<PAGE>
TRAK/(R)/
----------------------------------------
Personalized Investment Advisory Service
CONSULTING GROUP
CAPITAL
MARKETS FUNDS
11.76 points 11.76 points
clipped clipped
Semi-Annual Report
February 28, 1999
[LOGO OF SALOMON SMITH BARNEY APPEARS HERE]
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
TABLE OF CONTENTS
<TABLE>
<S> <C>
Shareholder Letter.......................................................... 2
Schedules of Investments:
Government Money Investments.............................................. 4
High Yield Investments.................................................... 5
Intermediate Fixed Income Investments..................................... 9
Long-Term Bond Investments................................................ 13
Municipal Bond Investments................................................ 15
Mortgage Backed Investments............................................... 17
Balanced Investments...................................................... 19
Large Capitalization Value Equity Investments............................. 26
Large Capitalization Growth Investments................................... 41
Small Capitalization Value Equity Investments............................. 53
Small Capitalization Growth Investments................................... 77
International Equity Investments.......................................... 104
International Fixed Income Investments.................................... 128
Emerging Markets Equity Investments....................................... 130
Statements of Assets and Liabilities........................................ 140
Statements of Operations.................................................... 142
Statements of Changes in Net Assets......................................... 144
Notes to Financial Statements............................................... 148
Financial Highlights........................................................ 160
</TABLE>
1
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
Dear Shareholder:
Market Overview
The first six months of the Consulting Group Capital Markets Funds
("Portfolios") fiscal year will be remembered as some of the most volatile,
most written about and most analysed in the history of the financial markets.
While a few U.S. large-capitalization stocks were leading the U.S. stock market
to another record year, continued troubles in Asia and the emerging markets led
to sell-offs in the U.S. and international equity markets in the third quarter
of 1998. World stock markets rebounded in October and during the remainder of
the fourth quarter, mainly because of three consecutive Federal Reserve rate
cuts as well as an IMF-led bailout of Brazil. In January 1999, Europe began a
new chapter in financial history with the successful launch of the new pan-
European currency, the Euro.
U.S. Market Recap
In September and October 1998, global turmoil from continuing concerns in the
emerging markets sent investors to a "flight to quality" towards U.S.
Government Treasuries and large capitalization U.S. stocks. This helped U.S.
large capitalization stocks, as defined by the Russell 1000 Index, outperform
other equity asset classes for the fourth year in a row. U.S. small
capitalization stocks, however, continued to be shunned in favor of the more
liquid large capitalization names. A more accurate summary of the past year
would define the market as very uneven. Consider the following facts:
. Excluding the five best trading days, the Standard & Poor's 500 Index
("S&P 500 Index"), a more narrow index for large capitalization stocks,
would only be up by 1%; and excluding the five worst days, the gain would
have been almost 51%.
. Ten stocks in the S&P 500 Index were responsible for almost 50% of the
overall increase in the index and 50 stocks were responsible for 94%.
. Over 70% of the S&P 500 Index's companies lagged the Index's overall
performance.
Consulting Group's Asset Allocation Committee anticipates that the U.S.
economy will continue to slow in 1999. While overall cyclical measures suggest
that the U.S. economy is going strong, estimates of future corporate profits, a
key indicator of stock market performance, continue to be revised downward.
With the Federal Reserve's interest rate cuts in the third and fourth
quarters of 1998, the yield on the 30-year U.S. Treasury Bond fell, at one
point, to under 5%, thereby pushing bond prices up to historic levels.
Consulting Group expects the themes of slower growth and subdued inflation to
continue. Declining inflationary expectations could push the long bond below
the 5% level again.
International Market Recap
There was wide performance divergence between developed international and
emerging markets equities. Developed international equities, as defined by the
Morgan Stanley EAFE Index, benefited from the strong showing of European stock
markets including France, Spain and Finland. In contrast, the well-publicized
problems in Asian and Latin American countries caused their stock markets to
fall.
The initial reaction to European monetary union has been euphoric. While it
remains an open question whether the union will continue to thrive -- growth
rates in Europe have been trending down for some time -- on a relative basis,
the European equity markets are still attractive. By comparison, Japan and the
emerging markets are still struggling through recession, fiscal, monetary
and/or banking turmoil. Although in many cases the situation in emerging
markets has improved dramatically, Consulting Group maintains a cautious
stance.
Consulting Group Capital Markets Funds
During the six months ended February 28, 1999 only one fund, Long-Term Bond
Investments had negative performance. The strong performance of the last six
months across asset classes is somewhat of a surprise
2
<PAGE>
given the wrenching financial struggle that was experienced in 1998. With the
re-evaluation of risk and liquidity, small-capitalization stocks and emerging
markets names suffered severe downdrafts in share price, while large
capitalization mega growth stocks seemed almost unfazed by the events swirling
around the markets.
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 three investment advisory
agreements be terminated: Berger Associates (Small Capitalization Growth
Investments), Montgomery Asset Management (Small Capitalization Growth
Investments) and Palley-Needleman Asset Management (Balanced Investments).
During the same time period, the Board of Trustees approved, on the
recommendation of the Consulting Group, the hiring of several new investment
advisors. These new advisors were: Laurel Capital Advisors (Balanced
Investments--Equity Portfolio), Seix Investment Advisors (Balanced
Investments--Fixed Income Portfolio) and Barclays Global Fund Advisors (Large
Capitalization Value Investments). If you have any additional questions about
the advisory changes that have been mentioned, please contact your Financial
Consultant who will forward to you the Information Statement that is sent out
to shareholders whenever there is an advisory change.
We wish to thank you for the confidence you have shown in Consulting Group
and your Financial Consultant. As always, if you should have any questions or
comments about your 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
March 29, 1999
3
<PAGE>
Schedules of Investments (unaudited) February 28, 1999
Government Money Investments
<TABLE>
<CAPTION>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- ------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 96.7%
Federal Home Loan Banks mature
$ 40,115,000 3/17/99 to 5/21/99................. 4.76% to 4.99% $ 39,818,342
Federal Home Loan Mortgage Corp.
113,897,000 mature 3/8/99 to 7/8/99............ 4.69 to 5.03 113,022,878
Federal National Mortgage
Association mature 3/3/99 to
158,840,000 8/3/99............................. 4.75 to 5.58 157,393,169
Student Loan Mortgage Association
15,000,000 matures 6/30/99.................... 4.70 14,768,083
- ------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY
DISCOUNT NOTES
(Cost -- $325,002,472)............. 325,002,472
- ------------------------------------------------------------------------------
MEDIUM-TERM NOTE -- 3.3%
11,060,000 Federal National Mortgage
Association mature 3/12/99 to
8/6/99
(Cost -- $11,070,865).............. 5.03 to 5.45 11,070,865
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$336,073,337*).................... $336,073,337
- ------------------------------------------------------------------------------
</TABLE>
* Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
4
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
High Yield Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS -- 96.9%
- -------------------------------------------------------------------------------
Aerospace/Defense -- 0.8%
Aircraft Service International Group, Sr.
$1,000,000 B+ Notes, 11.000% due 8/15/05................ $ 1,003,750
- -------------------------------------------------------------------------------
Air Transportation -- 0.3%
Canadian Airlines Corp., Sr. Notes,
500,000 B- 10.000% due 5/1/05+....................... 424,375
- -------------------------------------------------------------------------------
Automotive -- 3.9%
Breed Technology, Sr. Sub. Notes, 9.250%
2,000,000 B- due 4/15/08............................... 1,020,000
Safelite Glass Corp., Sr. Sub. Notes:
1,000,000 B- 9.875% due 12/15/06...................... 940,000
1,500,000 B- Class B, 9.875% due 12/15/06.............. 1,410,000
Special Devices Inc., Sr. Sub. Notes,
1,750,000 B- 11.375% due 12/15/08...................... 1,750,000
- -------------------------------------------------------------------------------
5,120,000
- -------------------------------------------------------------------------------
Broadcasting -- 4.4%
1,500,000 B+ GCI Inc., Sr. Notes, 9.750% due 8/1/07+... 1,492,500
Goss Graphic Systems Inc., Sr. Sub. Notes,
2,500,000 CCC+ 12.000%, due 10/15/06+.................... 1,000,000
Jones International Networks Ltd., Sr.
2,000,000 B Notes, 11.750% due 7/1/05................. 1,317,500
Optel Inc., Sr. Notes, 11.500% due
750,000 B- 7/1/08.................................... 733,125
Phoenix Color, Sr. Sub. Notes, 10.375% due
1,200,000 B- 2/1/09.................................... 1,215,000
- -------------------------------------------------------------------------------
5,758,125
- -------------------------------------------------------------------------------
Chemicals -- 5.1%
Aqua Chemical Inc., Sr. Sub. Notes,
2,000,000 B- 11.250% due 7/1/08........................ 1,800,000
Equistar Chemical Inc., Sr. Notes, 8.750%
2,000,000 BBB- due 2/15/09............................... 2,030,000
GEO Specialty Chemicals, Sr. Sub. Notes,
1,000,000 B- 10.125% due 8/1/08........................ 992,500
Great Lakes Carbon Co., Company Guaranty,
500,000 B- 10.250% due 5/15/08....................... 516,875
Phillipp Brothers Chemicals, Company
1,500,000 BBB Guaranty, 9.875% due 6/1/08+.............. 1,456,875
- -------------------------------------------------------------------------------
6,796,250
- -------------------------------------------------------------------------------
Communications -- 8.9%
AMSC Acquisition Co., Inc., Company
2,000,000 NR Guaranty, 12.250% due 4/1/08.............. 960,000
Arch Communications Group, Sr. Discount
1,000,000 CCC Notes, 10.875% due 3/15/08+............... 545,000
Cellco Finance NV, Sr. Sub. Notes, 15.000%
1,500,000 CCC+ due 8/1/05................................ 1,410,000
Filtronic PLC, Sr. Notes, 10.000% due
1,000,000 B 12/1/05................................... 1,032,500
ICG Services, Sr. Discount Notes, 9.875%
2,250,000 NR due 5/1/08................................ 1,167,188
Intermedia Communications Inc., Sr. Notes,
1,500,000 B 9.500% due 3/1/09......................... 1,492,500
ICO Global Communications, Units, 15.000%
1,000,000 NR due 8/1/05+............................... 700,000
Northeast Optic Network, Sr. Notes,
1,000,000 NR 12.750% due 8/15/08+...................... 1,022,500
Orion Network Systems Inc., Sr. Notes,
2,000,000 B+ 11.250% due 1/15/07....................... 1,940,000
Primus Telecom, Sr. Notes, 11.250% due
1,500,000 B- 1/15/09................................... 1,518,750
- -------------------------------------------------------------------------------
11,788,438
- -------------------------------------------------------------------------------
Consumer Staples -- 9.4%
Bell Sports Inc., Sr. Sub. Notes, 11.000%
1,000,000 B- due 8/15/08............................... 1,015,000
Evenflo Co., Sr. Notes, 11.750% due
1,000,000 B+ 8/15/06................................... 1,031,250
Hedstrom Corp., Company Guaranty, 10.000%
1,000,000 B- due 6/1/07................................ 853,750
Home Interiors & Gifts, Inc., Company
1,500,000 B- Guaranty, 10.125% due 6/1/08.............. 1,518,750
Hosiery Corp. of America, Inc., Sr. Sub.
1,500,000 B- Notes, 13.750% due 8/1/02................. 1,618,125
Moll Industries, Sr. Sub. Notes, 10.500%
1,500,000 B due 7/1/08................................ 1,361,250
Outsourcing Services Inc., Sr. Sub. Notes,
2,000,000 B- 10.875% due 3/1/06........................ 1,955,000
Salton/Maxim Housewares, Company Guaranty,
2,000,000 B- 10.750% due 12/15/05...................... 2,057,500
Syratech Corp., Sr. Notes, 11.000% due
1,350,000 B- 4/15/07................................... 1,078,313
- -------------------------------------------------------------------------------
12,488,938
- -------------------------------------------------------------------------------
Electronics -- 1.5%
Elgar Holdings Inc., Sr. Notes, 9.875% due
1,500,000 NR 2/1/08.................................... 1,267,500
Pacific Aerospace & Electronics, Sr. Sub.
1,000,000 B- Notes, 11.250% due 8/1/05................. 758,750
- -------------------------------------------------------------------------------
2,026,250
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
High Yield Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Energy -- 8.9%
Belden & Blake Inc., Company Guaranty,
$1,555,000 CCC 9.875% due 6/15/07........................ $ 1,119,600
Chesapeake Energy Corp., Sr. Notes, 9.625%
2,425,000 B+ due 5/1/05................................ 1,721,750
Continental Resources, Sr. Sub. Notes,
2,000,000 B- 10.250% due 8/1/08........................ 1,547,500
Eagle Geophysical Inc., Sr. Notes, 10.750%
500,000 B- due 7/15/08............................... 289,375
Key Energy Services, Units, 14.000% due
1,000,000 B- 1/15/09................................... 1,002,500
Michael Petroleum Corp., Sr. Notes,
2,000,000 NR 11.500% due 4/1/05........................ 1,447,500
Ocean Rig Norway, Company Guaranty,
1,750,000 B- 10.250% due 6/1/08........................ 1,299,375
Panaco Inc., Company Guaranty, 10.625% due
2,000,000 B- 10/1/04+.................................. 1,517,500
Parker Drilling, Sr. Notes, 9.750% due
1,500,000 B+ 11/15/06.................................. 1,155,000
Queen Sand Resources, Company Guaranty,
1,000,000 B 12.500% due 7/1/08........................ 660,000
- -------------------------------------------------------------------------------
11,760,100
- -------------------------------------------------------------------------------
Entertainment -- 2.2%
Marvel Enterprises, Sr. Notes, 12.000% due
2,000,000 NR 6/15/09................................... 2,025,000
TVN Entertainment Corp., Units, 14.000%
1,000,000 NR due 8/1/08................................ 900,000
- -------------------------------------------------------------------------------
2,925,000
- -------------------------------------------------------------------------------
Financial -- 0.8%
Willis Corron Corp., Sr. Sub. Notes,
1,000,000 B+ 9.000% due 2/1/09......................... 1,001,250
- -------------------------------------------------------------------------------
Food -- 2.8%
Favorite Brands, Sr. Notes, 10.750% due
1,500,000 B- 5/15/06................................... 1,168,125
Fresh Foods Inc., Sr. Notes, 10.750% due
1,000,000 B 6/1/06.................................... 977,500
RAB Enterprises, Sr. Notes, 10.500% due
1,000,000 B- 5/1/05.................................... 758,750
Richmont Marketing Specialists, Sr. Sub.
1,000,000 CCC+ Notes, 10.125% due 12/15/07............... 726,250
- -------------------------------------------------------------------------------
3,630,625
- -------------------------------------------------------------------------------
Gaming -- 0.8%
Hollywood Park Inc., Sr. Sub. Notes,
1,000,000 B 9.250% due 2/15/07........................ 998,750
- -------------------------------------------------------------------------------
Industrial -- 17.5%
Amtrol Inc., Sr. Sub. Notes, 10.625% due
2,004,000 B- 12/31/06+................................. 1,948,890
Anchor Lamina Inc., Sr. Sub. Notes, 9.875%
2,000,000 B- due 2/1/08................................ 1,900,000
Axia Inc., Sr. Sub. Notes, 10.750% due
1,000,000 B- 7/15/08................................... 1,011,250
Derby Cycle Corp., Sr. Notes, 10.000% due
1,500,000 BBB 5/15/08................................... 1,380,000
Generac Portable Products, Sr. Sub. Notes,
2,500,000 B- 11.250% due 7/1/06........................ 2,600,000
Hexcel Corp., Sr. Sub. Notes, 9.750% due
2,000,000 B+ 1/15/09................................... 2,017,500
High Voltage Engineering, Sr. Notes,
1,000,000 B+ 10.500% due 8/15/04....................... 951,250
Imperial Home Decor Group, Sr. Sub. Notes,
2,000,000 B- 11.000% due 3/15/08....................... 1,755,000
MVE Inc., Sr. Notes, 12.500% due
1,880,000 B 2/15/02+.................................. 2,011,600
Neenah Corp.:
975,000 B- Sr. Sub. Notes, 11.125% due 5/1/07....... 1,021,965
1,500,000 B- Sr. Sub. Notes, 11.125% due 5/1/07+...... 1,571,250
Russell-Stanley Holdings Inc., Sr. Sub.
1,700,000 B- Notes, 10.875% due 2/15/09................ 1,683,000
Tokheim Corp., Sr. Sub. Notes, 11.375% due
1,000,000 B 8/1/08.................................... 1,035,000
Viasystems Inc., Sr. Sub. Notes, 9.750%
2,500,000 B- due 6/1/07+............................... 2,312,500
- -------------------------------------------------------------------------------
23,199,205
- -------------------------------------------------------------------------------
Metals -- 3.7%
Commonwealth Aluminum Co., Sr. Sub. Notes,
1,500,000 B- 10.750% due 10/1/06....................... 1,498,125
Continental Global Group, Sr. Notes,
1,000,000 B 11.000% due 4/1/07........................ 878,750
Golden Northwest Inc., First Mortgage,
1,300,000 BB- 12.000% due 12/15/06...................... 1,324,375
Metal Management Inc., Sr. Sub. Notes,
2,000,000 B- 10.000% due 5/15/08....................... 1,197,500
- -------------------------------------------------------------------------------
4,898,750
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
High Yield Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Paper -- 7.7%
Crown Paper Corp., Sr. Sub. Notes, 11.000%
$1,550,000 B due 9/1/05................................. $ 1,216,750
Domain Industries Ltd., Sr. Notes, 8.750%
1,950,000 B+ due 3/15/04................................ 1,443,000
Fonda Group, Inc., Sr. Sub. Notes, 9.500%
2,275,000 B- due 3/1/07+................................ 1,942,280
Plainwell Inc., Sr. Sub. Notes, 11.000% due
2,000,000 B- 3/1/08..................................... 1,562,500
Riverwood International Corp., Company
2,000,000 B- Guaranty, 10.625% due 8/1/07+.............. 2,052,500
Stone Container Corp., Sr. Notes, 9.875%
1,000,000 B due 2/1/01................................. 1,018,750
Sweetheart Cup Co., Inc., Sr. Notes, 9.625%
1,000,000 B+ due 9/1/00+................................ 952,500
- -------------------------------------------------------------------------------
10,188,280
- -------------------------------------------------------------------------------
Real Estate -- 4.2%
Albecca Inc., Sr. Sub. Notes, 10.750% due
1,000,000 B- 8/15/08.................................... 967,500
DR Horton Inc., Company Guaranty, 8.000%
1,300,000 BB due 2/1/09................................. 1,295,125
LNR Property Corp., Sr. Sub. Notes, 10.500%
1,000,000 B due 1/15/09................................ 1,025,000
Panolam International, Sr. Sub. Notes,
1,000,000 B- 11.500% due 2/15/09........................ 1,012,500
Reliant Building Product, Sr. Sub. Notes,
1,500,000 B- 10.875% due 5/1/04+........................ 1,310,625
- -------------------------------------------------------------------------------
5,610,750
- -------------------------------------------------------------------------------
Retail -- 4.8%
AAI.Fostergrant Inc., Sr. Notes, 10.750%
2,000,000 B+ due 7/15/06................................ 1,855,000
Centeral Tractor Farm & Country, Sr. Notes,
1,500,000 B+ 10.625% due 4/1/07......................... 1,550,625
Frank's Nursery & Crafts, Sr. Sub. Notes,
1,500,000 B- 10.250% due 3/1/08+........................ 1,515,000
Sonic Automotive Inc., Sr. Sub. Notes,
1,500,000 B- 11.000% due 8/1/08......................... 1,496,250
- -------------------------------------------------------------------------------
6,416,875
- -------------------------------------------------------------------------------
Services -- 6.0%
Coyne International Enterprises, Sr. Sub.
1,700,000 B- Notes, 11.250% due 6/1/08.................. 1,663,875
Dialog Corp., Sr. Sub. Notes, 11.000% due
2,000,000 B 11/15/07................................... 1,920,000
Intertek Finance PLC, Company Guaranty,
1,500,000 B- 10.250% due 11/1/06........................ 1,396,875
Penhall Acquisition Corp., Sr. Notes,
2,000,000 B- 12.000% due 8/1/06......................... 1,895,000
U.S. Office Products Co., Sr. Sub. Notes,
1,500,000 B- 9.750% due 6/15/08......................... 1,078,125
- -------------------------------------------------------------------------------
7,953,875
- -------------------------------------------------------------------------------
Technology -- 2.0%
IPC Information, Sr. Discount Notes,
2,000,000 B 10.875% due 5/1/08......................... 1,255,000
Phase Metrics, Company Guaranty, 10.750%
2,000,000 B due 2/1/15................................. 1,410,000
- -------------------------------------------------------------------------------
2,665,000
- -------------------------------------------------------------------------------
Transportation -- 0.4%
Millennium Seacarriers, Sr. Sub. Notes,
750,000 B 12.000% due 7/25/05........................ 588,750
- -------------------------------------------------------------------------------
Utility -- 0.8%
Cogentrix Energy, Sr. Notes, 8.750% due
1,000,000 BB+ 10/15/08................................... 1,073,750
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS (Cost --
$133,375,748)............................. 128,317,086
- -------------------------------------------------------------------------------
<CAPTION>
SHARES SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
PREFERRED STOCK -- 0.7%
HH Acquisition Corp., Exchangeable, 13.500%
1,068 (Cost -- $1,029,944)....................... 870,420
- -------------------------------------------------------------------------------
WARRANTS -- 0.0%
American Mobile Satellite Corp., Expire
2,000 4/1/08..................................... 6,580
750 Millennium Seacarriers, Expire 7/15/03..... 4,688
- -------------------------------------------------------------------------------
TOTAL WARRANTS (Cost -- $18,248)........... 11,268
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
High Yield Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 2.4%
$3,129,000 Morgan Stanley Dean Witter & Co., 4.730% due 3/1/99;
Proceeds at maturity -- $3,130,233;
(Fully collateralized by U.S. Treasury Notes & Bonds,
5.500% to 14.000% due 2/29/00 to 2/15/26;
Market value -- $3,427,746)(Cost -- $3,129,000)...... $ 3,129,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $137,552,940**).. $132,327,774
- --------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service.
+ 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.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 138 for definition of ratings.
Classification of Investments
[PIE CHART APPEARS HERE]
Repurchase Agreements 2.4% 2.4
Warrants & Preferred Stock 0.7% 0.7
Corporate Bonds & Notes 96.9% 96.9
See Notes to Financial Statements.
8
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 39.6%
- ------------------------------------------------------------------------------
U.S. Treasury Obligations -- 38.1%
U.S. Treasury Notes:
$29,500,000 5.875% due 11/15/99............................ $ 29,702,960
8,800,000 5.625% due 11/30/99............................ 8,845,672
67,555,000 6.250% due 10/31/01............................ 69,310,079
45,200,000 6.625% due 4/30/02............................. 46,999,864
2,400,000 3.625% due 7/15/02............................. 2,385,744
13,100,000 5.750% due 4/30/03............................. 13,316,674
51,075,000 6.500% due 8/15/05............................. 54,132,350
11,550,000 6.625% due 5/15/07............................. 12,460,948
U.S. Treasury Strips, zero coupon due
125,000 11/15/99....................................... 120,776
- ------------------------------------------------------------------------------
237,275,067
- ------------------------------------------------------------------------------
U.S. Government Agency -- 1.5%
Government Trust Certificate, Resolution Trust
Corp.:
47,466 9.000% due 9/25/28............................. 47,822
2,638,232 7.500% due 10/25/28............................ 2,641,530
Tennessee Valley Authority, Bonds, 5.375% due
6,700,000 11/13/08....................................... 6,451,899
- ------------------------------------------------------------------------------
9,141,251
- ------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost -- $249,203,219)......................... 246,416,318
</TABLE>
<TABLE>
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS AND NOTES -- 39.1%
- -------------------------------------------------------------------------------
Banking -- 9.4%
Bank One Corp., Medium Term Notes, 5.625%
6,250,000 Aa3* due 2/17/04................................ 6,137,500
2,055,000 A3* BB&T Corp., Bonds, 6.375% due 6/30/05...... 2,044,725
Chase Manhattan Corp., Sub. Notes, 5.812%
2,000,000 A1* due 12/30/09............................... 2,000,000
Continental Bank N.A., Sub. Notes, 12.500%
2,425,000 Aa2* due 4/1/01................................. 2,749,344
First Interstate Bancorp, Sub. Capital
1,500,000 A1* Notes, 8.625% due 4/1/99................... 1,503,570
First National Bank of Boston, Notes,
2,000,000 A2* 8.375% due 12/15/02........................ 2,125,000
First USA Bank, Notes:
3,275,000 Aa2* 6.375% due 10/23/00........................ 3,320,031
875,000 Aa2* 5.850% due 2/22/01......................... 876,855
First Union National Bank, Sub. Notes,
7,125,000 A1* 5.800% due 12/1/08......................... 6,848,906
1,325,000 BBB+ Markel Corp., Notes, 7.250% due 11/1/03.... 1,373,031
Merita Bank, Sub. Notes, 7.500% due
2,350,000 A3* 12/29/49+.................................. 2,318,205
National City Corp., Sub. Notes, 5.750% due
4,000,000 A2* 2/1/09..................................... 3,830,000
National Westminster Bank, Sub. Notes,
1,500,000 Aa3* 7.750% due 4/29/49......................... 1,509,375
News America Holdings Inc., Sr. Notes,
400,000 BBB- 8.500% due 2/15/05......................... 442,500
St. Georges Bank, Notes, 7.150% due
500,000 A- 10/15/05+.................................. 501,110
Star Banc Corp., Notes, 5.875% due
2,000,000 A2* 11/1/03.................................... 1,962,500
Union Planters, Sub. Notes, 6.500% due
1,250,000 Baa1* 3/15/08.................................... 1,214,062
10,625,000 Aa3* U.S. Bank NA, Notes, 5.625% due 10/30/05... 10,160,156
Wachovia Corp., Sub. Notes, 5.625% due
7,750,000 A+ 12/15/08................................... 7,372,187
- -------------------------------------------------------------------------------
58,289,057
- -------------------------------------------------------------------------------
Communications -- 0.8%
Panamsat Corp., Notes:
3,000,000 A- 6.000% due 1/15/03......................... 2,943,750
1,850,000 A- 6.125% due 1/15/05......................... 1,794,500
- -------------------------------------------------------------------------------
4,738,250
- -------------------------------------------------------------------------------
Entertainment -- 1.5%
3,000,000 BBB- Viacom Inc., Sr. Notes, 7.750% due 6/1/05.. 3,187,500
Walt Disney Co., Notes, 5.125% due
6,150,000 A 12/15/03................................... 5,957,813
- -------------------------------------------------------------------------------
9,145,313
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Financial Services -- 19.3%
American Health Properties, Notes, 7.050%
$ 2,500,000 BBB- due 1/15/02.............................. $ 2,546,875
Amvescap PLC, Sr. Notes:
2,000,000 A3* 6.375% due 5/15/03....................... 1,925,000
4,925,000 A3* 6.600% due 5/15/05....................... 4,654,125
Associates Corp., Sr. Notes, 5.750% due
2,300,000 AA- 11/1/03.................................. 2,282,750
BanPonce Corp., Notes, 6.750% due
2,625,000 Baa1* 12/15/05................................. 2,693,906
Bear, Stearns & Co. Inc., Notes, 6.750%
1,675,000 A due 8/15/00.............................. 1,695,351
Carramerica Realty Corp., Company
2,300,000 BBB Guaranteed, 7.200% due 7/1/04............ 2,317,250
Chase Mortgage Securities Corp., Sub.
3,575,000 BBB Bonds, 7.370% due 5/19/07................ 3,533,673
Chelsea GCA Realty Partnership, Notes,
2,300,000 BBB- 7.750% due 1/26/01....................... 2,348,875
Colonial Realty LP, Notes, 6.960% due
2,350,000 BBB- 7/26/04.................................. 2,402,875
CP Limited Partnership, Sr. Notes, 8.750%
750,000 BBB due 3/2/00............................... 768,652
Evans Withycombe Residential Inc., Notes,
1,000,000 A3* 7.500% due 4/15/04....................... 1,056,250
Federal Home Loan Mortgage, Notes, 5.000%
6,100,000 Aaa* due 2/15/01.............................. 6,057,300
Finova Capital Corp., Notes, 6.450% due
2,175,000 A- 6/1/00................................... 2,187,332
First Tennessee National Corp., Sub.
13,000,000 A- Notes, 5.750% due 12/1/08................ 12,398,750
Florida Property & Casualty, Notes,
2,050,000 A- 7.250% due 7/1/02........................ 2,108,938
Florida Resident Property & Casualty,
3,450,000 A- Notes, 7.375% due 7/1/03................. 3,575,063
Florida Windstorm, Bonds:
4,575,000 A- 6.500% due 8/25/02....................... 4,626,469
3,000,000 A- 6.700% due 8/25/04....................... 3,011,250
Ford Motor Credit Co., Notes:
5,600,000 A1* 5.750% due 1/25/01....................... 5,607,000
2,000,000 A1* 5.800% due 1/12/09....................... 1,935,000
Goldman Sachs Group LP, Notes:
1,000,000 A+ 7.250% due 10/1/05+...................... 1,035,000
450,000 A+ 7.200% due 3/1/07+....................... 464,063
HomeSide International, Inc., Notes,
1,000,000 A+ 11.250% due 5/15/03...................... 1,176,250
Homeside Lending, Inc., Notes:
3,775,000 A+ 6.875% due 6/30/02....................... 3,850,500
4,000,000 A+ 6.750% due 8/1/04........................ 4,030,000
Household Financial Corp., Medium Term
Notes:
3,085,000 A 7.150% due 6/15/00....................... 3,131,584
4,675,000 A 6.125% due 7/15/02....................... 4,686,687
Integra Financial Corp., Sub. Notes,
1,900,000 A2* 6.500% due 4/15/00....................... 1,912,996
Keystone Financial Midatlantic, Sr.
1,350,000 BBB+ Notes, 7.300% due 5/15/04................ 1,414,125
Morgan Stanley Dean Witter & Co., Sr.
4,500,000 Aa3* Unsub. Notes, 5.625% due 1/20/04......... 4,404,375
Norwest Corp., Medium Term Notes:
2,425,000 Aa3* 6.875% due 8/8/06........................ 2,506,844
1,780,000 Aa3* 6.750% due 6/15/07....................... 1,831,175
Norwest Financial, Inc., Notes, 6.375%
3,000,000 Aa3* due 11/15/01............................. 3,041,250
Paine Webber Group Inc., Notes, 6.450%
575,000 BBB+ due 12/1/03.............................. 566,375
Realty Income Corp., Inc., Notes, 7.750%
3,450,000 BBB- due 5/6/07............................... 3,708,750
Reliastar Financial Corp., Notes, 6.500%
3,025,000 A due 11/15/08............................. 2,930,469
United States Fidelity and Guarantee
2,100,000 A+ Corp., Sr. Notes, 8.375% due 6/15/01..... 2,202,375
Wells Fargo & Co., Sub. Notes, 7.125% due
7,475,000 A1* 8/15/06.................................. 7,867,437
- -------------------------------------------------------------------------------
120,492,939
- -------------------------------------------------------------------------------
Healthcare -- 0.2%
Meditrust Corp., Notes, 7.375% due
1,425,000 Ba1* 7/15/00.................................. 1,385,556
- -------------------------------------------------------------------------------
Industrial -- 4.6%
Abitibi Consolidated Inc., Notes, 6.950%
3,000,000 BBB- due 4/1/08............................... 2,902,500
3,450,000 BBB Brascan Ltd., Notes, 7.375% due 10/1/02.. 3,531,937
Diageo Capital PLC, Company Guaranteed,
6,025,000 A+ 6.125% due 8/15/05....................... 6,009,938
EOP Operating LP, Sr. Notes, 6.375% due
2,575,000 Baa1* 2/15/03.................................. 2,513,844
Georgia-Pacific Corp., Debentures, 9.950%
1,100,000 Baa2* due 6/15/02.............................. 1,201,750
IMC Global Inc., Notes, 7.400% due
2,000,000 BBB 11/1/02.................................. 2,025,000
La Quinta Inns, Inc., Notes, 7.110% due
4,900,000 Ba1* 10/17/01................................. 4,783,625
Safeway Inc., Notes, 6.050% due
3,225,000 BBB 11/15/03................................. 3,200,813
U.S. Filter Corp., Bonds, 6.500% due
2,725,000 BBB 5/15/03+................................. 2,646,656
- -------------------------------------------------------------------------------
28,816,063
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Oil -- 0.4%
Kern River Funding Corp., Sr. Notes,
$ 2,750,000 A- 6.720% due 9/30/01....................... $ 2,798,125
- -------------------------------------------------------------------------------
Real Estate -- 0.6%
Simon Property Group, Ltd.:
2,250,000 BBB+ 6.750% due 6/15/04+...................... 2,221,875
1,500,000 BBB+ 6.750% due 6/15/05+...................... 1,445,625
- -------------------------------------------------------------------------------
3,667,500
- -------------------------------------------------------------------------------
Retail -- 1.8%
Sears Roebuck Acceptance Corp., Notes,
5,335,000 A2* 6.690% due 4/30/01....................... 5,415,025
TYCO International Group, Notes:
1,750,000 A- 6.125% due 11/1/08+...................... 1,719,375
4,000,000 A- 6.125% due 1/15/09....................... 3,925,000
- -------------------------------------------------------------------------------
11,059,400
- -------------------------------------------------------------------------------
Transportation -- 0.5%
CSX Corp., Medium Term Notes, 5.850% due
3,150,000 BBB 12/1/03.................................. 3,071,250
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost --
$246,570,560)........................... 243,463,453
- -------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 12.7%
- -------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 0.0%
37,933 FHLMC 7.500% due 8/1/99............................. 38,193
- -------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 2.4%
5,500,000 FNMA 6.000% due 5/15/08............................. 5,565,286
3,535,000 FNMA 6.500% due 2/1/29.............................. 3,509,583
5,777,614 FNMA Dwarf, 8.000% due 3/13/13...................... 5,968,969
- -------------------------------------------------------------------------------
15,043,838
- -------------------------------------------------------------------------------
Government National Mortgage Association (GNMA) -- 4.8%
16,585,155 GNMA 7.500% due 1/15/26 - 10/15/28.................. 17,084,957
5,928,468 GNMA 8.000% due 5/15/17 - 1/15/28................... 6,183,454
6,178,432 GNMA Platinum, 9.000% due 12/15/17.................. 6,603,199
- -------------------------------------------------------------------------------
29,871,610
- -------------------------------------------------------------------------------
Collateralized Mortgage Obligation -- 5.5%
Ameresco Commercial Lending, 7.120% due
3,063,510 AAA 9/17/12+................................. 3,084,587
Chase Credit Card Master Trust, 6.777%
4,000,000 AAA due 5/15/07.............................. 4,082,440
EQCC Home Equity Trust:
5,382,000 AAA 7.160% due 3/15/13....................... 5,377,210
1,400,000 AAA 6.229% due 3/15/13....................... 1,404,326
Morgan Stanley Capital Trust, 7.900% due
6,025,000 AAA 2/15/06.................................. 6,041,930
Mortgage Capital Funding, Inc.:
2,625,000 AAA 7.900% due 2/15/06....................... 2,760,345
2,766,000 A+ 7.800% due 4/15/06....................... 2,908,615
Residential Funding Mortgage Securities,
8,725,000 AAA Inc., 5.980% due 10/25/29................ 8,520,486
- -------------------------------------------------------------------------------
34,179,939
- -------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$79,620,764)........................... 79,133,580
- -------------------------------------------------------------------------------
REGIONAL GOVERNMENT OBLIGATIONS -- 1.5%
Ontario Province:
5,975,000 AA- 5.500% due 10/1/08....................... 5,788,281
3,500,000 A+ 7.500% due 7/15/02....................... 3,661,875
- -------------------------------------------------------------------------------
TOTAL REGIONAL GOVERNMENT OBLIGATIONS
(Cost -- $9,659,818)..................... 9,450,156
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <C> <S> <C>
SHORT TERM NOTES -- 6.9%
$37,000,000 FHLB, 4.760% due 4/28/99........................ $ 36,717,690
6,275,000 FHLMC, 4.610% due 5/4/99........................ 6,221,976
- --------------------------------------------------------------------------------
TOTAL SHORT TERM NOTES (Cost -- $42,926,929).... 42,939,666
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.2%
1,355,000 Morgan Stanley Dean Witter & Co., 4.730% due
3/1/99; Proceeds at maturity -- $1,355,534;
(Fully collateralized by U.S. Treasury Notes and
Bonds, 5.500% to 14.000%
due 4/30/99 to 2/15/26; Market value --
$1,386,823) (Cost -- $1,355,000) .............. 1,355,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$629,336,290**)................................ $622,758,173
- --------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Rating 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
1993. This security may be resold in transactions exempt from registration to
qualified institutional buyers.
** Aggregate cost for Federal tax purposes is substantially the same.
See page 138 for definition of ratings.
Classification of Investments
[PIE CHART APPEARS HERE]
Short-Term Note 6.9% 6.9
Corporate Bonds & Notes 39.1% 39.1
Mortgage-Backed Securities 12.7% 12.7
Repurchase Agreement 0.2% 0.2
U.S. Government & Agencies & Obligations 39.6% 39.6
Regional Government Obligation 1.5% 1.5
See Notes to Financial Statements.
12
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Long-Term Bond Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 57.0%
- ------------------------------------------------------------------------------
U.S. Government Obligations -- 45.5%
U.S. Treasury Notes:
$ 6,060,000 7.500% due 11/15/16................................ $ 7,175,040
6,000,000 8.750% due 5/15/20................................. 8,106,780
9,880,000 8.500% due 2/15/20................................. 13,033,202
2,435,000 8.125% due 8/15/21................................. 3,126,126
U.S. Treasury Bonds:
850,000 12.000% due 8/15/13................................ 1,241,349
1,200,000 11.250% due 2/15/15................................ 1,881,624
11,485,000 7.875% due 2/15/21................................. 14,356,020
12,125,000 6.875% due 8/15/25................................. 13,876,820
2,425,000 6.125% due 11/15/27................................ 2,544,795
- ------------------------------------------------------------------------------
65,341,756
- ------------------------------------------------------------------------------
U.S. Government Agencies -- 11.5%
FGLMC REMIC:
4,550,000 6.250% due 10/15/27................................ 4,544,313
4,535,000 6.000% due 11/15/28................................ 4,201,360
855,000 6.000% due 12/15/28................................ 810,685
7,200,000 FNMA, 6.000% due 2/1/28............................ 6,984,000
- ------------------------------------------------------------------------------
16,540,358
- ------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost -- $79,253,961).............................. 81,882,114
- ------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS AND NOTES -- 43.0%
- ------------------------------------------------------------------------------
Banking -- 5.3%
International Bank of Reconstruction &
3,350,000 AAA Development, 8.250% due 9/1/16............. 4,020,000
3,000,000 A NCNB Corp., 9.375% due 9/15/09............. 3,652,500
- ------------------------------------------------------------------------------
7,672,500
- ------------------------------------------------------------------------------
Consumer Products -- 3.0%
1,550,000 A+ BestFoods, Series F, 6.625% due 4/15/28.... 1,491,875
2,075,000 AA Proctor & Gamble Co., 9.360% due 1/1/21.... 2,759,750
- ------------------------------------------------------------------------------
4,251,625
- ------------------------------------------------------------------------------
Financial Services -- 12.2%
3,300,000 AA American Re Corp., 7.450% due 12/15/26..... 3,547,500
2,400,000 BBB- Continental Corp., 8.375% due 8/15/12...... 2,742,000
Lubermens Mutual Casualty, Surplus Notes,
1,450,000 A- 8.300% due 12/1/37+........................ 1,511,625
Metropolitan Life Insurance Co., Surplus
3,700,000 A+ Notes, 7.800% due 11/1/25.................. 3,963,625
3,000,000 A+ Nationwide CSN Trust, 9.875% due 2/15/25... 3,540,000
US West Capital Funding Inc., 6.875% due
2,100,000 A- 7/15/28.................................... 2,136,750
- ------------------------------------------------------------------------------
17,441,500
- ------------------------------------------------------------------------------
Industrial -- 5.0%
Applied Materials Inc., Sr. Notes, 7.125%
4,500,000 BBB+ due 10/15/17............................... 4,331,250
1,600,000 AA- Cargill Inc., 6.875% due 5/1/28+........... 1,518,000
1,350,000 A- Lowe's Co., 6.875% due 2/15/28............. 1,373,625
- ------------------------------------------------------------------------------
7,222,875
- ------------------------------------------------------------------------------
Media & Entertainment -- 4.2%
News America Holdings Inc., 9.250% due
1,275,000 BBB- 2/1/13..................................... 1,539,563
3,800,000 BBB- Time Warner Inc., 8.375% due 7/15/33....... 4,541,000
- ------------------------------------------------------------------------------
6,080,563
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Long-Term Bond Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Miscellaneous -- 4.7%
$ 3,250,000 BBB+ Boston University, 7.625% due 7/15/97.... $ 3,440,938
2,850,000 BBB+ Ogden Corp., 9.250% due 3/1/22........... 3,306,000
- -------------------------------------------------------------------------------
6,746,938
- -------------------------------------------------------------------------------
Transportation -- 1.7%
Federal Express Corp., 7.630% due
2,431,507 BBB+ 1/5/14................................... 2,434,546
- -------------------------------------------------------------------------------
Utilities -- 6.9%
BellSouth Telecommunications Inc., 7.000%
2,250,000 AAA due 10/1/25.............................. 2,393,438
Columbia Gas Systems Inc., 7.320% due
2,275,000 BB+ 11/28/10................................. 2,357,469
3,000,000 A+ New York Telephone, 6.700% due 11/1/23... 2,966,250
Puget Sound Energy Inc., Series A, 6.740%
2,100,000 A- due 6/15/18.............................. 2,100,000
- -------------------------------------------------------------------------------
9,817,157
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS AND NOTES (Cost --
$58,629,697)............................ 61,667,704
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$137,883,658**)......................... $143,549,818
- -------------------------------------------------------------------------------
</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 that are exempt from
registration, normally to qualified institutional buyers.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 138 for definition of ratings.
Classification of Investments
[PIE CHART APPEARS HERE]
Corporate Bonds and Notes 43% 43
U.S. Government Agency & Obligations 57% 57
See Notes to Financial Statements.
14
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Municipal Bond Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- ---------------------------------------------------------------------------------
<C> <C> <S> <C>
California -- 11.3%
California State Public Works Board Lease
Revenue:
$3,100,000 A1* California Community Colleges, Series D,
4.750% due 10/1/14.......................... $ 3,088,375
2,000,000 A1* Department of Corrections, Series A, 5.250%
due 9/1/15.................................. 2,077,500
3,000,000 AAA San Diego, CA Special Tax Refunding,
Community Facilities District No. 1, MBIA-
Insured, 4.750% due 9/1/20.................. 2,906,250
- ---------------------------------------------------------------------------------
8,072,125
- ---------------------------------------------------------------------------------
Florida -- 11.4%
5,900,000 AA+ Florida State Board of Education Capital
Outlay, Public Education GO, Series B,
5.000% due 6/1/14........................... 6,040,125
2,000,000 AAA Reedy Creek, FL Improvement District, Series
A, MBIA-Insured, 5.250% due 6/1/15 (b)...... 2,067,500
- ---------------------------------------------------------------------------------
8,107,625
- ---------------------------------------------------------------------------------
Georgia -- 4.3%
3,000,000 AAA Gwinnett County, GA Water & Sewer Authority
Revenue, 5.250% due 8/1/18.................. 3,071,250
- ---------------------------------------------------------------------------------
Iowa -- 4.2%
3,000,000 AAA Iowa Finance Authority, Hospital Facility
Revenue, Iowa Health System, Series A,
MBIA-Insured, 5.125% due 7/1/20............. 3,015,000
- ---------------------------------------------------------------------------------
Massachusetts -- 6.5%
2,000,000 Aa3* Massachusetts State Grant Anticipation Notes,
Series B, 5.125% due 12/15/10............... 2,097,500
2,500,000 AAA Massachusetts State Turnpike Authority,
Metropolitan Highway System, Series A,
MBIA-Insured, 5.000% due 1/1/13............. 2,550,000
- ---------------------------------------------------------------------------------
4,647,500
- ---------------------------------------------------------------------------------
Michigan -- 4.2%
3,000,000 AA Royal Oak, MI Hospital Finance Authority,
William Beaumont Hospital,
5.250% due 1/1/20 (b)....................... 2,988,750
- ---------------------------------------------------------------------------------
Minnesota -- 4.4%
3,000,000 AAA Minnesota Public Facility Authority, Water
Pollution Control Revenue, Series B,
5.125% due 3/1/13........................... 3,112,500
- ---------------------------------------------------------------------------------
New Jersey -- 6.9%
2,720,000 AAA New Jersey Sports & Exposition Authority
State Contract, Series A, MBIA-Insured,
5.250% due 3/1/12........................... 2,879,800
2,000,000 Aa2* New Jersey State Transportation Trust Fund
Authority, Series A, 5.125% due 6/15/15..... 2,045,000
- ---------------------------------------------------------------------------------
4,924,800
- ---------------------------------------------------------------------------------
New York -- 10.2%
3,000,000 A- New York, NY GO, Series J, 5.375% due
8/1/13...................................... 3,123,750
2,000,000 AAA New York, NY Municipal Water Finance
Authority, Series A, FGIC-Insured,
5.125% due 6/15/17.......................... 2,020,000
2,000,000 A- New York State Dormitory Authority, State
University Educational Facility, Series A,
5.500% due 5/15/13 (b)...................... 2,157,500
- ---------------------------------------------------------------------------------
7,301,250
- ---------------------------------------------------------------------------------
Puerto Rico -- 4.8%
3,200,000 A Puerto Rico Commonwealth, Public Improvement
GO, 5.250% due 7/1/11....................... 3,436,000
- ---------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Municipal Bond Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Texas -- 28.2%
$3,570,000 AAA Arlington, TX GO, ISD, PSFG, 4.500% due
2/15/20................................... $ 3,311,175
3,000,000 AAA Dallas, TX Civic Center, MBIA-Insured,
5.000% due 8/15/18........................ 2,970,000
3,000,000 AA Fort Worth, TX Water & Sewer Revenue,
5.250% due 2/15/16........................ 3,052,500
Texas State Public Finance Authority
Building Revenue:
2,990,000 AAA Department of Criminal Justice Project,
Series A, FSA-Insured, 5.250% due 2/1/11.. 3,132,025
2,555,000 AAA State Preservation Board, Series A, AMBAC-
Insured, 5.250% due 2/1/16................ 2,615,681
5,000,000 AAA Texas Water Development Board Revenue,
State Revolving Fund, Sr. Lien, Series B,
5.125% due 7/15/18........................ 4,987,500
- -------------------------------------------------------------------------------
20,068,881
- -------------------------------------------------------------------------------
Washington -- 3.6%
2,600,000 AA- King County, WA GO, School District No.
412, Shoreline, 4.750% due 6/1/15......... 2,580,500
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$71,695,453**)............................ $71,326,181
- -------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service, except those
identified by an asterisk (*), which are rated by Moody's Investor's
Service, Inc.
(b) Security segregated by Custodian for open purchase commitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 138 for definition of ratings and certain security descriptions.
Classification of Investments
[PIE CHART APPEARS HERE]
Massachusetts 6.5% 6.5
Puerto Rico 4.8% 4.8
New York 10.2% 10.2
Florida 11.4% 11.4
Minnesota 4.4% 4.4
Georgia 4.3% 4.3
Texas 28.2% 28.2
New Jersey 6.9% 6.9
California 11.3% 11.3
Other States 12.0% 12
See Notes to Financial Statements.
16
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Mortgage Backed Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 95.2%
- ------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 52.4%
$ 131,434 FHLMC, 11.000% due 10/1/00*..................... $ 139,156
269,395 FHLMC, 10.000% due 10/1/09*..................... 292,544
119,448 FHLMC, 10.250% due 2/1/10*...................... 130,385
610,809 FHLMC, 9.000% due 7/1/11*....................... 641,816
70,487 FHLMC, 11.500% due 10/1/15...................... 79,210
717,844 FHLMC, 9.500% due 8/1/16*....................... 767,864
68,447 FHLMC, 7.500% due 6/1/16........................ 71,036
1,146,753 FHLMC, 8.000% due 6/1/17*....................... 1,205,880
2,566,649 FHLMC, 8.500% due 7/1/17*....................... 2,729,847
94,763 FHLMC GOLD, 9.500% due 4/1/10................... 100,981
705,498 FHLMC GOLD, 8.500% due 2/1/18*.................. 742,538
5,317,988 FHLMC GOLD, 8.000% due 12/1/26*................. 5,531,632
19,858,495 FHLMC GOLD, 7.500% due 12/1/27*................. 20,410,760
19,715,344 FHLMC GOLD, 7.000% due 9/2/28*.................. 20,047,555
13,616,836 FHLMC GOLD, 6.500% due 1/1/29*.................. 13,598,289
10,984,068 FHLMC GOLD, 6.000% due 2/1/29*.................. 10,782,860
- ------------------------------------------------------------------------------
77,272,353
- ------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 21.5%
2,244,274 FNMA, 5.500% due 11/1/08........................ 2,181,143
185,220 FNMA, 10.750% due 10/1/12....................... 204,552
72,652 FNMA, 12.500% due 6/1/15........................ 83,505
888,680 FNMA, 8.500% due 6/1/17*........................ 935,583
1,678,126 FNMA, 9.000% due 3/1/18*........................ 1,771,449
38,417 FNMA, 10.000% due 1/1/21........................ 41,599
405,312 FNMA, 9.500% due 11/1/21*....................... 431,773
2,688,907 FNMA, 8.000% due 12/1/22*....................... 2,777,432
4,361,949 FNMA, 7.500% due 9/1/23*........................ 4,483,215
2,909,036 FNMA, 7.000% due 1/1/24......................... 2,946,301
5,549,045 FNMA, 6.500% due 5/1/28*........................ 5,537,238
10,439,550 FNMA, 6.000% due 9/1/28*........................ 10,254,191
- ------------------------------------------------------------------------------
31,647,981
- ------------------------------------------------------------------------------
Government National Mortgage Association (GNMA) -- 21.3%
119,672 GNMA I, 11.000% due 9/15/10*.................... 132,724
110,131 GNMA I, 9.000% due 10/15/16..................... 117,633
282,751 GNMA I, 9.500% due 8/15/19*..................... 305,018
3,369,744 GNMA I, 8.000% due 8/15/23*..................... 3,515,048
730,940 GNMA I, 8.500% due 7/15/27*..................... 775,710
2,914,921 GNMA I, 7.500% due 9/15/27*..................... 3,000,533
14,285,490 GNMA I, 7.000% due 3/15/28*..................... 14,495,202
928,092 GNMA II, 7.000% due 11/20/16.................... 937,662
1,152,119 GNMA II, 8.500% due 1/20/17*.................... 1,211,165
618,250 GNMA II, 9.000% due 11/20/21.................... 653,410
6,270,896 GNMA II, 6.500% due 5/20/24*.................... 6,212,076
- ------------------------------------------------------------------------------
31,356,181
- ------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$139,127,813).................................. 140,276,515
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Mortgage Backed Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. TREASURY NOTES -- 3.5%
U.S. Treasury Notes, 5.625% due 5/15/08 (Cost --
$5,000,000 $5,098,438)..................................... $ 5,098,450
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.3%
Morgan Stanley Dean Witter & Co., 4.730% due
1,940,000 3/1/99; Proceeds at maturity -- $1,940,765;
(Fully collateralized by U.S. Treasury Notes and
Bonds, 5.500% to 14.000% due 4/30/99 to 2/15/26;
Market value -- $1,985,561) (Cost --
$1,940,000)..................................... 1,940,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$146,166,251**)................................. $147,314,965
- -------------------------------------------------------------------------------
</TABLE>
* Date shown represents the last in range of maturity dates of mortgage
certificates owned.
** Aggregate cost for Federal tax purposes is substantially the same.
Classification of Investments
[PIE CHART APPEARS HERE]
FNMA 21.5% 21.5
FHLMC 52.4% 52.4
GNMA 21.3% 21.3
Repurchase Agreements 1.3% 1.3
U.S. Treasury Notes 3.5% 3.5
See Notes to Financial Statements.
18
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCK -- 61.2%
- --------------------------------------------------------------------------------
Aerospace -- 1.1%
7,500 AlliedSignal Inc. ......................................... $ 310,313
2,400 Cordant Technologies Inc. ................................. 93,450
1,700 Gulfstream Aerospace Corp. ................................ 76,075
3,500 United Technologies Corp. ................................. 433,562
- --------------------------------------------------------------------------------
913,400
- --------------------------------------------------------------------------------
Banking -- 5.0%
16,200 Bank One Corp. ............................................ 870,750
8,200 Chase Manhattan Corp. ..................................... 652,925
3,400 First Security Corp. ...................................... 63,112
5,100 First Union Corp. ......................................... 271,894
13,400 Fleet Financial Group, Inc. ............................... 575,362
8,900 PNC Bank Corp.+............................................ 463,356
7,300 SouthTrust Corp. .......................................... 292,456
4,500 Summit Bancorporation...................................... 173,813
2,900 SunTrust Banks, Inc. ...................................... 197,019
3,832 Washington Mutual, Inc. ................................... 153,280
11,000 Wells Fargo Co. ........................................... 404,250
- --------------------------------------------------------------------------------
4,118,217
- --------------------------------------------------------------------------------
Beverages -- 1.5%
3,900 Anheuser-Busch Cos., Inc. ................................. 299,081
5,300 Coca Cola Co. ............................................. 338,869
12,300 PepsiCo, Inc. ............................................. 462,787
2,800 Quaker Oats Co. ........................................... 152,950
- --------------------------------------------------------------------------------
1,253,687
- --------------------------------------------------------------------------------
Business Machines -- 5.1%
2,100 Apple Computer, Inc.+...................................... 73,106
10,100 Cisco Systems, Inc. ....................................... 987,906
4,000 Compaq Computer Corp. ..................................... 141,000
6,700 Dell Computer Corp.+....................................... 536,838
2,800 Eastman Kodak Co. ......................................... 185,325
4,800 EMC Corp. ................................................. 491,400
1,500 Gateway 2000, Inc.+........................................ 109,031
3,600 Hewlett-Packard Co. ....................................... 239,175
3,750 International Business Machine Corp. ...................... 637,500
2,100 Lexmark International Group, Inc., Class A Shares.......... 216,694
4,200 Pitney Bowes, Inc. ........................................ 265,388
2,900 Sun Mircosystems, Inc. .................................... 282,206
- --------------------------------------------------------------------------------
4,165,569
- --------------------------------------------------------------------------------
Chemicals -- 0.5%
1,200 Dow Chemical Co. .......................................... 118,050
3,500 PPG Industries, Inc. ...................................... 182,219
6,600 Solutia Inc. .............................................. 117,562
- --------------------------------------------------------------------------------
417,831
- --------------------------------------------------------------------------------
Construction -- 0.3%
2,100 Martin Marietta Materials, Inc. ........................... 107,756
2,500 Southdown, Inc. ........................................... 117,969
- --------------------------------------------------------------------------------
225,725
- --------------------------------------------------------------------------------
Cosmetics -- 0.2%
3,900 Avon Products, Inc. ....................................... 162,338
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
Drugs -- 6.6%
9,300 Abbott Laboratories........................................ $ 431,869
8,300 American Home Products Corp. .............................. 493,850
1,400 Biogen, Inc. .............................................. 134,575
6,000 Bristol-Myers Squibb Co. .................................. 755,625
2,400 Centocor, Inc. ............................................ 99,750
2,200 Elan Corp. PLC, Sponsored ADR.............................. 168,712
7,700 Eli Lilly & Co.+........................................... 729,094
6,000 Merck & Co., Inc. ......................................... 490,500
4,300 Mylan Laboratories Inc. ................................... 117,444
7,600 Pfizer Inc. ............................................... 1,002,725
10,400 Schering-Plough Corp. ..................................... 581,750
6,600 Warner-Lambert Co. ........................................ 455,812
- --------------------------------------------------------------------------------
5,461,706
- --------------------------------------------------------------------------------
Electric & Gas Utilities -- 1.4%
3,400 Energy East Corp. ......................................... 182,325
3,800 Florida Progress Corp. .................................... 152,475
5,000 GPU, Inc. ................................................. 199,375
4,600 PECO Energy Co. ........................................... 163,012
2,100 Pinnacle West Captial Corp. ............................... 75,863
2,700 Public Service Enterprise Group Inc. ...................... 102,600
5,600 Texas Utilities Co. ....................................... 237,650
- --------------------------------------------------------------------------------
1,113,300
- --------------------------------------------------------------------------------
Electronics -- 3.9%
2,900 American Power Conversion Corp. ........................... 104,038
10,900 Intel Corp. ............................................... 1,307,319
2,000 Linear Technology Corp.+................................... 87,625
8,100 Lucent Technologies Inc.+.................................. 822,656
3,400 Maxim Intergrated Products, Inc. .......................... 141,738
1,300 Nokia Corp., Sponsored ADR+................................ 176,312
3,000 Northern Telecom Ltd.+..................................... 174,188
2,800 Qwest Communications International Inc. ................... 172,025
2,900 Tellabs, Inc. ............................................. 232,181
- --------------------------------------------------------------------------------
3,218,082
- --------------------------------------------------------------------------------
Financial Services -- 4.7%
2,700 A.G. Edwards, Inc. ........................................ 87,919
2,800 Countrywide Credit Industries, Inc. ....................... 106,050
7,500 Fannie Mae................................................. 525,000
16,900 General Electric Co. ...................................... 1,695,281
10,300 MBNA Corp. ................................................ 249,775
7,745 Merrill Lynch & Co., Inc. ................................. 594,429
3,562 Morgan Stanley Dean Witter & Co. .......................... 322,361
4,800 SLM Holding Corp. ......................................... 205,800
3,100 Torchmark Corp. ........................................... 103,075
- --------------------------------------------------------------------------------
3,889,690
- --------------------------------------------------------------------------------
Food -- 1.8%
2,000 Bestfoods.................................................. 93,875
5,200 ConAgra, Inc. ............................................. 156,650
3,400 IBP, Inc. ................................................. 76,500
6,900 Safeway Inc. .............................................. 398,475
9,300 Sara Lee Corp. ............................................ 252,844
1,900 Suiza Foods Corp.+......................................... 70,300
6,100 Unilever NV................................................ 441,869
- --------------------------------------------------------------------------------
1,490,513
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
Healthcare -- 0.8%
3,700 Becton Dickinson & Co. .................................... $ 123,950
3,900 Guidant Corp. ............................................. 222,300
4,700 Health Management Associates, Inc., Class A Shares......... 60,806
3,700 Medtronic, Inc. ........................................... 261,313
- --------------------------------------------------------------------------------
668,369
- --------------------------------------------------------------------------------
Insurance -- 2.1%
6,200 Ace Ltd. .................................................. 168,950
10,100 Allstate Corp. ............................................ 378,750
2,500 Ambac Financial Group, Inc. ............................... 140,000
2,400 America International Group, Inc. ......................... 273,450
1,700 American General Corp. .................................... 124,525
2,400 CIGNA Corp. ............................................... 188,400
5,900 Hartford Financial Services Group, Inc. ................... 318,969
3,700 Old Republic International Corp. .......................... 69,606
1,600 The PMI Group, Inc. ....................................... 69,000
- --------------------------------------------------------------------------------
1,731,650
- --------------------------------------------------------------------------------
Manufacturing -- 1.0%
3,700 Ingersoll-Rand Co. ........................................ 175,750
2,200 Owens-Illinois, Inc. ...................................... 52,663
8,500 Tyco International Ltd.+................................... 632,719
- --------------------------------------------------------------------------------
861,132
- --------------------------------------------------------------------------------
Media -- 1.0%
2,600 Clear Channel Communications, Inc. ........................ 156,000
3,300 King World Productions, Inc.+.............................. 87,244
2,000 MediaOne Group, Inc. ...................................... 109,000
5,100 Viacom Inc., Class A Shares +.............................. 450,712
- --------------------------------------------------------------------------------
802,956
- --------------------------------------------------------------------------------
Metals -- 0.3%
6,200 Alcoa Inc. ................................................ 251,100
- --------------------------------------------------------------------------------
Motor Vehicles -- 1.2%
9,100 Ford Motor Co. ............................................ 539,744
5,500 General Motors Corp. ...................................... 454,094
- --------------------------------------------------------------------------------
993,838
- --------------------------------------------------------------------------------
Oil -- 3.7%
4,200 Atlantic Richfield Co. .................................... 229,425
1,845 BP Amoco PLC, Sponsored ADR................................ 156,825
2,900 Chevron Corp. ............................................. 222,938
2,700 Columbia Energy Group...................................... 136,350
6,400 Costal Corp. .............................................. 204,800
9,900 Diamond Offshore Drilling, Inc. ........................... 204,806
4,300 E.I. du Pont de Nemours & Co. ............................. 220,644
5,800 Exxon Corp. ............................................... 386,063
5,400 Mobil Corp. ............................................... 449,212
12,000 Royal Dutch Petroleum Co. ................................. 526,500
5,700 Texaco Inc.+............................................... 265,406
3,200 Tosco Corp.+............................................... 66,200
- --------------------------------------------------------------------------------
3,069,169
- --------------------------------------------------------------------------------
Paper -- 0.4%
1,500 Bowater Inc. .............................................. 63,188
3,600 Fort James Corp. .......................................... 107,550
6,300 Louisiana-Pacific Corp. ................................... 115,762
- --------------------------------------------------------------------------------
286,500
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
Pollution Control -- 0.4%
5,500 Allied Waste Industries, Inc.+............................. $ 107,250
3,800 Waste Management, Inc.+.................................... 185,725
- --------------------------------------------------------------------------------
292,975
- --------------------------------------------------------------------------------
Publishing -- 1.2%
2,600 American Greetings Corp., Class A Shares+.................. 61,587
3,500 New York Times Co., Class A Shares......................... 108,500
9,400 Time Warner Inc.+.......................................... 606,300
2,100 Tribune Co. ............................................... 139,256
1,700 Valassis Communications, Inc. ............................. 81,600
- --------------------------------------------------------------------------------
997,243
- --------------------------------------------------------------------------------
Retail -- 4.2%
1,900 Best Buy Co., Inc. ........................................ 176,225
5,300 CVS Corp. ................................................. 280,900
4,600 Fred Meyer, Inc. .......................................... 295,550
2,900 Gap, Inc. ................................................. 187,594
7,500 Limited, Inc.+............................................. 266,250
3,400 Loews Corp. ............................................... 201,662
3,300 McDonald's Corp. .......................................... 280,500
8,350 Staples, Inc. ............................................. 245,542
10,200 TJX Cos., Inc. ............................................ 291,337
14,400 Wal-Mart Stores, Inc ...................................... 1,243,800
- --------------------------------------------------------------------------------
3,469,360
- --------------------------------------------------------------------------------
Services -- 5.0%
6,400 America Online, Inc.+...................................... 569,200
3,300 Cadence Design Systems, Inc.+.............................. 79,406
3,300 Carnival Corp. ............................................ 146,850
3,200 Ceridian Corp.+............................................ 229,200
4,700 Compuware Corp. ........................................... 262,906
12,400 Microsoft Corp. ........................................... 1,861,550
4,200 Omnicom Group Inc.+........................................ 278,250
9,500 Oracle Corp. .............................................. 530,813
2,700 Quintilies Transnational Corp.+............................ 116,437
- --------------------------------------------------------------------------------
4,074,612
- --------------------------------------------------------------------------------
Soaps -- 1.7%
1,100 Clorox Co. ................................................ 130,144
6,400 Dial Corp. ................................................ 186,800
1,900 Newell Co. ................................................ 80,750
8,500 Proctor & Gamble Co. ...................................... 760,750
7,800 Ralston Purina Group....................................... 210,113
- --------------------------------------------------------------------------------
1,368,557
- --------------------------------------------------------------------------------
Telephone -- 4.9%
7,100 Ameritech Corp. ........................................... 464,162
11,000 Bell Atlantic Corp. ....................................... 631,812
10,600 BellSouth Corp. ........................................... 490,250
4,700 GTE Corp. ................................................. 304,912
11,680 MCI WorldCom, Inc. ........................................ 963,600
11,600 SBC Communications Inc. ................................... 613,350
5,200 Telefonos de Mexico SA, Sponsored ADR...................... 297,375
4,300 U S West, Inc. ............................................ 229,244
- --------------------------------------------------------------------------------
3,994,705
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Balanced Investments
<TABLE>
<CAPTION>
SHARES VALUE
SECURITY
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Tobacco -- 0.7%
14,600 Philip Morris Cos., Inc. ............................ $ 571,225
- -------------------------------------------------------------------------------
Transportation -- 0.5%
5,100 Burlington Northern Santa Fe Corp. .................. 168,937
1,700 Canadian National Railway Co. ....................... 82,131
4,000 US Airways Group, Inc................................ 189,500
- -------------------------------------------------------------------------------
440,568
- -------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $48,922,770)............. 50,304,017
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
SECURITY
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 15.2%
U.S. Treasury Notes:
$ 1,725,000 5.750% due 8/15/03................................... 1,755,429
590,000 7.500% due 2/15/05................................... 653,366
60,000 4.750% due 11/15/08.................................. 57,560
U.S. Treasury Bonds:
2,690,000 5.625% due 4/30/00................................... 2,706,463
1,090,000 6.625% due 7/31/01................................... 1,125,327
1,350,000 6.000% due 7/31/02................................... 1,380,820
2,000,000 6.375% due 8/15/02................................... 2,068,400
815,000 7.500% due 11/15/16.................................. 964,960
155,000 6.125% due 11/15/27.................................. 162,657
1,725,000 5.250% due 11/15/28.................................. 1,628,417
- -------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost --
$12,633,831)........................................ 12,503,399
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT RATING(a) VALUE
SECURITY
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 2.1%
Federal National Mortgage Association:
470,000 Aaa* 4.625% due 10/15/01....................... 461,399
370,000 Aaa* 5.250% due 1/15/03........................ 366,152
550,000 Aaa* 5.750% due 6/15/05........................ 552,244
390,000 Aaa* 5.250% due 1/15/09........................ 373,172
- -------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost --
$1,769,596)......................................... 1,752,967
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 7.3%
- -------------------------------------------------------------------------------
Banking -- 0.3%
260,000 AA JP Morgan & Co. Inc., 5.750% due 2/25/04.. 255,918
- -------------------------------------------------------------------------------
Cable Services -- 1.4%
260,000 BBB- CF Cable TV Inc., 11.625% due 2/15/05..... 286,650
Comcast Cable Communications, 8.375% due
385,000 BBB- 5/1/07.................................... 434,567
Continental Cablevision:
200,000 BBB 8.875% due 9/15/05........................ 226,250
150,000 BBB 9.000% due 9/1/08......................... 175,875
- -------------------------------------------------------------------------------
1,123,342
- -------------------------------------------------------------------------------
Financial Services -- 1.4%
255,000 A- Finova Capital Corp., 6.440% due 11/6/01.. 256,912
General Electric Capital Corp., 8.500% due
510,000 AAA 7/24/08................................... 596,700
Morgan Stanley Dean Witter & Co., 5.625%
265,000 Aa3* due 1/20/04............................... 259,369
- -------------------------------------------------------------------------------
1,112,981
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Balanced Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) VALUE
SECURITY
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Industrial -- 2.5%
$ 240,000 A Allied Signal Inc., 6.200% due 2/1/08...... $ 234,600
200,000 Baa1* Cendant Corp., 7.500% due 12/1/00.......... 202,250
250,000 BBB+ Comdisco Inc., 6.130% due 8/1/01........... 251,875
Cumming Engine Co. Inc., 7.125% due
260,000 BBB+ 3/1/28..................................... 243,750
210,000 AA- Motorola Inc., 6.500% due 11/15/28......... 204,488
Occidental Petroleum Corp., 8.450% due
180,000 BBB 2/15/29.................................... 181,746
575,000 A+ Texaco Captial Inc., 5.700% due 12/1/08.... 555,594
145,000 BBB Time Warner Inc., 6.625% due 5/15/29....... 141,013
- -------------------------------------------------------------------------------
2,015,316
- -------------------------------------------------------------------------------
Telephone -- 1.1%
155,000 BBB AT&T Captial Corp., 7.500% due 11/15/00.... 157,334
Cable & Wireless Communications PLC, 6.750%
385,000 A- due 12/1/08................................ 393,663
MCI Communications Corp., 7.125% due
150,000 BBB+ 1/20/00.................................... 151,688
New England Telephone & Telegraph Co.,
185,000 AA 7.875% due 11/15/29........................ 214,831
- -------------------------------------------------------------------------------
917,516
- -------------------------------------------------------------------------------
Transportation -- 0.6%
Continental Airlines Inc., 6.545% due
250,000 AA+ 2/2/19..................................... 243,550
Northwest Airlines Corp., 6.810% due
250,000 AA 2/1/20..................................... 247,987
- -------------------------------------------------------------------------------
491,537
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$6,030,660)............................... 5,916,610
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT VALUE
SECURITY
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 7.0%
- -------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 5.5%
625,000 FNMA, 6.500% due 4/1/13............................... 629,488
100,999 FNMA, 6.000% due 5/1/13............................... 100,083
277,750 FNMA, 5.500% due 3/1/14............................... 269,937
1,260,963 FNMA, 7.000% due 11/1/25.............................. 1,277,117
165,500 FNMA, 7.500% due 1/1/28............................... 170,052
428,548 FNMA, 7.500% due 2/1/28............................... 440,333
187,439 FNMA, 6.500% due 4/1/28............................... 186,268
456,035 FNMA, 7.000% due 10/1/28.............................. 461,877
570,060 FNMA, 6.500% due 2/1/29............................... 566,497
404,000 FNMA Gold, 6.000% due 2/1/14.......................... 392,385
- -------------------------------------------------------------------------------
4,494,037
- -------------------------------------------------------------------------------
Government National Mortgage Association (GNMA) -- 1.4%
115,393 GNMA, 7.500% due 3/15/27.............................. 118,783
96,078 GNMA, 7.500% due 1 /15/28............................. 98,900
911,125 GNMA, 7.500% due 1/15/29.............................. 937,887
- -------------------------------------------------------------------------------
1,155,570
- -------------------------------------------------------------------------------
Collateralized Mortgage Obligations -- 0.1%
Countrywide Home Equity Loan Trust, Series 1998-A,
127,138 Class A, 5.126% due 3/15/24........................... 126,265
- -------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$5,818,968).......................................... 5,775,872
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Balanced Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <C> <S> <C>
REPURCHASE AGREEMENT -- 7.2%
$5,902,000 Morgan Stanley Dean Witter & Co., 4.730% due
3/1/99; Proceeds at maturity -- $5,904,326;
(Fully collateralized by U.S. Treasury Notes and
Bonds, 5.500% to 14.000% due 4/30/99 to 2/15/26;
Market value -- $6,040,610) (Cost -- $5,902,000).. $ 5,902,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$81,077,825**)................................... $82,154,865
- --------------------------------------------------------------------------------
</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).
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 138 for definition of ratings.
Classification of Investments
[PIE CHART APPEARS HERE]
Business Machines 5.1% 5.1
Banking 5.3% 5.3
Financial Services 6.1% 6.1
Drugs 6.6% 6.6
Telephone 6.0% 6
Other Common Stocks and Corporate Bonds & Notes 39.4% 39.4
Repurchase Agreement 7.2% 7.2
U.S. Treasury & Government Obligations 17.3% 17.3
Mortgage-Backed Securities 8.1% 7
See Notes to Financial Statements.
25
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.7%
- --------------------------------------------------------------------------------
Auto & Transportation -- 6.3%
152,450 Air Products and Chemicals, Inc.+...................... $ 4,897,456
1,125 Airborne Freight Corp. ................................ 43,875
159,625 AMR Corp. ............................................. 8,849,211
2,400 Autoliv, Inc. ......................................... 91,200
11,025 Burlington Northern Santa Fe Corp. .................... 365,203
30,875 CNF Transportation, Inc.+.............................. 1,304,469
1,375 Continental Airlines, Class B Shares* ................. 47,609
1,675 Cooper Tire & Rubber Co. .............................. 33,081
5,200 CSX Corp. ............................................. 204,100
52,925 Dana Corp. ............................................ 1,997,919
78,175 Delta Airlines, Inc. .................................. 4,754,017
72,525 Eaton Corp. ........................................... 5,031,422
3,175 FDX Corp.* ............................................ 303,212
46,500 Federal Mogul Corp.+ .................................. 2,287,219
60,650 Fleetwood Enterprises, Inc.+ .......................... 1,967,334
703,250 Ford Motor Co. ........................................ 41,711,516
127,925 General Motors Corp. .................................. 10,561,808
1,675 General Motors Corp., Class H Shares................... 79,039
3,975 Genuine Parts Co. ..................................... 119,002
35,400 Goodyear Tire & Rubber Co. ............................ 1,637,250
30,325 ITT Industries, Inc.+ ................................. 1,184,570
126,000 Kansas City Southern Industries, Inc. ................. 5,890,500
1,350 Lear Corp.* ........................................... 47,672
2,750 Morton International, Inc. ............................ 99,344
152,650 Navistar International Corp. .......................... 6,563,950
8,950 Norfolk Southern Corp. ................................ 251,159
650 Northwest Airlines, Class A Shares* ................... 16,250
31,125 Ogden Corp. ........................................... 760,617
96,600 PACCAR, Inc. .......................................... 4,045,125
600 Pittston Brink's Group................................. 14,700
1,625 Ryder Systems Inc ..................................... 43,875
1,450 Snap-On, Inc. ......................................... 40,963
162,250 Southwest Airlines Co. ................................ 4,887,781
2,275 TRW, Inc. ............................................. 107,494
60,325 U.S. Airways Group, Inc.* ............................. 2,857,897
31,950 UAL Corp.+* ........................................... 1,909,013
165,575 Union Pacific Corp.+ .................................. 7,761,328
- --------------------------------------------------------------------------------
122,768,180
- --------------------------------------------------------------------------------
Consumer Discretionary -- 11.8%
2,175 A.H. Belo Corp. ....................................... 39,422
1,325 ACNielson Corp.* ...................................... 34,450
850 Alberto Culver Co., Class B Shares..................... 20,400
1,550 American Greetings Corp., Class A Shares............... 36,716
1,575 AMF Bowling, Inc.* .................................... 7,186
675 Best Buy Co., Inc.* ................................... 62,606
150 BHC Communications, Inc.* ............................. 17,175
400 BJ's Wholesale Club, Inc.* ............................ 17,425
1,800 Black & Decker Corp. .................................. 87,750
125 Borders Group.......................................... 1,727
1,350 Brinker International, Inc.* .......................... 39,066
131,075 Browning Ferris Industries, Inc. ...................... 4,128,862
2,325 Brunswick Corp. ....................................... 49,551
1,250 Callaway Golf Co. ..................................... 13,594
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Discretionary -- 11.8% (continued)
275 Capstar Broadcasting Corp.* ........................... $ 5,552
850 CBRL Group, Inc. ...................................... 15,938
103,250 CBS Corp.* ............................................ 3,807,344
87,700 Cendant Corp.* ........................................ 1,452,531
625 Central Newspapers, Inc. .............................. 21,875
375 Chris Craft Industries* ............................... 15,891
150,575 Circuit City Stores* .................................. 8,168,694
1,550 Circus Circus Enterprises, Inc.* ...................... 26,544
475 CKE Restaurants, Inc. ................................. 12,617
475 CompUSA Inc.* ......................................... 4,988
175 Consolidated Stores Corp.* ............................ 4,408
825 Convergys Corp.* ...................................... 14,283
101,100 Costco Cos., Inc.* .................................... 8,119,594
700 Cox Communications* ................................... 49,525
3,275 Darden Restaurants, Inc. .............................. 72,050
100,650 Dayton-Hudson Corp. ................................... 6,296,916
166,825 Deluxe Corp. .......................................... 5,651,197
2,425 Dillard Inc., Class A Shares........................... 60,321
99,500 Dun & Bradstreet Corp.+ ............................... 3,407,875
625 The E.W. Scripps Co. .................................. 25,625
106,225 Eastman Kodak Co. ..................................... 7,030,767
20,000 Estee Lauder Cos., Class A Shares+ .................... 1,736,250
323,800 Federated Department Stores, Inc.+* ................... 12,324,638
650 Fifth Third Bancorp ................................... 42,941
108,325 First Security Corp. .................................. 2,010,783
7,325 Food Lion, Inc., Class B Shares........................ 71,418
37,400 Footstar, Inc.* ....................................... 953,700
162,400 Fort James Corp. ...................................... 4,851,700
79,300 Fortune Brands, Inc. .................................. 2,388,913
3,100 Fred Meyer, Inc.* ..................................... 199,175
125 Furniture Brands International, Inc.* ................. 2,672
53,975 Gannett Co. ........................................... 3,427,413
120,525 Harcourt General, Inc.+ ............................... 5,521,551
113,600 Harrah's Entertainment, Inc.* ......................... 1,895,700
600 Harte-Hanks Inc. ...................................... 15,525
225,800 Hasbro, Inc ........................................... 8,354,600
2,850 Hilton Hotels Corp. ................................... 45,066
2,550 Ikon Office Solutions, Inc. ........................... 36,018
5,225 J.C. Penney Co., Inc. ................................. 188,753
425 Jacor Communications, Inc.* ........................... 29,644
124,625 K Mart Corp.* ......................................... 2,180,938
125 Kelly Services, Inc., Class A Shares................... 3,188
171,150 Kimberly-Clark Corp.+ ................................. 8,086,838
1,350 King World Productions* ............................... 35,690
78,800 Knight Ridder Inc ..................................... 3,954,775
36,425 Kroger Co.+ ........................................... 2,356,242
200 Lancaster Colony Corp. ................................ 5,500
1,700 Leggett & Platt, Inc. ................................. 35,594
83,925 The Limited, Inc.+ .................................... 2,979,338
102,050 Liz Claiborne, Inc. ................................... 3,437,809
45,525 Loews Corp. ........................................... 3,559,486
185,800 Mattel, Inc.+ ......................................... 4,900,475
5,275 May Department Stores Co. ............................. 312,543
600 Maytag Corp. .......................................... 33,637
56,275 McDonald's Corp. ...................................... 4,783,375
41,950 The McGraw Hill Cos., Inc. ............................ 4,590,903
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Discretionary -- 11.8% (continued)
107,182 Meditrust Corp. ....................................... $ 1,312,980
225 Metro-Goldwyn-Mayer, Inc.* ............................ 2,348
400 MGM Grand, Inc.* ...................................... 15,100
4,650 Minnesota Mining & Manufacturing Co. .................. 344,391
2,425 Mirage Resorts, Inc.* ................................. 47,288
250 MSC Industrial Direct Co., Inc. ....................... 4,469
27,125 National Service Industries, Inc. ..................... 871,391
1,050 The Neiman-Marcus Group, Inc. ......................... 27,168
875 Newell Co. ............................................ 37,188
161,100 The New York Times Co., Class A Shares................. 4,994,100
96,200 Nike, Inc. Class B Shares+............................. 5,158,725
52,000 Nordstrom, Inc.+ ...................................... 2,093,000
111,200 Office Depot Inc.+* ................................... 3,968,450
1,725 OfficeMax, Inc.* ...................................... 13,369
25 Outback Steakhouse, Inc.* ............................. 1,097
1,450 Park Place Entertainment Corp.* ....................... 10,875
2,700 Patriot American Hospitality, Inc. .................... 14,681
20,875 Payless ShoeSource, Inc.* ............................. 1,145,516
125 Penton Media, Inc. .................................... 2,336
1,300 The Pep Boys-Manny, Moe & Jack......................... 23,725
850 Polaroid Corp. ........................................ 20,294
1,325 Primedia, Inc.*........................................ 17,639
28,200 Promus Hotel Corp.*.................................... 992,287
850 R.H. Donnelley Corp. .................................. 12,750
2,400 R.R. Donnelley & Sons Co. ............................. 82,200
1,725 Readers Digest Association, Inc. ...................... 58,650
1,100 Reebok International Ltd.* ............................ 17,738
518,675 Republic Industries, Inc.* ............................ 6,353,769
2,175 Rubbermaid, Inc.* ..................................... 71,910
1,475 Saks, Inc.* ........................................... 53,008
7,900 Sears Roebuck & Co. ................................... 320,937
1,000 Service Corp. International............................ 15,375
2,600 Shaw Industries, Inc. ................................. 57,038
100,450 Sinclair Broadcast Group Inc., Class A Shares+*........ 1,487,916
150 Sodexho Marriott Services, Inc. ....................... 3,506
575 The Stanley Works...................................... 13,980
675 Stewart Enterprises, Inc. ............................. 10,125
675 Sunbeam Corp. ......................................... 3,923
74,450 Tandy Corp. ........................................... 4,141,281
209,900 Tele-Communications, Inc., Class A Shares* ........... 13,184,344
200 Tiffany & Co. ......................................... 11,438
154,675 Time Warner, Inc.+ .................................... 9,976,538
5,925 Toys 'R' Us, Inc.* .................................... 83,691
925 Tribune Co. ........................................... 61,339
159,225 U.S. Filter Corp.* .................................... 3,910,964
625 U.S. Office Products Co.* ............................. 3,086
250 Unifi, Inc. ........................................... 3,016
1,975 USA Networks, Inc.* ................................... 78,506
388,750 Venator Group Inc. .................................... 1,919,453
138,050 VF Corp. .............................................. 6,643,656
63,775 Viacom, Inc.* ......................................... 5,636,116
155,200 Viad Corp. ............................................ 4,103,100
83,600 Wal-Mart Corp. ........................................ 7,220,950
600 Warnaco Group Inc. .................................... 13,500
150 The Washington Post Co., Class B Shares................ 82,481
186,795 Waste Management Inc.+ ................................ 9,129,605
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Discretionary -- 11.8% (continued)
2,350 Wendy's International, Inc. ........................... $ 56,253
26,725 Whirlpool Corp. ....................................... 1,162,538
1,950 Whitman Corp. ......................................... 37,050
- --------------------------------------------------------------------------------
231,313,403
- --------------------------------------------------------------------------------
Consumer Staples -- 2.4%
148,975 Albertsons Inc.+ ...................................... 8,491,575
6,525 American Stores Co. ................................... 220,219
9,375 Anheuser-Busch Cos., Inc. ............................. 718,945
28,750 Bestfoods, Inc. ....................................... 1,349,453
1,050 Brown-Forman, Class B Shares........................... 69,234
125 Clorox Co. ............................................ 14,789
3,900 Conagra, Inc. ......................................... 117,488
16,650 Dean Foods Co. ........................................ 606,684
23,975 Dole Food, Inc.+....................................... 755,212
73,350 General Mills, Inc. ................................... 5,918,428
4,400 H.J. Heinz Co. ........................................ 239,525
675 Hannaford Brothers Co. ................................ 31,725
675 Hershey Foods Corp. ................................... 42,018
51,050 Hormel Foods Corp. .................................... 1,837,800
1,975 IBP, Inc. ............................................. 44,437
1,825 International Flavors & Fragrances, Inc. .............. 75,167
46,000 Interstate Bakeries Corp. ............................. 1,104,000
2,575 Kellogg Co. ........................................... 95,275
1,075 McCormick & Co., Inc. ................................. 30,771
1,275 Nabisco Holdings Corp., Class A Shares................. 56,578
1,250 Premark International, Inc. ........................... 39,922
128,150 Quaker Oats Corp. ..................................... 7,000,193
1,075 Ralston-Ralston Purina Group........................... 28,957
3,950 Rite Aid Corp. ........................................ 163,431
7,675 RJR Nabisco Holdings Corp. ............................ 209,623
332,000 Sara Lee Corp. ........................................ 9,026,250
88,250 SUPERVALU, Inc. ....................................... 2,123,515
87,425 Tricon Global Restaurants, Inc.* ...................... 5,420,350
600 Tupperware Corp. ...................................... 10,500
2,600 Tyson Foods, Inc., Class A Shares...................... 53,300
475 U.S. Foodservice* ..................................... 22,058
250 Weis Markets Inc. ..................................... 9,093
2,050 Winn-Dixie Stores, Inc. ............................... 89,816
200 Wm. Wrigley Jr. Co. ................................... 18,600
- --------------------------------------------------------------------------------
46,034,931
- --------------------------------------------------------------------------------
Energy -- 9.8%
1,850 Amerada Hess Corp. .................................... 83,944
1,675 American Water Works, Inc. ............................ 50,669
225 Anadarko Petroleum Corp. .............................. 6,188
2,025 Apache Corp. .......................................... 40,373
81,850 Ashland, Inc. ......................................... 3,642,325
77,725 Atlantic Richfield Corp.+ ............................. 4,245,728
2,875 Baker Hughes, Inc. .................................... 51,750
875 BJ Services Co.* ...................................... 12,305
4,175 Burlington Resources, Inc. ............................ 135,166
81,900 CalEnergy Co., Inc.*................................... 2,298,319
206,800 Canadian Pacific Ltd. ................................. 3,838,725
278,775 Chevron Corp. ......................................... 21,430,828
1,975 Columbia Energy Group.................................. 99,737
159,500 Conoco, Inc., Class A Shares........................... 3,239,844
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Energy -- 9.8% (continued)
38,125 Cooper Industries, Inc. ............................... $ 1,667,969
625 Dynegy, Inc. .......................................... 7,500
283,025 EI du Pont de Nemours & Co. ........................... 14,522,720
2,650 El Paso Energy, Corp. ................................. 96,559
73,400 Elf Aquitaine SA Sponsored ADR+........................ 3,789,275
1,500 Enron Oil & Gas Co. ................................... 24,750
725 Ensco International, Inc. ............................. 6,434
816,350 Exxon Corp. ........................................... 54,338,602
2,375 Halliburton Co. ....................................... 67,094
3,275 Keyspan Energy Corp. .................................. 86,788
443,100 Mobil Corp. ........................................... 36,860,381
900 Murphy Oil Corp. ...................................... 30,769
625 Nabors Industries, Inc.*............................... 7,188
900 National Fuel Gas Co. ................................. 36,281
1,225 Noble Affiliates Inc. ................................. 27,716
675 Noble Drilling Corp.*.................................. 8,353
8,125 Occidental Petroleum Corp. ............................ 122,383
375 Ocean Energy, Inc.*.................................... 1,594
675 Pennzenergy Co. ....................................... 6,328
1,125 Pennzoil-Quaker State Co. ............................. 13,992
68,400 Philips NV+............................................ 4,762,350
5,025 Phillips Petroleum Co. ................................ 194,405
2,475 Pioneer Natural Resources Co. ......................... 12,839
2,900 Praxair, Inc. ......................................... 101,318
500 Rowan Cos., Inc.*...................................... 4,313
92,900 Schlumberger Ltd. ..................................... 4,511,456
2,425 Sonat, Inc. ........................................... 61,382
108,725 Sunoco, Inc. .......................................... 3,309,317
75,975 Tenneco, Inc. ......................................... 2,274,501
89,650 Texaco, Inc.+.......................................... 4,174,328
2,125 Thermo Electron Corp.*................................. 29,352
43,125 Tidewater, Inc. ....................................... 811,289
263,575 Tosco Corp.+........................................... 5,452,708
875 Transocean Offshore, Inc. ............................. 18,047
82,425 Ultramar Diamond Shamrock Corp. ....................... 1,627,893
5,925 Union Pacific Resources................................ 52,955
173,800 Unocal Corp.+.......................................... 4,898,988
145,650 USX Marathon Group, Inc. .............................. 3,013,134
175,025 USX-U.S. Steel Group+.................................. 4,430,320
1,225 Valero Energy Corp. ................................... 21,514
225 Vastar Resources, Inc. ................................ 8,663
400 Weatherford International, Inc.*....................... 6,800
8,825 Williams Cos., Inc. ................................... 326,525
- --------------------------------------------------------------------------------
191,002,974
- --------------------------------------------------------------------------------
Financial Services -- 30.6%
1,550 20th Century Industries................................ 29,643
35,400 A.G. Edwards, Inc. .................................... 1,152,713
89,875 Aetna, Inc. ........................................... 6,656,367
200 Affiliated Computer Services, Class A Shares*.......... 9,250
5,025 AFLAC, Inc. ........................................... 221,728
150 Alleghany Corp. ....................................... 27,150
91,375 Allmerica Financial Corp. ............................. 4,877,141
636,685 Allstate Corp. ........................................ 23,875,688
1,750 AMB Property Corp. .................................... 36,750
52,925 AMBAC Financial Group, Inc............................. 2,963,800
800 American Bankers Insurance Group....................... 38,400
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Financial Services -- 30.6% (continued)
24,800 American Express Co. .................................. $ 2,690,800
825 American Financial Group, Inc. ........................ 30,473
135,725 American General Corp.+................................ 9,941,856
397,650 American International Group, Inc. .................... 45,307,247
225 American National Insurance Co. ....................... 16,931
425 Amresco, Inc.*......................................... 4,024
2,625 Amsouth Bancorp. ...................................... 123,375
38,050 Aon Corp.*............................................. 2,242,572
1,125 Apartment Investment & Management Co. ................. 44,016
2,325 Archstone Communities Trust............................ 45,483
1,500 Arden Realty, Inc. .................................... 35,063
1,500 Associated Banc-corp. ................................. 46,594
31,962 Associates First Capital Corp. ........................ 1,298,457
1,300 Astoria Financial Corp. ............................... 58,906
1,525 Avalonbay Communities, Inc. ........................... 48,133
234,035 Bank of Boston Corp. .................................. 9,463,790
321,925 Bank of New York Co., Inc. ............................ 11,247,255
494,700 Bank One Corp. ........................................ 26,590,125
675 Bank United Corp., Class A Shares...................... 26,663
795,780 BankAmerica Corp. ..................................... 51,974,381
2,225 Bankers Trust Corp. ................................... 193,575
6,825 BB&T Corp. ............................................ 258,497
80,579 Bear Stearns Cos., Inc. ............................... 3,449,801
875 C.I.T. Group, Inc., Class A Shares..................... 25,812
1,725 Carramerica Realty Corp.*.............................. 37,088
25,925 CCB Financial Corp. ................................... 1,346,480
550 Centura Banks, Inc. ................................... 35,200
3,225 Charter One Financial, Inc. ........................... 92,920
560,358 Chase Manhattan Corp. ................................. 44,618,506
3,800 Chubb Corp. ........................................... 227,050
194,200 CIGNA Corp. ........................................... 15,244,700
3,700 Cincinnati Financial Corp. ............................ 129,731
266,250 Citigroup, Inc. ....................................... 15,642,188
25,900 City National Corp. ................................... 835,275
425 CNA Financial Corp.*................................... 14,423
2,150 Colonial Bancgroup, Inc. .............................. 26,606
2,100 Comdisco, Inc. ........................................ 25,200
68,700 Comerica, Inc. ........................................ 4,551,375
34,575 Commerce Bancshares, Inc. ............................. 1,408,931
52,650 Compass Bancshares, Inc. .............................. 1,928,306
171,500 Conseco, Inc.+......................................... 5,134,281
2,400 Cornerstone Properties, Inc. .......................... 36,300
87,700 Countrywide Credit Industries, Inc. ................... 3,321,638
2,400 Cresent Real Estate Equities Co. ...................... 50,100
29,560 Crestline Capital Corp.*............................... 376,890
52,625 Dime Bancorp, Inc. .................................... 1,302,469
103,050 Donaldson Lufkin & Jenrette Securities Corp.+ ......... 5,873,850
925 Dow Jones & Co. ....................................... 43,475
350 DST Systems, Inc.*..................................... 18,988
1,975 Duke Realty Investment Inc. ........................... 43,080
189,900 Equitable Companies, Inc. ............................. 12,830,118
70,125 Equity Office Properties Trust......................... 1,805,719
32,700 Equity Residential Properties Trust.................... 1,340,700
1,550 Erie Indemnity Co. .................................... 42,044
223,275 Everest Reinsurance Holdings, Inc. .................... 7,409,939
19,600 Federal Home Loan Mortgage Corp. ...................... 1,153,950
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Financial Services -- 30.6% (continued)
168,600 Federal National Mortgage Association.................. $ 11,802,000
375 Federated Investors, Inc. ............................. 7,195
675 Financial Security Assurance Holdings.................. 35,648
15,950 Finova Group, Inc. .................................... 810,459
2,600 First American Corp. .................................. 105,463
114,575 First Data Corp.+...................................... 4,382,494
2,950 First Tennessee National Corp. ........................ 112,284
561,048 First Union Corp. ..................................... 29,910,872
1,150 First Virginia Banks, Inc. ............................ 54,841
2,600 Firstar Corp. ......................................... 217,750
1,475 Firstmerit Corp. ...................................... 36,045
125 Firstplus Financial Group, Inc. ....................... 171
150 Fiserv, Inc.*.......................................... 7,050
284,627 Fleet Financial Group, Inc. ........................... 12,221,172
1,300 Fremont General Corp. ................................. 25,675
1,500 Fulton Financial Corp. ................................ 33,188
1,125 GATX Corp. ............................................ 38,883
58,250 Golden State Bancorp, Inc.*............................ 1,037,578
33,825 Golden West Financial Corp. ........................... 3,177,436
141,575 Greenpoint Financial Corp.+............................ 4,344,583
225 H&R Block, Inc. ....................................... 10,209
75,750 Hartford Financial Services, Inc. ..................... 4,095,234
450 Hartford Life, Inc., Class A Shares.................... 26,100
900 Heller Financial, Inc. ................................ 21,769
3,700 Hibernia Corp. ........................................ 59,894
1,375 Highwoods Properties, Inc. ............................ 32,914
1,050 Horace Mann Educators Corp. ........................... 24,609
292,900 Host Marriott Corp. ................................... 3,166,981
7,675 Household International, Inc. ......................... 311,796
186,875 HRPT Properties Trust.................................. 2,557,852
5,000 Huntington Bancshares, Inc. ........................... 158,750
1,725 Illinova Corp. ........................................ 40,968
36,950 Indymac Mortgage Holdings, Inc. ....................... 392,594
40,650 J.P. Morgan & Co., Inc.+............................... 4,529,934
2,550 Jefferson-Pilot Corp. ................................. 172,921
101,125 Keycorp................................................ 3,261,281
1,150 Keystone Financial, Inc. .............................. 41,544
1,050 Kimco Realty Corp. .................................... 39,834
1,325 Legg Mason, Inc. ...................................... 37,514
80,275 Lehman Brothers Holdings, Inc. ........................ 4,254,575
900 Leucadia National Corp. ............................... 26,831
33,200 Liberty Financial Cos., Inc. .......................... 744,925
91,550 Liberty Property Trust................................. 2,002,656
86,300 Lincoln National Corp. ................................ 8,171,531
125 M & T Bank Corp. ...................................... 59,469
1,325 Mack-Cali Realty Corp. ................................ 38,342
62,500 Marsh & McLennan Cos., Inc.+........................... 4,425,781
2,550 Marshall & Ilsley Corp. ............................... 142,800
90,075 MBIA Inc. ............................................. 5,545,242
87,250 Mellon Bank Corp. ..................................... 5,900,281
3,350 Mercantile Bancorp, Inc. .............................. 152,844
51,725 Mercantile Bankshares Corp. ........................... 1,884,730
375 Mercury General Corp. ................................. 13,078
114,300 Merrill Lynch & Co., Inc. ............................. 8,772,525
282,380 Morgan Stanley Dean Witter & Co. ...................... 25,555,390
158,490 National City Corp.+................................... 11,074,489
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Financial Services -- 30.6% (continued)
450 Nationwide Financial Services, Inc., Class A Shares... $ 20,447
51,400 North Fork Bancorp. .................................. 1,130,800
51,150 Northern Trust Corp.+................................. 4,571,531
150 Ocwen Financial Corp.*................................ 1,200
725 Ohio Casualty Corp. .................................. 29,272
51,975 Old Kent Financial Corp. ............................. 2,280,403
168,400 Old Republic International Corp. ..................... 3,168,025
650 Orion Capital Corp. .................................. 21,491
1,925 Pacific Century Financial Group....................... 42,230
78,500 PaineWebber Group, Inc. .............................. 2,933,938
2,425 People's Heritage Financial Group..................... 41,225
30,425 Peoples Bank Bridgeport............................... 851,900
475 The PMI Group, Inc. .................................. 20,484
106,075 PNC Bank Corp.+....................................... 5,522,530
200 Policy Management Systems Corp.*...................... 7,313
152,375 Popular, Inc. ........................................ 5,056,945
700 Post Properties, Inc. ................................ 24,981
1,675 Prologis Trust........................................ 34,756
1,525 Protective Life Corp. ................................ 52,613
1,825 Provident Cos., Inc. ................................. 59,769
25,600 Provident Financial Group, Inc.+...................... 998,400
1,750 Public Storage, Inc. ................................. 44,625
875 Raymond James Financial Corp. ........................ 15,968
5,225 Regions Financial Corp. .............................. 198,550
1,525 Reliance Group Holdings, Inc. ........................ 15,726
2,075 Reliastar Financial Corp. ............................ 94,153
2,575 Republic New York Corp. .............................. 116,680
3,150 Safeco Corp. ......................................... 126,590
44,000 Simon Property Group, Inc. ........................... 1,119,250
93,675 Southtrust Corp.*..................................... 3,752,855
103,500 Sovereign Bancorp, Inc.+.............................. 1,267,875
1,425 Spieker Properties, Inc. ............................. 50,944
5,300 St. Paul Cos., Inc. .................................. 171,588
162,150 Starwood Hotels Resort+............................... 5,026,650
132,325 State Street Corp. ................................... 10,147,673
4,025 Summit Bancorp........................................ 155,466
96,875 Suntrust Banks, Inc. ................................. 6,581,445
2,000 Synovus Financial Corp. .............................. 47,625
1,750 TCF Financial Corp. .................................. 42,109
4,175 Telecom-TCI Ventures, Class A Shares*................. 115,595
47,200 Torchmark Corp. ...................................... 1,569,400
42,900 Transamerica Corp. ................................... 3,112,931
425 Transatlantic Holdings, Inc. ......................... 31,742
1,325 Travelers Property Casualty Corp. .................... 50,267
46,525 Trustmark Corp. ...................................... 985,748
247,525 U.S. Bancorp.......................................... 7,998,152
450 U.S. Trust Corp. ..................................... 33,694
3,250 Union Planters Corp. ................................. 146,859
83,325 UnionBanCal Corp. .................................... 2,619,529
1,525 United Asset Management Corp. ........................ 34,598
650 Unitrin, Inc. ........................................ 42,494
2,925 Unum Corp. ........................................... 130,894
52,475 UST, Inc. ............................................ 1,551,292
1,125 Valley National Bancorp............................... 28,828
1,350 Vornado Realty Trust.................................. 46,406
59,200 Wachovia Corp. ....................................... 5,035,700
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Financial Services -- 30.6% (continued)
1,275 Waddell & Reed Financial, Inc., Class A Shares........ $ 24,065
1,345 Washington Federal, Inc. ............................. 30,263
178,485 Washington Mutual, Inc. .............................. 7,139,400
356,900 Wells Fargo Co. ...................................... 13,116,075
50 Wesco Financial Corp. ................................ 17,322
800 Wilmington Trust, Corp. .............................. 45,350
200 Zions Bancorp......................................... 12,800
- -------------------------------------------------------------------------------
597,874,382
- -------------------------------------------------------------------------------
Healthcare -- 2.3%
73,075 Abbott Labs........................................... 3,393,420
1,400 Allergan, Inc. ....................................... 114,100
2,075 American Home Products Corp. ......................... 123,463
36,075 Bausch & Lomb, Inc. .................................. 2,175,773
900 Baxter International.................................. 63,338
71,450 Bergen Brunswig Corp, Class A Shares+................. 1,746,059
78,575 Beverly Enterprises, Inc.*............................ 407,608
1,275 C.R. Bard, Inc. ...................................... 71,878
40,168 Cardinal Health Inc.+................................. 2,899,627
350 Chiron Corp.*......................................... 7,372
232,275 Columbia/HCA Healthcare Corp. ........................ 4,151,915
25 Dentsply International Inc. .......................... 637
1,625 Foundation Health Systems, Inc. Class A Shares*....... 13,000
1,075 Genzyme Corp.-General Division*....................... 48,375
850 HCR Manor Care, Inc.*................................. 19,019
1,525 Healthsouth Corp.*.................................... 17,728
1,500 Humana Inc.*.......................................... 26,250
1,775 ICN Pharmaceuticals, Inc. ............................ 38,828
3,075 IMS Health, Inc. ..................................... 109,163
27,925 Integrated Health Services, Inc. ..................... 165,805
51,000 Johnson & Johnson..................................... 4,354,125
1,725 Mallinckrodt, Inc. ................................... 53,367
53,700 Mckesson Corp. ....................................... 3,651,600
225 Omnicare, Inc. ....................................... 5,386
23,600 Pacificare Health Systems, Inc., Class B Shares*...... 1,705,100
108,200 Pharmacia & Upjohn, Inc. ............................. 5,896,900
900 St. Jude Medical, Inc. ............................... 22,613
435,615 Tenet Healthcare Corp.+*.............................. 8,576,170
900 Trigon Healthcare, Inc.*.............................. 31,556
2,175 United Healthcare Corp. .............................. 107,255
200 Universal Health Services, Class B Shares............. 8,125
52,400 Wellpoint Health Networks, Inc., Class A Shares*...... 4,133,050
- -------------------------------------------------------------------------------
44,138,605
- -------------------------------------------------------------------------------
Materials & Processing -- 3.9%
168,300 Alcoa, Inc. .......................................... 6,816,150
3,525 Allegheny Teledyne Inc. .............................. 72,703
387 Arch Chemicals, Inc.*................................. 7,353
14,000 Archer-Daniels-Midland Co. ........................... 211,750
850 Armstrong World Industries, Inc. ..................... 41,809
1,050 Bemis, Inc. .......................................... 35,766
115,900 Bethlehem Steel Corp.+*............................... 1,021,369
91,100 The B.F. Goodrich Co.+................................ 3,108,788
1,275 Boise Cascade Corp. .................................. 39,605
61,300 Bowater, Inc.+........................................ 2,582,262
28,875 Cabot Corp. .......................................... 727,289
600 Carlisle Cos., Inc. .................................. 24,825
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Materials & Processing -- 3.9% (continued)
2,225 Champion International Corp. .......................... $ 82,325
1,350 Consolidated Papers, Inc. ............................. 30,037
2,425 Crown Cork & Seal Co., Inc. ........................... 67,294
2,175 Cyprus Amax Minerals Co. .............................. 24,469
150 Cytec Industries, Inc. ................................ 4,022
98,075 Dow Chemical Corp. .................................... 9,648,128
1,825 Eastman Chemical Co. .................................. 86,117
42,350 Engelhard Corp. ....................................... 754,359
1,775 Fluor Corp. ........................................... 62,458
23,650 FMC Corp. ............................................. 1,210,584
2,200 Georgia-Pacific Corp. (Timber Group)................... 44,825
42,025 Georgia-Pacific Group.................................. 3,078,331
1,175 Great Lakes Chemical Corp. ............................ 45,752
1,025 Harsco Corp. .......................................... 28,764
1,500 Hercules, Inc. ........................................ 41,531
5,000 Homestake Mining Co. .................................. 45,938
2,675 IMC Global, Inc. ...................................... 53,333
58,450 International Paper Co. ............................... 2,454,900
19,800 International Specialty Products, Inc. ................ 174,488
20,675 Johns Manville Corp. .................................. 363,105
1,100 Kerr McGee Corp. ...................................... 31,419
21,300 Lafarge Corp. ......................................... 678,938
152,600 Louisiana Pacific Corp. ............................... 2,804,025
1,300 Lubrizol Corp. ........................................ 24,781
109,900 Lyondell Chemical, Co. ................................ 1,469,913
61,100 Martin Marietta Materials, Inc. ....................... 3,135,194
263,900 Masco Corp.+........................................... 6,927,375
2,425 Mead Corp. ............................................ 73,810
112,500 Millennium Chemicals, Inc. ............................ 2,032,031
650 Mohawk Industries*..................................... 21,125
1,550 Nalco Chemical Co. .................................... 43,594
3,950 Newmont Mining Corp. .................................. 68,138
1,925 Nucor Corp. ........................................... 85,783
1,075 Olin Corp. ............................................ 13,639
91,875 Owens-Illinois, Inc.*.................................. 2,199,258
1,300 Owens-Corning.......................................... 41,356
1,350 Phelps Dodge Corp. .................................... 65,475
4,175 PPG Industries, Inc. .................................. 217,361
81,425 Reynolds Metals Co. ................................... 3,480,919
39,325 Rohm & Haas Co. ....................................... 1,228,906
1,275 Rouse Co. ............................................. 29,803
2,625 RPM, Inc. ............................................. 36,258
3,475 Scherwin-Williams Co. ................................. 83,617
2,400 Sigma-Aldrich Corp. ................................... 63,300
1,750 Smurfit-Stone Container, Corp.*........................ 31,609
102,675 Solutia, Inc. ......................................... 1,828,898
2,325 Sonoco Product Co. .................................... 56,962
500 Southdown, Inc. ....................................... 23,594
800 Teleflex, Inc. ........................................ 28,450
1,325 Temple-Inland, Inc. ................................... 79,417
650 The St. Joe Co. ....................................... 14,015
1,250 Timken Corp. .......................................... 22,109
1,050 Trinity Industries Inc. ............................... 34,584
1,575 Union Camp Corp. ...................................... 105,328
70,000 Union Carbide Corp.+................................... 3,080,000
53,900 USG Corp. ............................................. 2,701,738
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Materials & Processing -- 3.9% (continued)
53,275 Vulcan Materials Co.+.................................. $ 7,178,806
1,350 W. R. Grace & Co.*..................................... 18,141
2,125 Westvaco Corp. ........................................ 47,546
49,650 Weyerhaeuser Co. ...................................... 2,767,987
2,625 Willamette Industries, Inc. ........................... 95,648
1,725 Worthington Industries................................. 21,886
- --------------------------------------------------------------------------------
75,983,165
- --------------------------------------------------------------------------------
Producer Durables -- 4.2%
30,600 Aeroquip-Vickers, Inc. ................................ 1,732,725
1,375 Agco Corp. ............................................ 9,023
85,050 Allied Signal Inc. .................................... 3,518,944
225 Andrew Corp.*.......................................... 3,403
450 Applied Materials, Inc.*............................... 25,031
6,350 Boeing Co. ............................................ 225,822
1,725 Case Corp. ............................................ 33,638
139,300 Caterpillar, Inc. ..................................... 6,346,856
173,050 Centex Corp. .......................................... 6,370,403
1,925 Clayton Homes, Inc. ................................... 23,822
26,425 Cordant Technologies Inc. ............................. 1,028,923
90,825 Crane Co. ............................................. 2,492,011
850 Cummins Engine Inc. ................................... 34,850
175 Danaher Corp. ......................................... 8,444
35,050 Deere & Co. ........................................... 1,145,697
1,225 Diebold Inc. .......................................... 35,755
4,150 Dover Corp. ........................................... 141,100
9,400 Emerson Electric Co. .................................. 539,913
1,200 Harnischfeger Industries, Inc. ........................ 9,225
175 Hillenbrand Industries, Inc. .......................... 7,328
57,750 Honeywell, Inc. ....................................... 4,038,891
1,300 Hubbell Inc, Class B Shares............................ 48,425
206,000 Ingersoll Rand Co.+.................................... 9,785,000
76,400 Johnson Controls, Inc. ................................ 4,698,600
650 Kennametal, Inc. ...................................... 13,528
1,050 KLA-Tencor Corp.*...................................... 54,403
450 Lennar Corp. .......................................... 10,434
45,875 Litton Industries, Inc.*............................... 2,574,734
209,125 Lockheed Martin Corp. ................................. 7,881,398
1,050 Molex, Inc. ........................................... 28,088
1,675 Northrop Grumman Corp. ................................ 104,373
125 Orbital Sciences Corp.*................................ 3,453
2,600 Pall Corp. ............................................ 55,088
2,500 Parker-Hannifin Corp. ................................. 92,813
18,850 Pentair, Inc. ......................................... 713,944
675 Pitney Bowes, Inc. .................................... 42,651
700 Pittway Corp., Class A Shares.......................... 17,369
900 Raychem Corp. ......................................... 20,531
350 Steelcase, Inc. ....................................... 5,337
50 Sundstrand Corp. ...................................... 3,384
1,025 Tektronix, Inc. ....................................... 19,986
950 Teradyne, Inc.*........................................ 45,244
79,950 Textron Inc.+.......................................... 6,236,100
35,300 Thomas & Betts Corp.+.................................. 1,471,568
162,375 U.S. Industries, Inc. ................................. 2,638,594
141,650 United Technologies Corp. ............................. 17,546,894
1,775 W.W. Grainger, Inc. ................................... 78,988
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Producer Durables -- 4.2% (continued)
1,125 Witco Corp. ........................................... $ 19,055
925 York International Corp. .............................. 33,531
- --------------------------------------------------------------------------------
82,015,317
- --------------------------------------------------------------------------------
Technology -- 7.2%
3,300 3Com Corp.*............................................ 103,744
1,375 Adaptec, Inc.*......................................... 27,414
925 Adobe Systems, Inc. ................................... 37,231
3,025 Advanced Micro Devices, Inc.*.......................... 54,072
5,100 AMP, Inc. ............................................. 271,256
425 Analog Devices, Inc.*.................................. 10,652
202,925 Apple Computer, Inc.+*................................. 7,064,327
57,150 Arrow Electronics, Inc. ............................... 810,816
1,325 Atmel Corp.*........................................... 22,773
825 Avnet Inc. ............................................ 32,742
425 AVX Corp. ............................................. 5,817
2,150 Cabletron Systems, Inc.*............................... 17,469
82,300 Compaq Computer Corp. ................................. 2,901,075
1,250 Conexant Systems, Inc.*................................ 21,250
1,075 E G & G, Inc. ......................................... 28,488
102,625 Electronic Data Systems Corp. ......................... 4,772,063
159,000 General Dynamics Corp.+................................ 9,609,563
1,475 General Instrument Corp.*.............................. 43,144
1,825 Harris Corp. .......................................... 56,803
159,500 Hewlett-Packard Co. ................................... 10,596,781
350,125 International Business Machines Corp. ................. 59,521,250
6,425 Iomega Corp.*.......................................... 38,952
75,600 Learning Co., Inc.*.................................... 2,197,125
2,025 LSI Logic Corp.*....................................... 52,523
3,775 Micron Technologies, Inc. ............................. 217,534
9,025 Motorola, Inc. ........................................ 634,006
3,025 National Semiconductor Corp.*.......................... 31,763
94,250 NCR Corp.+*............................................ 3,858,359
99,000 Northern Telecom Ltd.+................................. 5,748,188
7,700 Novell, Inc.*.......................................... 149,188
275 Panamsat Corp.*........................................ 9,866
1,300 Quantum Corp.*......................................... 21,369
20,722 Raytheon Co., Class A Shares........................... 1,095,676
106,725 Raytheon Co., Class B Shares........................... 5,703,117
900 Reynolds & Reynolds, Class A Shares.................... 16,988
3,550 Rockwell International Corp. .......................... 157,753
225 Sabre Group Holdings, Inc.*............................ 8,831
250 SCI Systems, Inc.*..................................... 7,734
3,600 Seagate Technology, Inc.*.............................. 104,175
4,400 Silicon Graphics Co.*.................................. 70,125
1,125 Sterling Software, Inc. ............................... 28,688
183,425 Storage Technology, Inc.+*............................. 6,385,483
74,100 Sun Microsystems, Inc.*................................ 7,210,856
600 Tech Data Corp.*....................................... 10,200
2,250 Texas Instruments, Inc. ............................... 200,672
245,675 Unisys Corp.*.......................................... 7,324,186
600 Varian Associates, Inc. ............................... 19,200
61,275 Vitesse Semiconductors Corp.*.......................... 2,814,820
1,300 Western Digital Corp.*................................. 12,513
- --------------------------------------------------------------------------------
140,138,620
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Utilities -- 20.2%
2,875 Allegheny Energy Inc. ................................. $ 85,351
45,900 Alltel Corp. .......................................... 2,748,263
3,250 Ameren Corp. .......................................... 121,265
4,550 American Electric Power Co., Inc. ..................... 189,393
738,225 American Telephone & Telegraph Corp.+.................. 60,626,728
485,850 Ameritech Corp. ....................................... 31,762,444
28,800 Avista Corp.+.......................................... 471,600
89,825 Baltimore Gas & Electric Co. .......................... 2,301,766
113,600 BEC Energy Co. ........................................ 4,139,300
522,635 Bell Atlantic Corp. ................................... 30,018,848
740,475 Bellsouth Corp. ....................................... 34,246,969
2,225 Cablevision Systems Corp., Class A Shares*............. 144,625
3,550 Carolina Power & Light Co. ............................ 141,556
5,025 Central & Southwest Corp. ............................. 124,682
65,575 Century Telephone Enterprises.......................... 4,049,256
3,525 Cinergy Corp. ......................................... 102,885
6,150 Citizens Utilities Co., Class B Shares................. 46,893
151,075 CMS Energy Corp. ...................................... 6,250,728
153,625 Coastal Corp. ......................................... 4,916,000
39,275 Comcast Corp., Class A Shares*......................... 2,786,070
76,025 Comsat Corp. .......................................... 2,223,731
2,400 Conectiv Inc. ......................................... 50,850
172,700 Consolidated Edison, Inc.+............................. 8,073,725
2,225 Consolidated Natural Gas Co. .......................... 122,236
113,100 Dominion Resources Inc. ............................... 4,368,487
3,775 DPL, Inc. ............................................. 67,242
111,750 DQE, Inc. ............................................. 4,267,453
140,350 DTE Energy Co. ........................................ 5,543,825
41,350 Duke Energy Corp.+..................................... 2,351,781
311,025 Edison International................................... 7,931,138
107,200 Energy East Corp. ..................................... 5,748,600
75,100 Enron Corp. ........................................... 4,881,500
226,900 Entergy Corp.+......................................... 6,409,925
5,550 Firstenergy Corp. ..................................... 162,337
2,150 Florida Progress Corp. ................................ 86,269
140,075 FPL Group.............................................. 7,205,108
425 Frontier Corp. ........................................ 15,273
87,750 GPU, Inc. ............................................. 3,499,031
310,200 GTE Corp. ............................................. 20,124,225
1,800 Interstate Energy Corp. ............................... 49,612
925 Ipalco Enterprises Inc. ............................... 44,342
1,325 K N Energy, Inc. ...................................... 27,742
1,500 Kansas City Power & Light Co. ......................... 38,250
6,375 Level 3 Communications, Inc.*.......................... 357,000
108,885 LG&E Energy Corp. ..................................... 2,483,939
261,750 MCI Worldcom, Inc.*.................................... 21,594,375
650 McLeod, Inc., Class A Shares*.......................... 25,025
111,925 MCN Energy Group, Inc.+................................ 1,993,664
62,150 Mediaone Group, Inc.+*................................. 3,387,175
2,200 Midamerican Energy Holdings Co.*....................... 59,400
16,075 New Century Energies, Inc. ............................ 652,042
24,075 New England Electric Systems........................... 1,172,152
2,675 Nextel Communications, Inc.*........................... 80,417
4,400 Niagara Mohawk Power Co. .............................. 64,350
1,100 Nicor, Inc. ........................................... 42,006
2,800 Nipsco Industries Inc. ................................ 72,625
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Utilities -- 20.2% (continued)
3,250 Northeast Utilities Co. ............................... $ 48,547
3,650 Northern States Power Co. ............................. 94,215
1,925 OGE Energy Corp. ...................................... 45,959
7,000 Pacificorp............................................. 125,562
5,275 Peco Energy Co. ....................................... 186,933
3,725 Pennsylvania Power & Light Co. ........................ 94,988
9,000 PG & E Corp. .......................................... 283,500
103,875 Pinnacle West Capital Corp. ........................... 3,752,484
2,825 Potomac Electric Power Co. ............................ 68,859
140,225 Public Services Enterprise Group, Inc. ................ 5,328,550
1,975 Puget Sound Energy Co. ................................ 47,646
250 Qualcomm, Inc.*........................................ 18,250
1,950 Questar Corp. ......................................... 34,856
205,975 Reliant Energy, Inc. .................................. 5,522,704
691,811 SBC Communications, Inc. .............................. 36,579,507
2,425 Scana Corp. ........................................... 56,987
625 Scientific-Atlanta Corp. .............................. 20,273
159,956 Sempra Energy.......................................... 3,359,076
331,150 Southern Co. .......................................... 8,299,446
55,625 Sprint Corp. (FON Group)............................... 4,773,320
2,375 Sprint Corp. (PCS Group)*.............................. 76,000
400 TCA Cable Television................................... 17,650
3,100 Teco Energy Inc. ...................................... 67,037
700 Telephone and Data Systems, Inc. ...................... 35,175
125 Teligent Inc.-Class A Shares*.......................... 4,914
113,725 Texas Utilities Co. ................................... 4,826,204
1,300 The Montana Power Co. ................................. 79,138
272,750 U.S. West, Inc. ....................................... 14,540,984
5,175 Unicom Corp. .......................................... 184,035
175 United States Cellular Corp.*.......................... 7,372
121,075 UtiliCorp United Inc.+................................. 4,161,953
62,350 Western Resources, Inc.+............................... 1,757,490
2,775 Wisconsin Energy Corp. ................................ 70,935
- --------------------------------------------------------------------------------
395,122,023
- --------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,501,441,984)............ 1,926,391,600
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PREFERRED STOCK -- 0.5%
- --------------------------------------------------------------------------------
Consumer Services -- 0.5%
400,100 News Corp Ltd., Sponsored ADR (Cost --
$7,920,549)+.................................... $ 10,502,625
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 0.8%
$15,665,000 Morgan Stanley Dean Witter & Co., 4.730% due
3/1/99; Proceeds at maturity -- $15,671,175;
(Fully collateralized by U.S. Treasury Notes,
5.500% to 8.125% due 4/30/99 to 2/15/26;
Market Value--$16,032,897) (Cost -- $15,665,000).. 15,665,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,525,027,533**)............................... $1,952,559,225
- --------------------------------------------------------------------------------
</TABLE>
+ All or a portion of this security is on loan (See Note 12).
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[PIE CHART APPEARS HERE]
Consumer Staples 2.4% 2.4
Energy 9.8% 9.8
Financial Services 30.6% 30.6
Auto Transportation 6.3 6.3
Consumer Discretionary 11.8% 11.8
Product-Durables 4.2% 4.2
Technology 7.2% 7.2
Utilities 20.2% 20.2
Other Common Stocks 6.7% 6.7
Repurchase Agreement 0.8% 0.8
See Notes to Financial Statements.
40
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 99.5%
- --------------------------------------------------------------------------------
Advertising -- 0.4%
42,900 Interpublic Group of Cos., Inc. ....................... $ 3,209,456
6,727 Lamar Advertising Co. ................................. 259,830
10,400 MSC industrial Direct Corp. ........................... 185,900
52,900 Omnicom Group.......................................... 3,504,625
25,072 Outdoor Systems, Inc. ................................. 700,449
12,491 Reynolds & Reynolds Co., Class A Shares................ 235,768
8,451 True North Communications Inc. ........................ 197,014
2,722 Young & Rubicam Inc.*.................................. 102,756
- --------------------------------------------------------------------------------
8,395,798
- --------------------------------------------------------------------------------
Basic Industries -- 2.4%
31,698 Allied Waste Industries, Inc. ......................... 618,112
25,800 American Power Conversion Corp. ....................... 925,575
12,900 Apollo Group, Inc., Class A Shares..................... 387,806
3,413 Bemis, Inc. ........................................... 116,255
5,900 Cabot Corp. ........................................... 148,606
1,610 Carlisle Cos., Inc. ................................... 66,614
72,400 Corning Inc. .......................................... 3,873,400
3,985 Crane Co. ............................................. 109,338
3,164 Crown Cork & Seal Co., Inc. ........................... 87,801
10,900 Dover Corp. ........................................... 370,600
98,510 E.I. du Pont de Nemours & Co. ......................... 5,054,794
36,775 Ensco International Inc. .............................. 326,378
14,807 Global Industries Ltd.................................. 74,960
1,800 Harsco Corp. .......................................... 50,513
13,438 Hercules Inc. ......................................... 372,065
28,600 Herman Miller, Inc. ................................... 486,200
11,569 Honeywell, Inc. ....................................... 809,107
63,485 Illinois Tool Works, Inc. ............................. 4,364,594
150,599 Kimberly-Clark Corp. .................................. 7,115,803
9,300 Lancaster Colony Corp. ................................ 255,750
2,587 Lear Corp.* ........................................... 91,353
55,820 Masco Corp. ........................................... 1,465,275
194,470 Monsanto Co. .......................................... 8,860,539
10,738 Praxair, Inc. ......................................... 375,159
84,054 Republic Industries, Inc. ............................. 1,029,662
14,727 Smurfit-Stone Container, Corp. ........................ 266,006
5,195 Southdown, Inc. ....................................... 245,139
14,615 Stanley Works ......................................... 355,327
8,400 Tech Data Corp. ....................................... 142,800
2,800 Teleflex Inc. ......................................... 99,575
20,559 U.S. Filter Corp. ..................................... 504,980
11,600 Ucar International Inc. ............................... 184,150
7,300 USG Corp. ............................................. 365,913
12,600 Valspar Corp. ......................................... 409,500
14,912 Varco International, Inc. ............................. 115,568
122,416 Waste Management Inc. ................................. 5,983,082
709 Worthington Industries, Inc. .......................... 8,995
203,608 Xerox Corp.+........................................... 11,236,617
- --------------------------------------------------------------------------------
57,353,911
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Broadcasting -- 0.5%
3,196 Capstar Broadcasting Corp*........................... $ 64,519
109,717 CBS Corp. ........................................... 4,045,814
11,059 Cox Communications, Inc.*............................ 782,424
12,807 Heftel Broadcasting Corp., Class A................... 528,289
103,336 Liberty Media Group, Class A......................... 5,567,227
13,200 Meredith Corp. ...................................... 445,500
2,589 Sinclair Broadcast Group Inc., Class A Shares........ 38,350
3,622 United Video Satellite Group*........................ 104,359
- --------------------------------------------------------------------------------
11,576,482
- --------------------------------------------------------------------------------
Capital Goods -- 6.2%
100,492 Allied Signal Inc. .................................. 4,157,856
108,870 Applied Materials, Inc. ............................. 6,055,893
227,071 Boeing Co. .......................................... 8,075,211
81,286 Comcast Corp. Class A Shares......................... 5,766,226
24,100 Crompton & Knowles Corp. ............................ 445,850
12,900 Cytec Industries Inc.*............................... 345,881
12,389 Delta & Pine Land Co. ............................... 401,094
46,800 Equifax Inc. ........................................ 1,766,700
18,364 Federal-Mogul Corp. ................................. 903,279
1,011,214 General Electric Co.++............................... 101,437,404
11,850 General Motors, Class H Shares....................... 559,172
9,988 Howmet International Inc.*........................... 161,057
882 Johns Manville Corp. ................................ 15,490
63,400 Minnesota Mining & Manufacturing Co. ................ 4,695,563
7,573 National-Oilwell Inc. ............................... 67,210
2,958 Nucor Corp. ......................................... 131,816
6,563 Orbital Sciences Corp. .............................. 181,303
10,216 Owens-Illinois, Inc.*................................ 244,546
4,656 Pall Corp. .......................................... 98,649
1,752 Pentair, Inc. ....................................... 66,357
75,947 Pioneer Hi-Bred International, Inc. ................. 1,780,008
13,997 Raychem Corp. ....................................... 319,307
11,882 Safeskin Corp. ...................................... 276,257
13,200 Smith International Inc. ............................ 320,925
22,300 Steris Corp. ........................................ 733,113
1,400 Tektronix, Inc. ..................................... 27,300
56,714 United Technologies Corp. ........................... 7,025,447
8,179 W.R. Grace & Co.*.................................... 109,905
4,448 Witco Corp. ......................................... 75,338
- --------------------------------------------------------------------------------
146,244,157
- --------------------------------------------------------------------------------
Commercial Services -- 0.1%
23,100 American Standard Co.*............................... 775,294
32,500 Convergys Corp. ..................................... 562,656
31,200 Modis Professional Services.......................... 427,050
76,317 Servicemaster Co. ................................... 1,426,174
- --------------------------------------------------------------------------------
3,191,174
- --------------------------------------------------------------------------------
Computer Services -- 7.3%
68,442 3Com Corp. .......................................... 2,151,643
8,399 Adobe Systems Inc. .................................. 338,058
4,620 Affiliated Computer Services, Class A Shares......... 213,674
30,600 Altera Corp. ........................................ 1,487,925
544,800 America Online, Inc.+................................ 48,453,150
10,343 At Home Corp.*....................................... 1,097,651
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Computer Services -- 7.3% (continued)
13,800 Autodesk Inc. ........................................ $ 553,725
268,000 Automatic Data Processing Inc.+....................... 10,653,000
160,800 BMC Software Inc.+.................................... 6,572,700
363,400 Cadence Design Systems, Inc.+......................... 8,744,313
20,200 Ceridian Corp. ....................................... 1,446,825
7,921 Ciber, Inc. .......................................... 199,015
8,265 Comdisco, Inc. ....................................... 99,180
149,700 Computer Sciences Corp. .............................. 9,973,763
6,239 Diebold, Inc. ........................................ 182,101
4,800 DST Systems, Inc.*.................................... 260,400
19,300 Electronic Arts Inc. ................................. 769,588
14,252 Electronic Data Systems Corp. ........................ 662,718
212,286 EMC Corp. ............................................ 21,732,780
47,270 Frontier Corp. ....................................... 1,698,766
20,824 Galileo International Inc. ........................... 1,051,612
15,300 Gartner Group Inc., Class A Shares.................... 343,294
21,700 Gateway 2000 Inc. .................................... 1,577,319
155,654 Hewlett-Packard Co. .................................. 10,341,263
13,900 Ingram Micro, Inc.*................................... 305,800
33,200 International Game Technology......................... 630,800
12,600 Intuit Inc. .......................................... 1,246,613
18,987 Keane, Inc. .......................................... 587,410
19,700 Lexmark International Group, Inc., Class A Shares*.... 2,032,794
39,925 Networks Associates Inc. ............................. 1,876,475
86,500 Parametric Technology Inc. ........................... 1,329,938
52,000 PeopleSoft, Inc. ..................................... 981,500
1,935 Pixar Inc.*........................................... 79,577
30,828 Quantum Corp. ........................................ 506,735
4,090 Sabre Group Holdings Inc*............................. 160,533
14,146 Siebel Systems Inc. .................................. 622,424
30,400 Sterling Commerce, Inc.*.............................. 790,400
6,600 Sterling Software, Inc. .............................. 168,300
173,729 Sun Microsystems Inc. ................................ 16,906,003
228,500 SunGard Data Systems Inc. ............................ 9,054,313
19,700 Synopsys, Inc. ....................................... 911,125
12,150 Total System Services Inc. ........................... 276,413
10,634 Western Digital Corp. ................................ 102,352
- -------------------------------------------------------------------------------
169,173,968
- -------------------------------------------------------------------------------
Consumer Durables -- 0.1%
17,900 HON Industries, Inc. ................................. 425,125
21,093 Nike Inc. Class B Shares.............................. 1,131,112
- -------------------------------------------------------------------------------
1,556,237
- -------------------------------------------------------------------------------
Consumer Products -- 9.2%
18,577 Anheuser-Busch Co., Inc. ............................. 1,424,621
1,416 Bausch & Lomb Inc. ................................... 85,401
66,352 Bestfoods............................................. 3,114,395
6,448 The B.F. Goodrich Co. ................................ 220,038
3,028 Black & Decker Corp+.................................. 147,615
10,450 Blyth Industries Inc. ................................ 282,150
2,100 Brown-Forman Corp., Class B Shares.................... 138,469
11,556 Callaway Golf Co. .................................... 125,672
69,496 Campbell Soup Co. .................................... 2,792,871
71,600 Clorox................................................ 8,471,175
705,250 Coca-Cola Co. ........................................ 45,091,922
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Products -- 9.2% (continued)
69,600 Coca-Cola Enterprises Inc. ............................ $ 2,157,600
91,143 Colgate Palmolive Co. ................................. 7,735,762
101,863 Conagra Inc. .......................................... 3,068,623
21,700 Danaher Corp. ......................................... 1,047,025
1,908 Dean Foods Co. ........................................ 69,523
5,100 Dole Food Inc. ........................................ 160,650
6,007 Eastman Kodak Co. ..................................... 397,588
11,300 Estee Lauder Cos, Class A Shares....................... 980,981
28,475 Flowers Industries Inc. ............................... 694,078
69,524 Fort James Corp. ...................................... 2,077,030
6,300 Fred Meyer, Inc. ...................................... 404,775
14,523 Fruit of the Loom Inc., Class A Shares................. 184,261
10,887 Furniture Brands International, Inc. .................. 232,710
25,143 General Mills Inc. .................................... 2,028,726
343,910 Gillette Co. .......................................... 18,442,174
47,038 HJ Heinz & Co. ........................................ 2,560,631
19,200 Hershey Foods Corp. ................................... 1,195,200
4,852 Hertz Corp., Class A Shares............................ 193,170
2,996 International Flavors & Fragrances, Inc. .............. 123,398
7,120 International Home Foods*.............................. 111,250
5,867 Interstate Bakeries Corp. ............................. 140,808
6,100 Keebler Foods Co.*..................................... 237,900
35,477 Kellogg Co. ........................................... 1,312,649
5,850 Liz Claiborne, Inc. ................................... 197,072
90,543 Mattel, Inc. .......................................... 2,388,072
19,315 Maytag Corp. .......................................... 1,082,847
5,454 McCormick & Co. Inc. .................................. 156,121
2,268 Mohawk Industries, Inc. ............................... 73,710
39,821 Newell Co.+............................................ 1,692,393
18,554 Newell Rubbermaid Inc. ................................ 613,442
8,940 Nu Skin Enterprises, Inc.*............................. 186,623
455,029 PepsiCo, Inc. ......................................... 17,120,466
754,031 Phillip Morris Cos. Inc. .............................. 29,501,463
410,888 Procter & Gamble Corp. ................................ 36,774,476
29,793 Quaker Oats Co. ....................................... 1,627,443
73,692 Ralston-Purina Group................................... 1,985,078
2,800 Revlon Inc., Class A*.................................. 39,550
284,376 Sara Lee Corp. ........................................ 7,731,473
26,224 Sealed Air Corp.*...................................... 1,330,868
6,800 Shaw Industries Inc. .................................. 149,175
3,331 Sonoco Products Co. ................................... 81,610
28,600 Starbucks Corp. ....................................... 1,512,225
7,567 Suiza Foods Corp.*..................................... 279,979
23,000 Sunbeam Corporation.................................... 133,688
5,974 Tootsie Roll Industries Inc. .......................... 274,804
10,900 Tupperware Corp. ...................................... 190,750
3,900 Tyson Foods Inc., Class A Shares....................... 79,950
16,600 Unifi, Inc. ........................................... 200,238
25,655 UST Inc. .............................................. 758,426
10,086 Warnaco Group Inc. .................................... 226,935
13,200 Westpoint Stevens Inc. ................................ 336,600
7,900 Whitman Corp. ......................................... 150,100
23,360 Wm. Wrigley Jr. Co. ................................... 2,172,480
- --------------------------------------------------------------------------------
216,498,898
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Services -- 0.8%
265,975 Cendant Corp. ......................................... $ 4,405,210
36,000 Ecolab, Inc. .......................................... 1,435,500
2,204 Kelly Services Inc., Class A Shares.................... 56,202
25,200 Manpower inc. ......................................... 603,225
76,204 Pitney Bowes, Inc.+ ................................... 4,815,140
29,600 Robert Half International, Inc. ....................... 1,065,600
70,824 Service Corp. ......................................... 1,088,919
18,100 Stewart Enterprises, Inc., Class A Shares.............. 271,500
105,021 Sysco Corp. ........................................... 2,966,843
5,269 U.S. Foodservice....................................... 244,679
26,434 Viad Corp. ............................................ 698,849
- --------------------------------------------------------------------------------
17,651,667
- --------------------------------------------------------------------------------
Consumer Products -- 0.0%
30,200 Dial Corp. ............................................ 881,463
- --------------------------------------------------------------------------------
Data Processing/Management -- 0.0%
24,950 Fiserv Inc............................................. 1,172,650
- --------------------------------------------------------------------------------
Diversified Manufacturing -- 1.0%
311,451 Tyco International Ltd.+............................... 23,183,634
- --------------------------------------------------------------------------------
Electronics -- 1.1%
16,222 Adaptec Inc. .......................................... 323,425
45,376 Analog Devices Inc. ................................... 1,137,235
837 Arrow Electronics, Inc. ............................... 11,875
13,566 Atmel Corp. ........................................... 233,166
900 Avnet, Inc. ........................................... 35,719
774 AVX Corp. ............................................. 10,594
2,140 Broadcom Corp. ........................................ 128,801
13,088 Emerson Electric Co. .................................. 751,742
14,423 KLA-Tencor Corp. ...................................... 747,292
7,397 Molex Inc. ............................................ 197,870
12,698 Sanmina Corp. ......................................... 663,471
15,600 SCI Systems, Inc. ..................................... 482,625
266,200 Solectron Corp.+ ...................................... 11,895,813
12,839 Teradyne, Inc. ........................................ 611,457
91,126 Texas Instruments Inc. ................................ 8,127,300
717 Thomas & Betts Corp. .................................. 29,890
2,990 Varian Associates Inc. ................................ 95,680
19,000 Vitesse Semiconductors Corp. .......................... 872,813
- --------------------------------------------------------------------------------
26,356,768
- --------------------------------------------------------------------------------
Energy -- 0.7%
36,788 AES Corp.+ ............................................ 1,368,053
29,232 Anadarko Petroleum Corp. .............................. 803,879
50,462 Baker Hughes Inc. ..................................... 908,315
13,300 BJ Services Co. ....................................... 187,031
1,590 CalEnergy Co. Inc.* ................................... 44,619
14,800 Cooper Cameron Corp. .................................. 342,250
22,200 Diamond Offshore Drilling.............................. 459,263
3,591 Dynergy, Inc. ......................................... 43,092
95,995 Enron Corp. ........................................... 6,239,675
4,983 Enron Oil & Gas Co. ................................... 82,220
53,500 Global Marine, Inc.* .................................. 414,625
106,400 Halliburton Co. ....................................... 3,005,800
2,382 Keyspan Energy Corp ................................... 63,123
2,092 KN Energy Inc. ........................................ 43,801
22,444 Nabors Industries, Inc.* .............................. 258,106
4,259 Noble Affiliates Inc. ................................. 96,360
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Energy -- 0.7% (continued)
34,600 Noble Drilling Corp.* ................................. $ 428,175
15,158 Ocean Energy Inc. ..................................... 64,422
28,221 Oryx Energy Co. ....................................... 292,793
3,300 Pennzenergy, Co. ...................................... 30,938
43,948 R & B Falcon Corp. .................................... 241,714
18,700 Rowan Cos., Inc. ...................................... 161,288
2,700 Sempra Energy.......................................... 56,700
3,399 Sonat Inc. ............................................ 86,037
13,764 The Williams Cos., Inc. ............................... 509,268
24,679 Thermo Electron Corp. ................................. 340,879
17,800 Transocean Offshore, Inc. ............................. 367,125
3,741 Vastar Resources, Inc. ................................ 144,029
22,736 Weatherford International, Inc. ....................... 386,512
- --------------------------------------------------------------------------------
17,470,092
- --------------------------------------------------------------------------------
Entertainment -- 1.8%
726 Circus Circus Enterprises, Inc......................... 12,432
8,800 Harrah's Entertainment Inc. ........................... 146,850
27,228 Hilton Hotels Corp., Ltd. ............................. 430,543
76,258 Marriott International Co. ............................ 2,745,288
1,089 MGM Grand Inc. ........................................ 41,110
21,113 Mirage Resorts Inc. ................................... 411,704
18,853 Promus Hotel Corp.* ................................... 663,390
8,350 Sodexho Marriott Service............................... 195,181
176,270 Time Warner, Inc. ..................................... 11,369,415
35,002 Viacom Inc., Class B Shares............................ 3,093,302
635,318 The Walt Disney Co. ................................... 22,355,252
- --------------------------------------------------------------------------------
41,464,467
- --------------------------------------------------------------------------------
Financial Services -- 8.9%
2,106 20th Century Industries................................ 40,276
4,072 Aetna, Inc. ........................................... 301,582
16,737 AFLAC Inc. ............................................ 738,520
900 American Bankers Insurance Group, Inc. ................ 43,200
115,984 American Express Co.................................... 12,584,264
232,041 American International Group, Inc. .................... 26,438,171
6,876 Amresco Inc. .......................................... 65,107
5,168 Aon Corp. ............................................. 304,589
349,400 Associated First Captial Corp. ........................ 14,194,375
35,004 Bank of New York....................................... 1,222,952
21,024 Bank One Corp. ........................................ 1,130,040
20,449 Capital One Financial Corp. ........................... 2,609,804
101,527 Charles Schwab Corp. .................................. 7,570,107
101,350 Citigroup, Inc. ....................................... 5,954,313
31,200 Concord EFS Inc. ...................................... 996,450
43,593 Conseco, Inc. ......................................... 1,305,065
1,900 Countrywide Credit Industries, Inc. ................... 71,963
1,501 Dow Jones & Co., Inc. ................................. 70,547
994 Equitable Cos., Inc. .................................. 67,157
2,330 Everest Reinsurance Holdings, Inc. .................... 77,327
300,346 Federal Home Loan Mortgage Corp. ...................... 17,682,871
404,512 Federal National Mortgage Association.................. 28,315,840
522 Federated Investors Inc. .............................. 10,016
58,181 Fifth Third Bancorp.................................... 3,843,582
4,400 Finova Group, Inc. .................................... 223,575
114,808 First Data Corp. ...................................... 4,391,406
66,626 Firstar Corp. ......................................... 5,579,928
5,210 FIRSTPLUS Financial Group, Inc. ....................... 7,164
52,400 Franklin Resources Inc. ............................... 1,666,975
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Financial Services -- 7.2% (continued)
4,400 Greenpoint Financial Corp. ........................... $ 135,025
1,336 Hartford Life, Inc., Class A Shares................... 77,488
26,919 H&R Block, Inc. ...................................... 1,221,450
49,801 Household International Inc. ......................... 2,023,166
711,517 MBNA Corp.+ .......................................... 17,254,287
10,120 Mellon Bank Corp. .................................... 684,365
3,096 Mercury General Corp. ................................ 107,973
35,100 MGIC Investment Corp. ................................ 1,195,594
21,296 National Commerce Bancorp............................. 441,892
1,572 Nationwide Financial Services, Inc. .................. 71,428
2,829 North Fork Bancorporation, Inc. ...................... 62,238
13,649 Northern Trust Corp. ................................. 1,219,879
3,267 Ocwen Financial Corp ................................. 26,136
306,624 Paychex Inc. ......................................... 12,993,192
12,628 Progressive Corp.-Ohio................................ 1,622,698
116,004 Providian Financial Corp. ............................ 11,846,909
1,880 Provident Co., Inc. .................................. 61,570
5,253 Sovereign Bancorp., Inc. ............................. 64,349
47,045 State Street Boston Corp. ............................ 3,607,763
52,250 Student Loan Marketing Association.................... 2,240,219
45,049 Synovus Financial Corp. .............................. 1,072,729
32,100 T.Rowe Price Associates, Inc. ........................ 989,081
5,800 TCF Financial Corp. .................................. 139,563
182,096 U.S. Bancorp.......................................... 5,883,977
3,534 UNUM Corp. ........................................... 158,147
2,876 Waddell & Reed Financial-Class A Shares............... 54,285
38,627 Washington Mutual, Inc. .............................. 1,545,080
38,413 Wells Fargo, Co. ..................................... 1,411,678
700 Wilmington Trust Corp. ............................... 39,681
21,696 Zions Bancorp......................................... 1,388,544
- -------------------------------------------------------------------------------
207,147,552
- -------------------------------------------------------------------------------
Healthcare -- 21.1%
437,073 Abbott Labs, Inc. .................................... 20,296,577
23,900 Alza Corp. ........................................... 1,253,256
380,324 American Home Products Corp. ......................... 22,629,278
79,100 Amgen Inc. ........................................... 9,877,613
77,321 Baxter International Inc. ............................ 5,441,465
6,585 Beckman Instruments, Inc. ............................ 318,138
77,308 Becton Dickinson & Co. ............................... 2,589,818
15,100 Bergen Brunswig Corp., Class A Shares................. 369,006
5,706 Beverly Enterprises, Inc.* ........................... 29,600
31,900 Biomet, Inc. ......................................... 1,170,331
77,778 Boston Scientific Corp. .............................. 2,061,117
307,642 Bristol-Myers Squibb & Co............................. 38,743,664
140,700 Cardinal Health Inc.+ ................................ 10,156,781
18,600 Centocor Inc. ........................................ 773,063
27,033 Chiron Corp. *........................................ 569,383
13,500 Dentsply International Inc. .......................... 344,250
179,700 Elan Corp. PLC ADR+................................... 13,780,744
416,402 Eli Lilly & Co. ...................................... 39,428,064
20,900 First Health Group Corp. ............................. 334,400
18,435 Forest Labs Inc., Class A Shares*..................... 911,380
15,767 Foundation Health Systems Inc., Class A Shares*....... 126,136
9,900 Genzyme Corp.-General Division *...................... 445,500
94,000 Guidant Corp. ........................................ 5,358,000
16,472 HCR Manor Care........................................ 368,561
72,212 Health Managment Associates, Inc., Class A Shares..... 934,243
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Healthcare -- 21.1% (continued)
110,893 Healthsouth Corp. ................................... $ 1,289,131
12,140 Hillenbrand Industries, Inc. ........................ 508,363
32,253 Humana, Inc. ........................................ 564,428
5,900 Immunex Corp. ....................................... 834,850
60,250 IMS Health Inc. ..................................... 2,138,875
1,971 Integrated Health Services Inc. ..................... 11,703
416,456 Johnson & Johnson.................................... 35,554,931
13,282 Lincare Holdings, Inc. .............................. 473,171
125,867 Mckesson HBOC, Inc. ................................. 8,558,956
63,100 Medpartners, Inc.* .................................. 374,656
409,195 Medtronic, Inc. ..................................... 28,899,397
737,484 Merck & Co., Inc. ................................... 60,289,317
37,000 Mylan Laboratories+.................................. 1,010,563
26,300 Omnicare, Inc. ...................................... 629,556
2,759 Pacificare Health System Inc.* ...................... 199,338
625,098 Pfizer Inc. ......................................... 82,473,867
17,100 Quintiles Transnational Corp. ....................... 737,438
24,400 Quorum Health Group, Inc. ........................... 225,700
843,148 Schering Plough Corp. ............................... 47,163,591
8,300 Shared Medical Systems Corp. ........................ 423,300
14,390 St. Jude Medical, Inc. .............................. 361,549
22,200 Stryker Corp. ....................................... 1,048,950
33,600 Sybron International Corp. .......................... 825,300
43,976 Tenet Healthcare Corp.+ ............................. 865,778
18,808 Total Renal Care Holdings, Inc. ..................... 166,921
2,028 Trigon Healthcare, Inc.* ............................ 71,107
22,782 United Healthcare Corp. ............................. 1,123,437
5,630 Universial Health Services, Class B Shares........... 228,719
545,315 Warner-Lambert Co. .................................. 37,660,817
26,900 Watson Pharmaceuticals, Inc. ........................ 1,299,606
4,415 Wellpoint Health Networks, Inc.* .................... 348,233
- ------------------------------------------------------------------------------
494,671,916
- ------------------------------------------------------------------------------
Metals -- 0.0%
49,400 Freeport-McMoRan Copper & Gold, Inc., Class B
Shares............................................... 466,213
- ------------------------------------------------------------------------------
Miscellaneous -- 0.0%
18,066 Nielsen Media Research, Inc.......................... 354,545
- ------------------------------------------------------------------------------
Publishing -- 0.3%
5,600 Central Newspapers, Inc., Class A Shares............. 196,001
34,627 Chancellor Media Corp. .............................. 1,514,931
16,633 Dun & Bradstreet, Corp. ............................. 569,680
35,413 Gannett Co. ......................................... 2,248,726
7,300 Harte-Hanks Communication Inc. ...................... 188,888
5,020 McGraw-Hill Cos., Inc. .............................. 549,376
4,904 New York Times Co., Class A Shares................... 152,024
2,077 Pulitizer Publishing Co. ............................ 165,900
7,700 Readers Digest Association Inc., Non-Voting Class A
Shares............................................... 261,800
17,934 Times Mirror Corp. Class A Shares.................... 1,000,941
18,202 Tribune Co. ......................................... 1,207,020
- ------------------------------------------------------------------------------
8,055,287
- ------------------------------------------------------------------------------
Real Estate -- 0.1%
16,200 Boston Properties Inc. .............................. 523,461
22,200 Catellus Development Corp.* ......................... 320,513
9,126 Clayton Homes Inc. .................................. 112,934
2,933 Cretline Capital, Corp.*............................. 37,396
31,884 Host Marriott, Corp. ................................ 344,746
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Real Estate -- 0.1% (continued)
6,564 Lennar Corp. .......................................... $ 152,203
40,037 Meditrust Co. ......................................... 490,453
1,788 Post Properties Inc. .................................. 63,809
16,982 Starwood Financial Trust............................... 849,100
3,812 The Rouse Co. ......................................... 89,106
- --------------------------------------------------------------------------------
2,983,721
- --------------------------------------------------------------------------------
Restaurant -- 0.6%
8,264 CBRL Group, Inc. ...................................... 154,950
7,506 CKE Restaurants, Inc. ................................. 199,378
137,833 McDonald's Corp. ...................................... 11,715,805
14,800 Outback Steakhouse, Inc. .............................. 649,350
10,686 Tricon Global Resturants, Inc. ........................ 662,532
5,074 Wendy's International, Inc. ........................... 121,459
- --------------------------------------------------------------------------------
13,503,474
- --------------------------------------------------------------------------------
Retail -- 12.3%
16,487 Abercrombie & Fitch Co., Class A Shares................ 1,253,011
10,658 Albertsons, Inc. ...................................... 607,505
27,595 Amazon.Com Inc. ....................................... 3,535,608
43,707 Autozone Inc. ......................................... 1,529,745
31,800 Avery Dennison Corp. .................................. 1,707,263
77,700 Avon Products Inc. .................................... 3,234,263
13,700 Barnes & Noble Inc. ................................... 405,006
323,800 Bed Bath & Beyond Inc. ................................ 9,531,863
15,878 Best Buy Co., Inc. .................................... 1,472,685
5,314 BJ's Wholesale Club Inc. .............................. 231,491
22,500 Borders Group, Inc. ................................... 310,781
3,580 Brinker International Inc. ............................ 103,596
19,900 Cintas Corp. .......................................... 1,407,925
8,523 Circuit City Stores.................................... 462,373
34,166 Consolidated Stores Corp. ............................. 860,556
268,743 Costco Cos., Inc.+..................................... 21,583,422
372,277 CVS Corp. ............................................. 19,730,681
128,185 Dayton-Hudson Corp. ................................... 8,019,574
50,568 Dollar General Corp.+.................................. 1,513,880
13,550 Dollar Tree Stores Inc. ............................... 542,000
5,169 Ethan Allen Interiors, Inc. ........................... 232,605
40,900 Family Dollar Stores, Inc. ............................ 818,000
9,000 Fastenal Corp. ........................................ 342,000
12,294 Food Lion Inc., Class B Shares......................... 119,867
137,126 Gap, Inc. ............................................. 8,870,338
23,800 General Nutrition Co. ................................. 318,325
502 Hannaford Brothers Co. ................................ 23,594
4,454 Harcourt General Inc. ................................. 204,049
597,212 Home Depot Inc.+....................................... 35,646,091
15,748 Ikon Office Solutions Inc. ............................ 222,441
14,000 Intimate Brands Inc., Class A Shares................... 550,375
24,612 Jones Apparel Group, Inc. ............................. 687,598
314,700 Kohl's Corp. .......................................... 21,714,300
243,965 Kroger Co.+............................................ 15,781,486
41,519 Leggett & Platt, Inc. ................................. 869,304
21,452 Limited Inc. .......................................... 761,546
395,388 Lowe's Cos. ........................................... 23,451,451
3,364 Neiman Marcus Group, Inc., Class A Shares.............. 87,044
4,354 Nordstrom, Inc. ....................................... 175,249
233,913 Office Depot Inc.+ .................................... 8,347,770
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Retail -- 12.3% (continued)
17,100 Officemax Inc. ........................................ $ 132,525
1,013 Payless ShoeSource, Inc.* ............................. 55,588
3,250 Pep Boys-Manny, Moe & Jack............................. 59,313
21,947 Pier 1 Imports, Inc. .................................. 189,293
12,003 Polo Ralph Lauren Corp., Class A Shares*............... 239,310
9,457 Rexall Sundown, Inc. .................................. 135,353
29,233 Rite Aid Corp.+ ....................................... 1,209,515
15,300 Ross Stores, Inc. ..................................... 699,975
452,246 Safeway, Inc. ......................................... 26,117,207
21,809 Saks, Inc. ............................................ 783,761
7,071 Sears, Roebuck & Co. .................................. 287,259
377,775 Staples Inc. .......................................... 11,108,946
27,183 Tandy Corp. ........................................... 1,512,054
8,000 Tiffany & Co. ......................................... 457,500
100,446 TJX Cos. Inc. ......................................... 2,868,989
1,586 US Office Products Co. ................................ 7,831
7,167 Venator Group Inc. .................................... 35,387
424,181 Wal-Mart Stores, Inc................................... 36,638,634
310,230 Walgreen Co. .......................................... 9,927,360
6,967 Whole Foods Market, Inc. .............................. 215,106
9,343 Williams-Sonoma, Inc. ................................. 319,414
- --------------------------------------------------------------------------------
290,266,981
- --------------------------------------------------------------------------------
Technology -- 15.5%
7,299 Advanced Micro Devices, Inc. .......................... 130,467
25,037 Andrew Corp. .......................................... 378,685
22,000 Biogen, Inc. .......................................... 2,114,750
13,698 Cambridge Technology Partners Inc. .................... 344,162
548,903 Cisco Systems Inc. .................................... 53,689,575
11,364 Citrix Systems, Inc. .................................. 876,449
16,000 Coltec Industries Inc.* ............................... 288,000
526,863 Compaq Computer Corp. ................................. 18,571,921
22,604 CompUSA, Inc. ......................................... 237,342
128,861 Computer Associates International Inc. ................ 5,412,162
50,000 Compuware Corp. ....................................... 2,796,875
12,387 Comverse Technology, Inc. ............................. 888,767
1,548 Cordant Technologies Inc. ............................. 60,275
478,472 Dell Computer Corp.+ .................................. 38,337,569
26,500 FORE Systems, Inc. .................................... 384,250
19,859 General Instrument Corp.* ............................. 580,876
6,214 I2 Technologies Inc. .................................. 154,962
515,978 Intel Corp. ........................................... 61,885,111
36,503 International Business Machines Corp. ................. 6,205,510
9,867 J.D. Edwards & Co. .................................... 156,022
18,770 Learning Co.* ......................................... 545,503
113,800 Linear Technology Corp. ............................... 4,985,863
17,107 LSI Logic Corp. ....................................... 443,713
37,700 Maxim Integrated Products, Inc. ....................... 1,571,619
13,328 Micron Tech Inc. ...................................... 768,026
826,418 Microsoft Corp. ....................................... 124,066,002
14,300 Millipore Corp. ....................................... 398,613
12,100 National Semicoductor Corp.* .......................... 127,050
9,863 Novell Inc. ........................................... 191,096
338,534 Oracle Systems Corp. .................................. 18,915,587
14,400 Perkin-Elmer Corp. .................................... 1,364,400
25,324 Platium Technology Inc. ............................... 335,543
7,192 Policy Management Systems Corp. ....................... 262,958
16,800 Scientific-Atlanta, Inc. .............................. 544,950
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Technology -- 15.5% (continued)
28,802 Seagate Technology Inc. ............................... $ 833,458
29,189 Storage Technology Corp. .............................. 1,016,142
15,879 Sunstrand Corp. ....................................... 1,074,810
14,775 Symbol Technologies, Inc. ............................. 783,075
5,575 Thermo Instruments Systems Inc. ....................... 82,580
10,427 Uniphase Corp. ........................................ 918,879
12,978 Veritas Software Corp. ................................ 921,438
8,238 Waters Corp. .......................................... 766,649
21,100 Xilinx Inc. ........................................... 1,471,725
43,368 Yahoo, Inc. ........................................... 6,656,988
- --------------------------------------------------------------------------------
362,540,397
- --------------------------------------------------------------------------------
Telecommunications -- 6.6%
6,141 A.H. Belo Corp. ....................................... 111,303
42,900 ADC Telecommunications, Inc. .......................... 1,737,448
19,644 Advanced Fibre Communications, Inc. ................... 159,608
259,247 AirTouch Communications, Inc., Series A*............... 23,607,680
181,558 Alltel Corp. .......................................... 10,870,785
65,860 Ascend Communication Inc.* ............................ 5,067,104
29,224 Bell Atlantic Corp. ................................... 1,678,554
13,825 Cabletron Systems...................................... 112,328
3,388 Cablevision Systems, Class A Shares.................... 220,220
33,800 Ciena Corp.* .......................................... 942,175
139,192 Clear Channel Communication............................ 8,351,520
16,404 Global Telesystems Group, Inc.* ....................... 910,422
50,800 GTE Corp. ............................................. 3,295,650
13,804 Intermedia Communications, Inc. ....................... 250,198
4,161 Jacor Communications, Inc. ............................ 290,230
8,300 Level 3 Communication Inc. ............................ 464,800
3,353 LHS Group, Inc. ....................................... 144,179
507,159 Lucent Technologies Inc.+ ............................. 51,508,336
2,701 McLeod Inc., Class A Shares*........................... 103,989
49,511 MediaOne Group, Inc. .................................. 2,698,350
67,239 Motorola, Inc. ........................................ 4,723,540
18,243 Netscape Communications Corp. ......................... 1,412,692
17,175 Nextlink Communications*............................... 785,756
119,500 Nokia Corp. ADR+....................................... 16,207,188
22,948 Paging Network, Inc. .................................. 91,792
8,100 Panamsat Corp. ........................................ 290,588
32,128 Park Place Enterainment*............................... 240,960
30,572 Primedia Inc. ......................................... 406,990
15,930 Qualcomm, Inc. ........................................ 1,162,890
17,489 Qwest Communications International Inc................. 1,074,480
14,829 Reltec Corp. .......................................... 322,531
157,545 SBC Communications, Inc. .............................. 8,330,192
11,120 Snyder Communications Inc.* ........................... 380,860
7,250 Sprint Corp. .......................................... 622,141
17,925 Sprint Corp. (PCS Group)............................... 573,600
58,344 Telecom-TCI Ventures Group, Class A Shares............. 1,615,400
1,542 Teligent, Inc., Class A Shares......................... 60,620
52,100 Tellabs, Inc. ......................................... 4,171,256
7,601 Tidewater, Inc. ....................................... 142,994
2,400 United States Cellular Corp. .......................... 101,100
7,000 Univision Communications, Inc. ........................ 285,250
- --------------------------------------------------------------------------------
155,527,699
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Telephone -- 2.1%
42,774 American Telephone & Telegraph Corp. .............. $ 3,512,815
43,300 Cincinnati Bell Inc. .............................. 855,175
534,196 MCI Worldcom, Inc. ................................ 44,071,170
7,600 Telephone & Data Systems, Inc. .................... 381,900
- -------------------------------------------------------------------------------
48,821,060
- -------------------------------------------------------------------------------
Television -- 0.0%
14,849 Hearst-Argyle Television, Inc. .................... 391,642
5,318 TCA Cable TV, Inc. ................................ 234,657
- -------------------------------------------------------------------------------
626,299
- -------------------------------------------------------------------------------
Transportation -- 0.3%
900 CNF Transportation, Inc. .......................... 38,024
17,150 Comair Holdings Inc.* ............................. 645,269
3,500 FDX Corp. ......................................... 334,250
22,400 Gulfstream Aerospace Corp.* ....................... 1,002,400
48,100 Harley Davidson Inc. .............................. 2,780,781
32,972 Kansas City Southern Industries, Inc. ............. 1,541,441
15,447 Meritor Automotive Inc. ........................... 245,221
5,685 Pittston Brink's Group Inc. ....................... 139,283
3,646 USAIR Group, Inc. ................................. 172,729
- -------------------------------------------------------------------------------
6,899,398
- -------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,135,222,645)........ 2,334,035,908
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
U.S. TREASURY BILL -- 0.1%
U.S. Treasury Bill:
$900,000 4.580% due 3/25/99................................. 897,117
500,000 4.580% due 3/25/99................................. 498,491
- -------------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS (Cost -- $1,395,608)..... 1,395,608
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.4%
10,098,000 Morgan Stanley Dean Witter & Co., 4.730% due
2/1/99; Proceeds at maturity -- $10,101,980;
(Fully collateralized by U.S.Treasury Notes and
Bonds, 5.500% to 14.000% due 4/30/99 to 2/15/26;
Market value -- $10,335,084) (Cost --
$10,098,000)...................................... 10,098,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,146,716,253**) $2,345,529,516
- -------------------------------------------------------------------------------
</TABLE>
+ All or a portion of this security is on loan (See Note 12).
++ Security has been partially segregated by custodian for futures contracts
commitments.
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[PIE CHART APPEARS HERE]
Capital Goods 6.2% 6.2
Consumer Products 9.2% 9.2
Computer Services 7.3% 7.3
Financial Services 7.2% 7.2
Health Care 21.1% 21.1
Retail 12.3% 12.3
Technology 15.5% 15.5
Telecommunications 6.6% 6.6
Other Common Stocks 14.1% 14.1
U.S. Treasury Bills & Repurchase Agreement 0.5% 0.5
See Notes to Financial Statements.
52
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
STOCK -- 96.9%
- --------------------------------------------------------------------------------
Auto Parts -- 0.0%
10,100 Kaydon Corp. ............................................ $ 308,050
- --------------------------------------------------------------------------------
Banking -- 8.7%
18,806 Aames Financial Corp.+................................... 38,787
21,743 Advanta Corp., Class A Shares+........................... 254,121
7,779 AMERCO................................................... 173,083
78,300 Andover Bancorp Inc...................................... 2,349,000
37,610 Arcadia Financial Ltd.+*................................. 143,388
2,924 Area Bancshares Corp..................................... 77,851
20,800 Arm Financial Group, Inc................................. 323,700
3,539 Bancfirst Corp........................................... 117,672
4,000 Bancfirst Ohio Corp...................................... 101,750
39,632 Bancorp South Inc........................................ 666,313
18,700 BancWest Corp............................................ 732,806
19,086 Bank Plus Corp.*......................................... 83,502
313,750 BankAtlantic Bancorp, Inc., Class A Shares+.............. 2,333,516
32,298 BankAtlantic Bancorp, Inc., Class B Shares............... 254,347
15,388 Banknorth Group, Inc..................................... 411,629
10,700 BankUnited Financial Corp., Class A Shares*.............. 75,569
7,804 BOK Financial Corp.*..................................... 179,492
8,000 Brookline Bancorp Inc.................................... 93,000
400 Brylane Inc.*............................................ 8,650
6,204 BSB Bancorp.............................................. 166,733
11,128 BT Financial Corp........................................ 315,757
17,100 Building One Services Corp.*............................. 282,150
2,115 Capital City Bank Group Inc.............................. 49,306
927 The Carbide/Graphite Group, Inc.*........................ 11,240
3,600 Cathay Bancorp Inc....................................... 140,400
4,300 Charter Municipal Mortgage Acceptance Co................. 55,900
12,121 Chemical Financial Corp.................................. 374,236
10,013 Chittenden Corp.......................................... 275,358
20,838 Citizens Banking Corp. of Michigan....................... 687,654
3,900 City Holding Co.......................................... 101,888
7,376 CNA Surety Corp.......................................... 77,448
8,009 CNB Bancshares Inc....................................... 321,862
12,569 Commerce Bancorp Inc. of New Jersey...................... 559,321
184,769 Commercial Federal Corp.................................. 4,030,274
13,694 Commonwealth Bancorp Inc................................. 205,410
6,809 Community Bank System Inc................................ 178,311
6,600 Community First Bankshares............................... 128,700
9,346 Community Trust Bancorp.................................. 218,755
1,200 Contifinancial Corp.*.................................... 4,200
7,185 Corus Bancorp............................................ 236,207
21,530 Credit Acceptance Corp................................... 129,180
21,000 Cullen Frost Bankers Inc................................. 993,563
496 CVB Financial Corp....................................... 9,796
8,000 D&N Financial Corp....................................... 196,000
106,070 Dain Rauscher Corp....................................... 3,354,464
2,806 Delta Financial Corp.+*.................................. 16,310
12,834 Dime Community Banshares Inc............................. 283,150
17,428 Downey Financial Corp.................................... 354,006
8,500 DVI Inc.*................................................ 118,469
21,572 Enhance Financial Services Group......................... 510,987
8,233 F&M Bancorp Inc. of Wisconsin............................ 272,718
5,850 F&M Bancorp of Maryland.................................. 187,200
17,210 F&M National Corp........................................ 478,653
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Banking -- 8.7% (continued)
13,739 F.N.B. Bancorp, Inc., of Pennsylvania.................... $ 315,138
800 Farmers Capital Bank Corp................................ 26,750
1,100 First Charter Corp....................................... 20,556
5,205 First Citizens Bancshares Inc............................ 415,749
10,953 First Commerce Bancshares Inc. .......................... 287,516
24,947 First Commonwealth Financial............................. 537,920
12,436 First Federal Capital Corp. ............................. 170,995
7,411 First Financial Bankshares Inc........................... 239,005
5,168 First Financial Corp. of Indiana......................... 247,418
4,080 First Financial Holdings Inc............................. 75,735
8,300 First Indiana Corp....................................... 161,331
9,000 First Merchants Corp..................................... 199,125
14,514 First Midwest Bancorp Inc................................ 530,668
8,161 First Republic Bank*..................................... 196,884
17,742 First United Bancshares of Arkansas...................... 290,525
10,155 First Washington Bancorp, Inc............................ 216,428
8,588 First Western Bancorp.................................... 266,228
21,634 Flagstar Bancorp Inc..................................... 605,752
182,230 Franchise Financial Corp. of America..................... 4,009,060
4,000 Frontier Financial Corp.................................. 194,000
4,570 Fund American Enterprises Holdings, Inc.................. 600,955
4,986 GBC Bancorp.............................................. 105,953
192,100 Golden State Bancorp Inc................................. 3,421,781
14,124 Grand Premier Financial Inc.............................. 158,895
13,148 Hambrecht & Quist Inc*................................... 350,066
8,251 Hancock Holding Co....................................... 375,421
4,218 Harleysville National Corp............................... 149,739
8,200 Haven Bancorp Inc........................................ 115,825
5,900 Headlands Mortgage Co.* ................................. 111,363
103,514 Hubco Inc................................................ 3,396,553
29,900 IMC Mortgage Co.* ....................................... 12,147
22,573 Impac Mortgage Holdings Inc.............................. 129,795
17,100 Imperial Credit Industries, Inc.* ....................... 147,488
48,900 Independence Community Bank.............................. 745,725
10,400 Independent Bank Corp.................................... 156,650
4,800 International Bancshares Corp............................ 223,200
11,440 Interwest Bancorp, Inc................................... 262,405
9,728 Irwin Financial Corp..................................... 220,704
7,000 Jeffbanks Inc............................................ 145,250
3,900 Jefferson Savings Bancorp Inc............................ 54,356
6,708 JSB Financial, Inc....................................... 374,810
20,100 Lawter International Inc................................. 143,213
1,300 Mahoning National Bancorp Inc............................ 35,425
3,582 Mainstreet Bankgroup, Inc................................ 160,295
7,188 Mid America Bancorp...................................... 197,221
11,832 National Bancorp of Alaska Inc........................... 346,086
5,400 National City Bancorporation............................. 117,788
1,785 National City Bancshares................................. 53,996
2,291 National Penn Bancshares Inc............................. 59,566
9,245 NBT Bancorp Inc.......................................... 206,857
17,431 Ocwen Asset Investment Corp. ............................ 90,423
10,611 Old National Bancorp..................................... 492,085
6,450 Omega Financial Corp..................................... 199,950
30,097 One Valley Bancorp Inc................................... 978,153
11,700 Paymentech, Inc.* ....................................... 223,763
10,000 Pennsylvania Manufacturers Corp.......................... 199,375
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Banking -- 8.7% (continued)
22,100 Peoples Bancorp Inc...................................... $ 215,475
4,000 Peoples Holding Co....................................... 133,500
13,469 PFF Bancorp Inc. *....................................... 235,708
5,700 Philadelphia Consolidated Corp........................... 122,550
3,900 Pinnacle Banc Group, Inc................................. 105,544
2,500 Prime Bancshares Inc..................................... 37,188
21,547 Provident Bankshares Corp................................ 554,835
133,000 Raymond James Financial Corp............................. 2,427,250
10,561 Republic Bancorp Inc..................................... 145,214
4,400 Republic Bancshares Inc.* ............................... 78,100
4,500 Republic Banking Corp. of Florida........................ 82,969
14,259 Republic Security Financial Corp......................... 127,440
11,692 Resource Bancshares Management Group Inc................. 163,688
16,188 Riggs National Corp...................................... 299,478
3,306 S&T Bancorp Inc.......................................... 86,989
4,000 Sandy Spring Bancorp Inc................................. 112,000
5,000 Simmons First National Corp.............................. 167,813
8,650 Southwest Securities Group, Inc.......................... 249,228
5,700 Sterling Bancorp......................................... 118,275
3,200 Student Loan Corp........................................ 143,800
29,400 Susquehanna Bancshares Inc............................... 531,038
8,800 Syntroleum Corp.......................................... 58,850
2,948 Texas Regional Bancshares, Class A Shares................ 75,174
19,526 Thornburg Mortgage Asset Corp............................ 184,277
30,200 UICI *................................................... 694,600
12,856 UMB Financial Corp....................................... 564,057
18,300 Unicapital Corp.......................................... 106,369
19,958 United Bankshares, Inc................................... 481,487
23,856 United Cos. Financial Corp.+............................. 10,437
8,290 United National Bancorp.................................. 189,634
10,722 U.S. Bancorp, Inc........................................ 188,975
34,908 UST Corp................................................. 730,886
11,046 Vermont Financial Services Corp.......................... 311,359
118,000 Washington Federal Inc................................... 2,655,000
17,491 Wesbanco Inc............................................. 500,680
8,440 West Coast Bancorp of Oregon............................. 166,690
26,479 Westamerica Bancorp...................................... 887,047
10,000 Western Bancorp.......................................... 308,125
18,361 Whitney Holding Corp..................................... 601,323
2,100 Wilshire Financial Services Group Inc.* ................. 788
- --------------------------------------------------------------------------------
62,367,682
- --------------------------------------------------------------------------------
Basic Industries -- 15.1%
105,746 A.M. Castle & Co......................................... 1,440,789
10,670 Acceptance Insurance Cos. Inc.* ......................... 182,724
11,400 Adelphia Communications Corp.* .......................... 642,675
6,300 Advest Group Inc......................................... 125,213
18,095 Aftermarket Technology Corp.............................. 95,564
16,018 Albemarle Corp........................................... 378,425
21,850 Alfa Corp................................................ 365,988
19,104 AMCOL International Corp................................. 181,488
7,100 American Annuity Group, Inc.............................. 153,981
13,821 American Business Products, Inc.......................... 249,642
7,254 American Medical Security Group, Inc..................... 105,183
11,500 Anthracite Capital Inc................................... 84,094
23,600 Apogee Enterprises, Inc.................................. 206,500
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Basic Industries -- 15.1% (continued)
22,200 Aqua Alliance, Inc.* .................................... $ 31,913
60,000 Arthur J. Gallagher & Co................................. 2,865,000
32,800 Asarco Inc............................................... 463,300
65,000 Autodesk Inc.+........................................... 2,608,125
1,300 AVT Corp................................................. 33,638
26,917 Ball Corp................................................ 1,127,149
143,800 Banta Corp............................................... 3,064,738
119,882 Barnes Group Inc......................................... 2,285,251
12,600 Battle Mountain Gold Co.................................. 42,525
8,000 Boise Cascade Office Products Corp.* .................... 96,000
13,521 Brush Wellman Inc........................................ 194,364
90,203 Butler Manufacturing Co.................................. 2,040,843
299,326 Calgon Carbon Corp....................................... 1,777,248
18,342 Cambrex Corp............................................. 439,062
116,605 Caraustar Industries Inc................................. 2,988,003
16,070 Carpenter Technology Corp................................ 416,816
2,146 Centex Construction Products, Inc........................ 76,585
455,221 Charming Shoppes Inc.* .................................. 1,536,371
117,215 Chemed Corp.............................................. 3,465,168
16,225 ChemFirst Inc............................................ 308,275
16,962 Chesapeake Corp.......................................... 534,303
16,381 Clarcor Inc.............................................. 298,953
1,285 Coleman Co., Inc.* ...................................... 12,047
8,621 Commercial Intertech Corp................................ 105,607
130,838 Commercial Metal Co...................................... 2,984,742
11,568 Commonwealth Industries Inc.............................. 125,079
30,950 Corn Products International Inc.......................... 727,325
5,155 CSS Industries Inc.* .................................... 131,453
441,300 Dal-Tile International Inc............................... 4,054,444
15,200 Dames & Moore Group...................................... 150,100
16,800 Dexter Corp.............................................. 466,200
30,133 Diamond Multimedia Systems, Inc.* ....................... 210,931
7,682 Discount Auto Parts Inc.* ............................... 164,683
16,070 Donaldson Co., Inc....................................... 290,264
18,601 Eagle Hardware & Garden Inc.* ........................... 698,700
16,100 Earthshell Corp.* ....................................... 149,931
94,516 Eastern Enterprises...................................... 3,632,959
779 Elcor Corp............................................... 24,539
147,100 Ennis Business Forms, Inc................................ 1,314,706
412,000 Ethyl Corp............................................... 2,008,500
12,567 Fairchild Corp., Class A Shares.......................... 151,589
12,162 Florida Rock Industries Inc.............................. 340,536
7,405 Friedman's Inc., Class A Shares.......................... 77,753
1,772 General Binding Corp..................................... 48,287
8,529 General Chemical Group Inc............................... 131,133
20,763 Geon Co.................................................. 473,656
7,600 Getchell Gold Corp.* .................................... 197,125
7,400 Giant Cement Holding Inc.* .............................. 145,225
4,960 Gibraltar Steel Corp..................................... 99,200
152,426 Gleason Corp............................................. 2,505,502
15,512 The Great Atlantic & Pacific Tea Co...................... 489,598
5,200 Greenbrier Cos. Inc...................................... 52,000
12,558 Greif Brothers Corp...................................... 353,194
648,600 Halter Marine Group Inc.................................. 2,594,400
14,445 Hancock Fabrics Inc...................................... 100,212
39,862 Hardinge Inc............................................. 575,508
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Basic Industries -- 15.1% (continued)
82,568 Harman International Industries, Inc..................... $ 3,158,226
93,100 Harsco Corp.............................................. 2,612,619
11,122 Health Care Invest Inc. ................................. 326,709
1,900 Heartland Express, Inc.*................................. 30,638
46,344 Hecla Mining Co.*........................................ 167,997
53,526 Helig Meyers............................................. 347,919
11,700 Hollywood Entertainment Corp.*........................... 321,019
33,700 Homebase Inc............................................. 174,819
7,347 Houston Exploration Co.*................................. 113,419
10,273 IMCO Recycling Inc....................................... 129,055
7,588 Inacom Corp.+*........................................... 117,614
4,917 Input/Output Inc.*....................................... 27,658
11,400 Insituform Technologies, Inc., Class A Shares*........... 169,575
14,156 Ionics Inc.*............................................. 394,599
63,400 Ivax Corp.*.............................................. 935,150
10,800 Ivex Packaging Corp.*.................................... 163,350
140,000 Jostens Inc.............................................. 3,281,250
10,300 Journal Register Co.*.................................... 135,188
15,600 Justin Industries, Inc................................... 166,725
25,158 Kaiser Aluminum Corp.*................................... 125,790
18,005 Kirby Corp.*............................................. 306,085
1,400 Knoll Inc.*.............................................. 26,775
5,887 L.S. Starrett Co., Class A Shares........................ 175,506
16,576 Lilly Industries Inc., Class A Shares.................... 282,828
92,878 Lone Star Industries, Inc.+ ............................. 3,064,974
5,700 Lufkin Industries, Inc................................... 88,350
39,273 Ma Hanna & Co. .......................................... 432,003
6,000 Maxim Group Inc.*........................................ 108,750
3,534 Maxxam Inc.*............................................. 206,739
19,048 McClatchy Co., Class A Shares............................ 609,536
14,200 Metals USA Inc.*......................................... 129,575
28,687 Micro Warehouse Inc.*.................................... 566,568
16,652 Microage Inc.*........................................... 141,022
22,580 Mid Atlantic Medical Services, Inc....................... 176,407
32,362 Milacron, Inc. .......................................... 576,448
6,000 Miller Industries Inc.*.................................. 32,250
16,488 Minerals Technologies Inc................................ 707,954
6,149 Moog, Inc., Class A Shares*.............................. 195,999
29,081 Morrison Knudsen Corp.*.................................. 281,722
31,558 Mueller Industries Inc. ................................. 666,663
1,709 NACCO Industries, Inc., Class A Shares................... 150,392
1,840 NCH Corp................................................. 92,920
2,982 NCI Building Systems, Inc................................ 68,586
5,200 New England Business Service, Inc........................ 162,825
188,705 Newport News Shipbuilding Inc. .......................... 5,460,651
10,488 Nichols Research Corp.*.................................. 184,851
15,102 Nl Industries Inc. ...................................... 146,301
7,481 Nortek Inc............................................... 194,506
3,588 NYMAGIC Inc. ............................................ 53,147
9,600 Octel Corp.*............................................. 129,000
15,895 OM Group, Inc............................................ 461,948
4,200 Omega Protein Corp.*..................................... 25,725
6,300 Penford Corp............................................. 89,775
11,800 PETCO Animal Supplies, Inc.*............................. 95,138
28,441 Playtex Products Inc.*................................... 401,729
24,200 Polymer Group, Inc.*..................................... 243,513
</TABLE>
See Notes to Financial Statements.
57
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Basic Industries -- 15.1% (continued)
92,400 Precision Castparts Co................................... $ 3,430,350
193,371 Presidential Life Corp. ................................. 3,444,421
11,276 Quanex Corp.............................................. 197,330
19,295 Range Resources Corp.+ .................................. 37,384
9,477 Reliance Steel & Aluminum Co. ........................... 242,256
12,812 RTI International Metals, Inc.+.......................... 136,128
10,900 Rural/Metro Corp.*....................................... 97,419
131,296 Russ Berrie & Co., Inc. ................................. 3,249,576
3,300 Sauer, Inc............................................... 24,544
12,580 Scotts Co.*.............................................. 407,278
4,201 Shaw Group Inc.*......................................... 57,501
4,151 Shiloh Industries, Inc.*................................. 50,850
18,500 Shorewood Packaging Corp. ............................... 336,469
1,000 Simpson Manufacturing Co. Inc.*.......................... 35,438
6,710 Skyline Corp............................................. 196,268
22,000 Southern Peru Copper Corp................................ 217,250
3,000 Special Metals Corp.*.................................... 21,375
25,407 The Sports Authority*.................................... 163,558
14,600 Stein Mart Inc. ......................................... 133,225
4,385 Stepan Co................................................ 103,596
4,654 Sunglass Hut International Inc.*......................... 45,086
30,115 Terra Industries Inc. ................................... 148,693
8,597 Texas Industries Inc..................................... 211,701
18,700 Titanium Metals Corp.+ .................................. 132,069
11,481 TJ International Inc..................................... 248,277
20,383 Toll Brothers Inc.*...................................... 400,016
2,800 Transmontaigne, Inc.*.................................... 30,450
161,956 Universal Forest Products, Inc. ......................... 3,249,242
2,000 UTI Energy Corp.*........................................ 11,625
10,200 Valmont Industries Inc................................... 120,169
14,875 Varlen Corp. ............................................ 312,375
4,650 Watsco Inc............................................... 54,347
222,598 Wausau-Mosinee Paper Corp................................ 3,533,743
26,927 Wellman, Inc. ........................................... 250,758
12,417 Wolverine Tube Inc.*..................................... 246,788
10,900 Wyman-Gordon Co.*........................................ 87,881
30,925 Zale Corp.*.............................................. 1,024,391
- --------------------------------------------------------------------------------
108,819,331
- --------------------------------------------------------------------------------
Biotechnology -- 0.0%
10,100 NS Group, Inc.*.......................................... 39,769
21,630 Regeneron Pharmaceuticals Inc.*.......................... 167,633
3,591 Scios, Inc.*............................................. 33,217
7,900 Thermedics Inc.*......................................... 55,300
- --------------------------------------------------------------------------------
295,919
- --------------------------------------------------------------------------------
Broadcasting -- 0.2%
2,650 AFC Cable Systems Inc.*.................................. 87,781
13,065 American Tower Corp.*.................................... 350,305
6,401 Century Communications Corp.*............................ 222,035
500 Emmis Communications Corp., Class A Shares*.............. 23,156
5,143 GC Cos., Inc.*........................................... 176,791
9,616 On Command Corp.*........................................ 96,160
11,800 SFX Entertainment Inc.*.................................. 721,275
1,700 Young Broadcasting Corp., Class A Shares*................ 68,850
- --------------------------------------------------------------------------------
1,746,353
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Capital Goods -- 6.4%
12,564 A.O. Smith Corp. ........................................ $ 267,770
20,498 AAR Corp. ............................................... 310,032
12,800 ACX Technologies Inc.*................................... 159,200
151,006 Albany International Corp., Class A Shares............... 2,963,496
4,700 Allied Products Corp. ................................... 23,206
3,434 Ameron International Corp. .............................. 134,785
17,754 Applied Industrial Technologies, Inc. ................... 226,364
14,992 AptarGroup, Inc. ........................................ 410,406
2,400 Astec Industries Inc. ................................... 66,000
2,992 Bacou USA Inc.*.......................................... 62,645
15,124 Blount International Inc., Class A Share................. 390,388
1,300 Brady Corp............................................... 31,038
1,800 Briggs & Stratton Corp. ................................. 87,863
11,605 Century Aluminum Co. .................................... 63,828
13,573 Coachmen Industries Inc. ................................ 274,853
6,514 Columbus McKinnon Corp. ................................. 133,537
4,300 Curtiss-Wright Corp. .................................... 161,519
8,524 DT Industries Inc. ...................................... 93,764
15,434 Electroglas Inc.*........................................ 199,195
214,882 Exide Corp. ............................................. 3,223,230
29,325 Fedders Corp. ........................................... 161,288
80,000 Fleetwood Enterprises, Inc. ............................. 2,595,000
29,658 Flowserve Corp. ......................................... 491,211
9,117 Foamex International Inc.*............................... 87,751
383,200 Foster Wheeler Corp. .................................... 4,790,000
174,500 Gencorp Inc. ............................................ 3,500,906
19,900 Global Industrial Technologies, Inc.*.................... 177,856
5,635 Graco Inc. .............................................. 122,561
27,805 Griffon Corp.*........................................... 250,245
11,054 HB Fuller Inc. .......................................... 468,413
143,850 Hughes Supply Inc. ...................................... 2,903,972
10,909 IDEX Corp. .............................................. 259,089
36,161 Imation Corp.*........................................... 560,496
7,373 Integrated Process Equipment Corp.*...................... 82,946
17,226 JLG Industries Inc. ..................................... 242,241
25,653 John H. Harland Co. ..................................... 344,712
15,005 Juno Lighting Co. ....................................... 308,540
216,040 Kaman Corp., Class A Shares.............................. 2,916,540
17,300 Kulicke & Soffa Industries, Inc.*........................ 438,988
30,200 Lam Research Corp.*...................................... 892,788
5,278 Lawson Products, Inc. ................................... 111,168
36,122 Lincoln Electric Holding Inc. ........................... 740,501
44,542 Longview Fiber Co. ...................................... 503,881
13,923 Lydall Inc.*............................................. 132,269
5,119 The Manitowoc Co., Inc. ................................. 188,763
3,313 Mine Safety Appliances Co. .............................. 214,517
4,188 MotivePower Industries Inc. ............................. 115,432
8,777 Nordson Corp. ........................................... 522,232
9,800 Oakley Inc.*............................................. 81,463
17,538 Oakwood Homes Corp. ..................................... 282,800
4,190 Omniquip International Inc. ............................. 45,566
11,800 Regal Beloit Corp. ...................................... 230,100
9,600 Rental Service Corp.*.................................... 213,600
224,700 Roper Industries Inc. ................................... 4,971,488
5,800 Samsonite Corp.*......................................... 34,438
28,615 Schulman Inc. ........................................... 472,148
</TABLE>
See Notes to Financial Statements.
59
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Capital Goods -- 6.4% (continued)
9,420 Scotsman Industries Inc. ................................ $ 178,980
7,600 Scott Technologies Inc.*................................. 123,025
5,298 Sequa Corp., Class A Shares*............................. 249,337
5,000 Sparteck Corp. .......................................... 118,125
3,821 Speciality Equipment Cos.*............................... 101,018
3,081 Standex International Corp. ............................. 72,981
75,900 Tecumseh Products Co. ................................... 3,738,075
850 Tennant Co. ............................................. 29,803
693 Thermo Optek Corp.*...................................... 7,536
3,508 Tremont Corp. ........................................... 87,042
971 Trex Medical Corp.*...................................... 7,404
31,200 Valassis Communications, Inc. ........................... 1,497,600
7,700 Woodward Governor Co. ................................... 166,513
2,100 X-Rite Inc. ............................................. 14,700
- --------------------------------------------------------------------------------
46,131,167
- --------------------------------------------------------------------------------
Consumer Durables -- 8.1%
6,055 Aaron Rents, Inc. ....................................... 81,743
3,568 ABM Industries Inc. ..................................... 102,357
90,400 Acnielsen Corp. ......................................... 2,350,400
18,353 Arctic Cat Inc. ......................................... 142,236
5,967 Authentic Fitness Corp.*................................. 93,980
20,200 Avis Rent A Car, Inc. ................................... 463,338
10,936 Bassett Furniture Industries, Inc. ...................... 235,124
1,754 Berlitz International, Inc. ............................. 43,521
5,500 Blair Corp. ............................................. 105,531
35,257 Bob Evans Farms, Inc. ................................... 760,229
1,500 Borg-Warner Security Corp.*.............................. 27,281
49,616 Burlington Industries Inc.*.............................. 306,999
5,359 Bush Boake Allen Inc.*................................... 171,153
6,606 Bush Industries Inc., Class A Shares..................... 69,363
16,900 Cavalier Homes Inc. ..................................... 169,000
146,100 CDI Corp.*............................................... 3,305,513
332,000 Chiquita Brands International Inc. ...................... 2,863,500
10,476 CN Galey & Lord Inc.*.................................... 49,106
43,810 Collins & Aikman Corp. .................................. 221,788
20,179 Cone Mills Corp.*........................................ 98,373
1,752 Cort Business Services Corp.*............................ 29,018
6,926 Culp Inc. ............................................... 43,720
17,500 Dan River Inc., Class A Shares*.......................... 114,844
8,146 Department 56 Inc.*...................................... 270,345
35,088 Earthgrains Co. ......................................... 861,849
197,209 Enesco Group Inc. ....................................... 3,266,274
18,676 Franklin Convey Co.*..................................... 222,945
2,400 G&K Services Inc., Class A Shares........................ 119,700
184,791 Guilford Mills Inc. ..................................... 2,286,789
135,200 Haverty Furniture Cos., Inc. ............................ 3,042,000
9,450 Hussmann International Inc. ............................. 133,481
14,400 Imperial Sugar Co. ...................................... 103,500
16,190 Interface Inc. .......................................... 154,311
13,084 Interim Services Inc.*................................... 248,596
14,700 International Multifoods Corp. .......................... 317,888
22,510 J.M Smucker Co. ......................................... 534,613
19,193 Kellwood Co. ............................................ 490,621
30,900 Kemet Corp.*............................................. 339,900
191,571 La-Z-Boy Inc. ........................................... 3,568,010
5,310 Lands End Inc.*.......................................... 160,960
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Durables -- 8.1% (continued)
239,486 Luby's, Inc. ............................................ $ 3,397,708
50,093 Medaphis Corp.*.......................................... 162,802
147,685 Michael Foods Inc. ...................................... 2,732,173
2,200 Midas Inc. .............................................. 69,575
9,009 Mikasa Inc. ............................................. 88,401
7,000 Monaco Coach Corp. ...................................... 217,875
145,000 Nash Finch Co. .......................................... 1,196,250
5,905 National Presto Industries Inc. ......................... 218,485
6,783 National Processing Inc.*................................ 41,122
169,400 Norrell Corp. ........................................... 2,689,225
12,776 O'Sullivan Industries Holdings, Inc.*.................... 134,148
57,000 Olsten Corp. ............................................ 352,688
1,776 Oneida Ltd. ............................................. 24,864
6,031 Oxford Industries Inc. .................................. 140,221
22,581 P.H. Glatfelter Co. ..................................... 241,334
10,428 Performance Food Group Co.*.............................. 271,128
17,359 Phillips-Van Heusen Corp................................. 105,239
10,520 Phymatrix Inc.*.......................................... 19,068
2,427 Pilgrims Pride Corp., Class B Shares..................... 46,265
114,920 Pillowtex Corp. ......................................... 2,786,810
25,200 Potlatch Corp. .......................................... 874,125
8,150 Quaker Fabric Corp. ..................................... 32,600
3,462 Quiksilver Inc. ......................................... 117,492
24,300 Rayonier Timberlands L.P. ............................... 994,781
10,205 Rock Tenn Co., Class A Shares............................ 176,036
33,200 Ryan's Family Steak Houses, Inc. ........................ 377,650
333 Seaboard Corp. .......................................... 121,545
2,900 Sitel Corp.*............................................. 8,519
9,076 Springs Industries, Inc. ................................ 301,777
8,089 Standard Motor Products, Inc. ........................... 173,408
11,617 Standard Register Co. ................................... 336,167
294,000 Sturm Ruger & Co., Inc. ................................. 2,756,250
1,300 Sunterra Corp.+ ......................................... 15,925
16,695 Superior Industries International, Inc. ................. 413,201
1,900 Sylvan Learning Systems Inc.+ ........................... 63,175
13,560 Thomas Industries Inc. .................................. 231,368
41,263 Thor Industries Inc. .................................... 1,021,259
11,119 Toro Co. ................................................ 332,180
36,298 Tower Automotive Inc.+ .................................. 676,050
7,047 UNI First Corp. ......................................... 158,558
164,700 Universal Foods Corp. ................................... 3,736,631
182,000 Vlasic Foods International Inc.*......................... 2,218,125
6,200 Volt Information Sciences Inc.*.......................... 115,863
2,115 Wackenhut Corp. ......................................... 47,852
- --------------------------------------------------------------------------------
58,205,817
- --------------------------------------------------------------------------------
Consumer Goods -- 0.0%
5,867 ASA Holdings Inc.*....................................... 196,911
- --------------------------------------------------------------------------------
Consumer Non-Durables -- 2.9%
30,465 Adolph Coors Co., Class B Shares*........................ 1,814,572
14,200 Aviall, Inc.*............................................ 196,138
40,301 Aztar Corp. ............................................. 196,467
16,028 Brown Group, Inc.*....................................... 155,271
1,509 Buckle Inc. ............................................. 36,876
13,600 Canadaigua Brands Inc., Class A Shares*.................. 725,900
6,600 Carmike Cinemas Inc., Class A Shares*.................... 103,950
</TABLE>
See Notes to Financial Statements.
61
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Non-Durables -- 2.9% (continued)
1,300 Championship Auto Racing Teams Inc. ..................... $ 36,238
13,195 Church & Dwight Co., Inc. ............................... 550,891
1,106 Coca Cola Bottling Co. .................................. 61,936
2,900 Columbia Sportswear Co.*................................. 34,800
28,973 D.R. Horton, Inc. ....................................... 461,757
835 Farmer Brothers Co. ..................................... 151,970
34,234 Fleming Cos. Inc. ....................................... 252,476
23,122 Florida Panthers Holdings, Inc.*......................... 235,555
17,529 Footstar Inc.*........................................... 446,990
1,400 Forest City Enterprises Inc., Class A Shares............. 30,100
17,033 Gaylord Entertainment Co. ............................... 424,760
16,762 Granite Construction Inc. ............................... 411,717
9,700 GTECH Holdings Corp.*.................................... 219,463
2,414 Guess ?, Inc.*........................................... 16,596
28,115 Handleman Co.*........................................... 363,738
23,900 Hartmarx Corp.*.......................................... 103,069
17,409 Hollywood Park Inc.*..................................... 154,505
3,708 Houghton Mifflin Co. .................................... 159,444
7,189 Ingles Markets Inc., Class A Shares...................... 85,819
18,541 Jacobs Engineering Group Inc.*........................... 733,528
10,945 K2 Inc. ................................................. 96,453
209,946 Kimball International Inc., Class B Shares............... 3,411,623
73,700 Merisel Inc.*............................................ 124,369
19,909 Northwestern Corp. ...................................... 479,060
11,800 OEA Inc. ................................................ 131,275
2,900 Penske Motorsports Inc.*................................. 93,163
38,282 Riviana Foods, Inc. ..................................... 823,063
7,262 Robert Mondavi Corp., Class A Shares*.................... 249,631
2,359 Schweitzer Mauduit International Inc. ................... 27,718
7,600 Scientific Games Holdings Inc.*.......................... 132,525
10,900 Sovran Self Storage Inc. ................................ 254,788
339,300 Stride Rite Corp. ....................................... 3,499,031
25,886 TCI Satellite Entertainment, Class A Shares*............. 21,032
7,400 United Stationers Inc. .................................. 135,513
107,500 Universal Corp. of Virginia.............................. 2,922,656
2,300 USA Floral Products Inc. ................................ 32,200
17,935 W.R. Berkley Corp. ...................................... 513,389
- --------------------------------------------------------------------------------
21,112,015
- --------------------------------------------------------------------------------
Consumer Services -- 2.9%
1,400 Ackerley Group Inc. ..................................... 25,200
2,815 Advo Inc.*............................................... 56,300
4,324 AMC Entertaiment Inc.*................................... 75,130
3,100 Anicom Inc.*............................................. 21,506
3,300 BA Merchant Services, Inc.*.............................. 67,238
175,524 Bowne & Co. Inc. ........................................ 2,446,366
8,657 Checkpoint Systems Inc.*................................. 75,749
7,800 CPI Corp. ............................................... 170,625
27,900 Extended Stay America Inc.*.............................. 244,125
43,266 Fingerhut Cos., Inc.*.................................... 1,062,721
14,900 Gibson Greeting, Inc.*................................... 123,391
50,648 Glenayre Technologies, Inc.*............................. 178,851
1,376 Healthplan Services Corp. ............................... 11,610
126,851 HSB Group Inc. .......................................... 4,693,487
2,200 IRI International Corp.*................................. 6,875
108,500 Kelly Services Inc., Class A Shares...................... 2,766,750
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Services -- 2.9% (continued)
192,100 Merrill Corp. ........................................... $ 3,217,675
35,400 Metromedia International Group Inc.*..................... 205,763
8,110 MS Carriers Inc.*........................................ 218,970
8,218 Personnel Group of America Inc. ......................... 108,374
6,770 Pinkertons Inc.*......................................... 193,791
9,422 Polaris Industries Inc. ................................. 266,172
13,386 Powertel Inc.*........................................... 174,018
37,141 Prime Retail Inc. ....................................... 297,128
2,000 Republic Group........................................... 30,375
24,038 Ruby Tuesday Inc. ....................................... 447,708
27,200 Russell Corp. ........................................... 530,400
25,107 Safety-Kleen Corp. ...................................... 349,929
10,536 Silgan Holding Inc.*..................................... 233,768
1,400 SOS Staffing Services*................................... 12,425
7,993 Station Casinos Inc.*.................................... 79,930
5,700 Stewart Info Services Corp. ............................. 189,881
7,600 Syms Corp.*.............................................. 60,325
5,144 Tanger Factory Outlet Center, Inc. ...................... 102,559
2,000 USN Communications Inc.+*................................ 1,000
25,676 Werner Enterprises Inc. ................................. 458,959
11,200 Wisconsin Central Transportation Corp.+*................. 154,000
32,628 World Color Press Inc.*.................................. 809,582
13,271 Xtra Corp. .............................................. 529,181
- --------------------------------------------------------------------------------
20,697,837
- --------------------------------------------------------------------------------
Distribution -- 0.0%
7,857 VWR Scientific Products Corp.*........................... 182,184
- --------------------------------------------------------------------------------
Energy -- 4.8%
5,787 Aquila Gas Pipeline Corp. ............................... 50,636
2,000 Barrett Resources Corp.*................................. 32,875
17,368 Benton Oil & Gas Co.*.................................... 53,190
5,900 Berry Petroleum Co. ..................................... 57,525
122,250 C&D Technology Inc. ..................................... 2,934,000
13,929 Cabot Oil & Gas Corp. ................................... 152,348
49,573 Chesapeake Energy Corp.+ ................................ 34,081
15,300 CHS Electronics, Inc.+*.................................. 107,100
8,880 Comstock Resources Inc.*................................. 24,975
8,100 Cross Timbers Oil Co. ................................... 43,031
7,232 Daniel Industries, Inc. ................................. 76,840
19,834 Devon Energy Corp. ...................................... 464,859
118,676 Equitable Resources Inc. ................................ 3,070,742
15,200 Forcenergy Inc.*......................................... 13,300
26,565 Forest Oil Corp.*........................................ 169,352
2,200 Hanover Compressor Co.*.................................. 48,125
197,500 Helmerich & Payne Inc. .................................. 3,221,719
5,396 Holly Corp. ............................................. 67,787
11,200 Horizon Offshore Inc.*................................... 63,700
15,429 HS Resources Inc.*....................................... 89,681
22,500 KCS Energy Inc. ......................................... 29,531
7,300 Key Energy Services, Inc.*............................... 26,919
8,900 Lone Star Technologies Inc.*............................. 115,144
15,447 Louis Dreyfus Natural Gas Corp.*......................... 184,399
31,742 Meridian Resource Corp.*................................. 65,468
4,800 Mitchell Energy & Development, Class A Shares............ 53,400
219,500 Mitchell Energy & Development, Class B Shares............ 2,688,875
</TABLE>
See Notes to Financial Statements.
63
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Energy -- 4.8% (continued)
240,600 Nabors Industries Inc.*.................................. $ 2,766,900
65,000 National Fuel Gas Co..................................... 2,620,313
16,768 Nuevo Energy Co.*........................................ 117,376
8,429 Oceaneering International Inc.*.......................... 84,290
19,718 Offshore Logistics Inc.*................................. 171,916
55,195 Parker Drilling Co.*..................................... 137,988
5,900 Patterson Energy Inc..................................... 16,594
129,400 Penn Virginia Corp....................................... 2,385,813
6,400 PLD Telekom Inc.*........................................ 12,000
13,500 Pogo Producing Co........................................ 124,875
19,202 Pool Energy Services Co.*................................ 195,020
44,400 Pride Interntional Inc................................... 222,000
132,190 Rochester Gas & Electric Corp............................ 3,453,464
4,476 RPC, Inc.*............................................... 27,416
85,600 Santa Fe Energy Resources, Inc.*......................... 449,400
56,500 Seagull Energy Corp.*.................................... 268,375
20,100 Seitel Inc.*............................................. 192,207
273,532 Snyder Oil Corp. ........................................ 2,854,990
9,800 St. Mary Land & Exploration Co........................... 153,125
6,200 Swift Energy Co.*........................................ 37,200
28,612 Tesoro Petroleum Corp.*.................................. 228,896
33,398 Titan Exploration Inc.*.................................. 155,510
248,800 UNOVA Inc.*.............................................. 3,607,600
29,102 Vintage Petroleum Inc.................................... 129,140
20,283 Western Gas Resources Inc................................ 100,147
14,400 Zapata Corp.............................................. 138,600
- --------------------------------------------------------------------------------
34,590,757
- --------------------------------------------------------------------------------
Financial Services -- 6.4%
1,900 Affiliated Managers Group, Inc.*......................... 49,400
25,689 Amcore Financial Inc..................................... 599,678
14,390 American Heritage Life Investment Corp................... 316,580
5,800 Amerin Co.*.............................................. 125,425
153,524 Amerus Life Holdings Inc., Class A Shares................ 3,224,004
15,496 Argonaut Group Inc.+ .................................... 384,495
10,700 Baldwin & Lyons, Inc..................................... 224,031
10,750 Bandag Corp.............................................. 340,641
86,300 Bandag Corp., Class A Shares............................. 2,319,313
15,800 Bay View Capital Corp.*.................................. 315,013
19,600 Capital Re Corp. ........................................ 328,300
7,504 Capitol Transamerica Corp. .............................. 116,312
19,400 Carolina First Corp...................................... 400,125
7,358 Chartwell Re Corp........................................ 159,117
9,400 Chicago Title Corp....................................... 329,588
9,341 CMAC Investment Corp.+ .................................. 385,900
21,845 Commerce Group Inc. ..................................... 584,354
12,663 Delphi Financial Group Inc., Class A Shares+ ............ 607,033
3,038 E.W. Blanch Holdings Inc. ............................... 168,609
7,128 Everen Capital Corp. .................................... 153,252
7,900 Executive Risk Inc....................................... 554,975
26,684 FBL Financial Group Inc.................................. 535,348
25,900 Federal Signal Corp.+ ................................... 607,031
975 Financial Federal Corp.*................................. 19,195
3,555 First American Financial Corp............................ 83,320
4,800 First City Financial Corp.+*............................. 57,900
8,300 First Liberty Financial Corp............................. 162,888
17,700 Firstfed Financial Corp. ................................ 299,794
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Financial Services -- 6.4% (continued)
14,183 Foremost Corp............................................ $ 273,023
4,600 FPIC Insurance Group Inc.*............................... 199,525
9,600 Freedom Securities Corp.................................. 146,400
26,604 Frontier Insurance Group Inc............................. 349,178
8,422 Guarantee Life Co., Inc.................................. 148,964
10,500 Harleysville Group Inc.*................................. 215,250
195,200 HCC Insurance Holdings Inc............................... 3,391,600
9,836 Highlands Insurance Group, Inc.*......................... 133,401
8,000 Hilb, Rogal, & Hamilton Co............................... 138,500
3,184 Kansas City Life Insurance Co............................ 263,476
13,100 LandAmerica Financial Group, Inc.*....................... 470,781
9,698 Liberty Corp............................................. 489,143
379,400 Life USA Holding Inc..................................... 4,339,388
13,000 Local Financial Corp.*................................... 131,625
22,209 MAF Bancorp Inc.......................................... 522,606
3,026 Markel Corp.*............................................ 544,680
135,700 McGrath Rent Corp........................................ 2,544,375
3,770 Meadowbrook Insurance Group. Inc......................... 61,734
20,813 Medical Assurance Inc.................................... 616,585
4,200 Midland Co............................................... 100,275
14,260 MMI Cos., Inc............................................ 212,118
12,781 NAC Re Corp.............................................. 690,973
9,798 Ocean Financial Corp..................................... 145,745
90,000 Orion Capital Corp....................................... 2,975,625
7,200 PBOC Holdings, Inc.*..................................... 69,300
4,102 PEC Israel Economic Corp.*............................... 120,240
5,193 Penn Treaty American Corp.*.............................. 125,606
23,651 Penncorp Financial Group Inc.*........................... 16,260
38,990 Phoenix Investment Partners, Ltd......................... 289,988
18,526 Primark Corp.*........................................... 378,625
109,994 PXRE Corp................................................ 2,406,119
8,582 Queens County Bancorp Inc................................ 249,414
17,848 Reinsurance Group of America............................. 1,150,081
7,592 Reliance Bancorp Inc..................................... 232,505
17,200 Richmond County Financial Corp. ......................... 265,525
6,712 RLI Corp................................................. 197,585
35,432 Roslyn Bancorp Inc....................................... 577,985
11,044 SCPIE Holdings Inc....................................... 328,559
173,474 Selective Insurance Group Inc............................ 3,160,479
35,897 St. Paul Bancorp Inc..................................... 785,247
27,300 Staten Island Bancorp Inc................................ 487,988
38,400 TIG Holdings Inc.*....................................... 614,400
9,280 Trenwick Group Inc....................................... 269,120
1,120 Triad Guaranty Inc.*..................................... 20,720
6,151 United Fire & Casualty Co................................ 177,610
10,904 Vesta Insurance Group Inc. .............................. 57,928
33,110 Webster Financial Corp. ................................. 1,011,924
1,900 West Marine, Inc.*....................................... 17,931
8,455 Westcorp................................................. 69,754
789 WSFS Financial Corp...................................... 12,180
8,815 Zenith National Insurance Corp. ......................... 203,296
- --------------------------------------------------------------------------------
45,852,960
- --------------------------------------------------------------------------------
Healthcare -- 3.5%
6,200 Acuson Corp.*............................................ 93,000
3,700 ADAC Laboratories*....................................... 66,138
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Healthcare -- 3.5% (continued)
14,836 Alpharma, Inc. .......................................... $ 561,914
199,804 American Health Properties, Inc.......................... 3,808,764
10,194 American Homepatient Inc.*............................... 24,848
13,139 American Oncology Resources, Inc.*....................... 131,390
5,100 Ameripath Inc.*.......................................... 47,494
33,533 Apria Healthcare Group Inc.*............................. 299,701
124,716 Arrow International Inc. ................................ 3,063,337
17,200 Axys Pharmaceutical Inc.*................................ 79,550
2,400 Ballard Medical Products................................. 57,450
14,020 Bindley Western Industries Inc........................... 368,901
8,261 Bio-Rad Laboratories, Inc.*.............................. 165,220
12,740 Block Drug Co............................................ 496,860
200,400 Brown Group Inc.......................................... 3,131,250
19,600 Carter-Wallace Inc....................................... 320,950
7,100 Centennial Healthcare Corp.*............................. 102,506
4,768 Cephalon Inc.*........................................... 36,654
20,824 Coherent Inc............................................. 311,059
12,779 Conmed Corp.*............................................ 394,552
10,638 Datascope Corp.*......................................... 277,918
10,784 Deltic Timber Corp....................................... 257,468
8,999 Diagnostic Products Corp. ............................... 238,474
29,600 Genesis Health Ventures Inc.*............................ 162,800
2,141 Gilead Sciences Inc.*.................................... 88,316
14,500 Guilford Pharmaceuticals Inc.*........................... 183,969
20,705 Haemonetics Corp.*....................................... 345,515
1,200 Hanger Orthopedic Group, Inc.*........................... 18,225
4,800 Herbalife International Inc., Class A Shares............. 64,200
6,500 Hologic Inc.*............................................ 65,406
147,206 Invacare Corp.+.......................................... 3,496,143
42,991 Laboratory Corp. of America Holdings*...................* 77,921
33,197 Mariner Post-Acute Network, Inc.*........................ 72,618
12,300 Maxxim Medical Inc.*..................................... 279,825
34,610 Meristar Hospitality Corp. .............................. 616,491
18,812 National Health Investors................................ 479,706
3,700 NCS Healthcare Inc.*..................................... 52,494
8,948 Neurogen Corp.*.......................................... 106,258
56,198 Novacare Inc.*........................................... 119,421
1,979 OEC Medical Systems Inc.*................................ 49,351
17,740 Omega Healthcare Inc. ................................... 410,238
8,466 Owens & Minor, Inc....................................... 107,942
54,982 Perrigo Co.*............................................. 460,474
22,037 Pharmerica Inc.*......................................... 123,958
30,000 Phycor Inc.*............................................. 163,125
9,954 PSS World Medical Inc.*.................................. 113,227
24,852 Quest Diagnostics Inc.*.................................. 531,212
8,200 Respironics Inc.*........................................ 105,063
22,773 Roberts Pharmaceutical Corp.*............................ 515,239
20,133 Sierra Health Services, Inc. ............................ 289,412
4,700 Sola International Inc.*................................. 50,525
41,871 Sun Healthcare Group, Inc.+*............................. 57,573
17,217 Sunrise Medical Inc.*.................................... 124,823
53,500 Vencor Inc. ............................................. 100,313
48,400 Ventas Inc. ............................................. 390,225
14,900 Vertex Pharmaceuticals*.................................. 350,150
4,956 Veterinary Centers of America, Inc.*..................... 74,340
1,386 Vital Signs Inc.......................................... 24,515
</TABLE>
See Notes to Financial Statements.
66
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Healthcare -- 3.5% (continued)
28,300 Vivus Inc.+ *............................................ $ 73,403
11,088 West Pharmaceutical Services, Inc........................ 366,597
7,650 Xomed Surgical Products Inc.............................. 278,269
- --------------------------------------------------------------------------------
25,324,680
- --------------------------------------------------------------------------------
Pet Products -- 0.0%
5,432 Agribrands International, Inc.*.......................... 168,392
- --------------------------------------------------------------------------------
Publishing -- 1.4%
91,800 Central Newspapers, Inc. ................................ 3,213,000
259,700 Hollinger International Inc.............................. 3,213,788
180,000 R.H. Donnelley Corp.*.................................... 2,700,000
11,510 Scholastic Corp.+ *...................................... 566,868
- --------------------------------------------------------------------------------
9,693,656
- --------------------------------------------------------------------------------
Publishing & Printing -- 0.5%
116,200 Lee Enterprises, Inc..................................... 3,210,025
- --------------------------------------------------------------------------------
Real Estate -- 9.4%
34,600 Alexander & Baldwin, Inc................................. 683,350
8,550 Alexandria Real Estate................................... 250,088
6,700 American Retirement Corp.*............................... 106,781
12,110 Amli Residential Properties Trust........................ 241,443
5,100 Assisted Living Concepts Inc.*........................... 24,225
9,000 Associated Estates Realty Corp........................... 93,938
5,200 Avatar Holdings Inc.*.................................... 99,775
20,055 Bedford Property Investors, Inc.......................... 318,373
31,600 Berkshire Realty Co...................................... 300,200
13,119 Boykin Lodging Co........................................ 173,007
20,376 Bradley Real Estate Inc.................................. 389,691
29,800 Brandywine Realty Trust.................................. 489,838
37,513 BRE Properties, Class A Shares........................... 909,690
28,800 Burnham Pacific Property Inc............................. 289,800
14,900 Cabot Industrial Trust................................... 283,100
38,877 Camden Property Trust.................................... 952,487
14,500 Capital Automotive REIT.................................. 172,188
53,744 Capstead Mortgage Corp................................... 265,361
11,737 Castle & Cooke Inc.*..................................... 181,924
20,296 CBL & Associates Properties.............................. 506,132
15,296 Centerpoint Properties Corp.............................. 490,428
22,400 Centertrust Retail Properties, Inc....................... 222,600
7,000 Central Garden & Pet Co.*................................ 119,000
18,445 Chateau Communities Inc.................................. 519,918
13,230 Chelsea GCA Realty, Inc.................................. 404,342
22,000 Colonial Properties Trust................................ 540,375
24,879 Commercial Net Lease Realty, Inc......................... 307,878
34,800 Cornerstone Realty Income Trust, Inc.*................... 332,775
3,333 Cousins Properties Inc................................... 96,449
2,000 Crescent Operating Inc.*................................. 7,063
43,716 CRIMMI MAE, Inc. of Maryland+ ........................... 128,416
20,708 Crown American Realty.................................... 154,016
12,616 Del E. Webb Corp......................................... 283,860
50,000 Developers Divers Realty Corp............................ 793,750
37,551 Dynex Capital Inc........................................ 117,347
14,702 EastGroup Properties, Inc................................ 257,285
12,300 Entertainment Properties Trust........................... 210,638
32,459 Equity Inns Inc.......................................... 306,332
13,080 Essex Property Trust Inc. ............................... 369,510
</TABLE>
See Notes to Financial Statements.
67
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Real Estate -- 9.4% (continued)
34,448 Federal Realty Investors Trust........................... $ 760,009
48,120 Felcor Lodging Trust, Inc................................ 1,136,835
32,369 First Industrial Realty Trust............................ 837,548
24,126 First Union Real Estate Investments...................... 99,520
22,686 Gables Residential Trust................................. 524,614
19,900 General Growth Properties, Inc........................... 671,625
28,394 Glenborough Realty Trust Inc............................. 512,867
216,100 Glimcher Realty Trust.................................... 3,200,981
7,150 Golf Trust of America Inc................................ 172,494
14,520 Great Lakes REIT Inc. ................................... 219,615
24,346 Health Care REIT Inc. ................................... 564,523
34,970 Healthcare Realty Trust, Inc............................. 677,544
14,352 Home Properties of New York, Inc......................... 352,521
14,008 Homestead Village Inc.*.................................. 48,153
31,356 Hospitality Properties Inc............................... 807,417
10,947 Host Marriott Services Corp.*............................ 76,629
28,200 Imperial Credit Commercial............................... 255,563
303,001 Innkeepers USA Trust..................................... 3,143,635
6,188 Insignia Financial Group, Inc.*.......................... 80,831
27,800 IRT Property Co.......................................... 251,938
5,500 Irvine Apartment Communities, Inc........................ 180,813
29,030 JDN Realty Corp.......................................... 609,630
11,800 JP Realty Inc............................................ 218,300
34,868 Kaufman & Broad Home Corp.+ ............................. 784,530
24,106 Kilroy Realty Corp....................................... 519,786
23,681 Kroger Equity Inc........................................ 324,134
9,900 Lasalle Hotel Properties................................. 118,181
15,300 Laser Mortgage Management Inc. .......................... 71,719
106,000 Lennar Corp.............................................. 2,457,875
15,400 Lexington Corporate Properties, Inc. .................... 180,950
23,307 LNR Property Corp........................................ 428,266
19,800 Lodgian, Inc.*........................................... 80,438
24,683 LTC Properties Inc....................................... 308,538
18,500 Manufactured Home Communities, Inc....................... 430,125
20,148 Marcus Corp.............................................. 261,924
141,700 MDC Holdings Inc......................................... 2,524,031
28,071 Meridian Industrial Trust*............................... 673,704
12,400 MGI Properties Inc....................................... 347,975
15,700 Mid-American Apartment Communities, Inc.................. 349,325
131,273 National Golf Properties, Inc............................ 3,298,234
37,452 Nationwide Health Properties, Inc........................ 674,136
225,350 New Plan Excel Realty Trust, Inc......................... 4,676,013
6,600 NVR Inc.*................................................ 283,800
15,114 Pacific Gulf Properties Inc.............................. 304,169
9,000 Pan Pacific Retail Properties Inc........................ 167,063
8,700 Parkway Properties Inc. of Maryland...................... 229,462
33,122 Prentiss Properties Trust................................ 662,440
6,053 Price Enterprises Inc.................................... 30,265
4,300 Prime Group Realty Trust................................. 59,125
28,552 Prime Hospitality Corp.*................................. 292,658
83,100 Prison Realty Corp....................................... 1,656,806
20,500 PS Business Parks Inc.................................... 474,063
20,674 Pulte Corp.+ ............................................ 497,468
23,821 Realty Income Corp....................................... 519,596
34,500 Reckson Associates Realty Corp........................... 733,125
22,556 Red Roof Inns, Inc.*..................................... 305,916
</TABLE>
See Notes to Financial Statements.
68
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Real Estate -- 9.4% (continued)
7,500 Redwood Trust Inc........................................ $ 105,938
12,488 Regency Realty Corp. .................................... 252,882
18,600 RFS Hotel Investors, Inc. ............................... 217,388
13,349 Ryland Group Inc......................................... 340,400
16,100 Security Capital Group Inc., Class B Shares*............. 197,225
48,779 Shurgard Storage Centers, Inc............................ 1,207,280
21,100 Sl Green Realty Corp. *.................................. 407,494
9,133 Standard-Pacific Corp.................................... 113,021
13,057 Storage Trust Realty USA................................. 280,726
24,588 Storage USA Inc.......................................... 696,148
5,740 Suburban Lodges of America, Inc.*........................ 44,485
19,014 Summit Properties Inc.................................... 314,919
15,226 Sun Communities Inc. .................................... 478,667
33,255 Sunstone Hotel Investors Inc. ........................... 266,040
34,700 Taubman Centers Inc...................................... 431,581
15,000 Tower Realty Trust Inc................................... 292,500
130,255 TriNet Corporate Realty Trust, Inc. ..................... 3,280,798
376,800 United Dominion Realty Trust............................. 3,720,900
11,500 US Home Corp............................................. 396,750
10,800 US Restaurant Properties................................. 218,700
15,085 Walden Residential Properties, Inc....................... 251,731
25,794 Walter Industries, Inc. *................................ 315,977
26,163 Washington REIT.......................................... 430,054
17,621 Weeks Corp............................................... 475,767
4,100 Weingarten Realty Investors.............................. 171,944
15,000 Wellsford Real Properties Inc.*.......................... 142,500
15,300 Western Invest Real Estate Trust......................... 169,256
- --------------------------------------------------------------------------------
67,743,889
- --------------------------------------------------------------------------------
Recreation -- 0.0%
15,900 Vail Resorts, Inc.+ ..................................... 274,275
- --------------------------------------------------------------------------------
Restaurants -- 0.7%
59,400 Applebee's International Inc. ........................... 1,540,688
5,000 Avado Brands, Inc........................................ 34,063
28,263 Buffets Inc.* ........................................... 284,396
1,200 The Cheesecake Factory Inc. ............................. 24,600
1,607 First Sentinel Bancorp, Inc. ............................ 13,660
8,051 IHOP Corp*............................................... 329,085
7,938 Landry's Seafood Restaurants, Inc.*...................... 54,078
31,539 Lone Star Steakhouse & Saloon, Inc. *.................... 285,822
91,543 Sbarro Inc.*............................................. 2,311,461
5,390 Sonic Corp............................................... 129,360
- --------------------------------------------------------------------------------
5,007,213
- --------------------------------------------------------------------------------
Retail -- 0.7%
13,100 Ames Department Stores Inc. *............................ 393,000
16,539 AnnTaylor Stores Corp.+* ................................ 625,381
14,600 Cato Corp................................................ 138,700
21,344 Compucom Systems Inc. *.................................. 92,713
56,300 Corporate Express Inc. *................................. 302,613
11,134 Donna Karan International, Inc.*......................... 69,588
8,500 Duane Reade Inc.*........................................ 257,125
5,200 Elder-Beerman Stores Corp.* ............................. 41,113
2,200 Fred's Inc............................................... 30,800
1,400 Garden Ridge Corp.*...................................... 8,313
4,200 Genesis Direct, Inc.* ................................... 16,538
</TABLE>
See Notes to Financial Statements.
69
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Retail -- 0.7% (continued)
60,800 Gensia Sicor Inc.*....................................... $ 281,200
10,100 Gymboree Corp. *......................................... 106,050
2,000 Just For Feet Inc.+*..................................... 20,438
26,568 Longs Drugs Stores Corp. ................................ 961,430
11,015 Michaels Stores Inc...................................... 188,631
5,500 Movado Group, Inc. ...................................... 117,563
24,321 Ruddick Corp............................................. 448,418
83,400 Southland Corp.*......................................... 138,131
9,646 Talbot's, Inc............................................ 233,313
1,200 Urban Outfitters Inc.*................................... 14,700
8,700 Urban Shopping Centers Inc............................... 261,000
11,243 Value City Department Stores, Inc. *..................... 132,105
- --------------------------------------------------------------------------------
4,878,863
- --------------------------------------------------------------------------------
Retail -- Specialty Apparel -- 0.9%
217,380 Burlington Coat Factory Warehouse Corp................... 2,798,768
127,200 Claire's Stores Inc. .................................... 2,806,350
14,900 Dress Barn Inc. *........................................ 193,700
15,000 Jo-Ann Stores Inc., Class A Shares*...................... 198,750
20,600 Nine West Group Inc.*.................................... 462,213
26,338 Spiegel Inc.*............................................ 187,658
- --------------------------------------------------------------------------------
6,647,439
- --------------------------------------------------------------------------------
Retail -- Food Chains -- 0.0%
15,000 Advantica Restaurant Group, Inc.*........................ 75,000
9,035 Smart & Final Inc........................................ 79,621
- --------------------------------------------------------------------------------
154,621
- --------------------------------------------------------------------------------
Retail -- Mail Order/General -- 0.1%
19,612 Cash America International Inc. ......................... 247,602
23,142 Shopko Stores Inc.*...................................... 728,973
- --------------------------------------------------------------------------------
976,575
- --------------------------------------------------------------------------------
Software -- 0.0%
1,000 Peregrine Systems Inc. .................................. 25,625
- --------------------------------------------------------------------------------
Steel -- 1.0%
38,888 AK Steel Holding Corp. .................................. 848,245
80,600 Armco Inc.*.............................................. 403,000
26,032 Ascent Entertainment Group, Inc.*........................ 283,098
112,200 Bethlehem Steel Corp.+*.................................. 988,763
25,938 Birmingham Steel Corp. .................................. 106,994
88,900 LTV Corp. ............................................... 488,950
19,065 National Steel Corp...................................... 157,286
163,200 Ralcorp Holdings Inc.*................................... 2,907,000
10,700 Roanoke Electric Steel Corp.............................. 145,119
7,082 Rouge Industries Inc..................................... 70,377
22,384 Ryerson Tull, Inc. ...................................... 408,503
2,400 Steel Dynamics Inc.+*.................................... 37,800
14,700 WHX Corp.+*.............................................. 127,706
- --------------------------------------------------------------------------------
6,972,841
- --------------------------------------------------------------------------------
Technology -- 7.4%
3,200 Actel Corp.*............................................. 41,600
55,000 Aeroquip-Vickers Inc.*................................... 3,114,375
15,975 Airtran Holdings Inc.*................................... 53,916
24,127 Allen Telecom Inc.*...................................... 116,111
</TABLE>
See Notes to Financial Statements.
70
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Technology -- 7.4% (continued)
5,728 Alliant Techsystems Inc.*.............................. $ 453,586
12,000 Amkor Technologies Inc.*............................... 126,000
4,600 Analogic Corp.*........................................ 173,650
17,708 Anixter International, Inc.*........................... 222,457
2,300 Aspec Technology Inc.*................................. 2,588
77,700 Aura Systems Inc.+*.................................... 38,850
17,091 Banctec, Inc.*......................................... 240,342
1,900 Bell & Howell Co.*..................................... 62,938
5,090 Benchmark Electronics Inc.*............................ 152,700
23,400 BMC Industries Inc. ................................... 114,075
26,571 Boyd Gaming Corp.*..................................... 109,605
3,300 CDnow Inc.+*........................................... 53,213
58,835 Cirrus Logic Inc.*..................................... 478,034
7,700 Cohu Inc. ............................................. 181,913
80,000 Cordant Technologies Inc. ............................. 3,115,000
6,300 Credence Systems Corp.*................................ 133,088
5,259 Cubic Corp. ........................................... 96,634
67,900 Cypress Semiconductor Corp.*........................... 649,294
62,800 Dallas Semiconductor Corp. ............................ 2,221,550
42,900 Data General Corp.*.................................... 592,556
1,600 Davox Corp.*........................................... 13,800
4,000 Decisionone Holdings Corp.+*........................... 9,750
5,864 DII Group, Inc.*....................................... 137,071
111,900 EG&G Inc. ............................................. 2,965,350
6,649 Electro Scientific Industries, Inc.*................... 243,104
20,790 Essex International Inc.*.............................. 608,108
15,530 Esterline Technologies Corp. .......................... 265,951
7,599 Evans & Sutherland Computer Corp. ..................... 121,584
14,501 Ferro Corp. ........................................... 309,959
14,187 FSI International, Inc.*............................... 138,323
177,560 Gerber Scientific Inc. ................................ 3,307,055
1,400 Global DirectMail Corp.*............................... 23,013
9,600 Hadco Corp.*........................................... 306,000
13,100 Hutchinson Tech Inc.*.................................. 407,738
26,245 Information Resources Inc. ............................ 219,802
44,800 Informix Corp.*........................................ 392,000
73,042 Integrated Device Technology, Inc.*.................... 470,208
379,266 Intergraph Corp.*...................................... 2,097,815
37,882 International Rectifier Corp.*......................... 260,439
2,400 ITI Technologies Inc.*................................. 77,250
7,700 Itron Inc.*............................................ 53,900
7,336 Jones Intercable Inc., Class A Shares*................. 297,108
41,700 Komag Inc.*............................................ 291,900
2,500 Lattice Semiconductor Corp.*........................... 99,688
14,760 Marshall Industries*................................... 210,330
454 McWhorter Technologies, Inc.*.......................... 6,611
2,842 Media General Inc. .................................... 142,100
54,843 Mentor Graphics Corp.+*................................ 767,802
3,800 Micron Electronics Inc.*............................... 54,625
121,572 Mississippi Chemical Corp. ............................ 1,246,113
227,760 MTS Systems Corp. ..................................... 2,861,235
1,759 National Western Life Insurance Corp., Class A
Shares*............................................... 186,454
31,235 Oak Technologies Inc.*................................. 102,490
8,700 Paxar Corp.*........................................... 73,950
12,243 Physician Reliance Network, Inc.*...................... 110,952
24,154 Pioneer Standard Electronics, Inc. .................... 187,194
</TABLE>
See Notes to Financial Statements.
71
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Technology -- 7.4% (continued)
4,113 Plains Resources Inc.*................................... $ 38,045
1,300 Platinum Software Corp.*................................. 9,425
36,400 Policy Management Systems Corp. ......................... 1,330,875
1,200 PRI Automation Inc.*..................................... 36,000
4,900 Primadonna Resorts, Inc.*................................ 59,413
3,500 Primex Technologies, Inc. ............................... 145,469
3,846 Puerto Rican Cement Co., Inc. ........................... 131,726
2,013 Rainforest Cafe Inc. .................................... 10,946
36,525 Read-Rite Corp.*......................................... 310,463
5,000 Recoton Corp.+*.......................................... 70,000
15,000 Remec Inc.*.............................................. 257,813
11,212 Risk Capital Holdings Inc.*.............................. 213,028
1,400 Rogers Corp.*............................................ 36,225
3,900 Sandisk Corp.*........................................... 109,200
256,800 Scitex Corp.*............................................ 2,359,350
52,300 Sensormatic Electronics Corp.*........................... 549,150
29,974 Sequent Computer Systems, Inc.*.......................... 285,690
21,234 Shiva Corp.*............................................. 126,740
40,147 S3 Inc.*................................................. 353,795
19,011 Silicon Valley Group Inc.*............................... 253,084
8,812 Siliconix Inc.*.......................................... 190,560
1,600 SMART Modular Technologies, Inc. ........................ 25,700
3,400 Spectra-Physics Lasers Inc.*............................. 34,850
5,500 Speedfam International Inc.*............................. 89,719
11,998 State Auto Financial Corp. .............................. 140,227
1,800 Superior Services Inc.*.................................. 36,169
3,315 Superior Telecom Inc. ................................... 93,856
71,700 Sybase Inc.*............................................. 582,563
4,800 System Software Associates, Inc.*........................ 15,900
929 Telxon Corp.*............................................ 5,922
3,300 Tetra Technologies Inc.*................................. 21,863
3,009 Thermoquest Corp.*....................................... 33,099
8,863 Thermotrex Corp.*........................................ 53,178
8,006 Ultratech Stepper Inc.+*................................. 126,345
572,000 Unisource Worldwide, Inc. ............................... 4,004,000
17,900 Unitrode Corp. .......................................... 243,888
5,911 Valhi Inc. .............................................. 67,977
1,000 Verio Inc.+.............................................. 28,375
44,839 Vishay Intertechnology, Inc. ............................ 580,105
37,100 Vlsi Technology Inc.*.................................... 575,050
196,000 Wallace Computer Services, Inc. ......................... 4,434,500
25,900 Westfield America Inc. .................................. 456,488
159,833 Westinghouse Air Brake Co. .............................. 3,166,691
7,968 Winstar Communications Inc.+*............................ 250,992
- --------------------------------------------------------------------------------
53,555,301
- --------------------------------------------------------------------------------
Telecommunications -- 0.6%
12,197 Aerial Communications, Inc.*............................. 85,379
21,081 Aliant Communications Inc. .............................. 840,605
24,500 Associated Group Inc.*................................... 1,220,406
4,746 Cellular Communications of Puerto Rico................... 116,870
34,087 General Communication, Class A Shares*................... 166,174
9,100 ICG Communications Inc.*................................. 171,194
4,800 IXC Communications Inc.+................................. 249,600
700 L-3 Communications Corp.*................................ 30,013
18,700 MEMC Electronic Materials, Inc.*......................... 135,575
</TABLE>
See Notes to Financial Statements.
72
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Telecommunications -- 0.6% (continued)
26,400 Metrocall Inc.*.......................................... $ 105,600
3,400 Norstan Inc.*............................................ 34,000
8,110 NTL Inc.*................................................ 630,046
6,500 Omnipoint Corp.+*........................................ 75,563
7,500 Pagemart Wireless Inc., Class A Shares*.................. 45,000
17,309 Paxson Communications Corp.*............................. 142,799
33,549 Picturetel Corp.*........................................ 274,158
1,200 US LEC Corp., Class A Shares*............................ 17,325
1,700 Vanguard Cellular Systems, Class A Shares*............... 47,388
- --------------------------------------------------------------------------------
4,387,695
- --------------------------------------------------------------------------------
Telephone -- 0.0%
3,600 Amplicon, Inc. .......................................... 45,000
2,000 Michigan Financial Corp. ................................ 61,000
- --------------------------------------------------------------------------------
106,000
- --------------------------------------------------------------------------------
Tobacco -- 0.2%
359,500 Dimon Inc. .............................................. 1,572,813
5,818 General Cigar Holdings Inc.*............................. 42,544
- --------------------------------------------------------------------------------
1,615,357
- --------------------------------------------------------------------------------
Toys -- 0.0%
5,186 Marvel Enterprises, Inc.*................................ 28,847
- --------------------------------------------------------------------------------
Transportation -- 5.7%
21,074 Air Express International Corp. ......................... 370,112
76,000 Airborne Freight Corp. .................................. 2,964,000
11,900 Airgas Inc.*............................................. 107,100
767 Airnet Systems Inc.*..................................... 6,615
22,575 Alaska Air Group, Inc.*.................................. 1,144,270
36,821 America West Holdings Corp., Class B Shares*............. 625,957
18,009 American Freightways Corp.*.............................. 280,828
17,391 Arnold Industries Inc. .................................. 265,213
19,501 Arvin Industries, Inc. .................................. 706,911
8,279 Avondale Industries Inc.*................................ 255,614
7,484 Banner Aerospace, Inc.*.................................. 69,695
78,700 Borg-Warner Automotive, Inc.+*........................... 3,428,369
14,207 Breed Technologies Inc.+*................................ 57,716
19,800 Budget Group Inc., Class A Shares........................ 231,413
7,900 C.H. Robinson Worldwide, Inc. ........................... 207,375
11,393 Circle International Group Inc. ......................... 195,105
18,138 Consolidated Freightways Corp.*.......................... 263,001
4,200 Convenant Transport, Inc.*............................... 76,125
14,770 Copart Inc. ............................................. 258,475
19,000 Delco Remy International Inc.*........................... 187,625
6,979 Detroit Diesel Corp. .................................... 150,485
1,300 Dispatch Management Services Corp.*...................... 2,925
21,500 Dollar Thrifty Automotive Group, Inc.*................... 255,313
8,994 Excel Industries Inc.*................................... 212,483
10,156 Florida East Coast Industries, Inc. ..................... 275,482
362,193 Fritz Co.*............................................... 2,693,810
3,400 Greyhound Lines Inc.*.................................... 21,675
1,600 Group 1 Automotive Inc.*................................. 40,300
1,000 Gulfmark Offshore, Inc.*................................. 12,000
10,063 Hvide Marine Inc., Class A Shares*....................... 45,912
235,961 Intermet Corp. .......................................... 2,949,513
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Transportation -- 5.7% (continued)
12,098 Interpool Inc. .......................................... $ 172,397
14,600 Kitty Hawk Inc.*......................................... 122,731
8,581 Landstar Systems Inc.*................................... 323,665
14,791 MascoTech Inc. .......................................... 223,714
160,000 Meritor Automotive Inc. ................................. 2,540,000
23,500 Mesa Air Group Inc.*..................................... 160,003
6,610 Midwest Express Holdings, Inc. .......................... 177,644
14,740 Modine Manufacturing Co. ................................ 412,720
13,804 Myers Industries Inc. ................................... 269,178
24,404 Overseas Shipholding Group, Inc. ........................ 297,424
18,262 Pittston BAX Group*...................................... 131,258
2,116 Rent-Way, Inc.*.......................................... 47,875
12,178 Roadway Express Inc. .................................... 187,237
285,853 Rollins Truck Leasing Corp. ............................. 3,037,188
100,000 Sea Containers Ltd. ..................................... 2,187,500
15,793 Simpson Industries Inc. ................................. 147,072
12,400 Skywest Inc. ............................................ 389,825
26,551 SPX Corp. ............................................... 1,516,726
164,859 Standard Products Co. ................................... 2,472,885
25,201 Stewart & Stevenson Services, Inc. ...................... 211,058
1,600 Swift Transportation Co., Inc. .......................... 47,900
16,279 Titan International Inc. ................................ 121,075
49,522 Trans World Airlines, Inc.+*............................. 294,037
19,748 Trico Marine Services Inc.*.............................. 88,866
7,400 Tristar Aerospace Co.*................................... 62,438
3,200 U.S. Xpress Enterprises Inc., Class A Shares*............ 51,200
13,953 United Auto Group Inc. .................................. 102,903
102,383 US Freightways Corp. .................................... 3,263,458
15,742 Wabash National Corp. ................................... 193,823
9,662 Winnebago Industries Inc. ............................... 132,853
195,622 Yellow Corp.*............................................ 3,496,743
- --------------------------------------------------------------------------------
41,244,813
- --------------------------------------------------------------------------------
Utilities -- 9.3%
50,088 AGL Resources Inc. ...................................... 954,803
20,391 Antec Corp.*............................................. 568,399
6,601 Aquarion Co. ............................................ 223,196
15,578 Arch Coal Inc. .......................................... 170,384
26,221 Atmos Energy Corp. ...................................... 629,304
207,364 Avista Corp.+............................................ 3,395,586
16,076 Baldor Electric Co. ..................................... 307,454
12,034 Bay State Gas Co.*....................................... 481,360
6,700 Belco Oil & Gas Corp.*................................... 33,500
8,398 Belden Inc. ............................................. 151,689
16,231 Black Hills Corp. ....................................... 365,198
3,764 Cable Design Technologies Corp. ......................... 48,697
3,830 California Microwave, Inc.*.............................. 38,779
10,368 California Water Service Group........................... 254,016
17,332 Calpine Corp.*........................................... 567,623
15,100 Central Hudson Gas & Electric Corp. ..................... 547,375
11,864 Cilcorp Inc. ............................................ 705,167
10,411 Citation Corp.*.......................................... 106,062
19,807 Cleco Corp. ............................................. 581,831
79,156 Cleveland Cliffs Inc. ................................... 2,933,719
198,000 CMP Group Inc. .......................................... 3,341,250
7,390 Colonial Gas Co. ........................................ 253,569
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Utilities -- 9.3% (continued)
15,931 Commonwealth Energy System Co. .......................... $ 575,507
179,700 Commscope Inc.*.......................................... 3,335,681
9,158 Connecticut Energy Corp. ................................ 238,680
100,000 CTG Resources Inc. ...................................... 2,300,000
7,419 E'Town Corp. ............................................ 318,553
18,215 Eastern Utlities Associates.............................. 517,989
7,200 Echostar Communications Corp.+*.......................... 352,800
49,602 El Paso Electric Co.*.................................... 356,514
14,605 Empire District Electric Co. ............................ 338,653
191,966 Energen Corp. ........................................... 2,687,524
2,600 Exodus Communications Inc.+.............................. 190,775
90,204 General Cable Corp. ..................................... 1,696,963
2,800 General Semiconductor Inc.*.............................. 18,200
11,730 Georgia Gulf Corp. ...................................... 177,416
27,635 Hawaiian Electric Industries, Inc. ...................... 963,771
32,700 Idacorp Inc. ............................................ 1,015,744
24,712 Indiana Energy Inc. ..................................... 494,240
17,000 Integrated Electrical Services, Inc.*.................... 233,750
97,850 Kelley Oil & Gas Corp.*.................................. 51,983
10,300 Kent Electronics Corp.*.................................. 117,163
14,513 Laclede Gas Co. ......................................... 333,799
6,141 Libbey Inc.+............................................. 183,079
2,263 Littlefuse Inc.*......................................... 38,612
14,459 Madison Gas & Electric Co. .............................. 290,987
387,800 Magnetek Inc.*........................................... 4,217,325
45,500 Mark IV Industries Inc. ................................. 685,344
45,750 MDU Resources Group Inc. ................................ 1,075,125
31,788 Methode Electronics Inc. ................................ 333,774
31,271 Minnesota Power Inc. .................................... 1,256,703
16,560 Network Equipment Technologies, Inc.*.................... 148,005
44,619 Nevada Power Co. ........................................ 1,068,067
15,503 New Jersey Resources Corp. .............................. 541,636
26,100 Newfield Exploration Co.*................................ 424,125
9,035 North Carolina Natural Gas .............................. 289,120
22,036 Northwest Natural Gas Co. ............................... 539,193
11,273 NUI Corp. ............................................... 258,574
26,765 Oneok Inc. .............................................. 720,982
12,000 Orange & Rockland Utilities, Inc. ....................... 673,500
19,540 Oregon Steel Mills Inc. ................................. 186,851
10,557 Otter Tail Power Co. .................................... 391,269
7,279 Park Electrochemical Corp. .............................. 197,443
9,403 Pennsylvania Enterprises, Inc. .......................... 211,568
30,600 Peoples Energy Corp. .................................... 1,038,488
20,929 Philadelphia Suburban Corp. ............................. 451,282
26,408 Piedmont Natural Gas Co. ................................ 901,173
17,413 Public Service Co. of North Carolina..................... 513,684
187,154 Public Service New Mexico................................ 2,877,493
6,758 Robbins & Myers Inc. .................................... 111,507
2,400 Schnitzer Steel Industries Inc., Class A Shares.......... 33,300
10,608 Seacor Smit Inc.*........................................ 417,690
7,039 Semco Energy Inc. ....................................... 110,864
26,900 Sierra Pacific Resorces.................................. 923,007
20,436 SIGCORP, Inc. ........................................... 587,535
6,980 South Jersey Industries, Inc. ........................... 169,701
14,020 Southern Union Co. ...................................... 266,380
26,367 Southwest Gas Corp. ..................................... 758,051
</TABLE>
See Notes to Financial Statements.
75
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Utilities -- 9.3% (continued)
20,414 Southwestern Energy Co. ............................ $ 113,553
6,034 Stone & Webster Inc. ............................... 161,410
2,000 Thermo Ecotek Corp.*................................ 16,500
9,666 TNP Enterprises Inc. ............................... 282,731
29,159 UGI Corp. .......................................... 592,292
18,020 Unisource Energy Corp. Holdings Co.*................ 208,356
12,389 The United Illuminating Co. ........................ 549,762
24,157 United Water Resources, Inc. ....................... 465,022
11,500 URS Corp.*.......................................... 225,688
165,124 Washington Gas Light Co. ........................... 3,952,656
13,826 Watts Industries Inc., Class A Shares............... 192,700
33,146 Wicor Inc. ......................................... 700,209
240,000 World Fuel Services Corp. .......................... 2,490,000
23,002 WPS Resources Corp.+................................ 684,310
9,134 Yankee Energy Systems Inc. ......................... 223,212
- --------------------------------------------------------------------------------
66,724,504
- --------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $818,017,622).................. 699,247,594
- --------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK -- 0.0%
Real Estate -- 0.0%
309 Apartment Investment & Management, Class E Shares
(Cost -- $15,681)+................................. 11,240
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 0.1%
$ 500,000 U.S. Treasury Bills, 4.40% due 3/4/99 (Cost --
$499,692)......................................... 499,692
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 3.0%
21,681,000 Morgan Stanley Dean Witter & Co., 4.730% due 3/1/99;
Proceeds at maturity -- $21,689,545; (collateralized
by U.S. Treasury Notes & Bonds, 5.500% to 14.000%
due 4/30/99 to 2/15/26;
Market Value -- $23,751,027) (Cost -- $21,681,000).. 21,681,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $840,213,995**).. $721,439,526
- --------------------------------------------------------------------------------
</TABLE>
+ A portion of this security is on loan (See Note 12).
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[PIE CHART APPEARS HERE]
Technology 7.4% 7.4
Basic Industries 15.1% 15.1
Capital Goods 6.4% 6.4
Consumer Durables and Non-Durables 11.0% 11
Transportation 5.7% 5.7
Utilities 9.3% 9.3
Financial Services 6.4% 6.4
Other Common Stock 17.5% 17.5
Real Estate 9.4% 9.4
U.S. Treasury Obligations and Repurchase Agreement 3.1% 3.1
Banking 8.7% 8.7
See Notes to Financial Statements.
76
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
STOCK -- 98.2%
- --------------------------------------------------------------------------------
Advertising -- 1.0%
15,800 Ackerley Group Inc.*..................................... $ 284,400
24,000 Advo Inc. ............................................... 480,000
20,600 Catalina Marketing Corp.+ ............................... 1,326,125
44,500 Getty Images Inc. ....................................... 851,063
700 Grey Advertising Inc.*................................... 259,000
259,613 HA-LO Industries, Inc.+ ................................. 2,774,609
98,300 Lamar Advertising Co. ................................... 3,796,852
14,500 TMP Worldwide Inc.+ ..................................... 815,625
- --------------------------------------------------------------------------------
10,587,674
- --------------------------------------------------------------------------------
Aerospace & Defense -- 0.3%
9,800 Alliant Techsystems Inc. ................................ 776,038
28,100 BE Aerospace, Inc. ...................................... 414,475
9,800 Ducommun Inc.*........................................... 122,500
6,900 Heico Corp.*............................................. 186,300
59,500 Kellstrom Industries Inc. ............................... 963,156
10,200 Kroll-O'Gara Co. ........................................ 314,925
4,600 Oea Inc. ................................................ 51,175
- --------------------------------------------------------------------------------
2,828,569
- --------------------------------------------------------------------------------
Agriculture -- 0.1%
48,500 AgriBioTech, Inc.+ ...................................... 212,188
40,800 Cadiz Inc. .............................................. 351,900
- --------------------------------------------------------------------------------
564,088
- --------------------------------------------------------------------------------
Aircraft & Aerospace -- 0.0%
21,900 AAR Corp.*............................................... 331,238
- --------------------------------------------------------------------------------
Auto Parts -- 0.5%
82,700 Gentex Corp. ............................................ 1,793,556
2,500 Intermet Corp.*.......................................... 31,250
24,400 Kaydon Corp.*............................................ 744,200
24,100 Mascotech Inc.*.......................................... 364,513
17,000 Modine Manufacturing Co.*................................ 476,000
21,400 Myers Industries Inc.*................................... 417,300
16,102 O'Reilly Automotive, Inc. ............................... 707,482
6,100 SPX Corp. ............................................... 348,463
43,000 Wabash National Corp.*................................... 529,438
17,750 Wynn's International Inc.*............................... 328,375
- --------------------------------------------------------------------------------
5,740,577
- --------------------------------------------------------------------------------
Banking -- 4.1%
1,800 Aftermarket Technology Corp. ............................ 9,506
20,300 Alabama National Bancorp*................................ 492,275
30,200 Alpine Group Inc. ....................................... 362,400
20,800 Ameritrade Holdings Corp.+ .............................. 1,014,000
39,300 Anchor Bancorp Wisconsin*................................ 680,381
24,700 Andover Bancorp Inc.*.................................... 741,000
21,800 Andrx Corp.+ ............................................ 1,479,675
34,400 Area Bancshares Corp.*................................... 915,900
13,500 Bancfirst Corp.*......................................... 448,875
3,200 Bancfirst Ohio Corp.*.................................... 81,400
13,362 Bank of Granite Corp.*................................... 367,455
6,360 Banknorth Group, Inc.*................................... 170,130
21,924 BOK Financial Corp.*..................................... 504,252
15,000 Brenton Banks Inc.*...................................... 234,375
</TABLE>
See Notes to Financial Statements.
77
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Banking -- 4.1% (continued)
6,700 Brookline Bancorp Inc.*................................... $ 77,888
6,800 Brylane Inc. ............................................. 147,050
1,600 Capital City Bank Group Inc.*............................. 37,300
18,900 Cathay Bancorp Inc. ...................................... 737,100
19,970 Centennial Bancorp........................................ 283,324
8,800 Century South Banks Inc.*................................. 213,400
7,900 CFSB Bancorp Inc.*........................................ 208,856
13,832 City Holding Co.*......................................... 361,361
24,595 CNB Bancshares, Inc.*..................................... 988,412
57,100 Coach USA Inc. ........................................... 1,341,850
11,500 Columbia Banking System, Inc. ............................ 196,938
33,668 Commerce Bancorp Inc. of New Jersey*...................... 1,498,226
7,700 Cullen Frost Bankers Inc.*................................ 364,306
19,765 CVB Financial Corp.*...................................... 390,359
8,900 Engineering Animation Inc.+ .............................. 402,725
2,400 F&M National Corp.*....................................... 66,750
7,610 F&M Bancorp Inc. of Wisconsin*............................ 252,081
2,200 F.N.B. Bancorp Inc., of Pennsylvania*..................... 50,463
34,650 Factset Research Systems Inc.*............................ 1,444,472
6,000 Farmers Capital Bank Corp.*............................... 200,625
13,200 First Charter Corp.*...................................... 246,675
17,000 First Commonwealth Financial Corp.*....................... 366,563
1,700 First Federal Capital Corp.*.............................. 23,375
33,650 First Financial Bancorp*.................................. 782,363
880 First Financial Bankshares Inc.*.......................... 28,380
9,800 First Midwest Bancorp Inc.*............................... 358,313
24,530 First Source Corp.*....................................... 757,364
47,400 Fisher Scientific International, Inc...................... 823,575
40,000 Flagstar Bancorp Inc.*.................................... 1,120,000
9,200 GBC Bancorp*.............................................. 195,500
26,500 Gold Banc Corp., Inc.+*................................... 369,344
11,900 Greater Bay Bancorp*...................................... 337,663
42,959 Hamilton Bancorp Inc. .................................... 990,742
17,081 Harbor Florida Bancshares*................................ 196,432
2,700 Harleysville National Corp.*.............................. 95,850
11,500 Haven Bancorp Inc.*....................................... 162,438
21,232 Hubco Inc.*............................................... 696,675
59,873 Imperial Bancorp*......................................... 1,092,682
25,100 Independence Community Bank*.............................. 382,775
6,500 International Bancshares Corp.*........................... 302,250
9,800 Irwin Financial Corp.*.................................... 222,338
5,200 Jefferson Savings Bancorp Inc.*........................... 72,475
5,500 Mahoning National Bancorp Inc.*........................... 149,875
8,584 Merchants New York Bancorp, Inc.*......................... 285,418
12,500 National Penn Bancshares Inc.*............................ 325,000
16,000 Northwest Bancorp Inc. ................................... 147,000
19,535 Old National Bancorp...................................... 905,936
33,066 Oriental Financial Group*................................. 927,915
18,354 Pacific Capital Banccorp*................................. 422,142
9,600 Park National Corp.*...................................... 888,600
11,800 Peoples Bancorp, Inc.*.................................... 115,050
39,900 Premier Bancshares Inc.*.................................. 798,000
10,400 Prime Bancorp Inc.*....................................... 260,000
2,500 Prime Bancshares Inc.*.................................... 37,188
11,625 Republic Bancorp*......................................... 159,844
4,800 Republic Banking Corp. of Florida*........................ 88,500
</TABLE>
See Notes to Financial Statements.
78
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Banking -- 4.1% (continued)
34,468 Republic Security Financial Corp.*....................... $ 308,058
44,400 Resource Bancshares Mortgage Group, Inc.*................ 621,600
45,300 S & T Bancorp Inc.*...................................... 1,191,956
4,500 Sandy Spring Bancorp Inc.*............................... 126,000
7,700 Shoreline Financial Corp.*............................... 201,163
56,810 Silicon Valley Bancshares*............................... 1,090,042
61,611 Sky Financial Group Inc.*................................ 1,617,289
49,332 Southwest Bancorp of Texas*.............................. 693,732
700 Sterling Bancorp*........................................ 14,525
26,250 Sterling Bancshares Inc.*................................ 315,000
5,400 Sterling Financial Corp.*................................ 197,775
3,750 Susquehanna Bancshares Inc.*............................. 67,734
13,000 Texas Regional Bancshares, Inc., Class A Shares*......... 331,500
28,388 Triangle Bancorp Inc.*................................... 454,208
17,900 The Trust Company of New Jersey.......................... 434,075
30,081 Trustco Bank Corp. of New York*.......................... 812,187
22,600 United Bankshares, Inc.*................................. 545,225
1,850 United National Bancorp*................................. 42,319
2,400 US Bancorp Inc. of Pennsylvania*......................... 42,300
9,200 US Trust Corp. of New York*.............................. 688,850
9,480 USB Holding Co., Inc.+*.................................. 142,200
4,900 UST Corp.*............................................... 102,594
11,150 Washington Trust Bancorp*................................ 206,275
4,895 West Coast Bancorp of Oregon*............................ 96,676
10,100 Westamerica Bancorp+*.................................... 338,350
8,700 Western Bancorp*......................................... 268,069
49,400 Westernbank Puerto Rico*................................. 759,525
1,900 Whitney Holding Corp.*................................... 62,225
- --------------------------------------------------------------------------------
43,670,802
- --------------------------------------------------------------------------------
Basic Industries -- 4.2%
65,200 AHL Services Inc. ....................................... 1,703,350
18,000 Alternative Resources Corp. ............................. 193,500
64,600 Atwood Oceanics Inc. .................................... 1,086,088
14,500 Authentic Fitness Corp. ................................. 228,375
8,600 AVT Corp. ............................................... 222,525
13,300 Berry Petroleum Co.*..................................... 129,675
3,000 Boise Cascade Office Products Corp. ..................... 36,000
14,500 Caraustar Industries, Inc.*.............................. 371,563
37,700 The Carbide/Graphite Group............................... 457,113
124,000 Century Business Services+............................... 1,449,250
18,150 Chart Industries Inc.*................................... 136,125
6,450 Clarcor Inc.*............................................ 117,713
5,300 CN Galey & Lord Inc. .................................... 24,844
9,800 Coleman Co. ............................................. 91,875
14,200 Collins & Aikman Corp. .................................. 71,888
30,700 D. R. Horton, Inc.*...................................... 489,281
37,300 Day Runner Inc. ......................................... 508,212
17,100 Federal Signal Corp.+*................................... 400,781
16,100 Furniture Brands International Inc. ..................... 344,138
18,700 G & K Services Inc., Class A Shares*..................... 932,663
12,500 General Binding Corp.*................................... 340,625
34,300 General Magic Inc.+ ..................................... 168,284
24,576 Getchell Gold Corp. ..................................... 637,440
22,300 Health Care Investment Inc.*............................. 655,063
17,400 Hexcel Corp. ............................................ 146,813
11,507 Hunt Corp.*.............................................. 117,228
</TABLE>
See Notes to Financial Statements.
79
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Basic Industries -- 4.2% (continued)
9,200 Insituform Technologies Inc., Class A Shares......... $ 136,850
25,700 Ivax Corp. .......................................... 379,075
6,900 Ivex Packaging Corp. ................................ 104,363
70,200 Kaufman & Broad Home Corp.*.......................... 1,579,500
4,400 Kemet Corp. ......................................... 48,400
55,500 Knoll Inc. .......................................... 1,061,438
8,700 Lands End Inc. ...................................... 263,719
18,400 Lennar Corp.*........................................ 426,650
28,300 Macrovision Corp. ................................... 976,350
2,900 Meadowcraft Inc. .................................... 16,494
6,200 Media Arts Group, Inc. .............................. 84,475
30,000 Miller Inc. ......................................... 510,000
34,450 Miller Industries Inc.*.............................. 185,169
39,300 Moog, Inc., Class A Shares........................... 1,252,688
35,600 Nacco Industries Inc.*............................... 3,132,800
59,100 Noble Affiliates Inc.*............................... 1,337,138
1,600 NVR Inc. ............................................ 68,800
15,300 Oshkosh B'Gosh Inc., Class A Shares*................. 290,700
22,546 Palm Harbor Homes Inc.*.............................. 563,638
11,500 PETCO Animal Supplies, Inc. ......................... 92,719
31,600 Pillowtex Corp.*..................................... 766,300
9,600 Pinnacle Systems Inc.*............................... 343,800
50,000 Precision Castparts Co.*............................. 1,856,250
37,200 Quiksilver Inc.*..................................... 1,262,475
2,900 Range Resources Corp.+*.............................. 5,619
31,000 Rayovac Corp. ....................................... 858,313
23,900 Remedy Corp. ........................................ 491,444
4,600 RemedyTemp, Inc., Class A Shares..................... 73,025
26,100 Republic Group Inc.*................................. 396,394
3,200 Rural/Metro Corp. ................................... 28,600
28,500 SM&A Corp. .......................................... 477,375
42,800 Security Dynamics Technologies Inc. ................. 791,800
8,200 Select Comfort Corp. ................................ 195,775
47,900 Staffmark Inc. ...................................... 640,663
73,900 Standard-Pacific Corp.*.............................. 914,513
15,300 Stein Mart Inc.*..................................... 139,613
11,100 Tejon Ranch Co.*..................................... 194,250
21,400 Thermo BioAnalysis Corp. ............................ 362,463
14,300 Thermo Fibertek Inc.+ ............................... 110,825
14,100 Timberland, Class A Shares........................... 851,288
34,000 TJ International, Inc.*.............................. 735,250
25,800 Transmontaigne, Inc. ................................ 280,575
31,600 Triumph Group Inc. .................................. 809,750
127,253 United Rentals Inc.+ ................................ 4,095,956
10,200 UTI Energy Corp. .................................... 59,288
206,400 Veritas DGC Inc. .................................... 1,947,900
35,800 Viatel Inc. ......................................... 684,675
9,700 The Vincam Group, Inc. .............................. 173,388
4,740 Virco Manufacturing Corp.*........................... 83,543
27,713 Wausau-Mosinee Paper Corp.*.......................... 439,944
7,900 Westaff Inc.*........................................ 49,375
29,300 Windmere-Double Holdings Inc.*....................... 146,500
43,200 Wisconsin Central Transportation Corp.+ ............. 594,000
13,500 Zoltek Co., Inc.+ ................................... 116,016
- --------------------------------------------------------------------------------
44,548,323
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
80
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Beverages -- 0.4%
20,100 Beringer Wine Estates, Class B Shares+................... $ 810,281
14,500 Boston Beer Co. Inc., Class A Shares..................... 112,375
1,500 Coca Cola Bottling Co.*.................................. 84,000
38,900 Foodmaker Inc. .......................................... 894,700
52,000 Patterson Dental Co. .................................... 2,106,000
18,300 Triarc Co. .............................................. 290,513
- --------------------------------------------------------------------------------
4,297,869
- --------------------------------------------------------------------------------
Broadcasting -- 3.0%
11,800 @Entertainment Inc. ..................................... 118,738
187,200 American Tower Corp. .................................... 5,019,300
17,100 CD Radio Inc.+........................................... 371,925
28,600 Century Communications................................... 992,063
67,300 Chancellor Media Corp., Class A Shares+.................. 2,944,375
30,000 Clear Channel Communications, Inc.*...................... 1,800,000
135,685 Cox Radio Inc. .......................................... 5,987,101
12,300 Emmis Communications Corp., Class A Shares............... 569,644
5,400 Gray Communications System*.............................. 99,900
23,400 Heftel Broadcasting Corp. ............................... 965,250
7,900 Metro Networks Inc. ..................................... 355,500
1,717 Qwest Communications International Inc.*................. 105,488
137,500 Scandanavian Broadcasting System......................... 3,437,500
63,300 SFX Entertainment Inc.+ ................................. 3,869,213
26,786 Spelling Entertainment Group Inc. ....................... 192,524
15,200 Sportsline USA Inc. ..................................... 684,000
21,000 Superior Telecom Inc.*................................... 594,563
4,400 United Television Inc.*.................................. 451,000
69,000 United Video Satellite Group, Class A Shares............. 1,988,063
25,265 Westwood One Inc. ....................................... 615,834
8,300 Young Broadcasting Corp., Class A Shares................. 336,150
- --------------------------------------------------------------------------------
31,498,131
- --------------------------------------------------------------------------------
Building & Construction -- 0.1%
11,400 Engle Homes Inc.*........................................ 133,950
29,300 Group Maintenance America Corp. ......................... 401,044
18,200 Service Experts Inc. .................................... 228,638
- --------------------------------------------------------------------------------
763,632
- --------------------------------------------------------------------------------
Capital Goods -- 7.2%
26,400 Aavid Thermal Technologies, Inc.*........................ 374,550
60,900 Actel Corp.*............................................. 791,700
28,825 AFC Cable Systems Inc. .................................. 954,828
36,600 Ametek Inc. ............................................. 619,912
254,500 Amkor Technologies Inc. ................................. 2,672,250
17,600 Amphenol Corp., Class A Shares........................... 630,300
1,400 Analogic Corp.*.......................................... 52,850
5,800 Anixter International Inc. .............................. 72,863
44,500 AptarGroup, Inc.*........................................ 1,218,188
145,274 Artesyn Technologies Inc. ............................... 2,151,871
8,500 Artisan Components Inc. ................................. 49,406
1,900 Bacou USA Inc. .......................................... 39,781
17,066 Baldor Electric Co.*..................................... 326,387
15,800 Belden Inc. ............................................. 285,388
15,900 Benchmark Electronics Inc. .............................. 477,000
9,400 Blount International Inc., Class A Shares................ 242,638
21,680 Brady Corp.*............................................. 517,610
</TABLE>
See Notes to Financial Statements.
81
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Capital Goods -- 7.2% (continued)
40,800 Broadcom Corp.*........................................ $ 2,455,650
28,005 Burr-Brown Corp. ...................................... 567,101
28,275 Cable Design Technologies Corp. ....................... 365,808
23,500 Carpenter Technology Corp.*............................ 609,531
27,700 Chattem Inc. .......................................... 834,463
22,000 Columbus McKinnon Corp.*............................... 451,000
30,300 Cymer Inc. ............................................ 693,113
19,400 DII Group Inc. ........................................ 453,475
25,500 Dionex Corp. .......................................... 940,312
3,800 Electro Scientific Industries Inc. .................... 138,938
15,375 Encore Wire Corp. ..................................... 145,102
135,169 Etec Systems, Inc. .................................... 5,989,676
4,700 Foamex International Inc. ............................. 45,238
9,300 Franklin Electric Co. Inc.*............................ 576,600
26,700 Friedman, Billings, Ramsey Group Inc., Class A
Shares*............................................... 155,194
21,646 Furon Co.*............................................. 257,046
11,800 Genesis Microchip Inc. ................................ 371,700
14,300 Genlyte Group Inc. .................................... 258,741
33,300 Genrad Inc. ........................................... 570,263
22,425 Graco Inc.*............................................ 487,744
2,711 Hadco Corp. ........................................... 86,413
56,900 Harmon Industries, Inc.*............................... 1,180,675
13,041 Holophane Corp. ....................................... 299,943
17,500 Inhale Therapeutic Systems Inc. ....................... 481,250
14,000 Integrated Circuit Systems, Inc. ...................... 260,750
22,600 Intevac Inc. .......................................... 192,100
4,000 Itron Inc. ............................................ 28,000
62,800 Jabil Circuit Inc.+*................................... 2,048,850
2,500 John H. Harland Co.*................................... 33,594
17,100 Kent Electronics Corp. ................................ 194,513
11,800 Kopin Corp. ........................................... 194,700
53,600 Kuhlman Corp. ......................................... 2,056,900
152,525 Level One Communications Inc.+ ........................ 5,109,588
8,100 Lincoln Electric Holdings Inc.*........................ 166,050
18,300 Littlefuse Inc. ....................................... 312,244
19,400 LoJack Corp. .......................................... 174,600
31,900 Magnetek Inc. ......................................... 346,913
18,236 Matthews International Corp., Class A Shares*.......... 522,006
15,700 Micrel Inc. ........................................... 706,500
15,300 Modtech Holdings Inc. ................................. 216,113
16,000 Motivepower Industries Inc. ........................... 441,000
12,500 MTS Systems Corp.*..................................... 157,031
15,200 Novel Denim Holdings Ltd. ............................. 203,300
47,300 Oak Industries Inc. ................................... 1,498,819
21,300 Oakley Inc. ........................................... 177,056
31,700 Oakwood Homes Corp.*................................... 511,163
47,300 P-Com, Inc. ........................................... 300,059
40,000 Pittway Corp. of Delaware, Class A Shares*............. 992,500
42,000 Plexus Corp. .......................................... 1,372,875
12,425 Profit Recovery Group International, Inc. ............. 410,025
52,400 Qlogic Corp.*.......................................... 3,045,750
16,840 Rambus Inc.+ .......................................... 1,224,058
9,100 Recoton Corp.+ ........................................ 127,400
26,350 Remec Inc. ............................................ 452,891
20,100 RF Micro Devices Inc.*................................. 1,547,700
29,400 Rogers Corp. .......................................... 760,725
</TABLE>
See Notes to Financial Statements.
82
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Capital Goods -- 7.2% (continued)
2,331 Samsonite Corp. ......................................... $ 13,840
17,600 Sandisk Corp. ........................................... 492,800
500 Sanmina Corp.*........................................... 26,125
14,300 Sawtek Inc.+ ............................................ 318,175
11,000 Schwak Inc.*............................................. 104,500
16,000 Schweitzer Mauduit International Inc.*................... 188,000
9,600 Scott Technologies Inc. ................................. 155,400
55,900 Scottish Annuity & Life Holdings, Ltd. .................. 552,013
14,300 Semtech Corp. ........................................... 434,363
8,100 S3 Inc. ................................................. 71,381
12,200 Silicon Valley Group Inc. ............................... 162,413
28,400 SMART Modular Technologies, Inc. ........................ 456,175
50,100 Sparteck Corp.*.......................................... 1,183,613
41,800 Speedfam International Inc. ............................. 681,863
48,200 SPS Technologies Inc. ................................... 1,988,250
9,350 Standex International Corp.*............................. 221,478
60,400 Stoneridge Inc. ......................................... 1,023,025
21,800 Sturm Ruger & Co., Inc.*................................. 204,375
30,150 Sunterra Corp.+ ......................................... 369,338
30,500 Superior Services Inc. .................................. 612,859
15,800 Technitrol Inc.*......................................... 367,350
9,900 Tennant Co.*............................................. 347,119
33,063 Teradyne Inc. ........................................... 1,574,625
3,200 Thermo Optek Corp. ...................................... 34,800
34,600 Transaction Systems Architects Inc. ..................... 1,360,213
23,760 Tredegar Industries Inc.*................................ 607,365
7,900 Trex Medical Corp. ...................................... 60,237
13,800 Ultratech Stepper Inc.+ ................................. 217,781
141,500 Unitrode Corp. .......................................... 1,927,938
3,900 Valhi Inc.*.............................................. 44,850
2,151 Value Line Inc.*......................................... 82,007
21,500 Vicor Corp. ............................................. 239,187
72,258 Vitesse Semiconductors Corp.*............................ 3,319,352
12,795 Wesley Jessen Visioncare................................. 332,670
11,700 Wilmar Industries Inc. .................................. 204,750
17,300 X-Rite Inc.*............................................. 121,100
- --------------------------------------------------------------------------------
75,779,601
- --------------------------------------------------------------------------------
Chemicals -- 0.7%
52,300 Airgas Inc. ............................................. 470,700
97,500 Cambrex Corp.*........................................... 2,333,906
4,000 Church & Dwight Co., Inc.*............................... 167,000
5,000 Dexter Corp.*............................................ 138,750
30,100 Ethyl Corp.*............................................. 146,738
21,100 Georgia Gulf Corp.*...................................... 319,138
5,100 Lilly Industries Inc., Class A Shares*................... 87,019
33,000 MacDermid, Inc.*......................................... 1,237,500
9,000 McWhorter Technologies, Inc. ............................ 131,063
8,400 Meristar Hospitality Corp.*.............................. 149,625
6,000 Nl Industries Inc. ...................................... 58,125
3,900 Octel Corp. ............................................. 52,406
7,550 OM Group, Inc.*.......................................... 219,422
300 Penford Corp.*........................................... 4,275
5,000 Scotts Co. .............................................. 161,875
3,100 Stepan Co.*.............................................. 73,238
25,200 Synetic Inc. ............................................ 1,107,225
</TABLE>
See Notes to Financial Statements.
83
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Chemicals -- 0.7% (continued)
14,800 WD-40 Co.*.............................................. $ 374,625
- -------------------------------------------------------------------------------
7,232,630
- -------------------------------------------------------------------------------
Commercial Services -- 2.5%
29,500 Abacus Direct Corp. .................................... 1,998,625
38,600 ABM Industries Inc.*.................................... 1,107,338
6,900 Administaff Inc. ....................................... 94,444
29,400 APAC Teleservices Inc. ................................. 90,038
13,000 Borg-Warner Security Corp. ............................. 236,438
10,000 Carey International Inc. ............................... 175,625
10,700 CDI Corp. .............................................. 242,088
23,000 Data Processing Resources Corp. ........................ 437,000
95,500 Electro Rent Corp.*..................................... 966,938
12,400 F.Y.I. Inc. ............................................ 373,550
139,200 Interim Services Inc. .................................. 2,644,800
86,500 International Network Services.......................... 4,422,313
26,800 International Telecommunication Data Systems Inc. ...... 368,500
26,900 Lason Inc. ............................................. 1,457,644
36,700 Mac-Gray Corp. ......................................... 309,656
33,300 Medaphis Corp. ......................................... 108,225
15,000 MemberWorks Inc. ....................................... 521,250
9,700 Meta Group Inc. ........................................ 217,038
9,800 NCO Group Inc. ......................................... 306,250
21,700 NFO Worldwide Inc. ..................................... 256,331
16,700 Norrell Corp. .......................................... 265,113
184,224 Nova Corp. ............................................. 4,605,600
12,100 Phymatrix Inc. ......................................... 21,931
8,700 Pierce Leahy Corp. ..................................... 215,325
22,200 Prepaid Legal Services Inc. ............................ 638,250
13,827 Regis Corp.*............................................ 344,595
22,462 Rollins Inc.*........................................... 360,796
5,400 RWD Technologies Inc. .................................. 74,250
46,300 Sitel Corp. ............................................ 136,006
80,000 Stewart Enterprises Inc.+*.............................. 1,200,000
40,225 Sylvan Learning Systems Inc.+*.......................... 1,337,488
25,300 Teletech Holdings Inc. ................................. 177,100
2,400 Volt Info Sciences Inc. ................................ 44,850
24,600 Wackenhut Corp.*........................................ 556,575
- -------------------------------------------------------------------------------
26,311,970
- -------------------------------------------------------------------------------
Communications -- 2.6%
56,700 Antec Corp. ............................................ 1,580,513
40,300 Billing Concepts Corp. ................................. 404,259
11,900 California Microwave Inc. .............................. 120,488
97,366 Commscope Inc. ......................................... 1,807,356
42,700 DSP Communications Inc. ................................ 640,500
4,600 Echostar Communications Corp.+ ......................... 225,400
39,700 Exodus Communications Inc.+*............................ 2,912,988
32,700 General Semiconductor Inc. ............................. 212,550
11,490 Libbey Inc.+*........................................... 342,546
49,012 Lycos Inc. ............................................. 4,294,677
327,800 Metromedia Fiber Network Inc., Class A Shares........... 14,259,300
5,400 Network Equipment Technologies, Inc. ................... 48,263
42,200 Pegasus Communications Corp. ........................... 1,028,625
- -------------------------------------------------------------------------------
27,877,465
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
84
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Durables -- 2.6%
6,600 Adelphia Communications Corp. ........................... $ 372,075
3,500 Agribrands International Inc. ........................... 108,500
89,800 Allied Waste Industries Inc.+ ........................... 1,751,100
7,500 American Classic Voyages Co. ............................ 174,375
14,562 American Homestar Corp. ................................. 107,395
9,000 Anchor Gaming............................................ 360,563
54,700 Aqua Alliance Inc. ...................................... 78,631
11,423 Barnett Inc. ............................................ 119,228
25,862 Buckeye Technologies Inc. ............................... 334,590
3,400 Bush Industries Inc., Class A Shares*.................... 35,700
9,900 Championship Auto Racing Teams Inc. ..................... 275,963
11,400 Churchill Downs Inc.*.................................... 390,450
46,000 Cinar Corp., Class B Shares.............................. 954,500
3,500 Columbia Sportswear Co. ................................. 42,000
30,613 Cort Business Services Corp. ............................ 507,028
22,600 Donaldson Co., Inc.*..................................... 408,213
1,900 Donna Karan International Inc. .......................... 11,875
9,600 Dover Downs Entertainment*............................... 135,600
61,300 GTECH Holdings........................................... 1,386,913
9,900 Guess ?, Inc. ........................................... 68,063
141,800 Hanover Direct Inc. ..................................... 443,125
34,300 Hayes Lemmerz International Inc. ........................ 891,800
3,400 Imco Recycling Inc.*..................................... 42,713
28,900 Jones Apparel Group Inc.*................................ 807,394
21,900 Monaco Coach Corp.*...................................... 681,638
16,500 The North Face Inc. ..................................... 212,438
13,800 N2K Inc. ................................................ 176,813
367,440 Newpark Resources Inc. .................................. 1,929,060
14,600 Oneida Ltd.*............................................. 204,400
1,087 Panavision Inc. ......................................... 10,118
3,600 Penske Motorsports Inc.+ ................................ 115,650
131,100 PETsMART, Inc.+ ......................................... 1,032,413
256,400 Premier Parks Inc.+*..................................... 7,467,650
100,700 SLI Inc. ................................................ 2,253,163
15,300 Speedway Motorsports, Inc. .............................. 546,019
9,900 Spyglass Inc. ........................................... 121,894
19,800 St. John Knits Inc.*..................................... 528,413
10,400 Steinway Musical Instruments, Inc. ...................... 235,950
1,500 Superior Industries International, Inc.*................. 37,125
41,900 TCI Satellite Entertainment, Class A Shares.............. 34,044
73,500 Tower Automotive Inc.+*.................................. 1,368,938
16,200 Universal Corp.*......................................... 440,438
20,100 Wavephore Inc.+ ......................................... 140,700
- --------------------------------------------------------------------------------
27,344,658
- --------------------------------------------------------------------------------
Consumer Non-Durables -- 2.1%
3,000 800 Jr. Cigar, Inc. ..................................... 55,875
15,400 Advanced Lighting Technology Inc. ....................... 111,650
15,100 American Eagle Outfitters, Inc.+ ........................ 1,039,069
18,200 American Skiing Corp. ................................... 76,212
17,200 Anicom Inc. ............................................. 119,325
17,100 BA Merchant Services, Inc. .............................. 348,413
27,800 Bally Total Fitness Holding Corp.+ ...................... 625,500
49,500 Broadvision Inc. ........................................ 2,221,313
17,550 Buckle Inc.*............................................. 428,878
75,400 Callaway Golf Co.*....................................... 819,975
</TABLE>
See Notes to Financial Statements.
85
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Non-Durables -- 2.1% (continued)
31,200 Carriage Services Inc. ................................... $ 571,350
3,900 Chicago Title Corp.*...................................... 136,744
50,479 Family Golf Centers+ ..................................... 301,297
34,118 Filenet Corp. ............................................ 274,010
32,200 Genesco Inc. ............................................. 249,550
29,800 International Speedway Corp., Class A Shares*............. 1,355,900
23,000 Kenneth Cole Productions, Inc. ........................... 523,250
600 Markel Corp. ............................................. 108,000
20,700 Maverick Tube Corp. ...................................... 116,438
27,300 NovaCare Employee Services, Inc. ......................... 166,359
46,325 Papa John's International Inc. ........................... 2,003,556
52,600 Power-One Inc. ........................................... 512,850
29,100 Preview Travel Inc.+ ..................................... 592,912
81,250 Probusiness Services Inc.+*............................... 2,701,562
24,500 Rainforest Cafe Inc. ..................................... 133,219
5,000 Riviana Foods, Inc.*...................................... 107,500
27,300 Robert Mondavi Corp., Class A Shares...................... 938,438
31,730 Rohn Industries Inc. ..................................... 63,460
69,600 Select Appointments Holdings Ltd.*........................ 1,818,300
37,200 Steel Dynamics Inc.+ ..................................... 585,900
5,000 Thor Industries Inc.*..................................... 123,750
71,300 United Stationers Inc.*................................... 1,305,681
10,700 Vail Resorts, Inc.+ ...................................... 184,575
1,684 Vesta Insurance Group Inc.*............................... 8,946
6,800 VMR Scientific Products Corp. ............................ 157,675
32,400 Wet Seal Inc., Class A Shares............................. 1,257,525
- --------------------------------------------------------------------------------
22,144,957
- --------------------------------------------------------------------------------
Consumer Products -- 0.3%
20,100 Department 56 Inc. ....................................... 667,069
22,645 Fossil Inc.*.............................................. 713,318
45,900 Hussmann International Inc.*.............................. 648,338
17,700 Midas Inc.*............................................... 559,763
15,200 Splash Technology Holdings Inc. .......................... 106,400
- --------------------------------------------------------------------------------
2,694,888
- --------------------------------------------------------------------------------
Consumer Services -- 11.6%
8,393 99 Cents Only Stores*..................................... 397,094
9,100 Aaron Rents Inc.*......................................... 122,850
26,400 Advantica Restaurant Group, Inc. ......................... 132,000
3,800 Alexander's Inc. ......................................... 266,950
1,900 AMC Entertainment Inc. ................................... 33,013
21,900 American Italian Pasta Co., Class A Shares................ 558,450
50,600 American Media Inc., Class A Shares....................... 325,738
24,389 Amerisource Health Corp.*................................. 1,820,029
68,700 Ames Department Stores Inc. .............................. 2,061,000
12,599 Applied Graphics Technologies, Inc. ...................... 113,391
53,100 Avis Rent A Car Inc.+ .................................... 1,217,981
12,418 Barnes Group Inc.*........................................ 236,718
70,700 Big Flower Holdings Inc. ................................. 1,705,638
3,300 Black Hills Corp.*........................................ 74,250
34,900 Borders Group, Inc. ...................................... 482,056
6,300 BWAY Corp.+ .............................................. 81,112
12,500 Carematrix Corp. ......................................... 276,563
6,100 Casella Waste Systems Inc., Class A Shares................ 128,100
91,546 Casey's General Stores, Inc.*............................. 1,178,655
82,000 Cash America International Inc.*.......................... 1,035,250
</TABLE>
See Notes to Financial Statements.
86
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Services -- 11.6% (continued)
5,800 CDnow Inc.+ ............................................. $ 93,525
23,100 CDW Computer Centers Inc.+ .............................. 1,608,338
78,775 CEC Entertainment, Inc. ................................. 2,363,250
39,100 Cellstar Corp. .......................................... 444,763
14,354 Centex Construction Products, Inc.*...................... 512,258
86,800 Central Garden & Pet Co. ................................ 1,475,600
67,244 Champion Enterprises Inc. ............................... 1,323,866
13,900 Children's Place Inc. ................................... 399,625
16,500 Choicepoint Inc. ........................................ 858,000
155,763 CHS Electronics, Inc.+ .................................. 1,090,341
43,050 Claire's Stores Inc.*.................................... 949,791
30,400 Coldwater Creek Inc. .................................... 305,900
41,600 Comfort Systems USA Inc. ................................ 561,600
46,800 Corporate Express Inc. .................................. 251,550
89,900 Cost Plus Inc.*.......................................... 3,185,831
7,800 Crossmann Communities Inc. .............................. 195,000
31,300 Dal-Tile International Inc. ............................. 287,569
4,500 Delia's Inc.+ ........................................... 75,094
30,400 Deltek Systems Inc. ..................................... 459,800
7,400 Diamond Technology Partners Inc. ........................ 183,613
69,475 Dollar Tree Stores Inc.+*................................ 2,779,000
7,800 Duane Reade Inc. ........................................ 235,950
20,250 Dycom Industries Inc. ................................... 803,672
60,300 E.Spire Communications Inc. ............................. 331,650
87,899 Eagle Hardware & Garden Inc. ............................ 3,301,706
51,800 Earthgrains Co.*......................................... 1,272,338
10,900 Earthshell Corp. ........................................ 101,506
27,800 Elcor Corp.*............................................. 875,700
8,600 Elder-Beerman Stores Corp. .............................. 67,994
30,600 Ethan Allen Interiors Inc.*.............................. 1,377,000
47,100 Extended Stay America Inc. .............................. 412,125
19,800 The Finish Line, Class A Shares.......................... 238,838
6,600 Finlay Enterprises Inc. ................................. 57,750
14,908 Forest City Enterprises, Inc., Class A Shares*........... 320,522
4,600 Fred's, Inc.*............................................ 64,400
5,400 Friedman's Inc., Class A Shares*......................... 56,700
9,352 Gadzooks, Inc. .......................................... 74,816
13,800 Garden Ridge Corp. ...................................... 81,938
60,000 Gaylord Container Corp. ................................. 405,000
7,200 Genesis Direct, Inc. .................................... 28,350
1,000 Giant Cement Holding, Inc. .............................. 19,625
21,674 Goody's Family Clothing Inc. ............................ 218,772
77,400 Guitar Center Inc.+ ..................................... 1,291,613
16,600 Gymboree Corp. .......................................... 174,300
13,600 Hagler Bailly Inc. ...................................... 270,300
31,100 Hain Food Group Inc. .................................... 594,788
5,800 Hancock Fabrics Inc.*.................................... 40,238
10,700 Healthplan Services Corp.*............................... 90,281
29,100 Henry Schein Inc. ....................................... 745,688
30,700 Hollinger International Inc.*............................ 379,913
18,700 Hollywood Entertainment Corp. ........................... 513,081
22,492 Houghton Mifflin Co.*.................................... 967,156
3,900 HSB Group Inc.*.......................................... 144,300
19,100 IDT Corp. ............................................... 237,556
32,576 Inacom Corp.+ ........................................... 504,928
31,400 Industri-Matematik International Corp. .................. 109,900
52,013 Insight Enterprises Inc.*................................ 1,209,291
</TABLE>
87
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Services -- 11.6% (continued)
110,800 Interface Inc.*.......................................... $ 1,056,063
20,500 ITT Educational Services Inc. ........................... 746,969
41,300 John Wiley & Sons Inc.*.................................. 1,840,431
6,600 Jones Intercable Inc., Class A Shares.................... 267,300
41,265 Jostens Inc.*............................................ 967,148
24,125 Just For Feet Inc.+ ..................................... 246,527
5,100 K&G Men's Center Inc. ................................... 41,756
104,100 Labor Ready Inc.*........................................ 2,934,319
26,100 Lance Inc.*.............................................. 430,650
51,000 Lee Enterprises, Inc.*................................... 1,408,875
84,800 Linens 'n Things, Inc.*.................................. 3,052,800
10,700 Lithia Motors, Inc., Class A Shares...................... 197,281
19,500 MacroChem Corp.+ ........................................ 196,219
14,600 Maxim Group Inc. ........................................ 264,625
25,100 Maximus Inc. ............................................ 701,231
9,600 McGrath Rentcorp. ....................................... 180,000
145,625 The Men's Wearhouse...................................... 4,277,734
34,400 Merrill Corp.*........................................... 576,200
123,050 Metamor Worldwide Inc.+ ................................. 2,322,569
17,800 Metromedia International Group Inc. ..................... 103,463
118,500 Metzler Group Inc. ...................................... 5,036,250
6,400 Michael Foods Inc. ...................................... 118,400
48,400 Michaels Stores Inc. .................................... 828,850
113,200 Micro Warehouse Inc.+ ................................... 2,235,700
74,300 Microage Inc. ........................................... 629,228
10,000 Movado Group, Inc.*...................................... 213,750
93,300 Musicland Stores Corp. .................................. 1,102,106
50,950 National R.V. Holdings Inc.*............................. 1,114,531
39,700 Nautica Enterprises Inc. ................................ 595,500
48,200 NCI Building Systems, Inc.*.............................. 1,108,600
5,200 Omega Protein Corp. ..................................... 31,850
114,225 Pacific Sunware of California, Inc.*..................... 3,255,413
10,700 Party City Corp. ........................................ 117,031
34,400 Pegasus Systems Inc. .................................... 1,290,000
12,650 Performance Food Group Co.*.............................. 328,900
64,200 Personnel Group of America Inc.*......................... 846,638
1,600 Pilgrims Pride Corp., Class B Shares*.................... 30,500
14,100 PJ America Inc. ......................................... 276,713
29,700 Polaris Industries Inc.*................................. 839,025
24,100 Protection One Inc. ..................................... 195,812
6,100 Pulitizer Publishing Co.*................................ 487,238
16,880 Renaissance Worldwide Inc. .............................. 105,500
28,900 Rent-A-Center, Inc.+ .................................... 733,338
64,600 Rexall Sundown Inc. ..................................... 924,588
53,600 Richfood Holdings Inc.*.................................. 1,273,000
93,803 Romac International Inc. ................................ 1,125,636
21,150 SCP Pool Corp.*.......................................... 304,031
15,369 Simpson Manufacturing Co., Inc. ......................... 544,639
61,700 Smithfield Foods Inc. ................................... 1,621,553
7,500 SOS Staffing Services, Inc. ............................. 66,563
45,600 Sotheby's Holdings Inc., Class A Shares+*................ 1,276,800
69,400 Southland Corp. ......................................... 114,944
18,800 Staff Leasing Inc. ...................................... 211,500
30,500 Stage Stores Inc. ....................................... 221,125
15,300 Station Casinos Inc. .................................... 153,000
</TABLE>
See Notes to Financial Statements.
88
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Consumer Services -- 11.6% (continued)
42,300 Sunglass Hut International Inc. ......................... $ 409,781
11,400 Superior Consultant Holdings Corp. ...................... 376,200
22,400 Texas Industries Inc.*................................... 551,600
1,200 Thomas Industries Inc.*.................................. 20,475
43,400 Tommy Hilfiger Corp. .................................... 2,997,313
18,000 Trans World Entertainment Corp.*......................... 248,625
9,700 Travel Services International Inc. ...................... 147,925
6,900 Tristar Aerospace Co. ................................... 58,219
30,000 Tyler Corp. ............................................. 165,000
1,200 UNI First Corp.*......................................... 27,000
5,000 United National Foods Inc. .............................. 125,625
10,900 Urban Outfitters Inc. ................................... 133,525
10,300 USA Floral Products Inc. ................................ 144,200
12,800 Vlasic Foods International Inc. ......................... 156,000
10,800 Wackenhut Corrections Corp.*............................. 230,850
3,800 Waste Industries Inc. ................................... 51,300
69,300 Wastermasters Inc.+ ..................................... 17,325
36,800 Watsco Inc.*............................................. 430,100
10,600 West Marine, Inc. ....................................... 100,038
321,000 Whittman-Hart Inc.+*..................................... 10,051,313
18,800 Whole Foods Market Inc. ................................. 580,450
103,400 Wild Oats Markets Inc. .................................. 2,765,950
74,200 Williams-Sonoma, Inc.*................................... 2,536,713
- --------------------------------------------------------------------------------
122,766,776
- --------------------------------------------------------------------------------
Cosmetics -- 0.1%
9,600 French Fragrances Inc.+*................................. 63,000
9,300 Herbalife International Inc., Class A Shares*............ 124,388
102,100 Nature's Sunshine Products, Inc.*........................ 1,250,725
- --------------------------------------------------------------------------------
1,438,113
- --------------------------------------------------------------------------------
Education -- 1.2%
21,300 Bindview Development Corp. .............................. 479,250
191,800 Devry Inc.*.............................................. 4,818,975
250,200 Education Management Corp.*.............................. 6,724,125
2,500 Edutrek International Inc., Class A Shares............... 15,938
7,700 Strayer Education Inc.*.................................. 262,763
17,700 Tweeter Home Entertainment Group, Inc. .................. 670,388
- --------------------------------------------------------------------------------
12,971,439
- --------------------------------------------------------------------------------
Energy -- 1.0%
32,560 Barrett Resources Corp. ................................. 535,205
120,000 BJ Services Co. ......................................... 1,687,500
6,400 Cabot Oil & Gas Corp. ................................... 70,000
6,100 Cal Dive International, Inc. ............................ 87,688
54,000 Catalytica Inc. ......................................... 769,500
19,000 Comstock Resources Inc. ................................. 53,438
59,525 Cross Timbers Oil Co.*................................... 316,227
17,800 Cuno Inc. ............................................... 268,113
8,000 Daniel Industries, Inc.*................................. 85,000
6,900 Drill-Quip Inc. ......................................... 87,975
8,900 Eagle Geophysical Inc. .................................. 21,694
52,400 EEX Corp. ............................................... 317,675
10,900 Electric Lightway Inc., Class A Shares................... 85,838
15,500 Friede Goldman International Inc.+ ...................... 165,656
</TABLE>
See Notes to Financial Statements.
89
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Energy -- 1.0% (continued)
29,100 Frontier Oil Corp. ..................................... $ 152,775
8,736 Getty Realty Corp.*..................................... 120,120
9,600 Gulf Island Fabrication Inc. ........................... 62,400
42,700 Hanover Compressor Co. ................................. 934,063
158,000 Harken Energy Corp. .................................... 237,000
6,000 Horizon Offshore Inc. .................................. 34,125
44,100 Input/Output Inc. ...................................... 248,063
2,800 IRI International Corp. ................................ 8,750
3,000 KCS Energy Inc. ........................................ 3,938
13,100 Key Energy Services, Inc. .............................. 48,306
16,800 Lone Star Technologies Inc.+ ........................... 217,350
55,800 Marine Drilling Co. .................................... 355,725
18,000 Mitchell Energy & Development Corp., Class A Shares*.... 200,250
15,100 Oceaneering International, Inc. ........................ 151,000
2,200 Omni Energy Services Corp. ............................. 8,800
108,800 Patterson Energy Inc. .................................. 306,000
26,200 Pogo Producing Co.*..................................... 242,350
10,400 RPC, Inc.*.............................................. 63,700
8,200 Rutherford-Moran Oil Corp. ............................. 26,138
5,000 Sensormatic Electronics Corp. .......................... 52,500
4,800 Snyder Oil Corp.*....................................... 50,100
14,700 Stone Energy Corp. ..................................... 355,556
27,200 Superior Energy Services Inc. .......................... 74,800
7,740 Swift Energy Co. ....................................... 46,440
2,000 Thermo Ecotek Corp. .................................... 16,500
11,900 Tom Brown Inc. ......................................... 115,281
14,000 Transtexas Gas Corp. ................................... 14,875
55,046 Tuboscope Inc. ......................................... 295,872
189,800 Varco International Inc. ............................... 1,470,950
4,660 Vintage Petroleum Inc.*................................. 20,679
- -------------------------------------------------------------------------------
10,485,915
- -------------------------------------------------------------------------------
Financial Services -- 3.4%
2,950 Aames Financial Corp.+ ................................. 6,084
52,800 Affiliated Managers Group, Inc. ........................ 1,372,800
124,600 Americredit Corp. ...................................... 1,386,175
19,900 Building One Services Corp.+ ........................... 328,350
21,000 Charter Municipal Mortgage Acceptance Co.*.............. 273,000
3,800 Chittenden Corp.*....................................... 104,500
10,500 CNA Surety Corp.*....................................... 110,250
27,300 Coinstar, Inc. ......................................... 429,975
33,350 Commercial Federal Corp.*............................... 727,447
44,600 Community First Bankshares*............................. 869,700
16,500 Conning Corp.+*......................................... 264,000
11,300 Contifinancial Corp. ................................... 39,550
2,700 Delta Financial Corp.+ ................................. 15,694
77,000 Doral Financial Corp.*.................................. 1,458,188
4,500 Duff & Phelps Credit Rating Co.*........................ 245,531
55,000 Eaton Vance Corp.*...................................... 1,082,813
24,400 Envoy Corp. ............................................ 1,183,400
19,600 Everen Capital Corp.*................................... 421,400
3,400 Federal Agricultural Mortgage Corp. .................... 144,500
9,800 Financial Federal Corp. ................................ 192,938
127,200 First American Financial Corp.*......................... 2,981,250
28,624 First Bankcorp of Puerto Rico*.......................... 717,389
11,300 First Financial Holdings Inc.*.......................... 209,756
</TABLE>
See Notes to Financial Statements.
90
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Financial Services -- 3.4% (continued)
9,000 First Liberty Financial Corp.*........................... $ 176,625
11,800 First Sierra Financial Inc.*............................. 113,575
700 First Western Bancorp*................................... 21,700
2,600 Forrester Research Inc. ................................. 89,700
4,900 FPIC Insurance Group, Inc. .............................. 212,538
12,100 Franchise Mortgage Acceptance Co. ....................... 101,338
3,000 Freedom Securities Corp.*................................ 45,750
2,500 Frontier Financial Corp. ................................ 121,250
18,300 Hambrecht & Quist Inc. .................................. 487,238
9,900 Harris Financial Inc.*................................... 122,513
16,200 Headlands Mortgage Co. .................................. 305,775
39,000 Healthcare Financial Partners, Inc.+ .................... 1,018,875
10,900 Imperial Credit Industries Inc. ......................... 94,013
900 Interwest Bancorp Inc.*.................................. 20,644
4,200 Investment Technology Group Inc.+ ....................... 171,938
7,800 Investors Financial Services Corp.*...................... 452,400
40,000 Jefferies Group Inc.*.................................... 1,577,500
7,583 John Nuveen Corp.*....................................... 299,529
16,000 Legg Mason, Inc. ........................................ 453,000
5,900 Local Financial Corp. ................................... 59,738
26,078 Long Beach Financial Corp. .............................. 247,741
12,300 Mainstreet Bankgroup Inc. ............................... 550,425
1,500 Meadowbrook Insurance Group, Inc.*....................... 24,563
12,400 Medallion Financial Co.*................................. 192,200
98,900 Metris Cos. Inc.*........................................ 4,252,700
18,200 Mississippi Valley Bancshares*........................... 571,025
32,350 Morgan Keegan Inc.*...................................... 533,775
2,800 National Bancorp of Alaska Inc.*......................... 81,900
11,880 National City Bancshares, Inc. of Indiana*............... 359,370
7,550 NBT Bancorp Inc.*........................................ 168,931
130,000 Ocean Energy Inc. ....................................... 552,500
600 Omega Financial Corp.*................................... 18,600
400 Paymentech Inc. ......................................... 7,650
7,500 PBOC Holdings Inc. ...................................... 72,188
3,400 Pennsylvania Manufacturers Corp.*........................ 67,788
1,300 Philadelphia Consolidated Holding Corp. ................. 27,950
22,100 Queens County Bancorp Inc.*.............................. 642,281
134,100 Resource America Inc., Class A Shares*................... 1,449,956
9,100 Richmond County Financial Corp.*......................... 140,481
37,310 Roslyn Bancorp Inc.*..................................... 608,619
22,600 SEI Investments Co.*..................................... 2,237,400
35,700 Staten Island Bancorp Inc.*.............................. 638,138
15,500 Syntroleum Corp. ........................................ 103,656
16,600 T & W Financial Corp. ................................... 199,200
23,800 Telebanc Financial Corp.*................................ 987,700
20,100 Triad Guaranty Inc. ..................................... 371,850
4,100 UICI..................................................... 94,300
29,100 Unicapital Corp. ........................................ 169,144
11,600 WSFS Financial Corp.*.................................... 179,075
- --------------------------------------------------------------------------------
36,061,435
- --------------------------------------------------------------------------------
Healthcare -- 8.4%
33,500 ABR Information Services................................. 590,438
18,600 Acuson Corp. ............................................ 279,000
37,700 ADAC Laboratories........................................ 673,888
42,000 Advanced Tissue Sciences Inc.+ .......................... 115,500
</TABLE>
See Notes to Financial Statements.
91
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Healthcare -- 8.4% (continued)
17,600 Affymetrix Inc. ......................................... $ 682,000
57,700 Alaris Medical Inc. ..................................... 245,225
34,500 Alkermes Inc.+ .......................................... 968,156
19,100 Alternative Living Services, Inc.+ ...................... 391,550
1,950 American Homepatient Inc. ............................... 4,753
14,700 American Oncology Resources, Inc. ....................... 147,000
10,500 Ameripath Inc. .......................................... 97,781
10,200 Arrow International Inc.*................................ 250,538
14,700 Aviron+ ................................................. 315,131
31,500 Ballard Medical Products*................................ 754,031
53,000 Bio-Technology General Corp. ............................ 329,594
79,900 Biomatrix Inc.+ ......................................... 5,553,050
19,500 Celgene Corp.+ .......................................... 252,281
25,000 Cell Genesys, Inc.+ ..................................... 153,125
5,100 Centennial Healthcare Corp. ............................. 73,631
26,200 Cephalon Inc. ........................................... 201,413
6,600 Closure Medical Corp.+ .................................. 192,225
51,930 Concentra Managed Care Inc. ............................. 551,756
69,800 Cooper Cos. Inc. ........................................ 1,020,825
29,656 COR Therapeutics, Inc. .................................. 291,000
63,500 Coventry Health Care Corp. .............................. 680,641
19,500 Cytyc Corp. ............................................. 353,438
900 Datascope Corp. ......................................... 23,513
1,800 Diagnostic Products Corp.*............................... 47,700
12,500 Digene Corp. ............................................ 81,250
70,100 Eclipsys Corp. .......................................... 2,159,956
11,700 Entremed Inc.+ .......................................... 218,644
27,317 Enzo Biochem Inc. ....................................... 300,487
38,100 Express Scripts Inc., Class A Shares..................... 2,459,831
12,600 First Consulting Group Inc. ............................. 177,975
41,700 Fuisz Technologies Ltd.+ ................................ 302,325
14,600 Geltex Pharmaceuticals Inc.+ ............................ 250,938
2,400 Genesis Health Ventures Inc. ............................ 13,200
22,100 Guilford Pharmaceuticals Inc. ........................... 280,394
65,600 Hanger Orthopedic Group, Inc. ........................... 996,300
21,900 Healthworld Corp. ....................................... 317,550
24,700 Heska Corp. ............................................. 104,975
5,700 Hologic Inc. ............................................ 57,356
74,400 Hooper Holmes Inc.*...................................... 1,116,000
103,279 IDEXX Laboratoreies, Inc.+ .............................. 2,310,868
10,500 IDX Systems Corp. ....................................... 249,375
12,200 Igen International Inc.+ ................................ 369,050
27,200 Immune Response Corp. ................................... 227,800
9,300 Impath Inc. ............................................. 234,244
17,600 Invacare Corp.+*......................................... 418,000
181,500 Jones Pharma Inc.+*...................................... 5,104,688
3,100 Labone Inc.*............................................. 34,681
9,400 Landauer Inc.*........................................... 271,425
12,000 Lifecore Biomedical Inc. ................................ 117,000
43,000 The Liposome Co., Inc. .................................. 588,563
35,976 Magellan Health Services Inc. ........................... 245,087
44,600 Mariner Post-Acute Network, Inc. ........................ 97,563
12,200 Medical Manager Corp.+ .................................. 341,600
139,950 Medicis Pharmaceutical, Class A Shares+*................. 5,283,113
172,000 Medquist Inc.*........................................... 5,880,250
27,800 Mentor Corp.*............................................ 427,425
</TABLE>
See Notes to Financial Statements.
92
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Healthcare -- 8.4% (continued)
15,400 Mid Atlantic Medical Services................ $ 120,313
36,800 Millennium Pharmaceuticals, Inc. ............ 1,143,100
8,300 Minimed Inc. ................................ 707,575
8,000 Miravant Medical Technologies+ .............. 79,500
7,900 National Healthcare Corp. ................... 81,963
37,500 NCS Healthcare Inc. ......................... 532,031
4,500 Novacare Inc. ............................... 9,563
8,600 Novoste Corp. ............................... 220,375
13,200 NS Group, Inc. .............................. 51,975
67,400 Ocular Sciences Inc. ........................ 1,651,300
40,900 OEC Medical Systems Inc. .................... 1,019,944
35,188 Organogenesis Inc.+ ......................... 483,835
43,500 Orthodontic Centers of America, Inc. ........ 652,500
96,200 Owens & Minor, Inc.* ........................ 1,226,550
90,800 Oxford Health Plans Inc. .................... 1,719,525
101,100 PathoGenesis Corp.+ ......................... 4,631,644
26,200 Pediatrix Medical Group Inc.+ ............... 808,925
8,200 Perclose Inc. ............................... 346,450
18,905 Pharmaceutical Product Development........... 656,949
34,800 Pharmacyclics Inc. .......................... 661,200
52,400 Pharmerica Inc. ............................. 294,750
51,300 Phycor Inc. ................................. 278,944
78,600 Priority Healthcare Corp., Class B Shares*... 3,060,488
9,800 Province Healthcare Co.+ .................... 148,838
65,900 PSS World Medical Inc. ...................... 749,613
156,575 Renal Care Group Inc.* ...................... 3,102,142
37,650 Res-Care, Inc.+* ............................ 894,188
35,200 Resmed Inc.* ................................ 1,091,200
22,159 Respironics Inc. ............................ 283,912
12,400 Sabratek Corp.+ ............................. 234,050
19,600 SangStat Medical Corp.+ ..................... 438,550
40,503 Scios, Inc. ................................. 374,653
48,025 Serologicals Corp.* ......................... 858,447
7,200 Shiva Corp. ................................. 42,975
23,300 Sola International Inc. ..................... 250,475
30,500 Sunrise Assisted Living Inc.+ ............... 1,178,063
83,300 Techne Corp. ................................ 2,082,500
11,800 Thermedics Inc. ............................. 82,600
20,600 Thermo Cardiosystems Inc.+ .................. 194,413
133,400 Total Renal Care Holdings Inc. .............. 1,183,925
20,400 Transkaryotic Therapies Inc. ................ 596,700
142,900 Twinlab Corp. ............................... 1,219,116
34,700 United Payors & United Providers, Inc.* ..... 858,825
29,787 US Bioscience Inc. .......................... 299,732
15,500 Ventana Medical Systems, Inc. ............... 269,313
90,500 Veterinary Centers of America, Inc. ......... 1,357,500
18,600 Vical Inc. .................................. 237,150
61,600 VISX Inc.* .................................. 3,803,800
6,200 Vital Signs Inc.* ........................... 109,663
6,300 Vivus Inc.+ ................................. 16,340
14,100 Weider Nutrition International Inc. ......... 92,531
10,500 Xomed Surgical Products, Inc.* .............. 381,938
- --------------------------------------------------------------------------------
89,149,647
- --------------------------------------------------------------------------------
</TABLE>
93
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Insurance -- 0.8%
19,500 Amerin Co. ................................. $ 421,688
10,400 Anthracite Capital Inc.* ................... 76,050
27,900 Arthur J. Gallagher & Co.*.................. 1,332,225
11,600 Boron LePore & Associates, Inc. ............ 146,450
38,900 CMAC Investment Corp.+*..................... 1,607,056
41,900 Crawford & Co.* ............................ 476,613
10,300 E.W. Blanch Holdings Inc. .................. 571,650
1,200 Executive Risk Inc.*........................ 84,300
64,179 Fidelity National Financial Inc.+*.......... 1,283,580
8,800 FSI International, Inc...................... 85,800
20,900 HCC Insurance Holdings Inc.* ............... 363,138
4,793 Hilb, Rogal, & Hamilton Co.*................ 82,979
23,100 Poe & Brown Inc.* .......................... 749,306
5,500 Reinsurance Group of America, Inc.* ........ 354,406
27,000 W.R. Berkley Corp........................... 772,875
- -------------------------------------------------------------------------------
8,408,116
- -------------------------------------------------------------------------------
Machinery -- 2.4%
8,400 Advanced Energy Industries, Inc............. 161,700
7,900 Allied Products Corp........................ 39,006
2,771 Applied Industrial Technologies, Inc.*...... 35,330
63,260 Applied Power Inc., Class A Shares*......... 1,526,148
40,600 Astec Industries Inc.*...................... 1,116,500
3,700 Asyst Technologies, Inc. ................... 79,550
62,900 Briggs & Stratton Corp.*.................... 3,070,307
2,000 Electroglas Inc. ........................... 25,813
3,800 Flowserve Corp. ............................ 62,938
18,400 Gardner Denver Inc. ........................ 234,600
21,200 Helix Technology Corp.* .................... 417,375
19,050 IDEX Corp.* ................................ 452,438
162,900 Integrated Process Equipment Corp. ......... 1,832,625
17,600 ITEQ Inc.................................... 37,400
89,600 JLG Industries Inc.* ....................... 1,260,000
6,300 JLK Direct Distribution Inc., Class A
Shares..................................... 66,544
5,000 Kulicke & Soffa Industries, Inc............. 126,875
3,800 Lam Research Corp.+......................... 112,338
14,850 Lindsay Manufacturing Co.*.................. 235,744
33,875 Manitowoc Co. Inc.*......................... 1,249,141
6,300 National Oilwell Inc. ...................... 55,913
4,600 Nordson Corp.* ............................. 273,700
116,000 Novellus Systems Inc........................ 6,851,250
5,600 Omniquip International Inc.*................ 60,900
31,000 Presstek, Inc............................... 255,750
9,557 Regal Beloit Corp.* ........................ 186,362
36,000 Rental Service Corp. ....................... 801,000
33,800 Roper Industries Inc.* ..................... 747,825
6,900 Sauer, Inc. ................................ 51,319
21,100 Speciality Equipment Co. ................... 557,831
137,577 Terex Corp. ................................ 3,525,411
- -------------------------------------------------------------------------------
25,509,633
- -------------------------------------------------------------------------------
Metals -- 0.4%
244,700 Battle Mountain Gold Co. ................... 825,863
12,550 Chase Industries Inc........................ 101,184
42,500 Commercial Intertech Corp.*................. 520,625
14,000 Ladish Co., Inc............................. 98,875
</TABLE>
94
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Metals -- 0.4% (continued)
19,700 Metal Management Inc. ....................... $ 32,628
14,400 Metals USA Inc. ............................. 131,400
60,997 Quanex Corp.*................................ 1,067,448
34,200 Stillwater Mining Co.* ...................... 784,463
11,322 Valmont Industries, Inc.*.................... 133,387
10,400 Wyman-Gordon Co. ............................ 83,850
- --------------------------------------------------------------------------------
3,779,723
- --------------------------------------------------------------------------------
Pharmaceutical -- 3.8%
10,800 Advance Paradigm Inc......................... 389,475
36,100 Agouron Pharmaceuticals, Inc. ............... 2,059,956
34,500 Algos Pharmaceuticals Corp.+................. 1,035,000
51,700 Alpharma, Inc.* ............................. 1,958,138
12,700 Anesta Corp. ................................ 251,619
15,300 Axys Pharmaceutical Inc. .................... 70,763
35,925 Barr Laboratories Inc. ...................... 1,329,225
63,200 Chirex Inc................................... 1,319,300
31,900 Columbia Laboratories Inc.................... 159,500
47,000 Coulter Pharmaceutical Inc................... 957,625
66,200 Covance Inc. ................................ 1,824,638
54,600 Dura Pharmaceuticals Inc. ................... 767,813
14,300 Gensia Sicor Inc............................. 66,138
90,100 Gilead Sciences Inc. ........................ 3,716,625
25,200 Human Genome Sciences, Inc. ................. 752,850
29,800 ICN Pharmaceuticals, Inc.* .................. 651,875
40,000 ICOS Corp.+.................................. 980,000
20,000 IDEC Pharmaceuticals Corp.+.................. 866,250
29,000 Imclone Systems Inc.......................... 311,750
27,600 Incyte Pharmaceuticals Inc.+................. 774,525
33,000 Isis Pharmaceuticals Inc.+................... 398,063
8,500 Kendle International Inc..................... 205,063
15,300 KV Phamaceuticals Co., Class B Shares........ 298,350
46,100 Ligand Pharmaceuticals....................... 452,356
131,800 Medimunne Inc.+.............................. 7,249,000
65,800 NBTY Inc. ................................... 394,800
30,257 Nexstar Pharmaceuticals, Inc................. 417,925
27,600 Parexel International Corp................... 574,425
37,000 Roberts Pharmaceutical Corp. ................ 837,125
6,200 Schein Pharmaceutical Inc. .................. 82,150
30,500 Sepracor Inc.+............................... 3,804,875
38,900 SEQUUS Pharmaceuticals, Inc. ................ 795,019
17,600 Shire Pharmaceuticals Grioup PLC............. 360,800
11,500 Sugen Inc.+.................................. 200,531
13,200 Supergen Inc.+............................... 128,700
110,600 Theragenics Corp. ........................... 753,463
13,900 Thermolase Corp.............................. 45,175
24,600 Triangle Pharmaceuticals Inc................. 319,800
10,400 Vertex Pharmaceuticals Inc.+................. 244,400
12,800 Viropharma Inc............................... 106,400
39,200 Zila Inc.+................................... 160,475
58,200 Zonagen Inc.+................................ 1,607,775
- --------------------------------------------------------------------------------
39,679,735
- --------------------------------------------------------------------------------
</TABLE>
95
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Printing -- 0.2%
13,800 Consolidated Graphics Inc. ................ $ 838,350
42,200 Mail-Well Inc.+............................ 596,075
29,600 World Color Press Inc. .................... 734,450
- -------------------------------------------------------------------------------
2,168,875
- -------------------------------------------------------------------------------
Real Estate -- 1.1%
11,100 American Retirement Corp. ................. 176,906
10,300 Assisted Living Concepts Inc. ............. 48,925
5,800 Associated Estates Realty Corp.* .......... 60,538
10,400 Brookdale Living Communities, Inc.......... 182,000
2,100 Cabot Industrial Trust*.................... 39,900
1,700 Capital Automotive Real Estate Investment
Trust*.................................... 20,188
13,200 Capital Senior Living Corp. ............... 124,575
14,900 Cavanaughs Hospitality Corp. .............. 121,994
14,539 CB Richard Ellis Services Inc. ............ 236,259
19,700 Charles E. Smith Residential Reality,
Inc.* .................................... 578,688
41,800 Choice Hotels International Inc. .......... 569,525
24,267 Cousins Properties Inc.*................... 702,226
3,300 Crescent Operating Inc. ................... 11,653
49,100 Fairfield Communities Inc. ................ 402,006
10,538 Felcor Lodging Trust, Inc.* ............... 248,960
15,000 General Growth Properties, Inc.* .......... 506,250
22,500 Golf Trust of America Inc.* ............... 542,813
22,521 Grubb & Ellis Co. ......................... 147,794
17,600 Host Marriott Services Corp. .............. 123,200
1,600 Imperial Credit Commercial Mortgage
Investment Corp.* ........................ 14,500
9,466 Insignia Financial Group, Inc. ............ 123,650
91,500 Intrawest Corp.* .......................... 1,372,500
15,400 Irvine Apartment Communities Inc.* ........ 506,275
17,500 Lasalle Partners Inc. ..................... 545,781
32,900 Macerich Co.* ............................. 797,825
18,500 Mills Corp.* .............................. 336,469
25,600 Prime Hospitality Corp. ................... 262,400
26,100 Security Capital Group, Class B Shares..... 319,725
54,000 Silverleaf Resorts Inc. ................... 418,500
7,300 Suburban Lodges of America................. 56,575
18,400 Town & Country Trust*...................... 274,850
33,700 Trammell Crow Co. ......................... 522,350
7,926 Vistana Inc.+.............................. 86,691
14,300 Walter Industries, Inc. ................... 175,175
7,200 Washington Real Estate Investment Trust*... 118,350
25,000 Weingarten Realty*......................... 1,048,438
- -------------------------------------------------------------------------------
11,824,454
- -------------------------------------------------------------------------------
Restaurants -- 0.4%
23,500 Applebee's International, Inc.* ........... 609,531
66,300 Buffets Inc. .............................. 667,144
18,350 Cheesecake Factory Inc. ................... 376,175
25,515 Consolidated Products Inc. ................ 432,160
50,000 Dave & Buster's Inc. ...................... 984,375
32,200 First Sentinel Bancorp, Inc.* ............. 273,700
130,700 Grey Wolf Inc. ............................ 114,363
19,700 Landry's Seafood Restaurants, Inc. ........ 134,206
11,980 NPC International, Inc. ................... 172,213
8,300 P.F. Chang's China Bistro, Inc. ........... 199,200
41,300 Planet Hollywood International, Inc., Class
A Shares+................................. 100,669
</TABLE>
96
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Restaurants -- 0.4% (continued)
15,540 Sonic Corp.*................................. $ 372,960
13,600 TCBY Enterprises Inc.* ...................... 91,800
- --------------------------------------------------------------------------------
4,528,496
- --------------------------------------------------------------------------------
Retail -- 0.1%
5,800 Footstar Inc. ............................... 147,900
4,560 Genovese Drug Stores......................... 110,010
50,500 Stride Rite Corp.* .......................... 520,781
49,000 Wolverine Worldwide Inc.*.................... 486,938
- --------------------------------------------------------------------------------
1,265,629
- --------------------------------------------------------------------------------
Technology -- 25.1%
17,200 3DFX Interactive, Inc.+...................... 187,050
49,900 Acclaim Entertainment Inc. .................. 389,844
16,100 Action Performance Co.+*..................... 577,588
156,520 Acxiom Corp.+................................ 3,746,698
27,600 Adtran Inc................................... 565,800
4,900 Advantage Learning Systems Inc. ............. 368,725
6,200 Advent Software Inc. ........................ 285,975
38,800 Airtran Holdings Inc. ....................... 130,950
3,500 Allen Telecom Inc. .......................... 16,844
13,900 Alydaar Software Corp.+...................... 126,838
87,200 American Management Systems Inc. ............ 2,910,300
11,600 Anacomp Inc.................................. 165,300
26,300 Analysts International Corp.*................ 374,775
81,653 Apex PC Solutions Inc. ...................... 2,000,499
74,100 Applied Micro Circuits Corp. ................ 2,908,425
121,900 Ardent Software Inc. ........................ 2,316,100
6,200 Aris Corp. ................................. 82,925
4,600 Aspec Technology Inc. ....................... 5,175
20,600 Aspect Development Inc. ..................... 628,300
30,400 Aspen Technology Inc. ....................... 389,500
19,300 ATMI Inc. ................................... 439,075
106,275 Avant Corp. ................................. 1,833,244
51,200 Avid Technology Inc. ........................ 1,500,800
28,000 Axent Technologies Inc. ..................... 960,750
12,800 Barra Inc. .................................. 281,600
50,331 Bea Systems Inc.+............................ 861,918
41,400 Bell & Howell Co. ........................... 1,371,375
53,200 The Bisys Group Inc. ........................ 2,839,550
19,600 Black Box Corp. ............................. 632,100
73,025 Boole & Babbage Inc. ........................ 1,962,547
61,000 C&D Technology Inc.*......................... 1,464,000
102,000 C-Cube Microsystems Inc. .................... 1,912,500
25,500 CCC Information Services Group Inc. ......... 325,125
88,150 Central Parking Corp.+*...................... 3,008,119
39,300 Cerner Corp.+................................ 555,113
44,700 Checkfree Holdings Corp. .................... 1,530,975
65,500 Checkpoint Systems Inc. ..................... 573,125
134,800 Ciber Inc. .................................. 3,386,850
25,300 Clarify Inc. ................................ 686,263
12,100 CNET Inc.+*.................................. 1,386,963
37,700 Cognex Corp. ................................ 942,500
12,500 Cognizant Technology Solutions Corp. ........ 537,500
16,400 Cole National Corp., Class A Shares.......... 262,400
15,200 Complete Business Solutions, Inc. ........... 429,400
64,500 Computer Horizons Corp. ..................... 963,469
</TABLE>
97
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Technology -- 25.1% (continued)
20,600 Computer Learning Centers Inc.+.......................... $ 88,838
33,625 Computer Management Services............................. 933,094
100,600 Computer Task Group Inc.*................................ 2,037,150
33,500 Concentric Network Corp.*................................ 1,469,813
14,900 Concord Communications Inc. ............................. 843,713
14,400 Cotelligent Inc. ........................................ 190,800
40,800 Credence Systems Corp. .................................. 861,900
84,809 CSG Systems International Inc.*.......................... 6,042,641
23,200 CTS Corp.*............................................... 1,135,350
14,100 Curative Technologies Inc. .............................. 158,625
24,000 Cylink Corp. ............................................ 97,500
5,400 Cypress Semiconductor Corp. ............................. 51,638
15,200 Daisytek International Corp. ............................ 289,750
29,300 Dallas Semiconductor Corp.*.............................. 1,036,488
11,700 Data Transmission Network+............................... 267,638
18,300 Datastream Systems Inc. ................................. 170,419
10,700 Davox Corp. ............................................. 92,288
8,600 DBT ONLINE Inc. ......................................... 203,175
3,900 Decisionone Holdings Corp.+.............................. 9,506
20,900 Dendrite International Inc. ............................. 587,813
28,200 Dialogic Corp. .......................................... 780,788
14,700 DocuCorp International, Inc. ............................ 78,094
55,800 Documentum Inc. ......................................... 1,192,725
16,200 Doubleclick Inc. ........................................ 1,455,975
22,600 Dreyer's Grand Ice Cream Inc.*........................... 281,088
61,500 Dupont Photomasks Inc.+.................................. 2,413,875
115,300 E*TRADE Group, Inc.+..................................... 5,289,388
49,000 Earthlink Network Inc.+.................................. 2,949,188
61,100 Electronics For Imaging, Inc. ........................... 2,134,681
14,200 Emulex Corp. ............................................ 532,500
30,700 Excite Inc.+............................................. 3,146,750
41,600 Fair Issac & Co., Inc.*.................................. 1,913,600
19,250 Ferro Corp.*............................................. 411,469
10,500 Genesys Telecomm Laboratories, Inc. ..................... 177,188
10,200 Gerber Scientific Inc.*.................................. 189,975
16,300 Global DirectMail Corp. ................................. 267,931
8,800 Great Plains Software Inc. .............................. 369,600
32,900 GT Interactive Software Corp. ........................... 162,444
9,200 H.T.E. Inc. ............................................. 50,600
38,100 Harbinger Corp. ......................................... 247,650
295,800 HMT Technology Corp. .................................... 2,042,869
119,600 HNC Software Inc.+....................................... 3,214,250
136,000 Hutchinson Technology Inc.+.............................. 4,233,000
12,300 Hypercom Corp. .......................................... 127,613
36,035 Hyperion Solutions Corp. ................................ 511,247
13,750 IMRglobal Corp. ......................................... 249,219
35,500 Indus International Inc. ................................ 132,016
124,300 Informix Corp. .......................................... 1,087,625
27,700 Infoseek Corp.+.......................................... 1,982,281
31,100 Infousa Inc., Class B Shares............................. 192,431
36,600 Inktomi Corp.*........................................... 2,273,775
16,100 Innovex Inc.*............................................ 243,513
59,188 Inprise Corp.+........................................... 295,940
12,000 InSpire Insurance Solutions.............................. 195,000
19,800 Integrated Systems Inc. ................................. 314,325
</TABLE>
98
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Technology -- 25.1% (continued)
5,100 Intelligroup Inc.+....................................... $ 81,919
11,200 International Integration Inc. .......................... 222,600
5,900 International Rectifier Corp. ........................... 40,563
20,500 Iron Mountain Inc. ...................................... 627,813
5,500 ISS Group Inc. .......................................... 336,016
6,000 ITI Technologies Inc. ................................... 193,125
64,500 Jack Henry & Associates Inc.*............................ 2,322,000
23,850 JDA Software Group Inc. ................................. 149,063
3,200 Komag Inc. .............................................. 22,400
46,150 Kronos Inc.*............................................. 1,952,722
21,600 Lattice Semiconductor Corp. ............................. 861,300
13,300 Learning Tree International, Inc. ....................... 111,388
99,600 Legato Systems Inc. ..................................... 4,905,300
137,900 Macromedia Inc. ......................................... 4,214,569
3,000 Manhattan Associates Inc. ............................... 49,500
22,300 Manugistics Group Inc. .................................. 175,613
81,700 Mapics Inc. ............................................. 883,381
22,600 Mastech Corp. ........................................... 563,588
51,400 Maxtor Corp. ............................................ 424,050
13,600 Maxwell Technologies Inc. ............................... 349,350
42,100 Media General Inc.*...................................... 2,105,000
69,600 Mercury Interactive Corp.*............................... 4,510,950
22,600 Metro Information Services Inc. ......................... 502,850
44,800 Mettler-Toledo International Inc.+....................... 1,145,200
121,400 Microchip Technology, Inc.+.............................. 3,308,150
11,500 Micromuse Inc. .......................................... 370,875
87,755 Micron Electronics Inc. ................................. 1,261,478
96,400 Micros Systems Inc.*..................................... 2,687,150
33,194 Midway Games Inc. ....................................... 284,224
19,100 Mindspring Enterprises Inc.+............................. 1,633,050
34,200 MMC Networks Inc. ....................................... 480,938
4,400 Mobius Management Systems, Inc. ......................... 64,075
25,300 MRV Communications Inc. ................................. 169,194
29,200 MTI Technology Corp. .................................... 167,900
31,600 National Computer Systems Inc.*.......................... 1,012,188
38,800 National Data Corp.*..................................... 1,874,525
16,100 National Instruments Corp. .............................. 468,913
72,900 Neomagic Corp.+.......................................... 792,788
227,710 Network Appliance Inc. .................................. 9,563,820
4,400 Network Solutions Inc., Class A Shares*.................. 798,600
8,400 New England Business Service, Inc.*...................... 263,025
34,100 New Era of Networks, Inc. ............................... 2,126,988
15,700 NVIDIA Corp.+............................................ 344,419
12,600 Objective Systems Integrator Inc. ....................... 37,800
12,700 On Assignment Inc. ...................................... 450,850
3,300 Onsale Inc.+............................................. 120,450
23,800 Open Market Inc.+........................................ 309,400
78,900 Pairgain Technologies Inc. .............................. 680,513
6,700 Parkervision Inc.+....................................... 163,313
29,060 Paxar Corp. ............................................. 247,010
6,900 Pegasystems Inc. ........................................ 32,775
13,400 Pennsylvania Real Estate Investment Trust*............... 255,438
84,600 Peregrine Systems Inc.*.................................. 2,167,875
36,200 Photronics Inc. ......................................... 744,363
20,400 Physician Reliance Network, Inc. ........................ 184,875
26,260 Pioneer Group Inc.*...................................... 428,366
</TABLE>
See Notes to Financial Statements.
99
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Technology -- 25.1% (continued)
27,800 Plains Resources Inc. ................................... $ 257,150
38,500 Plantronics Inc. ........................................ 2,329,250
40,633 Platinum Software Corp. ................................. 294,590
41,100 Platinum Technology International, Inc.+................. 544,575
19,500 Playboy Enterprises, Class B Shares...................... 521,625
62,000 PMC-Sierra Inc.*......................................... 4,394,250
45,400 Pomeroy Computer Resources Inc. ......................... 1,027,175
18,000 PRI Automation Inc.+..................................... 540,000
74,004 Progress Software Corp.*................................. 2,275,623
7,100 Project Software & Development Inc. ..................... 172,175
20,300 Protein Design Labs, Inc. ............................... 334,950
4,900 QAD Inc. ................................................ 19,600
35,800 QRS Corp. ............................................... 1,783,288
147,800 Quadramed Corp.+......................................... 2,290,900
7,700 Radiant Systems Inc. .................................... 70,744
5,300 Radisys Corp. ........................................... 135,813
234,181 Rational Software Corp. ................................. 6,952,248
5,000 Read-Rite Corp. ......................................... 42,500
62,200 RealNetworks Inc.*....................................... 4,361,775
162,200 Safeguard Scientifics Inc+............................... 6,062,225
6,800 Sanchez Computer Associates, Inc.+....................... 153,850
66,400 Sapient Corp.+........................................... 4,440,500
68,100 SBS Technologies Inc. ................................... 1,293,900
14,900 SCB Computer Technology Inc. ............................ 104,300
13,000 SCM Microsystems, Inc.+.................................. 1,079,000
17,400 SDL Inc.*................................................ 948,300
11,800 Sequent Computer Systems, Inc. .......................... 112,469
70,600 Siebel Systems Inc.*..................................... 3,106,400
20,000 Sipex Corp. ............................................. 228,750
114,500 Software AG Systems Inc. ................................ 1,280,969
6,000 Spectra-Physics Lasers Inc. ............................. 61,500
8,750 SPR Inc.*................................................ 131,250
69,000 SS&C Technologies Inc. .................................. 1,242,000
129,900 Structural Dynamics Research Corp. ...................... 2,533,050
18,500 Sykes Enterprises Inc. .................................. 527,250
128,600 Symantec Corp. .......................................... 2,322,838
5,800 Syntel Inc.+............................................. 55,825
33,600 System Software Associates Inc. ......................... 111,300
35,200 Systems & Computer Technology Corp.*..................... 286,000
26,700 Tava Technologies, Inc. ................................. 165,207
51,600 Technisource Inc. ....................................... 445,050
47,150 Technology Solutions Co.*................................ 386,041
23,000 Telxon Corp. ............................................ 146,625
141,266 Tetra Tech, Inc. ........................................ 2,692,883
9,700 TETRA Technologies, Inc.*................................ 64,263
11,500 Tier Technologies Inc., Class B Shares................... 150,219
3,600 Trendwest Resorts Inc. .................................. 57,600
27,100 Trimble Navigation Ltd. ................................. 223,575
68,600 TSI International Software Ltd.*......................... 3,442,863
41,300 U.S. Satellite Broadcasting Co. ......................... 665,963
50,200 Uniphase Corp.+.......................................... 4,423,875
251,349 USWeb Corp. ............................................. 8,467,320
30,300 Vantive Corp. ........................................... 348,450
97,600 Veeco Instruments Inc. .................................. 3,733,200
74,600 Verio Inc.+.............................................. 2,116,775
</TABLE>
See Notes to Financial Statements.
100
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Technology -- 25.1% (continued)
3,900 Verisign Inc.*........................................... $ 382,200
24,900 Viasoft Inc. ............................................ 119,831
120,100 Visio Corp. ............................................. 3,452,875
23,000 Visual Networks, Inc. ................................... 902,750
52,900 Wang Laboratories, Inc.+ ................................ 1,262,988
94,837 Wind River Systems Inc. ................................. 2,163,469
39,300 Winstar Communications Inc.+ ............................ 1,237,950
73,200 Xircom Inc.+ ............................................ 2,488,800
116,700 Xylan Corp.+ ............................................ 3,092,550
27,600 Zebra Technologies Corp., Class A Shares................. 712,425
- --------------------------------------------------------------------------------
264,554,866
- --------------------------------------------------------------------------------
Transportation -- 2.1%
12,800 Air Express International Corp.*......................... 224,800
10,000 Airnet Systems Inc. ..................................... 86,250
4,000 Ambassadors International, Inc. ......................... 60,500
47,100 Amtran Inc. ............................................. 1,042,088
15,400 ASA Holdings Inc.*....................................... 516,863
12,800 Atlantic Coast Airlines Holdings......................... 409,600
16,050 Atlas Air Inc. .......................................... 483,506
89,279 Aviation Sales Co. ...................................... 4,045,455
52,900 Budget Group Inc., Class A Shares+....................... 618,269
35,300 C.H. Robinson Worldwide, Inc.*........................... 926,625
30,251 Coinmach Laundry Corp. .................................. 311,963
66,000 Convenant Transport, Inc. ............................... 1,087,500
20,600 CSK Auto Corp. .......................................... 706,838
9,800 Dispatch Management Services Corp. ...................... 22,050
9,900 Eagle USA Airfreight Inc. ............................... 285,863
42,100 Expeditors International of Washington, Inc.*............ 1,960,281
12,300 Global Imaging Systems Inc. ............................. 226,781
68,000 Greyhound Lines Inc. .................................... 433,500
13,300 Group 1 Automotive, Inc. ................................ 334,994
43,200 Gulfmark Offshore, Inc. ................................. 518,400
36,699 Halter Marine Group Inc. ................................ 146,796
17,485 Heartland Express, Inc. ................................. 281,946
4,700 Hvide Marine Inc., Class A Shares........................ 21,444
44,662 J.B. Hunt Transport Services, Inc.*...................... 1,049,557
18,100 Keystone Automotive Industries Inc. ..................... 321,275
7,200 Knight Transportation Inc. .............................. 153,000
6,300 Leasing Solutions Inc.+ ................................. 22,838
14,850 Mesaba Holdings, Inc. ................................... 226,463
27,675 Midwest Express Holdings Inc.*........................... 743,766
34,400 National Equipment Services, Inc. ....................... 387,000
19,600 Newport News Shipbuilding Inc.*.......................... 567,175
49,374 Rent-Way Inc. ........................................... 1,117,087
7,900 Skywest Inc.*............................................ 248,356
32,700 Swift Transportation Co., Inc.*.......................... 978,956
55,900 U.S. Freightways Corp. .................................. 1,781,813
5,000 U.S. Xpress Enterprises Inc., Class A Shares............. 80,000
1,300 United Auto Group Inc. .................................. 9,588
- --------------------------------------------------------------------------------
22,439,186
- --------------------------------------------------------------------------------
Utilities -- 4.4%
14,281 Aliant Communications Inc.*.............................. 569,455
20,134 American Mobile Satellite................................ 86,828
103,900 AnswerThink Consulting Group, Inc.+ ..................... 3,013,100
</TABLE>
101
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Utilities -- 4.4% (continued)
61,300 Aspect Telecommunications Corp. ......................... $ 471,244
7,800 Associated Group Inc. ................................... 388,538
25,600 Avado Brands Inc.*....................................... 174,400
166,474 Brightpoint Inc. ........................................ 2,476,301
4,900 Carbo Ceramics Inc.*..................................... 78,400
27,700 Caribiner International Inc. ............................ 216,406
43,300 Cellnet Data Systems Inc.+ .............................. 273,331
7,300 Cellular Communications of Puerto Rico................... 179,763
4,477 Centennial Cellular Corp., Class A Shares................ 154,323
29,200 CFW Communications Co.*.................................. 624,150
40,600 CMG Info Services+....................................... 4,978,575
4,200 Com21 Inc. .............................................. 98,963
22,200 CommNet Cellular Inc. ................................... 341,325
24,000 Commonwealth Telephone Enterprises, Inc.*................ 777,000
10,600 Corinthian Colleges Inc. ................................ 237,175
33,500 Digi International Inc. ................................. 217,750
73,200 Digital Microwave Corp. ................................. 583,313
5,100 Essex International Inc. ................................ 149,175
6,300 Excel Switching Corp. ................................... 148,838
89,300 General Cable Corp.*..................................... 1,679,956
21,000 Geotel Communications Co. ............................... 904,313
147,700 ICG Communications Inc. ................................. 2,778,606
1,866 Indiana Energy Inc.*..................................... 37,320
23,000 Inter-Tel Inc.*.......................................... 405,375
60,400 Interdigital Comm Corp. ................................. 294,450
57,500 ITC Deltacom Inc. ....................................... 833,750
24,100 IXC Communications Inc.+ ................................ 1,253,200
29,800 L-3 Communications Corp. ................................ 1,277,675
18,200 LCC International Inc., Class A Shares................... 100,100
14,850 Mastec Inc. ............................................. 373,106
14,500 Natural Microsystems Corp. .............................. 87,907
5,600 Newfield Exploration Co. ................................ 91,000
8,300 Nextlink Communications, Class A Shares+................. 379,725
5,500 Norstan Inc. ............................................ 55,000
17,800 North Pittsburgh Systems Inc. ........................... 248,088
36,600 NTL Inc.+ ............................................... 2,843,363
7,800 OmniAmerica, Inc.+ ...................................... 226,200
28,200 Omnipoint Corp. ......................................... 327,825
3,100 Optical Cable Corp.+ .................................... 36,425
10,300 Pacific Gateway Exchange Inc. ........................... 257,500
32,100 Pagemart Wireless Inc., Class A Shares................... 192,600
49,100 Performance Systems International Inc. .................. 1,758,394
62,300 Polycom Inc. ............................................ 1,261,575
5,400 Powerwave Technologies Inc. ............................. 126,900
38,900 Premiere Technologies Inc. .............................. 354,963
31,300 Premisys Communications, Inc. ........................... 258,225
23,580 Primus Telecommunications Group, Inc.*................... 257,906
37,620 RCN Corp.*............................................... 902,880
5,800 Seacor Smit Inc. ........................................ 228,375
9,920 Semco Energy Inc.*....................................... 156,240
71,889 Skytel Communications Inc.+ ............................. 1,294,002
23,400 Star Telecommunications, Inc. ........................... 304,200
128,500 Tekelec*................................................. 1,558,063
36,675 Tel-Save Communications, Inc.+ .......................... 364,458
5,400 Telegroup, Inc. ......................................... 1,013
10,450 Transaction Network Services, Inc. ...................... 205,081
</TABLE>
See Notes to Financial Statements.
102
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Utilities -- 4.4% (continued)
14,500 Unisource Energy Corp. ............................ $ 167,656
45,952 United International Holdings, Class A Shares...... 2,113,792
5,800 U.S. Lec Corp., Class A Shares..................... 83,738
15,800 USN Communications Inc.+ .......................... 7,900
27,300 Vanguard Cellular Systems, Class A Shares.......... 760,988
22,000 West Teleservices Corp. ........................... 217,250
19,700 Westell Technologies Inc. ......................... 100,963
86,500 Western Wireless Corp. ............................ 2,340,906
27,800 World Access Inc.+ ................................ 218,925
- -------------------------------------------------------------------------------
45,966,230
- -------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $1,025,545,758)............... 1,037,215,340
- -------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK -- 0.0%
Consumer Services -- 0.0%
1,237 Mediq Inc. 13.000% (Cost -- $0).................... 1,237
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY BILLS -- 0.1%
$800,000 U.S. Treasury Bill, 4.440% due 3/4/99 (Cost --
$799,507)........................................ 799,507
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.7%
17,676,000 Morgan Stanley Dean Witter & Co., 4.730% due
3/1/99; Proceeds at maturity -- $17,682,967;
(Fully Collateralized by U.S. Treasury Notes &
Bonds, 5.500% to 14.000% due 4/30/99 to 2/15/26
(Market value -- $17,798,422) (Cost --
$17,676,000)...................................... 17,676,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,044,021,265**)................................ $1,055,692,084
- -------------------------------------------------------------------------------
</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.
Classification of Investments
[PIE CHART APPEARS HERE]
Consumer Durables & Non-Durables 4.7% 4.7
Health Care 8.4% 8.4
Technology 25.1% 25.1
Capital Goods 7.2% 7.2
Banking 4.1% 4.1
Utilities 4.4% 4.4
Consumer Services 11.6% 11.6
Basic Industries 4.2% 4.2
Other Common Stock 28.5% 28.5
U.S. Treasury Bills and Repurchase Agreement 1.8% 1.8
See Notes to Financial Statements.
103
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
STOCK -- 98.1%
- --------------------------------------------------------------------------------
Australia -- 1.9%
56,200 Amcor Ltd.(a)........................................ $ 279,619
88,000 Amp Ltd. ............................................ 996,449
17,800 Ashton Mining Ltd.*.................................. 5,969
1,296,892 Australia & New Zealand Banking Group Ltd. .......... 8,375,826
26,229 Australian Gas Light Co. Ltd. ....................... 171,986
104,893 Boral Ltd.(a)........................................ 151,121
19,400 Brambles Industries Ltd. ............................ 493,942
182,903 Broken Hill Proprietary Co. Ltd.*(b) ................ 1,373,212
40,675 Burns, Philp & Co. Ltd.*............................. 5,304
75,370 Coca Cola Amatil Ltd. ............................... 296,835
100,407 Coles Myer Ltd. ..................................... 536,232
31,386 Colonial Ltd. ....................................... 118,678
86,499 Crown Ltd.*.......................................... 42,435
4,118 CSL Ltd. ............................................ 36,801
87,900 CSR Ltd. ............................................ 211,792
26,048 David Jones Ltd. .................................... 24,587
13,300 Delta Gold NL........................................ 19,657
5,500 Dominion Mining Ltd. ................................ 1,263
2,750 Dominion Mining Ltd. Warrants Expire 12/31/98........ 3
24,266 Email Ltd. .......................................... 40,686
12,781 F. H. Faulding & Co. Ltd. ........................... 77,036
170,700 Fosters Brewing Group Ltd.*.......................... 489,740
43,698 Futuris Corp. Ltd. .................................. 54,272
105,246 General Property Trust............................... 176,465
53,989 Gio Australia Holdings Ltd.(a)....................... 146,647
111,743 Goodman Fielder Ltd. ................................ 103,394
16,947 Great Central Mines N.l. ............................ 15,365
4,114 Homestake Mining Co. ................................ 36,277
16,187 Howard Smith Ltd. ................................... 120,625
36,132 James Hardie Industries Ltd. ........................ 79,654
22,600 Leighton Holdings Ltd. .............................. 74,383
44,782 Lend Lease Corp. Ltd. ............................... 556,191
8,150 Mayne Nickless Ltd. ................................. 26,570
12,300 Metal Manufactures Ltd. ............................. 19,477
147,363 M.I.M. Holdings Ltd. ................................ 64,058
117,200 National Australia Bank Ltd.(b) ..................... 1,954,170
18,442 Newcrest Mining Ltd. ................................ 27,600
176,112 News Corp. Ltd. ..................................... 1,235,827
134,728 News Corp. Ltd., Preferred........................... 881,838
147,518 Normandy Mining Ltd. ................................ 126,419
65,002 North Ltd. .......................................... 96,878
22,600 Orica Ltd.* ......................................... 121,398
89,400 Pacific Dunlop....................................... 156,003
77,325 Pioneer International Ltd. .......................... 155,820
33,450 QBE Insurance Group Ltd. ............................ 125,672
51,067 QCT Resources Ltd. .................................. 24,418
11,700 Resolute Samantha Ltd. .............................. 8,210
16,450 RGC Unsecured Notes.................................. 0
28,643 Rio Tinto Ltd.*...................................... 358,128
9,300 Rothmans Holdings Ltd. .............................. 73,346
</TABLE>
See Notes to Financial Statements.
104
<PAGE>
Schedules of Investments (unaudited) (continued) February 28,1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Australia -- 1.9% (continued)
52,725 Santos Ltd. ......................................... $ 146,029
37,201 Schroders Property Fund.............................. 56,368
8,035 Sons Of Gwalia Ltd. ................................. 23,551
56,012 Southcorp Ltd. ...................................... 215,656
25,842 Stockland Trust Group................................ 60,981
8,555 Suncorp-Metway Ltd. ................................. 47,686
41,700 Sydney Harbour....................................... 39,879
26,400 TABCORP Holdings Ltd. ............................... 185,256
422,100 Telstra Corp. Ltd. .................................. 2,153,606
4,397 Wesfarmers........................................... 44,081
109,034 Westfield Trust...................................... 223,442
155,000 Westpac Bank Corp. Ltd.(b) .......................... 1,024,824
10,785 Westralian Sands Ltd. ............................... 28,798
101,075 WMC Ltd. ............................................ 313,837
22,462 Woolworths Ltd.*..................................... 73,287
2,660 Zimbabwe Platinum Mines.............................. 586
- ------------------------------------------------------------------------------
25,206,145
- ------------------------------------------------------------------------------
Austria -- 0.2%
200 Austria Mikro Systeme International AG............... 6,575
2,400 Austria Tabakwerke AG................................ 177,290
2,800 Austrian Airlines Osterreichische Luftuerkehrs AG.... 92,215
300 Bau Holding AG....................................... 11,444
1,000 Bbag Oesterreichische Brau--Beteiligungs............. 47,655
12,775 Bank Austria AG...................................... 687,197
1,000 Boehler -- Uddeholm AG .............................. 47,930
100 BWT AG............................................... 20,913
2,300 Flughafen Wien AG.................................... 98,472
800 Generali Holding Vienna AG........................... 176,965
200 Lenzing AG........................................... 12,493
1,300 Mayr-Melnhof Karton AG............................... 61,923
3,300 Oesterreichische Elektrizitaetswirtschafts AG........ 528,921
2,920 OMV AG............................................... 269,269
1,000 RHI AG............................................... 27,631
300 Universale Bau AG.................................... 9,363
1,600 VA Technologie AG.................................... 123,832
900 Wienerberger Baustoffindustrie AG.................... 177,844
- ------------------------------------------------------------------------------
2,577,932
- ------------------------------------------------------------------------------
Belgium -- 1.1%
4,445 Almanij NV........................................... 343,777
45 Almanij NV - STRIP VVPR*............................. 3
591 AXA-uap Warrants Expire 7/13/01*..................... 0
1,400 Barco NV Terme....................................... 243,602
250 Bekaert NV........................................... 102,644
2,550 Cimenteries CBR Cementbedrijuen...................... 224,371
250 Cimenteries CBR Cementbedrijven - STRIP VVPR*........ 8
450 Colruyt NV........................................... 337,656
1,100 Compagnie Maritime Belge S.A. ....................... 37,857
300 Copeba............................................... 21,110
630 D'ieteren S.A. ...................................... 293,245
5,700 Delhaize-Le Lion S.A................................. 548,155
</TABLE>
See Notes to Financial Statements.
105
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Belgium -- 1.1% (continued)
6,075 Electrabel S.A. ....................................... $ 2,534,278
625 Electrabel S.A. - STRIP VVPR........................... 150
80,118 Fortis AG*............................................. 2,915,668
41,418 Fortis AG(b) - STRIP VVPR*............................. 454
4,270 Fortis B CVG*.......................................... 20,156
110 Generale De Banque S.A. - STRIP VVPR*.................. 2
750 Glaverbel S.A.......................................... 75,748
2,700 Groupe Bruxelles Lambert S.A........................... 503,891
2,140 KBC STRIP VVPR Bancassurance*.......................... 93
32,240 Kredietbank Npv........................................ 2,479,292
2,600 Petropina S.A. ........................................ 1,202,226
175 Royal Belge - STRIP VVPR*.............................. 3
1,100 Societe Generale Warrants Expire 11/30/99*............. 144
9,300 Solvay S.A. ........................................... 639,119
9,375 Tractebel Inv. ........................................ 1,649,792
750 Tractebel - STRIP VVPR................................. 24
17,000 UCB S.A.*.............................................. 882,743
2,850 Union Miniere S.A. .................................... 92,860
- --------------------------------------------------------------------------------
15,149,071
- --------------------------------------------------------------------------------
Canada -- 0.9%
221,600 BCE Inc.*.............................................. 8,969,698
71,500 Seagrams Co., Ltd. .................................... 3,310,930
- --------------------------------------------------------------------------------
12,280,628
- --------------------------------------------------------------------------------
Denmark -- 0.5%
255 Aarhus Oliefabrik A/S, Class A Shares.................. 7,153
65 Aarhus Oliefabrik A/S, Class B Shares.................. 1,634
1,015 Bang & Olufsen Holdings Class B Shares................. 68,940
3,950 Carlsberg A/S, Class A Shares.......................... 177,305
3,905 Carlsberg A/S, Class B Shares(a)....................... 181,627
92 D/S 1912 Class B Shares................................ 577,334
83 D/S Svenborg Class B Shares............................ 747,582
6,735 Danisco A/S............................................ 328,172
5,930 Den Danske Bank Group.................................. 656,699
4,190 FLS Industries A/S..................................... 89,089
2,375 GN Store Nord. A/S(a).................................. 78,552
2,375 ISS International Service System A/S................... 146,585
970 Korn-OG Foderstof Kompagniet A/S....................... 20,521
215 Lauritzen Holdings A/S................................. 15,904
600 NKT Holdings A/S....................................... 47,043
8,405 Novo Nordisk A/S, Class B Shares(a).................... 964,294
1,710 Ostasiatiske Kompagni(a)............................... 11,109
825 Radiometer A/S -- Class B Shares....................... 38,981
3,750 Sas Danmark A/S(a)..................................... 36,821
524 Sophus Berendsen Class A Shares........................ 16,806
2,475 Superfos A/S........................................... 35,448
14,675 Teledanmark A/S(a)..................................... 1,763,816
5,965 Unidanmark A/S(a)...................................... 424,530
- --------------------------------------------------------------------------------
6,435,945
- --------------------------------------------------------------------------------
Finland -- 1.0%
1,900 Amer-Group............................................. 28,158
4,890 Asko Oyj -- Class A Shares............................. 74,081
5,700 Cultor Oyj Series 1.................................... 52,562
</TABLE>
See Notes to Financial Statements.
106
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Finland -- 1.0% (continued)
1,800 Cultor Oyj Series 2(a)................................ $ 16,203
2,487 Finnlines Oyj......................................... 75,354
7,606 Hartwall Oyj(a)....................................... 94,353
2,000 Instrumentarium Group, Class A Shares................. 60,159
870 Instrumentarium Group, Class B Shares................. 25,787
16,400 Kemira Oyj(a)......................................... 99,021
10,100 Kesko Oyj(a).......................................... 143,476
700 Kone Oy, Class B Shares............................... 79,535
90,166 Merita PLC, Class A Shares(a)......................... 527,587
1,100 Metra AB, Class A Shares.............................. 21,132
5,800 Metra AB, Class B Shares(a)........................... 108,243
13,400 Nokia AB Oyj, Class K Shares(a)....................... 1,826,316
52,300 Nokia Oyj AB, Class A Shares(a)....................... 7,093,206
13,500 Outokumpu Oyj......................................... 118,414
2,100 Pohjola Group Insurance Corp. Class A Shares(a)....... 115,269
2,600 Pohjola Group Insurance Corp., Class B Shares(a)...... 142,714
20,789 Raisio Group PLC(a)................................... 127,804
592 Rauma Oyj............................................. 6,823
16,771 Rautaruukki Oyj(a).................................... 104,944
6,600 Sampo Insurance Co., Class A Shares................... 218,089
46,942 Sonera Group Oyj...................................... 806,492
3,300 Stockmann AB, Class A Shares.......................... 76,258
2,300 Stockmann AB, Class B Shares(a)....................... 39,262
5,849 Tieto Corp.(a)........................................ 234,368
30,060 UPM Kymmene Oyj(a).................................... 780,449
9,831 Valmet Oyj(a)......................................... 102,528
- ------------------------------------------------------------------------------
13,198,587
- ------------------------------------------------------------------------------
France -- 9.9%
3,841 Accor S.A. ........................................... 893,932
8,814 Air Liquide .......................................... 1,314,005
21,670 Alcatel............................................... 2,331,360
596 Allianz Cert, Offered Guaranted....................... 0
596 Assurance Generales de France......................... 33,695
828 Assurance Generales de France Warrants Expire
6/15/00*............................................. 472
38,460 Axa................................................... 5,015,915
5,900 Bic................................................... 304,420
210 Bongrain S.A. ........................................ 80,458
2,745 Bouygues S.A. ........................................ 682,550
23,064 Banque National de Paris.............................. 1,840,744
3,353 Canal Plus............................................ 1,047,593
7,300 Cap Gemini S.A.(a).................................... 1,262,199
4,235 Carrefour Supermarche................................. 3,017,328
1,900 Establissments Economigues du Casino Guichard
Perrachon S.A. ...................................... 110,235
7,800 Establissments Economigues du Casino Guichard
Perrachon S.A. -- Preferred.......................... 716,711
650 Chargeurs S.A. ....................................... 29,970
9,550 Cie De St Gobain...................................... 1,484,537
450 Cie Generale Geophysique S.A. ........................ 17,932
1,594 Club Mediterranee S.A. ............................... 152,416
1,700 Coflexip S.A.(a)...................................... 105,350
1 Compagnie Bancaire S.A.*.............................. 140
1,250 CPR S.A. ............................................. 49,826
18,312 CSF (thomson)......................................... 542,780
12,318 Dassault Systemes S.A. ............................... 488,170
400 Dollfus-Mieg & Cie.................................... 2,656
</TABLE>
See Notes to Financial Statements.
107
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
France -- 9.9% (continued)
9,411 Eaux Warrants Expire 5/2/01*......................... $ 26,448
2,800 Eridania Beghin Say.................................. 405,748
1,050 Essilor International S.A. .......................... 401,137
425 Societe Eurafrance................................... 210,654
150 Europe 1 Communication............................... 37,742
97,514 France Telecom S.A. ................................. 9,126,114
276 Gecina............................................... 31,056
62,368 Groupe Danone........................................ 15,535,342
1,619 Groupe GTM........................................... 145,742
1,650 Groupe SEB S.A. ..................................... 108,682
1,600 Imetal S.A. ......................................... 189,700
7,374 L'OREAL(b) .......................................... 4,533,312
11,667 Lafarge S.A.(a)...................................... 1,107,898
12,840 Lagardere S.C.A...................................... 493,352
2,990 Legrand S.A. ........................................ 614,143
9,380 LVMH(a)(b)........................................... 1,997,694
14,810 Michelin Cgde, Series B.............................. 660,093
2,540 Moulinex*............................................ 30,114
1,636 Natexis.............................................. 93,392
17,896 Paribas.............................................. 1,542,233
800 Pathe S.A. .......................................... 209,899
8,750 Pechiney S.A. ....................................... 289,133
6,025 Pernod-Ricard........................................ 356,508
12,500 Pinault Printemps Redoute S.A. ...................... 2,073,475
2,150 Primagaz Cie......................................... 172,300
2,050 Promodes............................................. 1,306,413
5,375 PSA Peugeot Citroen.................................. 716,934
40,564 Rhone Poulenc ....................................... 1,859,181
450 Sagem S.A. .......................................... 259,850
11,797 Sanofi S.A.(a)....................................... 2,076,010
16,356 Schneider S.A. ...................................... 960,628
1,400 Sefimeg.............................................. 96,672
5,550 Seita................................................ 329,011
3,600 Sidel S.A. .......................................... 253,329
2,059 Simco S.A. .......................................... 183,316
1,150 Skis Rossignol S.A. ................................. 15,907
30,027 Elf Aquitaine S.A.(b) ............................... 3,131,555
11,133 Societe Generale, Class A Shares(a).................. 1,634,060
3,588 Sodexho Alliance S.A. ............................... 587,686
1,900 Sommer Allibert S.A. ................................ 46,931
114,834 Suez Lyonnaise Des Eaux.............................. 22,956,462
1,800 Tech Nip............................................. 162,035
26,177 Total S.A., Series B................................. 2,730,033
1,000 Unibail S.A. ........................................ 122,953
26,050 Usinor S.A. ......................................... 319,723
159,355 Valeo S.A. .......................................... 13,321,714
69,903 Vivendi.............................................. 18,225,689
500 Zodiac S.A. ......................................... 96,057
- ------------------------------------------------------------------------------
133,309,454
- ------------------------------------------------------------------------------
Germany -- 8.1%
4,950 Adidas Salomon AG.................................... 472,225
3,500 Agiv AG.............................................. 74,540
27,532 Allianz AG(b)........................................ 8,190,899
1,000 Amb Aachener & Muench Beteiligungs AG................ 105,389
4,400 Amb Aachener & Muench Beteiligungs AG, Registered
Shares.............................................. 579,640
</TABLE>
See Notes to Financial Statements.
108
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Germany -- 8.1% (continued)
68,200 BASF AG.............................................. $ 2,343,436
82,174 Bayer AG............................................. 2,886,748
55,125 Bayerische Hypo Und-Vereinsbank(b)................... 3,080,285
9,200 Beiersdorf AG........................................ 688,805
3,950 Bilfinger & Berger Bau AG............................ 77,186
400 Brau Und Brunmen AG*................................. 24,964
300 Buderus AG........................................... 104,730
2,900 AXA Colonia Konzern AG(a)............................ 280,159
500 AXA Colonia Konzern AG, Preferred Shares............. 34,855
12,550 Continental AG....................................... 318,947
202,591 Daimler Chrysler AG.................................. 18,926,642
10,100 Degussa Huels AG*.................................... 352,592
59,968 Deutsche Bank AG..................................... 3,120,487
41,850 Deutsche Lufthansa AG................................ 921,158
246,964 Deutsche Telekom AG(b)............................... 10,912,495
5,200 Deutz AG*............................................ 40,245
3,850 Douglas Holding AG................................... 182,163
57,753 Dresdner Bank AG..................................... 2,012,995
116 Dyckerhoff AG........................................ 31,091
166 Dyckerhoff AG, Preferred Shares...................... 43,812
50 Escada AG............................................ 6,861
50 Escada AG, Preferred Shares.......................... 7,135
5,280 FAG Kugelfischer Georg Schaefer AG................... 44,922
350 Friedrich Grohe AG................................... 88,757
5,285 Heidelberg Zements AG................................ 358,556
100 Herlitz AG........................................... 2,470
100 Herlitz AG, Preferred Shares......................... 2,096
7,700 Hochtief AG(a)....................................... 260,355
100 Holsten Brauerei AG.................................. 21,956
2,000 IWKA AG.............................................. 38,862
900 Karstadt AG.......................................... 338,891
900 Linde AG............................................. 489,071
1,200 MAN AG............................................... 321,436
500 Man AG, Preferred Shares............................. 94,959
170,578 Mannesmann AG........................................ 23,070,566
18,850 Merck KGaA........................................... 641,501
29,944 Metro AG............................................. 2,103,847
2,000 Metro AG, Preferred Shares........................... 77,065
350 Muenchener Rueckversicherungs-Gesellschaft AG........ 93,368
18,726 Muenchener Rueckversicherungs-Gesellschaft AG
Registered Shares................................... 3,757,904
364 Muenchener Rueckversicherungs-Gesellschaft Warrant
Expire 6/3/02*...................................... 13,786
1,650 Preussag AG.......................................... 802,439
1,950 Rheinmetall AG....................................... 50,306
826 Rheinmetall AG, Preferred Shares(a).................. 16,639
43,376 Rwe AG............................................... 1,895,208
23,900 Rwe AG Preferred Shares.............................. 695,293
100 Salamander AG........................................ 16,467
6,700 Sap AG............................................... 2,254,393
4,873 Sap AG, Preferred Shares............................. 1,805,488
7,500 Schering AG ......................................... 961,675
2,300 SGL Carbon AG........................................ 105,795
64,533 Siemens AG........................................... 4,016,885
150 Strabag AG*.......................................... 7,904
3,750 Thyssen AG(a)........................................ 734,842
55,942 VEBA AG.............................................. 2,953,980
2,906 Viag AG.............................................. 1,547,254
</TABLE>
See Notes to Financial Statements.
109
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Germany -- 8.1% (continued)
10,500 Volkswagon AG, Preferred Shares.................... $ 417,275
36,410 Volkwagon AG....................................... 2,384,271
- ------------------------------------------------------------------------------
108,306,966
- ------------------------------------------------------------------------------
Greece -- 0.2%
84,210 Hellenic Telecommunications Organization S.A....... 2,218,018
- ------------------------------------------------------------------------------
Hong Kong -- 1.9%
132,208 Bank Of East Asia Ltd.(a)*......................... 185,996
337,000 Cathay Pacific Airways*............................ 376,242
1,050,000 Cheung Kong Holdings Ltd.(a)....................... 7,148,803
177,608 Chinese Estates Holdings........................... 27,049
17,760 Chinese Estates, Warrants Expire 11/24/00*......... 733
17,760 Chinese Estates, Warrants Expire 11/24/99*......... 527
245,000 CLP Holdings Ltd.(a)*.............................. 1,154,198
22,000 Dickson Concepts International Ltd. ............... 16,753
65,000 Elec & Eltek International Holdings Ltd. .......... 12,416
64,000 Giordano International Ltd. ....................... 15,529
122,000 Hang Lung Development Co., Ltd.(a)................. 117,310
190,100 Hang Sang Bank Ltd. ............................... 1,545,767
426,722 Hong Kong & China Gas Co. ......................... 495,688
6,800 Hong Kong Construction............................. 208
16,800 Hong Kong Aircraft Engineering Co. Ltd. ........... 27,104
102,500 Hong Kong & Shanghai Hotels Ltd.(a)................ 69,455
19,396 Hong Kong China Gas Co., Warrants 9/30/99*......... 700
34,000 Hong Kong Construction Holdings Ltd.(a)............ 12,067
6,159 Hong Kong Telecommunications Ltd. ADR(a)........... 103,548
1,206,594 Hong Kong Telecommunications Ltd. ................. 2,024,538
79,400 Hopewell Holdings Ltd.(a)*......................... 33,306
1,164,000 Hutchison Whampoa Ltd. ............................ 8,075,195
93,000 Hysan Development Co. Ltd. ........................ 111,631
9,300 Hysan Development Co. Ltd., Warrants Expire
4/30/99*.......................................... 20
90,600 Johnson Electric Holdings Ltd.*.................... 239,719
4,900 Melco International Devolpment Ltd. ............... 442
52,000 Miramar Hotel & Investment Ltd. ................... 52,350
196,864 New World Development Co. Ltd.* ................... 362,078
449 New World Infrastructure Ltd. ..................... 495
132,000 Oriental Press Group............................... 13,130
52,000 Peregrine Investment Holdings Ltd.*................ 0
360,800 Regal Hotel International(a)....................... 38,651
178,000 Shangri-La Asia Ltd.(a)............................ 127,507
125,243 Shun Tak Holdings Ltd. ............................ 20,206
276,000 Sino Land Co.(a)................................... 131,805
170,000 South China Morning Post Holdings Ltd. ............ 72,956
235,000 Sun Hung Kai Properties............................ 1,599,970
155,000 Swire Pacific Ltd. ................................ 634,180
41,000 Tai Cheung Holdings Ltd. .......................... 9,049
168,000 Tan Chong International Ltd. ...................... 16,045
38,000 Television Broadcast Ltd. ......................... 113,051
22,000 Varitronix International Ltd. ..................... 38,901
227,000 Wharf Holdings Ltd. ............................... 262,222
11,350 Wharf Holdings Warrants Expire 12/31/99*........... 454
21,068 Wing Lung Bank..................................... 61,998
- ------------------------------------------------------------------------------
25,349,992
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
110
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Ireland -- 0.3%
100,102 Allied Irish Banks PLC............................... $ 1,736,298
3,900 Clondalkin Group PLC................................. 27,829
3,159 Crean James.......................................... 4,508
44,784 CRH PLC.............................................. 830,871
7,600 DCC PLC.............................................. 62,574
34,467 Fyffes PLC........................................... 87,784
22,364 Greencore Group PLC.................................. 87,647
39,305 Independent Newspaper PLC............................ 147,785
2,405 Irish Continental Group PLC.......................... 31,682
37,175 Irish Life PLC....................................... 373,827
11,000 Irish Permanent PLC.................................. 175,099
5,200 Jurys Hotel Group PLC................................ 41,387
19,100 Kerry Group PLC...................................... 245,326
19,100 Ryanair Holdings PLC*................................ 142,581
128,799 Smurfit Jefferson.................................... 275,722
21,200 Tullow Oil PLC*...................................... 17,687
85,520 Waterford Foods PLC, Unit............................ 68,535
- --------------------------------------------------------------------------------
4,357,142
- --------------------------------------------------------------------------------
Italy -- 7.6%
220,000 Alitalia S.p.A....................................... 825,987
11,000 Arnoldo Mondadori Editor S.p.A....................... 168,953
90,828 Assicurazioni General................................ 3,531,773
159,000 Banca Commerciale Italiana(a)........................ 993,193
4,934,905 Banca Di Roma(a)..................................... 7,140,337
3,585,958 Banca Nazionale Del Lavo*............................ 10,707,760
20,000 Banca Popolare Di Milano............................. 168,227
157,666 Banco Intesa S.p.A.(a)............................... 870,623
69,666 Banco Intesa S.p.A. di Risp.......................... 184,315
165,200 Benetton Group S.p.A.(a)............................. 269,315
26,000 Bulgari S.p.A. ...................................... 129,013
9,000 Burgo Cartiere S.p.A.(a)............................. 51,377
15,000 Cementir S.p.A. ..................................... 16,467
30,000 Impresilo S.p.A.*(a)................................. 24,535
3,000 Danieli & Co. ....................................... 15,844
3,000 Danieli & Co. di Risp NC............................. 8,365
56,000 Edison S.p.A.(a)..................................... 515,668
718,000 ENI S.p.A.(a)(b)..................................... 4,194,133
11,000 Falck Acciaierie & Ferriere Lombarde S.p.A. ......... 89,964
91,200 Fiat S.p.A. ......................................... 140,668
324,200 Fiat S.pA., Preferred Shares(a)...................... 980,526
70,000 Fiat S.p.A-di Risp NC................................ 113,348
352,000 Istituto Nazionale delle Assicurazioni(a)............ 848,206
15,000 Italcementi S.p.A. .................................. 170,433
7,000 Italcementi S.p.A. di Risp.(a)....................... 32,844
61,000 Italgas S.p.A.(a).................................... 309,851
18,600 La Rinascente S.p.A.(a).............................. 164,374
2,000 La Rinascente S.p.A., Preferred Shares............... 8,870
3,000 La Rinascente di Risp................................ 13,196
53,900 Magneti Marelli S.p.A.(a)............................ 81,715
4,000 Marzotto & S.p.A.(a)................................. 34,646
1,944,268 Mediaset S.p.A.(a)................................... 18,388,061
8,600 Medibanco Warrants Expire 12/31/00*.................. 22,469
51,600 Mediobanca S.p.A..................................... 590,711
9,200 Milano Assicurazioni(a).............................. 27,309
45,000 Montedison S.p.A. di Risp NC(a)...................... 36,309
439,700 Montedison S.p.A.(a)................................. 438,922
</TABLE>
See Notes to Financial Statements.
111
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Italy -- 7.6% (continued)
231,868 Olivetti & Co.(a)*................................. $ 712,727
28,028 Olivetti S.p.A. Warrants Expire 8/31/02*........... 72,000
130,000 Parmalat Finanziera S.p.A.(a)...................... 183,245
169,000 Pirelli S.p.A.(a).................................. 491,836
7,000 Pirelli Spa di Risp. NC............................ 13,978
11,800 Riunione Adriatica di Sicurta S.p.A. di Risp NC.... 84,978
38,000 Riunione Adriatica di Sicurta S.p.A.(a)............ 399,602
6,790 Reno De Medici S.p.A.* ............................ 16,995
11,000 Societa Assicuratrice Industriale S.p.A.(a)........ 120,722
4,000 Societa Assicuratrice Industriale S.p.A di Risp
NC................................................ 19,716
176,385 San Paolo-imi S.p.A. .............................. 3,059,062
17,000 Sirti S.p.A(a)..................................... 101,151
5,000 SNIA BPD S.p.A. di Risp............................ 5,049
55,000 SNIA BPD S.p.A.(a)................................. 77,889
139,500 Telecom Italia Mobile S.p.A. di Risp NC............ 561,730
594,500 Telecom Italia Mobile S.p.A.(b) ................... 4,022,245
2,957,831 Telecom Italia S.p.A. ............................. 31,139,853
80,201 Telecom Italia di Risp NC.......................... 541,475
1,467,041 Uncredito Italiano S.p.A.(a)*...................... 7,608,108
352,000 Unione Immobiliare S.p.A. ......................... 193,252
- ------------------------------------------------------------------------------
101,733,920
- ------------------------------------------------------------------------------
Japan -- 18.8%
15,600 Acom Co. .......................................... 921,668
10,600 Advantest Corp. ................................... 804,938
69,000 Ajinomoto Co. ..................................... 754,260
20,000 Alps Electric Co. ................................. 347,239
32,000 Amada Co. ......................................... 157,505
11,000 Amano Corp. ....................................... 87,610
33,000 Aoki Corp.(a)*..................................... 13,350
7,900 Aoyama Trading Co. ................................ 213,063
5,900 Arabian Oil Co.(a)................................. 78,666
259,000 Asahi Bank Ltd. ................................... 1,135,103
54,000 Ashi Breweries Ltd. ............................... 715,448
154,000 Ashi Chemical Industries Co. Ltd. ................. 738,525
125,000 Ashi Glass Co. Ltd. ............................... 831,226
69,000 Ashikaga Bank Ltd.(a).............................. 115,726
4,100 Autobacs Seven Co. ................................ 125,090
497,600 Bank of Tokyo -- Mitsubishi Ltd.(a)(b)............. 5,997,201
124,000 Bank of Yokohama Ltd. ............................. 245,596
90,000 Bridgestone Corp. ................................. 2,013,906
29,000 Brothers Industries Ltd. .......................... 85,301
93,000 Canon Inc. ........................................ 1,990,897
30,000 Casio Computer Co.(a).............................. 200,000
85,000 Chiba Bank Ltd. ................................... 315,212
22,000 Chiyoda Corp.(a)*.................................. 53,771
27,000 Chugai Pharmaceutical Co. Ltd.(a).................. 258,280
34,000 Citizen Watch Co. Ltd. ............................ 230,105
70,000 Cosmo Oil Co. Ltd. ................................ 99,115
18,200 Credit Saison Co.(a)............................... 382,713
7,000 CSK Corp. ......................................... 197,640
81,000 Dai Nippon Print Co. .............................. 1,127,104
41,000 Daicel Chemicals Industries Ltd. .................. 108,849
48,000 Daido Steel Co. ................................... 64,728
78,000 Daiei Inc.(a)...................................... 193,931
</TABLE>
See Notes to Financial Statements.
112
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Japan -- 18.8% (continued)
13,000 Daifuku Co. ........................................... $ 75,052
29,000 Daiichi Pharmaceutical Co. Ltd. ....................... 441,415
29,000 Daikin Industries Ltd. ................................ 232,195
15,000 Daikyo Inc.(a)*........................................ 17,572
30,000 Daimaru Inc.(a)........................................ 112,768
86,000 Dainippon Ink & Chemicals Inc. ........................ 255,861
19,000 Dainippon Screen Manufactoring Co. Ltd. ............... 69,658
15,325 Daito Trust Construction............................... 132,519
56,000 Daiwa House Industry Co. Ltd. ......................... 573,923
17,000 Daiwa Kosho Lease Co. Ltd. ............................ 56,595
146,000 Daiwa Securities Co. Ltd.(a)........................... 602,949
52,000 Denki Kagaku Kogyo Kabushiki Kaisha.................... 78,449
386,000 Denso Co., Ltd. ....................................... 6,701,727
426 East Japan Railway Co. ................................ 2,563,539
31,000 Ebara Corp. ........................................... 322,410
32,800 Eisai Co. ............................................. 613,704
16,000 Ezaki Glico Co.(a)..................................... 94,260
25,500 Fanuc Ltd. ............................................ 952,085
313,000 Fuji Bank Ltd.(a)...................................... 1,231,655
55,000 Fuji Photo Film Co. ................................... 2,021,030
41,000 Fujikura Ltd.(a)....................................... 221,154
55,000 Fujita Corp. .......................................... 26,885
13,000 Fujita Kanko Inc. ..................................... 110,113
200,000 Fujitsu Ltd.(a)........................................ 2,494,732
72,000 Furukawa Electric Co. Ltd. ............................ 270,037
6,000 Gakken Co. ............................................ 6,371
56,000 Gunma Bank Ltd.(a)..................................... 420,059
27,000 Gunze Ltd. ............................................ 59,393
95,000 Hankyu Corp. .......................................... 399,536
20,000 Hankyu Dept.(a)........................................ 123,219
34,000 Haseko Corp.(a)*....................................... 14,327
25,000 Hazama Corp. .......................................... 14,538
28,000 Higo Bank Ltd. ........................................ 106,194
4,300 Hirose Electric Co. Ltd. .............................. 291,740
356,000 Hitachi Ltd.(b) ....................................... 2,250,316
109,000 Hitachi Zosen Corp. ................................... 133,206
2,000 Hokuetsu Bank Ltd. .................................... 5,343
76,000 Hokuriku Bank Ltd. .................................... 133,232
104,000 Honda Motor Co.(b) .................................... 4,005,731
13,000 House Foods Corp. ..................................... 191,083
12,000 Hoya Corp. ............................................ 586,599
26,000 Inax Corp. ............................................ 166,978
280,200 Industrial Bank of Japan Ltd.(a)(b).................... 1,400,409
24,000 Isetan Co.(a).......................................... 208,546
35,000 Ishihara Sangyo Kaisha Ltd.*........................... 48,672
238,000 Ito-Yokado Co. Ltd. ................................... 13,880,825
155,000 Itochu Corp. Ltd. ..................................... 271,723
25,000 Itoham Foods Inc. ..................................... 102,402
28,000 Iwatani International Corp. ........................... 56,873
17,000 Jaccs Co. Ltd. ........................................ 63,185
194,000 Japan Air Lines(a)..................................... 495,423
121,000 Japan Energy Corp. .................................... 108,099
15,000 Japan Metals & Chemicals Co. Ltd. ..................... 24,273
41,000 Japan Steel Works Ltd.*................................ 45,958
4,000 Jeol Ltd. ............................................. 18,305
20,000 JGC Corp.(a)........................................... 40,455
96,600 Joyo Bank Ltd. ........................................ 341,132
</TABLE>
See Notes to Financial Statements.
113
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Japan -- 18.8% (continued)
34,000 Jusco Co. ............................................. $ 550,476
105,000 Kajima Corp.(a)........................................ 252,212
10,000 Kaken Pharmaceutical Co. Ltd. ......................... 47,534
30,000 Kamigumi Co. .......................................... 131,984
22,200 Kandenko Co. .......................................... 144,445
57,000 Kanebo Ltd.(a)*........................................ 52,364
38,000 Kankeka Corp. ......................................... 281,837
104,200 Kansai Electric Power Co., Inc. ....................... 1,984,761
31,000 Kansai Paint........................................... 81,517
351,000 Kao Corp.* ............................................ 7,011,125
6,000 Katokichi Co. Ltd. .................................... 81,163
152,000 Kawasaki Heavy Industries Ltd.(a)...................... 290,804
64,000 Kawasaki Kisen Kaisha Ltd. ............................ 91,698
354,000 Kawasaki Steel Corp. .................................. 551,959
55,930 Keihin Elecetric Express Railway Co. Ltd. ............. 172,056
21,600 Kikkoman Corp.(a)...................................... 133,987
29,500 Kinden Corp. .......................................... 387,863
172,940 Kinki Nippon Railway(a)................................ 912,435
110,000 Kirin Brewery Co. ..................................... 1,302,570
6,300 Kissei Pharm Co. ...................................... 106,991
14,000 Kokuyo Co. Ltd. ....................................... 208,259
106,000 Komatsu Ltd. .......................................... 519,056
9,000 Komori Corp.(a)........................................ 162,326
3,900 Konami Co.(a).......................................... 131,807
39,000 Konica Corp. .......................................... 164,020
22,000 Koyo Seiko Corp. ...................................... 117,741
154,000 Kubota Corp. .......................................... 378,997
75,000 Kumagai Gumi Co.(a)*................................... 53,097
21,000 Kurabo Industries...................................... 21,769
39,000 Kuraray Co. ........................................... 383,590
24,000 Kureha Chemicals Industry Co. Ltd. .................... 61,694
14,800 Kurita Water Industries Ltd. .......................... 195,212
20,300 Kyocera Corp.*......................................... 958,112
49,000 Kyowa Hakko Kogyo Co. Ltd. ............................ 231,681
9,000 Kyudenko Corp. ........................................ 53,249
34,000 Lion Corp. ............................................ 133,535
11,000 Maeda Road Construction Co. Ltd. ...................... 64,896
10,000 Makino Milling Machine Co.(a).......................... 54,698
18,000 Makita Corp. .......................................... 172,490
163,000 Marubeni Corp. ........................................ 270,636
24,000 Maruha Corp. .......................................... 21,238
39,000 Marui Co. ............................................. 637,673
782,000 Matsushita Electric Industrial Co., Ltd. .............. 13,082,764
300 Matsuzakaya Co. ....................................... 1,378
33,000 Meiji Milk Products Co., Ltd. ......................... 97,623
43,000 Meiji Seika............................................ 174,681
42,000 Minebea Co Ltd.(a)..................................... 417,699
14,000 Misawa Homes Co. ...................................... 41,297
72,000 Mitsubishi Rayon Co., Ltd. ............................ 170,518
228,000 Mitsubishi Chemical Corp.(a)........................... 557,269
167,000 Mitsubishi Corp. ...................................... 900,800
229,000 Mitsubishi Electric Corp.(a)........................... 687,096
138,000 Mitsubishi Estate Co., Ltd. ........................... 1,361,972
55,000 Mitsubishi Gas Chemical Co. ........................... 142,772
359,000 Mitsubishi Heavy Industries Ltd. ...................... 1,334,336
18,000 Mitsubishi Logistics Corp. ............................ 203,438
</TABLE>
See Notes to Financial Statements.
114
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Japan -- 18.8% (continued)
124,000 Mitsubishi Materials Corp. ............................ $ 217,378
50,000 Mitsubishi Oil Co. .................................... 90,181
36,000 Mitsubishi Paper Mills................................. 60,075
139,000 Mitsubishi Trust & Banking Co., Ltd. .................. 1,180,884
169,000 Mitsui & Co. .......................................... 920,134
92,000 Mitsui Engineering & Ship Building Co. Ltd.*........... 81,415
89,000 Mitsui Fudosan Co. .................................... 713,350
86,000 Mitsui Marine & Fire Insurance Co. Ltd. ............... 406,624
55,000 Mitsui Mining & Smelting Co. Ltd.(a)................... 252,170
121,000 Mitsui OSK Lines Ltd. ................................. 188,664
15,000 Mitsui Soko Co. Ltd. .................................. 51,327
131,000 Mitsui Trust & Banking Co.(a).......................... 129,178
52,000 Mitsukoshi Ltd.(a)..................................... 125,343
11,000 Mori Seiki Co. Ltd. ................................... 111,344
174,000 Murata Manufacturing Co., Ltd. ........................ 7,831,099
35,000 Mycal Corp.(a)......................................... 196,165
17,000 Nagase & Co. Ltd. ..................................... 64,761
89,000 Nagoya Railroad Co. Ltd. .............................. 300,792
5,800 Namco Ltd.(a).......................................... 122,208
58,450 Nankai Electric Railway Co. Ltd. ...................... 274,392
170,000 NEC Corp.(a)........................................... 1,716,477
114,000 Oji Paper Co. ......................................... 563,035
38,000 NGK Insulators Ltd.(a)................................. 435,887
24,000 NGK Spark Plug Co. Ltd.(a)............................. 263,969
50,200 Nichido Fire & Marine Insurance Co., Ltd. ............. 269,510
34,000 Nichirei Corp. ........................................ 75,937
26,000 Niigata Engineering Co.*............................... 18,407
350,000 Nikko Securities Co. Ltd. ............................. 1,106,194
40,000 Nikon Corp.(a)......................................... 559,629
17,000 Nippon Beet Sugar Manufactoring Co., Ltd. ............. 27,222
14,000 Nippon Cosmsys Corp.(a)................................ 159,646
7,000 Nippon Denko Co., Ltd. ................................ 9,085
114,000 Nippon Express Ltd. ................................... 570,720
63,000 Nippon Fire & Machine Insurance Ltd. .................. 194,336
59,000 Nippon Light Metal Co., Ltd. .......................... 58,179
25,000 Nippon Meat Packers Inc. .............................. 339,443
134,000 Nippon Mistubishio Oil Corp.(a)........................ 470,948
103,000 Nippon Paper Industries Co. ........................... 394,117
16,000 Nippon Sharyo Ltd. .................................... 46,253
48,000 Nippon Sheet Glass Co. Ltd. ........................... 143,211
34,000 Nippon Shinpan Co. .................................... 70,206
22,000 Nippon Shokubai Co., Ltd. ............................. 114,959
725,000 Nippon Steel Co. ...................................... 1,270,965
33,000 Nippon Suisan Kaisha Ltd. ............................. 35,322
2,107 Nippon Telegraph & Telephone Corp.*(b)................. 17,367,433
133,000 Nippon Yusen Kabushiki Kaisha.......................... 448,377
30,000 Nishimatsu Construction Co., Ltd. ..................... 145,132
268,000 Nissan Motor Co., Ltd.(a).............................. 1,045,798
26,000 Nisshinbo Industries Inc. ............................. 86,557
14,000 Nissin Food Products Co. Ltd. ......................... 296,165
17,000 Nitto Denko Corp.(a)................................... 254,462
384,000 NKK Corp. ............................................. 226,548
24,000 NOF Corp. ............................................. 43,084
564,000 Nomura Securities Co. Ltd.* ........................... 4,639,393
18,000 Noritake Co. .......................................... 93,754
</TABLE>
See Notes to Financial Statements.
115
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Japan -- 18.8% (continued)
61,000 NSK Ltd. ............................................ $ 277,109
50,000 NTN Corp. ........................................... 152,970
396 NTT Mobile Communication............................. 16,086,978
81,000 Obayashi Corp.(a) ................................... 365,233
80,320 Odakyu Electric Railway.............................. 270,779
17,000 Okamoto Industries................................... 37,825
15,000 Okuma Corp. ......................................... 67,509
27,000 Okumura Corp. ....................................... 104,450
29,000 Olympus Optical Co. Ltd.* ........................... 315,297
29,000 Omron Corp. ......................................... 315,297
19,000 Onward Kashiyama Co. Ltd.(a) ........................ 209,776
37,000 Orient Corp.(a) ..................................... 83,261
7,100 Orix Corp. .......................................... 444,011
269,000 Osaka Gas Co., Ltd. ................................. 804,846
3,600 Oyo Corp. ........................................... 54,037
40,000 Penta--Ocean Construction Co. Ltd. .................. 60,345
20,000 Pioneer Electronic Corp. ............................ 356,510
18,000 Q.P. Corp.(a) ....................................... 127,737
22,000 Renown Inc. ......................................... 12,052
81,000 Rohm Co. ............................................ 7,919,089
2,494,000 Sakura Bank Ltd.(a) ................................. 5,423,109
16,000 Sanden Corp.(a) ..................................... 120,286
20,000 Sankyo Aluminum Industry Co. Ltd. ................... 16,856
49,000 Sankyo Co. .......................................... 1,053,097
9,000 Sanrio Co. .......................................... 140,328
26,000 Sanwa Shutter Corp. ................................. 115,044
205,000 Sanyo Electric Co. .................................. 578,803
37,000 Sapporo Breweries Ltd. .............................. 153,737
21,000 Sato Kogyo Co.(a) ................................... 14,336
12,000 Secom Co. ........................................... 931,479
11,000 Sega Enterprises Ltd.(a) ............................ 207,669
17,000 Seino Transportation Co., Ltd. ...................... 90,265
25,000 Seiyu Ltd.(a) ....................................... 86,388
60,000 Sekisui Chemical Co., Ltd. .......................... 379,266
76,000 Sekisui House........................................ 778,255
400 Seven-Eleven Japan Co. Ltd. ......................... 30,037
42,000 Seventy-Seventh Bank Ltd.(a) ........................ 374,867
120,000 Sharp Corp. ......................................... 1,171,175
6,000 Shimachu Co. ........................................ 113,274
15,000 Shimano Inc. ........................................ 345,132
86,000 Shimizu Corp.(a) .................................... 278,331
42,000 Shin-Etsu Chemical Co.(a) ........................... 984,070
38,000 Shionogi & Co. ...................................... 294,327
46,000 Shiseido Co.(a) ..................................... 558,280
85,000 Shizuoka Bank Ltd. .................................. 1,023,725
9,000 Shokusan Jutaku Sogo Co. Ltd.* ...................... 9,026
114,000 Showa Denko K.K...................................... 96,080
11,000 Skylark Co. ......................................... 196,544
7,100 SMC Corp.(a) ........................................ 574,462
35,000 Snow Brand Milk Products Co., Ltd. .................. 169,616
43,700 Sony Corp. .......................................... 3,307,425
335,000 Sumitomo Bank Ltd.(a) ............................... 4,040,328
177,000 Sumitomo Chemical Co. Ltd.(a) ....................... 642,958
116,000 Sumitomo Corp. ...................................... 582,688
78,000 Sumitomo Electric Industries......................... 821,087
19,000 Sumitomo Forestry Co. Ltd. .......................... 128,107
</TABLE>
See Notes to Financial Statements.
116
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Japan -- 18.8% (continued)
64,000 Sumitomo Heavy Industries Ltd.(a) ..................... $ 142,941
74,000 Sumitomo Marine & Fire Insurance Co. Ltd.(a) .......... 412,254
400,000 Sumitomo Metal Industries Ltd. ........................ 401,179
62,000 Sumitomo Metal Mining Co. ............................. 226,262
48,000 Sumitomo Osaka Cement Co. ............................. 103,565
103,200 Taiheiyo Cement Corp. ................................. 273,982
105,000 Taisei Corp.(a) ....................................... 182,300
37,000 Taisho Pharmaceutical Co. ............................. 982,300
13,000 Taiyo Yuden Co. Ltd. .................................. 137,067
24,000 Takara Shuzo Co. ...................................... 144,222
16,000 Takara Standard Co. Ltd. .............................. 113,409
33,000 Takashimaya Co.(a) .................................... 248,091
371,000 Takeda Chemical Industries............................. 12,757,522
10,000 Takuma Co. ............................................ 68,268
104,000 Teijin Ltd. ........................................... 373,400
29,000 Teikoku Oil Co. ....................................... 76,991
22,000 Toa Corp. ............................................. 35,785
94,000 Tobu Railway Co.(a) ................................... 270,155
16,000 Toei Co. .............................................. 44,635
2,100 Toho Co. .............................................. 256,460
53,600 Tohoku Electric Power Co. ............................. 827,152
216,000 Tokai Bank Ltd.(a) .................................... 1,057,699
165,000 Tokio Marine & Fire Insurance Co. Ltd. ................ 1,766,118
19,000 Tokyo Broadcasting System Inc. ........................ 206,573
18,000 Tokyo Dome Corp. ...................................... 92,541
144,100 Tokyo Electric Power Co.(a) ........................... 2,908,718
19,000 Tokyo Electron Ltd. ................................... 864,728
299,000 Tokyo Gas Co.(a) ...................................... 700,564
17,200 Tokyo Steel Manufactoring Co., Ltd. ................... 77,120
11,000 Tokyo Style Co. ....................................... 114,218
25,000 Tokyo Tatemono Co.(a) ................................. 41,719
32,000 Tokyo Tokeiba Co. ..................................... 46,388
120,000 Tokyu Corp.(a) ........................................ 290,265
75,000 Toppan Printing Co. Ltd. .............................. 878,002
149,000 Toray Industries Inc.* ................................ 651,757
465,000 Toshiba Corp. ......................................... 2,884,450
66,000 Tosoh Corp. ........................................... 96,788
24,000 Tostem Corp.(a) ....................................... 384,323
41,000 Toto Ltd.(a) .......................................... 294,066
14,000 Toyo Engineering Corp. ................................ 14,277
6,000 Toyo Exterior Co. Ltd. ................................ 58,305
25,000 Toyo Seikan Kaisha Ltd. ............................... 476,190
75,000 Toyobo Co.(a) ......................................... 93,552
32,000 Toyoda Automatic Loom Works Ltd.(a) ................... 540,750
403,000 Toyota Motor Corp.(b) ................................. 10,529,287
2,000 Trans Cosmos Inc. ..................................... 59,839
6,000 Tsugami Corp.* ........................................ 8,293
21,000 Tsumakimoto Chain Co. ................................. 44,247
92,000 UBE Industries Ltd.(a) ................................ 130,265
8,000 Uni-Charm Corp. ....................................... 343,194
6,000 Uniden Corp.(a) ....................................... 48,343
53,000 Unitika Ltd.* ......................................... 32,608
21,000 Uny Co. ............................................... 336,460
17,000 Wacoal Corp. .......................................... 199,213
22,000 Yamaguchi Bank Ltd. ................................... 216,940
23,000 Yamaha Corp. .......................................... 212,650
</TABLE>
See Notes to Financial Statements.
117
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Japan -- 18.8% (continued)
106,000 Yamaichi Securities Co. Ltd.* ......................... $ 0
36,000 Yamanouchi Pharmaceutical Co. Ltd. .................... 1,098,356
46,000 Yamato Transport Co., Ltd.(a) ......................... 619,148
24,000 Yamazaki Baking Co., Ltd. ............................. 322,831
167,000 Yasuda Trust & Banking Co., Ltd. ...................... 156,232
28,000 Yokogawa Electric Corp. ............................... 132,861
- --------------------------------------------------------------------------------
253,510,628
- --------------------------------------------------------------------------------
Malaysia -- 0.3%
9,000 Aluminium Co. of Malaysia Berhad....................... 2,068
33,000 AMMB Holdings Berhad................................... 27,489
105,000 Amsteel Corp. Berhad................................... 9,550
15,000 Antah Holdings Berhad.................................. 2,567
13,000 Aokam Perdana Berhad*.................................. 1,913
71,000 Berjaya Group Berhad................................... 14,106
56,000 Berjaya Land Berhad.................................... 20,911
79,200 Commerce Asset Holdings Berhad......................... 66,733
19,000 Edaran Otomobil Nasional Berhad........................ 26,606
47,000 Ekran Berhad*.......................................... 10,069
200 Genting Berhad......................................... 414
128,000 Golden Hope Plantation Berhad*......................... 116,430
10,000 Golden Plus Holdings Berhad*........................... 2,609
25,000 Guinness Anchor Berhad................................. 22,141
77,000 Highlands & Lowlands Berhad............................ 42,208
20,400 Hong Leong Industries Berhad........................... 13,038
58,000 Hong Leong Properties Berhad........................... 9,579
21,000 Hume Industries Berhad................................. 13,471
47,000 Idris Hydraulic Berhad*................................ 8,269
31,000 IGB Corp. Berhad....................................... 7,717
70,000 IOI Corp. Berhad....................................... 34,684
21,000 Jaya Tiasa Holdings Berhad............................. 25,033
21,000 Johan Holdings Berhad.................................. 3,091
31,000 Kedah Cement Holdings*................................. 16,547
8,000 Kelanamas Industries Berhad*........................... 957
30,000 Kemayan Corp. Berhad*.................................. 2,297
10,000 Kian Joo Can Factory Berhad............................ 12,567
91,000 Kuala Lumpor Kepong Berhad............................. 118,716
40,000 Land & General Berhad*................................. 7,659
35,000 Landmarks Berhad....................................... 6,828
36,000 Leader Universal Holdings Berhad*...................... 8,574
191,500 Magnum Corp. Berhad.................................... 89,845
98,000 Malaysian Airline System Berhad........................ 40,113
292,000 Malayan Banking Berhad................................. 489,276
35,000 Malayan Cement Berhad.................................. 10,221
85,000 Malayan Mining Corp. Berhad............................ 37,030
13,500 Malayawata Steel Berhad................................ 2,940
102,000 Malaysian International Shipping Berhad................ 121,103
18,000 Malaysian Mosiacs Berhad............................... 5,472
12,000 Malaysian Oxygen Berhad................................ 20,681
27,000 Malaysian Pacific Industries Berhad.................... 38,131
87,000 Malaysian Resources Corp. Berhad....................... 23,949
151,200 Malaysian United Industries Berhad*.................... 22,439
65,000 Mbf Capital Berhad..................................... 9,257
66,000 Metroplex Berhad....................................... 9,163
78,750 Mulpha International Berhad............................ 10,556
64,000 Multi-purpose Holdings Berhad*......................... 20,834
</TABLE>
See Notes to Financial Statements.
118
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Malaysia -- 0.3% (continued)
23,000 Mycon Berhad*.......................................... $ 2,449
400 Naluri Berhad.......................................... 58
30,000 Nestle Malaysia Berhad................................. 105,563
15,000 New Straits Times Press Berhad......................... 11,489
27,200 Oriental Holdings Berhad*.............................. 40,693
10,000 Palmco Holdings Berhad................................. 2,609
55,000 Pan Malaysian Cement Works Berhad...................... 12,112
31,000 Perlis Plantations Berhad.............................. 28,791
45,000 Perusahaan Otomobil Nadional Berhad.................... 57,090
13,000 Petaling Garden Berhad................................. 8,215
14,000 Pilecon Engineering Berhad............................. 3,150
49,000 Promet Berhad*......................................... 3,401
266,532 Public Bank Berhad..................................... 133,980
35,000 Rashid Hussain Berhad*................................. 20,274
139,000 Resorts World Berhad................................... 165,698
212,000 RHB Capital Berhad*.................................... 123,822
22,000 Rj Reynolds Berhad..................................... 20,643
36,000 Rothmans of Pall Malaysia Berhad....................... 188,720
23,000 Selangor Properties Berhad............................. 9,084
25,000 Shell Refining Co. Malaysia Berhad..................... 23,338
3,675 Silverstone Berhad*.................................... 0
297,000 Sime Darby Berhad...................................... 301,436
35,200 Sungei Way Holdings Berhad*............................ 8,931
51,000 Ta Enterprise Berhad................................... 13,306
56,000 Tan Chong Motor Holdings Berhad........................ 14,611
63,000 Technology Resources Industries Berhad................. 26,390
382,000 Telekom Malaysia Berhad................................ 745,236
395,000 Tenaga Nasional Berhad................................. 595,676
68,000 Time Engineering Berhad*............................... 9,847
22,000 UMW Holdings Berhard................................... 20,748
72,000 United Engineers Malaysia Ltd. Berhad.................. 43,086
159,500 Ytl Corp., Berhad...................................... 200,444
- --------------------------------------------------------------------------------
4,546,741
- --------------------------------------------------------------------------------
Netherlands -- 7.2%
156,986 Abn Amro Holding NV.................................... 3,196,902
63,519 Aegon(a)............................................... 6,631,453
31,077 Akzo Nobe NV........................................... 1,178,722
8,928 Buhrmann NV............................................ 167,110
72,667 Elsevier NV............................................ 1,180,656
9,769 Getronics NV........................................... 426,296
11,884 Hagemeyer NV........................................... 366,600
34,155 Heineken Nv(a)......................................... 1,784,784
4,304 Hollandsche Beton Groep NV............................. 41,107
3,143 IHC Caland NV.......................................... 101,441
102,481 ING Groep NV........................................... 5,737,702
8,428 KLM(a)................................................. 235,008
479,150 KPN NV................................................. 25,143,395
66,309 Koninklijke Ahold NV................................... 2,547,798
4,244 Koninklijke Hoogovens NV............................... 127,891
2,875 Koninklijke Nedlloyd NV................................ 33,297
1 Laurus NV.............................................. 22
9,527 Oce NV................................................. 265,129
3,380 Koninklijke Pakhoed NV................................. 82,003
39,799 Koninklijke Philips Electronic......................... 2,774,408
</TABLE>
See Notes to Financial Statements.
119
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Netherlands -- 7.2% (continued)
425,235 Royal Dutch Petroleum Co.(a)....................... $ 18,672,975
3,851 Stork NV........................................... 71,447
51,755 Tnt Post Group NV.................................. 1,769,843
69,726 Unilever NV........................................ 5,029,034
10,944 Vedior NV.......................................... 232,483
433,630 VNU NV(a).......................................... 17,827,714
7,509 Wolters Kluwer NV.................................. 1,446,717
- ------------------------------------------------------------------------------
97,071,937
- ------------------------------------------------------------------------------
New Zealand -- 0.8%
240,000 Brierley Investment Ltd. .......................... 55,345
155,100 Carter Holt Harvey Ltd. ........................... 142,254
3,200 Ceramco Corp. Ltd. ................................ 1,760
7,800 Fisher & Paykel Industries Ltd. ................... 28,615
31,033 Fletcher Challegne Building........................ 47,980
59,450 Fletcher Challegne Paper........................... 41,128
30,827 Fletcher Challenge Energy.......................... 53,639
73,284 Fletcher Challenge Forest.......................... 31,878
49,100 Lion Nathan Ltd. .................................. 118,116
1,179,024 Telecom Corp. of New Zealand Ltd.(a)*.............. 5,993,895
1,449,069 Telecom Corp. of New Zealand Ltd., Installment
Receipts*......................................... 4,139,047
- ------------------------------------------------------------------------------
10,653,657
- ------------------------------------------------------------------------------
Norway -- 0.2%
5,100 Aker RGI ASA, Class A Shares....................... 54,759
1,260 Aker RGI ASA, Class B Shares....................... 12,414
3,700 Ask Proxima ASA*................................... 22,901
4,800 Bergesen d.y. ASA, Class A Shares.................. 65,483
2,100 Bergesen d.y. ASA, Class B Shares.................. 27,853
94 Bona Shipping Ltd. ................................ 368
50,300 Christiania Bank Og Kreditkasse ASA................ 180,448
63,300 Den Norske Bank ASA................................ 222,287
2,300 Dyno Industrier ASA................................ 34,282
4,500 Elken ASA.......................................... 61,106
6,200 Hafslund Nycomed Class A Shares(a)................. 39,941
2,700 Hafslund Nycomed Class B Shares.................... 10,402
1,400 Helicopter Services Group ASA...................... 6,189
900 Kvaerner ASA Class B Shares........................ 14,210
3,100 Kvaerner PLC....................................... 60,500
2,700 Leif Hoegh & Co. ASA............................... 31,036
7,500 Merkantildata ASA.................................. 77,685
17,111 NCL Holding ASA*................................... 36,312
22,600 Norsk Hydro ASA.................................... 766,512
400 Norske Skogindustrier ASA Class A Shares........... 10,408
2,400 Norske Skogindustrier ASA Class B Shares........... 71,395
30,855 Nycomed Amersham(a)................................ 202,672
14,400 Orkla Asa, Class A Shares.......................... 192,812
3,200 Orkla Asa, Class B Shares.......................... 37,188
7,200 Petroleum Geo Services ASA*........................ 81,854
4,600 Sas Norge Asa, Class B Shares...................... 37,769
6,800 Schibsted ASA...................................... 80,313
2,700 Smedvig ASA--Class A Shares........................ 20,463
4,000 Tomra Systems ASA.................................. 138,950
25,200 Storebrand, Class A Shares*........................ 195,768
1,300 Unitor ASA......................................... 11,494
- ------------------------------------------------------------------------------
2,805,774
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
120
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Portugal -- 1.2%
22,907 Banco Comercial Porugues S.A., Registered Shares..... $ 688,786
13,662 Banco Espirito Santo e Comercial de Lisboa S.A.,
Registered Shares................................... 389,502
5,900 Banco Totta & Acores S.A., Registered Shares......... 110,174
7,600 BPI-SGPS S.A., Registered Shares*.................... 263,815
5,700 Brisa Auto Estradas de Portugal S.A., Registered
Shares.............................................. 268,758
2,200 Brisa Auto Estradas De Portugal S.A. ................ 113,174
9,800 Cimpor Cimentos de Portugal S.A. .................... 273,265
428 Cin-Corparacao Industrial do Norte S.A. ............. 15,411
1,100 Colep- Portugal-Embalagens, Produtos Enchinentose
Equipmentos S.A.* .................................. 7,716
1,300 Corticeira Amorim S.A. .............................. 16,041
69,700 EDP-Electricidade de Portugal S.A. .................. 1,502,791
1,552 Engil-SGPS........................................... 9,439
3,000 INAPA-Investimentos Participacoes e Gestao S.A. ..... 25,589
8,050 Jeronimo Martins SGPS S.A. .......................... 328,306
2,683 Jeronimo Martins, Rights Expire 2/12/99.............. 94,730
8,500 Portucel Industrial Empressa Produtora de Celulose
S.A................................................. 49,922
230,756 Portugal Telecom S.A., Registered Shares............. 11,300,814
1,800 Seguros Tranquilidade, Registered Shares............. 52,365
1,554 Somague-Sociedade Gestora de Participacoes S.A....... 6,636
3,800 Sonae Investimentos-Socoedade Gestora de Particacoes
Socoaos S.A......................................... 146,925
1,900 Unicer-Uniao Cervejeira S.A.......................... 42,968
- ------------------------------------------------------------------------------
15,707,127
- ------------------------------------------------------------------------------
Singapore -- 0.6%
2,000 Asia Food & Properties Ltd., Warrants, Expire
7/12/02*............................................ 150
26,666 Asia Food & Properties Ltd........................... 4,799
15,000 Chuan Hup Holdings Ltd............................... 5,313
101,000 City Development Ltd................................. 422,299
42,000 Comfort Group Ltd.................................... 11,585
11,000 Creative Technology Ltd.............................. 142,450
30,000 Cycle & Carriage Ltd................................. 109,756
129,000 DBS Land Ltd......................................... 159,564
258,300 Development Bank of Singapore Ltd.................... 1,875,000
27,000 First Capital Corp. Ltd.............................. 19,756
38,200 Fraser & Neave Ltd................................... 129,773
2,400 Genting International Ltd............................ 240
30,000 Goldtron Ltd......................................... 2,090
6,000 Goldtron Ltd. Preferred Shares*...................... 418
12,000 Haw Par Corp Ltd..................................... 13,449
37,000 Hotel Properties Ltd................................. 16,114
15,000 Inchape Marketing Ltd.*.............................. 8,318
36,000 Inchcape Motors Ltd.................................. 39,512
94,800 Integrated Processor & Communications Corp........... 4,128
311 Jardine Matheson Holdings............................ 814
97,250 Keppel Corp Ltd...................................... 225,900
8,000 Low Keng Huat Ltd.*.................................. 1,068
26,400 Lum Chang Holdings LTD............................... 6,362
7,000 Metro Holdings Ltd................................... 6,016
30,000 Natsteel Ltd......................................... 28,397
65,000 Neptune Orient Lines Ltd............................. 22,081
123,239 Overseas-Chinese Banking Corp. Ltd................... 823,024
11,000 Oversea Union Enterprise Ltd......................... 19,419
41,000 Parkway Holdings Ltd................................. 71,904
3,000 Prima Ltd............................................ 5,017
4,800 Robinson & Co. Ltd................................... 12,209
179,241 Sembcorp Industries Ltd.............................. 194,646
9,000 Sembcorp Logistics Ltd............................... 15,888
</TABLE>
See Notes to Financial Statements.
121
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Singapore -- 0.6% (continued)
11,000 Shanghi La Hotel Ltd. ............................... $ 16,480
107,000 Singapore Airlines Ltd. ............................. 789,140
36,749 Singapore Press Holdings Ltd.(a)..................... 418,279
329,000 Singapore Technologies Engineering................... 282,764
778,000 Singapore Telecommunications Ltd. ................... 1,106,910
2,400 Star Cruises Public Co. Ltd. ........................ 4,032
27,000 Straits Trading Co. Ltd. ............................ 23,832
122,000 United Industrial Corp. Ltd. ........................ 50,301
103,000 United Overseas Bank Ltd. ........................... 604,123
53,000 United Overseas Land Ltd. ........................... 33,548
9,000 Van Der Horst Ltd.*.................................. 2,012
23,000 Venture Manufacturing Ltd. .......................... 96,835
- ------------------------------------------------------------------------------
7,825,715
- ------------------------------------------------------------------------------
Spain -- 3.5%
5,000 Acerinox S.A. ....................................... 130,693
4,250 Actividades De Construccion y Servicios S.A. ........ 156,766
3,847 Sociedad General de Aguas De Barcelona S.A. ......... 239,880
716,714 Argentaria Caja Postal Y(a).......................... 17,152,479
21,851 Autopistas Concesionaria Espanola S.A., Registered
Shares.............................................. 309,926
209,825 Banco Bilbao Vizcaya S.A.(a)......................... 3,107,375
101,155 Banco Central Hispanoamericano S.A. ................. 1,207,094
107,068 Banco Santander S.A.(a).............................. 2,127,466
1,200 Corp Financiara Alba S.A. ........................... 173,233
5,300 Corp Mapfre.......................................... 115,785
3,500 Cortefiel SA.(a)..................................... 91,024
4,450 Dragados Y Construcciones S.A. ...................... 171,959
6,066 Azucarera Ebro Agicolas.............................. 123,995
1,950 El Aguila S.A.* ..................................... 21,407
1,650 Empresa Nac de Celulosa S.A. ........................ 27,243
90,800 Endesa S.A.(b) ...................................... 2,406,288
11,200 Ercros S.A.*......................................... 13,524
5,200 Fomento De Construcciones y Constras S.A. ........... 368,774
13,654 Gas Natural SDG S.A. ................................ 1,357,290
82,472 Iberdrola S.A. ...................................... 1,290,166
3,200 Inmobilaria Urbis S.A.*.............................. 51,640
3,858 Metrovacesa S.A. .................................... 99,310
1,650 Portland Valderrivas S.A. ........................... 64,376
4,650 Prosegur CIA de Seguridad S.A., Registerd Shares..... 45,636
77,650 Puleva S.A. ......................................... 46,884
27,443 Repsol S.A.(b) ...................................... 1,443,084
2,750 Sol Melia S.A. ...................................... 102,312
16,000 Tabacalera S.A., Class A Shares(a)................... 359,025
282,407 Telefonica S.A.(a)(b)................................ 12,897,137
19,050 Telepizza S.A.(a).................................... 155,802
25,400 Union Electrica Fenosa S.A. ......................... 431,926
4,100 Uralita S.A. ........................................ 40,779
10,050 Vallehermoso S.A. ................................... 122,575
1,890 Viscofan Industria Navarra De Envolturas Celulosicas
S.A. ............................................... 57,514
5,518 Zardoya-Otis S.A. ................................... 161,451
- ------------------------------------------------------------------------------
46,671,818
- ------------------------------------------------------------------------------
Sweden -- 1.7%
64,500 ABB AB, Class A Shares(b)............................ 730,455
23,000 ABB AB, Class B Shares(a)............................ 259,072
11,800 AGA, Class A Shares.................................. 155,187
10,300 AGA, Class B Shares.................................. 134,833
</TABLE>
See Notes to Financial Statements.
122
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Sweden -- 1.7% (continued)
1,935 Asticus AB*.......................................... $ 19,086
140,601 Astra AB, Class A Shares(a).......................... 2,782,227
27,733 Astra AB, Class B Shares(a).......................... 547,101
10,400 Atlas Copco AB, Class A Shares(a).................... 256,453
5,500 Atlas Copco AB, Class B Shares....................... 134,285
4,100 Autoliv Inc. ........................................ 155,800
3,870 Diligentia AB........................................ 25,683
10,700 Drott AB, Class B Shares(a).......................... 91,207
33,000 Electrolux AB, Class B Shares(a)..................... 624,878
205,100 Trlefonaktiebolaget LM Ericsson, Class B
Shares(a)(b)........................................ 5,419,715
1,400 Esselete AB, Class A Shares.......................... 21,566
1,100 Esselete AB, Class B Shares.......................... 17,547
34,000 Foreningssparbaken AB(a)............................. 776,302
2,850 Granges AB........................................... 39,217
21,800 Hennes Maurtz, Class B Shares(a)..................... 1,677,739
1,615 Mandamus AB.......................................... 9,341
10,000 Netcom AB, Class B Shares*........................... 381,149
7,800 Om Gruppen AB(a)..................................... 101,631
17,500 Sandvik AB, Class A Shares........................... 334,571
6,400 Sandvik AB, Class B Shares(a)........................ 122,357
4,800 Scancem AB, Class A Shares........................... 166,585
26,400 Securitas AB, Class B Shares......................... 435,606
173,450 Skandinaviska Enskilda Banken, Class A Shares(a)..... 1,932,619
49,400 Skandia Forsakrings AB(a)............................ 905,345
21,700 Skanska AB, Class B Shares(a)........................ 710,825
3,700 SKF AB, Class A Shares(a)............................ 48,885
5,800 SKF AB, Class B Shares(a)............................ 79,810
12,095 Stora Enso, Class A Shares........................... 107,551
28,978 Stora Enso, Class R Shares........................... 256,087
17,900 Svenska Cellolosa AB, Class B Shares................. 356,386
40,600 Svenska Handelsbanken, Class A Shares(a)............. 1,433,755
1,600 Svenska Handelsbanken, Class B Shares................ 49,098
3,200 Svenskt Stal AB, Class A Shares...................... 33,122
8,600 Svenskt Stal AB, Class B Shares...................... 90,586
36,000 Swedish Match AB(a).................................. 118,801
10,700 Trelleborg AB, Class B Shares*....................... 95,768
12,100 Volvo AB, Class A Shares............................. 307,215
29,200 Volvo AB, Class B Shares(a).......................... 755,601
6,800 Wm-Data AB, Class B Shares........................... 293,960
- ------------------------------------------------------------------------------
22,995,007
- ------------------------------------------------------------------------------
Switzerland -- 7.6%
888 ABB AG -- Bearer Shares.............................. 1,084,645
610 ABB AG -- Registered Shares.......................... 148,174
1,838 Adecco S.A. ......................................... 963,963
680 Alusuisse Lonza Group AG............................. 755,972
28,900 Credit Suisse Group(b)............................... 4,487,267
310 Danzas Holding AG Registered Shares.................. 125,788
380 Fischer Georg AG Registered Shares................... 124,560
185 Forbo Holdings AG Registered Shares.................. 75,322
410 Holderbank Financiere AG............................. 103,271
764 Holderbank Financiere Glarus AG, Class B Shares...... 795,053
140 Interdiscount Holding................................ 2,608
90 Jelnoli Holding AG, Registered Shares................ 15,775
55 Jelnoli Holding AG, Bearer Shares.................... 48,202
35 Kuoni Reisen Holdings AG, Registered Shares.......... 142,502
55 Movenpick Holdings AG, Bearer Shares................. 30,211
</TABLE>
See Notes to Financial Statements.
123
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Switzerland -- 7.6% (continued)
35 Movenpick Holdings AG, Participating Certificates.. $ 19,177
6,845 Nestle AG Registered Shares........................ 12,919,104
714 Novartis AG, Bearer Shares......................... 1,251,507
13,882 Novartis AG, Registered Shares..................... 24,351,696
2,127 Roche Holding AG, Genuss........................... 26,934,269
175 Roche Holdings AG, Bearer Shares................... 3,127,199
8 Roche Holding Genuss............................... 101,304
1,235 Sairgroup, Registered Shares....................... 265,902
145 Schindler Holdings................................. 235,145
30 Schindler Holdings, Registered Shares.............. 51,549
1,555 Schnweizerische Ruckeiischerugs-Gesellschaft,
Registered Shares................................. 3,482,144
8,577 Schweizerische Lebensver schicherungs-
undrentenstalt, Bearer Shares..................... 5,356,555
250 Sika Finanz AG, Bearer Shares...................... 64,350
1,685 Swatch Group - Registered Shares................... 231,686
190 Societe General De Surveillance Holdings S.A.,
Class B Shares.................................... 142,916
410 Sulzer AG.......................................... 241,908
405 Swatch Group AG, Bearer Shares..................... 257,125
8,000 Swisscom AG........................................ 3,163,342
23,254 UAB-AG............................................. 7,237,240
430 Valora Holding..................................... 95,103
5,135 Zurich Allied AG, Registered Shares................ 3,419,459
- -------------------------------------------------------------------------------
101,851,993
- -------------------------------------------------------------------------------
U.S.A. -- 0.2%
89,430 Gedeon Richter..................................... 3,043,767
- -------------------------------------------------------------------------------
United Kingdom -- 22.4%
147,800 Abbey National PLC................................. 2,973,900
540,666 Allied Zurich PLC.................................. 7,981,540
21,000 AMEC PLC........................................... 62,742
3,030 Amstrad PLC........................................ 2,402
25,853 Angliam Water PLC.................................. 300,273
84,400 Arjo Wiggins Appleton PLC.......................... 162,926
905,407 Asda Group PLC..................................... 2,259,093
92,300 Assocd British Foods PLC........................... 704,574
108,900 BAA PLC............................................ 1,233,416
159,083 Barclays Bank PLC.................................. 4,268,751
23,700 Barratt Development PLC............................ 99,474
81,182 Bass PLC........................................... 1,124,314
42,800 BBA Group PLC...................................... 259,863
12,900 The Berkeyley Group PLC............................ 116,761
411,347 BG PLC............................................. 2,426,685
43,036 BICC Group......................................... 61,704
75,900 Blue Circle Industries PLC......................... 379,670
49,900 BOC Group PLC...................................... 675,491
95,500 Boots Co., PLC..................................... 1,539,088
20,842 Bowthorpe PLC...................................... 125,375
1,004,482 BP Amoco PLC....................................... 14,345,834
52,500 BPB PLC............................................ 197,226
2,659,503 British Aerospace PLC.............................. 16,892,969
106,300 British Airways PLC................................ 780,791
885,166 British American Tobacco PLC....................... 8,132,432
52,800 British Land Co. PLC............................... 428,002
1,317,189 British Sky Broadcasting Group PLC................. 12,159,657
208,600 British Steel PLC.................................. 415,214
671,216 British Telecomm PLC............................... 11,623,858
</TABLE>
See Notes to Financial Statements.
124
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
United Kingdom -- 22.4% (continued)
403,781 BTR Siebe............................................ $ 1,698,001
45,800 Bunzl PLC............................................ 166,186
21,600 Burmah Castrol PLC................................... 280,804
249,407 Cable & Wireless PLC................................. 3,394,175
105,700 Cadbury Schweppes PLC................................ 1,639,127
53,060 Caradon PLC.......................................... 130,903
61,950 Carlton Communications PLC........................... 617,296
451,200 Centrica PLC......................................... 842,087
136,907 CGU PLC.............................................. 2,027,658
55,300 Coats Viyella PLC.................................... 33,664
9,600 Cobham PLC........................................... 121,495
68,200 Compass Group PLC.................................... 860,940
6,100 Courtaulds Textile PLC............................... 14,756
17,700 De La Rue PLC........................................ 58,412
11,800 Delta PLC............................................ 23,629
1,423,822 Diageo PLC........................................... 15,784,255
43,738 Electrocomponents PLC................................ 255,048
44,080 Elementis PLC........................................ 51,902
80,400 Emi Group PLC........................................ 581,857
31,600 English China Clay PLC............................... 120,989
58,000 FXI PLC.............................................. 150,988
284,700 General Electric Co. PLC............................. 2,328,335
72,500 GKN PLC.............................................. 970,971
950,784 Glaxo Wellcome PLC................................... 30,432,642
94,287 Granada Group PLC.................................... 1,905,466
38,588 Great Portland Estates PLC........................... 122,708
103,000 Great Universal Stores PLC........................... 1,315,097
97,309 Guardian Royal Exchange PLC.......................... 553,013
262,139 Halifax PLC.......................................... 3,237,787
29,291 Hammerson PLC........................................ 186,992
66,725 Hanson PLC........................................... 547,294
19,300 Hepworth PLC......................................... 47,460
91,811 HSBC Holdings PLC.................................... 2,691,585
188,955 HSBC Holdings PLC (75p).............................. 5,421,460
14,800 Hyder PLC............................................ 188,609
35,600 IMI PLC.............................................. 129,745
713,568 Imperial Chemical PLC................................ 6,190,078
36,910 Imperial Tobacco Group PLC........................... 430,464
12,100 Jarvis PLC........................................... 104,965
22,200 Johnson Matthey PLC.................................. 163,418
141,600 Kingfisher PLC....................................... 1,772,778
121,021 Ladbroke Group PLC................................... 561,754
14,600 Laird Group PLC...................................... 52,157
55,500 Land Securities PLC.................................. 721,067
98,900 Lasmo PLC*........................................... 192,897
133,250 Legal & General Group PLC............................ 1,663,970
11,700 Lex Service PLC...................................... 78,628
564,564 Lloyds TSB Group PLC................................. 8,207,712
15,527 Lonhro Africa PLC.................................... 12,561
25,528 Lonmin PLC........................................... 163,886
3,124,093 Lucasvarity PLC...................................... 14,201,105
299,474 Marks & Spencer PLC.................................. 2,037,768
1 Marley............................................... 1
35,439 MEPC PLC............................................. 267,403
16,300 Meyer International PLC.............................. 88,521
60,100 Misys PLC............................................ 579,606
154,264 National Grid Group PLC.............................. 1,113,944
</TABLE>
See Notes to Financial Statements.
125
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
United Kingdom -- 22.4% (continued)
129,500 National Power PLC................................. $ 1,032,108
38,300 Next PLC........................................... 444,221
14,400 Ocean Group PLC.................................... 194,239
63,055 Pearson PLC........................................ 1,384,902
63,919 Peninsular & Orient Steam Navigation Co. .......... 740,850
106,100 Pilkington PLC..................................... 107,082
26,556 Provident Financial PLC............................ 412,028
202,900 Prudential Corp PLC................................ 2,769,389
29,200 Racal Electronics PLC.............................. 188,750
452,430 Railtrack Group PLC................................ 11,198,044
77,300 Rank Group PLC..................................... 296,893
116,800 Reed International PLC............................. 1,133,907
299,100 Rentokil Initial PLC............................... 2,238,865
153,566 Reuters Group PLC.................................. 2,114,478
40,133 Rexam PLC.......................................... 127,301
109,700 Rio Tinto PLC...................................... 1,423,488
26,700 RMC Group PLC...................................... 295,777
151,600 Rolls Royce PLC.................................... 665,444
161,521 Royal & Sun Alliance Insurance Group PLC........... 1,364,293
89,916 Royal Bank Scotland Group PLC...................... 1,765,275
66,400 Rugby Group PLC.................................... 101,585
111,900 Safeway PLC........................................ 488,045
199,500 Sainsbury.......................................... 1,154,550
30,601 Schroeders PLC..................................... 634,845
63,200 Scottish & Newcastle PLC........................... 696,574
48,705 Scottish & Southern PLC............................ 451,769
122,049 Scottish Power PLC................................. 1,135,985
15,630 Sears PLC.......................................... 89,515
15,630 Selfridges PLC..................................... 59,843
40,400 Slough Estates PLC................................. 213,578
580,478 Smithkline Beecham PLC............................. 8,187,992
31,300 Smiths Industries PLC.............................. 476,605
1,825,372 Somerfield PLC..................................... 10,951,296
41,600 St. James Place Capital PLC........................ 194,931
133,000 Stagecoach Holdings PLC............................ 508,162
100,683 Tarmac PLC......................................... 172,181
45,700 Tate & Lyle PLC.................................... 331,281
40,653 Taylor Woodrow PLC................................. 110,388
687,403 Tesco PLC.......................................... 1,951,910
35,658 Thames Water PLC................................... 579,243
49,018 TI Group PLC....................................... 308,217
5,030 Transport Development Group PLC.................... 18,654
24,500 Unigate PLC........................................ 167,789
339,248 Unilever PLC....................................... 3,249,980
48,267 United Biscuits Holdings PLC....................... 140,341
56,020 United Utilities PLC............................... 708,977
9,045 Value Realization Trust PLC*....................... 18,753
23,067 Vickers PLC........................................ 54,690
2,967 Viglen Floating Rate Guaranteed Loan Notes......... 0
6,900 Viglen Technology Letter of Entitlement litigation
Notes*............................................ 0
1,272,212 Vodafone Group PLC................................. 23,407,379
71,718 Williams PLC....................................... 446,066
11,800 Wilson Connolly Holdings........................... 23,629
28,500 George Wimpey PLC.................................. 60,723
</TABLE>
See Notes to Financial Statements.
126
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
United Kingdom -- 22.4% (continued)
58,500 Wolseley PLC...................................... $ 377,679
98,744 Zeneca Group PLC.................................. 4,111,159
- ------------------------------------------------------------------------------
300,753,692
- ------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $1,125,867,010).............. 1,317,561,656
- ------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
CORPORATE BOND -- 0.0%
Italy -- 0.0%
28,028,000 Olivetti Convertible Bond, 6.500% due 9/30/02
(Cost -- $15,976)................................ 85,719
- ------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.9%
26,000,000 CIBC Wood Gundy Securities Inc., 4.580% due
3/1/99; Proceeds at maturity -- $26,009,926;
(Fully collateralized by U.S. Treasury Bill due
7/8/99; Market Value -- $26,520,092)
(Cost -- $26,000,000)............................. 26,000,000
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,151,882,986**)............................... $1,343,647,375
- ------------------------------------------------------------------------------
</TABLE>
(a) All or a portion of this security is on loan (See Note 12).
(b) Security is segregated for futures contracts commitments.
* Non-income producing security.
+ Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
++Represents local currency.
# Risp NC -- Risparmio Non-Convertible (Non-Convertible savings shares).
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[PIE CHART APPEARS HERE]
Japan 18.8% 18.8
United Kingdom 22.4% 22.4
France 9.9% 9.9
Germany 8.1% 8.1
Spain 3.5% 3.5
Australia 1.9% 1.9
Italy 7.6% 7.6
Switzerland 7.6% 7.6
Repurchase Agreement 1.9% 1.9
Netherlands 7.2% 7.2
Other Stocks 11.1% 11.1
See Notes to Financial Statements.
127
<PAGE>
Schedule of Investments (unaudited) (continued) February 28, 1999
International Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
BONDS -- 95.5%
- -------------------------------------------------------------------------------
Australia -- 8.2%
16,600,000 Australian Government, 5.750% due 6/15/11....... $ 10,393,517
13,300,000 Federal National Mortgage Association, 6.375%
due 8/15/07.................................... 8,519,025
- -------------------------------------------------------------------------------
18,912,542
- -------------------------------------------------------------------------------
Canada -- 7.8%
Canadian Government:
9,740,000 9.750% due 6/1/01............................... 7,037,061
5,970,000 5.500% due 6/1/09............................... 3,993,315
7,650,000 8.000% due 6/1/23(a)............................ 6,764,637
- -------------------------------------------------------------------------------
17,795,013
- -------------------------------------------------------------------------------
Denmark -- 3.4%
Kingdom of Denmark:
31,710,000 7.000% due 12/15/04............................. 5,383,560
12,999,000 7.000% due 11/10/24............................. 2,398,649
- -------------------------------------------------------------------------------
7,782,209
- -------------------------------------------------------------------------------
European Currency Unit -- 14.4%
5,400,000 European Investment Bank, 5.000% due 4/15/08.... 6,281,455
6,600,000 General Motors Acceptance Corp., 4.000% due
2/9/06......................................... 7,088,274
8,800,000 Netherland Government, 5.750% due 1/15/04....... 10,583,263
7,309,429 Treuhandanstaldt, 6.625% due 7/9/03............. 9,024,145
- -------------------------------------------------------------------------------
32,977,137
- -------------------------------------------------------------------------------
France -- 0.8%
10,000,000 Philips Electric, 7.125% due 2/6/08............. 1,947,216
- -------------------------------------------------------------------------------
Germany -- 21.3%
3,340,000 AB Innvestor Group, 5.250% due 6/16/08.......... 1,951,098
3,088,045 Bundesrepublic Deutschland, 5.625% due 1/21/02.. 3,733,818
7,853,443 Bundesrepublic Deutschland, 6.000% due 9/15/03.. 9,531,970
3,798,000 Bundesrepublic Deutschland, 5.250% due 1/4/08... 4,540,956
5,419,693 Caisse D'Amortissement de la Dette Societe,
5.125% due 10/25/08............................ 6,360,885
3,170,010 Depfa-Bank, 5.500% due 1/15/13.................. 3,806,127
4,700,000 DSL Finance NV, 5.750% due 3/19/09.............. 2,916,759
12,700,000 Ford Motor Credit Co., 5.250% due 6/16/08....... 7,441,657
2,745,637 Kreditanstalt Fuer Wiederaufbau, 5.000% due
1/4/09......................................... 3,199,843
9,400,000 Lloyds Bank PLC, 5.250% due 7/14/08............. 5,506,679
- -------------------------------------------------------------------------------
48,989,792
- -------------------------------------------------------------------------------
Greece -- 10.0%
Hellenic Republic:
1,424,000,000 8.010% due 4/1/03............................... 5,189,268
700,000,000 8.010% due 4/1/03............................... 2,555,783
500,000,000 6.600% due 1/15/04.............................. 1,718,697
1,480,000,000 7.830% due 4/8/05............................... 5,595,991
288,000,000 7.740% due 3/26/08.............................. 1,137,851
1,095,000,000 8.600% due 3/26/08.............................. 4,326,203
443,000,000 7.500% due 5/20/13.............................. 1,682,070
225,000,000 6.500% due 1/11/14.............................. 795,292
- -------------------------------------------------------------------------------
23,001,155
- -------------------------------------------------------------------------------
New Zealand -- 1.1%
4,462,000 New Zealand Government, 7.000% due 7/15/09(a)... 2,543,160
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
128
<PAGE>
Schedule of Investments (unaudited) (continued) February 28, 1999
International Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Sweden -- 5.0%
Swedish Governement:
36,000,000 13.000% due 6/15/01.............................. $ 5,286,678
19,400,000 6.500% due 10/25/06.............................. 2,783,139
26,000,000 Kreditanstalt Fuer Wiederaufbaur International
Finance, 7.500% due 5/30/00..................... 3,316,456
- --------------------------------------------------------------------------------
11,386,273
- --------------------------------------------------------------------------------
United Kingdom -- 23.5%
1,000,000 BG PLC, 7.000% due 4/4/00........................ 1,622,985
2,500,000 Cadbury Schweppes PLC, 8.000% due 12/29/00....... 4,163,997
7,100,000 European Investment Bank, 7.000% due 12/8/03..... 1,227,122
1,173,000 Federal National Mortgage Association, 6.875% due
12/7/05......................................... 1,979,317
2,600,000 Glaxo Wellcome PLC, 8.750% due 12/1/05........... 5,009,217
3,000,000 International Bank Reconstruction & Development,
6.500% due 1/07/03.............................. 5,044,198
4,200,000 Japan Finance Corp. Muni Enterprise, 6.375% due
3/9/04(a)....................................... 6,982,730
3,200,000 Prudential Financial BV, 9.375% due 6/4/07....... 6,374,163
5,500,000 United Kingdom Treasury, 8.500% due 12/7/05...... 10,746,772
6,100,000 United Kingdom Treasury, 6.750% due 11/26/04..... 10,830,524
- --------------------------------------------------------------------------------
53,981,025
- --------------------------------------------------------------------------------
TOTAL BONDS (Cost -- $220,890,565)............... 219,315,522
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.5%
$10,350,000 CIBC Wood Gundy Securities Inc., 4.580% due
3/1/99; Proceeds at maturity -- $10,353,950;
(Fully collateralized by U.S. Treasury Bill, due
7/8/99;
Market value -- $10,557,086) (Cost --
$10,350,000)..................................... 10,350,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$231,240,565**)................................ $229,665,522
- --------------------------------------------------------------------------------
</TABLE>
(a) All or a portion of this security is on loan (See Note 12).
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[PIE CHART APPEARS HERE]
Denmark 3.4% 3.4
Germany 21.3% 21.3
European Currency Unit 14.4% 14.4
Other Bonds 9.7% 9.7
Australia 8.2% 8.2
Greece 10.0% 10
Sweden 5.0% 5
United Kingdom 23.5% 23.5
Repurchase Agreement 4.5% 4.5
See Notes to Financial Statements.
129
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
STOCK -- 97.3%
- ------------------------------------------------------------------------------
Argentina -- 3.9%
71,790 Astra Cia Argentina De Petroleo S.A. .............. $ 91,927
23,527 Banco de Galicia y Buenos Aires S.A. de C.V. ...... 74,375
6,086 Banco Frances S.A. ................................ 34,521
22,934 Central Puerto S.A. ............................... 50,474
10,677 Cresud S.A.C.I.F.y.A............................... 11,108
8,903 IRSA Inversiones y Representaciones S.A. .......... 20,752
7,530 Juab Minetti S.A. ................................. 14,689
11,700 Molinas Rio de la Plata S.A. ...................... 21,068
5,020 Nobleza Piccardo S.A.I.C. y F. .................... 18,581
72,514 Perez Companc S.A. ................................ 293,799
10,173 Renault Argentina S.A. ............................ 9,973
87,234 Siderca S.A. ...................................... 78,356
48,920 Sociedad Comercial del Plata S.A. ................. 24,959
3,486 Telecom Argentina Stet -- France Telecom S.A. ..... 18,762
190,700 Telefonica de Argentina S.A. ADR................... 4,985,576
116,932 YPF Sociedad Anonima............................... 3,391,974
- ------------------------------------------------------------------------------
9,140,894
- ------------------------------------------------------------------------------
Brazil -- 8.8%
5,500 Aracruz Celulose S.A. ............................. 70,812
149,162,000 Banco Bradesco S.A. Preferred...................... 578,151
3,420,000 Banco do Estado de Sao Paolo....................... 89,826
4,233,800 Banco Itau S.A. Preferred.......................... 1,458,875
1,210,000 Caemi Mineracao e Metalurgia S.A. ................. 23,616
55,139,000 Centrais Electricas Brasileiras S.A. .............. 717,845
10,000 Companhia Brasileira de Distribuicao Grupo Pao de
Acucar............................................ 111,875
14,600,000 Companhia Brasileira de Petroleo Ipiranga.......... 55,585
202,000 Companhia Cervejaria Brahma........................ 58,896
636,800 Companhia Cervejaria Brahma Preferred.............. 236,306
12,657,004 Companhia Energetica de Minas Gerais ADR........... 1,654,632
6,000,000 Companhia Energetica de Sao Paolo.................. 67,084
31,100 Companhia Paranaense de Energia.................... 139,950
112,279,100 Companhia Paranaense de Energia -- Copel Preferred
Series B.......................................... 503,226
3,412,000 Companhia Siderurgica Nacional..................... 30,420
238,100 Companhia Vale Do Rio Doc.......................... 2,989,159
370,667 Copene Petroquimica do Nordeste S.A. .............. 29,564
36,966,600 Embratel Participacoes S.A. ....................... 711,165
16,800,000 Gerdau Metalurgica S.A. Preferred.................. 113,349
300,000 Industrias Klabin S.A. ............................ 56,385
220,000 Investimentos Itau S.A. ........................... 89,060
13,137,200 Petroleo Brasileiro S.A. Preferred................. 1,019,953
1,670,000 Siderurgica Belgo Mineir S.A. ..................... 28,329
36,500 Souza Cruz S.A. ................................... 228,674
5,199 Tele Centro Oeste Celular Participacoes S.A. ...... 13,648
160,676,580 Tele Centro Sul Participacoes S.A. ................ 1,499,249
15,600 Telecomunicacoes Brasileiras S.A. ADR.............. 2,681
30,532,475 Telecomunicacoes de Sao Paulo S.A. Preferred....... 2,795,744
260,000 Telecomunicacoes do Parana S.A. ................... 31,951
9,630,780 Telemig Cellular S.A.*............................. 106,785
61,300,780 Tele Nordeste Celular Participacoes S.A. .......... 56,208
193,591,013 Tele Norte Leste Participacoes S.A. ............... 2,151,191
4,650,000 Telerj Cellular S.A.*.............................. 45,939
95,199,852 Telesp Cellular S.A.*(a)........................... 2,064,056
</TABLE>
See Notes to Financial Statements.
130
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Brazil -- 8.8% (continued)
294,357,720 Tele Sudeste Cellular Participacoes S.A.(a).......... $ 807,566
25,000 Usinas Siderurigicas S.A. ........................... 29,879
- --------------------------------------------------------------------------------
20,667,634
- --------------------------------------------------------------------------------
Chile -- 2.9%
9,900 Banca Santander Chili S.A.(a)........................ 141,693
2,300 Banco de A. Edwards.................................. 25,012
145,700 Cia. de Telecomunicaciones de Chile S.A. ............ 3,223,612
12,100 Embotelladora Andina S.A. ........................... 158,056
13,200 Empresa Nacional de Electricidad S.A. ADR(a)......... 166,650
121,500 Enersis S.A. ........................................ 2,961,562
5,800 Gener S.A. .......................................... 87,000
2,500 Madeco S.A. ......................................... 17,187
1,500 Santa Isabel S.A. ADR................................ 11,437
4,400 Sociedad Quimica y Minera de Chile S.A. ............. 132,000
1,000 Vina Concha Y Toro................................... 28,500
- --------------------------------------------------------------------------------
6,952,709
- --------------------------------------------------------------------------------
China -- 0.6%
7,900 Guangshen Railway Co. Ltd. .......................... 44,437
143,600 Huaneng Power International, Inc. ADR*............... 1,256,500
4,900 Shanghai Petrochemical Co. Ltd. ..................... 39,812
- --------------------------------------------------------------------------------
1,340,749
- --------------------------------------------------------------------------------
Columbia -- 0.4%
28,900 Banco Ganadero S.A.(a)............................... 505,750
85,100 Bancolumbia S.A.(a).................................. 329,762
6,000 Cementos Diamente S.A. .............................. 11,438
- --------------------------------------------------------------------------------
846,950
- --------------------------------------------------------------------------------
Croatia -- 1.0%
143,943 Pliva D.D. GDR....................................... 2,439,833
- --------------------------------------------------------------------------------
Czech Republic -- 0.7%
1,100 Ceske Radiokomunikace................................ 34,100
129,936 SPT Telecom A.S. .................................... 1,468,674
20,675 SPT Telecom A.S. GDR*................................ 235,178
- --------------------------------------------------------------------------------
1,737,952
- --------------------------------------------------------------------------------
Egypt -- 0.1%
3,280 Al-Ahram Beverages Co. S.A.E. ....................... 112,766
1,190 Madinet NASR......................................... 42,809
- --------------------------------------------------------------------------------
155,575
- --------------------------------------------------------------------------------
Estonia -- 0.1%
8,111 Estonia Telecom Ltd.+................................ 172,358
- --------------------------------------------------------------------------------
Greece -- 10.0%
8,400 Aegek S.A. .......................................... 71,647
49,630 Alpha Credit Bank.................................... 5,697,882
1,200 Aluminum of Greece S.A. ............................. 88,433
680 Commercial Bank of Greece S.A. ...................... 83,520
2,020 Delta Dairy S.A. .................................... 42,054
2,840 Elais S.A. .......................................... 63,272
6,400 Ergo Bank S.A. ...................................... 470,555
2,820 Hellas Can Packaging S.A. ........................... 61,576
10,540 Hellenic Bottling Co. S.A. .......................... 351,513
</TABLE>
See Notes to Financial Statements.
131
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Greece -- 10.0% (continued)
19,340 Hellenic Petroleum S.A.*............................... $ 174,198
9,140 Hellenic Technodomiki S.A. ............................ 108,987
256,152 Hellenic Telecommunication Organization S.A. .......... 6,746,821
2,540 Heracles General Cement S.A. .......................... 64,128
3,580 Intracom S.A. ......................................... 258,331
11,594 Lavipharm S.A. ........................................ 98,100
13,100 Michaniki S.A. ........................................ 113,971
76,040 National Bank of Greece S.A. .......................... 5,562,257
6,540 Nikas S.A. ............................................ 106,768
32,121 Panafon Hellenic Telecom S.A. ......................... 1,024,671
4,904 Papastratos Cigarettes S.A. ........................... 76,630
24,880 Selected Textiles Ind. Assoc. S.A. .................... 73,511
28,720 Titan Cement Co. S.A. ................................. 2,234,104
- --------------------------------------------------------------------------------
23,572,929
- --------------------------------------------------------------------------------
Hong Kong -- 3.8%
212,000 Beijing Datang Power Generation Co. Ltd. .............. 46,516
520,000 Beijing Yanhua Petrochemical Co. Ltd. ................. 34,900
755,500 Cheung Kong Infrastructure Holdings(a)................. 1,355,410
1,084,500 China Telecom.......................................... 2,001,652
102,000 Guangdong Kelon Elecctrical Holdings Co. Ltd. ......... 68,458
65,700 HSBC Holdings PLC*..................................... 1,848,602
195,000 Hutchison Whampoa Ltd. ................................ 1,352,803
962,000 New World Development Ltd. ............................ 1,769,340
3,898,000 Qingling Motors Co. ................................... 482,986
470,000 Zhehuang Expressway Co. Ltd.*.......................... 76,434
- --------------------------------------------------------------------------------
9,037,101
- --------------------------------------------------------------------------------
Hungary -- 5.2%
1,090 Gedeon Richter Ltd. RT. GDR............................ 37,017
9,430 Magyar Tavkozlesi RT. ................................. 232,116
238,160 Matav RT. ............................................. 5,349,455
169,608 MOL Magyar Olaj-es Gazipari RT. ....................... 4,155,396
64,868 OTP Bank RT. .......................................... 2,555,799
- --------------------------------------------------------------------------------
12,329,783
- --------------------------------------------------------------------------------
India -- 6.3%
72,400 BSES Ltd.GDR*.......................................... 863,370
54,700 BSES Ltd. GDR Registered Shares*....................... 650,930
9,600 ITC Ltd. GDR........................................... 200,640
401,700 Mahanagar Telephone Nigam Ltd.*........................ 3,906,532
25,000 Pentafour Software & Exports Ltd. ..................... 481,250
611,670 Reliance Industries Ltd. GDR........................... 4,174,647
261,000 State Bank of India GDR................................ 1,872,675
272,000 Videsh Sachar Nigam Ltd. .............................. 2,604,400
- --------------------------------------------------------------------------------
14,754,444
- --------------------------------------------------------------------------------
Indonesia -- 0.1%
267,000 PT Aneka Tambang Tbk................................... 43,807
35,000 PT Gudang Garam Tbk.................................... 48,712
7,500 PT Indofood Sukses Makmur Tbk*......................... 4,009
38,500 PT Indosat Tbk......................................... 53,148
78,000 PT Tambang Timah Tbk................................... 43,688
115,000 PT Telekomunikasi Indonesia............................ 35,785
- --------------------------------------------------------------------------------
229,149
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
132
<PAGE>
Schedules of Investments (unaudited) (continued) Febraury 28, 1999
Emerging Markets Equity Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Israel -- 4.4%
8,358 Azorim Investment Development & Construction
Co. Ltd............................................. $ 65,277
818,835 Bank Hapoalim Ltd.*.................................. 1,586,669
328,500 Bank Leumi Le........................................ 489,583
290,392 Bezeq Israeli Telecommunication Co. Ltd. ............ 1,014,864
3,740 Blue Square Chain Investments and Properties Ltd.*... 48,252
7,230 Discount Investment Corp. ........................... 223,904
64,510 ECI Telecommunications Ltd. ......................... 2,370,742
11,819 Elbit Systems Ltd. .................................. 160,955
19,650 Elco Holdings Ltd. .................................. 102,475
2,906 Elite Industries Ltd.*............................... 101,271
9,100 Elron Electronics Industries Ltd.*................... 157,214
6,700 Formula Systems Ltd.*................................ 173,544
3,425 Gilat Satellite Networks Ltd.*(a).................... 202,931
28,338 Israel Chemicals Ltd.*............................... 28,856
24,940 Koor Industries Ltd. ................................ 2,404,003
2,870 New Dimension Software Ltd.*......................... 134,172
1,800 Orbotech, Ltd.*...................................... 82,462
2,800 Scitex Corp. Ltd.*................................... 25,725
23,155 Supersol Ltd. ....................................... 58,717
21,300 Teva Pharmaceutical Industries Ltd. ................. 861,318
- -------------------------------------------------------------------------------
10,292,934
- -------------------------------------------------------------------------------
Mexico -- 13.6%
38,000 Alfa, S.A. de C.V. .................................. 93,520
35,000 Carso Global Telecom................................. 149,773
520,700 Cemex S.A. de C.V.(a)................................ 2,500,457
2,055,890 Cifra SA de C.V. .................................... 2,602,990
14,700 Coca-Cola Femsa S.A. ................................ 203,043
245,000 Controladora Comercial Mexicana S.A. de C.V. ........ 205,745
40,000 Corporacion GEO, S.A. de C.V.*....................... 104,470
57,000 Corporacion Interamericana de Entretenimiento S.A.*.. 149,156
113,000 Cydsa S.A. .......................................... 114,872
253,200 Desc S.A. de C.V. ................................... 333,450
72,000 Embotelladora Argos S.A. ............................ 80,859
50,000 Empresas ICA Sociedad Controladora S.A. de C.V. ..... 37,669
56,000 Empresas La Moderna S.A. de C.V. .................... 328,518
967,284 Fomento Economico Mexicano, S.A. de C.V. ............ 2,766,371
764,517 Grupo Carso S.A. de C.V. ............................ 2,641,739
100,000 Grupo Casa Autrey S.A. de C.V. ...................... 59,266
36,000 Grupo Continental S.A. .............................. 89,321
159,300 Grupo Financiero Banamex Accival, S.A. de C.V.*...... 243,230
230,000 Grupo Gigante S.A. de C.V. .......................... 67,001
590,000 Grupo Herdez S.A. ................................... 188,468
8,300 Grupo Imsa, S.A. de C.V. ............................ 109,975
101,000 Grupo Industrial Bimbo S.A. de C.V. ................. 200,883
96,000 Grupo Mexico S.A. ................................... 263,746
1,275,000 Grupo Modelo S.A. de C.V. ........................... 2,836,891
94,200 Grupo Televisa S.A.*................................. 2,307,795
18,000 Industrias Penoles S.A. ............................. 53,882
200,000 Kimberly-Clark de Mexico S.A. de C.V. ............... 617,780
528,250 Organizacion Soriana S.A. de C.V. ................... 1,650,283
3,574,300 Telefonos De Mexico S.A. ............................ 10,974,591
3,000 Tubos de Acero de Mexico S.A. ADR.................... 18,750
64,000 TV Azteca, S.A. de C.V. ADR.......................... 20,765
- -------------------------------------------------------------------------------
32,015,259
- -------------------------------------------------------------------------------
</TABLE>
133
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Emerging Markets Equity Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Peru -- 0.0%
5,300 Telefonica del Peru S.A. ............................ $ 62,606
- ------------------------------------------------------------------------------
Philipines -- 0.1%
7,100 Philipine Long Distance Telephone Co. ............... 168,625
- ------------------------------------------------------------------------------
Poland -- 3.3%
1,430 Agora S.A. .......................................... 15,837
9,440 Agros Holding S.A. .................................. 60,061
23,955 Bank Handlowy w Warszawie............................ 230,963
850 Bank Przemyslowo-Handlowy S.A. ...................... 44,600
63,258 Bank Rozwoju Eksportu S.A. .......................... 1,074,343
2,020 Bank Slaski S.A. w Katowicach........................ 88,070
112,685 BIG Bank Gdanski S.A. ............................... 84,263
22,530 Bydgoska Fabryka Kabil S.A. ......................... 34,266
5,000 Celuloza Zaklady S.A. ............................... 11,913
9,900 Elektrim Spolka Akcyjna S.A. ........................ 101,885
3,220 Exbud S.A. .......................................... 23,915
33,050 KGHM Polska Miedz S.A. .............................. 201,676
27,775 Mostostal-Export S.A. ............................... 33,090
7,665 Okocimskie Zaklady Piwowarskie S.A. ................. 40,802
2,825 Przedsiebiorstwo Farmaceutyczne JELFA S.A. .......... 22,198
9,105 Stomil Olsztyn S.A. ................................. 40,851
1,077,622 Telekomunikacja Polska S.A. ......................... 5,630,574
2,900 Zaklady Metali Lekkich Kety.......................... 23,670
- ------------------------------------------------------------------------------
7,762,977
- ------------------------------------------------------------------------------
Portugal -- 0.3%
5,500 Banco Comercial Portugues S.A. ...................... 165,378
700 Banco Espirito Santo e Comercial de Lisboa S.A. ..... 19,956
1,900 BPI -- SGPS S.A. .................................... 65,953
1,100 Brisa-Auto Estradas de Portugal S.A. ................ 56,587
800 Cimpor-Cimentos de Portugal SGPS S.A. ............... 22,307
800 Companhia de Seguros Mundial Confianca S.A. ......... 25,152
1,700 Corticeira Amorim SGPS S.A. ......................... 20,976
5,100 EDP-Electricidade de Portugal S.A. .................. 109,960
900 INAPA-Investimentos Participacoes e Gestao S.A. ..... 7,676
1,800 Jeronimo Martins SGPS S.A. .......................... 73,410
600 Jeronimo Martins SGPS S.A. Rights.................... 21,184
1,600 Portugal Telecom S.A. ............................... 78,356
1,000 Semapa-Sociedade de Investimento e Gestao SGPS
S.A. ............................................... 16,445
800 Sonae Investimentos-Sociedade Gestora de
Participacoes Socias S.A. .......................... 30,931
500 Telecel-Comunicacaoes Pessoais S.A. ................. 88,455
- ------------------------------------------------------------------------------
802,726
- ------------------------------------------------------------------------------
Russia -- 0.2%
7,800 Lukoil Holding ADR(a)................................ 164,048
33,000 Surgutneftegaz ADR(a)................................ 163,350
7,200 Vimpel-Communications................................ 108,000
- ------------------------------------------------------------------------------
435,398
- ------------------------------------------------------------------------------
South Africa -- 5.6%
92,500 ABSA Group Ltd. ..................................... 403,147
62,000 AECI Ltd. ........................................... 89,071
9,975 Anglo American Co. of South Africa Ltd. ............. 311,084
38,200 Anglo American Platinum Co. Ltd. .................... 627,725
45,500 AngloGold Ltd. ...................................... 1,659,887
38,600 Anglovall Industries Ltd. ........................... 218,278
</TABLE>
134
<PAGE>
Schedules of Investments (unaudited) (continued) February 28, 1999
Emerging Markets Equity Investments
See Notes to Financial Statements.
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
South Africa -- 5.6% (continued)
68,800 Anglovaal Mining Ltd. ................................. $ 115,890
145,800 Avgold Ltd.*........................................... 68,251
22,500 Barlow Ltd. ........................................... 103,692
41,600 De Beers............................................... 717,171
183,400 Del Monte Royal Foods Ltd.*............................ 61,873
61,165 Dimension Data Holdings Ltd. .......................... 248,807
10,207 Edgars Stores Ltd. .................................... 43,496
598,300 FirstRand Ltd. ........................................ 632,585
108,700 Foschini Ltd. ......................................... 201,783
53,600 Gold Fields of South Africa Ltd. ...................... 84,790
11,600 Impala Platinum Holdings Ltd. ......................... 208,219
12,211 Imperial Holdings Ltd. ................................ 83,771
7,500 Investec Group Ltd. ................................... 287,409
567,700 Iron & Steel Industries Corp.*......................... 97,136
15,000 JD Group Ltd. ......................................... 83,535
15,800 Kersaf Investments Ltd. ............................... 54,834
63,875 Liberty Life Association of Africa Ltd. ............... 879,505
74,100 Nampak Ltd. ........................................... 141,740
33,400 Nedcor Ltd. ........................................... 676,087
43,900 Randfontein Estates Gold Mining Co., Witwaterdtrand,
Ltd.*................................................. 82,201
328,400 Rembrandt Group Ltd. .................................. 2,146,924
32,100 Reunert Ltd. .......................................... 39,380
114,800 Safmarine and Rennies Holdings Ltd. ................... 64,858
61,700 Sanlam Ltd. ........................................... 44,021
51,000 Sappi Ltd. ............................................ 181,937
56,500 Sasol Ltd. ............................................ 220,254
130,338 South African Breweries Ltd. .......................... 1,893,530
21,200 Standard Bank Investment Co. Ltd. ..................... 60,229
515,900 Sun International Ltd. ................................ 62,457
13,700 Tiger Oats Ltd. ....................................... 117,649
24,500 The Tongaat-Hulett Group Ltd. ......................... 140,000
24,600 Western Area Gold Mining Co. Ltd.*..................... 65,719
- ------------------------------------------------------------------------------
13,218,925
- ------------------------------------------------------------------------------
South Korea -- 11.8%
1,985 Dae Duck Electronics Co. .............................. 142,770
28,200 Daewoo Corp. .......................................... 72,142
10,200 Daewoo Electronics Co. ................................ 45,018
39,200 Daewoo Heavy Industries................................ 132,001
8,500 Daewoo Securities Co. ................................. 98,651
7,800 Hana Bank.............................................. 72,676
9,464 Hansol Paper........................................... 87,407
7,350 Hyundai Heavy Industries............................... 144,176
16,060 Hyundai Merchant Marine................................ 198,863
3,600 Hyundai Motor Co. Ltd. ................................ 49,726
9,400 Kookman Bank........................................... 63,767
1,600 Korea Chemical Co. Ltd. ............................... 74,540
281,970 Korea Electric Power Co. .............................. 6,660,345
189,380 Korea Housing Bank..................................... 2,933,184
649 Korea Mobile Telecom................................... 483,055
186,490 L.G. Chemical Ltd. .................................... 2,027,230
21,200 L.G. Electronics....................................... 213,992
1,090 L.G. Electronics Rights................................ 2,093
4,600 L.G. Securities Co. ................................... 43,048
7,810 Medison Co. ........................................... 73,408
4,100 Namhae Chemical Co. ................................... 107,568
</TABLE>
135
<PAGE>
Schedules of Investments (unaudited) (continued) February 28. 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
South Korea -- 11.8% (continued)
1,700 Nong Shim Co. ....................................... $ 85,451
93,968 Pohang Iron & Steel Co. Ltd.*........................ 4,387,130
1,260 S1 Co. .............................................. 194,638
2,400 Samsung Display Devices Co.*......................... 97,098
141,270 Samsung Electronics.................................. 8,463,156
2,008 Samsung Electronics -- Rights........................ 9,354
822 Samsung Fire & Marine Insurance...................... 262,018
20,500 Samsung Heavy Industries............................. 90,143
5,600 Shinsegae Depatment Store Co.*....................... 115,341
3,000 Sindo Ricoh Co.*..................................... 95,627
12,600 Ssangyong Oil Refining Co. Ltd.*..................... 181,250
300 Tae Kwang Industry Co.*.............................. 29,914
- -------------------------------------------------------------------------------
27,736,780
- -------------------------------------------------------------------------------
Sri Lanka -- 0.2%
63,000 Development Finance Co. of Ceylon*................... 105,558
57,166 Hayleys Ltd.*........................................ 103,594
65,800 John Keells Holdings Ltd.*........................... 189,270
- -------------------------------------------------------------------------------
398,422
- -------------------------------------------------------------------------------
Taiwan -- 4.4%
133,000 Asustek Computer Inc.*............................... 1,085,550
1,253,650 CTCI Corp.*.......................................... 1,394,628
1,450,000 Evergreen Marine Corp. .............................. 1,415,810
141,900 Hon Hai Precision Industry*.......................... 686,336
154,950 Nien Hsing Textile Corp. Ltd.*....................... 283,388
1,459,000 President Chain Store Corp. ......................... 4,035,625
999,000 United Microelectronics Corp. Ltd. .................. 1,461,656
- -------------------------------------------------------------------------------
10,362,993
- -------------------------------------------------------------------------------
Thailand -- 3.5%
337,800 Advanced Info Service Public Co.*.................... 2,350,674
2,136,100 Bangkok Expressway Public Co. Ltd.*.................. 1,650,301
15,100 Electricity Generating Public Co.*................... 32,773
89,100 Hana Microelectronics Public Co. Ltd. ............... 191,249
5,070,000 Krung Thai Bank Public Co. Ltd.*(a).................. 2,174,468
280,700 PTT Exploration and Production Public Co. Ltd.*...... 1,839,747
- -------------------------------------------------------------------------------
8,239,212
- -------------------------------------------------------------------------------
Turkey -- 4.0%
6,569,150 Akbank T.A.S. ....................................... 711,349
842,000 Akcansa Cimento A.S. ................................ 74,081
326,500 Aksa Akrilik Kimya Sanayii A.S. ..................... 17,677
91,750 Aktas Elektrik Ticaret A.S. ......................... 111,254
386,750 Arcelik A.S. ........................................ 38,389
379,650 Ardem Pisirici ve Istici Cihazlar Sanayii A.S. ...... 32,546
158,750 Aselan Electronik Sanayi Ve Ticaret A.S.*............ 15,220
149,500 Aygaz A.S. .......................................... 52,276
353,000 Beko Elektronik A.S. ................................ 19,311
616,000 Bolu Cimento Sanayii A.S. ........................... 16,502
4,891,500 Dogan Sirketler Grubu Holding A.S. .................. 187,596
39,000 Ege Biracilik Ve Malt Sanayii A.S. .................. 14,297
240,000 Eregli Demir Ve Celik Fabrikalari T.A.S. ............ 10,287
96,000 Eregli Demir Ve Celik Fabrikalari T.A.S. Rights...... 866
36,000 Ford Otomotiv Sanayi A.S. ........................... 12,943
23,151,000 Haci Omer Sabanci Holdings A.S. ..................... 2,167,458
</TABLE>
See Notes to Financial Statements.
136
<PAGE>
Schedules of Investments (unaudited) (continued) February 28. 1999
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------
Turkey -- 4.0% (continued)
1,483,000 Mardin Cimento Sanayii ve
Ticaret................... $ 28,019
269,925 Migros Turk T.A.S. ........ 1,400,566
3,354,750 Net Holding A.S. .......... 68,113
953,250 Sabah Yayincilik A.S. ..... 14,515
369,000 Tat Konserve Sanayii
A.S. ..................... 56,190
240,100 Tofas Turk Otomobil
Fabrikasi A.S.*........... 10,020
267,750 Tupras-Turkiye Petrol
Rafinerileri A.S. ........ 68,709
3,226,475 Turkiye Garanti Bankasi
A.S.*..................... 473,123
4,317,325 Turkiye Is Bankasi ........ 645,258
585,000 Turk Sise ve Cam
Fabrikalari A.S. ......... 7,918
128,000 Vestel Elektronik Sanayi ve
Ticaret A.S. ............. 12,813
44,525,468 Yapi ve Kredi Bankasi
A.S. ..................... 3,114,063
- ------------------------------------------------------
9,381,359
- ------------------------------------------------------
United States -- 1.7%
30,000 Chile Fund................. 277,500
2,640 Comverse Technology,
Inc.*..................... 189,420
283,000 The India Fund Inc......... 2,246,312
174,600 The Morgan Stanley India
Investment Fund........... 1,418,625
- ------------------------------------------------------
4,131,857
- ------------------------------------------------------
Venezuala -- 0.3%
35,400 Compania Anomia............ 550,912
14,100 Fondo VAl Immobil.......... 33,120
25,000 Mavesa S.A. ADR(a)......... 85,937
- ------------------------------------------------------
669,969
- ------------------------------------------------------
TOTAL STOCK (Cost --
$246,467,434)................ 229,058,102
- ------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 2.7%
$6,500,000 CIBC Wood Gundy Securities
Inc., 4.580% due 3/1/99;
Proceeds at maturity --
$6,502,481;
(Fully collateralized by
U.S. Treasury Bills due
7/8/99;
Market value -- $6,630,515)
(Cost -- $6,500,000) 6,500,000
- ------------------------------------------------------
TOTAL INVESTMENTS -- 100%
(Cost -- $252,967,434**)......$235,558,102
- ------------------------------------------------------
</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.
** Aggregate cost for Federal income tax purposes is substantially the same.
Classification of Investments
[PIE CHART APPEARS HERE]
Brazil 8.8% 8.8
Greece 10.0% 10
Mexico 13.6% 13.6
Hungary 5.2% 5.2
South Africa 5.6% 5.6
Turkey 4.0% 4
India 6.3% 6.3
South Korea 11.8% 11.8
Taiwan 4.4% 4.4
Israel 4.4% 4.4
Repurchase Agreement 2.7% 2.7
Other Stock 23.2% 23.2
See Notes to Financial Statements.
137
<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 "C" may be modified by the addition of a plus (+) or a minus (-) sign to
show relative standings within the major rating categories.
AAA-- Bonds rated "AAA" have the highest rating assigned by Standard &
Poor's. Capacity to pay interest and repay principal is extremely
strong.
AA -- Bonds rated "AA" have a very strong capacity to pay interest and repay
principal and differ from the highest rated issue only in a small
degree.
A -- Bonds rated "A" have a strong capacity to pay interest and repay
principal although they are somewhat more susceptible to the adverse
effects of changes in circumstances and economic conditions than bonds
in higher rated categories.
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
FGIC
-- Financial Guaranty Insurance Company
GO
-- General Obligation
ISD
-- Independent School District
MBIA
-- Municipal Bond Investors Assurance Corporation
PCR
-- Pollution Control Revenue
PSFG
-- Permanent School Fund Guaranty
138
<PAGE>
[This page intentionally left blank]
139
<PAGE>
Statements of Assets and Liabilities (unaudited)
<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... $336,073,337 $137,552,940 $629,336,290 $137,883,658 $71,695,453 $146,166,251
Foreign currency, at
cost.................. -- -- -- -- -- --
Foreign currency
segregated for futures
contracts, at cost.... -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------
Investments, at value.. $336,073,337 $132,327,774 $622,758,173 $143,549,818 $71,326,181 $147,314,965
Foreign currency, at
value................. -- -- -- -- -- --
Foreign currency
segregated for futures
contracts, at value... -- -- -- -- -- --
Cash................... 27,063 1,185,299 437 1,110,357 -- 247
Collateral for
securities on loan
(Note 12)............. -- -- -- -- -- --
Receivable for
securities sold....... -- -- -- -- 3,735,817 --
Receivable for Fund
shares sold........... 540,915 693,725 1,306,363 85,766 52,985 195,248
Dividends and interest
receivable............ 221,735 3,522,837 7,603,576 1,745,074 680,400 896,539
Receivable for open
forward foreign
currency contracts.... -- -- -- -- -- --
Receivable from
manager............... 270,909 -- -- -- -- --
Receivable from
broker -- variation
margin................ -- -- -- -- -- --
Deferred organization
costs................. -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------------------
Total Assets........... 337,133,959 137,729,635 631,668,549 146,491,015 75,795,383 148,406,999
- -----------------------------------------------------------------------------------------------------------
LIABILITIES:
Dividends payable...... 509,458 1,184,917 2,882,788 700,553 246,295 697,299
Administration fees
payable............... 54,161 20,768 98,865 20,698 59,183 62,861
Management fees
payable............... 30,916 85,119 192,565 66,953 196,636 224,408
Payable for open
forward foreign
currency contracts.... -- -- -- -- -- --
Payable for securities
on loan (Note 12)..... -- -- -- -- -- --
Payable to broker --
variation margin...... -- -- -- -- -- --
Payable to bank........ -- -- -- -- 350,593 --
Payable for securities
purchased............. -- -- -- 7,067,400 3,090,872 --
Accrued expenses....... 150,429 23,547 169,960 65,895 41,365 34,063
- -----------------------------------------------------------------------------------------------------------
Total Liabilities...... 744,964 1,314,351 3,344,178 7,921,499 3,984,944 1,018,631
- -----------------------------------------------------------------------------------------------------------
Total Net Assets........ $336,388,995 $136,415,284 $628,324,371 $138,569,516 $71,810,439 $147,388,368
- -----------------------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of
beneficial interest... $ 336,358 $ 17,767 $ 77,998 $ 16,647 $ 8,209 $ 18,331
Capital paid in excess
of par value.......... 336,021,256 140,933,038 637,978,732 132,096,351 71,833,008 146,450,970
Undistributed
(overdistributed) net
investment income..... 48,046 (80,748) (989,809) (50,120) (83,634) (438,810)
Accumulated net
realized gain (loss)
on security
transactions.......... (16,665) 770,393 (2,164,433) 840,478 422,128 209,163
Net unrealized
appreciation
(depreciation) of
investments, foreign
currencies and
futures............... -- (5,225,166) (6,578,117) 5,666,160 (369,272) 1,148,714
- -----------------------------------------------------------------------------------------------------------
Total Net Assets........ $336,388,995 $136,415,284 $628,324,371 $138,569,516 $71,810,439 $147,388,368
- -----------------------------------------------------------------------------------------------------------
Shares Outstanding...... 336,357,614 17,766,797 77,997,775 16,646,728 8,208,642 18,331,282
- -----------------------------------------------------------------------------------------------------------
Net Asset Value......... $1.00 $7.68 $8.06 $8.32 $8.75 $8.04
- -----------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
140
<PAGE>
February 28, 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>
$81,077,825 $1,525,027,533 $1,146,716,253 $ 840,213,995 $1,044,021,265 $1,151,882,986 $231,240,565 $ 252,967,434
-- -- -- -- -- 3,472,036 2,433,581 1,571,861
-- -- -- -- -- 939,634 -- --
- -------------------------------------------------------------------------------------------------------------------------
$82,154,865 $1,952,559,225 $2,345,529,516 $ 721,439,526 $1,055,692,084 $1,343,647,375 $229,665,522 $ 235,558,102
-- -- -- -- -- 3,374,412 2,424,973 1,589,703
-- -- -- -- -- 4,464,009 -- --
-- 596 1,168 1,324 -- 839,860 10,154 1,685,523
6,749,000 248,074,151 395,017,038 21,093,811 194,244,805 138,417,946 11,991,760 5,209,170
-- 11,925,858 -- 1,563,039 2,134,496 13,291,219 -- 1,218,831
1,208 2,448,019 2,378,647 1,193,724 1,259,808 1,319,890 485,634 507,507
321,631 3,929,090 1,183,300 1,228,852 313,578 1,887,235 5,930,066 670,732
-- -- -- -- -- 3,224,048 4,471,341 26,457
-- -- -- -- -- -- -- --
-- -- -- 14,850 23,625 762,052 -- --
-- -- -- -- -- -- -- 967
- -------------------------------------------------------------------------------------------------------------------------
89,226,704 2,218,936,939 2,744,109,669 746,535,126 1,253,668,396 1,511,228,046 254,979,450 246,466,992
- -------------------------------------------------------------------------------------------------------------------------
133,679 -- -- -- -- -- 952,847 --
19,442 303,844 372,892 79,860 220,785 211,694 37,672 37,979
71,249 730,836 689,894 365,164 495,910 557,753 94,180 171,786
-- -- -- -- -- 3,654,212 3,816,422 --
6,749,000 248,074,151 395,017,038 21,093,811 194,244,805 138,417,946 11,991,760 5,209,170
-- 81,000 36,000 -- -- -- -- 63,080
3,559,391 -- -- -- 5,220,182 -- -- --
4,267,489 4,479,809 -- 920,803 2,581,531 4,156,520 -- 600,033
39,093 238,160 404,793 329,071 137,540 1,015,959 11,573 153,111
- -------------------------------------------------------------------------------------------------------------------------
14,839,343 253,907,800 396,520,617 22,788,709 202,900,753 148,014,084 16,904,454 6,235,159
- -------------------------------------------------------------------------------------------------------------------------
$74,387,361 $1,965,029,139 $2,347,589,052 $ 723,746,417 $1,050,767,643 $1,363,213,962 $238,074,996 $ 240,231,833
- -------------------------------------------------------------------------------------------------------------------------
$ 6,693 $ 152,554 $ 102,689 $ 74,917 $ 66,552 $ 121,239 $ 28,045 $ 48,872
63,839,282 1,490,214,171 1,128,302,601 839,483,565 1,040,468,685 1,172,750,698 238,557,833 404,961,995
143,085 3,798,576 (1,980,682) 2,172,087 (1,199,755) (24,187,949) (2,501,218) (565,265)
9,321,261 43,293,186 22,585,181 862,817 6,717 18,962,228 3,116,279 (146,621,464)
1,077,040 427,570,652 1,198,579,263 (118,846,969) 11,425,444 195,567,746 (1,125,943) (17,592,305)
- -------------------------------------------------------------------------------------------------------------------------
$74,387,361 $1,965,029,139 $2,347,589,052 $ 723,746,417 $1,050,767,643 $1,363,213,962 $238,074,996 $ 240,231,833
- -------------------------------------------------------------------------------------------------------------------------
6,692,558 152,554,086 102,688,610 74,917,123 66,551,713 121,238,865 28,045,136 48,871,275
- -------------------------------------------------------------------------------------------------------------------------
$11.11 $12.88 $22.86 $9.66 $15.79 $11.24 $8.49 $4.92
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
141
<PAGE>
Statements of Operations (unaudited)
<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............... $9,304,832 $ 6,483,621 $ 18,501,349 $ 4,811,958 $ 1,704,783 $ 4,835,409
Dividends.............. -- -- -- -- -- --
Less: Foreign
withholding tax....... -- -- -- -- -- --
- --------------------------------------------------------------------------------------------------------
Total Investment
Income................ 9,304,832 6,483,621 18,501,349 4,811,958 1,704,783 4,835,409
- --------------------------------------------------------------------------------------------------------
EXPENSES:
Shareholder and system
servicing fees........ 527,634 83,717 308,812 116,249 18,378 107,833
Administration fees
(Note 2).............. 359,158 111,511 607,220 148,712 72,436 149,282
Management fees (Note
2).................... 269,368 390,288 1,185,237 297,424 144,873 373,205
Shareholder
communications........ 135,119 7,357 33,794 12,260 4,414 15,561
Registration fees...... 19,000 21,981 80,932 3,771 14,714 16,787
Audit and legal........ 13,000 13,566 15,888 12,788 22,894 12,616
Custody................ 9,000 3,186 14,979 3,186 3,678 4,062
Trustees' fees......... 6,450 2,452 6,484 2,471 1,962 1,961
Pricing service fees... -- -- -- 1,290 2,502 --
Amortization of
deferred organization
costs................. -- -- -- -- -- --
Other.................. 4,931 1,962 5,833 1,837 4,414 9,282
- --------------------------------------------------------------------------------------------------------
Total Expenses......... 1,343,660 636,020 2,259,179 599,988 290,265 690,589
Less: Management and
administration fee
waiver (Note 2)..... (270,909) -- -- -- -- (90,052)
- --------------------------------------------------------------------------------------------------------
Net Expenses........... 1,072,751 636,020 2,259,179 599,988 290,265 600,537
- --------------------------------------------------------------------------------------------------------
Net Investment Income
(Loss)................. 8,232,081 5,847,601 16,242,170 4,211,970 1,414,518 4,234,872
- --------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES
CONTRACTS (NOTES 4, 5
AND 7):
Realized Gain (Loss)
From:
Security transactions
(excluding short-term
securities)........... 5,048* 939,341 2,645,274 1,513,080 1,548,011 524,325
Foreign currency
transactions.......... -- -- -- -- -- --
Futures contracts...... -- -- -- -- -- --
- --------------------------------------------------------------------------------------------------------
Net Realized Gain
(Loss)................ 5,048 939,341 2,645,274 1,513,080 1,548,011 524,325
- --------------------------------------------------------------------------------------------------------
Change in Net
Unrealized
Appreciation
(Depreciation) of
Investments, Foreign
Currencies and Futures
Contracts:
Beginning of period.... -- (2,299,908) 6,453,021 13,648,375 1,442,990 2,333,392
End of period.......... -- (5,225,166) (6,578,117) 5,666,160 (369,272) 1,148,714
- --------------------------------------------------------------------------------------------------------
Change in Net
Unrealized
Appreciation
(Depreciation)........ -- (2,925,258) (13,031,138) (7,982,215) (1,812,262) (1,184,678)
- --------------------------------------------------------------------------------------------------------
Net Gain (Loss) on
Investments, Foreign
Currencies and Futures
Contracts.............. 5,048 (1,985,917) (10,385,864) (6,469,135) (264,251) (660,353)
- --------------------------------------------------------------------------------------------------------
Increase (Decrease) in
Net Assets From
Operations............. $8,237,129 $ 3,861,684 $ 5,856,306 $(2,257,165) $ 1,150,267 $ 3,574,519
- --------------------------------------------------------------------------------------------------------
</TABLE>
* Represents net realized gains from the sale of short-term securities for
Government Money Investments.
See Notes to Financial Statements.
142
<PAGE>
For the Six Months Ended February 28, 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>
$ 457,402 $ 557,432 $ 7,793,583 $ 498,576 $ 1,569,108 $ 1,604,701 $ 6,479,284 $ 551,929
614,298 19,291,399 716,727 9,914,544 1,566,840 6,060,073 -- 3,254,844
(4,433) (47,543) (510) -- -- (710,562) (73,878) (198,076)
- ------------------------------------------------------------------------------------------------------------------------
1,067,267 19,801,288 8,509,800 10,413,120 3,135,948 6,954,212 6,405,406 3,608,697
- ------------------------------------------------------------------------------------------------------------------------
40,862 633,122 1,101,000 397,623 208,096 596,865 113,801 351,646
72,871 1,872,110 2,102,033 756,077 1,003,386 1,316,703 227,136 240,948
216,985 4,562,443 4,042,731 2,287,653 2,974,526 3,312,219 567,879 1,084,265
3,349 63,753 63,753 21,035 39,627 25,368 4,425 7,357
22,195 97,002 36,781 51,493 43,503 58,687 20,923 24,521
14,018 21,152 14,230 20,349 11,811 14,087 13,758 13,389
2,644 46,578 59,625 64,979 77,943 382,351 19,724 170,612
1,866 17,164 12,260 14,688 12,491 11,739 3,924 3,924
-- -- -- -- -- 66,025 1,308 6,376
-- -- -- -- -- -- -- 3,222
4,304 14,185 17,160 2,000 10,143 10,129 5,980 3,401
- ------------------------------------------------------------------------------------------------------------------------
379,094 7,327,509 7,449,573 3,615,897 4,381,526 5,794,173 978,858 1,909,661
(13,000) -- -- -- -- -- -- --
- ------------------------------------------------------------------------------------------------------------------------
366,094 7,327,509 7,449,573 3,615,897 4,381,526 5,794,173 978,858 1,909,661
- ------------------------------------------------------------------------------------------------------------------------
701,173 12,473,779 1,060,227 6,797,223 (1,245,578) 1,160,039 5,426,548 1,699,036
- ------------------------------------------------------------------------------------------------------------------------
10,181,389 56,656,569 27,297,190 1,408,164 4,110,876 12,193,534 3,556,547 (63,526,377)
-- -- -- -- -- 1,489,332 2,834,989 (453,717)
-- 142,070 760,656 (648,720) 299,858 4,736,234 -- --
- ------------------------------------------------------------------------------------------------------------------------
10,181,389 56,798,639 28,057,846 759,444 4,410,734 18,419,100 6,391,536 (63,980,094)
- ------------------------------------------------------------------------------------------------------------------------
2,109,463 155,590,845 572,475,765 (141,398,451) (217,663,364) 60,153,722 3,407,847 (110,318,147)
1,077,040 427,570,652 1,198,579,263 (118,846,969) 11,425,444 195,567,746 (1,125,943) (17,592,305)
- ------------------------------------------------------------------------------------------------------------------------
(1,032,423) 271,979,807 626,103,498 22,551,482 229,088,808 135,414,024 (4,533,790) 92,725,842
- ------------------------------------------------------------------------------------------------------------------------
9,148,966 328,778,446 654,161,344 23,310,926 233,499,542 153,833,124 1,857,746 28,745,748
- ------------------------------------------------------------------------------------------------------------------------
$ 9,850,139 $341,252,225 $ 655,221,571 $ 30,108,149 $232,253,964 $154,993,163 $ 7,284,294 $ 30,444,784
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
143
<PAGE>
Statements of Changes in Net Assets (unaudited)
<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)................ $ 8,232,081 $ 5,847,601 $ 16,242,170 $ 4,211,970 $ 1,414,518 $ 4,234,872
Net realized gain
(loss)................ 5,048 939,341 2,645,274 1,513,080 1,548,011 524,325
Change in net
unrealized
appreciation
(depreciation)........ -- (2,925,258) (13,031,138) (7,982,215) (1,812,262) (1,184,678)
- ------------------------------------------------------------------------------------------------------------
Increase (Decrease) in
Net Assets From
Operations............ 8,237,129 3,861,684 5,856,306 (2,257,165) 1,150,267 3,574,519
- ------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
(NOTE 3):
Net investment income.. (8,235,668) (6,445,287) (17,231,979) (4,407,294) (1,498,152) (4,364,891)
Net realized gain...... -- (220,935) -- (5,585,193) (1,082,749) (864,424)
- ------------------------------------------------------------------------------------------------------------
Decrease in Net Assets
From Distributions to
Shareholders.......... (8,235,668) (6,666,222) (17,231,979) (9,992,487) (2,580,901) (5,229,315)
- ------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS
(NOTE 13):
Net proceeds from sale
of shares............. 375,651,906 85,201,664 173,865,587 26,115,209 12,442,186 20,114,456
Net asset value of
shares issued for
reinvestment of
dividends............. 8,235,668 5,458,043 14,007,454 9,011,279 2,229,720 3,513,640
Cost of shares
reacquired............ (423,260,743) (27,996,667) (123,171,143) (41,919,654) (13,941,846) (30,627,786)
- ------------------------------------------------------------------------------------------------------------
Increase (Decrease) in
Net Assets From Fund
Share Transactions.... (39,373,169) 62,663,040 64,701,898 (6,793,166) 730,060 (6,999,690)
- ------------------------------------------------------------------------------------------------------------
Increase (Decrease) in
Net Assets............. (39,371,708) 59,858,502 53,326,225 (19,042,818) (700,574) (8,654,486)
NET ASSETS:
Beginning of period.... 375,760,703 76,556,782 574,998,146 157,612,334 72,511,013 156,042,854
- ------------------------------------------------------------------------------------------------------------
End of period*......... $336,388,995 $136,415,284 $628,324,371 $138,569,516 $71,810,439 $147,388,368
- ------------------------------------------------------------------------------------------------------------
* Includes undistributed
(overdistributed) net
investment income of: $48,046 $(80,748) $(989,809) $(50,120) $(83,634) $(438,810)
- ------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
144
<PAGE>
For the Six Months Ended February 28, 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>
$ 701,173 $ 12,473,779 $ 1,060,227 $ 6,797,223 $ (1,245,578) $ 1,160,039 $ 5,426,548 $ 1,699,036
10,181,389 56,798,639 28,057,846 759,444 4,410,734 18,419,100 6,391,536 (63,980,094)
(1,032,423) 271,979,807 626,103,498 22,551,482 229,088,808 135,414,024 (4,533,790) 92,725,842
- --------------------------------------------------------------------------------------------------------------------------
9,850,139 341,252,225 655,221,571 30,108,149 232,253,964 154,993,163 7,284,294 30,444,784
- --------------------------------------------------------------------------------------------------------------------------
(1,089,787) (24,090,925) (3,040,909) (13,030,717) -- (17,799,557) (5,745,160) (2,193,397)
(7,093,572) (228,219,822) (81,027,132) (117,115,182) (33,622,731) (69,094,047) -- --
- --------------------------------------------------------------------------------------------------------------------------
(8,183,359) (252,310,747) (84,068,041) (130,145,899) (33,622,731) (86,893,604) (5,745,160) (2,193,397)
- --------------------------------------------------------------------------------------------------------------------------
17,358,419 260,858,364 311,700,184 118,730,974 201,860,084 250,570,544 67,040,918 121,330,572
8,040,891 249,441,931 83,203,975 128,710,339 30,632,228 86,017,381 4,672,376 2,174,644
(21,148,640) (346,456,824) (411,914,605) (163,996,867) (238,866,153) (372,660,292) (27,245,358) (142,050,698)
- --------------------------------------------------------------------------------------------------------------------------
4,250,670 163,843,471 (17,010,446) 83,444,446 (6,373,841) (36,072,367) 44,467,936 (18,545,482)
- --------------------------------------------------------------------------------------------------------------------------
5,917,450 252,784,949 554,143,084 (16,593,304) 192,257,392 32,027,192 46,007,070 9,705,905
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
- --------------------------------------------------------------------------------------------------------------------------
$74,387,361 $1,965,029,139 $2,347,589,052 $723,746,417 $1,050,767,643 $1,363,213,962 $238,074,996 $240,231,833
- --------------------------------------------------------------------------------------------------------------------------
$143,085 $3,798,576 $(1,980,682) $2,172,087 $ (1,199,755) $(24,187,949) $(2,501,218) $(565,265)
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
145
<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.
146
<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.
147
<PAGE>
Notes to Financial Statements (unaudited)
1. Significant Accounting Policies
Consulting Group Capital Markets Funds ("Fund"), a Massachusetts business
trust, is registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The Fund consists of
fourteen separate investment portfolios ("Portfolios"): Government Money
Investments, High Yield Investments, Intermediate Fixed Income Investments,
Long-Term Bond Investments, Municipal Bond Investments, Mortgage Backed
Investments, Balanced Investments, Large Capitalization Value Equity
Investments, Large Capitalization Growth Investments, Small Capitalization
Value Equity Investments, Small Capitalization Growth Investments,
International Equity Investments, International Fixed Income Investments and
Emerging Markets Equity Investments.
The significant accounting policies consistently followed by the Fund are:
(a) security transactions are accounted for on trade date; (b) securities
traded on national securities markets are valued at the closing prices on such
markets or, if there were no sales during the day, at current quoted bid price;
except for Government Money Investments, which values investments using the
amortized cost method; securities primarily traded on foreign exchanges are
generally valued at the preceding closing values of such securities on their
respective exchanges, except that when a significant occurrence subsequent to
the time a value was so established is likely to have significantly changed the
value then the fair value of those securities will be determined by
consideration of other factors by or under the direction of the Board of
Trustees; securities traded in the over-the-counter market are valued on the
basis of the bid price at the close of business on each day; certain debt
securities of U.S. issuers (other than U.S. government securities and short-
term investments) are valued at the mean between the quoted bid and ask prices;
U.S. government agencies and obligations are valued at the mean between the bid
and ask prices; (c) securities maturing within 60 days are valued at cost plus
accreted discount, or minus amortized premium, which approximates value;
(d) dividend income is recorded on the ex-dividend date except that foreign
dividends are recorded on the ex-dividend date or as soon as practical after
the Fund determines the existence of a dividend declaration after exercising
reasonable due diligence; and interest income is recorded on an accrual basis;
(e) gains or losses on the sale of securities are calculated by using the
specific identification method; (f) dividends and distributions to shareholders
are recorded on the ex-dividend date; (g) the accounting records of the Fund
are maintained in U.S. dollars. All assets and liabilities denominated in
foreign currencies are translated into U.S. dollars based on the rate of
exchange of such currencies against U.S. dollars on the date of valuation.
Purchases and sales of securities and income and expenses are translated at the
rate of exchange quoted on the respective date that such transactions are
recorded. Differences between income or expense amounts recorded and collected
or paid are adjusted when reported by the custodian bank; (h) each Portfolio
intends to comply with the requirements of the Internal Revenue Code of 1986,
as amended, pertaining to regulated investment companies and to make
distributions of taxable income sufficient to relieve it from substantially all
federal income and excise taxes; (i) the character of income and gains to be
distributed are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. At August 31, 1998,
reclassifications were made to the capital accounts of the Intermediate Fixed
Income Investments, Municipal Bond Investments, Mortgage Backed Investments,
Balanced Investments, Large Capitalization Value Investments, Small
Capitalization Value Equity Investments, Small Capitalization Growth
Investments, International Equity Investments and Emerging Markets Equity
Investments to reflect permanent book/tax differences and income and gains
available for distributions under income tax regulations. Accordingly, a
portion of undistributed (overdistributed) net investment income amounting to
$(933,271), $(12,577), $(4,475,857) and $2,685 was reclassified to paid-in
capital for Intermediate Fixed Income Investments, Municipal Bond Investments,
Small Capitalization Growth Investments and International Equity Investments,
respectively. Net investment income, net realized gains and net assets were not
affected by this adjustment; and (j) estimates and assumptions are required to
be made regarding assets, liabilities and changes in net assets resulting from
operations when financial statements are prepared. Changes in the economic
environment, financial markets and any other parameters used in determining
these estimates could cause actual results to differ.
Organization costs have been deferred and amortized on a straight line basis
over a five-year period, beginning with each portfolio's respective
commencement of operations. As of February 28, 1999, deferred organization
costs had been fully amortized for all portfolios except Emerging Markets
Equity Investments.
148
<PAGE>
Notes to Financial Statements (unaudited) (continued)
In addition, for Emerging Markets Equity Investments, organization costs have
been deferred and are currently being amortized on a straight-line basis over a
five year period, beginning with the commencement of operations in April 1994.
In addition, certain portfolios may from time to time enter into futures
contracts in order to hedge market risk. Also, certain portfolios may enter
into forward exchange contracts in order to hedge against foreign currency
risk. These contracts are marked to market daily, by recognizing the difference
between the contract exchange rate and the current market rate as an unrealized
gain or loss. Realized gains or losses are recognized when contracts are
settled.
2. Investment Advisory Agreement, Administration Agreement and Other
Transactions
The Fund has entered into an investment management agreement ("Management
Agreement") with SSBC Fund Management Inc. ("SSBC"), formerly known as Mutual
Management Corp., 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 adviser 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 0.15% 0.15%
million
on the amount over $100 0.10 0.15
million
High Yield Investments Alliance Capital 0.45 0.70
Management L.P.
Intermediate Fixed Income Investments Standish, Ayer & Wood,
Inc.:
on the first $500 0.20 0.40
million
on the amount over $500 0.15 0.40
million
Long-Term Bond Investments National Asset 0.20 0.40
Management Corp.
Municipal Bond Investments Smith Affiliated Capital 0.20 0.40
Corp.
Mortgage Backed Investments Atlantic Portfolio 0.25 0.50
Analytics & Management,
Inc.
Balanced Investments Laurel Capital Advisors, 0.30 0.60
LLP
Seix Investment 0.25 0.60
Advisors, Inc.
Large Capitalization Value Equity Investments Barclays Global Fund 0.02 0.32
Advisors
The Boston Co. Asset
Management, Inc.:
on the first $350 0.30 0.60
million
on the amount over $350 0.25 0.60
million
Parametric Portfolio
Associates:
on the first $300 0.20 0.50
million
on the amount over $300 0.15 0.45
million
Large Capitalization Growth Investments Provident Investment
Counsel Inc.
on the first $100 0.30 0.60
million
on the amount over $100 0.25 0.60
million
Barclays Global Fund 0.02 0.32
Advisors
Small Capitalization Value Equity Investments NFJ Investment Group
on the first $450 0.50 0.80
million
on the amount over $450 0.45 0.75
million
David L. Babson & Co.,
Inc.
on the first $100 0.50 0.80
million
on the amount over $100 0.45 0.80
million
Mellon Capital 0.06 0.36
Management Corp.
Small Capitalization Growth Investments Wall Street Associates 0.50 0.80
Mellon Capital 0.06 0.36
Management Corp.
Westpeak Investment 0.50 0.80
Advisors, L.P.
International Equity Investments Oechsle International 0.40 0.70
Advisors, LLC
State Street Global 0.06 0.37
Advisors
International Fixed Income Investments Julius Baer Investments 0.25 0.50
Management Inc.
Emerging Markets Equity Investments AIB Govett, Inc. 0.60 0.90
State Street Global 0.60 0.90
Advisors
Baring Asset Management, 0.60 0.90
Inc.
- --------------------------------------------------------------------------------------------
</TABLE>
149
<PAGE>
Notes to Financial Statements (unaudited) (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 six months ended February 28, 1999, the following fees were waived:
<TABLE>
<CAPTION>
Total
Fee
Portfolio Waivers Manager Administrator
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Government Money Investments.................... $270,909 -- $270,909
Mortgage Backed Investments..................... 90,052 $64,323 25,729
Balanced Investments............................ 13,000 9,750 3,250
- -------------------------------------------------------------------------------
</TABLE>
For the six months ended February 28, 1999, Salomon Smith Barney Inc.
("SSB"), another subsidiary of SSBH, received brokerage commissions of
approximately $148,142.
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 six months ended February 28, 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................................ $109,122,941 $ 49,763,573
Intermediate Fixed Income Investments................. 359,064,131 315,475,053
Long-Term Bond Investments............................ 24,902,212 29,678,706
Municipal Bond Investments............................ 86,685,631 84,881,981
Mortgage Backed Investments........................... 79,869,362 68,119,391
Balanced Investments.................................. 109,111,562 109,179,802
Large Capitalization Value Equity Investments......... 390,797,276 471,506,082
Large Capitalization Growth Investments............... 209,728,778 283,284,508
Small Capitalization Value Equity Investments......... 151,640,076 201,333,590
Small Capitalization Growth Investments............... 487,305,384 233,668,086
International Equity Investments...................... 156,547,043 283,017,618
International Fixed Income Investments................ 213,135,085 178,247,151
Emerging Markets Equity Investments................... 191,028,803 193,597,677
- --------------------------------------------------------------------------------
</TABLE>
At February 28, 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......... $ 2,691,920 $ (7,917,086) $ (5,225,166)
Intermediate Fixed Income In-
vestments..................... 2,243,694 (8,821,811) (6,578,117)
Long-Term Bond Investments..... 6,880,225 (1,214,065) 5,666,160
Municipal Bond Investments..... 257,196 (626,468) (369,272)
Mortgage Backed Investments.... 1,550,355 (401,641) 1,148,714
Balanced Investments........... 3,406,554 (2,329,514) 1,077,040
Large Capitalization Value Eq-
uity Investments.............. 502,764,720 (75,233,028) 427,531,692
Large Capitalization Growth In-
vestments..................... 1,239,171,520 (40,358,257) 1,198,813,263
Small Capitalization Value Eq-
uity Investments.............. 39,943,516 (158,717,985) (118,774,469)
Small Capitalization Growth In-
vestments..................... 205,525,520 (193,854,701) 11,670,819
International Equity Invest-
ments......................... 310,088,256 (118,323,867) 191,764,389
International Fixed Income In-
vestments..................... 4,031,256 (5,606,299) (1,575,043)
Emerging Markets Equity Invest-
ments......................... 20,860,704 (38,270,036) (17,409,332)
- -------------------------------------------------------------------------------
</TABLE>
150
<PAGE>
Notes to Financial Statements (unaudited) (continued)
5. Futures Contracts
Initial margin deposits made upon entering into futures contracts are
recognized as assets. Securities equal to the initial margin amount are
segregated by the custodian in the name of the broker. Additional securities
are also segregated up to the current market value of the futures contract.
During the period the futures contract is open, changes in the value of the
contract are recognized as unrealized gains or losses by "marking to market" on
a daily basis to reflect the market value of the contract at the end of each
day's trading. Variation margin payments are made or received and recognized as
assets due from or liabilities due to broker, depending upon whether unrealized
gains or losses are incurred. When the contract is closed, the Portfolio
records a realized gain or loss equal to the difference between the proceeds
from (or cost of) the closing transactions and the Portfolio's basis in the
contract.
The Portfolio enters into such contracts to hedge a portion of its portfolio.
The Portfolio bears the market risk that arises from changes in the value of
the financial instruments and securities indices (futures contracts) and the
credit risk should a counterparty fail to perform under such contracts.
At February 28, 1999, Large Capitalization Value Equity Investments, Large
Capitalization Growth Investments, Small Capitalization Value Equity
Investments, Small Capitalization Growth Investments and International Equity
Investments had the following open futures contracts:
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Gain
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index........... 54 3/99 $16,640,290 $16,679,250 $ 38,960
- --------------------------------------------------------------------------------
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........... 24 3/99 $ 7,647,000 $ 7,413,000 $(234,000)
- --------------------------------------------------------------------------------
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............ 22 6/99 $ 4,399,350 $4,326,850 $ (72,500)
- --------------------------------------------------------------------------------
Small Capitalization Growth Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Loss
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Russell 2000............ 35 3/99 $7,129,000 $ 6,883,625 $(245,375)
- --------------------------------------------------------------------------------
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................. 115 3/99 $ 5,070,731 $ 5,159,721 $ 88,990
Hang Seng Stock Index
Future................. 21 3/99 1,264,230 1,332,185 67,955
IBEX 35 PLUS............ 38 3/99 4,072,669 4,159,763 87,094
London Financial Times
Stock Exchange 100..... 84 3/99 7,969,322 8,286,693 317,371
Marche A Terme Interna-
tional de France Cac
40..................... 14 3/99 634,256 629,063 (5,193)
MIB 30.................. 26 3/99 4,971,049 5,178,027 206,978
Osaka Securities Ex-
change Nikkei 300...... 140 3/99 2,643,068 2,641,925 (1,143)
- --------------------------------------------------------------------------------
Total................... $26,625,325 $27,387,377 $ 762,052
- --------------------------------------------------------------------------------
</TABLE>
151
<PAGE>
Notes to Financial Statements (unaudited) (continued)
6. Foreign Securities
International Equity Investments, International Fixed Income Investments and
Emerging Markets Equity Investments invest in foreign securities which may
involve risks not present in domestic investments. Since securities may be
denominated in a foreign currency and may require settlement in foreign
currencies and pay interest and/or a dividend in foreign currencies, changes in
the relationship of these foreign currencies to the U.S. dollar can
significantly affect the value of the investments and earnings of the
Portfolios. Foreign investments may also subject the Portfolios to foreign
government exchange restrictions, expropriation, taxation or other political,
social or economic developments, all of which could affect the market and/or
credit risk of the investments.
7. Forward Foreign Currency Contracts
At February 28, 1999, International Equity Investments, International Fixed
Income Investments and Emerging Markets Equity Investments had the following
open forward foreign currency contracts. The Portfolios bear the market risk
that arises from changes in foreign currency exchange rates. The unrealized
gain (loss) on the contracts reflected in the accompanying financial statements
were as follows:
International Equity Investments
<TABLE>
<CAPTION>
Local Market Settlement Unrealized
Foreign Currency Currency Value Date Gain (Loss)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
To Sell:
Australian Dollar................... 200,000 $ 124,204 03/05/99 $ 175
Australian Dollar................... 400,000 248,408 03/05/99 (3,608)
Australian Dollar................... 720,000 447,135 03/05/99 (1,815)
Australian Dollar................... 1,000,000 621,020 03/05/99 20,879
Australian Dollar................... 200,000 124,204 03/05/99 2,095
Australian Dollar................... 220,000 136,624 03/05/99 3,057
Australian Dollar................... 550,000 341,561 03/05/99 12,088
Australian Dollar................... 300,000 186,306 03/05/99 3,773
British Pound....................... 850,000 1,361,516 03/05/99 58,748
British Pound....................... 970,000 1,553,730 03/05/99 78,779
British Pound....................... 600,000 961,070 03/05/99 47,589
British Pound....................... 1,300,000 2,082,318 03/05/99 92,841
British Pound....................... 1,600,000 2,562,853 03/05/99 86,746
British Pound....................... 1,500,000 2,402,675 03/05/99 35,874
British Pound....................... 700,000 1,121,248 03/05/99 30,461
British Pound....................... 400,000 640,713 03/05/99 20,386
British Pound....................... 2,200,000 3,523,923 03/05/99 68,676
British Pound....................... 1,500,000 2,402,675 03/05/99 39,879
British Pound....................... 3,000,000 4,805,350 03/05/99 101,149
Euro................................ 554,468 608,789 03/01/99 (455)
Euro................................ 2,300,000 2,525,843 03/05/99 161,476
Euro................................ 5,200,000 5,710,603 03/05/99 378,908
Euro................................ 6,000,000 6,589,157 03/05/99 187,242
French Franc........................ 8,400,000 1,406,236 03/05/99 109,872
</TABLE>
152
<PAGE>
Notes to Financial Statements (unaudited) (continued)
<TABLE>
<CAPTION>
Local Market Settlement Unrealized
Foreign Currency Currency Value Date Gain (Loss)
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
French Franc.............. 9,300,000 $ 1,556,904 03/05/99 $ 105,590
French Franc.............. 4,363,000 730,405 03/05/99 38,336
German Mark............... 1,000,000 561,460 03/05/99 45,649
German Mark............... 3,300,000 1,852,817 03/05/99 147,546
German Mark............... 8,700,000 4,884,700 03/05/99 119,613
Italian Lira.............. 1,601,000,000 907,992 03/05/99 70,673
Italian Lira.............. 1,208,000,000 685,106 03/05/99 46,128
Italian Lira.............. 10,709,463,000 6,073,774 03/05/99 34,749
Japanese Yen.............. 250,000,000 2,109,040 03/05/99 42,422
Japanese Yen.............. 100,000,000 843,616 03/05/99 24,891
Japanese Yen.............. 121,000,000 1,020,775 03/05/99 40,069
Japanese Yen.............. 232,400,000 1,960,564 03/05/99 60,305
Japanese Yen.............. 220,000,000 1,855,955 03/05/99 122,817
Japanese Yen.............. 150,000,000 1,265,424 03/05/99 81,316
Japanese Yen.............. 110,000,000 927,977 03/05/99 45,397
Japanese Yen.............. 100,000,000 843,616 03/05/99 35,953
Japanese Yen.............. 410,000,000 3,458,826 03/05/99 177,859
Japanese Yen.............. 410,000,000 3,458,826 03/05/99 504
New Zealand Dollar........ 10,480,000 5,492,983 03/04/99 81,852
Spanish Peseta............ 349,600,000 2,307,331 03/05/99 154,640
Spanish Peseta............ 439,415,000 2,900,103 03/05/99 137,467
Swedish Krona............. 12,600,000 1,534,898 03/05/99 66,912
Swedish Krona............. 600,000 73,090 03/05/99 2,667
- ------------------------------------------------------------------------------
89,794,343 3,218,170
- ------------------------------------------------------------------------------
To Buy:
Australian Dollar......... 1,756,627 1,090,880 03/01/99 (9,120)
Australian Dollar......... 11,185,000 6,946,120 03/05/99 (89,245)
British Pound............. 1,406,731 2,253,322 03/04/99 (7,731)
British Pound............. 11,257,000 18,031,277 03/05/99 (655,342)
British Pound............. 2,600,000 4,164,637 03/05/99 (173,462)
British Pound............. 2,000,000 3,203,567 03/05/99 (62,432)
British Pound............. 2,000,000 3,203,567 03/05/99 (58,012)
Euro...................... 1,901,829 2,088,152 03/01/99 (11,847)
Euro...................... 3,000,000 3,294,578 03/05/99 (87,321)
Euro...................... 1,500,000 1,647,289 03/05/99 (47,710)
Euro...................... 8,000,000 8,785,543 03/05/99 (174,856)
French Franc.............. 22,063,000 3,693,547 03/05/99 (256,855)
German Mark............... 4,490,000 2,520,955 03/05/99 (177,362)
German Mark............... 10,900,000 6,119,912 03/05/99 (428,601)
Italian Lira.............. 13,518,463,000 7,666,872 03/05/99 (546,045)
Japanese Yen.............. 919,000,000 7,752,833 03/05/99 (4,404)
Japanese Yen.............. 340,000,000 2,868,295 03/05/99 (122,292)
Japanese Yen.............. 300,000,000 2,530,848 03/05/99 (126,369)
Japanese Yen.............. 280,000,000 2,362,125 03/05/99 (23,431)
New Zealand Dollar........ 10,480,000 5,492,983 03/04/09 (168,732)
Swedish Krona............. 17,646,000 2,149,588 03/05/99 (48,523)
Spanish Peseta............ 789,015,000 5,207,435 03/05/99 (368,642)
- ------------------------------------------------------------------------------
103,074,325 (3,648,334)
- ------------------------------------------------------------------------------
Total Unrealized Loss on
Forward Foreign Currency
Contracts................ $ (430,164)
- ------------------------------------------------------------------------------
</TABLE>
153
<PAGE>
Notes to Financial Statements (unaudited) (continued)
International Fixed Income Investments
<TABLE>
<CAPTION>
Unrealized
Local Market Settlement Gain
Cross Forwards Currency Value Date (Loss)
- --------------------------------------------------------------------------------
To Buy:
<S> <C> <C> <C> <C>
Australian Dollar........... 10,090,181 $ 6,266,766 03/22/99 $ (255,436)
British Pound............... 10,185,454 16,311,754 03/15/99 (291,897)
British Pound............... 5,041,381 8,073,647 03/15/99 (131,438)
Euro........................ 3,325,284 3,651,063 03/01/99 (174,004)
Euro........................ 6,523,765 7,170,532 03/22/99 (393,165)
Euro........................ 2,454,786 2,698,292 03/23/99 (137,040)
Euro........................ 9,857,390 10,836,304 03/25/99 (598,668)
Euro........................ 26,628,320 29,274,200 03/26/99 (1,727,253)
Japanese Yen................ 2,719,683,000 22,974,894 03/15/99 341,736
Norwegian Krone............. 28,724,800 3,627,485 03/01/99 (107,521)
- --------------------------------------------------------------------------------
110,884,937 (3,474,686)
- --------------------------------------------------------------------------------
<CAPTION>
To Sell:
<S> <C> <C> <C> <C>
Australian Dollar........... 11,938,000 $ 7,414,402 03/22/99 $ 149,296
Australian Dollar........... 18,058,000 11,215,559 03/25/99 219,414
British Pound............... 13,931,960 22,311,691 03/15/99 321,467
British Pound............... 18,749,000 30,019,710 03/26/99 981,743
Euro........................ 3,298,479 3,621,631 03/01/99 113,374
Euro........................ 5,755,721 6,326,344 03/22/99 195,858
Japanese Yen................ 1,804,017,000 15,239,681 03/15/99 1,363,970
Japanese Yen................ 915,666,000 7,735,214 03/15/99 469,871
New Zealand Dollar.......... 5,185,000 2,718,302 03/23/99 117,030
Norwegian Krone............. 28,724,800 3,627,485 03/01/99 197,582
- --------------------------------------------------------------------------------
110,230,019 4,129,605
- --------------------------------------------------------------------------------
Total Unrealized Gain on
Forward
Foreign Currency Contracts.. $ 654,919
- --------------------------------------------------------------------------------
Emerging Markets Equity Investments
<CAPTION>
Local Market Settlement Unrealized
Foreign Currency Currency Value Date Gain
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
To Buy:
Argentine Peso.............. 923,400 $ 926,457 4/22/99 $ 26,457
- --------------------------------------------------------------------------------
</TABLE>
8. Repurchase Agreements
