<PAGE>
Consulting Group
Since 1973
Consulting Group
Capital Markets Funds
Large Capitalization Value Equity Investments
Large Capitalization Growth Investments
S&P 500 Index Investments
Intermediate Fixed Income Investments
Long-Term Bond Investments
Municipal Bond Investments
Mortgage Backed Investments
High Yield Investments
Multi-Sector Fixed Income Investments
Government Money Investments
Annual Report TRAK(R)
August 31, 2000 Personalized Investment Advisory Service
NOT FDIC INSURED . NOT BANK GUARANTEED . MAY LOSE VALUE
<PAGE>
Table of Contents
<TABLE>
<S> <C>
SHAREHOLDER LETTER.................................................................................... 1
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS........................................................ 4
LARGE CAPITALIZATION GROWTH INVESTMENTS.............................................................. 6
S&P 500 INDEX INVESTMENTS............................................................................ 8
INTERMEDIATE FIXED INCOME INVESTMENTS................................................................ 10
LONG-TERM BOND INVESTMENTS........................................................................... 12
MUNICIPAL BOND INVESTMENTS........................................................................... 14
MORTGAGE BACKED INVESTMENTS.......................................................................... 16
HIGH YIELD INVESTMENTS............................................................................... 18
MULTI-SECTOR FIXED INCOME INVESTMENTS................................................................ 20
GOVERNMENT MONEY INVESTMENTS......................................................................... 22
SCHEDULES OF INVESTMENTS.............................................................................. 26
BOND RATINGS.......................................................................................... 93
STATEMENTS OF ASSETS AND LIABILITIES.................................................................. 94
STATEMENTS OF OPERATIONS.............................................................................. 96
STATEMENTS OF CHANGES IN NET ASSETS................................................................... 98
NOTES TO FINANCIAL STATEMENTS......................................................................... 102
FINANCIAL HIGHLIGHTS.................................................................................. 113
INDEPENDENT AUDITORS' REPORT.......................................................................... 119
TAX INFORMATION....................................................................................... 120
</TABLE>
<PAGE>
Consulting Group
Capital Markets Funds
DEAR SHAREHOLDERS:
Most major market indices reached record levels during the 1990s. Led by the
boom in the technology sector and the continued economic expansion, which began
in March 1991, the stock market closed the decade at new highs. In the year
2000, these record levels of valuation have been accompanied by record levels of
volatility. In fact, year-to-date through September 30th, the Nasdaq Composite
Index, which is heavily weighted toward technology issues, witnessed 55 days of
performance up or down 2% from the previous day's close. This is almost a third
of the 169 trading days for the year and demonstrates a trend across most major
indices.
The catalysts for this volatility have changed over the past six months. Earlier
in the year, investors were focusing on the Federal Reserve Board ("Fed") and a
series of interest rate hikes. Once a clearer economic picture emerged, the
markets stabilized and even rebounded before new fears about the three E's -
Earnings, Energy and the Euro - emerged.
U.S. MARKET OVERVIEW/1/
These conflicting currents have produced some abrupt course changes for the
stock market. In the spring, nervousness about interest rates and corporate
earnings took its toll on the U.S. stock market. Strong corporate earnings did
not stop investors from fretting about the prospects for future earnings. Early
in the year, many analysts worried the Fed would need to push interest rates
sharply higher to curb inflation, leading to slower growth and weaker earnings.
The bearish trend spread to the broader market and overseas after several key
economic reports appeared to point to mounting inflationary pressures. In fact,
a major correction appeared to be in the making, triggered by a sharp downturn
in the previously red-hot computer and Internet stocks. The tech-heavy Nasdaq
Composite Index plunged more than 27% in the first two weeks of April, breaking
a bull run that saw its value more than triple in less than two years. As the
second quarter progressed, signs of a possible economic slowdown emerged. From
that point, the market stabilized, then managed to recoup some, though not all,
of its losses. After a sluggish July, the market rallied strongly in August on
the improved interest rate outlook.
September, however, proved to be the year's cruelest month, as investors faced
disappointing earnings announcements from a string of high-profile firms.
Hardest hit was the technology sector, which had appeared to be slowly
recuperating from its dramatic slide earlier in the year. With many tech stocks
still at historically high valuations investors reacted harshly to warnings of
slower PC sales and sluggish Internet revenue growth. A surge in oil prices also
gave investors something else to worry about. Crude prices briefly neared $40 a
barrel in mid-September.
The net result of the summer's twists and turns: the Standard & Poor's 500 Index
posted a return of a negative 0.97% for the quarter, putting it slightly in
negative territory for the year, with a negative 1.39% return. On the brighter
side, the U.S. bond market posted modest gains, despite the rise in oil prices.
Investors were impressed by signs that a slowing economy might allow the Fed to
avoid further interest rate hikes this year. The yield on the 10-year Treasury
note fell to 5.79% from 6.01% at the end of June. Fed policymakers, for their
part, stood pat during the most recent quarter, leaving the key federal funds
rate at 6.50%. Longer-term bonds, which staged a strong rally earlier in the
year in anticipation of slower growth, registered more modest gains in the third
quarter. The Lehman Brothers Aggregate Bond Index returned 3.02% for the quarter
and 7.12% for the year-to-date.
--------
/1/ All information is through September 30, 2000, unless otherwise noted.
1
<PAGE>
INTERNATIONAL MARKET OVERVIEW/2/
Foreign equity markets fell more sharply, and those losses were magnified by the
strength of the U.S. dollar, which hit a record high against Europe's common
currency, the euro. Morgan Stanley Capital International's ("MSCI") Europe,
Australia and the Far East, or EAFE, Index suffered a 8.01% loss in dollar terms
during the quarter, bringing its year-to-date return to a negative 11.64%. Since
its launch at the beginning of 1999, the euro has dropped more than 25% against
the dollar.
The euro's woes appeared to reach a climax in the third quarter, as the currency
fell to a record low on September 20th, prompting a joint rescue mission by the
world's major central banks. This effort, plus a boost in short-term interest
rates by the European Central Bank, appeared to stabilize the euro as the
quarter ended. The MSCI Europe Index posted a negative 7.25% return for the
quarter in dollar terms and a loss of 9.99% year to date.
In Asia, nagging doubts about Japan's economic recovery were not dispelled by
the Bank of Japan's decision in August to lift its key short-term rate, the
discount rate, from 0.25% to 0.50%. The MSCI Japan Index showed a return of a
negative 10.44% in dollar terms for the quarter and a return of a negative
15.20% for the year.
Elsewhere, the slump in U.S. computer stocks spilled over into the tech-heavy
markets of Southeast Asia, while the jump in oil prices rattled equity investors
throughout the emerging world. The result was a negative 13.00% return for the
quarter on the MSCI Emerging Markets Free Index, bringing its year-to-date
return to a negative 19.95%.
CONSULTING GROUP ASSET ALLOCATION
The volatility witnessed so far this year highlights the need for
diversification. The Consulting Group Asset Allocation Committee ("Committee")
meets each month for a formal review of economic and market data and then
determines any recommended course of action. During the last six months, the
Committee has recommended three adjustments that may impact your Portfolio.
Your Financial Consultant is in the best situation to provide advice and
guidance in interpreting your personalized asset allocation.
CONSULTING GROUP CAPITAL MARKETS FUNDS
During the year ended August 31, 2000, the Portfolios generally performed in
line with their respective benchmarks. A complete review of each Portfolio
immediately follows this letter.
Finally, it is hard to predict the next turn in the market. Although risk is
unavoidable in the stock market, a prudent investment strategy like TRAK can
help reduce the impact of volatility. With the TRAK program you have the
expertise and guidance of your Financial Consultant, Consulting Group and a
premier group of advisors
-------
/2/ All information is through September 30, 2000, unless otherwise noted.
2
<PAGE>
to assist you in meeting your goals. As always, if you should have any questions
or comments about the Consulting Group Capital Markets Funds, your Financial
Consultant remains ready to assist you.
Sincerely,
/s/ Heath B. McLendon /s/ Frank L. Campanale
Heath B. McLendon Frank L. Campanale
Chairman Investment Officer
September 30, 2000
3
<PAGE>
Large Capitalization
Value Equity Investments
ABOUT THE SUB-ADVISORS
. The Boston Company Asset
Management, Inc.
Seeks total return by investing in portfo-
lios of highly liquid common stocks that
in its opinion have above average appre-
ciation potential. The sub-advisor
employs an active portfolio management
style using a proprietary quantitative
model to identify those companies which
demonstrate characteristics of both
value and positive market momentum.
. Chartwell Investment Partners
Employs "top-down" and "bottom-up"
management techniques in managing its
portion of the Portfolio's assets.
Chartwell focuses on a combination of
low price-to-sales, price-to-earnings,
price-to-cash flow and price-to-book
ratios, along with a preference for pre-
mium yielding issues. The sub-advisor then
shifts its focus to identifying those compa-
nies with evidence of a major catalyst for
change.
. Parametric Portfolio Associates
Seeks to track the performance of the
Russell 1000 Value Index. The sub-advisor
uses a quantitative process to identify
stocks which the firm believes are
underpriced relative to their underlying
value. The sub-advisor then looks for
companies from that list with rising
earnings expectations, reasonable valua-
tions and positive market momentum
through an analysis of the company's fun-
damentals, including factors such as
revenues, cash flow, earnings and analyst
ratings. The sub-advisor designs the port-
folio to have a risk profile similar to that
of the Russell 1000 Value Index.
. Barclays Global Fund Advisors
A passive, index-based manager which
uses a quantitative investment approach
to create a portfolio which fully repli-
cates the performance of the Russell
1000 Value Index.
Large Capitalization Value Equity Investments ("Portfolio") is advised by The
Boston Company Asset Management, Inc. ("Boston Co."), Chartwell
Investment Partners ("Chartwell"), Parametric Portfolio Associates
("Parametric") and Barclays Global Fund Advisors ("Barclays"). Given the
recent market volatility, Consulting Group believes this Portfolio has per-
formed in-line with expectations, while the longer-term performance
numbers reflect the Portfolio's previous strategy. The Portfolio returned
4.00% for the year versus the Russell 1000 Value Index return of 4.14%, the
Portfolio's benchmark.
The Boston Co. and Chartwell acted as the Portfolio's active advisors, while
Parametric undertook the quantitative risk-controlled allocation and Barclays
was responsible for the passive allocation of the Portfolio. During the year,
Consulting Group reduced the quantitative allocation of the Portfolio and
increased both the active and passive allocations.
Going forward, Consulting Group will continue to monitor the allocation
among the advisors and make adjustments to meet the current market envi-
ronment. The advisors will stay fully invested within the large capitalization
value sector. The Boston Co. and Chartwell, each with approximately 20%
of the Portfolio's assets will continue as active advisors. Parametric, with
approximately 10% of the Portfolio's assets will continue to apply a risk-
based, quantitative model in search of large capitalization value investments
and Barclays will continue to manage the assets in full replication of the
Russell 1000 Value Index.
4
<PAGE>
The following graphs depict the performance of the Large Capitalization Value
Equity Investments vs. the Russell 1000
Value Index/1/ and the Lipper
Large Cap Value Fund Average/2/.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
Comparison of $10,000 Investments in the Portfolio with the Russell 1000 Value
Index and the Lipper Large Cap Value Fund Average
--------------------------------------------------------------------------------
[GRAPH]
Large Large
Capitalization Capitalization Lipper
Value Equity Value Equity Large Cap
Investments Investments Russell 1000 Value Fund
(With TRAK Fee)* (Without TRAK Fee) Value Index Average
--------------------------------------------------------------------------------
11/18/91 10,000 10,000 10,000 10,000
8/31/92 10,834 10,963 11,496 11,106
8/31/93 11,660 11,977 14,588 13,007
8/31/94 11,726 12,226 15,008 13,708
8/31/95 13,416 14,200 17,881 16,070
8/31/96 15,163 16,292 21,018 18,822
8/31/97 20,765 22,646 29,327 25,543
8/31/98 20,466 22,653 30,470 25,724
8/31/99 25,480 28,625 39,635 34,010
8/31/2000 26,109 29,770 47,617 37,353
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE FOR THE THREE-YEAR PERIOD ENDED AUGUST 31, 2000
(unaudited)
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Russell 1000 Value
Index and the Lipper Large Cap Value Fund Average
--------------------------------------------------------------------------------
[GRAPH]
Large Large
Capitalization Capitalization Lipper
Value Equity Value Equity Large Cap
Investments Investments Russell 1000 Value Fund
(With TRAK Fee)* (Without TRAK Fee) Value Index Average
--------------------------------------------------------------------------------
8/97 10,000 10,000 10,000 10,000
8/98 13,495 13,902 10,390 10,071
8/99 16,801 17,567 13,515 13,315
8/00 12,574 13,146 14,076 14,624
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
---------------------------------------------------
Portfolio Highlights#
---------------------------------------------------
[PIE CHART]
Composition of portfolio as of
August 31, 2000
Bank 10.6%
Computers 4.1%
Diverified Financial Services 9.1%
Electric 4.6%
Insurance 6.2%
Media 4.4%
Oil & Gas Producers 8.8%
Pharmaceuticals 5.1%
Telecommunications 9.8%
Other 37.3%
--------------------------------------------------------------------------------
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
--------------------------------------------------------------------------------
Since inception (11/18/91) 13.21% 11.53%
5 year 15.96 14.24
3 year 9.55 7.93
1 year 4.00 2.47
================================================================================
See pages 24 and 25 for all footnotes.
5
<PAGE>
Large Capitalization
Growth Investments
ABOUT THE SUB-ADVISORS
. Provident Investment Counsel Inc.
Employs an active management style and
seeks to focus on companies whose
earnings are growing at a faster rate
than the average rate of earnings growth
of companies comprising Standard &
Poor's 500 Index. It identifies possible
investments based on sales and earnings
growth, high return on equity and profit
margin. The sub-advisor uses portfolio
analysis to further narrow this list by
considering factors such as the quality of
management, company goals and propri-
etary positioning of products. It generally
sells a security when its price or price-
to-earnings ratio reaches set objectives
or there is a fundamental change in the
company's earnings.
. TCW Investment Management Co.
Seeks to maximize capital appreciation
while adhering to discipline designed to
protect capital from permanent loss.
Their investment philosophy stresses
investment in high-quality companies
with opportunities for growth that are
not fully reflected in stock market valua-
tions. TCW utilizes a "bottom-up"
investment strategy that focuses prima-
rily on assessing the operating prospects
of each prospective holding. Companies
targeted for investment typically are
those believed to have strong and endur-
ing business models and inherent
advantages over their competitors.
. Barclays Global Fund Advisors
A passive, index-based manager which
uses a quantitative investment approach
to create a portfolio which fully repli-
cates the performance of the Russell
1000 Growth Index.
Large Capitalization Growth Investments ("Portfolio") is advised by
Provident Investment Counsel Inc. ("Provident"), TCW Investment
Management Co. ("TCW") and Barclays Global Fund Advisors ("Barclays").
The Portfolio returned 34.31% for the year versus the Russell 1000 Growth
Index return of 33.44%, the Portfolio's benchmark.
Provident and TCW were the Portfolio's active advisors, while Barclays was
responsible for the passive allocation of the Portfolio. In January 2000,
Consulting Group recommended, and the Board of Trustees agreed, to retain
TCW as an additional active advisor. During the year, Consulting Group
also reduced the Portfolio's passive allocation and increased the active alloca-
tion through the hiring of TCW.
Going forward, Consulting Group will continue to monitor the allocation
among the advisors and make adjustments to meet the current market envi-
ronment. The advisors will stay fully invested within the large capitalization
growth sector. Currently, Provident holds approximately 20% of the
Portfolio's assets. TCW, with approximately 20% of the Portfolio's assets,
will remain as an active advisor, while Barclays, with approximately 60% of
the Portfolio's assets, will remain as a full replication of the Russell 1000
Growth Index.
In August, Consulting Group downgraded Provident from four to two dia-
monds. This downgrade was based on several significant concerns including
changes made to the firm's investment process.
6
<PAGE>
The following graphs depict the performance of the Large Capitalization Growth
Investments vs. the Russell 1000 Growth Index/3/ and the Large Cap Growth Fund
Average/4/.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
LARGE CAPITALIZATION GROWTH INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Russell 1000 Growth
Index and the Lipper Large Cap Growth Fund Average
--------------------------------------------------------------------------------
[GRAPH]
Large Large
Capitalization Capitalization Lipper
Growth Growth Large Cap
Investments Investments Russell 1000 Growth Fund
(With TRAK Fee)* (Without TRAK Fee) Growth Index Average
--------------------------------------------------------------------------------
11/18/91 10,000 10,000 10,000 10,000
8/92 10,970 11,100 11,075 10,640
8/93 11,887 12,210 11,961 12,653
8/94 11,997 12,510 12,740 13,188
8/95 14,454 15,300 15,879 16,106
8/96 16,075 17,272 18,798 18,125
8/97 21,770 23,744 26,199 24,306
8/98 23,123 25,600 28,361 25,431
8/99 33,323 37,450 42,068 38,088
8/31/2000 44,094 50,298 56,143 53,217
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE FOR THE THREE-YEAR PERIOD ENDED
AUGUST 31, 2000 (unaudited) LARGE CAPITALIZATION GROWTH INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Russell 1000 Growth
Index and the Lipper Large Cap Growth Fund Average
--------------------------------------------------------------------------------
[GRAPH]
Large Large
Capitalization Capitalization Lipper
Growth Growth Large Cap
Investments Investments Russell 1000 Growth Fund
(With TRAK Fee)* (Without TRAK Fee) Growth Index Average
--------------------------------------------------------------------------------
8/97 10,000 10,000 10,000 10,000
8/98 10,622 10,751 15,088 10,463
8/99 15,307 15,772 22,379 20,406
8/00 20,255 21,183 22,379 28,511
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
---------------------------------------------
Portfolio Highlights#
---------------------------------------------
Composition of portfolio as of
August 31, 2000
[PIE CHART]
Biotechnology 4.0%
Computers 10.4%
Diversified Financial Services 3.7%
Miscellaneous Manufacturing 4.7%
Pharmaceuticals 9.4%
Retail 5.0%
Semiconductors 14.7%
Software 10.8%
Telecommunication Equipment 18.1%
Other 19.2%
--------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
--------------------------------------------------------------------------------
Since inception (11/18/91) 20.17% 18.38%
5 year 26.87 24.99
3 year 28.43 26.52
1 year 34.31 32.32
================================================================================
See pages 24 and 25 for all footnotes.
7
<PAGE>
S&P 500 Index Investments
ABOUT THE SUB-ADVISOR
. Barclays Global Fund Advisors
A passive, index-based manager which
attempts to mirror the composition of
the Standard & Poor's 500 Index as
closely as possible by adjusting the
Portfolio's holdings daily to reflect the
companies included in the index and
their weightings.
S&P 500 Index Investments ("Portfolio"), advised by Barclays Global Fund
Advisors, returned 18.24% since its inception in October 1999 versus the
actual Standard & Poor's 500 Index ("S&P 500 Index") return of 19.60%,
the Portfolio's benchmark. Most of this performance was realized in 1999 as
significant volatility in 2000 has negatively impacted the benchmark.
Concerns about interest rates, the direction of the U.S. economy and future
corporate earnings left the market in turmoil for most of this year. Among
the best performing groups this year within the index were stocks of defense
companies, insurance companies, and utilities. Among the worst performing
groups were electronic instrument companies, insurance companies and
telecommunication companies.
Tentative evidence of some slowing in the pace of economic growth began to
emerge during the second quarter and accumulated during the third quarter.
Against this background, corporate earnings expectations have been coming
down. Expectations have also been reduced in large part due to rising energy
costs and the translation effect of the strong dollar, particularly relative to
the euro.
For the first time in well over a year, the futures market is indicating that
the next policy move by the Federal Reserve Board is more likely to be a rate
cut than an increase. Before too much longer, the focus of investors' attention
could likely shift toward the more benign interest rate outlook, and this may
help the market look beyond near-term earnings shortfalls. Looking forward,
the advisor will continue to fully replicate the S&P 500 Index.
8
<PAGE>
The following graph depicts the performance of the S&P 500 Index Investments vs.
the Standard & Poor's 500 Index/5/.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
S&P 500 INDEX INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Standard & Poor's 500
Index
--------------------------------------------------------------------------------
[GRAPH]
S&P 500 Index Investments S&P 500 Index Standard & Poor's
(With TRAK Fee)* (Without TRAK Fee) 500 Index
---------------------------------------------------------------------------
10/1/99 10,000 10,000 10,000
10/31/99 10,599 10,613 10,633
11/30/99 10,798 10,825 10,849
12/31/99 11,417 11,460 11,487
1/31/2000 10,803 10,857 10,910
2/29/2000 10,589 10,656 10,704
3/31/2000 11,599 11,686 11,751
4/30/2000 11,223 11,322 11,397
5/31/2000 10,972 11,083 11,163
6/30/2000 11,220 11,347 11,438
7/31/2000 11,019 11,158 11,260
8/31/2000 11,663 11,824 11,959
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
---------------------------------------------
Portfolio Highlights#
---------------------------------------------
Composition of portfolio as of
August 31, 2000
[PIE CHART]
Computers 7.6%
Diversified Financial Services 4.5%
Miscellaneous Manufacturer 5.6%
Oil & Gas Producers 4.4%
Pharmaceuticals 6.6%
Semiconductors 6.8%
Software 5.5%
Telecommunication Equipment 14.7%
Repurchase Agreement 8.7%
Other 35.6%
--------------------------------------------------------------------------------
S&P 500 INDEX INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
................................................................................
Since inception (10/1/99) 18.24% 16.62%
================================================================================
See pages 24 and 25 for all footnotes.
9
<PAGE>
Intermediate Fixed
Income Investments
ABOUT THE SUB-ADVISORS
. Standish, Ayer & Wood, Inc.
Seeks to maximize current income and
minimize volatility by: (i) analyzing issuers
and sectors on a yield spread basis, with
an overlay of fundamental company
analysis; (ii) identifying fixed-income
securities with the greatest potential for
adding value, such as those involving new
issuers, the potential for credit up-
grades, unique structural characteristics
or innovative features; and (iii) managing
variables such as sector, maturity, dura-
tion, credit quality, yield and potential
capital appreciation.
. Pacific Investment
Management Co.
Employs "top-down" and "bottom-up"
investment techniques. It implements the
following "top-down" strategies: duration
and volatility analysis, sector evaluation
and yield curve shape analysis. The sub-
advisor also employs the following
"bottom-up" strategies: credit analysis,
quantitative research, issue selection and
cost-effective trading.
. Metropolitan West Asset
Management, LLC
Designed with the goal of consistently
outperforming a benchmark while main-
taining below average volatility. The
sub-advisor believes consistent outper-
formance is gained through the
measured application of five value-added
strategies: limited average maturity/dura-
tion shifts, yield curve management,
utilization of all sectors of the bond
market, quantitative security selection
and sophisticated buy/sell execution
strategies.
Intermediate Fixed Income Investments ("Portfolio") is advised by Standish,
Ayer & Wood, Inc. ("Standish"), Pacific Investment Management Co.
("PIMCO") and Metropolitan West Asset Management, LLC ("Metropolitan
West"). A degree of normalcy returned to the bond market over the third
quarter as the yield curve continued to unwind the inversion that was
responsible for high volatility over the past fiscal year. This change reflects
shifting market sentiment about the economy, Federal Reserve Board policy
and the U.S. budget. The election, higher oil prices and economic growth are
all additional factors but are unlikely to have significant effects on perform-
ance. For the year, the Portfolio returned 5.73% versus 6.25% for its
benchmark, the Lehman Brothers Intermediate Government/Corporate Bond
Index.
Looking forward, Metropolitan West plans to increase holdings in Treasury
and agency issues at the expense of corporates with a more substantial
decline in corporate spreads while Standish would look to higher-quality cor-
porates and mortgage-backed securities, which have provided excess yield,
with expectations that they fare well. PIMCO maintains that sector and
quality orientation will drive performance going forward.
10
<PAGE>
The following graphs depict the performance of the Intermediate Fixed Income
Investments vs. the Lehman Brothers Intermediate Government/Corporate Bond
Index/6/.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
INTERMEDIATE FIXED INCOME INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Lehman Brothers
Intermediate Government Corporate Bond Index
--------------------------------------------------------------------------------
[GRAPH]
Intermediate Intermediate Lehnman Brothers
Fixed Income Fixed Income Intermediate
Investments Investments Government/Corporate
(With TRAK fee)* (Without TRAK fee) Bond Index
--------------------------------------------------------------------------------
11/18/91 10,000 10,000 10,000
8/92 10,628 10,753 10,872
8/93 11,579 11,892 11,876
8/94 11,278 11,758 11,836
8/95 12,078 12,781 12,957
8/96 12,384 13,302 13,532
8/97 13,205 14,398 14,660
8/98 14,049 15,550 15,976
8/99 13,989 15,716 16,030
8/31/2000 14,571 16,616 17,131
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE FOR THE THREE-YEAR PERIOD ENDED AUGUST 31, 2000
(unaudited)
INTERMEDIATE FIXED INCOME INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Lehman Brothers
Intermediate Government Corporate Bond Index
--------------------------------------------------------------------------------
[GRAPH]
Intermediate Intermediate Lehnman Brothers
Fixed Income Fixed Income Intermediate
Investments Investments Government/Corporate
(With TRAK fee)* (Without TRAK fee) Bond Index
--------------------------------------------------------------------------------
8/97 10,000 10,000 10,000
8/98 10,640 10,800 10,897
8/99 10,594 10,916 10,934
8/00 11,035 11,541 11,685
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
---------------------------------------------------
Portfolio Highlights#
---------------------------------------------------
[PIE CHART]
Composition of portfolio as of
August 31, 2000
Corporate Bonds & Notes 41.6%
Mortgage-Backed Securities 37.4%
U.S. Government Agencies & Obligations 19.8%
Regional Government Obligations 0.8%
Repurchase Agreement 0.4%
--------------------------------------------------------------------------------
INTERMEDIATE FIXED INCOME INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
................................................................................
Since inception (11/18/91) 5.95% 4.38%
5 year 5.39 3.82
3 year 4.89 3.34
1 year 5.73 4.16
================================================================================
See pages 24 and 25 for all footnotes.
11
<PAGE>
Long-Term Bond Investments
ABOUT THE SUB-ADVISOR
. Western Asset Management Co.
Emphasizes three key strategies to
enhance the Portfolio's total return:
(i) adjusting the allocation of the
Portfolio among the key sectors of
the fixed-income market -- govern-
ment, corporate and mortgage and
asset-backed -- depending upon its
forecast of relative values; (ii) tracking
the duration of the overall portfolio
so that it falls within a narrow band
relative to the benchmark index, with
adjustment made to reflect the subad-
visor's long-term outlook for interest
rates; and (iii) purchasing under-valued
securities in each of the key sectors
of the bond market while keeping
overall quality high.
Long-Term Bond Investments ("Portfolio") is advised by Western Asset
Management Co. ("Western"). The performance for the year relative to the
fixed-income market volatility was generally positive. The Portfolio returned
9.50% for the year versus the Lehman Brothers Government/Corporate Bond
Index return of 7.29%, the Portfolio's benchmark.
Over the course of the year the clash between tighter monetary policy and
soaring energy prices aggravated economic conditions, sapping consumer
demand and making it difficult for firms to pass along rising costs. The
Advisor's moderately long duration exposure benefited from lower intermedi-
ate and long-term yields while yield curve strategies benefited from a
pronounced flattening of the yield curve. Overweighting to credit sectors
detracted from returns, especially the emphasis on the lower quality sectors,
since credit spreads widened significantly. However, Treasury Inflation
Protection Securities exposure was a major source of positive performance,
particularly the emphasis on longer-maturity issues. It should be noted that
the longer-term performance of the Portfolio was the responsibility of a
different advisor.
Looking forward, Western will continue to remain fully invested within this
sector of the fixed-income market. Western plans to emphasize three key
strategies to enhance returns: (1) adjusting the allocation of the portfolio
among the key sectors of the fixed-income market; (2) tracking the duration
of the overall portfolio so that it falls within a narrow band relative to the
Lehman Brothers Government/Corporate Bond Index; and (3) seeking to
purchase under-valued securities in each of the key sectors of the bond mar-
ket while keeping overall quality.
12
<PAGE>
The following graphs depict the performance of the Long-Term Bond Investments
vs. the Lehman Brothers Government/Corporate Bond Index/7/.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
LONG-TERM BOND INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Lehman Brothers
Government/Corporate Bond Index
--------------------------------------------------------------------------------
[GRAPH]
Long-Term Long-Term Lehman Brothers
Bond Investments Bond Investments Government/Corporate
(With TRAK Fee)* (Without TRAK Fee) Bond Index
--------------------------------------------------------------------------------
11/18/91 10,000 10,000 10,000
8/92 10,611 10,737 11,329
8/93 11,612 11,926 11,976
8/94 10,990 11,457 12,136
8/95 11,986 12,684 13,667
8/96 11,939 12,825 13,561
8/97 13,283 14,483 14,892
8/98 15,208 16,832 16,594
8/99 14,055 15,790 16,641
8/31/2000 15,162 17,290 17,855
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE FOR THE THREE-YEAR PERIOD ENDED AUGUST 31, 2000
(unaudited)
Comparison of $10,000 Investment in the Portfolio with the Lehman Brothers
Government/Corporate Bond Index
--------------------------------------------------------------------------------
[GRAPH]
Long-Term Long-Term Lehman Brothers
Bond Investments Bond Investments Government/Corporate
(With TRAK Fee)* (Without TRAK Fee) Bond Index
8/97 10,000 10,000 10,000
8/98 11,449 11,622 11,143
8/99 10,581 10,902 11,175
8/00 11,414 11,938 11,989
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
---------------------------------------------
Portfolio Highlights#
---------------------------------------------
Composition of portfolio as of
August 31, 2000
[PIE CHART]
U.S. Gov't Obligations & Agencies 31.9%
Corporate Bonds & Notes 54.9%
Commercial Paper 1.2%
Repurchase Agreement 12.0%
--------------------------------------------------------------------------------
LONG-TERM BOND INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
--------------------------------------------------------------------------------
Since inception (11/18/91) 6.43% 4.85%
5 year 6.39 4.81
3 year 6.08 4.51
1 year 9.50 7.88
================================================================================
See pages 24 and 25 for all footnotes.
13
<PAGE>
Municipal Bond Investments
ABOUT THE SUB-ADVISOR
. Smith Affiliated Capital Corp.
Uses an active fixed-income management
style that focuses first on the appropri-
ate maturity allocation for the Portfolio
within a given market environment. The
maturity allocation is supplemented by a
long-term market sector rotation. The
sub-advisor focuses primarily on "Vital
service" revenue bonds and secondarily
on general obligation bonds of high-
quality issuers.
Municipal Bond Investments ("Portfolio") is advised by Smith Affiliated
Capital Corp. The Portfolio returned 6.79% for the year versus the Lehman
Brothers Municipal Bond Index return of 6.78%, the Portfolio's benchmark.
Market sentiment has been volatile, swinging between fear of continued
Federal Reserve Board tightening and relief in the generally weaker-than-
expected economic statistics. The Portfolio's longer duration relative to the
benchmark has resulted in out-performance in up markets and under-per-
formance in down markets, though the Portfolio has had overall
out-performance for the year. This was in spite of both negative cash flow,
mirroring the municipal mutual fund sector as a whole, and the lack of liq-
uidity that has plagued the market due to lower institutional participation
and dealer consolidation.
The advisor's emphasis on high-quality, essential service revenue and general
obligation credits have served well in this environment. They continue to
believe that the moderating tendencies in the economy will continue, while
weaker supply and a lower amount of tax selling at year end should be a posi-
tive for the municipal market.
14
<PAGE>
The following graphs depict the performance of the Municipal Bond Investments
vs. the Lehman Brothers Municipal Bond Index/8/.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
MUNICIPAL BOND INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Lehman Brothers
Municipal Bond Index
--------------------------------------------------------------------------------
[GRAPH]
Municipal Municipal Lehman Brothers
Bond Investments Bond Investments Municipal Bond
(With TRAK Fee)* (Without TRAK Fee) Index
--------------------------------------------------------------------------------
11/18/91 10,000 10,000 10,000
8/92 10,581 10,706 10,845
8/93 11,772 12,091 12,168
8/94 11,159 11,634 12,185
8/95 11,857 12,548 13,266
8/96 12,221 13,128 13,962
8/97 13,108 14,294 15,252
8/98 13,958 15,450 16,572
8/99 13,392 15,047 16,656
8/31/2000 14,089 16,070 17,783
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE FOR THE THREE-YEAR PERIOD ENDED AUGUST 31, 2000
(unaudited)
MUNICIPAL BOND INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Lehman Brothers
Municipal Bond Index
--------------------------------------------------------------------------------
[GRAPH]
Municipal Municipal Lehman Brothers
Bond Investments Bond Investments Municipal Bond
(With TRAK Fee)* (Without TRAK Fee) Index
--------------------------------------------------------------------------------
8/97 10,000 10,000 10,000
8/98 11,422 11,769 10,865
8/99 10,959 11,462 10,920
8/00 10,749 11,242 11,660
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
---------------------------------------------------
Portfolio Highlights#
---------------------------------------------------
Composition of portfolio as of
August 31, 2000
[PIE CHART]
Florida 6.6%
Illinois 8.0%
Iowa 7.6%
Massachusetts 11.4%
Minnesota 7.8%
New Jersey 6.2%
New York 8.4%
Texas 13.2%
Washington 5.0%
Wisconsin 6.3%
Other 19.5%
--------------------------------------------------------------------------------
MUNICIPAL BOND INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
--------------------------------------------------------------------------------
Since inception (11/18/91) 5.54% 3.98%
5 year 5.07 3.51
3 year 3.98 2.44
1 year 6.79 5.21
================================================================================
See pages 24 and 25 for all footnotes.
15
<PAGE>
Mortgage Backed Investments
ABOUT THE SUB-ADVISOR
. Utendahl Capital Management
Uses a quantitative computer model
investment process to seek to identify
and capitalize on inefficiencies in the
mortgage-backed securities market.
Mortgage Backed Investments ("Portfolio") is advised by Utendahl Capital
Management ("Utendahl"). The Portfolio returned 7.58% for the year versus
the Lehman Brothers Mortgage Backed Securities Index return of 8.05%, the
Portfolio's benchmark.
During the period in review, mortgages outperformed similar duration
Treasuries versus other spread product, namely corporates and agencies, mort-
gages outperformed once again underscoring the importance of including
mortgages, which now make up over 35% of the Lehman Brothers Aggregate
Index, in an investment-grade fixed-income portfolio.
Utendahl believes that three favorable conditions account for most of the
asset-class out-performance. These include low supply, favorable prepay-
ments, and steady to declining volatility. Through the end of the third
quarter, total supply of agency mortgage-backed securities is only 50% of all
of last year. Prepayments have been favorable due to higher housing
turnover and lower refinancing activity. Finally, volatility has remained
lower than it started out the year after declining substantially earlier in the
year.
Going forward, the possibility of near term Government Sponsored
Enterprise ("GSE") reform seems to be more and more remote. The market
consensus is most evident by looking at the performance of both Fannie Mae
and Freddie Mac stock prices, which were up 37% and 34%, respectively, in
the third quarter. Utendahl expects to take advantage of further curve disin-
version by concentrating more of the portfolio duration in the five-year part
of the yield curve.
16
<PAGE>
The following graphs depict the performance of the Mortgage Backed Investments
vs. the Lehman Brothers Mortgage Backed Securities Index/9/ and the Lipper U.S.
Mortgage Fund Average/10/.
-------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
MORTGAGE BACKED INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Lehman Brothers
Mortgage Backed Securities Index and the Lipper U.S. Mortgage Fund Average
-------------------------------------------------------------------------------
[GRAPH]
Mortgage Mortgage Lehman Brothers Lipper
Backed Backed Mortgage Backed U.S. Mortgage
Investments Investments Securities Fund
(With TRAK Fee)* (Without TRAK Fee) Index Average
--------------------------------------------------------------------------------
11/18/91 10,000 10,000 10,000 10,000
8/92 10,631 10,756 10,750 10,788
8/93 11,172 11,474 11,543 11,721
8/94 10,985 11,452 11,586 11,344
8/95 11,900 12,593 12,855 12,419
8/96 12,235 13,142 13,494 12,902
8/97 13,221 14,416 14,909 14,128
8/98 14,116 15,623 17,585 15,284
8/99 14,086 15,825 17,910 15,360
8/31/2000 14,928 17,024 19,352 16,446
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
-------------------------------------------------------------------------------
HISTORICAL PERFORMANCE FOR THE THREE-YEAR PERIOD ENDED AUGUST 31, 2000
(unaudited)
MORTGAGE BACKED INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Lehman Brothers
Mortgage Backed Securities Index and the Lipper U.S. Mortgage Fund Average
-------------------------------------------------------------------------------
[GRAPH]
Mortgage Mortgage Lehman Brothers Lipper
Backed Backed Mortgage Backed U.S. Mortgage
Investments Investments Securities Fund
(With TRAK Fee)* (Without TRAK Fee) Index Average
--------------------------------------------------------------------------------
8/97 10,000 10,000 10,000 10,000
8/98 10,677 10,837 11,795 10,819
8/99 10,654 10,978 12,070 10,873
8/00 11,291 11,809 13,041 11,641
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
---------------------------------------------------
Portfolio Highlights#
---------------------------------------------------
Composition of portfolio as of
August 31, 2000
[PIE CHART]
Mortgage Backed Sercurities 98.7%
Repurchase Agreement 1.3%
-------------------------------------------------------------------------------
MORTGAGE BACKED INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
-------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
--------------------------------------------------------------------------------
Since inception (11/18/91) 6.24% 4.66%
5 year 6.22 4.64
3 year 5.70 4.13
1 year 7.58 5.98
===============================================================================
See pages 24 and 25 for all footnotes.
17
<PAGE>
High Yield Investments
ABOUT THE SUB-ADVISOR
. Alliance Capital Management L.P.
Employs a relative value investment
process, looking for securities of com-
panies with improving or stable credit
quality trends. The Portfolio focuses on
investments in the "BB" and "B" quality
spectrum. The investing process includes:
(i) extensive portfolio research on
issuers and their business conditions;
(ii) thorough analysis of issuers and their
credit quality; and (iii) Emphasis on gen-
eral economic and interest rate trends
and forecasts.
High Yield Investments ("Portfolio") is advised by Alliance Capital
Management L.P. ("Alliance"). The Portfolio returned a negative 9.37% for
the year versus the CS First Boston Global High Yield Index return of 2.39%,
the Portfolio's benchmark. The primary detractors from performance during
the past year were security selection, and the advisor's focus on single "B"
securities, which underperformed the broad market during the period.
The high-yield market, as measured by the CS First Boston Global High
Yield Index, posted 2.07% return for the year ended August 31, 2000. Rising
short-term interest rates, mutual fund outflows, historically high default
rates, and concerns about supply weighed on high-yield debt prices. "BB" rated
securities outperformed single "B" rated securities, as investors focused on
higher-quality issues. The best performing industry sectors during the trailing
twelve-month period were energy and technology while entertainment and
supermarkets were the worst performing sectors. Issuance of high-yield debt
in the first eight months of this year totaled approximately $32 billion, less
than half of the amount issued in the first eight months of 1999.
Though the advisor estimates the year 2000 U.S. economic growth rate to be
close to 5%, recent data indicate the beginning of a soft landing, consisting
of moderating growth and controlled inflation. As a result, Alliance does not
expect the Federal Reserve Board to raise rates again this year. With a
healthy economy and high-yield securities yielding over 13%, they believe
high-yield securities offer significant value. They also believe the positive
effects of the healthy economy and the increase in Merger & Acquisition
("M&A") activity will mitigate concerns about increasing default rates in the
high-yield sector. Already, the increase in M&A activity has improved the
environment for high-yield debt as investment grade companies buy high-
yield companies and retire the high-yield debt at premium prices. For
example, compared with approximately $16 billion worth of defaults in the
year to date, there has been $21 billion worth of debt retired at premium
prices. However, weaker corporate earnings in the second half of the year and
revised earnings estimates by certain issuers in the telecommunications sector
should cause the high-yield sector to remain volatile.
18
<PAGE>
The following graph depicts the performance of the High Yield Investments vs.
the CS First Boston Global High Yield Index/11/.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
HIGH YIELD INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the CS First Boston
Global High Yield Index
--------------------------------------------------------------------------------
[GRAPH]
High Yield High Yield CS First Boston
Investments Investments Global High
(With TRAK fee)* (Without TRAK fee) Yield Index
--------------------------------------------------------------------------------
7/13/98 10,000 10,000 10,000
8/98 9,842 9,863 9,321
2/99 10,064 10,160 9,646
8/99 10,053 10,225 9,764
2/00 9,151 9,377 10,104
8/31/2000 8,976 9,266 10,164
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
----------------------------------
Portfolio Highlights#
----------------------------------
[PIE CHART]
Composition of portfolio as of
August 31, 2000
Corporate Bonds & Notes 81.9%
Repurchase Agreement 18.0%
Warrants 0.1%
--------------------------------------------------------------------------------
HIGH YIELD INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
--------------------------------------------------------------------------------
Since inception (07/13/98) (3.50)% (4.93)%
1 year (9.37) (10.71)
================================================================================
See pages 24 and 25 for all footnotes.
19
<PAGE>
Multi-Sector Fixed
Income Investments
ABOUT THE SUB-ADVISORS
. Standish, Ayer & Wood, Inc.
The sub-advisor seeks to maximize cur-
rent income and minimize volatility by:
(i) analyzing issuers and sectors on a
yield spread basis, with an overlay of fun-
damental company analysis; (ii) identifying
fixed-income securities with the greatest
potential for adding value, such as those
involving new issuers, the potential for
credit upgrades, unique structural
characteristics or innovative features;
and (iii) managing variables such as sec-
tor, maturity, duration, credit quality, yield
and potential capital appreciation.
. Western Asset Management Co.
Western emphasizes three key strategies
to enhance the Portfolio's total return:
(i) adjusting the allocation of the Portfolio
among the key sectors of the fixed-
income market depending on its forecast
of relative values; (ii) tracking the duration
of the overall Portfolio so that it falls within
a narrow band relative to the benchmark
index, with adjustment made to reflect its
long-term outlook for interest rates; and
(iii) purchasing under-valued securities in
each of the key sectors of the bond mar-
ket while keeping overall quality high.
. Utendahl Capital Management
The sub-advisor uses a quantitative com-
puter-modelled investment process to
seek to identify and capitalize on ineffi-
ciencies in the mortgage-backed securities
market. The sub-advisor generally main-
tains the Portfolio within a narrow band
around the duration of the entire mort-
gage-backed market and normally focuses
on mortgage-related securities issued by
U.S. government agencies and govern-
ment-related organizations.
. Alliance Capital Management L.P.
Focuses on below investment grade
fixed-income securities, also known as
"high-yield" securities and commonly
referred to as "junk bonds." The sub-
advisor employs a relative value invest-
ment process, looking for securities of
companies with improving or stable credit
quality trends. It focuses on investments in
the "BB" and "B" quality spectrum. The
investing process includes: (i) extensive
research of issuers and their business con-
ditions; (ii) thorough analysis of issuers and
their credit quality; and (iii) emphasis on
general economic and interest rate trends
and forecasts.
Multi-Sector Fixed Income Investments ("Portfolio") is advised by four advi-
sors. Standish, Ayer & Wood, Inc. is responsible for the intermediate
fixed-income allocation of the Portfolio, Western Asset Management Co. is
responsible for the long-term fixed-income allocation, Utendahl Capital
Management manages the Portfolio's mortgage allocation and Alliance
Capital Management L.P. manages the Portfolio's high-yield allocation.
The Portfolio, which was launched in October 1999, performed in-line with
expectations given the volatility within the fixed-income market. The
Portfolio returned 6.47% since inception versus the Lehman Brothers
Aggregate Bond Index return of 6.32%, the Portfolio's benchmark. During
the period under review, the economy continued to show signs that the
Federal Reserve Board has successfully managed a soft landing and the fixed-
income market chose to focus on the evidence of weakening economy rather
than on fears of inflation. Mortgages during this period outperformed similar
duration Treasuries, corporates and agencies. In general, overweighting
credit sectors detracted from returns, especially the emphasis on lower quality
sectors, since credit spreads widened significantly and the Portfolio's alloca-
tion to the high-yield sector dragged on performance. The primary detractors
to high-yield performance were security selection and the advisor's focus on
single "B" securities.
Going forward the Portfolio will continue to emphasize all sectors of the
domestic fixed-income market and Consulting Group will position the
Portfolio to meet current market conditions. Each of the advisors intends to
remain fully invested within their allocation.
20
<PAGE>
The following graph depicts the performance of the Multi-Sector Fixed Income
Investments vs. the Lehman Brothers Aggregate Bond Index/12/.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
MULTI-SECTOR FIXED INCOME INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Lehman Brothers
Aggregate Bond Index
--------------------------------------------------------------------------------
[GRAPH]
Multi-Sector Multi-Sector
Fixed Income Fixed Income Lehman Brothers
Investments Investments Aggregate Bond
(With TRAK fee)* (Without TRAK fee) Index
--------------------------------------------------------------------------------
10/1/99 10,000 10,000 10,000
10/99 10,050 10,065 10,037
11/99 10,062 10,085 10,036
12/99 9,997 10,034 9,988
1/00 9,959 10,009 9,955
2/00 10,047 10,110 10,075
3/00 10,161 10,237 10,208
4/00 10,110 10,199 10,179
5/00 10,110 10,212 10,174
6/00 10,299 10,416 10,385
7/00 10,375 10,506 10,480
8/31/2000 10,502 10,647 10,632
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
----------------------------------
Portfolio Highlights#
----------------------------------
[PIE CHART]
Composition of portfolio as of
August 31, 2000
U.S. Treasury Obligations 34.0%
Corporate Bonds & Notes 31.0%
Preferred Stocks 0.8%
Foreign Stocks 0.6%
Asset-Backed Securities 8.1%
Mortgage-Backed Securities 19.8%
Reporchase Agreement 4.7%
Commercial Paper 1.0%
--------------------------------------------------------------------------------
MULTI-SECTOR FIXED INCOME INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
--------------------------------------------------------------------------------
Since inception (10/1/99) 6.47% 5.02%
================================================================================
See pages 24 and 25 for all footnotes.
21
<PAGE>
Government Money Investments
ABOUT THE SUB-ADVISOR
. Standish, Ayer & Wood, Inc.
The Portfolio invests exclusively in U.S.
treasury securities and other U.S.
government securities rated by a nation-
ally recognized rating organization in the
two highest short-term rating categories
or, if unrated, of equivalent quality as
determined by the subadvisor. Individual
securities must have remaining maturi-
ties of 397 days or less.
Government Money Investments ("Portfolio") is advised by Standish, Ayer
& Wood, Inc. The Portfolio returned 5.44% versus 5.63% of the 90-day T-
bill Index, the Portfolio's benchmark. The allocation of the Portfolio has
emphasized a diversified holding of Federal government agency securities
over the last twelve months. As of August 31, 2000, the holdings include
Federal Home Loan Mortgage Corp. (40.0%), Fannie Mae (32.3%), Federal
Home Loan Bank (27.4%), Farmer Mac (0.2%), and Federal Farm Credit
Bank (0.1%).
These securities provide a high quality and liquid alternative to U.S. Treasury
bills while providing attractive incremental yield. Over the last twelve
months, this Portfolio has held a 95 - 100% allocation to government agency
issuers. The balance typically included U.S. Treasury bills.
22
<PAGE>
-----------------------------------
Portfolio Highlights#
-----------------------------------
Composition of portfolio as of
August 31, 2000
[PIE CHART]
U.S. Government Agency
Discount Notes 100%
----------------------------------------------------------------------
GOVERNMENT MONEY INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
----------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
......................................................................
Since inception (11/18/91) 4.42% 2.87%
5 year 5.01 3.45
3 year 5.02 3.46
1 year 5.44 3.88
======================================================================
See pages 24 and 25 for all footnotes.
23
<PAGE>
FOOTNOTES
* The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
# As a % of total investments. The Portfolio's holdings are subject to
change.
1 The Russell 1000 Value Index is a capitalization weighted total return
index which is comprised of 1000 of the largest capitalized U.S. domi-
ciled companies with greater-than-average value orientation whose
common stock is traded in the United States on the New York Stock
Exchange, American Stock Exchange and NASDAQ. Because the
index is not a managed portfolio, there are no advisory fees or internal
management expenses reflected in the index's performance. An
investor cannot invest directly in an index.
2 The Lipper Large Cap Value Fund Average is comprised of the
Portfolio's peer group of mutual funds investing in value oriented funds.
3 The Russell 1000 Growth Index is a capitalization weighted total
return index which is comprised of 1000 of the largest capitalized U.S.
domiciled companies with greater-than-average growth orientation
whose common stock is traded in the United States on the New York
Stock Exchange, American Stock Exchange and NASDAQ. Because
the index is not a managed portfolio, there are no advisory fees or
internal management expenses reflected in the index's performance.
An investor cannot invest directly in an index.
4 The Lipper Large Cap Growth Fund Average is comprised of the
Portfolio's peer group of mutual funds investing in growth oriented
funds.
5 The Standard & Poor's 500 Index is an index composed of 500 widely
held common stocks listed on the New York Stock Exchange,
American Stock Exchange and over-the-counter market. Because the
index is not a managed portfolio, there are no advisory fees or internal
management expenses reflected in the index's performance. An
investor cannot invest directly in an index.
6 The Lehman Brothers Intermediate Government/Corporate Bond
Index is a weighted composite of: (i) Lehman Brothers Government
Bond Index, which is comprised of all publicly issued, non-convertible
debt of the U.S. government or any agency thereof, quasi-federal
corporations, and corporate debt guaranteed by the U.S. government
with a maturity between one and ten years; and (ii) Lehman Brothers
Corporate Bond Index, which is comprised of all public fixed-rate, non-
convertible investment-grade domestic corporate debt with a maturity
of between one and ten years, excluding collateralized mortgage obliga-
tions. Because the index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the index's
performance. An investor cannot invest directly in an index.
7 The Lehman Brothers Government/Corporate Bond Index is a
weighted composite of (i) Lehman Brothers Government Bond Index,
which is comprised of all publicly issued, non-convertible debt of the
U.S. government or any agency thereof, quasi-federal corporations, and
corporate debt guaranteed by the U.S. government and (ii) Lehman
Brothers Corporate Bond Index, which is comprised of all publicly
fixed-rate, non-convertible investment-grade domestic corporate debt,
excluding collateralized mortgage obligations. Because the index is not
a managed portfolio, there are no advisory fees or internal management
expenses reflected in the index's performance. An investor cannot
invest directly in an index.
24
<PAGE>
8 The Lehman Brothers Municipal Bond Index is a weighted composite which is
comprised of more than 15,000 bonds issued within the last five years, having
a minimum credit rating of at least Baa and maturity of at least two years,
excluding all bonds subject to the Alternative Minimum Tax and bonds with
floating or zero coupons. Because the index is not a managed portfolio, there
are no advisory fees or internal management expenses reflected in the index's
performance. An investor cannot invest directly in an index.
9 The Lehman Brothers Mortgage Backed Securities Index includes all fixed-rate
securities backed by mortgage pools of the Government National Mortgage
Association (GNMA), Federal Home Loan Mortgage Corporation (FHLMC) and
Federal National Mortgage Association (FNMA). Because the index is not a
managed portfolio, there are no advisory fees or internal management expenses
reflected in the index's performance. An investor cannot invest directly in
an index.
10 The Lipper U.S. Mortgage Fund Average is an average of funds invested at
least 65% in mortgage securities issued or guaranteed as to principal and
interest by the U.S. government and certain federal agen-cies. Because the
index is not a managed portfolio, there are no advisory fees or internal
management expenses reflected in the index's performance.
11 The CS First Boston Global High Yield Index is a broad-based market measure
of high yield bonds, commonly known as "junk bonds". Because the index is not
a managed portfolio, there are no advisory fees or internal management
expenses reflected in the index's performance. An investor cannot invest
directly in an index.
12 The Lehman Brothers Aggregate Bond Index is composed of the Lehman Brothers
Intermediate Government/Corporate Bond Index and the Mortgage-Backed
Securities Index and includes treasury issues, agency issues, corporate bond
issues and mortgage-backed securities. Because the index is not a managed
portfolio, there are no advisory fees or internal management expenses
reflected in the index's performance. An investor cannot invest directly in
an index.
25
<PAGE>
Schedules of Investments
August 31, 2000
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
COMMON STOCK -- 98.3%
Advertising -- 0.1%
3,200 Getty Images, Inc. ................................ $ 134,400
6,557 Harte-Hanks, Inc. ................................. 164,745
21,300 Interpublic Group Cos., Inc.+...................... 814,725
3,999 Lamar Advertising Co.*+............................ 185,704
1,600 Omnicom Group Inc.+................................ 133,500
500 Snyder Communications, Inc.*....................... 13,688
7,400 True North Communications Inc. .................... 343,175
--------------
1,789,937
--------------
Aerospace/Defense -- 2.2%
16,472 The B.F. Goodrich, Co.+............................ 672,264
400,164 Boeing Co. ........................................ 21,458,795
26,910 General Dynamics Corp. ............................ 1,693,648
3,800 L-3 Communications Holdings, Inc.*................. 224,675
5,267 Litton Industries, Inc.*........................... 291,331
60,619 Lockheed Martin Corp.+............................. 1,720,064
11,312 Northrop Grumman Corp.+............................ 880,215
54,862 Raytheon Co., Class B Shares....................... 1,525,850
229,563 United Technologies Corp. ......................... 14,333,340
--------------
42,800,182
--------------
Airlines -- 0.3%
24,318 AMR Corp.*+........................................ 797,935
5,863 Continental Airlines, Inc., Class B Shares*+....... 282,157
30,948 Delta Air Lines, Inc. ............................. 1,531,926
2,989 Northwest Airlines Corp.*.......................... 93,593
80,597 Southwest Airlines Co. ............................ 1,823,507
8,136 UAL Corp. ......................................... 388,494
6,701 USAir Group, Inc. ................................. 227,834
--------------
5,145,446
--------------
Apparel -- 0.2%
12,100 Jones Apparel Group, Inc.*......................... 296,450
23,839 Liz Claiborne, Inc. ............................... 1,047,426
82,000 NIKE, Inc., Class B Shares......................... 3,244,125
14,883 V.F. Corp. ........................................ 340,449
--------------
4,928,450
--------------
Auto Manufacturers -- 1.2%
687,823 Ford Motor Co. .................................... 16,636,721
86,655 General Motors Corp. .............................. 6,255,409
9,575 Navistar International Corp.*...................... 359,063
11,414 PACCAR Inc. ....................................... 484,382
--------------
23,735,575
--------------
Auto Parts & Equipment -- 0.2%
16,552 Autoliv, Inc. ..................................... 381,731
24,713 Dana Corp. ........................................ 610,103
90,899 Delphi Automotive Systems Corp. ................... 1,494,153
25,357 The Goodyear Tire & Rubber Co.+.................... 592,720
16,232 TRW Inc............................................ 741,600
21,265 Visteon Corp. ..................................... 333,595
--------------
4,153,902
--------------
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Banks -- 10.5%
63,854 AmSouth Bancorporation............................. $ 1,165,336
11,255 Associated Banc-Corp............................... 282,606
46,600 BancWest Corp. .................................... 824,238
416,310 Bank of America Corp. ............................. 22,298,606
188,173 The Bank of New York Co., Inc. .................... 9,867,322
187,151 Bank One Corp. .................................... 6,597,073
23,295 Banknorth Group, Inc............................... 381,456
63,612 BB&T Corp. ........................................ 1,721,500
6,486 Centura Banks, Inc. ............................... 229,037
668,623 The Chase Manhattan Corp. ......................... 37,359,310
20,852 City National Corp. ............................... 814,531
25,378 Comerica Inc.+..................................... 1,429,099
9,984 Commerce Bancshares, Inc. ......................... 359,424
19,572 Compass Bancshares, Inc. .......................... 357,189
53,781 Fifth Third Bancorp+............................... 2,484,010
322,849 First Security Corp................................ 4,923,447
21,100 First Tennessee National Corp.+.................... 464,200
159,245 First Union Corp.+................................. 4,608,153
7,664 First Virginia Banks, Inc.......................... 327,636
145,472 Firstar Corp. ..................................... 3,473,144
13,335 Firstmerit Corp. .................................. 310,872
861,455 FleetBoston Financial Corp. ....................... 36,773,361
25,961 Hibernia Corp., Class A Shares..................... 326,135
39,695 Huntington Bancshares Inc. ........................ 670,342
70,649 KeyCorp............................................ 1,426,227
1,238 M&T Bank Corp...................................... 600,043
16,923 Marshall & Ilsley Corp. ........................... 824,996
151,481 Mellon Bank Corp................................... 6,854,515
25,703 Mercantile Bankshares Corp. ....................... 886,352
98,486 National City Corp. ............................... 2,062,051
33,013 National Commerce Bancorporation................... 637,564
28,197 North Fork Bancorporation, Inc. ................... 504,021
33,917 Northern Trust Corp................................ 2,859,627
22,320 Old Kent Financial Corp. .......................... 654,255
9,675 Old National Bancorp............................... 271,505
12,928 Pacific Century Financial Corp. ................... 180,992
122,178 PNC Financial Services Group+...................... 7,200,866
22,063 Popular, Inc. ..................................... 455,049
36,090 Regions Financial Corp. ........................... 784,958
27,318 SouthTrust Corp. .................................. 770,026
29,528 State Street Corp.................................. 3,476,922
28,544 Summit Bancorp. ................................... 790,312
42,382 SunTrust Banks, Inc. .............................. 2,092,611
35,733 Synovus Financial Corp. ........................... 703,494
13,090 TCF Financial Corp. ............................... 429,516
122,074 U.S. Bancorp. ..................................... 2,655,110
21,953 Union Planters Corp. .............................. 665,450
123,576 UnionBanCal Corp. ................................. 3,066,230
9,869 Valley National Bancorp ........................... 259,061
32,979 Wachovia Corp. .................................... 1,890,109
497,949 Wells Fargo, Co.+.................................. 21,505,174
5,245 Wilmington Trust Corp. ............................ 264,217
13,919 Zions Bancorporation............................... 622,875
--------------
203,442,155
--------------
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Beverages -- 1.3%
21,272 Adolph Coors Co., Class B Shares................... $ 1,267,014
79,875 Anheuser-Busch Co., Inc. .......................... 6,295,310
23,363 Brown-Forman Corp., Class B Shares................. 1,238,239
95,200 The Coca-Cola Co. ................................. 5,009,900
25,200 Coca-Cola Enterprises Inc.+........................ 469,350
23,250 Pepsi Bottling Group, Inc. ........................ 738,188
242,800 PepsiCo, Inc. ..................................... 10,349,350
22,165 Whitman Corp. ..................................... 292,301
--------------
25,659,652
--------------
Biotechnology -- 0.1%
5,582 Chiron Corp.*+..................................... 301,777
2,700 Genentech, Inc.*+.................................. 514,350
8,283 Genzyme Corp. -- General Division*+................ 621,743
1,800 PE Corp. -- Celera Genomics Group*................. 195,188
--------------
1,633,058
--------------
Building Materials -- 0.2%
11,383 American Standard Co.*............................. 527,175
5,240 Johns Manville Corp. .............................. 65,500
5,004 Lafarge Corp. ..................................... 121,973
7,561 Martin Marietta Materials Inc. .................... 302,440
72,832 Masco Corp.+....................................... 1,420,224
5,821 Southdown, Inc. ................................... 365,268
7,646 USG Corp. ......................................... 246,106
15,125 Vulcan Materials Co. .............................. 670,227
--------------
3,718,913
--------------
Chemicals -- 2.4%
37,211 Air Products & Chemicals, Inc. .................... 1,351,225
11,434 Ashland Inc. ...................................... 403,046
10,234 Cabot Corp. ....................................... 378,658
318,789 The Dow Chemical Corp.+............................ 8,348,288
486,145 E.I. du Pont de Nemours & Co. ..................... 21,815,757
12,463 Eastman Chemical Co. .............................. 537,467
20,770 Engelhard Corp. ................................... 389,438
17,426 Hercules Inc....................................... 230,895
15,756 IMC Global Inc..................................... 231,416
12,737 Lyondell Petrochemical Co. ........................ 166,377
67,247 PPG Industries, Inc................................ 2,723,504
111,918 Praxair, Inc....................................... 4,952,371
16,066 Rohm & Haas Co. ................................... 464,910
68,263 Sherwin-Williams Co. .............................. 1,570,049
13,874 Sigma Aldrich Corp. ............................... 403,213
65,162 Union Carbide Corp................................. 2,610,553
--------------
46,577,167
--------------
Commercial Services -- 0.6%
5,998 ANC Rental Corp.*.................................. 41,986
89,917 Cendant Corp.*..................................... 1,185,783
48,080 Comdisco, Inc. .................................... 1,153,920
234 Convergys Corp.*................................... 9,155
11,780 Deluxe Corp........................................ 259,160
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Commercial Services -- 0.6% (continued)
26,235 The Dun & Bradstreet Corp......................... $ 865,755
15,200 EcoLab Inc. ...................................... 591,850
15,144 H&R Block, Inc.................................... 543,291
3,253 Hertz Corp., Class A Shares....................... 99,623
3,000 Iron Mountain Inc.*............................... 102,375
46,519 Manpower Inc. .................................... 1,683,406
113,826 McKesson HBOC, Inc................................ 2,838,536
1,732 NOVA Corp.*....................................... 24,898
2,200 Quanta Services, Inc.*............................ 102,850
12,300 Quintiles Transnational Corp.*.................... 171,431
14,763 R.R. Donnelley & Sons Co. ........................ 380,175
49,613 ServiceMaster Co. ................................ 480,626
600 Valassis Communications, Inc.*.................... 17,325
12,329 Viad Corp......................................... 361,394
--------------
10,913,539
--------------
Computers -- 4.1%
4,050 Affiliated Computer Services, Inc., Class A
Shares*.......................................... 188,578
89,866 Apple Computer, Inc.*+............................ 5,476,210
900 The Bisys Group, Inc.*............................ 67,781
15,400 Ceridian Corp.*................................... 372,488
458,603 Compaq Computer Corp. ............................ 15,621,166
56,173 Computer Sciences Corp.*.......................... 4,441,178
11,528 Diebold, Inc. .................................... 325,666
4,243 DST Systems, Inc.*................................ 398,842
166,030 Electronic Data Systems Corp. .................... 8,270,370
3,500 Electronics for Imaging, Inc.*.................... 91,000
145,784 Hewlett-Packard Co.+.............................. 17,603,418
164,109 International Business Machines Corp.............. 21,662,388
11,900 MarchFirst, Inc.*................................. 230,563
13,272 NCR Corp.*+....................................... 535,857
23,892 Quantum Corp.*.................................... 324,036
2,100 RSA Security Inc.*................................ 124,031
500 SanDisk Corp.*.................................... 41,750
22,372 Seagate Technology, Inc.*......................... 1,328,338
15,289 SunGard Data Systems Inc.*........................ 550,404
4,776 Synopsys, Inc.*................................... 177,011
25,600 Unisys Corp.*..................................... 332,800
--------------
78,163,875
--------------
Cosmetics/Personal Care -- 2.0%
38,600 Avon Products, Inc. .............................. 1,512,638
42,900 Colgate-Palmolive Co. ............................ 2,185,219
800 The Estee Lauder Cos. Inc.+....................... 32,750
48,500 Gillette Co. ..................................... 1,455,000
16,745 International Flavors & Fragrances Inc. .......... 431,184
350,582 Kimberly-Clark Corp. ............................. 20,509,047
212,400 The Procter & Gamble Co. ......................... 13,128,976
--------------
39,254,814
--------------
Distribution/Wholesale -- 0.2%
63,433 Costco Wholesale Corp. ........................... 2,184,474
28,725 Genuine Parts Co. ................................ 590,658
9,155 Ingram Micro Inc., Class A Shares*................ 137,325
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Distribution/Wholesale -- 0.2% (continued)
6,572 Tech Data Corp.*................................... $ 339,280
12,066 W.W. Grainger, Inc.+............................... 348,406
--------------
3,600,143
--------------
Diversified Financial Services -- 9.1%
13,740 A.G. Edwards, Inc. ................................ 714,480
203,926 American Express Co. .............................. 12,057,125
132,064 Associates First Capital Corp. .................... 3,714,300
89,173 AXA Financial, Inc. ............................... 4,614,703
17,479 Bear Stearns & Co., Inc. .......................... 1,172,186
32,746 The C.I.T. Group, Inc., Class A Shares ............ 573,055
3,800 Capital One Financial Corp.+....................... 229,188
320,416 Citigroup Inc. .................................... 18,704,284
18,421 Countrywide Credit Industries, Inc. ............... 697,695
5,946 Donaldson Lufkin & Jenrette, Inc.+................. 526,221
308,918 Federal Home Loan Mortgage Corp. .................. 13,013,172
371,327 Federal National Mortgage Association ............. 19,958,826
26,028 Franklin Resources, Inc.+.......................... 989,064
52,676 Goldman Sachs Group, Inc.+......................... 6,745,820
5,927 Heller Financial, Inc. ............................ 147,434
221,567 Household International, Inc. ..................... 10,635,216
49,029 J.P. Morgan & Co. Inc. ............................ 8,197,036
800 Knight Trading Group, Inc.*+....................... 25,100
9,551 Legg Mason, Inc. .................................. 503,815
46,182 Lehman Brothers Holding Inc. ...................... 6,696,390
311,860 MBNA Corp. ........................................ 11,012,556
93,512 Merrill Lynch & Co., Inc. ......................... 13,559,240
341,858 Morgan Stanley Dean Witter & Co. .................. 36,771,102
6,200 Neuberger Berman Inc. ............................. 366,963
18,488 PaineWebber Group Inc. ............................ 1,321,892
41,700 Stilwell Financial, Inc.*.......................... 2,017,238
10,800 T. Rowe Price Associates, Inc. .................... 488,700
20,300 USA Education Inc. ................................ 795,506
--------------
176,248,307
--------------
Electric -- 4.6%
3,300 AES Corp.*+........................................ 210,375
17,911 Allegheny Energy, Inc. ............................ 642,557
12,860 Alliant Energy Corp. .............................. 376,155
22,309 Ameren Corp.+...................................... 902,120
52,094 American Electric Power Co., Inc. ................. 1,836,314
25,906 CP&L Energy, Inc. ................................. 958,522
1,224 Calpine Corp.*..................................... 121,176
24,343 CINergy Corp. ..................................... 715,076
17,878 CMS Energy Corp.+.................................. 467,063
34,400 Consolidated Edison, Inc.+......................... 1,077,150
216,838 Constellation Energy Group ........................ 8,294,054
38,629 Dominion Resources Inc.+........................... 2,047,337
21,491 DPL Inc. .......................................... 586,973
11,039 DQE, Inc. ......................................... 443,630
23,150 DTE Energy Co. .................................... 804,463
130,231 Duke Energy Corp. ................................. 9,742,907
56,374 Edison International............................... 1,166,237
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Electric -- 4.6% (continued)
88,016 Energy East Corp. ................................. $ 1,996,863
44,396 Entergy Corp. ..................................... 1,351,303
37,445 FirstEnergy Corp. ................................. 926,764
15,113 Florida Progress Corp. ............................ 783,987
95,070 FPL Group, Inc. ................................... 5,074,361
19,689 GPU, Inc. ......................................... 602,976
12,447 IPALCO Enterprises, Inc. .......................... 290,171
21,023 LG&E Energy Corp. ................................. 515,064
289,299 Montana Power Co. ................................. 10,432,845
28,831 Niagara Mohawk Holdings, Inc.*..................... 371,199
19,626 NiSource, Inc.+.................................... 469,797
79,621 Northeast Utilities................................ 1,811,378
3,100 NRG Energy, Inc.*.................................. 81,375
9,141 NSTAR.............................................. 384,493
243,684 PECO Energy Co. ................................... 11,742,523
112,532 PG&E Corp. ........................................ 3,256,395
13,769 Pinnacle West Capital Corp. ....................... 567,111
19,268 Potomac Electric Power Co. ........................ 485,313
23,426 PPL Corp. ......................................... 784,771
73,116 Public Service Enterprise Group, Inc. ............. 2,650,455
13,802 Puget Sound Energy, Inc. .......................... 322,622
53,764 Reliant Energy, Inc. .............................. 1,995,989
15,290 Scana Corp. ....................................... 418,565
41,424 Scottish Power PLC ADR............................. 1,247,898
105,387 Southern Co. ...................................... 3,155,024
20,350 Teco Energy, Inc. ................................. 499,847
42,827 TXU Corp. ......................................... 1,496,269
58,716 Unicom Corp. ...................................... 2,682,587
15,193 UtiliCorp United Inc. ............................. 361,783
19,571 Wisconsin Energy Corp. ............................ 415,884
54,873 Xcel Energy, Inc. ................................. 1,375,255
--------------
88,942,976
--------------
Electrical Components & Equipment -- 0.3%
21,653 American Power Conversion Corp.*................... 515,612
69,259 Emerson Electric Co.+.............................. 4,584,080
15,506 Energizer Holdings, Inc.*.......................... 306,244
9,670 Hubbell Inc., Class B Shares....................... 250,211
5,846 Molex Inc.+........................................ 308,741
--------------
5,964,888
--------------
Electronics -- 1.2%
78,091 Agilent Technologies, Inc.*........................ 4,709,863
15,760 Arrow Electronics, Inc.*........................... 573,270
7,324 Avnet, Inc. ....................................... 438,525
3,066 AVX Corp. ......................................... 91,788
1,000 Gentex Corp.*...................................... 25,875
54,785 Honeywell International Inc. ...................... 2,112,646
28,248 Johnson Controls, Inc. ............................ 1,509,502
1,900 KEMET Corp.*+...................................... 57,000
40,148 Parker-Hannifin Corp. ............................. 1,397,652
7,300 PerkinElmer, Inc. ................................. 656,544
151,836 Royal Koninklijke Philips Electronics N.V.+........ 7,487,413
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Electronics -- 1.2% (continued)
4,568 SCI Systems, Inc.*+................................ $ 282,074
5,800 Solectron Corp.*+.................................. 262,813
6,900 Tektronix, Inc..................................... 525,694
49,343 Thermo Electron Corp.*+............................ 1,147,225
9,455 Thomas & Betts Corp. .............................. 177,281
56,327 Vishay Intertechnology, Inc.*...................... 2,270,682
--------------
23,725,847
--------------
Engineering & Construction -- 0.0%
700 Dycom Industries, Inc.*+........................... 37,100
12,306 Fluor Corp. ....................................... 368,411
--------------
405,511
--------------
Entertainment -- 0.0%
873 International Game Technology*..................... 25,317
3,000 International Speedway Corp., Class A Shares....... 101,625
2,652 Metro-Goldwyn-Mayer Inc.*.......................... 67,958
7,980 Six Flags, Inc.*................................... 119,201
--------------
314,101
--------------
Environmental Control -- 0.3%
30,689 Allied Waste Industries, Inc.*..................... 281,956
26,256 Republic Services, Inc.*........................... 383,994
263,670 Waste Management, Inc. ............................ 4,993,251
--------------
5,659,201
--------------
Food -- 1.5%
46,917 Albertson's, Inc. ................................. 1,008,716
102,654 Archer-Daniels-Midland Co. ........................ 904,636
24,871 Bestfoods.......................................... 1,756,514
26,071 Campbell Soup Co.+................................. 661,551
168,854 ConAgra Foods, Inc. ............................... 3,092,139
18,762 Delhaize America, Inc. ............................ 282,603
16,231 Flowers Industries, Inc. .......................... 353,024
25,835 General Mills, Inc.+............................... 829,949
56,461 H.J. Heinz & Co. .................................. 2,152,576
15,396 Hershey Foods Corp. ............................... 657,217
23,628 Hormel Foods Corp. ................................ 364,757
13,665 IBP, Inc. ......................................... 219,494
3,100 Keebler Foods Co. ................................. 142,019
23,006 Kellogg Co. ....................................... 533,452
69,500 Kroger Co.*........................................ 1,576,782
31,136 McCormick & Co., Inc. ............................. 908,782
52,976 Nabisco Group Holdings Corp. ...................... 1,486,639
8,308 Nabisco Holdings Corp., Class A Shares............. 443,959
41,343 Quaker Oats Co. ................................... 2,809,140
102,219 Ralston-Ralston Purina Group....................... 2,312,705
42,700 Safeway Inc.*...................................... 2,105,644
87,365 Sara Lee Corp. .................................... 1,627,173
31,699 SUPERVALU Inc. .................................... 473,504
25,391 SYSCO Corp. ....................................... 1,074,357
5,556 Tootsie Roll Industries, Inc. ..................... 223,629
20,062 Tyson Foods, Inc., Class A Shares.................. 184,320
2,678 Weis Markets, Inc. ................................ 91,052
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Food -- 1.5% (continued)
14,121 Winn-Dixie Stores, Inc. ........................... $ 196,811
13,360 Wm. Wrigley Jr. Co. ............................... 989,475
--------------
29,462,619
--------------
Forest Products & Paper -- 1.0%
378,285 Abitibi-Consolidated Inc.+......................... 4,232,063
8,788 Boise Cascade Corp. ............................... 262,542
8,357 Bowater, Inc. ..................................... 429,341
9,277 Consolidated Papers, Inc.+......................... 364,702
33,411 Fort James Corp. .................................. 1,056,623
104,416 Georgia Pacific Group+............................. 2,793,128
7,919 Georgia-Pacific Corp. (Timber Group)............... 232,126
160,493 International Paper Co. ........................... 5,115,714
15,586 The Mead Corp. .................................... 417,900
7,786 Temple-Inland Inc. ................................ 330,418
16,386 Westvaco Corp. .................................... 448,568
60,080 Weyerhaeuser Co.+.................................. 2,782,455
35,797 Willamette Industries, Inc. ....................... 1,091,809
--------------
19,557,389
--------------
Gas -- 0.2%
4,400 Eastern Enterprises................................ 278,300
36,018 KeySpan Corp.+..................................... 1,240,370
13,961 MCN Energy Group, Inc. ............................ 335,064
7,550 NICOR Inc. ........................................ 278,406
83,146 Sempra Energy...................................... 1,621,347
--------------
3,753,487
--------------
Hand/Machine Tools -- 0.3%
106,373 The Black & Decker Corp. .......................... 4,261,568
5,116 SPX Corp.*......................................... 839,024
13,460 The Stanley Works.................................. 360,055
--------------
5,460,647
--------------
Health Care - Products -- 2.3%
7,576 Bausch & Lomb Inc. ................................ 270,842
154,871 Baxter International Inc. ......................... 12,893,011
13,400 Beckman Coulter, Inc. ............................. 1,020,075
41,035 Becton Dickinson & Co.............................. 1,236,179
22,150 Biomet, Inc. ...................................... 748,947
10,200 Boston Scientific Corp.*+.......................... 193,163
8,230 C.R. Bard, Inc. ................................... 401,727
7,258 Hillenbrand Industries, Inc. ...................... 252,669
263,447 Johnson & Johnson.................................. 24,220,660
50,879 Mallinckrodt Inc. ................................. 2,292,735
12,126 St. Jude Medical, Inc.*............................ 480,492
--------------
44,010,500
--------------
Health Care - Services -- 0.9%
207,341 HCA -- The Healthcare Co. ......................... 7,153,265
9,014 Health Management Associates, Inc.*................ 147,041
62,651 HEALTHSOUTH Corp.*................................. 383,737
19,412 PacifiCare Health Systems, Class A Shares*......... 1,047,034
2,000 Quest Diagnostics Inc.*............................ 247,500
</TABLE>
See Notes to Financial Statements.
33
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Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Health Care - Services -- 0.9% (continued)
50,814 Tenet Healthcare Corp. ........................... $ 1,575,234
6,077 Trigon Healthcare, Inc.*.......................... 313,725
42,668 UnitedHealth Group Inc. .......................... 4,032,126
2,262 Universal Health Services, Inc., Class B Shares*.. 160,037
27,747 Wellpoint Health Networks Inc.*................... 2,394,913
--------------
17,454,612
--------------
Home Furnishings -- 0.1%
31,908 Leggett & Platt, Inc. ............................ 564,373
12,737 Maytag Corp. ..................................... 485,598
25,072 Whirlpool Corp. .................................. 952,736
--------------
2,002,707
--------------
Household Products/Wares -- 0.1%
15,031 Avery Dennison Corp. ............................. 812,613
38,100 Clorox Co. ....................................... 1,378,744
34,588 Fortune Brands, Inc. ............................. 881,994
--------------
3,073,351
--------------
Housewares -- 0.1%
43,333 Newell Rubbermaid Inc. ........................... 1,123,950
--------------
Insurance -- 6.2%
5,235 21st Century Insurance Group...................... 82,778
22,874 Aetna, Inc.+...................................... 1,279,514
40,418 AFLAC INC. ....................................... 2,182,572
8,762 Allmerica Financial Corp. ........................ 533,387
120,889 Allstate Corp. ................................... 3,513,337
10,327 Ambac Financial Group, Inc. ...................... 667,382
5,350 American Financial Group, Inc. ................... 132,747
193,663 American General Corp. ........................... 14,101,087
516,282 American International Group, Inc. ............... 46,013,633
36,577 Aon Corp. ........................................ 1,364,780
28,398 Chubb Corp.+...................................... 2,174,222
53,632 CIGNA Corp.+...................................... 5,215,712
24,578 Cincinnati Financial Corp. ....................... 955,470
3,889 CNA Financial Corp.*.............................. 151,345
52,846 Conseco, Inc.+.................................... 445,888
10,472 Erie Indemnity Co., Class A Shares................ 323,978
130,085 Hartford Financial Services, Inc. ................ 8,666,913
26,698 Jefferson Pilot Corp. ............................ 1,767,074
20,000 John Hancock Financial Services, Inc.*............ 505,000
54,921 Lincoln National Corp. ........................... 2,965,734
10,677 Loews Corp. ...................................... 864,170
73,986 Marsh & McLennan Cos., Inc. ...................... 8,785,948
15,954 MBIA, Inc. ....................................... 1,048,976
46,900 MetLife, Inc.*+................................... 1,140,257
67,817 MGIC Investment Corp. ............................ 3,988,487
7,500 The MONY Group Inc. .............................. 283,593
87,117 Nationwide Financial Services, Inc., Class A
Shares........................................... 3,473,790
19,295 Old Republic International Corp. ................. 461,874
4,818 The PMI Group, Inc. .............................. 298,716
8,639 Progressive Corp. ................................ 654,944
</TABLE>
See Notes to Financial Statements.
34
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Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Insurance -- 6.2% (continued)
8,677 Protective Life Corp. ............................. $ 249,464
17,000 Radian Group Inc. ................................. 1,056,125
2,945 Reinsurance Group of America, Inc. ................ 83,933
14,765 Reliastar Financial Corp. ......................... 794,542
20,713 SAFECO Corp. ...................................... 545,011
34,452 St. Paul Cos. ..................................... 1,640,777
20,831 Torchmark Corp. ................................... 584,570
2,866 TransAtlantic Holdings, Inc. ...................... 249,879
7,475 Unitrin, Inc. ..................................... 227,520
34,258 Unumprovident Corp. ............................... 742,971
250 Wesco Financial Corp. ............................. 60,000
--------------
120,278,100
--------------
Internet -- 0.1%
19,700 At Home Corp., Series A Shares*+................... 286,881
1,700 CMGI Inc.*......................................... 76,075
3,800 CNET Networks, Inc.*+.............................. 127,300
3,300 Critical Path, Inc.*............................... 254,925
9,600 E*TRADE Group, Inc.*............................... 170,400
5,900 EarthLink, Inc.*+.................................. 66,375
400 Freemarkets, Inc.*................................. 32,550
500 HomeStore.com, Inc.*............................... 27,094
27,800 Internet Capital Group, Inc.*...................... 969,525
300 NaviSite, Inc.*+................................... 14,438
4,800 S1 Corp.*.......................................... 83,700
17,492 Safeguard Scientifics, Inc.*+...................... 499,615
4,000 TD Waterhouse Group, Inc.*......................... 81,000
1,762 Ticketmaster Online-CitySearch, Inc.*.............. 42,398
1,200 Walt Disney Internet Group*........................ 19,650
15,200 Webvan Group Inc.*+................................ 60,800
--------------
2,812,726
--------------
Iron/Steel -- 0.1%
12,319 Allegheny Technologies Inc. ....................... 267,938
13,822 Nucor Corp. ....................................... 507,959
13,165 USX-U.S. Steel Group............................... 228,742
--------------
1,004,639
--------------
Leisure Time -- 0.1%
61,223 Brunswick Corp. ................................... 1,147,931
8,632 Galileo International, Inc. ....................... 160,771
19,500 Sabre Holdings Corp. .............................. 543,563
--------------
1,852,265
--------------
Lodging -- 0.2%
19,810 Harrah's Entertainment, Inc.*...................... 562,109
53,716 Hilton Hotels Corp. ............................... 537,160
9,892 Mandalay Resort Group*+............................ 275,121
29,851 Marriott International Co., Class A Shares......... 1,179,115
8,592 MGM Mirage Inc.+................................... 295,350
42,413 Park Place Entertainment Corp.*.................... 622,941
30,782 Starwood Hotels & Resorts Worldwide, Inc. ......... 985,024
--------------
4,456,820
--------------
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Machinery - Construction & Mining -- 0.3%
150,095 Caterpillar Inc. ................................. $ 5,515,991
--------------
Machinery - Diversified -- 0.6%
121,206 Deere & Co. ...................................... 3,992,223
73,111 Dover Corp. ...................................... 3,573,300
48,436 Ingersoll-Rand Co. ............................... 2,206,865
42,051 Rockwell International Corp. ..................... 1,700,438
--------------
11,472,826
--------------
Media -- 4.4%
16,224 A.H. Belo Corp. .................................. 310,284
10,082 Adelphia Communications Corp., Class A Shares*.... 337,747
509,252 AT&T Corp. Liberty Media, Class A Shares*......... 10,885,262
743 BHC Communications, Class A Shares................ 113,679
8,341 Cablevision Systems Corp., Class A Shares*+....... 560,932
13,700 Charter Communications, Inc.*..................... 209,781
7,447 Chris Craft Industries*........................... 582,728
58,135 Clear Channel Communications, Inc.*+.............. 4,207,509
145,900 Comcast Corp., Class A Shares*.................... 5,434,775
500 Cox Radio, Inc.*.................................. 10,406
4,499 Dow Jones & Co., Inc.............................. 281,469
4,293 E.W. Scripps Co., Class A Shares.................. 217,601
3,600 Emmis Communications Corp., Class A Shares*....... 118,125
4,500 Entercom Communications Corp., Class A Shares*.... 185,906
12,900 Fox Entertainment Group, Inc.*.................... 373,294
46,673 Gannett Co. ...................................... 2,642,859
9,158 Harcourt General, Inc. ........................... 543,184
3,926 Hearst-Argyle Television, Inc.* .................. 84,900
22,900 Hispanic Broadcasting Corp.*...................... 588,244
29,400 Infinity Broadcasting Corp.*...................... 1,113,525
81,940 Knight Ridder, Inc.+.............................. 4,475,973
186,697 McGraw-Hill Cos., Inc.+........................... 11,563,546
62,453 The New York Times Co., Class A Shares............ 2,447,377
140,600 The News Corp. Ltd.+.............................. 6,221,550
3,100 Pegasus Communications Corp.*..................... 154,225
15,146 PRIMEDIA Inc.*+................................... 270,735
29,900 Radio One, Inc., Class A Shares*.................. 629,769
1,703 Reader's Digest Association, Inc., Class A
Shares........................................... 65,566
33,600 Time Warner Inc. ................................. 2,872,800
32,356 Tribune Co. ...................................... 1,154,708
10,024 UnitedGlobalCom Inc., Class A Shares*+............ 384,044
15,608 USA Networks, Inc.*............................... 375,568
74,907 Viacom Inc., Class B Shares*...................... 5,042,178
504,342 The Walt Disney Co. .............................. 19,637,819
601 Washington Post Co., Class B Shares............... 305,909
9,800 Westwood One, Inc.*............................... 272,563
--------------
84,676,540
--------------
Mining -- 0.5%
233,910 Alcoa, Inc........................................ 7,777,508
38,283 Homestake Mining Co. ............................. 212,949
23,558 Newmont Mining Corp. ............................. 437,295
12,813 Phelps Dodge Corp. ............................... 570,179
--------------
8,997,931
--------------
</TABLE>
See Notes to Financial Statements.
36
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Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Miscellaneous Manufacturing -- 3.1%
14,096 Cooper Industries, Inc. ........................... $ 497,765
8,572 Crane Co. ......................................... 215,372
13,500 Danaher Corp. ..................................... 758,531
50,309 Eastman Kodak Co. ................................. 3,131,735
36,489 Eaton Corp. ....................................... 2,421,957
4,141 FMC Corp.*......................................... 280,812
174,600 General Electric Co. .............................. 10,246,838
349,768 Honeywell International Inc. ...................... 13,487,929
39,780 Illinois Tool Works Inc. .......................... 2,230,166
39,810 ITT Industries, Inc. .............................. 1,338,611
199,270 Minnesota Mining & Manufacturing Co. .............. 18,532,110
45,091 Pall Corp. ........................................ 963,820
7,844 Pentair, Inc. ..................................... 254,930
32,204 Textron, Inc. ..................................... 1,805,437
46,700 Tyco International Ltd. ........................... 2,661,900
--------------
58,827,913
--------------
Office/Business Equipment -- 0.6%
260,580 Pitney Bowes Inc.+................................. 9,527,457
108,200 Xerox Corp.+....................................... 1,737,963
--------------
11,265,420
--------------
Office Furnishings -- 0.0%
700 Herman Miller Inc. ................................ 22,356
12,541 Steelcase Inc., Class A Shares..................... 207,710
--------------
230,066
--------------
Oil & Gas Producers -- 8.8%
21,338 Amerada Hess Corp. ................................ 1,460,319
29,688 Anadarko Petroleum Corp. .......................... 1,952,580
8,292 Apache Corp. ...................................... 522,396
88,372 Burlington Resources Inc. ......................... 3,474,124
150,208 Chevron Corp. ..................................... 12,692,576
111,205 Coastal Corp. ..................................... 7,659,244
278,420 Conoco Inc., Class A Shares........................ 7,012,704
389,575 Conoco Inc., Class B Shares........................ 10,177,647
12,902 Devon Energy Corp.+................................ 755,584
83,271 Diamond Offshore Drilling, Inc.+................... 3,731,582
15,896 ENSCO International Inc. .......................... 633,853
7,604 EOG Resources, Inc. ............................... 290,853
979,998 Exxon Mobil Corp. ................................. 79,992,337
13,806 Global Marine Inc.+................................ 446,106
6,300 Helmerich & Payne, Inc. ........................... 232,706
166,211 Kerr McGee Corp.+.................................. 10,502,458
3,700 Marine Drilling Cos., Inc.*........................ 100,594
3,745 Murphy Oil Corp. .................................. 249,979
6,565 Nabors Industries, Inc.*........................... 312,248
1,200 Newfield Exploration Co.*.......................... 51,900
9,068 Noble Affiliates, Inc. ............................ 351,385
7,248 Noble Drilling Corp.*.............................. 351,528
59,874 Occidental Petroleum Corp. ........................ 1,294,775
27,240 Ocean Energy Inc.*................................. 413,708
76,961 Phillips Petroleum Co. ............................ 4,761,961
9,600 Pride International, Inc.*......................... 236,400
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Oil & Gas Producers -- 8.8% (continued)
10,187 R&B Falcon Corp.*.................................. $ 290,330
5,512 Rowan Cos., Inc.*.................................. 170,872
14,362 Sunoco, Inc. ...................................... 390,467
233,677 Texaco Inc. ....................................... 12,034,366
60,334 Tosco Corp. ....................................... 1,840,187
70,863 Ultramar Diamond Shamrock Corp. ................... 1,660,852
39,471 Unocal Corp. ...................................... 1,317,344
50,632 USX-Marathon Group................................. 1,389,216
8,500 Valero Energy Corp. ............................... 256,063
2,200 Vastar Resources, Inc. ............................ 182,050
--------------
169,193,294
--------------
Oil & Gas Services -- 1.0%
205,888 Baker Hughes Inc.+................................. 7,527,780
1,202 BJ Services Co.*................................... 80,534
1,826 Cooper Cameron Corp.*+............................. 142,086
10,000 Global Industries Ltd.*............................ 124,375
16,700 Grant Prideco, Inc.*............................... 392,450
163,039 Halliburton Co.+................................... 8,641,067
2,300 Hanover Compressor Co.*............................ 73,025
8,700 National-Oilwell, Inc.*............................ 301,781
2,347 Smith International, Inc.*+........................ 186,587
5,500 Tidewater Inc. .................................... 222,062
9,800 Varco International Inc.*.......................... 197,838
13,500 Weatherford International, Inc.*+.................. 633,656
--------------
18,523,241
--------------
Packaging & Containers -- 0.1%
7,972 Bemis Co., Inc. ................................... 267,062
20,812 Crown Cork & Seal Co., Inc. ....................... 269,255
23,776 Owens-Illinois, Inc.*.............................. 310,574
1,300 Sealed Air Corp.*+................................. 66,706
18,968 Smurfit-Stone Container, Corp.*.................... 248,955
16,199 Sonoco Products Co. ............................... 312,843
--------------
1,475,395
--------------
Pharmaceuticals -- 5.1%
535,913 Abbott Laboratories................................ 23,446,194
1,200 ALZA Corp.*........................................ 90,750
358,562 American Home Products Corp. ...................... 19,429,579
288,630 Bristol-Myers Squibb Co. .......................... 15,297,390
12,300 Cardinal Health, Inc. ............................. 1,006,294
2,000 Celgene Corp.*+.................................... 154,938
1,100 Cephalon, Inc.*+................................... 55,344
7,208 DENTSPLY International Inc. ....................... 240,567
1,600 Express Scripts, Inc., Class A Shares*............. 113,900
6,200 Gilead Sciences, Inc.*+............................ 669,600
12,948 ICN Pharmaceutical, Inc. .......................... 366,590
236,543 Merck & Co., Inc. ................................. 16,528,442
18,266 Mylan Laboratories Inc. ........................... 485,191
21,300 Patterson Dental Co.*+............................. 505,875
191,400 Pharmacia & Upjohn, Inc.+.......................... 11,208,863
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Pharmaceuticals -- 5.1% (continued)
187,895 Schering-Plough Corp. ............................. $ 7,539,287
2,500 Sepracor Inc.*+.................................... 275,000
5,000 Sybron International Corp.*........................ 113,750
7,740 Watson Pharmaceuticals, Inc.*...................... 477,461
--------------
98,005,015
--------------
Pipelines -- 1.3%
13,191 Columbia Energy Group.............................. 925,843
6,200 Dynegy Inc., Class A Shares........................ 279,000
35,134 EL Paso Energy, Corp.+............................. 2,046,556
64,221 Enron Corp. ....................................... 5,450,757
15,300 Equitable Resources, Inc. ......................... 861,581
18,533 Kinder Morgan, Inc. ............................... 682,246
6,317 National Fuel Gas Co. ............................. 331,248
13,020 Questar Corp. ..................................... 282,371
303,131 Williams Cos., Inc. ............................... 13,962,972
--------------
24,822,574
--------------
Real Estate -- 0.0%
4,907 The St. Joe Co. ................................... 143,836
--------------
Real Estate Investment Trusts (REIT) -- 0.6%
11,227 AMB Property Corp. ................................ 271,553
10,933 Apartment Investment & Management Co. ............. 490,618
14,038 Archstone Communities Trust........................ 345,712
10,765 Avalonbay Communities, Inc. ....................... 481,061
8,700 Boston Properties, Inc. ........................... 351,806
10,900 CarrAmerica Realty Corp. .......................... 316,781
15,460 Crescent Real Estate Equities Co. ................. 342,053
20,573 Duke Weeks Realty Corp. ........................... 488,609
67,087 Equity Office Properties Trust..................... 1,937,137
30,847 Equity Residential Properties Trust................ 1,480,656
8,484 General Growth Properties, Inc. ................... 272,549
31,149 Host Marriott Corp. ............................... 332,905
13,800 iStar Financial Inc. .............................. 288,938
7,733 Kimco Realty Corp. ................................ 314,153
10,982 Liberty Property Trust............................. 286,905
7,568 Mack-Cali Realty Corp. ............................ 198,187
5,700 Pinnacle Holdings Inc.*............................ 229,425
8,200 Plum Creek Timber Co. Inc.+........................ 198,850
6,399 Post Properties, Inc. ............................. 270,758
14,788 Prologis Trust..................................... 338,276
14,382 Public Storage, Inc. .............................. 350,561
11,421 Rouse Co. ......................................... 275,532
1 Senior Housing Properties Trust.................... 2
17,051 Simon Property Group, Inc. ........................ 388,976
9,494 Spieker Properties, Inc. .......................... 518,610
10,025 Vornado Realty Trust............................... 370,925
--------------
11,141,538
--------------
Retail -- 2.6%
4,000 7-Eleven, Inc.*.................................... 53,500
36,986 AutoNation, Inc.*.................................. 240,409
20,677 AutoZone, Inc.*.................................... 465,233
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Retail -- 2.6% (continued)
9,661 BJ's Wholesale Club, Inc.*......................... $ 327,266
3,500 Blockbuster Inc., Class A Shares................... 32,813
10,598 Brinker International, Inc.*+...................... 336,487
23,184 Circuit City Stores-Circuit City Group............. 601,335
9,363 Consolidated Stores Corp.*......................... 127,571
71,900 CVS Corp. ......................................... 2,669,288
65,280 Darden Restaurants, Inc. .......................... 1,154,640
3,300 Dollar General Corp. .............................. 67,856
6,300 Family Dollar Stores, Inc. ........................ 113,400
138,538 Federated Department Stores, Inc.*................. 3,827,112
42,464 J.C. Penney Co., Inc.+............................. 594,496
78,115 Kmart Corp.*....................................... 546,805
414,727 The Limited, Inc. ................................. 8,294,540
25,900 Lowe's Cos., Inc. ................................. 1,160,644
51,613 May Department Stores Co.+......................... 1,183,874
216,967 McDonald's Corp. .................................. 6,481,889
3,000 MSC Industrial Direct Co.*......................... 48,750
16,357 Nordstrom, Inc. ................................... 282,158
47,207 Office Depot, Inc.*................................ 345,201
9,614 Outback Steakhouse, Inc.*.......................... 220,521
53,526 Rite Aid Corp.+.................................... 214,104
13,510 Ross Stores, Inc. ................................. 204,339
22,966 Saks, Inc.*........................................ 229,660
68,442 Sears Roebuck & Co.+............................... 2,134,535
24,800 Staples, Inc.*..................................... 381,300
2,400 Starbucks Corp.*................................... 87,900
1,400 The Talbots, Inc.+................................. 93,713
182,806 Target Corp. ...................................... 4,250,240
8,320 Tiffany & Co. ..................................... 346,320
181,300 TJX Cos., Inc. .................................... 3,410,706
35,115 Toys "R" Us, Inc.*................................. 638,655
114,113 Tricon Global Restaurants, Inc.*+.................. 3,323,541
21,800 Walgreen Co. ...................................... 716,675
71,600 Wal-Mart Stores, Inc. ............................. 3,396,525
14,989 Wendy's International, Inc. ....................... 282,917
1,600 Williams-Sonoma, Inc.*............................. 57,500
--------------
48,944,418
--------------
Savings & Loans -- 0.4%
34,043 Charter One Financial, Inc. ....................... 808,521
65,959 Dime Bancorp, Inc. ................................ 1,211,997
10,661 Golden State Bancorp, Inc. ........................ 214,553
20,827 Golden West Financial Corp. ....................... 991,886
14,224 Greenpoint Financial Corp. ........................ 371,602
8,800 Hudson City Bancorp, Inc. ......................... 152,350
36,661 Sovereign Bancorp., Inc.+.......................... 311,619
88,914 Washington Mutual, Inc. ........................... 3,111,990
--------------
7,174,518
--------------
Semiconductors -- 1.0%
158,786 Advanced Micro Devices, Inc.*+..................... 5,974,323
1,800 Conexant Systems, Inc.*+........................... 66,938
3,300 Cypress Semiconductor Corp.*+...................... 163,144
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Semiconductors -- 1.0% (continued)
3,400 Dallas Semiconductor Corp. ........................ $ 140,675
2,100 International Rectifier Corp.*..................... 132,169
1,639 KLA -- Tencor Corp.*+.............................. 107,559
800 Lattice Semiconductor Corp.*+...................... 62,300
242,405 National Semiconductor Corp.*...................... 10,787,023
20,000 Novellus Systems, Inc.*............................ 1,231,250
500 ON Semiconductor Corp.*............................ 8,500
100 Siliconix Inc.*.................................... 5,588
500 Virata Corp.*+..................................... 34,375
--------------
18,713,844
--------------
Software -- 1.6%
1,000 Acxiom Corp.*...................................... 25,500
1,100 American Management Systems*....................... 20,556
6,167 Autodesk, Inc. .................................... 173,447
38,700 Automatic Data Processing, Inc. ................... 2,307,566
83,600 BMC Software, Inc.*................................ 2,257,200
400 CacheFlow Inc.*.................................... 43,750
29,213 Cadence Design Systems, Inc.*+..................... 620,776
1,300 ChoicePoint Inc.*.................................. 60,938
96,400 Computer Associates International, Inc. ........... 3,060,700
203,700 Compuware Corp.*................................... 2,151,581
23,558 Covad Communications Group, Inc.*.................. 384,290
1,300 Electronic Arts Inc.*.............................. 140,319
199,052 First Data Corp. .................................. 9,492,293
6,100 Fiserv, Inc.*...................................... 330,544
45,600 Informix Corp.*.................................... 279,300
8,923 Intuit Inc.*....................................... 534,265
3,400 Keane, Inc.*....................................... 58,863
1,100 Liberate Technologies, Inc.*....................... 33,825
111,800 Microsoft Corp.*................................... 7,805,038
300 National Instruments Corp.*........................ 12,956
5,361 Networks Associates Inc.*.......................... 138,716
11,553 NorthPoint Communications Group, Inc.*............. 132,137
38,700 Novell, Inc.*...................................... 474,075
9,100 Parametric Technology Corp.*....................... 121,713
10,600 PeopleSoft, Inc.*.................................. 341,850
500 Pixar, Inc.*+...................................... 16,500
2,200 Red Hat, Inc.*+.................................... 55,275
12,143 Reynolds & Reynolds Co., Class A Shares............ 220,092
14,600 Sybase, Inc.*...................................... 400,588
11,300 WebMD Corp.*....................................... 199,163
--------------
31,893,816
--------------
Telecommunications -- 9.8%
40,271 3Com Corp.*........................................ 669,505
13,021 Adaptec, Inc.*..................................... 319,015
400 ADTRAN, Inc.*...................................... 21,425
1,300 Advanced Fibre Communications, Inc.*............... 68,717
181,693 Alltel Corp.+...................................... 9,186,853
10,649 American Tower Corp., Class A Shares*+............. 386,692
5,200 Andrew Corp.*...................................... 154,050
600 Antec Corp.*....................................... 21,638
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Telecommunications -- 9.8% (continued)
1,400 Aspect Communications Corp.*....................... $ 31,588
698,950 AT&T Corp.+........................................ 22,016,925
52,500 AT&T Wireless Group*............................... 1,374,844
435,498 BellSouth Corp. ................................... 16,249,524
34,700 Broadwing Inc.*.................................... 969,431
39,752 Cabletron Systems, Inc.*........................... 1,488,216
22,748 CenturyTel, Inc. .................................. 655,427
42,860 Citizens Communications Co.*....................... 699,154
1,400 CommScope, Inc.*................................... 34,913
12,110 Cox Communications, Inc., Class A Shares*.......... 430,662
13,442 Crown Castle International Corp.*+................. 466,269
600 Ditech Communications Corp.*....................... 35,400
2,100 Dobson Communications Corp.*....................... 45,281
28,726 General Motors Corp., Class H Shares*.............. 951,549
9,775 Harris Corp. ...................................... 293,861
1,300 Infonet Services Corp., Class A Shares*............ 16,981
16,200 Level 3 Communications, Inc.*+..................... 1,413,197
4,000 McLeodUSA Inc., Class A Shares*.................... 63,250
8,300 Metromedia Fiber Network, Inc.*+................... 331,482
587,581 Motorola, Inc. .................................... 21,189,641
100 New Focus, Inc.*................................... 13,806
5,900 Nextel Partners, Inc., Class A Shares*............. 178,106
23,252 NEXTLINK Communications, Inc., Class A Shares*+.... 815,273
23,100 NTL Inc.*+......................................... 1,012,069
2,777 PanAmSat Corp.*.................................... 90,079
88,848 Qwest Communications International Inc.*........... 4,586,778
7,100 RCN Corp.*......................................... 172,175
909,414 SBC Communications Inc. ........................... 37,947,862
100 Sonus Networks, Inc.*.............................. 16,638
9,000 Spectrasite Holdings, Inc.*........................ 210,938
286,313 Sprint Corp. (FON Group)........................... 9,591,486
2,400 TeleCorp PCS, Inc.*+............................... 84,600
18,778 Telephone & Data Systems Inc. ..................... 2,178,248
900 Tritel, Inc.*...................................... 23,513
1,213 US Cellular Corp.*................................. 89,231
1,700 UTStarcom, Inc.*................................... 40,588
792,680 Verizon Communications............................. 34,580,665
300 West TeleServices Corp.*........................... 7,125
1,000 Williams Communications Group, Inc.*+.............. 29,375
490,492 WorldCom, Inc.*.................................... 17,902,958
--------------
189,157,003
--------------
Textiles -- 0.0%
18,273 Shaw Industries, Inc. ............................. 227,270
--------------
Tobacco -- 1.4%
874,223 Philip Morris Cos. Inc. ........................... 25,898,856
16,768 R.J. Reynolds Tobacco Holdings, Inc. .............. 601,552
16,779 UST Inc. .......................................... 362,846
--------------
26,863,254
--------------
Toys/Games/Hobbies -- 0.1%
27,956 Hasbro, Inc. ...................................... 344,208
69,110 Mattel, Inc. ...................................... 682,461
--------------
1,026,669
--------------
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
------------------------------------------------------------------------------
Transportation -- 0.7%
68,372 Burlington Northern Santa Fe Corp. ............. $ 1,529,827
1,500 C.H. Robinson Worldwide, Inc. .................. 88,781
35,452 CSX Corp. ...................................... 846,424
700 Expeditors International of Washington, Inc. ... 34,300
63,516 FedEx Corp.*.................................... 2,562,871
5,100 Florida East Coast Industries, Inc. ............ 222,488
3,950 Kansas City Southern Industries, Inc. .......... 36,538
62,217 Norfolk Southern Corp. ......................... 999,364
146,824 Union Pacific Corp.+............................ 5,836,254
16,000 United Parcel Service, Inc., Class B Shares+.... 887,001
--------------
13,043,848
--------------
Trucking & Leasing -- 0.0%
7,785 GATX Corp. ..................................... 316,752
--------------
Water -- 0.0%
15,934 American Water Works Co., Inc. ................. 390,383
--------------
TOTAL COMMON STOCK
(Cost -- $1,754,714,492)........................ 1,895,124,806
--------------
<CAPTION>
Face
Amount
-----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 0.1%
$ 1,125,000 U.S. Treasury Bills, 5.780% due 9/21/00 (Cost --
$1,121,256)................................... 1,121,043
--------------
SUB-TOTAL INVESTMENTS
(Cost -- $1,755,835,748)........................ 1,896,245,849
--------------
REPURCHASE AGREEMENT -- 1.6%
30,658,000 J.P. Morgan Securities Inc., 6.600% due 9/1/00;
Proceeds at maturity -- $30,663,621; (Fully
collateralized by U.S. Treasury Notes & Bonds,
4.250% to 13.375% due 3/31/01 to 8/15/26;
Market value -- $31,271,710) (Cost --
$30,658,000).................................. 30,658,000
--------------
TOTAL INVESTMENTS -- 100%
(Cost -- $1,786,493,748**)...................... $1,926,903,849
==============
</TABLE>
------
+ All or a portion of this security is on loan (See Note 13).
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
43
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
COMMON STOCK -- 97.4%
Advertising -- 0.3%
9,949 Catalina Marketing Corp.*......................... $ 424,698
3,500 Getty Images, Inc.*............................... 147,000
522 Harte-Hanks, Inc. ................................ 13,115
36,090 The Interpublic Group of Cos., Inc.+.............. 1,380,443
5,204 Lamar Advertising Co.*............................ 241,661
35,528 Omnicom Group+.................................... 2,964,367
9,712 Snyder Communications, Inc. ...................... 265,866
13,076 TMP Worldwide, Inc.*.............................. 904,696
800 True North Communications Inc. ................... 37,100
11,906 Young & Rubicam, Inc. ............................ 696,501
--------------
7,075,447
--------------
Aerospace/Defense -- 0.0%
9,557 The Boeing Co. ................................... 512,494
1,480 L-3 Communications Holdings, Inc.*................ 87,505
10,700 The Titan Corp.+.................................. 263,488
--------------
863,487
--------------
Airlines -- 0.6%
3,300 Northwest Airlines Corp.*......................... 103,331
712,500 Southwest Airlines Co. ........................... 16,120,313
4,600 US Airways Group, Inc. ........................... 156,400
--------------
16,380,044
--------------
Apparel -- 0.0%
5,221 Jones Apparel Group, Inc.*........................ 127,914
1,191 NIKE, Inc., Class B Shares........................ 47,119
--------------
175,033
--------------
Banks -- 0.1%
10,466 Fifth Third Bancorp............................... 483,398
15,612 Firstar Corp. .................................... 372,737
2,619 State Street Corp. ............................... 308,387
7,020 Synovus Financial Corp. .......................... 138,206
--------------
1,302,728
--------------
Beverages -- 0.7%
10,986 Anheuser-Busch Cos., Inc. ........................ 865,834
299,576 The Coca-Cola Co.+................................ 15,765,187
20,448 Coca-Cola Enterprises Inc.+....................... 380,844
8,293 Pepsi Bottling Group, Inc. ....................... 263,303
31,737 PepsiCo, Inc. .................................... 1,352,790
--------------
18,627,958
--------------
Biotechnology -- 4.0%
8,000 Affymetrix, Inc.*+................................ 632,000
489,488 Amgen, Inc. ...................................... 37,109,309
307,579 Biogen, Inc.*..................................... 21,261,398
14,351 Chiron Corp.*..................................... 775,851
116,500 Genetech, Inc.*................................... 22,193,250
7,209 Genzyme Corp. -- General Division*................ 541,126
11,600 Human Genome Sciences, Inc.*...................... 1,936,475
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Biotechnology -- 4.0% (continued)
8,648 ICOS Corp.*....................................... $ 507,529
50,900 IDEC Pharmaceuticals Corp.*+...................... 7,106,912
247,300 Immunex Corp.*+................................... 12,426,825
5,800 Incyte Genomics, Inc.*............................ 481,038
17,600 Millennium Pharmaceuticals, Inc.*+................ 2,519,000
9,800 PE Corp. -- Celera Genomics Group*................ 1,062,688
8,300 Protein Design Labs, Inc.*+....................... 630,800
--------------
109,184,201
--------------
Chemicals -- 0.0%
866 Cabot Corp. ...................................... 32,042
--------------
Commercial Services -- 1.2%
1,012 ANC Rental Corp.*................................. 7,084
15,729 Apollo Group, Inc., Class A Shares*............... 641,940
36,671 Cendant Corp. .................................... 483,599
1,756 Comdisco, Inc. ................................... 42,144
44,903 Concord EFS, Inc.*................................ 1,442,509
2,578 Convergys Corp.*.................................. 100,864
12,671 DeVry, Inc.*...................................... 473,579
4,102 Ecolab, Inc. ..................................... 159,722
29,920 Equifax, Inc. .................................... 761,090
10,200 First Health Group Corp. ......................... 316,837
1,064 H&R Block, Inc. .................................. 38,171
4,000 Iron Mountain, Inc. .............................. 136,500
1,080 Manpower, Inc. ................................... 39,082
7,104 McKesson HBOC, Inc. .............................. 177,156
9,110 NOVA Corp./Georgia*............................... 130,956
583,408 Paychex, Inc. .................................... 26,034,582
4,100 Quanta Services, Inc.*............................ 191,675
8,294 Quintiles Transnational Corp.*.................... 115,598
37,670 Robert Half International, Inc.+.................. 1,198,377
5,400 TeleTech Holdings, Inc.*.......................... 176,175
10,777 Valassis Communications, Inc. .................... 311,186
3,685 Viad Corp. ....................................... 108,016
2,900 Wireless Facilities, Inc.+........................ 217,500
--------------
33,304,342
--------------
Computers -- 10.4%
2,327 Affiliated Computer Services, Class A Shares*..... 108,351
188,816 Apple Computer, Inc.+............................. 11,505,975
4,781 The Bisys Group, Inc.*............................ 360,069
23,120 Brocade Communications Systems*+.................. 5,220,785
6,939 Ceridian Corp. ................................... 167,837
62,928 Compaq Computer Corp. ............................ 2,143,485
22,905 Computer Sciences Corp. .......................... 1,810,927
1,144,204 Dell Computer Corp.*.............................. 49,915,900
2,297 DST Systems, Inc.*................................ 215,918
4,100 Echelon Corp.*.................................... 192,956
46,634 Electronic Data Systems Corp. .................... 2,322,956
6,426 Electronics for Imaging, Inc.*.................... 167,076
713,872 EMC Corp. ........................................ 69,959,456
7,800 Entrust Technologies, Inc.*....................... 232,050
38,874 Gateway, Inc.*+................................... 2,647,319
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Computers -- 10.4% (continued)
67,811 Hewlett-Packard Co.+............................. $ 8,188,178
277,000 International Business Machines Corp............. 36,564,000
5,600 Internet Security Systems*....................... 453,600
6,300 Jack Henry & Associates, Inc..................... 279,563
27,359 Lexmark International Group, Inc., Class A
Shares*......................................... 1,855,282
15,665 MarchFIRST, Inc.*................................ 303,509
2,958 NCR Corp.*....................................... 119,429
21,476 Redback Networks, Inc.*+......................... 3,207,978
5,200 RSA Security, Inc.*.............................. 307,125
10,300 SanDisk Corp.*................................... 860,050
15,724 Sapient Corp.*................................... 825,510
18,814 Seagate Technology, Inc.*........................ 1,117,081
15,900 Silicon Storage Technology, Inc.*+............... 521,719
563,650 Sun Microsystems, Inc.*.......................... 71,548,322
7,817 SunGard Data Systems, Inc.*...................... 281,412
6,969 Synopsys, Inc.*.................................. 258,289
32,899 Unisys Corp...................................... 427,687
84,390 VERITAS Software Corp.*+......................... 10,174,269
--------------
284,264,063
--------------
Cosmetics/Personal Care -- 0.8%
79,326 Colgate-Palmolive Co............................. 4,040,668
18,584 The Estee Lauder Cos. Inc., Class A Shares+...... 760,783
394,391 Gillette Co...................................... 11,831,730
95,400 The Procter & Gamble Co. ........................ 5,896,912
--------------
22,530,093
--------------
Distribution/Wholesale -- 0.0%
5,843 Fastenal Corp.................................... 373,222
2,035 Ingram Micro, Inc., Class A Shares*.............. 30,525
2,761 Tech Data Corp.*................................. 142,537
--------------
546,284
--------------
Diversified Financial Services -- 3.7%
131,733 American Express Co.............................. 7,788,714
36,549 Capital One Financial Corp. ..................... 2,204,362
18,228 Federated Investors, Inc., Class B Shares........ 427,219
50,000 Goldman Sachs Group, Inc......................... 6,403,125
17,428 Knight Trading Group Inc., Class A Shares*+...... 546,803
99,415 MBNA Corp........................................ 3,510,592
132,200 Morgan Stanley Dean Witter & Co.................. 14,219,762
234,194 Providian Financial Corp......................... 26,917,673
782,362 Stilwell Financial, Inc.*........................ 37,846,762
7,823 T. Rowe Price Associates, Inc.................... 353,991
6,568 USA Education, Inc............................... 257,383
17,747 Waddell & Reed Financial, Class A Shares......... 618,909
--------------
101,095,295
--------------
Electric -- 0.3%
63,558 AES Corp......................................... 4,051,823
27,532 Calpine Corp.*+.................................. 2,725,668
1,900 NRG Energy Inc.*................................. 49,875
--------------
6,827,366
--------------
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Electrical Components & Equipment -- 0.1%
32,403 American Power Conversion*........................ $ 771,597
21,875 Molex, Inc.+...................................... 1,155,273
5,200 Power-One, Inc. .................................. 823,875
--------------
2,750,745
--------------
Electronics -- 1.1%
95,800 Agilent Technologies, Inc.*+...................... 5,777,938
8,100 Amphenol Corp., Class A Shares*................... 518,400
4,700 AVX Corp. ........................................ 140,706
14,350 Gentex Corp.*..................................... 371,306
24,380 Jabil Circuit, Inc.*+............................. 1,555,749
16,000 KEMET Corp.*+..................................... 480,000
16,764 Microchip Technology, Inc.*....................... 1,141,000
9,836 Millipore Corp. .................................. 598,767
44,088 PE Corp. -- PE Biosystems Group................... 4,337,157
900 PerkinElmer, Inc. ................................ 80,944
31,434 Sanmina Corp.*+................................... 3,709,212
5,200 Sawtek, Inc.*..................................... 262,275
24,738 SCI Systems, Inc.*+............................... 1,527,571
104,880 Solectron Corp.*+................................. 4,752,375
28,904 Symbol Technologies, Inc. ........................ 1,195,903
3,000 Vishay Intertechnology, Inc.*..................... 120,937
26,646 Waters Corp.*..................................... 2,120,022
--------------
28,690,262
--------------
Energy - Alternate Sources -- 0.0%
1,800 Plug Power, Inc.+................................. 80,550
--------------
Engineering & Construction -- 0.0%
7,800 Dycom Industries, Inc.+........................... 413,400
--------------
Entertainment -- 0.1%
14,165 International Game Technology..................... 410,785
1,867 International Speedway Corp., Class A Shares...... 63,245
6,200 Macrovision Corp.*................................ 661,075
6,285 Six Flags, Inc. .................................. 93,882
--------------
1,228,987
--------------
Environmental Control -- 0.0%
2,998 Republic Services, Inc.*.......................... 43,846
--------------
Financial Services -- 1.2%
877,298 The Charles Schwab Corp. ......................... 33,501,817
--------------
Food -- 0.8%
26,250 Bestfoods......................................... 1,853,906
28,278 Campbell Soup Co. ................................ 717,554
28,026 General Mills, Inc.+.............................. 900,335
305 Keebler Foods Co. ................................ 13,973
16,577 Kellogg Co. ...................................... 384,379
84,384 Kroger Co. ....................................... 1,914,462
12,952 Quaker Oats Co.+.................................. 879,927
233,051 Safeway, Inc.*.................................... 11,492,328
70,255 Sara Lee Corp. ................................... 1,308,499
37,391 SYSCO Corp. ...................................... 1,582,107
--------------
21,047,470
--------------
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Forest Products & Paper -- 0.0%
6,900 Georgia-Pacific Corp. (Timber Group)*............ $ 202,256
1,200 Willamette Industries*........................... 36,600
--------------
238,856
--------------
Health Care -- 1.3%
575 Bausch & Lomb, Inc. ............................. 20,556
384 Beckman Coulter Inc. ............................ 29,232
4,883 Biomet, Inc. .................................... 165,106
46,904 Boston Scientific Corp.*+........................ 888,244
7,700 CYTYC Corp.*+.................................... 359,013
64,933 Guidant Corp. ................................... 4,370,803
41,114 Health Management Associates, Inc., Class A
Shares.......................................... 670,672
16,118 Johnson & Johnson................................ 1,481,849
477,524 Medtronic, Inc. ................................. 24,473,105
8,954 MiniMed, Inc.*+.................................. 642,869
17,806 Oxford Health Plans, Inc.*....................... 543,083
2,630 Pacificare Health System, Inc.*.................. 141,856
3,500 Quest Diagnostics, Inc.*......................... 433,125
1,990 St. Jude Medical, Inc. .......................... 78,854
30,448 Stryker Corp. ................................... 1,364,451
4,300 Techne Corp.*.................................... 410,650
2,842 UnitedHealth Group, Inc. ........................ 268,569
2,268 Universal Health Services, Inc., Class B Shares.. 160,461
--------------
36,502,498
--------------
Home Furnishings -- 0.0%
5,100 Polycom, Inc.*................................... 573,113
--------------
Household Products/Wares -- 0.0%
1,066 Avery Dennison Corp. ............................ 57,631
--------------
Insurance -- 1.7%
3,541 AFLAC, Inc. ..................................... 191,214
175,200 American International Group, Inc. .............. 15,614,700
401,500 Progressive Corp. ............................... 30,438,719
--------------
46,244,633
--------------
Internet -- 2.0%
39,192 Amazon.com, Inc.*+............................... 1,626,468
488,858 America Online, Inc. ............................ 28,659,300
15,003 AmeriTrade Holdings Corp.*+...................... 282,244
21,391 At Home Corp.*+.................................. 311,506
40,550 CMGI, Inc.*+..................................... 1,814,613
8,793 CNET Networks, Inc.*+............................ 294,566
4,151 Critical Path, Inc.*............................. 320,665
22,514 DoubleClick, Inc.*............................... 916,038
32,249 E*TRADE Group, Inc.*+............................ 572,420
6,266 EarthLink, Inc.*+................................ 70,492
25,604 eBay, Inc.*+..................................... 1,587,448
300 FreeMarkets, Inc.*............................... 24,412
9,400 Homestore.com, Inc.*............................. 509,363
28,260 InfoSpace, Inc.*+................................ 1,102,140
18,226 Lycos, Inc.*..................................... 1,294,046
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Internet -- 2.0% (continued)
2,000 NaviSite, Inc.*.................................. $ 96,250
13,411 Priceline.com, Inc.*............................. 364,612
5,100 S1 Corp.*........................................ 88,931
2,286 Safeguard Scientifics, Inc.*+.................... 65,294
4,000 TD Waterhouse Group, Inc.*....................... 81,000
2,141 Ticketmaster Online - CitySearch, Inc.*.......... 51,518
17,100 VerticalNet, Inc.*............................... 910,575
7,778 The Walt Disney Co. (Internet Group)*............ 127,365
18,100 Webvan Group, Inc.*+............................. 72,400
119,712 Yahoo! Inc.*..................................... 14,545,008
--------------
55,788,674
--------------
Leisure Time -- 0.3%
187,266 Harley Davidson, Inc. ........................... 9,328,188
1,860 Sabre Holdings Corp. ............................ 51,847
--------------
9,380,035
--------------
Lodging -- 0.0%
2,180 Marriott International, Inc., Class A Shares..... 86,110
1,430 MGM Mirage, Inc.+................................ 49,156
--------------
135,266
--------------
Machinery - Diversified -- 0.0%
7,600 Cognex Corp. .................................... 304,000
--------------
Media -- 3.2%
315,400 AT&T Corp. - Liberty Media Corp., Class A
Shares*......................................... 6,741,675
9,011 Cablevision Systems Corp., Class A Shares*....... 605,990
25,560 Clear Channel Communications+.................... 1,849,905
121,889 Cox Communications, Class A Shares*.............. 4,334,678
6,189 Cox Radio, Inc., Class A Shares*................. 128,809
3,288 Dow Jones & Co., Inc. ........................... 205,705
2,500 Emmis Communications Corp.*...................... 82,031
9,605 Fox Entertainment Group, Inc., Class A Shares*... 277,945
645 Hearst-Argyle Television, Inc.*.................. 13,948
16,506 Hispanic Broadcasting Corp.*..................... 423,998
27,752 Infinity Broadcasting Corp., Class A Shares*..... 1,051,107
3,215 Liberty Digital, Inc., Class A Shares*........... 79,571
2,200 Pegasus Communications*.......................... 109,450
244,090 Pixar, Inc.*+.................................... 8,054,970
13,787 PRIMEDIA, Inc.*+................................. 246,443
20,046 Reader's Digest Association, Class A Shares*..... 771,771
436,665 Time Warner, Inc.*............................... 37,334,857
2,774 UnitedGlobalCom, Inc., Class A Shares*........... 106,279
34,206 Univision Communications, Inc., Class A
Shares*+........................................ 1,509,340
2,366 USA Networks, Inc.*.............................. 56,932
341,968 Viacom, Inc., Class B Shares*+................... 23,018,721
--------------
87,004,125
--------------
Metals - Diversified -- 0.0%
5,500 Homestake Mining Co. ............................ 30,594
4,900 Newmont Mining Corp. ............................ 90,956
--------------
121,550
--------------
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Miscellaneous Manufacturing -- 4.7%
2,409 Danaher Corp. ................................... $ 135,356
2,189,560 General Electric Co.++........................... 128,499,802
20,978 Honeywell International, Inc. ................... 808,964
--------------
129,444,122
--------------
Office Furnishings -- 0.0%
15,719 Herman Miller, Inc. ............................. 502,026
--------------
Oil & Gas Producers -- 0.3%
12,626 Anadarko Petroleum Corp. ........................ 830,412
12,766 Apache Corp. .................................... 804,258
2,684 Devon Energy Corp. .............................. 157,182
1,587 Diamond Offshore Drilling, Inc. ................. 71,117
8,369 ENSCO International, Inc. ....................... 333,714
12,500 EOG Resources, Inc. ............................. 478,125
15,983 Global Marine, Inc. ............................. 516,451
2,300 Helmerich & Payne, Inc. ......................... 84,956
7,500 Marine Drilling Co., Inc.*....................... 203,906
4,700 Murphy Oil Corp. ................................ 313,725
20,631 Nabors Industries, Inc.*......................... 981,262
6,500 Newfield Exploration Co.*........................ 281,125
18,823 Noble Drilling Corp.*............................ 912,916
1,400 Pride International, Inc. ....................... 34,475
21,250 R&B Falcon Corp.*................................ 605,625
10,000 Rowan Cos., Inc. ................................ 310,000
861 Vastar Resources, Inc. .......................... 71,248
--------------
6,990,497
--------------
Oil & Gas Services -- 0.2%
22,082 Baker Hughes, Inc. .............................. 807,373
14,324 BJ Services Co. ................................. 959,708
8,752 Cooper Cameron Corp.*............................ 681,015
700 Global Industries Ltd. .......................... 8,706
1,121 Grant Prideco, Inc. ............................. 26,344
48,336 Halliburton Co. ................................. 2,561,808
9,200 Hanover Compressor Co. .......................... 292,100
7,499 Smith International, Inc.+....................... 596,170
4,600 Tidewater, Inc. ................................. 185,725
5,421 Weatherford International, Inc.*+................ 254,448
--------------
6,373,397
--------------
Packaging & Containers -- 0.0%
15,976 Sealed Air Corp.*+............................... 819,769
--------------
Pharmaceuticals -- 9.4%
31,121 Abbott Laboratories.............................. 1,361,544
13,800 Abgenix, Inc.*................................... 1,037,372
10,600 Alkermes, Inc.*+................................. 490,250
147,292 Allergan, Inc. .................................. 10,770,728
115,842 ALZA Corp.*...................................... 8,760,551
374,398 American Home Products Corp. .................... 20,287,692
7,998 Andrx Corp.*..................................... 695,826
202,636 Bristol-Myers Squibb Co.*........................ 10,739,708
42,253 Cardinal Health, Inc. ........................... 3,456,824
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Pharmaceuticals -- 9.4% (continued)
10,900 Celgene Corp.*.................................... $ 806,600
5,800 Cephalon, Inc.*+.................................. 291,812
10,200 COR Therapeutics, Inc.*+.......................... 573,750
171,100 Elan Corp. PLC -- Sponsored ADR*+................. 9,977,269
200,627 Eli Lilly & Co. .................................. 14,645,771
2,376 Express Scripts, Inc., Class A Shares*............ 169,141
18,417 Forest Laboratories, Inc.*........................ 1,802,564
1,400 Gilead Sciences, Inc.*+........................... 151,200
6,600 ImClone Systems*.................................. 636,075
28,878 Ivax Corp. ....................................... 999,901
11,600 Jones Pharma Inc. ................................ 414,700
13,600 King Pharmaceuticals, Inc.*+...................... 436,900
7,500 Medarex, Inc. .................................... 828,750
129,120 MedImunne, Inc.*.................................. 10,862,220
242,928 Merck & Co., Inc. ................................ 16,974,594
2,974 Mylan Laboratories, Inc. ......................... 78,997
8,500 Patterson Dental Co.*............................. 201,875
2,175,331 Pfizer, Inc. ..................................... 94,083,066
432,349 Pharmacia Corp. .................................. 25,319,438
309,995 Schering-Plough Corp. ............................ 12,438,549
11,156 Sepracor, Inc.*+.................................. 1,227,160
15,615 Sybron International Corp.*....................... 355,241
1,600 Tanox, Inc.*...................................... 74,400
11,100 Vertex Pharmaceuticals Inc.*...................... 943,500
64,181 Watson Pharmaceuticals Inc.*...................... 3,959,165
--------------
255,853,133
--------------
Pipelines -- 0.3%
37,662 Dynegy Inc., Class A Shares....................... 1,694,790
71,294 Enron Corp. ...................................... 6,051,078
--------------
7,745,868
--------------
Retail -- 5.0%
1,400 7-Eleven, Inc.*................................... 18,725
23,096 AutoNation, Inc.*................................. 150,124
49,352 Bed Bath & Beyond, Inc.*.......................... 866,745
35,573 Best Buy Co., Inc.*............................... 2,196,633
1,856 BJ's Wholesale Club, Inc.*........................ 62,872
1,900 Blockbuster, Inc., Class A Shares................. 17,813
10,562 CDW Computer Centers, Inc.*....................... 776,307
28,548 Circuit City Stores, Inc. ........................ 740,464
11,274 Consolidated Stores Corp.*........................ 153,608
240,072 Costco Wholesale Corp. ........................... 8,267,479
27,872 CVS Corp. ........................................ 1,034,748
34,698 Dollar General Corp. ............................. 713,478
91,677 Dollar Tree Stores, Inc.*......................... 3,718,648
22,428 Family Dollar Stores, Inc. ....................... 403,704
116,579 The Gap, Inc. .................................... 2,615,741
955,774 Home Depot, Inc. ................................. 45,936,888
17,842 Intimate Brands, Inc. ............................ 287,702
166,754 Kohl's Corp.*+.................................... 9,338,224
11,140 The Limited, Inc. ................................ 222,800
188,923 Lowe's Cos., Inc. ................................ 8,466,112
3,700 MSC Industrial Direct Co., Inc. .................. 60,125
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Retail -- 5.0% (continued)
5,411 Office Depot, Inc.*............................... $ 39,568
2,477 Outback Steakhouse, Inc.*......................... 56,816
39,568 RadioShack Corp. ................................. 2,334,512
64,532 Staples, Inc.*.................................... 992,180
36,160 Starbucks Corp.*.................................. 1,324,360
600 Talbots, Inc. +................................... 40,163
32,634 Target Corp. ..................................... 758,741
19,972 Tiffany & Co. .................................... 831,334
30,746 TJX Cos., Inc. ................................... 578,409
10,299 Tricon Global Restaurants*........................ 299,958
185,423 Walgreen Co. ..................................... 6,095,781
800,305 Wal-Mart Stores, Inc. ............................ 37,964,468
7,018 Williams Sonoma, Inc.*............................ 252,209
--------------
137,617,439
--------------
Semiconductors -- 14.7%
38,318 Advanced Micro Devices............................ 1,441,715
7,700 Alpha Industries, Inc. ........................... 388,369
84,366 Altera Corp.*+.................................... 5,467,971
23,300 Amkor Technology, Inc. +.......................... 795,113
313,782 Analog Devices, Inc.*............................. 31,535,091
466,986 Applied Materials, Inc.*.......................... 40,306,729
48,284 Applied Micro Circuits Corp.*..................... 9,798,634
81,708 Atmel Corp.*+..................................... 1,634,160
29,480 Broadcom Corp., Class A Shares*+.................. 7,370,000
43,792 Conexant Systems, Inc.*+.......................... 1,628,515
10,500 Credence Systems Corp. ........................... 614,906
6,000 Cree, Inc. ....................................... 826,500
20,900 Cypress Semiconductor Corp.+...................... 1,033,244
8,400 Dallas Semiconductor Corp. ....................... 347,550
12,000 Fairchild Semiconductor International, Inc. ...... 477,000
6,900 GlobeSpan, Inc. .................................. 831,019
21,900 Integrated Device Technology, Inc.+............... 1,921,725
2,078,898 Intel Corp. ...................................... 155,657,488
10,300 International Rectifier Corp. .................... 648,256
4,300 Intersil Holding Corp. ........................... 232,200
37,192 KLA-Tencor Corp.*+................................ 2,440,725
13,300 Kopin Corp. ...................................... 444,719
26,400 Lam Research Corp.+............................... 795,300
7,900 Lattice Semiconductor Corp.+...................... 615,213
65,122 Linear Technology Corp. .......................... 4,684,714
64,968 LSI Logic Corp.*+................................. 2,334,788
450,220 Maxim Integrated Products, Inc. .................. 39,478,666
12,300 Micrel, Inc. ..................................... 940,181
101,176 Micron Technologies, Inc. ........................ 8,271,138
37,400 National Semiconductor Corp. ..................... 1,664,300
27,592 Novellus Systems, Inc.*........................... 1,698,632
5,800 ON Semiconductor Corp. ........................... 98,600
32,778 PMC-Sierra, Inc.*+................................ 7,735,608
141,352 QLogic Corp.*..................................... 16,043,452
16,400 Rambus Inc.*+..................................... 1,339,675
6,900 Semtech Corp.+.................................... 817,219
700 Silicon Laboratories, Inc. ....................... 42,262
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Semiconductors -- 14.7% (continued)
1,200 Siliconix Inc. ................................... $ 67,050
36,720 Teradyne, Inc.+................................... 2,379,915
543,238 Texas Instruments, Inc. .......................... 36,362,994
17,200 Transwitch Corp. ................................. 1,035,225
13,500 TriQuint Semiconductor, Inc. ..................... 746,719
5,700 Virata Corp. ..................................... 391,875
34,792 Vitesse Semiconductors Corp. ..................... 3,089,964
59,534 Xilinx, Inc.*..................................... 5,291,084
--------------
401,766,203
--------------
Software -- 10.8%
13,358 Acxiom Corp.*..................................... 340,629
95,434 Adobe Systems, Inc. .............................. 12,406,420
35,300 Agile Software Corp.*+............................ 2,451,144
8,800 Akamai Technologies, Inc.*+....................... 664,950
6,300 Alteon Websystems, Inc.*.......................... 932,400
7,400 American Management Systems, Inc.*................ 138,288
81,400 Ariba, Inc.*+..................................... 12,810,325
11,200 Art Technology Group, Inc.*....................... 1,141,700
1,100 AsiaInfo Holdings, Inc.*.......................... 34,650
2,996 Autodesk, Inc. ................................... 84,263
95,352 Automatic Data Processing......................... 5,685,363
79,412 BEA Systems, Inc.*+............................... 5,404,979
52,270 BMC Software, Inc.*............................... 1,411,290
38,000 BroadVision, Inc.*................................ 1,311,000
2,800 CacheFlow Inc.*................................... 306,250
13,970 Cadence Design System, Inc.*+..................... 296,863
8,622 CheckFree Corp.*.................................. 446,727
6,900 ChoicePoint, Inc.*................................ 323,438
36,864 Citrix Systems, Inc.*............................. 811,008
34,100 Commerce One, Inc.*+.............................. 2,132,316
97,263 Computer Associates International, Inc. .......... 3,088,100
39,708 Compuware Corp.*.................................. 419,416
10,993 CSG Systems International, Inc.*.................. 496,746
4,900 Digex, Inc.*+..................................... 414,969
4,800 E.piphany, Inc.*+................................. 499,200
12,121 Electronic Arts, Inc.*+........................... 1,308,310
6,700 Engage, Inc.*..................................... 95,056
87,248 Exodus Communications, Inc.*+..................... 5,971,035
18,177 Fiserv, Inc.*..................................... 984,966
12,252 Healtheon Corp.*.................................. 215,942
63,388 IMS Health, Inc. ................................. 1,196,449
16,728 Inktomi Corp.*.................................... 2,180,913
14,800 InterNAP Network Services Corp.*.................. 532,800
24,812 Intuit, Inc.*..................................... 1,485,619
20,132 i2 Technologies, Inc.*............................ 3,406,083
16,200 Kana Communications, Inc.*........................ 650,025
7,910 Keane, Inc. ...................................... 136,942
7,400 Liberate Technologies, Inc.*...................... 227,550
11,050 Macromedia, Inc.*................................. 763,659
16,900 Mercury Interactive Corp.*........................ 2,064,969
7,300 Micromuse, Inc.*.................................. 1,108,687
1,116,272 Microsoft Corp.*.................................. 77,929,739
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Software -- 10.8% (continued)
5,300 National Instruments Corp.*....................... $ 228,894
22,365 Networks Associates, Inc.*........................ 578,694
3,476 NorthPoint Communications*........................ 39,757
19,311 Novell, Inc.*..................................... 236,560
9,400 NVIDIA Corp.*..................................... 746,125
571,376 Oracle Corp.*..................................... 51,959,505
40,053 Parametric Technology Corp.*...................... 535,709
31,141 PeopleSoft, Inc.*................................. 1,004,297
29,600 Peregrine Systems, Inc.*.......................... 945,350
3,500 Phone.com, Inc.*+................................. 323,531
19,280 Portal Software, Inc.*............................ 1,065,220
6,000 Proxicom, Inc.*................................... 145,125
30,074 PSINet, Inc.*+.................................... 528,175
4,100 Quest Software, Inc.*............................. 211,662
19,460 Rational Software Corp.*+......................... 2,504,259
14,192 RealNetworks, Inc.*............................... 690,973
14,200 Red Hat, Inc.*+................................... 356,775
6,622 Scient Corp.*+.................................... 179,208
7,863 SEI Investments Co. .............................. 499,300
264,628 Siebel Systems, Inc.*............................. 52,346,726
6,600 Software.com, Inc.*+.............................. 960,712
11,833 Symantec Corp.*+.................................. 577,598
26,400 TIBCO Software, Inc.*+............................ 2,691,150
7,865 Total System Services, Inc. ...................... 129,772
5,000 USinternetworking, Inc.*+......................... 51,562
1,700 VA Linux Systems, Inc.*+.......................... 93,500
100,212 VeriSign, Inc.*+.................................. 19,929,661
42,248 Vignette Corp.*................................... 1,610,705
14,000 Vitria Technology, Inc.*.......................... 658,000
2,300 webMethods, Inc.*+................................ 247,106
12,700 Wind River Systems, Inc.*......................... 517,525
--------------
296,904,314
--------------
Telecommunication Equipment -- 18.1%
47,958 3Com Corp.*....................................... 797,302
3,926 Adaptec, Inc.*.................................... 96,187
149,432 ADC Telecommunications, Inc.*..................... 6,117,373
3,900 ADTRAN, Inc.*..................................... 208,894
14,100 Advanced Fibre Communications, Inc.*.............. 745,317
4,400 Aether Systems, Inc.*............................. 609,400
22,817 Allegiance Telecom, Inc.*......................... 1,136,572
7,040 ALLTEL Corp. ..................................... 355,960
90,000 Amdocs Ltd.*...................................... 6,429,375
14,714 American Tower Corp., Class A Shares+............. 534,302
10,300 Andrew Corp.*..................................... 305,138
4,100 Antec Corp.*+..................................... 147,856
8,900 Aspect Communications Corp.*...................... 200,806
36,300 AT&T Wireless Group*.............................. 950,606
1,300 Avanex Corporation.*+............................. 196,909
14,584 Cabletron Systems, Inc.*.......................... 545,989
95,456 CIENA Corp.*+..................................... 21,161,402
2,430,288 Cisco Systems, Inc.*.............................. 166,474,728
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Telecommunication Equipment -- 18.1% (continued)
8,400 Commscope, Inc.*.................................. $ 209,475
33,660 Comverse Technology, Inc.*+....................... 3,094,616
9,142 Copper Mountain Networks, Inc.*+.................. 547,949
169,970 Corning, Inc.+.................................... 55,739,537
2,300 Digital Lightwave, Inc.*+......................... 201,825
4,500 Ditech Communications Corp.*...................... 265,500
15,500 DMC Stratex Networks, Inc.*....................... 396,219
2,400 Dobson Communications Corp.*...................... 51,750
20,520 EchoStar Communications Corp., Class A Shares*.... 1,000,350
5,800 Efficient Networks, Inc.*......................... 311,659
7,700 Emulex Corp.*..................................... 806,094
408,000 Ericsson LM Telephone -- Sponsored ADR+........... 8,364,000
9,918 Extreme Networks, Inc.*........................... 922,994
17,800 Finisar Corp.*+................................... 825,475
3,200 Focal Communication Corp.*........................ 99,000
13,700 Foundry Networks, Inc.*+.......................... 1,274,956
108,759 General Motors, Class H Shares.................... 3,602,642
41,640 Global Telesystems Group, Inc.*................... 359,145
10,500 Harmonic, Inc.*................................... 351,750
2,000 Harris Corp. ..................................... 60,125
1,700 Inet Technologies, Inc.*.......................... 68,638
9,000 Infonet Services Corp.*........................... 117,562
285,220 JDS Uniphase Corp.*+.............................. 35,505,433
43,100 Juniper Networks, Inc.*........................... 9,212,625
40,327 Level 3 Communications, Inc.*+.................... 3,517,901
828,255 Lucent Technologies, Inc. ........................ 34,631,412
4,000 MasTec, Inc.*..................................... 144,000
320,912 McLeodUSA, Inc., Class A Shares*+................. 5,074,421
62,796 Metromedia Fiber Network, Inc., Class A Shares*... 2,507,915
198,701 Motorola, Inc. ................................... 7,165,655
109,372 Network Appliance, Inc.*.......................... 12,796,524
900 New Focus, Inc.*.................................. 124,256
6,400 Newport Corp. .................................... 1,017,600
3,400 Next Level Communications, Inc.*.................. 150,025
216,086 Nextel Communications, Inc.*...................... 11,979,268
41,820 NEXTLINK Communications, Inc., Class A Shares*+... 1,466,314
328,000 Nokia Corp. -- Sponsored ADR, Class A shares+..... 14,739,500
119,518 Palm, Inc.*....................................... 5,258,792
2,484 PanAmSat Corp.*................................... 80,575
5,500 Powertel, Inc.*+.................................. 429,000
9,200 Powerwave Technologies, Inc.*..................... 442,750
140,868 QUALCOMM, Inc.*................................... 8,434,471
96,009 Qwest Communications International, Inc.*......... 4,956,465
24,440 RF Micro Devices, Inc.*+.......................... 1,090,635
33,744 Scientific-Atlanta, Inc. ......................... 2,629,923
26,610 SDL, Inc.*+....................................... 10,572,486
900 Sonus Networks, Inc.*+............................ 149,737
108,712 Sprint Corp. (PCS Group)*+........................ 5,455,983
58,600 Sycamore Networks, Inc.*+......................... 8,057,500
9,300 TEKELEC*+......................................... 367,350
2,900 TeleCorp PCS, Inc.*+.............................. 102,225
72,637 Tellabs, Inc.*.................................... 4,081,291
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
Schedules of Investments
(continued)
Large Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Telecommunication Equipment -- 18.1% (continued)
7,800 Terayon Communication Systems, Inc.*+............ $ 432,900
11,553 Time Warner Telecom, Inc., Class A Shares*....... 750,223
1,100 Tritel, Inc.*.................................... 28,737
7,400 Triton PCS Holdings, Inc.*....................... 409,775
1,200 Turnstone Systems, Inc.*+........................ 70,650
1,308 United States Cellular Corp.*+................... 96,220
45,120 VoiceStream Wireless Corp.*+..................... 5,078,820
1,700 West Teleservices Corp.*......................... 40,375
12,165 Western Wireless Corp., Class A Shares*+......... 621,936
6,900 Williams Communications Group, Inc.*+............ 202,687
18,839 WinStar Communications, Inc.*+................... 506,298
260,666 WorldCom, Inc.*.................................. 9,514,309
--------------
495,580,339
--------------
Textiles -- 0.0%
24,915 Cintas Corp.+.................................... 1,035,530
--------------
Tobacco -- 0.0%
12,445 UST, Inc. ....................................... 269,123
--------------
Transportation -- 0.0%
7,100 C.H. Robinson Worldwide, Inc. ................... 420,231
8,980 Expeditors International of Washington, Inc. .... 440,020
6,540 Kansas City Southern Industries, Inc. ........... 60,490
1,300 United Parcel Service, Inc. ..................... 72,069
--------------
992,810
--------------
TOTAL COMMON STOCK
(Cost -- $1,493,517,832)......................... 2,668,210,411
--------------
<CAPTION>
Face Amount
-----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 0.1%
$ 3,700,000 U.S. Treasury Bills, 5.780% due 9/21/00++
(Cost -- $3,688,407)............................ 3,688,407
--------------
SUB-TOTAL INVESTMENTS
(Cost -- $1,497,206,239)......................... 2,671,898,818
--------------
REPURCHASE AGREEMENT -- 2.5%
67,296,000 J.P. Morgan Securities Inc., 6.600% due 9/1/00;
Proceeds at maturity -- $67,308,338; (Fully
collateralized by U.S. Treasury Notes & Bonds,
4.250% to 13.375% due 3/31/01 to 8/15/26; Market
value -- $70,099,069) (Cost -- $67,296,000)..... 67,296,000
--------------
TOTAL INVESTMENTS -- 100%
(Cost -- $1,564,502,239**)....................... $2,739,194,818
==============
</TABLE>
------
* Non-income producing security.
+ All or a portion of this security is on loan (See Note 13).
++ All or a portion of this security is segregated for futures contracts com-
mitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
56
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
COMMON STOCK -- 90.2%
Advertising -- 0.2%
727 Interpublic Group Cos., Inc. .......................... $ 27,808
416 Omnicom Group Inc. .................................... 34,710
185 Young & Rubicam, Inc. ................................. 10,823
-----------
73,341
-----------
Aerospace/Defense -- 0.8%
249 The B.F. Goodrich, Co. ................................ 10,162
2,198 The Boeing Co. ........................................ 117,868
490 General Dynamics Corp. ................................ 30,839
1,038 Lockheed Martin Corp. ................................. 29,453
164 Northrop Grumman Corp. ................................ 12,761
821 Raytheon Co., Class B Shares........................... 22,834
1,143 United Technologies Corp. ............................. 71,366
-----------
295,283
-----------
Airlines -- 0.2%
346 AMR Corp. ............................................. 11,353
307 Delta Air Lines, Inc. ................................. 15,197
1,199 Southwest Airlines Co. ................................ 27,127
164 US Airways Group, Inc. ................................ 5,576
-----------
59,253
-----------
Apparel -- 0.1%
132 Liz Claiborne, Inc. ................................... 5,800
659 NIKE, Inc., Class B Shares............................. 26,072
94 Reebok International, Ltd. ............................ 1,804
79 Russell Corp. ......................................... 1,506
263 V.F. Corp. ............................................ 6,016
-----------
41,198
-----------
Auto Manufacturers -- 0.6%
4,529 Ford Motor Co. ........................................ 109,545
1,290 General Motors Corp. .................................. 93,122
164 Navistar International Corp. .......................... 6,150
201 PACCAR Inc. ........................................... 8,530
-----------
217,347
-----------
Auto Parts & Equipment -- 0.2%
203 Cooper Tire & Rubber Co. .............................. 2,449
386 Dana Corp. ............................................ 9,529
1,308 Delphi Automotive Systems Corp. ....................... 21,500
361 The Goodyear Tire & Rubber Co. ........................ 8,438
314 TRW Inc. .............................................. 14,346
266 Visteon Corp. ......................................... 4,173
-----------
60,435
-----------
Banks -- 4.3%
963 AmSouth Bancorporation................................. 17,575
4,010 Bank of America Corp. ................................. 214,786
1,785 The Bank of New York Co., Inc. ........................ 93,601
2,777 Bank One Corp. ........................................ 97,889
949 BB&T Corp. ............................................ 25,682
</TABLE>
See Notes to Financial Statements.
57
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Banks -- 4.3% (continued)
3,148 The Chase Manhattan Corp. ............................. $ 175,895
382 Comerica Inc. ......................................... 21,511
1,128 Fifth Third Bancorp.................................... 52,100
2,374 First Union Corp. ..................................... 68,698
2,350 Firstar Corp. ......................................... 56,106
2,179 FleetBoston Financial Corp. ........................... 93,016
598 Huntington Bancshares Inc. ............................ 10,091
1,006 KeyCorp................................................ 20,309
1,185 Mellon Financial Corp. ................................ 53,621
1,470 National City Corp. ................................... 30,778
540 Northern Trust Corp. .................................. 45,529
355 Old Kent Financial Corp. .............................. 10,406
705 PNC Financial Services Group........................... 41,551
563 Regions Financial Corp. ............................... 12,245
427 SouthTrust Corp. ...................................... 12,036
393 State Street Corp. .................................... 46,276
448 Summit Bancorp......................................... 12,404
734 SunTrust Banks, Inc. .................................. 36,241
711 Synovus Financial Corp. ............................... 13,998
1,818 U.S. Bancorp........................................... 39,542
340 Union Planters Corp. .................................. 10,306
494 Wachovia Corp. ........................................ 28,312
3,898 Wells Fargo & Co. ..................................... 168,345
-----------
1,508,849
-----------
Beverages -- 1.7%
73 Adolph Coors Co., Class B Shares....................... 4,348
1,088 Anheuser-Busch Cos., Inc. ............................. 85,748
161 Brown-Forman Corp., Class B Shares..................... 8,533
5,987 The Coca-Cola Co. ..................................... 315,066
1,019 Coca-Cola Enterprises Inc.............................. 18,979
3,485 PepsiCo, Inc. ......................................... 148,548
-----------
581,222
-----------
Biotechnology -- 0.6%
2,482 Amgen, Inc. ........................................... 188,167
346 Biogen, Inc.*.......................................... 23,917
-----------
212,084
-----------
Building Materials -- 0.1%
95 Armstrong Holdings, Inc. .............................. 1,514
1,095 Masco Corp. ........................................... 21,353
149 Owens Corning.......................................... 773
258 Vulcan Materials Co. .................................. 11,433
-----------
35,073
-----------
Chemicals -- 0.8%
555 Air Products & Chemicals, Inc. ........................ 20,153
158 Ashland Inc. .......................................... 5,570
1,637 The Dow Chemical Co. .................................. 42,869
2,533 E.I. du Pont de Nemours & Co. ......................... 113,669
181 Eastman Chemical Co. .................................. 7,806
338 Engelhard Corp. ....................................... 6,338
117 Great Lakes Chemical Corp. ............................ 3,949
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Chemicals -- 0.8% (continued)
288 Hercules Inc. ......................................... $ 3,816
435 PPG Industries, Inc. .................................. 17,618
359 Praxair, Inc. ......................................... 15,886
503 Rohm & Haas Co. ....................................... 14,556
380 Scherwin-Williams Co. ................................. 8,740
225 Sigma Aldrich Corp..................................... 6,539
342 Union Carbide Corp. ................................... 13,701
174 W.R. Grace & Co.*...................................... 1,381
-----------
282,591
-----------
Commercial Services -- 0.4%
1,751 Cendant Corp. ......................................... 23,091
350 Convergys Corp.*....................................... 13,694
196 Deluxe Corp. .......................................... 4,312
375 The Dun & Bradstreet, Corp. ........................... 12,375
329 Ecolab Inc. ........................................... 12,810
365 Equifax Inc. .......................................... 9,285
222 H&R Block, Inc. ....................................... 7,964
647 McKesson HBOC, Inc. ................................... 16,135
900 Paycheck, Inc. ........................................ 40,163
310 Quintiles Transnational Corp.*......................... 4,321
289 R.R. Donnelley & Sons Co. ............................. 7,442
-----------
151,592
-----------
Computers -- 7.6%
784 Apple Computer, Inc. .................................. 47,775
335 Ceridian Corp. ........................................ 8,103
4,111 Compaq Computer Corp. ................................. 140,031
405 Computer Sciences Corp. ............................... 32,020
6,220 Dell Computer Corp.*................................... 271,348
1,128 Electronic Data Systems Corp. ......................... 56,189
5,240 EMC Corp. ............................................. 513,520
784 Gateway, Inc.*......................................... 53,390
2,422 Hewlett-Packard Co. ................................... 292,457
4,286 International Business Machines Corp. ................. 565,752
303 Lexmark International, Inc., Class A Shares*........... 20,547
247 NCR Corp.*............................................. 9,973
282 Sapient Corp.*......................................... 14,805
550 Seagate Technology, Inc.*.............................. 32,656
3,835 Sun Microsystems, Inc.*................................ 486,805
805 Unisys Corp. .......................................... 10,465
946 Veritas Software Corp.*................................ 114,052
-----------
2,669,888
-----------
Cosmetics/Personal Care -- 1.3%
152 Alberto Culver Co., Class B Shares..................... 4,304
576 Avon Products, Inc. ................................... 22,572
1,392 Colgate Palmolive Co. ................................. 70,905
2,530 The Gillette Co. ...................................... 75,900
234 International Flavors & Fragrances Inc. ............... 6,026
1,341 Kimberly-Clark Corp. .................................. 78,449
3,159 The Procter & Gamble Co. .............................. 195,266
-----------
453,422
-----------
</TABLE>
See Notes to Financial Statements.
59
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Distribution/Wholesale -- 0.2%
1,078 Costco Wholesale Corp. ................................ $ 37,124
457 Genuine Parts Co. ..................................... 9,397
248 W.W. Grainger, Inc. ................................... 7,161
-----------
53,682
-----------
Diversified Financial Services -- 4.5%
3,232 American Express Co. .................................. 191,092
1,760 Associates First Capital Corp., Class A Shares......... 49,500
279 Bear Stearns Co., Inc. ................................ 18,710
670 C.I.T. Group Inc., Class A Shares...................... 11,725
476 Capital One Financial Corp. ........................... 28,709
4,716 Citigroup Inc.+........................................ 275,297
289 Countrywide Credit Industries, Inc. ................... 10,946
2,435 Fannie Mae............................................. 130,881
595 Franklin Resources, Inc. .............................. 22,610
1,684 Freddie Mac............................................ 70,939
1,146 Household International, Inc. ......................... 55,008
393 J.P. Morgan & Co. ..................................... 65,705
289 Lehman Brothers Holdings, Inc. ........................ 41,905
2,056 MBNA Corp. ............................................ 72,603
935 Merrill Lynch & Co., Inc. ............................. 135,575
2,732 Morgan Stanley Dean Witter & Co. ...................... 293,861
339 PaineWebber Group, Inc. ............................... 24,239
347 Providian Financial Corp. ............................. 39,883
520 Stilwell Financial, Inc.*.............................. 25,155
309 T. Rowe Price Associates, Inc. ........................ 13,982
359 USA Education Inc. .................................... 14,068
-----------
1,592,393
-----------
Electric -- 1.7%
1,106 AES Corp. ............................................. 70,508
313 Ameren Corp. .......................................... 12,657
785 American Electric Power Co., Inc. ..................... 27,671
369 CINergy Corp. ......................................... 10,839
286 CMS Energy Corp. ...................................... 7,472
489 Consolidated Edison, Inc. ............................. 15,312
340 Constellation Energy Group............................. 13,005
401 CP&L Energy, Inc. ..................................... 14,837
553 Dominion Resources, Inc. .............................. 29,309
366 DTE Energy Co. ........................................ 12,719
885 Duke Energy Corp. ..................................... 66,209
771 Edison International................................... 15,950
528 Entergy Corp. ......................................... 16,071
577 FirstEnergy Corp. ..................................... 14,281
232 Florida Progress Corp. ................................ 12,035
431 FPL Group, Inc. ....................................... 23,005
280 GPU, Inc. ............................................. 8,575
386 Niagara Mohawk Holdings, Inc. ......................... 4,970
387 PECO Energy Co. ....................................... 18,649
931 PG&E Corp. ............................................ 26,941
221 Pinnacle West Capital Corp. ........................... 9,102
372 PPL Corp. ............................................. 12,462
502 Public Service Enterprise Group........................ 18,198
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Electric -- 1.7% (continued)
719 Reliant Energy, Inc. .................................. $ 26,693
1,570 Southern Co. .......................................... 47,002
637 TXU Corp. ............................................. 22,255
409 Unicom Corp. .......................................... 18,686
817 Xcel Energy, Inc. ..................................... 20,476
-----------
595,889
-----------
Electrical Components & Equipment -- 0.3%
450 American Power Conversion*............................. 10,716
1,028 Emerson Electric Co. .................................. 68,041
454 Molex Inc. ............................................ 23,977
-----------
102,734
-----------
Electronics -- 0.8%
1,098 Agilent Technologies, Inc.*............................ 66,223
193 Johnson Controls, Inc. ................................ 10,313
100 Millipore Corp. ....................................... 6,088
255 Parker Hannifin Corp. ................................. 8,877
505 PE Corp. (PE Biosystems Group)......................... 49,679
107 Perkin-Elmer, Inc. .................................... 9,623
360 Sanmina Corp.*......................................... 42,480
1,443 Solectron Corp.*....................................... 65,386
105 Tektronix, Inc. ....................................... 8,000
417 Thermo Electron Corp. ................................. 9,695
108 Thomas & Betts Corp. .................................. 2,025
-----------
278,389
-----------
Engineering & Construction -- 0.0%
204 Fluor Corp. ........................................... 6,107
-----------
Environmental Control -- 0.1%
501 Allied Waste Industries, Inc.*......................... 4,603
1,506 Waste Management, Inc. ................................ 28,520
-----------
33,123
-----------
Food -- 1.6%
1,023 Albertson's, Inc. ..................................... 21,995
1,582 Archer-Daniels-Midland Co. ............................ 13,944
663 Bestfoods.............................................. 46,824
1,028 Campbell Soup Co. ..................................... 26,086
1,285 ConAgra Foods, Inc. ................................... 23,532
710 General Mills, Inc. ................................... 22,809
851 H.J. Heinz & Co. ...................................... 32,444
346 Hershey Foods Corp. ................................... 14,770
987 Kellogg Co. ........................................... 22,886
2,017 Kroger Co. ............................................ 45,761
794 Nabisco Group Holdings Corp. .......................... 22,282
301 Quaker Oats Co. ....................................... 20,449
708 Ralston-Ralston Purina Group........................... 16,019
1,201 Safeway, Inc.*......................................... 59,224
2,105 Sara Lee Corp. ........................................ 39,206
309 SUPERVALU Inc. ........................................ 4,616
805 SYSCO Corp. ........................................... 34,062
1,388 Unilever N.V. ADR...................................... 65,583
</TABLE>
See Notes to Financial Statements.
61
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Food -- 1.6% (continued)
390 Winn-Dixie Stores, Inc. ............................... $ 5,436
287 Wm. Wrigley Jr., Co. .................................. 21,256
-----------
559,184
-----------
Forest Products & Paper -- 0.4%
156 Boise Cascade Corp. ................................... 4,661
476 Fort James Corp. ...................................... 15,054
436 Georgia-Pacific Group.................................. 11,663
1,175 International Paper Co. ............................... 37,453
188 Louisiana-Pacific Corp. ............................... 1,986
236 Mead Corp. ............................................ 6,328
52 Potlatch Corp. ........................................ 1,749
129 Temple-Inland, Inc. ................................... 5,474
229 Westvaco Corp. ........................................ 6,269
542 Weyerhaeuser Co. ...................................... 25,101
254 Willamette Industries, Inc. ........................... 7,747
-----------
123,485
-----------
Gas -- 0.1%
54 Eastern Enterprises.................................... 3,416
320 KeySpan Corp. ......................................... 11,020
125 NICOR Inc. ............................................ 4,609
58 Oneok, Inc. ........................................... 1,852
91 Peoples Energy Corp. .................................. 2,958
529 Sempra Energy.......................................... 10,316
-----------
34,171
-----------
Hand/Machine Tools -- 0.1%
198 Black & Decker Corp. .................................. 7,932
160 Snap-On Inc. .......................................... 4,930
196 The Stanley Works...................................... 5,243
-----------
18,105
-----------
Health Care -- 2.2%
140 Bausch & Lomb, Inc. ................................... 5,005
699 Baxter International, Inc. ............................ 58,192
584 Becton Dickinson & Co. ................................ 17,593
402 Biomet, Inc. .......................................... 13,593
945 Boston Scientific Corp.*............................... 17,896
137 C.R. Bard, Inc. ....................................... 6,687
746 Guidant Corp. ......................................... 50,215
1,347 The Healthcare Co. .................................... 46,472
888 HEALTHSOUTH Corp.*..................................... 5,439
435 Humana Inc. ........................................... 3,725
3,360 Johnson & Johnson...................................... 308,910
151 Mallinckrodt, Inc. .................................... 6,804
262 Manor Care, Inc.*...................................... 3,504
2,894 Medtronic, Inc. ....................................... 148,318
219 St. Jude Medical, Inc. ................................ 8,678
760 Tenet Healthcare Corp.*................................ 23,560
393 UnitedHealthCare Group Inc. ........................... 37,139
146 Wellpoint Health Networks Inc.*........................ 12,602
-----------
774,332
-----------
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Home Builders -- 0.0%
153 Centex Corp. .......................................... $ 4,418
128 Kaufman & Broad Home Corp. ............................ 3,176
113 Pulte Corp. ........................................... 3,722
-----------
11,316
-----------
Home Furnishings -- 0.1%
454 Leggett & Platt, Inc. ................................. 8,030
193 Maytag Corp. .......................................... 7,358
179 Whirlpool Corp. ....................................... 6,802
-----------
22,190
-----------
Household Products -- 0.1%
169 American Greetings, Class A Shares..................... 3,148
257 Avery Dennison Corp. .................................. 13,894
547 Clorox Co. ............................................ 19,795
385 Fortune Brands, Inc. .................................. 9,818
168 Tupperware Corp. ...................................... 3,392
-----------
50,047
-----------
Housewares -- 0.1%
614 Newell Rubbermaid, Inc. ............................... 15,926
-----------
Insurance -- 2.9%
325 Aetna, Inc. ........................................... 18,180
639 AFLAC, Inc. ........................................... 34,506
1,798 Allstate Corp. ........................................ 52,254
600 American General Corp. ................................ 43,688
5,584 American International Group, Inc. .................... 497,674
620 Aon Corp. ............................................. 23,134
422 Chubb Corp. ........................................... 32,309
398 CIGNA Corp. ........................................... 38,706
405 Cincinnati Financial Corp. ............................ 15,744
751 Conseco, Inc. ......................................... 6,337
522 The Hartford Financial Services Group, Inc. ........... 34,778
234 Jefferson-Pilot Corp. ................................. 15,488
444 Lincoln National Corp. ................................ 23,976
226 Loews Corp. ........................................... 18,292
651 Marsh & McLennan Cos., Inc. ........................... 77,306
227 MBIA, Inc. ............................................ 14,926
245 MGIC Investment Corp. ................................. 14,409
165 Progressive Corp. ..................................... 12,509
330 SAFECO Corp. .......................................... 8,683
490 St. Paul Cos. ......................................... 23,336
295 Torchmark Corp. ....................................... 8,278
608 UnumProvident Corp. ................................... 13,186
-----------
1,027,699
-----------
Internet -- 1.7%
5,558 America Online, Inc. .................................. 325,838
3,290 The Charles Schwab Corp. .............................. 125,637
1,316 Yahoo! Inc.*........................................... 159,894
-----------
611,369
-----------
</TABLE>
See Notes to Financial Statements.
63
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Iron/Steel -- 0.0%
197 Allegheny Technologies, Inc. .......................... $ 4,285
466 Bethlehem Steel Corp. ................................. 1,631
198 Nucor Corp. ........................................... 7,277
172 USX-U.S. Steel Group................................... 2,989
-----------
16,182
-----------
Leisure Time -- 0.2%
242 Brunswick Corp. ....................................... 4,538
1,465 Carnival Corp. ........................................ 29,208
741 Harley Davidson, Inc. ................................. 36,911
299 Sabre Holdings Corp. .................................. 8,335
-----------
78,992
-----------
Lodging -- 0.1%
299 Harrah's Entertainment, Inc. .......................... 8,484
855 Hilton Hotels Corp. ................................... 8,550
583 Marriott International, Inc., Class A Shares........... 23,029
-----------
40,063
-----------
Machinery - Construction & Mining -- 0.1%
845 Caterpillar Inc. ...................................... 31,054
-----------
Machinery - Diversified -- 0.2%
61 Briggs & Stratton...................................... 2,638
108 Cummins Engine......................................... 3,834
570 Deere & Co. ........................................... 18,774
496 Dover Corp. ........................................... 24,242
373 Ingersoll-Rand Co. .................................... 16,995
97 McDermott International, Inc. ......................... 746
434 Rockwell International Corp. .......................... 17,550
-----------
84,779
-----------
Media -- 3.1%
1,411 Clear Channel Communications, Inc. .................... 102,137
2,170 Comcast Corp., Special Class A Shares.................. 80,833
207 Dow Jones & Co, Inc. .................................. 12,950
647 Gannett Co. ........................................... 36,636
169 Harcourt General, Inc. ................................ 10,024
198 Knight Ridder, Inc. ................................... 10,816
455 McGraw-Hill Cos., Inc. ................................ 28,182
109 Meredith Corp. ........................................ 2,977
427 New York Times Co., Class A Shares..................... 16,733
1,053 Seagram Co., Ltd. ..................................... 63,377
3,178 Time Warner, Inc. ..................................... 271,719
713 Tribune Co. ........................................... 25,445
3,691 Viacom Inc., Class B Shares*........................... 248,450
5,026 The Walt Disney Co. ................................... 195,700
-----------
1,105,979
-----------
Metal Fabricate/Hardware -- 0.0%
161 Timken Co. ............................................ 2,626
234 Worthington Industries, Inc. .......................... 2,442
-----------
5,068
-----------
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Mining -- 0.4%
505 Alcan Aluminum Ltd. ................................... $ 16,570
2,092 Alcoa, Inc. ........................................... 69,559
913 Barrick Gold Corp. .................................... 14,551
303 Freeport-McMoRan Copper & Gold, Inc., Class B Shares... 2,973
500 Homestake Mining Co. .................................. 2,781
444 Inco Ltd. ............................................. 7,937
386 Newmont Mining Corp. .................................. 7,165
195 Phelps Dodge Corp. .................................... 8,678
862 Placer Dome Inc. ...................................... 7,650
-----------
137,864
-----------
Miscellaneous Manufacturer -- 5.6%
210 Cooper Industries, Inc. ............................... 7,416
173 Crane Co. ............................................. 4,347
328 Danaher Corp. ......................................... 18,430
751 Eastman Kodak Co. ..................................... 46,750
186 Eaton Corp. ........................................... 12,346
85 FMC Corp. ............................................. 5,764
23,904 General Electric Co.+.................................. 1,402,866
1,935 Honeywell International, Inc. ......................... 74,618
230 ITT Industries, Inc. .................................. 7,734
735 Illinois Tool Works.................................... 41,206
956 Minnesota Mining & Manufacturing Co. .................. 88,908
97 National Service Industries, Inc. ..................... 1,934
282 Pall Corp. ............................................ 6,028
120 Polaroid Corp. ........................................ 2,040
349 Textron, Inc. ......................................... 19,566
4,082 Tyco International, Ltd. .............................. 232,674
-----------
1,972,627
-----------
Office/Business Equipment -- 0.1%
629 Pitney Bowes, Inc. .................................... 22,998
1,613 Xerox Corp. ........................................... 25,909
-----------
48,907
-----------
Oil & Gas Producers -- 4.4%
229 Amerada Hess Corp. .................................... 15,672
589 Anadarko Petroleum Corp. .............................. 38,739
301 Apache Corp. .......................................... 18,963
499 Burlington Resources, Inc. ............................ 19,617
1,573 Chevron Corp. ......................................... 132,919
518 Coastal Corp. ......................................... 35,677
1,509 Conoco Inc., Class B Shares............................ 39,423
300 Devon Energy Corp. .................................... 17,569
8,413 Exxon Mobil Corp. ..................................... 686,711
214 Kerr-McGee Corp. ...................................... 13,522
851 Occidental Petroleum Corp. ............................ 18,403
620 Phillips Petroleum Co. ................................ 38,363
244 Rowan Cos., Inc. ...................................... 7,564
5,179 Royal Dutch Petroleum Co. ADR.......................... 316,890
238 Sunoco, Inc. .......................................... 6,471
1,332 Texaco, Inc. .......................................... 68,598
373 Tosco Corp. ........................................... 11,377
513 Transocean Sedco Forex Inc. ........................... 30,652
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Oil & Gas Producers -- 4.4% (continued)
606 Unocal Corp. .......................................... $ 20,225
756 USX-Marathon Group..................................... 20,743
-----------
1,558,098
-----------
Oil & Gas Services -- 0.6%
803 Baker Hughes, Inc. .................................... 29,360
1,079 Halliburton Co. ....................................... 57,187
1,374 Schlumberger, Ltd. .................................... 117,219
-----------
203,766
-----------
Packaging & Containers -- 0.1%
54 Ball Corp. ............................................ 1,870
141 Bemis Co. ............................................. 4,724
348 Crown Cork & Seal Co., Inc. ........................... 4,502
402 Owens-Illinois, Inc.*.................................. 5,251
457 Pactiv Corp.*.......................................... 5,027
197 Sealed Air Corp.*...................................... 10,109
-----------
31,483
-----------
Pharmaceuticals -- 6.6%
3,749 Abbott Laboratories.................................... 164,019
315 Allergan Inc. ......................................... 23,034
275 ALZA Corp.*............................................ 20,797
3,158 American Home Products Corp. .......................... 171,124
4,772 Bristol-Myers Squibb Co. .............................. 252,916
667 Cardinal Health, Inc. ................................. 54,569
2,725 Eli Lilly & Co. ....................................... 198,925
501 MedImmune Inc.*........................................ 42,145
5,559 Merck & Co., Inc. ..................................... 388,435
15,211 Pfizer, Inc. .......................................... 657,876
3,065 Pharmacia Corp. ....................................... 179,494
3,540 Schering-Plough Corp. ................................. 142,043
245 Watson Pharmaceuticals, Inc.*.......................... 15,113
-----------
2,310,490
-----------
Pipelines -- 0.7%
180 Columbia Energy Group.................................. 12,634
562 El Paso Energy Corp. .................................. 32,737
1,775 Enron Corp. ........................................... 150,653
1,067 Williams Cos., Inc. ................................... 49,149
-----------
245,173
-----------
Retail -- 4.2%
306 AutoZone, Inc.*........................................ 6,885
644 Bed Bath & Beyond, Inc.*............................... 11,310
499 Best Buy Co., Inc.*.................................... 30,813
950 CVS Corp. ............................................. 35,269
515 Circuit City Stores (Circuit City Group)............... 13,358
201 Consolidated Stores Corp.*............................. 2,739
284 Darden Restaurants, Inc. .............................. 5,023
209 Dillard Inc., Class A Shares........................... 2,678
758 Dollar General Corp. .................................. 15,586
546 Federated Department Stores, Inc.*..................... 15,083
2,057 The Gap Inc. .......................................... 46,154
</TABLE>
See Notes to Financial Statements.
66
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Retail -- 4.2% (continued)
5,592 Home Depot, Inc. ...................................... $ 268,766
661 J.C. Penney Co., Inc. ................................. 9,254
1,118 Kmart Corp. ........................................... 7,826
793 Kohl's Corp.*.......................................... 44,408
992 The Limited, Inc. ..................................... 19,840
103 Longs Drugs Stores Corp. .............................. 1,944
926 Lowe's Cos., Inc. ..................................... 41,496
773 May Department Stores Co. ............................. 17,731
3,235 McDonald's Corp. ...................................... 96,646
304 Nordstrom, Inc. ....................................... 5,244
713 Office Depot, Inc.*.................................... 5,214
452 RadioShack Corp. ...................................... 26,668
852 Sears, Roebuck & Co. .................................. 26,572
1,125 Staples, Inc.*......................................... 17,297
420 Starbucks Corp. ....................................... 15,383
2,210 Target Corp. .......................................... 51,383
342 Tiffany & Co. ......................................... 14,236
762 TJX Cos., Inc. ........................................ 14,335
559 Toys 'R' Us, Inc.*..................................... 10,167
365 Tricon Global Restaurants*............................. 10,631
10,773 Wal-Mart Stores, Inc. ................................. 511,044
2,435 Walgreen Co. .......................................... 80,051
258 Wendy's International, Inc. ........................... 4,870
-----------
1,485,904
-----------
Savings & Loans -- 0.2%
530 Charter One Financial, Inc. ........................... 12,588
398 Golden West Financial Corp. ........................... 18,955
1,330 Washington Mutual, Inc. ............................... 46,550
-----------
78,093
-----------
Semiconductors -- 6.8%
710 Advanced Micro Devices................................. 26,714
968 Altera Corp.*.......................................... 62,739
856 Analog Devices, Inc.*.................................. 86,028
1,955 Applied Materials, Inc.*............................... 168,741
523 Broadcom Corp.*........................................ 130,750
500 Conexant Systems, Inc.*................................ 18,594
16,188 Intel Corp.+........................................... 1,212,077
465 KLA-Tencor Corp.*...................................... 30,516
757 Linear Technology Corp. ............................... 54,457
711 LSI Logic Corp.*....................................... 25,552
684 Maxim Integrated Products*............................. 59,978
1,346 Micron Technology, Inc. ............................... 110,036
408 National Semiconductor Corp.*.......................... 18,156
330 Novellus Systems, Inc.*................................ 20,316
406 Teradyne Inc.*......................................... 26,314
4,162 Texas Instruments, Inc. ............................... 278,594
778 Xilinx, Inc.*.......................................... 69,145
-----------
2,398,707
-----------
Software -- 5.5%
295 Adobe Systems, Inc. ................................... 38,350
130 Autodesk, Inc. ........................................ 3,656
</TABLE>
See Notes to Financial Statements.
67
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Software -- 5.5% (continued)
1,518 Automatic Data Processing.............................. $ 90,511
621 BMC Software, Inc.*.................................... 16,767
472 Citrix Systems, Inc.*.................................. 10,384
1,430 Computer Associates International, Inc. ............... 45,403
829 Compuware Corp.*....................................... 8,756
999 First Data Corp. ...................................... 47,640
750 IMS Health, Inc. ...................................... 14,156
190 Mercury Interactive Corp. ............................. 23,216
12,712 Microsoft Corp.*....................................... 887,457
755 Novell, Inc.*.......................................... 9,249
6,864 Oracle Corp.*.......................................... 624,195
716 Parametric Technology Corp.*........................... 9,577
636 PeopleSoft, Inc.*...................................... 20,511
487 Siebel Systems Inc.*................................... 96,335
-----------
1,946,163
-----------
Telecommunication Equipment -- 14.7%
1,636 ADC Telecommunications, Inc.*.......................... 66,974
280 Adaptec, Inc.*......................................... 6,860
766 ALLTEL Corp. .......................................... 38,731
218 Andrew Corp.*.......................................... 6,458
9,072 AT&T Corp. ............................................ 285,768
4,544 BellSouth Corp. ....................................... 169,548
461 Cabletron Systems, Inc.*............................... 17,259
360 CenturyTel, Inc. ...................................... 10,373
16,810 Cisco Systems Inc.*+................................... 1,151,485
370 Comverse Technology Inc.*.............................. 34,017
708 Corning Inc. .......................................... 232,180
2,138 Global Crossing Ltd.*.................................. 64,274
2,250 JDS Uniphase Corp.*.................................... 280,090
7,869 Lucent Technologies Inc. .............................. 329,023
5,200 Motorola, Inc. ........................................ 187,525
737 Network Appliance Inc.*................................ 86,229
1,834 Nextel Communications, Inc.*........................... 101,672
7,161 Nortel Networks Corp. ................................. 584,069
1,365 Palm Inc.*............................................. 60,006
1,790 QUALCOMM Inc.*......................................... 107,176
3,945 Qwest Communications International*.................... 203,661
8,222 SBC Communications, Inc. .............................. 343,269
387 Scientific-Atlanta Inc. ............................... 30,162
2,121 Sprint Corp. (FON Group)............................... 71,054
2,209 Sprint Corp. (PCS Group)*.............................. 110,864
988 Tellabs Inc.*.......................................... 55,513
6,571 Verizon Communications................................. 286,660
6,919 WorldCom, Inc.*........................................ 252,544
-----------
5,173,444
-----------
Textiles -- 0.0%
39 Spring Industries, Inc., Class A Shares................ 1,165
-----------
Tobacco -- 0.5%
5,529 Philip Morris Cos., Inc. .............................. 163,797
394 UST, Inc. ............................................. 8,520
-----------
172,317
-----------
</TABLE>
See Notes to Financial Statements.
68
<PAGE>
Schedules of Investments
(continued)
S&P 500 Index Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Toys/Games/Hobbies -- 0.0%
391 Hasbro, Inc. ........................................ $ 4,814
1,074 Mattel, Inc. ........................................ 10,606
-----------
15,420
-----------
Transportation -- 0.3%
1,041 Burlington Northern Santa Fe Corp. .................. 23,292
502 CSX Corp. ........................................... 11,985
702 FedEx Corp.*......................................... 28,326
885 Norfolk Southern Corp. .............................. 14,215
575 Union Pacific Corp. ................................. 22,856
-----------
100,674
-----------
Trucking & Leasing -- 0.0%
166 Ryder Systems, Inc................................... 3,185
-----------
TOTAL COMMON STOCK
(Cost -- $29,371,411)................................ 31,797,316
-----------
<CAPTION>
Face
Amount
------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 1.1%
$ 375,000 U.S. Treasury Bills, 5.780% due 9/21/00+ (Cost --
$373,800).......................................... 373,800
-----------
SUB-TOTAL INVESTMENTS
(Cost -- 29,745,211)................................. 32,171,116
-----------
REPURCHASE AGREEMENT -- 8.7%
3,064,000 J.P. Morgan Securities Inc., 6.600% due 9/1/00;
Proceeds at maturity -- $3,064,562; (Fully
collateralized by U.S. Treasury Notes & Bonds,
4.250% to 13.375% due 3/31/01 to 8/15/26; Market
value -- $3,191,624)
(Cost -- $3,064,000)................................ 3,064,000
-----------
TOTAL INVESTMENTS -- 100%
(Cost -- $32,809,211**).............................. $35,235,116
===========
</TABLE>
------
* Non-income producing security.
+ All or a portion of this security is segregated for futures contracts com-
mitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
69
<PAGE>
Schedules of Investments
(continued)
Intermediate Fixed Income Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Amount Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES & OBLIGATIONS -- 19.8%
U.S. Treasury Obligations -- 19.8%
$ 250,000 U.S. Treasury Bills, 5.640% due
9/21/00@.............................. $ 249,217
10,100,000 U.S. Treasury Strip (Principal), due
2/15/19............................... 3,429,152
U.S. Treasury Notes:
18,500,000 5.750% due 6/30/01..................... 18,413,233
7,425,000 5.500% due 8/31/01..................... 7,366,937
2,375,000 6.625% due 4/30/02@.................... 2,388,348
9,459,597 3.375% due 7/15/02..................... 9,119,619
5,191,000 7.000% due 11/30/02@................... 5,440,791
24,444,000 7.875% due 11/15/04@................... 26,063,413
1,700,000 4.250% due 8/15/09..................... 1,732,929
10,680,000 6.000% due 8/15/09..................... 10,746,750
U.S. Treasury Inflation Indexed Bonds:
10,110,922 3.625% due 7/15/02..................... 10,076,140
1,104,000 6.750% due 11/30/02.................... 1,094,340
5,651,444 3.625% due 1/15/08@.................... 5,504,845
8,718,733 3.875% due 1/15/09#.................... 8,623,350
--------------
TOTAL U.S. GOVERNMENT AGENCIES &
OBLIGATIONS
(Cost -- $108,640,790)................. 110,249,064
--------------
<CAPTION>
Face Amount Rating(a)
----------- ---------
<C> <C> <S> <C>
CORPORATE BONDS & NOTES -- 41.6%
Aerospace/Defense -- 0.9%
5,000,000 BBB- Lockheed Martin Corp., Notes, 6.850%
due 5/15/01........................... 4,975,000
--------------
Auto Manufacturers -- 1.0%
DaimlerChrysler N.A. Holdings Corp.,
Notes:
2,000,000 A+ 7.090% due 8/23/02..................... 2,005,100
3,250,000 A+ 7.400% due 1/20/05..................... 3,266,250
--------------
5,271,350
--------------
Auto Parts & Equipment -- 1.0%
4,000,000 BBB Delphi Auto Services Corp., Notes,
6.125% due 5/1/04..................... 3,800,000
2,000,000 BBB TRW Inc., Notes, 6.625% due 6/1/04..... 1,925,000
--------------
5,725,000
--------------
Banking -- 5.5%
1,000,000 NR Banque National, Notes, 6.765% due
12/29/49.............................. 944,612
2,055,000 BBB+ BB&T Corp., Bonds, 6.375% due 6/30/05.. 1,970,231
2,000,000 A First National Bank of Boston, Sub.
Notes, 8.375% due 12/15/02............ 2,045,000
1,400,000 A First Union National Bank, Sub. Notes,
5.800% due 12/1/08.................... 1,237,250
1,675,000 A- Firstar Bank, Sub. Notes, 7.125% due
12/1/09............................... 1,631,031
430,000 A Merita Bank, Sub. Notes, 7.500% due
12/29/49.............................. 410,539
1,000,000 A- National Bank of Canada, 7.750% due
11/1/09............................... 1,007,500
2,825,000 A- National City Corp., Sub. Notes, 5.750%
due 2/1/09............................ 2,478,938
2,100,000 A National Westminster Bank, Sub. Notes,
7.750% due 4/29/49.................... 2,037,000
2,525,000 BBB+ Nordbanken, Bonds, 8.950% due
11/29/49.............................. 2,557,984
2,500,000 BBB+ Popular Inc., Notes, 6.200% due
4/30/01............................... 2,487,500
5,700,000 BBB Skand Enskilda, 6.500% due 12/29/49.... 5,451,811
1,800,000 A Societe Generale, 6.665% due 10/29/49.. 1,719,000
500,000 A- St. Georges Bank, Sub. Debentures,
7.150% due 10/15/05................... 490,240
800,000 A SunTrust Banks Inc., 7.750% 5/1/10..... 814,000
1,775,000 A+ U.S. Bank N.A., Notes, 5.625% due
11/30/05.............................. 1,639,656
1,650,000 A+ Wells Fargo & Co., Sub. Notes, 6.625%
due 7/15/04........................... 1,623,188
--------------
30,545,480
--------------
</TABLE>
See Notes to Financial Statements.
70
<PAGE>
Schedules of Investments
(continued)
Intermediate Fixed Income Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Amount Rating(a) Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Commercial Mortgage-Backed Securities -- 0.4%
$ 2,000,000 BBB Chase Mortgage Securities Corp., Notes,
7.370% due 5/19/07..................... $ 1,940,560
-------------
Commercial Services -- 0.2%
825,000 BBB+ Cox Enterprises Inc., Notes, 6.625% due
6/14/02................................ 814,688
-------------
Diversified Financial Services -- 12.6%
1,300,000 BBB+ Amvescap PLC, Company Guaranteed, 6.600%
due 5/15/05............................ 1,238,250
AT&T Capital Corp., Company Guaranteed:
2,000,000 A+ 7.500% due 11/15/00..................... 2,002,760
3,000,000 A+ 7.500% due 8/15/01...................... 2,997,834
Bear Stearns & Co., Inc., Sr. Notes:
4,700,000 A 5.239% due 5/6/02....................... 4,696,019
3,000,000 A 7.625% due 12/7/09...................... 2,955,000
Donaldson, Lufkin & Jenrette Inc., Sr.
Notes:
3,000,000 A- 6.530% due 3/15/02...................... 2,999,238
2,000,000 A- 8.000% due 3/1/05....................... 2,048,520
Finova Capital Corp., Notes:
500,000 BBB- 6.375% due 10/15/00..................... 478,140
1,075,000 BBB- 6.625% due 9/15/01...................... 829,230
1,200,000 BBB- 5.875% due 10/15/01..................... 925,500
1,000,000 BBB- 7.320% due 2/25/02...................... 770,890
2,000,000 BBB- 6.250% due 11/1/02...................... 1,452,500
Ford Motor Credit Co., Notes:
1,300,000 A 7.750% due 11/15/02..................... 1,316,250
3,325,000 A 6.700% due 7/16/04...................... 3,246,031
800,000 A 7.500% due 3/15/05...................... 800,000
2,000,000 A 7.375% due 10/28/09..................... 1,967,500
3,000,000 BBB- Fuji Finance-Cayman, 8.625% due
4/15/10................................ 3,178,179
1,650,000 AAA General Electric Capital Corp., Notes,
6.267% due 7/23/03..................... 1,623,188
6,000,000 A General Motors Acceptance Corp., Bonds,
5.250% due 4/5/04...................... 5,985,552
Goldman Sachs Group, LP, Notes:
2,000,000 A+ 7.338% due 2/19/04...................... 2,015,112
1,625,000 A+ 7.500% due 1/28/05...................... 1,635,156
1,500,000 A+ 7.350% due 10/1/09...................... 1,479,375
2,000,000 A+ 7.800% due 1/28/10...................... 2,030,000
1,000,000 BBB- Greyhound Capital Corp., 7.820% due
1/27/03................................ 694,196
3,000,000 A- Heller Financial Inc., 6.990% due
5/7/02................................. 2,991,978
Lehman Brothers Holdings, Notes:
2,500,000 A 7.678% due 4/2/02....................... 2,522,525
1,100,000 A 7.060% due 7/8/02....................... 1,100,000
4,300,000 A 7.169% due 4/4/03....................... 4,300,000
1,700,000 AA- Merrill Lynch & Co., Bonds, 6.000% due
11/15/04............................... 1,629,875
Morgan Stanley Dean Witter & Co., Notes:
1,625,000 AA- 7.125% due 1/15/03...................... 1,627,031
4,000,000 AA- 5.250% due 4/22/04...................... 4,001,960
2,400,000 BBB+ PaineWebber Group, 6.720% due 4/1/08.... 2,283,000
-------------
69,820,789
-------------
Electric -- 3.5%
4,000,000 A- Central Maine Power Co., Notes, 7.430%
due 8/25/03............................ 4,000,000
4,300,000 BBB+ Central Power & Light Co., Notes, 6.560%
due 2/22/02............................ 4,295,932
2,900,000 BBB+ Dominion Resources Inc., 6.995% due
1/26/01................................ 2,902,549
2,000,000 BBB Niagara Mohawk Power Co., Debentures,
6.875% due 4/1/03...................... 1,982,500
</TABLE>
See Notes to Financial Statements.
71
<PAGE>
Schedules of Investments
(continued)
Intermediate Fixed Income Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Amount Rating(a) Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Electric -- 3.5% (continued)
$ 6,000,000 BBB Sierra Pacific Resources, Notes, 7.340%
due 4/20/03............................ $ 5,999,556
-------------
19,180,537
-------------
Electrical Components & Equipment -- 0.1%
750,000 AA- Emerson Electric Co., Notes, 7.125% due
8/15/10................................ 749,063
-------------
Food -- 0.2%
1,500,000 BBB+ Ahold Finance U.S.A. Inc., Company
Guaranteed, 6.250% due 5/1/09.......... 1,333,125
-------------
Holding Companies - Diversified -- 0.3%
1,500,000 A Duke Capital Corp., Sr. Notes, 7.250%
due 10/1/04............................ 1,501,875
-------------
Insurance -- 2.4%
2,000,000 BBB+ American Financial Group, Debentures,
7.125% due 4/15/09..................... 1,750,000
2,000,000 BB- Conseco Inc., Notes, 8.750% due 2/9/04.. 1,250,000
1,000,000 BBB- Fairfax Financial Holdings Ltd., Notes,
6.875% due 4/15/08..................... 799,307
1,275,000 A- Florida Windstorm Underwriting
Association, Bonds, 6.700% due
8/25/04+............................... 1,243,125
1,000,000 BBB+ Lubermens Mutual Casualty, Notes, 8.300%
due 12/1/37............................ 813,750
1,325,000 BBB Markel Corp., Notes, 7.250% due
11/1/03................................ 1,301,813
6,175,000 AA- Marsh & McLennan Cos., Inc., Notes,
6.625% due 6/15/04..................... 6,036,061
-------------
13,194,056
-------------
Iron/Steel -- 0.2%
1,136,000 B+ Wheeling-Pittsburgh Corp., Sr. Notes,
9.375% due 11/15/03.................... 1,168,660
-------------
Leisure Time -- 0.4%
1,500,000 A Carnival Corp., Notes, 7.050% due
5/15/05................................ 1,447,500
900,000 BBB Royal Carribbean Cruises, Sr. Notes,
8.125% due 7/28/04..................... 869,625
-------------
2,317,125
-------------
Media -- 1.6%
1,250,000 BBB- Clear Channel Communications, Corp.,
Convertible, 1.500% due 12/1/02........ 1,237,500
3,400,000 BBB+ Houghton Mifflin Co., Notes, 6.501% due
12/1/00................................ 3,400,000
400,000 BBB- News America Holdings, Sr. Notes, 8.500%
due 2/15/05............................ 415,500
1,575,000 BBB- TCI Communications Inc., Notes, 8.650%
due 9/15/04............................ 1,647,844
1,000,000 A Times Mirror Co., Notes, 7.450% due
10/15/09............................... 1,002,500
1,300,000 A Walt Disney Co., Notes, 5.125% due
12/15/03............................... 1,228,500
-------------
8,931,844
-------------
Miscellaneous Manufacturing -- 0.3%
1,775,000 A- Tyco International Group, Notes, 6.875%
due 9/5/02............................. 1,766,125
-------------
Oil & Gas Producers -- 1.3%
Coastal Corp., Notes:
370,000 BBB 6.200% due 5/15/04...................... 357,050
550,000 BBB 7.500% due 8/15/06...................... 551,375
4,000,000 BBB- Occidental Petroleum, Sr. Notes, 6.703%
due 4/3/00............................. 3,994,160
2,600,000 BBB- Valero Energy Corp., Notes, 7.375% due
3/15/06................................ 2,561,000
-------------
7,463,585
-------------
Pharmaceuticals -- 0.5%
2,825,000 AAA Merck & Co., Medium Term Notes, 5.760%
due 5/3/37............................. 2,814,406
-------------
</TABLE>
See Notes to Financial Statements.
72
<PAGE>
Schedules of Investments
(continued)
Intermediate Fixed Income Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Amount Rating(a) Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Real Estate -- 0.7%
$ 1,250,000 BBB+ Duke Realty Ltd., Notes, 7.375% due
9/22/05............................... $ 1,229,688
2,900,000 A+ Homeside Lending Inc., Notes, 6.875%
due 6/30/02........................... 2,881,875
--------------
4,111,563
--------------
Real Estate Investment Trust (REIT) -- 3.3%
Colonial Realty LP, Notes:
1,500,000 BBB- 6.960% due 7/26/04..................... 1,436,250
1,150,000 BBB- 8.050% due 7/15/06..................... 1,121,250
3,000,000 BBB- Franchise Finance Corp., 8.680% due
1/14/04............................... 3,030,000
Highwoods Realty, Notes:
2,000,000 BBB 6.835% due 1/31/03..................... 1,927,500
1,000,000 BBB 7.000% due 12/1/06..................... 926,250
2,000,000 BBB HRPT Properties Trust, Sr. Notes,
6.875% due 8/26/02.................... 1,947,500
2,000,000 A- Kimco Realty Corp., Sr. Notes, 7.500%
due 11/5/06........................... 1,970,000
2,500,000 BBB+ Simon Debartolo, Notes, 7.000% due
6/15/08............................... 2,360,030
United Dominion Realty, Notes:
1,500,000 BBB 8.625% due 3/15/03..................... 1,511,552
1,000,000 BBB 7.020% due 11/15/05.................... 931,250
500,000 BBB 7.950% due 7/12/06..................... 480,625
1,000,000 BBB 7.250% due 1/15/07..................... 933,707
--------------
18,575,914
--------------
Retail -- 0.3%
1,725,000 A CVS Corp., Notes, 5.500% due 2/15/04... 1,640,906
--------------
Sovereign Agency -- 0.4%
2,348,271 Small Business Administration, 7.700%
due 7/1/16............................ 2,371,754
--------------
Telecommunications -- 3.5%
4,250,000 BBB+ Cox Communications Inc., Notes, 7.000%
due 8/15/01........................... 4,222,120
750,000 BBB+ Qwest Communications International, Sr.
Notes, 7.500% due 11/1/08............. 736,875
Sprint Capital Corp., Company
Guaranteed:
1,000,000 BBB+ 5.700% due 11/15/03.................... 957,500
4,000,000 BBB+ 5.875% due 5/1/04...................... 3,810,000
Vodafone AirTouch, Notes:
5,000,000 A 6.698% due 12/19/01+................... 5,005,400
1,505,000 A 7.625% due 2/15/05..................... 1,523,813
3,000,000 A- WorldCom, Inc., Float, 6.920% due
11/26/01.............................. 3,003,750
--------------
19,259,458
--------------
Tobacco -- 0.5%
2,800,000 A Philip Morris Cos. Inc., Notes, 9.000%
due 1/1/01............................ 2,810,500
--------------
Transportation -- 0.5%
3,000,000 BBB Rollins Truck Leasing Corp., Notes,
8.250% due 5/1/02..................... 3,003,750
--------------
TOTAL CORPORATE BONDS & NOTES
(Cost -- $245,050,553)................. 231,287,113
--------------
MORTGAGE-BACKED SECURITIES -- 37.4%
Federal Home Loan Mortgage (FHLMC) -- 1.1%
497,699 7.000% due 4/15/23..................... 495,875
5,668,097 Gold, 7.500% due 4/1/30................ 5,641,513
--------------
6,137,388
--------------
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
Schedules of Investments
(continued)
Intermediate Fixed Income Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Amount Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 6.2%
$ 9,475,000 5.625% due 5/14/04............................ $ 9,126,984
1,525,000 6.500% due 8/15/04............................ 1,511,123
3,093,830 7.000% due 4/25/24............................ 2,868,652
1,138,822 7.180% due 1/01/30............................ 1,120,437
4,383,803 6.693% due 3/01/30............................ 4,206,219
10,299,826 7.500% due 2/1/30 - 5/1/30.................... 10,235,453
5,500,092 8.500% due 7/1/30 - 8/1/30.................... 5,610,094
-------------
34,678,962
-------------
Government National Mortgage Association (GNMA) -- 6.1%
10,579,811 7.500% due 5/15/29 - 8/15/30.................. 10,583,240
18,299,223 8.000% due 5/15/29 - 12/15/30................. 18,573,707
198,533 8.000% due 3/20/30............................ 200,454
4,500,000 8.500% due 9/21/30++.......................... 4,612,500
-------------
33,969,901
-------------
Collateralized Mortgage Obligation (CMO) -- 24.0%
2,000,000 ABN AMRO Mortgage Corp., 6.300% due 5/25/29... 1,915,230
1,447,521 Amac 2000-1 A8, 7.750% due 2/25/30............ 1,420,171
2,620,601 Amresco Commercial Lending, 7.120% due
9/17/12...................................... 2,592,155
4,991,955 Aames Mortgage Trust, 7.018% due 7/15/29...... 4,982,595
2,850,000 AutoNation Receivables Corp. Auto Owner Trust,
6.940% due 4/17/06........................... 2,844,229
1,700,000 Bayview Financial Revolving Mortgage, 7.922%
due 8/25/29.................................. 1,671,780
412,557 Capital Asset Research Funding LP, 5.905% due
12/15/05..................................... 408,947
3,000,000 Circuit City Credit Card, 6.856% due 2/15/06.. 3,007,665
1,684,643 CMC Securities Corp. III, 6.881% due
11/25/23..................................... 1,667,102
1,780,228 ContiMortgage Home Equity, 7.130% due
3/15/15...................................... 1,775,538
2,775,000 Copelco Capital Funding Corp., 5.950% due
6/15/04...................................... 2,703,225
2,000,000 Countrywide Home Loans, 6.050% due 4/25/29.... 1,904,670
1,066,853 Fannie Mae, 6.500% due 10/25/22............... 997,082
900,000 First Plus Home Loan, 7.330% due 8/10/20...... 899,006
4,707,482 Freddie Mac, 7.000% due 4/15/28............... 4,188,530
1,048,910 Freddie Mac, Float, 3.344% due 7/15/15........ 915,663
GE Capital Mortgage Services, Inc.:
777,560 6.380% due 5/25/14............................ 773,319
2,000,000 6.500% due 3/25/24............................ 1,731,250
1,239,148 Green Tree Financial Corp., 6.420% due
11/15/28..................................... 1,240,116
2,268,499 Impac CMB Trust, 6.805% due 7/25/28........... 2,252,514
3,691,751 Independent National, 7.875% due 9/25/24...... 3,669,656
2,947,980 INMC 1996-a B2, 7.000% due 3/25/26............ 2,810,221
2,050,000 Merrill Lynch Mortgage, 8.433% due 6/25/22.... 2,028,670
479,688 Residential Accredit Loans, 8.000% due
10/25/28..................................... 483,466
1,875,964 Residential Asset Mortgage, 8.000% due
3/25/30...................................... 1,895,960
1,000,000 Residential Funding Mortgage Securities, Inc.,
7.000% due 10/25/27.......................... 944,755
33,504 Resolution Trust Corp., 9.000% due 9/25/28.... 33,342
3,815,986 Ryms3 1992-d 2a4, 8.200% due 9/25/22.......... 3,799,788
SBIC Business Investment Cos.:
7,731,828 7.540% due 8/1/09............................. 7,640,013
8,737,903 8.017% due 2/10/10............................ 9,083,286
6,500,000 7.640% due 3/29/10............................ 6,614,173
3,962,108 Small Business Administration, 6.150% due
11/1/13...................................... 3,761,950
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
Schedules of Investments
(continued)
Intermediate Fixed Income Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Amount Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Collateralized Mortgage Obligation (CMO) -- 24.0% (continued)
$ 1,232,579 6.850% due 10/1/15....................... $ 1,199,793
1,097,064 6.650% due 11/1/15....................... 1,058,944
6,592,817 7.100% due 2/1/17........................ 6,488,579
8,622,938 7.500% due 4/1/17........................ 8,638,201
6,572,357 7.300% due 5/1/17........................ 6,524,445
13,716,897 7.200% due 10/1/19....................... 13,554,010
5,815,998 7.190% due 12/1/19....................... 5,742,041
5,011,814 7.590% due 1/1/20........................ 5,027,098
2,216,871 Structured Asset Securities, 8.394% due
4/25/27................................. 2,226,448
------------
133,115,626
------------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost -- $196,653,343)................... 207,901,877
------------
COMMERCIAL PAPER -- 0.0%
200,000 Nabisco Inc., Discount Notes, 6.700% due
10/18/00 (Cost -- $198,251)............. 198,251
------------
<CAPTION>
Face Amount Rating(a)
----------- ---------
<C> <C> <S> <C>
REGIONAL GOVERNMENT OBLIGATIONS -- 0.8%
3,000,000 AAA Massachusetts State Turnpike Authority,
5.000% due 1/1/39....................... 2,685,000
1,610,000 A+ Quebec Province, 7.500% due 7/15/02...... 1,622,075
------------
TOTAL REGIONAL GOVERNMENT OBLIGATIONS
(Cost -- $4,252,598)..................... 4,307,075
------------
SUB-TOTAL INVESTMENTS
(Cost -- $554,795,535)................... 553,943,380
------------
REPURCHASE AGREEMENT -- 0.4%
2,000,000 J.P. Morgan Securities Inc., 6.600% due
9/1/00; Proceeds at maturity --
$2,000,367; (Fully collateralized by
U.S. Treasury Notes & Bonds, 4.250% to
13.375% due 3/31/01 to 8/15/26; Market
value -- $2,257,753) (Cost --
$2,000,000)............................. 2,000,000
------------
TOTAL INVESTMENTS -- 100%
(Cost -- $556,795,535**)................. $555,943,380
============
</TABLE>
------
(a) All ratings are by Standard & Poor's Ratings Service, except those identi-
fied by an asterisk (*), which are rated by Moody's Investors Service, Inc.
@ All or a portion of this security is segregated for futures contracts com-
mitments.
# All or a portion of this security is segregated for "to-be-announced"
trades.
+ Security is exempt from registration under Rule 144A of the Securities Act
of 1993. This security may be resold in transactions exempt from registra-
tion, normally to qualified institutional buyers.
++ Security is traded on a "to-be-announced" basis (See Note 11).
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 93 for definition of ratings and certain security descriptions.
See Notes to Financial Statements.
75
<PAGE>
Schedules of Investments
(continued)
Long-Term Bond Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Amount Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS & AGENCIES -- 31.9%
U.S. Treasury Obligations -- 25.7%
U.S. Treasury Inflation Index Bonds:
$ 5,252,050 3.875% due 1/15/09++..................... $ 5,194,593
1,488,018 3.875% due 4/15/29++..................... 1,483,821
U.S. Treasury Notes:
1,850,000 6.125% due 8/15/29++..................... 1,938,449
9,700,000 6.250% due 5/15/30++..................... 10,497,146
------------
19,114,009
------------
U.S. Government Agencies -- 6.2%
4,400,000 Federal National Mortgage Association,
7.250% due 5/15/30...................... 4,631,000
------------
TOTAL U.S. GOVERNMENT OBLIGATIONS &
AGENCIES
(Cost -- $23,267,422).................... 23,745,009
------------
<CAPTION>
Face Amount Rating(a)
----------- ---------
<C> <C> <S> <C>
CORPORATE BONDS & NOTES -- 54.9%
Aerospace/Defense -- 0.4%
270,000 BBB- Lockheed Martin Corp., Bonds, 8.500% due
12/1/29................................. 281,138
------------
Banking -- 9.9%
3,650,000 A- Bank One Corp., Sub. Debentures, 8.000%
due 4/29/27............................. 3,627,188
3,350,000 AAA International Bank of Reconstruction &
Development, Debentures, 8.250% due
9/1/16.................................. 3,752,000
------------
7,379,188
------------
Consumer Products -- 5.1%
1,550,000 A+ Bestfoods, Series F, Notes, 6.625% due
4/15/28................................. 1,365,938
2,075,000 AA The Procter & Gamble Co., Debentures,
9.360% due 1/1/21....................... 2,401,813
------------
3,767,751
------------
Financial Services -- 8.4%
2,400,000 BBB- Continental Corp., Notes, 8.375% due
8/15/12................................. 2,274,000
260,000 A Dow Chemical Co., Debentures, 7.375% due
11/1/29................................. 254,898
625,000 A Ford Motor Credit Co., Notes, 7.375% due
10/28/09................................ 614,844
3,000,000 A Nationwide CSN Trust, Notes, 9.875% due
2/15/25+................................ 3,135,000
------------
6,278,742
------------
Media & Entertainment -- 7.1%
1,275,000 BBB- News America Holdings Inc., Company
Guaranteed, 9.250% due 2/1/13........... 1,383,375
3,800,000 BBB Time Warner Entertainment Co. LP, Sr.
Notes, 8.375% due 7/15/33............... 3,942,500
------------
5,325,875
------------
Miscellaneous -- 9.7%
3,250,000 BBB+ Boston University, Notes, 7.625% due
7/15/97................................. 3,113,633
2,850,000 BBB+ Ogden Corp., Debentures, 9.250% due
3/1/22.................................. 3,195,563
954,000 BBB+ Republic of Poland, PDI, step bond to
yield 4.241% due 10/27/14............... 886,624
------------
7,195,820
------------
Transportation -- 2.9%
2,216,820 BBB+ FedEx Corp., Pass Through Certificates,
7.630% due 1/5/14....................... 2,161,411
------------
</TABLE>
See Notes to Financial Statements.
76
<PAGE>
Schedules of Investments
(continued)
Long-Term Bond Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Amount Rating(a) Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Utilities -- 11.4%
$2,275,000 BBB+ Columbia Energy Group, Notes, 7.320% due
11/28/10................................ $ 2,215,279
3,000,000 A+ New York Telephone Co., Debentures,
6.700% due 11/1/23...................... 2,587,500
2,100,000 A- Puget Sound Energy Inc., Series A, 6.740%
due 6/15/18............................. 1,916,250
2,100,000 BBB+ Qwest Capital Funding, Company
Guaranteed, 6.875% due 7/15/28.......... 1,806,000
------------
8,525,029
------------
TOTAL CORPORATE BONDS & NOTES
(Cost -- $42,438,437).................... 40,914,954
------------
COMMERCIAL PAPER -- 1.2%
500,000 Federal Home Loan Mortgage Corp., 6.610%
due 11/9/00++........................... 493,665
400,000 Federal National Mortgage Association,
6.370% due 11/9/00++.................... 395,116
------------
TOTAL COMMERCIAL PAPER
(Cost -- $888,781)....................... 888,781
------------
SUB-TOTAL INVESTMENTS
(Cost -- $66,594,640).................... 65,548,744
------------
REPURCHASE AGREEMENT -- 12.0%
8,919,000 J.P. Morgan Securities Inc., 6.600% due
9/1/00; Proceeds at maturity --
$8,920,635; (Fully collateralized by
U.S. Treasury Notes & Bonds, 4.250% to
13.375% due 3/31/01 to 8/15/26; Market
value -- $9,290,502) (Cost --
$8,919,000)............................. 8,919,000
------------
TOTAL INVESTMENTS -- 100%
(Cost -- $75,513,640**).................. $ 74,467,744
============
</TABLE>
------
(a) All ratings are by Standard & Poor's Ratings Service, except those identi-
fied 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.
++ All or a portion of this security is segregated for futures contracts com-
mitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 93 for definition of ratings and certain security descriptions.
See Notes to Financial Statements.
77
<PAGE>
Schedules of Investments
(continued)
Municipal Bond Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Amount Rating(a) Security Value
<C> <C> <S> <C>
--------------------------------------------------------------------------------
Arizona -- 4.2%
Arizona Student Loan Acquisition Authority
Revenue, Series A-1:
$ 1,000,000 Aaa* 5.650% due 5/1/14......................... $ 1,018,750
1,000,000 Aaa* 5.750% due 5/1/15......................... 1,020,000
------------
2,038,750
------------
California -- 2.0%
1,000,000 A+ California State Public Works Board Lease
Revenue, California Community Colleges,
Series D, 4.750% due 10/1/14............. 981,250
------------
Florida -- 6.6%
Florida State Board of Education Capital
Outlay, Public Education GO:
1,000,000 AA+ Series A, 5.250% due 6/1/17............... 990,000
1,250,000 AA+ Series B, 5.000% due 6/1/14............... 1,231,250
1,000,000 AAA Tampa Bay, FL Water Utilities System
Revenue, Series A, 5.125% due 10/1/17.... 972,500
------------
3,193,750
------------
Georgia -- 4.1%
2,000,000 AAA Gwinnett County, GA Water & Sewer
Authority Revenue, 5.250% due 8/1/18..... 1,975,000
------------
Illinois -- 8.0%
2,000,000 AAA Chicago, IL Board of Education GO, School
Reform Board, Series A, FGIC-Insured,
5.250% due 12/1/20....................... 1,942,500
2,000,000 AA Illinois State GO, First Series, 5.375%
due 8/1/25............................... 1,942,500
------------
3,885,000
------------
Indiana -- 4.6%
1,200,000 AA- Indiana Bond Bank Special Project-
Hendricks, Series B, 6.125% due 2/1/17... 1,218,000
1,000,000 AA- Indiana Health Facility Financing
Authority Hospital Revenue, Series A,
5.750% due 9/1/15........................ 1,023,750
------------
2,241,750
------------
Iowa -- 7.6%
1,250,000 AAA Des Moines Iowa Public Parking System
Revenue, Series A, 5.750% due 6/1/13..... 1,303,125
2,500,000 AAA Iowa Finance Authority, Hospital Facility
Revenue, Iowa Health System, Series A,
MBIA-Insured, 5.125% due 7/1/20.......... 2,359,375
------------
3,662,500
------------
Massachusetts -- 11.4%
3,000,000 AA- Massachusetts State Consolidated Loan GO,
Series C, 5.250% due 8/1/14.............. 3,018,750
2,500,000 AAA Massachusetts State Turnpike Authority,
Metropolitan Highway System, Series A,
MBIA-Insured, 5.000% due 1/1/13.......... 2,478,125
------------
5,496,875
------------
Minnesota -- 7.8%
3,000,000 AAA Minnesota Public Facilities Authority,
Water PCR, Series B, 5.125% due 3/1/13... 3,011,250
750,000 AAA Southern Minnesota Municipal Power Agency
Power Supply System Revenue, Pre-
Refunded,
Series A, 5.750% due 1/1/18.............. 785,625
------------
3,796,875
------------
New Jersey -- 6.2%
1,000,000 AAA New Jersey Sports & Exposition Authority
State Contract, Series A, MBIA-Insured,
5.250% due 3/1/12........................ 1,025,000
2,000,000 AA New Jersey State Transportation Trust Fund
Authority, Series A, 5.125% due 6/15/15.. 1,980,000
------------
3,005,000
------------
</TABLE>
See Notes to Financial Statements.
78
<PAGE>
Schedules of Investments
(continued)
Municipal Bond Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face Amount Rating(a) Security Value
<C> <C> <S> <C>
---------------------------------------------------------------------------------
New York -- 8.4%
$ 2,000,000 AAA New York, NY GO, Series F, MBIA-Insured,
5.250% due 8/1/15......................... $ 1,992,500
2,000,000 A New York State Dormitory Authority Revenue,
State University Educational Facilities,
Series A, 5.500% due 5/15/13.............. 2,065,000
------------
4,057,500
------------
Tennessee -- 2.5%
1,170,000 AAA Memphis-Shelby County, TN Airport Authority
Revenue, Series D, AMBAC-Insured,
5.875% due 3/1/16......................... 1,215,338
------------
Texas -- 13.2%
2,270,000 AAA Arlington, TX Independent School District,
PSF-Insured, 4.500% due 2/15/20........... 1,977,738
1,000,000 AA Fort Worth, TX Water & Sewer Revenue,
5.250% due 2/15/16........................ 986,250
1,380,000 AAA Grapevine, TX GO, FGIC-Insured, 5.700% due
8/15/16................................... 1,424,850
2,000,000 AAA Texas State Department of Housing &
Community Affairs Residential Mortgage
Revenue, Series A, 6.200% due 7/1/19...... 2,014,346
------------
6,403,184
------------
Washington -- 5.0%
2,600,000 AA- King County, WA GO, School District No. 412
Shoreline, 4.750% due 6/1/15.............. 2,398,500
------------
Wisconsin -- 6.3%
2,000,000 Aaa* Sun Prairie Wisconsin Area School District
GO, FGIC-Insured, 5.625% due 4/1/16....... 2,055,000
1,000,000 AA- Wisconsin State Petroleum Inspection Fee
Revenue, Series A, 6.000% due 7/1/12...... 1,023,158
------------
3,078,158
------------
Wyoming -- 2.1%
600,000 A-1+ Sublette County, WY VRDN PCR, (Exxon
Project), Series B, 4.400% due 7/1/17..... 600,000
400,000 P-1* Uinta county, WY VRDN PCR, (Chevron USA
Income Project), 4.300% due 8/15/20....... 400,000
------------
1,000,000
------------
TOTAL INVESTMENTS -- 100%
(Cost -- $49,090,214**).................... $ 48,429,430
============
</TABLE>
------
(a) All ratings are by Standard & Poor's Ratings Service, except those identi-
fied by an asterisk (*), which are rated by Moody's Investors Service, Inc.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 94 for definition of ratings and certain security descriptions.
See Notes to Financial Statements.
79
<PAGE>
Schedules of Investments
(continued)
Mortgage Backed Investments
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------
Face
Amount Security Value
----------------------------------------------------------------------------------------
<S> <C> <C>
MORTGAGE-BACKED SECURITIES -- 98.7%
Federal Home Loan Mortgage Corporation (FHLMC) -- 47.8%
$ 1,465 11.000% due 8/1/00 - 10/1/00...................... $ 1,466
180,507 10.000% due 4/1/09 - 10/1/09...................... 192,634
74,201 10.250% due 11/1/03 - 2/1/10...................... 80,160
363,464 9.000% due 12/1/04 - 7/1/11....................... 375,265
39,535 11.500% due 10/1/15............................... 43,810
33,183 7.500% due 7/1/16................................. 33,339
463,918 9.500% due 10/1/08 - 8/1/16....................... 483,054
833,062 8.000% due 8/1/08 - 6/1/17........................ 850,498
1,681,020 8.500% due 12/1/06 - 7/1/17....................... 1,735,115
Gold:
68,221 9.500% due 4/1/10................................. 70,758
482,497 8.500% due 9/1/08 - 2/1/18........................ 493,653
6,050,651 7.500% due 12/1/12 - 5/1/25....................... 6,022,274
3,436,659 8.000% due 5/1/06 - 12/1/26....................... 3,477,917
9,870,955 6.000% due 10/1/27 - 1/1/29....................... 9,192,327
15,234,759 6.500% due 2/1/11 - 5/1/29........................ 14,637,860
10,128,305 7.000% due 5/1/12 - 7/1/29........................ 9,929,541
-----------
47,619,671
-----------
Federal National Mortgage Association (FNMA) -- 22.9%
1,740,152 5.500% due 11/1/08................................ 1,630,296
108,320 10.750% due 10/1/12............................... 118,272
13,970 12.500% due 6/1/15................................ 15,896
546,048 8.500% due 6/1/06 - 6/1/17........................ 557,058
801,715 9.000% due 8/1/02 - 3/1/18........................ 827,969
5,763 10.000% due 1/1/21................................ 6,123
231,102 9.500% due 4/1/01 - 11/1/21....................... 240,024
1,785,329 8.000% due 9/1/02 - 12/1/22....................... 1,802,801
3,208,976 7.500% due 12/1/06 - 9/1/23....................... 3,191,385
2,220,557 7.000% due 1/1/24................................. 2,166,420
4,435,575 6.500% due 3/1/09 - 5/1/28........................ 4,262,698
8,486,001 6.000% due 9/1/08 - 9/1/28........................ 8,015,614
-----------
22,834,556
-----------
Government National Mortgage Association (GNMA) -- 24.0%
GNMA I:
75,385 11.000% due 7/15/10 - 9/15/10..................... 82,570
85,230 9.000% due 10/15/16............................... 88,159
142,603 9.500% due 12/15/16 - 8/15/19..................... 148,173
2,379,767 8.000% due 1/15/14 - 8/15/23...................... 2,415,464
537,389 8.500% due 5/15/17 - 7/15/27...................... 550,991
2,286,382 7.500% due 8/15/27 - 9/15/27...................... 2,287,800
8,228,480 7.000% due 4/15/23 - 3/15/28...................... 8,084,481
4,023,689 6.000% due 1/15/29 - 6/15/29...................... 3,764,644
GNMA II:
643,905 7.000% due 11/20/16............................... 629,012
722,729 8.500% due 6/20/16 - 1/20/17...................... 736,728
378,549 9.000% due 4/20/17 - 11/20/21..................... 386,354
4,978,659 6.500% due 12/20/23 - 5/20/24..................... 4,760,841
-----------
23,935,217
-----------
</TABLE>
See Notes to Financial Statements.
80
<PAGE>
Schedules of Investments
(continued)
Mortgage Backed Investments
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------
Face
Amount Security Value
------------------------------------------------------------------------------------------------
<S> <C>
Collateralized Mortgage Obligations (CMO) -- 4.0%
$4,078,689 FHR 2190 SG, 9.500% due 11/20/25...................................... $ 4,048,996
-----------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost -- $100,379,057)................................................ 98,438,440
-----------
REPURCHASE AGREEMENT -- 1.3%
1,275,000 J.P. Morgan Securities Inc., 6.600% due 9/1/00; Proceeds at
maturity -- $1,275,234; (Fully collateralized by
U.S. Treasury Notes & Bonds, 4.250% to 13.375% due 3/31/01 to
8/15/26; Market value -- $1,354,670)
(Cost -- $1,275,000)................................................ 1,275,000
-----------
TOTAL INVESTMENTS -- 100%
(Cost -- $101,654,057*)............................................... $99,713,440
===========
</TABLE>
-------------
* Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
81
<PAGE>
Schedules of Investments
(continued)
High Yield Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face
Amount Rating(a) Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 81.9%
Apparel -- 0.9%
$1,500,000 B- HCI Direct Inc., Sr. Sub. Notes, 13.750%
due 8/1/02............................... $ 1,357,500
------------
Banks -- 0.6%
1,000,000 B+ Cho Hung Bank, Sr. Sub. Notes, 11.875% due
4/1/10 (b)............................... 1,007,500
------------
Building Materials -- 0.0%
1,500,000 NR Reliant Building Product, Sr. Sub. Notes,
10.875% due 5/1/04....................... 67,500
------------
Chemicals -- 5.8%
1,200,000 B+ Acetex Corp., Company Guaranteed, 9.750%
due 10/1/03.............................. 1,152,000
1,000,000 B Avecia Group PLC, Company Guaranteed,
11.000% due 7/1/09....................... 1,015,000
1,500,000 B+ General Chemical Industrial Products, Sr.
Notes, 10.625% due 5/1/09................ 1,282,500
1,500,000 B+ Huntsman ICI Chemicals, Company
Guaranteed, 10.125% due 7/1/09........... 1,533,750
1,000,000 BB Lyondell Chemical Co., Secured, Series A,
9.625% due 5/1/07........................ 1,018,750
1,500,000 C Moll Industries, Sr. Sub. Notes, 10.500%
due 7/1/08............................... 367,500
1,500,000 B- Philipp Brothers Chemicals, Company
Guaranteed, 9.875% due 6/1/08............ 1,125,000
1,500,000 B Sterling Chemicals Inc., Sr. Notes,
12.375% due 7/15/06...................... 1,556,250
------------
9,050,750
------------
Commercial Services -- 1.3%
1,000,000 BB- Avis Group Holding Inc., Company
Guaranteed, 11.000% due 5/1/09........... 1,095,000
500,000 B- Concentra Operating Corp., Company
Guaranteed, 13.000% due 8/15/09.......... 447,500
1,000,000 B Worldwide Flight Service, Sr. Notes,
12.250% due 8/15/07...................... 540,000
------------
2,082,500
------------
Cosmetics - Personal Care -- 0.7%
2,000,000 CCC Revlon Consumer Products, Sr. Sub. Notes,
8.625% due 2/1/08........................ 1,040,000
------------
Distribution - Wholesale -- 0.7%
2,000,000 CCC+ AAI Fostergrant Inc., Company Guaranteed,
10.750% due 7/15/06...................... 610,000
1,000,000 B- Pentacon Inc., Company Guaranteed, 12.250%
due 4/1/09............................... 565,000
------------
1,175,000
------------
Diversified Financial Services -- 3.2%
750,000 BB+ Bank United Corp., Sub. Notes, 8.875% due
5/1/07................................... 720,000
1,500,000 B- Lodgian Financing Corp., Company
Guaranteed, 12.250% due 7/15/09.......... 1,230,000
2,000,000 BB Port Arthur Finance Corp., Company
Guaranteed, 12.500% due 1/15/09.......... 2,050,000
2,000,000 B- Russell-Stanley Holdings Inc., Sr. Sub.
Notes, 10.875% due 2/15/09............... 952,500
------------
4,952,500
------------
Electrical -- 2.5%
1,000,000 B- Cherokee International, Sr. Sub. Notes,
10.500% due 5/1/09....................... 902,500
2,000,000 BBB- PSE&G Energy Holdings Inc., Sr. Notes,
10.000% due 10/1/09...................... 2,155,000
2,000,000 CCC+ Special Devices Inc., Company Guaranteed,
11.375% due 12/15/08..................... 780,000
------------
3,837,500
------------
Electronics -- 2.6%
1,500,000 B+ Details Holdings Corp., Sr. Discount
Notes, 12.500% due 11/15/07.............. 1,080,000
1,000,000 CCC Pacific Aerospace & Electric, Company
Guaranteed, 11.250% due 8/1/05........... 505,000
1,000,000 B- Packard Bioscience Co., Sr, Sub. Notes,
9.375% due 3/1/07........................ 925,000
1,750,000 B Viasystems Inc., Sr. Sub. Notes, 9.750%
due 6/1/07............................... 1,579,375
------------
4,089,375
------------
</TABLE>
See Notes to Financial Statements.
82
<PAGE>
Schedules of Investments
(continued)
High Yield Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face
Amount Rating(a) Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Engineering & Construction -- 1.3%
$2,000,000 BBB- Morrison Knudsen Corp., Company
Guaranteed, 11.000% due 7/1/10 (b)....... $ 2,030,000
------------
Entertainment -- 1.6%
1,500,000 CCC Derby Cycle Corp., Sr. Notes, 10.000% due
5/15/08.................................. 457,500
2,000,000 NR Marvel Enterprises Inc., Company
Guaranteed, 12.000% due 6/15/09.......... 1,610,000
500,000 B Vail Resorts Inc., Company Guaranteed,
8.750% due 5/15/09....................... 480,000
------------
2,547,500
------------
Environmental Control -- 1.5%
Allied Waste North America, Company
Guaranteed:
1,500,000 BB- 7.875% due 1/1/09......................... 1,359,375
500,000 BB- 10.000% due 8/1/09........................ 448,750
Metal Management Inc., Company Guaranteed:
1,000,000 CCC+ 12.750% due 6/15/04....................... 500,000
1,000,000 CCC 10.000% due 5/15/08....................... 105,000
------------
2,413,125
------------
Food -- 1.6%
1,000,000 CCC+ Pueblo Xtra International, Sr. Notes,
9.500% due 8/1/03........................ 475,000
500,000 CCC+ RAB Enterprises Inc., Company Guaranteed,
10.500% due 5/1/05....................... 353,125
1,500,000 CCC Richmont Marketing Special, Company
Guaranteed, 10.125% due 12/15/07......... 759,375
1,000,000 B+ Stater Brothers Holdings, Sr. Notes,
10.750% due 8/15/06...................... 890,000
------------
2,477,500
------------
Forest Products & Paper -- 1.0%
500,000 B Doman Industries Ltd., Sr. Notes, 8.750%
due 3/15/04.............................. 512,500
1,000,000 BB+ Tembec Industries Inc., Company
Guaranteed, 8.625% due 6/30/09........... 1,000,000
------------
1,512,500
------------
Health Care -- 1.9%
2,000,000 BB+ HCA -- The Healthcare Co., Notes, 8.750%
due 9/1/10............................... 2,015,000
1,000,000 B- IASIS Healtcare Corp., Company Guaranteed,
13.000% due 10/15/09..................... 1,030,000
------------
3,045,000
------------
Holding Companies -- 4.4%
1,000,000 CCC Continental Global Group, Sr. Notes,
11.000% due 4/1/07....................... 332,500
1,550,000 B Elgar Holdings Inc., Company Guaranteed,
9.875% due 2/1/08........................ 815,688
1,500,000 B+ High Voltage Engineering, Sr. Notes,
10.500% due 8/15/04...................... 1,042,500
1,000,000 CCC+ KMC Telecom Holdings Inc., Sr. Discount
Notes, 13.500% due 2/15/08............... 755,000
1,300,000 BB- Murrin Murrin Holdings Property Ltd., Sr.
Notes, 9.375% due 8/3/07................. 1,111,500
1,500,000 B+ P&L Coal Holding Corp., Company
Guaranteed, 9.625% due 5/15/08........... 1,455,000
1,300,000 B SCG Holding & Semiconductor Co., Sr. Sub.
Notes, 12.000% due 8/1/09................ 1,410,500
------------
6,922,688
------------
Housewares -- 2.4%
1,000,000 B Evenflo Co., Sr. Notes, 11.750% due
8/15/06.................................. 997,500
1,500,000 B- Frank's Nursery & Crafts, Sr. Sub. Notes,
10.250% due 3/1/08....................... 622,500
1,000,000 B Jostens Inc., 12.750% due 5/1/10 (b)(c)... 1,026,250
1,250,000 B- O'Sullivan Furniture, Company Guaranteed,
13.375% due 10/15/09..................... 1,068,750
Safelite Glass Corp., Sr. Sub. Notes:
1,150,000 Ca* Class B Shares, 9.875% due 12/15/06....... 14,375
770,000 Ca* Class D Shares, 9.875% due 12/15/06....... 9,625
------------
3,739,000
------------
</TABLE>
See Notes to Financial Statements.
83
<PAGE>
Schedules of Investments
(continued)
High Yield Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face
Amount Rating(a) Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Insurance -- 1.3%
$2,000,000 B+ William Comm Group Inc., Sr. Notes,
11.700% due 8/1/08....................... $ 2,020,000
------------
Lodging -- 1.7%
2,000,000 BB- Mandalay Resort Group, 10.250% due 8/1/07
(b)...................................... 2,080,000
500,000 BB+ Park Place Entertainment Corp., Sr. Sub.
Notes, 9.375% due 2/15/07................ 515,625
------------
2,595,625
------------
Machinery - Diversified -- 1.8%
1,200,000 B Flowserve Corp., Company Guaranteed,
12.250% due 8/15/10 (b).................. 1,224,000
2,500,000 CCC+ Generac Portable Products Inc., Sr. Sub.
Notes, 11.250% due 7/1/06................ 1,637,500
------------
2,861,500
------------
Media -- 3.8%
700,000 B+ Charter Communication Holdings LLC, Sr.
Notes, 10.250% due 1/15/10............... 703,500
1,500,000 B Echostar DBS Corp., Sr. Notes, 9.375% due
2/1/09................................... 1,494,375
1,000,000 B Fox Family Worldwide Inc., Sr. Notes,
9.250% due 11/1/07....................... 962,500
1,000,000 B Jones International Networks Ltd., Company
Guaranteed, 11.750% due 7/1/05........... 995,000
2,000,000 B United Pan-Europe, Sr. Notes, Series B,
11.250% due 2/1/10....................... 1,757,500
------------
5,912,875
------------
Metals & Mining -- 3.3%
1,200,000 B- Commonwealth Industries Co., Sr. Sub.
Notes, 10.750% due 10/1/06............... 1,161,000
1,125,000 B Euramax International PLC, Sr. Sub. Notes,
11.250% due 10/1/06...................... 1,063,125
500,000 BB- Golden Northwest Aluminum, Company
Guaranteed, 12.000% 12/15/06............. 512,500
1,000,000 CCC+ Kaiser Aluminum & Chemical, Sr. Sub.
Notes, 9.875% due 2/15/02................ 985,000
1,000,000 B Ormet Corp., Company Guaranteed, 11.000%
due 8/15/08.............................. 915,000
3,000,000 NR Republic Tech/RTI Capital, Sr. Notes,
13.750% due 7/15/09...................... 570,000
------------
5,206,625
------------
Miscellaneous - Manufacturing -- 3.1%
2,000,000 CCC+ Aqua Chemical Inc., Sr. Sub. Notes,
11.250% due 7/1/08....................... 1,270,000
2,000,000 B Hexcel Corp., Sr. Sub. Notes, 9.750% due
1/15/09.................................. 1,870,000
1,000,000 B- Roller Bearing Co. America, Company
Guaranteed, 9.625% due 6/15/07........... 920,000
1,000,000 B- Transdigm Inc., Company Guaranteed,
10.375% due 12/1/08...................... 905,000
------------
4,965,000
------------
Oil & Gas Producers -- 9.7%
2,805,000 CCC- Belden & Blake Corp., Company Guaranteed,
9.875% due 6/15/07....................... 2,356,200
1,400,000 B- Bellwether Exploration, Company
Guaranteed, 10.875% due 4/1/07........... 1,349,250
1,500,000 B Crown Central Petroleum, Sr. Notes,
10.875% due 2/1/05....................... 1,327,500
1,500,000 BB EOTT Energy Partners, Company Guaranteed,
11.000% due 10/1/09...................... 1,575,000
2,250,000 CCC Gothic Production Inc., Company
Guaranteed, 11.125% 5/1/05............... 2,396,250
500,000 B- Great Lakes Carbon Corp., Company
Guaranteed, Series B, 10.250% due
5/15/08.................................. 397,500
2,000,000 B- Key Energy Services Inc., Series B,
14.000% due 1/15/09...................... 2,250,000
2,000,000 NR Michael Petroleum Corp., Escrow, 0.000%
due 4/1/05 (d)........................... 0
1,000,000 CCC+ Queen Sand Resources Inc., Company
Guaranteed, 12.500% due 7/1/08........... 455,000
1,000,000 B- Range Resources Corp., Company Guaranteed,
8.750% due 1/15/07....................... 935,000
500,000 BB- Vintage Petroleum, Sr. Sub. Notes, 9.750%
due 6/30/09.............................. 526,250
1,500,000 BB- Western Gas Resources, Sr. Sub. Notes,
10.000% due 6/15/09...................... 1,575,000
------------
15,142,950
------------
Packaging & Containers -- 4.7%
2,004,000 B- Amtrol Inc., Sr. Sub. Notes, 10.625% due
12/31/06................................. 1,773,540
800,000 B- Fonda Group, Inc., Sr. Sub. Notes, 9.500%
due 3/1/07............................... 668,000
</TABLE>
See Notes to Financial Statements.
84
<PAGE>
Schedules of Investments
(continued)
High Yield Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face
Amount Rating(a) Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Packaging & Containers -- 4.7% (continued)
$1,500,000 B- Graham Packaging/GPC CAP, Company
Guaranteed, 8.750% due 1/15/08........... $ 1,312,500
400,000 B Huntsman Packaging Corp., 13.000% due
10/1/07 (b)(c)........................... 354,000
2,000,000 B- Outsourcing Services Group, Company
Guaranteed, 10.875% due 3/1/06........... 1,670,000
1,500,000 B+ Packaging Corp. of America, Company
Guaranteed, 9.625% due 4/1/09............ 1,545,000
------------
7,323,040
------------
Retail -- 0.2%
500,000 CCC+ Syratech Corp., Sr. Notes, 11.000% due
4/15/07.................................. 283,125
------------
Software -- 2.2%
2,000,000 B Exodus Communications, Sr. Notes, 11.625
due 12/15/09 (b)......................... 2,045,000
2,000,000 NR Phase Metrics Inc., Company Guaranteed,
10.750% due 2/1/05....................... 170,000
PSINet Inc., Sr. Notes:
500,000 B- 10.000% due 2/15/05....................... 435,000
1,000,000 B- 11.000% due 8/1/09........................ 868,750
------------
3,518,750
------------
Telecommunications -- 14.7%
500,000 B Crown Castle International Corp., Sr.
Discount Notes, 10.750% due 8/1/11....... 522,500
1,000,000 B Filtronic PLC, Sr. Notes, 10.000% due
12/1/05.................................. 915,000
2,000,000 BB Global Crossing Holdings Ltd., Company
Guaranteed, 9.125% due 11/15/06.......... 1,995,000
1,500,000 B Hermes Europe Railtel BV, Sr. Notes,
11.500% due 8/15/07...................... 1,012,500
2,250,000 B- ICG Services, Sr. Discount Notes, step
bond to yield 12.712% due 5/1/08......... 708,750
Level 3 Communication, Sr. Discount Notes:
2,000,000 B 11.000% due 3/15/08....................... 1,990,000
1,000,000 B Step bond to yield 12.875% due 3/15/10.... 572,500
1,000,000 B- McCaw International Ltd., Sr. Discount
Notes, step bond to yield 13.710% due
4/15/07.................................. 762,361
1,000,000 B+ McLeodUSA Inc., Sr. Notes, 9.125% due
7/15/07.................................. 957,500
1,500,000 B+ Metromedia Fiber Network, Sr. Notes,
10.000% due 12/15/09..................... 1,488,750
1,500,000 B Nextel Communications, Sr. Discount Notes,
9.375% due 11/15/09...................... 1,477,500
1,500,000 B NEXTLINK Communications, Sr. Notes,
10.750% due 6/1/09....................... 1,458,750
1,000,000 NR Northeast Optic Network, Sr. Notes,
12.750% due 8/15/08...................... 875,000
1,000,000 B NTL Communication Corp., Sr. Notes,
11.500% due 10/1/08...................... 1,025,000
2,000,000 CCC Orbital Imaging Corp., Sr. Notes, 11.625%
due 3/1/05............................... 750,000
2,000,000 B+ Orion Network Systems Inc., Sr. Notes,
11.250% due 1/15/07...................... 1,230,000
TeleCorp PCS, Inc., Company Guaranteed:
1,000,000 B3* 10.625% due 7/15/10 (b)................... 1,045,000
1,000,000 B3* Step bond to yield 11.296% due 4/15/09.... 685,179
1,500,000 B- VoiceStream Wireless, Sr. Discount Notes,
10.375% due 11/15/09..................... 1,627,500
500,000 B+ Williams Communication Group, Sr. Notes,
11.700% due 2/1/09 (b)................... 457,500
1,750,000 B- WinStar Communications, Sr. Notes, 12.500%
due 4/15/08 (b).......................... 1,548,750
------------
23,105,040
------------
Transportation -- 0.6%
1,000,000 B+ Statia Terminals, First Mortgage, Series
B, 11.750% due 11/15/03.................. 1,010,000
------------
Water -- 0.8%
1,500,000 BB Azurix Corp., Notes, 10.375% due 2/15/07
(b)...................................... 1,185,000
------------
TOTAL CORPORATE BONDS & NOTES
(Cost -- $151,720,967).................... 128,476,968
------------
</TABLE>
See Notes to Financial Statements.
85
<PAGE>
Schedules of Investments
(continued)
High Yield Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <C> <S> <C> <C> <C>
-------------------------------------------------------------------------------
COMMON STOCK -- 0.0%
144,546 Phase Metrics Inc., Class A Shares (e)
(Cost -- $0)........................... $ 0
------------
PREFERRED STOCK -- 0.0%
42 HH Acquisition Corp., 13.500% (e)
(Cost -- $144)......................... 16,800
------------
WARRANTS (e) -- 0.1%
2,000 American Mobile Satellite, Expire
4/1/08................................. 0
2,000 Key Energy Services Inc., Expire
1/15/09................................ 132,000
2,000 Motient Corp., Expire 4/1/08........... 80,000
2,500 O'Sullivan Industries Inc., Expire
10/15/09............................... 31,250
3,000 Republic Technologies, Expire 7/15/09.. 300
1,000 Worldwide Flight Service, Expire
8/15/07................................ 1,000
------------
TOTAL WARRANTS
(Cost -- $43,827)...................... 244,550
------------
SUB-TOTAL INVESTMENTS
(Cost -- $151,764,938)................. 128,738,318
------------
<CAPTION>
Face Amount
-----------
<C> <C> <S> <C> <C> <C>
REPURCHASE AGREEMENT -- 18.0%
$28,180,000 J.P. Morgan Securities Inc., 6.600% due
9/1/00; Proceeds at maturity --
$28,185,166;
(Fully collateralized by U.S. Treasury
Notes & Bonds, 4.250% to 13.375%
due 3/31/01 to 8/15/26; Market
value -- $28,743,614) (Cost --
$28,180,000)......................... 28,180,000
------------
TOTAL INVESTMENTS -- 100%
(Cost -- $179,944,938**)............... $156,918,318
============
</TABLE>
------
(a) All ratings are by Standard & Poor's Ratings Service, except those identi-
fied by an asterisk (*), which are rated by Moody's Investors Service, Inc.
(b) 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.
(c) Security has been issued with attached warrants.
(d) Escrowed security for defaulted bond.
(e) Non-income producing security.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 93 for definition of ratings.
See Notes to Financial Statements.
86
<PAGE>
Schedules of Investments
(continued)
Multi-Sector Fixed Income Investments
<TABLE>
--------------------------------------------------------------------------------------------
<CAPTION>
Face
Amount Security Value
<C> <C> <S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 34.0%
U.S. Treasury Notes:
$1,950,000 5.500% due 8/31/01...... $ 1,934,750
1,625,000 6.625% due 4/30/02...... 1,634,130
3,125,000 7.875% due 11/15/04..... 3,332,031
1,550,000 6.000% due 8/15/09...... 1,559,687
159,764 3.625% due 4/15/28++.... 152,323
1,500,000 6.250% due 5/15/30...... 1,623,270
-----------
TOTAL U.S. TREASURY
OBLIGATIONS
(Cost -- $10,142,650)... 10,236,191
-----------
<CAPTION>
Face
Amount Rating(a)
---------- ---------
<C> <C> <S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CORPORATE BONDS & NOTES -- 31.0%
Auto Manufacturers -- 1.2%
DaimlerChrysler N.A.
Holdings Corp., Company
Guaranteed, Notes:
25,000 A+ 6.900% due 9/1/04....... 24,781
325,000 A+ 7.400% due 1/20/05...... 326,625
-----------
351,406
-----------
Auto Parts & Equipment -- 0.3%
100,000 BBB TRW Inc., Notes, 6.625%
due 6/1/04............. 96,250
-----------
Banks -- 4.3%
125,000 BBB+ BB&T Corp., Sub. Notes,
6.375% due 6/30/05..... 119,844
First Union Corp., Sub.
Notes:
50,000 A- 6.875% due 9/15/05...... 48,750
100,000 A- 7.500% due 7/15/06...... 99,625
250,000 A Firstar Bank N.A., Sub.
Notes, 7.125% due
12/1/09................ 243,438
25,000 A- National City Corp.,
Sub. Notes, 6.875% due
5/15/19................ 22,188
100,000 A National Westminster
Bank, Sub. Notes,
7.750% due 10/16/07.... 97,000
175,000 BBB+ Nordbanken, Bonds,
8.950% due 11/12/09+... 177,286
75,000 A SunTrust Banks Inc.,
Sub. Notes, 7.750% due
5/1/10................. 76,313
US Bancorp, Sr. Notes:
150,000 A 6.000% due 5/15/04...... 143,625
75,000 A 6.875% due 12/1/04...... 73,688
200,000 A+ Wells Fargo & Co.,
Notes, 6.625% due
7/15/04................ 196,750
-----------
1,298,507
-----------
Chemicals -- 0.3%
100,000 A Great Lakes Chemical
Corp., Notes, 7.000%
due 7/15/09............ 95,250
-----------
Commercial Mortgage-Backed Securities -- 0.3%
100,000 BBB Chase Commercial
Mortgage Securities
Corp., Sub. Bonds,
7.370% due 5/19/07..... 97,028
-----------
Diversified Financial Services -- 4.1%
150,000 BBB+ Amvescap PLC, Company
Guaranteed, 6.600% due
5/15/05................ 142,875
350,000 A Ford Motor Credit Co.,
Notes, 6.700% due
7/16/04................ 341,688
General Electric Capital
Corp., Notes:
150,000 AAA 6.267% due 7/23/03...... 147,563
75,000 AAA 7.250% due 2/1/05....... 75,656
150,000 A+ Goldman Sachs Group
Inc., Sr.
Unsubordinated Notes,
7.500% due 1/28/05..... 150,938
225,000 AA- Merrill Lynch & Co.,
Notes, 6.000% due
11/15/04............... 215,719
150,000 AA- Morgan Stanley Dean
Witter & Co., Sr.
Unsubordinated Notes,
7.125% due 1/15/03..... 150,188
-----------
1,224,627
-----------
</TABLE>
See Notes to Financial Statements.
87
<PAGE>
Schedules of Investments
(continued)
Multi-Sector Fixed Income Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Face
Amount Rating(a) Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Electric -- 3.1%
$ 250,000 B+ AES Corp., Sr. Notes, 9.500%, due 6/1/09... $ 255,313
225,000 BBB- PSE&G Energy Holdings, Sr. Notes, 10.000%,
due 10/1/09............................... 242,438
430,000 AAA Tennessee Valley Authority, Bonds, 6.750%
due 11/1/25............................... 420,325
-----------
918,076
-----------
Electrical Components & Equipment -- 0.3%
100,000 AA- Emerson Electric Co., Notes, 7.125% due
8/15/10................................... 99,875
-----------
Food -- 0.6%
150,000 BBB+ Ahold Finance USA Inc., Company Guaranteed,
6.250% due 5/1/09......................... 133,313
50,000 BBB Safeway Inc., Notes, 6.050% due 11/15/03... 48,063
-----------
181,376
-----------
Forest Products & Paper -- 0.4%
Fort James Corp., Sr. Notes:
50,000 BBB 6.625% due 9/15/04......................... 48,250
75,000 BBB 6.875% due 9/15/07......................... 70,781
-----------
119,031
-----------
Gas -- 0.5%
150,000 A KeySpan Gas East Corp., Unsubordinated
Notes, 7.875% due 2/1/10.................. 152,063
-----------
Health Care -- 0.8%
250,000 BB+ HCA -- The Healthcare Co., Notes, 8.750%
due 9/1/10................................ 251,875
-----------
Insurance -- 0.8%
150,000 A- Florida Windstorm Underwriting Associates,
Bonds, 6.700% due 8/25/04+................ 146,250
100,000 AA- Marsh & McLennan Cos., Inc., Sr. Notes,
6.625% due 6/15/04........................ 97,750
-----------
244,000
-----------
Leisure Time -- 0.4%
125,000 BBB Royal Caribbean Cruises Ltd., Sr. Notes,
8.125% due 7/28/04........................ 120,781
-----------
Lodging -- 1.9%
200,000 BB+ Harrahs Operating Co. Inc., Company
Guaranteed, 7.875% due 12/15/05........... 195,000
200,000 BB- Mandalay Resort Group, Sr. Sub. Notes,
10.250% due 8/1/07+....................... 208,000
150,000 NR Park Place Entertainment Corp., Sr. Sub.
Notes, 9.375% due 2/15/07+................ 154,313
-----------
557,313
-----------
Media -- 2.5%
250,000 B+ Charter Communications Holdings LLC, Sr.
Notes, 8.625% due 4/1/09.................. 229,375
100,000 BBB Comcast Cable Communication, Notes, 6.200%
due 11/15/08.............................. 92,125
TCI Communications Inc., Sr. Notes:
50,000 AA- 6.375% due 5/1/03.......................... 48,938
150,000 AA- 8.650% due 9/15/04......................... 156,938
50,000 A Times Mirror Co., Notes, 7.450% due
10/15/09.................................. 50,125
175,000 A The Walt Disney Co., Notes, 7.300% due
2/8/05.................................... 177,406
-----------
754,907
-----------
Oil & Gas Producers -- 0.2%
75,000 BBB Coastal Corp., Notes, 6.200% due 5/15/04... 72,375
-----------
Real Estate -- 0.8%
150,000 BBB+ Duke Realty Ltd. Partnership, Notes, 7.375%
due 9/22/05............................... 147,563
100,000 BBB+ EOP Operating LLP, Sr. Notes, 6.375% due
2/15/03................................... 97,250
-----------
244,813
-----------
</TABLE>
See Notes to Financial Statements.
88
<PAGE>
Schedules of Investments
(continued)
Multi-Sector Fixed Income Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Face
Amount Rating(a) Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Real Estate Investment Trust (REIT) -- 0.6%
$ 100,000 BBB+ Simon Property Group, Inc., Notes, 6.750%
due 2/9/04................................ $ 95,750
75,000 BBB+ Wellsford Residential Property Trust, Sr.
Notes, 9.375% due 2/1/02.................. 76,781
-----------
172,531
-----------
Retail -- 1.2%
175,000 A CVS Corp., Notes, 5.500% due 2/15/04....... 166,469
200,000 AA Wal-Mart Stores, Sr. Notes, 6.550% due
8/10/04................................... 198,500
-----------
364,969
-----------
Software -- 0.7%
250,000 B- PSINet Inc., Sr. Notes, 11.000% due
8/1/09.................................... 217,187
-----------
Telecommunications -- 5.1%
100,000 BBB+ Cox Communications, Inc., Notes, 6.690% due
9/20/04................................... 97,375
100,000 B Crown Castle International Corp., Sr.
Notes, 10.750% due 8/1/11 ................ 104,500
250,000 B NEXTLINK Communications Inc., Sr. Notes,
10.750% due 6/1/09........................ 243,125
200,000 B NTL Communications Corp., Sr. Notes,
11.500% due 10/1/08....................... 205,000
100,000 BBB- PanAmSat Corp., Notes, 6.000% due 1/15/03.. 95,500
100,000 BBB+ Qwest Communications International Inc..,
Sr. Notes, 7.500% due 11/1/08............. 98,250
50,000 BBB+ Sprint Capital Corp., Company Guaranteed,
5.700% due 11/15/03....................... 47,875
250,000 NR TeleCorp PCS, Inc., Sr. Sub. Notes, 10.625%
due 7/15/10+.............................. 261,250
160,000 A Vodafon AirTouch PLC, Notes, 7.625% due
2/15/05+.................................. 162,000
250,000 B- WinStar Communications Inc., Sr. Notes,
12.500% due 4/15/08+...................... 221,250
-----------
1,536,125
-----------
Transportation -- 0.6%
175,000 BBB CSX Corp., Debentures, 7.250% due 5/1/04... 172,375
-----------
TOTAL CORPORATE BONDS & NOTES
(Cost -- $9,261,986)....................... 9,342,740
-----------
<CAPTION>
Shares
----------
<C> <C> <S> <C>
PREFERRED STOCK -- 0.8%
2,560 Nextel Communications, Inc., 11.125%
(Cost -- $235,374)........................ 247,680
-----------
<CAPTION>
Face
Amount Rating(a)
---------- ---------
<C> <C> <S> <C>
FOREIGN BONDS -- 0.6%
Canada -- 0.5%
$ 150,000 A+ Quebec Province, Debentures, 8.800% due
4/15/03................................... 156,563
-----------
Poland -- 0.1%
Republic of Poland:
10,000 BBB+ Series PDI, 6.000% due 10/27/14............ 9,294
24,000 BBB+ Series PDIB, 3.750% due 10/27/14........... 22,401
-----------
31,695
-----------
TOTAL FOREIGN BONDS
(Cost -- $186,826)......................... 188,258
-----------
</TABLE>
See Notes to Financial Statements.
89
<PAGE>
Schedules of Investments
(continued)
Multi-Sector Fixed Income Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Face
Amount Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 8.1%
$ 150,000 American Express Credit Account Master Trust,
5.600% due 11/15/06............................. $ 143,846
200,000 AutoNation Receivables Corp. Auto Owner Trust,
6.940% due 4/17/06.............................. 199,595
150,000 Capital One Master Trust, 7.100% due 4/17/06..... 150,970
150,000 Chase Commercial Mortgage Securities Corp., Sub.
Bonds, 6.600% due 12/19/07...................... 138,998
125,000 CIT Marine Trust, Notes, 6.250% due 11/15/19..... 115,002
200,000 Discover Card Master Trust I, 5.600% due
5/16/06......................................... 191,505
600,000 Fannie Mae, Notes, 5.625% due 5/14/04............ 577,962
75,000 FMAC Loan Receivables Trust, 6.740% due
11/15/20........................................ 71,362
Freddie Mac:
184,922 9.500% due 11/20/25.............................. 183,577
420,000 Bonds, 6.750% due 9/15/29........................ 415,040
100,000 Morgan Stanley Capital I, Sub. Bonds, 7.490% due
5/15/09......................................... 93,284
150,000 Toyota Auto Receivables Owner Trust, 7.210% due
4/15/07......................................... 151,601
-----------
TOTAL ASSET-BACKED SECURITIES
(Cost -- $2,386,739)............................. 2,432,742
-----------
MORTGAGE-BACKED SECURITIES -- 19.8%
Federal Home Loan Mortgage Corporation (FHLMC) -- 13.6%
Gold:
1,475,020 6.000% due 2/1/29................................ 1,373,613
979,885 7.000% due 11/1/29............................... 956,916
348,041 7.500% due 4/1/30................................ 346,409
1,388,720 8.500% due 6/1/30................................ 1,420,825
-----------
4,097,763
-----------
Federal National Mortgage Association (FNMA) -- 2.6%
99,330 7.500% due 1/1/30................................ 98,709
393,208 7.500% due 2/1/30................................ 390,750
200,004 8.500% due 7/1/30................................ 204,004
100,000 7.500% due 9/1/30#............................... 99,312
-----------
792,775
-----------
Government National Mortgage Association (GNMA) -- 3.6%
380,137 6.000% due 3/15/29............................... 355,664
276,659 8.000% due 9/15/29............................... 280,809
199,242 8.000% due 2/15/30............................... 202,230
96,322 8.000% due 3/15/30............................... 97,767
149,891 8.000% due 7/15/30............................... 151,600
-----------
1,088,070
-----------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost -- $5,901,732)............................. 5,978,608
-----------
COMMERCIAL PAPER -- 1.0%
300,000 Federal Home Loan Mortgage Corporation (FHLMC),
6.610% due 11/9/00 (Cost -- $296,199)........... 296,199
-----------
SUB-TOTAL INVESTMENTS
(Cost -- $28,411,506)............................ 28,722,418
-----------
</TABLE>
See Notes to Financial Statements.
90
<PAGE>
Schedules of Investments
(continued)
Multi-Sector Fixed Income Investments
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
Face
Amount Security Value
-------------------------------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENT -- 4.7%
$1,420,000 J.P. Morgan Securities Inc., 6.600% due 9/1/00;
Proceeds at maturity -- $1,420,260;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 4.250% to 13.375% due 3/31/01 to 8/15/26;
Market value -- $1,448,425) (Cost --
$1,420,000).................................... $ 1,420,000
-----------
TOTAL INVESTMENTS -- 100%
(Cost -- $29,831,506**).......................... $30,142,418
===========
</TABLE>
------
(a) All ratings are by Standard & Poor's Ratings Service, except those identi-
fied 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.
++ All or a portion of this security is segregated for "to-be-announced"
trades.
# Security is traded on a "to-be-announced" basis (See Note 11).
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 93 for definition of ratings and certain security descriptions.
See Notes to Financial Statements.
91
<PAGE>
Schedules of Investments
(continued)
Government Money Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Face Annualized
Amount Security Yield Value
<C> <S> <C> <C>
-------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 100%
$ 535,000 Farmer Mac matures 9/5/00............. 6.42% $ 534,618
275,000 Federal Farm Credit Bank matures 6.43
9/15/00............................... 274,312
62,232,000 Federal Home Loan Banks mature 9/20/00 6.37 to 6.40
to 11/15/00........................... 61,754,024
90,820,000 Federal Home Loan Mortgage Corp. 6.38 to 6.44
mature 9/5/00 to 11/22/00............. 90,173,218
73,210,000 Federal National Mortgage Association 6.38 to 6.44
mature 9/18/00 to 10/26/00............ 72,720,605
------------
TOTAL INVESTMENTS -- 100%
(Cost -- $225,456,777*)............... $225,456,777
============
</TABLE>
------
* Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
92
<PAGE>
Ratings and Security Descriptions
(unaudited)
Bond Ratings
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, -- Bonds rated BB, B, CCC, CC and C are regarded, on balance, as
CCC, predominantly speculative with respect to the issuer's capacity to
CC and C 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 "Ca," 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.
Caa -- Bonds rated "Caa" and "Ca" are of poor standing. These and issues
and Ca may be in default, or present elements of danger may exist with
respect to principal or interest.
NR -- Indicates that the bond is not rated by Standard & Poor's or
Moody's.
Short-Term Security Ratings
VMIG 1 -- Moody's highest rating for issues having demand
feature -- variable-rate demand obligation (VRDO).
P-1 -- Moody's highest rating for commercial paper and for VRDO prior to
the advent of the VMIG 1 rating.
A-1 -- Standard & Poor's highest commercial paper and VRDO rating
indicating that the degree of safety regarding timely payment is
either overwhelming or very strong; those issues determined to
possess overwhelming safety characteristics are denoted with a plus
(+) sign.
Security Descriptions
<TABLE>
<S> <C> <C>
AMBAC -- AMBAC Indemnity Corporation PCR -- Pollution Control Revenue
FGIC -- Financial Guaranty Insurance Company PDI -- Past Due Interest
GO -- General Obligation PSFG -- Permanent School Fund Guaranty
ISD -- Independent School District VRDN -- Variable Rate Demand Note
MBIA -- Municipal Bond Investors Assurance Corporation
</TABLE>
See Notes to Financial Statements.
93
<PAGE>
Statements of Assets and Liabilities
August 31, 2000
<TABLE>
<CAPTION>
Large Large
Capitalization Capitalization S&P 500
Value Equity Growth Index
Investments Investments Investments
-------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments, at cost .............. $1,755,835,748 $1,497,206,239 $29,745,211
Repurchase agreements, at cost..... 30,658,000 67,296,000 3,064,000
============== ============== ===========
Investments, at value.............. $1,896,245,849 $2,671,898,818 $32,171,116
Repurchase agreements, at value.... 30,658,000 67,296,000 3,064,000
Cash............................... 2,509 1,406 361
Collateral for securities on loan
(Note 13) ........................ 134,828,123 274,922,419 --
Receivable for securities sold .... 11,999,708 21,624,144 734
Receivable for Fund shares sold.... 3,330,649 3,272,742 136,601
Dividends and interest receivable
.................................. 4,309,611 796,856 41,094
Receivable from manager............ -- -- 611
Receivable from broker -- variation
margin............................ 193,600 224,400 42,240
-------------- -------------- -----------
Total Assets ...................... 2,081,568,049 3,040,036,785 35,456,757
-------------- -------------- -----------
LIABILITIES:
Payable for securities on loan
(Note 13)......................... 134,828,123 274,922,419 --
Payable for securities purchased... 9,287,460 -- 71,014
Payable for Fund shares purchased
.................................. 3,032,191 5,026,647 3,211
Management fees payable............ 735,921 953,120 --
Administration fees payable ....... 273,668 433,667 --
Dividends payable.................. -- -- --
Accrued expenses................... 360,875 370,267 17,148
-------------- -------------- -----------
Total Liabilities.................. 148,518,238 281,706,120 91,373
-------------- -------------- -----------
Total Net Assets ................... $1,933,049,811 $2,758,330,665 $35,365,384
============== ============== ===========
NET ASSETS:
Par value of shares of beneficial
interest.......................... $ 162,077 $ 94,052 $ 3,757
Capital paid in excess of par
value............................. 1,574,764,683 910,858,006 31,110,685
Undistributed net investment
income............................ 15,433,776 -- 199,315
Accumulated net investment loss.... -- (15,617) --
Accumulated net realized gain
(loss) on security transactions,
foreign currencies, futures
contracts and options ............ 201,899,694 672,185,470 1,514,104
Net unrealized appreciation
(depreciation) of investments and
futures contracts ................ 140,789,581 1,175,208,754 2,537,523
-------------- -------------- -----------
Total Net Assets.................... $1,933,049,811 $2,758,330,665 $35,365,384
============== ============== ===========
Shares Outstanding.................. 162,076,534 94,052,275 3,757,014
============== ============== ===========
Net Asset Value..................... $11.93 $29.33 $9.41
============== ============== ===========
</TABLE>
See Notes to Financial Statements.
94
<PAGE>
<TABLE>
<CAPTION>
Intermediate Long-Term Municipal Mortgage Multi-Sector Government
Fixed Income Bond Bond Backed High Yield Fixed Income Money
Investments Investments Investments Investments Investments Investments Investments
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$554,795,535 $66,594,640 $49,090,214 $100,379,057 $151,764,938 $28,411,506 $225,456,777
2,000,000 8,919,000 -- 1,275,000 28,180,000 1,420,000 --
============ =========== =========== ============ ============ =========== ============
$553,943,380 $65,548,744 $48,429,430 $ 98,438,440 $128,738,318 $28,722,418 $225,456,777
2,000,000 8,919,000 -- 1,275,000 28,180,000 1,420,000 --
3,157,907 819 5,278 39 42,721 1,764 53,080
-- -- -- -- -- -- --
3,038,103 4,187,163 -- -- 2,700,731 -- --
982,680 71,116 3,521 185,168 939,353 25,326 1,142,708
7,464,216 1,155,083 641,222 686,626 3,695,073 442,573 9,763
-- -- -- -- -- 60,460 --
95,625 125,872 -- -- -- -- --
------------ ----------- ----------- ------------ ------------ ----------- ------------
570,681,911 80,007,797 49,079,451 100,585,273 164,296,196 30,672,541 226,662,328
------------ ----------- ----------- ------------ ------------ ----------- ------------
-- -- -- -- -- -- --
4,607,578 4,694,849 -- -- -- 591,611 --
897,966 149,415 14,130 91,697 50,208 64,079 --
224,573 25,636 172,453 44,594 94,514 -- 24,496
97,190 12,843 67,122 88,708 27,004 -- --
-- -- -- -- -- -- 668,580
139,946 34,094 36,492 18,416 68,129 27,498 212,929
------------ ----------- ----------- ------------ ------------ ----------- ------------
5,967,253 4,916,837 290,197 243,415 239,855 683,188 906,005
------------ ----------- ----------- ------------ ------------ ----------- ------------
$564,714,658 $75,090,960 $48,789,254 $100,341,858 $164,056,341 $29,989,353 $225,756,323
============ =========== =========== ============ ============ =========== ============
$ 72,171 $ 9,561 $ 5,807 $ 12,801 $ 28,064 $ 3,645 $ 225,725
592,545,452 77,332,666 52,021,900 103,195,990 199,256,750 29,091,971 225,499,216
2,180,269 -- 123,614 441,188 -- 623,180 83,978
-- -- -- -- -- -- --
(29,874,506) (1,301,964) (2,701,283) (1,367,504) (12,201,853) (40,355) (52,596)
(208,728) (949,303) (660,784) (1,940,617) (23,026,620) 310,912 --
------------ ----------- ----------- ------------ ------------ ----------- ------------
$564,714,658 $75,090,960 $48,789,254 $100,341,858 $164,056,341 $29,989,353 $225,756,323
============ =========== =========== ============ ============ =========== ============
72,170,882 9,561,443 5,807,458 12,800,954 28,063,740 3,645,100 225,724,941
============ =========== =========== ============ ============ =========== ============
$7.82 $7.85 $8.40 $7.84 $5.85 $8.23 $1.00
============ =========== =========== ============ ============ =========== ============
</TABLE>
See Notes to Financial Statements.
95
<PAGE>
Statements of Operations
For the Year Ended August 31, 2000
<TABLE>
<CAPTION>
Large Large
Capitalization Capitalization
Value Equity Growth S&P 500 Index
Investments Investments Investments(a)
-------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest...................... $ 1,992,251 $ 2,967,613 $ 143,834
Dividends..................... 37,752,207 11,162,881 285,763
Less: Foreign withholding tax
............................. (58,103) (16,788) (981)
Less: Interest expense (Note
8)........................... -- -- --
------------- ------------- ----------
Total Investment Income....... 39,686,355 14,113,706 428,616
------------- ------------- ----------
EXPENSES:
Management fees (Note 2)...... 8,722,993 10,060,076 5,314
Administration fees (Note 2).. 3,753,593 5,084,520 26,570
Shareholder and system
servicing fees............... 1,782,000 2,217,612 14,000
Custody....................... 175,000 240,000 50,000
Shareholder communications.... 100,000 100,000 30,000
Registration fees............. 75,756 100,000 60,000
Audit and legal............... 32,000 34,400 28,000
Trustees' fees................ 31,000 45,000 2,000
Insurance fees................ 13,000 -- --
Pricing service fees.......... -- -- --
Other......................... 6,000 35,000 2,000
------------- ------------- ----------
Total Expenses................ 14,691,342 17,916,608 217,884
Less: Management and
administration fee waiver and
expense reimbursement (Note
2)........................... -- -- (138,888)
------------- ------------- ----------
Net Expenses.................. 14,691,342 17,916,608 78,996
------------- ------------- ----------
Net Investment Income (Loss)... 24,995,013 (3,802,902) 349,620
------------- ------------- ----------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS, FOREIGN
CURRENCIES, FUTURES CONTRACTS
AND OPTIONS (NOTES 4, 5 AND 6):
Realized Gain (Loss) From:
Security transactions
(excluding short-term
securities).................. 225,297,423 748,496,597 1,340,160
Foreign currency
transactions................. -- -- --
Futures contracts............. 2,172,570 138,617 173,944
Options written............... -- -- --
------------- ------------- ----------
Net Realized Gain (Loss)...... 227,469,993 748,635,214 1,514,104
------------- ------------- ----------
Change in Net Unrealized
Appreciation (Depreciation) of
Investments, Foreign
Currencies and Futures
Contracts:
Beginning of year............ 318,635,342 1,187,257,933 --
End of year.................. 140,789,581 1,175,208,754 2,537,523
------------- ------------- ----------
Change in Net Unrealized
Appreciation (Depreciation).. (177,845,761) (12,049,179) 2,537,523
------------- ------------- ----------
Net Gain (Loss) on Investments,
Foreign Currencies, Futures
Contracts
and Options................... 49,624,232 736,586,035 4,051,627
------------- ------------- ----------
Increase (Decrease) in Net
Assets From Operations........ $ 74,619,245 $ 732,783,133 $4,401,247
============= ============= ==========
</TABLE>
------
(a) For the period from October 1, 1999 (commencement of operations) to August
31, 2000.
See Notes to Financial Statements.
96
<PAGE>
<TABLE>
<CAPTION>
Intermediate Long-Term Municipal Mortgage Multi-Sector Government
Fixed Income Bond Bond Backed High Yield Fixed Income Money
Investments Investments Investments Investments Investments Investments(a) Investments
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$43,478,243 $6,294,757 $2,971,953 $7,796,733 $ 14,171,002 $1,743,188 $15,954,642
-- -- -- -- 35,990 -- --
-- -- -- -- -- -- --
(212,482) -- -- (49,203) -- -- --
----------- ---------- ---------- ---------- ------------ ---------- -----------
43,265,761 6,294,757 2,971,953 7,747,530 14,206,992 1,743,188 15,954,642
----------- ---------- ---------- ---------- ------------ ---------- -----------
2,652,133 356,034 225,438 550,030 797,658 98,644 353,955
1,280,232 178,017 112,719 220,012 227,902 50,248 542,112
646,500 197,233 35,000 201,600 226,832 38,586 937,750
31,000 4,824 3,250 7,001 6,500 5,000 15,006
38,000 16,000 4,000 9,000 16,300 22,960 108,390
35,000 25,136 22,000 30,000 35,000 47,182 35,136
31,310 30,200 31,000 32,000 31,000 27,509 26,992
12,000 2,006 3,500 5,200 5,000 2,000 12,810
-- -- -- -- -- -- --
28,000 2,005 3,700 -- 7,600 -- --
10,000 2,507 3,000 4,274 6,000 2,935 9,974
----------- ---------- ---------- ---------- ------------ ---------- -----------
4,764,175 813,962 443,607 1,059,117 1,359,792 295,064 2,042,125
-- -- -- (179,068) -- (94,359) (413,632)
----------- ---------- ---------- ---------- ------------ ---------- -----------
4,764,175 813,962 443,607 880,049 1,359,792 200,705 1,628,493
----------- ---------- ---------- ---------- ------------ ---------- -----------
38,501,586 5,480,795 2,528,346 6,867,481 12,847,200 1,542,483 14,326,149
----------- ---------- ---------- ---------- ------------ ---------- -----------
(16,608,284) (2,543,815) (2,701,282) (792,133) (11,109,883) (107,431) (28,603)
-- -- -- -- 47,587 -- --
55,495 1,231,186 -- -- -- 64,407 --
-- 8,082 -- -- -- (151) --
----------- ---------- ---------- ---------- ------------ ---------- -----------
(16,552,789) (1,304,547) (2,701,282) (792,133) (11,062,296) (43,175) (28,603)
----------- ---------- ---------- ---------- ------------ ---------- -----------
(13,209,652) (3,990,021) (4,259,497) (3,837,857) (10,724,522) -- --
(208,728) (949,303) (660,784) (1,940,617) (23,026,620) 310,912
----------- ---------- ---------- ---------- ------------ ---------- -----------
13,000,924 3,040,718 3,598,713 1,897,240 (12,302,098) 310,912 --
----------- ---------- ---------- ---------- ------------ ---------- -----------
(3,551,865) 1,736,171 897,431 1,105,107 (23,364,394) 267,737 (28,603)
----------- ---------- ---------- ---------- ------------ ---------- -----------
$34,949,721 $7,216,966 $3,425,777 $7,972,588 $(10,517,194) $1,810,220 $14,297,546
=========== ========== ========== ========== ============ ========== ===========
</TABLE>
See Notes to Financial Statements.
97
<PAGE>
Statements of Changes in Net Assets
For the Year Ended August 31, 2000
<TABLE>
<CAPTION>
Large Large
Capitalization Capitalization S&P 500
Value Equity Growth Index
Investments Investments Investments(a)
-------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income (loss)... $ 24,995,013 $ (3,802,902) $ 349,620
Net realized gain (loss) ...... 227,469,993 748,635,214 1,514,104
Change in net unrealized
appreciation (depreciation)... (177,845,761) (12,049,179) 2,537,523
-------------- -------------- -----------
Increase (Decrease) in Net
Assets From Operations ....... 74,619,245 732,783,133 4,401,247
-------------- -------------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
FROM (NOTE 3):
Net investment income.......... (24,273,137) -- (150,305)
Net realized gains............. (267,626,464) (255,136,348) --
Capital........................ -- -- --
-------------- -------------- -----------
Decrease in Net Assets From
Distributions to
Shareholders.................. (291,899,601) (255,136,348) (150,305)
-------------- -------------- -----------
FUND SHARE TRANSACTIONS (NOTE
14):
Net proceeds from sale of
shares ....................... 1,460,924,105 1,078,887,806 53,243,817
Net asset value of shares
issued for reinvestment of
dividends..................... 288,324,631 252,133,518 150,261
Cost of shares reacquired...... (1,545,198,328) (1,376,644,185) (22,279,636)
-------------- -------------- -----------
Increase (Decrease) in Net
Assets From Fund Share
Transactions ................. 204,050,408 (45,622,861) 31,114,442
-------------- -------------- -----------
Increase (Decrease) in Net
Assets......................... (13,229,948) 432,023,924 35,365,384
NET ASSETS:
Beginning of year.............. 1,946,279,759 2,326,306,741 --
-------------- -------------- -----------
End of year*................... $1,933,049,811 $2,758,330,665 $35,365,384
============== ============== ===========
* Includes undistributed net
investment income of:.......... $15,433,776 -- $199,315
============== ============== ===========
* Includes accumulated net
investment loss of:............ -- $(15,617) --
============== ============== ===========
</TABLE>
------
(a) For the period from October 1, 1999 (commencement of operations) to August
31, 2000.
See Notes to Financial Statements.
98
<PAGE>
<TABLE>
<CAPTION>
Intermediate Long-Term Municipal Mortgage Multi-Sector Government
Fixed Income Bond Bond Backed High Yield Fixed Income Money
Investments Investments Investments Investments Investments Investments(a) Investments
------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
$ 38,501,586 $ 5,480,795 $ 2,528,346 $ 6,867,481 $ 12,847,200 $ 1,542,483 $ 14,326,149
(16,552,789) (1,304,547) (2,701,282) (792,133) (11,062,296) (43,175) (28,603)
13,000,924 3,040,718 3,598,713 1,897,240 (12,302,098) 310,912 --
------------ ------------ ------------ ------------ ------------ ----------- ---------------
34,949,721 7,216,966 3,425,777 7,972,588 (10,517,194) 1,810,220 14,297,546
------------ ------------ ------------ ------------ ------------ ----------- ---------------
(36,255,705) (5,478,212) (2,404,732) (6,414,367) (12,945,390) (916,483) (14,297,546)
-- (716,867) (63,586) -- -- -- --
-- (160,834) -- -- (1,636,145) -- --
------------ ------------ ------------ ------------ ------------ ----------- ---------------
(36,255,705) (6,355,913) (2,468,318) (6,414,367) (14,581,535) (916,483) (14,297,546)
------------ ------------ ------------ ------------ ------------ ----------- ---------------
346,342,430 21,187,636 16,646,756 20,739,753 112,561,297 45,860,305 1,689,611,868
35,435,151 6,108,005 2,294,163 6,092,604 14,360,031 916,439 13,438,175
(410,422,861) (68,420,495) (32,852,466) (59,087,990) (92,822,837) (17,681,128) (1,780,453,613)
------------ ------------ ------------ ------------ ------------ ----------- ---------------
(28,645,280) (41,124,854) (13,911,547) (32,255,633) 34,098,491 29,095,616 (77,403,570)
------------ ------------ ------------ ------------ ------------ ----------- ---------------
(29,951,264) (40,263,801) (12,954,088) (30,697,412) 8,999,762 29,989,353 (77,403,570)
594,665,922 115,354,761 61,743,342 131,039,270 155,056,579 -- 303,159,893
------------ ------------ ------------ ------------ ------------ ----------- ---------------
$564,714,658 $ 75,090,960 $ 48,789,254 $100,341,858 $164,056,341 $29,989,353 $ 225,756,323
============ ============ ============ ============ ============ =========== ===============
$2,180,269 -- $123,614 $441,188 -- $623,180 $83,978
============ ============ ============ ============ ============ =========== ===============
-- -- -- -- -- -- --
============ ============ ============ ============ ============ =========== ===============
</TABLE>
See Notes to Financial Statements.
99
<PAGE>
Statements of Changes in Net Assets
For the Year Ended August 31, 1999
<TABLE>
<CAPTION>
Large Large
Capitalization Capitalization
Value Equity Growth
Investments Investments
-------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 23,259,633 $ 1,341,633
Net realized gain (loss)..................... 255,689,088 189,645,829
Change in net unrealized appreciation
(depreciation).............................. 163,044,497 614,782,168
-------------- --------------
Increase (Decrease) in Net Assets
From Operations............................. 441,993,218 805,769,630
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 3):
Net investment income........................ (24,090,151) (1,394,003)
Net realized gains........................... (228,220,596) (82,674,037)
Capital ..................................... -- --
-------------- --------------
Decrease in Net Assets From
Distributions to Shareholders............... (252,310,747) (84,068,040)
-------------- --------------
FUND SHARE TRANSACTIONS (NOTE 14):
Net proceeds from sale of shares............. 719,922,680 629,395,099
Net asset value of shares issued for
reinvestment of dividends................... 249,441,932 83,203,975
Cost of shares reacquired.................... (925,011,514) (901,439,891)
-------------- --------------
Increase (Decrease) in Net Assets From Fund
Share Transactions.......................... 44,353,098 (188,840,817)
-------------- --------------
Increase (Decrease) in Net Assets............. 234,035,569 532,860,773
NET ASSETS:
Beginning of year............................ 1,712,244,190 1,793,445,968
-------------- --------------
End of year*................................. $1,946,279,759 $2,326,306,741
============== ==============
* Includes undistributed (overdistributed) net
investment income of:....................... $14,221,800 $(26,105)
============== ==============
</TABLE>
See Notes to Financial Statements.
100
<PAGE>
<TABLE>
<CAPTION>
Intermediate Long-Term Municipal Mortgage Government
Fixed Income Bond Bond Backed High Yield Money
Investments Investments Investments Investments Investments Investments
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
$ 33,593,741 $ 8,121,750 $ 2,864,885 $ 8,298,991 $ 14,038,208 $ 14,772,877
(8,223,174) 1,468,720 1,207,483 (27,158) (1,009,756) (2,280)
(19,662,673) (17,638,396) (5,702,487) (6,171,249) (8,424,614) --
------------- ------------ ------------ ------------ ------------ -------------
5,707,894 (8,047,926) (1,630,119) 2,100,584 4,603,838 14,770,597
------------- ------------ ------------ ------------ ------------ -------------
(34,294,296) (8,265,999) (2,864,885) (8,236,317) (14,417,141) (14,769,135)
-- (5,665,399) (1,100,764) (863,284) (221,603) --
-- -- -- (155,996) -- --
------------- ------------ ------------ ------------ ------------ -------------
(34,294,296) (13,931,398) (3,965,649) (9,255,597) (14,638,744) (14,769,135)
------------- ------------ ------------ ------------ ------------ -------------
270,102,012 46,112,013 20,389,540 32,036,084 126,370,359 851,220,980
33,496,895 13,486,530 3,761,727 8,869,067 14,513,511 14,498,758
(255,344,729) (79,876,792) (29,323,170) (58,753,722) (52,349,167) (938,322,010)
------------- ------------ ------------ ------------ ------------ -------------
48,254,178 (20,278,249) (5,171,903) (17,848,571) 88,534,703 (72,602,272)
------------- ------------ ------------ ------------ ------------ -------------
19,667,776 (42,257,573) (10,767,671) (25,003,584) 78,499,797 (72,600,810)
574,998,146 157,612,334 72,511,013 156,042,854 76,556,782 375,760,703
------------- ------------ ------------ ------------ ------------ -------------
$ 594,665,922 $115,354,761 $ 61,743,342 $131,039,270 $155,056,579 $ 303,159,893
============= ============ ============ ============ ============ =============
-- -- -- -- $110,603 $55,375
============= ============ ============ ============ ============ =============
</TABLE>
See Notes to Financial Statements.
101
<PAGE>
Notes to Financial Statements
1. Significant Accounting Policies
The Large Capitalization Value Equity Investments, Large Capitalization Growth
Investments, S&P 500 Index Investments, Intermediate Fixed Income Investments,
Long-Term Bond Investments, Municipal Bond Investments, Mortgage Backed Invest-
ments, High Yield Investments, Multi-Sector Fixed Income Investments and Gov-
ernment Money Investments ("Portfolios") are separate investment portfolios of
the Consulting Group Capital Markets Funds ("Fund"). The 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 of-
fers seven other portfolios: Small Capitalization Value Equity Investments,
Small Capitalization Growth Investments, International Equity Investments,
Emerging Markets Equity Investments, International Fixed Income Investments,
Multi-Strategy Market Neutral Investments and Balanced Investments. The finan-
cial statements and financial highlights for the other portfolios are presented
in separate shareholder reports.
The significant accounting policies consistently followed by the Portfolios
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 am-
ortized cost method; securities primarily traded on foreign exchanges are gen-
erally valued at the preceding closing values of such securities on their re-
spective 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 considera-
tion of other factors by or under the direction of the Board of Trustees; secu-
rities 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. is-
suers (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 agen-
cies 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 ex-
istence 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 custo-
dian 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, 2000, reclassifications were made to the capital accounts of the
Large Capitalization Value Equity Investments, Large Capitalization Growth In-
vestments, Intermediate Fixed Income Investments, Long-Term Bond Investments,
Mortgage Backed Investments, High Yield Investments and Multi-Sector Fixed In-
come Investments to reflect permanent book/tax differences and income and gains
available for distributions under income tax regulations. Net investment in-
come, net realized gains and net assets were not affected by this adjustment;
and (j) estimates and assumptions are required to be made regarding assets, li-
abilities 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.
In addition, certain portfolios may from time to time enter into futures con-
tracts 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 be-
tween the contract exchange rate and the current market rate as an unrealized
gain or loss. Realized gains or losses are recognized when contracts are set-
tled.
102
<PAGE>
Notes to Financial Statements
(continued)
2. Investment Advisory Agreement, Administration Agreement and Other
Transactions
The Fund has entered into an investment management agreement ("Management
Agreement") with SSB Citi Fund Management LLC ("SSBC"), a subsidiary of Salomon
Smith Barney Holdings Inc. ("SSBH"), which, in turn, is a subsidiary of
Citigroup Inc. ("Citigroup"). The Consulting Group ("Manager"), a division of
SSBC provides investment evaluation services with respect to the investment ad-
visors of the Portfolios. SSBC has entered into an investment advisory agree-
ment with each advisor selected for the Portfolios (collectively, "Sub-Advi-
sors").
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 Portfo-
lio's average daily net assets. In addition, SSBC pays each Sub-Advisor, based
on the rates applied to each respective Portfolio's average daily net assets on
a monthly basis.
Indicated below for each Portfolio is the applicable maximum allowable manage-
ment fee, actual management fee incurred, sub-advisory fee and the sub-advisor.
The maximum allowable management fee represents the total amount that could be
charged to the Portfolio while the actual management fee is what the Portfolio
incurred during the reporting period. The actual management fee could fluctuate
from year to year if sub-advisors are added or terminated in a particular Port-
folio.
<TABLE>
<CAPTION>
Maximum
Actual Allowable
Sub- Management Fee Annual
Portfolio Sub-Advisor Advisor Fee Incurred Management Fee
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Large Capitalization 0.47% 0.60%
Value Equity
Investments Barclays Global Fund Advisors 0.02%
The Boston Co. Asset Management, Inc.:
on the first $350 million 0.30
on the amount over $350 million 0.25
Parametric Portfolio Associates:
on the first $300 million 0.20
on the amount over $300 million 0.15
Chartwell Investment Partners 0.30
Large Capitalization
Growth 0.40 0.60
Investments Provident Investment Counsel Inc.:
on the first $100 million 0.30
on the amount over $100 million 0.25
Barclays Global Fund Advisors 0.02
TCW Investment Management Co.:
on the first $500 million 0.40
on the amount over $500 million 0.35
S&P 500 Index
Investments 0.02 0.02
Barclays Global Fund Advisors 0.02
Intermediate Fixed
Income 0.41 0.45
Investments Standish, Ayer & Wood, Inc.:
on the first $200 million 0.20
on the amount over $200 million 0.15
Pacific Investment Management Co. 0.25
Metropolitan West Asset Management, LLC 0.20
Long-Term Bond
Investments 0.40 0.40
Western Asset Management Co. 0.20
Municipal Bond
Investments 0.40 0.40
Smith Affiliated Capital Corp. 0.20
</TABLE>
103
<PAGE>
Notes to Financial Statements
(continued)
<TABLE>
<CAPTION>
Maximum
Actual Allowable
Sub- Management Fee Annual
Portfolio Sub-Advisor Advisor Fee Incurred Management Fee
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Mortgage Backed
Investments 0.50% 0.50%
Utendahl Capital Management CFI 0.25
High Yield Investments 0.70 0.70
Alliance Capital Management L.P. 0.45%
Multi-Sector Fixed
Income Investments 0.36 0.65
Standish, Ayer & Wood, Inc. 0.15
Western Asset Management Co. 0.20
Utendahl Capital Management CFI 0.25
Alliance Capital Management L.P. 0.45
Government Money
Investments 0.13 0.15
Standish, Ayer & Wood, Inc.:
on the first $100 million 0.15
on the amount over $100 million 0.10
</TABLE>
SSBC also acts as the Fund's administrator for which each Portfolio pays a fee
calculated at an annual rate of 0.20% of the average daily net assets of each
respective Portfolio, except S&P 500 Index Investments. S&P 500 Index Invest-
ments pays SSBC an administration fee calculated at an annual rate of 0.10% of
the average daily net assets of the Portfolio. This fee is calculated daily and
paid monthly.
For the year ended August 31, 2000, the following fees were waived:
<TABLE>
<CAPTION>
Total Fee
Portfolio Waivers Manager Administrator
--------------------------------------------------------------------------------
<S> <C> <C> <C>
S&P 500 Index Investments...................... $ 26,570 -- $ 26,570
Mortgage Backed Investments.................... 179,068 $127,906 51,162
Multi-Sector Fixed Income Investments.......... 94,359 72,157 22,202
Government Money Investments................... 410,110 639 409,471
</TABLE>
In addition, for the year ended August 31, 2000, SSBC has agreed to reimburse
expenses of $112,318 and $3,522 for S&P 500 Index Investments and Government
Money Investments, respectively.
Citi Fiduciary Trust Company ("CFTC"), formerly known as Smith Barney Private
Trust Company, another subsidiary of Citigroup, acts as the Portfolios' trans-
fer agent and PFPC Global Fund Services ("PFPC") acts as the Portfolios' sub-
transfer agent. CFTC receives account fees and asset-based fees that vary ac-
cording to the account size and type of account. PFPC is responsible for share-
holder recordkeeping and financial processing for all shareholder accounts and
is paid by CFTC. During the year ended August 31, 2000, the Portfolios paid
transfer agent fees totaling $3,399,239 to CFTC.
For the year ended August 31, 2000, Salomon Smith Barney Inc. ("SSB"), another
subsidiary of SSBH and its affiliates, received brokerage commissions of
$77,993.
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 in-
terest 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.
104
<PAGE>
Notes to Financial Statements
(continued)
Capital gain distributions, if any, are taxable to shareholders, and are de-
clared and paid at least annually. Additional taxable distributions may be made
if necessary to avoid a Federal excise tax.
4. Investments
During the year ended August 31, 2000, the aggregate cost of purchases and pro-
ceeds from sales of investments (including maturities, but excluding short-term
securities) were as follows:
<TABLE>
<CAPTION>
Portfolio Purchases Sales
-------------------------------------------------------------------------------
<S> <C> <C>
Large Capitalization Value Equity Investments.... $1,433,769,951 $1,504,972,597
Large Capitalization Growth Investments.......... 1,470,513,415 1,881,829,711
S&P 500 Index Investments........................ 42,547,222 14,519,546
Intermediate Fixed Income Investments............ 1,200,760,517 1,209,775,688
Long-Term Bond Investments....................... 315,069,278 367,332,571
Municipal Bond Investments....................... 20,110,946 34,580,470
Mortgage Backed Investments...................... 31,106,357 48,833,677
High Yield Investments........................... 138,680,263 135,993,925
Multi-Sector Fixed Income Investments............ 91,853,953 63,788,347
</TABLE>
At August 31, 2000, the aggregate gross unrealized appreciation and deprecia-
tion of investments for Federal income tax purposes were substantially as fol-
lows:
<TABLE>
<CAPTION>
Net Unrealized
Appreciation
Portfolio Appreciation Depreciation (Depreciation)
------------------------------------------------------------------------------
<S> <C> <C> <C>
Large Capitalization Value
Equity Investments............. $ 257,903,508 $(117,493,407) $ 140,410,101
Large Capitalization Growth
Investments.................... 1,218,884,729 (44,192,150) 1,174,692,579
S&P 500 Index Investments....... 4,478,892 (2,052,987) 2,425,905
Intermediate Fixed Income
Investments.................... 4,591,937 (5,444,092) (852,155)
Long-Term Bond Investments...... 747,226 (1,793,122) (1,045,896)
Municipal Bond Investments...... 545,838 (1,206,622) (660,784)
Mortgage Backed Investments..... 641,247 (2,581,864) (1,940,617)
High Yield Investments.......... 3,156,649 (26,183,269) (23,026,620)
Multi-Sector Fixed Income
Investments.................... 384,652 (73,740) 310,912
</TABLE>
5. Futures Contracts
Initial margin deposits made upon entering into futures contracts are recog-
nized as assets. Securities equal to the initial margin amount are segregated
by the custodian in the name of the broker. Additional securities are also seg-
regated up to the current market value of the futures contract. During the pe-
riod 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 ba-
sis to reflect the market value of the contract at the end of each day's trad-
ing. 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.
105
<PAGE>
Notes to Financial Statements
(continued)
At August 31, 2000, Large Capitalization Value Equity Investments, Large Capi-
talization Growth Investments, S&P 500 Index Investments, Intermediate Fixed
Income Investments and Long-Term Bond 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.......... 44 9/00 $16,353,720 $16,733,200 $ 379,480
=== =========== =========== =========
Large Capitalization Growth Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Gain
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index.......... 51 9/00 $18,879,125 $19,395,300 $ 516,175
=== =========== =========== =========
S&P 500 Index Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Gain
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Emini S&P 500 Index.... 18 9/00 $ 1,336,012 $ 1,369,080 $ 33,068
S&P 500 Index.......... 6 9/00 2,203,250 2,281,800 78,550
--- ----------- ----------- ---------
Total.................. 24 $ 3,539,262 $ 3,650,880 $ 111,618
=== =========== =========== =========
Intermediate Fixed Income Investments
<CAPTION>
Unrealized
# of Basis Market Gain
Purchased Contracts Contracts Expiration Value Value (Loss)
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Muni Bond.............. 9 9/00 $ 836,719 $ 899,156 $ 62,437
U.S. Treasury Notes.... 216 9/00 20,921,135 21,633,750 712,615
--- ----------- ----------- ---------
225 21,757,854 22,532,906 775,052
--- ----------- ----------- ---------
<CAPTION>
Sold Contracts
--------------
<S> <C> <C> <C> <C> <C>
U.S. Treasury Notes.... 54 9/00 5,276,813 5,408,438 (131,625)
--- ----------- ----------- ---------
279 $ 643,427
=== =========
Long-Term Bond Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Gain
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
U.S. Long Bond (CBT)... 112 9/00 $11,174,469 $11,242,000 $ 67,531
U.S. Long Bond (CBT)... 68 12/00 6,800,688 6,829,750 29,062
--- ----------- ----------- ---------
180 $17,975,157 $18,071,750 $ 96,593
=== =========== =========== =========
</TABLE>
106
<PAGE>
Notes to Financial Statements
(continued)
6. Option Contracts
Each Portfolio may from time to time enter into option contracts.
Premiums paid when put or call options are purchased by a Portfolio represent
investments which are marked-to-market daily. When a purchased option expires,
the Portfolio will realize a loss in the amount of the premium paid. When the
Portfolio enters into closing sales transaction, the Portfolio will realize a
gain or loss depending on whether the sales proceeds from the closing sales
transaction are greater or less than the premium paid for the option. When the
Portfolio exercises a put option, it will realize a gain or loss from the sale
of the underlying security and the proceeds from such sale will be decreased by
the premium originally paid. When the Portfolio exercises a call option, the
cost of the security which the Portfolio purchases upon exercise will be in-
creased by the premium originally paid.
At August 31, 2000, the Portfolios had no open purchased call or put option
contracts.
When a Portfolio writes a call or put option, an amount equal to the premium
received by the Portfolio is recorded as a liability, the value of which is
marked-to-market daily. When a written option expires, the Portfolio realizes a
gain equal to the amount of the premium received. When the Portfolio enters
into a closing purchase transaction, the Portfolio realizes a gain (or loss if
the cost of the closing purchase transaction exceeds the premium received when
the option was written) without regard to any unrealized gain or loss on the
underlying security, and the liability related to such option is eliminated.
When a written call option is exercised, the cost of the security sold will be
reduced by the premium originally received. When a written put option is exer-
cised, the amount of the premium received will reduce the cost of the security
which the Portfolio purchased upon exercise. When written index options are ex-
ercised, settlement is made in cash. The risk associated with purchasing op-
tions is limited to the premium originally paid. The Portfolio enters into op-
tions for hedging purposes. The risk in writing a call option is that the Port-
folio gives up the opportunity to participate in any decrease in the price of
the underlying security beyond the exercise price. The risk in writing a put
option is that the Fund is exposed to the risk of loss if the market price of
the underlying security declines.
The written call option transactions for Long-Term Bond Investments which oc-
curred during the year ended August 31, 2000 were as follows:
<TABLE>
<CAPTION>
Number of
Long-Term Bond Investments Contracts Premiums
-------------------------------------------------------------------------------
<S> <C> <C>
Options written, outstanding at August 31, 1999............ -- --
Options written during the year ended August 31, 2000...... 76 $ 55,665
Options cancelled in closing purchase transactions......... (76) (55,665)
--- --------
Options written, outstanding at August 31, 2000............ -- $ --
=== ========
</TABLE>
In addition, the written call option transactions for Multi-Sector Fixed Income
Investments which occurred during the year ended August 31, 2000 were as fol-
lows:
<TABLE>
<CAPTION>
Number of
Multi-Sector Fixed Income Investments Contracts Premiums
-------------------------------------------------------------------------------
<S> <C> <C>
Options written, outstanding at August 31, 1999............. -- --
Options written during the year ended August 31, 2000....... 1 $ 776
Options cancelled in closing purchase transactions.......... (1) (776)
--- -----
Options written, outstanding at August 31, 2000............. -- $ --
=== =====
</TABLE>
7. Foreign Securities
High Yield Investments invests 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 in-
terest and/or a dividend in foreign currencies, changes in the relationship of
these foreign currencies to the U.S. dollar can significantly
107
<PAGE>
Notes to Financial Statements
(continued)
affect the value of the investments and earnings of the Portfolio. Foreign in-
vestments may also subject the Portfolios to foreign government exchange re-
strictions, expropriation, taxation or other political, social or economic de-
velopments, all of which could affect the market and/or credit risk of the in-
vestments.
8. Reverse Repurchase Agreements
The Intermediate Fixed Income Investments and Mortgage Backed Investments may
enter into reverse repurchase agreement transactions for leveraging purposes. A
reverse repurchase agreement involves a sale by the Portfolio of securities
that it holds with an agreement by the Portfolio to repurchase the same securi-
ties at an agreed upon price and date. A reverse repurchase agreement involves
the risk that the market value of the securities sold by the Portfolio may de-
cline below the repurchase price of the securities. The Portfolio will estab-
lish a segregated account with its custodian, in which the Portfolio will main-
tain cash, U.S. government securities or other liquid high grade debt obliga-
tions equal in value to its obligations with respect to reverse repurchase
agreements.
At August 31, 2000, the Portfolios had no reverse repurchase agreements out-
standing.
During the year ended August 31, 2000, the maximum and average amount of re-
verse repurchase agreements outstanding at month end were as follows:
<TABLE>
<CAPTION>
Intermediate Mortgage
Fixed Income Backed
Investments Investments
-------------------------------------------------------------------------------
<S> <C> <C>
Maximum amount outstanding ........................... $18,200,000 $5,000,000
=========== ==========
Average amount outstanding............................ $16,353,666 $4,975,000
=========== ==========
</TABLE>
In addition, during the year ended August 31, 2000, interest rates ranged from
5.68% to 5.77% for Intermediate Fixed Income Investments and from 5.34% to
5.85% for Mortgage Backed Investments, respectively.
Interest expense for the year ended August 31, 2000 on borrowings by Intermedi-
ate Fixed Income Investments and Mortgage Backed Investments under reverse re-
purchase agreements totaled $212,482 and $49,203, respectively.
9. Repurchase Agreements
Each Portfolio purchases (and its custodian takes possession of) U.S.
government securities from banks and securities dealers subject to agreements
to resell the securities to the sellers at a future date (generally, the next
business day) at an agreed-upon higher repurchase price. A Portfolio requires
continual maintenance of the market value (plus accrued interest) of the
collateral in amounts at least equal to the repurchase price.
10. Capital Loss Carryforward
At August 31, 2000, the Portfolios had, for Federal income tax purposes,
approximately the following unused capital loss carryforwards available to
offset future capital gains expiring on August 31 of the years below:
<TABLE>
<CAPTION>
Portfolio Total 2003 2004 2005 2008
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Intermediate Fixed Income
Investments ............ $13,922,000 $387,000 $1,462,000 $773,000 $11,300,000
Long-Term Bond
Investments............. 780,000 -- -- -- 780,000
Municipal Bonds
Investments............. 733,000 -- -- -- 733,000
Mortgage Backed
Investments ............ 589,000 -- -- -- 589,000
High Yield Investments... 4,320,000 -- -- -- 4,320,000
Multi-Sector Fixed Income
Investments............. 13,000 -- -- -- 13,000
Government Money
Investments............. 30,000 12,000 8,000 -- 10,000
</TABLE>
To the extent that these capital carryforward losses are used to offset capital
gains, it is probable that the gains so offset will not be distributed.
108
<PAGE>
Notes to Financial Statements
(continued)
11. Securities Traded on a To-Be-Announced Basis
Each Portfolio may trade securities on a "to-be-announced" ("TBA") basis. In a
TBA transaction, the Fund commits to purchasing or selling securities for which
specific information is not yet known at the time of the trade, particularly
the face amount and maturity date in GNMA transactions. Securities purchased on
a TBA basis are not settled until they are delivered to the Fund normally 15 to
45 days later. These transactions are subject to market fluctuations and their
current value is determined in the same manner as for other securities.
At August 31, 2000, the Intermediate Fixed Income Investments and Multi-Sector
Fixed Income Investments, each held one TBA security with a cost of $4,607,578
and $98,594, respectively.
12. Short Sales of Securities
A short sale is a transaction in which the Portfolio sells securities it does
not own (but has borrowed) in anticipation of a decline in the market price of
the securities. To complete a short sale, the Portfolio may arrange through a
broker to borrow the securities to be delivered to the buyer. The proceeds re-
ceived by the Portfolio for the short sale are retained by the broker until the
Portfolio replaces the borrowed securities. In borrowing the securities to be
delivered to the buyer, the Portfolio becomes obligated to replace the securi-
ties borrowed at their market price at the time of replacement, whatever that
price may be.
At August 31, 2000, there were no open short sale transactions.
13. Lending of Portfolio Securities
The Portfolios have an agreement with the custodian whereby the custodian may
lend securities owned by the Portfolios to brokers, dealers and other financial
organizations. Fees earned by the Portfolios on securities lending are recorded
in interest income. Loans of securities by the Portfolios are collateralized by
cash, U.S. government securities or high quality money market instruments that
are maintained at all times in an amount equal to the current market value of
the loaned securities, plus a margin depending on the type of securities
loaned. The custodian establishes and maintains the collateral in a segregated
account.
At August 31, 2000, the Portfolios listed below had securities on loan. The
market value for the securities on loan was as follows:
<TABLE>
<CAPTION>
Portfolio Value
-------------------------------------------------------------------------------
<S> <C>
Large Capitalization Value Equity Investments..................... $130,976,022
Large Capitalization Growth Investments........................... 274,639,132
</TABLE>
109
<PAGE>
Notes to Financial Statements
(continued)
At August 31, 2000, Large Capitalization Value Equity Investments and Large
Capitalization Growth Investments received cash collateral which was invested
as follows:
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
Security Description Value
-------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Bank of Brussels, 6.67% due 9/1/00............................... $ 2,841,129
Bank of Brussels, 6.68% due 9/1/00............................... 8,309,295
Barclays Bank, 6.63% due 9/1/00.................................. 16,466,938
Barclays De Zoete, 6.66% due 9/1/00.............................. 14,059,231
Chase Bank, 6.69% due 9/1/00..................................... 14,059,231
Wells Fargo Bank, 6.66% due 9/1/00............................... 36,950,723
Floating Rate Certificate of Deposit:
Comerica Bank, 5.86% due 2/14/01................................. 1,532,427
Floating Rate Notes:
AmSouth Bank, 5.73% due 1/25/01.................................. 5,137,766
Bank One, 6.68% due 7/2/01....................................... 2,966,737
Bear Stearns & Co., 6.65% due 8/10/01............................ 14,799
Commerz Bank A.G., 5.89% due 3/12/01............................. 1,272,241
First Union Bank, 6.51% due 5/21/01.............................. 6,775,329
First Union Bank, 6.61% due 5/23/01.............................. 3,933,709
KeyBank Corp., 5.88% due 2/14/01................................. 2,519,955
Morgan Stanley Dean Witter & Co., 5.75% due 11/2/00.............. 442,959
Sigma Finance, 6.02% due 9/14/00................................. 4,429,129
Sigma Finance, 6.48% due 11/6/00................................. 4,073,083
Sigma Finance, 6.63% due 12/4/00................................. 6,213,218
Yankee Certificate of Deposits:
Sanwa Bank, 6.62% due 10/5/00.................................... 2,049,899
Sanwa Bank, 6.62% due 2/14/01.................................... 780,325
------------
Total............................................................. $134,828,123
============
</TABLE>
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
Security Description Value
-------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Bank Brussels, 6.67% due 9/1/00.................................. $ 22,333,899
Barclays Bank, 6.63% due 9/1/00.................................. 32,739,870
Barclays De Zoete, 6.66% due 9/1/00.............................. 28,160,134
Chase Bank, 6.69% due 9/1/00..................................... 28,160,134
Wells Fargo Bank, 6.66% due 9/1/00............................... 74,010,971
Floating Rate Certificate of Deposit:
Comerica Bank, 5.86% due 2/14/01................................. 18,630,753
Floating Rate Notes:
AmSouth Bank, 5.73% due 1/25/01.................................. 653,888
Bank One, 6.68% due 7/2/01....................................... 741,723
Bear Stearns & Co., 6.68% due 7/13/01............................ 2,264,172
Bear Stearns & Co., 6.59% due 8/3/01............................. 8,342,206
Bear Stearns & Co., 6.65% due 8/10/01............................ 4,257,882
First Union Bank, 6.51% due 5/21/01.............................. 12,365,000
First Union Bank, 6.61% due 5/23/01.............................. 1,874,507
KeyBank Corp., 5.88% due 2/14/01................................. 9,264,262
Morgan Stanley Dean Witter & Co., 5.75% due 11/2/00.............. 5,228,657
Sigma Finance, 6.02% due 9/14/00................................. 5,636,670
Sigma Finance, 6.63% due 12/4/00................................. 5,243,566
Yankee Certificate of Deposit:
Sanwa Bank, 6.62% due 10/5/00.................................... 15,014,125
------------
Total............................................................. $274,922,419
============
</TABLE>
110
<PAGE>
Notes to Financial Statements
(continued)
Income earned by the Portfolios from securities lending for the year ended Au-
gust 31, 2000, were as follows:
<TABLE>
<CAPTION>
Portfolio Value
-------------------------------------------------------------------------------
<S> <C>
Large Capitalization Value Equity Investments......................... $196,421
Large Capitalization Growth Investments............................... 446,998
</TABLE>
14. Shares of Beneficial Interest
At August 31, 2000, the Fund had an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share. Transactions in
shares were as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
August 31, 2000 August 31, 1999
---------------- ----------------
<S> <C> <C>
Large Capitalization
Value Equity
Investments
Shares sold............. 125,157,972 52,439,364
Shares issued on rein-
vestment............... 24,834,162 19,687,603
Shares reacquired....... (131,800,739) (67,623,981)
------------ -----------
Net Increase............ 18,191,395 4,502,986
============ ===========
Large Capitalization
Growth Investments
Shares sold............. 40,151,948 28,217,260
Shares issued on rein-
vestment............... 10,162,576 3,921,017
Shares reacquired....... (51,803,887) (40,273,355)
------------ -----------
Net Decrease............ (1,489,363) (8,135,078)
============ ===========
S&P 500 Index
Investments*
Shares sold............. 6,235,418 --
Shares issued on rein-
vestment............... 16,549 --
Shares reacquired....... (2,494,953) --
------------ -----------
Net Increase............ 3,757,014 --
============ ===========
Intermediate Fixed
Income Investments
Shares sold............. 44,484,228 33,105,433
Shares issued on rein-
vestment............... 4,558,610 4,149,749
Shares reacquired....... (52,814,440) (31,483,419)
------------ -----------
Net Increase (De-
crease)................ (3,771,602) 5,771,763
============ ===========
Long-Term Bond
Investments
Shares sold............. 2,792,766 5,357,531
Shares issued on rein-
vestment............... 801,326 1,563,665
Shares reacquired....... (9,007,579) (9,354,951)
------------ -----------
Net Decrease............ (5,413,487) (2,433,755)
============ ===========
Municipal Bond
Investments
Shares sold............. 2,062,646 2,319,842
Shares issued on rein-
vestment............... 284,152 430,977
Shares reacquired....... (4,046,973) (3,370,750)
------------ -----------
Net Decrease............ (1,700,175) (619,931)
============ ===========
</TABLE>
------
*For the period from October 1, 1999 (commencement of operations) to August 31,
2000.
111
<PAGE>
Notes to Financial Statements
(continued)
<TABLE>
<CAPTION>
Year Ended Year Ended
August 31, 2000 August 31, 1999
---------------- ----------------
<S> <C> <C>
Mortgage Backed Investments
Shares sold................................... 2,680,371 3,969,941
Shares issued on reinvestment................. 788,599 1,106,705
Shares reacquired............................. (7,629,237) (7,307,074)
-------------- ------------
Net Decrease.................................. (4,160,267) (2,230,428)
============== ============
High Yield Investments
Shares sold................................... 18,165,693 16,355,763
Shares issued on reinvestment................. 2,297,214 1,897,006
Shares reacquired............................. (13,562,721) (6,787,756)
-------------- ------------
Net Increase.................................. 6,900,186 11,465,013
============== ============
Multi-Sector Fixed Income Investments*
Shares sold................................... 5,736,725 --
Shares issued on reinvestment................. 113,939 --
Shares reacquired............................. (2,205,564) --
-------------- ------------
Net Increase.................................. 3,645,100 --
============== ============
Government Money Investments
Shares sold................................... 1,689,611,868 851,220,980
Shares issued on reinvestment................. 13,438,175 14,498,758
Shares reacquired............................. (1,780,453,613) (938,322,010)
-------------- ------------
Net Decrease.................................. (77,403,570) (72,602,272)
============== ============
</TABLE>
------
*For the period from October 1, 1999 (commencement of operations) to August 31,
2000.
112
<PAGE>
Financial Highlights
For a share of beneficial interest outstanding throughout each year ended Au-
gust 31:
<TABLE>
<CAPTION>
Large Capitalization Value Equity
Investments
------------------------------------------------------------------------------
2000 1999 1998 1997 1996
------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year.... $13.53 $12.28 $14.91 $11.55 $10.42
------ ------ ------ ------ ------
Income From Operations:
Net investment income................ 0.17 0.17 0.16 0.23 0.26
Net realized and unrealized gain..... 0.31 2.94 0.08 4.09 1.25
------ ------ ------ ------ ------
Total Income From Operations.......... 0.48 3.11 0.24 4.32 1.51
------ ------ ------ ------ ------
Less Distributions From:
Net investment income................ (0.17) (0.18) (0.11) (0.34) (0.24)
Net realized gains................... (1.91) (1.68) (2.76) (0.62) (0.14)
------ ------ ------ ------ ------
Total Distributions................... (2.08) (1.86) (2.87) (0.96) (0.38)
------ ------ ------ ------ ------
Net Asset Value, End of Year.......... $11.93 $13.53 $12.28 $14.91 $11.55
====== ====== ====== ====== ======
Total Return.......................... 4.00% 26.36% 0.03% 38.98% 14.75%
Net Assets, End of Year (millions).... $1,933 $1,946 $1,712 $1,935 $1,512
Ratios to Average Net Assets:
Expenses............................. 0.78% 0.75% 0.80% 0.78% 0.80%
Net investment income................ 1.34 1.10 1.18 1.70 2.31
Portfolio Turnover Rate............... 78% 54% 57% 70% 24%
<CAPTION>
Large Capitalization Growth
Investments
------------------------------------------------------------------------------
2000 1999 1998 1997 1996
------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year.... $24.35 $17.30 $17.27 $13.10 $12.13
------ ------ ------ ------ ------
Income (Loss) From Operations:
Net investment income (loss)......... (0.04) 0.01 0.04 0.07 0.07
Net realized and unrealized gain..... 7.87 7.87 1.31 4.72 1.46
------ ------ ------ ------ ------
Total Income From Operations.......... 7.83 7.88 1.35 4.79 1.53
------ ------ ------ ------ ------
Less Distributions From:
Net investment income................ -- (0.01) (0.08) (0.08) (0.06)
Net realized gains................... (2.85) (0.82) (1.24) (0.54) (0.50)
------ ------ ------ ------ ------
Total Distributions................... (2.85) (0.83) (1.32) (0.62) (0.56)
------ ------ ------ ------ ------
Net Asset Value, End of Year.......... $29.33 $24.35 $17.30 $17.27 $13.10
====== ====== ====== ====== ======
Total Return.......................... 34.31% 46.29% 7.81% 37.47% 12.89%
Net Assets, End of Year (millions).... $2,758 $2,326 $1,793 $1,845 $1,205
Ratios to Average Net Assets:
Expenses............................. 0.71% 0.68% 0.76% 0.69% 0.83%
Net investment income (loss) ........ (0.15) 0.06 0.16 0.50 0.63
Portfolio Turnover Rate............... 59% 34% 39% 65% 40%
</TABLE>
113
<PAGE>
Financial Highlights
(continued)
For a share of beneficial interest outstanding throughout each year ended Au-
gust 31:
<TABLE>
<CAPTION>
S&P 500 Index Investments
--------------------------------------------------------------------------------
2000(1)(2)
--------------------
<S> <C>
Net Asset Value, Beginning of Year.................................. $8.00
-------
Income From Operations:
Net investment income(3)........................................... 0.11
Net realized and unrealized gain................................... 1.35
-------
Total Income From Operations........................................ 1.46
-------
Less Distributions From:
Net investment income.............................................. (0.05)
-------
Total Distributions................................................. (0.05)
-------
Net Asset Value, End of Year........................................ $9.41
=======
Total Return++...................................................... 18.24%
Net Assets, End of Year (000s)...................................... $35,365
Ratios to Average Net Assets+:
Expenses(3)(4)..................................................... 0.30%
Net investment income.............................................. 1.31
Portfolio Turnover Rate............................................. 54%
</TABLE>
<TABLE>
<CAPTION>
Intermediate Fixed Income
Investments
---------------------------------------------------------------------------------
2000 1999 1998 1997 1996
---------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Year......................... $7.83 $8.19 $8.06 $7.92 $8.10
-------- -------- -------- -------- --------
Income (Loss) From Operations:
Net investment income........ 0.48 0.44 0.48 0.50 0.50
Net realized and unrealized
gain (loss)................. (0.05) (0.35) 0.15 0.14 (0.17)
-------- -------- -------- -------- --------
Total Income From Operations.. 0.43 0.09 0.63 0.64 0.33
-------- -------- -------- -------- --------
Less Distributions From:
Net investment income........ (0.44) (0.45) (0.50) (0.50) (0.51)
-------- -------- -------- -------- --------
Total Distributions........... (0.44) (0.45) (0.50) (0.50) (0.51)
-------- -------- -------- -------- --------
Net Asset Value, End of Year.. $7.82 $7.83 $8.19 $8.06 $7.92
======== ======== ======== ======== ========
Total Return.................. 5.73% 1.07% 8.00% 8.23% 4.08%
Net Assets, End of Year
(000s)....................... $564,715 $594,666 $574,998 $384,094 $296,053
Ratios to Average Net Assets:
Net investment income........ 6.02% 4.53% 5.95% 6.19% 5.78%
Interest expense............. 0.03 -- -- -- --
Other expenses............... 0.75 0.61 0.73 0.73 0.73
Total expenses............... 0.78 0.61 0.73 0.73 0.73
Portfolio Turnover Rate....... 195% 207% 63% 118% 98%
</TABLE>
------
(1) For the period from October 1, 1999 (commencement of operations) to August
31, 2000.
(2) Per share amounts have been calculated using the monthly average share
method.
(3) Expenses ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Expense Ratios
Net Investment Without
Income Per Waivers and/or
Share Decrease Reimbursements
-------------- --------------
Portfolio 2000 2000
--------- -------------- --------------
<S> <C> <C>
S&P 500 Index Investments...................... $0.04 0.82%+
</TABLE>
(4) As a result of a voluntary expense limitation, expense ratios will not ex-
ceed 0.30%.
++ Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
114
<PAGE>
Financial Highlights
(continued)
For a share of beneficial interest outstanding throughout each year ended Au-
gust 31:
<TABLE>
<CAPTION>
Long-Term Bond Investments
--------------------------------------------------------------------------------
2000 1999 1998 1997 1996
------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year.................... $7.70 $9.05 $8.26 $7.87 $8.23
------- -------- -------- -------- --------
Income (Loss) From Opera-
tions:
Net investment income...... 0.48 0.49 0.52 0.53 0.51
Net realized and unrealized
gain (loss)............... 0.21 (1.00) 0.78 0.46 (0.41)
------- -------- -------- -------- --------
Total Income (Loss) From Op-
erations................... 0.69 (0.51) 1.30 0.99 0.10
------- -------- -------- -------- --------
Less Distributions From:
Net investment income...... (0.48) (0.50) (0.51) (0.59) (0.46)
Net realized gains......... (0.05) (0.34) -- -- --
Capital.................... (0.01) -- -- (0.01) --
------- -------- -------- -------- --------
Total Distributions......... (0.54) (0.84) (0.51) (0.60) (0.46)
------- -------- -------- -------- --------
Net Asset Value, End of Year
........................... $7.85 $7.70 $9.05 $8.26 $7.87
======= ======== ======== ======== ========
Total Return................ 9.50% (6.19)% 16.22% 12.93% 1.11%
Net Assets, End of Year
(000s)..................... $75,091 $115,355 $157,612 $183,051 $155,910
Ratios to Average Net As-
sets:
Expenses................... 0.92% 0.80% 0.82% 0.78% 0.80%
Net investment income...... 6.18 5.81 5.96 6.54 6.18
Portfolio Turnover Rate..... 358% 30% 63% 34% 125%
<CAPTION>
Municipal Bond Investments
--------------------------------------------------------------------------------
2000 1999 1998 1997 1996
------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year.................... $8.22 $8.92 $8.62 $8.26 $8.27
------- -------- -------- -------- --------
Income (Loss) From Opera-
tions:
Net investment income(1)... 0.37 0.35 0.36 0.38 0.38
Net realized and unrealized
gain (loss)............... 0.17 (0.57) 0.32 0.34 --
------- -------- -------- -------- --------
Total Income (Loss) From Op-
erations................... 0.54 (0.22) 0.68 0.72 0.38
------- -------- -------- -------- --------
Less Distributions From:
Net investment income...... (0.35) (0.35) (0.38) (0.36) (0.39)
In excess of net investment
income.................... -- -- (0.00)* -- --
Net realized gains......... (0.01) (0.13) -- -- --
------- -------- -------- -------- --------
Total Distributions......... (0.36) (0.48) (0.38) (0.36) (0.39)
------- -------- -------- -------- --------
Net Asset Value, End of
Year....................... $8.40 $8.22 $8.92 $8.62 $8.26
======= ======== ======== ======== ========
Total Return................ 6.79% (2.60)% 8.09% 8.88% 4.62%
Net Assets, End of Year
(000s)..................... $48,789 $61,743 $72,511 $52,024 $46,485
Ratios to Average Net As-
sets:
Expenses(1)................ 0.79% 0.78% 0.80% 0.80% 0.80%
Net investment income...... 4.50 4.03 4.20 4.50 4.59
Portfolio Turnover Rate..... 37% 142% 160% 31% 29%
</TABLE>
------
(1) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Expense Ratios
Net Investment Without
Income Per Waivers and/or
Share Decrease Reimbursements
---------------- ----------------
Portfolio 1997 1996 1997 1996
--------- ------- ------- ------- -------
<S> <C> <C> <C> <C>
Municipal Bond Investments................ $0.00* $0.02 0.83% 1.02%
</TABLE>
* Amount represents less than $0.01 per share.
115
<PAGE>
Financial Highlights
(continued)
For a share of beneficial interest outstanding throughout each year ended Au-
gust 31:
<TABLE>
<CAPTION>
Mortgage Backed Investments
--------------------------------------------------------------------------------
2000 1999 1998 1997 1996(1)
-------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Year........................ $7.73 $8.13 $7.96 $7.74 $7.91
-------- -------- -------- -------- --------
Income (Loss) From Opera-
tions:
Net investment income(2).... 0.49 0.45 0.46 0.48 0.48
Net realized and unrealized
gain (loss)................ 0.08 (0.34) 0.19 0.25 (0.14)
-------- -------- -------- -------- --------
Total Income From Opera-
tions....................... 0.57 0.11 0.65 0.73 0.34
-------- -------- -------- -------- --------
Less Distributions From:
Net investment income....... (0.46) (0.45) (0.48) (0.51) (0.48)
Net realized gains.......... -- (0.05) -- -- --
Capital..................... -- (0.01) -- -- (0.03)
-------- -------- -------- -------- --------
Total Distributions.......... (0.46) (0.51) (0.48) (0.51) (0.51)
-------- -------- -------- -------- --------
Net Asset Value, End of
Year........................ $7.84 $7.73 $8.13 $7.96 $7.74
======== ======== ======== ======== ========
Total Return................. 7.58% 1.30% 8.37% 9.69% 4.37%
Net Assets, End of Year
(000s)...................... $100,342 $131,039 $156,043 $136,586 $120,945
Ratios to Average Net Assets:
Net investment income....... 6.26% 5.67% 5.69% 6.08% 6.09%
Interest expense............ 0.05 -- -- -- --
Other expenses(2)(3)........ 0.80 0.80 0.80 0.80 0.80
Total expenses.............. 0.85 0.80 0.80 0.80 0.80
Portfolio Turnover Rate...... 28% 87% 214% 94% 23%
</TABLE>
------
(1) Per share amounts have been calculated using the monthly average shares
method.
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Expense Ratios Without
Net Investment Income Waivers
Per Share Decrease and/or Reimbursements
----------------------------- ----------------------------
Portfolio 2000 1999 1998 1997 1996 2000 1999 1998 1997 1996
--------- ----- ----- ----- ----- ----- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mortgage Backed
Investments............ $0.01 $0.01 $0.01 $0.01 $0.01 0.97% 0.91% 0.93% 0.93% 0.94%
</TABLE>
(3) As a result of a voluntary expense limitation, expense ratios (excluding
interest expense) will not exceed 0.80%.
116
<PAGE>
Financial Highlights
(continued)
For a share of beneficial interest outstanding throughout each year ended Au-
gust 31:
<TABLE>
<CAPTION>
High Yield Investments
-----------------------------------------------------------
2000(1) 1999(1) 1998(2)
---------
<S> <C> <C> <C>
Net Asset Value, Begin-
ning of Year............ $7.33 $7.89 $8.00
-------- -------- -------
Income (Loss) From Opera-
tions:
Net investment in-
come(3)................ 0.69 0.83 0.05
Net realized and
unrealized loss........ (1.37) (0.54) (0.16)
-------- -------- -------
Total Income (Loss) From
Operations.............. (0.68) 0.29 (0.11)
-------- -------- -------
Less Distributions From:
Net investment income... (0.71) (0.83) --
Net realized gains...... -- (0.02) --
Capital................. (0.09) -- --
-------- -------- -------
Total Distributions...... (0.80) (0.85) --
-------- -------- -------
Net Asset Value, End of
Year.................... $5.85 $7.33 $7.89
======== ======== =======
Total Return............. (9.37)% 3.67% (1.38)%++
Net Assets, End of Year
(000s).................. $164,056 $155,057 $76,557
Ratios to Average Net As-
sets:
Expenses(3)............. 1.20% 1.19% 1.20%+
Net investment income... 11.30 10.62 7.37+
Portfolio Turnover Rate.. 129% 122% 13%
</TABLE>
------
(1) Per share amounts have been calculated using the monthly average shares
method.
(2) For the period from July 13, 1998 (commencement of operations) to August
31, 1998.
(3) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Expense Ratios
Net Investment Without
Income Per Waivers and
Share Decrease Reimbursements
-------------- --------------
Portfolio 1998 1998
--------- -------------- --------------
<S> <C> <C>
High Yield Investments........................ $0.01 2.42%+
</TABLE>
++Total return is not annualized, as it may not be representative of the total
return for the year.
+Annualized.
117
<PAGE>
Financial Highlights
(continued)
For a share of each class of beneficial interest outstanding throughout each
year ended August 31:
<TABLE>
<CAPTION>
Multi-Sector Fixed Income Investments
--------------------------------------------------------------------------------
2000(1)(2)
-------------------
<S> <C>
Net Asset Value, Beginning of Year................................... $8.00
-------
Income (Loss) From Operations:
Net investment income(3)............................................ 0.45
Net realized and unrealized gain.................................... 0.06
-------
Total Income From Operations......................................... 0.51
-------
Less Distributions From:
Net investment income............................................... (0.28)
-------
Total Distributions.................................................. (0.28)
-------
Net Asset Value, End of Year......................................... $8.23
=======
Total Return++....................................................... 6.47%
Net Assets, End of Year (000s)....................................... $29,989
Ratios to Average Net Assets+:
Expenses(3)(4)...................................................... 0.80%
Net investment income............................................... 6.13
Portfolio Turnover Rate.............................................. 249%
</TABLE>
<TABLE>
<CAPTION>
Government Money Investments
--------------------------------------------------------------------------------
2000 1999 1998 1997 1996
-------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Year........................ $1.00 $1.00 $1.00 $1.00 $1.00
-------- -------- -------- -------- --------
Net investment income(3).... 0.05 0.04 0.05 0.05 0.05
Dividends from net invest-
ment income................ (0.05) (0.04) (0.05) (0.05) (0.05)
-------- -------- -------- -------- --------
Net Asset Value, End of
Year........................ $1.00 $1.00 $1.00 $1.00 $1.00
======== ======== ======== ======== ========
Total Return................. 5.44% 4.53% 5.10% 4.98% 5.02%
Net Assets, End of Year
(000s)...................... $225,756 $303,160 $375,761 $388,713 $278,162
Ratios to Average Net Assets:
Expenses(3)(5).............. 0.60% 0.60% 0.60% 0.60% 0.60%
Net investment income....... 5.30 4.46 4.99 4.91 4.93
</TABLE>
------
(1) For the period from October 1, 1999 (commencement of operations) to August
31, 2000.
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Net Investment Income Expense Ratios Without Waivers
Per Share Decrease and Reimbursements
------------------------------- --------------------------------------
Portfolio 2000 1999 1998 1997 1996 2000 1999 1998 1997 1996
--------- ----- ----- ----- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Multi-Sector Fixed
Income Investments..... $0.03 N/A N/A N/A N/A 1.17% N/A N/A N/A N/A
Government Money
Investments............ 0.02 $0.00* $0.00* $0.01 $0.01 0.78 0.71% 0.66% 0.64% 0.72%
</TABLE>
(4) As a result of a voluntary expense limitation, expense ratios will not ex-
ceed 0.80%.
(5) As a result of a voluntary expense limitation, expense ratios will not ex-
ceed 0.60%.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
* Amount represents less than $0.01 per share.
118
<PAGE>
Independent Auditors' Report
The Shareholders and Board of Trustees of
Consulting Group Capital Markets Funds:
We have audited the accompanying statements of assets and liabilities, includ-
ing the schedules of investments, of Large Capitalization Value Equity Invest-
ments, Large Capitalization Growth Investments, S&P 500 Index Investments, In-
termediate Fixed Income Investments, Long-Term Bond Investments, Municipal Bond
Investments, Mortgage Backed Investments, High Yield Investments, Multi-Sector
Fixed Income Investments and Government Money Investments ("Portfolios") of
Consulting Group Capital Markets Funds ("Fund") as of August 31, 2000, and the
related statements of operations for the year then ended, the statements of
changes in net assets for each of the years in the two-year period then ended,
and the financial highlights for each of the years in the five-year period then
ended. These financial statements and financial highlights are the responsibil-
ity of the Fund's management. Our responsibility is to express an opinion on
these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally ac-
cepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the finan-
cial statements and financial highlights are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation
of securities owned as of August 31, 2000, by correspondence with the custodi-
an. As to securities purchased or sold but not yet received or delivered, we
performed other appropriate auditing procedures. An audit also includes assess-
ing the accounting principles used and significant estimates made by manage-
ment, as well as evaluating the overall financial statement presentation. We
believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Portfolios of the Fund as of August 31, 2000, and the result of their opera-
tions for the year then ended, the changes in their net assets for each of the
years in the two-year period then ended, and the financial highlights for each
of the years in the five-year period then ended, in conformity with accounting
principles generally accepted in the United States of America.
/s/ KPMG LLP
New York, New York
October 15, 2000
119
<PAGE>
Tax Information
(unaudited)
The following August 31, 2000 fiscal year end disclosures are of various tax
benefits that will be reported to shareholders at calendar year end.
The Portfolios listed below designate for Federal income tax purposes the
following amounts as long term capital gain dividends paid:
<TABLE>
<S> <C>
Large Capitalization Value Equity Investments................. $252,941,832
Large Capitalization Growth Investments....................... 241,621,956
Long-Term Bond Investments.................................... 716,867
Municipal Bond Investments.................................... 63,586
</TABLE>
100% of the dividends from net investment income paid by Municipal Bond
Investments are tax-exempt for regular Federal income tax purposes.
The following percentages of ordinary income distributions have been designated
as qualifying for the dividends received deduction available to corporate
shareholders.
<TABLE>
<S> <C>
Large Capitalization Value Equity Investments........................ 87.67%
Large Capitalization Growth Investments.............................. 90.15
S&P 500 Index Investments............................................ 12.05
The following percentages of ordinary income distributions have been derived
from investments in U.S. government and agency obligations. All or a portion of
the corresponding percentages may be exempt from taxation at the state level.
S&P 500 Index Investments............................................ 1.74%
Intermediate Fixed Income Investments................................ 25.03
Long-Term Bond Investments........................................... 31.09
Multi-Sector Fixed Income Investments................................ 41.91
Government Money Investments......................................... 26.15
</TABLE>
The above figures may differ from those cited elsewhere in this report due to
differences in the calculations of income and capital gain for Securities and
Exchange Commission (book) purposes and Internal Revenue Service (tax) purpos-
es.
120
<PAGE>
S A L O M O N S M I T H B A R N E Y . C O M
SALOMONSMITHBARNEY
----------------------------
A member of citigroup[LOGO]
Salomon Smith Barney is a service mark of Salomon Smith Barney Inc.
This report is submitted for the general information of the shareholders of
Consulting Group Capital Markets Funds. It is not authorized for distribution to
prospective investors unless accompanies or preceded by a current Prospectus for
the Trust which contains information concerning the Trust's investment policies,
charges and expenses as well as other pertinent information.
TK 2120A, 8/00 Consulting Group Capital Markets Funds . 222 Delaware Avenue
Wilmington, Delaware . 19801
<PAGE>
---------------------
Consulting Group
Since 1973
---------------------
Consulting Group
Capital Markets Funds
Small Capitalization Value Equity Investments
Small Capitalization Growth Investments
International Equity Investments
Emerging Markets Equity Investments
International Fixed Income Investments
Balanced Investments
Annual Report [LOGO] TRAK(R)
August 31, 2000 Personalized Investment Advisory Service
---------------------------------------------------------
NOT FDIC INSURED . NOT BANK GUARANTEED . MAY LOSE VALUE
---------------------------------------------------------
<PAGE>
<TABLE>
<CAPTION>
Table of Contents
<S> <C>
SHAREHOLDER LETTER . . . . . . . . . . . . . . . . . . . . . . . . . . . . . ... . . . . . . . . . . . . . . . . . . . . . 1
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
SMALL CAPITALIZATION GROWTH INVESTMENTS . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . 6
INTERNATIONAL EQUITY INVESTMENTS . . . . . . . . . . . . . . . . . . . . ... . . . . . . . . . . . . . . . . . . . . . 8
EMERGING MARKETS EQUITY INVESTMENTS . . . . . . . . . . . . . . . . . . . ... . . . . . . . . . . . . . . . . . . . . 10
INTERNATIONAL FIXED INCOME INVESTMENTS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
BALANCED INVESTMENTS. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
SCHEDULES OF INVESTMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . 18
STATEMENTS OF ASSETS AND LIABILITIES . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 122
STATEMENTS OF OPERATIONS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 124
STATEMENTS OF CHANGES IN NET ASSETS. . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . 126
NOTES TO FINANCIAL STATEMENTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
FINANCIAL HIGHLIGHTS . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
INDEPENDENT AUDITORS' REPORT . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146
TAX INFORMATION . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . 147
</TABLE>
<PAGE>
Consulting Group Capital Markets Funds
DEAR SHAREHOLDER:
Most major market indices reached record levels during the 1990s. Led by the
boom in the technology sector and the continued economic expansion, which began
in March 1991, the stock market closed the decade at new highs. In the year
2000, these record levels of valuation have been accompanied by record levels of
volatility. In fact, year-to-date through September 30, 2000, the Nasdaq
Composite Index, which is heavily weighted toward technology issues, witnessed
55 days of performance up or down 2% from the previous day's close. This is
almost a third of the 169 trading days for the year and demonstrates a trend
across most major indices.
The catalysts for this volatility have changed over the past six months. Earlier
in the year, investors were focusing on the Federal Reserve Board ("Fed") and a
continual series of interest rate hikes. Once a clearer economic picture
emerged, the markets stabilized and even rebounded before new fears about the
three E's - Earnings, Energy and the Euro - emerged.
U.S. MARKET OVERVIEW/1/
These conflicting currents have produced some abrupt course changes for the
stock market. In the spring, nervousness about interest rates and corporate
earnings took its toll on the U.S. stock market. Strong corporate earnings did
not stop investors from fretting about the prospects for future earnings. Early
in the year, many analysts worried the Fed would need to push interest rates
sharply higher to curb inflation, leading to slower growth and weaker earnings.
The bearish trend spread to the broader market and overseas after several key
economic reports appeared to point to mounting inflationary pressures. In fact,
a major correction appeared to be in the making, triggered by a sharp downturn
in the previously red-hot computer and Internet stocks. The tech-heavy Nasdaq
Composite Index plunged more than 27% in the first two weeks of April, breaking
a bull run that saw its value more than triple in less than two years. As the
second quarter progressed, signs of a possible economic slowdown emerged. From
that point, the market stabilized, then managed to recoup some, though not all,
of its losses. After a sluggish July, the market rallied strongly in August on
the improved interest rate outlook.
September, however, proved to be the quarter's cruelest month, as investors
faced disappointing earnings announcements from a string of high-profile firms.
Hardest hit was the technology sector, which had appeared to be slowly
recuperating from its dramatic slide earlier in the year. With many tech stocks
still at historically high valuations - despite the spring correction -
investors reacted harshly to their quarter warnings of slower PC sales and
sluggish Internet revenue growth. A surge in oil prices also gave investors
something else to worry about. Crude prices briefly neared $40 a barrel in
mid-September.
The net result of the summer's twists and turns: the Standard & Poor's 500 Index
posted a loss of a negative 0.97% for the quarter, putting it slightly in
negative territory for the year, with a negative 1.39% return. On the brighter
side, the U.S. bond market posted modest gains, despite the rise in oil prices.
Investors were impressed by signs that a slowing economy might allow the Fed to
avoid further interest rate hikes this year. The yield on the 10-year Treasury
note fell to 5.79% from 6.01% at the end of June. Fed policymakers, for their
part, stood pat during the most recent quarter, leaving the key federal funds
rate at 6.50%. Longer-term bonds, which staged a strong rally earlier in the
year in anticipation of slower growth, registered more modest gains in the third
quarter. The Lehman Brothers Aggregate Bond Index returned 3.02% for the quarter
and 7.12% for the year-to-date.
------------
1 All information is through September 30, 2000, unless otherwise noted.
1
<PAGE>
INTERNATIONAL MARKET OVERVIEW/2/
Foreign equity markets fell more sharply, and those losses were magnified by the
strength of the U.S. dollar, which hit a record high against Europe's common
currency, the euro. Morgan Stanley Capital International ("MSCI") Europe,
Australia and the Far East, or EAFE Index suffered a negative 8.01% loss in
dollar terms during the quarter, bringing its year-to-date return to negative
11.64%. Since its launch at the beginning of 1999, the euro has dropped more
than 25% against the dollar.
The euro's woes appeared to reach a climax in the third quarter, as the currency
fell to a record low on September 20, 2000, prompting a joint rescue mission by
the world's major central banks. This effort, plus a boost in short-term
interest rates by the European Central Bank, appeared to stabilize the euro as
the quarter ended. The MSCI Europe Index posted a 7.25% loss for the quarter in
dollar terms and a loss of a negative 9.99% year-to-date.
In Asia, nagging doubts about Japan's economic recovery were not dispelled by
the Bank of Japan's decision in August to lift its key short-term rate, the
discount rate, from 0.25% to 0.50%. The MSCI Japan Index showed a loss of a
negative 10.44% in dollar terms for the quarter and a loss of a negative 15.20%
for the year.
Elsewhere, the slump in U.S. computer stocks spilled over into the tech-heavy
markets of Southeast Asia, while the jump in oil prices rattled equity investors
throughout the emerging world. The result was a negative 13.00% return for the
quarter on the MSCI Emerging Markets Free Index, bringing its year-to-date loss
to negative 19.95%.
CONSULTING GROUP ASSET ALLOCATION
The volatility witnessed so far this year highlights the need for
diversification. The Consulting Group Asset Allocation Committee ("Committee")
meets each month for a formal review of economic and market data and then
determines any recommended course of action. During the last six months, the
Committee has recommended three adjustments that may impact your Portfolio. Your
Financial Consultant is in the best situation to provide advice and guidance in
interpreting your personalized asset allocation.
CONSULTING GROUP CAPITAL MARKETS FUNDS
During the year ended August 31, 2000, the Portfolios generally performed in
line with their respective benchmarks. A complete review of each Portfolio
immediately follows this letter.
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 to:
o Retain Foreign & Colonial Emerging Markets Ltd. as an advisor to Emerging
Markets Equity Investments and terminate the investment contract with AIB
Govett, Inc.;
o Terminate the investment contract with David L. Babson & Co., Inc. as
advisor to Small Capitalization Value Equity Investments;
o Retain Westfield Capital Management Co., Inc. as an additional advisor to
Small Capitalization Growth Investments; and
o Retain Rutabaga Capital Management LLC as an additional advisor to Small
Capitalization Value Equity Investments (effective September 2000).
_______________
/2/ All information is through September 30, 2000, unless otherwise noted.
2
<PAGE>
Shareholders of the individual Portfolios have or will shortly receive an
Information Statement detailing these changes.
Finally, it is hard to predict the next turn in the market. Although risk is
unavoidable in the stock market, a prudent investment strategy like TRAK can
help reduce the impact of volatility. With the TRAK program you have the
expertise and guidance of your Financial Consultant, Consulting Group and a
premier group of advisors to assist you in meeting your goals. As always, if you
should have any questions or comments about the Consulting Group Capital Markets
Funds, your Financial Consultant remains ready to assist you.
Sincerely,
/s/ Heath B. McLendon /s/ Frank L. Campanale
Heath B. McLendon Frank L. Campanale
Chairman Investment Officer
September 30, 2000
3
<PAGE>
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
ABOUT THE SUB-ADVISORS
--------------------------------------------------------------------------------
o NFJ Investment Group
An active management style that invests in a diversified portfolio of small
capitalization common stocks that it believes are undervalued in the marketplace
generally and within their respective industries. These securities are
characterized as having below average price-to-earnings ratios and improving
fundamentals. These securities are often out of favor, and widespread securities
analyst coverage is not common. The sub-advisor also considers valuation factors
such as price-to-book, price-to-cash flow, dividend policy and industry outlook
in selecting stocks for investment.
o Mellon Capital Management Corp.
A passive, index-based manager that seeks to fully replicate the performance of
the Russell 2000 Value Index. It minimizes performance differences from the
Index through systematic quantitative methods.
o Rutabaga Capital Management LLC
Focuses exclusively on micro and small capitalization stocks and looks to
unearth uncommon or currently unfavored stocks. The firm's analysts employ
extensive bottom-up fundamental research to identify high quality companies with
catalysts to increase margins and intrinsic value but are neglected or
misperceived by the market. All candidates are subject to careful group
consideration, with the final decisions being made by the portfolio manager.
This process focuses on clearly identifying the catalysts that should generate
accelerating earnings growth and thereby drive future stock performance. The
firm also attempts to mitigate downside risk by buying stocks in companies with
leading market positions but with low valuations and low investor expectations.
Note: Effective 3/00, Consulting Group terminated David L. Babson & Co., Inc.
due to turnover of professionals at strategic management levels. Effective
9/7/00, Consulting Group selected Rutabaga Capital Management LLC as an
additional sub-advisor to the Portfolio.
Small Capitalization Value Equity Investments ("Portfolio") is advised by NFJ
Investment Group ("NFJ") and Mellon Capital Management Corp. ("Mellon"). During
the period under review the Portfolio returned 5.09% versus the Russell 2000
Value Index return of 13.68%, the Portfolio's benchmark. The poor relative
performance of the Portfolio was the result of the active advisor's investment
style. Specifically, NFJ was over-weighted to energy issues and under-weighted
to technology issues. This weighting hurt performance through June of this year
but has aided overall return recently. During the year, Consulting Group in its
capacity as investment manager for the Portfolio terminated David L. Babson &
Co., Inc. as an advisor.
Going forward, Consulting Group will continue to monitor the allocation among
the advisors and make adjustments to meet the current market environment. The
advisors will remain committed to staying fully invested within the small
capitalization value sector. In September 2000, Consulting Group retained
Rutabaga Capital Management LLC ("Rutabaga") as an additional advisor.
Consulting Group believes that the introduction of Rutabaga will provide the
Portfolio with strategic exposure to the micro-cap market, which was previously
under-represented. Consulting Group's target allocations are as follows: 25% to
NFJ, 15% to Rutabaga and 60% to Mellon.
4
<PAGE>
The following graphs depict the performance of the
Small Capitalization Value Equity Investments vs. the
Russell 2000 Value Index1 and the Lipper Small Cap
Value Fund Average2.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Russell 2000 Value
Index and the Lipper Small Cap Value Fund Average
--------------------------------------------------------------------------------
[LINE GRAPH]
<TABLE>
<CAPTION>
Small Capitalization Value Small Capitalization Value
Equity Investments (With TRAK Equity Investments (Without Russell 2000 Value Lipper Small Cap Value
Date Fee)* TRAK Fee) Index Fund Average
<S> <C> <C> <C> <C>
11/18/91 10,000 10,000 10,000 10,000
8/31/92 10,723 10,850 11,926 10,595
8/31/93 12,225 12,558 16,206 13,939
8/31/94 11,646 12,143 17,513 14,643
8/31/95 12,907 13,661 20,241 18,484
8/31/96 14,301 15,366 22,694 21,406
8/31/97 20,063 21,880 31,160 27,238
8/31/98 17,229 19,071 27,434 21,944
8/31/99 19,286 21,668 29,829 29,254
8/31/00 19,966 22,770 33,916 41,857
</TABLE>
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE FOR THE THREE-YEAR PERIOD ENDED AUGUST 31, 2000
(unaudited) SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Russell 2000 Value
Index and the Lipper Small Cap Value Fund Average
--------------------------------------------------------------------------------
[LINE GRAPH]
<TABLE>
<CAPTION>
Small Capitalization Value Small Capitalization
Equity Investments (With Value Equity Investments Russell 2000 Value Lipper Small Cap Value
Date TRAK Fee)* (Without TRAK Fee) Index Fund Average
<S> <C> <C> <C> <C>
8/97 10,000 10,000 10,000 10,000
8/98 8,587 8,716 8,804 8,057
8/99 9,613 9,903 9,573 10,740
8/00 9,952 10,407 10,884 15,367
</TABLE>
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
Class A Shares Without TRAK Fee With TRAK Fee*
--------------------------------------------------------------------------------
Since Inception (11/18/91) 9.81% 8.18%
5 year 10.76 9.12
3 year 1.34 (0.16)
1 year 5.09 3.53
================================================================================
See pages 16 and 17 for all footnotes.
--------------------------------------------------------------------------------
Portfolio Highlights#
--------------------------------------------------------------------------------
Composition of portfolio as of
August 31, 2000
--------------------------------------------------------------------------------
[PIE CHART]
Real Estate Investment Trusts 9.7%
Banks 6.1%
Electric 5.2%
Retail 4.9%
Insurance 3.8%
Commercial Services 3.7%
Gas 3.6%
Oil & Gas Producers 3.6%
Manufacturing -- Miscellaneous 4.3%
Other Common Stock 53.2%
U.S. Treasury Obligation & Repurchase Agreement 1.9%
--------------------------------------------------------------------------------
5
<PAGE>
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
ABOUT THE SUB-ADVISORS
--------------------------------------------------------------------------------
o Kern Capital Management LLC
Focuses fundamental research on uncovering innovative small cap companies early
in their growth cycle.The firm's bottom-up investment process, which targets the
four most innovative sectors (technology, healthcare, consumer and services)
involves (i) detailed financial analysis, (ii) in-depth meetings with corporate
management, (iii) discussions with brokerage firm and industry analysts and (iv)
competitive analysis for discovering attractively priced small cap companies.
o Mellon Capital Management Corp.
A passive, index-based manager that seeks to fully replicate the performance of
the Russell 2000 Growth Index. It minimizes performance differences from the
Index through systematic quantitative methods.
o Wall Street Associates
Follows a bottom-up investment style. It looks for companies with superior
earnings growth, strong balance sheets, attractive valuations and potentially
positive earning surprises.
o Westfield Capital Management Co., Inc.
Favors investing in earnings growth stocks given their conviction that stock
prices follow earnings progress and that they offer the best opportunity for
superior real rates of return. Reasonably priced stocks of companies with high
foreseen earnings potential are best identified through in-depth, fundamental
research. It is their belief that the small cap portion of the market is
under-researched, and therefore less efficient, than the large cap sector.
o Westpeak Investment Advisors, L.P.
Employs a value-oriented and research-driven approach to identify reasonably
priced growth stocks that are likely to have positive earning surprises and
revisions. The firm uses a value constraint to ensure that the growth stocks
selected are reasonably priced.
Small Capitalization Growth Investments ("Portfolio") is advised by Wall Street
Associates, Westpeak Investment Advisors, L.P. ("Westpeak"), Kern Capital
Management LLC ("Kern"), Westfield Capital Management Co., Inc. ("Westfield")
and Mellon Capital Management Corp. ("Mellon"). The Portfolio returned 50.57%
for the year versus the Russell 2000 Growth Index return of 39.08%, the
Portfolio's benchmark. Mellon is responsible for managing the Portfolio's assets
as a full replication of the Russell 2000 Growth Index, while the other advisors
are active within the small capitalization growth universe. During the period
under review, the Portfolio outperformed its benchmark for the one-year time
period. During the period under review, Consulting Group retained Westfield to
manage a portion of the Portfolio's assets. The funding for this advisor came
from reducing the Portfolio's passive allocation.
Going forward, Consulting Group will continue to monitor the allocation among
the advisors and make adjustments to meet the current market environment. The
advisors will remain committed to staying fully invested within the small
capitalization growth sector. Consulting Group's target allocations are as
follows: Wall Street Associates 20%, Westpeak 15%, Kern 15%, Westfield 10% and
Mellon 40%.
6
<PAGE>
The following graphs depict the performance of the Small
Capitalization Growth Investments vs. the Russell 2000
Growth Index3 and the Lipper Small Cap Growth Fund
Average.4
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
SMALL CAPITALIZATION GROWTH INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Russell 2000 Growth
Index and the Lipper Small Cap Growth Fund Average
--------------------------------------------------------------------------------
[LINE GRAPH]
<TABLE>
<CAPTION>
Small Capitalization Small Capitlization
Growth Growth Russell 2000 Lipper Small
Investments Investments Growth Fund Cap Fund
Date (Without Trak Fee) (Without Fee) Index Average
----------- ---------------------- --------------------- -------------- -------------
<S> <C> <C> <C> <C>
11/18/91 10,000 10,000 10,000 10,000
8/31/92 9,870 9,988 9,823 10,595
8/31/93 13,642 14,013 12,627 12,561
8/31/94 15,210 15,860 13,103 13,195
8/31/95 20,714 21,926 16,525 16,657
8/31/96 24,762 26,603 18,061 19,290
8/31/97 28,672 31,265 21,678 24,545
8/31/98 21,157 23,418 15,974 19,775
8/31/99 30,079 33,796 22,892 26,362
8/31/00 44,619 50,886 31,836 37,719
</TABLE>
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE FOR THE THREE-YEAR PERIOD ENDED AUGUST 31, 2000
(unaudited)
SMALL CAPITALIZATION GROWTH INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Russell 2000 Growth
Index and the Lipper Small Cap Growth Fund Average
--------------------------------------------------------------------------------
Small Capitalization
Growth Investments
(With TRAK Fee)*
Small Capitalization
Growth Investments
(Without TRAK Fee)
Russell 2000 Growth
Index
Lipper Small Cap
Growth Fund Average
[LINE GRAPH]
<TABLE>
<CAPTION>
Small Capitalization Small Capitlization
Growth Growth Russell 2000 Lipper Small
Investments Investments Growth Fund Cap Fund
Date (Without Trak Fee) (Without Fee) Index Average
----------- ---------------------- --------------------- -------------- -------------
<S> <C> <C> <C> <C>
8/97 10,000 10,000 10,000 10,000
8/98 7,379 7,490 7,369 8,057
8/99 10,491 10,810 10,560 10,740
8/00 15,562 16,276 14,686 15,367
</TABLE>
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
SMALL CAPITALIZATION GROWTH INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
--------------------------------------------------------------------------------
Since Inception (11/18/91) 20.33% 18.54%
5 year 18.34 16.59
3 year 17.63 15.88
1 year 50.57 48.34
================================================================================
See pages 16 and 17 for all footnotes.
--------------------------------------------------------------------------------
Portfolio Highlights#
--------------------------------------------------------------------------------
Composition of portfolio as of
August 31, 2000
--------------------------------------------------------------------------------
[PIE CHART]
Software 11.7%
Telecommunications 10.9%
Pharmaceuticals 8.7%
Semiconductors 7.6%
Commercial Services 7.0%
Health Care 6.0%
Electronics 4.7%
Computers 5.0%
U.S. Government Obligations & Repurchase Agreement 3.2%
Other Common Stock 35.2%
--------------------------------------------------------------------------------
7
<PAGE>
International Equity Investments
--------------------------------------------------------------------------------
ABOUT THE SUB-ADVISORS
--------------------------------------------------------------------------------
o Oechsle International Advisors, LLC
Seeks to identify the most attractive foreign markets by ranking their expected
returns through country and currency analysis. It then selects investments
within attractive markets through both a top-down and bottom-up company
analysis.
o Scudder Kemper Investments, Inc.
Evaluates the prospects of foreign economies and analyzes individual companies
to identify investment opportunities. In defining country allocations, the
Portfolio may focus on global, economic, industrial and investment themes.
Individual stocks are purchased on the basis of wide-ranging fundamental and
valuation criteria. Scudder utilizes a "three-circle" approach that includes
intensive research on global themes, company analysis and country analysis.
o State Street Global Advisors
Uses a quantitative process to construct a portfolio that fully replicates the
performance of the Morgan Stanley Capital International Europe Australia Far
East ("MSCI EAFE") Index. The MSCI EAFE Index consists of securities of
companies located in 20 countries outside of North America and represents
approximately 60% of the total market value of all publicly traded stocks in
these countries.
International Equity Investments ("Portfolio") is advised by Oechsle
International Advisors, LLC ("Oechsle International"), Scudder Kemper
Investments, Inc. ("Scudder") and State Street Global Advisors ("State Street").
During the period under review, the Portfolio outperformed its benchmarks for
the one-year time period, returning 19.17% for the year versus the MSCI
EAFE-Capitalization Weighted Index return of 9.55% and the MSCI EAFE-GDP
Weighted Index return of 10.88%, the Portfolio's benchmarks. State Street
manages the Portfolio's assets as a full replication of the MSCI EAFE Index
while the remaining advisors are active within the international equity
universe. During the period under review, Consulting Group retained Scudder and
terminated Marvin & Palmer Associates.
Going forward, Consulting Group will continue to monitor the allocation among
the advisors and make adjustments to meet the current market environment. The
advisors will remain committed to staying fully invested within the
international equity sector. Consulting Group's target allocations are as
follows: Oechsle International 35%, Scudder 25% and State Street 40%.
8
<PAGE>
The following graphs depict the performance of the International Equity
Investments vs. the MSCI EAFE-GDP Weighted Index5 and the MSCI EAFE-
Capitalization Weighted Index./6/
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
INTERNATIONAL EQUITY INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the MSCI EAFE-GDP
Weighted Index and the MSCI EAFE-Capitalization Weighted Index
--------------------------------------------------------------------------------
[LINE GRAPH]
INTERNATIONAL INTERNATIONAL MSCI MSCI
EQUITY EQUITY EAFE-GDP EAFE-CAP
INVESTMENTS INVESTMENTS WEIGHTED WEIGHTED
DATE (WITH TRAK FEE) (WITHOUT FEE) INDEX INDEX
-------------------------------------------------------------------------------
11/18/91 10,000 10,000 10,000 10,000
8/31/92 9,586 9,700 10,333 9,827
8/31/93 11,684 12,002 12,993 12,493
8/31/94 13,438 14,012 14,558 13,884
8/31/95 13,214 13,987 14,864 13,995
8/31/96 13,569 14,579 15,940 15,120
8/31/97 14,642 15,969 17,814 16,490
8/31/98 14,934 16,533 19,016 16,467
8/31/99 18,252 20,511 20,299 16,444
8/31/00 21,430 24,444 22,508 18,015
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE FOR THE THREE-YEAR PERIOD ENDED AUGUST 31, 2000
(unaudited)
INTERNATIONAL EQUITY INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the MSCI EAFE-GDP
Weighted Index and the MSCI EAFE-Capitalization Weighted Index
--------------------------------------------------------------------------------
[LINE GRAPH]
INTERNATIONAL INTERNATIONAL MSCI MSCI
EQUITY EQUITY EAFE-GDP EAFE-CAP
INVESTMENTS* INVESTMENTS* WEIGHTED WEIGHTED
DATE (WITH TRAK FEE) (WITHOUT FEE) INDEX INDEX
-------------------------------------------------------------------------------
8/97 10,000 10,000 10,000 10,000
8/98 10,199 10,354 10,675 9,986
8/99 12,465 12,844 15,623 12,550
8/00 14,635 15,307 17,323 13,749
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------
Portfolio Highlights#
--------------------------------------
Composition of portfolio as of
August 31, 2000
[PIE CHART]
Japan 22.4%
United Kingdom 17.3%
France 14.7%
Germany 8.4%
Netherlands 7.4%
Italy 6.1%
Switzerland 3.9%
Sweden 2.6%
Hong Kong 2.4%
Repurchase Agreement 4.2%
Other Stock 10.6%
--------------------------------------------------------------------------------
INTERNATIONAL EQUITY INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
................................................................................
Since Inception (11/18/91) 10.70% 9.06%
5 year 11.81 10.15
3 year 15.25 13.54
1 year 19.17 17.41
================================================================================
See pages 16 and 17 for all footnotes.
9
<PAGE>
Emerging Markets Equity Investments
--------------------------------------------------------------------------------
ABOUT THE SUB-ADVISORS
--------------------------------------------------------------------------------
o Foreign & Colonial Emerging Markets Ltd.
Active management style combines a rigorous top-down macroeconomic approach to
country allocation with fundamental, bottom-up stock selection. Investment
decisions are founded on the primary research undertaken by the in-house
investment managers.
o State Street Global Advisors
Uses quantitative analysis to identify countries and stocks which are
undervalued relative to their growth rates. It employs an investment process
that combines top-down country selection with bottom-up stock selection to
determine an optimal country and security mix.
o Baring Asset Management, Inc.
Looks for unrecognized "growth" stocks through an investment process that
combines top-down country allocation, bottom-up company research and risk
analysis to determine an optimal country and security mix. This process is
driven by structured fundamental research using a disciplined investment
framework at both the country and company levels. The fundamental research is
supported by quantitative screening at the country level.
o AIB Govett, Inc.
Employs a top-down approach to analyzing stocks. The firm looks for under-valued
securities with a bias towards relative earnings momentum. The sub-advisor
believes that the greatest influences on investment return over the long-term
are country asset allocation and superior stock selection rather than short-term
adjustments to portfolio weightings.
Note: Effective 4/00, AIB Govett, Inc. was terminated after they had been
downgraded from three diamonds based on concerns of changes made to the Firm's
investment process as well as continued turnover of professionals at strategic
levels. On the recommendation of Consulting Group, the Board of Trustees
approved the hiring of Foreign & Colonial Emerging Markets Ltd. as a replacement
advisor.
Emerging Markets Equity Investments ("Portfolio") is advised by State Street
Global Advisors ("State Street"), Foreign & Colonial Emerging Markets Ltd.
("Foreign & Colonial") and Baring Asset Management, Inc. ("Baring"). The
Portfolio outperformed its benchmark for the one-year time period, returning
9.62% for the year versus the MSCI Emerging Markets Free-Gross Index return of
6.31%, the Portfolio's benchmark. The longer time frame represents the
Portfolio's previous structure. During the period under review, Consulting Group
retained Foreign & Colonial to manage a portion of the Portfolio's assets and
terminated AIB Govett, Inc.
Going forward, Consulting Group will continue to monitor the allocation among
the advisors and make adjustments to meet the current market environment. The
advisors will remain committed to staying fully invested within the emerging
markets equity sector. Consulting Group's target allocations are as follows:
Foreign & Colonial 30%, Baring 50% and State Street 20%.
In August, Consulting Group downgraded Baring from four to two diamonds due to
continued departures of investment professionals. Consulting Group will continue
to monitor the situation and notify shareholders of any changes.
10
<PAGE>
The following graphs depict the performance of the Emerging Markets Equity
Investments vs. the MSCI Emerging Markets Free Index./7/
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
EMERGING MARKETS EQUITY INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the MSCI Emerging Markets
Free Index
--------------------------------------------------------------------------------
[LINE GRAPH]
TRAK TRAK
EMERGING EMERGING
MARKETS MARKETS MSCI
EQUITY EQUITY EMERGING
INVESTMENTS INVESTMENTS MARKETS
DATE (WITH TRAK FEE) (WITHOUT FEE) FREE INDEX
--------------- --------------- --------------- --------------
4/20/94 10,000 10,000 10,000
8/31/94 11,798 11,863 12,008
8/31/95 9,864 10,068 10,039
8/31/96 10,521 10,902 10,421
8/31/97 11,388 11,978 10,899
8/31/98 5,667 6,051 5,421
8/31/99 8,674 9,401 9,339
8/31/00 9,381 10,321 9,927
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE FOR THE THREE-YEAR PERIOD ENDED AUGUST 31, 2000
(unaudited)
EMERGING MARKETS EQUITY INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the MSCI Emerging Markets
Free Index
--------------------------------------------------------------------------------
[LINE GRAPH]
TRAK TRAK
EMERGING EMERGING
MARKETS MARKETS MSCI
EQUITY EQUITY EMERGING
INVESTMENTS* INVESTMENTS* MARKETS
DATE (WITH TRAK FEE) (WITHOUT FEE) FREE INDEX
--------------- --------------- --------------- --------------
8/97 10,000 10,000 10,000
8/98 4,977 5,052 4,974
8/99 7,628 7,860 8,568
8/00 8,237 8,617 9,108
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
-----------------------------------
Portfolio Highlights#
-----------------------------------
Composition of portfolio as of
August 31, 2000
[PIE CHART]
Brazil 13.3%
Taiwan 13.2%
South Korea 12.2%
Mexico 11.9%
South Africa 7.3%
Israel 6.1%
Hong Kong 5.8%
Russia 5.5%
India 4.5%
Malaysia 3.8%
Repurchase Agreement 3.0%
Other Stock 13.4%
--------------------------------------------------------------------------------
EMERGING MARKETS EQUITY INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
................................................................................
Since Inception (4/20/94) 0.50% (1.00)%
5 year 0.50 (1.00)
3 year (4.84) (6.26)
1 year 9.62 7.99
================================================================================
See pages 16 and 17 for all footnotes.
11
<PAGE>
International Fixed Income Investments
--------------------------------------------------------------------------------
ABOUT THE SUB-ADVISOR
--------------------------------------------------------------------------------
o Julius Baer Investment Management Inc.
Applies portfolio economic analysis to select a portfolio of high-quality,
well-diversified foreign bonds. From a universe of 20 developed countries
outside the U.S., the sub-advisor forecasts which bond markets offer the best
opportunity to outperform the U.S. bond market, considering factors such as
currencies, local bond market conditions, issuers and instruments. It pays
particular attention to markets that offer attractive yields. The sub-advisor
employs a proprietary computer model to analyze exchange rates to assist in its
forecasts and to help manage the risk of the Portfolio.
International Fixed Income Investments ("Portfolio") is advised by Julius Baer
Investment Management Inc. During the past year, interest rate increases by all
major Central Banks headed off potential inflation and slowed economic growth.
The euro continued to fall, passing through the parity mark with the U.S.
dollar, ending at $0.89 by the end of August. The Portfolio returned a negative
6.13% for the year versus the Salomon Smith Barney Non-U.S. Government Bond
Index return of negative 5.85%, the Portfolio's benchmark.
Over the past year, the Portfolio maintained an overweight position in
peripheral European and emerging markets, which boosted performance on the back
of higher yields available in these markets. The Portfolio's Japanese bond
weighting was also increased, which helped in 2000 but was a drag on performance
in 1999 when Japan was the top performing bond market and the Portfolio held
less than a market weight. All major bond markets showed positive performance in
local currency terms during the past twelve months, with Europe averaging 2.41%,
the dollar between 6-8%, and Japan at 2.05%. When translated into U.S. dollars,
however, the picture is much different. European markets averaged negative
13.80% returns, with only the U.K. and Sweden showing negative returns which
were not in the double digit range. The weighting in the euro currency produced
negative absolute performance. The U.S. dollar strengthened considerably and the
Portfolio was not hedged into dollars during the past year, which would have
protected some of those gains.
Going forward the advisor intends to stay fully invested in the international
fixed income market and will look for those securities that meet their
investment criteria.
12
<PAGE>
The following graphs depict the performance of the
International Fixed Income Investments vs. the
Salomon Smith Barney Non-U.S. Government Bond
Index./8/
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
INTERNATIONAL FIXED INCOME INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Salomon Smith Barney
Non-U.S. Government Bond Index
International Fixed
Income Investments
(With TRAK Fee)*
International Fixed
Income Investments
(Without TRAK Fee)
Salomon Smith
Barney Non-U.S.
Government
Bond Index
[LINE GRAPH]
Salomon
International International Smith Barney
Fixed Income Fixed Income Non-U.S.
Invesments Investments Government Bond
Date (With TRAK Fee) (Without TRAK Fee) Index
-------- --------------- ------------------ ---------------
11/18/91 10,000 10,000 10,000
8/31/92 11,260 11,393 11,869
8/31/93 12,055 12,381 12,650
8/31/94 11,995 12,504 13,319
8/31/95 13,904 14,713 15,451
8/31/96 15,348 16,485 18,637
8/31/97 14,892 16,235 18,004
8/31/98 16,205 17,932 19,098
8/31/99 16,209 18,299 19,039
8/31/00 15,064 17,177 17,925
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
HISTORICAL PERFORMANCE FOR THE THREE-YEAR PERIOD ENDED AUGUST 31, 2000
(unaudited)
INTERNATIONAL FIXED INCOME INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the Salomon Smith Barney
Non-U.S. Government Bond Index
International Fixed
Income Investments
(With TRAK Fee)*
International Fixed
Income Investments
(Without TRAK Fee)
Salomon Smith
Barney Non-U.S.
Government
Bond Index
[LINE GRAPH]
Salomon
International International Smith Barney
Fixed Income Fixed Income Non-U.S.
Invesments Investments Government Bond
Date (With TRAK Fee) (Without TRAK Fee) Index
-------- --------------- ------------------ ---------------
8/97 10,000 10,000 10,000
8/98 10,881 11,045 10,608
8/99 10,939 11,271 10,575
8/00 10,116 10,580 9,956
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
INTERNATIONAL FIXED INCOME INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
--------------------------------------------------------------------------------
Since Inception (11/18/91) 6.35% 4.77%
5 year 3.15 1.62
3 year 1.90 0.38
1 year (6.13) (7.53)
================================================================================
See pages 16 and 17 for all footnotes.
--------------------------------------------------------------------------------
Portfolio Highlights#
--------------------------------------------------------------------------------
Composition of portfolio as of
August 31, 2000
--------------------------------------------------------------------------------
[PIE CHART]
Germany 23.0%
Supranational 19.0%
Greece 11.1%
Spain 8.5%
France 5.7%
Japan 5.6%
Denmark 4.9%
Austria 4.3%
Poland 4.1%
Other Bonds 11.9%
Repurchase Agreement 1.9%
--------------------------------------------------------------------------------
13
<PAGE>
Balanced Investments
--------------------------------------------------------------------------------
ABOUT THE SUB-ADVISORS
--------------------------------------------------------------------------------
o Seix Investment Advisors, Inc.
Manages the fixed income portion of the Portfolio's assets. The sub-advisor
combines traditional credit research with proprietary analysis that seeks to
identify mispriced or undervalued fixed-income securities such as U.S.
government securities and corporate bonds. It emphasizes those securities that
have a potential for higher income while maintaining a duration that is
approximately equal to the Lehman Brothers Aggregate Bond Index.
o Laurel Capital Advisors, LLP
Manages the equity portion of the Portfolio's assets. In selecting stocks for
investment, it focuses on common stocks of companies which it believes are
undervalued and which exhibit improving earnings momentum, while maintaining
sector weightings similar to the Standard & Poor's 500 Index.
Balanced Investments ("Portfolio") is advised by Seix Investment Advisors, Inc.
("Seix") and Laurel Capital Advisors, LLP ("Laurel"), managers to the fixed
income and equity portions of the Portfolio, respectively. The Portfolio
returned 14.45% for the year compared to the Lehman Brothers
Government/Corporate Bond Index, which returned 7.29%, and the Standard & Poor's
500 Index ("S&P 500 Index") which returned 16.32%, the Portfolio's two
benchmarks. Consulting Group is currently targeting a blended allocation for the
Portfolio of 60% equity and 40% fixed income.
The economy continued to show signs that the Federal Reserve Board had
successfully managed a soft landing during the third quarter. Seix focused on
the evidence of a weakening economy rather than the fear of future inflation and
the yields on all U.S. Treasuries with maturities greater than one year dropped.
In the June - August time period, the fixed income portfolio was overweight
AAA-rated, higher income securities (e.g. Asset Backed and Mortgage Backed), on
the short end of the yield curve and significantly overweight in long maturity
Treasuries. In the corporate sector, the advisor chose to emphasize shorter
maturity securities in the energy and utility sectors, while avoiding interest
rate sensitive sectors - financial and cyclical issuers.
The largest contributor to absolute and relative performance for Laurel was the
financial sector. Despite technology stocks' negative absolute impact, this
sector added to relative performance. The utilities sector was the largest
detractor from relative performance as telecommunications companies realized
lower than expected growth in their long distance businesses. Though the
remaining areas of the market provided a mixed bag of contributors and
detractors from performance relative to the S&P 500 Index, Laurel maintained a
year-to-date performance that is also ahead of the S&P 500 Index.
Going forward, Seix continues to look for value in all sectors of the fixed
income market, analyzing potential investments from all viewpoints, including
fundamental, quantitative and political, when necessary. They anticipate a
positive environment for both corporate and U.S. Agency securities as they
expect the yield curve to steepen and the Federal Reserve Board to remain on
hold. They will therefore remain overweighted in short corporate and mortgage
securities while attempting to capture incremental value in longer dated
corporate and agency securities. Laurel will continue to remain fully invested
with neutral sector weights to the S&P 500 Index, while concentrating on
individual stock selection.
14
<PAGE>
The following graphs depict the performance of the
Balanced Investments vs. the Lehman Brothers
Government/Corporate Bond Index/9/ and the Standard &
Poor's 500 Index./10/
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE SINCE INCEPTION THROUGH AUGUST 31, 2000 (unaudited)
BALANCED INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the
Lehman Brothers Government/Corporate Bond Index and Standard & Poor's 500 Index
--------------------------------------------------------------------------------
Balanced Investments
(With TRAK Fee)*
Balanced Investments
(Without TRAK Fee)
Lehman Brothers
Government/
Corporate Bond
Index
Standard & Poor's
500 Index
[LINE GRAPH]
TRAK TRAK
BALANCED BALANCED LEHMAN BROS.
INVESTMENTS INVESTMENTS GOV'T/CORP STANDARD &
DATE (WITH TRAK FEE) (WTIHOUT FEE) BOND INDEX POOR'S 500
------- -------------- ------------ ----------- ----------
2/16/93 10,000 10,000 10,000 10,000
8/31/93 10,550 10,635 10,640 10,605
8/31/94 10,860 11,113 10,392 11,184
8/31/95 12,064 12,532 11,586 13,579
8/31/96 13,501 14,235 12,017 16,121
8/31/97 16,765 17,943 13,197 22,617
8/31/98 16,045 17,431 14,704 24,512
8/31/99 18,776 20,705 14,747 34,269
8/31/00 21,172 23,696 15,822 39,858
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
HISTORICAL PERFORMANCE FOR THE THREE-YEAR PERIOD ENDED AUGUST 31, 2000
(unaudited)
BALANCED INVESTMENTS
Comparison of $10,000 Investment in the Portfolio with the
Lehman Brothers Government/Corporate Bond Index and Standard & Poor's 500 Index
--------------------------------------------------------------------------------
Balanced Investments
(With TRAK Fee)*
Balanced Investments
(Without TRAK Fee)
Lehman Brothers
Government/
Corporate Bond
Index
Standard & Poor's
500 Index
[LINE GRAPH]
TRAK TRAK
BALANCED BALANCED LEHMAN BROS.
INVESTMENTS INVESTMENTS GOV'T/CORP. STANDARD &
DATE (WITH TRAK FEE) (WTIHOUT FEE) BOND INDEX POOR'S 500
------- -------------- ------------ ----------- ----------
8/97 10,000 10,000 10,000 10,000
8/98 9,571 9,715 11,143 10,812
8/99 11,200 11,539 11,175 15,116
8/00 12,629 13,206 11,989 17,581
The performance shown represents past performance and is not a guarantee of
future results. A Portfolio's share price and investment return will vary with
market conditions, and the principal value of shares, when redeemed, may be more
or less than original cost.
--------------------------------------------------------------------------------
BALANCED INVESTMENTS
Average Annual Total Returns for Period Through August 31, 2000
--------------------------------------------------------------------------------
Class A Shares Without TRAK Fee With TRAK Fee*
--------------------------------------------------------------------------------
Since Inception (2/16/93) 12.12% 10.46%
5 year 13.59 11.91
3 year 9.71 8.09
1 year 14.45 12.76
================================================================================
See pages 16 and 17 for all footnotes.
--------------------------------------------------------------------------------
Portfolio Highlights#
--------------------------------------------------------------------------------
Composition of portfolio as of
August 31, 2000
--------------------------------------------------------------------------------
[PIE CHART]
Common Stock 47.2%
Mortgage-Backed
Securities 14.0%
U.S. Treasury
Obligations 12.4%
Corporate Bonds &
Notes 8.4%
Asset-Backed
Securities 5.9%
Preferred Stock 0.7%
U.S. Treasury Bill 0.4%
Repurchase
Agreements 11.0%
--------------------------------------------------------------------------------
15
<PAGE>
FOOTNOTES
* The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
# As a % of total investments. The Portfolio is subject to change.
1 The Russell 2000 Value Index is a capitalization weighted total return
index which is comprised of 2000 of the smallest capitalized U.S.
domiciled companies with less-than-average growth orientation whose common
stock is traded in the United States on the New York Stock Exchange,
American Stock Exchange and NASDAQ. Because the Index is not a managed
portfolio, there are no advisory fees or internal management expenses
reflected in the Index's performance. An investor cannot invest directly
in an index.
2 The Lipper Small Cap Value Fund Average is comprised of the Portfolio's
peer group of mutual funds which limit their investments to small cap
value companies.
3 The Russell 2000 Growth Index is a capitalization weighted total return
index which is comprised of 2000 of the smallest capitalized U.S.
domiciled companies with greater-than-average growth orientation whose
common stock is traded in the United States on the New York Stock
Exchange, American Stock Exchange and NASDAQ. Because the Index is not a
managed portfolio, there are no advisory fees or internal management
expenses reflected in the Index's performance. An investor cannot invest
directly in an index.
4 The Lipper Small Cap Growth Fund Average is comprised of the Portfolio's
peer group of mutual funds which limit their investments to small cap
growth companies.
5 The Morgan Stanley Capital International EAFE-GDP Weighted Index is a
composite portfolio of equity total returns for the countries of
Australia, New Zealand and countries in Europe and the Far East, weighted
based on each country's gross domestic product. Because the Index is not a
managed portfolio, there are no advisory fees or internal management
expenses reflected in the Index's performance. An investor cannot invest
directly in an index.
6 The Morgan Stanley Capital International EAFE-Capitalization Weighted
Index is a composite portfolio of equity total returns for the countries
of Australia, New Zealand and countries in Europe and the Far East,
weighted based on each country's market capitalization. Because the Index
is not a managed portfolio, there are no advisory fees or internal
management expenses reflected in the Index's performance. An investor
cannot invest directly in an index.
7 The Morgan Stanley Capital International Emerging Markets Free-Gross Index
is an index comprised of thirteen emerging markets open to direct foreign
participation. Because the Index is not a managed portfolio, there are no
advisory fees or internal management expenses reflected in the Index's
performance. An investor cannot invest directly in an index.
16
<PAGE>
8 The Salomon Smith Barney Non-U.S. Government Bond Index (unhedged) is an
index subset of the Salomon Smith Barney World Bond Index that excludes
corporate bonds denominated in U.S. dollars. It contains foreign
government and supranational bonds denominated in Australian, Austrian,
Belgian, British, Canadian, Danish, Dutch, French, German, Italian,
Japanese, Spanish and Swedish currencies. Because the Index is not a
managed portfolio, there are no advisory fees or internal management
expenses reflected in the Index's performance. An investor cannot invest
directly in an index.
9 The Lehman Brothers Government/Corporate Bond Index is a weighted
composite of (i) Lehman Brothers Government Bond Index, which is
comprised of all publicly issued, non-convertible debt of the U.S.
government or any agency thereof, quasi-federal corporations, and
corporate debt guaranteed by the U.S. government and (ii) Lehman Brothers
Corporate Bond Index, which is comprised of all public fixed-rate,
non-convertible investment-grade domestic corporate debt, excluding
collateralized mortgage obligations. Because the Index is not a managed
portfolio, there are no advisory fees or internal management expenses
reflected in the Index's performance. An investor cannot invest directly
in an index.
10 The Standard & Poor's 500 Index is an index composed of 500 widely held
common stocks listed on the New York Stock Exchange, American Stock
Exchange and over-the-counter market. Because the Index is not a managed
portfolio, there are no advisory fees or internal management expenses
reflected in the Index's performance. An investor cannot invest directly
in an index.
17
<PAGE>
Schedules of Investments
August 31, 2000
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
COMMON STOCK -- 98.1%
Advertising -- 0.2%
10,900 Advo, Inc.*.............................................. $ 446,219
47,500 Ha-Lo Industries, Inc.*.................................. 237,500
18,750 Key3Media Group, Inc.*................................... 141,797
8,600 Modem Media, Inc.*....................................... 90,838
21,700 Penton Media, Inc. ...................................... 679,481
7,000 R.H. Donnelley Corp.*.................................... 147,000
4,400 Sitel Corp.*............................................. 25,300
3,200 Valuevision International Inc., Class A Shares*.......... 93,800
2,000 Ventiv Health, Inc.*..................................... 26,750
-----------
1,888,685
-----------
Aerospace & Defense -- 1.3%
31,098 AAR Corp. ............................................... 349,853
5,828 Alliant Techsystems, Inc.*............................... 449,120
8,600 Armor Holdings, Inc.*.................................... 146,200
4,000 BE Aerospace, Inc.*...................................... 64,750
6,200 Curtiss-Wright Corp. .................................... 281,713
9,068 The Fairchild Corp., Class A Shares*..................... 62,343
338,800 GenCorp, Inc. ........................................... 2,477,445
9,500 Heico Corp. ............................................. 147,250
540 Heico Corp., Class A Shares.............................. 6,851
211,640 Kaman Corp., Class A Shares.............................. 2,777,775
8,800 Kellstrom Industries, Inc.*(a)........................... 45,100
14,500 Orbital Sciences Corp.*.................................. 129,594
141,500 Primex Technologies, Inc. ............................... 3,431,375
2,100 Remec, Inc.*............................................. 59,850
6,998 Sequa Corp., Class A Shares*............................. 323,658
13,800 Triumph Group, Inc.*..................................... 423,488
-----------
11,176,365
-----------
Agriculture -- 0.1%
11,732 Agribrands International, Inc.*.......................... 466,347
6,900 Delta & Pine Land Co. ................................... 168,619
6,000 Seminis, Inc., Class A Shares*........................... 9,750
-----------
644,716
-----------
Airlines -- 0.3%
33,875 Airtran Holdings, Inc.*.................................. 139,734
29,275 Alaska Air Group, Inc.*(a)............................... 761,150
42,721 America West Holdings Corp., Class B Shares*............. 624,795
20,000 Mesa Air Group, Inc.*.................................... 111,250
13,000 Mesaba Holdings, Inc.*................................... 141,375
16,135 Midwest Express Holdings, Inc.*.......................... 365,054
1,300 Skywest Inc. ............................................ 64,594
-----------
2,207,952
-----------
Apparel -- 1.1%
600 Columbia Sportswear Co.*................................. 24,525
5,834 Donna Karan International, Inc.*......................... 35,369
193,393 Kellwood Co. ............................................ 3,094,288
33,900 Nautica Enterprises, Inc.*............................... 400,444
2,781 Oxford Industries, Inc. ................................. 61,530
24,259 Phillips-Van Heusen Corp. ............................... 221,363
61,100 Polo Ralph Lauren Corp.*................................. 1,183,813
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C> <C>
--------------------------------------------------------------------------------
Apparel -- 1.1% (continued)
15,500 Quiksilver, Inc.*.................................... $ 230,563
54,182 Reebok International Ltd.*(a)........................ 1,039,617
33,600 Russell Corp. ....................................... 640,500
44,200 Stride Rite Corp..................................... 265,200
69,659 Unifi, Inc.*......................................... 788,017
6,100 Vans, Inc.*.......................................... 95,313
63,100 Warnaco Group, Inc. ................................. 315,500
47,700 Wolverine Worldwide, Inc. ........................... 521,719
-----------
8,917,761
-----------
Auto Manufacturers -- 0.4%
14,150 Oshkosh Truck Corp. ................................. 502,325
272,042 Wabash National Corp. ............................... 3,026,467
-----------
3,528,792
-----------
Auto Parts & Equipment -- 1.9%
9,200 American Axle & Manufacturing Holdings, Inc.* ....... 132,250
318,751 ArvinMeritor, Inc. .................................. 5,259,342
13,350 Bandag, Inc. ........................................ 434,709
89,806 Borg Warner, Inc..................................... 3,087,081
78,510 Collins & Aikman Corp.*.............................. 407,271
76,300 Cooper Tire & Rubber Co. (b)......................... 920,369
21,800 Delco Remy International, Inc.*...................... 171,675
14,700 Dura Automotive Systems, Inc.*....................... 158,025
18,482 Exide Corp........................................... 166,338
86,400 Federal-Mogul Corp. (a)(b)........................... 891,000
18,800 Hayes Lemmerz International, Inc.*................... 242,050
3,000 Keystone Automotive Industries, Inc.*................ 16,875
79,900 Lear Corp.*.......................................... 1,722,844
17,600 Miller Industries, Inc.*............................. 25,300
26,140 Modine Manufacturing Co. ............................ 735,188
23,095 Superior Industries International, Inc. ............. 749,144
40,300 Tenneco Automotive, Inc. ............................ 287,138
10,179 Titan International, Inc. ........................... 51,531
47,298 Tower Automotive, Inc.*.............................. 538,015
-----------
15,996,145
-----------
Banks -- 6.1%
9,500 Alabama National BanCorp............................. 183,469
31,389 Amcore Financial, Inc. .............................. 566,964
16,124 Area Bancshares Corp. ............................... 362,790
4,050 Bancfirst Corp. ..................................... 128,841
2,500 Bancfirst Ohio Corp. ................................ 37,500
66,732 BancorpSouth, Inc. (b)............................... 975,956
11,300 Bank of Granite Corp. ............................... 258,488
31,955 Bay View Capital Corp................................ 311,561
12,654 BOK Financial Corp.*................................. 226,190
16,980 Brenton Banks, Inc. ................................. 207,740
10,004 BSB Bancorp, Inc. ................................... 220,088
19,764 BT Financial Corp.................................... 355,752
4,815 Capital City Bank Group, Inc. ....................... 96,300
9,900 Cathay Bancorp, Inc. ................................ 493,763
13,000 Century South Banks, Inc. ........................... 284,375
16,307 Chemical Financial Corp. ............................ 350,601
</TABLE>
See Notes to Financial Statements.
19
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Banks -- 6.1% (continued)
28,097 Chittenden Corp. ......................................... $ 769,155
56,511 Citizens Banking Corp., Michigan (b)...................... 1,299,753
5,700 City Bank Lynnwood, Washington............................ 163,163
114,080 The Colonial BancGroup, Inc. (b).......................... 1,112,280
15,737 Commerce Bancorp, Inc., New Jersey........................ 813,406
61,400 Community First Bankshares, Inc. ......................... 1,105,200
13,185 Corus Bankshares, Inc..................................... 435,105
9,900 CPB Inc. ................................................. 256,163
54,200 Cullen/Frost Bankers, Inc. ............................... 1,680,200
620 CVB Financial Corp. ...................................... 9,920
26,400 East-West Bancorp, Inc.................................... 450,450
25,401 F.N.B. Corp. of Pennsylvania.............................. 558,822
7,527 F&M Bancorp/Frederick Maryland............................ 159,008
30,731 F&M National Corp. ....................................... 749,068
5,500 Farmers Capital Bank Corp. ............................... 198,688
13,700 First Bancorp of Puerto Rico.............................. 267,150
500 First Busey Corp.......................................... 9,250
32,000 First Charter Corp. ...................................... 514,000
6,905 First Citizens Bancshares, Class A Shares................. 454,435
63,494 First Commonwealth Financial Corp. ....................... 607,161
32,800 First Financial Bancorp................................... 553,500
11,711 First Financial Bankshares, Inc........................... 374,752
6,768 First Financial Corp. of Indiana.......................... 209,808
10,580 First Merchants Corp. .................................... 236,066
45,521 First Midwest Bancorp Inc. of Illinois.................... 1,174,991
12,316 First Source Corp......................................... 229,386
29,342 First United Bancshares of Arkansas....................... 476,808
14,400 Frontier Financial Corp................................... 277,200
53,750 Fulton Financial Corp. (b)................................ 1,128,750
6,986 GBC Bancorp of California................................. 264,595
1,430 Glacier Bancorp, Inc. .................................... 18,143
32,100 Gold Banc Corp., Inc. .................................... 172,036
2,700 Hamilton Bancorp, Inc.*................................... 40,163
13,151 Hancock Holding Co........................................ 422,476
9,693 Harleysville National Corp................................ 292,002
147,681 Hudson United Bancorp (b)................................. 3,719,715
35,028 Imperial Bancorp*......................................... 761,859
4,450 Independent Bank Corp. of Massachusetts................... 61,466
21,503 Integra Bank Corp......................................... 413,933
15,618 International Bancshares Corp............................. 479,277
12,300 Irwin Financial Corp...................................... 182,194
59,500 Keystone Financial, Inc................................... 1,368,500
12,888 MidAmerica Bancorp........................................ 335,088
13,300 Mid-State Bancshares...................................... 395,675
2,100 Midwest Banc Holdings, Inc. .............................. 28,613
6,500 Mississippi Valley Bancshares............................. 165,750
9,845 National Penn Bancshares, Inc. ........................... 199,361
16,900 NBT Bancorp, Inc. ........................................ 192,238
10,550 Omega Financial Corp. .................................... 292,763
11,400 Oriental Financial Group.................................. 149,625
2,400 Pacific Capital Bancorp................................... 64,350
200,000 Pacific Century Financial Corp. .......................... 2,800,000
18,780 Premier National Bancorp, Inc............................. 380,295
</TABLE>
See Notes to Financial Statements.
20
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<TABLE>
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Banks -- 6.1% (continued)
29,646 Provident Bankshares Corp. ......................... $ 422,456
25,700 Provident Financial Group, Inc. .................... 676,231
12,700 R&G Financial Corp., Class B Shares................. 131,763
53,598 Republic Bancorp.................................... 475,682
2,000 Republic Bancorp Inc. of Kentucky, Class A Shares 13,688
(a).................................................
3,000 Republic Bancshares, Inc.*.......................... 36,375
57,759 Republic Security Financial Corp. .................. 249,086
22,688 Riggs National Corp. of Washington D.C. ............ 270,838
27,806 S&T Bancorp, Inc. .................................. 548,734
10,600 Sandy Spring Bancorp, Inc. ......................... 230,550
10,180 Santander Bancorp................................... 119,615
2,600 Second Bancorp, Inc. ............................... 37,863
13,900 Silicon Valley Bancshares*.......................... 800,988
93,786 Sky Financial Group, Inc. .......................... 1,641,255
51,057 The South Financial Group, Inc. .................... 663,741
20,600 Southwest Bancorp of Texas*......................... 598,688
21,800 Sterling Bancshares, Inc. of Texas.................. 308,947
237,450 Susquehanna Bancshares, Inc. ....................... 3,398,503
15,348 Texas Regional Bancshares, Class A Shares........... 391,374
6,711 Three Rivers Bancorp, Inc. ......................... 53,688
19,200 Trust Co. of New Jersey............................. 316,800
74,700 Trustmark Corp. .................................... 1,381,950
9,600 UCBH Holdings, Inc. ................................ 290,400
19,641 UMB Financial Corp. ................................ 708,304
37,100 United Bankshares, Inc. ............................ 737,363
13,433 United National Bancorp of New Jersey............... 235,078
9,722 US Bancorp, Inc. of Pennsylvania.................... 42,838
9,760 USB Holding Co., Inc. .............................. 130,540
32,900 W. Holding Co., Inc. ............................... 310,494
22,991 Wesbanco, Inc. ..................................... 537,415
27,300 WestAmerica Bancorp. ............................... 827,531
26,761 Whitney Holding Corp. .............................. 951,688
-----------
52,074,599
-----------
Beverages -- 0.1%
500 Beringer Wine Estates Holdings, Inc., Class B 27,656
Shares*.............................................
12,200 Canandaigua Brands, Inc., Class A Shares*........... 657,275
1,135 Farmer Brothers Co. ................................ 195,575
9,262 Robert Mondavi Corp., Class A Shares*............... 379,742
-----------
1,260,248
-----------
Biotechnology -- 0.2%
1,000 Aclara BioSciences, Inc.*........................... 39,000
2,200 Aviron*............................................. 99,000
10,161 Bio-Rad Labs, Class A Shares*....................... 250,215
39,700 Cell Genesys, Inc.*................................. 1,223,226
1,400 Diversa Corp.*...................................... 39,900
900 Exelixis, Inc.*..................................... 40,500
1,300 Intermune Pharmaceuticals, Inc.*.................... 49,481
1,000 Lexicon Genetics, Inc. of Texas..................... 33,250
1,000 Lynx Therapeutics, Inc.*............................ 34,750
900 Orchid BioSciences, Inc.*(a)........................ 40,444
1,000 Sequenom, Inc.*(a).................................. 30,125
</TABLE>
See Notes to Financial Statements.
21
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(continued)
Small Capitalization Value Equity Investments
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<TABLE>
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<C> <S> <C>
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Biotechnology -- 0.2% (continued)
5,100 Targeted Genetics Corp.*................................. $ 68,850
2,400 Transkaryotic Therapies, Inc.*(a)........................ 104,100
-----------
2,052,841
-----------
Building Materials -- 1.9%
1,900 Advanced Lighting Technologies, Inc.*.................... 30,400
44,800 Armstrong Holdings, Inc. ................................ 714,000
125,000 Butler Manufacturing Co. ................................ 2,773,438
120,754 Centex Construction Products, Inc. ...................... 3,116,963
35,200 Comfort Systems USA, Inc.*............................... 193,600
2,000 Elcor Corp. ............................................. 32,875
17,862 Florida Rock Industrial, Inc. ........................... 686,571
17,000 Genlyte Group, Inc.*..................................... 397,375
48,016 Lennox International, Inc. (b)........................... 663,221
2,000 Mestek, Inc.*............................................ 33,875
21,482 NCI Building Systems, Inc.*.............................. 378,620
12,881 Nortek Inc.*............................................. 263,255
57,412 Owens Corning............................................ 297,825
33,300 Rayonier Inc. ........................................... 1,384,031
3,400 Republic Group, Inc. .................................... 60,563
2,800 Simpson Manufacturing Co., Inc.*......................... 131,600
25,897 Texas Industries, Inc.................................... 883,735
6,000 U.S. Aggregates, Inc..................................... 103,500
226,156 Universal Forest Products, Inc. ........................ 2,841,085
46,300 York International Corp.................................. 1,151,713
-----------
16,138,245
-----------
Chemicals -- 3.3%
35,615 A. Schulman, Inc. ....................................... 429,606
65,100 Airgas, Inc.*............................................ 431,288
28,318 Albemarle Corp........................................... 702,640
23,700 Arch Chemicals, Inc...................................... 431,044
7,259 Bush Boake Allen, Inc.*.................................. 318,489
4,100 Cabot Microelectronics Corp.*(a)......................... 239,338
5,942 Cambrex Corp............................................. 278,903
18,425 ChemFirst Inc. .......................................... 424,927
41,547 Crompton Corp............................................ 373,923
50,160 Cytec Industries, Inc.*.................................. 1,674,090
51,600 Ethyl Corp. ............................................. 106,425
29,601 Ferro Corp. ............................................. 610,521
24,563 Geon Co.................................................. 428,317
19,130 Georgia Gulf Corp........................................ 248,690
57,800 Great Lakes Chemical Corp. (a)........................... 1,950,750
15,954 H.B. Fuller Co........................................... 547,422
19,740 International Specialty Products, Inc.*.................. 113,505
26,676 Lilly Industries, Inc., Class A Shares................... 816,953
65,539 Lubrizol Corp. (b)....................................... 1,421,377
78,600 Millennium Chemicals, Inc. (b)........................... 1,296,900
25,088 Minerals Technologies, Inc. ............................. 1,301,440
20,002 NL Industries, Inc....................................... 466,297
5,950 Octel Corp.*............................................. 51,319
201,300 Olin Corp................................................ 3,321,450
25,695 OM Group, Inc............................................ 1,217,301
</TABLE>
See Notes to Financial Statements.
22
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(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
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<C> <S> <C>
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Chemicals -- 3.3% (continued)
369,900 Omnova Solutions, Inc.................................... $ 2,219,400
345,873 PolyOne Corp.*........................................... 2,875,069
127,900 RPM Inc. of Ohio......................................... 1,223,044
61,600 Solutia, Inc. (b)........................................ 927,850
4,100 Spartech Corp. .......................................... 101,475
7,885 Stepan Co................................................ 164,599
23,915 Terra Industries, Inc.*.................................. 37,367
9,500 Valhi, Inc............................................... 121,719
18,000 Valspar Corp. ........................................... 531,000
60,500 W.R. Grace & Co.*(b)..................................... 480,219
36,427 Wellman, Inc. ........................................... 439,401
-----------
28,324,058
-----------
Coal -- 0.0%
19,463 Arch Coal, Inc........................................... 145,973
-----------
Commercial Services -- 3.7%
19,155 Aaron Rents, Inc. ....................................... 263,381
18,868 ABM Industries, Inc. .................................... 509,436
11,800 ACNielsen Corp.*......................................... 283,938
11,212 Arch Capital Group Ltd.*................................. 170,282
25,800 Avis Group Holdings, Inc.*............................... 793,350
5,192 Bacou USA, Inc.*......................................... 130,449
166,900 Banta Corp. ............................................. 3,682,231
3,654 Berlitz International, Inc.*............................. 36,997
42,600 Billing Concepts Corp.*.................................. 138,450
41,724 Bowne & Co., Inc. ....................................... 432,887
7,400 Burns International Services Corp.*...................... 159,100
1,400 Career Education Corp.*.................................. 55,913
1,600 Carey International, Inc.*............................... 29,000
3,900 Carriage Services, Inc., Class A Shares*................. 11,456
13,200 CDI Corp.*............................................... 244,200
2,900 Central Parking Corp..................................... 56,188
111,715 Chemed Corp. ............................................ 3,421,272
900 Cornell Cos., Inc.*...................................... 7,481
10,900 Costar Group, Inc.*...................................... 301,113
3,900 CPI Corp................................................. 95,063
80,400 Data Broadcasting Corp.*................................. 321,600
30,100 Dollar Thrifty Automotive Group*......................... 681,013
14,800 Edison Schools, Inc.*.................................... 458,800
17,700 Electro Rent Corp.*...................................... 216,825
69,101 Encompass Services Corp.*................................ 380,056
1,200 F.Y.I., Inc.*............................................ 46,800
7,300 First Consulting Group, Inc.*............................ 51,100
3,900 Horizon Offshore, Inc.*.................................. 72,638
10,000 Insurance Auto Auctions, Inc.*........................... 165,000
31,000 Integrated Electrical Services, Inc.*.................... 238,313
131,700 Kelly Services, Inc., Class A Shares..................... 3,045,563
2,000 Lason, Inc.*............................................. 4,750
42,700 Mail-Well, Inc.*......................................... 309,575
144,400 McGrath Rent Corp. ...................................... 2,463,825
21,400 Medical Manager Corp.*................................... 936,250
165,000 Midas Inc................................................ 2,805,000
77,100 Modis Professional Services, Inc.*(b).................... 530,063
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
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(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
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<C> <S> <C>
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Commercial Services -- 3.7% (continued)
6,300 National Equipment Services, Inc.*....................... $ 33,075
7,983 National Processing, Inc.*............................... 94,299
43,200 NationsRent, Inc.*....................................... 167,400
25,700 Navigant Consulting Co.*................................. 102,800
7,800 NCO Group, Inc.*......................................... 135,525
1,800 Nextera Enterprises Inc., Class A Shares*................ 6,750
58,100 Ogden Corp. (b).......................................... 1,009,488
7,300 Organic, Inc.*........................................... 52,469
26,500 Parexel International Corp.*............................. 264,172
14,418 Personnel Group of America, Inc.*........................ 51,364
5,900 Pharmaceutical Product Development, Inc.*................ 129,431
25,226 Primark Corp.*........................................... 933,362
24,100 Protection One, Inc.*.................................... 42,175
5,800 Rent-A-Center, Inc.*..................................... 191,038
6,000 Rent-Way, Inc.*.......................................... 147,000
330,000 Service Corp. International.............................. 763,125
38,600 Sodexho Marriott Services, Inc. ......................... 627,250
23,000 Sotheby's Holdings, Inc., Class A Shares................. 475,813
10,100 Source Information Management Co.*(a).................... 102,263
53,724 Spherion Corp.*(b)....................................... 661,477
112,600 Stewart Enterprises, Inc................................. 358,913
33,100 Sylvan Learning Systems, Inc.*........................... 477,881
26,600 Trico Marine Services, Inc.*............................. 385,700
23,800 United Rentals, Inc.*.................................... 493,850
9,400 Volt Information Sciences, Inc.*......................... 317,838
8,215 Wackenhut Corp.*......................................... 116,550
-----------
31,690,366
-----------
Computers -- 1.0%
14,200 Advanced Digital Information Corp.*...................... 241,400
5,600 Anacomp, Inc.*........................................... 4,725
21,800 Analysts International Corp. ............................ 181,213
9,200 Avant! Corp.*............................................ 133,975
8,900 Caci International, Inc., Class A Shares*................ 200,250
18,100 Cambridge Technology Partners, Inc.*..................... 111,428
2,300 Catapult Communications Corp.*........................... 41,400
3,800 Ciber, Inc.*............................................. 39,188
29,600 Computer Horizons Corp.*................................. 283,050
13,000 Dot Hill Systems Corp.*.................................. 115,375
37,500 FutureLink Corp.*........................................ 201,563
24,100 Hutchinson Technology, Inc.*............................. 572,375
56,666 Intergraph Corp.*........................................ 339,996
65,900 Iomega Corp.*(a)(b)...................................... 271,838
1,300 Maxwell Technologies, Inc.*.............................. 21,288
3,300 MCSi Inc.*............................................... 113,438
13,400 Micron Electronics, Inc.*................................ 185,088
220,000 MTS Systems Corp. ....................................... 1,388,750
2,200 NetSolve, Inc.*.......................................... 19,525
21,200 Quantum Corp. -- Hard Disk Drive Group*.................. 206,700
225,100 Silicon Graphics, Inc.*.................................. 1,055,156
113,900 Storage Technology Corp.*................................ 1,801,044
32,600 Technology Solutions Co.*................................ 100,856
6,200 Tyler Technologies, Inc.*................................ 13,563
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Computers -- 1.0% (continued)
113,100 Western Digital Corp.*.................................. $ 664,463
6,300 Xybernaut Corp.*(a)..................................... 48,825
-----------
8,356,472
-----------
Cosmetics & Personal Care -- 0.1%
41,400 Alberto-Culver Co., Class B Shares...................... 1,172,138
9,000 Revlon, Inc., Class A Shares*(a)........................ 64,125
-----------
1,236,263
-----------
Distribution & Wholesale -- 1.0%
9,800 Anicom, Inc.*........................................... 37,669
31,515 Handleman Co.*.......................................... 389,998
177,250 Hughes Supply Inc. ..................................... 3,775,425
3,000 JLK Direct Distribution Inc., Class A Shares*........... 21,000
34,800 Merisel, Inc.*.......................................... 38,063
220,266 Owens & Minor Inc. ..................................... 3,372,823
15,900 United Stationers, Inc.*................................ 515,756
1,500 Valley Media, Inc.*..................................... 4,125
19,250 Watsco Inc. ............................................ 245,438
14,600 Wesco International, Inc.*.............................. 130,488
-----------
8,530,785
-----------
Diversified Financial Services -- 1.7%
24,343 Advanta Corp., Class A Shares (a)....................... 316,459
14,100 Affiliated Managers Group, Inc.*........................ 786,075
7,100 Amresco, Inc.*.......................................... 7,988
30,910 Associates First Capital Corp.*(a)...................... 1,005
1,800 Blackrock Inc.*......................................... 73,800
5,650 CFS Holdings, Inc., Escrow*+............................ 0
24,400 Charter Municipal Mortgage Acceptance Co. .............. 330,925
23,430 Credit Acceptance Corp.*................................ 140,580
2,600 Creditrust Corp.*(a).................................... 3,413
14,970 Dain Rauscher Corp. .................................... 1,204,149
1,106 Delta Financial Corp.*(a)............................... 899
37,100 Doral Financial Corp. .................................. 551,863
12,200 DVI, Inc.*.............................................. 224,175
8,175 Financial Federal Corp.*................................ 173,719
72,000 Finova Group, Inc. (b).................................. 499,500
28,300 Friedman, Billings, Ramsey Group, Inc., Class A
Shares*................................................ 210,481
1,600 Gabelli Asset Management, Inc., Class A Shares*......... 48,200
29,100 Jefferies Group, Inc.-New............................... 885,731
25,800 LaBranche & Co., Inc.*.................................. 777,225
4,600 Medallion Financial Corp. .............................. 74,175
26,100 Morgan Keegan, Inc. .................................... 523,631
54,190 Phoenix Investment Partners, Ltd. ...................... 806,076
147,800 Raymond James Financial Corp. .......................... 4,212,300
20,447 Southwest Securities Group, Inc. (a).................... 678,568
5,400 Student Loan Corp. ..................................... 257,513
19,500 Tucker Anthony Sutro Corp. ............................. 459,469
27,100 UniCapital Corp.*....................................... 3,388
29,400 United Asset Management Corp. .......................... 720,300
10,455 Westcorp................................................ 136,568
6,500 WFS Financial, Inc.*.................................... 96,281
-----------
14,204,456
-----------
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
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(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
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<C> <S> <C>
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Electric -- 5.2%
56,364 Avista Corp. (b)......................................... $ 1,039,211
16,931 Black Hills Corp. ....................................... 431,741
57,500 CH Energy Group, Inc. ................................... 2,170,625
27,507 Cleco Corp. ............................................. 1,148,417
38,500 CMP Group, Inc. ......................................... 1,130,938
265,000 Conectiv (b)............................................. 4,703,750
66,002 El Paso Electric Co.*(b)................................. 886,902
20,105 Empire District Electric Co. ............................ 521,473
120,535 Hawaiian Electric Industrial, Inc. (a)................... 3,947,521
45,700 IDACORP, Inc. ........................................... 1,802,294
74,600 Kansas City Power & Light Co. (a)(b)..................... 2,004,875
19,159 Madison Gas & Electric Co. .............................. 380,785
74,250 MDU Resources Group, Inc. ............................... 1,856,250
89,100 Minnesota Power, Inc. ................................... 1,976,906
26,809 Northwestern Corp. ...................................... 583,096
238,800 OGE Energy Corp. (a)(b).................................. 5,104,350
25,314 Otter Tail Power Co. .................................... 528,430
186,354 Public Service Co. of New Mexico......................... 3,983,317
153,490 RGS Energy Group, Inc. .................................. 3,818,064
95,243 Sierra Pacific Resources (a)............................. 1,684,611
17,489 UIL Holdings Corp. ...................................... 879,915
35,220 UniSource Energy Corp. .................................. 548,111
82,900 Western Resources, Inc. (b).............................. 1,658,000
32,102 WPS Resources Corp. ..................................... 965,066
-----------
43,754,648
-----------
Electrical Computer & Equipment -- 0.4%
26,798 Belden, Inc. ............................................ 700,098
38,946 Cable Design Technologies Corp.*(a)...................... 1,051,542
35,904 General Cable Corp. ..................................... 300,696
5,063 Littelfuse, Inc.*........................................ 183,850
13,400 SLI Inc. ................................................ 128,975
2,200 Superconductor Technologies Inc.*(a)..................... 48,675
58,048 UCAR International, Inc.*................................ 790,904
-----------
3,204,740
-----------
Electronics -- 0.8%
15,800 Ampex Corp., Class A Shares*............................. 19,750
8,100 Analogic Corp. .......................................... 303,750
3,300 Bel Fuse Inc., Class A Shares*........................... 114,675
10,100 Bel Fuse Inc., Class B Shares............................ 352,238
4,000 Benchmark Electronics, Inc.*(a).......................... 208,250
7,300 Brady Corp., Class A Shares.............................. 211,244
33,957 Checkpoint Systems, Inc.*................................ 271,656
3,859 Cubic Corp. ............................................. 82,969
2,800 DDI Corp. of California*................................. 106,750
24,500 Fisher Scientific International Inc.*(a)................. 537,469
30,600 Genrad, Inc.*............................................ 269,663
3,400 Innovex, Inc. ........................................... 51,000
5,170 Interlogix, Inc.*........................................ 79,489
8,700 Kent Electronics Corp.*.................................. 254,475
6,288 Methode Electronics Inc., Class A Shares................. 378,066
7,649 Moog, Inc., Class A Shares*.............................. 248,593
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Electronics -- 0.8% (continued)
4,200 Packard BioSciences Co.*................................. $ 83,475
10,879 Park Electrochemical Corp. .............................. 437,200
45,660 Paxar Corp.*............................................. 502,260
3,900 SBS Technologies, Inc.*.................................. 201,094
60,600 Sensormatic Electronics Corp.*........................... 1,007,475
15,200 Stoneridge, Inc.*........................................ 157,700
862 Thermo Electron Corp.*(a)................................ 20,042
4,300 Viasystems Group, Inc.*.................................. 70,950
21,026 Watts Industries, Inc., Class A Shares................... 236,543
9,700 Woodhead Industries, Inc. ............................... 191,575
10,400 Woodward Governor Co. ................................... 412,100
2,100 X-Rite, Inc. ............................................ 20,213
-----------
6,830,664
-----------
Engineering & Construction -- 0.3%
11,500 EMCOR Group, Inc.*....................................... 278,336
50,000 Foster Wheeler Corp. .................................... 353,125
22,062 Granite Construction, Inc. .............................. 501,911
27,441 Jacobs Engineering Group, Inc.*.......................... 1,042,758
38,481 Morrison Knudsen Corp.*.................................. 461,772
15,500 URS Corp.*............................................... 204,406
-----------
2,842,308
-----------
Entertainment -- 0.4%
1,024 AMC Entertainment, Inc.*................................. 1,920
8,300 Anchor Gaming*........................................... 607,975
8,900 Carmike Cinemas, Inc., Class A Shares*................... 17,266
1,600 Championship Auto Racing Teams, Inc.*.................... 37,300
9,300 Churchill Downs, Inc. (a)................................ 219,713
4,000 Dover Downs Entertainment, Inc. ......................... 40,250
32,700 Fairfield Communities, Inc.*............................. 261,600
22,233 Gaylord Entertainment Co. ............................... 580,837
7,143 GC Co., Inc.*............................................ 106,252
16,300 GTECH Holdings Corp.*.................................... 291,363
6,400 Loews Cineplex Entertainment Corp.*...................... 11,600
3,909 Pinnacle Entertainment, Inc.*............................ 80,623
8,900 Scientific Games Holdings Corp.*......................... 230,288
3,900 Speedway Motorsports, Inc.*.............................. 100,669
3,000 Steinway Musical Instruments, Inc.*...................... 53,250
4,600 Sunterra Corp.*.......................................... 506
19,100 Vail Resorts, Inc.*(a)................................... 350,963
-----------
2,992,375
-----------
Environmental Control -- 0.2%
40,426 Calgon Carbon Corp. ..................................... 343,621
16,500 Casella Waste Systems, Inc., Class A Shares*............. 161,906
3,300 Catalytica, Inc.*........................................ 43,931
7,973 Imco Recycling, Inc. .................................... 63,784
18,756 Ionics, Inc.*............................................ 559,163
10,839 Mine Safety Appliances Co. .............................. 222,200
2,600 Stericycle, Inc.*........................................ 58,500
7,700 US Liquids, Inc.*........................................ 33,688
5,500 Waste Connections, Inc.*................................. 127,875
-----------
1,614,668
-----------
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Food -- 3.2%
15,100 American Italian Pasta Co., Class A Shares*.............. $ 255,756
18,800 Aurora Foods, Inc.*...................................... 72,850
55,900 Chiquita Brands International, Inc. ..................... 185,169
10,741 ConAgra Inc. ............................................ 196,695
143,050 Corn Products International, Inc. ....................... 3,594,131
143,600 Dean Foods Co. .......................................... 4,487,500
53,500 Del Monte Foods Co.*..................................... 351,094
54,200 Dole Food Co. (b)........................................ 765,575
48,288 Earthgrains Co. ......................................... 851,076
46,534 Fleming Cos., Inc. ...................................... 718,369
11,600 Grand Union Co.*......................................... 2,552
20,012 Great Atlantic & Pacific Tea Co., Inc. .................. 280,168
14,400 Imperial Sugar Co. ...................................... 18,000
11,389 Ingles Markets, Inc., Class A Shares..................... 112,466
20,100 International Multifoods Corp. .......................... 327,881
44,400 Interstate Bakeries Corp. ............................... 796,425
3,100 J&J Snack Foods Corp.*................................... 43,788
29,800 Lance Inc. .............................................. 277,513
137,385 Michael Foods, Inc. ..................................... 3,262,894
5,028 Performance Food Group Co.*.............................. 186,665
16,427 Pilgrims Pride Corp., Class B Shares..................... 111,909
32,400 Ralcorp Holdings, Inc.*.................................. 437,400
43,282 Riviana Foods, Inc. ..................................... 741,204
34,721 Ruddick Corp. ........................................... 425,332
6,300 Sanderson Farms, Inc. ................................... 40,163
433 Seaboard Corp. .......................................... 84,435
66,400 Smithfield Foods, Inc.*.................................. 1,763,750
35,300 Suiza Foods Corp.*(a).................................... 1,765,000
1,700 United Natural Foods, Inc.*.............................. 25,713
210,800 Universal Foods Corp. ................................... 4,321,400
22,900 Vlasic Foods International Inc.*......................... 37,213
8,500 Weis Markets, Inc. ...................................... 289,000
2,100 Whole Foods Market, Inc.*................................ 106,050
13,400 Wild Oats Markets, Inc.*................................. 144,050
12,700 Zapata Corp.*............................................ 40,481
-----------
27,119,667
-----------
Forest Products & Paper -- 1.5%
20,700 Buckeye Technologies, Inc.*.............................. 516,206
135,405 Caraustar Industries, Inc................................ 2,090,315
18,962 Chesapeake Corp. ........................................ 452,718
12,084 Deltic Timber Corp. ..................................... 241,680
126,700 Louisiana-Pacific Corp. ................................. 1,338,269
29,781 P.H. Glatfelter Co. ..................................... 312,701
157,300 Pope & Talbot Inc. ...................................... 3,126,338
34,800 Potlatch Corp. (a)....................................... 1,170,150
16,905 Rock-Tenn Co., Class A Shares............................ 174,333
17,359 Schweitzer-Mauduit International, Inc. .................. 251,706
350,398 Wausau-Mosinee Paper Corp. .............................. 3,109,782
-----------
12,784,198
-----------
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Gas -- 3.6%
65,588 AGL Resources, Inc. (b).................................. $ 1,242,073
38,621 Atmos Energy Corp. ...................................... 801,386
14,900 Cascade Natural Gas Corp. ............................... 253,300
3,000 CTG Resources, Inc. ..................................... 121,500
178,066 Energen Corp. ........................................... 4,618,587
21,813 Laclede Gas Co. ......................................... 470,343
21,503 New Jersey Resources Corp. .............................. 860,120
160,736 Northwest Natural Gas Co. ............................... 3,696,928
15,373 NUI Corp. ............................................... 462,151
35,565 Oneok Inc. (a)........................................... 1,135,857
128,000 Peoples Energy Corp. .................................... 4,160,000
38,508 Piedmont Natural Gas Co. ................................ 1,066,190
6,500 Providence Energy Corp. ................................. 275,438
21,239 Semco Energy, Inc. (a)................................... 318,585
13,480 South Jersey Industries, Inc. ........................... 363,960
36,651 Southern Union Co.*...................................... 657,427
38,567 Southwest Gas Corp. ..................................... 727,952
31,614 Southwestern Energy Co. ................................. 245,009
158,459 UGI Corp. ............................................... 3,614,846
74,885 Vectren Corp. (b)........................................ 1,422,815
161,124 Washington Gas Light Co. (b)............................. 4,078,451
-----------
30,592,918
-----------
Hand & Machine Tools -- 1.3%
27,676 Baldor Electric Co. ..................................... 543,142
33,000 Hardinge, Inc. .......................................... 363,000
36,000 Kennametal, Inc. ........................................ 922,500
40,922 Lincoln Electric Holdings, Inc. ......................... 598,484
226,062 Milacron, Inc. .......................................... 3,489,832
186,200 Regal Beloit Corp. ...................................... 3,211,950
70,511 Snap-On, Inc. ........................................... 2,172,620
-----------
11,301,528
-----------
Health Care -- 2.9%
24,000 Acuson Corp.*............................................ 345,000
8,600 Alterra Healthcare Corp.*(a)............................. 20,963
1,500 American Retirement Corp.*............................... 7,875
24,100 AmeriPath, Inc.*......................................... 328,363
4,733 Apria Healthcare Group, Inc.*............................ 70,403
92,016 Arrow International, Inc. ............................... 3,278,070
124,742 Beverly Enterprises, Inc.*............................... 647,099
1,900 Britesmile, Inc.*........................................ 13,300
3,100 Cerus Corp.*............................................. 164,494
4,600 Columbia Laboratories, Inc.*............................. 25,300
13,500 Conmed Corp.*............................................ 182,250
1,100 Cooper Co., Inc. ........................................ 36,163
62,500 Covance, Inc.*........................................... 648,438
70,200 Coventry Health Care, Inc.*(b)........................... 1,123,200
3,938 Datascope Corp. ......................................... 138,815
9,599 Diagnostic Products Corp. ............................... 406,758
57,500 Edwards Lifesciences Corp.*.............................. 1,509,375
124,600 Foundation Health Systems, Inc., Class A Shares*......... 2,188,288
2,175 Gentiva Health Services, Inc.*........................... 24,197
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Health Care -- 2.9% (continued)
9,805 Haemonetics Corp. of Massachusetts*...................... $ 246,963
7,900 Hanger Orthopedic Group, Inc.*........................... 27,650
26,000 Henry Schein, Inc.*...................................... 477,750
193,600 Humana, Inc.*(b)......................................... 1,657,700
140,306 Invacare Corp. .......................................... 3,779,493
21,100 Magellan Health Services*................................ 68,575
95,300 Manor Care, Inc.*(b)..................................... 1,274,638
24,880 Mid Atlantic Medical Services Inc.*...................... 401,190
4,500 Oakley, Inc.*(a)......................................... 76,219
11,700 Ocular Sciences, Inc.*................................... 125,775
2,000 Oratec Interventions, Inc.*.............................. 71,125
3,900 Pediatrix Medical Group, Inc.*........................... 51,919
47,800 Phycor, Inc.*............................................ 6,214
3,600 Province Healthcare Co.*................................. 161,550
87,954 PSS World Medical, Inc.*................................. 549,713
87,079 Quorum Health Group, Inc.*(b)............................ 1,121,142
14,900 Res-Care, Inc.*.......................................... 72,172
15,400 Respironics, Inc.*....................................... 291,638
3,400 Rightchoice Managed Care, Inc.*.......................... 67,150
2,000 SonoSite, Inc.*.......................................... 66,875
80,000 Steris Corp.*............................................ 820,000
12,500 Sunrise Assisted Living, Inc.*........................... 248,438
81,500 Total Renal Care Holdings Inc.*.......................... 570,500
4,271 Trex Medical Corp.*...................................... 4,004
16,137 Triad Hospitals, Inc.*................................... 465,956
85,369 US Oncology, Inc.*....................................... 477,533
7,486 Vital Signs, Inc. ....................................... 136,152
14,088 West Pharmaceutical Services, Inc. ...................... 293,207
-----------
24,769,592
-----------
Holding Companies - Diversified -- 0.1%
8,000 Triarc Cos., Inc.*....................................... 182,000
38,494 Walter Industries, Inc. ................................. 317,576
-----------
499,576
-----------
Home Builders -- 2.2%
71,505 Centex Corp. (b)......................................... 2,064,707
55,944 Champion Enterprises, Inc.*.............................. 370,629
120,900 Clayton Homes, Inc. (b).................................. 1,178,775
25,873 Coachmen Industries, Inc. ............................... 287,837
8,800 Crossmann Communities, Inc.*............................. 161,150
56,073 D.R. Horton, Inc. ....................................... 1,100,433
20,116 Del E. Webb Corp.*....................................... 450,096
39,200 Fleetwood Enterprises, Inc. ............................. 536,550
58,768 Kaufman & Broad Home Corp. (b)........................... 1,458,181
57,918 Lennar Corp. (b)......................................... 1,599,985
140,500 MDC Holdings, Inc. ...................................... 3,521,281
18,700 Monaco Coach Corp.*...................................... 327,250
5,500 NVR, Inc.*............................................... 404,250
17,538 Oakwood Homes Corp. ..................................... 28,499
21,547 Palm Harbor Homes, Inc.*................................. 315,125
36,274 Pulte Corp. ............................................. 1,194,775
15,449 Ryland Group, Inc. ...................................... 379,466
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Home Builders -- 2.2% (continued)
2,100 Skyline Corp. ........................................... $ 46,463
28,233 Standard-Pacific Corp. .................................. 464,080
68,363 Thor Industries, Inc. ................................... 1,593,712
24,383 Toll Brothers, Inc.*..................................... 795,495
15,862 Winnebago Industries, Inc. .............................. 203,232
-----------
18,481,971
-----------
Home Furnishings -- 1.4%
25,200 Applica, Inc.*........................................... 261,450
19,106 Bush Industries, Inc., Class A Shares.................... 248,378
31,700 Ethan Allen Interiors, Inc. ............................. 853,919
31,325 Fedders Corp. ........................................... 162,498
53,700 Furniture Brands International, Inc.*(b)................. 865,913
59,868 Harman International Industries, Inc. ................... 4,594,869
190,246 Kimball International, Inc., Class B Shares ............. 3,234,182
73,871 La-Z-Boy, Inc. (b)....................................... 1,186,553
14,600 Select Comfort Corp.*(a)................................. 31,025
91,648 Sunbeam Corp.*(a)........................................ 177,568
-----------
11,616,355
-----------
Household Products & Wares -- 2.0%
78,700 American Greetings Corp., Class A Shares (b)............. 1,465,788
3,600 Blyth Inc. .............................................. 84,375
16,100 Central Garden & Pet Co.*................................ 120,750
6,755 CSS Industries, Inc.*.................................... 138,478
64,600 Dial Corp. (a)(b)........................................ 662,150
340,000 Ennis Business Forms, Inc. .............................. 2,677,500
31,453 John H. Harland Co. ..................................... 460,000
14,800 New England Business Service, Inc. ...................... 291,375
92,918 Pennzoil-Quaker State Co. (b)............................ 1,155,668
23,641 Playtex Products, Inc.*.................................. 280,737
157,096 Russ Berrie & Co., Inc. ................................. 3,220,468
6,080 The Scotts Co., Class A Shares*.......................... 188,480
15,417 Standard Register Co. ................................... 197,530
172,132 Tupperware Corp. ........................................ 3,474,915
252,400 Wallace Computer Services, Inc. ......................... 2,934,150
-----------
17,352,364
-----------
Housewares -- 0.3%
203,309 Enesco Group, Inc. ...................................... 1,321,509
10,141 Libbey, Inc. ............................................ 332,752
66,200 Metromedia International Group, Inc.*.................... 260,663
3,109 Mikasa, Inc. ............................................ 30,118
5,405 National Presto Industries, Inc. ........................ 164,515
14,500 Oneida Ltd. ............................................. 199,375
13,019 Toro Co. ................................................ 393,825
-----------
2,702,757
-----------
Insurance -- 3.8%
12,420 Acceptance Insurance Co., Inc.*.......................... 72,968
47,850 Alfa Corp. .............................................. 906,159
5,717 Alleghany Corp.*......................................... 997,259
12,500 American National Insurance Co. ......................... 768,750
145,924 Amerus Life Holdings, Inc., Class A Shares............... 3,602,499
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Insurance -- 3.8% (continued)
20,996 Argonaut Group, Inc. .................................... $ 346,434
20,900 Arthur J. Gallagher, & Co. .............................. 1,024,100
17,400 Baldwin & Lyons, Inc., Class B Shares.................... 338,213
21,976 CNA Surety Corp. ........................................ 254,098
30,645 Commerce Group, Inc. .................................... 796,770
26,000 Crawford & Co. .......................................... 323,375
18,278 Delphi Financial Group, Inc., Class A Shares*............ 756,252
15,138 E.W. Blanch Holdings, Inc. .............................. 332,090
31,372 Enhance Financial Services Group Inc. ................... 494,109
16,284 FBL Financial Group, Inc., Class A Shares................ 240,189
64,973 Fidelity National Financial Inc. (a)(b).................. 1,295,399
66,455 First American Financial Corp. (b)....................... 1,096,508
68,900 Fremont General Corp. ................................... 219,619
24,804 Frontier Insurance Group, Inc. (a)....................... 7,751
12,500 Great American Financial Resources, Inc. ................ 224,219
15,600 Harleysville Group, Inc. ................................ 300,300
50,000 HCC Insurance Holdings, Inc. ............................ 1,056,250
50,000 Horace Mann Educators Corp. ............................. 762,500
29,200 HSB Group, Inc. ......................................... 1,166,175
10,968 Kansas City Life Insurance Co. .......................... 366,057
13,700 LandAmerica Financial Group, Inc. ....................... 348,494
44,910 Leucadia National Corp. ................................. 1,173,274
19,398 Liberty Corp. ........................................... 746,823
16,200 Liberty Financial Co. ................................... 382,725
6,626 Markel Corp.* ........................................... 966,568
26,688 Medical Assurance, Inc.* ................................ 310,248
31,700 Mercury General Corp. ................................... 869,769
5,000 Midland Co. ............................................. 128,750
2,659 National Western Life Insurance, Class A Shares*......... 185,631
69,340 Ohio Casualty Corp. ..................................... 511,383
8,800 Philadelphia Consolidated Holding Corp.*(a).............. 145,200
16,800 Pico Holdings, Inc.* .................................... 232,050
22,100 PMA Capital Corp., Class A Shares........................ 372,938
209,271 Presidential Life Corp. ................................. 3,165,224
55,700 Reliance Group Holdings, Inc. ........................... 12,184
10,112 RLI Corp. ............................................... 389,312
13,244 SCPIE Holdings, Inc. .................................... 288,057
31,074 Selective Insurance Group Inc. .......................... 557,390
38,700 StanCorp Financial Group, Inc. .......................... 1,548,000
14,298 State Auto Financial Corp. .............................. 179,619
11,900 Stewart Info Service Corp. .............................. 159,906
19,280 Trenwick Group, Inc. .................................... 365,115
12,920 Triad Guaranty Inc.* .................................... 317,348
43,800 UICI*.................................................... 290,175
20,635 W.R. Berkley Corp. ...................................... 546,828
12,015 Zenith National Insurance Corp. ......................... 278,598
-----------
32,219,652
-----------
Internet -- 0.7%
5,200 1-800-FLOWERS.COM, Inc.*................................. 27,300
12,700 24/7 Media, Inc.*........................................ 183,356
13,200 The Ashton Technology Group, Inc.*....................... 47,438
1,200 Autoweb.com, Inc.*....................................... 2,063
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Internet -- 0.7% (continued)
13,400 barnesandnoble.com inc.*(a).............................. $ 53,600
8,900 Buy.com*................................................. 24,753
700 CAIS Internet, Inc.*..................................... 5,644
6,300 Cyberian Outpost, Inc.*.................................. 23,625
6,600 Cypress Communications, Inc.*............................ 34,650
27,200 Digital Courier Technologies, Inc.*...................... 116,450
900 DigitalThink, Inc.*(a)................................... 30,656
17,500 Drugstore.com, Inc.*(a).................................. 107,188
10,500 E-Loan, Inc.*(a)......................................... 36,422
2,900 Expedia Inc., Class A Shares*............................ 46,581
6,000 Fidelity Holdings, Inc.*(a).............................. 8,063
3,900 GetThere Inc.*........................................... 67,763
862 Global Sources Ltd.*..................................... 28,608
14,900 GlobalNet Financial.com, Inc.*........................... 147,138
37,500 High Speed Access Corp.*................................. 215,625
7,100 Hollywood.com, Inc.*..................................... 59,463
27,400 HomeGrocer.com, Inc.*(a)................................. 111,313
2,100 iBEAM Broadcasting Corp.*................................ 22,313
82,700 IndyMac Bancorp Inc. (b)................................. 1,395,563
24,200 iVillage, Inc.*.......................................... 161,838
2,700 Launch Media, Inc.*...................................... 20,419
13,600 Learn2.com, Inc.*........................................ 34,000
17,400 Mail.com, Inc.*.......................................... 109,838
11,500 MedicaLogic/Medscape Inc.*............................... 76,906
26,200 MP3.com, Inc.*(a)........................................ 216,150
7,200 National Discount Brokers Group, Inc.*................... 260,550
41,100 NBC Internet, Inc.*...................................... 431,550
12,100 Net.B@nk, Inc.*.......................................... 137,638
4,600 NetRatings, Inc.*........................................ 79,638
16,100 NextCard, Inc.*.......................................... 132,322
1,800 OneMain.com, Inc.*....................................... 17,747
6,200 OnHealth Network Co.*(a)................................. 19,569
7,300 Quokka Sports, Inc.*(a).................................. 50,188
6,400 SciQuest.com, Inc.*...................................... 61,600
1,400 SmartServ Online, Inc.*.................................. 51,538
33,400 SoftNet Systems, Inc.*................................... 231,713
9,400 SportsLine.com, Inc.*.................................... 166,263
35,100 Stamps.com, Inc.*(a)..................................... 230,344
7,400 Travelocity.com Inc.*.................................... 101,750
10,862 VelocityHSI, Inc.*....................................... 38,017
4,500 Ventro Corp.*(a)......................................... 64,125
2,600 Via Net.Works, Inc.*..................................... 33,638
20,000 Women.com Networks, Inc.*(a)............................. 66,250
-----------
5,589,166
-----------
Investment Companies -- 0.3%
84,200 Allied Capital Corp. .................................... 1,705,050
24,500 American Capital Strategies Ltd.......................... 584,938
6,700 Ampal American Israel, Class A Shares*................... 104,269
-----------
2,394,257
-----------
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Iron & Steel -- 0.9%
99,400 AK Steel Holding Corp. (b)............................... $ 1,080,975
163,500 Bethlehem Steel Corp.*................................... 572,250
22,670 Carpenter Technology Corp. .............................. 736,775
128,456 Cleveland-Cliffs, Inc. .................................. 3,227,457
9,060 Gibraltar Steel Corp. ................................... 158,550
124,100 LTV Corp. ............................................... 224,931
27,665 National Steel Corp., Class B Shares..................... 112,389
21,440 Oregon Steel Mills, Inc.................................. 54,940
22,515 Reliance Steel & Aluminum Co. ........................... 464,372
10,182 Rouge Industries, Inc., Class A Shares................... 35,637
26,983 Ryerson Tull, Inc........................................ 254,652
851 Shiloh Industries, Inc.*................................. 6,276
39,300 Steel Dynamics, Inc.*.................................... 476,513
10,000 Weirton Steel Corp.*..................................... 31,875
-----------
7,437,592
-----------
Leisure Time -- 0.2%
2,600 American Classic Voyages Co.*............................ 44,200
43,994 AMF Bowling, Inc.*(a).................................... 24,747
21,553 Arctic Cat, Inc. ........................................ 255,268
17,030 Callaway Golf Co. (a).................................... 245,871
28,750 Pegasus Solutions, Inc.*................................. 571,406
3,922 Polaris Industries, Inc. ................................ 133,838
22,700 WMS Industries, Inc.*.................................... 363,200
-----------
1,638,530
-----------
Lodging -- 0.5%
36,101 Aztar Corp.*............................................. 525,721
35,222 Boca Resorts, Inc., Class A Shares*...................... 391,845
48,371 Boyd Gaming Corp.*....................................... 223,716
17,700 Crestline Capital Corp.*................................. 348,469
74,700 Extended Stay America, Inc.*(b).......................... 1,106,494
9,900 Lodgian, Inc.*(a)........................................ 26,606
33,548 Marcus Corp. ............................................ 413,060
51,852 Prime Hospitality Corp.*................................. 537,965
1 Station Casinos, Inc.*................................... 7
177,922 Wyndham International, Inc., Class A Shares*............. 378,084
-----------
3,951,967
-----------
Machinery - Construction & Mining -- 0.1%
3,100 Astec Industries, Inc.*.................................. 60,838
48,926 JLG Industries, Inc. .................................... 565,707
30,277 Terex Corp.*............................................. 554,448
-----------
1,180,993
-----------
Machinery - Diversified -- 1.7%
72,650 Agco Corp. .............................................. 762,825
20,605 Albany International Corp., Class A Shares*.............. 287,182
23,454 Applied Industrial Technologies, Inc. ................... 397,252
17,700 Briggs & Stratton Corp................................... 765,525
13,914 Columbus McKinnon Corp. ................................. 203,492
50,583 Cummins Engine, Inc. (b)................................. 1,795,697
10,479 Detroit Diesel Corp. .................................... 239,052
20,530 Esterline Technologies Corp.*............................ 397,769
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Machinery - Diversified -- 1.7% (continued)
46,058 Flowserve Corp........................................... $ 852,073
19,400 Gardner Denver, Inc.*.................................... 282,513
23,360 Gerber Scientific, Inc. ................................. 227,760
25,909 IDEX Corp. .............................................. 786,986
43,761 Imation Corp.*........................................... 973,682
1,100 Lindsay Manufacturing Co................................. 20,075
22,700 Magnetek, Inc.*.......................................... 241,188
7,679 Manitowoc Co. ........................................... 176,126
7,409 Nacco Industries, Inc., Class A Shares................... 347,297
10,477 Nordson Corp............................................. 678,386
9,958 Robbins & Myers, Inc..................................... 237,747
12,400 Sauer-Danfoss, Inc....................................... 113,150
32,401 Stewart & Stevenson Services, Inc........................ 522,466
78,000 Tecumseh Products Co., Class A Shares.................... 3,100,500
7,650 Tennant Co. ............................................. 335,644
19,760 Thomas Industries, Inc. ................................. 398,905
53,200 Unova, Inc.*............................................. 399,000
-----------
14,542,292
-----------
Manufacturing - Miscellaneous -- 4.3%
24,364 A.O. Smith Corp.......................................... 383,733
17,900 Applied Power, Inc. ..................................... 88,381
40,192 AptarGroup, Inc. ........................................ 936,976
159,682 Barnes Group, Inc. ...................................... 3,103,819
8,546 Blount International, Inc.*.............................. 71,573
30,588 Carlisle Cos., Inc. ..................................... 1,401,313
174,031 Clarcor, Inc. ........................................... 3,589,389
7,700 Cuno Inc.*............................................... 219,450
24,400 Dexter Corp. ............................................ 1,442,650
28,170 Donaldson Co., Inc. ..................................... 595,091
11,500 ESCO Technologies, Inc.*................................. 212,031
55,100 Federal Signal Corp. .................................... 1,188,094
9,000 Gentek, Inc ............................................. 137,250
23,600 Griffon Corp.*........................................... 182,900
48,825 Harsco Corp. (b)......................................... 1,357,945
22,000 Hexcel Corp.*............................................ 303,875
167,600 Lancaster Colony Corp. .................................. 3,865,275
55,200 Mark IV Industries, Inc. ................................ 1,235,100
43,291 MascoTech, Inc. ......................................... 717,007
19,034 Myers Industries, Inc. .................................. 266,482
50,013 National Service Industries, Inc. (b).................... 997,134
3,640 NCH Corp. ............................................... 135,818
62,906 Pittston Brink's Group................................... 978,975
54,333 Polaroid Corp. (a)(b).................................... 923,661
28,700 Polymer Group, Inc. ..................................... 200,900
15,700 SPS Technologies, Inc.*.................................. 738,881
13,231 Standex International Corp. ............................. 245,600
332,655 Sturm Ruger & Co., Inc. ................................. 2,765,195
34,400 Teleflex, Inc. .......................................... 1,225,500
12,300 Tredegar Corp. .......................................... 239,850
160,360 Trinity Industries, Inc. ................................ 3,106,975
98,700 U.S. Industries, Inc. (b)................................ 1,258,425
224,597 Wabtec Corp. ............................................ 2,330,194
-----------
36,445,442
-----------
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Media -- 1.2%
1,400 Ackerley Group, Inc. .................................... $ 15,838
11,800 Acme Communications, Inc.*............................... 166,675
2,200 Beasley Broadcasting Group, Class A Shares*.............. 27,088
5,600 Crown Media Holdings, Inc., Class A Shares*.............. 89,950
41,700 Cumulus Media, Inc., Class A Shares*..................... 307,538
45,400 Hollinger International, Inc. ........................... 743,425
14,000 Houghton Mifflin Co. .................................... 688,625
2,200 IDG Books Worldwide Inc., Class A Shares*................ 19,869
21,700 Insight Communications Co., Inc.*........................ 386,531
55,300 Journal Register Co.*.................................... 912,450
10,900 Lee Enterprises, Inc. ................................... 305,200
7,600 LodgenNet Entertainment Corp.*........................... 201,875
22,102 The McClatchy Co., Class A Shares........................ 791,528
24,546 Media General, Inc., Class A Shares...................... 1,264,119
15,400 Mediacom Communications Corp.*........................... 219,209
20,100 Meredith Corp. .......................................... 548,981
716 On Command Corp.*........................................ 9,487
21,100 Playboy Enterprises, Class B Shares*..................... 309,906
10,200 Pulitzer, Inc. .......................................... 439,238
6,900 Regent Communications, Inc.*............................. 60,375
27,800 Salem Communications Corp.*.............................. 323,175
6,710 Scholastic Corp.*........................................ 430,698
50,000 Sinclair Broadcast Group, Inc., Class A Shares*.......... 603,125
2,300 Source Media, Inc.*(a)................................... 14,088
2,000 Value Line, Inc.......................................... 71,750
2,500 World Wrestling Federation Entertainment, Inc.*.......... 53,438
41,800 WorldPages.com, Inc.*.................................... 175,038
2,800 XM Satellite Radio Holdings, Inc., Class A Shares*....... 119,700
2,700 Young Broadcasting, Inc., Class A Shares*................ 95,513
37,500 Ziff-Davis Inc. ......................................... 412,500
-----------
9,806,932
-----------
Metal Fabricate & Hardware -- 1.9%
4,596 A.M. Castle & Co. ....................................... 48,258
117,238 Commercial Metals Co. ................................... 3,275,337
200,000 Intermet Corp. .......................................... 1,550,000
35,300 Kaydon Corp. ............................................ 778,806
6,478 Lawson Products, Inc. ................................... 163,570
25,000 Metals USA, Inc. ........................................ 120,313
39,658 Mueller Industries, Inc.*................................ 1,251,706
19,600 NS Group, Inc.*.......................................... 345,450
5,600 Penn Engineering & Manufacturing Corp. .................. 186,550
74,900 Precision Castparts Corp. ............................... 5,692,400
18,376 Quanex Corp. ............................................ 343,402
3,100 Shaw Group, Inc.*........................................ 172,631
58,923 Timken Co. (b)........................................... 961,181
10,400 Valmont Industries, Inc. ................................ 196,950
9,617 Wolverine Tube, Inc.*.................................... 159,883
83,601 Worthington Industries, Inc. (b)......................... 872,585
-----------
16,119,022
-----------
Mining -- 0.3%
19,804 Amcol International Corp. ............................... 65,601
18,821 Brush Engineered Materials, Inc. ........................ 439,941
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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<C> <S> <C>
--------------------------------------------------------------------------------
Mining -- 0.3% (continued)
15,800 Century Aluminum Co. .................................... $ 206,388
40,858 Kaiser Aluminum Corp.*................................... 232,380
22,112 RTI International Metals, Inc.*.......................... 310,950
31,600 Southern Peru Copper Corp. .............................. 440,425
9,500 Titanium Metals Corp. ................................... 83,125
101,600 USEC, Inc. .............................................. 444,500
-----------
2,223,310
-----------
Office/Business Equipment -- 0.1%
2,972 General Binding Corp. ................................... 26,377
177,000 Ikon Office Solutions, Inc. (b).......................... 885,000
-----------
911,377
-----------
Office Furnishings -- 0.2%
4,300 Compx International Inc. ................................ 97,556
33,343 HON INDUSTRIES Inc. ..................................... 898,177
55,490 Interface, Inc. ......................................... 384,962
4,060 Virco Manufacturing Corp. ............................... 52,273
-----------
1,432,968
-----------
Oil & Gas Producers -- 3.6%
2,200 Barrett Resources Corp.*................................. 76,175
8,400 Basin Exploration, Inc.*................................. 168,000
12,200 Belco Oil & Gas Corp.*................................... 111,325
200,500 Berry Petroleum, Class A Shares.......................... 3,809,500
167,229 Cabot Oil & Gas Corp., Class A Shares.................... 3,344,580
3,800 Callon Petroleum Co.*.................................... 58,188
24,900 Comstock Resources, Inc.*................................ 247,444
166,000 Cross Timbers Oil Co. (a)................................ 4,388,625
9,000 Denbury Resources, Inc.*................................. 62,438
33,500 EEX Corp.*............................................... 184,250
5,400 Evergreen Resources, Inc.*............................... 157,613
12,800 Forcenergy, Inc.*........................................ 309,600
17,365 Forest Oil Corp.*........................................ 265,902
53,000 Harken Energy Corp.*(a).................................. 43,063
5,900 KEY Production Co., Inc.*................................ 106,200
1,747 Louis Dreyfus Natural Gas*............................... 60,708
19,100 McMoRan Exploration Co.*................................. 198,163
125,000 Mitchell Energy & Development Corp., Class A Shares...... 5,000,000
18,168 Nuevo Energy Co.*........................................ 348,599
82,095 Parker Drilling Co.*..................................... 590,058
13,200 Patina Oil & Gas Corp. .................................. 280,500
3,500 Penn Virginia Corp. ..................................... 95,594
120,314 Pioneer Natural Resources Co.*(b)........................ 1,669,357
21,700 Pure Resources, Inc.*.................................... 419,081
85,000 St. Mary Land & Exploration Co. ......................... 3,516,875
37,612 Tesoro Petroleum Corp.*.................................. 362,016
32,228 Tom Brown, Inc.*......................................... 700,959
14,600 Unit Corp.*.............................................. 228,125
175,702 Vintage Petroleum, Inc. ................................. 3,689,742
-----------
30,492,680
-----------
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Oil & Gas Services -- 0.3%
33,001 Friede Goldman Halter, Inc.*............................. $ 185,631
3,100 Gulf Island Fabrication, Inc.*........................... 57,350
44,517 Input/Output, Inc.*...................................... 400,653
8,300 Newpark Resources, Inc.*................................. 85,075
24,029 Oceaneering International, Inc.*......................... 419,006
12,276 RPC Inc. ................................................ 135,036
19,962 SEACOR SMIT, Inc.*....................................... 909,519
21,100 Seitel, Inc.*............................................ 331,006
3,700 Universal Compression Holdings, Inc.*.................... 121,638
5,900 Veritas DGC Inc.*........................................ 157,456
-----------
2,802,370
-----------
Packaging & Containers -- 0.6%
36,100 Ball Corp. .............................................. 1,249,963
37,700 Gaylord Container Corp., Class A Shares*................. 103,675
13,400 Graphic Packaging International Corp.*................... 26,800
17,158 Greif Brothers Corp. .................................... 495,437
7,700 Ivex Packaging Corp.*.................................... 84,700
61,242 Longview Fibre Co. ...................................... 696,628
19,900 Packaging Corp. of America*.............................. 232,581
205,000 Pactiv Corp.*............................................ 2,255,000
3,436 Silgan Holdings, Inc.*................................... 30,495
4,300 U.S. Can Corp.*.......................................... 82,238
-----------
5,257,517
-----------
Pharmaceuticals -- 1.7%
5,300 Allos Therapeutics, Inc.*................................ 62,275
7,500 Amylin Pharmaceuticals, Inc.*............................ 101,719
8,800 Anesta Corp.*............................................ 209,550
3,000 Antigenics Inc.*(a)...................................... 50,625
163,400 Bergen Brunswig Corp., Class A Shares.................... 1,531,875
130,693 Bindley Western Industries, Inc. ........................ 3,765,592
11,216 Block Drug Co., Class A Shares........................... 454,248
17,300 Carter-Wallace, Inc. .................................... 460,613
6,100 Chirex, Inc.*............................................ 189,863
9,000 Cygnus, Inc.*............................................ 109,688
80,000 DENTSPLY International, Inc. ............................ 2,670,000
27,000 Dura Pharmaceuticals, Inc.*.............................. 744,188
22,100 Guilford Pharmaceuticals, Inc.*(a)....................... 591,175
16,400 Herbalife International, Inc., Class A Shares............ 158,875
9,800 Intrabiotics Pharmaceuticals, Inc.*...................... 205,800
6,200 Isis Pharmaceuticals, Inc.*.............................. 80,988
8,200 Ligand Pharmaceuticals, Inc.*............................ 106,600
2,700 MacroChem Corp. of Delaware*(a).......................... 14,934
1,900 Mannatech, Inc.*......................................... 5,225
3,700 NCS Healthcare, Inc.*(a)................................. 1,156
83,900 Omnicare Inc. (b)........................................ 1,148,381
3,200 PathoGenesis Corp.*...................................... 122,400
73,082 Perrigo Co.*............................................. 541,264
2,000 Pharmaceutical Resources, Inc.*.......................... 12,750
9,500 Praecis Pharmaceuticals, Inc.*........................... 416,219
12,000 Theragenics Corp.*....................................... 85,500
33,700 Triangle Pharmaceuticals, Inc.*.......................... 303,300
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Pharmaceuticals -- 1.7% (continued)
25,300 Twinlab Corp.*........................................... $ 124,919
5,300 Vaxgen, Inc.*............................................ 131,175
16,756 Veterinary Centers of America*........................... 242,962
-----------
14,643,859
-----------
Pipelines -- 0.4%
12,400 Midcoast Energy Resources, Inc. ......................... 230,950
54,000 National Fuel Gas Co. ................................... 2,831,625
31,800 TransMontaigne Inc.*..................................... 141,113
24,383 Western Gas Resources, Inc. ............................. 534,902
-----------
3,738,590
-----------
Real Estate -- 0.4%
45,600 Catellus Development Corp.*.............................. 815,100
23,239 CB Richard Ellis Services Inc.*.......................... 244,010
13,600 Forest City Enterprises, Inc., Class A Shares............ 476,000
21,588 Insignia Financial Group, Inc.*.......................... 203,737
31,600 Jones Lang LaSalle, Inc.*................................ 460,175
26,407 LNR Property Corp. ...................................... 561,149
37,500 Security Capital Group, Inc., Class B Shares*............ 637,500
27,900 Trammell Crow Co.*....................................... 387,113
-----------
3,784,784
-----------
Real Estate Investment Trusts -- 9.7%
12,850 Alexandria Real Estate Equities, Inc. ................... 449,750
21,500 American Industrial Properties REIT...................... 291,594
17,210 Amli Residential Properties Trust........................ 425,948
71,600 Arden Realty, Inc. ...................................... 1,825,800
22,055 Bedford Property Investors, Inc. ........................ 428,694
20,319 Boykin Lodging Co. ...................................... 201,920
25,676 Bradley Real Estate, Inc. ............................... 561,663
41,100 Brandywine Realty Trust.................................. 842,550
54,313 BRE Properties, Class A Shares........................... 1,585,261
38,300 Burnham Pacific Property, Inc. .......................... 229,800
189,500 Cabot Industrial Trust................................... 3,718,938
46,477 Camden Property Trust.................................... 1,391,405
26,200 Capital Automotive REIT.................................. 363,525
19,849 Capstead Mortgage Corp. ................................. 169,957
30,496 CBL & Associates Properties, Inc. ....................... 728,092
25,096 Centerpoint Properties Corp. ............................ 1,099,519
21,845 Chateau Communities, Inc. ............................... 567,970
18,130 Chelsea GCA Realty, Inc. ................................ 608,488
26,800 Colonial Properties Trust................................ 716,900
35,879 Commercial Net Lease Realty.............................. 374,487
46,300 Cornerstone Realty Income Trust, Inc. ................... 486,150
4,200 Cousins Properties, Inc. ................................ 172,725
72,900 Developers Divers Realty Corp. (b)....................... 1,057,050
18,502 EastGroup Properties, Inc. .............................. 404,731
18,600 Entertainment Properties Trust........................... 202,275
48,259 Equity Inns, Inc. ....................................... 307,651
21,880 Essex Property Trust, Inc. .............................. 1,076,223
39,748 Federal Realty Investment Trust.......................... 794,960
57,700 FelCor Lodging Trust, Inc. (b)........................... 1,283,825
47,069 First Industrial Realty Trust, Inc. ..................... 1,397,361
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Real Estate Investment Trusts -- 9.7% (continued)
9,600 First Washington Realty Trust, Inc. ...................... $ 193,200
198,400 Franchise Finance Corp. .................................. 4,464,000
29,786 Gables Residential Trust.................................. 826,562
36,194 Glenborough Realty Trust, Inc. ........................... 674,113
188,200 Glimcher Realty Trust..................................... 2,893,575
19,420 Great Lakes REIT, Inc. ................................... 372,621
154,093 Health Care Property Investors, Inc. ..................... 4,054,572
33,146 Health Care REIT, Inc. ................................... 598,700
48,970 Healthcare Realty Trust, Inc. ............................ 967,158
71,759 Highwoods Properties, Inc. (b)............................ 1,726,701
24,652 Home Properties of New York, Inc. ........................ 731,856
61,456 Hospitality Properties Trust.............................. 1,428,852
156,400 HRPT Properties Trust (b)................................. 1,065,475
299,101 Innkeepers USA Trust...................................... 3,103,173
37,700 IRT Property Co. ......................................... 332,231
39,130 JDN Realty Corp. ......................................... 403,528
14,600 JP Realty, Inc. .......................................... 259,150
31,706 Kilroy Realty Corp. ...................................... 788,687
30,781 Koger Equity, Inc. ....................................... 527,125
12,700 LaSalle Hotel Properties.................................. 182,563
22,800 Lexington Corporate Properties Trust...................... 259,350
38,300 The Macerich Co. ......................................... 801,906
9,300 Manufactured Home Communities, Inc. ...................... 219,713
168,600 Meditrust Corp. .......................................... 389,888
41,810 Meristar Hospitality Corp. ............................... 925,046
11,300 MGI Properties, Inc. ..................................... 26,131
21,600 Mid-America Apartment Communities, Inc. .................. 522,450
154,973 National Golf Properties, Inc. ........................... 3,176,947
31,612 National Health Investors, Inc. .......................... 233,139
56,452 Nationwide Health Properties, Inc. ....................... 815,026
276,500 New Plan Excel Realty Trust, Inc. ........................ 3,819,156
21,914 Pacific Gulf Properties, Inc. ............................ 612,222
10,500 Pan Pacific Retail Properties, Inc. ...................... 200,156
11,700 Parkway Properties, Inc. of Maryland...................... 371,475
14,500 Pennsylvania Real Estate Investment Trust................. 252,844
43,922 Prentiss Properties Trust................................. 1,067,854
12,600 Prime Group Realty Trust.................................. 193,725
19,541 Prime Retail, Inc. ....................................... 13,434
140,100 Prison Realty Trust, Inc. ................................ 332,738
28,800 PS Business Parks Inc. of California...................... 763,200
32,721 Realty Income Corp. ...................................... 744,403
49,800 Reckson Associates Realty Corp. .......................... 1,210,763
37,688 Regency Realty Corp. ..................................... 852,691
28,300 RFS Hotel Investors, Inc. ................................ 353,750
12,000 Saul Centers, Inc. ....................................... 189,750
12,900 Senior Housing Properties Trust........................... 117,713
152,679 Shurgard Storage Centers, Inc., Class A Shares............ 3,635,669
26,700 SL Green Realty Corp. .................................... 715,894
14,400 Sovran Self Storage, Inc. ................................ 279,900
33,888 Storage USA, Inc. ........................................ 1,020,876
29,414 Summit Properties, Inc. .................................. 683,876
21,426 Sun Communities, Inc. .................................... 662,867
6,844 Tanger Factory Outlet Center, Inc. ....................... 144,152
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Real Estate Investment Trusts -- 9.7% (continued)
40,400 Taubman Centers, Inc. ................................... $ 441,875
375,400 United Dominion Realty Trust, Inc. ...................... 4,059,013
12,900 Urban Shopping Centers, Inc. ............................ 450,694
28,963 Washington Real Estate Investment Trust.................. 555,728
32,300 Weingarten Realty Investors.............................. 1,308,150
20,500 Western Properties Trust................................. 238,313
34,200 Westfield America, Inc. ................................. 510,863
-----------
82,532,394
-----------
Retail -- 4.9%
25,900 Advantica Restaurant Group*.............................. 16,997
35,100 Ames Dept Stores, Inc.*.................................. 177,694
24,039 AnnTaylor Stores Corp.*(a)............................... 865,404
6,300 Applebee's International, Inc. .......................... 142,931
7,300 Avado Brands, Inc. (a)................................... 10,722
48,300 Barnes & Noble, Inc.*(b)................................. 836,194
44,457 Bob Evans Farms, Inc. ................................... 755,769
15,900 The Bombay Co., Inc.*.................................... 42,731
83,942 Borders Group, Inc.* .................................... 1,117,478
231,600 Brown Shoe Co., Inc. .................................... 2,489,700
8,459 Buckle, Inc.*............................................ 110,496
49,263 Buffets, Inc.*........................................... 652,735
189,180 Burlington Coat Factory Warehouse Corp. ................. 2,305,631
45,500 Casey's General Stores, Inc. ............................ 517,563
36,212 Cash America International, Inc. ........................ 271,590
17,700 Cato Corp., Class A Shares............................... 219,038
67,711 CBRL Group, Inc. (b)..................................... 816,764
5,100 CEC Entertainment, Inc.*(a).............................. 147,263
116,321 Charming Shoppes, Inc.*.................................. 632,495
9,600 Cheap Tickets, Inc.*..................................... 102,000
161,100 Claire's Stores, Inc. (a)................................ 3,171,656
28,510 Consolidated Products, Inc.*............................. 261,936
1,500 Deb Shops, Inc. ......................................... 17,109
110,996 Dillards, Inc., Class A Shares........................... 1,422,136
17,600 Dress Barn, Inc.*........................................ 375,100
18,929 Footstar, Inc.*.......................................... 563,138
10,400 Fred's Inc. ............................................. 249,600
5,900 Goody's Family Clothing, Inc.*........................... 27,103
11,500 Group 1 Automotive, Inc.*................................ 126,500
243,100 Haverty Furniture Cos., Inc. ............................ 2,810,844
21,600 Hollywood Entertainment Corp.*........................... 151,200
16,400 Homebase, Inc.*(a)....................................... 37,925
23,002 IHOP Corp.*.............................................. 451,414
4,300 Intertan Inc.*........................................... 59,663
2,400 Jack in the Box, Inc.*................................... 52,950
3,600 Krispy Kreme Doughnuts, Inc.*(a)......................... 334,800
26,238 Landry's Seafood Restaurants, Inc. ...................... 206,624
2,710 Lands' End, Inc.*........................................ 66,226
1,300 Lithia Motors, Inc., Class A Shares*..................... 15,925
30,439 Lone Star Steakhouse & Saloon, Inc. ..................... 256,829
36,800 Longs Drug Stores, Corp. ................................ 694,600
247,686 Luby's Inc. ............................................. 1,362,273
14,000 The Men's Wearhouse, Inc.*............................... 427,000
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Retail -- 4.9% (continued)
7,015 Michaels Stores, Inc.*(a)................................ $ 245,525
3,000 Movado Group, Inc. ...................................... 42,000
29,300 Musicland Stores Corp.*.................................. 208,763
44,100 Neiman-Marcus Group, Inc., Class A Shares*............... 1,480,106
9,500 NPC International, Inc.*................................. 93,813
55,800 NU Skin Enterprises, Inc.*............................... 366,188
9,500 O'Charleys, Inc.*........................................ 121,125
132,218 Officemax, Inc.*......................................... 685,881
29,000 O'Reilly Automotive, Inc.*............................... 442,250
2,200 Papa John's International, Inc.*......................... 49,775
27,044 Payless Shoesource, Inc.*................................ 1,443,474
54,086 The Pep Boys -- Manny, Moe & Jack........................ 317,755
21,000 PETCO Animal Supplies, Inc.*............................. 441,000
69,900 PETsMART, Inc.*.......................................... 323,288
109,500 Pier 1 Imports, Inc. .................................... 1,286,625
1,200 PriceSmart, Inc.*........................................ 45,000
3,000 RARE Hospitality International, Inc.*.................... 84,375
25,000 Regis Corp. ............................................. 395,313
15,876 Ruby Tuesday, Inc. ...................................... 198,450
41,300 Ryan's Family Steak Houses, Inc.*........................ 335,563
11,400 School Specialty, Inc.*.................................. 205,913
34,342 Shopko Stores, Inc.*..................................... 392,787
11,025 Smart & Final, Inc.*..................................... 85,444
14,100 Sonic Automotive, Inc.*.................................. 148,931
12,438 Spiegel, Inc., Class A Shares............................ 84,734
26,100 Stein Mart, Inc.*........................................ 306,675
37,900 Systemax, Inc.*.......................................... 163,444
2,700 Tractor Supply Co.*...................................... 35,100
32,500 Trans World Entertainment Corp.*......................... 314,844
10,553 United Auto Group, Inc.*................................. 89,041
10,800 United Retail Group, Inc.*............................... 66,150
23,600 US Office Products Co.*.................................. 10,325
20,843 Value City Dept Stores, Inc.*............................ 187,587
166,100 Venator Group, Inc.*..................................... 2,325,400
4,600 West Marine, Inc.*....................................... 41,400
2,000 Whitehall Jewellers, Inc.*............................... 18,000
11,000 Wilsons The Leather Experts Inc.*........................ 224,125
225,000 World Fuel Services Corp. ............................... 1,729,688
24,813 Zale Corp.*.............................................. 916,530
-----------
41,326,133
-----------
Savings & Loans -- 3.2%
35,360 American Financial Holdings, Inc. ....................... 636,480
26,600 Anchor Bancorp Wisconsin, Inc. .......................... 433,913
54,800 Andover Bancorp, Inc. ................................... 1,602,900
56,000 Astoria Financial Corp. ................................. 1,967,000
39,100 Bank United Corp., Class A Shares........................ 1,759,500
18,300 Brookline Bancorp, Inc. ................................. 216,169
41,800 Capitol Federal Financial................................ 606,100
211,900 Commercial Federal Corp. (b)............................. 3,827,444
14,234 Dime Community Bancshares................................ 286,459
25,228 Downey Financial Corp. .................................. 845,138
17,936 First Federal Capital Corp. ............................. 207,385
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Savings & Loans -- 3.2% (continued)
16,080 First Financial Holdings, Inc. .......................... $ 234,165
8,000 First Indiana Corp. ..................................... 167,500
12,600 First Niagara Financial Group, Inc. ..................... 121,669
44,607 First Sentinel Bancorp, Inc. ............................ 407,039
20,300 Firstfed Financial Corp.*................................ 365,400
3,934 Flagstar Bancorp, Inc. .................................. 46,225
27,100 Harbor Florida Bancshares, Inc. ......................... 323,506
8,100 Harris Financial Inc. ................................... 61,763
79,300 Independence Community Bank (b).......................... 1,075,506
21,040 Interwest Bancorp, Inc. ................................. 278,780
27,409 MAF Bancorp, Inc. ....................................... 589,294
14,800 Northwest Bancorp, Inc. ................................. 125,800
14,698 OceanFirst Financial Corp. .............................. 303,146
38,600 Ocwen Financial Corp.*................................... 219,538
32,660 Peoples Bank Bridgeport.................................. 689,943
16,769 PFF Bancorp, Inc. ....................................... 335,380
15,282 Queens County Bancorp, Inc. ............................. 403,063
33,400 Richmond County Financial Corp. ......................... 672,175
77,000 Roslyn Bancorp, Inc. .................................... 1,525,563
31,700 Seacoast Financial Services Corp. ....................... 320,963
2,700 St. Francis Capital Corp. ............................... 40,500
43,600 Staten Island Bancorp, Inc. ............................. 803,875
39,200 United Community Financial Corp.......................... 247,450
193,721 Washington Federal, Inc. ................................ 4,019,711
61,110 Webster Financial Corp. ................................. 1,506,743
-----------
27,273,185
-----------
Semiconductors -- 0.6%
10,100 ADE Corp.*............................................... 227,250
52,600 C-Cube Microsystems, Inc.*(b)............................ 1,222,950
7,235 Cirrus Logic, Inc.*(a)................................... 218,859
2,434 Electroglas, Inc.*....................................... 54,613
2,200 ESS Technology, Inc.*.................................... 38,088
10,887 FSI International, Inc.*................................. 193,244
3,000 Integrated Circuit Systems, Inc.*........................ 82,500
5,600 Kulicke & Soffa Industries, Inc.*(a)..................... 101,850
21,900 MEMC Electronics Materialism, Inc.*...................... 394,200
1,400 Microsemi Corp.*......................................... 59,150
2,000 Photronics Inc.*......................................... 58,625
36,954 Pioneer Standard Electronics, Inc. ...................... 505,808
1,400 Pixelworks, Inc.*........................................ 37,975
36,711 Silicon Valley Group, Inc.*.............................. 1,023,319
12,434 SpeedFam-IPEC, Inc.*..................................... 231,583
16,500 Standard Microsystems Corp.*............................. 313,500
2,400 Therma-Wave, Inc.*....................................... 65,100
12,406 Ultratech Stepper, Inc.*................................. 223,308
-----------
5,051,922
-----------
Shipbuilding -- 0.6%
110,300 Newport News Shipbuilding, Inc. ......................... 4,687,750
-----------
Software -- 0.8%
25,300 3Dfx Interactive, Inc.*.................................. 115,431
6,000 Agency.com, Inc.*(a)..................................... 143,625
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Software -- 0.8% (continued)
27,400 Avid Technology Inc.*.................................... $ 385,313
700 Centillium Communications, Inc.*......................... 52,150
9,500 Cerner Corp.*............................................ 361,594
419 Clarent Corp.*(a)........................................ 20,007
1,500 Data Return Corp.*....................................... 29,883
8,300 Eclipsys Corp.*.......................................... 119,313
2,400 eFax.com*(a)............................................. 975
28,200 Epresence, Inc.*......................................... 211,500
1,700 Espeed Inc., Class A Shares*............................. 52,275
1,300 Fair, Isaac & Co., Inc. ................................. 59,719
3,100 HearMe*.................................................. 26,931
8,300 IDX Systems Corp.*....................................... 141,100
11,000 Indus International, Inc.*............................... 84,906
1,820 Infogrames, Inc.*........................................ 13,536
16,000 InfoUSA Inc.*............................................ 99,000
51,700 Inprise Corp.*........................................... 302,122
3,000 Inter-Tel, Inc. ......................................... 45,938
7,900 Interact Commerce Corp.*................................. 81,963
10,300 J.D. Edwards & Co.*...................................... 255,569
21,800 JDA Software Group, Inc.*................................ 282,038
8,900 Lightspan, Inc.*......................................... 31,567
7,300 Loudeye Technologies, Inc.*.............................. 80,300
900 Matrixone, Inc.*......................................... 31,050
25,000 Midway Games, Inc.*...................................... 215,625
33,100 National Data Corp. ..................................... 972,313
1,100 Net2Phone, Inc.*......................................... 32,519
1,900 New ERA of Networks, Inc.*(a)............................ 66,619
1,700 Niku Corp.*(a)........................................... 46,006
42,200 Policy Management Systems Corp.*......................... 569,700
3,800 Progress Software Corp.*................................. 52,013
4,800 Quadramed Corp.*......................................... 8,100
700 Selectica, Inc.*(a)...................................... 33,381
1,650 Serena Software, Inc.*................................... 72,600
42,200 Structural Dynamics Research Corp.*...................... 680,475
16,900 Take-Two Interactive Software, Inc.*..................... 234,223
15,800 THQ Inc.*................................................ 337,725
13,400 Transaction Systems Architects, Inc.*.................... 246,225
2,100 Universal Access, Inc.*.................................. 33,206
-----------
6,628,535
-----------
Telecommunications -- 1.0%
1,100 AirGate PCS, Inc.*....................................... 74,869
1,600 Airnet Communications Corp.*............................. 53,100
2,800 Alamosa PCS Holdings, Inc.*.............................. 69,650
7,100 Alaska Communications Systems Group, Inc.*............... 57,466
33,627 Allen Telecom, Inc.*..................................... 670,438
61,300 Allied Riser Communications Corp.*(a)(b)................. 498,063
10,700 American TeleSource International, Inc.*................. 32,100
24,408 Anixter International, Inc.*(a).......................... 854,280
10,600 Arch Communications Group, Inc.*......................... 54,988
12,300 Arguss Communications, Inc.*............................. 244,463
7,800 AT&T Latin America Corp., Class A Shares*................ 109,200
18,400 Audiovox Corp.*.......................................... 333,500
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Telecommunications -- 1.0% (continued)
2,500 Centennial Communications Corp.*......................... $ 40,469
4,000 Commonwealth Telephone Enterprises, Inc.*................ 154,500
5,300 CTC Communications Group, Inc.*.......................... 130,513
9,500 e.spire Communications, Inc.*............................ 38,594
50,487 General Communication, Inc., Class A Shares*............. 403,896
70,048 Glenayre Technologies, Inc.*............................. 761,772
2,700 GoAmerica, Inc.*(a)...................................... 29,531
5,600 Golden Telecom, Inc.*.................................... 172,200
9,100 Hickory Tech Corp. ...................................... 182,000
15,500 Hypercom Corp.*.......................................... 175,344
3,800 ICG Communications, Inc.*................................ 22,681
2,000 Illuminet Holdings, Inc.*................................ 79,500
13,200 Intermedia Communications, Inc.*(a)...................... 273,900
2,200 Metawave Communications Corp.*........................... 45,375
5,600 Metricom Inc.*(a)........................................ 227,850
16,300 Metrocall, Inc.*......................................... 68,256
7,200 Motient Corp.*........................................... 87,300
2,900 NET2000 Communications, Inc.*............................ 25,375
25,360 Network Equipment Technologies, Inc.*.................... 305,905
10,000 North Pittsburgh Systems, Inc.*.......................... 141,250
4,200 Nucentrix Broadband Networks, Inc.*...................... 109,725
7,400 Osicom Technologies, Inc.*............................... 436,600
5,700 Pac-West Telecomm, Inc.*................................. 80,513
8,800 PTEK Holdings, Inc.*..................................... 31,350
3,200 SAVVIS Communications Corp.*............................. 28,200
1,400 Stanford Microdevices, Inc.*............................. 67,725
11,378 Superior Telecom, Inc. .................................. 96,002
4,200 SymmetriCom, Inc.*....................................... 65,100
4,600 Teligent Inc., Class A Shares*........................... 78,488
13,100 Viatel Inc.*............................................. 179,306
1,300 Vyyo Inc.*............................................... 44,850
12,300 WebLink Wireless Inc., Class A Shares*................... 121,847
1,000 West TeleServices Corp.*................................. 23,750
34,000 World Access, Inc.*(a)................................... 308,125
-----------
8,089,909
-----------
Textiles -- 0.3%
6,650 Dan River Inc., Class A Shares*.......................... 29,509
23,600 G&K Services, Inc., Class A Shares....................... 684,400
45,631 Mohawk Industries, Inc.*................................. 1,083,736
7,720 Pillowtex Corp. (a)...................................... 18,818
15,176 Springs Industries, Inc., Class A Shares................. 453,383
3,847 UniFirst Corp. .......................................... 38,951
7,600 WestPoint Stevens Inc. .................................. 106,875
-----------
2,415,672
-----------
Tobacco -- 0.6%
15,300 Dimon Inc. .............................................. 47,813
174,700 Universal Corp. ......................................... 4,520,363
11,290 Vector Group Ltd. (a).................................... 226,506
-----------
4,794,682
-----------
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Toys & Hobbies -- 0.0%
7,600 Jakks Pacific, Inc.*.................................... $ 134,900
5,186 Marvel Enterprises, Inc.*(a)............................ 24,634
------------
159,534
------------
Transportation -- 2.2%
59,400 Airborne Freight Corp. (b).............................. 887,288
50,800 Alexander & Baldwin Inc. (b)............................ 1,336,675
25,709 American Freightways Corp.*............................. 422,592
18,500 Arkansas Best Corp.*.................................... 278,656
25,891 Arnold Industries, Inc. ................................ 402,929
2,100 Atlas Air, Inc.*........................................ 90,825
16,293 Circle International Group, Inc. ....................... 583,493
59,000 CNF Transportation, Inc. (a)............................ 1,445,500
14,793 Fritz Cos., Inc.*....................................... 219,121
15,300 Heartland Express, Inc.*................................ 267,750
6,800 Hub Group, Inc.*........................................ 91,800
37 Hvide Marine Inc., Class A Warrants, Expire 12/15/03*... 64
20,000 J.B. Hunt Transport Services, Inc. ..................... 270,000
18,705 Kirby Corp.*............................................ 440,737
581 Landstar System, Inc.*.................................. 29,631
11,610 M.S. Carriers, Inc.*.................................... 214,059
24,418 Offshore Logistics, Inc.*............................... 424,263
31,004 Overseas Shipholding Group, Inc. ....................... 912,680
15,978 Roadway Express, Inc. .................................. 367,494
110,000 Sea Containers Ltd., Class A Shares..................... 3,135,000
42,800 Swift Transportation Co., Inc.*......................... 730,275
6,100 U.S. Xpress Enterprises, Inc., Class A Shares*.......... 47,275
134,283 USFreightways Corp. .................................... 4,187,951
32,176 Werner Enterprises, Inc. ............................... 434,376
60,000 Wisconsin Central Transportation Corp.*(b).............. 802,500
29,922 Yellow Corp.*........................................... 456,311
------------
18,479,245
------------
Trucking & Leasing -- 0.5%
9,979 AMERCO*................................................. 195,838
15,098 Interpool, Inc. ........................................ 182,120
319,853 Rollins Truck Leasing Corp. ............................ 2,159,008
72,300 Ryder System, Inc. ..................................... 1,387,256
14,871 XTRA Corp.*............................................. 659,901
------------
4,584,123
------------
Water -- 0.3%
11,800 American States Water, Co. ............................. 307,538
36,200 Azurix Corp.*........................................... 171,950
14,268 California Water Service Group.......................... 374,535
5,519 E'Town Corp. ........................................... 370,808
37,429 Philadelphia Suburban Corp. ............................ 877,242
1,900 SJW Corp. .............................................. 227,050
------------
2,329,123
------------
TOTAL COMMON STOCK
(Cost -- $871,754,980).................................. 831,800,558
------------
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Value Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face
Amount Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
U.S. TREASURY OBLIGATION -- 0.2%
$1,500,000 U.S. Treasury Bill, 5.765% due 9/14/00 (b) (Cost --
$1,496,870)....................................... $ 1,496,870
------------
SUB-TOTAL INVESTMENTS
(Cost -- $873,251,850).............................. 833,297,428
------------
REPURCHASE AGREEMENT -- 1.7%
14,798,000 J.P. Morgan Securities Inc., 6.600% due 9/1/00;
Proceeds at maturity -- $14,800,713; (Fully
collateralized by U.S. Treasury Notes & Bonds,
4.250% to 13.375% due 3/31/01 to 8/15/26; Market
value -- $15,093,967)
(Cost -- $14,798,000) ............................. 14,798,000
------------
TOTAL INVESTMENTS -- 100%
(Cost -- $888,049,850**)............................ $848,095,428
============
</TABLE>
------
* Non-income producing security.
(a) All or a portion of this security is on loan (See Note 11).
(b) All or a portion of this security is segregated for futures contracts com-
mitments.
+ Escrowed security for legal action.
** Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
47
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
COMMON STOCK -- 96.8%
Advertising -- 0.5%
16,915 Advo Inc. ........................................ $ 692,458
24,400 APAC Customer Services Inc. ...................... 193,675
61,400 Getty Images Inc. ................................ 2,578,800
700 Grey Global Group Inc.*........................... 381,500
18,212 HA-LO Industries, Inc. ........................... 91,060
3,700 Modem Media Poppe Tyson, Inc. .................... 39,081
3,700 Penton Media, Inc. ............................... 115,856
27,219 R.H. Donnelley Corp. ............................. 571,599
39,200 Sitel Corp. ...................................... 225,400
118,200 Valuevision International Inc., Class A Shares.... 3,464,738
13,200 Ventiv Health, Inc. .............................. 176,550
--------------
8,530,717
--------------
Aerospace & Defense -- 0.7%
27,900 Aeroflex Inc. .................................... 1,025,325
30,300 Alliant Techsystems, Inc. ........................ 2,334,994
9,700 Armor Holdings, Inc. ............................. 164,900
6,600 Kellstrom Industries Inc.+........................ 33,825
69,100 L-3 Communications Holdings, Inc. ................ 4,085,538
25,100 Orbital Sciences Corp. ........................... 224,331
54,400 Remec, Inc. ...................................... 1,550,400
28,100 Teledyne Technologies Inc. ....................... 565,513
36,100 Titan Corp.+...................................... 888,962
--------------
10,873,788
--------------
Agriculture -- 0.1%
38,300 Cadiz, Inc. ...................................... 371,031
33,400 Delta & Pine Land Co.*............................ 816,213
8,600 Hines Horticulture, Inc. ......................... 45,150
7,200 Tejon Ranch Co.*.................................. 178,200
--------------
1,410,594
--------------
Airlines -- 0.2%
32,300 Airtran Holdings, Inc. ........................... 133,238
2,000 Amtran Inc. ...................................... 25,000
21,800 Atlantic Coast Airlines Holdings, Inc. ........... 692,150
18,800 Frontier Airlines, Inc. .......................... 321,950
16,500 Mesa Air Group, Inc. ............................. 91,781
1,150 Mesaba Holdings, Inc. ............................ 12,506
20,900 SkyWest Inc. ..................................... 1,038,469
--------------
2,315,094
--------------
Apparel -- 0.7%
5,700 Columbia Sportswear Co. .......................... 232,988
3,800 Donna Karan International Inc. ................... 23,037
228,500 Guess? Inc. ...................................... 5,184,094
13,400 Oshkosh B'gosh Inc., Class A Shares*.............. 190,950
60,343 Quiksilver Inc. .................................. 897,602
93,100 Skechers U.S.A., Inc., Class A Shares............. 1,658,344
67,700 Steven Madden, Ltd. .............................. 833,556
3,900 Stride Rite Corp.*................................ 23,400
5,000 Tarrant Apparel Group............................. 38,437
43,000 Timberland Co., Class A Shares.................... 1,752,250
7,200 Vans, Inc. ....................................... 112,500
--------------
10,947,158
--------------
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Auto Manufacturers -- 0.0%
1,600 A.S.V. Inc.+...................................... $ 21,400
2,650 Oshkosh Truck Corp.*.............................. 94,075
1,800 Wabash National Corp.*............................ 20,025
--------------
135,500
--------------
Auto Parts & Equipment -- 0.1%
1,800 Aftermarket Technology Corp. ..................... 11,025
2,400 American Axel & Manufacturing Holdings, Inc. ..... 34,500
4,500 ArvinMeritor, Inc.*............................... 74,250
3,500 Collins & Aikman Corp. ........................... 18,156
61,100 Dura Automotive Systems Inc. ..................... 656,825
1,600 Hayes Lemmerz International Inc. ................. 20,600
2,800 IMPCO Technologies, Inc. ......................... 67,375
2,500 Keystone Automotive Industries, Inc. ............. 14,063
25,250 Miller Industries Inc. ........................... 36,297
38,200 Tower Automotive Inc. ............................ 434,525
--------------
1,367,616
--------------
Banking -- 1.9%
1,000 Alabama National Bancorp.......................... 19,313
3,200 Bancfirst Ohio Corp.*............................. 48,000
762 Bank of Granite Corp.*............................ 17,431
1,500 Cathay Bancorp Inc.*.............................. 74,813
3,434 Centennial Bancorp................................ 22,106
4,800 Chittenden Corp.*................................. 131,400
2,832 City Holding Co.*................................. 21,417
17,720 Commerce Bancorp of New Jersey*+.................. 915,903
91,000 Cullen/Frost Bankers, Inc. ....................... 2,821,000
15,281 CVB Financial Corp.*.............................. 244,496
2,365 F&M Bancorp of Maryland*.......................... 49,961
1,000 Farmers Capital Bank Corp.*....................... 36,125
11,124 First Bancorp of Puerto Rico...................... 216,918
9,700 First Busey Corp.*................................ 179,450
4,400 First Commonwealth Financial Corp.*............... 42,075
7,845 First Financial Bancorp........................... 132,384
3,000 First Midwest Bancorp Inc. ....................... 77,438
1,200 Frontier Financial Corp.*......................... 23,100
27,100 Fulton Financial Corp. ........................... 569,100
5,200 GBC Bancorp*...................................... 196,950
2,310 Glacier Bancorp, Inc. ............................ 29,308
3,400 Great Southern Bancorp Inc. ...................... 54,188
59,400 Greater Bay Bancorp............................... 3,682,800
33,259 Hamilton Bancorp Inc. ............................ 494,728
29,043 Imperial Bancorp.................................. 631,685
5,100 Independent Bank Corp.*........................... 70,444
900 International Bancshares Corp. ................... 27,619
50,500 Investors Financial Services*..................... 3,108,906
21,168 Merchants New York Bancorp, Inc. ................. 379,701
3,300 Midwest Banc Holdings, Inc.*...................... 44,962
400 Mississippi Valley Bancshares..................... 10,200
10,395 National Penn Bancshares Inc.*.................... 210,499
1,102 NBT Bancorp Inc.*................................. 12,535
666 Oriental Financial Group.......................... 8,741
22,854 Pacific Capital Bancorp........................... 612,773
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Banking -- 1.9% (continued)
9,230 Park National Corp.*.............................. $ 834,161
57,500 R&G Financial Corp.*.............................. 596,562
2,000 Republic Bancorp, Inc.*........................... 13,687
2,300 S&T Bancorp Inc.*................................. 45,389
3,561 Shoreline Financial Corp.*........................ 47,851
61,000 Silicon Valley Bancshares*........................ 3,515,125
171,032 Southwest Bancorp of Texas........................ 4,970,618
48,950 Sterling Bancshares Inc.*......................... 693,713
1,550 Sterling Financial Corp. ......................... 25,381
2,700 Texas Regional Bancshares, Class A Shares*........ 68,850
54,462 Trustco Bank Corp. of New York.................... 701,198
53,400 UCBH Holdings, Inc.*.............................. 1,615,350
3,058 United Bankshares, Inc.*.......................... 60,778
7,165 United National Bancorp*.......................... 125,387
1,524 USB Holding Co., Inc.*............................ 20,383
3,074 West Coast Bancorp*............................... 30,356
13,800 Westamerica Bancorporation*....................... 418,312
--------------
29,001,570
--------------
Beverages -- 0.2%
7,300 Beringer Wine Estates, Class B Shares............. 403,781
300,000 Boston Beer Co., Inc., Class A Shares............. 2,775,000
5,300 Canadaigua Brands Inc., Class A Shares............ 285,538
1,500 Coca Cola Bottling Co.*........................... 60,094
--------------
3,524,413
--------------
Biotechnology -- 3.7%
8,700 Aclara Biosciences Inc. .......................... 339,300
52,000 Advanced Tissue Sciences, Inc. ................... 370,500
13,200 Alexion Pharmaceuticals, Inc.+.................... 1,386,000
14,100 Aphton Corp. ..................................... 407,138
24,100 ARIAD Pharmaceuticals, Inc. ...................... 304,263
48,100 AVANT Immunotherapeutics, Inc. ................... 465,969
15,100 Avigen, Inc. ..................................... 550,206
14,400 Aviron+........................................... 648,000
13,300 BioCryst Pharmaceuticals, Inc..................... 424,769
286,500 Bio-Technology General Corp. ..................... 3,993,094
5,800 Collateral Therapeutics, Inc.+.................... 163,850
10,200 CryoLife, Inc. ................................... 274,125
25,900 CuraGen Corp. .................................... 1,149,313
6,420 Curis, Inc. ...................................... 130,406
75,100 CYTOGEN Corp. .................................... 666,513
11,000 Digene Corp. ..................................... 437,937
7,300 Diversa Corp. .................................... 208,050
14,300 EntreMed Inc.+.................................... 425,425
23,017 Enzo Biochem, Inc.+............................... 1,381,020
40,400 Enzon, Inc.+...................................... 2,459,350
8,600 Exelixis, Inc..................................... 387,000
158,500 Gene Logic Inc. .................................. 3,893,156
21,500 Genome Therapeutics Corp. ........................ 540,187
145,600 Genzyme Transgenics Corp. ........................ 5,414,500
22,300 Geron Corp.+...................................... 720,569
31,500 Immunomedics, Inc. ............................... 787,500
31,800 Inhale Therapeutic Systems, Inc.+................. 1,605,900
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Biotechnology -- 3.7% (continued)
6,100 Intermune Pharmaceuticals, Inc. .................. $ 232,181
183,100 Invitrogen Corp.+................................. 11,558,188
9,600 Lexicon Genetics Inc. ............................ 319,200
102,300 Lynx Therapeutics, Inc............................ 3,554,925
16,200 Martek Biosciences Corp. ......................... 364,500
90,400 Maxim Pharmaceuticals, Inc.+...................... 5,531,350
7,700 Maxygen Inc.+..................................... 413,875
9,500 Myriad Genetics, Inc. ............................ 1,328,812
15,000 Nanogen, Inc...................................... 361,875
11,300 Neose Technologies, Inc. ......................... 463,300
7,300 Nexell Therapeutics Inc. ......................... 93,075
4,300 Orchid Biosciences+............................... 193,231
33,688 Organogenesis Inc.+............................... 547,430
5,200 Paradigm Genetics, Inc. .......................... 85,800
19,300 Regeneron Pharmaceuticals, Inc. .................. 683,944
8,700 Ribozyme Pharmaceuticals, Inc. ................... 251,212
8,900 SafeScience, Inc.+................................ 24,475
2,900 Sequenom Inc.+.................................... 87,362
25,500 Targeted Genetics Corp. .......................... 344,250
61,400 Techniclone Corp. ................................ 170,769
42,700 Texas Biotechnology Corp. ........................ 752,587
18,600 Transkaryotic Therapies, Inc. .................... 806,775
19,700 Vical Inc. ....................................... 482,650
--------------
58,185,806
--------------
Building Materials -- 0.1%
8,500 Advanced Lighting Technologies, Inc. ............. 136,000
2,700 CoorsTek, Inc..................................... 126,562
58,700 Dal-Tile International Inc........................ 660,375
17,618 Elcor Corp.*...................................... 289,596
3,700 Florida Rock Industries, Inc. .................... 142,219
2,200 LSI Industries, Inc.*............................. 43,725
1,100 Republic Group, Inc.*............................. 19,594
5,769 Simpson Manufacturing Co., Inc. .................. 271,143
5,200 Trex Co. ......................................... 161,200
--------------
1,850,414
--------------
Chemicals -- 0.5%
54,556 Cambrex Corp.*.................................... 2,560,723
76,600 Crompton Corp.*................................... 689,400
9,850 Ferro Corp.*...................................... 203,156
60,800 Georgia Gulf Corp. ............................... 790,400
17,200 MacDermid, Inc. .................................. 430,000
4,000 NL Industries Inc. ............................... 93,250
4,100 Olin Corp.*....................................... 67,650
2,900 OM Group, Inc.*................................... 137,388
54,100 Solutia Inc. ..................................... 814,881
11,300 Spartech Corp.*................................... 279,675
22,000 Symyx Technologies Inc. .......................... 816,750
14,400 Uniroyal Technology Corp. ........................ 243,000
23,600 Valspar Corp. .................................... 696,200
14,300 W.R. Grace & Co. ................................. 113,506
--------------
7,935,979
--------------
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Coal -- 0.0%
26,700 Consol Energy Inc.*............................... $ 555,694
--------------
Commercial Services -- 7.0%
45,600 ACNielsen Corp. .................................. 1,097,250
21,700 Administaff, Inc. ................................ 1,768,550
17,400 Albany Molecular Research, Inc.+.................. 622,050
8,100 Applied Analytical Industries Inc. ............... 72,900
20,600 Aurora Biosciences Corp. ......................... 1,408,525
22,400 Avis Rent A Car Inc. ............................. 688,800
6,800 Billing Concepts Corp. ........................... 22,100
12,100 Bright Horizons Family Solutions, Inc. ........... 296,450
8,200 Burns International Corp. ........................ 176,300
74,800 Career Education Corp. ........................... 2,987,325
283,700 Caremark Rx Inc. ................................. 2,783,806
6,700 Carriage Services, Inc. .......................... 19,681
11,350 Central Parking Corp.*............................ 219,906
70,700 Century Business Services, Inc. .................. 123,725
1,900 Charles Rivers Associates Inc. ................... 21,375
23,400 Coinstar, Inc. ................................... 269,100
2,900 Consolidated Graphics, Inc. ...................... 42,775
4,400 Corinthian Colleges, Inc. ........................ 237,600
3,800 Cornell Corrections, Inc. ........................ 31,588
27,800 The Corporate Executive Board Co. ................ 1,973,800
5,000 Corvel Corp. ..................................... 135,000
77,900 Costar Group Inc. ................................ 2,151,988
900 CPI Corp.*........................................ 21,938
104,200 DeVry, Inc. ...................................... 3,894,475
29,700 Diamond Technology Partners Inc. ................. 1,895,231
4,900 eBenx Inc. ....................................... 102,900
4,900 Edgewater Technology, Inc. ....................... 30,625
42,535 Education Management Corp. ....................... 1,074,009
65,300 Electro Rent Corp. ............................... 799,925
55,583 Encompass Services Corp. ......................... 305,706
25,800 F.Y.I. Inc. ...................................... 1,006,200
17,700 First Consulting Group, Inc. ..................... 123,900
16,600 First Health Group, Corp. ........................ 515,637
45,800 Forrester Research, Inc. ......................... 2,799,525
103,100 Gartner Group, Inc. .............................. 1,366,075
36,600 Hall, Kinion & Associates, Inc. .................. 1,207,800
23,400 Heidrick & Struggles International, Inc. ......... 1,360,125
355,341 Hooper Holmes Inc.*............................... 4,153,048
400,400 Horizon Offshore Inc. ............................ 7,457,450
48,300 HotJobs.com, Ltd. ................................ 920,719
2,900 Integrated Electrical Services, Inc. ............. 22,294
13,900 ITT Educational Services, Inc. ................... 319,700
5,800 Jupiter Communications, Inc. ..................... 138,112
41,088 kforce.com, Inc. ................................. 187,464
38,600 Korn/Ferry International.......................... 1,174,887
6,900 The Kroll-O'Gara Co. ............................. 35,362
31,700 Labor Ready, Inc. ................................ 122,838
2,300 Landauer, Inc.* .................................. 42,263
17,800 Lason Inc. ....................................... 42,275
44,200 Learning Tree International, Inc. ................ 3,024,938
11,300 Mail-Well, Inc. .................................. 81,925
</TABLE>
See Notes to Financial Statements.
52
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Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Commercial Services -- 7.0% (continued)
5,100 The Management Network Group, Inc. ............... $ 102,319
11,000 MAXIMUS, Inc. .................................... 243,375
900 McGrath Rent Corp.*............................... 15,356
22,200 Medical Manager Corp. ............................ 971,250
19,886 Medquist Inc. .................................... 385,291
10,200 Memberworks Inc. ................................. 286,875
7,700 META Group, Inc. ................................. 111,650
17,100 Midas, Inc. ...................................... 290,700
62,600 Modis Professional Services, Inc. ................ 430,375
11,200 National Equipment Services, Inc. ................ 58,800
15,000 Navigant Consulting Co. .......................... 60,000
80,100 NCO Group, Inc. .................................. 1,391,738
9,800 Neff Corp. ....................................... 47,775
7,300 Nextera Enterprises, Inc. ........................ 27,375
23,200 On Assignment, Inc. .............................. 693,100
68,500 Orthodontic Centers of America+................... 2,243,375
2,700 Parexel International Corp. ...................... 26,916
3,700 Personnel Group of America, Inc. ................. 13,181
3,405 Pfsweb Inc. ...................................... 9,364
13,505 Pharmaceutical Product Development................ 296,266
35,900 Plexus Corp. ..................................... 5,555,525
47,400 Prepaid Legal Services, Inc. ..................... 1,555,313
3,500 Professional Detailing, Inc. ..................... 168,438
63,637 The Profit Recovery Group, International, Inc. ... 574,722
16,200 ProsoftTraining.com............................... 216,675
18,700 ProxyMed, Inc.+................................... 25,128
116,200 Rent-A-Center, Inc. .............................. 3,827,337
356,990 Rent-Way, Inc. ................................... 8,746,255
18,562 Rollins Inc.*..................................... 278,430
23,000 Sotheby's Holdings, Inc., Class A Shares*......... 475,812
32,700 Source Information Management Co.+................ 331,087
30,120 Spherion Corp. ................................... 370,852
11,100 Staff Leasing Inc. ............................... 44,400
31,000 Startek Inc. ..................................... 1,214,812
7,700 Strayer Education Inc.*........................... 176,739
7,900 Superior Consultants Holdings Corp. .............. 23,206
646,600 Teletech Holdings Inc.+........................... 21,095,325
13,800 Towne Services, Inc. ............................. 12,506
13,200 Track Data Corp.+................................. 25,163
14,100 United Rentals, Inc. ............................. 292,575
3,700 Wackenhut Corp.+.................................. 52,494
2,700 Wackenhut Corrections Corp. ...................... 24,469
67,700 Wireless Facilities, Inc.+........................ 5,077,500
13,800 Xceed Inc. ....................................... 105,225
--------------
109,353,009
--------------
Computers -- 5.0%
8,800 Adept Technology, Inc. ........................... 439,450
105,300 Advanced Digital Information Corp. ............... 1,790,100
7,500 Anacomp Inc. ..................................... 6,328
2,500 Analysts International Corp. ..................... 20,781
34,500 AnswerThink Consulting Group, Inc. ............... 590,813
62,675 Avant! Corp. ..................................... 912,705
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
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(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Computers -- 5.0% (continued)
87,820 Avocent Corp. ..................................... $ 4,270,246
29,300 Axent Technologies Inc. ........................... 695,875
30,982 Bell & Howell Co. ................................. 689,350
8,500 Breakaway Solutions, Inc.+......................... 126,438
12,800 Brooktrout Technology Inc. ........................ 435,200
39,100 CACI International Inc, Class A Shares............. 879,750
38,400 Cambridge Technology Partners Inc. ................ 236,400
38,800 Carreker Corp. .................................... 550,475
80,900 CIBER Inc.+........................................ 834,281
74,500 Cognizant Technology Solutions, Corp. ............. 3,184,875
24,300 Complete Business Solutions, Inc. ................. 328,050
7,100 Computer Horizons Corp. ........................... 67,894
55,600 Concurrent Computer Corp. ......................... 952,150
9,600 Cotelligent, Inc. ................................. 38,400
22,800 Cylink Corp. ...................................... 324,900
39,200 Digimarc Corp.+.................................... 588,000
9,500 Digitas Inc. ...................................... 130,625
177,550 eLoyalty Corp. .................................... 2,419,119
8,900 EpicEdge, Inc.+.................................... 147,963
7,700 Extended Systems Inc. ............................. 353,238
37,200 Factset Research Systems Inc.*..................... 1,271,775
8,500 Gadzoox Networks, Inc.+............................ 77,031
4,700 Hutchinson Technology Inc. ........................ 111,625
37,800 iGate Capital Corp. ............................... 275,231
13,200 Immersion Corp. ................................... 226,050
71,269 In Focus Systems, Inc. ............................ 3,447,638
2,200 Inforte Corp. ..................................... 79,063
30,900 Intervoice-Brite Inc. ............................. 384,319
220,200 Iomega Corp. ...................................... 908,325
62,700 iXL Enterprises, Inc. ............................. 599,569
3,200 Komag, Inc.+....................................... 8,600
18,948 Kronos Inc. ....................................... 708,182
254,500 Lexar Media, Inc.+................................. 3,873,172
143,500 LivePerson, Inc. .................................. 932,750
4,100 Manhattan Associates, Inc. ........................ 190,138
65,900 Maxtor Corp. ...................................... 516,903
1,000 Maxwell Technologies Inc.*......................... 16,375
4,300 McAfee.com Corp. .................................. 113,144
7,600 MCSi, Inc. ........................................ 261,250
10,200 Media 100 Inc. .................................... 187,425
62,400 Mentor Graphics Corp. ............................. 1,177,800
20,600 Mercury Computer Systems, Inc. .................... 583,881
4,600 Metro Information Services, Inc. .................. 33,925
78,800 Micron Electronics Inc. ........................... 1,088,425
31,800 Micros Systems Inc. ............................... 558,488
34,600 MSI Holdings, Inc.+................................ 155,700
34,500 MTI Technology Corp. .............................. 217,781
32,600 National Computer Systems Inc.*.................... 2,367,575
86,000 Netegrity, Inc. ................................... 7,568,000
3,600 netGuru, Inc.+..................................... 64,350
11,100 NetScout Systems, Inc. ............................ 163,031
4,600 Netsolve, Inc. .................................... 40,825
8,400 NHancement Technologies Inc.+...................... 119,700
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Computers -- 5.0% (continued)
7,400 Nuance Communications Inc.+....................... $ 974,025
30,200 NYFIX, Inc. ...................................... 1,132,500
60,100 Perot Systems Corp., Class A Shares............... 623,538
53,700 Pomeroy Computer Resources Inc. .................. 1,248,525
3,800 Predictive Systems, Inc. ......................... 75,525
5,000 Procom Technology, Inc. .......................... 241,250
14,200 PubliCARD, Inc. .................................. 37,275
12,600 QRS Corp. ........................................ 230,738
67,400 Quantum Corp. .................................... 657,150
31,800 Radiant Systems Inc. ............................. 544,575
34,150 Radisys Corp. .................................... 1,910,266
10,700 Rainbow Technologies, Inc......................... 423,988
24,300 RSA Security Inc. ................................ 1,435,219
5,400 RWD Technologies, Inc. ........................... 43,538
130,600 S3 Inc. .......................................... 1,542,713
28,100 Sandisk Corp. .................................... 2,346,350
13,500 SCM Microsystems, Inc.+........................... 734,906
25,900 Secure Computing Corp. ........................... 645,881
211,500 Silicon Storage Technology, Inc.+................. 6,939,840
7,100 SmartDisk Corp. .................................. 165,519
18,300 SonicWALL, Inc. .................................. 1,393,088
24,400 Sykes Enterprises, Inc. .......................... 343,125
5,800 Syntel, Inc. ..................................... 54,375
67,500 Systems & Computer Tech Corp. .................... 1,210,778
12,900 Tanning Technology Corp. ......................... 210,431
630,850 Technology Solutions Co. ......................... 1,951,692
26,500 Tyler Technologies, Inc. ......................... 57,969
11,000 VASCO Data Security International, Inc. .......... 120,313
28,700 Vertel Corp. ..................................... 369,513
10,500 Vertex Interactive, Inc.+......................... 126,656
16,900 The viaLink Co.+.................................. 160,550
47,400 Wave Systems Corp.+............................... 977,625
46,000 Western Digital Corp. ............................ 270,250
24,500 Xybernaut Corp.+.................................. 189,875
--------------
78,731,013
--------------
Cosmetics/Personal Care -- 0.0%
1,200 Chattem, Inc. .................................... 14,625
--------------
Distribution/Wholesale -- 0.4%
5,800 Advanced Marketing Services, Inc.* ............... 104,038
6,900 Anicom, Inc. ..................................... 26,522
3,679 Aviation Sales Co.+............................... 18,395
55,474 Brightpoint, Inc. ................................ 350,180
4,200 Daisytek International Corp. ..................... 28,875
2,300 JLK Direct Distribution Inc., Class A Shares...... 16,100
12,700 Navarre Corp.+.................................... 29,369
51,350 SCP Pool Corp. ................................... 1,505,197
100,200 United Stationers Inc. ........................... 3,250,236
3,400 Watsco, Inc.*..................................... 43,350
16,700 Wesco International, Inc. ........................ 149,256
--------------
5,521,518
--------------
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Diversified Financial Services -- 1.6%
60,200 Affiliated Managers Group......................... $ 3,356,150
185,100 AmeriCredit Corp. ................................ 5,113,386
380 Amresco Inc. ..................................... 428
17,000 BlackRock, Inc. .................................. 697,000
12,800 Compucredit Corp. ................................ 507,200
1,000 Creditrust Corp.+ ................................ 1,313
12,300 Dain Rauscher Corp.*.............................. 989,381
40,300 Eaton Vance Corp.*................................ 1,952,031
2,000 Federal Agricultural Mortgage Corp. .............. 33,750
3,200 Financial Federal Corp. .......................... 68,000
2,000 Gabelli Asset Management Inc., Class A Shares..... 60,250
85,900 Heller Financial, Inc.* (a)....................... 2,136,763
27,200 Investment Technology Group, Inc. ................ 1,305,600
7,083 The John Nuveen Co.*.............................. 321,391
15,900 LaBranche & Co. Inc. ............................. 478,988
8,000 Medallion Financial Corp.*........................ 129,000
119,050 Metris Companies Inc.*............................ 4,278,359
24,560 Pioneer Group Inc. ............................... 1,071,430
14,100 Raymond James Financial Corp. .................... 401,850
60,302 Southwest Securities Group, Inc.+................. 2,001,273
21,800 UniCapital Corp................................... 2,725
25,300 United Asset Management Corp.*.................... 619,850
--------------
25,526,118
--------------
Electric -- 0.2%
7,900 Black Hills Corp.*................................ 201,450
31,100 Calpine Corp.+.................................... 3,078,900
3,400 Otter Tail Power Co.*............................. 70,975
--------------
3,351,325
--------------
Electrical Computer & Equipment -- 1.2%
21,700 Advanced Energy Industries, Inc.+................. 1,239,612
61,900 Alpine Group Inc.................................. 359,794
116,800 American Superconductor Corp...................... 4,956,699
32,500 Ametek Inc........................................ 694,688
9,700 Applied Science and Technology, Inc............... 149,744
59,274 Artesyn Technologies Inc. ........................ 2,463,576
30,100 Belden Inc.*...................................... 786,363
62,600 C&D Technology Inc.*.............................. 3,458,649
9,600 Cable Design Technologies Corp.................... 259,200
10,700 Energy Conversion Devices, Inc.................... 298,931
5,300 FuelCell Energy, Inc.............................. 630,700
15,500 Littlefuse Inc.................................... 562,844
28,600 Rayovac Corp. .................................... 507,650
9,900 Research Frontiers Inc............................ 189,338
7,400 SLI, Inc.*........................................ 71,225
16,200 Superconductors Technologies Inc.................. 358,425
13,000 Universal Display Corp.+.......................... 323,375
30,500 Valence Technology Inc. .......................... 516,594
20,400 Vicor Corp........................................ 889,950
--------------
18,717,357
--------------
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Electronics -- 4.7%
11,100 ACT Manufacturing, Inc.+.......................... $ 565,406
3,200 American Technical Ceramics Corp. ................ 73,200
28,500 Ampex Corp., Class A Shares....................... 35,625
19,100 Amphenol Corp., Class A Shares.................... 1,222,400
8,500 APW Ltd........................................... 374,000
13,190 Benchmark Electronics Inc.+....................... 686,704
12,080 Brady Corp., Class A Shares*...................... 349,565
13,800 California Amplifier, Inc......................... 576,150
27,100 Coherent, Inc. ................................... 2,181,550
57,000 CTS Corp. ........................................ 2,924,813
2,000 Cubic Corp.*...................................... 43,000
7,100 CyberOptics Corp. ................................ 205,900
178,000 Cymer Inc.+....................................... 8,176,875
10,100 DDI Corp. ........................................ 385,063
23,100 Dionex Corp. ..................................... 681,450
63,100 DSP Group, Inc. .................................. 2,918,375
59,600 Electro Scientific Industries Inc. ............... 2,454,775
9,300 Excel Technologies, Inc. ......................... 343,519
14,600 FEI Co. .......................................... 439,825
20,200 Fisher Scientific International Inc. ............. 443,138
26,100 Identix Inc. ..................................... 378,450
26,100 II-VI Inc. ....................................... 1,402,875
11,600 Interlink Electronics, Inc. ...................... 300,150
732 Interlogix, Inc. ................................. 11,255
6,600 Keithley Instruments, Inc.*....................... 501,188
57,800 Kent Electronics Corp. ........................... 1,690,650
39,400 Meade Instruments Corp. .......................... 945,600
22,800 Mechanical Technology, Inc. ...................... 257,925
197,300 Methode Electronics Inc.*......................... 11,862,660
40,300 Mettler-Toledo International Inc. ................ 1,906,694
26,300 Microchip Technology, Inc. ....................... 1,790,044
11,500 Molecular Devices Corp. .......................... 952,344
4,500 Nanometrics Inc. ................................. 223,875
7,800 Packard BioScience Co. ........................... 155,025
16,700 Photon Dynamics, Inc. ............................ 783,856
36,000 Robotic Vision Systems, Inc. ..................... 456,750
15,900 Rogers Corp. ..................................... 554,513
23,000 Sawtek Inc. ...................................... 1,160,063
29,900 SBS Technologies, Inc. ........................... 1,541,719
71,201 Sensormatic Electronics Corp.*.................... 1,183,717
3,400 Spectra-Physics Lasers, Inc. ..................... 235,875
46,100 Stoneridge Inc. .................................. 478,288
20,900 Technitrol, Inc. ................................. 2,664,750
46,600 Trimble Navigation Ltd. .......................... 1,936,813
14,300 Universal Electronics Inc. ....................... 338,955
69,400 Varian, Inc. ..................................... 3,383,250
42,500 Viasystems Group, Inc. ........................... 701,250
13,200 X-Rite, Inc.*..................................... 127,050
132,200 Zygo Corp. ....................................... 10,493,372
--------------
73,500,289
--------------
Energy - Alternate Sources -- 0.2%
173,400 Syntroleum, Corp. ................................ 2,947,800
--------------
</TABLE>
See Notes to Financial Statements.
57
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Engineering & Construction -- 0.2%
46,550 Dycom Industries Inc.+............................ $ 2,467,150
18,900 Insituform Technologies, Inc., Class A Shares..... 579,994
51,400 URS Corp. ........................................ 677,837
--------------
3,724,981
--------------
Entertainment -- 1.9%
7,500 AMC Entertainment Inc. ........................... 14,063
50,700 Argosy Gaming Co. ................................ 811,200
10,100 Championship Auto Racing Teams Inc. .............. 235,456
222,500 Cinar Corp., Class B Shares....................... 458,906
11,100 Dover Downs Entertainment, Inc.*.................. 111,694
88,600 Fairfield Communities, Inc. ...................... 708,800
22,600 Gtech Holdings Corp. ............................. 403,975
241,300 International Speedway Corp., Class A Shares*..... 8,174,036
26,500 Isle of Capri Casinos, Inc.+...................... 414,063
1,700 Liberty Livewire Corp., Class A Shares............ 83,406
8,100 Lowes Cineplex Entertainment, Inc. ............... 14,681
93,200 Macrovision Corp.+................................ 9,937,450
6,600 Penn National Gaming, Inc. ....................... 92,400
41,500 Pinnacle Systems, Inc. ........................... 855,938
82,900 Shuffle Master, Inc. ............................. 1,430,025
123,600 Speedway Motorsports, Inc. ....................... 3,190,425
33,950 SUNTERRA Corp. ................................... 3,735
28,800 Trendwest Resorts Inc.+........................... 550,800
3,600 Vail Resorts, Inc. ............................... 66,150
105,000 Zomax Inc.+....................................... 2,040,938
--------------
29,598,141
--------------
Environmental Control -- 0.3%
6,600 Casella Waste Systems Inc., Class A Shares........ 64,763
29,400 Catalytica Inc. .................................. 391,388
82,100 Stericycle Inc. .................................. 1,847,250
57,357 Tetra Tech, Inc. ................................. 1,555,808
12,500 Waste Connections Inc. ........................... 290,625
3,800 Waste Industries Inc. ............................ 39,900
--------------
4,189,734
--------------
Food -- 0.3%
6,100 American Italian Pasta Co., Class A Shares........ 103,319
13,618 ConAgra, Inc.*.................................... 249,380
7,300 Del Monte Foods Co. .............................. 47,906
15,200 Dreyer's Grand Ice Cream, Inc.*................... 315,638
3,100 Earthgrains Co.*.................................. 54,638
14,600 Grand Union Co. .................................. 3,212
28,700 Hain Food Group Inc.+............................. 896,875
7,650 Performance Food Group Co. ....................... 284,006
3,000 Rica Foods, Inc. ................................. 47,625
24,560 Smithfield Foods Inc. ............................ 652,375
9,600 United National Foods, Inc. ...................... 145,200
12,800 Vlasic Foods International Inc. .................. 20,800
25,500 Whole Foods Market Inc.+.......................... 1,287,750
115,300 Wild Oats Markets, Inc. .......................... 1,239,474
--------------
5,348,198
--------------
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Food Service -- 0.0%
12,910 Morrison Management Specialist*................... $ 343,729
--------------
Forest Products & Paper -- 0.0%
10,162 Buckeye Technologies Inc. ........................ 253,415
2,200 Deltic Timber Corp.*.............................. 44,000
--------------
297,415
--------------
Gas -- 0.0%
6,600 CTG Resources, Inc.*.............................. 267,300
2,800 Energynorth, Inc.*................................ 167,650
--------------
434,950
--------------
Hand/Machine Tools -- 0.0%
4,500 Franklin Electric Co. Inc.*....................... 293,625
--------------
Health Care -- 6.0%
17,100 Abiomed, Inc. .................................... 1,032,413
62,000 Adac Laboratories................................. 1,387,250
65,800 Advanced Neuromodulation Systems, Inc. ........... 1,246,088
16,300 Alaris Medical Inc. .............................. 24,450
16,200 Alterra Healthcare Corp.+......................... 39,488
109,800 American Medical Systems Holdings, Inc.+.......... 1,434,263
6,100 American Retirement Corp. ........................ 32,025
1,300 AmeriPath, Inc. .................................. 17,713
38,000 Apria Healthcare Group Inc. ...................... 565,250
1,100 Arrow International Inc.*......................... 39,188
285,600 ArthroCare Corp.+................................. 12,709,195
17,600 ATS Medical, Inc. ................................ 290,400
120,100 Biosite Diagnostics Inc.+......................... 8,354,456
6,600 BriteSmile, Inc. ................................. 46,200
10,100 Capital Senior Living Corp........................ 32,194
29,200 CardioDynamics International Corp. ............... 187,975
9,700 Carematrix Corp................................... 3,638
50,600 Celsion Corp...................................... 151,800
6,600 Cerus Corp. ...................................... 350,213
10,900 ChromaVision Medical Systems, Inc. ............... 136,250
6,600 Closure Medical Corp. ............................ 141,384
21,700 Columbia Laboratories, Inc........................ 119,350
3,879 Conmed Corp. ..................................... 52,367
79,400 Cooper Companies Inc.*............................ 2,610,275
6,700 Covance Inc. ..................................... 69,513
16,500 Cyberonics, Inc................................... 271,219
101,500 Cytyc Corp.+...................................... 4,732,438
29,400 Datascope Corp.*.................................. 1,036,350
3,200 Diagnostic Products Corp.*........................ 135,600
22,900 Diametrics Medical, Inc. ......................... 160,300
128,500 Dianon Systems, Inc. ............................. 5,750,375
7,900 Eclipse Surgical Technology Inc. ................. 31,106
10,515 Edwards Lifesciences Corp. ....................... 276,019
7,700 Endocare, Inc. ................................... 135,231
8,300 Gentiva Health Services, Inc. .................... 92,338
9,100 Gliatech Inc.+.................................... 72,800
18,100 Haemonetics Corp. ................................ 455,894
7,500 Hanger Orthopedic Group, Inc. .................... 26,250
</TABLE>
See Notes to Financial Statements.
59
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Health Care -- 6.0% (continued)
197,800 Health Management Associates, Inc., Class A
Shares (a)...................................... $ 3,226,613
51,479 IDEXX Laboratories Inc........................... 1,344,889
9,000 Igen International Inc. ......................... 171,000
94,500 Imatron Inc...................................... 236,250
16,000 Impath Inc. ..................................... 575,000
13,400 Inamed Corp. .................................... 438,013
3,300 Invacare Corp. .................................. 88,894
15,900 I-STAT Corp. .................................... 295,144
25,310 Laboratory Corp. of America Holdings............. 2,994,489
14,100 LCA-Vision Inc. ................................. 43,181
72,800 LifePoint Hospitals, Inc. ....................... 2,193,100
42,800 Lincare Holdings Inc. ........................... 1,091,400
3,000 Luminex Corp.+................................... 120,000
59,400 Mentor Graphics Corp.*........................... 1,258,538
11,200 Microvision, Inc. ............................... 457,800
66,200 Mid Atlantic Medical Services, Inc. ............. 1,067,475
15,200 Novoste Corp..................................... 820,800
19,600 Oakley Inc.+..................................... 331,975
6,700 Ocular Sciences Inc. ............................ 72,025
52,000 ORATEC Interventions, Inc........................ 1,849,250
234,100 Oxford Health Plans, Inc......................... 7,140,050
17,800 PhyCor, Inc. .................................... 2,314
224,700 PolyMedica Corp.................................. 7,976,847
18,500 Province Healthcare Co........................... 830,188
26,000 RehabCare Group, Inc. ........................... 971,750
47,325 Renal Care Group Inc. ........................... 958,331
6,050 Res-Care Inc. ................................... 29,305
70,300 ResMed Inc.+..................................... 2,587,919
20,059 Respironics Inc. ................................ 379,867
8,100 SonoSite, Inc.................................... 270,844
10,800 STAAR Surgical Co................................ 180,225
125,500 Sunrise Assisted Living, Inc..................... 2,494,310
49,800 Sunrise Technologies, Inc.+...................... 326,813
17,500 Thermo Cardiosystems Inc......................... 162,969
15,500 Thoratec Laboratories Corp....................... 288,688
4,200 Total Renal Care Holdings Inc.................... 29,400
4,600 Trex Co. ........................................ 4,313
21,400 Triad Hospitals, Inc. ........................... 617,925
32,200 Varian Medical Systems, Inc.+.................... 1,479,188
51,700 Vasomedical, Inc. ............................... 232,650
9,600 Ventana Medical Systems, Inc.+................... 268,200
77,600 VISX, Inc.+...................................... 2,138,850
1,100 Vital Signs Inc.*................................ 20,006
15,995 Wesley Jessen VisionCare, Inc. .................. 601,812
40,700 Zoll Medical Corp. .............................. 1,780,625
--------------
94,698,483
--------------
Holding Companies - Diversified -- 0.0%
125,800 Terremark Woldwide, Inc. ........................ 416,713
7,600 Triarc Cos. ..................................... 172,900
--------------
589,613
--------------
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Home Builders -- 0.2%
42,100 Crossmann Communities Inc. ....................... $ 770,956
2,900 D.R. Horton, Inc.*................................ 56,913
28,300 Kaufman & Broad Home Corp.*....................... 702,194
33,000 Monaco Coach Corp. ............................... 577,500
4,900 NVR, Inc. ........................................ 360,150
5,400 Oakwood Homes Corp.*.............................. 8,775
1,600 Thor Industries Inc.*............................. 37,300
--------------
2,513,788
--------------
Home Furnishings -- 0.3%
2,500 American Woodmark Corp.*.......................... 57,969
14,600 Ethan Allen Interiors Inc. ....................... 393,288
3,600 Fedders Corp.*.................................... 18,675
4,400 Furniture Brands International, Inc. ............. 70,950
3,600 Harman International Industries, Inc.*............ 276,300
7,600 ParkerVision Inc.+................................ 323,000
11,900 Polycom Inc. ..................................... 1,337,263
59,550 Salton, Inc.+..................................... 2,240,568
9,400 Select Comfort Corp. ............................. 19,975
--------------
4,737,988
--------------
Household Products/Wares -- 0.3%
33,500 Blyth, Inc.*...................................... 785,155
61,300 Central Garden & Pet Co. ......................... 459,750
39,990 Church & Dwight Co., Inc.*........................ 717,321
26,400 The Dial Corp. ................................... 270,600
13,817 Fossil Inc. ...................................... 240,934
3,900 John H. Harland Co.*.............................. 57,038
10,200 Playtex Products, Inc. ........................... 121,125
11,400 The Scotts Co. ................................... 353,400
31,400 Tupperware Corp. ................................. 633,888
15,100 Yankee Candle Co., Inc.+.......................... 297,281
--------------
3,936,492
--------------
Housewares -- 0.0%
6,890 Libbey Inc.*...................................... 226,078
1,500 Oneida Ltd.*...................................... 20,625
--------------
246,703
--------------
Insurance -- 0.3%
20,000 Arthur J. Gallagher & Co.......................... 980,000
21,800 Brown & Brown, Inc.*.............................. 581,788
13,300 Crawford & Co.*................................... 165,419
1,400 E.W. Blanch Holdings, Inc.*....................... 30,713
700 Farm Family Holdings, Inc. ....................... 21,088
10,900 Healthaxis, Inc.+................................. 30,997
13,793 Hilb, Rogal & Hamilton Co. ....................... 551,720
5,400 HSB Group, Inc. .................................. 215,663
400 Markel Corp. ..................................... 58,350
22,400 Radian Group, Inc.*............................... 1,391,598
900 Triad Guaranty Inc. .............................. 22,106
--------------
4,049,442
--------------
</TABLE>
See Notes to Financial Statements.
61
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(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
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Internet -- 2.2%
9,800 24/7 Media, Inc. ................................. $ 141,488
21,500 About.com, Inc.+.................................. 937,938
33,600 Ask Jeeves, Inc.+................................. 1,024,800
5,300 Autoweb.com, Inc. ................................ 9,109
6,700 barnesandnoble.com inc.+.......................... 26,800
27,400 Beyond.com Corp.+................................. 33,394
6,300 CAIS Internet, Inc. .............................. 50,794
14,400 Calico Commerce Inc. ............................. 145,350
9,300 CareInsite, Inc. ................................. 208,088
6,400 click2learn.com, Inc. ............................ 97,200
102,200 Critical Path, Inc. .............................. 7,894,947
3,500 Cyberian Outpost, Inc. ........................... 13,125
17,500 Digital Insight Corp. ............................ 463,750
3,300 DigitalThink, Inc.+............................... 112,406
16,700 Donaldson, Lufkin & Jenrette, Inc.--DLJ direct.... 135,688
21,500 Elot, Inc. ....................................... 38,969
5,900 eMerge Interactive, Inc., Class A Shares+......... 130,169
59,740 eToys Inc.+....................................... 268,830
3,800 Expedia, Inc., Class A Shares..................... 61,038
1,900 Fidelity Holdings, Inc.+.......................... 2,553
55,300 FiNet.com, Inc. .................................. 31,106
25,400 Frontline Capital Group........................... 446,088
5,500 Global Sports, Inc.+.............................. 48,125
9,600 GlobalNet Financial.com, Inc. .................... 94,800
41,800 Go2Net, Inc. ..................................... 2,884,200
40,000 GoTo.com, Inc.+................................... 745,000
7,300 Hollywood.com, Inc. .............................. 61,138
7,100 iBEAM Broadcasting Corp. ......................... 75,438
48,400 Internet Pictures Corp. .......................... 378,125
64,300 internet.com Corp. ............................... 2,025,450
5,900 iTurf Inc., Class A Shares+....................... 9,588
18,600 Juno Online Services Inc. ........................ 116,250
15,400 Lante Corp.+...................................... 144,375
4,300 Launch Media Inc. ................................ 32,519
108,700 LifeMinders, Inc. ................................ 3,260,998
42,300 LookSmart, Ltd. .................................. 708,525
23,500 Mail.com, Inc. ................................... 148,344
3,700 MarketWatch.com, Inc. ............................ 43,475
138,900 Media Metrix, Inc.+............................... 3,437,773
17,200 Multex.com........................................ 374,100
18,100 MyPoints.com Inc. ................................ 246,613
56,702 National Discount Brokers Group, Inc. ............ 2,051,902
15,100 Net.B@nk, Inc. ................................... 171,763
2,800 net.Genesis Corp. ................................ 23,450
2,300 NetCreations, Inc. ............................... 48,588
23,800 Network Commerce Inc.+............................ 130,900
19,200 NetZero, Inc.+.................................... 81,000
19,800 NextCard Inc. .................................... 162,731
19,300 On2.com Inc.+..................................... 67,164
17,600 OneMain.com, Inc. ................................ 173,525
9,000 Onhealth Network Co. ............................. 28,406
7,500 Onvia.com, Inc.+.................................. 52,500
16,545 Prodigy Communications Corp., Class A Shares...... 124,605
</TABLE>
See Notes to Financial Statements.
62
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Small Capitalization Growth Investments
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<TABLE>
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Internet -- 2.2% (continued)
10,900 PurchasePro.com, Inc.+........................... $ 629,816
17,000 Quokka Sports, Inc.+............................. 116,875
29,100 Rare Medium Group, Inc. ......................... 291,000
10,700 SciQuest.com, Inc. .............................. 102,988
8,500 SierraCities.com, Inc. .......................... 25,500
1,700 SmartServ Online, Inc. .......................... 62,581
11,200 SportsLine.com, Inc. ............................ 198,100
54,500 StarMedia Network, Inc.+......................... 463,250
10,600 theglobe.com, inc.+.............................. 14,741
5,400 TheStreet.com Inc.+.............................. 47,925
9,600 Travelocity.com Inc. ............................ 132,000
13,500 triZetto Group, Inc. ............................ 138,375
17,900 Ventro Corp.+.................................... 255,075
13,000 VIA Net.Works, Inc. ............................. 168,188
5,700 Vicinity Corp. .................................. 63,413
4,700 Voyager.net, Inc. ............................... 32,606
75,400 Wit Soundview Group, Inc. ....................... 697,450
11,000 Worldgate Communication Inc.+.................... 217,250
--------------
33,882,133
--------------
Investment Companies -- 0.0%
11,000 Ampal-American Israel Corp., Class A Shares...... 171,188
--------------
Iron/Steel -- 0.0%
1,500 Gibraltar Steel Corp.*........................... 26,250
2,400 Reliance Steel & Aluminum Co.*................... 49,500
11,700 Steel Dynamics Inc. ............................. 141,863
--------------
217,613
--------------
Leisure Time -- 0.4%
134,600 American Classic Voyages Co. .................... 2,288,199
25,200 Bally Total Fitness Holding Corp. ............... 622,125
63,800 Callaway Golf Co.*+.............................. 921,113
25,050 Direct Focus, Inc. .............................. 749,934
3,800 Hotel Reservations Network, Inc., Class A
Shares.......................................... 133,713
21,700 Polaris Industries Inc.*......................... 740,513
3,700 WMS Industries Inc. ............................. 59,200
--------------
5,514,797
--------------
Lodging -- 0.1%
8,400 Aztar Corp....................................... 122,325
56,200 Choice Hotels Corp. Inc. ........................ 502,288
10,300 Extended Stay America Inc. ...................... 152,569
36,750 Station Casinos, Inc.+........................... 528,281
7,400 USS Franchises Systems Inc., Class A Shares...... 32,375
--------------
1,337,838
--------------
Machinery - Construction & Mining -- 0.1%
29,136 Astec Industries Inc. ........................... 571,794
16,500 CMI Corp. ....................................... 37,125
29,100 Terex Corp. ..................................... 532,894
--------------
1,141,813
--------------
</TABLE>
See Notes to Financial Statements.
63
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
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Machinery - Diversified -- 0.6%
8,300 Briggs & Stratton Corp.*......................... $ 358,975
23,800 Brooks Automation, Inc. ......................... 1,316,438
5,250 Chart Industries, Inc. .......................... 28,547
12,100 Cognex Corp. .................................... 484,000
2,100 Columbus McKinnon Corp. ......................... 30,713
21,525 Graco Inc.*...................................... 762,792
8,350 IDEX Corp.*...................................... 253,631
13,550 Lindsay Manufacturing Co.*....................... 247,288
51,013 The Manitowoc Co., Inc.*......................... 1,170,097
5,400 Nordson Corp.*................................... 349,650
43,300 Presstek, Inc. .................................. 733,394
7,900 Satcon Technology Corp. ......................... 273,538
11,521 Specialty Equipment Cos., Inc. .................. 311,787
2,700 Tennant Co.*..................................... 118,463
5,200 Thermo Fibertek Inc. ............................ 21,450
48,600 Zebra Technologies Corp., Class A Shares......... 2,624,400
--------------
9,085,163
--------------
Manufacturing -- 0.5%
24,960 Applied Power Inc., Class A Shares*.............. 123,240
2,200 AptarGroup Inc.*................................. 51,288
10,205 Blount International, Inc. ...................... 85,467
4,200 Carlisle Cos. Inc.*.............................. 192,413
20,700 Concord Camera Corp. ............................ 455,400
11,100 Cuno Inc. ....................................... 316,350
3,100 Dexter Corp. .................................... 183,288
18,600 Donaldson Co., Inc.*............................. 392,925
3,240 Gentek, Inc.*.................................... 49,410
128,300 GSI Lumonics Inc. ............................... 3,359,854
14,736 Matthews International Corp., Class A Shares*.... 427,344
2,000 Polymer Group, Inc.*............................. 14,000
30,900 Roper Industries Inc. ........................... 1,000,388
12,500 Scott Technologies, Inc. ........................ 236,719
5,700 SurModics, Inc. ................................. 259,350
8,600 Teleflex Inc.*................................... 306,375
15,660 Tredegar Corp. .................................. 305,370
7,248 Wabtec Corp.*.................................... 75,198
--------------
7,834,379
--------------
Media -- 2.7%
9,300 4Kids Entertainment, Inc.+....................... 195,300
12,400 Ackerley Group Inc.*............................. 140,275
301,400 ACTV, Inc. ...................................... 5,368,688
2,500 Beasley Broadcast Group, Inc., Class A Shares.... 30,781
38,600 Citadel Communications Corp. .................... 791,300
366,100 Classic Communications, Inc., Class A Shares..... 1,830,500
144,900 Cox Radio Inc. .................................. 3,015,731
209,300 Crown Media Holdings, Inc. ...................... 3,361,881
20,600 Emmis Communications Corp., Class A Shares....... 675,938
150,400 Entravision Communications Corp., Class A
Shares.......................................... 2,979,800
16,500 Houghton Mifflin Co.*............................ 811,594
2,900 IDG Books Worldwide, Inc., Class A Shares........ 26,191
101,800 Information Holdings Inc. ....................... 3,270,325
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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<C> <S> <C>
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Media -- 2.7% (continued)
234,800 Insight Communications Co., Inc. ................ $ 4,182,375
44,600 John Wiley & Sons, Inc., Class A Shares*......... 886,425
35,900 Lee Enterprises, Inc.*........................... 1,005,200
5,300 LodgeNet Entertainment Corp. .................... 140,781
9,800 Martha Stewart Living Omnimedia, Inc., Class A
Shares+......................................... 330,750
7,300 Mediacom Communications Corp. ................... 103,911
21,100 Meredith Corp.*.................................. 576,294
3,100 On Command Corp. ................................ 41,075
168,209 Paxson Communications Corp. ..................... 2,312,874
1,400 Playboy Enterprises, Class B Shares.............. 20,563
5,000 Private Media Group, Inc. ....................... 38,438
12,000 Regent Communications, Inc. ..................... 105,000
146,675 Saga Communications Inc. ........................ 3,006,836
9,100 Scholastic Corp. ................................ 584,106
202,300 Sinclair Broadcast Group., Class A Shares........ 2,440,242
35,400 Sirius Satellite Radio Inc.+..................... 1,823,100
6,200 Source Media, Inc.+.............................. 37,975
32,800 Spanish Broadcasting System, Inc., Class A
Shares.......................................... 330,050
15,700 TiVo Inc.+....................................... 378,763
4,100 United Television Inc.*.......................... 590,400
151 Value Line Inc.*................................. 5,417
22,500 Wink Communications, Inc. ....................... 374,063
6,000 World Wrestling Federation Entertainment, Inc. .. 128,250
10,200 XM Satellite Radio Holdings Inc., Class A
Shares.......................................... 436,050
7,300 Young Broadcasting Corp., Class A Shares......... 258,238
--------------
42,635,480
--------------
Metal Fabricate/Hardware -- 0.6%
233,200 Maverick Tube Corp. ............................. 6,544,175
11,300 Metals USA Inc. ................................. 54,381
1,900 Mueller Industries, Inc. ........................ 59,969
28,000 The Shaw Group, Inc. ............................ 1,559,250
11,122 Valmont Industries, Inc.*........................ 210,623
--------------
8,428,398
--------------
Mining -- 0.2%
9,800 AMCOL International, Corp.*...................... 32,463
143,600 Battle Mountain Gold Co. ........................ 269,250
139,000 Freeport-McMoRan Copper & Gold, Inc., Class B
Shares.......................................... 1,363,937
63,100 Stillwater Mining Co. ........................... 2,145,400
--------------
3,811,050
--------------
Office/Business Equipment -- 0.0%
2,500 General Binding Corp.*........................... 22,188
--------------
Office Furnishings -- 0.0%
800 CompX International Inc. ........................ 18,150
24,100 HON Industries Inc.*............................. 649,194
1,254 Virco Manufacturing Corp. ....................... 16,145
--------------
683,489
--------------
Oil & Gas Producers -- 3.9%
31,100 Atwood Oceanics Inc. ............................ 1,411,163
27,860 Barrett Resources Corp. ......................... 964,653
7,600 Basin Exploration Inc. .......................... 152,000
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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<C> <S> <C>
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Oil & Gas Producers -- 3.9% (continued)
18,400 Berry Petroleum Co.*............................. $ 349,600
9,000 Cabot Oil & Gas Corp.*........................... 180,000
96,573 Chesapeake Energy Corp. ......................... 736,369
14,300 Clayton Williams Energy, Inc. ................... 577,363
33,925 Cross Timbers Oil Co. ........................... 896,892
26,466 Devon Energy Corp.*.............................. 1,549,915
9,200 Evergreen Resources Inc. ........................ 268,525
178,000 Forest Oil Corp. ................................ 2,725,625
23,100 Frontier Oil Corp. .............................. 164,588
182,500 Grey Wolf Inc. .................................. 1,003,750
70,100 Helmerich & Payne, Inc.*(a)...................... 2,589,316
9,200 Houston Exploration Co. ......................... 238,050
18,100 HS Resources, Inc. .............................. 573,544
654,900 Key Energy Services, Inc. ....................... 6,794,586
19,500 Louis Dreyfus Natural Gas Corp. ................. 677,625
131,400 Marine Drilling Co. Inc. ........................ 3,572,438
12,500 Meridian Resource Corp. ......................... 78,906
20,800 Mitchell Energy & Development Corp., Class A
Shares ......................................... 832,000
43,100 Nabors Industries Inc.+.......................... 2,049,944
7,800 Newfield Exploration Co. ........................ 337,350
166,600 Patterson Energy, Inc. .......................... 5,227,075
3,100 Penn Virginia Corp.*............................. 84,669
12,700 Pennaco Energy, Inc. ............................ 200,025
17,213 Plains Resources Inc. ........................... 305,531
73,200 Pogo Producing Co.*.............................. 1,967,250
192,000 Precision Drilling Corp. ........................ 6,528,000
45,000 Pride International Inc. ........................ 1,108,125
6,100 Prima Energy Corp. .............................. 273,738
33,200 Pure Resources, Inc. ............................ 641,175
104,300 R&B Falcon Corp. ................................ 2,972,550
7,000 Spinnaker Exploration Co. ....................... 254,625
15,000 St. Mary Land & Exploration Co.*................. 620,625
16,900 Stone Energy Corp. .............................. 1,010,831
33,700 Swift Energy Co. ................................ 975,194
16,400 Unit Corp. ...................................... 256,250
188,800 UTI Energy Corp. ................................ 7,032,800
110,360 Vintage Petroleum, Inc.*......................... 2,317,560
12,700 WD-40 Co.*....................................... 246,063
--------------
60,746,288
--------------
Oil & Gas Services -- 1.6%
12,500 CAL Dive International, Inc. .................... 718,750
5,500 Carbo Ceramics Inc.*............................. 199,719
40,500 Cooper Cameron Corp. ............................ 3,151,406
9,200 Drill-Quip Inc. ................................. 418,025
2,300 Gulf Island Fabrication, Inc. ................... 42,550
92,700 Hanover Compressor Co.+.......................... 2,943,225
24,500 Lone Star Technologies, Inc. .................... 1,231,125
180,500 National Oilwell Inc.+........................... 6,261,094
67,440 Newpark Resources Inc. .......................... 691,260
2,700 Oceaneering International, Inc. ................. 47,081
81,600 SEACOR SMIT Inc. ................................ 3,717,900
193,100 Superior Energy Services, Inc. .................. 2,124,100
3,600 Universal Compression Holdings, Inc. ............ 118,350
</TABLE>
See Notes to Financial Statements.
66
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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<C> <S> <C>
--------------------------------------------------------------------------------
Oil & Gas Services -- 1.6% (continued)
136,000 Varco International, Inc. ........................ $ 2,745,500
49,767 Veritas DGC Inc. ................................. 1,328,157
--------------
25,738,242
--------------
Packaging & Containers -- 0.1%
2,900 AEP Industries Inc.+.............................. 85,731
10,900 Earthshell Corp.+................................. 21,800
26,900 Gaylord Container Corp. .......................... 73,975
14,800 Ivex Packaging Corp. ............................. 162,800
3,300 Liqui-Box Corp.*.................................. 141,075
29,600 Packaging Corp. of America........................ 345,950
5,800 U.S. Can Corp. ................................... 110,925
--------------
942,256
--------------
Pharmaceuticals -- 8.7%
27,300 Abgenix, Inc. .................................... 2,052,192
27,800 Accredo Health, Inc. ............................. 1,204,088
278,200 Advance Paradigm Inc.+............................ 7,407,075
107,400 Alkermes Inc.+.................................... 4,967,250
49,100 Alliance Pharmaceutical Corp. .................... 748,775
84,400 Alpharma Inc.*+................................... 4,779,150
133,855 Amerisource Health Corp., Class A Shares.......... 4,651,461
50,300 Amylin Pharmaceuticals, Inc. ..................... 682,194
92,800 Anesta Corp.+..................................... 2,209,800
213,000 Aradigm Corp. .................................... 3,807,375
44,037 Barr Laboratories Inc. ........................... 3,126,627
86,334 Bindley Western Industries Inc.*.................. 2,487,498
17,400 BioMarin Pharmaceutical Inc. ..................... 293,625
45,200 Biomatrix Inc. ................................... 960,500
11,100 Biopure Corp.+.................................... 177,600
4,000 Bone Care International, Inc. .................... 91,250
4,700 Carter-Wallace Inc.*.............................. 125,138
21,500 Cell Pathways Inc.+............................... 718,906
130,800 Cell Therapeutics, Inc. .......................... 6,082,200
80,100 Cephalon Inc.+.................................... 4,030,031
9,800 ChiRex Inc. ...................................... 305,025
28,400 Connetics Corp. .................................. 505,875
20,200 Corixa Corp. ..................................... 1,033,988
17,000 Coulter Pharmaceutical Inc.+...................... 532,313
168,600 Cubist Pharmaceuticals, Inc. ..................... 10,305,675
16,000 CV Therapeutics, Inc. ............................ 1,200,000
15,000 Cygnus Inc. ...................................... 182,813
132,500 Dura Pharmaceuticals Inc. ........................ 3,652,031
3,400 Duramed Pharmaceuticals, Inc. .................... 22,950
14,100 Dusa Pharmaceuticals, Inc. ....................... 413,306
14,900 Emisphere Technologies, Inc. ..................... 491,700
14,000 Endo Pharmaceuticals Holdings, Inc. .............. 71,750
232,600 First Horizon Pharmaceutical Corp. ............... 4,244,950
16,700 Geltex Pharmaceuticals Inc. ...................... 676,611
13,300 Genta Inc. ....................................... 118,038
49,300 Gilead Sciences Inc.+............................. 5,324,400
4,900 Guilford Pharmaceuticals, Inc. ................... 131,075
10,200 Hyseq, Inc. ...................................... 427,763
</TABLE>
See Notes to Financial Statements.
67
<PAGE>
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(continued)
Small Capitalization Growth Investments
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<TABLE>
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<C> <S> <C>
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Pharmaceuticals -- 8.7% (continued)
63,900 ILEX Oncology, Inc. .............................. $ 2,108,700
23,100 The Immune Response Corp. ........................ 207,900
34,500 ImmunoGen, Inc.+.................................. 582,188
30,400 Isis Pharmaceuticals Inc. ........................ 397,100
107,660 Jones Pharma Inc.*................................ 3,848,845
7,300 Kos Pharmaceuticals, Inc. ........................ 102,200
12,900 K-V Phamaceuticals Co., Class B Shares............ 520,838
48,200 Ligand Pharmaceuticals, Inc. ..................... 626,600
2,200 Mannatech, Inc. .................................. 6,050
22,800 Matrix Pharmaceutical, Inc. ...................... 333,450
166,800 Medicines Co.+.................................... 4,170,000
179,150 Medicis Pharmaceutical Corp., Class A Shares...... 11,543,972
17,200 MGI Pharma, Inc. ................................. 596,625
14,500 Miravant Medical Technologies+.................... 363,406
35,300 Nabi.............................................. 286,813
50,100 Nature's Sunshine Products, Inc.*................. 394,538
60,000 NBTY, Inc. ....................................... 423,750
11,100 NCS Healthcare, Inc.+............................. 3,469
20,500 NEO RX Corp. ..................................... 389,500
21,100 Neurocrine Biosciences, Inc. ..................... 873,013
14,900 Neurogen Corp. ................................... 568,994
19,800 Noven Pharmaceuticals, Inc. ...................... 831,600
20,200 NPS Pharmaceuticals, Inc. ........................ 893,850
22,900 Omnicare, Inc.*................................... 313,444
24,400 OSI Pharmaceuticals, Inc. ........................ 1,219,619
77,700 Pathogenesis Corp. ............................... 2,972,025
47,400 Patterson Dental Co.+............................. 1,125,750
21,200 Pharmacopeia, Inc. ............................... 889,075
103,600 Pharmacyclics Inc.+............................... 5,192,950
11,750 Priority Healthcare Corp., Class B Shares......... 678,563
15,400 Sangstat Medical Corp. ........................... 311,850
31,700 Sciclone Pharmaceuticals, Inc. ................... 374,456
44,100 Sicor, Inc., ..................................... 427,219
6,100 Star Scientific, Inc. ............................ 24,400
32,000 SuperGen, Inc. ................................... 630,000
64,400 Syncor International Corp. ....................... 2,576,000
52,700 Tanox, Inc. ...................................... 2,450,550
19,200 Theragenics Corp. ................................ 136,800
58,200 Titan Pharmaceuticals, Inc. ...................... 2,731,763
2,900 Triangle Pharmaceuticals, Inc. ................... 26,100
16,300 Trimeris, Inc. ................................... 1,124,700
11,400 Tularik Inc.+..................................... 380,475
19,000 United Therapeutics Corp.+........................ 1,640,828
30,300 Valentis, Inc. ................................... 312,469
4,700 VaxGen, Inc. ..................................... 116,325
5,000 Veterinary Centers of America .................... 72,500
33,500 VIVUS, Inc. ...................................... 173,781
1,772 Watson Pharmaceuticals, Inc.+..................... 109,301
--------------
136,327,342
--------------
Real Estate -- 0.1%
71,600 Catellus Development Corp. ....................... 1,279,850
5,108 Forest City Enterprises Inc., Class A Shares*..... 178,780
</TABLE>
See Notes to Financial Statements.
68
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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<C> <S> <C>
--------------------------------------------------------------------------------
Real Estate -- 0.1% (continued)
6,736 Getty Realty Corp.*............................... $ 79,148
3,900 Jones Lang Lasalle Inc. .......................... 56,794
--------------
1,594,572
--------------
Real Estate Investment Trusts -- 0.6%
3,800 Alexander's Inc. ................................. 306,850
800 Alexandria Real Estate Investment Co.*............ 28,000
98,500 Bedford Property Investors, Inc.*................. 1,914,594
21,200 Charles E. Smith Residential Realty, Inc.*........ 871,850
3,000 Chateau Communities Inc. ......................... 78,000
800 Chelsea GCA Realty, Inc.*......................... 26,850
23,500 Cousins Properties Inc.*.......................... 966,438
7,200 Federal Realty Investors Trust*................... 144,000
4,500 Health Care Property Investors, Inc.*............. 118,406
48,200 Home Properties of New York, Inc.*................ 1,430,938
108,500 Mack-Cali Realty Corp.*(a)........................ 2,841,342
12,400 Manufactured Home Communities, Inc. .............. 292,950
16,100 Mills Corp.*...................................... 291,813
1,900 Saul Centers, Inc.*............................... 30,044
16,700 Town & Country Trust*............................. 295,381
48,100 Ventas, Inc. ..................................... 237,494
10,700 Washington Real Estate Investment Trust .......... 205,306
--------------
10,080,256
--------------
Retail -- 4.6%
3,260 7-Eleven, Inc. ................................... 43,603
12,224 99 Cents Only Stores ............................. 549,316
92,200 Abercrombie & Fitch Co., Class A Shares........... 2,137,888
115,500 American Eagle Outfitters, Inc. .................. 3,443,344
62,100 Ann Taylor Stores Corp.+.......................... 2,235,600
19,800 Applebee's International Inc. .................... 449,213
8,000 Avado Brands, Inc.*+.............................. 11,750
10,400 Barnes & Noble, Inc. ............................. 180,050
3,200 Bebe Stores Inc.+................................. 50,200
12,600 Bombay Co. ....................................... 33,863
10,200 Borders Group, Inc. .............................. 135,788
6,000 Buca, Inc. ....................................... 67,875
2,100 Burlington Coat Factory Wholesale Corp.*.......... 25,594
6,246 Caseys General Stores Inc. ....................... 71,048
135,000 CBRL Group, Inc. ................................. 1,628,438
103,462 CEC Entertainment Inc.+........................... 2,987,465
3,300 Cheap Tickets Inc. ............................... 35,063
27,675 The Cheesecake Factory, Inc. ..................... 998,030
51,400 Chico's FAS Inc.+................................. 2,004,600
171,800 The Children's Place Retail Stores, Inc.+......... 5,068,100
7,300 CKE Restaurants, Inc.*............................ 29,200
29,100 Claire's Stores, Inc.*+........................... 572,906
3,000 Coldwater Creek Inc. ............................. 96,000
36,940 Copart Inc. ...................................... 625,671
43,400 Cost Plus Inc. ................................... 1,459,325
16,000 CSK Auto Corp. ................................... 87,000
3,300 Dave & Buster's Inc. ............................. 26,400
3,700 DEB Shops Inc.*................................... 42,203
5,300 dELiA*s Inc. ..................................... 13,250
</TABLE>
See Notes to Financial Statements.
69
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Small Capitalization Growth Investments
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Retail -- 4.6% (continued)
1 Dollar Tree Stores Inc. ........................... $ 20
129,000 Duane Reade Inc.+.................................. 2,854,125
3,700 Electronics Boutique Holdings Corp. ............... 83,250
12,500 Factory 2-U Stores, Inc. .......................... 432,031
2,300 Footstar Inc. ..................................... 68,425
91,700 Genesco Inc. ...................................... 1,484,394
5,400 Group 1 Automotive Inc. ........................... 59,400
85,300 Guitar Center, Inc. ............................... 1,279,500
4,700 Gymboree Corp. .................................... 23,206
1,705,700 Hanover Direct Inc. ............................... 1,066,063
15,600 Hollywood Entertainment Corp. ..................... 109,200
39,500 Hot Topic, Inc. ................................... 1,118,344
4,200 IdeaMall, Inc. .................................... 16,538
52,050 Insight Enterprises Inc. .......................... 2,615,510
27,050 Intertan Inc. ..................................... 375,319
37,500 Jack in the Box Inc. .............................. 827,344
80,500 Kenneth Cole Productions, Inc. .................... 3,547,031
11,700 Lands' End Inc. ................................... 285,919
59,500 Linens 'n Things, Inc. ............................ 1,606,500
2,700 Lithia Motors, Inc., Class A Shares................ 33,075
21,418 The Men's Wearhouse, Inc. ......................... 653,249
51,700 Michaels Stores Inc.+.............................. 1,809,500
4,200 Musicland Stores Corp. ............................ 29,925
2,480 NPC International, Inc. ........................... 24,490
4,800 O'Charley's Inc. .................................. 61,200
12,004 O'Reilly Automotive, Inc. ......................... 183,061
115,200 Outback Steakhouse, Inc. .......................... 2,642,400
6,800 P.F. Changs China Bistro, Inc. .................... 203,575
29,700 Pacific Sunware of California...................... 395,381
18,725 Papa John's International Inc. .................... 423,653
19,000 PC Connection Inc. ................................ 1,230,250
51,900 PETsMART, Inc. .................................... 240,038
73,400 Pier 1 Imports Inc.*............................... 862,450
8,200 Rare Hospitality International Inc. ............... 230,625
14,190 Regis Corp.*....................................... 224,379
8,600 Restoration Hardware Inc. ......................... 49,450
51,400 Ruby Tuesday Inc.*................................. 642,500
7,900 School Specialty, Inc. ............................ 142,694
4,800 Shoe Carnival, Inc. ............................... 33,300
6,700 Sonic Automotive, Inc. ............................ 70,769
18,130 Sonic Corp. ....................................... 591,491
3,700 Stein Mart Inc. ................................... 43,475
38,054 Sunglass Hut International Inc. ................... 275,892
32,200 Too Inc. .......................................... 792,925
2,600 Tractor Supply Co. ................................ 33,800
5,800 Trans World Entertainment Corp. ................... 56,188
4,500 Tuesday Morning Corp. ............................. 49,500
203,800 Tweeter Home Entertainment Group................... 7,324,060
8,800 Ultimate Electronics, Inc. ........................ 308,550
3,100 Urban Outfitters Inc. ............................. 26,544
471,900 Venator Group, Inc. ............................... 6,606,600
1,700 West Marine, Inc. ................................. 15,300
3,700 Wet Seal Inc., Class A Shares...................... 51,800
</TABLE>
See Notes to Financial Statements.
70
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Small Capitalization Growth Investments
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Retail -- 4.6% (continued)
42,850 Whitehall Jewelers, Inc. ......................... $ 385,650
77,900 Zale Corp. ....................................... 2,877,431
--------------
72,586,072
--------------
Savings & Loans -- 0.3%
93,200 Bank United Corp., Class A Shares*................ 4,194,000
2,000 First Federal Capital Corp.*...................... 23,125
2,800 First Financial Holdings Inc.*.................... 40,775
500 Flagstar Bancorp Inc.*............................ 5,875
3,000 Hudson River Bancorp. Inc.*....................... 39,000
2,800 Northwest Bancorp Inc.*........................... 23,800
3,800 Queens County Bancorp Inc.*....................... 100,225
3,400 Roslyn Bancorp Inc.*.............................. 67,362
2,300 Seacoast Financial Services Corp.*................ 23,288
4,800 United Community Financial*....................... 30,300
--------------
4,547,750
--------------
Semiconductors -- 7.6%
30,300 Actel Corp........................................ 1,333,200
84,800 Alliance Semiconductor Corp. ..................... 2,231,300
47,600 Anadigics, Inc.................................... 1,713,600
11,000 Applied Micro Circuits Corp. ..................... 2,232,313
60,200 ASM International N.V.+........................... 1,512,525
41,100 Asyst Technologies, Inc........................... 1,076,306
44,300 ATMI, Inc. ....................................... 1,187,102
17,200 AXT, Inc. ........................................ 664,350
4,600 Caliper Technologies Corp. ....................... 285,775
50,600 Cirrus Logic, Inc.+............................... 1,530,650
53,800 Cohu, Inc......................................... 1,102,900
126,200 Credence Systems Corp............................. 7,390,588
8,900 Dallas Semiconductor Corp.*....................... 368,238
54,300 DuPont Photomasks Inc............................. 4,120,013
19,400 Elantec Semiconductor, Inc........................ 1,716,900
56,100 Electroglas Inc................................... 1,258,744
19,500 eMagin Corp.+..................................... 188,955
12,200 EMCORE Corp....................................... 1,360,300
83,900 Entegris Inc...................................... 933,387
60,700 ESS Technology, Inc............................... 1,050,869
25,900 Exar Corp.+....................................... 3,124,187
45,800 Fairchild Semiconductor Corp. .................... 1,820,550
16,800 FSI International, Inc............................ 298,200
56,200 GaSonics International Corp. ..................... 1,348,800
78,700 General Semiconductor Inc.+....................... 1,146,069
53,200 Helix Technology Corp.*........................... 2,014,950
7,300 HI/FN, Inc........................................ 463,550
8,700 Ibis Technology Corp.+............................ 378,450
11,900 Integrated Circuit Systems, Inc................... 327,250
65,300 Integrated Device Technology, Inc.+............... 5,730,075
36,100 Integrated Silicon Solution, Inc.................. 1,060,438
23,200 International Rectifier Corp. .................... 1,460,150
3,800 IXYS Corp.+....................................... 152,950
125,600 Kulicke and Soffa Industries, Inc.+............... 2,284,350
184,000 LTX Corp. ........................................ 4,703,500
52,200 Mattson Technology, Inc........................... 1,141,875
</TABLE>
See Notes to Financial Statements.
71
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(continued)
Small Capitalization Growth Investments
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<TABLE>
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Semiconductors -- 7.6% (continued)
15,400 MEMC Electronic Materials, Inc. ................. $ 277,200
9,700 Microsemi Corp. ................................. 409,825
38,300 MIPS Technology Inc.+............................ 2,192,675
24,400 MKS Instruments, Inc. ........................... 857,050
3,700 NETsilicon, Inc. ................................ 95,737
59,000 Oak Technology, Inc.+............................ 1,718,375
10,900 Pericom Semiconductor Corp....................... 806,600
151,200 Photronics, Inc. ................................ 4,432,050
4,600 Pixelworks, Inc. ................................ 124,775
14,500 PLX Technology, Inc.............................. 454,031
1,502 PMC-Sierra, Inc.+................................ 354,354
28,300 Power Integrations, Inc. ........................ 481,100
88,900 PRI Automation, Inc.............................. 4,589,463
77,927 Qlogic Corp...................................... 8,844,713
22,500 QuickLogic Corp.................................. 511,875
91,100 Rudolph Technologies, Inc. ...................... 3,644,000
71,100 Semitool, Inc. .................................. 893,194
15,340 Semtech Corp.+................................... 1,816,831
33,000 Silicon Image, Inc. ............................. 1,212,750
3,800 Silicon Valley Group Inc. ....................... 105,925
3,363 Siliconix Inc. .................................. 187,908
23,000 SIPEX Corp. ..................................... 990,437
11,716 SpeedFam-IPEC, Inc. ............................. 218,210
8,000 Supertex, Inc. .................................. 370,750
17,000 TelCom Semiconductor, Inc. ...................... 296,438
9,200 Therma-Wave Inc. ................................ 249,550
31,700 Three-Five Systems, Inc. ........................ 1,054,025
110,000 Tri Quint Semiconductor, Inc. ................... 6,084,375
12,900 Ultratech Stepper, Inc. ......................... 232,200
141,800 Varian Semiconductor Equipment Associates,
Inc. ........................................... 8,100,325
23,500 Veeco Instruments Inc. .......................... 2,106,187
12,300 White Electronic Designs Corp. .................. 196,800
145,900 Xicor, Inc. ..................................... 1,741,681
34,700 Zoran corp.+..................................... 2,144,894
--------------
118,509,662
--------------
Shipbuilding -- 0.0%
12,700 Newport News Shipbuilding Inc.*.................. 539,750
--------------
Software -- 11.7%
26,600 The 3DO Co. ..................................... 244,387
22,500 Accrue Software Inc. ............................ 479,531
58,600 Actuate Software Corp. .......................... 1,519,937
9,800 Advantage Learning Systems, Inc.+................ 287,875
31,900 Advent Software Inc. ............................ 1,965,837
135,400 Allaire Corp. ................................... 4,595,137
18,900 Allscripts, Inc. ................................ 551,644
3,900 AppliedTheory Corp. ............................. 31,444
35,400 AppNet, Inc.+.................................... 1,750,087
10,300 AremisSoft Corp. ................................ 280,675
41,900 Aspen Technology, Inc. .......................... 1,924,781
212,500 Avistar Communications Corp.+.................... 2,483,594
106,400 AVT Corp. ....................................... 631,750
42,100 BARRA Inc. ...................................... 2,426,012
22,600 Be Free, Inc. ................................... 137,013
38,100 Bindview Development Corp. ...................... 373,856
</TABLE>
See Notes to Financial Statements.
72
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(continued)
Small Capitalization Growth Investments
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<TABLE>
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Software -- 11.7% (continued)
3,100 Blaze Software, Inc. .............................. $ 58,513
13,600 Bluestone Software, Inc. .......................... 317,900
6,900 Bottomline Technologies, Inc. ..................... 218,644
6,400 Braun Consulting, Inc. ............................ 104,000
10,700 Brio Technology Inc. .............................. 98,975
49,100 Broadbase Software, Inc.+.......................... 1,028,031
9,400 BSQUARE Corp. ..................................... 159,800
4,600 Caminus Corp. ..................................... 77,625
4,300 C-bridge Internet Solutions, Inc. ................. 72,563
24,100 CCC Information Services Group, Inc. .............. 236,104
3,400 Centillium Communications, Inc. ................... 253,300
95,300 Cerner Corp. ...................................... 3,627,356
5,000 Chordiant Software, Inc. .......................... 60,313
30,600 Clarent Corp.+..................................... 1,461,150
14,700 Clarus Corp. ...................................... 889,350
17,200 Concord Communications Inc. ....................... 412,800
47,000 Cyber-Care, Inc.+.................................. 279,062
3,400 CyberCash Inc.+.................................... 18,488
14,200 CyberSource Corp. ................................. 175,725
4,700 Cysive, Inc. ...................................... 39,069
10,200 Daleen Technologies, Inc. ......................... 153,000
11,000 Data Return Corp. ................................. 219,141
13,700 Datastream Systems, Inc. .......................... 125,013
8,300 Deltek Systems, Inc. .............................. 61,731
71,550 Dendrite International Inc. ....................... 1,900,547
6,300 Digital Impact, Inc. .............................. 60,047
98,000 Digital Island Inc.+............................... 2,909,375
17,100 Digital River, Inc. ............................... 117,562
25,600 Documentum, Inc. .................................. 1,832,000
8,100 DSET Corp. ........................................ 219,206
23,200 DSL.Net, Inc.+..................................... 142,100
33,000 Eclipsys Corp. .................................... 474,375
5,600 eFax.com+.......................................... 2,275
24,500 eGain Communications Corp.+........................ 320,031
108,800 Embarcadero Technologies, Inc. .................... 4,569,600
29,900 e-Med Technologies Corp.+.......................... 115,862
3,400 Engineering Animation, Inc. ....................... 37,400
4,600 ePlus inc. ........................................ 89,987
4,100 Eprise Corp. ...................................... 63,806
3,900 eShare Communications, Inc. ....................... 15,600
8,600 Espeed, Inc., Class A Shares....................... 264,450
11,400 Excalibur Technologies Corp. ...................... 541,500
26,500 eXcelon Corp. ..................................... 213,656
26,400 Exchange Applications, Inc. ....................... 648,450
79,800 EXE Technologies, Inc. ............................ 1,431,412
3,500 Extensity, Inc. ................................... 78,750
25,900 F5 Networks, Inc.+................................. 1,515,150
26,800 Fair, Issac & Co., Inc.*........................... 1,231,125
109,918 Filenet Corp. ..................................... 2,115,922
3,500 FirePond, Inc. .................................... 73,062
9,100 Geoworks Corp. .................................... 104,081
17,800 Globix Corp. ...................................... 477,262
11,400 Great Plains Software Inc. ........................ 309,938
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
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(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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Software -- 11.7% (continued)
5,600 HearMe Inc. ....................................... $ 48,650
28,200 HNC Software, Inc. ................................ 1,534,256
34,035 Hyperion Solutions Corp. .......................... 1,076,357
11,400 Ibasis, Inc. ...................................... 236,550
10,400 IDX Systems Corp................................... 176,800
19,150 IMRglobal Corp. ................................... 227,406
4,440 Infogrames, Inc. .................................. 33,023
68,100 Informatica Corp.+................................. 6,810,000
19,000 Information Architects Corp.+...................... 121,125
15,100 InfoUSA Inc., Class B Shares....................... 93,431
10,700 Inprise Corp. ..................................... 62,528
12,900 Inspire Insurance Solutions, Inc. ................. 32,250
42,200 InteliData Technologies Corp. ..................... 292,763
3,900 Interact Commerce Corp. ........................... 40,463
4,400 Interactive Intelligence, Inc. .................... 194,975
7,700 The InterCept Group, Inc. ......................... 179,025
49,700 Interliant Inc. ................................... 658,525
19,000 Inter-Tel Inc.*.................................... 290,937
95,900 Intertrust Technologies Corp.+..................... 1,540,394
19,200 InterWorld Corp. .................................. 386,400
52,200 Interwoven, Inc. .................................. 5,011,200
93,100 IntraNet Solutions, Inc. .......................... 4,218,594
15,100 Intraware, Inc.+................................... 158,550
4,900 ITXC Corp. ........................................ 98,000
108,800 J.D. Edwards & Co. ................................ 2,699,600
73,450 JDA Software Group, Inc. .......................... 950,259
16,700 Keynote Systems, Inc. ............................. 505,175
90,900 Legato Systems, Inc. .............................. 1,102,162
5,300 Level 8 Systems, Inc. ............................. 106,000
67,100 Liquid Audio, Inc. ................................ 467,603
23,500 Manugistics Group Inc.+............................ 2,062,125
6,500 MAPICS, Inc. ...................................... 39,000
9,500 MapInfo Corp. ..................................... 394,250
15,000 Marimba, Inc. ..................................... 253,125
90,100 MatrixOne, Inc. ................................... 3,108,450
12,300 Mediaplex, Inc. ................................... 156,056
12,800 Mediconsult.com, Inc.+............................. 10,800
25,800 Mercator Software, Inc. ........................... 403,125
22,800 MetaCreations Corp. ............................... 190,950
10,000 Metasolv Software, Inc. ........................... 408,750
34,800 Micromuse Inc. .................................... 5,285,250
27,400 MicroStrategy Inc.+................................ 763,775
8,994 Midway Games Inc. ................................. 77,573
5,100 National Data Corp.*............................... 149,813
15,500 National Information Consortium, Inc. ............. 147,250
51,900 National Instruments Corp. ........................ 2,241,431
13,900 NeoMagic Corp. .................................... 49,953
4,500 NEON Systems, Inc. ................................ 75,656
11,100 Net Perceptions Inc. .............................. 157,481
7,200 Net2Phone, Inc. ................................... 212,850
24,000 Netcentives Inc.+.................................. 231,000
77,700 NetIQ Corp. ....................................... 4,390,050
46,200 NetManage, Inc. ................................... 131,381
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
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(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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Software -- 11.7% (continued)
6,000 NetObjects Inc. ................................... $ 21,750
162,100 Netopia, Inc. ..................................... 5,936,913
3,300 NetSol International, Inc.+........................ 85,800
144,400 New Era of Networks Inc.+.......................... 5,063,025
7,400 Niku Corp.+........................................ 200,263
11,800 Novadigm, Inc. .................................... 127,587
5,900 Numerical Technologies, Inc.+...................... 230,837
19,100 Objective Systems Integrators, Inc. ............... 256,656
4,500 Omega Research Inc. ............................... 13,500
20,600 Onyx Software Corp. ............................... 467,363
37,600 Open Market Inc. .................................. 317,250
6,657 OpenTV Corp. ...................................... 369,463
4,400 OTG Software, Inc. ................................ 98,450
17,200 Packeteer, Inc.+................................... 827,750
164,700 PC-Tel, Inc. ...................................... 4,611,600
6,900 Pegasus Systems Inc. .............................. 30,188
121,800 Peregrine Systems Inc. ............................ 3,889,987
30,564 Per-Se Technologies, Inc. ......................... 364,858
10,300 Persistence Software, Inc. ........................ 175,100
67,900 Phoenix Technologies Ltd. ......................... 1,171,275
42,700 Pinnacle Systems, Inc. ............................ 539,087
69,100 Precise Software Solutions Ltd. ................... 1,865,700
12,400 Primus Knowledge Solutions, Inc. .................. 292,175
2,600 Private Business Inc. ............................. 4,388
14,450 ProBusiness Services Inc. ......................... 317,900
45,400 Procurenet.com..................................... --
104,008 Progress Software Corp. ........................... 1,423,609
14,500 Project Software & Development, Inc. .............. 261,000
154,200 Puma Technology, Inc.+............................. 3,748,988
10,200 Quadramed Corp. ................................... 17,213
15,700 Quintus Corp. ..................................... 205,081
10,400 Ramp Networks, Inc. ............................... 53,300
11,700 Razorfish Inc. .................................... 147,712
59,200 RealNetworks, Inc.+................................ 2,882,300
3,300 Register.com, Inc. ................................ 46,200
59,900 Remedy Corp. ...................................... 1,400,163
15,300 Retek Inc.+........................................ 526,894
96,700 Rhythms NetConnections Inc.+....................... 870,300
3,700 Saba Software, Inc.+............................... 105,913
28,600 SAGA Systems, Inc. ................................ 361,075
16,900 Sagent Technology, Inc. ........................... 179,562
152,000 Sanchez Computer Associates, Inc.+................. 3,249,000
9,600 Santa Cruz Operation, Inc. ........................ 44,400
7,000 Schawk, Inc. ...................................... 66,062
17,600 SeaChange International, Inc. ..................... 528,000
3,200 Selectica, Inc.+................................... 152,600
4,300 Sequoia Software Corp. ............................ 48,375
66,400 Serena Software, Inc. ............................. 2,921,600
217,000 ServiceWare Technologies, Inc.+.................... 1,803,813
42,100 Silverstream Software, Inc. ....................... 1,462,975
240,900 SmartForce PLC ADR................................. 12,526,800
3,400 Software Technologies Corp. ....................... 66,300
17,100 Software.com+...................................... 2,489,119
</TABLE>
See Notes to Financial Statements.
75
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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Software -- 11.7% (continued)
8,200 Sonic Foundry, Inc.+............................. $ 76,363
8,700 SPSS Inc. ....................................... 242,512
4,500 SS&C Technologies, Inc. ......................... 28,687
45,400 StarBase Corp. .................................. 306,450
31,400 Sunquest Information Systems, Inc. .............. 412,125
14,200 SVI Holdings, Inc. .............................. 72,775
55,800 Sybase, Inc. .................................... 1,531,013
10,200 Take-Two Interactive Software, Inc. ............. 141,366
12,900 Tenfold Corp. ................................... 87,075
6,250 THQ Inc. ........................................ 133,594
23,200 Transaction Systems Architects, Inc., Class A
Shares.......................................... 426,300
9,000 Tumbleweed Communications Corp.+................. 563,625
16,900 U.S. Interactive, Inc. .......................... 132,031
4,200 Ulticom, Inc. ................................... 248,850
14,800 Unify Corp. ..................................... 58,275
5,500 Unigraphics Solutions, Inc. ..................... 113,094
9,800 Universal Access, Inc............................ 154,963
13,800 VeriSign Inc.+................................... 2,744,475
42,800 Verity, Inc. .................................... 1,958,100
2,800 Versata, Inc.+................................... 69,825
6,800 Viador Inc. ..................................... 62,900
59,600 Viant Corp. ..................................... 826,950
87,300 Vignette Corp. .................................. 3,328,312
11,500 WatchGuard Technologies, Inc. ................... 564,937
64,900 Websense, Inc. .................................. 1,216,875
13,600 WebTrends Corp. ................................. 512,338
7,600 XPedior Inc. .................................... 81,700
17,300 Zixit Corp.+..................................... 843,375
--------------
183,804,943
--------------
Storage/Warehousing -- 0.0%
9,600 Mobile Mini, Inc. ............................... 179,400
--------------
Telecommunications -- 10.9%
38,060 Adaptive Broadband Corp. ........................ 1,189,375
27,080 Adelphia Business Solutions, Inc. ............... 404,507
12,300 ADTRAN Inc. ..................................... 658,819
27,500 Advanced Radio Telecom Corp. .................... 281,875
8,200 AirGate PCS, Inc................................. 558,112
4,200 Airnet Communications Corp. ..................... 139,387
131,000 Alamosa PCS Holdings, Inc. ...................... 3,258,625
91,500 Allegiance Telecom, Inc. ........................ 4,557,844
42,300 American TeleSource International, Inc........... 126,900
165,400 Anaren Microwave Inc. ........................... 19,527,537
28,600 Andrew Corp. .................................... 847,275
1,900 Anixter International Inc. ...................... 66,500
41,400 Arch Communications Group, Inc. ................. 214,763
1,300 Arguss Communications, Inc. ..................... 25,837
25,500 Aspect Telecommunications Corp. ................. 575,344
20,800 AT&T Latin America Corp., Class A Shares......... 291,200
17,300 Aware Inc. ...................................... 775,256
28,100 Black Box Corp. ................................. 1,671,950
210,000 Cabletron Systems, Inc.+......................... 7,861,875
36,500 Caprock Communications Corp.+.................... 216,719
</TABLE>
See Notes to Financial Statements.
76
<PAGE>
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(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
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<C> <S> <C>
------------------------------------------------------------------------------
Telecommunications -- 10.9% (continued)
47,500 Carrier Access Corp.+............................ $ 2,274,062
26,600 C-COR.net Corp. ................................. 518,700
97,500 Celeritek, Inc. ................................. 4,375,312
6,300 Cenntennial Communications Corp. ................ 101,981
13,700 CFW Communications Co.*.......................... 465,800
6,100 Choice One Communications Inc. .................. 97,600
28,800 Cobalt Networks, Inc.+........................... 1,429,200
22,800 Com21 Inc. ...................................... 379,050
7,200 Commonwealth Telephone Enterprises, Inc. ........ 278,100
38,300 Commscope Inc. .................................. 955,106
24,000 Computer Network Technology Corp. ............... 480,000
13,000 Convergent Communications, Inc. ................. 51,594
18,400 Corsair Communications, Inc. .................... 202,400
6,300 Crossroads Systems, Inc.+........................ 70,875
17,300 CT Communications, Inc.*......................... 419,525
139,900 CTC Communications Group......................... 3,445,038
9,400 Davox Corp. ..................................... 118,675
8,000 Deltathree.com, Inc., Class A Shares............. 51,000
49,200 Dobson Communications Corp. ..................... 1,060,875
42,000 e.spire Communications Inc. ..................... 170,625
31,500 eGlobe, Inc.+.................................... 65,953
9,400 Electric Lightwave Inc., Class A Shares.......... 122,200
38,800 Extreme Networks, Inc. .......................... 3,610,825
6,300 FiberNet Telecom Group, Inc.+.................... 107,100
5,000 Glenayre Technologies, Inc. ..................... 54,375
4,736 Global Crossing Ltd.+............................ 142,376
242,000 GoAmerica, Inc.+................................. 2,646,875
3,800 Golden Telecom, Inc. ............................ 116,850
3,500 Hickory Tech Corp.*.............................. 70,000
46,500 ICG Communications, Inc. ........................ 277,547
23,500 IDT Corp. ....................................... 934,125
20,500 Illuminet Holdings, Inc. ........................ 814,875
9,100 IMPSAT Fiber Networks Inc. ...................... 141,050
21,700 Information Resource Engineering, Inc. .......... 797,475
123,200 Integrated Telecom Express, Inc.+................ 3,873,100
55,200 Intelect Communications, Inc.+................... 105,225
55,100 InterDigital Communications Corp. ............... 984,912
38,800 Intermedia Communications Inc.+.................. 805,100
27,300 International Fibercom, Inc. .................... 644,963
15,300 Intrusion.com, Inc. ............................. 227,587
73,900 ITC DeltaCom, Inc. .............................. 1,043,837
6,300 JNI Corp. ....................................... 422,888
194,800 Lantronix, Inc.+................................. 1,984,525
13,300 Latitude Communications Inc. .................... 119,284
10,100 LCC International, Inc., Class A Shares.......... 221,569
26,400 Leap Wireless International, Inc. ............... 2,095,500
289,100 Liberty Satellite & Technology, Inc., Class A
Shares.......................................... 3,541,475
34,900 Lightbridge, Inc. ............................... 610,750
12,400 LightPath Technologies, Inc., Class A Shares..... 654,100
28,350 MasTec, Inc. .................................... 1,020,600
78,300 MCK Communications, Inc. ........................ 2,251,125
3,900 Metawave Communications Corp. ................... 80,438
15,300 Metricom, Inc.+.................................. 622,519
</TABLE>
See Notes to Financial Statements.
77
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Telecommunications -- 10.9% (continued)
60,000 Metrocall, Inc. .................................. $ 251,250
188,300 Metromedia Fiber Network Inc., Class A Shares+.... 7,520,231
30,400 MMC Networks, Inc. ............................... 3,703,100
25,834 Motient Corp. .................................... 313,237
47,100 Mpower Communications Corp. ...................... 868,406
49,900 MRV Communications, Inc.+......................... 3,845,419
47,600 Natural MicroSystems Corp. ....................... 3,549,175
7,800 Net2000 Communications, Inc. ..................... 68,250
34,200 NETRIX Corp. ..................................... 247,950
35,200 Netro Corp.+...................................... 2,908,400
17,100 Network Access Solutions Corp. ................... 135,731
95,900 Network Engines, Inc. ............................ 3,752,087
12,500 Network Peripherals Inc. ......................... 179,687
7,300 Network Plus Corp.+............................... 83,494
6,600 North Pittsburgh Systems Inc. .................... 93,225
4,900 NorthEast Optic Network, Inc. .................... 217,744
900 Nucentrix Broadband Networks, Inc. ............... 23,513
1,900 Optical Cable Corp.+.............................. 74,813
3,400 Osicom Technologies, Inc. ........................ 200,600
13,300 Pac-West Telecom, Inc. ........................... 187,862
91,000 Paradyne Networks, Inc.+.......................... 1,950,812
78,800 P-Com, Inc. ...................................... 492,500
48,900 Plantronics, Inc. ................................ 2,441,944
9,200 Powertel, Inc.+................................... 717,600
94,070 Price Communications Corp. ....................... 1,928,435
28,080 Primus Telecommunications Group, Inc. ............ 447,525
25,800 Proxim, Inc. ..................................... 1,549,613
65,400 RCN Corp. ........................................ 1,585,950
64,600 RF Micro Devices, Inc.+........................... 2,882,775
10,000 Rural Cellular Corp., Class A Shares.............. 760,000
10,400 Savvis Communications Corp. ...................... 91,650
115,800 SBA Communications Corp. ......................... 5,167,575
30,800 Somera Communications, Inc. ...................... 410,025
8,600 SpectraLink Corp. ................................ 111,800
2,300 Stanford Microdevices, Inc. ...................... 111,263
74,000 Stratos Lightwave, Inc.+.......................... 3,478,000
16,650 SymmetriCom, Inc. ................................ 258,075
61,775 TALK.com, Inc. ................................... 444,008
20,900 Tekelec+.......................................... 825,550
3,600 Telaxis Communications Corp. ..................... 54,450
13,200 Teligent, Inc., Class A Shares ................... 225,225
14,400 Telxon Corp.*..................................... 284,400
54,700 Terayon Communication Systems, Inc.+.............. 3,035,850
17,100 Tollgrade Communications, Inc. ................... 1,901,306
17,800 Tricord Systems, Inc. ............................ 249,200
123,800 Tut Systems, Inc.+................................ 12,457,375
13,300 U.S. Wireless Corp.+.............................. 172,900
36,300 US LEC Corp., Class A Shares ..................... 381,150
8,100 ViaSat, Inc. ..................................... 484,988
40,548 Viatel, Inc. ..................................... 555,001
26,700 Visual Networks, Inc. ............................ 215,269
6,300 Vyyo Inc. ........................................ 217,350
37,200 WebLink Wireless, Inc., Class A Shares ........... 368,512
</TABLE>
See Notes to Financial Statements.
78
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Telecommunications -- 10.9% (continued)
28,600 Westell Technologies Inc.+....................... $ 457,600
21,600 WJ Communications, Inc.+......................... 1,273,050
35,900 World Access, Inc.+.............................. 325,344
27,200 Xircom, Inc. .................................... 839,800
243,100 Z-Tel Technologies, Inc.+........................ 1,975,189
--------------
170,759,574
--------------
Textiles -- 0.0%
1,700 G&K Services Inc., Class A Shares*............... 49,300
3,100 Mohawk Industries, Inc. ......................... 73,625
27,400 WestPoint Stevens Inc.*+......................... 385,312
--------------
508,237
--------------
Tobacco -- 0.0%
--------------
4,305 Vector Group Ltd.+............................... 86,369
--------------
Toys/Games/Hobbies -- 0.1%
57,900 Boyds Collection, Ltd. .......................... 513,863
12,300 Jakks Pacific, Inc. ............................. 218,325
4,200 Marvel Enterprises, Inc.+........................ 19,950
12,000 Racing Champions Corp. .......................... 17,625
123,300 The Topps Co., Inc. ............................. 970,987
--------------
1,740,750
--------------
Transportation -- 0.4%
14,850 Atlas Air, Inc. ................................. 642,263
3,500 Covenant Transport, Inc. ........................ 36,750
33,150 EGL, Inc.+....................................... 1,191,328
40,750 Forward Air Corp. ............................... 1,869,407
9,600 Fritz Companies, Inc. ........................... 142,200
1,985 Heartland Express, Inc. ......................... 34,737
9,700 Kirby Corp. ..................................... 228,556
7,400 Knight Transportation Inc. ...................... 125,800
9,100 Landstar Systems, Inc. .......................... 464,100
10,000 Swift Transportation Co., Inc. .................. 170,625
23,500 US Freightways Corp.*............................ 732,906
--------------
5,638,672
--------------
Venture Capital -- 0.0%
15,000 Acacia Research Corp. ........................... 411,562
--------------
Water -- 0.0%
4,800 E'Town Corp. .................................... 322,500
3,000 Philadelphia Suburban Corp.*..................... 70,312
800 SJW Corp.*....................................... 95,600
--------------
488,412
--------------
TOTAL COMMON STOCK
(Cost -- $1,264,528,482)......................... 1,519,296,317
--------------
WARRANTS -- 0.0%
63,100 Endo Pharmaceuticals Holdings Inc., Expire
12/31/02 (Cost -- $364,849)..................... 149,863
--------------
</TABLE>
See Notes to Financial Statements.
79
<PAGE>
Schedules of Investments
(continued)
Small Capitalization Growth Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Face
Amount Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 0.1%
U.S. Treasury Bills:
$ 800,000 5.200% due 9/14/00 (a).......................... $ 798,353
400,000 5.765% due 9/14/00 (a).......................... 399,183
--------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost -- $1,197,536)............................. 1,197,536
--------------
SUB-TOTAL INVESTMENTS (Cost -- $1,266,090,867)... 1,520,643,716
--------------
REPURCHASE AGREEMENT -- 3.1%
48,880,000 J.P. Morgan Securities, 6.600% due 9/1/00;
Proceeds at maturity -- $48,888,961; (Fully
collateralized by U.S. Treasury Notes & Bonds,
4.250% to 13.375% due 3/31/01 to 8/15/26; Market
value -- $49,110,347)
(Cost -- $48,880,000)........................... 48,880,000
--------------
TOTAL INVESTMENTS -- 100%
(Cost -- $1,314,970,867**)....................... $1,569,523,716
==============
</TABLE>
------
* Income producing security.
+ All or a portion of this security is on loan (See Note 11).
(a) All or a portion of this security is segregated for futures contracts com-
mitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
80
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
STOCK -- 95.8%
Australia -- 1.2%
28,743 Amcor Ltd. ........................................ $ 91,592
31,201 AMP Diversified Property Trust .................... 42,185
51,430 AMP Ltd. (a)....................................... 529,545
4,327 Aristocrat Leisure Ltd. ........................... 15,651
16,177 Australian Gas Light Co. Ltd. ..................... 98,144
31,343 Boral Ltd. ........................................ 38,556
11,472 Brambles Industries Ltd. .......................... 326,177
7,200 British American Tobacco Co. PLC .................. 50,338
361,833 Broken Hill Proprietary Co. Ltd. .................. 3,965,382
44,873 Coca-Cola Amatil Ltd. ............................. 102,155
57,140 Coles Myer Ltd. (b)................................ 238,372
62,419 Commonwealth Bank of Australia .................... 998,408
27,858 Computershare Ltd. ................................ 131,990
6,000 CSL Ltd. .......................................... 123,165
47,165 CSR Ltd. .......................................... 119,909
26,048 David Jones Ltd. .................................. 20,469
13,300 Delta Gold NL...................................... 10,451
9,532 ERG Ltd. .......................................... 56,431
6,457 F.H. Faulding & Co. Ltd. .......................... 34,324
79,424 Foster's Brewing Group Ltd. ....................... 188,154
40,361 Futuris Corp. Ltd. ................................ 38,013
85,991 General Property Trust............................. 130,176
80,040 Goodman Fielder Ltd. .............................. 57,162
8,959 Howard Smith Ltd. ................................. 40,894
10,786 Iluka Resources Ltd. .............................. 27,857
19,500 James Hardie Industries Ltd. ...................... 41,305
12,411 Leighton Holdings Ltd. ............................ 46,038
22,947 Lend Lease Corp. Ltd. ............................. 271,156
103,404 M.I.M. Holdings Ltd. .............................. 68,111
25,517 Mayne Nickless Ltd. ............................... 58,680
24,442 Mirvac Group....................................... 51,406
79,094 National Australia Bank Ltd. ...................... 1,160,795
10,578 Newcrest Mining Ltd. .............................. 24,796
99,566 News Corp Ltd. .................................... 1,301,601
103,888 News Corp Ltd. Preferred Shares.................... 1,128,500
81,393 Normandy Mining Ltd. .............................. 47,970
38,253 North Ltd. ........................................ 104,987
16,500 Orica Ltd. ........................................ 59,395
44,902 Pacific Dunlop Ltd. ............................... 40,473
13,554 PaperlinX Ltd. .................................... 28,193
24,154 QBE Insurance Group Ltd. .......................... 120,720
13,476 Rio Tinto Ltd. .................................... 208,155
23,800 Santos Ltd. ....................................... 80,447
8,735 Sons of Gwalia Ltd. ............................... 26,497
30,869 Southcorp Ltd. .................................... 81,475
26,772 Stockland Trust Group.............................. 57,854
12,705 Suncorp-Metway Ltd. ............................... 65,188
12,667 TABCORP Holdings Ltd. ............................. 72,089
352,771 Telstra Corp Ltd. ................................. 1,286,176
21,157 Transurban Group................................... 41,673
13,017 Wesfarmers Ltd. (c)................................ 106,313
82,791 Westfield Trust.................................... 152,121
</TABLE>
See Notes to Financial Statements.
81
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Australia -- 1.2% (continued)
81,240 Westpac Banking Corp Ltd. (c).................... $ 593,751
446,707 WMC Ltd. ........................................ 2,105,901
146,822 Woodside Petroleum Ltd. ......................... 1,213,125
59,614 Woolworths Ltd. ................................. 235,948
--------------
18,356,339
--------------
Austria -- 0.1%
1,603 Austria Tabakwerke AG............................ 61,641
2,800 Austrian Airlines/Oesterreichische Luftverkehrs
AG.............................................. 32,488
7,778 Bank Austria AG (c).............................. 417,001
300 Bau Holding Strabag AG........................... 9,202
1,000 Boehler-Uddeholm AG.............................. 31,928
2,128 BWT AG........................................... 71,518
1,800 Flughafen Wien AG................................ 61,791
606 Generali Holding Vienna AG....................... 97,522
200 Lenzing AG....................................... 12,501
1,000 Mayr-Melnhof Karton AG........................... 45,344
680 Oesterreichische Brau-Beteiligungs AG............ 30,229
2,421 Oesterreichische Elektrizitaetswirtschafts AG,
Class A Shares.................................. 226,014
2,240 OMV AG........................................... 166,318
1,573 RHI AG........................................... 33,426
1,200 VA Technologie AG................................ 58,393
5,600 Wienerberger Baustoffindustrie AG................ 119,495
--------------
1,474,811
--------------
Belgium -- 0.2%
900 Barco NV......................................... 113,467
1,333 Bekaert NV....................................... 60,444
250 Cimenteries CBR Cementbedrijven -- STRIP VVPR*... 2
2,487 Colruyt NV....................................... 97,624
600 Compagnie Maritime Belge S.A. ................... 36,009
25 Copeba........................................... 1,623
450 D'Ieteren S.A. .................................. 110,066
3,004 Delhaize Le Lion S.A. ........................... 167,997
2,790 Electrabel S.A. ................................. 596,583
34,376 Fortis AG........................................ 1,045,587
550 Fortis AG -- STRIP VVPR*......................... --
450 Glaverbel S.A. .................................. 32,408
1,128 Groupe Bruxelles Lambert S.A. (c)................ 293,350
13,614 KBC Banassurance Holding NV (c).................. 623,368
175 Royal Belge -- STRIP VVPR*....................... 3
1,100 Societe Generale, Warrants*...................... 10
3,980 Solvay S.A. ..................................... 259,381
750 Tractebel -- STRIP VVPR*......................... 7
6,631 UCB S.A. ........................................ 252,805
1,700 Union Miniere S.A. .............................. 60,217
--------------
3,750,951
--------------
Brazil -- 0.4%
284,653 Embratel Participacoes S.A. ADR.................. 6,226,784
--------------
Canada -- 2.0%
140,470 Canadian National Railway Co. ................... 4,135,085
328,705 Nortel Networks Corp. ........................... 26,881,280
--------------
31,016,365
--------------
</TABLE>
See Notes to Financial Statements.
82
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
China -- 0.6%
4,102,000 China Unicom Ltd.*(c)............................. $ 9,519,598
--------------
Denmark -- 0.2%
465 Bang & Olufsen Holdings A/S, Class B Shares....... 17,410
960 Carlsberg A/S, Class A Shares..................... 34,684
1,195 Carlsberg A/S, Class B Shares..................... 39,897
37 D/S 1912, Class B Shares.......................... 441,185
25 D/S Svendborg, Class B Shares..................... 415,847
2,000 Danisco A/S....................................... 65,343
1,805 Den Danske Bank Group (c)......................... 225,988
1,590 FLS Industries A/S, Class B Shares................ 24,078
700 Group 4 Falck A/S................................. 109,760
1,325 ISS A/S........................................... 90,055
900 Navision Software A/S*............................ 31,551
260 NKT Holding A/S................................... 65,105
2,235 Novo Nordisk A/S, Class B Shares.................. 454,382
1,710 Ostasiatiske Kompagni A/S*........................ 34,459
825 Radiometer A/S, Class B Shares.................... 23,413
1,650 SAS Danmark A/S................................... 13,497
7,430 Tele Danmark A/S.................................. 447,404
1,200 Topdanmark A/S*................................... 22,608
3,500 Vestas Wind Systems A/S........................... 155,667
2,500 William Demant A/S................................ 114,768
--------------
2,827,101
--------------
Finland -- 1.2%
1,900 Amer Group Ltd. .................................. 43,330
1,387 Finnlines Oyj..................................... 25,897
4,306 Hartwall Oyj AB................................... 76,569
1,960 Instrumentarium Corp. ............................ 46,964
10,900 Kemira Oyj........................................ 58,050
6,500 Kesko Oyj, Class B Shares......................... 59,525
1,200 Kone Corp., Class B Shares........................ 78,099
1,100 Metra Oyj, Class A Shares......................... 19,951
3,600 Metra Oyj, Class B Shares......................... 67,216
10,076 Metso Group Oyj................................... 121,834
346,240 Nokia Oyj AB...................................... 15,537,560
8,000 Outokumpu Oyj..................................... 79,664
1,700 Pohjola Group Insurance Corp., Class B Shares..... 64,313
17,189 Raisio Group PLC.................................. 27,815
12,271 Rautaruukki Oyj................................... 50,187
4,100 Sampo Insurance Co. Ltd., Class A Shares.......... 166,773
34,742 Sonera Oyj........................................ 1,161,434
1,800 Stockmann AB, Class A Shares...................... 27,207
2,300 Stockmann AB, Class B Shares...................... 30,674
3,829 Tietoenator Oyj................................... 124,770
12,160 UPM-Kymmene Oyj................................... 307,587
3,090 Uponor Oyj........................................ 54,452
--------------
18,229,871
--------------
France -- 14.7%
33,721 Accor S.A. ....................................... 1,454,099
6,324 Air Liquide S.A. ................................. 806,842
338,451 Alcatel........................................... 27,699,461
449,045 Aventis S.A. ..................................... 33,736,397
</TABLE>
See Notes to Financial Statements.
83
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
------------------------------------------------------------------------------
France -- 14.7% (continued)
46,439 Axa.............................................. $ 6,618,630
76,877 BNP Paribas S.A. ................................ 7,074,400
68,427 Bouygues S.A. (c)................................ 4,304,331
6,259 Canal Plus....................................... 1,023,383
4,826 Cap Gemini S.A. (c)+............................. 1,008,340
129,810 Carrefour Supermarche S.A. ...................... 9,475,519
42,108 Casino Guichard-Perrachon S.A. (c)............... 2,676,840
4,300 Casino Guichard-Perrachon S.A. Preferred Shares
(c)............................................. 430,103
650 Chargeurs S.A. .................................. 35,542
71,632 Christian Dior S.A. (a).......................... 3,935,929
817 Club Mediterranee S.A. (c)....................... 106,708
876 Coflexip S.A. ................................... 106,703
4,716 Compagnie de Saint-Gobain (c).................... 628,112
8,341 Compagnie Generale des Etablissements Michelin,
Class B Shares (c).............................. 244,728
13,835 Compagnie Generale d'Industrie et de
Participations.................................. 656,859
1,250 CPR S.A. ........................................ 48,623
97,859 Credit Lyonnais S.A. (c)......................... 3,958,803
24,717 Dassault Systemes S.A. (c)....................... 2,127,271
57,200 Equant NV ....................................... 2,217,350
1,483 Eridania Beghin-Say S.A. ........................ 131,854
654 Essilor International S.A. ...................... 181,420
3,067,113 Eurotunnel S.A.*(c).............................. 2,754,247
49,210 France Telecom S.A. ............................. 5,622,225
600 Gecina........................................... 55,160
7,129 Groupe Danone.................................... 974,847
1,369 Groupe GTM....................................... 162,981
926 Imerys S.A. (c).................................. 107,030
5,446 Lafarge S.A. .................................... 403,827
47,365 Lagardere S.A. (c)............................... 3,379,514
34,950 L'Oreal S.A. .................................... 2,529,434
23,975 LVMH............................................. 1,863,038
5,300 Pechiney S.A. ................................... 242,680
3,600 Pernod-Ricard S.A. .............................. 189,165
28,139 Pinault-Printemps-Redoute S.A. (c)............... 5,326,428
2,573 PSA Peugeot Citroen.............................. 475,605
450 Publicis S.A. ................................... 176,442
199,354 Rhodia S.A. (c).................................. 2,864,297
1,882 Sagem S.A. ...................................... 519,108
35,537 Sanofi S.A. ..................................... 1,734,622
38,102 Schneider Electric S.A. ......................... 2,811,756
1,350 SEB S.A. ........................................ 75,258
2,500 Sidel S.A. (c)................................... 170,485
1,684 Simco S.A. ...................................... 114,465
69,911 Societe BIC S.A. ................................ 3,297,483
245 Societe Eurafrance S.A. ......................... 126,600
22,481 Societe Generale, Class A Shares................. 1,333,193
1,728 Sodex Alliance S.A. ............................. 271,015
149,790 STMicroelectronics NV (c)........................ 9,189,325
124,062 Suez Lyonnaise des Eaux S.A. (d)................. 18,409,705
851 Technip S.A. .................................... 110,543
9,067 Thomson CSF...................................... 375,665
198,179 Total Fina S.A., Class B Shares.................. 29,443,243
10,170 Total Fina S.A. -- STRIP VVPR*................... 90
</TABLE>
See Notes to Financial Statements.
84
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
France -- 14.7% (continued)
1,000 Unibail S.A. ..................................... $ 152,036
11,950 Usinor S.A. ...................................... 128,029
158,329 Valeo S.A. ....................................... 8,502,549
191,067 Vivendin S.A. (c)................................. 15,628,786
512 Zodiac S.A. ...................................... 110,163
--------------
230,319,286
--------------
Germany -- 8.4%
3,100 Adidas-Salomon AG................................. 164,546
2,450 AGIV AG........................................... 24,005
50,237 Allianz AG Registered Shares (c).................. 16,928,350
24,700 BASF AG........................................... 937,727
133,505 Bayer AG (a)...................................... 5,602,621
92,340 Bayerische Hypo -- Und Vereinsbank AG............. 5,418,580
218,406 Bayerische Motoren Werke AG....................... 6,994,553
3,300 Beiersdorf AG..................................... 312,475
2,700 Bilfinger & Berger Bau AG......................... 33,584
400 Brau Und Brunnen AG*.............................. 13,194
4,300 Buderus AG........................................ 68,587
50,272 Commerzbank AG.................................... 1,622,499
7,800 Continental AG.................................... 142,167
72,875 DaimlerChrysler AG................................ 3,774,189
23,086 Deutsche Bank AG.................................. 1,980,741
14,950 Deutsche Lufthansa AG............................. 330,973
134,412 Deutsche Telekom AG (c)........................... 5,126,808
5,200 Deutz AG*......................................... 19,187
2,500 Douglas Holding AG................................ 81,353
294,315 Dresdner Bank AG (c).............................. 13,214,645
2,168 Dyckerhoff AG..................................... 42,599
347,334 E.On AG (c)....................................... 17,077,485
6,400 EM.TV & Merchandising AG (c)...................... 307,843
19,104 Ergo Versicherungs Gruppe AG...................... 2,389,847
50 Escada AG......................................... 5,223
50 Escada AG Preferred Shares........................ 4,401
4,080 FAG Kugelfischer Georg Schaefer AG................ 27,134
4,300 Fresenius Medical Care AG......................... 368,933
4,100 Gehe AG (c)....................................... 146,906
2,678 Heidelberg Zement AG.............................. 147,623
2,800 Hochtief AG....................................... 67,963
1,000 Holsten-Brauerei AG............................... 18,227
250 Holsten-Brauerei AG-New*.......................... 4,223
2,000 IWKA AG........................................... 24,539
3,000 Kamps AG.......................................... 63,482
5,500 KarstadtQuelle AG................................. 163,817
4,800 Linde AG.......................................... 203,782
5,600 MAN AG............................................ 157,336
3,300 MAN AG Vorzugsaktien.............................. 67,189
7,450 Merck KGaA........................................ 249,055
67,797 Metro AG (c)...................................... 2,549,779
1,600 Metro AG Preferred Shares......................... 42,961
179,319 MG Technologies AG................................ 2,168,288
22,355 Muenchener Rueckversicherungs-Gesellschaft AG..... 6,121,771
8,868 Preussag AG....................................... 295,671
</TABLE>
See Notes to Financial Statements.
85
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Germany -- 8.4% (continued)
1,950 Rheinmetall AG................................... $ 21,325
826 Rheinmetall AG Preferred Shares.................. 7,234
18,776 RWE AG........................................... 701,974
5,500 RWE AG Preferred Shares (c)...................... 164,795
6,250 SAP AG........................................... 1,220,293
81,950 SAP AG Preferred Shares (c)...................... 20,583,496
7,750 Schering AG...................................... 417,567
1,550 SGL Carbon AG.................................... 107,217
70,537 Siemens AG....................................... 11,194,557
24,500 ThyssenKrupp AG.................................. 372,054
11,560 Volkswagen AG.................................... 498,484
5,250 Volkswagen AG Preferred Shares (c)............... 134,899
8,600 WCM Beteiligungs -- Und Grundbesitz AG........... 216,007
--------------
131,146,763
--------------
Hong Kong -- 2.4%
79,208 Bank of East Asia, Ltd. (c)...................... 184,835
208 Cable & Wireless HKT, Ltd........................ 4,940
149,000 Cathay Pacific Airways........................... 289,430
1,739,500 China Mobile Ltd.*............................... 13,381,970
7,760 Chinese Estates Holdings Warrants, Expire
11/24/00*....................................... 231
108,000 CLP Holdings Ltd. (b)............................ 484,659
65,000 Elec & Eltek International Holdings Ltd. ........ 9,001
58,000 Esprit Holdings Ltd. ............................ 45,363
88,000 Giordano International Ltd. ..................... 48,235
71,000 Hang Lung Development Co. Ltd. .................. 66,000
93,100 Hang Seng Bank Ltd. ............................. 999,721
72,000 Henderson Land Development Co. Ltd. ............. 399,728
228,472 Hong Kong & China Gas Co. Ltd. .................. 284,151
53,500 Hong Kong & Shanghai Hotels Ltd. ................ 33,612
34,000 Hong Kong Construction Holdings Ltd. ............ 7,019
63,400 Hopewell Holdings Ltd. .......................... 29,671
806,600 Hutchison Whampoa Ltd. .......................... 11,376,149
48,271 Hysan Development Co. Ltd. ...................... 67,771
170,400 Johnson Electric Holdings Ltd.*.................. 357,217
1,141,000 Legend Holdings Ltd. ............................ 1,214,250
167,000 Li & Fung Ltd. .................................. 728,014
900 Melco International Development Ltd.*............ 159
111,745 New World Development Co. Ltd. (c)............... 182,676
158,400 Oriental Press Group Ltd.*....................... 21,528
762,191 Pacific Century Cyberworks Ltd.*(c).............. 1,417,020
52,000 Peregrine Investment Holdings Ltd.*.............. --
74,286 Shangri-La Asia Ltd. ............................ 75,245
181,171 Sino Land Co. Ltd. .............................. 96,982
102,000 South China Morning Post Holdings Ltd. .......... 76,507
564,000 Sun Hung Kai Properties Ltd. (c)................. 5,369,328
70,000 Swire Pacific Ltd., Class A Shares............... 480,171
41,000 Tai Cheung Holdings Ltd. ........................ 6,519
23,000 Television Broadcasts Ltd. ...................... 130,050
14,000 Varitronix International Ltd. ................... 29,169
123,607 Wharf Holdings Ltd. ............................. 293,989
--------------
38,191,310
--------------
</TABLE>
See Notes to Financial Statements.
86
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(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Ireland -- 0.1%
52,567 Allied Irish Banks PLC............................ $ 435,126
23,632 CRH PLC........................................... 396,062
4,618 DCC PLC........................................... 44,343
132,145 Eircom PLC........................................ 278,452
17,038 Fyffes PLC........................................ 14,694
13,464 Greencore Group PLC............................... 35,314
50,295 Independent Newspapers PLC........................ 174,398
1,549 Irish Continental Group PLC....................... 9,434
17,089 Irish Life & Permanent PLC........................ 147,381
70,714 Jefferson Smurfit Group PLC....................... 137,061
3,623 Jurys Hotel Group PLC............................. 25,770
10,700 Kerry Group PLC, Class A Shares................... 143,177
21,828 Ryanair Holdings PLC*............................. 161,081
16,763 Tullow Oil PLC*................................... 14,606
51,020 Waterford Foods PLC, Class A Shares............... 58,517
--------------
2,075,416
--------------
Italy -- 6.1%
74,000 Alitalia S.p.A. (c)............................... 137,180
133,300 Alleanza Assicurazioni (c)........................ 1,647,391
13,500 Arnoldo Mondadori Editore S.p.A. ................. 183,644
211,228 Assicurazioni Generali S.p.A. .................... 6,516,774
268,000 Banca di Roma S.p.A. ............................. 331,208
1,233,879 Banca Intesa S.p.A. (c)........................... 5,287,755
41,666 Banca Intesa S.p.A. di Risp NC++.................. 101,689
2,944,924 Banca Nazionale del Lavoro........................ 10,944,655
15,500 Banca Popolare di Milano.......................... 108,871
99,200 Benetton Group S.p.A. (c)......................... 185,218
13,500 Bulgari S.p.A. ................................... 151,836
18,000 Cementir S.p.A. .................................. 27,527
30,000 Cogefar Impregilo S.p.A. ......................... 18,378
3,000 Danieli & Co. .................................... 14,145
3,000 Danieli & Co. S.p.A. di Risp NC++................. 7,218
335,000 Enel S.p.A. ...................................... 1,325,429
2,059,205 ENI S.p.A. ....................................... 11,973,719
5,159 Fiat S.p.A. (c)................................... 78,023
4,198 Fiat S.p.A. di Risp NC++.......................... 55,614
16,820 Fiat S.p.A. Preferred Shares...................... 416,937
13,000 Finanziaria Autogrill (c)......................... 145,404
913,000 Holding di Partecipazion.......................... 1,371,046
12,480 Italcementi S.p.A. (c)............................ 116,397
7,280 Italcementi S.p.A. di Risp NC++................... 28,350
39,000 Italgas S.p.A. ................................... 179,616
18,600 La Rinascente S.p.A. ............................. 110,965
3,000 La Rinascente S.p.A. di Risp NC++................. 11,862
2,000 La Rinascente S.p.A. Preferred Shares............. 8,678
4,000 Marzotto S.p.A. .................................. 34,711
1,367,936 Mediaset S.p.A. (c)............................... 24,421,999
1,600 Medibanco S.p.A. Warrants, Expire 12/31/00*....... 2,689
521,700 Mediobanca S.p.A. ................................ 5,626,436
219,368 Olivetti S.p.A. .................................. 690,444
70,000 Parmalat Finanziera S.p.A. ....................... 95,534
83,000 Pirelli S.p.A. ................................... 222,124
</TABLE>
See Notes to Financial Statements.
87
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(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Italy -- 6.1% (continued)
7,000 Pirelli S.p.A. di Risp NC++....................... $ 16,007
274,810 Riunione Adriatica di Sicurta S.p.A. ............. 3,227,655
3,375 Sai S.p.A. ....................................... 58,574
2,000 Sai S.p.A. di Risp NC++........................... 15,773
282,635 San Paolo-IMI S.p.A. ............................. 5,025,828
17,000 Sirti S.p.A. (c).................................. 24,818
60,000 Snia S.p.A. ...................................... 66,789
1,237,985 Telecom Italia Mobile S.p.A. (c).................. 10,731,779
71,500 Telecom Italia Mobile S.p.A. di Risp NC++......... 359,429
167,440 Telecom Italia S.p.A. (c)......................... 2,066,339
40,201 Telecom Italia S.p.A. di Risp NC++................ 238,404
213,000 Uncredito Italiano S.p.A. ........................ 1,104,078
--------------
95,514,939
--------------
Japan -- 22.4%
6,700 Acom Co. Ltd. .................................... 571,108
16,100 Advantest Corp. .................................. 3,283,712
28,000 Ajinomoto Co. Inc. ............................... 303,526
6,000 Alps Electric Co. Ltd. (c)........................ 126,594
16,000 Amada Co. Ltd. ................................... 137,284
8,000 Amano Corp. ...................................... 82,896
2,900 Aoyamma Trading Co. Ltd. ......................... 38,507
117,000 Asahi Bank Ltd. .................................. 460,803
2,700 ASATSU-DK Inc. ................................... 101,022
29,000 Ashi Breweries Ltd. .............................. 265,144
62,000 Ashi Chemical Industry Co. Ltd. .................. 387,791
56,000 Ashi Glass Co. Ltd. .............................. 523,556
28,000 Ashikaga Bank Ltd. ............................... 52,776
2,900 Autobacs Seven Co. Ltd. .......................... 83,487
37,000 Bank of Fukuoka Ltd. (c).......................... 235,587
219,600 Bank of Tokyo Mitsubishi Ltd. .................... 2,689,400
47,000 Bank of Yokohama Ltd. ............................ 206,705
6,000 Benesse Corp. .................................... 357,277
33,000 Bridgestone Corp. ................................ 427,044
42,000 Canon, Inc. ...................................... 1,878,657
15,000 Casio Computer Co. Ltd. .......................... 174,700
94 Central Japan Railway Co. (c)..................... 544,749
231,000 Chugai Pharmaceutical Co. Ltd. ................... 4,115,716
16,000 Chuo Mitsui Trust & Banking Co., Ltd. ............ 61,515
16,000 Citizen Watch Co. Ltd. ........................... 174,644
46,000 Cosmo Oil Co. Ltd. ............................... 92,742
8,700 Credit Saison Co. Ltd. ........................... 210,076
1,400 CSK Corp. ........................................ 37,809
33,000 Dai Nippon Printing Co. Ltd. ..................... 519,571
28,000 Daicel Chemical Industries Ltd. .................. 79,032
45,000 Daiei Inc. (c).................................... 129,126
9,000 Daifuku Co. Ltd. ................................. 97,224
14,000 Daiichi Pharmaceutical Co. Ltd. .................. 330,833
13,000 Daikin Industries Ltd. ........................... 261,487
15,000 Daikyo Inc.*(c)................................... 31,367
24,000 Daimaru Inc. (c).................................. 70,218
34,000 Dainippon Ink & Chemical Inc. .................... 119,561
14,000 Dainippon Screen Manufacturing Co. Ltd. (c)....... 116,448
</TABLE>
See Notes to Financial Statements.
88
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(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Japan -- 22.4% (continued)
6,100 Daito Trust Construction Co. Ltd. ................ $ 102,391
70,000 Daiwa Bank Ltd. .................................. 175,919
28,000 Daiwa House Industry Co. Ltd. .................... 183,796
12,000 Daiwa Kosho Lease Co. Ltd. ....................... 36,122
279,000 Daiwa Securities Co. Ltd. ........................ 3,479,651
177 DDI Corp. ........................................ 1,394,224
35,000 Denki Kagaku Kogyo K.K. (c)....................... 141,129
938 East Japan Railway Co. ........................... 5,101,650
15,000 Ebara Corp. (c)................................... 219,430
14,800 Eisai Co. Ltd. ................................... 446,887
11,400 Fanuc Ltd. ....................................... 1,240,060
2,447,000 Fuji Bank Ltd. (a)(c)............................. 18,609,499
3,000 Fuji Machine Manufacturing Co. Ltd. .............. 139,816
22,000 Fuji Photo Film Co. .............................. 788,072
2,000 Fuji Soft ABC Inc. ............................... 153,226
21 Fuji Television Network, Inc. .................... 293,417
18,000 Fujikura Ltd. (c)................................. 155,289
33,000 Fujisawa Pharmaceutical Co. ...................... 1,123,312
573,000 Fujita Corp. (c).................................. 16,603,245
31,000 Furukawa Electric Co. Ltd. ....................... 997,093
28,000 Gunma Bank Ltd. .................................. 144,411
19,000 Gunze Ltd. ....................................... 60,399
17,000 Hankyu Department Stores, Inc. ................... 89,272
34,000 Haseko Corp.*(c).................................. 11,797
1,900 Hirose Electric Co. Ltd. ......................... 275,450
162,000 Hitachi Ltd. ..................................... 1,918,661
90,000 Hitachi Zosen Corp. .............................. 79,332
33,000 Hokuriku Bank Ltd. ............................... 72,721
47,000 Honda Motor Co. Ltd. ............................. 1,718,867
5,000 House Foods Corp. ................................ 68,923
5,000 Hoya Corp. ....................................... 478,245
11,000 Inax Corp. ....................................... 59,518
135,200 Industrial Bank of Japan, Ltd. ................... 1,025,664
10,000 Isetan Co. Ltd. .................................. 90,116
35,000 Ishihara Sangyo Kaisha Ltd.*...................... 64,000
78,000 Ishikawajima-Harima Heavy Industries Co. Ltd. .... 114,104
20,000 Ito Yokado Co. Ltd. .............................. 993,999
69,000 Itochu Corp. ..................................... 304,107
78,000 Japan Airlines Co. Ltd. .......................... 280,139
98,000 Japan Energy Corp. ............................... 105,683
41,000 Japan Steel Works Ltd.*........................... 45,752
89 Japan Tobacco Inc. ............................... 682,689
20,000 JGC Corp. (c)..................................... 95,649
42,600 Joyo Bank Ltd. ................................... 153,798
12,000 Jusco Co. Ltd. ................................... 225,619
1,000 Kadokawa Shoten Publishing Co. Ltd. .............. 89,741
48,000 Kajima Corp. (c).................................. 142,686
10,000 Kaken Pharmaceutical Co. Ltd. (c)................. 63,297
21,000 Kamigumi Co. Ltd. ................................ 99,447
200 Kandenko Co. Ltd. ................................ 1,067
41,000 Kanebo Ltd.*...................................... 120,724
17,000 Kankeka Corp. .................................... 187,472
45,000 Kansai Electric Power Co., Inc. (c)............... 738,466
</TABLE>
See Notes to Financial Statements.
89
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(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Japan -- 22.4% (continued)
349,000 Kao Corp. ........................................ $ 9,588,991
4,000 Katokichi Co. Ltd. ............................... 99,400
54,000 Kawasaki Heavy Industries Ltd. ................... 62,284
53,000 Kawasaki Kisen Kaisha Ltd. ....................... 98,406
150,000 Kawasaki Steel Corp. ............................. 189,891
21,930 Keihin Electric Express Railway Co. Ltd. (c)...... 82,258
8,600 Kikkoman Corp. ................................... 63,387
12,500 Kinden Corp. ..................................... 80,294
78,940 Kinki Nippon Railway Co. Ltd. (c)................. 347,176
49,000 Kirin Brewery Co. Ltd. ........................... 537,603
300 Kissei Pharmaceutical Co. Ltd. ................... 5,908
6,000 Kokuyo Co. Ltd. .................................. 103,582
37,000 Komatsu Ltd. ..................................... 239,057
4,000 Komori Corp. ..................................... 55,101
4,300 Konami Co. Ltd. .................................. 355,645
13,000 Konica Corp. ..................................... 103,620
14,000 Koyo Seiko Co. Ltd. .............................. 107,389
61,000 Kubota Corp. ..................................... 196,774
18,000 Kuraray Co. Ltd. ................................. 157,146
24,000 Kureha Chemical Industry Co. Ltd. ................ 67,067
6,800 Kurita Water Industries Ltd. ..................... 141,560
36,700 Kyocera Corp. .................................... 6,552,588
7,000 Kyowa Exeo Corp. (c).............................. 78,770
25,000 Kyowa Hakko Kogyo Co. Ltd. ....................... 205,364
11,000 Maeda Road Construction Co. Ltd. ................. 50,853
10,000 Makino Milling Machine Co. Ltd. (c)............... 84,865
8,000 Makita Corp. ..................................... 64,516
72,000 Marubeni Corp. ................................... 199,175
16,000 Marui Co. Ltd. ................................... 252,213
52,800 Matsushita Communication Industrial Co. Ltd. ..... 7,303,076
296,000 Matsushita Electric Industrial Co. Ltd. .......... 8,105,026
14,000 Meiji Milk Products Co. Ltd. ..................... 61,572
18,000 Meiji Seika Kaisha Ltd. .......................... 103,301
3,000 Meitec Corp. ..................................... 138,691
18,000 Minebea Co. Ltd. (c)+............................. 232,933
115,000 Mitsubishi Chemical Corp. ........................ 378,517
78,000 Mitsubishi Corp. ................................. 570,518
94,000 Mitsubishi Electric Corp. ........................ 877,063
285,000 Mitsubishi Estate Co. Ltd. ....................... 2,806,170
37,000 Mitsubishi Gas Chemical Co., Inc. ................ 112,763
168,000 Mitsubishi Heavy Industries Ltd. ................. 590,773
8,000 Mitsubishi Logistics Corp. ....................... 63,166
58,000 Mitsubishi Materials Corp. ....................... 182,202
26,000 Mitsubishi Paper Mills Ltd. ...................... 59,490
50,000 Mitsubishi Rayon Co. Ltd. ........................ 131,752
77,000 Mitsui & Co. ..................................... 517,714
71,000 Mitsui Engineering & Shipbuilding Co. Ltd.*....... 60,587
363,000 Mitsui Fudosan Co. Ltd. .......................... 3,931,592
39,000 Mitsui Marine & Fire Insurance Co. Ltd. .......... 194,195
25,000 Mitsui Mining & Smelting Co. Ltd. (c)............. 198,096
58,000 Mitsui Trust & Banking Co., Ltd. ................. 445,987
36,000 Mitsukoshi Ltd. (c)............................... 123,893
5,000 Mori Seiki Co. Ltd. .............................. 66,579
</TABLE>
See Notes to Financial Statements.
90
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Japan -- 22.4% (continued)
113,400 Murata Manufacturing Co. Ltd. ..................... $ 17,365,173
25,000 Mycal Corp. (c).................................... 72,674
2,700 Namco Ltd. (c)..................................... 75,450
450 Nankai Electric Railway Co. Ltd. .................. 1,793
274,000 NEC Corp. (c)...................................... 7,836,647
17,000 NGK Insulators Ltd. (c)............................ 233,543
11,000 NGK Spark Plug Co. Ltd. (c)........................ 198,978
350 Nichido Fire & Marine Insurance Co. Ltd. .......... 2,068
4,300 Nichiei Co. Ltd. (c)............................... 50,403
16,000 Nichirei Corp. .................................... 60,015
2,600 Nidec Corp. (c).................................... 228,695
18,000 Nikon Corp. ....................................... 551,950
26,800 Nintendo Corp. .................................... 4,634,209
6,000 Nippon Cosmsys Corp. (c)........................... 112,247
41,000 Nippon Denso Co. Ltd. ............................. 972,712
56,000 Nippon Express Co. Ltd. ........................... 314,554
40,000 Nippon Light Metal Co. Ltd. ....................... 42,011
10,000 Nippon Meat Packers Inc. .......................... 127,344
62,000 Nippon Mitsubishi Oil Corp. ....................... 352,326
38,000 Nippon Paper Industries Co. Ltd. .................. 249,794
19,000 Nippon Sheet Glass Co. Ltd. ....................... 345,293
26,000 Nippon Shinpan Co. Ltd. ........................... 55,101
18,000 Nippon Shokubai Co. Ltd. .......................... 90,979
312,000 Nippon Steel Corp. ................................ 585,146
33,000 Nippon Suisan Kaisha Ltd. ......................... 58,487
54,000 Nippon Yusen K.K. ................................. 239,010
25,000 Nishimatsu Construction Co. Ltd. (c)............... 81,114
621,000 Nissan Motor Co. Ltd. ............................. 3,121,305
11,000 Nisshin Flour Milling Co. Ltd. .................... 104,182
18,000 Nisshinbo Industries Inc. ......................... 83,721
5,000 Nissin Food Products Co. Ltd. (c).................. 130,345
8,000 Nitto Denko Corp. ................................. 324,081
17,000 NOF Corp. ......................................... 37,622
726,000 Nomura Securities Co. Ltd. ........................ 16,985,840
14,000 Noritake Co. Ltd. ................................. 62,491
29,000 NSK Ltd. .......................................... 222,721
34,000 NTN Corp. ......................................... 143,473
1,399 NTT Corp. (b)...................................... 16,661,009
852 NTT Mobile Communication Network Inc. ............. 22,530,383
31,000 Obayashi Corp. .................................... 123,837
320 Odakyu Electric Railway Co. Ltd. .................. 1,155
44,000 OJI Paper Co., Ltd. ............................... 292,538
11,000 Okuma Corp. ....................................... 47,759
22,000 Okumura Corp. ..................................... 73,237
14,000 Olympus Optical Co. Ltd. .......................... 245,499
13,000 Omron Corp. ....................................... 323,050
9,000 Onward Kashiyama Co. Ltd. ......................... 88,363
4,500 Oriental Land Co. Ltd. ............................ 414,385
3,900 Orix Corp. ........................................ 519,317
105,000 Osaka Gas Co. Ltd. ................................ 263,878
3,600 OYO Corp. ......................................... 46,587
29,000 Penta Ocean Construction Co. Ltd. ................. 37,256
8,000 Pioneer Electronic Corp. .......................... 337,584
</TABLE>
See Notes to Financial Statements.
91
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Japan -- 22.4% (continued)
5,700 Promise Co. Ltd.................................... $ 397,140
108,000 Richo Co. Ltd. (c)................................. 1,888,785
51,200 Rohm Co. Ltd. ..................................... 14,571,643
2,553,000 Sakura Bank Ltd. .................................. 19,008,646
13,000 Sanden Corp. ...................................... 79,239
205,000 Sankyo Co. Ltd. ................................... 4,748,218
3,000 Sanrio Co. Ltd..................................... 69,908
17,000 Sanwa Shutter Co................................... 51,969
355,000 Sanyo Electric Co. Ltd............................. 3,012,706
30,000 Sapporo Breweries Ltd. ............................ 100,994
11,000 Secom Co. Ltd...................................... 801,482
9,000 Sega Enterprises Ltd. (c).......................... 103,385
13,000 Seino Transportation Co. Ltd. ..................... 69,120
17,000 Seiyu Ltd.*(c)..................................... 67,114
27,000 Sekisui Chemical Co. Ltd. (c)...................... 94,439
34,000 Sekisui House Ltd. ................................ 344,974
400 Seven-Eleven Japan Co. Ltd......................... 25,694
15,000 Seventy Seventh Bank Ltd........................... 116,748
55,000 Sharp Corp. ....................................... 876,266
4,000 Shimachu Co. Ltd. ................................. 65,866
2,000 Shimamura Co. Ltd. ................................ 153,413
7,200 Shimano Inc........................................ 148,875
38,000 Shimizu Corp. ..................................... 112,247
20,000 Shin-Etsu Chemical Co. Ltd......................... 982,746
16,000 Shionogi & Co. Ltd................................. 282,071
21,000 Shiseido Co. Ltd................................... 248,125
35,000 Shizuoka Bank Ltd. ................................ 291,448
1,800 Sho-Bond Corp...................................... 22,871
50,000 Showa Denko K.K. .................................. 70,330
23,000 Showa Shell Sekiyu K.K. ........................... 113,447
4,000 Skylark Co. Ltd. .................................. 146,287
3,100 SMC Corp. ......................................... 549,419
12,000 Snow Brand Milk Products Co. Ltd. (c).............. 45,461
16,100 Softbank Corp. .................................... 2,127,241
86,200 Sony Corp. ........................................ 9,619,092
152,000 Sumitomo Bank Ltd. (c)............................. 1,881,470
70,000 Sumitomo Chemical Co. Ltd. ........................ 325,581
56,000 Sumitomo Corp. .................................... 488,372
217,000 Sumitomo Electric Industries, Ltd. (c)............. 4,008,721
7,000 Sumitomo Forestry Co. Ltd. ........................ 52,251
29,000 Sumitomo Heavy Industries Ltd...................... 71,793
32,000 Sumitomo Marine & Fire Insurance Co. Ltd. ......... 192,348
146,000 Sumitomo Metal lndustries Ltd...................... 87,622
21,000 Sumitomo Metal Mining Co........................... 115,201
29,000 Sumitomo Osaka Cement Co. Ltd. .................... 141,410
46,000 Taiheiyo Cement Corp. ............................. 74,194
44,000 Taisei Corp. (c)................................... 64,366
88,000 Taisho Pharmaceutical Co. Ltd...................... 2,665,416
6,000 Taiyo Yuden Co. Ltd. .............................. 346,024
11,000 Takara Shuzo Co. Ltd. (c).......................... 240,341
14,000 Takashimaya Co. Ltd. (c)........................... 95,836
197,000 Takeda Chemical Industries Ltd..................... 11,656,695
7,000 Takefuji Corp. .................................... 688,578
</TABLE>
See Notes to Financial Statements.
92
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Japan -- 22.4% (continued)
10,000 Takuma Co. Ltd. .................................. $ 72,393
46,000 Teijin Ltd........................................ 170,818
23,000 Teikoku Oil Co. Ltd............................... 81,742
9,000 Terumo Corp....................................... 248,968
40,000 Tobu Railway Co. Ltd. ............................ 119,280
22,000 Toda Corp......................................... 92,836
13,000 Toei Co. Ltd. .................................... 108,374
900 Toho Co. Ltd. .................................... 143,895
22,900 Tohoku Electric Power Co. Ltd. ................... 327,480
96,000 Tokai Bank Ltd.................................... 486,122
67,000 Tokio Marine & Fire Insurance Co. Ltd. ........... 680,429
3,000 Tokyo Broadcasting Systems Inc. .................. 107,464
13,000 Tokyo Dome Corp. ................................. 62,781
61,000 Tokyo Electric Power Co. ......................... 1,364,263
24,000 Tokyo Electron Ltd. .............................. 3,371,343
143,000 Tokyo Gas Co. Ltd. (c)............................ 367,423
9,000 Tokyo Style Co. Ltd. ............................. 80,261
46,000 Tokyu Corp. (c)................................... 240,266
30,000 Toppan Printing Co................................ 293,136
69,000 Toray Industries Inc.............................. 252,344
609,000 Toshiba Corp. .................................... 5,990,632
28,000 Tosoh Corp........................................ 102,401
11,000 Tostem Corp. (c).................................. 159,781
16,000 Toto Ltd. (c)..................................... 125,131
2,000 Toyo Information Systems Co. Ltd. (c)............. 120,593
9,000 Toyo Seikan Kaisha Ltd. .......................... 154,445
59,000 Toyobo Co. Ltd. .................................. 107,886
179,000 Toyota Motor Corp. ............................... 7,788,447
200 Trans Cosmos Inc. ................................ 28,338
15,000 Tsumakimoto Chain Co. ............................ 60,484
41,000 UBE Industries Ltd................................ 98,809
3,300 Uni-Charm Corp. .................................. 171,746
8,000 UNY Co. Ltd....................................... 85,296
12,000 Wacoal Corp. ..................................... 101,388
3,000 World Co. Ltd. (c)................................ 91,429
9,000 Yakult Honsha Co. Ltd. ........................... 91,148
10,000 Yamaha Corp. ..................................... 87,866
106,000 Yamaichi Securities Co. Ltd.*..................... --
274,000 Yamanouchi Pharmaceutical Co. Ltd. ............... 13,566,392
22,000 Yamato Transport Co. Ltd. (c)..................... 479,651
11,000 Yamazaki Baking Co. Ltd. ......................... 89,122
13,000 Yokogawa Electric Corp. .......................... 134,218
--------------
349,862,059
--------------
Malaysia -- 0.0%
433 Aokam Perdana Berhad*............................. 525
200 Commerce Asset Holding Berhad..................... 526
400 Hong Leong Industries Berhad...................... 1,295
8,000 Kelanamas Industries Berhad*...................... 1,516
500 Magnum Corp. Berhad............................... 314
200 Malayan United Industries Berhad*................. 31
500 Malayawata Steel Berhad........................... 188
750 Mulpha International Berhad....................... 103
</TABLE>
See Notes to Financial Statements.
93
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Malaysia -- 0.0% (continued)
200 Oriental Holdings Berhad.......................... $ 413
49,000 Promet Berhad*.................................... 3,739
532 Public Bank Berhad................................ 465
3,675 Silverstone Berhad*............................... --
200 Sungei Way Holdings Berhad*....................... 82
600 YTL Corp. Berhad.................................. 758
--------------
9,955
--------------
Mexico -- 0.3%
87,568 Telefonos de Mexico S.A. ADR...................... 4,766,983
5,461 Telefonos de Mexico S.A. ADR, Class L Series...... 297,283
--------------
5,064,266
--------------
Netherlands -- 7.4%
262,878 ABN AMRO Holding NV............................... 6,544,312
63,080 Aegon NV.......................................... 2,462,113
62,218 Akzo Nobel NV..................................... 2,755,398
96,801 ASM Lithography Holding NV*....................... 3,660,387
5,902 Buhrmann NV....................................... 167,657
35,802 Elsevier NV....................................... 433,547
45,500 Fortis Nl NV...................................... 1,402,546
18,107 Getronics NV...................................... 227,318
36,500 Gucci Group NV Registered Shares.................. 3,752,656
5,504 Hagemeyer NV...................................... 157,721
27,455 Heineken NV....................................... 1,396,269
3,070 Hollandsche Beton Groep NV........................ 31,526
2,071 IHC Caland NV..................................... 107,718
211,495 ING Groep NV...................................... 14,178,268
4,196 KLM Royal Dutch Air Lines NV...................... 105,025
359,785 Koninklijke Ahold NV (c).......................... 10,178,762
623,439 Koninklijke KPN NV (c)............................ 16,634,574
206,088 Koninklijke Philips Electronic NV................. 10,041,171
3,256 Koninklijke Vopak NV.............................. 68,899
59,970 Laurus NV......................................... 575,850
1,819 Nedlloyd NV....................................... 34,060
6,245 Oce NV............................................ 93,003
105,035 Royal Dutch Petroleum Co. ........................ 6,397,000
2,489 Stork NV.......................................... 26,998
25,048 TNT Post Group NV (c)............................. 585,930
214,631 Unilever NV....................................... 10,171,196
7,069 Vedior NV......................................... 92,705
333,854 VNU NV (c)........................................ 17,809,819
254,331 Wolters Kluwer NV................................. 5,155,679
--------------
115,248,107
--------------
New Zealand -- 0.0%
24,553 Auckland International Airport Ltd. .............. 31,120
189,665 Brierley Investments Ltd.*........................ 34,922
106,113 Carter Holt Harvey Ltd. .......................... 83,605
32,729 Contact Energy Ltd. .............................. 36,158
7,800 Fisher & Paykel Industries Ltd. (c)............... 24,883
25,233 Fletcher Challenge Building....................... 23,987
20,014 Fletcher Challenge Energy......................... 76,701
50,706 Fletcher Challenge Forests*....................... 18,238
</TABLE>
See Notes to Financial Statements.
94
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
New Zealand -- 0.0% (continued)
119,945 Telecom Corp. of New Zealand Ltd. ............... $ 334,356
18,679 The Warehouse Group Ltd. ........................ 47,510
--------------
711,480
--------------
Norway -- 0.2%
4,800 Bergesen d.y. ASA, Class A Shares................ 105,792
2,100 Bergesen d.y. ASA, Class B Shares................ 42,350
31,500 Christiania Bank Og Kreditkasse ASA.............. 165,234
44,500 Den Norske Bank ASA.............................. 202,041
4,000 Elkem ASA........................................ 70,528
6,200 Hafslund Nycomed, Series A....................... 30,746
2,700 Hafslund Nycomed, Series B....................... 8,391
5,658 Kvaerner ASA (c)................................. 75,757
1,906 Kvaerner ASA, Class B Shares..................... 21,634
3,262 Leif Hoegh & Co. ASA............................. 35,049
7,500 Merkantildata ASA................................ 48,350
19,820 Norsk Hydro ASA.................................. 851,825
2,400 Norske Skogindustrier ASA, Class A Shares (c).... 84,369
400 Norske Skogindustrier ASA, Class B Shares........ 11,549
17,142 Orkla ASA........................................ 305,082
6,400 Petroleum Geo-Services ASA*...................... 122,014
3,800 Sas Norge ASA, Class B Shares (c)................ 32,663
5,500 Schibsted ASA+................................... 116,977
2,700 Smedvig ASA, Class A Shares...................... 54,450
6,000 Tomra Systems ASA................................ 178,524
21,800 Uni Storebrand, Class A Shares................... 154,952
1,300 Unitor ASA....................................... 10,171
--------------
2,728,448
--------------
Portugal -- 0.1%
63,390 Banco Commercial Portuguese S.A. Registered
Shares (c)...................................... 330,271
6,468 Banco Espirito Santo S.A. Registered Shares...... 105,181
19,109 BPI-SGPS S.A. Registered Shares.................. 67,958
10,148 Brisa Auto Estradas de Portugal S.A. ............ 84,091
4,546 Cimpor-Cimentos de Portugal S.A. ................ 97,045
2,140 CIN-Corparacao Industrial de Norte S.A. ......... 10,274
1,300 Corticeira Amorim S.A. .......................... 10,356
173,700 Electricidade de Portugal S.A. .................. 563,695
1,901 INAPA-Investimentos Participacoes de Gestao
S.A. ........................................... 11,476
3,242 Jeronimo Martins S.A. ........................... 46,292
2,943 Portucel Industrial-Empresa Produtora de Celulose
S.A. ........................................... 18,578
31,007 Portugal Telecom S.A. Registered Shares.......... 323,102
16,035 Sonae, S.G.P.S., S.A. ........................... 24,807
67,136 Sonae, S.G.P.S., S.A.-New *...................... 98,490
--------------
1,791,616
--------------
Singapore -- 1.0%
666 Asia Food & Properties Ltd.*..................... 128
64,000 Chartered Semiconductor Manufacturing Ltd.*...... 535,409
21,100 Chartered Semiconductor Manufacturing Ltd. ADR*.. 1,790,863
47,000 City Developments Ltd. .......................... 233,457
42,000 Comfort Group Ltd. .............................. 22,326
4,000 Creative Technology Ltd. ........................ 86,911
13,000 Cycle & Carriage Ltd. ........................... 28,699
697,292 DBS Group Holdings Ltd. ......................... 8,425,999
</TABLE>
See Notes to Financial Statements.
95
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Singapore -- 1.0% (continued)
98,000 DBS Land Ltd. .................................... $ 158,276
27,000 First Capital Corp. Ltd. ......................... 26,195
19,200 Fraser & Neave Ltd. .............................. 71,388
2,400 Genting International PLC*........................ 456
12,000 Haw Par Corp. Ltd. ............................... 21,472
22,000 Hotel Properties Ltd. ............................ 19,044
800 IPC Corp.*........................................ 88
43,250 Keppel Corp. Ltd. ................................ 97,993
400 Lum Chang Holdings Ltd. .......................... 119
39,000 Natsteel Electronics Ltd. (c)..................... 130,279
73,023 Neptune Orient Line Ltd.*......................... 79,756
73,151 Overseas-Chinese Banking Corp. Ltd. .............. 505,720
11,000 Overseas Union Enterprise Ltd..................... 31,314
25,000 Parkway Holdings Ltd. ............................ 63,615
83,241 Sembcorp Industries Ltd. ......................... 88,981
67,000 Singapore Airlines Ltd............................ 646,140
21,749 Singapore Press Holdings Ltd. .................... 349,992
143,000 Singapore Technologies Engineering Ltd. .......... 192,738
386,000 Singapore Telecommunications Ltd.................. 636,867
12,000 Star Cruises Public Co. Ltd.*..................... 12,000
32,400 Straits Trading Co. Ltd. ......................... 27,670
69,000 United Industrial Corp. Ltd. ..................... 32,871
58,416 United Overseas Bank Ltd. ........................ 458,151
29,000 United Overseas Land Ltd. ........................ 27,293
9,000 Van Der Horst Ltd.*............................... 2,327
14,000 Venture Manufacturing Ltd. ....................... 178,935
--------------
14,983,472
--------------
South Korea -- 1.1%
77,342 Korea Telecom Corp. ADR........................... 2,929,328
22,290 Samsung Electronics............................... 5,498,368
15,790 SK Telecom Co. Ltd. .............................. 3,474,868
192,823 SK Telecom Co. Ltd. ADR........................... 4,941,089
--------------
16,843,653
--------------
Spain -- 1.6%
3,950 Acerinox S.A. .................................... 115,894
2,786 Actividades de Construccion y Servicios, S.A. .... 68,738
12,103 Altadis........................................... 173,787
16,990 Autopistas Concesionaria Espanola S.A. ........... 131,419
122,629 Banco Bilbao Vizcaya S.A.......................... 1,821,892
184,066 Banco Santander S.A............................... 1,980,207
4,933 Corporacion Financiera Alba S.A. ................. 123,684
5,300 Corporacion Mapfre................................ 84,349
2,600 Cortefiel S.A. ................................... 52,637
4,018 Ebro Agicolas S.A. ............................... 46,799
41,002 Endesa S.A. ...................................... 800,187
16,366 Ercros S.A. ...................................... 7,858
6,598 Fomento de Construcciones y Contratas S.A. ....... 105,593
19,763 GAS Natural SDG S.A............................... 320,677
11,000 Grupo Dragados S.A. .............................. 91,933
1,650 Grupo Empresaria Ence S.A. ....................... 30,514
36,758 Iberdrola S.A. ................................... 423,227
</TABLE>
See Notes to Financial Statements.
96
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Spain -- 1.6% (continued)
6,400 Inmobilaria Urbis S.A. .......................... $ 27,541
4,051 Metrovacesa S.A. ................................ 64,465
1,650 Portland Valderrivas S.A. (c).................... 31,453
4,650 Prosegur CIA de Seguridad S.A. .................. 56,847
44,510 Repsol S.A. ..................................... 882,499
9,383 Sociedad General de Aguas de Barcelona S.A. ..... 117,629
8,250 Sol Melia S.A. .................................. 84,354
882,114 Telefonica S.A.*(c).............................. 16,940,655
11,550 TelePizza S.A.*.................................. 59,972
13,222 Union Electrica Fenosa S.A. ..................... 245,812
4,100 Uralita S.A. (c)................................. 25,517
10,050 Vallehermos S.A. ............................... 64,335
9,171 Zardoya-Otis S.A. ............................... 72,242
--------------
25,052,716
--------------
Sweden -- 2.6%
10,100 Assidoman AB (b)................................. 152,519
9,371 Atlas Copco AB, Class A Shares (c)............... 193,646
4,685 Atlas Copco AB, Class B Shares................... 91,848
3,870 Diligentia AB*................................... 36,910
7,000 Drott AB......................................... 77,889
16,700 Electrolux AB, Series B.......................... 207,058
1,400 Esselete AB, Class A Shares...................... 8,160
1,100 Esselete AB, Class B Shares...................... 6,528
22,600 ForeningsSparbaken AB............................ 336,491
17,900 Gambro AB, Class A Shares........................ 147,957
7,800 Gambro AB, Class B Shares........................ 65,300
41,575 Hennes & Mauritz AB, Class B Shares.............. 729,154
5,550 Netcom Systems AB*............................... 292,895
146,423 Nordic Baltic Holding AB......................... 1,016,343
4,100 OM Gruppen AB.................................... 205,511
12,700 Sandvik AB....................................... 277,243
2,850 Sapa AB.......................................... 41,528
18,000 Securitas AB, Class B Shares..................... 400,572
40,800 Skandia Forsakrings AB........................... 825,815
238,075 Skandinaviska Enskilda Banken, Class A Shares.... 2,850,895
5,400 Skanska AB, Class B Shares....................... 184,835
3,700 SKF AB, Class A Shares........................... 50,188
5,000 SKF AB, Class B Shares........................... 72,590
11,016 Svenska Cellolosa AB, Class B Shares (c)......... 208,961
29,500 Svenska Handelsbanken, Class A Shares............ 487,681
4,800 Svenska Handelsbanken, Class B Shares............ 78,080
5,200 Svenskt Stal AB, Class A Shares.................. 44,635
1,900 Svenskt Stal AB, Class B Shares.................. 16,108
28,787 Swedish Match AB................................. 93,043
341,800 Telefonaktiebolaget LM Erricsson AB ADR.......... 7,006,900
1,155,276 Telefonaktiebolaget LM Erricsson AB, Class B
Shares.......................................... 23,322,215
69,100 Telia AB*........................................ 494,278
8,500 Trelleborg AB, Class B Shares.................... 58,099
7,600 Volvo AB, Class A Shares......................... 121,613
12,300 Volvo AB, Class B Shares......................... 203,990
19,500 Wm-Data AB, Class B Shares (c)................... 109,522
--------------
40,517,000
--------------
</TABLE>
See Notes to Financial Statements.
97
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Switzerland -- 3.9%
15,230 ABB Ltd. ........................................ $ 1,704,222
915 Adecco S.A. ..................................... 700,978
315 Alusuisse Group AG Registered Shares............. 208,964
17,219 Clariant AG Registered Shares (c)................ 5,879,321
13,255 Credit Suisse Group.............................. 2,768,748
110 Forbo Holding AG Registered Shares............... 48,101
245 Gebrueder Sulzer AG.............................. 177,852
250 Georg Fischer AG Registered Shares............... 74,027
458 Givaudan Registered Shares*...................... 122,477
426 Holderbank Financiere Glarus AG Bearer Shares.... 134,699
286 Holderbank Financiere Glarus AG, Class B Shares.. 337,600
30 Jelmoli Holding AG Bearer Shares................. 37,840
90 Jelmoli Holding AG Registered Shares............. 22,415
145 Kuoni Reisen Holding AG Registered Shares,
Category B...................................... 65,153
330 Lonza AG Registered Shares....................... 160,588
90 Movenpick Holding AG Bearer Shares............... 37,186
5,205 Nestle AG Registered Shares...................... 11,212,883
9,825 Novartis AG Registered Shares.................... 14,850,826
642 Roche Holding AG Bearer Shares................... 5,747,274
78 Roche Holding AG Genusss......................... 781,074
540 SAirGroup Registered Shares...................... 83,513
50 Schindler Holdings AG Participating
Certificates.................................... 81,918
30 Schindler Holdings AG Registered Shares.......... 51,440
115 SGS Societe General de Surveillance Holdings
S.A., Class B Shares............................ 230,977
180 Sika Finanz AG Bearer Shares..................... 53,300
185 The Swatch Group AG, Class B Shares.............. 262,754
795 The Swatch Group AG Registered Shares............ 229,020
1,875 Swiss Re Registered Shares....................... 3,847,699
3,720 Swisscom AG Registered Shares.................... 1,054,562
56,829 UBS AG Registered Shares......................... 8,267,000
295 Valora Holding AG................................ 73,301
2,325 Zurich Allied AG................................. 1,196,789
--------------
60,504,501
--------------
Taiwan -- 0.3%
29,586 Gigamedia Ltd.*.................................. 310,653
128,072 Taiwan Semiconductor Manufacturing Co. Ltd.
ADR*............................................ 4,482,520
--------------
4,793,173
--------------
United Kingdom -- 17.3%
66,479 Abbey National PLC............................... 806,697
27,600 Airtours PLC..................................... 109,831
64,000 Allied Zurich PLC................................ 787,324
7,766 AMEC PLC......................................... 31,808
27,977 Amvescap PLC..................................... 596,347
17,053 Anglian Water PLC................................ 137,957
170,300 Arm Holdings PLC*................................ 2,280,859
275,402 Astrazeneca PLC (a).............................. 12,566,175
46,488 BAA PLC.......................................... 371,003
2,945,066 BAE SYSTEMS PLC.................................. 18,297,129
20,412 BAE SYSTEMS PLC, 7.45% due 11/29/03 (e).......... 299
13,929 Balfour Beatty PLC............................... 21,584
61,495 Barclays PLC..................................... 1,535,384
11,331 Barratt Developments PLC......................... 36,765
</TABLE>
See Notes to Financial Statements.
98
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
United Kingdom -- 17.3% (continued)
40,502 Bass PLC........................................... $ 396,600
19,059 BBA Group PLC...................................... 139,277
9,500 The Berkeley Group PLC............................. 77,613
3,030 Betacom PLC........................................ 11,727
151,422 BG PLC............................................. 949,569
33,478 Blue Circle Industries PLC......................... 193,501
244,205 BOC Group PLC...................................... 3,556,711
43,436 Boots Co. PLC...................................... 320,735
1,742,517 BP Amoco PLC....................................... 15,998,025
442,216 British Airways PLC................................ 2,100,766
99,288 British American Tobacco PLC....................... 642,861
24,186 British Land Co. PLC............................... 150,703
78,501 British Sky Broadcasting Group PLC*................ 1,284,954
278,587 British Telecommunications PLC..................... 3,546,736
21,636 Bunzl PLC.......................................... 121,986
839,434 Cable & Wireless PLC............................... 15,596,869
91,038 Cadbury Schweppes PLC.............................. 528,844
23,514 Canary Wharf Group PLC*............................ 170,721
26,796 Capita Group PLC................................... 203,517
32,760 Caradon PLC........................................ 85,560
16,596 Carillon PLC....................................... 25,475
29,225 Carlton Communications PLC......................... 319,979
9,600 Celltech Group PLC*................................ 203,652
168,334 Centrica PLC....................................... 554,141
100,724 CGNU PLC........................................... 1,562,249
55,300 Coats Viyella PLC.................................. 40,834
164,534 Corus Group PLC.................................... 168,774
7,656 De La Rue PLC...................................... 42,608
1,693,564 Diageo PLC (b)..................................... 14,501,337
80,231 Dixons Group PLC................................... 278,121
6,000 Eidos PLC*......................................... 42,515
16,750 Electrocomponents PLC.............................. 195,212
33,800 FKI PLC............................................ 112,865
28,500 George Wimpey PLC.................................. 49,139
33,680 GKN PLC............................................ 438,586
653,813 Glaxo Wellcome PLC................................. 18,883,132
184,377 Granada Compass PLC*............................... 2,276,242
157,044 Granada Media PLC*................................. 1,481,806
26,088 Great Portland Estates PLC......................... 85,215
47,588 Great Universal Stores PLC......................... 338,584
101,440 Halifax Group PLC.................................. 797,747
12,433 Hammerson PLC...................................... 78,691
39,925 Hanson PLC......................................... 236,283
81,527 Hays PLC........................................... 479,229
19,300 Hepworth PLC....................................... 58,550
68,200 Hilton Group PLC................................... 216,074
1,206,582 HSBC Holdings PLC.................................. 17,318,645
23,617 I3I Group PLC...................................... 582,788
25,400 IMI PLC............................................ 83,615
37,173 Imperial Chemical Industries PLC................... 251,501
172,511 Invensys PLC....................................... 676,452
12,100 Jarvis PLC......................................... 31,250
10,322 Johnson Matthey PLC................................ 148,757
</TABLE>
See Notes to Financial Statements.
99
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
United Kingdom -- 17.3% (continued)
70,094 Kingfisher PLC.................................... $ 510,950
24,207 Land Securities PLC............................... 290,397
81,100 LASMO PLC......................................... 176,705
206,793 Legal & General Group PLC......................... 528,047
7,000 Lex Service PLC................................... 41,402
224,999 Lloyds TSB Group PLC.............................. 2,118,092
15,882 Logica PLC........................................ 499,829
6,000 London Bridge Software Holdings PLC............... 85,990
15,527 Lonrho Africa PLC*................................ 5,196
92,089 Marconi PLC....................................... 1,631,981
137,641 Marks & Spencer PLC............................... 416,554
22,898 Misys PLC......................................... 262,866
60,259 National Grid Group PLC........................... 493,181
46,066 National Power PLC................................ 315,020
16,500 New Unigate PLC................................... 58,938
29,965 Nycomed Amersham PLC.............................. 269,440
5,900 Ocean Group PLC................................... 100,524
27,984 Pearson PLC....................................... 814,329
7,632 Pearson PLC -- NP*................................ 92,278
30,413 The Peninsular & Oriental Steam Navigation Co..... 273,469
63,000 Pilkington PLC.................................... 84,331
11,701 Provident Financial PLC........................... 142,585
344,387 Prudential Corp. PLC.............................. 4,519,738
13,689 Psion PLC......................................... 175,173
467,647 Railrack Group PLC................................ 6,681,741
32,900 Rank Group PLC.................................... 81,976
2,511,353 Reed International PLC............................ 21,558,560
489,148 Rentokil Initial PLC.............................. 1,147,625
396,701 Reuters Group PLC................................. 7,953,760
17,073 Rexam PLC......................................... 68,252
17,900 RMC Group PLC..................................... 166,033
1,232 Rolls Royce PLC................................... 3,415
101,632 Royal Bank of Scotland Group PLC.................. 1,838,068
393,341 RTZ Corp.......................................... 6,301,102
55,122 Sage Group PLC.................................... 509,282
79,488 Sainsbury PLC..................................... 415,777
11,396 Schroders PLC..................................... 239,265
82,190 Scottish Power PLC................................ 630,814
17,694 Sema Group PLC.................................... 331,462
835,470 Shell Transport & Trading Co. PLC................. 7,141,652
17,692 Slough Estates PLC................................ 100,650
40,201 Smith & Nephew PLC................................ 164,215
401,764 Smithkline Beecham PLC............................ 5,249,372
12,661 Smiths Industries PLC............................. 166,347
1,491,383 Somerfield PLC.................................... 1,687,134
7,602 SSL International PLC............................. 88,431
96,800 Stagecoach Holdings PLC........................... 99,294
23,033 Tate & Lyle PLC................................... 86,128
18,616 Taylor Woodrow PLC................................ 44,150
770,709 Telewest Communications PLC*...................... 1,931,566
278,274 Tesco PLC......................................... 875,566
15,894 Thames Water PLC.................................. 192,293
32,865 Thorn EMI PLC..................................... 305,319
</TABLE>
See Notes to Financial Statements.
100
<PAGE>
Schedules of Investments
(continued)
International Equity Investments
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
United Kingdom -- 17.3% (continued)
22,471 TI Group PLC..................................... $ 112,798
119,957 Unilever PLC..................................... 754,434
26,018 United Utilities PLC............................. 243,603
67 Viglen Floating Rate Guaranteed Loan Notes
2001*........................................... --
6,900 Viglen Technology Letters of Entitlements
Litigation Notes*............................... --
10,514,662 Vodafone Airtouch PLC............................ 42,491,469
145,500 Vodafone Group PLC............................... 588,000
32,709 Williams PLC..................................... 183,224
25,730 Wolseley PLC..................................... 141,979
36,266 WPP Group PLC.................................... 515,530
--------------
271,213,786
--------------
United States -- 0.0%
1,338 Infocus Corp.*................................... 62,055
--------------
TOTAL STOCK
(Cost -- $1,316,896,477)......................... 1,498,035,821
--------------
Face
Amount
-----------
REPURCHASE AGREEMENT -- 4.2%
$66,100,000 CIBC Wood Gundy Securities Inc., 6.520% due
9/1/00; Proceeds at maturity -- $66,111,971;
(Fully collateralized by U.S. Treasury Notes,
6.500% due 2/28/02; Market value --
$67,422,983)
(Cost -- $66,100,000)........................... 66,100,000
--------------
TOTAL INVESTMENTS -- 100%
(Cost -- $1,382,996,477**)....................... $1,564,135,821
==============
</TABLE>
------
(a) All or a portion of this security is segregated for open forward foreign
currency contracts.
(b) All or a portion of this security is segregated for futures contracts com-
mitments.
(c) All or a portion of this security is on loan (See Note 11).
(d) All or a portion of this security is segregated for extended settlements.
(e) Security is an unsecured capital amortizing loan stock.
* 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.
++ Risp NC -- Risparmio Non-Convertible (Non-Convertible savings shares).
** Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
101
<PAGE>
Schedules of Investments
(continued)
Emerging Markets Equity Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
STOCK -- 97.0%
Brazil -- 13.3%
12,800 Aracruz Celulose S.A. ADR.......................... $ 248,000
57,800 Aracruz Celulose S.A. Preferred Class B Shares..... 115,632
129,025,417 Banco Bradesco S.A. Preferred Shares++............. 1,099,145
3,894,000 Banco do Estado de Sao Paulo S.A. Preferred
Shares............................................ 132,261
25,889,750 Banco Itau S.A. Preferred Shares................... 2,433,167
1,000 Banco Santiago ADR................................. 19,625
5,500 Brasil Telecom Participacoes S.A. ADR.............. 387,406
116,316,100 Brasil Telecom Participacoes S.A. Preferred
Shares............................................ 1,431,505
90,900 Centrais Eletricas Brasileiras S.A. ADR............ 849,324
44,516,500 Centrais Eletricas Brasileiras S.A. Preferred
Shares............................................ 831,855
50,400 Companhia Brasileira de Distribuicao Grupo Pao de
Acucar S.A. ADR................................... 1,880,550
7,671,800 Companhia Brasileira de Distribuicao Grupo Pao de
Acucar S.A. Preferred Shares...................... 284,609
64,700 Companhia Cervejaria Brahma ADR.................... 1,342,525
1,129,800 Companhia Cervejaria Brahma Preferred Class A
Shares............................................ 1,167,367
4,280,300 Companhia Energetica de Minas Gerais Preferred
Shares............................................ 75,749
15,138,100 Companhia Paranaense de Enargia -- Copel ADR....... 114,815
49,500 Companhia Paranaense de Enargia -- Copel Class B
Shares ADR........................................ 479,531
24,500,000 Companhia Paranaense de Enargia -- Copel Preferred
Class B Shares.................................... 232,275
14,040,000 Companhia Paranaense de Enargia Preferred Shares... 135,037
27,621,900 Companhia Siderurgica Nacional S.A. Preferred
Shares............................................ 1,009,539
27,989,452 Companhia Siderurgica de Tubarao Preferred Shares.. 383,038
101,800 Companhia Vale do Rio Doce Preferred Shares ADR.... 2,755,331
370,667 Copene Petroquimica do Nordeste S.A. Preferred
Class A Shares.................................... 154,012
142,300 Embratel Participacoes S.A. ADR.................... 3,112,813
69,044,700 Embratel Participacoes S.A. Preferred Shares....... 1,441,683
13,898,000 Gerdau Metalurgica S.A. Preferred Shares........... 196,230
697,000 Investimentos Itau S.A. Preferred Shares........... 739,329
6,123,100 Petrobras Distribuidora S.A. Preferred Shares*..... 95,237
11,160 Petroleo Brasileiro S.A. ADR++..................... 355,028
249,927 Petroleo Brasileiro S.A. Preferred Shares.......... 7,789,717
28,447 Souza Cruz S.A. ................................... 140,711
10,300 Tele Celular Sul Participacoes S.A. ADR............ 409,425
152,200,000 Tele Celular Sul Participacoes S.A. Preferred
Shares............................................ 619,005
25,247,400 Tele Centro Oeste Celular Participacoes S.A. ...... 109,620
29,800 Tele Centro Oeste Celular Participacoes S.A. ADR... 379,950
34,097,600 Tele Nordeste Celular Participacoes S.A. .......... 103,820
48,309 Tele Norte Leste Participacoes S.A. ADR............ 1,231,887
104,600,382 Tele Norte Leste Participacoes S.A. Preferred
Shares............................................ 2,425,917
1,000 Tele Sudeste Celular Participacoes S.A. ........... 5
3,035,400 Telecomunicacoes de Minas Gerais Preferred Class B
Shares............................................ 133,461
576 Telecomunicacoes de Sao Paulo S.A. Preferred
Shares............................................ 10
6,200 Telemig Celular Participacoes S.A. ADR............. 403,000
39,563,700 Telemig Celular Participacoes S.A. Preferred
Shares............................................ 123,942
19,870 Telesp Celular Participacoes S.A. ADR.............. 730,223
50,441,214 Telesp Celular Participacoes S.A. Preferred
Shares............................................ 740,193
14,700 Uniao de Banco Brasileiros S.A. GDR................ 499,800
96,600 Usinas Siderurigicas de Minas Gerais S.A. Preferred
Shares............................................ 568,079
10,530 Votorantim Celulose Papel S.A. ADR................. 211,916
3,330,700 Votorantim Celulose Papel S.A. Preferred Shares.... 132,715
------------
40,256,014
------------
</TABLE>
See Notes to Financial Statements.
102
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Schedules of Investments
(continued)
Emerging Markets Equity Investments
<TABLE>
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<CAPTION>
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<C> <S> <C>
-------------------------------------------------------------------------------
Chile -- 1.3%
2,932 Banco de A. Edwards ADR*........................... $ 38,666
9,100 Banco Santander Chile ADR.......................... 137,638
2,550 Cervecerias Unidas S.A. ADR........................ 58,969
58,300 Compania Telecommunicaciones de Chile S.A. ........ 1,027,538
1,900 Cristalerias de Chile ADR.......................... 29,925
39,400 Distribucion y Servicio D&S S.A. ADR............... 679,650
40,700 Embotelladora Andina S.A. ADR...................... 529,100
62,218 Endesa S.A. ADR.................................... 664,955
13,348 Enersis S.A. ADR*.................................. 230,253
7,200 Gener S.A. ADR (a)................................. 91,800
2,100 Maderas y Sinteticos S.A. ......................... 26,775
1,400 Sociedad Quimica & Minera de Chile S.A. ADR........ 32,638
11,800 Vina Concha y Toro ADR............................. 424,063
------------
3,971,970
------------
China -- 0.3%
984,000 China Shipping Development Co. Ltd.*............... 191,771
735,000 China Southern Airlines Co. Ltd. .................. 221,462
104,000 China Unicom ADR................................... 241,355
11,000 Huaneng Power International, Inc. ................. 178,063
------------
832,651
------------
Egypt -- 0.5%
3,900 Al-Ahram Beverages Co.*............................ 66,300
17,800 Commercial International Bank...................... 173,240
7,000 Eastern Co. for Tobacco & Cigarettes............... 147,368
25,600 Egyption Co. for Mobile Services................... 643,605
2 Madinet NSAR....................................... 14
5,800 Misr International Bank............................ 72,867
13,000 Orascom Construction Industries.................... 153,189
11,000 Orascom Telecom Co. ............................... 156,441
12,870 Suez Cement Co. ADR*............................... 120,656
------------
1,533,680
------------
Greece -- 0.5%
1,590 Alpha Credit Bank S.A. ............................ 48,250
1,380 Alpha Leasing S.A.*................................ 16,678
590 Commercial Bank of Greece S.A. .................... 23,761
71,530 Hellenic Telecommunications Organization S.A. ..... 1,335,337
1,588 Intracom S.A. ..................................... 48,524
1,910 Michaniki S.A. .................................... 9,580
2,548 National Bank of Greece S.A.++..................... 86,982
------------
1,569,112
------------
Hong Kong -- 5.8%
168,000 Beijing Datang Power Generation Co. Ltd., Class H
Shares............................................ 39,419
1,914,000 Brillance China Automotive Ltd. ................... 625,787
90,000 China Merchants Holdings International Co. Ltd. ... 70,968
1,307,000 China Mobile (Hong Kong) Ltd.++.................... 10,054,749
492,000 Citic Pacific Ltd. ................................ 2,346,672
186,000 Cosco Pacific Ltd. (a)............................. 168,130
92,000 Guangdong Kelon Electrical Holdings Co. Ltd., Class
H Shares.......................................... 30,375
268,000 Huaneng Power International Inc. .................. 111,677
326,000 Legend Holdings Ltd. .............................. 346,929
</TABLE>
See Notes to Financial Statements.
103
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(continued)
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<C> <S> <C>
--------------------------------------------------------------------------------
Hong Kong -- 5.8% (continued)
1,366,000 Ng Fung Hong Ltd. .................................. $ 748,740
9,433,000 PetroChina Co. Ltd. ................................ 2,249,610
380,000 Shanghai Petrochemical Ltd. ........................ 62,365
676,000 TCL International Ltd. ............................. 192,851
656,000 Yanzhou Coal Mining Co. Ltd. ....................... 189,248
1,212,000 Yizheng Chemical Fibre Co. Ltd. .................... 310,797
------------
17,548,317
------------
Hungary -- 1.2%
756 Egis RT. ........................................... 37,033
8,306 Gedeon Richter RT. GDR.............................. 475,519
56,091 Magyar Tavkozlesi RT. .............................. 310,064
68,268 Magyar Tavkozlesi RT. ADR........................... 1,928,571
14,503 MOL Magyar Olaj-es Gazipari RT. .................... 198,330
3,016 OTP Bank RT. ....................................... 162,052
8,060 OTP Bank RT. GDR.................................... 433,628
3,028 Tiszai Vegyi Kombinat RT. .......................... 36,052
------------
3,581,249
------------
India -- 4.5%
65,900 Ashok Leyland Ltd. GDR*............................. 205,938
37,500 Dr. Reddy's Laboratories Ltd. GDR+.................. 993,750
25,000 Grasim Industries Ltd. ............................. 165,625
24,700 Hindalco Industries Ltd.+........................... 500,175
14,180 Hindalco Industries Ltd. GDR+....................... 287,145
41,917 ICICI Banking Ltd. ADR.............................. 482,046
13,000 Infosys Technologies Ltd. GDR....................... 2,028,203
87,920 ITC Ltd. GDR+....................................... 1,676,855
31,800 Jardine Fleming India Fund Ltd. GDR*................ 377,625
72,600 Larsen & Toubro Ltd. GDR............................ 680,625
130,900 Mahanagar Telephone Nigam Ltd. GDR+................. 886,848
70,000 Mahindra & Mahindra Ltd. GDR........................ 306,250
60,100 Pentamedia Graphics Ltd. GDR........................ 585,975
50,100 Ranbaxy Laboratories Ltd. GDR+...................... 889,275
46,000 Reliance Industries Ltd. ADR........................ 755,550
37,410 Reliance Industries Ltd. GDR*+...................... 607,913
24,800 Silverline Technologies Ltd. ADR.................... 519,250
74,100 SSI Ltd. GDR+....................................... 565,013
63,120 State Bank of India GDR............................. 623,310
34,410.00 Videsh Sanchar Nigam Ltd. GDR....................... 369,908
------------
13,507,279
------------
Indonesia -- 0.9%
1,493,500 PT Astra International Tbk*......................... 472,388
1,530,000 PT Bank Pan Indonesia Tbk*.......................... 53,361
432,000 PT Gudang Garam Tbk................................. 648,390
116,000 PT Hanjaya Mandala Sampoerna Tbk.................... 172,291
1,105,000 PT Indah Kiat Pulp & Paper Corp. Tbk*............... 193,358
227,000 PT Indofood Sukses Makmur Tbk*...................... 101,829
711,500 PT Ramayana Lestari Tbk++........................... 440,676
500 PT Semen Gresik Tbk................................. 406
1,672,000 PT Telekomunikasi Indonesia Tbk..................... 581,128
------------
2,663,827
------------
</TABLE>
See Notes to Financial Statements.
104
<PAGE>
Schedules of Investments
(continued)
Emerging Markets Equity Investments
<TABLE>
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<CAPTION>
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<C> <S> <C>
-------------------------------------------------------------------------------
Israel -- 6.1%
5,075 Azorim-Investment Development & Construction Co.
Ltd. ............................................. $ 58,634
427,848 Bank Hapoalim Ltd. ................................ 1,363,319
515,721 Bank Leumi Le...................................... 1,188,842
272,738 Bezeq Israeli Telecommunication Corp. Ltd. ........ 1,693,325
45,834 Check Point Software Technologies Ltd. ............ 6,683,170
9,500 CLAL Industries and Investments Ltd.*.............. 117,704
28,279 ECI Telecom Ltd. .................................. 887,254
3,066 Elbit Systems Ltd. ................................ 46,406
832 Formula Systems Ltd. .............................. 42,045
3,502 Galileo Technology Ltd. ........................... 103,090
4,560 Gilat Satellite Networks Ltd. ..................... 365,940
16,223 IDB Holding Corp. Ltd. ............................ 684,944
322,923 Israel Chemicals Ltd. ............................. 404,357
366 The Israel Corp. Ltd. ............................. 77,264
1,533 Koor Industries Ltd. .............................. 162,803
3,000 Magic Software Enterprises Ltd. ADR................ 27,000
873 Nice Systems Ltd.*................................. 69,588
18,662 Orbotech Ltd.*..................................... 1,806,715
9,928 Osem Investment Ltd. .............................. 73,922
900 Property & Building Corp. Ltd. .................... 88,342
1,137 RadVision Ltd. ADR................................. 36,455
21,691 Supersol Ltd. ..................................... 81,429
322 Teva Pharmaceutical Industries Ltd. ............... 19,791
36,824 Teva Pharmaceutical Industries Ltd. ADR............ 2,232,455
------------
18,314,794
------------
Malaysia -- 3.8%
160,000 Berjaya Sports Toto Berhad......................... 256,842
126,000 British American Tobacco Berhad.................... 1,177,105
146,000 Commerce Asset Holdings Berhad..................... 384,211
102,000 Gamuda Berhad...................................... 115,421
73,000 Golden Hope Plantations Berhad..................... 71.079
22,000 Hong Leong Credit Berhad........................... 40,526
197,000 IOI Corporation Berhad............................. 167,968
58,000 Kuala Lumpur Kepong Berhad......................... 82,421
33,000 Malakoff Berhad.................................... 85,974
582,800 Malayan Banking Berhad............................. 2,239,179
19,000 Malaysian Oxygen Berhad............................ 52,500
11,000 Malaysian Pacific Industries....................... 95,526
30,000 Nestle (Malaysia) Berhad........................... 151,579
13,000 OYL Industries Berhad.............................. 43,105
309,000 Public Bank Berhad................................. 269,968
42,000 Puncak Niaga Holding Berhad........................ 27,742
778,000 Resorts World Berhad............................... 1,607,184
45,000 Selangor Properties Berhad......................... 23,803
52,000 Sime Darby Berhad.................................. 57,747
12,000 Star Publications Berhad........................... 44,211
235,000 TAN Chong Motor Holdings Berhad.................... 85,961
24,000 Tanjong PLC Berhad................................. 52,105
290,000 Telekom Malaysia Berhad............................ 824,211
1,070,000 Tenaga Nasional Berhad............................. 3,576,053
8,000 Unisem Berhad...................................... 41,684
------------
11,574,105
------------
</TABLE>
See Notes to Financial Statements.
105
<PAGE>
Schedules of Investments
(continued)
Emerging Markets Equity Investments
<TABLE>
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<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Mexico -- 11.9%
331,041 Alfa, S.A. de C.V., Class A Shares................. $ 929,598
40,900 Cemex S.A. de C.V. ADR............................. 958,594
121,776 Cemex S.A. de C.V. CPO............................. 568,830
60,500 Coca Cola Femsa S.A. ADR........................... 1,241,150
290,000 Controladora Comercial Mexicana S.A. de C.V........ 374,255
31,000 Corp Interamericana de Entretenimiento S.A. ....... 162,316
146,000 Desc S.A. de C.V. Series B Shares.................. 90,402
306,684 Fomento Economico Mexicano, S.A. de C.V............ 1,382,585
32,000 Fomento Economico Mexicano, S.A. de C.V. ADR....... 1,457,738
31,629 Grupo Carso S.A. de C.V. Series A1 Shares*......... 112,353
131,000 Grupo Continental.................................. 166,498
175,000 Grupo Elektra S.A. de C.V. Series L Shares......... 176,796
904,900 Grupo Financiero Banamex Series B Shares*.......... 4,656,826
1 Grupo Financiero Bancomer Series L Shares*......... 4
646,000 Grupo Financiero Bancomer Series O Shares*......... 397,193
80,000 Grupo Financiero Banorte*.......................... 104,285
53,000 Grupo Industrial Bimbo............................. 84,634
20,780 Grupo Iusacell S.A. de C.V. ADR.................... 264,945
126,000 Grupo Mexico S.A. Series B Shares.................. 557,080
735,900 Grupo Modelo S.A. de C.V. Series C Shares.......... 1,826,660
82,000 Grupo Televisa S.A.* .............................. 265,005
51,000 Grupo Televisa S.A. GDR*........................... 3,302,875
208,200 Kimberly-Clark de Mexico, S.A. de C.V., Class A
Shares............................................ 646,844
35,560 Organizacion Soriana S.A. Series B Shares.......... 153,744
80,000 Pepsi-Gemex S.A.*.................................. 65,352
3,049,300 Telefonos de Mexico S.A. Series L Shares........... 8,281,191
49,500 Telefonos de Mexico S.A. Series L Shares ADR....... 2,694,076
10,000 Tubos de Acero de Mexico S.A. ..................... 150,625
75,000 Vitro S.A. Series A Shares......................... 83,102
1,303,200 Walmart de Mexico S.A. Series C Shares*............ 3,277,549
663,992 Walmart de Mexico S.A. Series V Shares*............ 1,579,645
------------
36,012,750
------------
Netherlands -- 0.2%
25,360 Indocam Himalayan Fund NV.......................... 461,552
------------
Panama -- 0.3%
54,800 Panamerican Beverages Inc., Class A Shares......... 1,017,912
------------
Peru -- 0.2%
10,800 Buenaventura S.A. Ltd. ............................ 178,200
22,700 Credicorp Ltd. .................................... 190,113
247,000 Ferreyros S.A. Ltd.*............................... 69,678
12,100.00 Southern Peru Copper Corp. ........................ 168,644
------------
606,635
------------
Philippines -- 0.3%
63,000 Manila Electric Co. ............................... 91,446
14,300 Metropolitan Bank & Trust Co. ..................... 55,774
32,350 Philippine Long Distance Telephone Co. ............ 548,427
42,000 San Miguel Corp. .................................. 49,330
614,000 SM Prime Holdings Co. ............................. 72,115
------------
817,092
------------
</TABLE>
See Notes to Financial Statements.
106
<PAGE>
Schedules of Investments
(continued)
Emerging Markets Equity Investments
<TABLE>
--------------------------------------------------------------------------------
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Poland -- 0.6%
1,599 Agora S.A. ......................................... $ 40,775
750 Bank Rozwoju Eksportu S.A. ......................... 24,108
3,800 Elektrim S.A. ...................................... 42,968
33,900 KGHM Polska Miedz S.A. ............................. 476,295
68,200 Polski Koncern Naftowy Orlen GDR+................... 635,965
91,300 Telekomunikacja Polska S.A. GDR..................... 543,235
4,654 Wielkopolski Bank Kredytowy S.A. ................... 25,251
------------
1,788,597
------------
Russia -- 5.5%
41,700 AO Tatneft ADR...................................... 549,919
96,912 Lukoil Holding Inc. ADR............................. 6,279,898
25,140 Mobile Telesystems ADR.............................. 732,203
200,248 RAO Unified Energy Systems.......................... 3,416,732
8,615 Rostelecom ADR...................................... 123,841
280,750 Surgutneftegaz ADR.................................. 5,460,588
------------
16,563,181
------------
South Africa -- 7.3%
102,600 ABSA Group Ltd. .................................... 423,791
22,800 AECI Ltd. .......................................... 43,491
418,700 African Bank Investments Ltd. ...................... 447,374
9,205 African Life Assurance Co. ......................... 25,083
78,900 Anglo American Platinum Corp. Ltd. ................. 3,084,710
7,200 Anglo American PLC.................................. 402,725
12,450 Anglogold Ltd. ..................................... 485,679
12,380 Anglovaal Industries Ltd. .......................... 13,050
15,100 Barlow Ltd. ........................................ 98,645
1 Bidvest Group Ltd. ................................. 2
62,900 Billiton PLC........................................ 249,435
365,800 BOE Ltd. ........................................... 229,264
72,900 Comparex Holdings Ltd. ............................. 112,918
91,640 De Beers............................................ 2,549,754
1 Edgars Consolidated Stores Ltd. .................... 5
1,351,920 FirstRand Ltd.++.................................... 1,483,283
28,900 Foschini Ltd. ...................................... 46,422
29,364 Gold Fields Ltd. ................................... 108,233
24,220 Impala Platinum Holdings Ltd. ...................... 1,146,303
55,036 Imperial Holdings Ltd.*............................. 528,851
16,400 Investec Group Ltd. ................................ 588,024
71,830 Iron & Steel Industries Corp. ...................... 166,891
54,100 JD Group Ltd. ...................................... 377,090
6,828 Johnnic Communications Ltd. ........................ 138,078
65,100 Johnnic Holdings Ltd. .............................. 900,990
16,700 Kersaf Investments Ltd. ............................ 71,973
92,275 Liberty Group Ltd. ................................. 860,219
190,400 M-Cell Ltd. ........................................ 819,218
76,487 Nedcor Ltd. ........................................ 1,733,230
25,400 Old Mutual PLC ..................................... 63,568
20,800 Pepkor Ltd. ........................................ 80,545
80,500 Profurn Ltd. ....................................... 53,686
67,300 Real Africa Holdings Ltd. .......................... 35,520
89,800 Rembrandt Group Ltd. (a)............................ 888,663
</TABLE>
See Notes to Financial Statements.
107
<PAGE>
Schedules of Investments
(continued)
Emerging Markets Equity Investments
<TABLE>
--------------------------------------------------------------------------------
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
South Africa -- 7.3% (continued)
1 RMB Holdings Ltd. .................................. $ 1
401,600 Sanlam Ltd. ........................................ 483,821
83,920 Sappi Ltd. ......................................... 734,187
218,340 Sasol Ltd. ......................................... 1,784,924
96,820 South African Breweries PLC......................... 709,574
32,100 The Tongaat-Hulett Group Ltd. ...................... 165,737
------------
22,134,957
------------
South Korea -- 12.2%
1,436 Cheil Jedang Corp. ................................. 60,225
220 Dacom Corp. ........................................ 19,842
6,330 Daishin Securities Co. ............................. 64,228
505 Daum Communications Corp. .......................... 31,518
7,951 Dongwon Securities Co. ............................. 50,198
34,164 H&CB................................................ 730,270
2,570 Haansoft Inc. ...................................... 30,365
10,800 Hana Bank........................................... 58,055
12,841 Hanjin Heavy Industries............................. 33,239
11,380 Hanwha Chemical Corp.* ............................. 37,668
2,335 Hite Brewery Co. Ltd. .............................. 100,034
83,400 Hyundai Electronics Industries*..................... 1,526,963
9,640 Hyundai Merchant Marine............................. 36,256
13,505 Hyundai Motor Co. Ltd. ............................. 204,630
247,557 Kookmin Bank........................................ 3,014,223
197,521 Korea Electric Power Corp. ......................... 5,807,607
35,192 Korea Telecom Corp. ................................ 1,332,897
7,870 Korea Telecom Corp. ADR............................. 538,745
960 Korea Telecom Freetel .............................. 44,331
6,804 Korean Air.......................................... 48,418
79,939 L.G. Chemical Ltd. ................................. 1,348,238
4,630 L.G. Electronics.................................... 117,760
410 L.G. Information & Communication Ltd. .............. 22,002
9,430 L.G. Investment & Securities Co. Ltd. .............. 99,084
19,970 Namhae Chemical Co. ................................ 46,109
80,428 Pohang Iron & Steel Co. Ltd.++...................... 1,709,095
13,160 Pohang Iron & Steel Co. Ltd. ADR.................... 1,009,774
11,610 Samsung Corp. Ltd. ................................. 105,236
2,940 Samsung Electro-Mechanics Co. ...................... 124,892
48,334 Samsung Electronics................................. 11,922,750
1,070 Samsung Electronics GDR+............................ 135,355
2,875 Samsung Fire & Marine Insurance..................... 76,759
12,420 Samsung SDI Co. Ltd. ............................... 554,489
33,474 Samsung Securities Co. Ltd. ........................ 682,311
1,440 Serome Technology Inc. ............................. 32,534
19,780 Shinhan Bank........................................ 215,863
6,780 SK Corp. ........................................... 114,962
3,060 SK Global........................................... 32,704
21,450 SK Telecom Co. Ltd. ................................ 4,720,451
2,250 S-Oil Corp. ........................................ 52,153
4,037 Taihan Electric Wire Co. ........................... 33,133
2,330 Trigem Computer Inc. ............................... 40,874
------------
36,966,240
------------
</TABLE>
See Notes to Financial Statements.
108
<PAGE>
Schedules of Investments
(continued)
Emerging Markets Equity Investments
<TABLE>
--------------------------------------------------------------------------------
<CAPTION>
Shares Security Value
<C> <S> <C>
--------------------------------------------------------------------------------
Taiwan -- 13.2%
142,000 Acer Communications & Multimedia Inc. .............. $ 329,037
364,063 Acer Inc. .......................................... 453,430
52,405 Advanced Semiconductor Engineering Inc. ............ 96,977
151,292 Asia Cement Corp. .................................. 82,286
437,782 Asustek Computer Inc. .............................. 2,691,006
420,000 Bank Sinopac*....................................... 239,247
122,000 Cathay Construction Corp. .......................... 32,588
484,120 Cathay Life Insurance Corp. (b)..................... 1,113,994
506,480 China Development Industrial Bank*.................. 523,228
871,000 China Steel Corp. (b)............................... 577,443
110,571 Chinatrust Commercial Bank*......................... 87,183
206,000 Chung HWA Pulp*..................................... 119,997
314,700 Compal Electronics Corp. ........................... 602,612
28,250 Delta Electronic, Inc. ............................. 108,191
46 Evergreen Marine Corp.*............................. 30
204,336 Far Eastern Department Stores Ltd. ................. 102,587
480,040 Far Eastern Textile Ltd. ........................... 534,536
422,400 First Commercial Bank............................... 367,038
132,294 Formosa Chemicals & Fibre Co. ...................... 148,590
1,106,222 Formosa Plastics Corp. ............................. 1,780,066
6,954 Formosa Taffeta Co. ................................ 4,409
2,961 Gigamdia Ltd. ADR................................... 31,091
645,418 Hon Hai Precision Industry Co. Ltd. ................ 4,922,812
89,100 Hua Nan Commercial Bank............................. 70,540
13,059 International Bank of Taipei*....................... 5,422
67,980 International Commercial Bank of China.............. 53,382
250,750 Macronix International Corp. ....................... 544,714
29,000 Mosel Vitelic Inc. ................................. 49,932
624,063 Nan Ya Plastic Corp. ............................... 1,034,331
56,342 Nien Hsing Textile Co., Ltd.*....................... 73,436
152,090 Pacific Electrical Wire & Cable Co., Ltd.*.......... 113,067
272,229 President Chain Store Corp. ........................ 806,021
23,000 Quanta Computer Inc. ............................... 83,643
845,880 Siliconware Precision Industries Corp. ............. 1,306,694
303,300 Synnex Technology Industrial Corp. ................. 1,210,369
89,000 Taiwan Glass Industrial Corp. ...................... 82,491
2,228,505 Taiwan Semiconductor Manufacturing Co. ............. 9,646,276
131,760 Tatung Co., Ltd. ................................... 81,416
2,099,650 United Microelectronics Corp. Ltd.*................. 5,574,741
2,739,058 United World Chinese Commercial Bank................ 2,353,620
490,000 Winbond Electronics Corp. .......................... 1,214,257
550,000 Yuanta Securities Corp.*............................ 605,358
74,000 Yulon Motor Corp.*.................................. 52,394
------------
39,910,482
------------
Thailand -- 0.9%
100,175 Advanced Information Service Public Co. Ltd.*....... 1,210,678
150,800 BEC World Public Co. Ltd. .......................... 937,081
1,071,800 Thai Farmers Bank Public Co. Ltd.*.................. 655,535
------------
2,803,294
------------
Turkey -- 3.4%
4,652,000 Akcimento Ticaret A.S. ............................. 59,681
367,000 Aktas Electric Ticaret A.S. ........................ 84,077
</TABLE>
See Notes to Financial Statements.
109
<PAGE>
Schedules of Investments
(continued)
Emerging Markets Equity Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Shares Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Turkey -- 3.4% (continued)
4,306,800 Anadolu Efes Biracilik Ve Malt Sanayii A.S. ....... $ 230,219
37,393,097 Arcelik A.S. ...................................... 1,185,025
1,595,000 Aygaz A.S. ........................................ 69,426
4,009,071 Beko Elektonik A.S.*............................... 47,147
7,578,771 Bolu Cimento Sanayii A.S.*......................... 35,882
681,000 Brisa Bridgestone Sabanci A.S...................... 46,803
7,537,885 Dogan Sirketler Grubu Holdings A.S. ............... 175,565
38,037,220 Dogan Yayin Holding A.S. .......................... 482,175
2,229,000 Eczacibasi Ilac Sanayi Ve T.A.S.*.................. 45,958
3,430,685 Enka Holding Yatirim A.S. ......................... 654,951
8,812,500 Eregli Demir Ve Celik Fabrikalari T.A.S.*.......... 292,736
73,740,000 Hurriyet Gazeteci A.S.*............................ 810,874
1,971,768 Migros Turk T.A.S. ................................ 268,018
3,813,000 Sabah Yayincilik A.S. ............................. 18,926
72,600 Sabanci Holding A.S. ADR........................... 179,685
6,194,000 Tupras Turkiye Petrol Rafine A.S. ................. 279,069
9,825 Turkcell Iletisim Hizmet A.S. ADR.................. 132,023
138,345,058 Turkiye Garanti Bankasi S.A. ...................... 1,415,651
116,365,138 Turkiye Is Bankasi, Class C Shares................. 2,354,632
1,473,622 Vestel Elektronik Sanayi Ve Ticaret A.S.*.......... 281,327
136,888,560 Yapi Ve Kredi Bankasi A.S.*........................ 1,149,866
------------
10,299,716
------------
United Kingdom -- 0.9%
288,890 Dimension Data Holdings PLC*....................... 2,817,427
------------
United States -- 1.6%
11,000 Chile Fund, Inc. .................................. 104,499
780 Comverse Technology Inc. .......................... 71,710
311,550 The India Fund*.................................... 4,322,755
3,882 StarMedia Network Inc. ............................ 32,996
15,000 TV Azteca S.A. de C.V. ............................ 201,562
------------
4,733,522
------------
Venezuela -- 0.3%
36,530 Compania Anonima Nacional Telefonos de Venezuela
ADR............................................... 899,550
21,000 Mavesa S.A. ADR.................................... 82,686
------------
982,236
------------
TOTAL STOCK
(Cost -- $268,368,807)............................. 293,268,591
------------
<CAPTION>
Face Amount
-----------
<C> <S> <C>
REPURCHASE AGREEMENT -- 3.0%
$ 9,000,000 CIBC Wood Gundy Securities Inc., 6.520% due 9/1/00;
Proceeds at maturity -- $9,001,630;
(Fully collateralized by U.S. Treasury Notes,
6.500% due 2/28/02; Market value -- $9,181,372)
(Cost -- $9,000,000).............................. 9,000,000
------------
TOTAL INVESTMENTS -- 100%
(Cost -- $277,368,807**)........................... $302,268,591
============
</TABLE>
------
++All or a portion of this security is segregated for futures contracts com-
mitments.
* Non-income producing security.
(a) All or a portion of this security is on loan (See Note 11).
(b) All or a portion of this security is segregated for open forward foreign
currency contracts.
+ 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 Notes to Financial Statements.
110
<PAGE>
Schedules of Investments
(continued)
International Fixed Income Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Face
Amount+ Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
BONDS -- 98.1%
Austria -- 4.3%
1,014,000,000 Oesterreich Kontrollbank, 1.800% due 3/22/10.... $ 9,437,787
------------
Denmark -- 4.9%
Kingdom of Denmark:
40,600,000 8.000% due 3/15/06.............................. 5,348,462
45,400,000 6.000% due 11/15/09 (a)......................... 5,539,054
------------
10,887,516
------------
France -- 5.7%
1,811,000 Crown Cork & Seal Finance S.A., 6.000% due
12/6/04 (b).................................... 1,470,401
1,660,000 French Treasury Note, 3.500% due 7/12/04 (b).... 1,383,739
10,500,000 Government of France, 6.000% due 10/25/25 (b)... 9,808,887
------------
12,663,027
------------
Germany -- 23.0%
Bundesobligation:
1,040,000 4.750% due 11/20/01 (b)......................... 920,089
1,530,000 4.500% due 2/18/03 (b).......................... 1,337,195
4,560,000 3.250% due 2/17/04 (b).......................... 3,798,885
Bundesrepublic Deutschland:
5,431,000 7.125% due 12/20/02 (b)......................... 5,014,619
1,090,000 6.000% due 9/15/03 (b).......................... 987,050
5,370,000 6.750% due 7/15/04 (b).......................... 5,001,983
6,132,000 6.000% due 1/5/06 (b)........................... 5,610,082
12,070,000 6.000% due 1/4/07 (b)........................... 11,085,602
7,800,000 6.000% due 7/4/07 (b)........................... 7,177,029
12,480,000 4.750% due 7/4/28 (a)(b)........................ 9,953,108
------------
50,885,642
------------
Greece -- 11.1%
Hellenic Republic:
2,143,000,000 8.700% due 4/8/05............................... 6,221,504
2,145,000,000 6.000% due 2/19/06.............................. 5,624,266
908,000,000 8.600% due 3/26/08.............................. 2,741,194
1,793,900,000 7.500% due 5/20/13.............................. 5,263,087
800,000,000 6.500% due 10/22/19............................. 2,163,827
3,346,000 Public Power Corp., 4.500% due 3/12/09 (b)...... 2,617,051
------------
24,630,929
------------
Italy -- 3.1%
8,380,000 Buoni Poliennali Del Tes, 5.250% due 11/1/29
(c)............................................ 6,878,465
------------
Japan -- 5.6%
620,000,000 Development Bank of Japan, 2.875% due 12/20/06.. 6,286,918
4,200,000 Japan Financial Corp., 6.375% due 3/9/04 (b).... 6,038,677
------------
12,325,595
------------
Netherlands -- 0.3%
47,000,000 Deutsche Finance BV, zero coupon due 4/16/18.... 666,324
------------
</TABLE>
See Notes to Financial Statements.
111
<PAGE>
Schedules of Investments
(continued)
International Fixed Income Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Face
Amount+ Security Value
<C> <S> <C>
-------------------------------------------------------------------------------
Poland -- 4.1%
Poland Government Bond:
6,011,000 8.500% due 2/12/05............................... $ 1,103,124
43,100,000 Zero coupon due 12/21/01......................... 7,860,481
------------
8,963,605
------------
South Africa -- 2.4%
Republic of South Africa:
30,560,000 12.000% due 2/28/05.............................. 4,254,238
7,500,000 13.000% due 8/31/10.............................. 1,044,328
------------
5,298,566
------------
Spain -- 8.5%
987,000,000 Kingdom of Spain, 3.100% due 9/20/06 (a)......... 10,171,264
9,800,000 Spain Government, 4.250% due 7/30/02 (b)......... 8,545,037
------------
18,716,301
------------
Supranational -- 19.0%
European Investment Bank:
1,956,000,000 4.625% due 2/26/03 (a)........................... 20,113,215
1,136,000,000 2.125% due 9/20/07 (a)........................... 11,044,148
66,000,000 International Bank Reconstruction & Development,
zero coupon due 5/14/12......................... 1,923,442
880,000,000 World Bank, 4.500% due 3/20/03................... 9,065,303
------------
42,146,108
------------
Sweden -- 1.6%
2,360,000 Birka Energi AB, 6.375% due 11/3/06 (c).......... 2,100,169
1,707,714 Investor AB, 5.250% due 6/30/08 (b).............. 1,417,083
------------
3,517,252
------------
United Kingdom -- 2.3%
3,150,000 Burmah Castrol PLC, 4.875% due 3/31/09 (b)....... 2,561,413
1,000,000 Lloyds TSB Bank PLC, 7.375% due 3/11/04 (b)...... 1,482,353
1,250,000 Marconi Corp. PLC, 5.625% due 3/30/05 (b)........ 1,082,410
------------
5,126,176
------------
United States -- 2.2%
1,700,000 Clear Channel Communications, 6.500% due 7/7/05
(b)............................................. 1,506,410
1,950,000 Household Finance Corp., 5.125% due 6/24/09 (b).. 1,552,616
2,210,000 International Lease Finance Corp., 4.125% due
7/12/04 (b)..................................... 1,841,912
------------
4,900,938
------------
TOTAL BONDS
(Cost -- $229,636,572)........................... 217,044,231
------------
<CAPTION>
Face
Amount
-------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.9%
$ 4,200,000 CIBC Wood Gundy Securities Inc., 6.520% due
9/1/00; Proceeds at maturity -- $4,200,761;
(Fully collateralized by U.S. Treasury Notes,
6.500% due 2/28/02; Market value -- $4,284,645)
(Cost -- $4,200,000)............................ 4,200,000
------------
TOTAL INVESTMENTS -- 100%
(Cost -- $233,836,572**)......................... $221,244,231
============
</TABLE>
------
+ Represents local currency.
(a) All or a portion of this security is on loan (See Note 11).
(b) All or a portion of this security is segregated for open forward foreign
currency contracts.
(c) All or a portion of this security is segregated for extended settlements.
** Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
112
<PAGE>
Schedules of Investments
(continued)
Balanced Investments
<TABLE>
--------------------------------------------------------------------------------
<CAPTION>
Shares Security Value
<C> <C> <S> <C>
--------------------------------------------------------------------------------
COMMON STOCK -- 47.2%
Advertising -- 0.2%
1,600 Omnicom Group, Inc.+.............................. $ 133,500
-----------
Aerospace -- 0.4%
2,800 The Boeing Co. ................................... 150,150
2,400 United Technologies Corp. ........................ 149,850
-----------
300,000
-----------
Airlines -- 0.1%
2,000 US Airways Group, Inc.*........................... 68,000
-----------
Auto Manufacturers -- 0.2%
6,272 Ford Motor Co. ................................... 151,704
-----------
Auto Parts & Equipment -- 0.0%
678 Visteon Corp. .................................... 10,636
-----------
Banking -- 2.5%
6,400 Bank of America Corp. ............................ 342,800
8,350 Chase Manhattan Corp. ............................ 466,556
9,500 Fleet Boston Financial Corp. ..................... 405,531
2,000 PNC Financial Services Group...................... 117,875
1,300 SunTrust Banks, Inc. ............................. 64,188
6,000 Wells Fargo Co. .................................. 259,125
-----------
1,656,075
-----------
Beverages -- 1.2%
2,600 Anheuser-Busch Co. ............................... 204,912
5,900 The Coca-Cola Co. ................................ 310,488
6,000 PepsiCo Inc. ..................................... 255,750
-----------
771,150
-----------
Biotechnology -- 0.8%
4,700 Amgen, Inc.*...................................... 356,319
900 Genentech, Inc.*+................................. 171,450
-----------
527,769
-----------
Building Materials -- 0.2%
1,100 Martin Marietta Materials Inc. ................... 44,000
1,700 Southdown, Inc. .................................. 106,675
-----------
150,675
-----------
Chemicals -- 0.3%
1,500 Praxair, Inc. .................................... 66,375
3,300 Union Carbide Corp. .............................. 132,206
-----------
198,581
-----------
Computers -- 3.8%
4,800 Compaq Computer Corp. ............................ 163,500
6,900 Dell Computer Corp. .............................. 301,013
6,500 EMC Corp.*........................................ 637,000
2,200 Gateway, Inc.*+................................... 149,820
4,900 International Business Machines Corp. ............ 646,800
5,200 Sun Microsystems, Inc.*........................... 660,075
-----------
2,558,208
-----------
</TABLE>
See Notes to Financial Statements.
113
<PAGE>
Schedules of Investments
(continued)
Balanced Investments
<TABLE>
--------------------------------------------------------------------------------
<CAPTION>
Shares Security Value
<C> <C> <S> <C>
--------------------------------------------------------------------------------
Cosmetics/Personal Care -- 0.6%
2,600 Avon Products, Inc. .............................. $ 101,887
4,300 The Procter & Gamble Co. ......................... 265,794
-----------
367,681
-----------
Distribution/Wholesale -- 0.2%
3,400 Costco Wholesale Corp.*........................... 117,088
-----------
Diversified Financial Services -- 2.2%
3,100 Fannie Mae........................................ 166,625
2,400 Lehman Brothers Holdings Inc. .................... 348,000
7,900 MBNA Corp. ....................................... 278,969
2,045 Merrill Lynch & Co., Inc. ........................ 296,525
1,624 Morgan Stanley Dean Witter & Co. ................. 174,682
1,600 Providian Financial Corp.+........................ 183,900
-----------
1,448,701
-----------
Electric -- 0.8%
1,500 Calpine Corp.*+................................... 148,500
2,000 Florida Progress Corp. ........................... 103,750
2,400 GPU, Inc. ........................................ 73,500
1,900 PECO Energy Corp. ................................ 91,556
2,000 Public Service Enterprise Group, Inc. ............ 72,500
1,700 Reliant Energy, Inc. ............................. 63,112
-----------
552,918
-----------
Electronics -- 0.6%
1,500 Sanmina Corp.*+................................... 177,000
2,200 SCI Systems, Inc.*+............................... 135,850
2,200 Solectron Corp.*+................................. 99,688
-----------
412,538
-----------
Food -- 1.0%
3,000 General Mills, Inc.+.............................. 96,375
4,200 H.J. Heinz Co. ................................... 160,125
1,200 Keebler Foods Co. ................................ 54,975
1,700 The Quaker Oats Co. .............................. 115,494
3,800 Ralston-Ralston Purina Group...................... 85,975
3,000 Safeway Inc.*..................................... 147,937
-----------
660,881
-----------
Forest Products & Paper -- 0.2%
2,600 International Paper Co. .......................... 82,875
1,200 Temple-Inland Inc. ............................... 50,925
-----------
133,800
-----------
Health Care - Products -- 0.5%
1,600 Guidant Corp.*.................................... 107,700
4,500 Medtronic, Inc. .................................. 230,625
-----------
338,325
-----------
Health Care - Services -- 0.2%
1,700 UnitedHealth Group Inc. .......................... 160,650
-----------
</TABLE>
See Notes to Financial Statements.
114
<PAGE>
Schedules of Investments
(continued)
Balanced Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Shares Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Insurance -- 1.3%
2,400 Ace Ltd. ........................................ $ 84,300
3,600 Allstate Corp. .................................. 104,625
1,300 Ambac Financial Group, Inc. ..................... 84,013
2,300 American General Corp. .......................... 167,469
1,300 CIGNA Corp.+..................................... 126,425
4,500 Hartford Financial Services Group, Inc. ......... 299,812
-----------
866,644
-----------
Internet -- 0.5%
3,900 America Online, Inc.*............................ 228,638
1,200 Yahoo! Inc.*..................................... 145,800
-----------
374,438
-----------
Manufacturing -- 3.6%
1,200 Danaher Corp. ................................... 67,425
26,100 General Electric Co. ............................ 1,531,744
2,200 Minnesota Mining & Manufacturing Co. ............ 204,600
10,100 Tyco International Ltd. ......................... 575,700
-----------
2,379,469
-----------
Media -- 2.3%
4,800 AT&T Corp. -- Liberty Media Corp., Class A
Shares*......................................... 102,600
2,552 Clear Channel Communications, Inc.*+............. 184,701
2,594 Fox Entertainment Group, Inc., Class A Shares*... 75,064
1,600 Hispanic Broadcasting Corp.*..................... 41,100
3,000 Infinity Broadcasting Corp., Class A Shares*..... 113,625
1,400 The Seagram Co., Ltd.+........................... 84,262
4,800 Time Warner, Inc. ............................... 410,400
4,300 Viacom Inc., Class B Shares*..................... 289,444
5,200 The Walt Disney Co. ............................. 202,475
-----------
1,503,671
-----------
Mining -- 0.2%
4,100 Alcoa Inc. ...................................... 136,325
-----------
Oil & Gas Producers -- 2.3%
2,408 BP Amoco PLC Sponsored ADR....................... 133,042
1,500 Coastal Corp. ................................... 103,313
7,900 Exxon Mobil Corp. ............................... 644,837
1,900 Kerr McGee Corp. ................................ 120,056
1,900 Noble Drilling Corp.*............................ 92,150
5,000 Royal Dutch Petroleum Co. ....................... 305,938
4,000 USX-Marathon Group, Inc. ........................ 109,750
-----------
1,509,086
-----------
Oil & Gas Services -- 0.4%
2,600 Baker Hughes Inc. ............................... 95,063
2,300 Schlumberger Ltd. ............................... 196,219
-----------
291,282
-----------
Pharmaceuticals -- 3.5%
5,100 Abbott Laboratories.............................. 223,125
5,100 American Home Products Corp. .................... 276,356
1,600 Cardinal Health, Inc. ........................... 130,900
</TABLE>
See Notes to Financial Statements.
115
<PAGE>
Schedules of Investments
(continued)
Balanced Investments
<TABLE>
--------------------------------------------------------------------------------
<CAPTION>
Shares Security Value
<C> <C> <S> <C>
--------------------------------------------------------------------------------
Pharmaceuticals -- 3.5% (continued)
2,300 Elan Corp. PLC Sponsored ADR*+.................... $ 134,119
2,500 Eli Lilly & Co. .................................. 182,500
1,800 MedImmune, Inc.*.................................. 151,425
17,725 Pfizer Inc. ...................................... 766,606
4,900 Pharmacia Corp. .................................. 286,956
5,600 Schering-Plough Corp. ............................ 224,700
-----------
2,376,687
-----------
Pipelines -- 0.4%
2,900 Enron Corp. ...................................... 246,137
-----------
Retail -- 2.3%
1,600 Best Buy Co., Inc.*............................... 98,800
3,900 Circuit City Stores -- Circuit City Group......... 101,156
5,800 Home Depot, Inc. ................................. 278,763
6,300 The Limited Inc. ................................. 126,000
3,300 Lowe's Cos., Inc. ................................ 147,881
2,300 RadioShack Corp. ................................. 135,700
5,400 Target Corp. ..................................... 125,550
10,400 Wal-Mart Stores, Inc. ............................ 493,350
-----------
1,507,200
-----------
Semiconductors -- 3.6%
3,100 Altera Corp.*+.................................... 200,919
2,100 Analog Devices, Inc.*............................. 211,050
1,500 Applied Materials, Inc.*.......................... 129,469
18,000 Intel Corp. ...................................... 1,347,750
2,800 Linear Technology Corp. .......................... 201,425
2,200 Maxim Integrated Products, Inc.*.................. 192,912
1,700 Micron Technology, Inc.*+......................... 138,975
-----------
2,422,500
-----------
Software -- 2.8%
2,700 Automatic Data Processing, Inc. .................. 160,987
9,700 Microsoft Corp.*.................................. 677,181
8,400 Oracle Corp.*..................................... 763,875
800 Siebel Systems, Inc.*............................. 158,250
1,700 Symantec Corp.*+.................................. 82,981
-----------
1,843,274
-----------
Telecommunications -- 7.9%
900 Amdocs Ltd.*+..................................... 64,294
10,340 AT&T Corp......................................... 325,710
700 Ciena Corp.*...................................... 155,181
18,900 Cisco Systems, Inc.*.............................. 1,294,650
1,400 Corning Inc. ..................................... 459,112
2,300 Harris Corp. ..................................... 69,144
6,666 Motorola, Inc. ................................... 240,393
2,000 Network Appliance Inc.*........................... 234,000
3,300 Nokia Oyj Sponsored ADR........................... 148,294
8,700 Nortel Networks Corp. ............................ 709,594
6,087 Qwest Communications International Inc.*.......... 314,241
11,027 SBC Communications, Inc........................... 460,377
</TABLE>
See Notes to Financial Statements.
116
<PAGE>
Schedules of Investments
(continued)
Balanced Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Shares Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Telecommunications -- 7.9% (continued)
6,000 Sprint Corp. .............................. $ 201,000
1,200 Tellabs, Inc.*............................. 67,425
4,200 Vodafone AirTouch PLC Sponsored ADR+....... 171,937
600 VoiceStream Wireless, Corp.*+.............. 67,537
9,020 WorldCom, Inc.*............................ 329,230
-----------
5,312,119
-----------
Transportation -- 0.1%
1,600 Canadian National Railway Co. ............. 47,100
-----------
TOTAL COMMON STOCK
(Cost -- $25,122,648)...................... 31,534,812
-----------
PREFERRED STOCK -- 0.7%
Real Estate Investment Trusts -- 0.4%
5,835 SPG Properties Inc., 7.890%................ 234,859
-----------
Telecommunication Services -- 0.3%
235 Centaur Funding Corp., 9.080% Exchangeable 232,288
4/21/20 (b)................................
-----------
TOTAL PREFERRED STOCK
(Cost -- $488,275)......................... 467,147
-----------
<CAPTION>
Face
Amount
----------
<C> <C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 12.4%
U.S. Treasury Notes:
$1,000,000 6.375% due 9/30/01......................... 1,000,620
1,385,000 5.750% due 8/15/03 (c)..................... 1,372,438
1,370,000 7.000% due 7/15/06 (c)..................... 1,435,924
1,420,000 5.625% due 5/15/08 (c)..................... 1,392,480
U.S. Treasury Bonds:
1,335,000 10.625% due 8/15/15 (c).................... 1,943,667
285,000 6.625% due 2/15/27 (c)..................... 313,053
780,000 6.250% due 5/15/30 (c)..................... 844,100
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost -- $8,220,441)....................... 8,302,282
-----------
<CAPTION>
Face
Amount Rating(a)
---------- ---------
<C> <C> <S> <C>
CORPORATE BONDS & NOTES -- 8.4%
Aerospace -- 0.3%
95,000 BBB- Lockheed Corp., Debentures, 7.875% due 89,300
3/15/23....................................
130,000 BBB- Raytheon Co., Debentures, 7.375% due 117,325
7/15/25....................................
-----------
206,625
-----------
Airlines -- 0.1%
69,125 AAA Northwest Airlines Inc., Company 70,499
Guaranteed, 7.935% due 4/1/19..............
-----------
Banking -- 0.7%
240,000 A Bank One Corp., Sr. Notes, 6.935% due
12/20/01.................................. 240,326
220,000 A+ Chase Manhattan Corp., Sr. Notes, 6.858%
due 1/3/02................................ 220,163
-----------
460,489
-----------
Cosmetics/Personal
Care -- 0.2%
105,000 AA The Procter & Gamble Co., Debentures,
8.000% due 9/1/24......................... 115,631
-----------
</TABLE>
See Notes to Financial Statements.
117
<PAGE>
Schedules of Investments
(continued)
Balanced Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Face
Amount Rating(a) Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Diversified Financial Services -- 2.1%
$ 110,000 A Countrywide Home Loan, Company Guaranteed,
6.250% due 4/15/09........................ $ 99,550
105,000 BBB Edison Mission Energy Funding, Company
Guaranteed, 7.330% due 9/15/08 (b)........ 103,294
85,000 A Ford Credit Co., Notes, 7.600% due 8/1/05.. 85,319
90,000 A General Motors Acceptance Corp., Bonds,
6.150%, due 4/5/07........................ 83,925
150,000 A- Kern River Funding Corp., Company
Guaranteed, 6.720% due 9/30/01 (b)........ 149,063
110,000 A Lehman Brothers Holdings Inc., Notes,
7.000% due 5/15/03........................ 108,625
350,000 AA- Morgan Stanley Dean Witter & Co., Sr.
Unsubordinated Notes, 7.125% due 1/15/03
(c)....................................... 350,437
30,000 BBB+ Natexis Ambs Co. LLC, Bonds, 8.440% due
perpetual................................. 28,575
118,260 NR PDVSA Finance Ltd., Sr. Notes, 8.750% due
2/15/04 (b)............................... 117,964
60,000 BBB+ Pemex Finance Ltd., Notes, 9.030% due
2/15/11 (b)............................... 62,543
65,000 BBB PP&L Capital Funding Inc., Sr. Notes,
7.750% due 4/15/05........................ 65,163
130,000 NR Ras Laffan-Links, Bonds, 7.850% due 3/18/14
(b)....................................... 131,625
-----------
1,386,083
-----------
Electric -- 0.7%
90,000 AA Ontario Electricity Financial Corp., Local
Government Guaranteed, 6.100% due
1/30/08................................... 85,162
300,000 AAA Philadelphia Electric Co., First Ref.
Mortgage, 5.625% due 11/1/01 (c).......... 295,125
34,977 BBB+ RGS (AEGCO) Funding Corp., Debentures,
9.810% due 12/7/21........................ 39,918
-----------
420,205
-----------
Holding Companies - Diversified -- 0.1%
70,000 BBB Brascan Corp., Notes, 7.125% due 12/16/03.. 68,075
-----------
Home Builders -- 0.2%
105,000 BB- Champion Enterprises Inc., Sr. Notes,
7.625% due 5/15/09 (b).................... 96,600
-----------
Insurance -- 0.6%
Anthem Insurance Co., Inc., Sr. Notes:
150,000 BBB+ 9.125% due 4/1/10 (b)...................... 138,000
110,000 BBB- 9.000% due 4/1/27 (b)...................... 89,100
70,000 A Liberty Mutual Insurance, Notes, 7.875% due
10/15/26 (b).............................. 60,200
125,000 A- URC Holdings Corp., Sr. Notes, 7.875% due
6/30/06 (b)............................... 127,188
-----------
414,488
-----------
Machinery - Diversified -- 0.6%
380,000 BBB+ Cummins Engine, Debentures, 5.650% due
3/1/98 (c)................................ 237,025
160,000 BB Unova Inc., Notes, 6.875% due 3/15/05...... 145,000
-----------
382,025
-----------
Media -- 0.1%
50,000 BBB- News America Holdings, Company Guaranteed,
8.000% due 10/17/16....................... 49,000
-----------
Multi-National -- 0.0%
20,000 AA- African Development Bank, Sub. Debentures,
8.800% due 9/1/19......................... 22,975
-----------
Oil & Gas Producers -- 0.5%
Petroleum Geo-Services A/S, Bonds:
100,000 BBB 6.250% due 11/19/03 (b).................... 95,625
235,000 BBB 7.125% due 3/30/28......................... 202,100
50,000 BBB Tosco Corp., Notes, 8.125% due 2/15/30..... 50,625
-----------
348,350
-----------
Pharmaceuticals -- 0.2%
150,000 A+ Lilly del Mar Inc., Bonds, 7.717% due
8/1/29 (b)................................ 150,217
-----------
</TABLE>
See Notes to Financial Statements.
118
<PAGE>
Schedules of Investments
(continued)
Balanced Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Face
Amount Rating(a) Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
Pipelines -- 0.8%
$ 65,000 BBB Duke Energy Field Services, Bonds, 7.875%
due 8/16/10............................... $ 65,406
195,000 BBB+ Enron Corp., Notes, 8.375% due 5/23/05..... 202,800
70,000 A- TransCanada PipeLines Ltd., Debentures,
9.875% due 1/1/21......................... 84,787
190,000 BBB+ Yosemite Securities Trust I, Bonds, 8.250%
due 11/15/04 (b).......................... 191,942
-----------
544,935
-----------
Regional -- 0.5%
65,000 AA- Province of New Brunswick, Debentures,
9.750% due 5/15/20........................ 80,275
80,000 AA- Province of Ontario, Bonds, 7.750% due
6/4/02.................................... 81,200
Province of Quebec, Debentures:
55,000 AAA 7.500% due 7/15/23......................... 55,413
115,000 A+ 7.500% due 9/15/29......................... 117,013
-----------
333,901
-----------
Sovereign -- 0.2%
135,000 AA+ Canada Mortgage & Housing Corp., Foreign
Government Guaranteed, 7.200% due 2/1/05.. 136,012
-----------
Telecommunications -- 0.1%
45,000 BBB+ Qwest Communications International, Sr.
Notes, 7.500% due 11/1/08 (b)............. 44,213
45,000 BBB+ Sprint Capital Corp., Company Guaranteed,
6.375% due 5/1/09......................... 41,062
-----------
85,275
-----------
Transportation -- 0.4%
320,000 BB+ Windsor Petroleum Transport Corp., Notes,
7.840% due 1/15/21 (b)(c)................. 278,800
-----------
TOTAL CORPORATE BONDS & NOTES
(Cost -- $5,499,368)....................... 5,570,185
-----------
ASSET-BACKED SECURITIES -- 5.9%
175,000 Americredit Automobile Receivables Trust,
6.838% due 7/12/07........................ 175,109
115,000 Arcadia Automobile Receivables Trust,
6.550% due 6/15/05........................ 114,550
81,098 Countrywide Home Equity Loan Trust, 6.816%
due 3/15/24............................... 80,692
375,000 Daimler Chrysler Auto Trust, 7.090% due
12/6/03................................... 376,584
155,000 Fannie Mae, 7.125% due 1/15/30............. 160,541
440,000 Ford Credit Auto Owner Trust, 7.090% due
11/17/03.................................. 441,811
550,000 Freddie Mac, 7.000% due 7/15/05............ 555,500
250,017 GS Mortgage Securities Corp., 6.970% due
3/20/23 (c)............................... 250,017
255,000 Husky Terra Nova Finance Ltd., 8.450% due
2/1/11 (b)................................ 255,765
210,627 Merrill Lynch Home Equity Loan, 6.800% due
9/25/27................................... 209,856
Olympic Automobile Receivables Trust:
360,000 6.250% due 11/15/04........................ 358,637
245,000 6.800% due 2/15/05......................... 244,784
225,000 Providian Master Trust, 6.731% due
12/15/05.................................. 225,088
55,000 Residential Funding Mortgage Securities,
7.250% due 10/25/27....................... 53,864
UCFC Home Equity Loan:
155,000 6.755% due 11/15/23........................ 151,346
70,000 6.845% due 1/15/29......................... 68,546
232,197 Washington Mutual, 6.910% due 6/25/24...... 232,197
-----------
TOTAL ASSET-BACKED SECURITIES
(Cost -- $3,936,253)....................... 3,954,887
-----------
</TABLE>
See Notes to Financial Statements.
119
<PAGE>
Schedules of Investments
(continued)
Balanced Investments
<TABLE>
-------------------------------------------------------------------------------
<CAPTION>
Face
Amount Security Value
<C> <C> <S> <C>
-------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 14.0%
$ 495,000 Federal Home Loan Mortgage Corp. (FHLMC), Gold,
5.750% due 4/15/08 (c).......................... $ 463,201
Federal National Mortgage Association (FNMA):
60,000 5.750% due 4/15/03............................... 58,657
140,000 7.125% due 6/15/10............................... 142,450
425,000 6.000% due 9/19/15-9/14/30++..................... 402,950
1,985,000 8.000% due 9/19/15-9/14/30++..................... 2,009,543
578,156 6.500% due 9/1/24................................ 552,498
2,670,570 7.000% due 10/1/28-10/16/30 (c)++................ 2,603,806
95,000 7.250% due 5/15/30 (c)........................... 99,988
895,000 7.500% due 9/14/30++............................. 888,842
Government National Mortgage Association (GNMA):
1,380,602 7.500% due 1/15/28-10/23/30++.................... 1,380,894
464,864 9.000% due 7/15/30-8/15/30....................... 480,842
295,000 6.500% due 9/21/30++............................. 283,291
-----------
TOTAL MORTGAGE-BACKED SECURITIES
(Cost -- $9,361,610)............................. 9,366,962
-----------
U.S. TREASURY BILL -- 0.4%
290,000 U.S. Treasury Bill, due 9/21/00 (Cost --
$289,243)....................................... 289,243
-----------
SUB-TOTAL INVESTMENTS
(Cost -- $52,917,838)............................ 59,485,518
-----------
REPURCHASE AGREEMENTS -- 11.0%
5,183,000 J.P. Morgan Securities Inc., 6.600% due 9/1/00;
Proceeds at maturity -- $5,183,950; (Fully
collateralized by U.S. Treasury Notes & Bonds,
4.250% to 13.375% due 3/31/01 to 8/15/26; Market
value -- $5,286,753)............................ 5,183,000
2,162,000 Morgan Stanley Dean Witter & Co., 6.580% due
9/1/00; Proceeds at maturity -- $2,162,395;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 4.250% to 5.750% due 3/31/03 to 8/15/10;
Market value -- $2,205,240)..................... 2,162,000
-----------
TOTAL REPURCHASE AGREEMENTS
(Cost -- $7,345,000)............................. 7,345,000
-----------
TOTAL INVESTMENTS -- 100%
(Cost -- $60,262,838**).......................... $66,830,518
===========
</TABLE>
------
+ All or a portion of this security is on loan (See Note 11).
* Non-income producing security.
(a) All ratings are by Standard & Poor's Ratings Service, except for those
which are identified by an asterisk (*), are rated by Moody's Investors
Service, Inc.
(b) 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.
(c) All or a portion of this security is segregated for "to-be-announced"
trades.
++Security is traded on a "to-be-announced" basis.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 121 for definitions of ratings and certain security descriptions.
See Notes to Financial Statements.
120
<PAGE>
Ratings and Security Descriptions
(unaudited)
Bond Ratings
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.
<TABLE>
<C> <C> <S>
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, -- Bonds rated BB, B, CCC, CC and C are regarded, on balance, as
CCC, predominantly speculative with respect to the issuer's capacity
CC and C 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
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.
</TABLE>
Security Descriptions
<TABLE>
<C> <C> <C> <C> <C> <S>
AMBAC -- AMBAC Indemnity Corporation MBIA -- Municipal Bond Investors Assurance Corporation
FGIC -- Financial Guaranty Insurance Company PCR -- Pollution Control Revenue
GO -- General Obligation PSFG -- Permanent School Fund Guaranty
ISD -- Independent School District VRDN -- Variable Rate Demand Note
</TABLE>
121
<PAGE>
Statements of Assets and Liabilities
August 31, 2000
<TABLE>
<CAPTION>
Small Small
Capitalization Capitalization
Value Equity Growth
Investments Investments
-------------------------------------------------------------------------------
<S> <C> <C>
ASSETS:
Investments, at cost............................ $873,251,850 $1,266,090,867
Repurchase agreements, at cost.................. 14,798,000 48,880,000
Foreign currency, at cost ...................... -- --
Foreign currency segregated for futures
contracts, at cost............................. -- --
============ ==============
Investments, at value........................... $833,297,428 $1,520,643,716
Repurchase agreements, at value................. 14,798,000 48,880,000
Foreign currency, at value...................... -- --
Foreign currency segregated for futures
contracts, at value............................ -- --
Cash............................................ 10,760 375,064
Collateral for securities on loan (Note 11)..... 36,538,274 235,359,541
Receivable for securities sold.................. 2,911,713 22,382,587
Receivable for Fund shares sold................. 1,810,565 7,177,563
Dividends and interest receivable............... 1,776,157 175,456
Receivable from broker -- variation margin...... 45,675 47,250
Receivable from manager......................... -- --
Receivable for open forward foreign currency
contracts (Note 6)............................. -- --
Receivable for open swap contracts.............. -- --
------------ --------------
Total Assets.................................... 891,188,572 1,835,041,177
------------ --------------
LIABILITIES:
Payable for securities on loan (Note 11)........ 36,538,274 235,359,541
Payable for securities purchased................ 1,149,394 23,375,809
Payable for Fund shares purchased............... 424,095 2,919,839
Management fees payable......................... 345,674 748,462
Administration fees payable..................... 142,609 207,653
Payable for open forward foreign currency
contracts (Note 6)............................. -- --
Payable to broker -- variation margin........... -- --
Payable to bank................................. -- --
Payable to bank, foreign currency (Cost --
$1,338,316)................................... -- --
Accrued expenses................................ 232,256 373,373
------------ --------------
Total Liabilities............................... 38,832,302 262,984,677
------------ --------------
Total Net Assets................................. $852,356,270 $1,572,056,500
============ ==============
NET ASSETS:
Par value of shares of beneficial interest...... $ 79,504 $ 64,528
Capital paid in excess of par value............. 882,901,032 1,006,843,546
Undistributed (overdistributed) net investment
income......................................... 10,953,868 38,867
Accumulated net realized gain (loss) on security
transactions, futures contracts and foreign
currencies..................................... (1,995,437) 310,437,160
Net unrealized appreciation (depreciation) of
investments, futures contracts and foreign
currencies..................................... (39,582,697) 254,672,399
------------ --------------
Total Net Assets................................. $852,356,270 $1,572,056,500
============ ==============
Shares Outstanding............................... 79,504,025 64,528,190
============ ==============
Net Asset Value.................................. $10.72 $24.36
============ ==============
</TABLE>
See Notes to Financial Statements.
122
<PAGE>
<TABLE>
<CAPTION>
Emerging
International Markets International
Equity Equity Fixed Income Balanced
Investments Investments Investments Investments
----------------------------------------------------------------------------------------
<S> <C> <C> <C>
$1,316,896,477 $268,368,807 $229,636,572 $52,917,838
66,100,000 9,000,000 4,200,000 7,345,000
-- 3,363,761 5,098,220 --
2,032,728 -- -- --
============== ============ ============ ===========
$1,498,035,821 $293,268,591 $217,044,231 $59,485,518
66,100,000 9,000,000 4,200,000 7,345,000
-- 3,370,281 5,066,855 --
4,316,855 -- -- --
1,393,164 -- 5,977 7,308
117,189,023 939,500 35,019,500 2,496,550
13,281,005 2,181,905 7,237,790 6,056,477
2,829,535 819,286 590,167 1,695
2,657,270 428,718 5,378,013 290,883
667,767 -- -- --
-- -- -- 68,579
2,388,825 4,446 1,391,979 --
-- 12,143 -- --
-------------- ------------ ------------ -----------
1,708,859,265 310,024,870 275,934,512 75,752,010
-------------- ------------ ------------ -----------
117,189,023 939,500 35,019,500 2,496,550
13,092,622 887,369 3,320,333 14,377,130
2,667,719 146,402 95,730 25,853
830,687 305,821 93,791 --
266,011 51,415 35,552 --
3,261,736 247,415 1,663,929 --
-- 174,100 -- --
-- 1,856,813 -- --
2,027,516 -- -- --
496,001 349,843 139,670 42,650
-------------- ------------ ------------ -----------
139,831,315 4,958,678 40,368,505 16,942,183
-------------- ------------ ------------ -----------
$1,569,027,950 $305,066,192 $235,566,007 $58,809,827
============== ============ ============ ===========
$ 116,211 $ 41,514 $ 32,541 $ 5,260
1,101,643,165 367,430,007 264,626,515 47,888,394
(1,587,716) (142,940) (9,433,934) 540,767
286,506,837 (86,753,871) (6,562,203) 3,807,726
182,349,453 24,491,482 (13,096,912) 6,567,680
-------------- ------------ ------------ -----------
$1,569,027,950 $305,066,192 $235,566,007 $58,809,827
============== ============ ============ ===========
116,211,350 41,514,430 32,541,148 5,260,263
============== ============ ============ ===========
$13.50 $7.35 $7.24 $11.18
============== ============ ============ ===========
</TABLE>
See Notes to Financial Statements.
123
<PAGE>
Statements of Operations
For the Year Ended August 31, 2000
<TABLE>
<CAPTION>
Small Small
Capitalization Capitalization
Value Equity Growth
Investments Investments
--------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest........................................ $ 1,549,196 $ 4,122,281
Dividends....................................... 21,280,020 2,708,331
Less: Foreign withholding tax................... (600) (2,558)
----------- ------------
Total Investment Income......................... 22,828,616 6,828,054
----------- ------------
EXPENSES:
Management fees (Note 2)........................ 4,199,206 8,804,328
Administration fees (Note 2).................... 1,513,068 2,862,089
Shareholder and system servicing fees........... 902,000 1,935,000
Custody ........................................ 80,000 185,000
Registration fees .............................. 54,000 55,000
Shareholder communications ..................... 35,000 55,500
Audit and legal ................................ 32,000 31,720
Trustees' fees.................................. 14,000 27,000
Pricing service fees............................ -- --
Other........................................... 10,000 12,000
----------- ------------
Total Expenses.................................. 6,839,274 13,967,637
Less: Management and administration fee waiver
(Note 2)....................................... -- --
----------- ------------
Net Expenses.................................... 6,839,274 13,967,637
----------- ------------
Net Investment Income (Loss)..................... 15,989,342 (7,139,583)
----------- ------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS, FUTURES CONTRACTS AND FOREIGN
CURRENCIES (NOTES 3, 4 AND 6):
Realized Gain (Loss) From:
Security transactions (excluding short-term
securities).................................... 2,402,326 339,542,814
Futures contracts............................... (1,506,924) 1,689,763
Foreign currency transactions................... -- --
----------- ------------
Net Realized Gain (Loss)........................ 895,402 341,232,577
----------- ------------
Change in Net Unrealized Appreciation
(Depreciation) of Investments, Futures Contracts
and Foreign Currencies:
Beginning of year.............................. (67,069,724) 45,894,375
End of year.................................... (39,582,697) 254,672,399
----------- ------------
Change in Net Unrealized Appreciation
(Depreciation)................................. 27,487,027 208,778,024
----------- ------------
Net Gain (Loss) on Investments, Futures Contracts
and Foreign Currencies.......................... 28,382,429 550,010,601
----------- ------------
Increase (Decrease) in Net Assets From
Operations...................................... $44,371,771 $542,871,018
=========== ============
</TABLE>
See Notes to Financial Statements.
124
<PAGE>
<TABLE>
<CAPTION>
Emerging
International Markets International
Equity Equity Fixed Income Balanced
Investments Investments Investments Investments
---------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 4,630,880 $ 516,437 $ 13,920,958 $2,020,344
22,214,119 3,902,888 -- 452,180
(2,549,778) (501,052) (108,525) (877)
------------ ------------ ------------ ----------
24,295,221 3,918,273 13,812,433 2,471,647
------------ ------------ ------------ ----------
9,305,764 2,491,540 1,219,508 400,180
3,299,702 553,676 485,469 137,760
1,581,600 612,005 371,500 151,700
899,000 768,145 192,000 25,300
50,000 35,000 50,000 25,000
66,300 22,000 20,000 4,000
32,000 32,000 32,000 31,991
30,000 7,500 6,500 3,800
140,000 39,000 5,000 9,500
20,000 9,374 2,500 5,000
------------ ------------ ------------ ----------
15,424,366 4,570,240 2,384,477 794,231
-- -- -- (106,924)
------------ ------------ ------------ ----------
15,424,366 4,570,240 2,384,477 687,307
------------ ------------ ------------ ----------
8,870,855 (651,967) 11,427,956 1,784,340
------------ ------------ ------------ ----------
319,783,079 47,928,375 (16,421,139) 3,934,851
2,047,278 (328,710) -- --
(7,825,756) (1,487,826) (1,289,073) --
------------ ------------ ------------ ----------
314,004,601 46,111,839 (17,710,212) 3,934,851
------------ ------------ ------------ ----------
228,495,210 54,298,305 (3,782,994) 3,001,944
182,349,453 24,491,482 (13,096,912) 6,567,680
------------ ------------ ------------ ----------
(46,145,757) (29,806,823) (9,313,918) 3,565,736
------------ ------------ ------------ ----------
267,858,844 16,305,016 (27,024,130) 7,500,587
------------ ------------ ------------ ----------
$276,729,699 $ 15,653,049 $(15,596,174) $9,284,927
============ ============ ============ ==========
</TABLE>
See Notes to Financial Statements.
125
<PAGE>
Statements of Changes in Net Assets
For the Year Ended August 31, 2000
<TABLE>
<CAPTION>
Small Small
Capitalization Capitalization
Value Equity Growth
Investments Investments
-------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 15,989,342 $ (7,139,583)
Net realized gain (loss)..................... 895,402 341,232,577
Change in net unrealized appreciation
(depreciation).............................. 27,487,027 208,778,024
------------- --------------
Increase (Decrease) in Net Assets From
Operations.................................. 44,371,771 542,871,018
------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (11,434,061) --
Net realized gains........................... (13,216,365) (126,863,990)
Capital...................................... -- --
------------- --------------
Decrease in Net Assets From Distributions to
Shareholders................................ (24,650,426) (126,863,990)
------------- --------------
FUND SHARE TRANSACTIONS (NOTE 13):
Net proceeds from sale of shares............. 393,746,759 767,942,532
Net asset value of shares issued for
reinvestment of dividends................... 24,343,197 125,799,117
Cost of shares reacquired ................... (329,419,128) (847,067,721)
------------- --------------
Increase (Decrease) in Net Assets From Fund
Share Transactions.......................... 88,670,828 46,673,928
------------- --------------
Increase (Decrease) in Net Assets............. 108,392,173 462,680,956
NET ASSETS:
Beginning of year............................ 743,964,097 1,109,375,544
------------- --------------
End of year*................................. $ 852,356,270 $1,572,056,500
============= ==============
* Includes undistributed (overdistributed) net
investment income of:....................... $10,953,868 $38,867
============= ==============
</TABLE>
See Notes to Financial Statements.
126
<PAGE>
<TABLE>
<CAPTION>
Emerging
International Markets International
Equity Equity Fixed Income Balanced
Investments Investments Investments Investments
-------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 8,870,855 $ (651,967) $ 11,427,956 $ 1,784,340
314,004,601 46,111,839 (17,710,212) 3,934,851
(46,145,757) (29,806,823) (9,313,918) 3,565,736
-------------- ------------ ------------ ------------
276,729,699 15,653,049 (15,596,174) 9,284,927
-------------- ------------ ------------ ------------
(12,669,393) (1,264,598) (1,966,695) (1,518,410)
(127,919,361) -- -- (9,419,182)
-- -- (9,890,447) --
-------------- ------------ ------------ ------------
(140,588,754) (1,264,598) (11,857,142) (10,937,592)
-------------- ------------ ------------ ------------
1,449,337,154 202,690,130 92,243,417 24,673,799
139,035,729 1,253,787 11,547,158 10,908,492
(1,540,955,012) (230,891,689) (77,025,006) (49,985,520)
-------------- ------------ ------------ ------------
47,417,871 (26,947,772) 26,765,569 (14,403,229)
-------------- ------------ ------------ ------------
183,558,816 (12,559,321) (687,747) (16,055,894)
1,385,469,134 317,625,513 236,253,754 74,865,721
-------------- ------------ ------------ ------------
$1,569,027,950 $305,066,192 $235,566,007 $ 58,809,827
============== ============ ============ ============
$(1,587,716) $(142,940) $(9,433,934) $540,767
============== ============ ============ ============
</TABLE>
See Notes to Financial Statements.
127
<PAGE>
Statements of Changes in Net Assets
For the Year Ended August 31, 1999
<TABLE>
<CAPTION>
Small Small
Capitalization Capitalization
Value Equity Growth
Investments Investments
-------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 13,018,362 $ (4,259,675)
Net realized gain (loss)..................... 8,227,514 110,801,347
Change in net unrealized appreciation
(depreciation).............................. 74,328,727 263,557,739
------------- --------------
Increase in Net Assets From Operations....... 95,574,603 370,099,411
------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (13,030,887) --
Net realized gains........................... (117,115,012) (33,622,731)
Capital ..................................... -- --
------------- --------------
Decrease in Net Assets From
Distributions to Shareholders............... (130,145,899) (33,622,731)
------------- --------------
FUND SHARE TRANSACTIONS (NOTE 13):
Net proceeds from sale of shares............. 254,966,829 374,207,710
Net asset value of shares issued for
reinvestment of dividends................... 128,710,339 33,406,703
Cost of shares reacquired.................... (345,481,496) (493,225,800)
------------- --------------
Increase (Decrease) in Net Assets From Fund
Share Transactions.......................... 38,195,672 (85,611,387)
------------- --------------
Increase in Net Assets........................ 3,624,376 250,865,293
NET ASSETS:
Beginning of year............................ 740,339,721 858,510,251
------------- --------------
End of year*................................. $ 743,964,097 $1,109,375,544
============= ==============
* Includes undistributed (overdistributed) net
investment income of:....................... $7,701,051 $26,508
============= ==============
</TABLE>
See Notes to Financial Statements.
128
<PAGE>
<TABLE>
<CAPTION>
Emerging
International Markets International
Equity Equity Fixed Income Balanced
Investments Investments Investments Investments
--------------------------------------------------------------------------------------
<S> <C> <C> <C>
$ 13,054,261 $ 2,277,286 $ 11,388,805 $ 1,592,843
114,383,017 (49,440,840) (2,103,188) 10,166,423
168,341,488 164,616,452 (7,190,841) 892,481
--------------- ------------- ------------ ------------
295,778,766 117,452,898 2,094,776 12,651,747
--------------- ------------- ------------ ------------
(17,799,556) (2,193,397) (7,975,035) (1,864,163)
(69,094,047) -- (3,599,905) (7,093,352)
-- -- (28,247) --
--------------- ------------- ------------ ------------
(86,893,603) (2,193,397) (11,603,187) (8,957,515)
--------------- ------------- ------------ ------------
782,939,276 189,783,469 106,412,056 34,336,221
86,017,381 2,174,644 11,310,781 8,942,096
(1,023,559,456) (220,118,029) (64,028,598) (40,576,739)
--------------- ------------- ------------ ------------
(154,602,799) (28,159,916) 53,694,239 2,701,578
--------------- ------------- ------------ ------------
54,282,364 87,099,585 44,185,828 6,395,810
1,331,186,770 230,525,928 192,067,926 68,469,911
--------------- ------------- ------------ ------------
$ 1,385,469,134 $ 317,625,513 $236,253,754 $ 74,865,721
=============== ============= ============ ============
$(4,732,266) $620,781 $(7,747,186) $278,373
=============== ============= ============ ============
</TABLE>
See Notes to Financial Statements.
129
<PAGE>
Notes to Financial Statements
1. Significant Accounting Policies
Small Capitalization Value Equity Investments, Small Capitalization Growth In-
vestments, International Equity Investments, Emerging Markets Equity Invest-
ments, International Fixed Income Investments and Balanced Investments ("Port-
folios") are separate investment portfolios of the Consulting Group Capital
Markets Funds ("Fund"). The 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 offers eleven other portfolios:
Large Capitalization Value Equity Investments, Large Capitalization Growth In-
vestments, S&P 500 Index Investments, Intermediate Fixed Income Investments,
Long-Term Bond Investments, Municipal Bond Investments, Mortgage Backed Invest-
ments, High Yield Investments, Multi-Sector Fixed Income Investments, Govern-
ment Money Investments and Multi-Strategy Market Neutral Investments. The fi-
nancial statements and financial highlights for these other portfolios are pre-
sented in separate shareholder reports.
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 obli-
gations 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 am-
ortized premium, which approximates value; (d) dividend income is recorded on
the ex-dividend date except that foreign dividends are recorded on the ex-divi-
dend 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 se-
curities are calculated by using the specific identification method; (f) divi-
dends 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 as-
sets 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 ex-
penses 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 custo-
dian 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, 2000, reclassifications were made to the capital accounts of Small
Capitalization Value Equity Investments, Small Capitalization Growth Invest-
ments, International Equity Investments, Emerging Markets Equity Investments
and Balanced Investments to reflect permanent book/tax differences and income
and gains available for distributions under income tax regulations. According-
ly, a portion of paid-in capital amounting to $1,063,545 was reclassified to
accumulated net realized gain for Small Capitalization Growth Investments. In
addition, a portion of overdistributed net investment income amounting to
$977,140 was reclassified to paid-in capital for Emerging Markets Equity In-
vestments. 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 en-
vironment, financial markets and any other parameters used in determining these
estimates could cause actual results to differ.
In addition, certain Portfolios may from time to time enter into futures con-
tracts 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 be-
tween the contract exchange rate and the current market rate as an unrealized
gain or loss. Realized gains or losses are recognized when contracts are set-
tled.
130
<PAGE>
Notes to Financial Statements
(continued)
2. Investment Advisory Agreement, Administration Agreement and Other
Transactions
The Fund has entered into an investment management agreement ("Management
Agreement") with SSB Citi Fund Management LLC ("SSBC"), a subsidiary of Salomon
Smith Barney Holdings Inc. ("SSBH"), which, in turn, is a subsidiary of
Citigroup Inc. ("Citigroup"). The Consulting Group ("Manager"), a division of
SSBC provides investment evaluation services with respect to the investment ad-
visors of the Fund. SSBC has entered into a sub-advisory agreement with each
sub- advisor selected for the Portfolios (collectively, "Sub-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 Portfo-
lio's average daily net assets. In addition, SSBC pays each Sub-Advisor, based
on the rates applied to each respective Portfolio's average daily net assets on
a monthly basis.
Indicated below for each Portfolio is the applicable maximum allowable manage-
ment fee, actual management fee incurred, sub-advisory fee and the sub-advisor.
The maximum allowable management fee represents the total amount that could be
charged to the Portfolio while the actual management fee is what the Portfolio
incurred during the reporting period. The actual management fee could fluctuate
from year to year if sub-advisors are added or terminated in a particular
Portfolio.
<TABLE>
<CAPTION>
Actual Maximum
Sub- Management Allowable
Advisor Fee Annual
Portfolio Sub-Advisor Fee Incurred Management Fee
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Small Capitalization
Value Equity
Investments 0.56% 0.80%
NFJ Investment Group
on the first $450 million 0.50%
on the amount over $450 million 0.45
Mellon Capital Management Corp. 0.06
Small Capitalization
Growth Investments 0.62 0.80
Wall Street Associates 0.50
Mellon Capital Management Corp. 0.06
Westpeak Investment Advisors, L.P. 0.50
Kern Capital Management LLC 0.50
Westfield Capital Management Co., Inc. 0.50
International Equity
Investments 0.57 0.70
Oechsle International Advisors, LLC 0.40
Scudder Kemper Investments, Inc.
on the first $300 million 0.45
on the amount over $300 million 0.40
State Street Global Advisors 0.06
Emerging Markets Equity
Investments 0.90 0.90
Foreign & Colonial Emerging Markets Ltd. 0.60
State Street Global Advisors 0.60
Baring Asset Management, Inc. 0.60
International Fixed
Income Investments 0.50 0.50
Julius Baer Investment Management Inc. 0.25
Balanced Investments 0.58 0.60
Laurel Capital Advisors, LLP 0.30
Seix Investment Advisors, Inc. 0.25
</TABLE>
For the year ended August 31, 2000, SSBC waived $79,542 of its management fee
for Balanced Investments.
131
<PAGE>
Notes to Financial Statements
(continued)
SSBC also acts as the Fund's administrator for which each Portfolio pays a fee
calculated at an annual rate of 0.20% of the average daily net assets of each
respective Portfolio. This fee is calculated daily and paid monthly. For the
year ended August 31, 2000, SSBC waived $27,382 of its administration fee for
Balanced Investments.
Citi Fiduciary Trust Company ("CFTC"), formerly known as Smith Barney Private
Trust Company, another subsidiary of Citigroup, acts as the Portfolios' trans-
fer agent and PFPC Global Fund Services ("PFPC") acts as the Portfolios' sub-
transfer agent. CFTC receives account fees and asset-based fees that vary ac-
cording to the account size and type of account. PFPC is responsible for share-
holder recordkeeping and financial processing for all shareholder accounts and
is paid by CFTC. For the year ended August 31, 2000, the Portfolios paid trans-
fer agent fees totaling $3,222,782 to CFTC.
For the year ended August 31, 2000, Salomon Smith Barney Inc. ("SSB"), another
subsidiary of SSBH and its affiliates, received brokerage commissions of
$42,265.
All officers and one Trustee of the Fund are employees of SSB.
3. Investments
During the year ended August 31, 2000, the aggregate cost of purchases and pro-
ceeds from sales of investments (including maturities, but excluding short-term
securities) were as follows:
<TABLE>
<CAPTION>
Portfolio Purchases Sales
-------------------------------------------------------------------------------
<S> <C> <C>
Small Capitalization Value Equity Investments.... $ 603,031,556 $ 530,515,742
Small Capitalization Growth Investments.......... 1,503,009,921 1,626,162,687
International Equity Investments................. 1,160,822,993 1,285,949,901
Emerging Markets Equity Investments.............. 292,181,816 323,963,548
International Fixed Income Investments........... 532,206,747 513,035,618
Balanced Investments............................. 207,677,569 230,162,808
</TABLE>
At August 31, 2000, the aggregate gross unrealized appreciation and deprecia-
tion of investments for Federal income tax purposes were substantially as fol-
lows:
<TABLE>
<CAPTION>
Net Unrealized
Appreciation
Portfolio Appreciation Depreciation (Depreciation)
------------------------------------------------------------------------------
<S> <C> <C> <C>
Small Capitalization Value Equity
Investments....................... $ 72,524,427 $(112,478,849) $(39,954,422)
Small Capitalization Growth
Investments....................... 403,062,844 (148,509,995) 254,552,849
International Equity Investments... 282,005,708 (100,866,364) 181,139,344
Emerging Markets Equity
Investments....................... 47,229,065 (22,329,281) 24,899,784
International Fixed Income
Investments....................... 1,680,929 (14,273,270) (12,592,341)
Balanced Investments............... 7,983,811 (1,416,131) 6,567,680
</TABLE>
4. Futures Contracts
Initial margin deposits made upon entering into futures contracts are recog-
nized as assets. Securities equal to the initial margin amount are segregated
by the custodian in the name of the broker. Additional securities are also seg-
regated up to the current market value of the futures contract. During the pe-
riod 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 ba-
sis to reflect the market value of the contract at the end of each day's trad-
ing. 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.
132
<PAGE>
Notes to Financial Statements
(continued)
The Portfolio enters into such contracts to hedge a portion of its portfolio.
The Portfolio bears the market risk that arises from changes in the value of
the financial instruments and securities indices (futures contracts) and the
credit risk should a counterparty fail to perform under such contracts.
At August 31, 2000, Small Capitalization Value Equity Investments, Small Capi-
talization Growth Investments, International Equity Investments and Emerging
Markets Equity Investments had the following open futures contracts:
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Gain
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Russell 2000............ 29 9/00 $ 7,415,500 $ 7,787,225 $ 371,725
Small Capitalization Growth Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Gain
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Russell 2000............ 30 9/00 $ 7,936,200 $ 8,055,750 $ 119,550
International Equity Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Gain (Loss)
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Australian ALL
Ordinaries............. 4 9/00 $ 193,678 $ 190,268 $ (3,410)
Deutsche Terminboerse
DAX.................... 53 9/00 8,527,198 8,552,717 25,519
IBEX 35 PLUS............ 21 9/00 2,099,383 2,032,261 (67,122)
London Financial Times
Stock Exchange 100..... 157 9/00 14,697,699 15,277,622 579,923
Marche A Terme
International de France
Cac 40................. 20 9/00 1,178,673 1,179,482 809
MIB 30.................. 6 9/00 1,257,322 1,279,800 22,478
Osaka Securities
Exchange Nikkei 300.... 281 9/00 7,742,234 7,857,669 115,435
Hang Seng Index Future.. 2 9/00 227,238 220,019 (7,219)
OMXCAP Index Future..... 8 9/00 104,530 105,884 1,354
---------
Total $ 667,767
=========
Emerging Markets Equity Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Loss
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Taiwan MSCI............. 62 9/00 $ 2,252,960 $ 2,078,860 $(174,100)
</TABLE>
5. Foreign Securities
International Equity Investments, Emerging Markets Equity Investments and In-
ternational Fixed Income Investments invest in foreign securities which may in-
volve risks not present in domestic investments. Since securities may be denom-
inated in a foreign currency and may require settlement in foreign currencies
and pay interest and/or a dividend in foreign currencies, changes in the rela-
tionship of these foreign currencies to the U.S. dollar can significantly af-
fect the value of the investments and earnings of the Portfolios. Foreign in-
vestments may also subject the Portfolios to foreign government exchange re-
strictions, expropriation, taxation or other political, social or economic de-
velopments, all of which could affect the market and/or credit risk of the in-
vestments.
133
<PAGE>
Notes to Financial Statements
(continued)
6. Forward Foreign Currency Contracts
At August 31, 2000, International Equity Investments, Emerging Markets Equity
Investments and International Fixed Income Investments had the following open
forward foreign currency contracts. The Portfolios bear the market risk that
arises from changes in foreign currency exchange rates. The unrealized gain
(loss) on the contracts reflected in the accompanying financial statements were
as follows:
International Equity Investments
<TABLE>
<CAPTION>
Local Market Settlement Unrealized
Foreign Currency Currency Value Date Gain (Loss)
------------------ ----------- ----------- ---------- -----------
To Sell:
<S> <C> <C> <C> <C>
Australian Dollar 600,000 $ 346,693 9/5/00 $ (3,794)
Australian Dollar 600,000 346,693 9/5/00 (1,693)
Australian Dollar 85,191 49,225 9/5/00 (561)
Australian Dollar 187,791 108,510 9/5/00 (849)
British Pound 2,300,000 3,346,762 9/5/00 108,757
British Pound 2,100,000 3,055,739 9/5/00 123,031
British Pound 6,000,000 8,730,684 9/5/00 376,776
British Pound 8,364,000 12,170,573 9/5/00 (30,227)
British Pound 830,768 1,208,862 9/5/00 585
Euro 423,752 376,779 9/1/00 2,280
Euro 6,754 6,605 9/1/00 22
Euro 3,500,000 3,112,672 9/5/00 180,478
Euro 8,800,000 7,826,147 9/5/00 494,253
Euro 4,800,000 4,268,807 9/5/00 305,592
Euro 5,000,000 4,446,674 9/5/00 273,725
Euro 6,300,000 5,602,810 9/5/00 123,259
Euro 4,838,000 4,302,602 9/5/00 10,474
Euro 605,234 538,256 9/5/00 1,839
Euro 2,345,604 2,086,028 9/5/00 (2,896)
Euro 93,098 82,796 9/5/00 (338)
Euro 5,158 4,592 9/29/00 76
Euro 1,042 928 9/29/00 11
Euro 3,291 2,931 9/29/00 10
Japanese Yen 487,000,000 4,570,672 9/5/00 94,972
Japanese Yen 481,000,000 4,514,360 9/5/00 83,231
Japanese Yen 600,000,000 5,631,218 9/5/00 (101,901)
Japanese Yen 899,481,000 8,441,956 9/5/00 14,752
---------
2,051,864
---------
</TABLE>
134
<PAGE>
Notes to Financial Statements
(continued)
<TABLE>
<CAPTION>
Local Market Settlement Unrealized
Foreign Currency Currency Value Date Gain (Loss)
------------------------ ----------- ----------- ---------- -----------
To Buy:
<S> <C> <C> <C> <C>
Australian Dollar 600,000 $ 346,839 9/5/00 $ 2,245
Australian Dollar 600,000 346,839 12/5/00 3,819
British Pound 611,804 890,184 9/1/00 (16,457)
British Pound 2,864,000 4,167,446 9/5/00 (117,097)
British Pound 1,100,000 1,600,625 9/5/00 (76,654)
British Pound 1,300,000 1,891,648 9/5/00 (72,651)
British Pound 4,000,000 5,820,456 9/5/00 (197,543)
British Pound 1,600,000 2,328,182 9/5/00 (97,257)
British Pound 800,000 1,164,091 9/5/00 (37,989)
British Pound 7,100,000 10,331,309 9/5/00 (355,965)
British Pound 8,364,000 12,186,511 12/5/00 29,772
Canadian Dollar 2,167,199 1,469,761 9/5/00 2,563
Euro 393,176 349,592 9/1/00 (963)
Euro 258,000 229,448 9/5/00 (12,313)
Euro 8,380,000 7,452,626 9/5/00 (626,950)
Euro 4,700,000 4,179,874 9/5/00 (321,903)
Euro 5,000,000 4,446,674 9/5/00 (316,975)
Euro 1,400,000 1,245,068 9/5/00 (88,711)
Euro 5,200,000 4,624,541 9/5/00 (250,978)
Euro 6,100,000 5,424,943 9/5/00 (245,006)
Euro 2,200,000 1,956,536 9/5/00 (88,363)
Euro 434,241 386,671 9/29/00 (6,295)
Euro 162,195 144,427 9/29/00 (875)
Euro 394,445 351,235 9/29/00 (1,588)
Euro 623,473 555,173 9/29/00 (2,087)
Euro 90,564 80,643 9/29/00 329
Euro 4,838,000 4,322,023 12/5/00 (11,277)
Hong Kong Dollar 3,741,294 479,745 9/4/00 (48)
Japanese Yen 28,734,704 269,501 9/1/00 (254)
Japanese Yen 426,000,000 3,995,431 9/1/00 (4,568)
Japanese Yen 622,481,000 5,842,210 9/5/00 13,737
Japanese Yen 358,000,000 3,359,960 9/5/00 (39,559)
Japanese Yen 290,000,000 2,721,755 9/5/00 (94,325)
Japanese Yen 320,000,000 3,003,316 9/5/00 (20,115)
Japanese Yen 170,000,000 1,595,511 9/5/00 1,961
Japanese Yen 707,000,000 6,635,452 9/5/00 140,276
Japanese Yen 899,481,000 8,576,319 12/5/00 (14,711)
-----------
(2,924,775)
-----------
Total Unrealized Loss on
Open Forward Foreign
Currency Contracts $ (872,911)
===========
</TABLE>
135
<PAGE>
Notes to Financial Statements
(continued)
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
Local Market Settlement Unrealized
Foreign Currency Currency Value Date Gain (Loss)
---------------------------------- ------------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
To Sell:
Brazilian Real 1,264,000 $ 680,118 11/17/00 $ 1,393
Hong Kong Dollar 4,625,000 593,500 11/17/00 286
Korean Won 783,516,000 704,031 11/17/00 (3,337)
South African Rand 3,221,000 458,115 11/17/00 2,621
-----------
963
-----------
To Buy:
Euro 4,824,000 4,290,152 9/5/00 (190,717)
Greek Drachma 687,828,000 1,805,835 11/17/00 (53,361)
Indonesian Rupiah 4,151,070,000 492,972 11/17/00 146
-----------
(243,932)
-----------
Total Unrealized Loss on Open
Forward Foreign Currency
Contracts $ (242,969)
===========
International Fixed Income Investments
<CAPTION>
Local Market Settlement Unrealized
Forward Foreign Currency Contracts Currency Value Date Gain (Loss)
---------------------------------- ------------- ----------- ---------- -----------
<S> <C> <C> <C> <C>
To Sell:
Euro 13,233,060 $11,806,801 11/7/00 $ 211,199
-----------
<CAPTION>
Forward Foreign Cross
Currency Contracts* Market Value
---------------------------------- -------------------------
British Pound Euro
------------- -----------
<S> <C> <C> <C> <C>
To Buy:
British Pound vs. Euro $ 10,658,761 $10,382,566 10/19/00 276,195
<CAPTION>
Canadian
Dollar Euro
------------- -----------
<S> <C> <C> <C> <C>
Canadian Dollar vs. Euro $ 11,495,782 $10,863,018 9/7/00 632,765
4,855,357 4,733,258 9/7/00 122,100
7,135,524 6,985,803 9/7/00 149,720
<CAPTION>
Canadian
Euro Dollar
------------- -----------
<S> <C> <C> <C> <C>
Euro vs. Canadian Dollar $ 21,831,057 $23,486,663 9/7/00 (1,655,606)
<CAPTION>
Norwegian
Euro Krone
------------- -----------
<S> <C> <C> <C> <C>
Euro vs. Norwegian Krone $ 5,840,334 $ 5,848,657 9/5/00 (8,323)
-----------
(483,149)
-----------
Net Unrealized Loss on Open
Forward Foreign & Cross
Currency Contracts $ (271,950)
===========
<CAPTION>
*Local Currency on Cross
Currency Forwards Buy Sell
---------------------------------- ------------- -----------
<S> <C> <C> <C> <C>
Buy British Pound vs. Euro $ 7,320,000 $11,647,705
Buy Canadian Dollar vs. Euro 16,950,000 12,213,487
Buy Canadian Dollars vs. Euro 7,159,000 5,321,687
Buy Canadian Dollar vs. Euro 10,521,000 7,854,265
Buy Euro vs. Canadian Dollar 24,545,052 34,630,000
Buy Euro vs. Norwegian Krone 6,567,081 53,075,343
</TABLE>
136
<PAGE>
Notes to Financial Statements
(continued)
7. Repurchase Agreements
The Portfolios purchase (and their custodian takes possession of) U.S. govern-
ment securities from banks and securities dealers subject to agreements to re-
sell the securities to the sellers at a future date (generally, the next busi-
ness day) at an agreed-upon higher repurchase price. The Portfolios require
continual maintenance of the market value (plus accrued interest) of the col-
lateral in amounts at least equal to the repurchase price.
8. Capital Loss Carryforward
At August 31, 2000, Emerging Markets Equity Investments and International Fixed
Income Investments had, for Federal income tax purposes, approximately the fol-
lowing unused capital loss carryforwards available to offset future capital
gains expiring on August 31 of the years below:
<TABLE>
<CAPTION>
Portfolio Total 2007 2008
------------------------------------------------------------------------------
<S> <C> <C> <C>
Emerging Markets Equity Investments........ $83,792,000 $83,792,000 --
International Fixed Income Investments..... 1,461,000 -- $1,461,000
</TABLE>
To the extent that these capital carryforward losses are used to offset capital
gains, it is probable that the gains so offset will not be distributed.
9. Securities Traded on a To-Be-Announced Basis
The Portfolios may trade securities on a "to-be-announced" ("TBA") basis. In a
TBA transaction, the Portfolio commits to purchasing or selling securities for
which specific information is not yet known at the time of the trade, particu-
larly the face amount and maturity date in GNMA transactions. Securities pur-
chased on a TBA basis are not settled until they are delivered to the Fund nor-
mally 15 to 45 days later. These transactions are subject to market fluctua-
tions and their current value is determined in the same manner as for other se-
curities.
At August 31, 2000, Balanced Investments had purchased seven TBA securities
with a total cost of $7,077,882.
10. Short Sales of Securities
A short sale is a transaction in which a Portfolio sells securities it does not
own (but has borrowed) in anticipation of a decline in the market price of the
securities. To complete a short sale, the Portfolio may arrange through a bro-
ker to borrow the securities to be delivered to the buyer. The proceeds re-
ceived by the Portfolio for the short sale are retained by the broker until the
Portfolio replaces the borrowed securities. In borrowing the securities to be
delivered to the buyer, the Portfolio becomes obligated to replace the securi-
ties borrowed at their market price at the time of replacement, whatever that
price may be.
At August 31, 2000, the Portfolios did not have any open short sale transac-
tions.
11. Lending of Portfolio Securities
The Portfolios have an agreement with the custodian whereby the custodian may
lend securities owned by the Portfolios to brokers, dealers and other financial
organizations. Fees earned by the Portfolios on securities lending are recorded
in interest income. Loans of securities by the Portfolios are collateralized by
cash, U.S. government securities or high quality money market instruments that
are maintained at all times in an amount equal to the current market value of
the loaned securities, plus a margin depending on the type of securities
loaned. The custodian establishes and maintains the collateral in a segregated
account.
137
<PAGE>
Notes to Financial Statements
(continued)
At August 31, 2000, the Portfolios listed below had securities on loan. The
market value for the securities on loan was as follows:
<TABLE>
<CAPTION>
Portfolio Value
-------------------------------------------------------------------------------
<S> <C>
Small Capitalization Value Equity Investments..................... $ 34,199,148
Small Capitalization Growth Investments........................... 232,793,978
International Equity Investments.................................. 111,260,347
Emerging Markets Equity Investments............................... 926,807
International Fixed Income Investments............................ 33,146,637
Balanced Investments ............................................. 2,483,234
</TABLE>
At August 31, 2000, Small Capitalization Value Equity Investments, Small Capi-
talization Growth Investments, International Equity Investments, Emerging Mar-
kets Equity Investments, International Fixed Income Investments and Balanced
Investments received cash collateral which was invested as follows:
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
Security Description Value
-------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Bank Brussels Lambert, 6.670% due 9/1/00.......................... $ 3,707,709
Barclays Bank PLC, 6.630% due 9/1/00.............................. 4,861,124
Barclays de Zoete, 6.660% due 9/1/00.............................. 4,674,937
Chase Bank, 6.690% due 9/1/00..................................... 4,674,937
Wells Fargo Bank, 6.660% due 9/1/00............................... 12,286,754
Floating Rate Notes:
Bear Stearns Co., 6.650% due 8/10/01.............................. 4,647,260
First Union National Bank, 6.510% due 5/21/01..................... 1,554,135
First Union National Bank, 6.610% due 5/23/01..................... 34,605
Key Bank Corp., 5.880% due 2/14/01................................ 96,813
-----------
Total.............................................................. $36,538,274
===========
</TABLE>
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
Security Description Value
-------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Bank Brussels Lambert, 6.670% due 9/1/00......................... $ 22,590,782
Bank Brussels Lambert, 6.680% due 9/1/00......................... 3,617,528
Barclays Bank PLC, 6.600% due 9/1/00............................. 155,508
Barclays Bank PLC, 6.630% due 9/1/00............................. 32,214,384
Barclays de Zoete, 6.660% due 9/1/00............................. 33,045,260
Chase Bank, 6.690% due 9/1/00.................................... 33,045,260
Sanwa Bank, 6.620% due 10/5/00................................... 2,618,980
Wells Fargo Bank, 6.660% due 9/1/00.............................. 86,850,148
Floating Rate Certificate of Deposit:
Comerica Bank, 5.860% due 2/14/01................................ 4,518,551
Floating Rate Notes:
Bear Stearns Co., 6.680% due 7/13/01............................. 901,052
Bear Stearns Co., 6.650% due 8/10/01............................. 1,437,492
First Union National Bank, 6.510% due 5/21/01.................... 7,304,433
First Union National Bank, 6.610% due 5/23/01.................... 966,778
Key Bank Corp., 5.880% due 2/14/01............................... 2,963,489
Morgan Stanley, 5.750% due 11/2/00............................... 1,555,435
Sigma Finance Corp., 6.630% due 12/4/00.......................... 1,574,461
------------
Total............................................................. $235,359,541
============
</TABLE>
138
<PAGE>
Notes to Financial Statements
(continued)
International Equity Investments
<TABLE>
<CAPTION>
Security Description Value
-------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Banca Commerciale Italiano, London, 6.690% due 9/1/00............ $ 5,542,070
Bank of Austria, 6.690% due 9/1/00............................... 5,542,070
Banque Bruxelles Lambert, London, 6.690% due 9/1/00.............. 4,917,327
Banque International Luxembourg, London, 6.690% due 9/1/00....... 5,542,069
Barclays Bank PLC, 6.670% due 9/1/00............................. 5,542,069
Bayerische Landesbank, Paris, 6.690% due 9/1/00.................. 1,269,638
Credit Commerciale de France, 6.690% due 9/1/00.................. 5,542,069
Deutsche Bank, Toronto, 6.690% due 9/1/00........................ 5,542,069
Rabobank, London, 6.660% due 9/1/00.............................. 5,542,069
Royal Bank of Canada, London, 6.670% due 9/1/00.................. 5,542,069
Societe Generale, 6.660% due 9/1/00.............................. 5,542,069
Commercial Paper:
Associates First Capital Corp., 6.670% due 9/1/00................ 5,037,311
Barton Capital Corp., 6.670% due 9/1/00.......................... 5,218,655
General Electric Credit Corp., 6.670% due 9/1/00................. 5,037,311
Koch Industries Inc., 6.660% due 9/1/00.......................... 5,037,313
Lexington Parker Capital, 6.690% due 9/1/00...................... 5,037,309
New Center Asset Trust, 6.670% due 9/1/00........................ 5,037,311
Sheffield Receivable Corp., 6.650% due 9/1/00.................... 5,865,449
UBS Finance (Delaware) Inc., 6.650% due 9/1/00................... 5,742,538
Repurchase Agreements:
Bear Stearns Co., 6.620% due 9/1/00.............................. 6,549,718
J.P. Morgan Securities Co., 6.710% due 9/1/00.................... 10,076,490
Morgan Stanley, 6.640% due 9/1/00................................ 1,894,956
------------
Total............................................................. $116,599,949
============
Emerging Markets Equity Investments
<CAPTION>
Security Description Value
-------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Banca Commerciale Italiano, London, 6.690% due 9/1/00............ $ 44,655
Bank of Austria, 6.690% due 9/1/00............................... 44,655
Banque Bruxelles Lambert, London, 6.690% due 9/1/00.............. 39,621
Banque International Luxembourg, London, 6.690% due 9/1/00....... 44,655
Barclays Bank PLC, 6.670% due 9/1/00............................. 44,655
Bayerische Landesbank, Paris, 6.690% due 9/1/00.................. 10,230
Credit Commerciale de France, 6.690% due 9/1/00.................. 44,655
Deutsche Bank, Toronto, 6.690% due 9/1/00........................ 44,655
Rabobank, London, 6.660% due 9/1/00.............................. 44,655
Royal Bank of Canada, London, 6.670% due 9/1/00.................. 44,655
Societe Generale, 6.660% due 9/1/00.............................. 44,655
Commercial Paper:
Associates First Capital Corp., 6.670% due 9/1/00................ 40,588
Barton Capital Corp., 6.670% due 9/1/00.......................... 42,049
General Electric Credit Corp., 6.670% due 9/1/00................. 40,588
Koch Industries Inc., 6.660% due 9/1/00.......................... 40,588
Lexington Parker Capital, 6.690% due 9/1/00...................... 40,588
New Center Asset Trust, 6.670% due 9/1/00........................ 40,588
Sheffield Receivable Corp., 6.650% due 9/1/00.................... 47,261
UBS Finance (Delaware) Inc., 6.650% due 9/1/00................... 46,270
Repurchase Agreements:
Bear Stearns Co., 6.620% due 9/1/00.............................. 81,191
J.P. Morgan Securities Co., 6.710% due 9/1/00.................... 52,774
Morgan Stanley, 6.640% due 9/1/00................................ 15,269
------------
Total............................................................. $ 939,500
============
</TABLE>
139
<PAGE>
Notes to Financial Statements
(continued)
International Fixed Income Investments
<TABLE>
<CAPTION>
Security Description Value
-------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Banca Commerciale Italiano, London, 6.690% due 9/1/00............. $ 1,664,499
Bank of Austria, 6.690% due 9/1/00................................ 1,664,499
Banque Bruxelles Lambert, London, 6.690% due 9/1/00............... 1,476,864
Banque International Luxembourg, London, 6.690% due 9/1/00........ 1,664,499
Barclays Bank PLC, 6.670% due 9/1/00.............................. 1,664,499
Bayerische Landesbank, Paris, 6.690% due 9/1/00................... 381,322
Credit Commerciale de France, 6.690% due 9/1/00................... 1,664,499
Deutsche Bank, Toronto, 6.690% due 9/1/00......................... 1,664,499
Rabobank, London, 6.660% due 9/1/00............................... 1,664,499
Royal Bank of Canada, London, 6.670% due 9/1/00................... 1,664,499
Societe Generale, 6.660% due 9/1/00............................... 1,664,499
Commercial Paper:
Associates First Capital Corp., 6.670% due 9/1/00................. 1,512,900
Barton Capital Corp., 6.670% due 9/1/00........................... 1,567,365
General Electric Credit Corp., 6.670% due 9/1/00.................. 1,512,900
Koch Industries Inc., 6.660% due 9/1/00........................... 1,512,901
Lexington Parker Capital, 6.690% due 9/1/00....................... 1,512,901
New Center Asset Trust, 6.670% due 9/1/00......................... 1,512,900
Sheffield Receivable Corp., 6.650% due 9/1/00..................... 1,761,622
UBS Finance (Delaware) Inc., 6.650% due 9/1/00.................... 1,724,708
Repurchase Agreements:
Bear Stearns Co., 6.620% due 9/1/00............................... 3,026,362
J.P. Morgan Securities Co., 6.710% due 9/1/00..................... 1,967,135
Morgan Stanley, 6.640% due 9/1/00................................. 569,129
-----------
Total.............................................................. $35,019,500
===========
</TABLE>
Balanced Investments
<TABLE>
<CAPTION>
Security Description Value
-------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Bank Brussels Lambert, 6.660% due 9/1/00........................... $ 193,342
Barclays Bank PLC, 6.630% due 9/1/00............................... 279,378
Barclays de Zoete, 6.680% due 9/1/00............................... 243,779
Chase Bank, 6.690% due 9/1/00...................................... 243,779
Wells Fargo Bank, 6.660% due 9/1/00................................ 640,705
Floating Rate Certificate of Deposit:
Comerica Bank, 5.860% due 2/14/01.................................. 135,102
Floating Rate Notes:
Key Bank Corp., 5.880% due 2/14/01................................. 35,205
Morgan Stanley, 5.750% due 11/2/00................................. 138,101
Sigma Finance Corp., 6.480% due 11/6/00............................ 125,637
Sigma Finance Corp., 6.630% due 12/4/00............................ 170,079
Yankee Certificates of Deposit:
Sanwa Bank, 6.620% due 10/5/00..................................... 232,573
Sanwa Bank, 6.620% due 2/14/01..................................... 58,870
----------
Total .............................................................. $2,496,550
==========
</TABLE>
In addition to the above noted cash collateral, International Equity Invest-
ments held securities collateral with a market value of $589,074 as of August
31, 2000.
140
<PAGE>
Notes to Financial Statements
(continued)
Income earned by the Portfolios from securities lending for the year ended Au-
gust 31, 2000 were as follows:
<TABLE>
<CAPTION>
Portfolio Value
-------------------------------------------------------------------------------
<S> <C>
Small Capitalization Value Equity Investments....................... $ 256,829
Small Capitalization Growth Investments............................. 1,182,842
International Equity Investments.................................... 773,810
Emerging Markets Equity Investments................................. 35,289
International Fixed Income Investments.............................. 45,101
Balanced Investments ............................................... 6,112
</TABLE>
12. Swap Contracts
Emerging Markets Equity Investments has entered into an index swap agreement
with Merrill Lynch International ("MLI"). The Portfolio will record the differ-
ence between a predetermined fixed interest rate and the closing value on the
MSCI India Index. These differences are netted out in a cash settlement on the
expiration date, with the Portfolio receiving or paying, as the case may be,
only the net amount of the two differences. The Portfolio is exposed to credit
loss in the event of nonperformance by the swap counterparty. As of August 31,
2000, the Portfolio entered into the following index swap agreement:
<TABLE>
<S> <C>
Swap Counterparty....... Merrill Lynch International
Effective Date.......... June 7, 2000
Notional Amount......... $3,000,000
Payments Made by the
Portfolio.............. Fixed Rate 3.07%
Payments Received by the
Portfolio.............. Floating Rate (MSCI India U.S. Dollar Price Return Index)
Termination Date........ December 1, 2000
Unrealized Appreciation
as of August 31, 2000.. $12,143
</TABLE>
13. Shares of Beneficial Interest
At August 31, 2000, the Fund had an unlimited number of shares of beneficial
interest authorized with a par value of $0.001 per share. Transactions in
shares were as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
August 31, 2000 August 31, 1999
--------------- ---------------
<S> <C> <C>
Small Capitalization Value Equity Investments
Shares sold.................................... 39,831,689 52,439,364
Shares issued on reinvestment.................. 2,499,302 19,687,603
Shares reacquired.............................. (33,310,074) (67,623,981)
------------ -----------
Net Increase................................... 9,020,917 4,502,986
============ ===========
Small Capitalization Growth Investments
Shares sold.................................... 34,624,515 23,026,786
Shares issued on reinvestment.................. 6,431,448 2,140,083
Shares reacquired.............................. (38,404,335) (30,203,582)
------------ -----------
Net Increase (Decrease)........................ 2,651,628 (5,036,713)
============ ===========
International Equity Investments
Shares sold.................................... 105,173,150 67,405,362
Shares issued on reinvestment.................. 10,736,350 7,749,314
Shares reacquired.............................. (111,118,389) (88,204,125)
------------ -----------
Net Increase (Decrease)........................ 4,791,111 (13,049,449)
============ ===========
Emerging Markets Equity Investments
Shares sold.................................... 202,690,130 35,288,902
Shares issued on reinvestment.................. 1,253,787 441,104
Shares reacquired.............................. (230,891,689) (41,373,785)
------------ -----------
Net Decrease................................... (26,947,772) (5,643,779)
============ ===========
</TABLE>
141
<PAGE>
Notes to Financial Statements
(continued)
<TABLE>
<CAPTION>
Year Ended Year Ended
August 31, 2000 August 31, 1999
--------------- ---------------
<S> <C> <C>
International Fixed Income Investments
Shares sold..................................... 11,789,951 12,322,760
Shares issued on reinvestment................... 1,499,605 1,331,308
Shares reacquired............................... (9,908,083) (7,518,237)
---------- ----------
Net Increase.................................... 3,381,473 6,135,831
========== ==========
Balanced Investments
Shares sold..................................... 2,303,883 3,008,224
Shares issued on reinvestment................... 1,043,398 795,738
Shares reacquired............................... (4,649,658) (3,540,988)
---------- ----------
Net Increase (Decrease)......................... (1,302,377) 262,974
========== ==========
</TABLE>
142
<PAGE>
Financial Highlights
For a share of beneficial interest outstanding throughout each year ended Au-
gust 31:
<TABLE>
<CAPTION>
Small Capitalization Value
Equity Investments
------------------------------------------------------------------------------
2000 1999 1998(1) 1997 1996
------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Year.............................. $10.56 $11.11 $14.45 $11.11 $10.01
------ ------ ------ ------ ------
Income (Loss) From Operations:
Net investment income............. 0.20 0.19 0.17 0.19 0.16
Net realized and unrealized gain
(loss)........................... 0.30 1.28 (1.66) 4.22 1.08
------ ------ ------ ------ ------
Total Income (Loss) From Opera-
tions............................. 0.50 1.47 (1.49) 4.41 1.24
------ ------ ------ ------ ------
Less Distributions From:
Net investment income............. (0.16) (0.20) (0.13) (0.19) (0.14)
Net realized gains................ (0.18) (1.82) (1.72) (0.88) --
------ ------ ------ ------ ------
Total Distributions................ (0.34) (2.02) (1.85) (1.07) (0.14)
------ ------ ------ ------ ------
Net Asset Value, End of Year....... $10.72 $10.56 $11.11 $14.45 $11.11
====== ====== ====== ====== ======
Total Return....................... 5.09% 13.61% (12.84)% 42.40% 12.48%
Net Assets, End of Year (mil-
lions)............................ $852 $744 $740 $622 $479
Ratios to Average Net Assets:
Expenses.......................... 0.91% 0.96% 0.94% 0.90% 0.95%
Net investment income............. 2.12 1.70 1.45 1.62 1.52
Portfolio Turnover Rate............ 72% 53% 59% 53% 39%
<CAPTION>
Small Capitalization Growth
Investments
------------------------------------------------------------------------------
2000(1) 1999 1998 1997 1996
------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Year.............................. $17.93 $12.83 $18.29 $17.79 $17.19
------ ------ ------ ------ ------
Income (Loss) From Operations:
Net investment loss............... (0.11) (0.07) (0.07) (0.06) (0.08)
Net realized and unrealized gain
(loss)........................... 8.66 5.68 (4.23) 2.87 3.36
------ ------ ------ ------ ------
Total Income (Loss) From Opera-
tions............................. 8.55 5.61 (4.30) 2.81 3.28
------ ------ ------ ------ ------
Less Distributions From:
Net realized gains................ (2.12) (0.51) (1.16) (2.31) (2.68)
------ ------ ------ ------ ------
Total Distributions................ (2.12) (0.51) (1.16) (2.31) (2.68)
------ ------ ------ ------ ------
Net Asset Value, End of Year....... $24.36 $17.93 $12.83 $18.29 $17.79
====== ====== ====== ====== ======
Total Return....................... 50.57% 44.32% (25.10)% 17.53% 21.33%
Net Assets, End of Year (mil-
lions)............................ $1,572 $1,109 $859 $777 $494
Ratios to Average Net Assets:
Expenses.......................... 0.98% 0.93% 1.01% 0.90% 1.00%
Net investment loss............... (0.50) (0.39) (0.43) (0.39) (0.49)
Portfolio Turnover Rate............ 110% 108% 91% 81% 83%
</TABLE>
------
(1) Per share amounts have been calculated using the monthly average shares
method.
143
<PAGE>
Financial Highlights
(continued)
For a share of beneficial interest outstanding throughout each year ended Au-
gust 31:
<TABLE>
<CAPTION>
International Equity
Investments
--------------------------------------------------------------------------------
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
------------------------------------------------
Net Asset Value, Beginning of
Year........................ $12.43 $10.69 $10.63 $10.49 $10.50
-------- -------- -------- -------- -------
Income From Operations:
Net investment income....... 0.14 0.09 0.14 0.09 --
Net realized and unrealized
gain....................... 2.19 2.39 0.21 0.87 0.44
-------- -------- -------- -------- -------
Total Income From Opera-
tions....................... 2.33 2.48 0.35 0.96 0.44
-------- -------- -------- -------- -------
Less Distributions From:
Net investment income....... (0.11) (0.15) (0.17) (0.12) (0.17)
Net realized gains.......... (1.15) (0.59) (0.12) (0.70) (0.28)
-------- -------- -------- -------- -------
Total Distributions.......... (1.26) (0.74) (0.29) (0.82) (0.45)
-------- -------- -------- -------- -------
Net Asset Value, End of
Year........................ $13.50 $12.43 $10.69 $10.63 $10.49
======== ======== ======== ======== =======
Total Return................. 19.17% 24.06% 3.53% 9.53% 4.23%
Net Assets, End of Year (mil-
lions)...................... $1,569 $1,385 $1,331 $1,136 $844
Ratios to Average Net Assets:
Expenses(1)................. 0.94% 0.82% 0.90% 0.97% 1.00%
Net investment income
(loss)..................... 0.54 0.90 1.23 0.70 (0.12)
Portfolio Turnover Rate...... 75% 45% 45% 32% 50%
<CAPTION>
Emerging Markets Equity
Investments
--------------------------------------------------------------------------------
2000(2) 1999(2) 1998 1997 1996
<S> <C> <C> <C> <C> <C>
------------------------------------------------
Net Asset Value, Beginning of
Year........................ $6.74 $4.37 $9.31 $8.50 $7.85
-------- -------- -------- -------- -------
Income (Loss) From Opera-
tions:
Net investment income
(loss)(3).................. (0.02) 0.05 0.06 0.04 0.03
Net realized and unrealized
gain (loss)................ 0.67 2.36 (4.44) 0.79 0.62
-------- -------- -------- -------- -------
Total Income (Loss) From Op-
erations.................... 0.65 2.41 (4.38) 0.83 0.65
-------- -------- -------- -------- -------
Less Distributions From:
Net investment income....... (0.04) (0.04) (0.10) (0.01) --
Net realized gains.......... -- -- (0.46) (0.01) --
-------- -------- -------- -------- -------
Total Distributions.......... (0.04) (0.04) (0.56) (0.02) --
-------- -------- -------- -------- -------
Net Asset Value, End of
Year........................ $7.35 $6.74 $4.37 $9.31 $8.50
======== ======== ======== ======== =======
Total Return................. 9.62% 55.37% (49.49)% 9.88% 8.28%
Net Assets, End of Year
(000s)...................... $305,066 $317,626 $230,526 $226,280 $97,489
Ratios to Average Net Assets:
Expenses(3)(4).............. 1.66% 1.72% 1.69% 1.60% 1.84%
Net investment income
(loss)..................... (0.24) 0.84 0.80 0.39 0.26
Portfolio Turnover Rate...... 110% 135% 139% 105% 106%
</TABLE>
------
(1) During the year ended August 31, 1996, the Portfolio earned credits from
the custodian which reduced service fees incurred. If the credits are taken
into consideration, the ratio of expenses to average net assets for Inter-
national Equity Investments would be 1.00%; prior year numbers have not
been restated to reflect these numbers.
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Expense Ratios
Net Investment Without
Income Per Waivers and/or
Share Decrease Reimbursements
-------------- --------------
Portfolio 1996 1996
--------- ---- ----
<S> <C> <C>
Emerging Markets Equity Investments............ $0.01 1.97%
</TABLE>
(4) During the year ended August 31, 1996, the portfolio earned credits from
the custodian which reduced service fees incurred. If the credits are taken
into consideration, the ratio of expenses to average net assets for Emerg-
ing Markets Equity Investments would be 1.80%; prior year numbers have not
been restated to reflect these numbers.
144
<PAGE>
Financial Highlights
(continued)
For a share of beneficial interest outstanding throughout each year ended Au-
gust 31:
<TABLE>
<CAPTION>
International Fixed
Income Investments
--------------------------------------------------------------------------------
2000(1) 1999(1) 1998 1997 1996
<S> <C> <C> <C> <C> <C>
----------------------------------------------------
Net Asset Value, Begin-
ning of Year ........... $8.10 $8.34 $8.21 $9.11 $9.01
-------- -------- -------- -------- --------
Income (Loss) From Operations:
Net investment income... 0.36 0.42 0.51 0.51 0.55
Net realized and
unrealized gain
(loss)................. (0.84) (0.24) 0.31 (0.62) 0.49
-------- -------- -------- -------- --------
Total Income (Loss) From
Operations.............. (0.48) 0.18 0.82 (0.11) 1.04
-------- -------- -------- -------- --------
Less Distributions From:
Net investment income... (0.06) (0.42) (0.27) (0.55) (0.94)
Net realized gains...... -- -- (0.34) (0.24) --
Capital................. (0.32) (0.00)* (0.08) -- --
-------- -------- -------- -------- --------
Total Distributions...... (0.38) (0.42) (0.69) (0.79) (0.94)
-------- -------- -------- -------- --------
Net Asset Value, End of
Year.................... $7.24 $8.10 $8.34 $8.21 $9.11
======== ======== ======== ======== ========
Total Return............. (6.13)% 2.30% 10.45% (1.52)% 12.05%
Net Assets, End of Year
(000s).................. $235,566 $236,254 $192,068 $125,610 $129,410
Ratios to Average Net As-
sets:
Expenses(2)............. 0.98% 0.94% 0.97% 0.99% 1.02%
Net investment income... 4.70 4.85 5.39 5.87 6.34
Portfolio Turnover Rate.. 225% 204% 211% 251% 211%
<CAPTION>
Balanced Investments
--------------------------------------------------------------------------------
2000 1999 1998 1997 1996
<S> <C> <C> <C> <C> <C>
----------------------------------------------------
Net Asset Value, Begin-
ning of Period.......... $11.41 $10.87 $12.01 $10.00 $9.37
-------- -------- -------- -------- --------
Income (Loss) From Opera-
tions:
Net investment in-
come(3)................ 0.30 0.25 0.26 0.27 0.29
Net realized and
unrealized gain
(loss)................. 1.19 1.74 (0.53) 2.27 0.95
-------- -------- -------- -------- --------
Total Income (Loss) From
Operations.............. 1.49 1.99 (0.27) 2.54 1.24
-------- -------- -------- -------- --------
Less Distributions From:
Net investment income... (0.24) (0.29) (0.30) (0.27) (0.28)
Net realized gains...... (1.48) (1.16) (0.57) (0.26) (0.33)
-------- -------- -------- -------- --------
Total Distributions...... (1.72) (1.45) (0.87) (0.53) (0.61)
-------- -------- -------- -------- --------
Net Asset Value, End of
Period.................. $11.18 $11.41 $10.87 $12.01 $10.00
======== ======== ======== ======== ========
Total Return............. 14.45% 18.78% (2.85)% 26.05% 13.60%
Net Assets, End of Period
(000s).................. $58,810 $74,866 $68,470 $89,789 $50,281
Ratios to Average Net As-
sets:
Expenses(3)............. 1.00% 0.85% 1.00% 1.00% 1.00%
Net investment income... 2.60 1.77 1.92 2.49 2.85
Portfolio Turnover Rate.. 303% 332% 57% 67% 47%
</TABLE>
------
(1) Per share amounts have been calculated using the monthly average shares
method.
(2) During the years ended August 31, 1997 and August 31, 1996, the Portfolio
earned credits from the custodian which reduced service fees incurred. If
the credits are taken into consideration, the ratio of expenses to average
net assets for International Fixed Income Investments would be 0.97% and
0.97%, respectively; prior year numbers have not been restated to reflect
these numbers.
(3) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Net Investment Income Expense Ratios Without Waivers
Per Share Decrease and/or Reimbursements
---------------------------- ------------------------------------
Portfolio 2000 1999 1998 1997 1996 2000 1999 1998 1997 1996
--------- ----- ---- ---- ----- ----- ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Balanced Investments.... $0.02 N/A N/A $0.00* $0.03 1.16% N/A N/A 1.02% 1.26%
</TABLE>
* Amount represents less than $0.01 per share.
145
<PAGE>
Independent Auditors' Report
The Shareholders and Board of Trustees of
Consulting Group Capital Markets Funds:
We have audited the accompanying statements of assets and liabilities, includ-
ing the schedules of investments, of Small Capitalization Value Equity Invest-
ments, Small Capitalization Growth Investments, International Equity Invest-
ments, International Fixed Income Investments, Emerging Markets Equity Invest-
ments and Balanced Investments ("Portfolios") of Consulting Group Capital Mar-
kets Funds ("Fund") as of August 31, 2000, and the related statements of opera-
tions for the year then ended, the statements of changes in net assets for each
of the years in the two-year period then ended, and the financial highlights
for each of the years in the five-year period then ended. These financial
statements and financial highlights are the responsibility of the Fund's man-
agement. Our responsibility is to express an opinion on these financial state-
ments and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures
included confirmation of securities owned as of August 31, 2000, by
correspondence with the custodian. As to securities purchased or sold but not
yet received or delivered, we performed other appropriate auditing procedures.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Portfolios of the Fund as of August 31, 2000, and the results of their opera-
tions for the year then ended, the changes in their net assets for each of the
years in the two-year period then ended, and the financial highlights for each
of the years in the five-year period then ended, in conformity with accounting
principles generally accepted in the United States of America.
/s/ KPMG LLP
New York, New York
October 15, 2000
146
<PAGE>
Tax Information
(unaudited)
The following August 31, 2000 fiscal year end disclosures are of various tax
benefits that will be reported to shareholders at calendar year end.
The Portfolios listed below designate for Federal income tax purposes the
following amounts as long term capital gain distributions paid:
<TABLE>
<S> <C>
Small Capitalization Value Equity Investments................. $ 13,204,272
Small Capitalization Growth Investments....................... 84,344,090
International Equity Investments.............................. 122,402,729
Balanced Investments.......................................... 9,419,182
The following percentages of ordinary income distributions have been desig-
nated as qualifying for the dividends received deduction available to corpo-
rate shareholders.
Small Capitalization Value Equity Investments................. 85.59%
Small Capitalization Growth Investments....................... 6.15
Balanced Investments.......................................... 24.83
The total foreign sourced income received by International Equity Investments
and Emerging Markets Equity Investments, respectively, were $0.1914 per share
(or a total amount of $22,241,602) and $0.0943 per share (or a total amount of
$3,913,934). The total amounts of foreign taxes paid, again respectively, were
$0.0219 per share (or a total amount of $2,549,778) and $0.0121 per share (or a
total amount of $501,052).
The following percentage of ordinary income distributions have been derived
from investments in U.S. Government and Agency Obligations. All or a portion of
the corresponding percentage may be exempt from taxation at the state level.
Balanced Investments.......................................... 21.14%
</TABLE>
The above figures may differ from those cited elsewhere in this report due to
differences in the calculations of income and capital gain for Securities and
Exchange Commission (book) purposes and Internal Revenue Service (tax) purpos-
es.
147
<PAGE>
S A L O M O N S M I T H B A R N E Y . C O M
--------------------------------------------------------------------------------
SALOMON SMITH BARNEY
--------------------
A member of citigroup [LOGO]
Salomon Smith Barney is a service mark of Salomon Smith Barney Inc.
This report is submitted for the general information of the shareholders of
Consulting Group Capital Markets Funds. It is not authorized for distribution to
prospective investors unless accompanied or preceded by a current Prospectus for
the Trust which contains information concerning the Trust's Investment policies,
charges and expenses as well as other pertinent information.
TK 2120B, 8/00 Consulting Group Capital Markets Funds . 222 Delaware Avenue .
Wilmington, Delaware . 19801
