Advisors 0.06 0.37
International Fixed Income Investments Julius Baer Investments
Management Inc. 0.25 0.50
Emerging Markets Equity Investments AIB Govett, Inc. 0.60 0.90
State Street Global
Advisors 0.60 0.90
Baring Asset Management,
Inc. 0.60 0.90
- --------------------------------------------------------------------------------------------
</TABLE>
157
<PAGE>
Notes to Financial Statements (continued)
SSBC also acts as the Fund's administrator for which the Fund pays a fee
calculated at an annual rate of 0.20% of the average daily net assets of each
respective Portfolio. This fee is calculated daily and paid monthly.
For the year ended August 31, 1999, the following fees were waived:
<TABLE>
<CAPTION>
Total Fee
Portfolio Waivers Manager Administrator
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Government Money Investments.................. $364,437 $115,669 $248,768
Mortgage Backed Investments................... 163,318 117,589 45,729
- -------------------------------------------------------------------------------
</TABLE>
For the year ended August 31, 1999, Salomon Smith Barney Inc. ("SSB"),
another subsidiary of SSBH and its affiliates, received brokerage commissions
of approximately $136,087.
All officers and one Trustee of the Fund are employees of SSB.
3. Exempt-Interest Dividends and Other Dividends
Municipal Bond Investments intends to satisfy conditions that will enable
interest from municipal securities, which are exempt from regular Federal
income tax and from designated state income taxes, to retain such tax-exempt
status when distributed to the shareholders of the Portfolio.
Capital gain distributions, if any, are taxable to shareholders, and are
declared and paid at least annually. Additional taxable distributions may be
made if necessary to avoid a Federal excise tax.
4. Investments
During the year ended August 31, 1999, the aggregate cost of purchases and
proceeds from sales of investments (including maturities, but excluding short-
term securities) were as follows:
<TABLE>
<CAPTION>
Portfolio Purchases Sales
- -------------------------------------------------------------------------------
<S> <C> <C>
High Yield Investments........................... $ 234,594,342 $ 149,372,095
Intermediate Fixed Income Investments............ 1,257,048,203 1,188,905,895
Long-Term Bond Investments....................... 41,299,219 64,157,123
Municipal Bond Investments....................... 99,291,531 103,716,184
Mortgage Backed Investments...................... 156,498,553 130,156,764
Balanced Investments............................. 244,013,026 246,976,924
Large Capitalization Value Equity Investments.... 1,041,509,289 1,226,271,796
Large Capitalization Growth Investments.......... 760,185,744 973,464,493
Small Capitalization Value Equity Investments.... 393,760,976 471,406,702
Small Capitalization Growth Investments.......... 1,192,085,304 1,266,675,883
International Equity Investments................. 595,065,625 703,362,142
International Fixed Income Investments........... 493,216,153 442,122,761
Emerging Markets Equity Investments.............. 340,580,293 348,981,548
- -------------------------------------------------------------------------------
</TABLE>
At August 31, 1999, 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>
High Yield Investments.......... $ 2,344,854 $ (13,063,637) $ (10,718,783)
Intermediate Fixed Income In-
vestments...................... 338,317 (13,643,625) (13,305,308)
Long-Term Bond Investments...... 945,704 (4,935,725) (3,990,021)
Municipal Bond Investments...... 50,046 (4,309,543) (4,259,497)
Mortgage Backed Investments..... 315,083 (4,152,940) (3,837,857)
Balanced Investments............ 5,489,928 (2,487,984) 3,001,944
Large Capitalization Value Eq-
uity Investments............... 400,416,421 (81,493,254) 318,923,167
Large Capitalization Growth In-
vestments...................... 1,214,867,558 (27,508,025) 1,187,359,533
Small Capitalization Value Eq-
uity Investments............... 49,048,615 (115,952,689) (66,904,074)
Small Capitalization Growth In-
vestments...................... 183,413,271 (137,432,571) 45,980,700
International Equity Invest-
ments.......................... 282,631,140 (58,292,743) 224,338,397
International Fixed Income In-
vestments...................... 4,478,928 (7,055,259) (2,576,331)
Emerging Markets Equity Invest-
ments.......................... 73,779,044 (19,473,156) 54,305,888
- ------------------------------------------------------------------------------
</TABLE>
158
<PAGE>
Notes to Financial Statements (continued)
5. Futures Contracts
Initial margin deposits made upon entering into futures contracts are
recognized as assets. Securities equal to the initial margin amount are
segregated by the custodian in the name of the broker. Additional securities
are also segregated up to the current market value of the futures contract.
During the period the futures contract is open, changes in the value of the
contract are recognized as unrealized gains or losses by "marking to market" on
a daily basis to reflect the market value of the contract at the end of each
day's trading. Variation margin payments are made or received and recognized as
assets due from or liabilities due to broker, depending upon whether unrealized
gains or losses are incurred. When the contract is closed, the Portfolio
records a realized gain or loss equal to the difference between the proceeds
from (or cost of) the closing transactions and the Portfolio's basis in the
contract.
The Portfolio enters into such contracts to hedge a portion of its portfolio.
The Portfolio bears the market risk that arises from changes in the value of
the financial instruments and securities indices (futures contracts) and the
credit risk should a counterparty fail to perform under such contracts.
At August 31, 1999, Intermediate Fixed Income Investments, Large
Capitalization Value Equity Investments, Large Capitalization Growth
Investments, Small Capitalization Value Equity Investments, Small
Capitalization Growth Investments, International Equity Investments and
Emerging Markets Equity Investments had the following open futures contracts:
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
# of Basis Market Unrealized
Sold Contracts Contracts Expiration Value Value Gain
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
U.S. Treasury Bonds..... 61 9/99 $6,766,578 $6,670,922 $95,656
- --------------------------------------------------------------------------------
Large Capitalization Value Equity Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Loss
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index........... 64 9/99 $21,404,625 $21,116,800 $(287,825)
- --------------------------------------------------------------------------------
Large Capitalization Growth Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Loss
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index........... 30 9/99 $10,000,100 $9,898,500 $(101,600)
- --------------------------------------------------------------------------------
Small Capitalization Value Equity Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Loss
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Russell 2000............ 20 9/99 $4,449,650 $4,284,000 $(165,650)
- --------------------------------------------------------------------------------
Small Capitalization Growth Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Loss
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Russell 2000............ 29 9/99 $6,298,125 $6,211,800 $(86,325)
- --------------------------------------------------------------------------------
International Equity Investments
<CAPTION>
Unrealized
# of Basis Market Gain
Purchased Contracts Contracts Expiration Value Value (Loss)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Australian ALL Ordi-
naries................. 21 9/99 $ 1,000,304 $ 988,533 $ (11,771)
Deustche Terminboerse
DAX.................... 26 9/99 3,665,136 3,631,057 (34,079)
IBEX 35 PLUS............ 28 9/99 2,893,448 2,904,994 11,546
London Financial Times
Stock Exchange 100..... 91 9/99 9,175,847 9,122,818 (53,029)
Marche A Terme Interna-
tional de France Cac
40..................... 84 9/99 3,986,260 4,083,317 97,057
MIB 30.................. 2 9/99 354,652 356,352 1,700
Osaka Securities Ex-
change Nikkei 300...... 382 9/99 10,418,278 9,967,636 (450,642)
- --------------------------------------------------------------------------------
Total................... $31,493,925 $31,054,707 $(439,218)
- --------------------------------------------------------------------------------
Emerging Markets Equity Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Gain
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Taiwan MSCI............. 163 9/99 $5,835,510 $5,921,790 $86,280
- --------------------------------------------------------------------------------
</TABLE>
159
<PAGE>
Notes to Financial Statements (continued)
6. Foreign Securities
High Yield Investments, International Equity Investments, International Fixed
Income Investments and Emerging Markets Equity Investments invest in foreign
securities which may involve risks not present in domestic investments. Since
securities may be denominated in a foreign currency and may require settlement
in foreign currencies and pay interest and/or a dividend in foreign currencies,
changes in the relationship of these foreign currencies to the U.S. dollar can
significantly affect the value of the investments and earnings of the
Portfolios. Foreign investments may also subject the Portfolios to foreign
government exchange restrictions, expropriation, taxation or other political,
social or economic developments, all of which could affect the market and/or
credit risk of the investments.
7. Forward Foreign Currency Contracts
At August 31, 1999, International Equity Investments and International Fixed
Income Investments had the following open forward foreign currency contracts.
The Portfolios bear the market risk that arises from changes in foreign
currency exchange rates. The unrealized gain (loss) on the contracts reflected
in the accompanying financial statements were as follows:
International Equity Investments
<TABLE>
<CAPTION>
Unrealized
Local Market Settlement Gain
Foreign Currency Currency Value Date (Loss)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
To Sell:
Australian Dollar.............. 800,000 $ 511,607 9/7/99 $ 18,632
Australian Dollar.............. 1,600,000 1,023,214 9/7/99 27,505
Australian Dollar.............. 230,000 147,087 9/7/99 5,012
Australian Dollar.............. 670,000 428,470 9/7/99 3,210
Australian Dollar.............. 270,000 172,667 9/7/99 (2,278)
Australian Dollar.............. 660,000 422,075 9/7/99 (4,586)
Australian Dollar.............. 920,000 588,348 9/7/99 (1,388)
Australian Dollar.............. 400,000 255,803 9/7/99 (959)
British Pound.................. 427,832 687,963 9/1/99 (8,085)
British Pound.................. 278,116 447,216 9/1/99 (5,247)
British Pound.................. 228,927 368,123 9/2/99 (5,434)
British Pound.................. 2,400,000 3,849,238 9/7/99 1,081
British Pound.................. 774,000 1,241,379 9/7/99 (39,125)
British Pound.................. 2,960,000 4,747,393 9/7/99 (84,002)
British Pound.................. 1,840,000 2,951,082 9/7/99 25,927
British Pound.................. 800,000 1,283,079 9/7/99 (11,607)
British Pound.................. 2,000,000 3,207,698 9/7/99 (34,458)
British Pound.................. 4,997,000 8,014,434 9/7/99 15,744
Euro........................... 99,112 104,709 9/2/99 (1,142)
Euro........................... 7,700,000 8,138,932 9/7/99 (1,572)
Euro........................... 2,670,000 2,822,201 9/7/99 (106,277)
Euro........................... 7,400,000 7,821,831 9/7/99 (29,261)
Euro........................... 2,240,000 2,367,689 9/7/99 18,649
Euro........................... 2,600,000 2,748,211 9/7/99 (31,107)
Euro........................... 6,600,000 6,976,227 9/7/99 (74,145)
Euro........................... 5,073,000 5,362,183 9/7/99 (5,094)
Euro........................... 4,560,000 4,819,939 9/7/99 (167,827)
Japanese Yen................... 45,973,976 419,429 9/2/99 (5,491)
Japanese Yen................... 178,825,504 1,631,457 9/2/99 (21,360)
Japanese Yen................... 129,824,000 1,184,201 9/7/99 (96,169)
Japanese Yen................... 474,000,000 4,323,634 9/7/99 (286,155)
Japanese Yen................... 157,000,000 1,432,089 9/7/99 (139,908)
Japanese Yen................... 577,000,000 5,263,157 9/7/99 (364,027)
Japanese Yen................... 153,000,000 1,395,603 9/7/99 (19,147)
Japanese Yen................... 185,000,000 1,687,494 9/7/99 (29,936)
Japanese Yen................... 443,000,000 4,040,864 9/7/99 (49,981)
Japanese Yen................... 228,846,000 2,087,439 9/7/99 (1,065)
Japanese Yen................... 38,330,000 349,630 9/7/99 (34,572)
- --------------------------------------------------------------------------------
95,323,795 (1,545,645)
- --------------------------------------------------------------------------------
</TABLE>
160
<PAGE>
Notes to Financial Statements (continued)
<TABLE>
<CAPTION>
Unrealized
Local Market Settlement Gain
Foreign Currency Currency Value Date (Loss)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
To Buy:
Australian Dollar............. 2,395,000 $ 1,531,623 9/7/99 $ (14,971)
Australian Dollar............. 560,000 358,124 9/7/99 (8,031)
Australian Dollar............. 250,000 159,877 9/7/99 (5,730)
Australian Dollar............. 1,480,000 946,473 9/7/99 (18,190)
Australian Dollar............. 865,000 553,175 9/7/99 (21,746)
Australian Dollar............. 920,000 588,348 9/7/99 376
British Pound................. 1,031,000 1,653,568 9/7/99 (6,630)
British Pound................. 1,700,000 2,726,543 9/7/99 (9,436)
British Pound................. 740,000 1,186,848 9/7/99 2,078
British Pound................. 4,400,000 7,056,936 9/7/99 60,496
British Pound................. 1,600,000 2,566,158 9/7/99 35,278
British Pound................. 2,600,000 4,170,008 9/7/99 36,138
British Pound................. 4,997,000 8,014,434 9/7/99 (24,239)
British Pound................. 3,700,000 5,934,242 9/7/99 171,307
Euro.......................... 1,443,000 1,525,257 9/7/99 17,322
Euro.......................... 5,400,000 5,707,822 9/7/99 97,763
Euro.......................... 2,400,000 2,536,810 9/7/99 22,090
Euro.......................... 16,000,000 16,912,067 9/7/99 315,268
Euro.......................... 3,100,000 3,276,713 9/7/99 41,553
Euro.......................... 10,500,000 11,098,544 9/7/99 119,849
Euro.......................... 5,073,000 5,362,182 9/7/99 (32,445)
Japanese Yen.................. 341,000,000 3,110,462 9/7/99 271,398
Japanese Yen.................. 145,000,000 1,322,630 9/7/99 108,225
Japanese Yen.................. 985,000,000 8,984,766 9/7/99 805,062
Japanese Yen.................. 415,000,000 3,785,460 9/7/99 325,969
Japanese Yen.................. 500,000,000 4,560,795 9/7/99 39,999
Japanese Yen.................. 228,846,000 2,087,439 9/7/99 (29,544)
Japanese Yen.................. 16,071,070 146,596 9/1/99 2,364
Japanese Yen.................. 17,673,137 161,210 9/1/99 2,600
Japanese Yen.................. 34,309,060 313,007 9/2/99 4,098
- ------------------------------------------------------------------------------
108,338,117 2,308,271
- ------------------------------------------------------------------------------
Total Unrealized Gain on
Forward Foreign
Currency Contracts........... $ 762,626
- ------------------------------------------------------------------------------
</TABLE>
161
<PAGE>
Notes to Financial Statements (continued)
International Fixed Income Investments
<TABLE>
<CAPTION>
Local Market Settlement Unrealized
Foreign Currency Currency Value Date Gain (Loss)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
To Buy:
Euro......................... 32,712,563 $34,710,131 9/27/99 $ 352,010
Euro......................... 15,780,107 16,714,679 10/4/99 (20,765)
Euro......................... 3,530,000 3,777,866 2/10/00 (61,125)
Euro......................... 3,030,000 3,242,757 2/10/00 (39,132)
Euro......................... 5,811,677 6,219,756 2/10/00 (21,210)
Euro......................... 6,355,541 6,801,808 2/10/00 61,016
- -------------------------------------------------------------------------------
71,466,997 270,794
- -------------------------------------------------------------------------------
To Sell:
British Pound................ 21,834,000 35,150,364 9/27/99 (792,243)
Greek Drachma................ 1,191,915,090 3,802,083 2/10/00 36,908
Greek Drachma................ 1,021,413,000 3,258,200 2/10/00 23,689
Greek Drachma................ 1,957,896,000 6,245,482 2/10/00 (4,516)
Greek Drachma................ 2,134,000,000 6,807,235 2/10/00 (66,443)
Japanese Yen................. 1,915,200,000 17,559,473 10/4/99 (824,029)
- -------------------------------------------------------------------------------
72,822,837 (1,626,634)
- -------------------------------------------------------------------------------
Total Unrealized Loss on
Forward
Foreign Currency Contracts.. $(1,355,840)
- -------------------------------------------------------------------------------
</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, 1999, the Fund had, for Federal income tax purposes,
approximately the following unused capital loss carryforwards available to
offset future capital gains expiring on August 31 of the years below:
<TABLE>
<CAPTION>
Portfolio Total 2003 2004 2005 2006 2007
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Government Money Invest-
ments.................. $ 20,000 $ 12,000 $ 8,000 $ -- $ -- $ --
Intermediate Fixed In-
come Investments....... 2,622,000 387,000 1,462,000 773,000 -- --
Emerging Markets Equity
Investments............ 121,162,000 -- -- -- 11,527,000 109,635,000
- --------------------------------------------------------------------------------------------
</TABLE>
To the extent that these capital carryforward losses are used to offset
capital gains, it is probable that the gains so offset will not be distributed.
10. Securities Traded on a To-Be-Announced Basis
The Fund may trade securities on a "to-be-announced" ("TBA") basis. In a TBA
transaction, the Fund commits to purchasing or selling securities for which
specific information is not yet known at the time of the trade, particularly
the face amount and maturity date in GNMA transactions. Securities purchased on
a TBA basis are not settled until they are delivered to the Fund normally 15 to
45 days later. These transactions are subject to market fluctuations and their
current value is determined in the same manner as for other securities.
As of August 31, 1999, the Intermediate Fixed Income Investments and Balanced
Investments had purchased TBA securities with total costs of $14,710,764, and
$5,679,758, respectively. In addition, Mortgage Backed Investments had sold TBA
securities with a total cost of $(10,060,000).
162
<PAGE>
Notes to Financial Statements (continued)
11. Short Sales of Securities
A short sale is a transaction in which the Portfolio sells securities it does
not own (but has borrowed) in anticipation of a decline in the market price of
the securities. To complete a short sale, the Portfolio may arrange through a
broker to borrow the securities to be delivered to the buyer. The proceeds
received by the Portfolio for the short sale are retained by the broker until
the Portfolio replaces the borrowed securities. In borrowing the securities to
be delivered to the buyer, the Portfolio becomes obligated to replace the
securities borrowed at their market price at the time of replacement, whatever
that price may be.
As of August 31, 1999, there were no open short sale transactions.
12. Lending of Portfolio Securities
The Portfolios have an agreement with the custodian whereby the custodian may
lend securities owned by the Portfolios to brokers, dealers and other financial
organizations. Fees earned by the Portfolios on securities lending are recorded
in interest income. Loans of securities by the Portfolios are collateralized by
cash, U.S. government securities or high quality money market instruments that
are maintained at all times in an amount equal to the current market value of
the loaned securities, plus a margin depending on the type of securities
loaned. The custodian establishes and maintains the collateral in a segregated
account.
At August 31, 1999, the Portfolios listed below had securities on loan. The
market value for the securities on loan was as follows:
<TABLE>
<CAPTION>
Portfolio Value
- -------------------------------------------------------------------------------
<S> <C>
Balanced Investments.............................................. $ 3,680,572
Large Capitalization Value Equity Investments..................... 208,258,155
Large Capitalization Growth Investments........................... 332,401,563
Small Capitalization Value Equity Investments..................... 16,728,033
Small Capitalization Growth Investments........................... 129,185,334
International Equity Investments.................................. 173,584,055
International Fixed Income Investments............................ 22,725,800
Emerging Markets Equity Investments............................... 9,240,086
- -------------------------------------------------------------------------------
</TABLE>
At August 31, 1999, 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 received cash collateral which was invested
as follows:
Balanced Investments
<TABLE>
<CAPTION>
Security Description Value
- -------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Banco Bilbao Vizcaya, 5.562% due 9/1/99............................ $ 773,128
Bank Brussels Lambert, 5.562% due 9/1/99........................... 429,925
Bank of Montreal, 5.687% due 9/1/99................................ 547,353
Banque Nationale de Paris, 5.562% due 9/1/99....................... 773,128
Banque Paribas, 5.562% due 9/1/99.................................. 773,128
Westdeutsche Landesbank, 5.562% due 9/1/99......................... 533,196
- -------------------------------------------------------------------------------
Total............................................................... $3,829,858
- -------------------------------------------------------------------------------
</TABLE>
163
<PAGE>
Notes to Financial Statements (continued)
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
Security Description Value
- -------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Banco Bilbao Vizcaya, 5.562% due 9/1/99.......................... $ 31,115,341
Bank Brussels Lambert, 5.562% due 9/1/99......................... 17,302,755
Bank of Montreal, 5.687% due 9/1/99.............................. 26,284,848
Banque Nationale de Paris, 5.562% due 9/1/99..................... 31,115,341
Banque Paribas, 5.562% due 9/1/99................................ 31,115,341
Westdeutsche Landesbank, 5.562% due 9/1/99....................... 21,458,966
Certificate of Deposit:
Svenska Handelsbanken, 4.940% due 10/25/99....................... 1,934,895
Commercial Paper:
Asset Securitization, 5.943% due 2/28/00......................... 12,898,278
Atlantis One Funding Corp., 5.919% due 2/22/00................... 669,468
CC Inc., 5.937% due 2/22/00...................................... 13,289,467
Corporate Asset Funding Inc., 5.360% due 10/1/99................. 4,831,320
Corporate Receivable Corp., 5.196% due 9/7/99.................... 10,342,381
Morgan Stanley, 5.002% due 9/1/99................................ 9,668,929
Moriarty LLC, 5.912% due 2/1/00.................................. 3,986,796
Quincy Capital Corp., 5.197% due 9/8/99.......................... 1,547,499
- -------------------------------------------------------------------------------
Total............................................................. $217,561,625
- -------------------------------------------------------------------------------
</TABLE>
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
Security Description Value
- -------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Banco Bilbao Vizcaya, 5.562% due 9/1/99.......................... $ 38,060,024
Bank Brussels Lambert, 5.562% due 9/1/99......................... 21,164,585
Bank of Montreal, 5.687% due 9/1/99.............................. 32,019,666
Banque Nationale de Paris, 5.562% due 9/1/99..................... 38,060,024
Banque Paribas, 5.562% due 9/1/99................................ 38,060,024
Westdeutsche Landesbank, 5.562% due 9/1/99....................... 9,857,108
Certificate of Deposit:
Svenska Handelsbanken, 4.940% due 10/25/99....................... 26,248,425
Commercial Paper:
American Home Products Corp., 5.928% due 3/3/00.................. 3,206,088
Asset Securitization, 5.943% due 2/28/00......................... 714,950
Atlantis One Funding Corp., 5.919% due 2/22/00................... 29,501,449
Corporate Asset Funding Inc., 5.360% due 10/1/99................. 5,402,081
Corporate Receivable Corp., 5.196% due 9/7/99.................... 9,452,366
Morgan Stanley, 5.002% due 9/1/99................................ 67,636,586
Moriarty LLC, 5.912% due 2/1/00.................................. 13,910,548
Quincy Capital Corp., 5.276% due 9/20/99......................... 7,325,015
- -------------------------------------------------------------------------------
Total............................................................. $340,618,939
- -------------------------------------------------------------------------------
</TABLE>
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
Security Description Value
- -------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Banco Bilbao Vizcaya S.A., 5.562% due 9/1/99...................... $ 3,577,523
Bank Brussels Lambert, 5.562% due 9/1/99.......................... 1,989,404
Bank of Montreal, 5.687% due 9/1/99............................... 2,532,787
Banque Nationale de Paris, 5.562% due 9/1/99...................... 3,577,523
Banque Paribas, 5.562% due 9/1/99................................. 3,577,523
Westdeutsche Landesbank, 5.562% due 9/1/99........................ 2,467,270
- -------------------------------------------------------------------------------
Total.............................................................. $17,722,030
- -------------------------------------------------------------------------------
</TABLE>
164
<PAGE>
Notes to Financial Statements (continued)
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
Security Description Value
- -------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Banco Bilboa Vizcaya, 5.562% due 9/1/99.......................... $ 25,339,515
Bank Brussels Lambert, 5.562% due 9/1/99......................... 14,090,909
Bank of Montreal, 5.687% due 9/1/99.............................. 18,239,877
Banque Nationale de Paris, 5.562% due 9/1/99..................... 25,339,515
Banque Paribas, 5.562% due 9/1/99................................ 25,339,515
Westdeutsche Landesbank, 5.562% due 9/1/99....................... 17,475,617
Commercial Paper:
CC (USA) Inc., 5.937% due 2/22/00................................ 6,440,620
Corporate Asset Funding Inc., 5.360% due 10/1/99................. 1,877,529
- -------------------------------------------------------------------------------
Total............................................................. $134,143,097
- -------------------------------------------------------------------------------
</TABLE>
International Equity Investments
<TABLE>
<CAPTION>
Security Description Value
- --------------------------------------------------------------------------------
<S> <C>
Time Deposit:
Abbey National London, 5.530% due 9/1/99.......................... $ 7,492,691
Argentina Caja Postal Banco Hipote, London, 5.530% due 9/1/99..... 7,492,691
Bank of Austria, 5.560% due 9/1/99................................ 7,492,691
Bank of Ireland, 5.530% due 9/1/99................................ 7,492,691
Banque Bruxelles Lambert, London, 5.530% due 9/1/99............... 7,492,691
Banque National de Paris, London, 5.530% due 9/1/99............... 7,492,691
Bayerische Landesbank, Paris, 5.530% due 9/1/99................... 6,847,867
Bayerische Hypo-Und Vereinsbk, Singapore, 5.500% due 9/1/99....... 7,492,691
Caisse de Depots et Consignment, Paris, 5.500% due 9/1/99......... 7,677,486
Credit Commercile de France, Brussels, 5.530% due 9/1/99.......... 7,492,691
Credit Communal de Belgique, 5.500% due 9/1/99.................... 7,611,562
Den Danske, Copenhagen, 5.530% due 9/1/99......................... 7,492,691
Deutsche Bank London, 5.530% due 9/1/99........................... 6,847,867
Dresdner Bank, 5.500% due 9/1/99.................................. 6,975,526
Fortis Bank, 5.550% due 9/1/99.................................... 7,492,691
Kredietbank, Grand Cayman, 5.530% due 9/1/99...................... 7,512,281
Landesbank Hessen Thuringen, 5.530% due 9/1/99.................... 6,847,867
National Bank of Australia, London, 5.530% due 9/1/99............. 6,847,867
Nordeutsche Lendesbank, London, 5.560% due 9/1/99................. 7,492,691
Skandanaviska Enskilda Banken, 5.530% due 9/1/99.................. 6,847,867
Societe Generale, 5.530% due 9/1/99............................... 7,492,691
Repurchase Agreement:
Morgan Stanley Dean Witter & Co., 5.540% due 9/1/99............... 5,769,087
- --------------------------------------------------------------------------------
Total ............................................................. $159,697,569
- --------------------------------------------------------------------------------
</TABLE>
International Fixed Income Investments
<TABLE>
<CAPTION>
Security Description Value
- --------------------------------------------------------------------------------
<S> <C>
Time Deposit:
Abbey National London, 5.530% due 9/1/99........................... $ 1,090,843
Argentina Caja Postal Banco Hipote, London, 5.530% due 9/1/99...... 1,090,843
Bank of Austria, 5.560% due 9/1/99................................. 1,090,843
Bank of Ireland, 5.530% due 9/1/99................................. 1,090,843
Banque Bruxelles Lambert, London, 5.530% due 9/1/99................ 1,090,842
Banque National de Paris, London, 5.530% due 9/1/99................ 1,090,843
Bayerische Landesbank, Paris, 5.530% due 9/1/99.................... 996,964
Bayerische Hypo-Und Vereinsbk, Singapore, 5.500% due 9/1/99........ 1,090,842
Caisse de Depots et Consignment, Paris, 5.500% due 9/1/99.......... 1,117,746
Credit Commercile de France, Brussels, 5.530% due 9/1/99........... 1,090,843
Credit Communal de Belgique, 5.500% due 9/1/99..................... 1,108,149
Den Danske, Copenhagen, 5.530% due 9/1/99.......................... 1,090,843
Deutsche Bank London, 5.530% due 9/1/99............................ 996,964
Dresdner Bank, 5.500% due 9/1/99................................... 1,015,550
Fortis Bank, 5.550% due 9/1/99..................................... 1,090,843
Kredietbank, Grand Cayman, 5.530% due 9/1/99....................... 1,093,694
Landesbank Hessen Thuringen, 5.530% due 9/1/99..................... 996,964
National Bank of Australia, London, 5.530% due 9/1/99.............. 996,964
Nordeutsche Lendesbank, London, 5.560% due 9/1/99.................. 1,090,842
Skandanaviska Enskilda Banken, 5.530% due 9/1/99................... 996,964
Societe Generale, 5.530% due 9/1/99................................ 1,090,843
Repurchase Agreement:
Morgan Stanley Dean Witter & Co., 5.540% due 9/1/99................ 839,907
- --------------------------------------------------------------------------------
Total .............................................................. $23,249,979
- --------------------------------------------------------------------------------
</TABLE>
165
<PAGE>
Notes to Financial Statements (continued)
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
Security Description Value
- --------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Abbey National London, 5.530% due 9/1/99........................... $ 368,050
Argentina Caja Postal Banco Hipote, London, 5.530% due 9/1/99...... 368,050
Bank of Austria, 5.560% due 9/1/99................................. 368,050
Bank of Ireland, 5.530% due 9/1/99................................. 368,050
Banque Bruxelles Lambert, London, 5.530% due 9/1/99................ 368,050
Banque National de Paris, London, 5.530% due 9/1/99................ 368,050
Bayerische Landesbank, Paris, 5.530% due 9/1/99.................... 336,376
Bayerische Hypo-Und Vereinsbk, Singapore, 5.500% due 9/1/99........ 368,050
Caisse de Depots et Consignment, Paris, 5.500% due 9/1/99.......... 377,128
Credit Commercile de France, Brussels, 5.530% due 9/1/99........... 368,050
Credit Communal De Belgique, 5.500% due 9/1/99..................... 373,889
Den Danske, Copenhagen, 5.530% due 9/1/99.......................... 368,050
Deutsche Bank London, 5.530% due 9/1/99............................ 336,376
Deutsche Bank, 5.500% due 9/1/99................................... 342,646
Fortis Bank, 5.550% due 9/1/99..................................... 368,050
Kreditbank, Grand Cayman, 5.530% due 9/1/99........................ 369,012
Landesbank Hessen Thuringen, 5.530% due 9/1/99..................... 336,376
National Bank of Australia, London, 5.530% due 9/1/99.............. 336,376
Nordeutsche Lendesbank, London, 5.560%, due 9/1/99................. 368,050
Skandanaviska Enskilda Banken, 5.530% due 9/1/99................... 336,376
Societe Generale, 5.530% due 9/1/99................................ 368,050
Repurchase Agreement:
Morgan Stanley Dean Witter & Co., 5.540% due 9/1/99................ 283,385
- --------------------------------------------------------------------------------
Total .............................................................. $ 7,844,540
- --------------------------------------------------------------------------------
</TABLE>
In addition to the above noted cash collateral, the Portfolios held
securities collateral with market values of $22,360,988 and $1,810,462 for
International Equity Investments and Emerging Markets Equity Investments,
respectively, as of August 31, 1999.
Income earned by the Portfolios from securities lending for the year ended
August 31, 1999 was as follows:
<TABLE>
<CAPTION>
Portfolio Value
- -------------------------------------------------------------------------------
<S> <C>
Balanced Investments.................................................. $ 6,793
Large Capitalization Value Equity Investments......................... 180,282
Large Capitalization Growth Investments............................... 341,560
Small Capitalization Value Equity Investments......................... 153,272
Small Capitalization Growth Investments............................... 948,934
International Equity Investments...................................... 747,347
International Fixed Income Investments................................ 41,256
Emerging Markets Equity Investments................................... 98,898
- -------------------------------------------------------------------------------
</TABLE>
13. Shares of Beneficial Interest
At August 31, 1999, the Fund had an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share. Transactions in
shares were as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
August 31, 1999 August 31, 1998
- -------------------------------------------------------------------------------
<S> <C> <C>
Government Money Investments
Shares sold.................................... 851,220,980 1,099,355,642
Shares issued on reinvestment.................. 14,498,758 20,711,995
Shares reacquired.............................. (938,322,010) (1,133,072,640)
- -------------------------------------------------------------------------------
Net Decrease................................... (72,602,272) (13,005,003)
- -------------------------------------------------------------------------------
High Yield Investments+
Shares sold.................................... 16,355,763 10,454,792
Shares issued on reinvestment.................. 1,897,006 --
Shares reacquired.............................. (6,787,756) (756,251)
- -------------------------------------------------------------------------------
Net Increase................................... 11,465,013 9,698,541
- -------------------------------------------------------------------------------
Intermediate Fixed Income Investments
Shares sold.................................... 33,105,433 39,095,291
Shares issued on reinvestment.................. 4,149,749 3,436,532
Shares reacquired.............................. (31,483,419) (20,002,052)
- -------------------------------------------------------------------------------
Net Increase................................... 5,771,763 22,529,771
- -------------------------------------------------------------------------------
</TABLE>
+ For the period from July 13, 1998 (commencement of operations) to August 31,
1998.
166
<PAGE>
Notes to Financial Statements (continued)
<TABLE>
<CAPTION>
Year Ended Year Ended
August 31, 1999 August 31, 1998
- -------------------------------------------------------------------------------
<S> <C> <C>
Long-Term Bond Investments
Shares sold.................................... 5,357,531 8,276,150
Shares issued on reinvestment.................. 1,563,665 1,145,844
Shares reacquired.............................. (9,354,951) (14,181,520)
- -------------------------------------------------------------------------------
Net Decrease................................... (2,433,755) (4,759,526)
- -------------------------------------------------------------------------------
Municipal Bond Investments
Shares sold.................................... 2,319,842 4,417,346
Shares issued on reinvestment.................. 430,977 304,118
Shares reacquired.............................. (3,370,750) (2,627,627)
- -------------------------------------------------------------------------------
Net Increase (Decrease)........................ (619,931) 2,093,837
- -------------------------------------------------------------------------------
Mortgage Backed Investments
Shares sold.................................... 3,969,941 7,358,796
Shares issued on reinvestment.................. 1,106,705 1,082,069
Shares reacquired.............................. (7,307,074) (6,399,337)
- -------------------------------------------------------------------------------
Net Increase (Decrease)........................ (2,230,428) 2,041,528
- -------------------------------------------------------------------------------
Balanced Investments
Shares sold.................................... 3,008,224 2,452,497
Shares issued on reinvestment.................. 795,738 533,922
Shares reacquired.............................. (3,540,988) (4,163,618)
- -------------------------------------------------------------------------------
Net Increase (Decrease)........................ 262,974 (1,177,199)
- -------------------------------------------------------------------------------
Large Capitalization Value Equity Investments
Shares sold.................................... 52,439,364 52,068,976
Shares issued on reinvestment.................. 19,687,603 24,136,034
Shares reacquired.............................. (67,623,981) (66,567,000)
- -------------------------------------------------------------------------------
Net Increase................................... 4,502,986 9,638,010
- -------------------------------------------------------------------------------
Large Capitalization Growth Investments
Shares sold.................................... 28,217,260 35,772,274
Shares issued on reinvestment.................. 3,921,017 7,127,231
Shares reacquired.............................. (40,273,355) (46,046,208)
- -------------------------------------------------------------------------------
Net Decrease................................... (8,135,078) (3,146,703)
- -------------------------------------------------------------------------------
Small Capitalization Value Equity Investments
Shares sold.................................... 22,411,084 34,807,977
Shares issued on reinvestment.................. 12,459,858 7,115,568
Shares reacquired.............................. (30,998,396) (18,387,418)
- -------------------------------------------------------------------------------
Net Increase................................... 3,872,546 23,536,127
- -------------------------------------------------------------------------------
Small Capitalization Growth Investments
Shares sold.................................... 23,026,786 48,873,021
Shares issued on reinvestment.................. 2,140,083 3,703,449
Shares reacquired.............................. (30,203,582) (28,168,884)
- -------------------------------------------------------------------------------
Net Increase (Decrease)........................ (5,036,713) 24,407,586
- -------------------------------------------------------------------------------
International Equity Investments
Shares sold.................................... 67,405,362 101,615,910
Shares issued on reinvestment.................. 7,749,314 3,453,743
Shares reacquired ............................. (88,204,125) (87,476,593)
- -------------------------------------------------------------------------------
Net Increase (Decrease)........................ (13,049,449) 17,593,060
- -------------------------------------------------------------------------------
International Fixed Income Investments
Shares sold.................................... 12,322,760 13,226,395
Shares issued on reinvestment.................. 1,331,308 1,390,114
Shares reacquired.............................. (7,518,237) (6,892,220)
- -------------------------------------------------------------------------------
Net Increase .................................. 6,135,831 7,724,289
- -------------------------------------------------------------------------------
Emerging Markets Equity Investments
Shares sold.................................... 35,288,902 56,262,428
Shares issued on reinvestment.................. 441,104 2,227,431
Shares reacquired.............................. (41,373,785) (30,029,010)
- -------------------------------------------------------------------------------
Net Increase (Decrease)........................ (5,643,779) 28,460,849
- -------------------------------------------------------------------------------
</TABLE>
167
<PAGE>
Financial Highlights
For a share of beneficial interest outstanding throughout each year ended
August 31:
<TABLE>
<CAPTION>
GOVERNMENT MONEY
INVESTMENTS 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year.................. $1.00 $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------
Net investment in-
come(1)................. 0.04 0.05 0.05 0.05 0.05
Dividends from net in-
vestment income......... (0.04) (0.05) (0.05) (0.05) (0.05)
- --------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $1.00 $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------
Total Return.............. 4.53% 5.10% 4.98% 5.02% 5.24%
- --------------------------------------------------------------------------------
Net Assets, End of Year
(000s)................... $303,160 $375,761 $388,713 $278,162 $241,590
- --------------------------------------------------------------------------------
Ratios to Average Net As-
sets:
Expenses(1).............. 0.60% 0.60% 0.60% 0.60% 0.60%
Net investment income.... 4.46 4.99 4.91 4.93 5.14
- --------------------------------------------------------------------------------
<CAPTION>
HIGH YIELD INVESTMENTS 1999(2) 1998(3)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year.................. $7.89 $8.00
- --------------------------------------------------------------------------------
Income (Loss) From Opera-
tions:
Net investment in-
come(1)................. 0.83 0.05
Net realized and
unrealized loss......... (0.54) (0.16)
- --------------------------------------------------------------------------------
Total Income (Loss) From
Operations............... 0.29 (0.11)
- --------------------------------------------------------------------------------
Less Distributions From:
Net investment income.... (0.83) --
Net realized gains....... (0.02) --
- --------------------------------------------------------------------------------
Total Distributions....... (0.85) --
- --------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $7.33 $7.89
- --------------------------------------------------------------------------------
Total Return.............. 3.67% (1.38)%++
- --------------------------------------------------------------------------------
Net Assets, End of Year
(000s)................... $155,057 $76,557
- --------------------------------------------------------------------------------
Ratios to Average Net As-
sets:
Expenses(1).............. 1.19% 1.20%+
Net investment income.... 10.62 7.37+
- --------------------------------------------------------------------------------
Portfolio Turnover Rate... 122% 13%
- --------------------------------------------------------------------------------
</TABLE>
(1) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Net Investment Income Expense Ratios Without Waivers
Per Share Decrease and Reimbursements
------------------------------- --------------------------------------
Portfolio 1999 1998 1997 1996 1995 1999 1998 1997 1996 1995
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Government Money
Investments............ $0.00* $0.00* $0.01 $0.01 $0.05 0.71% 0.66% 0.64% 0.72% 0.74%
High Yield Investments.. N/A 0.01 N/A N/A N/A N/A 2.42+ N/A N/A N/A
</TABLE>
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the period from July 13, 1998 (commencement of operations) to August
31, 1998.
* 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.
168
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31:
<TABLE>
<CAPTION>
INTERMEDIATE FIXED INCOME
INVESTMENTS 1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Year......................... $8.19 $8.06 $7.92 $8.10 $7.92
- ---------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment income........ 0.44 0.48 0.50 0.50 0.50
Net realized and unrealized
gain (loss)................. (0.35) 0.15 0.14 (0.17) 0.16
- ---------------------------------------------------------------------------------
Total Income From Operations.. 0.09 0.63 0.64 0.33 0.66
- ---------------------------------------------------------------------------------
Less Distributions From:
Net investment income........ (0.45) (0.50) (0.50) (0.51) (0.48)
- ---------------------------------------------------------------------------------
Total Distributions........... (0.45) (0.50) (0.50) (0.51) (0.48)
- ---------------------------------------------------------------------------------
Net Asset Value, End of Year.. $7.83 $8.19 $8.06 $7.92 $8.10
- ---------------------------------------------------------------------------------
Total Return.................. 1.07% 8.00% 8.23% 4.08% 8.70%
- ---------------------------------------------------------------------------------
Net Assets, End of Year
(000s)....................... $594,666 $574,998 $384,094 $296,053 $246,323
- ---------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses..................... 0.61% 0.73% 0.73% 0.73% 0.80%
Net investment income........ 4.53 5.95 6.19 5.78 6.40
- ---------------------------------------------------------------------------------
Portfolio Turnover Rate....... 207% 63% 118% 98% 98%
- ---------------------------------------------------------------------------------
</TABLE>
169
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31:
<TABLE>
<CAPTION>
LONG-TERM BOND INVESTMENTS 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year.................. $9.05 $8.26 $7.87 $8.23 $7.86
- --------------------------------------------------------------------------------
Income (Loss) From Opera-
tions:
Net investment in-
come(1)................. 0.49 0.52 0.53 0.51 0.45
Net realized and
unrealized gain (loss).. (1.00) 0.78 0.46 (0.41) 0.36
- --------------------------------------------------------------------------------
Total Income (Loss) From
Operations............... (0.51) 1.30 0.99 0.10 0.81
- --------------------------------------------------------------------------------
Less Distributions From:
Net investment income.... (0.50) (0.51) (0.59) (0.46) (0.44)
Net realized gains....... (0.34) -- -- -- --
Capital.................. -- -- (0.01) -- --
- --------------------------------------------------------------------------------
Total Distributions....... (0.84) (0.51) (0.60) (0.46) (0.44)
- --------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $7.70 $9.05 $8.26 $7.87 $8.23
- --------------------------------------------------------------------------------
Total Return.............. (6.19)% 16.22% 12.93% 1.11% 10.71%
- --------------------------------------------------------------------------------
Net Assets, End of Year
(000s)................... $115,355 $157,612 $183,051 $155,910 $137,545
- --------------------------------------------------------------------------------
Ratios to Average Net As-
sets:
Expenses(1).............. 0.80% 0.82% 0.78% 0.80% 0.80%
Net investment income.... 5.81 5.96 6.54 6.18 5.80
- --------------------------------------------------------------------------------
Portfolio Turnover Rate... 30% 63% 34% 125% 62%
- --------------------------------------------------------------------------------
<CAPTION>
MUNICIPAL BOND INVESTMENTS 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year.................. $8.92 $8.62 $8.26 $8.27 $8.06
- --------------------------------------------------------------------------------
Income (Loss) From Opera-
tions:
Net investment in-
come(1)................. 0.35 0.36 0.38 0.38 0.40
Net realized and
unrealized gain (loss).. (0.57) 0.32 0.34 -- 0.21
- --------------------------------------------------------------------------------
Total Income (Loss) From
Operations............... (0.22) 0.68 0.72 0.38 0.61
- --------------------------------------------------------------------------------
Less Distributions From:
Net investment income.... (0.35) (0.38) (0.36) (0.39) (0.40)
In excess of net invest-
ment income............. -- (0.00)* -- -- --
Net realized gains....... (0.13) -- -- -- (0.00)*
- --------------------------------------------------------------------------------
Total Distributions....... (0.48) (0.38) (0.36) (0.39) (0.40)
- --------------------------------------------------------------------------------
Net Asset Value, End of
Year..................... $8.22 $8.92 $8.62 $8.26 $8.27
- --------------------------------------------------------------------------------
Total Return.............. (2.60)% 8.09% 8.88% 4.62% 7.86%
- --------------------------------------------------------------------------------
Net Assets, End of Year
(000s)................... $61,743 $72,511 $52,024 $46,485 $45,356
- --------------------------------------------------------------------------------
Ratios to Average Net As-
sets:
Expenses(1).............. 0.78% 0.80% 0.80% 0.80% 0.80%
Net investment income.... 4.03 4.20 4.50 4.59 4.99
- --------------------------------------------------------------------------------
Portfolio Turnover Rate... 142% 160% 31% 29% 49%
- --------------------------------------------------------------------------------
</TABLE>
(1) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Expense Ratios
Net Investment Income Without Waivers
Per Share Decrease and/or Reimbursements
------------------------ ---------------------
Portfolio 1997 1996 1995 1997 1996 1995
--------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Long-Term Bond
Investments............ N/A N/A $ 0.01 N/A N/A 0.93%
Municipal Bond
Investments............ $0.00* $0.02 0.02 0.83% 1.02% 1.04
</TABLE>
* Amount represents less than $0.01 per share.
170
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31:
<TABLE>
<CAPTION>
MORTGAGE BACKED INVESTMENTS 1999 1998 1997 1996(1) 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year.................... $8.13 $7.96 $7.74 $7.91 $7.69
- --------------------------------------------------------------------------------
Income (Loss) From Opera-
tions:
Net investment income(2)... 0.45 0.46 0.48 0.48 0.51
Net realized and unrealized
gain (loss)............... (0.34) 0.19 0.25 (0.14) 0.22
- --------------------------------------------------------------------------------
Total Income From Opera-
tions...................... 0.11 0.65 0.73 0.34 0.73
- --------------------------------------------------------------------------------
Less Distributions From:
Net investment income...... (0.45) (0.48) (0.51) (0.48) (0.49)
Net realized gains......... (0.05) -- -- -- --
Capital.................... (0.01) -- -- (0.03) (0.02)
- --------------------------------------------------------------------------------
Total Distributions......... (0.51) (0.48) (0.51) (0.51) (0.51)
- --------------------------------------------------------------------------------
Net Asset Value, End of
Year....................... $7.73 $8.13 $7.96 $7.74 $7.91
- --------------------------------------------------------------------------------
Total Return................ 1.30% 8.37% 9.69% 4.37% 9.96%
- --------------------------------------------------------------------------------
Net Assets, End of Year
(000s)..................... $131,039 $156,043 $136,586 $120,945 $104,789
- --------------------------------------------------------------------------------
Ratios to Average Net As-
sets:
Expenses(2)................ 0.80% 0.80% 0.80% 0.80% 0.80%
Net investment income...... 5.67 5.69 6.08 6.09 6.85
- --------------------------------------------------------------------------------
Portfolio Turnover Rate..... 87% 214% 94% 23% 30%
- --------------------------------------------------------------------------------
<CAPTION>
BALANCED INVESTMENTS 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year.................... $10.87 $12.01 $10.00 $9.37 $8.63
- --------------------------------------------------------------------------------
Income (Loss) From Opera-
tions:
Net investment income(2)... 0.25 0.26 0.27 0.29 0.26
Net realized and unrealized
gain (loss)............... 1.74 (0.53) 2.27 0.95 0.81
- --------------------------------------------------------------------------------
Total Income (Loss) From Op-
erations................... 1.99 (0.27) 2.54 1.24 1.07
- --------------------------------------------------------------------------------
Less Distributions From:
Net investment income...... (0.29) (0.30) (0.27) (0.28) (0.29)
Net realized gains......... (1.16) (0.57) (0.26) (0.33) (0.04)
- --------------------------------------------------------------------------------
Total Distributions......... (1.45) (0.87) (0.53) (0.61) (0.33)
- --------------------------------------------------------------------------------
Net Asset Value, End of
Year....................... $11.41 $10.87 $12.01 $10.00 $9.37
- --------------------------------------------------------------------------------
Total Return................ 18.78% (2.85)% 26.05% 13.60% 12.76%
- --------------------------------------------------------------------------------
Net Assets, End of Year
(000s)..................... $74,866 $68,470 $89,789 $50,281 $30,268
- --------------------------------------------------------------------------------
Ratios to Average Net As-
sets:
Expenses(2)................ 0.85% 1.00% 1.00% 1.00% 1.00%
Net investment income...... 1.77 1.92 2.49 2.85 3.28
- --------------------------------------------------------------------------------
Portfolio Turnover Rate..... 332% 57% 67% 47% 47%
- --------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method.
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Net Investment Income Expense Ratios Without Waivers
Per Share Decrease and/or Reimbursements
------------------------------ --------------------------------------
Portfolio 1999 1998 1997 1996 1995 1999 1998 1997 1996 1995
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mortgage Backed
Investments............ $0.01 $0.01 $0.01 $0.01 $0.02 0.91% 0.93% 0.93% 0.94% 1.09%
Balanced Investments.... N/A N/A 0.00* 0.03 0.06 N/A N/A 1.02 1.26 1.75
</TABLE>
* Amount represents less than $0.01 per share.
171
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31:
<TABLE>
<CAPTION>
LARGE CAPITALIZATION VALUE EQUITY
INVESTMENTS 1999 1998 1997 1996 1995(1)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year.... $12.28 $14.91 $11.55 $10.42 $9.39
- ------------------------------------------------------------------------------
Income From Operations:
Net investment income(2)............. 0.17 0.16 0.23 0.26 0.27
Net realized and unrealized gain..... 2.94 0.08 4.09 1.25 1.16
- ------------------------------------------------------------------------------
Total Income From Operations.......... 3.11 0.24 4.32 1.51 1.43
- ------------------------------------------------------------------------------
Less Distributions From:
Net investment income................ (0.18) (0.11) (0.34) (0.24) (0.24)
Net realized gains................... (1.68) (2.76) (0.62) (0.14) (0.16)
- ------------------------------------------------------------------------------
Total Distributions................... (1.86) (2.87) (0.96) (0.38) (0.40)
- ------------------------------------------------------------------------------
Net Asset Value, End of Year.......... $13.53 $12.28 $14.91 $11.55 $10.42
- ------------------------------------------------------------------------------
Total Return.......................... 26.36% 0.03% 38.98% 14.75% 16.14%
- ------------------------------------------------------------------------------
Net Assets, End of Year (millions).... $1,946 $1,712 $1,935 $1,512 $1,070
- ------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(2).......................... 0.75% 0.80% 0.78% 0.80% 0.83%
Net investment income................ 1.10 1.18 1.70 2.31 2.93
- ------------------------------------------------------------------------------
Portfolio Turnover Rate............... 54% 57% 70% 24% 21%
- ------------------------------------------------------------------------------
<CAPTION>
LARGE CAPITALIZATION GROWTH
INVESTMENTS 1999 1998 1997 1996 1995
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year.... $17.30 $17.27 $13.10 $12.13 $10.00
- ------------------------------------------------------------------------------
Income From Operations:
Net investment income(2)............. 0.01 0.04 0.07 0.07 0.09
Net realized and unrealized gain..... 7.87 1.31 4.72 1.46 2.13
- ------------------------------------------------------------------------------
Total Income From Operations.......... 7.88 1.35 4.79 1.53 2.22
- ------------------------------------------------------------------------------
Less Distributions From:
Net investment income................ (0.01) (0.08) (0.08) (0.06) (0.08)
Net realized gains................... (0.82) (1.24) (0.54) (0.50) (0.01)
- ------------------------------------------------------------------------------
Total Distributions................... (0.83) (1.32) (0.62) (0.56) (0.09)
- ------------------------------------------------------------------------------
Net Asset Value, End of Year.......... $24.35 $17.30 $17.27 $13.10 $12.13
- ------------------------------------------------------------------------------
Total Return.......................... 46.29% 7.81% 37.47% 12.89% 22.30%
- ------------------------------------------------------------------------------
Net Assets, End of Year (millions).... $2,326 $1,793 $1,845 $1,205 $782
- ------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(2).......................... 0.68% 0.76% 0.69% 0.83% 0.88%
Net investment income ............... 0.06 0.16 0.50 0.63 0.98
- ------------------------------------------------------------------------------
Portfolio Turnover Rate............... 34% 39% 65% 40% 38%
- ------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method.
(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 1995
--------- -------------- --------------
<S> <C> <C>
Large Capitalization Value Equity
Investments................................. $0.01 0.93%
Large Capitalization Growth Investments...... 0.00* 0.98
</TABLE>
* Amount represents less than $0.01 per share.
172
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31:
<TABLE>
<CAPTION>
SMALL CAPITALIZATION VALUE
EQUITY INVESTMENTS 1999 1998(1) 1997 1996 1995
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Year.............................. $11.11 $14.45 $11.11 $10.01 $ 9.03
- ------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment income(2).......... 0.19 0.17 0.19 0.16 0.15
Net realized and unrealized gain
(loss)........................... 1.28 (1.66) 4.22 1.08 0.95
- ------------------------------------------------------------------------------
Total Income (Loss) From Opera-
tions............................. 1.47 (1.49) 4.41 1.24 1.10
- ------------------------------------------------------------------------------
Less Distributions From:
Net investment income............. (0.20) (0.13) (0.19) (0.14) (0.12)
Net realized gains................ (1.82) (1.72) (0.88) -- (0.00)*
- ------------------------------------------------------------------------------
Total Distributions................ (2.02) (1.85) (1.07) (0.14) (0.12)
- ------------------------------------------------------------------------------
Net Asset Value, End of Year....... $10.56 $11.11 $14.45 $11.11 $10.01
- ------------------------------------------------------------------------------
Total Return....................... 13.61% (12.84)% 42.40% 12.48% 12.50%
- ------------------------------------------------------------------------------
Net Assets, End of Year (mil-
lions)............................ $744 $740 $622 $479 $340
- ------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(2)....................... 0.96% 0.94% 0.90% 0.95% 1.11%
Net investment income............. 1.70 1.45 1.62 1.52 1.54
- ------------------------------------------------------------------------------
Portfolio Turnover Rate............ 53% 59% 53% 39% 115%
- ------------------------------------------------------------------------------
<CAPTION>
SMALL CAPITALIZATION GROWTH
INVESTMENTS 1999 1998 1997 1996 1995(1)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Year.............................. $12.83 $18.29 $17.79 $17.19 $12.50
- ------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment loss(2)............ (0.07) (0.07) (0.06) (0.08) (0.05)
Net realized and unrealized gain
(loss)........................... 5.68 (4.23) 2.87 3.36 4.81
- ------------------------------------------------------------------------------
Total Income (Loss) From Opera-
tions............................. 5.61 (4.30) 2.81 3.28 4.76
- ------------------------------------------------------------------------------
Less Distributions From:
Net realized gains................ (0.51) (1.16) (2.31) (2.68) (0.07)
- ------------------------------------------------------------------------------
Total Distributions................ (0.51) (1.16) (2.31) (2.68) (0.07)
- ------------------------------------------------------------------------------
Net Asset Value, End of Year....... $17.93 $12.83 $18.29 $17.79 $17.19
- ------------------------------------------------------------------------------
Total Return....................... 44.32% (25.10)% 17.53% 21.33% 38.25%
- ------------------------------------------------------------------------------
Net Assets, End of Year (mil-
lions)............................ $1,109 $859 $777 $494 $315
- ------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(2)....................... 0.93% 1.01% 0.90% 1.00% 1.14%
Net investment loss............... (0.39) (0.43) (0.39) (0.49) (0.35)
- ------------------------------------------------------------------------------
Portfolio Turnover Rate............ 108% 91% 81% 83% 174%
- ------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method.
(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 1995
--------- -------------- --------------
<S> <C> <C>
Small Capitalization Value Equity
Investments................................. $0.00* 1.13%
Small Capitalization Growth Investments...... 0.00* 1.16
</TABLE>
* Amount represents less than $0.01 per share.
173
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31:
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INVESTMENTS 1999 1998 1997 1996 1995
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year.... $10.69 $10.63 $10.49 $10.50 $10.86
- -------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment income................ 0.09 0.14 0.09 -- 0.05
Net realized and unrealized gain
(loss).............................. 2.39 0.21 0.87 0.44 (0.09)
- -------------------------------------------------------------------------------
Total Income (Loss) From Operations... 2.48 0.35 0.96 0.44 (0.04)
- -------------------------------------------------------------------------------
Less Distributions From:
Net investment income................ (0.15) (0.17) (0.12) (0.17) --
Net realized gains................... (0.59) (0.12) (0.70) (0.28) (0.32)
- -------------------------------------------------------------------------------
Total Distributions................... (0.74) (0.29) (0.82) (0.45) (0.32)
- -------------------------------------------------------------------------------
Net Asset Value, End of Year.......... $12.43 $10.69 $10.63 $10.49 $10.50
- -------------------------------------------------------------------------------
Total Return.......................... 24.06% 3.53% 9.53% 4.23% (0.18)%
- -------------------------------------------------------------------------------
Net Assets, End of Year (millions).... $1,385 $1,331 $1,136 $844 $663
- -------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(1).......................... 0.82% 0.90% 0.97% 1.00% 1.19%
Net investment income (loss)......... 0.90 1.23 0.70 (0.12) 0.43
- -------------------------------------------------------------------------------
Portfolio Turnover Rate............... 45% 45% 32% 50% 28%
- -------------------------------------------------------------------------------
</TABLE>
(1) 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.
174
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31:
<TABLE>
<CAPTION>
INTERNATIONAL FIXED INCOME
INVESTMENTS 1999(1) 1998 1997 1996 1995
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year .................. $8.34 $8.21 $9.11 $9.01 $8.17
- -------------------------------------------------------------------------------
Income (Loss) From Opera-
tions:
Net investment income(2).. 0.42 0.51 0.51 0.55 0.56
Net realized and
unrealized gain (loss)... (0.24) 0.31 (0.62) 0.49 0.84
- -------------------------------------------------------------------------------
Total Income (Loss) From
Operations................ 0.18 0.82 (0.11) 1.04 1.40
- -------------------------------------------------------------------------------
Less Distributions From:
Net investment income..... (0.42) (0.27) (0.55) (0.94) (0.56)
Net realized gains........ -- (0.34) (0.24) -- --
Capital................... (0.00)* (0.08) -- -- --
- -------------------------------------------------------------------------------
Total Distributions........ (0.42) (0.69) (0.79) (0.94) (0.56)
- -------------------------------------------------------------------------------
Net Asset Value, End of
Year...................... $8.10 $8.34 $8.21 $9.11 $9.01
- -------------------------------------------------------------------------------
Total Return............... 2.30% 10.45% (1.52)% 12.05% 17.66%
- -------------------------------------------------------------------------------
Net Assets, End of Year
(000s).................... $236,254 $192,068 $125,610 $129,410 $105,884
- -------------------------------------------------------------------------------
Ratios to Average Net As-
sets:
Expenses(2)(3)............ 0.94% 0.97% 0.99% 1.02% 0.95%
Net investment income..... 4.85 5.39 5.87 6.34 6.50
- -------------------------------------------------------------------------------
Portfolio Turnover Rate.... 204% 211% 251% 211% 307%
- -------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method.
(2) For the year ended August 31, 1995, expense ratios and the per share
decreases in net investment income before fee waivers and/or expense
reimbursements would have been 1.18% and $0.02, respectively.
(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 $0.00 per share.
175
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31:
<TABLE>
<CAPTION>
EMERGING MARKETS EQUITY
INVESTMENTS 1999(1) 1998 1997 1996 1995(1)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Year........................ $4.37 $9.31 $8.50 $7.85 $9.49
- --------------------------------------------------------------------------------
Income (Loss) From Opera-
tions:
Net investment income(2).... 0.05 0.06 0.04 0.03 0.01
Net realized and unrealized
gain (loss)................ 2.36 (4.44) 0.79 0.62 (1.45)
- --------------------------------------------------------------------------------
Total Income (Loss) From Op-
erations.................... 2.41 (4.38) 0.83 0.65 (1.44)
- --------------------------------------------------------------------------------
Less Distributions From:
Net investment income....... (0.04) (0.10) (0.01) -- --
Net realized gains.......... -- (0.46) (0.01) -- (0.20)
- --------------------------------------------------------------------------------
Total Distributions.......... (0.04) (0.56) (0.02) -- (0.20)
- --------------------------------------------------------------------------------
Net Asset Value, End of
Year........................ $6.74 $4.37 $9.31 $8.50 $7.85
- --------------------------------------------------------------------------------
Total Return................. 55.37% (49.49)% 9.88% 8.28% (15.13)%
- --------------------------------------------------------------------------------
Net Assets, End of Year
(000s)...................... $317,626 $230,526 $226,280 $97,489 $59,333
- --------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(2)(3).............. 1.72% 1.69% 1.60% 1.84% 1.75%
Net investment income....... 0.84 0.80 0.39 0.26 0.15
- --------------------------------------------------------------------------------
Portfolio Turnover Rate...... 135% 139% 105% 106% 89%
- --------------------------------------------------------------------------------
</TABLE>
(1) Per share amounts have been calculated using the monthly average shares
method.
(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 1996 1995 1996 1995
--------- ------- ------- ------- -------
<S> <C> <C> <C> <C>
Emerging Markets Equity Investments........ $ 0.01 $ 0.02 1.97% 1.96%
</TABLE>
(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
Emerging Markets Equity Investments would be 1.80%; prior year numbers have
not been restated to reflect these numbers.
176
<PAGE>
Portfolio Highlights -- Government Money Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
Government Money Investments Without TRAK Fee+ With TRAK Fee+
---------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 4.53% 2.98%
Three Years Ended 8/31/99 4.87 3.31
Five Years Ended 8/31/99 4.97 3.41
Inception (11/18/91) through 8/31/99 4.29 2.74
</TABLE>
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
For the year ended August 31, 1999, Government Money Investments
("Portfolio") had a total return of 4.53% versus 4.57%, for 90-Day T-Bills, the
Portfolio's benchmark.
Standish, Ayer & Wood is the advisor for the Portfolio. During the second
half of 1998, interest rates fell dramatically across the yield curve as
economic problems in Asia spread to Russia and South America. Currencies of
these countries were under enormous pressure, which led to an unrelenting
appetite for U.S. Treasury securities. During the fourth quarter, the Federal
Reserve Board ("Fed") engineered three reductions in short-term interest rates,
totaling 75 basis points, between September 25 and October 15. These moves were
made primarily to address a growing lack of liquidity in the capital markets.
Consequently, the Fed's easing of monetary policy helped to alleviate these
pressures as well as head off a potential economic downturn in the U.S.
As the world turned into 1999, so began the slow road to recovery for the
financial markets. During the first half of the year, interest rates in the
United States increased dramatically due to the unwinding of the flight to
quality that took place in October of 1998. By March 31, the two to thirty year
portion of the yield curve increased approximately 50 basis points on early
signs that the crisis was beginning to cool. By June 30, interest rates were
100 basis points higher.
The second quarter saw evidence that the high-risk countries in Asia and
South America had indeed begun to rebound from near economic collapse, while
the U.S. economy continued to expand without visible signs of inflationary
pressures. Despite the fragile nature of the global economy, low unemployment,
rising wages and a lofty stock market kept the Fed vigilant on the inflation
front. Consequently, interest rates continued to rise in the second quarter,
compounded by massive issuance of non-Treasury bonds. The Federal Reserve Bank
reacted to the deteriorating inflation fundamentals by adopting a bias toward
higher interest rates at the May 18 Federal Open Market Committee meeting.
Despite consistent gains in productivity, the Fed initiated a 25 basis point
increase in the federal funds rate to 5% at the June 30 meeting.
At the beginning of the third quarter, concern continued to mount that the
tight labor market and higher oil prices could begin to push inflation higher.
The Fed moved to increase the federal funds rate again by 25 basis points on
August 24. At this juncture, the Fed seems satisfied given the weaker than
expected second quarter gross domestic product performance of 1.4% with
inflation showing no signs of accelerating. In addition, the Fed has been
adding liquidity to position the banking system for Y2K.
177
<PAGE>
Portfolio Highlights -- High Yield Investments as of August 31, 1999
For the year ended August 31, 1999, High Yield Investments ("Portfolio") had
a total return of 3.67% versus 4.74% for the CS First Boston High Yield Bond
Index ("Index"), the Portfolio's benchmark.
Alliance Capital Management is the advisor for the Portfolio. During the
period under review, the relatively negative tone in the market was indicative
of investor unease surrounding interest rates, Y2K, illiquidity in the bond
markets, and Wall Street's willingness to overwhelm the high yield market with
new deals in the face of lackluster demand. The Portfolio cash positions are
relatively low, and new transactions are currently re-pricing a thin secondary
market. At August 31, the Index was yielding 11.84% or 5.94% yield spread to
Treasuries. The yield spread is approximately 0.3% wider than three months ago,
and is significantly wider than June 30, 1998, when the market yield spread to
Treasuries was 4.17%. Despite the weakness, the Index returned 1.96% year-to-
date, outperforming both the 10-year Treasury index (negative 7.20%) and
investment-grade corporate securities index (negative 3.07%).
The Portfolio is well positioned to provide above-average income without
experiencing unusual volatility on the downside. The securities in the
Portfolio are predominantly cash paying with the Portfolio yielding 13.5%.
Assuming proper credit selection, the higher yield should shelter the Portfolio
against rising rates and allow the Portfolio to continue paying a higher than
market dividend. More volatile zero-coupon and equity securities are
significantly underweight at 3.4%, versus the market at 11% and other like
mutual funds at 20%. The Portfolio is well diversified, holding 104 different
issuers, covering 25 industries. The three largest industry exposures and their
weightings are general industrial (14%), communications (11%) and consumer
staples (7%).
Like other high-yield managers in this environment, the Portfolio does
currently hold some underperforming securities at depressed prices. Our style
of focusing on smaller "brick and mortar" B-quality issues, emphasizing yield,
has worked against us in this illiquid market. We believe the current market
yield spread of 6% to Treasuries compensates for past and potential problems
and expect the market default experience to level off in the 5% to 6% range,
and to start declining in a year or so. This assumes the economy will continue
to grow at 2% to 3% and capital remains available to deserving high-yield
issuers.
Although the Portfolio has been negatively impacted by its small- to medium-
size and B-quality orientation, the performance has held up relatively well due
to its above-average yield. The market today is relatively thin and being
pressured by excess supply. Although prices are generally quoted down
significantly, there is still very little secondary sell activity. In a way,
this situation is not unlike that of October 1998 prior to the rally in equity
and "spread" debt markets. The high-yield market needs "a breather", where
investors can focus on its core value and factor in the strong underlying
fundamentals of a growing economy, low interest rates, and low inflation.
178
<PAGE>
Portfolio Highlights -- High Yield Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
High Yield Investments Without TRAK Fee+ With TRAK Fee+
---------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 3.67% 2.14%
Inception (7/13/98) through 8/31/99 1.98 0.47
</TABLE>
+The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
Hypothetical Illustration of $10,000 Invested in
High Yield Investments
vs.
CS First Boston High Yield Index
July 13, 1998 through August 31, 1999
(unaudited)
[CHART]
High Yield High Yield CS First
Investments+* Investments+* Boston High
(With Trak Fee) (Without Trak Fee) Yield Index
--------------- ------------------ -----------
7/13/98 10,000 10,000 10,000
Aug/98 9,843 9,863 9,321
Nov/98 10,182 10,241 9,598
Feb/99 10,064 10,160 9,646
May/99 10,225 10,361 9,842
8/31/99 10,053 10,225 9,764
- --------------------------------------------------------------------------------
The CS First Boston High Yield Index is a broad-based market measure of high
yield bonds, commonly known as "junk bonds." Because the index is not a managed
portfolio, there are no advisory fees or internal management expenses reflected
in the index's performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
179
<PAGE>
Portfolio Highlights -- Intermediate Fixed Income Investments as of August 31,
1999
For the year ended August 31, 1999, Intermediate Fixed Income Investments
("Portfolio") had a total return of 1.07% versus 2.20% for the Lehman Brothers
Government/Corporate Intermediate Bond Index, the Portfolio's benchmark.
During the period under review, Consulting Group, in its capacity as
investment manager to the Portfolio, recommended and the Board of Trustees
approved, retaining PIMCO as an additional advisor to the Portfolio. Since
April 1, 1999, the Portfolio's assets have been allocated 60% to Standish, Ayer
& Wood ("Standish") and 40% to PIMCO.
With respect to the assets allocated to Standish, the period under review was
one of the most volatile in recent memory. Encompassed in this time period was
the global crisis during the latter part of 1998 that wreaked havoc on many
market participants, including a number of hedge funds and financial
institutions. Without a concerted effort by global monetary authorities, the
problem likely would have spread and resulted in even more problems than
actually occurred.
The Portfolio was negatively impacted by these issues. In this environment,
there was a dramatic flight to quality and severe underperformance on any non-
Treasury security. Although Standish had higher than normal allocations to
Treasuries, the Portfolio still experienced underperformance on their corporate
bond and mortgage holdings. Early in 1999, the market environment improved,
beginning to show signs of a reversal of the previous year's trends. However,
as 1999 has worn on, there has been a decrease in liquidity and further
underperformance of non-Treasury securities.
During the five-month period that PIMCO has managed a portion of the
Portfolio's assets, interest rates rose with 2- to 10-year Treasuries
increasing 65 basis points. The Federal Reserve Board, responding to strong
economic growth and inflation concerns, increased the fed funds rate by 50
basis points (with 25 basis point hikes in both June and August). Duration for
the PIMCO allocation was a slight positive as it averaged just below benchmark.
PIMCO's underweight in corporates was also aided performance as corporate yield
spreads continued to widen versus Treasuries.
180
<PAGE>
Portfolio Highlights -- Intermediate Fixed Income Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
Intermediate Fixed Income
Investments Without TRAK Fee+ With TRAK Fee+
------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 1.07% (0.43)%
Three Years Ended 8/31/99 5.72 4.15
Five Years Ended 8/31/99 5.97 4.40
Inception (11/18/91) through 8/31/99 5.98 4.40
</TABLE>
Hypothetical Illustration of $10,000 Invested in
Intermediate Fixed Income Investments
vs.
Lehman Brothers Intermediate Government/Corporate Bond Index
November 18, 1991 through August 31, 1999
(unaudited)
[GRAPH]
Intermediate Fixed Intermediate Fixed Lehman Brothers Inter-
Income Investments+* Income Investments+* mediate Gov't/Corp.
(With Trak Fee) (Without Trak Fee) Bond Index
--------------- ------------------ ----------
11/18/91 10,000 10,000 10,000
8/31/92 10,628 10,758 10,872
8/31/94 11,278 11,758 11,836
8/31/95 12,078 12,781 12,957
8/31/96 12,884 13,802 13,532
8/31/97 13,205 14,398 14,660
8/31/98 14,049 15,550 15,976
8/31/99 13,989 15,716 16,030
8/31/99 13,989 15,716 16,030
- --------------------------------------------------------------------------------
The Lehman Brothers Intermediate Government/Corporate Bond Index is a weighted
composite of (i) Lehman Brothers Intermediate Government Bond Index, which is
comprised of all publicly issued, non-convertible debt of the U.S. government
or any agency thereof, quasi-federal corporations, and corporate debt
guaranteed by the U.S. government with a maturity between one and ten years and
(ii) Lehman Brothers Corporate Bond Index, which is comprised of all public
fixed-rate, non-convertible investment-grade domestic corporate debt with a
maturity of between one and ten years, excluding collateralized mortgage
obligations. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
181
<PAGE>
Portfolio Highlights -- Intermediate Fixed Income Investments (continued)
Hypothetical Illustration of $10,000 Invested in
Intermediate Fixed Income Investments
vs.
Lehman Brothers Intermediate Government/Corporate Bond Index
August 31, 1996 through August 31, 1999
(unaudited)
[GRAPH]
Intermediate Intermediate Lehman Brothers
Fixed Income Fixed Income Intermediate
Investment+* Investment+* Gove't/Corp.
(With Trak Fee) (Without Trak Fee) Bond Index
--------------- ------------------ ----------
Aug/96 10,000 10,000 10,000
Aug/97 10,666 10,824 10,834
Aug/98 11,845 11,690 11,806
Aug/99 11,296 11,815 11,846
- --------------------------------------------------------------------------------
The Lehman Brothers Intermediate Government/Corporate Bond Index is a weighted
composite of (i) Lehman Brothers Intermediate Government Bond Index, which is
comprised of all publicly issued, non-convertible debt of the U.S. government
or any agency thereof, quasi-federal corporations, and corporate debt
guaranteed by the U.S. government with a maturity between one and ten years and
(ii) Lehman Brothers Corporate Bond Index, which is comprised of all public
fixed-rate, non-convertible investment-grade domestic corporate debt with a
maturity of between one and ten years, excluding collateralized mortgage
obligations. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
182
<PAGE>
Portfolio Highlights -- Long-Term Bond Investments as of August 31, 1999
For the year ended August 31, 1999, Long-Term Bond Investments ("Portfolio")
had a total return of negative 6.19% versus negative 3.87% for the Lehman
Brothers Government/Corporate Bond Index ("Index"), the Portfolio's benchmark.
National Asset Management's long-term fixed-income approach focused on sector
allocation, duration management, and security selection. For the period under
review, the return was below the Index, due primarily to the subsector make-up
of our corporate allocation. The Portfolio was overweighted in industrial and
financial services, and underweighted in Yankee Bonds and BBB rated credits.
Going forward, it is expected that the investment strategy will be to
maintain a slightly positive duration stance, with a concentration in
securities with maturities in the years 2015 to 2020, and an underweighting in
callable issues. In addition, the Portfolio will continue to overweight
corporate bonds while maintaining a modest allocation to mortgages. The yield
spreads available in corporates and mortgages are still quite attractive, and
should provide the Portfolio solid income as well as the potential for
appreciation while still maintaining a high quality profile.
The approach is consistent with National Asset Management's belief that
interest rates are in a long term downward trend based on the stable rate of
inflation, a modestly growing economy, and the Federal Reserve Board's
commitment to price stability.
183
<PAGE>
Portfolio Highlights -- Long-Term Bond Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
Long-Term Bond Investments Without TRAK Fee+ With TRAK Fee+
-------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 (6.19)% (7.58)%
Three Years Ended 8/31/99 7.18 5.59
Five Years Ended 8/31/99 6.62 5.04
Inception (11/18/91) through 8/31/99 6.04 4.47
</TABLE>
Hypothetical Illustration of $10,000 Invested in
Long-Term Bond Investments
vs.
Lehman Brothers Government/Corporate Bond Index
November 18, 1991 through August 31, 1999
(unaudited)
[CHART]
Long-Term Bond Long-Term Bond Lehman Brothers
Investment+* Investment+* Gov't/Corp.
(With Trak Fee) (Without Trak Fee) Bond Index
--------------- ------------------ ----------
11/18/91 10,000 10,000 10,000
8/31/92 10,611 10,737 11,329
8/31/93 11,612 11,926 11,976
8/31/94 10,990 11,457 12,136
8/31/95 11,986 12,684 13,667
8/31/96 11,939 12,825 13,561
8/31/97 13,283 14,483 14,892
8/31/98 15,208 16,832 16,594
8/31/99 14,055 15,790 16,641
- --------------------------------------------------------------------------------
The Lehman Brothers Government/Corporate Bond Index is a weighted composite of
(i) Lehman Brothers Government Bond Index, which is comprised of all publicly
issued, non-convertible debt of the U.S. government or any agency thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government and (ii) Lehman Brothers Corporate Bond Index, which is comprised of
all public fixed-rate, non-convertible investment-grade domestic corporate
debt, excluding collateralized mortgage obligations. Because the index is not a
managed portfolio, there are no advisory fees or internal management expenses
reflected in the index's performance. An investor cannot invest directly in an
index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
184
<PAGE>
Portfolio Highlights -- Long-Term Bond Investments (continued)
Hypothetical Illustration of $10,000 Invested in
Long-Term Bond Investments
vs.
Lehman Brothers Government/Corporate Bond Index
August 31, 1996 through August 31, 1999
(unaudited)
[GRAPH]
Long-Term Bond Long-Term Bond Lehman Brothers
Investment+* Investments+* Gov't/Corp.
(With Trak Fee) (Without Trak Fee) Bond Index
--------------- ------------------ ----------
Aug-96 10,000 10,000 10,000
Aug-97 11,126 11,293 10,982
Aug-98 12,738 13,125 12,237
Aug-99 11,772 12,312 12,272
- --------------------------------------------------------------------------------
The Lehman Brothers Government/Corporate Bond Index is a weighted composite of
(i) Lehman Brothers Government Bond Index, which is comprised of all publicly
issued, non-convertible debt of the U.S. government or any agency thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government and (ii) Lehman Brothers Corporate Bond Index, which is comprised of
all public fixed-rate, non-convertible investment-grade domestic corporate
debt, excluding collateralized mortgage obligations. Because the index is not a
managed portfolio, there are no advisory fees or internal management expenses
reflected in the index's performance. An investor cannot invest directly in an
index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
185
<PAGE>
Portfolio Highlights -- Municipal Bond Investments as of August 31, 1999
For the year ended August 31, 1999, Municipal Bond Investments ("Portfolio")
had a total return of negative 2.60% versus 0.50% for the Lehman Brothers
Municipal Bond Index, the Portfolio's benchmark.
The Portfolio is managed by Smith Affiliated Capital. During the period under
review, the last four months of this period saw the Federal Reserve Board
("Fed") raise the fed funds rate twice. The relative under performance was
attributable to the Portfolio's call protected, long intermediate composition
(avg. maturity: 16.1 yrs.; avg. mod. duration: 10.5 yrs.) versus the Lehman
Index (avg. maturity: 13 yrs.; avg. mod. duration: 7.4 yrs.) which contains
over 13% high coupon, pre-refunded bonds, as well as older, high coupon,
callable issues. Our emphasis on call protection served us well in the first
eight months of this period and we believe will do so in the future.
Despite negative cash flow, mirroring industry trends, our focus remains on
providing a quality, call protected income stream. In order to take advantage
of a positively sloped yield curve, the compression of credit spreads, and
maximum tax efficiency, we have targeted the 15-year maturity range with an
average credit quality of AA+. We look forward to improving cash flow while
initiating the harvesting of tax credits on behalf of shareholders through
swapping. Municipal portfolios are unique in their ability to maintain
strategic composition while implementing beneficial tax strategies. Since
losses can be carried forward each year until used, they therefore should be
gathered when available.
186
<PAGE>
Portfolio Highlights -- Municipal Bond Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
Municipal Bond Investments Without TRAK Fee+ With TRAK Fee+
-------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 (2.60)% (4.05)%
Three Years Ended 8/31/99 4.66 3.10
Five Years Ended 8/31/99 5.28 3.72
Inception (11/18/91) through 8/31/99 5.39 3.82
</TABLE>
Hypothetical Illustration of $10,000 Invested in
Municipal Bond Investments
vs.
Lehman Brothers Municipal Bond Index
November 18, 1991 through August 31, 1999
(unaudited)
[GRAPH]
Municipal Bond Municipal Bond
Investments+* Investments+* Lehman Bros. Municipal
(With Trak Fee) (Without Trak Fee) Bond Index
----------- ----------- ----------
11/18/91 10,000 10,000 10,000
8/31/92 10,581 10,706 10,845
8/31/93 11,772 12,091 12,168
8/31/94 11,159 11,634 12,185
8/31/95 11,857 12,548 13,266
8/31/96 12,221 13,128 13,962
8/31/97 13,108 14,294 15,252
8/31/98 13,958 15,450 16,572
8/31/99 13,392 15,048 16,656
- --------------------------------------------------------------------------------
The Lehman Brothers Municipal Bond Index is a weighted composite which is
comprised of more than 15,000 bonds issued within the last five years, having a
minimum credit rating of at least Baa and a maturity of at least two years,
excluding all bonds subject to the Alternative Minimum Tax and bonds with
floating or zero coupons. Because the index is not a managed portfolio, there
are no advisory fees or internal management expenses reflected in the index's
performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
187
<PAGE>
Portfolio Highlights -- Municipal Bond Investments (continued)
Hypothetical Illustration of $10,000 Invested in
Municipal Bond Investments
vs.
Lehman Brothers Municipal Bond Index
August 31, 1996 through August 31, 1999
(unaudited)
[GRAPH]
Municipal Bond Municipal Bond Lehman Brothers
Investments+* Investments+* Municipal
(With Trak Fee) (Without Trak Fee Bond Index
--------------- ----------------- ----------
Aug/96 10,000 10,000 10,000
Aug/97 10,726 10,888 10,924
Aug/98 11,422 11,769 11,869
Aug/99 10,959 11,462 11,929
- --------------------------------------------------------------------------------
The Lehman Brothers Municipal Bond Index is a weighted composite which is
comprised of more than 15,000 bonds issued within the last five years, having a
minimum credit rating of at least Baa and a maturity of at least two years,
excluding all bonds subject to the Alternative Minimum Tax and bonds with
floating or zero coupons. Because the index is not a managed portfolio, there
are no advisory fees or internal management expenses reflected in the index's
performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
188
<PAGE>
Portfolio Highlights -- Mortgage Backed Investments as of August 31, 1999
For the year ended August 31, 1999, Mortgage Backed Investments ("Portfolio")
had a total return of 1.30% versus 1.88% for the Lehman Brothers Mortgage
Backed Securities Index ("Index"), the Portfolio's benchmark.
Atlantic Portfolio Analytics & Management, Inc. is the advisor for the
Portfolio. During the period under review the yield on the 10-year U.S.
Treasury rose approximately 1.00% with the yield curve steepening
significantly. The Index under-performed both the Intermediate Government and
Corporate Indices on an absolute basis. The Index was up approximately 1.85%,
the Intermediate Governments rose 2.26%, and the Intermediate Corporates rose
2.18%. On a duration-adjusted basis, the Index out-performed the Corporates and
under-performed the Governments. The Index returned about 68 basis points/year
of duration, the Intermediate Government Index returned 76 basis points/year,
and the Intermediate Corporate Index returned 53 basis points/year.
The period was a very volatile and turbulent time for spread product in
general and mortgages did not escape unscathed. The interest rate backup caused
mortgage prepayment fear to be replaced by fear of extension. However, the
story of the year would have to be the extreme volatility of credit spreads. By
mid-May, most spread product had tightened dramatically from last fall's crisis
levels. From there, spreads blasted back out to levels surpassing last fall.
Current coupon mortgage spreads to the 10-year Treasury tightened to about 120
basis points but finished the fiscal year back out at 180 basis points, or
roughly the level seen last October. Ten-year swap spreads fell from around 95
basis points to the mid 60 basis points range, only to finish the period at
close to 110 basis points.
189
<PAGE>
Portfolio Highlights -- Mortgage Backed Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
Mortgage Backed Investments Without TRAK Fee+ With TRAK Fee+
--------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 1.30% (0.21)%
Three Years Ended 8/31/99 6.39 4.81
Five Years Ended 8/31/99 6.68 5.10
Inception (11/18/91) through 8/31/99 6.07 4.50
</TABLE>
Hypothetical Illustration of $10,000 Invested in
Mortgage Backed Investments
vs.
Lehman Brothers Mortgage Backed Securities Index and Lipper U.S. Mortgage Fund
Average
November 18, 1991 through August 31, 1999
(unaudited)
[GRAPH]
Mortgage Backed Mortgage Backed Lehman Brothers Lipper U.S.
Investment+* Investment+* Mortgage Backed Mortgage
(With Trak Fee) (Without Trak Fee) Securities Index Fund Average
--------------- ------------------ ---------------- -----------
- -
11/18/91 10,000 10,000 10,000 10,000
8/31/92 10,631 10,756 10,750 10,788
8/31/93 11,172 11,474 11,543 11,721
8/31/94 10,985 11,452 11,586 11,344
8/31/95 11,900 12,593 12,855 12,419
8/31/96 12,235 13,142 13,494 12,902
8/31/97 13,221 14,416 14,909 14,128
8/31/98 14,116 15,623 17,585 15,284
8/31/99 14,086 15,825 17,910 15,360
- --------------------------------------------------------------------------------
The Lehman Brothers Mortgage-Backed Securities Index includes all fixed-rate
securities backed by mortgage pools of the Government National Mortgage
Association (GNMA), Federal Home Loan Mortgage Corporation (FHLMC) and Federal
National Mortgage Association (FNMA). The Lipper U.S. Mortgage Fund Average is
an average of funds invested at least 65% in mortgage securities issued or
guaranteed as to principal and interest by the U.S. Government and certain
federal agencies. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
190
<PAGE>
Portfolio Highlights -- Mortgage Backed Investments (continued)
Hypothetical Illustration of $10,000 Invested in
Mortgage Backed Investments
vs.
Lehman Brothers Mortgage Backed Securities Index and Lipper U.S. Mortgage Fund
Average
August 31, 1996 through August 31, 1999
(unaudited)
[GRAPH]
Mortgage Backed Mortgage Backed Lehman Brothers Lipper U.S.
Investments+* Investments+* Mortgage Backed Mortgage
(With Trak Fee) (Without Trak Fee) Securities Index Fund Average
--------------- ------------------ ---------------- -----------
- -
Aug-96 10,000 10,000 10,000 10,000
Aug-97 10,806 10,969 11,049 10,950
Aug-98 11,537 11,887 13,032 11,847
Aug-99 11,513 12,041 13,398 11,906
- --------------------------------------------------------------------------------
The Lehman Brothers Mortgage-Backed Securities Index includes all fixed-rate
securities backed by mortgage pools of the Government National Mortgage
Association (GNMA), Federal Home Loan Mortgage Corporation (FHLMC) and Federal
National Mortgage Association (FNMA). The Lipper U.S. Mortgage Fund Average is
an average of funds invested at least 65% in mortgage securities issued or
guaranteed as to principal and interest by the U.S. Government and certain
federal agencies. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
191
<PAGE>
Portfolio Highlights -- Balanced Investments as of August 31, 1999
For the year ended August 31, 1999, Balanced Investments ("Portfolio") had a
total return of 18.78% versus 22.74% for the Portfolio's benchmark, 60%
Standard & Poor's 500 Index ("S&P 500") and the Lehman Brothers Aggregate Bond
Index.
During the period under review, Consulting Group in its capacity as
investment manager to the Portfolio, recommended and the Board of Trustees
approved, retaining Laurel Capital Advisors to manage the equity assets of the
Portfolio and Seix Investment Advisors to manage the fixed-income assets of the
Portfolio. Palley-Needleman was terminated as advisor on December 31, 1998. In
addition, the asset allocation of the Portfolio was restructured so that
effective with the advisor change, the assets of the Portfolio were allocated
60% equity and 40% fixed income.
With respect to equity investments, stock selection has always been
important, however, during the review period, it was paramount. Performance of
the large-cap S&P 500 was provided by a very small number of companies. In the
first half of 1999, 100% of the S&P 500's return was provided by just 15% of
the stocks.
After three consecutive up months in May, June, and July, the Laurel Capital
Advisors', allocation trailed by just under 1% in August, and still trailed the
S&P 500 on a year-to-date basis from under performance early in the year.
Finance stocks disappointed throughout much of the year, hurt from the interest
rate hikes by the Federal Reserve Board ("Fed"). Technology stocks have become
very important to the overall performance of the large cap market, as they now
represent nearly one-fourth of the S&P 500's weight, and have continued to
dominate in 1999.
Because Laurel Capital Advisors maintains full sector weights neutral to the
S&P 500 Index, their allocation will move with the Index in general trends,
both up and down. By using quantitative and fundamental analysis, Laurel
Capital relies on individual stock selection to differentiate its portfolios
from the market. It is through this process that we strive to add value over
time.
With respect to fixed income, during the period under review, the U.S.
Treasury curve was relatively flat as the market anticipated further Fed
easing. Soon after, investors grew increasingly nervous that the robust economy
would lead to higher inflation and yields began to rise in February. By early
March, the interest rate on the 30-year U.S. Treasury Bond had risen to 5.70%,
a full 1% above the low registered in October 1998 and the spread between 3-
month and 30-year Treasury securities rose from 0.65% to 1.10%. Inflationary
fears abated during March, and rates on long bonds fell back to 5.60% by the
end of the quarter. During this period the portfolio outperformed its
benchmark, the Lehman Aggregate Index, by 12 basis points, as spreads continued
to tighten from their historically wide levels of a few months earlier.
Two factors weighed heavily on Corporate bonds during the second quarter:
uncertainty over Fed monetary policy and a very large new issue calendar
related to both Y2K "pre-funding" and an increase in merger and acquisition
activity. After a strong start early in the year, Corporates weakened during
the second quarter and gave back a good portion of their first quarter's gains.
The MBS sector, after performing well early in the quarter, had a difficult
period and relinquished its second quarter advantage. Although the Fed's
neutral stance had removed a great deal of market uncertainty, the continued
over-supply of Corporate bonds dampened performance and the fixed income
portion of the fund underperformed the index by 11 basis points over this
three-month period.
The summer months were highlighted by the Fed's 1/2% point rise in short-term
interest rates which signaled a strong inflation-fighting posture. The yield on
long term U.S. Treasury Bonds climbed nearly 1 1/2% and in response, spending
on residential construction has slowed from the torrid pace of late 1998 and
early 1999. Overall, however, the fundamentals remained solid. With moderate
increases in both inflation and economic growth, long-term interest rates of
6.00% to 6.25% are at the high end of the trading range. Solid security
selection as well as modest yield curve adjustments benefited the Portfolio
which outperformed the benchmark by 14 basis points during July and August.
192
<PAGE>
Portfolio Highlights -- Balanced Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
Balanced Investments Without TRAK Fee+ With TRAK Fee+
-------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 18.78% 17.03%
Three Years Ended 8/31/99 13.30 11.62
Five Years Ended 8/31/99 13.25 11.57
Inception (2/16/93) through 8/31/99 11.77 10.11
</TABLE>
Hypothetical Illustration of $10,000 Invested in
Balanced Investments
vs.
Lehman Brothers Government/Corporate Bond Index
and Standard & Poor's 500 Index
February 16, 1993 through August 31, 1999
(unaudited)
[GRAPH]
Balanced Balanced Lehman Brothers Standard
Investment+* Investment+* Gov't/Corp. & Poor's
(With Trak Fee) (Without Trak Fee) Bond Index 500 Index
--------------- ------------------ ---------- ---------
2/16/93 10,000 10,000 10,000 10,000
Aug/93 10,550 10,635 10,640 10,605
Aug/94 10,860 11,113 10,392 11,184
Aug/95 12,064 12,532 11,586 13,579
Aug/96 13,501 14,235 12,017 16,121
Aug/97 16,765 17,943 13,197 22,671
Aug/98 16,045 17,431 14,704 24,512
Aug/99 18,776 20,705 14,747 34,269
- --------------------------------------------------------------------------------
The Lehman Brothers Government/Corporate Bond Index is a weighted composite of
(i) Lehman Brothers Government Bond Index, which is comprised of all publicly
issued, non-convertible debt of the U.S. government or any agency thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government and (ii) Lehman Brothers Corporate Bond Index, which is comprised of
all public fixed-rate, non-convertible investment-grade domestic corporate
debt, excluding collateralized mortgage obligations. The S&P 500 Index is an
index composed of 500 widely held common stocks listed on the New York Stock
Exchange, American Stock Exchange and over-the-counter market. Because the
index is not a managed portfolio, there are no advisory fees or internal
management expenses reflected in the index's performance. An investor cannot
invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
193
<PAGE>
Portfolio Highlights -- Balanced Investments (continued)
Hypothetical Illustration of $10,000 Invested in
Balanced Investments
vs.
Lehman Brothers Government/Corporate Bond Index
and Standard & Poor's 500 Index
August 31, 1996 through August 31, 1999
(unaudited)
[GRAPH]
Balanced Balanced Lehman Brothers Standard
Investment+* Investment+* Gov't/Corp. & Poor's
(With Trak Fee) (Without Trak Fee) Bond Index 500 Index
--------------- ------------------ ---------- ---------
Aug/96 10,000 10,000 10,000 10,000
Aug/97 12,418 12,605 10,982 14,063
Aug/98 11,884 12,245 12,237 15,205
Aug/99 13,908 14,545 12,272 21,257
- --------------------------------------------------------------------------------
The Lehman Brothers Government/Corporate Bond Index is a weighted composite of
(i) Lehman Brothers Government Bond Index, which is comprised of all publicly
issued, non-convertible debt of the U.S. government or any agency thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government and (ii) Lehman Brothers Corporate Bond Index, which is comprised of
all public fixed-rate, non-convertible investment-grade domestic corporate
debt, excluding collateralized mortgage obligations. The S&P 500 Index is an
index composed of 500 widely held common stocks listed on the New York Stock
Exchange, American Stock Exchange and over-the-counter market. Because the
index is not a managed portfolio, there are no advisory fees or internal
management expenses reflected in the index's performance. An investor cannot
invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
194
<PAGE>
Portfolio Highlights -- Large Capitalization Value Equity Investments as of
August 31, 1999
For the year ended August 31, 1999, Large Capitalization Value Equity
Investments ("Portfolio") had a total return of 26.36% versus 30.08% for the
Russell 1000 Value Index ("Index"), the Portfolio's benchmark.
During the period under review, Consulting Group in its capacity as
investment manager to the Portfolio, recommended and the Board of Trustees
approved, retaining Barclays Global Fund Advisors and Chartwell Investment
Partners as additional advisors to the Portfolio. Since April 1, 1999, the
Portfolio's assets have been allocated 60% to Parametric Portfolio Associates,
20% to Boston Company, 10% to Chartwell Investment Partners and 10% to Barclays
Global Fund Advisors.
With respect to the assets allocated to Paremetric Portfolio Associates, the
period under review has been extremely tough for quantitative stock selection.
Over the last year, stock prices have been driven by top-down, group related
forces such as the global financial crisis that led to a near meltdown, the
surges of the "megacap" stocks, the internet stocks and the cyclical stocks.
Historically, relative valuation based on company specific attributes has
driven stock returns. Our models are based on these strong historical,
fundamentally based relationships, which we believe work well over long-term
market cycles. Unfortunately, returns over the last year have not been driven
by these characteristics.
The value factors, such as price/sales and price/earnings, have experienced
an unrelenting run of sustained underperformance over the last year. Not only
is value investing suffering versus the broad market because the value style
universe has been lagging, but also is underperforming value style benchmarks
because value oriented stock selection criteria are not working well within the
value stock universe, or any stock universe for that matter. Stock selection
was strong in retail, capital goods and consumer non-durables, but was not
enough to compensate for the recent lack of predictive strength of the value
factors we use in our models.
With respect to the assets allocated to Boston Company Asset Management,
during the period all eleven sectors had a positive contribution, but two
sectors provided over half of the return. Consumer Services, and especially the
Retailers, provided the biggest contribution. Even though it was not a large
part of the portfolio's weight, the Technology sector had very strong
performance and made this sector the second best contributor.
With respect to the assets allocated to Barclays Global Fund Advisors, the
period under review is January 2, 1999 to August 31, 1999. The returns show the
best performing sectors of the Index were technology and energy. For the entire
year ended August 31, 1999, the technology sector returned 116.4% and the
energy sector returned 55.9%, versus the Index return of 30.1%. This is
consistent with the trend in the market over the last 12 months, where
investors witnessed very strong performance in technology, especially within
the internet sector, and rising oil prices.
With respect to the assets allocated to Chartwell Investment Partners the
review period was April 1, 1999 to August 31, 1999. Capital goods, health care
and financials were the weakest sectors of the allocation during the period. It
should be noted that these same three sectors had been the best performers in
the previous eighteen months. In early April 1999, investors sensed that the
global economic slowdown, which had impacted their market since the fall of
1997, had ended. Investors quickly sold the less-economically sensitive issues
such as health care and shifted towards the deep-cyclical, more economically
sensitive issues such as chemicals, papers and raw materials. These deep-
cyclicals experienced their most dramatically positive move on record in the
April-May period. This robust move, however, was based almost entirely on the
forecast of an earnings improvement, and with no subsequent follow-through, the
group has recently lost ground.
195
<PAGE>
Portfolio Highlights -- Large Capitalization Value Equity Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
Large Capitalization Value Equity
Investments Without TRAK Fee+ With TRAK Fee+
--------------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 26.36% 24.50%
Three Years Ended 8/31/99 20.66 18.88
Five Years Ended 8/31/99 18.55 16.79
Inception (11/18/91) through 8/31/99 14.46 12.76
</TABLE>
Hypothetical Illustration of $10,000 Invested in
Large Capitalization Value Equity Investments
vs.
Russell 1000 Value Index and Lipper Growth and Income Fund Average
November 18, 1991 through August 31, 1999
(unaudited)
[GRAPH]
Large Large Lipper
Capitalization Capitalization Russell Growth and
Value Equity Value Equity 1000 Income
Investments+* Investments+* Value Fund
(With Trak Fee) (Without Trak Fee) Index Average
--------------- ------------------ ----- -------
11/18/91 10,000 10,000 10,000 10,000
8/31/92 10,834 10,963 11,496 10,877
8/31/93 11,660 11,977 14,588 12,932
8/31/94 11,726 12,226 15,008 13,501
8/31/95 13,416 14,200 17,881 16,262
8/31/96 15,163 16,292 21,018 18,344
8/31/97 20,765 22,646 29,327 24,740
8/31/98 20,466 22,653 30,470 24,407
8/31/99 25,480 28,625 39,635 31,992
- --------------------------------------------------------------------------------
The Russell 1000 Value Index is a capitalization weighted total return index
which is comprised of 1000 of the largest capitalized U.S. domiciled companies
with greater-than-average value orientation whose common stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Growth and Income Fund Average is composed of the Portfolio's peer group
of mutual funds investing in growth and income oriented funds. An investor
cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
196
<PAGE>
Portfolio Highlights -- Large Capitalization Value Equity Investments
(continued)
Hypothetical Illustration of $10,000 Invested in
Large Capitalization Value Equity Investments
vs.
Russell 1000 Value Index and Lipper Growth and Income Fund Average
August 31, 1996 through August 31, 1999
(unaudited)
[GRAPH]
Large Large
Capitalization Capitalization Russell Lipper Growth
Value Equity Value Equity 1000 and Income
Investment+* Investment+* Value Fund
(With Trak Fee) (Without Trak Fee) Index Average
--------------- ------------------ ----- -------
Aug/96 10,000 10,000 10,000 10,000
Aug/97 13,692 13,898 13,953 13,486
Aug/98 13,495 13,902 14,497 13,305
Aug/99 16,801 17,567 18,858 17,440
- --------------------------------------------------------------------------------
The Russell 1000 Value Index is a capitalization weighted total return index
which is comprised of 1000 of the largest capitalized U.S. domiciled companies
with greater-than-average value orientation whose common stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Growth and Income Fund Average is composed of the Portfolio's peer group
of mutual funds investing in growth and income oriented funds. An investor
cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
197
<PAGE>
Portfolio Highlights -- Large Capitalization Growth Investments as of August
31, 1999
For the year ended August 31, 1999, Large Capitalization Growth Investments
("Portfolio") had a total return of 46.29% versus 48.32% for the Russell 1000
Growth Index, the Portfolio's benchmark.
With respect to the assets allocated to Provident Investment Counsel, during
the period under review, the large cap equity market provided another year of
superior returns for growth-style investors. An excellent domestic economic
environment that saw strong corporate profitability and low inflation marked
the past year. However, significant volatility accompanied these strong gains
as the Federal Reserve cut interest rates 3 times late last year, and appears
poised to take back the same with similar increases this year.
During the year, Provident's allocation was helped most by their weightings
in the telecommunications and technology areas. Another area that helped
performance relative to the major benchmarks was our decision to hold virtually
no consumer non-durable stocks. While the technology and telecommunication
sectors have appreciated nearly 100% over the past year, this sector was
essentially flat. On a negative note, performance would have been better if not
for our large exposure to retail and health technology. While both of these
sectors provided strong returns in 1998, and still provide excellent
fundamentals, they have not kept pace with a technology driven market.
Provident's primary focus in the management of their allocation is a bottom
up stock selection process where they try to find those companies that they
feel will be able to produce superior sales and earnings growth on a
sustainable basis. Provident believes this fundamental focus distinguishes
Provident from many other investors who are relying on very short-term readings
of the current macroeconomic environment.
With respect to the assets allocated to Barclays Global Fund Advisors during
the period under review, the one year returns show the best performing sectors
of the Russell 1000 Growth Index were technology and energy. For the period,
the technology sector returned 107.4% and the energy sector returned 81.0%
versus the Index return of 48.3%. This is consistent with the trend in the
market over the last 12 months where investors witnessed very strong
performance in technology, especially within the internet sector, and rising
oil prices.
198
<PAGE>
Portfolio Highlights -- Large Capitalization Growth Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
Large Capitalization Growth
Investments Without TRAK Fee+ With TRAK Fee+
--------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 46.29% 44.11%
Three Years Ended 8/31/99 29.43 27.51
Five Years Ended 8/31/99 24.52 22.67
Inception (11/18/91) through 8/31/99 18.47 16.71
</TABLE>
Hypothetical Illustration of $10,000 Invested in
Large Capitalization Growth Investments
vs.
Russell 1000 Growth Index and Lipper Growth Fund Average
November 18, 1991 through August 31, 1999
(unaudited)
[GRAPH]
Large Large
Capitalization Capitalization Lipper
Growth Investments+* Growth Investments+* Russell 1000 Growth
(With Trak Fee) (Without Trak Fee) Growth Index Fund Average
11/18/91 10,000 10,000 10,000 10,000
Aug/92 10,970 11,100 11,075 10,877
Aug/93 11,887 12,210 11,961 12,932
Aug/94 11,997 12,510 12,740 13,501
Aug/95 14,454 15,300 15,879 16,262
Aug/96 16,075 17,272 18,798 18,344
Aug/97 21,770 23,744 26,199 24,501
Aug/98 23,123 25,600 28,361 24,006
Aug/99 33,323 37,450 42,068 33,640
- --------------------------------------------------------------------------------
The Russell 1000 Growth Index is a capitalization weighted total return index
which is comprised of 1000 of the largest capitalized U.S. domiciled companies
with a greater-than-average growth orientation whose common stock is traded in
the United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Growth Fund Average is composed of the Portfolio's peer group of mutual
funds investing in companies where long term earnings are expected to grow
significantly faster than the earnings of the stocks represented in the major
unmanaged stock indices. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
199
<PAGE>
Portfolio Highlights -- Large Capitalization Growth Investments (continued)
Hypothetical Illustration of $10,000 Invested in
Large Capitalization Growth Investments
vs.
Russell 1000 Growth Index and Lipper Growth Fund Average
August 31, 1996 through August 31, 1999
(unaudited)
[GRAPH]
Large Capitalization Large Capitalization Lipper
Growth Investments+* Growth Investments+* Russell 1000 Growth
(With Trak Fee) (Without Trak Fee) Growth Index Fund Average
Aug/96 10,000 10,000 10,000 10,000
Aug/97 13,543 13,747 13,937 13,356
Aug/98 14,385 14,822 15,088 13,087
8/31/99 20,730 21,682 22,379 18,338
- --------------------------------------------------------------------------------
The Russell 1000 Growth Index is a capitalization weighted total return index
which is comprised of 1000 of the largest capitalized U.S. domiciled companies
with a greater-than-average growth orientation whose common stock is traded in
the United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Growth Fund Average is composed of the Portfolio's peer group of mutual
funds investing in companies where long term earnings are expected to grow
significantly faster than the earnings of the stocks represented in the major
unmanaged stock indices. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
200
<PAGE>
Portfolio Highlights -- Small Capitalization Value Equity Investments as of
August 31, 1999
For the year ended August 31, 1999, Small Capitalization Value Equity
Investments ("Portfolio") had a total return of 13.61% versus 14.08% for the
Russell 2000 Value Index, the Portfolio's benchmark.
With respect to the assets allocated to NFJ Investment Group, during the
period under review technology and energy sectors performed best within the
overall small-cap arena. Highlights for the period under review included 18
holdings out of 100 that either received cash tender offers or share for share
offers in company related mergers. The NFJ investment philosophy and process
does not emphasize finding take out candidates, but was another indication that
the markets have over sold some very good companies. The emphasis was and
remains on low price/earnings, above average dividend yield and broad
diversification by industry and sector. The NFJ Portfolio benefited from a
sizable under weighting in finance, while a light exposure to energy when oil
went from $12 to $24 a barrel.
With respect to the assets allocated to David L. Babson and Company, the most
recent fiscal year continued to be a difficult time for small company stocks in
general and small company value stocks in particular. Large company stocks, as
measured by the S&P 500 Index, gained some 40% for the fiscal year, well above
the 28% gain for small company stocks, as measured by the Russell 2000 Index.
Small company value stocks, however, were trounced by small company growth
stocks. The Russell 2000 Value Index was up only 14% for the fiscal year,
easily outpaced by the Russell 2000 Growth Index which was up an impressive
43%.
Generally speaking, the Babson allocation benefited from increased weightings
in the energy sector, but was hurt by low weightings in the technology sector,
the best performing sector, and its high weighting in consumer staples, the
worst performing sector.
Babson continues to believe that small company value stocks continue to be
the most attractive place in the domestic equity markets in which to invest.
The relative valuations between large company stocks and small company stocks
have never been so in favor of small company stocks. Indeed, Babson remains
astounded by the high quality companies which they are able to find that are
being virtually ignored by most investors, and as a result of this neglect, are
able to acquire these companies at very attractive valuations. Babson believes
that eventually, investors will turn their gaze from the very large growth
companies and the speculative Internet and biotechnology stocks and look for
real companies with substantial earnings and cash flow and with compelling
future prospects.
With respect to the assets allocated to Mellon Capital Management, during the
period under review, the small cap stocks reversed their downward trend and
posted sizeable gains for the period from 8/31/98 to 8/31/99. Several factors
contributed to the 66 basis points of positive tracking error. The majority of
the positive performance was attributable to the Russell 2000 rebalance that
occurs each year at the end of June. This year's rebalance generated a 31% one
way turnover in their allocation. As Mellon rebalanced their allocation to
match the redefined benchmark, the strategy employed resulted in a gain of
approximately 70 basis points. Slight tracking error resulted from regular
composition error and the futures pool (less than 5% of their allocation) used
to fund the Portfolio's liquidity. The top three sectors, as a percentage of
the portfolio were basic industries (13%), utilities (10%), and real estate
(10%). Performance wise, technology (51% return), energy (46%), and health care
(30%) contributed the most to the allocation's return and were the best
performing sectors.
201
<PAGE>
Portfolio Highlights -- Small Capitalization Value Equity Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
Small Capitalization Value
Equity Investments Without TRAK Fee+ With TRAK Fee+
-------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 13.61% 11.94%
Three Years Ended 8/31/99 12.14 10.48
Five Years Ended 8/31/99 12.28 10.62
Inception (11/18/91) through 8/31/99 10.44 8.80
</TABLE>
Hypothetical Illustration of $10,000 Invested in
Small Capitalization Value Equity Investments
vs.
Russell 2000 Value Index and Lipper Small Cap Fund Average
November 18, 1991 through August 31, 1999
(unaudited)
[GRAPH]
Small Small
Capitalization Capitalization
Value Equity Value Equity Lipper Small
Investments+* Investments+* Russell 2000 Cap Fund
(With Trak Fee) (Without Trak Fee) Value Index Average
--------------- ------------------ ----------- -------
11/18/91 10,000 10,000 10,000 10,000
Aug/92 10,723 10,850 11,926 10,595
Aug/93 12,225 12,558 16,206 13,939
Aug/94 11,646 12,143 17,513 14,643
Aug/95 12,907 13,661 20,241 18,484
Aug/96 14,301 15,366 22,694 21,406
Aug/97 20,063 21,880 31,160 27,238
Aug/98 17,229 19,071 27,434 21,944
8/31/99 19,286 21,668 29,829 29,254
- --------------------------------------------------------------------------------
The Russell 2000 Value Index is a capitalization weighted total return index
which is comprised of 2000 of the smallest capitalized U.S. domiciled companies
with less-than-average growth orientation whose common stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Small Cap Fund Average is composed of the Portfolio's peer group of
mutual funds which limit their investments to companies on the basis of the
size of the company. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
202
<PAGE>
Portfolio Highlights -- Small Capitalization Value Equity Investments
(continued)
Hypothetical Illustration of $10,000 Invested in
Small Capitalization Value Equity Investments
vs.
Russell 2000 Value Index and Lipper Small Cap Fund Average
August 31, 1996 through August 31, 1999
(unaudited)
[GRAPH]
Small Small
Capitalization Capitalization
Value Equity Value Equity Lipper Small
Investments Investments Russell 2000 Cap Fund
+* (With Trak Fee) +* (Without Trak Fee) Value Index Average
------------------ --------------------- ----------- -------
Aug/96 10,000 10,000 10,000 10,000
Aug/97 14,029 14,240 13,730 12,724
Aug/98 12,047 12,412 12,089 10,251
Aug/99 13,486 14,101 13,144 13,666
- --------------------------------------------------------------------------------
The Russell 2000 Value Index is a capitalization weighted total return index
which is comprised of 2000 of the smallest capitalized U.S. domiciled companies
with less-than-average growth orientation whose common stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Small Cap Fund Average is composed of the Portfolio's peer group of
mutual funds which limit their investments to companies on the basis of the
size of the company. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
203
<PAGE>
Portfolio Highlights -- Small Capitalization Growth Investments as of August
31, 1999
For the year ended August 31, 1999, Small Capitalization Growth Investments
("Portfolio") had a total return of 44.32% versus 43.31% for the Russell 2000
Growth Index, the Portfolio's benchmark.
During the period under review, Consulting Group, in its capacity as
investment manager to the Portfolio, recommended and the Board of Trustees
approved, retaining Kern Capital Management as an additional advisor to the
Portfolio. Since April 1, 1999, the Portfolio's assets have been allocated 50%
to Mellon Capital Management, 20% to Wall Street Associates, 20% to Westpeak
Investment Advisors and 10% to Kern Capital Management.
With respect to the assets allocated to Wall Street Associate during the
period under review, the market rebounded dramatically with small-caps leading
the way. The Wall Street allocation was well positioned to take advantage of
the rebound, with investments in the highest growth sectors of the market. The
performance of Wall Street's allocation was largely driven by investments in
technology and technology related stocks, though investments in consumer
discretionary stocks also added significantly to portfolio returns. Lastly,
during the period under review, Wall Street's exposure to energy stocks
(natural gas related) proved to be beneficial.
With respect to the assets allocated to Westpeak Investment Advisors, the
period under review was a difficult one for disciplined quantitative stock
selection advisors. The strong surge in volatile, actively traded
Internet/Technology stocks appears to be based more on speculation than sound
fundamentals. Historically, relative valuation and relative growth drive stock
returns. These concepts are the rationale underlying the Westpeak investment
process. Excess returns over the last year have not been driven by these
characteristics, so the Westpeak process has been out of phase with the current
speculative environment. During the period under review, the performance was
penalized by an emphasis on stocks with below average Price-to-Earnings ratios,
above-average Book Value relative to Price, below average Volatility and above
average Growth. The under weighting in the technology sector hurt performance
as did the over weighting in the consumer discretionary sector.
With respect to the assets allocated to Kern Capital Management, the period
under review is from April 1, 1999 to August 31, 1999. Kern Capital Management
LLC ("KCM") is dedicated to researching and investing in small, innovative
growth companies. Kern believes innovation is a primary catalyst for small
companies to become recognized and KCM's bottom-up fundamental research is
focused on the four sectors of the economy where innovation is greatest
(Technology, Healthcare, Consumer and Services). Internal research (detailed
financial analysis and in-depth management meetings) is the foundation of KCM's
investment process and is augmented by external research from industry experts
and "Wall Street" analysts. The primary factors responsible for KCM's success
during the period were 1) fundamental research not only focused on investing in
the "winners" but equally important, minimizing fundamental investment mistakes
during the last six months, KCM focused investments on technology communication
companies while technology software and healthcare investments were minimized
due to concerns over fundamental business trends; and 2) the investment focus
on innovative growth companies which attracted investment capital from outside
the traditional small-cap assets. This has been important, given that small-cap
cash flows have continued to be negative. The healthcare, services and special
situations sectors produced positive returns during the last six months. The
consumer sector was the only sector with negative performance during the last
six months, as the rise in interest rates and more difficult same-store sales
comparisons dampened investor enthusiasm for this sector.
With respect to the assets allocated to Mellon Capital Management during the
period under review, the majority of the tracking occurred during the two weeks
of continued rebalancing immediately following the annual Russell
reconstitution and has been an important component of the overall strategy in
rebalancing Russell portfolios each year. The remaining variance is linked to
the differential in performance between Russell 2000 Futures versus the Russell
2000 Growth Index and to dollar-volume activity, both of which are used in
funding daily shareholder movement.
204
<PAGE>
Portfolio Highlights -- Small Capitalization Growth Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
Small Capitalization Growth
Investments Without TRAK Fee+ With TRAK Fee+
--------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 44.32% 42.17%
Three Years Ended 8/31/99 8.30 6.70
Five Years Ended 8/31/99 16.34 14.61
Inception (11/18/91) through 8/31/99 16.92 15.19
</TABLE>
Hypothetical Illustration of $10,000 Invested in
Small Capitalization Growth Investments
vs.
Russell 2000 Growth Index and Lipper Small Company Fund Average
November 18, 1991 through August 31, 1999
(unaudited)
[GRAPH]
Small Small
Capitalization Capitalization Russell 2000 Lipper
Growth Investments+* Growth Investments+* Growth Small Cap
(With Trak Fee) (Without Trak Fee) Fund Index Fund Average
11/18/91 10,000 10,000 10,000 10,000
Aug/92 9,870 9,988 9,823 10,595
Aug/93 13,642 14,013 12,627 12,561
Aug/94 15,210 15,860 13,103 13,195
Aug/95 20,714 21,926 16,525 16,657
Aug/96 24,762 26,603 18,061 19,290
Aug/97 28,672 31,265 21,678 24,545
Aug/98 21,157 23,418 15,974 19,775
8/31/99 30,079 33,796 22,892 26,362
- --------------------------------------------------------------------------------
The Russell 2000 Growth Index is a capitalization weighted total return index
which is comprised of 2000 of the smallest capitalized U.S. domiciled companies
with greater-than-average growth orientation whose common stock is traded in
the United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Small Cap Fund Average is composed of the Portfolio's peer group of
mutual funds which limit their investments to companies on the basis of the
size of the company. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
205
<PAGE>
Portfolio Highlights -- Small Capitalization Growth Investments (continued)
Hypothetical Illustration of $10,000 Invested in
Small Capitalization Growth Investments
vs.
Russell 2000 Growth Index and Lipper Small Cap Fund Average
August 31, 1996 through August 31, 1999
(unaudited)
[GRAPH]
Small Small
Capitalization Capitalization Lipper
Growth Investments+* Growth Investments+* Russell 2000 Small Cap
(With Trak Fee) (Without Trak Fee) Growth Index Fund Average
8/31/96 10,000 10,000 10,000 10,000
Aug/97 11,579 11,753 12,003 12,724
Aug/98 8,544 8,803 8,845 10,251
8/31/99 12,147 12,704 12,675 13,666
- --------------------------------------------------------------------------------
The Russell 2000 Growth Index is a capitalization weighted total return index
which is comprised of 2000 of the smallest capitalized U.S. domiciled companies
with greater-than-average growth orientation whose common stock is traded in
the United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees or internal management expenses reflected in the index's performance. The
Lipper Small Cap Fund Average is composed of the Portfolio's peer group of
mutual funds which limit their investments to companies on the basis of the
size of the company. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
206
<PAGE>
Portfolio Highlights -- International Equity Investments as of August 31, 1999
For the year ended August 31, 1999, International Equity Investments
("Portfolio") had a total return of 24.06% versus 26.03% for the Morgan Stanley
Capital International EAFE--Capitalization Weighted Index ("EAFE"), the
Portfolio's benchmark.
During the period under review, Consulting Group, in its capacity as
investment manager to the Portfolio, recommended and the Board of Trustees
approved, retaining Marvin & Palmer as an additional advisor to the Portfolio.
Since April 1, 1999, the Portfolio's assets have been allocated 50% to State
Street Global Advisors, 25% to Oechsle International Advisors, and 25% to
Marvin & Palmer.
With respect to the assets allocated to Oechsle International Advisors during
the period over review, all major nations had strong returns for the year. For
example, the United Kingdom was up over 21%, France over 26%, and Germany 11%.
These returns, though, were overshadowed by lethargic returns in 1999 because
of worries over the strength of the common currency and the conflict in Kosovo.
Additionally, mergers and acquisitions continued to take place at a breakneck
pace in many industries, as well as between countries.
The Pacific region experienced significant positive returns for the period as
well. Hong Kong and Singapore had staggering positive returns of almost 96% and
over 144%, respectively, in local terms. Japan posted a local return for the
period of over 26%, as many investors saw positive results of the economic
reforms in the country, which has been in the doldrums since the early 90's.
With respect to the assets allocated to Marvin & Palmer Associates, the
period under review is April 1, 1999 to August 1999. Japan was the main story
for the period, as it was by far the major contributor leading the EAFE markets
higher. The Japanese market gained 6.1% during the quarter, largely driven by a
3.0% appreciation in the yen to the U.S. dollar. Because Japan is now the
largest market in the EAFE at 26%, it's rise dwarfed any other market's impact
on returns during the third quarter. By comparison, Denmark and Norway were the
next best performing markets. Each rose over 5.0% but, because of their small
index weighting, they each added only approximately 0.1% to the total positive
return of the index. The Pacific ex-Japan was the weakest of the regions, led
lower by New Zealand, which fell 7.2%, and by Hong Kong, declining 4.0%.
With respect to the assets allocated to State Street Global Advisors during
the period over review, Japan remained in center stage during the third quarter
as capital flows continued to drive both the index and the yen higher.
Prospects for a sustained recovery in Japan continued as second quarter GDP
indicated modest growth of 0.2%. As many global investors remained underweight
during the quarter, this positive growth caused increased capital inflows to
Japan. The yen strength was a major topic of discussion during the quarter, as
some investors thought the stronger yen would choke the still fledgling
economic recovery. Open tensions between the Japanese Government and the Bank
of Japan regarding the direction of monetary policy made the topic that much
more prevalent. The Pacific region underperformed and consolidated gains made
during the first half of 1999. Each of the Pacific markets were weaker, as the
fear of rising interest rates in the U.S. dampened investor enthusiasm for the
region. In Europe, markets were mixed with Germany and France moving in
opposite directions. For Germany, indicators pointed to a questionable economy,
while significant M&A activity in the energy, banking, and retail sectors drove
France higher. The United Kingdom was also an underperformer as the market was
caught off guard by a Bank of England rate increase of 25 basis points.
207
<PAGE>
Portfolio Highlights -- International Equity Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
International Equity Investments Without TRAK Fee+ With TRAK Fee+
-------------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 24.06% 22.22%
Three Years Ended 8/31/99 12.05 10.39
Five Years Ended 8/31/99 7.92 6.32
Inception (11/18/91) through 8/31/99 9.66 8.03
</TABLE>
Hypothetical Illustration of $10,000 Invested in
International Equity Investments
vs.
Morgan Stanley Capital International EAFE-GDP Weighted Index
and Morgan Stanley Capital International EAFE-Capitalization Weighted Index
November 18, 1991 through August 31, 1999
(unaudited)
[GRAPH]
International International
Equity Equity
Investments+* Investments+* MSCI EAFE/GDP MSCI EAFE/CAP
(With Trak Fee) (Without Trak Fee) Weighted Index Weighted Index
11/18/91 10,000 10,000 10,000 10,000
Aug/92 9,586 9,700 10,333 9,827
Aug/93 11,684 12,002 12,993 12,493
Aug/94 13,438 14,012 14,558 13,884
Aug/95 13,214 13,987 14,864 13,995
Aug/96 13,569 14,579 15,940 15,120
Aug/97 14,642 15,969 17,814 16,490
Aug/98 14,934 16,533 19,016 16,467
8/31/99 18,252 20,511 24,628 20,696
- --------------------------------------------------------------------------------
The Morgan Stanley Capital International EAFE-GDP Weighted Index is a composite
portfolio consisting of equity total returns for the countries of Australia and
New Zealand and countries in Europe and the Far East, weighted based on each
country's gross domestic product. The Morgan Stanley Capital International
EAFE-Capitalization Weighted Index is a composite portfolio consisting of
equity total returns for the countries of Australia, New Zealand and countries
in Europe and the Far East, weighted based on each country's market
capitalization. Because the indices are not managed portfolios, there are no
advisory fees or internal management expenses reflected in the indices'
performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
208
<PAGE>
Portfolio Highlights -- International Equity Investments (continued)
Hypothetical Illustration of $10,000 Invested in
International Equity Investments
vs.
Morgan Stanley Capital International EAFE-GDP Weighted Index
and Morgan Stanley Capital International EAFE-Capitalization Weighted Index
August 31, 1996 through August 31, 1999
(unaudited)
[GRAPH]
International International
Equity Equity
Investments+* Investments+* MSCI EAFE/GDP MSCI EAFE/CAP
(With Trak Fee) (Without Trak Fee) Weighted Index Weighted Index
8/31/96 10,000 10,000 10,000 10,000
Aug/97 10,791 10,953 11,176 10,906
Aug/98 11,006 11,341 11,930 10,891
8/31/99 13,451 14,069 15,450 13,688
- --------------------------------------------------------------------------------
The Morgan Stanley Capital International EAFE-GDP Weighted Index is a composite
portfolio consisting of equity total returns for the countries of Australia and
New Zealand and countries in Europe and the Far East, weighted based on each
country's gross domestic product. The Morgan Stanley Capital International
EAFE-Capitalization Weighted Index is a composite portfolio consisting of
equity total returns for the countries of Australia, New Zealand and countries
in Europe and the Far East, weighted based on each country's market
capitalization. Because the indices are not managed portfolios, there are no
advisory fees or internal management expenses reflected in the indices'
performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
209
<PAGE>
Portfolio Highlights -- International Fixed Income Investments as of August
31, 1999
For the year ended August 31, 1999, International Fixed Income Investments
("Portfolio") had a total return of 2.30% versus 6.21% for the Salomon Smith
Barney Non-U.S. Government Bond Index ("Index"), the Portfolio's benchmark.
Julius Baer Investment Management is the advisor for the Portfolio. During
the period under review the Russian default and subsequent flight to quality in
bond markets influenced bond markets during the latter part of 1998. Rates were
cut across the board and the US dollar came under pressure. The month of
September alone was responsible for half of the portfolio's performance for
calendar year 1998, and the final five months of 1998 produced strong positive
returns overall.
Beginning in 1999, the situation reversed as growth across the board
increased, prompting rate increases globally. The US dollar responded and
strengthened throughout the first half of the year. Bond markets began a series
of monthly losses, with the only bright spot being Japan, where the long end of
the curve rallied substantially.
During the fiscal year ended August 1999, the portfolio underperformed the
Index, due primarily to an underweight position in the Japanese bond market and
overweight position in the Euro, which was weak during this period. We are
confident that the portfolio is well positioned for the upcoming fiscal year to
take advantage of a strengthening Euro/weaker US dollar, and a moderate growth,
low inflation scenario in Europe.
210
<PAGE>
Portfolio Highlights -- International Fixed Income Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
International Fixed Income
Investments Without TRAK Fee+ With TRAK Fee+
-------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 2.30% 0.78%
Three Years Ended 8/31/99 3.62 2.09
Five Years Ended 8/31/99 7.97 6.37
Inception (11/18/91) through 8/31/99 8.10 6.50
</TABLE>
Hypothetical Illustration of $10,000 Invested in
International Fixed Income Investments
vs.
Salomon Smith Barney Non-U.S. Government Bond Index
November 18, 1991 through August 31, 1999
(unaudited)
[GRAPH]
International International Salomon Smith
Fixed Income Fixed Income Barney Non-U.S.
Investment+* Investment+* Gov't Bond
(With Trak Fee) (Without Fee) Index
11/18/91 10,000 10,000 10,000
Aug/92 11,260 11,393 11,869
Aug/93 12,055 12,381 12,650
Aug/94 11,995 12,504 13,319
Aug/95 13,904 14,713 15,451
Aug/96 15,348 16,485 18,637
Aug/97 14,892 16,235 18,004
Aug/98 16,205 17,932 19,098
8/31/99 16,330 18,344 19,039
- --------------------------------------------------------------------------------
The Salomon Smith Barney Non-U.S. Government Bond Index-Unhedged is an index
subset of the Salomon Smith Barney World Bond Index that excludes corporate
bonds denominated in U.S. dollars. It contains foreign government and
supranational bonds denominated in Australian, Austrian, Belgian, British,
Canadian, Danish, Dutch, French, German, Italian, Japanese, Spanish, and
Swedish currencies. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
211
<PAGE>
Portfolio Highlights -- International Fixed Income Investments (continued)
Hypothetical Illustration of $10,000 Invested in
International Fixed Income Investments
vs.
Salomon Smith Barney Non-U.S. Government Bond Index
August 31, 1996 through August 31, 1999
(unaudited)
[GRAPH]
International Fixed International Fixed Salomon Smith Barney
Income Investments+* Income Investments+* Non-U.S. Government
(With Trak Fee) (Without Trak Fee) Bond Index
--------------- ------------------ ----------
Aug-96 10,000 10,000 10,000
Aug-97 9,703 9,848 9,660
Aug-98 10,558 10,878 10,247
Aug-99 10,640 11,127 10,216
- --------------------------------------------------------------------------------
The Salomon Smith Barney Non-U.S. Government Bond Index-Unhedged is an index
subset of the Salomon Smith Barney World Bond Index that excludes corporate
bonds denominated in U.S. dollars. It contains foreign government and
supranational bonds denominated in Australian, Austrian, Belgian, British,
Canadian, Danish, Dutch, French, German, Italian, Japanese, Spanish, and
Swedish currencies. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
212
<PAGE>
Portfolio Highlights -- Emerging Markets Equity Investments as of August 31,
1999
For the year ended August 31, 1999, Emerging Markets Equity Investments
("Portfolio") had a total return of 55.37% versus 72.28% for the Morgan Stanley
Capital International Emerging Markets Free Index, the Portfolio's benchmark.
With respect to the assets allocated to AIB Govett, during the period under
review improved prospects for global growth stemmed from the major easing in
both developed and emerging economies' interest rates. This triggered a sharp
pick up in global liquidity, positively impacting emerging markets. Asia is now
driving positive performance. Most Latin American markets have seen solid gains
this year, after the curtailed reaction in January to Brazil's currency crisis.
Mexico is currently the "gem" of the Latin America region. Falling inflation
and declining interest rates, together with rising industrial production and
exports are all signs of an economy that is growing stronger. Emerging European
markets have not enjoyed this year's rally to the same extent due to the
situation in Yugoslavia and European sluggishness generally. But Poland has
remained strong, and there was little pressure on Hungary and Greece.
Performance has been reasonable year to date relative to its peer group
helped by the rally in Asian emerging markets. Positive asset allocation came
from overweight positions in Asia, particularly China, Korea and Thailand. The
overweight positions to Poland and Mexico also added to performance. The
upgrade in Poland's credit rating by Standard and Poor's particularly helped
the market rally.
Across emerging markets, currency stability and strengthening current account
balances are encouraging signs. This is also true of the general upward turn in
commodity prices. Our preferred region going forward is Asia where we will seek
to maintain our overweight position. In Latin America, Brazil and Mexico both
offer the prospect of rising economic activity in 2000 and compelling
valuations will warrant a close eye towards the end of the year with regard to
increasing positions. A recovery in Europe will benefit the balance of payments
positions in Emerging Europe and we remain positive on the long term prospects
of these markets.
With respect to the assets allocated to State Street Global Advisors
("SSgA"), the period under review was a difficult one, after emerging markets
plunged into disarray in August, 1998. Investors had to absorb the Russian
ruble collapse, currency contagion in Asia and a general flight from risk
following the failure of Long Term Capital Management's leveraged strategies.
The intervention of the Federal Reserve to lower interest rates and restore
liquidity to the bond market did much to correct the situation and prepare the
way for long term investors as opposed to hedge funds. Although concerns over
Brazil's need for fiscal political reforms lasted into early 1999, the January
devaluation of the real was well accepted by equity investors.
SSgA invested through a very disciplined quantitative process based on over-
and underweighting countries and by holding a large number of securities across
industries and countries. Generally speaking, individual country selection was
negative over the period, primarily because of underweights in early 1999 to
smaller but extremely volatile markets such as Indonesia, Russia, Thailand and
the Czech Republic, and to the Asian markets in general. In Latin America, the
fund emphasized Brazil and Mexico, while it favored Greece, Turkey, Israel and
South Africa in the Europe/Middle East/Africa region. Stock selection made a
strong contribution to performance, especially in such larger markets as
Brazil, Korea, and South Africa.
With respect to the assets allocated to Baring Asset Management, the
underperformance of their allocation versus the index during the 12 months
ended August 31, 1999, largely stemed from the volatile period in the financial
markets from August to December 1998. In the aftermath of the Long-Term Capital
Management failure and the Russian crisis, Baring was very concerned about the
outlook for financial assets and, more specifically, global emerging markets.
As a result, Baring's strategy was to increase portfolio defensiveness, through
a move into cash. However, global policy makers moved faster than market
expectations to restore global financial confidence, through the coordinated
easing of interest rates. This resulted in substantial rallies in a number of
emerging markets, as the fear of a "meltdown" in financial assets gave way to
the fear of being under-invested as markets recovered. As a result, this cash
position, although reinvested by the end of the year, accounted for the
majority of the under performance over the last twelve months.
This year, the performance of Baring's allocation has improved significantly,
helped by the move into more cyclical countries and stocks, as they have become
more confident about the improved outlook for global growth. This was
implemented, in part, by adding to both South Africa and the steel sector in
Latin America, on a stock specific basis. Aside from the negative impact from
holding cash, positive contributions to performance came from Baring's decision
to be underweight relative to the index in Brazil and Taiwan and overweight in
Greece. Stock selection was also positive in Taiwan, Korea and India in Asia
and in Poland and Hungary in Eastern Europe.
213
<PAGE>
Portfolio Highlights -- Emerging Markets Equity Investments
AVERAGE ANNUAL TOTAL RETURNS
-------------------------------------------------------------------------
<TABLE>
<CAPTION>
Emerging Markets Equity Investments Without TRAK Fee+ With TRAK Fee+
----------------------------------- ----------------- --------------
<S> <C> <C>
Year Ended 8/31/99 55.37% 53.05%
Three Years Ended 8/31/99 (4.82) (6.23)
Five Yers Ended 8/31/99 (4.55) (5.97)
Inception (4/21/94) through 8/31/99 (1.14) (2.62)
</TABLE>
Hypothetical Illustration of $10,000 Invested in
Emerging Markets Equity Investments
vs.
Morgan Stanley Capital International Emerging Markets Free Index
April 20, 1994 through August 31, 1999
(unaudited)
[GRAPH]
Emerging Markets Emerging Markets
Equity Investments+* Equity Investments+* MSCI Emerging Markets
(With Trak Fee) (Without Trak Fee) Free Index
4/20/94 10,000 10,000 10,000
Aug/94 11,798 11,863 12,008
Aug/95 9,864 10,068 10,039
Aug/96 10,521 10,902 10,421
Aug/97 11,388 11,978 10,899
Aug/98 5,667 6,051 5,421
8/31/99 8,674 9,401 9,339
- --------------------------------------------------------------------------------
The Morgan Stanley Capital International Emerging Markets Free Index is an
index comprised of thirteen emerging markets open to direct foreign
participation. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
214
<PAGE>
Portfolio Highlights -- Emerging Markets Equity Investments (continued)
Hypothetical Illustration of $10,000 Invested in
Emerging Markets Equity Investments
vs.
Morgan Stanley Capital International Emerging Markets Free Index
August 31, 1996 through August 31, 1999
(unaudited)
[GRAPH]
Emerging Markets Emerging Markets
Equity Investments+* Equity Investments+* MSCI Emerging
(With Trak Fee) (Without Trak Fee) Markets Free Index
8/31/96 10,000 10,000 10,000
Aug/97 10,824 10,988 10,458
Aug/98 5,386 5,550 5,202
8/31/99 8,244 8,623 8,961
- --------------------------------------------------------------------------------
The Morgan Stanley Capital International Emerging Markets Free Index is an
index comprised of thirteen emerging markets open to direct foreign
participation. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance. An investor cannot invest directly in an index.
* Assumes the reinvestment of all distributions.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
NOTE: The performance shown represents past performance and is not a guarantee
of future results. A Portfolio's share price and investment return will
vary with market conditions, and the principal value of shares, when
redeemed, may be more or less than original cost.
215
<PAGE>
Independent Auditors' Report
The Shareholders and Board of Trustees of
Consulting Group Capital Markets Funds:
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of Government Money Investments, High
Yield Investments, Intermediate Fixed Income Investments, Long-Term Bond
Investments, Municipal Bond Investments, Mortgage Backed Investments, Balanced
Investments, Large Capitalization Value Equity Investments, Large
Capitalization Growth Investments, Small Capitalization Value Equity
Investments, Small Capitalization Growth Investments, International Equity
Investments, International Fixed Income Investments, and Emerging Markets
Equity Investments ("Portfolios") of Consulting Group Capital Markets Funds
("Fund") as of August 31, 1999, and the related statements of operations for
the year then ended, the statements of changes in net assets for each of the
years in the two-year period then ended, and the financial highlights for each
of the years in the five-year period then ended. These financial statements and
financial highlights are the responsibility of the Fund's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
August 31, 1999, by correspondence with the custodian. As to securities
purchased or sold but not yet received or delivered, we performed other
appropriate auditing procedures. An audit also includes assessing the
accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement presentation. We believe
that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Portfolios of the Fund as of August 31, 1999, and the result of its operations
for the year then ended, the changes in its net assets for each of the years in
the two-year period then ended, and the financial highlights for each of the
years in the five-year period then ended, in conformity with generally accepted
accounting principles.
/s/ KPMG LLP
New York, New York
October 15, 1999
216
<PAGE>
Tax Information (unaudited)
The following August 31, 1999 fiscal year end disclosures are of various tax
benefits that will be reported to shareholders at calendar year end.
The Portfolios listed below designate for Federal income tax purposes the
following amounts as long term capital gain dividends paid:
<TABLE>
<S> <C>
Long-Term Bond Investments........................................ $ 5,494,167
Municipal Bond Investments........................................ 334,073
Mortgage Backed Investments....................................... 8,065
Balanced Investments.............................................. 7,060,465
Large Capitalization Value Equity Investments..................... 183,440,799
Large Capitalization Growth Investments........................... 77,445,331
Small Capitalization Value Equity Investments..................... 96,569,225
Small Capitalization Growth Investments........................... 33,622,731
International Equity Investments.................................. 48,003,952
International Fixed Income Investments............................ 2,325,606
</TABLE>
100% of the dividends from net investment income paid by Municipal Bond
Investments are tax-exempt for regular Federal income tax purposes.
The following percentages of ordinary income distributions have been
designated as qualifying for the dividends received deduction available to
corporate shareholders.
<TABLE>
<S> <C>
Balanced Investments.................................................. 54.64%
Large Capitalization Value Equity Investments......................... 50.73
Large Capitalization Growth Investments............................... 95.49
Small Capitalization Value Equity Investments......................... 50.15
</TABLE>
The total foreign sourced income received by International Equity Investments
and Emerging Markets Equity Investments, respectively, are $0.2174 per share
(or a total amount of $24,224,796) and $0.1432 per share (or a total amount of
$6,749,625). The total amounts of foreign taxes paid, again respectively, are
$0.0248 per share (or a total amount of $2,757,724) and $0.0134 per share (or a
total amount of $632,955).
The following percentages of ordinary income distributions have been derived
from investments in U.S. Government and Agency Obligations. All or a portion of
the corresponding percentages may be exempt from taxation at the state level.
<TABLE>
<S> <C>
Government Money Investments.......................................... 8.69%
Intermediate Fixed Income Investments................................. 31.72
Long-Term Bond Investments............................................ 43.07
Balanced Investments.................................................. 24.14
</TABLE>
The above figures may differ from those cited elsewhere in this report due to
differences in the calculations of income and capital gain for Securities and
Exchange Commission (book) purposes and Internal Revenue Service (tax)
purposes.
217
<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 a current Prospectus for the Trust which contains
information concerning the Trust's investment policies, charges and expenses as
well as other pertinent information.
TK 2120, 10/99 Consulting Group Capital Markets Funds . 222
Delaware Avenue . Wilmington, Delaware . 19801
