<PAGE>
TRAK(R)
----------------------------------------
Personalized Investment Advisory Service
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
Semi-Annual Report
February 29, 2000
[LOGO OF SALOMON SMITH BARNEY]
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
TABLE OF CONTENTS
<TABLE>
<S> <C>
Shareholder Letter.......................................................... 2
Schedules of Investments:
Large Capitalization Value Equity Investments............................. 4
Large Capitalization Growth Investments................................... 21
S&P 500 Index Investments................................................. 34
Intermediate Fixed Income Investments..................................... 47
Long-Term Bond Investments................................................ 53
Municipal Bond Investments................................................ 55
Mortgage Backed Investments............................................... 57
High Yield Investments.................................................... 59
Multi-Sector Fixed Income Investments..................................... 63
Government Money Investments.............................................. 67
Statements of Assets and Liabilities........................................ 70
Statements of Operations.................................................... 72
Statements of Changes in Net Assets......................................... 74
Notes to Financial Statements............................................... 78
Financial Highlights........................................................ 87
</TABLE>
1
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
Dear Shareholder:
Although we are only two full months into the new millennium, the U.S. equity
markets continue to focus on new economy stocks. Investor sentiment remained
positive and almost any stock that stood to benefit from the internet was
propelled higher. While the tech-heavy NASDAQ Index closed 1999 with a gain of
almost 86%, it advanced over 17% in the first sixty days of 2000. This was in
contrast to the Standard & Poor's 500 Index ("S&P 500 Index") Index that
finished 1999 up 21%, but had declined almost 7% this year through February.
This divergence has caused concern and left investors to wonder how long it
would persist.
The divergence can be explained by a number of factors. Traditional valuation
measures like price/earnings and dividend yields have flashed the same "over-
valued" signal for years. Market strategists and portfolio managers alike have
therefore either downplayed or ignored these traditional warning signs. So,
when faced with a decision of following the technology sector's momentum or
bottom fishing in the old-economy stocks, most have chosen to buy the new-
economy stocks. Also, with investors moving assets to sectors with positive
momentum, the money is coming out of non-technology sectors like healthcare and
consumer non-durables.
The divergence between technology and non-technology spilled over into small-
cap stocks. For 1999, the Russell 2000 Index moved past the S&P 500 Index and
returned 21%. This followed almost five years of predictions that small-cap
stocks would outperform large-cap stocks. And, in the first two months of 2000,
the gap has only widened. So far in 2000, a small number of stocks accounted
for the Russell 2000 Index's gain and nearly all were technology and bio-
technology names. So, whether examining the performance of large-cap or small-
cap stocks, technology-related shares have been the market driver.
While stocks moved higher in 1999, bonds moved in the opposite direction.
This continued the de-coupling of stocks and bonds that began at the end of
1997. For the year 1999, returns on most major fixed income benchmarks were
negative. The yield on the 30-year Treasury bond reached 6.48% by the end of
the year, from 5.09% at the beginning of 1999. However, in the first two months
of 2000, long rates declined and the yield curve has become inverted with the 5
and 10-year yields higher than the 30-year Treasury.
Overseas, emerging markets throughout Asia and Latin America staged explosive
recoveries from the 1997-98 financial crisis. A return of foreign capital to
developing Asian countries helped bolster local currencies, boosting stock
market returns in dollar terms. The Morgan Stanley Capital International
("MSCI") Emerging Markets Free Index posted returns of 25.45% for the fourth
quarter and 66.42% for the year in dollar terms.
Stock markets in the developed world also posted generally strong returns.
The MSCI Europe and the Far East Index returned 17.06% in dollar terms in the
fourth quarter, and 27.31% for the year. In Japan, economic recovery, combined
with efforts to shore up the nation's banking system, gave a strong upward push
to stocks. The MSCI Japan Index returned 15.50% for the fourth quarter and
61.50% for the year in dollar terms. Most European markets also advanced, as a
wave of mergers prompted hopes of improved corporate profitability. However,
weakness in the newly created Euro trimmed market gains in dollar terms.
Consulting Group Capital Markets Funds ("Portfolios")
During the six months ended February 29, 2000, the Portfolios generally
performed in line with their respective benchmarks. However, it was a very
difficult period for two portfolios: Long-Term Bond Investments and High Yield
Investments. With respect to Long-Term Bond Investments, Consulting Group
retained Western Asset Management in October, replacing National Asset
Management, and believe the Portfolio is well positioned to take advantage of
opportunities in the long-term portion of the market as they arise. High Yield
Investments' poor performance can be primarily attributed to the Advisor's
concentration in the sectors of the market that have been out of favor.
2
<PAGE>
Consulting Group, as investment manager, is responsible for hiring advisors
that it determines will benefit shareholders, and changing advisors where
appropriate. During the last six months, the Board of Trustees approved
Consulting Group's recommendation to:
. Retain Metropolitan West Asset Management as an additional advisor to
Intermediate Fixed Income Investments.
. Retain TCW Investment Management as an additional advisor to Large
Capitalization Growth Investments.
Shareholders of the individual Portfolios have received an Information
Statement detailing these changes.
During the reporting period, two additional portfolios were added to the fund
family. S&P 500 Index Investments, launched on October 1, is designed to
replicate the S&P 500 Index. Multi-Sector Fixed Income Investments, also
launched on October 1, combines in one fund allocations to the intermediate and
long-term sectors of the market as well as the mortgage and high yield
components. More information on both Portfolios may be obtained by contacting
your Financial Consultant.
Finally, it is still too early to determine whether the market volatility
witnessed over the past six months is here to stay. It is important to remember
your investment goals and objectives and revisit them if appropriate. 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 of the Board of Trustees Investment Officer of the Consulting
of the Consulting Group Capital Group Capital Markets Funds
Markets Funds
March 29, 2000
3
<PAGE>
Schedules of Investments (unaudited) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
STOCK -- 98.9%
- --------------------------------------------------------------------------------
Advertising -- 0.0%
2,457 Harte-Hanks, Inc..................................... $ 53,593
299 Lamar Advertising Co.*............................... 13,025
- --------------------------------------------------------------------------------
66,618
- --------------------------------------------------------------------------------
Aerospace/Defense -- 2.1%
93,863 The B.F. Goodrich, Co. .............................. 2,246,846
311,788 The Boeing Co. ...................................... 11,497,183
26,980 Cordant Technologies Inc............................. 873,478
96,382 General Dynamics Corp................................ 4,168,522
245 Howmet International Inc.*........................... 4,487
45,467 Litton Industries, Inc.*............................. 1,361,168
25,499 Lockheed Martin Corp. ............................... 444,639
5,175 Northrop Grumman Corp. .............................. 235,139
25,208 Raytheon Co., Class B Shares......................... 466,348
1,534 Teledyne Technologies Inc.*.......................... 13,327
262,484 United Technologies Inc.............................. 13,370,279
- --------------------------------------------------------------------------------
34,681,416
- --------------------------------------------------------------------------------
Airlines -- 0.5%
10,973 AMR Corp.*........................................... 580,197
3,263 Continental Airlines, Inc., Class B Shares*.......... 103,192
62,818 Delta Air Lines, Inc................................. 2,866,072
1,889 Northwest Airlines Corp.*............................ 32,585
295,989 Southwest Airlines Co. .............................. 5,457,297
2,086 UAL Corp.*........................................... 101,693
5,051 US Airways Group, Inc.*.............................. 94,391
- --------------------------------------------------------------------------------
9,235,427
- --------------------------------------------------------------------------------
Apparel -- 0.2%
4,464 Liz Claiborne, Inc. ................................. 167,121
103,200 NIKE, Inc., Class B Shares+.......................... 2,934,750
3,685 Polo Ralph Lauren Corp.*............................. 61,724
7,184 V.F. Corp............................................ 177,355
3,791 The Warnaco Group, Inc. ............................. 41,227
- --------------------------------------------------------------------------------
3,382,177
- --------------------------------------------------------------------------------
Auto Manufacturers -- 2.3%
548,939 Ford Motor Co........................................ 22,849,586
125,405 General Motors Corp. ................................ 9,538,618
52,059 Navistar International Corp.*........................ 1,704,932
96,095 PACCAR, Inc.......................................... 4,138,091
- --------------------------------------------------------------------------------
38,231,227
- --------------------------------------------------------------------------------
Auto Parts & Equipment -- 0.6%
7,619 Autoliv Inc.......................................... 207,618
30,520 Borg-Warner Automotive, Inc.......................... 976,640
52,815 Cooper Tire & Rubber Co.............................. 571,062
92,546 Dana Corp............................................ 1,972,387
290,867 Delphi Automotive Systems Corp. ..................... 4,853,843
5,537 Federal Mogul Corp. ................................. 75,442
11,637 The Goodyear Tire & Rubber Co........................ 264,014
4,982 Lear Corp.*.......................................... 105,245
4,325 Meritor Automotive, Inc.............................. 60,550
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Auto Parts & Equipment -- 0.6% (continued)
2,548 Tenneco Automotive Inc............................... $ 18,792
31,399 TRW Inc.............................................. 1,507,152
- --------------------------------------------------------------------------------
10,612,745
- --------------------------------------------------------------------------------
Banks -- 12.1%
29,199 AmSouth Bancorporation............................... 423,386
4,737 Associated Banc-Corp. ............................... 119,905
215,458 Bank of New York+.................................... 7,177,445
302,024 Bank One Corp........................................ 7,795,995
789,914 BankAmerica Corp. ................................... 36,385,414
24,938 BB&T Corp. .......................................... 586,043
26,935 CCB Financial Corp. ................................. 999,962
2,130 Centura Banks, Inc................................... 71,888
564,592 The Chase Manhattan Corp............................. 44,955,638
26,802 City National Corp................................... 738,730
7,188 The Colonial BancGroup, Inc.......................... 63,794
73,891 Comerica Inc......................................... 2,729,349
37,884 Commerce Bancshares Inc.............................. 1,089,165
81,672 Compass Bancshares, Inc.............................. 1,322,066
3,967 Cullen Frost Bankers Inc............................. 85,291
5,811 Fifth Third Bancorp.................................. 302,535
14,506 First Security Corp. ................................ 336,358
9,065 First Tennessee National Corp........................ 156,371
281,861 First Union Corp..................................... 8,314,900
3,664 First Virginia Banks, Inc. .......................... 115,416
122,857 Firstar Corp......................................... 2,188,390
6,035 FirstMerit Corp...................................... 85,622
730,200 FleetBoston Financial Corp. ......................... 19,897,950
5,088 Fulton Financial Corp................................ 83,952
11,961 Hibernia Corp., Class A Shares....................... 108,397
15,169 Huntington Bancshares Inc............................ 316,653
47,950 J.P. Morgan & Co. Inc.+.............................. 5,322,450
33,397 KeyCorp.............................................. 565,662
3,604 Keystone Financial, Inc.............................. 56,313
546 M&T Bank Corp........................................ 201,474
7,078 Marshall & Ilsley Corp............................... 325,146
179,738 Mellon Bank Corp..................................... 5,414,607
5,103 Mercantile Bankshares Corp. ......................... 128,213
219,840 National City Corp................................... 4,231,920
415 National Commerce Bancorporation..................... 7,055
55,893 North Fork Bancorporation, Inc....................... 915,248
49,490 Northern Trust Corp.+................................ 2,796,185
27,735 Old Kent Financial Corp.............................. 726,310
3,625 Old National Bancorp................................. 90,623
5,978 Pacific Century Financial Corp....................... 90,791
7,695 Peoples Heritage Financial Group, Inc. .............. 81,759
33,548 PNC Bank Corp. ...................................... 1,297,888
152,861 Popular, Inc......................................... 3,410,711
25,300 Provident Financial Group Inc. ...................... 711,563
16,298 Regions Financial Corp............................... 330,035
98,474 SouthTrust Corp. .................................... 2,258,747
6,522 State Street Corp. .................................. 475,291
12,925 Summit Bancorp....................................... 309,392
109,378 SunTrust Banks, Inc.................................. 5,557,770
8,633 Synovus Financial Corp............................... 141,365
6,240 TCF Financial Corp................................... 123,630
47,773 Trustmark Corp....................................... 809,155
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Banks -- 12.1% (continued)
196,944 U.S. Bancorp......................................... $ 3,606,537
10,455 Union Planters Corp.................................. 286,206
81,276 UnionBanCal Corp..................................... 2,610,992
4,507 Valley National Bancorp.............................. 104,506
50,978 Wachovia Corp........................................ 2,915,304
611,233 Wells Fargo Co....................................... 20,208,891
2,654 Westamerica Bancorporation........................... 60,213
2,445 Wilmington Trust Corp. .............................. 114,762
3,041 Zions Bancorporation................................. 161,363
- --------------------------------------------------------------------------------
202,898,692
- --------------------------------------------------------------------------------
Beverages -- 0.5%
26,572 Adolph Coors Co., Class B Shares..................... 1,165,847
101,521 Anheuser-Busch Cos., Inc. ........................... 6,510,034
3,654 Brown-Forman Corp., Class B Shares................... 174,022
8,065 Whitman Corp......................................... 100,813
- --------------------------------------------------------------------------------
7,950,716
- --------------------------------------------------------------------------------
Biotechnology -- 0.2%
4,047 Chiron Corp.*........................................ 202,350
42,392 Genzyme Corp. - General Division*.................... 2,434,891
- --------------------------------------------------------------------------------
2,637,241
- --------------------------------------------------------------------------------
Building Materials -- 0.4%
5,268 American Standard Co.*............................... 183,722
2,649 Armstrong World Industries........................... 50,331
40,490 Johns Manville Corp.................................. 328,981
22,104 Lafarge Corp......................................... 435,173
3,415 Martin Marietta Materials............................ 121,233
143,152 Masco Corp........................................... 2,558,842
3,753 Owens Corning........................................ 54,419
2,871 Southdown Inc........................................ 142,473
54,546 USG Corp............................................. 1,772,745
6,722 Vulcan Materials Co.................................. 268,880
2,922 York International Corp.............................. 52,961
- --------------------------------------------------------------------------------
5,969,760
- --------------------------------------------------------------------------------
Chemicals -- 2.8%
15,851 Air Products and Chemicals, Inc. .................... 408,163
5,312 Ashland Inc.......................................... 165,336
4,334 Cabot Corp. ......................................... 95,890
154,072 The Dow Chemical Co.+................................ 16,716,812
327,209 E.I. du Pont de Nemours & Co. ....................... 16,524,055
5,876 Eastman Chemical Co. ................................ 211,169
44,570 Engelhard Corp....................................... 607,266
3,734 Great Lakes Chemical Corp............................ 108,519
50,926 Hercules Inc. ....................................... 840,279
7,506 IMC Global Inc. ..................................... 101,331
79,299 Lubrizol Corp........................................ 1,967,606
8,187 Lyondell Chemical, Co. .............................. 70,101
5,063 Millennium Chemicals Inc............................. 70,882
11,902 Praxair, Inc. ....................................... 401,693
79,615 Rohm & Haas Co....................................... 3,214,456
8,138 RPM Inc.............................................. 81,380
56,278 Sherwin-Williams Co.................................. 1,076,317
7,548 Sigma Aldrich Corp................................... 179,265
103,823 Solutia Inc.......................................... 1,434,055
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Chemicals -- 2.8% (continued)
54,001 Union Carbide Corp. ................................. $ 2,899,179
500 Valhi Inc............................................ 5,563
22,039 Valspar Corp......................................... 723,155
- --------------------------------------------------------------------------------
47,902,472
- --------------------------------------------------------------------------------
Commercial Services -- 0.3%
1,642 ACNielsen Corp.*..................................... 27,811
70,995 Cendant Corp.*....................................... 1,264,598
700 Circle.com*.......................................... 6,606
38,335 Comdisco Inc. ....................................... 1,473,502
284 Convergys, Corp.*.................................... 10,934
5,530 Deluxe Corp. ........................................ 129,609
11,935 The Dun & Bradstreet Corp............................ 312,548
5,470 H&R Block, Inc....................................... 239,996
24,603 Hertz Corp., Class A Shares.......................... 881,095
5,269 Manpower Inc......................................... 172,230
11,645 McKesson HBOC, Inc................................... 225,622
3,695 Modis Professional Services*......................... 58,196
982 NOVA Corp.*.......................................... 22,647
6,981 R.R. Donnelley & Sons Co............................. 133,512
20,247 Service Corp......................................... 74,661
1,213 The ServiceMaster Co. ............................... 13,343
920 Sodexho Marriott Services, Inc. ..................... 10,235
5,058 Stewart Enterprises Inc., Class A Shares............. 21,497
1,439 Sylvan Learning Systems Inc.*........................ 21,405
1,009 United Rentals Inc.*................................. 15,766
2,479 Viad Corp. .......................................... 58,102
- --------------------------------------------------------------------------------
5,173,915
- --------------------------------------------------------------------------------
Computers -- 4.5%
9,134 3Com Corp.*.......................................... 895,132
97,671 Adaptec Inc.*+....................................... 4,004,511
400 Affiliated Computer Services, Class A Shares*........ 12,600
82,974 Apple Computer, Inc.*+............................... 9,510,895
100 Brocade Communications Systems, Inc.*................ 28,913
34,323 Cabletron Systems, Inc.*............................. 1,681,827
169,253 Compaq Computer Corp................................. 4,210,168
31,423 Computer Sciences Corp.*............................. 2,476,525
5,278 Diebold Inc. ........................................ 129,311
1,843 DST Systems, Inc.*................................... 103,438
167,123 Electronic Data Systems Corp......................... 10,821,214
126,054 Hewlett-Packard Co. ................................. 16,954,263
176,377 International Business Machines Corp. ............... 17,990,454
5,321 NCR Corp.*........................................... 201,865
10,542 Quantum Corp. - DLT Storage Sytems*.................. 109,373
2,671 Quantum Corp. - Hard Disk Drive*..................... 21,034
5,521 Safeguard Scientifics Inc.*+......................... 965,830
63,646 Seagate Technology, Inc.*............................ 3,174,344
13,703 Silicon Graphics Inc.*............................... 134,461
6,922 Storage Technology Co.*.............................. 88,256
539 SunGard Data Systems Inc.*........................... 16,170
24,317 Synopsys, Inc.*...................................... 971,160
57,000 Unisys Corp.......................................... 1,706,438
- --------------------------------------------------------------------------------
76,208,182
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Cosmetics/Personal Care -- 0.6%
2,612 Alberto Culver Co., Class B Shares.................. $ 55,832
7,880 International Flavors & Fragrances Inc. ............ 236,400
185,772 Kimberly-Clark Corp................................. 9,602,090
- -------------------------------------------------------------------------------
9,894,322
- -------------------------------------------------------------------------------
Distribution/Wholesale -- 0.2%
40,510 Costco Wholesale Corp.*............................. 2,010,309
13,254 Genuine Parts Co.................................... 299,043
8,322 Huttig Building Products, Inc.*..................... 35,369
2,405 Ingram Micro Inc., Class A Shares*.................. 26,004
2,522 Tech Data Corp.*.................................... 54,696
5,508 W.W. Grainger, Inc. ................................ 235,811
- -------------------------------------------------------------------------------
2,661,232
- -------------------------------------------------------------------------------
Diversified Financial Services -- 7.2%
71,095 A.G. Edwards, Inc................................... 2,252,823
13,949 American Express Co................................. 1,871,781
66,185 Associates First Capital Corp., Class A Shares...... 1,315,427
87,097 The Bear Stearns Cos. Inc........................... 3,418,557
4,096 C.I.T. Group Inc., Class A Shares................... 57,344
251,834 Citigroup Inc....................................... 13,016,670
90,062 Countrywide Credit Industries Inc. ................. 2,245,921
66,243 Donaldson, Lufkin & Jenrette, Inc.*+................ 2,838,528
37,935 Federal Home Loan Mortgage Corp. ................... 1,583,786
482,617 Federal National Mortgage Association............... 25,578,701
18,470 The FINOVA Group Inc................................ 528,704
5,549 Franklin Resources Inc.............................. 150,863
33,994 The Goldman Sachs Group, Inc.+...................... 3,144,445
51,977 Heller Financial, Inc. ............................. 977,817
187,985 Household International, Inc........................ 6,003,771
4,310 Legg Mason, Inc..................................... 169,168
47,457 Lehman Brothers Holdings Inc........................ 3,440,633
155,929 Merrill Lynch & Co., Inc. .......................... 15,982,723
480,244 Morgan Stanley Dean Witter & Co..................... 33,827,187
83,297 PaineWebber Group Inc. ............................. 3,186,110
- -------------------------------------------------------------------------------
121,590,959
- -------------------------------------------------------------------------------
Electric -- 4.5%
8,569 Allegheny Energy, Inc............................... 222,258
5,855 Alliant Energy Corp................................. 164,672
10,226 Ameren Corp......................................... 306,780
14,496 American Electric Power Co., Inc.................... 407,700
28,062 Calpine Corp.*...................................... 2,567,673
11,836 Carolina Power & Light Co........................... 352,121
15,883 Central & Southwest Corp. .......................... 267,033
11,158 Cinergy Corp........................................ 238,502
19,417 Citizens Utilities Co., Class B Shares*............. 296,109
40,228 CMS Energy Corp..................................... 673,819
6,156 Conectiv, Inc....................................... 87,723
59,671 Consolidated Edison, Inc. .......................... 1,644,682
93,659 Constellation Energy Group.......................... 2,786,355
57,870 Dominion Resources Inc.+............................ 2,123,118
11,865 DPL Inc............................................. 255,098
5,439 DQE Inc............................................. 252,914
141,865 DTE Energy Co.+..................................... 4,282,550
196,599 Duke Energy Corp. .................................. 9,535,052
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Electric -- 4.5% (continued)
284,496 Edison International................................. $ 7,485,801
210,556 Energy East Corp..................................... 4,421,676
98,696 Entergy Corp......................................... 1,998,594
84,325 FirstEnergy Corp.+ .................................. 1,575,823
6,802 Florida Progress Corp................................ 289,935
143,681 FPL Group, Inc....................................... 5,549,679
90,319 GPU Inc.............................................. 2,246,685
5,747 IPALCO Enterprises, Inc.............................. 97,340
4,673 Kansas City Power & Light Co......................... 107,479
110,911 LG&E Energy Corp..................................... 2,460,838
3,072 MidAmerican Energy Holding Co........................ 106,368
5,522 Minnesota Power Inc. ................................ 84,556
108,493 The Montana Power Co................................. 4,271,912
8,664 New Century Energies Inc............................. 234,470
4,454 New England Electric Systems......................... 240,516
13,993 Niagara Mohawk Holdings, Inc.*....................... 164,418
9,376 NiSource, Inc. ...................................... 121,302
35,522 Northeast Utilities.................................. 668,258
11,514 Northern States Power Co............................. 202,215
5,007 NSTAR................................................ 204,974
5,860 OGE Energy Corp...................................... 100,719
13,885 PECO Energy Co....................................... 518,084
28,641 PG&E Corp............................................ 590,721
6,256 Pinnacle West Capital Corp........................... 172,822
8,819 Potomac Electric Power Co............................ 179,136
10,694 PPL Corp............................................. 214,548
54,284 Public Service Enterprise Group...................... 1,574,236
6,352 Puget Sound Energy Inc............................... 129,025
18,268 Reliant Energy, Inc.................................. 375,636
7,673 Scana Corp........................................... 183,193
82,924 Scottish Power PLC ADR............................... 2,492,903
175,938 Southern Co.+........................................ 3,903,624
9,699 Teco Energy Inc. .................................... 174,582
92,994 Texas Utilities Co. ................................. 3,033,929
16,175 Unicom Corp.......................................... 611,617
178,543 UtiliCorp United Inc................................. 2,923,642
5,065 Western Resources, Inc............................... 78,191
8,820 Wisconsin Energy Corp. .............................. 156,004
- --------------------------------------------------------------------------------
76,409,610
- --------------------------------------------------------------------------------
Electrical Components & Equipment -- 0.4%
45,817 American Power Conversion Corp.*..................... 1,554,914
102,391 Emerson Electric Co.................................. 4,665,190
3,820 Hubbell Inc., Class B Shares......................... 92,874
3,941 Molex Inc............................................ 220,203
- --------------------------------------------------------------------------------
6,533,181
- --------------------------------------------------------------------------------
Electronics -- 0.9%
7,131 Arrow Electronics Inc.*.............................. 215,713
3,118 Avnet Inc............................................ 208,516
1,583 AVX Corp............................................. 100,521
77,666 Johnson Controls Inc. ............................... 4,145,423
30,285 Parker-Hannifin Corp................................. 1,097,831
37,508 Royal Koninklijke Philips Electronics ADR+........... 7,182,782
4,874 SCI Systems Inc.*.................................... 196,179
1,678 Teradyne Inc.*....................................... 145,986
10,591 Thermo Electron Corp.*............................... 165,484
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Electronics -- 0.9% (continued)
871 Thermo Instrument Systems Inc.*...................... $ 13,990
4,355 Thomas & Betts Corp.................................. 97,715
53,280 Vishay Intertechnology Inc.*......................... 2,291,040
- --------------------------------------------------------------------------------
15,861,180
- --------------------------------------------------------------------------------
Engineering & Construction -- 0.0%
5,674 Fluor Corp........................................... 161,354
- --------------------------------------------------------------------------------
Entertainment -- 0.2%
116,690 Harrah's Entertainment Inc.*+........................ 2,231,696
6,073 International Game Technology........................ 108,175
5,292 Mandalay Resort Group*............................... 74,419
1,152 Metro-Goldwyn-Mayer Inc.*............................ 27,504
2,892 MGM Grand Inc. ...................................... 57,479
13,376 Mirage Resorts Inc.*................................. 212,344
19,581 Park Place Entertainment Corp.*...................... 221,510
29,558 Premier Parks Inc.*.................................. 598,550
1,154 SFX Entertainment Inc.*.............................. 44,429
- --------------------------------------------------------------------------------
3,576,106
- --------------------------------------------------------------------------------
Environmental Control -- 0.1%
3,789 Allied Waste Industries, Inc.*....................... 21,313
1,956 Republic Services Inc.*+............................. 21,272
4,945 Safety-Kleen Corp.*.................................. 24,107
161,070 Waste Management Inc.+............................... 2,416,050
- --------------------------------------------------------------------------------
2,482,742
- --------------------------------------------------------------------------------
Food -- 1.3%
25,738 Albertson's, Inc..................................... 630,581
45,390 Archer-Daniels-Midland Co............................ 456,737
35,947 Bestfoods............................................ 1,507,527
10,950 Campbell Soup Co..................................... 310,706
157,135 ConAgra, Inc.+....................................... 2,573,086
17,903 Dean Foods Co........................................ 485,619
9,009 Delhaize America, Inc................................ 168,919
3,516 Dole Food Co., Inc................................... 54,059
7,031 Flowers Industries Inc............................... 90,964
38,580 General Mills Inc.................................... 1,270,729
19,851 H.J. Heinz & Co. .................................... 633,991
2,357 Hannaford Brothers Co................................ 167,936
6,119 Hershey Foods Corp................................... 268,854
101,778 Hormel Foods Corp.................................... 1,698,420
43,665 IBP Inc.............................................. 545,813
3,046 Interstate Bakeries Corp............................. 34,839
9,053 Kellogg Co........................................... 229,154
67,900 Kroger Co.*.......................................... 1,010,013
5,286 McCormick Inc........................................ 144,704
24,350 Nabisco Group Holdings Corp.......................... 210,019
3,808 Nabisco Holdings Corp., Class A Shares............... 111,384
87,653 Quaker Oats Corp..................................... 4,727,784
51,547 Ralston-Ralston Purina Group......................... 1,459,424
5,765 Sara Lee Corp........................................ 86,475
90,649 SUPERVALU Inc........................................ 1,558,030
3,891 SYSCO Corp........................................... 127,673
1,948 Tootsie Roll Industries Inc.......................... 57,831
9,512 Tyson Foods Inc., Class A Shares..................... 98,093
2,828 U.S. Foodservice*.................................... 50,020
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Food -- 1.3% (continued)
1,178 Weis Markets Inc. ................................. $ 49,844
6,671 Winn-Dixie Stores, Inc. ........................... 107,570
2,205 Wm. Wrigley Jr. Co................................. 149,113
- ------------------------------------------------------------------------------
21,075,911
- ------------------------------------------------------------------------------
Forest Products & Paper -- 1.5%
128,585 Abitibi-Consolidated Inc. ......................... 1,141,192
61,338 Boise Cascade Corp................................. 1,828,639
3,832 Bowater Inc........................................ 188,487
26,032 Champion International Corp........................ 1,347,156
4,239 Consolidated Papers Inc............................ 160,817
3,461 Fort James Corp.................................... 65,110
200,113 Georgia-Pacific Group+............................. 6,941,420
6,431 Georgia-Pacific Corp. (Timber Group)............... 141,884
111,916 International Paper Co. ........................... 4,119,908
7,935 Louisiana Pacific Corp. ........................... 93,732
7,702 Mead Corp. ........................................ 230,579
39,153 Temple-Inland, Inc................................. 2,001,697
6,469 Westvaco Corp...................................... 178,302
102,688 Weyerhaeuser Co.................................... 5,269,178
27,785 Willamette Industries, Inc......................... 942,953
- ------------------------------------------------------------------------------
24,651,054
- ------------------------------------------------------------------------------
Gas -- 0.1%
9,970 Keyspan Corp....................................... 203,139
6,446 MCN Energy Group Inc. ............................. 155,107
3,550 NICOR Inc.......................................... 107,831
2,640 Peoples Energy Corp................................ 76,395
67,970 Sempra Energy+..................................... 1,223,460
- ------------------------------------------------------------------------------
1,765,932
- ------------------------------------------------------------------------------
Hand/Machine Tools -- 0.1%
468 Black & Decker Corp. .............................. 15,415
4,333 Snap-on Inc. ...................................... 94,514
17,766 SPX Corp.*......................................... 1,546,752
24,160 The Stanley Works.................................. 555,680
- ------------------------------------------------------------------------------
2,212,361
- ------------------------------------------------------------------------------
Health Care -- 1.7%
79,526 Bausch & Lomb Inc.+................................ 4,194,997
143,550 Baxter International Inc........................... 7,823,475
5,905 Becton Dickinson & Co.............................. 183,424
32,533 C.R. Bard, Inc..................................... 1,285,054
320,103 Columbia/HCA Healthcare Corp.+..................... 6,181,989
7,522 Foundation Health Systems Inc., Class A Shares*.... 62,527
6,760 Genzyme Surgical Products*......................... 85,345
2,114 Health Management Associates Inc., Class A
Shares*........................................... 22,726
25,401 HEALTHSOUTH Corp.*................................. 123,830
3,608 Hillenbrand Industries, Inc. ...................... 109,593
11,839 Humana Inc.*....................................... 80,653
12,449 Johnson & Johnson.................................. 893,216
1,515 Lincare Holdings Inc.*............................. 35,508
5,179 Mallinckrodt Inc................................... 127,533
4,452 Manor Care Inc.*................................... 38,677
38,712 PacifiCare Health Systems, Inc.*................... 1,758,977
4,376 St. Jude Medical Inc.*............................. 114,323
23,212 Tenet Healthcare Corp.*............................ 406,210
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Health Care -- 1.7% (continued)
2,927 Trigon Healthcare Inc.*............................ $ 93,481
38,268 United Healthcare, Corp. .......................... 1,956,452
1,262 Universal Health Services Inc., Class B Shares*.... 49,060
52,625 Wellpoint Health Networks Inc.*.................... 3,552,188
- ------------------------------------------------------------------------------
29,179,238
- ------------------------------------------------------------------------------
Home Builders -- 0.2%
131,057 Centex Corp. ...................................... 2,580,185
7,470 Clayton Homes Inc. ................................ 60,694
- ------------------------------------------------------------------------------
2,640,879
- ------------------------------------------------------------------------------
Home Furnishings -- 0.1%
14,643 Leggett & Platt Inc. .............................. 246,185
687 Maytag Corp. ...................................... 18,163
29,464 Whirlpool Corp. ................................... 1,600,264
- ------------------------------------------------------------------------------
1,864,612
- ------------------------------------------------------------------------------
Household Products/Wares -- 0.1%
4,519 American Greetings Corp., Class A Shares........... 77,953
681 Avery Dennison Corp. .............................. 41,328
60,352 Fortune Brands Inc. ............................... 1,320,200
- ------------------------------------------------------------------------------
1,439,481
- ------------------------------------------------------------------------------
Insurance -- 5.9%
6,485 21st Century Insurance Group....................... 114,298
38,610 Aetna, Inc. ....................................... 1,587,836
16,383 AFLAC INC. ........................................ 599,003
60,350 Allmerica Financial Corp. ......................... 2,519,613
219,101 Allstate Corp.+.................................... 4,272,470
54,520 Ambac Financial Group Inc. ........................ 2,395,473
2,850 American Financial Group, Inc. .................... 59,850
157,351 American General Corp. ............................ 8,211,755
398,491 American International Group Inc. ................. 35,241,548
743 American National Insurance Co. ................... 43,466
67,026 Aon Corp. ......................................... 1,403,357
231,784 AXA Financial Inc. ................................ 6,939,034
13,169 Chubb Corp. ....................................... 647,750
107,998 Cigna Corp. ....................................... 7,971,602
11,514 Cincinnati Financial Corp. ........................ 343,981
1,239 CNA Financial Corp.*............................... 33,453
134,365 Conseco Inc. ...................................... 1,965,088
4,891 Erie Indemnity Co., Class A Shares................. 151,621
117,650 Everest Re Group Ltd. ............................. 2,889,778
1,439 Financial Security Assurance Holdings.............. 64,755
4,311 Fremont General Corp. ............................. 31,255
74,882 The Hartford Financial Services Group, Inc. ....... 2,340,063
25,760 Hartford Life Inc.+................................ 911,260
7,775 Jefferson-Pilot Corp. ............................. 404,786
175,242 Lincoln National Corp. ............................ 4,873,918
5,525 Loews Corp. ....................................... 245,863
106,777 Marsh & McLennan Cos., Inc. ....................... 8,261,870
7,408 MBIA Inc. ......................................... 284,282
2,062 Mercury General Corp. ............................. 46,782
28,482 MGIC Investment Corp. ............................. 1,064,515
20,927 Nationwide Financial Services, Inc., Class A
Shares............................................ 482,629
9,395 Old Republic International Corp. .................. 109,804
2,218 The PMI Group Inc. ................................ 80,541
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Insurance -- 5.9% (continued)
3,136 Progressive Corp. .................................. $ 186,592
3,827 Protective Life Corp. .............................. 84,194
1,345 Reinsurance Group of America, Inc. ................. 22,949
6,224 Reliastar Financial Corp. .......................... 173,883
9,686 Safeco Corp. ....................................... 203,406
82,100 St. Paul Cos. ...................................... 1,836,988
9,858 Torchmark Corp. .................................... 195,312
1,366 Transatlantic Holdings, Inc. ....................... 96,218
4,629 Travelers Property Casualty Corp., Class A Shares... 146,392
3,675 Unitrin, Inc. ...................................... 124,720
15,615 UnumProvident Corp. ................................ 208,851
150 Wesco Financial Corp. .............................. 33,713
- -------------------------------------------------------------------------------
99,906,517
- -------------------------------------------------------------------------------
Iron/Steel -- 0.2%
3,795 AK Steel Holding Corp. ............................. 31,546
6,469 Allegheny Technologies Inc. ........................ 109,569
54,269 Nucor Corp. ........................................ 2,696,491
6,615 USX-U.S. Steel Group................................ 144,703
- -------------------------------------------------------------------------------
2,982,309
- -------------------------------------------------------------------------------
Leisure Time -- 0.1%
54,673 Brunswick Corp. .................................... 967,029
332 Galileo International Inc. ......................... 5,644
- -------------------------------------------------------------------------------
972,673
- -------------------------------------------------------------------------------
Lodging -- 0.3%
10,816 Hilton Hotels Corp. ................................ 75,712
8,328 Marriott International Inc., Class A Shares......... 229,541
197,065 Starwood Hotels & Resort Worldwide, Inc. ........... 4,421,646
- -------------------------------------------------------------------------------
4,726,899
- -------------------------------------------------------------------------------
Machinery - Construction & Mining -- 0.2%
94,087 Caterpillar Inc. ................................... 3,298,925
- -------------------------------------------------------------------------------
Machinery - Diversified -- 0.7%
1,708 Briggs & Stratton Corp. ............................ 57,111
13,420 Cummins Engine Inc. ................................ 447,054
76,108 Deere & Co.+........................................ 2,720,861
55,225 Dover Corp. ........................................ 2,129,614
133,124 Ingersoll-Rand Co.+................................. 5,100,313
11,498 Rockwell International Corp. ....................... 520,285
25,317 Tecumseh Products Co., Class A Shares............... 1,091,796
- -------------------------------------------------------------------------------
12,067,034
- -------------------------------------------------------------------------------
Media -- 5.3%
6,824 A.H. Belo Corp., Class A Shares..................... 87,859
1,082 Adelphia Communications Corp., Class A Shares....... 59,442
11,413 AMFM Inc.*.......................................... 700,473
204,348 AT&T Corp.-Liberty Media Group, Class A Shares*..... 10,677,183
250 BHC Communications, Inc., Class A Shares............ 39,875
3,053 Cablevision Systems Corp., Class A Shares*.......... 195,964
176,294 CBS Corp.*.......................................... 10,500,511
457 Central Newspapers, Class A Shares.................. 13,053
1,202 Chris Craft Industries Inc.*........................ 79,107
3,256 Clear Channel Communications, Inc.*................. 216,931
32,914 Dow Jones & Co., Inc. .............................. 2,053,011
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Media -- 5.3% (continued)
68,566 Gannett Co.+........................................ $ 4,469,646
3,808 Harcourt General Inc. .............................. 131,138
926 Hearst-Argyle Television, Inc.*..................... 19,272
552 Hollinger International Inc......................... 6,659
1,166 Houghton Mifflin Co. ............................... 46,421
109,205 Knight Ridder Inc.+................................. 5,118,984
1,418 McClatchy Co., Class A Shares....................... 49,010
132,583 McGraw-Hill Cos., Inc............................... 6,745,160
1,400 Media General Inc., Class A Shares.................. 72,363
159,135 MediaOne Group, Inc.*+.............................. 12,492,098
1,613 Meredith Corp....................................... 46,172
134,326 New York Times Co., Class A Shares+................. 5,675,274
140,100 News Corp. Ltd. Preferred ADR....................... 7,048,781
6,528 PRIMEDIA Inc.*...................................... 121,176
3,603 Readers Digest Association, Inc., Class A Shares.... 123,853
1,943 Scripps Co., Class A Shares......................... 83,792
12,200 Time Warner, Inc.................................... 1,043,100
917 Times Mirror Co., Class A Shares.................... 46,767
13,910 Tribune Co. ........................................ 541,621
2,058 UnitedGlobalCom Inc., Class A Shares*............... 215,061
6,914 USA Networks Inc.*.................................. 155,133
84,479 Viacom Inc., Class B Shares*........................ 4,709,704
472,281 Walt Disney Co...................................... 15,821,414
269 Washington Post Co., Class B Shares................. 131,205
- -------------------------------------------------------------------------------
89,537,213
- -------------------------------------------------------------------------------
Metals - Diversified -- 0.7%
167,634 Alcoa, Inc.+........................................ 11,482,929
5,602 Phelps Dodge Corp. ................................. 263,994
4,397 Reynolds Metals Co.................................. 279,210
- -------------------------------------------------------------------------------
12,026,133
- -------------------------------------------------------------------------------
Mining -- 0.1%
140,933 Homestake Mining Co. ............................... 916,065
12,528 Newmont Mining Corp. ............................... 277,182
- -------------------------------------------------------------------------------
1,193,247
- -------------------------------------------------------------------------------
Miscellaneous Manufacturing -- 2.7%
2,119 Carlisle Cos. Inc................................... 70,192
6,145 Cooper Industries Inc............................... 185,886
4,522 Crane Co............................................ 89,875
142,642 Eastman Kodak Co.................................... 8,175,170
77,954 Eaton Corp. ........................................ 5,841,678
23,991 FMC Corp............................................ 1,159,065
183,217 Honeywell International Inc.+....................... 8,817,318
6,585 Illinois Tool Works Inc............................. 340,362
33,152 ITT Industries Inc. ................................ 803,936
2,546 Lancaster Colony Corp............................... 75,744
109,069 Minnesota Mining & Manufacturing Co. ............... 9,611,706
3,064 National Service Industries, Inc. .................. 62,812
34,283 Pall Corp........................................... 677,089
20,344 Pentair Inc......................................... 699,325
12,928 PPG Industries Inc. ................................ 638,320
2,518 Teleflex Inc. ...................................... 71,134
62,701 Textron Inc.+....................................... 3,824,761
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Miscellaneous Manufacturing -- 2.7% (continued)
46,200 Tyco International Ltd............................... $ 1,752,713
159,763 U.S. Industries Inc. ................................ 1,827,289
- --------------------------------------------------------------------------------
44,724,375
- --------------------------------------------------------------------------------
Office/Business Equipment -- 0.3%
3,650 Lanier Worldwide, Inc.*.............................. 10,266
85,755 Pitney Bowes, Inc.................................... 4,244,873
- --------------------------------------------------------------------------------
4,255,139
- --------------------------------------------------------------------------------
Office Furnishings -- 0.0%
4,273 Hon Industries Inc................................... 78,783
4,541 Steelcase Inc., Class A Shares....................... 55,627
- --------------------------------------------------------------------------------
134,410
- --------------------------------------------------------------------------------
Oil & Gas Producers -- 10.2%
5,899 Amerada Hess Corp.................................... 298,268
53,993 Anadarko Petroleum Corp. ............................ 1,660,285
16,609 Apache Corp.......................................... 606,229
119,801 Atlantic Richfield Co................................ 8,505,871
16,268 Burlington Resources Inc............................. 449,404
239,817 Chevron Corp......................................... 17,911,332
206,807 Coastal Corp......................................... 8,698,819
618,578 Conoco Inc., Class B Shares.......................... 12,178,254
1,562 Devon Energy Corp. .................................. 58,185
3,526 Diamond Offshore Drilling, Inc....................... 111,951
7,391 Ensco International Inc.............................. 223,578
4,154 EOG Resources, Inc................................... 63,349
1,137,704 Exxon Mobil Corp..................................... 85,683,333
10,275 Global Marine Inc.*.................................. 230,545
95,051 Kerr-McGee Corp...................................... 4,253,532
3,341 Murphy Oil Corp...................................... 169,138
4,932 Nabors Industries Inc.*.............................. 176,936
26,318 Noble Affiliates Inc. ............................... 592,155
63,091 Noble Drilling Corp. ADR*............................ 2,271,276
27,430 Occidental Petroleum Corp............................ 440,594
12,449 Ocean Energy, Inc.*.................................. 133,049
57,486 Phillips Petroleum Co................................ 2,198,840
7,187 R&B Falcon Corp.*.................................... 110,949
5,419 Rowan Companies Inc.*................................ 136,152
13,769 Santa Fe Snyder, Corp.*.............................. 103,268
6,706 Sunoco, Inc.......................................... 165,554
257,351 Texaco, Inc. ........................................ 12,208,088
220,481 Tosco Corp.+......................................... 5,897,867
83,238 Ultramar Diamond Shamrock Corp. ..................... 1,805,224
18,790 Union Pacific Resources Group Inc.................... 167,936
18,131 UnoCal Corp. ........................................ 485,004
153,723 USX Marathon Group Inc............................... 3,324,260
34,784 Transocean Sedco Forex Inc........................... 1,371,794
- --------------------------------------------------------------------------------
172,691,019
- --------------------------------------------------------------------------------
Oil & Gas Services -- 0.6%
123,816 Baker Hughes Inc..................................... 3,203,739
4,364 BJ Services Co.*..................................... 249,021
3,662 Cooper Cameron Corp.*................................ 202,326
15,796 Halliburton Co....................................... 603,210
65,700 Schlumberger Ltd.+................................... 4,853,588
2,310 Smith International Inc.*............................ 144,808
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Oil & Gas Services -- 0.6% (continued)
44,600 Tidewater Inc. .................................... $ 1,262,738
6,890 Weatherford International, Inc.*................... 310,050
- ------------------------------------------------------------------------------
10,829,480
- ------------------------------------------------------------------------------
Packaging & Containers -- 0.1%
45,307 Ball Corp.......................................... 1,220,457
3,572 Bemis Co., Inc. ................................... 106,267
9,182 Crown Cork & Seal Co., Inc......................... 128,548
11,222 Owens-Illinois Inc.*............................... 155,004
10,242 Pactiv Corp.*...................................... 85,137
8,668 Smurfit-Stone Container, Corp.*.................... 118,102
7,599 Sonoco Product Co. ................................ 140,107
- ------------------------------------------------------------------------------
1,953,622
- ------------------------------------------------------------------------------
Pharmaceuticals -- 3.1%
378,278 Abbott Laboratories................................ 12,388,605
346,613 American Home Products Corp........................ 15,077,666
3,550 Bergen Brunswig, Corp., Class A Shares............. 17,528
78,249 Bristol-Myers Squibb Co. .......................... 4,445,521
36,895 Cardinal Health Inc.+.............................. 1,521,919
3,008 DENTSPLY International Inc......................... 77,080
498 ICN Pharmaceuticals, Inc........................... 9,898
182,429 Ivax Corp.*+....................................... 4,150,248
31,986 Merck & Co. Inc. .................................. 1,969,138
1,566 Mylan Laboratories Inc............................. 36,018
3,762 Omnicare Inc. ..................................... 34,563
199,984 Pharmacia & Upjohn Inc.+........................... 9,524,238
35,165 Warner-Lambert Co. ................................ 3,008,805
490 Watson Pharmaceuticals Inc.*....................... 19,600
- ------------------------------------------------------------------------------
52,280,827
- ------------------------------------------------------------------------------
Pipelines -- 1.5%
6,107 Columbia Energy Group.............................. 360,313
77,656 Dynegy Inc., Class A Shares........................ 3,640,125
110,330 El Paso Energy, Corp.+............................. 4,089,106
179,084 Enron Corp. ....................................... 12,356,796
7,628 Kinder Morgan Inc. ................................ 212,631
2,867 National Fuel Gas Co............................... 117,368
6,170 Questar Corp. ..................................... 85,994
117,723 Williams Cos., Inc................................. 4,922,293
- ------------------------------------------------------------------------------
25,784,626
- ------------------------------------------------------------------------------
Real Estate -- 0.0%
3,409 Catellus Development Corp.*........................ 41,973
1,857 The St. Joe Co..................................... 44,916
- ------------------------------------------------------------------------------
86,889
- ------------------------------------------------------------------------------
Real Estate Investment Trusts -- 0.7%
34,277 AMB Property Corp. ................................ 691,967
4,963 Apartment Investment & Management Co., Class A
Shares............................................ 183,631
6,388 Archstone Communities Trust........................ 124,965
4,159 Arden Reality, Inc................................. 86,559
23,969 Avalonbay Communities, Inc. ....................... 808,954
5,000 Carramerica Realty Corp. .......................... 106,250
6,205 Cornerstone Properties Inc. ....................... 104,709
42,210 Crescent Real Estate Equities Co. ................. 720,208
9,344 Duke Weeks Realty Corp............................. 171,696
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Real Estate Investment Trusts -- 0.7% (continued)
80,033 Equity Office Properties Trust..................... $ 1,915,790
38,176 Equity Residential Property Trust.................. 1,524,654
4,355 Felcor Lodging Trust, Inc. ........................ 74,579
4,167 Franchise Financial Corp. of America............... 93,758
3,884 General Growth Properties.......................... 112,393
4,662 Highwoods Properties Inc........................... 97,611
14,849 Host Marriott, Corp................................ 131,785
185,682 HRPT Properties Trust.............................. 1,485,456
3,533 Kimco Realty Corp. ................................ 121,668
33,632 Liberty Property Trust............................. 763,026
4,318 Mack-Cali Realty Corp. ............................ 102,553
6,567 New Plan Excel Realty Trust, Inc................... 91,528
2,849 Post Properties Inc................................ 107,194
8,738 Prison Realty Trust, Inc. ......................... 44,782
25,888 Prologis Trust..................................... 467,602
6,382 Public Storage Inc................................. 140,803
5,421 Rouse Co. ......................................... 118,584
19,278 Senior Housing Properties Trust.................... 166,274
28,536 Simon Property Group, Inc.......................... 670,596
4,579 Spieker Properties Inc. ........................... 183,732
25,438 Vornado Realty Trust............................... 777,449
- ------------------------------------------------------------------------------
12,190,756
- ------------------------------------------------------------------------------
Retail -- 2.1%
14,736 AutoNation, Inc.*.................................. 111,441
7,833 AutoZone Inc.*..................................... 192,398
2,174 Barnes & Noble Inc.*............................... 37,502
4,361 BJ's Wholesale Club, Inc.*......................... 135,191
26,348 Brinker International Inc.*........................ 573,069
15,548 Circuit City Stores-Circuit City Group............. 627,751
478 Claire's Stores, Inc............................... 8,335
4,663 Consolidated Stores Corp.*......................... 52,459
105,380 Darden Restaurants Inc............................. 1,389,699
7,740 Dillard Inc., Class A Shares....................... 134,483
295 eToys Inc.*........................................ 4,148
269,157 Federated Department Stores, Inc.*+................ 9,874,697
10,541 Ikon Office Solutions Inc.......................... 73,787
17,319 J.C. Penney Co., Inc............................... 272,774
36,882 Kmart Corp.*....................................... 325,023
106,335 The Limited Inc.................................... 3,615,390
2,328 Longs Drugs Stores Corp............................ 43,214
24,787 May Department Stores Co. ......................... 649,110
52,056 McDonald's Corp.................................... 1,643,018
1,200 Neiman-Marcus Group Inc., Class A Shares*.......... 25,575
6,607 Nordstrom, Inc..................................... 140,812
92,857 Office Depot Inc.*................................. 1,131,695
664 Outback Steakhouse, Inc.*.......................... 17,347
21,685 Payless Shoesource, Inc.*.......................... 856,558
19,276 Rite Aid Corp. .................................... 132,523
3,710 Ross Stores Inc. .................................. 53,795
7,266 Saks, Inc.*........................................ 83,559
25,441 Sears Roebuck & Co. ............................... 701,218
77,065 Target Corp........................................ 4,546,835
612 Ticketmaster Online-CitySearch, Inc., Class B
Shares*........................................... 21,353
260 Tiffany & Co. ..................................... 16,689
196,000 TJX Cos. Inc....................................... 3,123,750
798 Too Inc.*.......................................... 19,152
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Retail -- 2.1% (continued)
113,542 Toys "R" Us, Inc.*................................... $ 1,405,082
127,450 Tricon Global Restaurants Inc.*...................... 3,393,356
10,357 Venator Group Inc.*.................................. 58,905
7,789 Wendy's International, Inc........................... 122,677
2,213 Zale Corp.*.......................................... 83,264
- --------------------------------------------------------------------------------
35,697,634
- --------------------------------------------------------------------------------
Savings & Loans -- 0.5%
4,085 Astoria Financial Corp............................... 97,274
12,934 Charter One Financial, Inc........................... 203,711
4,491 Commercial Federal Corp.............................. 58,102
56,109 Dime Bancorp, Inc.................................... 683,828
5,011 Golden State Bancorp, Inc.*.......................... 64,517
103,876 Golden West Financial Corp........................... 2,960,466
140,374 Greenpoint Financial Corp............................ 2,237,211
1,966 Peoples Bank......................................... 39,228
5,711 Roslyn Bancorp Inc................................... 87,807
13,711 Sovereign Bancorp, Inc............................... 99,405
97,675 Washington Mutual, Inc............................... 2,161,059
- --------------------------------------------------------------------------------
8,692,608
- --------------------------------------------------------------------------------
Semiconductors -- 0.9%
10,328 Advanced Micro Devices Inc.*......................... 404,083
7,460 Atmel Corp.*......................................... 369,270
4,838 KLA-Tencor Corp.*.................................... 377,062
10,756 LSI Logic Corp.*..................................... 689,056
47,176 Micron Technology, Inc.*+............................ 4,626,197
110,985 National Semiconductor Corp.*........................ 8,337,748
633 Novellus Systems Inc.*............................... 37,545
600 SDL Inc.*............................................ 246,000
- --------------------------------------------------------------------------------
15,086,961
- --------------------------------------------------------------------------------
Software -- 1.4%
2,417 Autodesk Inc......................................... 108,010
8,405 Cadence Design System, Inc.*......................... 167,575
78,700 Computer Associates International Inc................ 5,061,394
103,100 Compuware Corp.*..................................... 2,281,088
872 Covad Communications Group, Inc.*.................... 78,698
240,454 First Data Corp...................................... 10,820,430
400 go.Com*.............................................. 8,825
973 Intuit Inc.*......................................... 51,083
980 J.D. Edwards & Co.*.................................. 39,813
150 Marimba, Inc.*....................................... 9,141
297 National Data Corp................................... 9,207
4,618 Networks Associates Inc.*............................ 140,560
153 Northpoint Communications Group, Inc.*............... 3,471
43,100 Novell Inc.*......................................... 1,424,994
286 Portal Software, Inc.*............................... 21,486
5,493 Reynolds & Reynolds Co., Class A Shares.............. 151,744
531 Rhythms NetConnections Inc.*......................... 18,950
100 Scient Corp.*........................................ 7,075
383 Shared Medical Systems Corp.......................... 14,913
246 Starmedia Network, Inc.*............................. 11,562
4,580 Sterling Software Inc.*.............................. 164,308
48,353 Symantec Corp.*...................................... 3,454,217
- --------------------------------------------------------------------------------
24,048,544
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Telecommunication Equipment -- 1.8%
4,429 American Tower Corp., Class A Shares*............... $ 218,128
5,950 Harris Corp. ....................................... 189,656
49,745 Lucent Technologies, Inc. .......................... 2,959,828
153,715 Motorola, Inc....................................... 26,208,408
655 Scientific-Atlanta Inc.............................. 67,260
- -------------------------------------------------------------------------------
29,643,280
- -------------------------------------------------------------------------------
Telecommunications -- 0.8%
27,927 BCE Inc............................................. 3,070,225
37,900 Cable & Wireless PLC ADR............................ 2,449,288
2,302 Comsat Corp......................................... 38,702
100 Copper Mountain Networks Inc.*...................... 8,694
6,017 Cox Communications Inc., Class A Shares*............ 273,397
6,292 Crown Castle International Corp.*................... 202,917
2,668 Echostar Communications Corp., Class A Shares*...... 304,152
5,327 General Motors Corp., Class H Shares*............... 641,904
1,677 PanAmSat Corp.*..................................... 81,859
106,020 Sprint, Corp. (PCS Group)*.......................... 5,486,535
666 Time Warner Telecom Inc., Class A Shares*+.......... 51,282
563 United States Cellular Corp.*....................... 37,686
3,304 VoiceStream Wireless, Corp.*........................ 439,639
1,858 Winstar Communications, Inc.*....................... 143,763
- -------------------------------------------------------------------------------
13,230,043
- -------------------------------------------------------------------------------
Telephone -- 11.2%
78,176 Alltel Corp......................................... 4,534,208
975,220 AT&T Corp........................................... 48,212,439
457,996 Bell Atlantic Corp.+................................ 22,413,179
614,396 BellSouth Corp. .................................... 25,036,637
53,797 CenturyTel, Inc..................................... 1,808,924
363,618 GTE Corp. .......................................... 21,453,462
378,265 MCI WorldCom, Inc.*................................. 16,880,076
4,602 Nextlink Communications Inc., Class A Shares*....... 507,083
895,143 SBC Communications, Inc............................. 34,015,434
185,149 Sprint, Corp.+...................................... 11,294,089
14,051 Telephone & Data Systems, Inc....................... 1,482,381
21,294 U.S. West Inc. ..................................... 1,546,477
- -------------------------------------------------------------------------------
189,184,389
- -------------------------------------------------------------------------------
Textiles -- 0.0%
3,125 Mohawk Industries Inc.*............................. 69,336
8,723 Shaw Industries Inc................................. 110,673
- -------------------------------------------------------------------------------
180,009
- -------------------------------------------------------------------------------
Tobacco -- 0.7%
516,262 Philip Morris Cos. Inc.............................. 10,779,300
5,618 RJ Reynolds Tobacco Holdings, Inc................... 101,124
55,379 UST, Inc............................................ 1,069,507
- -------------------------------------------------------------------------------
11,949,931
- -------------------------------------------------------------------------------
Toys/Games/Hobbies -- 0.1%
123,435 Hasbro Inc.+........................................ 1,944,101
19,188 Mattel, Inc......................................... 184,685
- -------------------------------------------------------------------------------
2,128,786
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Transportation -- 1.0%
34,116 Burlington Northern Santa Fe Corp................... $ 671,659
54,264 CNF Transportation, Inc............................. 1,739,840
16,286 CSX Corp............................................ 361,346
88,547 FedEx Corp.*+....................................... 3,093,611
24,900 Kansas City Southern Industries, Inc................ 1,960,875
28,435 Norfolk Southern Corp............................... 385,650
211,193 Union Pacific Corp.................................. 8,025,334
- --------------------------------------------------------------------------------
16,238,315
- --------------------------------------------------------------------------------
Trucking & Leasing -- 0.0%
3,635 GATX Corp........................................... 113,139
4,769 Ryder Systems Inc................................... 88,823
- --------------------------------------------------------------------------------
201,962
- --------------------------------------------------------------------------------
Water -- 0.0%
7,199 American Water Works Inc............................ 143,980
- --------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,609,803,603)......... 1,667,019,277
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 0.0%
$ 300,000 U.S. Treasury Bills, 5.780% due 3/23/00 (Cost --
$298,984)......................................... 299,088
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.1%
17,644,000 J.P. Morgan Securities Inc., 5.760% due 3/1/00;
Proceeds at maturity -- $17,646,823;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 4.750% to 12.750% due 5/25/00 to 8/15/28;
Market value -- $18,352,061) (Cost --
$17,644,000)...................................... 17,644,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,627,746,587**).................................. $1,684,962,365
- --------------------------------------------------------------------------------
</TABLE>
* Non-income producing security.
+ All or a portion of this security is on loan (See Note 12).
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
Classification of Investments
Diversified
Financial Oil & Gas
Banks Computers Services Electric Insurance Media Producers
- ----- --------- -------- -------- --------- ----- ---------
12.1% 4.5% 7.2% 4.5% 5.9% 5.3% 10.2%
Pharmaceuticals Other Telephone
- --------------- ----- ---------
3.1% 36.0% 11.2%
See Notes to Financial Statements.
20
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 98.5%
- --------------------------------------------------------------------------------
Advertising -- 0.3%
3,683 Catalina Marketing Corp.*............................ $ 313,515
2,922 Harte-Hanks, Inc..................................... 63,736
66,190 The Interpublic Group of Cos., Inc.+................. 2,660,011
11,004 Lamar Advertising Co.*............................... 479,362
41,828 Omnicom Group+....................................... 3,939,675
11,612 Snyder Communications, Inc. ......................... 281,591
6,338 TMP Worldwide, Inc.*................................. 861,572
4,037 Ventiv Health, Inc.*................................. 32,296
7,906 Young & Rubicam, Inc. ............................... 399,253
- --------------------------------------------------------------------------------
9,031,011
- --------------------------------------------------------------------------------
Aerospace/Defense -- 0.2%
24,457 The Boeing Co........................................ 901,852
539 Cordant Technologies, Inc. .......................... 17,450
12,345 General Dynamics Corp................................ 533,921
8,216 Howmet International, Inc.*.......................... 150,456
7,780 L-3 Communications Holdings, Inc.*................... 331,136
83,784 United Technologies Corp. ........................... 4,267,748
- --------------------------------------------------------------------------------
6,202,563
- --------------------------------------------------------------------------------
Airlines -- 0.3%
360,600 Southwest Airlines Co. .............................. 6,648,563
- --------------------------------------------------------------------------------
Apparel -- 0.0%
24,721 Jones Apparel Group, Inc.*........................... 559,313
16,191 NIKE Inc., Class B Shares............................ 460,432
1,743 Polo Ralph Lauren Corp.*............................. 29,195
1,181 Warnaco Group, Inc................................... 12,843
- --------------------------------------------------------------------------------
1,061,783
- --------------------------------------------------------------------------------
Auto Parts & Equipment -- 0.0%
2,689 Meritor Automotive, Inc.............................. 37,646
- --------------------------------------------------------------------------------
Banks -- 0.3%
39,344 Fifth Third Bancorp.................................. 2,048,347
1,881 First Tennessee National Corp.+...................... 32,447
126,512 Firstar Corp......................................... 2,253,495
19,062 National Commerce Bancorporation..................... 324,054
13,034 Northern Trust Corp.+................................ 736,421
17,019 State Street Corp.+.................................. 1,240,260
29,520 Synovus Financial Corp............................... 483,390
4,445 U.S. Trust Corp...................................... 615,633
695 Westamerica Bancorporation........................... 15,768
9,125 Zions Bancorp+....................................... 484,195
- --------------------------------------------------------------------------------
8,234,010
- --------------------------------------------------------------------------------
Beverages -- 1.8%
30,686 Anheuser-Busch Cos., Inc. ........................... 1,967,740
648,276 The Coca-Cola Co..................................... 31,400,869
56,448 Coca-Cola Enterprises+............................... 1,319,472
23,693 Pepsi Bottling Group, Inc............................ 396,858
343,437 PepsiCo, Inc......................................... 11,075,843
6,505 Whitman Corp......................................... 81,313
- --------------------------------------------------------------------------------
46,242,095
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Biotechnology -- 3.3%
644,688 Amgen, Inc. ......................................... $ 43,959,663
163,879 Biogen, Inc.*........................................ 17,688,690
11,451 Chiron Corp.*........................................ 572,550
80,200 Genetech, Inc.*...................................... 15,468,575
6,509 Genzyme Corp. - General Division*.................... 373,861
9,148 ICOS Corp.*.......................................... 479,127
17,800 Immunex Corp.*+...................................... 3,514,388
149,749 Monsanto Co.......................................... 5,812,133
- --------------------------------------------------------------------------------
87,868,987
- --------------------------------------------------------------------------------
Chemicals -- 0.1%
1,966 Cabot Corp. ......................................... 43,498
27,992 E.I. du Pont de Nemours & Co. ....................... 1,413,596
2,608 Valspar Corp......................................... 85,575
- --------------------------------------------------------------------------------
1,542,669
- --------------------------------------------------------------------------------
Commercial Services -- 0.9%
7,574 ACNielsen Corp.*..................................... 128,285
18,129 Apollo Group, Inc., Class A Shares*+................. 413,568
82,271 Cendant Corp......................................... 1,465,452
1,453 Circle.com*.......................................... 13,713
3,356 Comdisco, Inc........................................ 128,996
48,303 Concord EFS, Inc.*................................... 944,927
2,178 Convergys Corp.*..................................... 83,853
14,171 DeVry, Inc.*......................................... 255,964
26,702 Ecolab, Inc.......................................... 754,332
33,420 Equifax, Inc......................................... 708,086
23,018 Gartner Group, Inc. ................................. 329,445
5,764 H&R Block, Inc....................................... 252,896
2,748 Hertz Corp., Class A Shares.......................... 98,413
1,480 Manpower, Inc........................................ 48,378
29,704 McKesson HBOC, Inc................................... 575,515
7,415 Medical Manager Corp.*............................... 624,250
9,684 Modis Professional Services*......................... 152,523
10,310 NOVA Corp./Georgia*.................................. 237,774
234,439 Paychex, Inc......................................... 11,736,602
27,194 Quintiles Transnational Corp.*....................... 807,322
21,235 Robert Half International, Inc....................... 897,179
69,444 Servicemaster Co..................................... 763,884
4,771 Sodexho Marriott Services, Inc. ..................... 53,077
9,771 Sotheby's Holdings, Class A Shares+.................. 192,367
6,667 Stewart Enterprises, Inc., Class A Shares............ 28,335
5,866 Sylvan Learning Systems, Inc.*....................... 87,257
4,136 United Rentals, Inc.*................................ 64,625
13,277 Valassis Communications, Inc. ....................... 367,607
12,885 Viad Corp. .......................................... 301,992
- --------------------------------------------------------------------------------
22,516,617
- --------------------------------------------------------------------------------
Computers -- 17.6%
52,558 3Com Corp.*.......................................... 5,150,684
17,526 Adaptec, Inc.*....................................... 718,566
7,227 Affiliated Computer Services, Class A Shares*........ 227,651
2,108 Apple Computer, Inc.................................. 241,630
6,481 The Bisys Group, Inc.*............................... 334,177
1,360 Brocade Communications Systems*...................... 393,210
6,584 Cabletron Systems, Inc.**............................ 322,616
29,939 Ceridian Corp. ...................................... 593,166
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Computers -- 17.6% (continued)
8,622 Checkfree Holdings Corp.*+........................ $ 758,197
1,211,844 Cisco Systems, Inc.*.............................. 160,190,629
228,228 Compaq Computer Corp.............................. 5,677,172
31,405 Computer Sciences Corp. .......................... 2,475,107
888,404 Dell Computer Corp.*+............................. 36,257,988
3,097 DST Systems, Inc.*................................ 173,819
24,034 Electronic Data Systems Corp. .................... 1,556,202
11,626 Electronics For Imaging, Inc.*.................... 690,294
430,736 EMC Corp.+........................................ 51,257,584
5,359 Extreme Networks, Inc.*........................... 596,189
35,474 Gateway, Inc.*+................................... 2,438,838
156,411 Hewlett-Packard Co.+.............................. 21,037,280
349,600 International Business Machines Corp.............. 35,659,200
86,159 Lexmark International Group Inc., Class A
Shares*.......................................... 10,274,461
5,758 NCR Corp.*........................................ 218,444
59,686 Network Appliance, Inc.*.......................... 11,265,733
12,140 Perot Systems Corp., Class A Shares*.............. 308,811
5,711 Quantum Corp. - DLT & Storage*.................... 59,252
3,805 Quantum Corp. - Hard Disk Drive*.................. 29,964
1,088 Redback Networks Inc.*............................ 324,768
962 Safeguard Scientifics Inc.*+...................... 168,290
40,100 SanDisk Corp.*.................................... 3,568,900
6,262 Sapient Corp.*+................................... 447,733
14,414 Seagate Technology, Inc.*......................... 718,898
705,750 Sun Microsystems, Inc.*........................... 67,222,688
26,217 SunGard Data Systems Inc.*........................ 786,510
13,869 Synopsys, Inc.*................................... 553,893
73,099 Unisys Corp....................................... 2,188,401
20,427 USWeb Corp.*...................................... 794,100
48,134 VeriSign Inc.*+................................... 12,177,902
114,460 VERITAS Software Corp.*+.......................... 22,648,773
8,696 Whittman-Hart, Inc.*+............................. 394,581
- ------------------------------------------------------------------------------
460,902,301
- ------------------------------------------------------------------------------
Cosmetics/Personal Care -- 3.0%
57,198 Avon Products, Inc. .............................. 1,547,921
137,526 Colgate-Palmolive Co. ............................ 7,177,138
168,984 The Estee Lauder Cos. Inc., Class A Shares+....... 7,329,681
389,091 Gillette Co. ..................................... 13,715,458
66,882 Kimberly-Clark Corp. ............................. 3,456,963
506,137 The Procter & Gamble Co........................... 44,540,056
4,909 Revlon Inc., Class A Shares*+..................... 38,352
- ------------------------------------------------------------------------------
77,805,569
- ------------------------------------------------------------------------------
Distribution/Wholesale -- 0.6%
308,712 Costco Wholesale Corp. ........................... 15,319,833
6,643 Fastenal Co.+..................................... 293,538
7,035 Ingram Micro, Inc., Class A Shares*............... 76,066
4,461 Tech Data Corp.*.................................. 96,748
- ------------------------------------------------------------------------------
15,786,185
- ------------------------------------------------------------------------------
Diversified Financial Services -- 2.6%
111,411 American Express Co. ............................. 14,949,964
15,203 Ameritrade Holdings Corp., Class A Shares*+....... 284,106
52,652 Associates First Capital Corp., Class A Shares.... 1,046,459
46,549 Capital One Financial Corp........................ 1,713,585
417,522 Charles Schwab Corp............................... 17,457,639
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Diversified Financial Services -- 2.6% (continued)
42,649 E*TRADE Group, Inc.*+............................... $ 1,050,232
38,150 Fannie Mae.......................................... 2,021,950
13,419 Federated Investors, Inc., Class B Shares........... 312,830
1,195 The FINOVA Group, Inc. ............................. 34,207
21,571 Franklin Resources, Inc.+........................... 586,462
102,588 Freddie Mac......................................... 4,283,049
1,037 Goldman Sachs Group, Inc............................ 95,923
13,585 Household International, Inc........................ 433,871
2,897 Investment Technology Group......................... 112,259
16,428 Knight/Trimark Group, Inc., Class A Shares*+........ 770,063
164,615 MBNA Corp. ......................................... 3,744,991
94,100 Morgan Stanley Dean Witter & Co..................... 6,628,169
155,394 Providian Financial Corp.+.......................... 10,071,474
37,568 SLM Holding Corp.................................... 1,176,348
24,223 T. Rowe Price Associates, Inc....................... 797,845
13,731 Waddell & Reed Financial, Class A Shares............ 397,341
- --------------------------------------------------------------------------------
67,968,767
- --------------------------------------------------------------------------------
Electric -- 0.2%
34,079 AES Corp.+.......................................... 2,856,246
10,566 Calpine Corp.*...................................... 966,789
- --------------------------------------------------------------------------------
3,823,035
- --------------------------------------------------------------------------------
Electrical Components & Equipment -- 0.0%
16,403 American Power Conversion*.......................... 556,677
6,900 Molex, Inc.+........................................ 385,538
- --------------------------------------------------------------------------------
942,215
- --------------------------------------------------------------------------------
Electronics -- 3.2%
17,350 Gentex Corp.*....................................... 506,945
11,740 Jabil Circuit, Inc.*................................ 815,196
124,411 Linear Technology Corp. ............................ 13,055,379
273,220 Maxim Integrated Products, Inc.*+................... 18,254,511
18,064 Microchip Technology, Inc.*......................... 1,127,871
10,736 Millipore Corp. .................................... 573,705
48,688 PE Corp. - PE Biosystems Group...................... 5,136,584
15,017 Sanmina Corp.*+..................................... 1,757,928
18,538 SCI Systems, Inc.*.................................. 746,155
106,840 Solectron Corp.*+................................... 6,998,020
20,836 Symbol Technologies, Inc............................ 1,982,025
35,020 Teradyne, Inc.*..................................... 3,046,740
4,119 Thermo Electron Corp................................ 64,359
2,073 Thermo Instrument Systems Inc.*..................... 33,298
266,812 Vitesse Semiconductors Corp.*....................... 27,698,421
14,723 Waters Corp.*....................................... 1,443,774
- --------------------------------------------------------------------------------
83,240,911
- --------------------------------------------------------------------------------
Entertainment -- 0.1%
2,165 International Game Technology....................... 38,564
6,267 International Speedway Corp., Class A Shares........ 277,315
630 MGM Grand, Inc.+.................................... 12,521
4,227 Mirage Resorts, Inc.*............................... 67,104
15,885 Premier Parks, Inc.+................................ 321,671
9,729 SFX Entertainment, Inc.*+........................... 374,567
3,228 Speedway Motorsports, Inc.*......................... 98,858
- --------------------------------------------------------------------------------
1,190,600
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Environmental Control -- 0.1%
32,670 Allied Waste Industries, Inc.*.................... $ 183,769
8,798 Republic Services, Inc.*.......................... 95,678
146,210 Waste Management, Inc.+........................... 2,193,150
- ------------------------------------------------------------------------------
2,472,597
- ------------------------------------------------------------------------------
Food -- 1.2%
18,661 Albertsons, Inc................................... 457,195
34,750 Bestfoods......................................... 1,457,328
43,178 Campbell Soup Co.+................................ 1,225,176
1,428 Flowers Industries, Inc. ......................... 18,475
35,526 General Mills, Inc................................ 1,170,138
21,614 H.J. Heinz Co. ................................... 690,297
2,987 Hershey Foods Corp................................ 131,241
4,805 Keebler Foods Co.................................. 121,927
23,077 Kellogg Co........................................ 584,137
195,784 Kroger Co.+....................................... 2,912,287
14,552 Quaker Oats Corp.................................. 784,899
15,800 Ralston-Ralston Purina Group...................... 447,338
408,751 Safeway, Inc.*.................................... 15,762,460
190,255 Sara Lee Corp..................................... 2,853,825
65,291 SYSCO Corp. ...................................... 2,142,361
1,659 Tootsie Roll Industries, Inc. .................... 49,252
8,900 U.S. Foodservice*................................. 157,419
11,184 Wm. Wrigley Jr. Co................................ 756,318
- ------------------------------------------------------------------------------
31,722,073
- ------------------------------------------------------------------------------
Forest Products & Paper -- 0.0%
40,143 Fort James Corp................................... 755,190
- ------------------------------------------------------------------------------
Hand/Machine Tools -- 0.0%
19,107 Black & Decker Corp............................... 629,337
5,954 SPX Corp.......................................... 518,370
- ------------------------------------------------------------------------------
1,147,707
- ------------------------------------------------------------------------------
Health Care -- 2.6%
151,892 Allergan, Inc..................................... 7,642,066
7,075 Bausch & Lomb, Inc.+.............................. 373,206
15,153 Baxter International, Inc. ....................... 825,839
6,384 Beckman Instruments, Inc.......................... 307,230
40,423 Becton Dickinson & Co............................. 1,255,639
23,689 Biomet, Inc....................................... 781,737
64,304 Boston Scientific Corp.*.......................... 1,173,548
71,333 Guidant Corp...................................... 4,806,061
53,214 Health Management Associates, Inc., Class A
Shares*.......................................... 572,051
11,148 HEALTHSOUTH Corp.*................................ 54,347
399,718 Johnson & Johnson................................. 28,679,767
4,649 Lincare Holdings, Inc.*........................... 108,961
3,155 Manor Care, Inc.*................................. 27,409
393,224 Medtronic, Inc. .................................. 19,046,788
4,877 MiniMed, Inc.*+................................... 487,090
19,306 Oxford Health Plans, Inc.*........................ 298,036
1,030 PacifiCare Health Systems, Inc.*.................. 46,801
5,890 St. Jude Medical, Inc............................. 153,876
16,874 Stryker Corp...................................... 987,129
2,342 United HealthCare Corp. .......................... 119,735
1,568 Universal Health Services, Class B Shares......... 60,956
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Health Care -- 2.6% (continued)
13,333 VISX, Inc.*........................................ $ 225,828
3,515 Wellpoint Health Networks Inc.*.................... 237,263
- -------------------------------------------------------------------------------
68,271,363
- -------------------------------------------------------------------------------
Home Builders -- 0.0%
5,564 Centex Corp. ...................................... 109,541
2,071 Clayton Homes, Inc. ............................... 16,827
- -------------------------------------------------------------------------------
126,368
- -------------------------------------------------------------------------------
Home Furnishings -- 0.3%
108,800 Gemstar International Group, Ltd.*................. 8,255,200
17,972 Maytag Corp. ...................................... 475,135
- -------------------------------------------------------------------------------
8,730,335
- -------------------------------------------------------------------------------
Household Products/Wares -- 0.2%
20,866 Avery Dennison Corp.+.............................. 1,266,305
8,195 Blyth Industries, Inc.*............................ 183,875
55,340 Clorox Co.+........................................ 2,237,811
22,406 Dial Corp. ........................................ 22,086
8,800 Newell Rubbermaid, Inc. ........................... 203,500
- -------------------------------------------------------------------------------
4,213,577
- -------------------------------------------------------------------------------
Insurance -- 0.9%
11,041 AFLAC Inc. ........................................ 403,687
118,272 American International Group, Inc. ................ 10,459,680
332 Hartford Life, Inc., Class A Shares................ 11,745
232,677 Progressive Corp. ................................. 13,844,282
503 Reinsurance Group of America, Inc. ................ 8,582
- -------------------------------------------------------------------------------
24,727,976
- -------------------------------------------------------------------------------
Leisure Time -- 0.3%
11,386 Galileo International, Inc. ....................... 193,562
110,483 Harley Davidson, Inc. ............................. 7,526,654
5,460 Sabre Holdings Corp. .............................. 219,083
- -------------------------------------------------------------------------------
7,939,299
- -------------------------------------------------------------------------------
Lodging -- 0.0%
37,577 Hilton Hotels Corp. ............................... 263,039
19,380 Marriott International, Inc., Class A Shares....... 534,161
8,664 Starwood Hotels & Resorts Worldwide, Inc. ......... 194,399
- -------------------------------------------------------------------------------
991,599
- -------------------------------------------------------------------------------
Media -- 3.5%
9,536 Adelphia Communications Corp., Class A Shares*..... 523,884
249,002 AT&T Corp. - Liberty Media, Class A Shares*........ 13,010,355
19,511 Cablevision Systems Corp., Class A Shares*......... 1,252,362
184,317 CBS Corp. ......................................... 10,978,381
5,334 Central Newspapers, Inc., Class A Shares........... 152,352
149,560 Clear Channel Communications+...................... 9,964,435
10,293 CNET Networks Inc.*+............................... 688,344,000
175,116 Comcast Corp., Class A Shares...................... 7,442,430
2,063 Cox Radio, Inc., Class A Shares*................... 165,040
7,488 Dow Jones & Co., Inc. ............................. 467,064
31,805 Fox Entertainment Group, Inc., Class A Shares*..... 836,869
2,145 Hearst-Argyle Television, Inc.*.................... 44,643
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Media -- 3.5% (continued)
9,853 Hispanic Broadcasting Corp.*........................ $ 920,640
155 Hollinger International, Inc.+...................... 1,870
2,692 Houghton Mifflin Co................................. 107,175
68,652 Infinity Broadcasting Corp., Class A Shares*........ 2,192,573
11,144 John Wiley & Sons, Inc., Class A Shares............. 158,802
4,205 Jones Intercable, Inc., Class A Shares*............. 246,255
10,115 Liberty Digital, Inc., Class A Shares*.............. 555,061
4,552 The McGraw-Hill Cos., Inc........................... 231,583
969 Media General, Inc., Class A Shares................. 50,085
29,874 MediaOne Group, Inc.*............................... 2,345,109
3,823 Meredith Corp. ..................................... 109,433
13,887 PRIMEDIA, Inc.*..................................... 257,777
10,146 Reader's Digest Association, Class A Shares......... 348,769
276,565 Time Warner, Inc.................................... 23,646,308
8,456 Times Mirror Co., Class A Shares.................... 431,256
8,894 TV Guide, Inc.*..................................... 419,130
13,074 UnitedGlobalCom, Inc., Class A Shares*+............. 1,366,233
18,603 Univision Communications, Class A Shares*+.......... 1,895,181
3,266 USA Networks, Inc.*................................. 73,281
138,462 Viacom, Inc., Class B Shares*....................... 7,719,257
64,953 The Walt Disney Co. ................................ 2,175,926
- --------------------------------------------------------------------------------
90,777,863
- --------------------------------------------------------------------------------
Metals - Diversified -- 0.0%
33,000 Freeport-McMoRan Copper, Class B Shares............. 453,750
- --------------------------------------------------------------------------------
Miscellaneous Manufacturing -- 4.6%
529 Carlisle Cos., Inc.................................. 17,523
61,270 Corning, Inc........................................ 11,518,760
22,409 Danaher Corp. ...................................... 914,567
773,220 General Electric Co.++.............................. 102,210,019
62,578 Honeywell International, Inc. ...................... 3,011,566
38,774 Illinois Tool Works................................. 2,004,131
1,159 Teleflex, Inc. ..................................... 32,742
3,268 Textron, Inc. ...................................... 199,348
- --------------------------------------------------------------------------------
119,908,656
- --------------------------------------------------------------------------------
Office Furnishings -- 0.0%
18,719 Herman Miller, Inc.................................. 383,740
897 HON Industries, Inc................................. 16,538
- --------------------------------------------------------------------------------
400,278
- --------------------------------------------------------------------------------
Office/Business Equipment -- 0.2%
59,198 Pitney Bowes, Inc. ................................. 2,930,301
156,752 Xerox Corp.......................................... 3,399,559
- --------------------------------------------------------------------------------
6,329,860
- --------------------------------------------------------------------------------
Oil & Gas Producers -- 0.1%
5,926 Anadarko Petroleum Corp............................. 182,225
9,666 Apache Corp. ....................................... 352,809
4,483 Devon Energy Corp................................... 166,992
4,487 Diamond Offshore Drilling, Inc...................... 142,462
9,069 ENSCO International Inc............................. 274,337
5,183 Global Marine, Inc.................................. 116,294
10,531 Nabors Industries, Inc.*............................ 377,800
2,489 Noble Affiliates, Inc. ............................. 56,003
13,023 Noble Drilling Corp.*............................... 468,828
17,650 R&B Falcon Corp.*................................... 272,472
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Oil & Gas Producers -- 0.1% (continued)
5,508 USX-Marathon Group.................................. $ 119,111
4,161 Vastar Resources, Inc............................... 220,793
- --------------------------------------------------------------------------------
2,750,126
- --------------------------------------------------------------------------------
Oil & Gas Services -- 0.4%
4,882 Baker Hughes, Inc................................... 126,322
1,024 BJ Services Co.+.................................... 58,432
1,052 Cooper Cameron Corp.*............................... 58,123
54,236 Halliburton Co. .................................... 2,071,137
92,200 Schlumberger Ltd.+.................................. 6,811,275
4,099 Smith International, Inc. .......................... 256,956
3,721 Weatherford International, Inc.*.................... 167,445
- --------------------------------------------------------------------------------
9,549,690
- --------------------------------------------------------------------------------
Packaging & Containers -- 0.0%
19,676 Sealed Air Corp.*+.................................. 977,651
- --------------------------------------------------------------------------------
Pharmaceuticals -- 8.3%
237,021 Abbott Laboratories................................. 7,762,438
20,642 ALZA Corp.*......................................... 757,303
190,098 American Home Products Corp.+....................... 8,269,263
4,049 Andrx Corp.*+....................................... 388,957
20,510 Bergen Brunswig Corp., Class A Shares............... 101,268
714,536 Bristol-Myers Squibb Co. ........................... 40,594,577
66,153 Cardinal Health, Inc.+.............................. 2,728,811
1,248 DENTSPLY International, Inc. ....................... 31,980
215,827 Eli Lilly & Co. .................................... 12,828,217
4,976 Express Scripts, Inc., Class A Shares*.............. 229,207
19,717 Forest Laboratories, Inc.*.......................... 1,346,918
16,861 ICN Pharmaceuticals, Inc. .......................... 335,112
23,077 Ivax Corp.+......................................... 525,036
59,940 MedImmune, Inc.*+................................... 11,898,090
543,728 Merck & Co., Inc. .................................. 33,473,255
25,774 Mylan Laboratories, Inc............................. 592,802
9,784 Omnicare, Inc. ..................................... 89,891
1,163,294 Pfizer, Inc......................................... 37,370,820
477,495 Schering-Plough Corp................................ 16,652,638
16,056 Sepracor, Inc.*+.................................... 1,627,677
24,615 Sybron International Corp.*......................... 689,220
441,959 Warner-Lambert Co................................... 37,815,117
20,981 Watson Pharmaceuticals Inc.*........................ 839,240
- --------------------------------------------------------------------------------
216,947,837
- --------------------------------------------------------------------------------
Pipelines -- 0.2%
1,531 Dynegy Inc., Class A Shares......................... 71,766
11,994 Enron Corp. ........................................ 827,586
79,010 Williams Cos., Inc. ................................ 3,303,606
- --------------------------------------------------------------------------------
4,202,958
- --------------------------------------------------------------------------------
Real Estate -- 0.0%
14,607 Catellus Development Corp.*......................... 179,849
1,969 The St. Joe Co. .................................... 47,625
- --------------------------------------------------------------------------------
227,474
- --------------------------------------------------------------------------------
Real Estate Investment Trusts -- 0.0%
12,330 Boston Properties, Inc. ............................ 373,753
30,040 Meditrust Corp...................................... 84,488
15,522 Starwood Financial, Inc............................. 261,934
- --------------------------------------------------------------------------------
720,175
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Retail -- 6.6%
22,859 Abercrombie & Fitch Co., Class A Shares*.......... $ 335,742
41,792 Amazon.com, Inc.*+................................ 2,878,424
5,063 American Eagle Outfitters*........................ 129,107
41,096 AutoNation, Inc.*................................. 310,789
10,409 Autozone, Inc.*+.................................. 255,671
5,866 Barnes & Noble, Inc.*............................. 101,189
27,276 Bed Bath & Beyond, Inc.*.......................... 773,957
39,473 Best Buy Co. Inc.*................................ 2,146,344
2,456 BJ's Wholesale Club, Inc.*........................ 76,136
5,831 CDW Computer Centers, Inc.*....................... 319,976
35,448 Circuit City Stores............................... 1,431,213
8,291 Claire's Stores, Inc.............................. 144,574
11,474 Consolidated Stores Corp.*........................ 129,083
92,472 CVS Corp.+........................................ 3,236,520
32,939 Dollar General Corp.+............................. 689,660
14,618 Dollar Tree Stores, Inc.*......................... 567,361
7,002 eBay, Inc.*....................................... 1,003,912
1,553 eToys, Inc.*...................................... 21,839
34,428 Family Dollar Stores, Inc......................... 598,187
281,879 The Gap, Inc.+.................................... 13,618,279
870,424 Home Depot, Inc................................... 50,321,388
2,111 Ikon Office Solutions, Inc. ...................... 14,777
9,921 Intimate Brands, Inc. ............................ 324,293
152,527 Kohl's Corp.*+.................................... 11,563,453
2,370 The Limited, Inc.................................. 80,580
9,352 Linens 'n Things, Inc.*........................... 184,118
264,723 Lowe's Cos., Inc.+................................ 12,607,433
154,640 McDonald's Corp................................... 4,880,825
1,500 The Neiman Marcus Group, Inc., Class A Shares..... 31,969
4,540 Nordstrom, Inc.+.................................. 96,759
10,951 Nu Skin Enterprises, Inc., Class A Shares*........ 97,875
59,411 Office Depot, Inc.*............................... 724,072
14,177 Outback Steakhouse, Inc.*......................... 370,374
7,211 Priceline.com, Inc.*+............................. 403,365
10,144 Ross Stores, Inc.................................. 147,088
11,231 Saks, Inc.*....................................... 129,157
110,832 Staples, Inc.*.................................... 2,992,464
43,160 Starbucks Corp.*.................................. 1,515,995
45,668 Tandy Corp........................................ 1,738,238
85,667 Target Corp....................................... 5,054,353
3,441 Ticketmaster Online-Citysearch, Inc., Class B
Shares*.......................................... 120,059
13,086 Tiffany & Co...................................... 839,958
73,246 TJX Cos., Inc..................................... 1,167,358
438 Too Inc.*......................................... 10,512
18,699 Tricon Global Resturants*......................... 497,861
886,480 Wal-Mart Stores, Inc. ............................ 43,160,495
236,723 Walgreen Co.+..................................... 6,110,412
10,318 Williams Sonoma, Inc.*............................ 319,213
1,526 Zale Corp.*....................................... 57,416
- ------------------------------------------------------------------------------
174,329,823
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Semiconductors -- 9.7%
2,159 Advanced Micro Devices.............................. $ 84,471
41,983 Altera Corp.*....................................... 3,348,144
41,146 Analog Devices, Inc.*............................... 6,459,922
216,093 Applied Materials, Inc.*+........................... 39,531,513
11,992 Applied Micro Circuits Corp.*....................... 3,298,550
23,454 Atmel Corp.*........................................ 1,160,973
25,280 Broadcom Corp., Class A Shares*+.................... 4,989,640
38,692 Conexant Systems, Inc.*+............................ 3,801,489
899,249 Intel Corp. ........................................ 101,615,137
27,092 KLA-Tencor Corp.*................................... 2,111,483
36,068 LSI Logic Corp.*.................................... 2,310,606
8,138 Micron Technologies, Inc.+.......................... 798,033
25,792 Novellus Systems, Inc.*............................. 1,529,788
92,078 PMC-Sierra, Inc.*................................... 17,776,809
17,252 QLogic Corp.*....................................... 2,691,312
4,400 Rambus Inc.*+....................................... 1,327,150
5,655 SDL, Inc.*.......................................... 2,318,550
336,394 Texas Instruments, Inc. ............................ 56,009,601
64,834 Xilinx, Inc.*....................................... 5,170,512
- --------------------------------------------------------------------------------
256,333,683
- --------------------------------------------------------------------------------
Software -- 13.3%
13,858 Acxiom Corp.*....................................... 400,150
29,234 Adobe Systems, Inc. ................................ 2,981,868
527,358 America Online, Inc. ............................... 31,114,122
27,700 Ariba, Inc.*........................................ 7,326,650
32,591 At Home Corp.*+..................................... 1,118,279
5,496 Autodesk, Inc. ..................................... 245,603
147,452 Automatic Data Processing........................... 6,423,378
37,406 BEA Systems, Inc.*.................................. 4,734,197
57,170 BMC Software, Inc.*+................................ 2,629,820
30,970 Cadence Design System, Inc.*........................ 617,464
39,864 Citrix Systems, Inc.*+.............................. 4,203,161
45,450 CMGI, Inc.*+........................................ 5,888,616
98,308 Computer Associates International, Inc. ............ 6,322,433
73,308 Compuware Corp.*.................................... 1,621,940
18,782 Covad Communications Group*......................... 1,695,076
4,051 Critical Path, Inc.*................................ 348,892
11,393 CSG Systems International, Inc.*.................... 585,315
20,514 DoubleClick Inc.*................................... 1,821,900
16,766 Earthlink, Inc.*+................................... 417,067
14,921 Electronic Arts, Inc.*.............................. 1,492,100
64,024 Exodus Communications, Inc.*+....................... 9,115,417
23,259 First Data Corp. ................................... 1,046,655
28,977 Fiserv, Inc.*....................................... 789,623
11,978 Go.com*............................................. 264,265
5,552 Healtheon Corp.*+................................... 307,095
15,832 I2 Technologies, Inc.*+............................. 2,588,532
72,688 IMS Health Inc.+.................................... 1,462,846
35,130 Infospace.com, Inc.*+............................... 7,623,210
33,528 Inktomi Corp.*+..................................... 4,597,527
30,412 Intuit, Inc.*....................................... 1,596,630
7,128 J.D. Edwards & Co.*+................................ 289,575
13,310 Keane, Inc. ........................................ 319,440
17,766 Legato Systems, Inc.*+.............................. 632,914
5,731 LHS Group, Inc.*+................................... 259,328
18,626 Lycos, Inc.*........................................ 1,110,575
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Software -- 13.3% (continued)
10,050 Macromedia, Inc.*+.................................. $ 868,697
2,831 Marimba, Inc.*...................................... 172,514
1,319,272 Microsoft Corp.*.................................... 117,909,935
6,957 National Data Corp. ................................ 215,667
3,127 Network Solutions, Inc.*............................ 1,008,262
18,065 Networks Associates, Inc.*.......................... 549,853
5,742 New Era of Networks, Inc.*.......................... 526,111
3,176 Northpoint Communications*.......................... 72,056
78,611 Novell, Inc.*....................................... 2,599,076
629,176 Oracle Corp.*+...................................... 46,716,318
64,753 Parametric Technology Corp.*........................ 1,962,825
44,541 PeopleSoft, Inc.*................................... 921,442
128,290 Pixar, Inc.*+....................................... 4,490,150
2,880 Portal Software, Inc.*.............................. 216,360
2,740 Prodigy Communications Corp.*....................... 54,971
21,474 PSINet, Inc.*+...................................... 995,857
20,960 Rational Software Corp.*............................ 1,490,780
15,192 RealNetworks, Inc.*................................. 1,068,188
12,381 Rhythems Net Connections, Inc.*..................... 441,847
1,322 Scient Corp.*+...................................... 93,532
2,921 SEI Investments Co. ................................ 260,882
4,757 Shared Medical Systems Corp.+....................... 185,226
183,728 Siebel Systems, Inc.*+.............................. 25,480,777
981 Starmedia Network, Inc.*+........................... 46,107
18,718 Sterling Commerce, Inc.*............................ 820,082
1,696 Sterling Software, Inc.+............................ 60,844
10,433 Symantec Corp.*..................................... 745,307
8,965 Total System Services, Inc. ........................ 142,319
15,550 Verio, Inc.*........................................ 1,167,222
32,716 Vignette Corp.*..................................... 7,541,038
110,512 Yahoo! Inc.*+....................................... 17,647,385
- --------------------------------------------------------------------------------
350,463,293
- --------------------------------------------------------------------------------
Telecommunication Equipment -- 9.1%
70,866 ADC Telecommunications, Inc.*+...................... 3,180,112
22,917 Allegiance Telecom, Inc.*........................... 2,265,918
13,114 American Tower Corp., Class A Shares+............... 645,865
32,551 Broadwing, Inc. .................................... 966,358
10,837 Centennial Communications Corp.*.................... 263,136
32,456 Ciena Corp.*........................................ 5,186,875
4,244 Comsat Corp. ....................................... 71,352
16,480 Comverse Technology, Inc.*.......................... 3,244,500
1,742 Copper Mountain Networks, Inc.*+.................... 151,445
112,889 Cox Communications, Class A Shares*+................ 5,129,394
7,642 E-tek Dynamics, Inc.*............................... 2,088,177
91,060 Echostar Communications, Class A Shares*+........... 10,380,840
47,000 Ericsson LM Telephone SP ADR+....................... 4,512,000
14,953 General Motors, Class H Shares+..................... 1,801,837
42,540 Global Telesystems Group, Inc.*+.................... 1,063,500
53,324 JDS Uniphase Corp.*+................................ 14,057,540
63,127 Level 3 Communications, Inc.*+...................... 7,188,587
825,855 Lucent Technologies, Inc. .......................... 49,138,373
150,704 McLeod, Inc., Class A Shares*+...................... 13,261,952
25,498 Metromedia Fiber Network, Class A Shares*+.......... 1,833,067
204,867 Motorola, Inc. ..................................... 34,929,824
152,693 Nextel Communications, Inc.*+....................... 20,880,768
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Telecommunication Equipment -- 9.1% (continued)
99,800 Nokia Corp., Sponsored ADR, Class A Shares.......... $ 19,791,588
31,120 NTL Inc.*+.......................................... 2,847,480
4,684 PanAmSat Corp.*..................................... 228,638
148,068 QUALCOMM, Inc.*+.................................... 21,090,436
28,836 Qwest Communications International*+................ 1,337,270
9,734 RCN Corp.*.......................................... 582,823
12,170 RF Micro Devices, Inc.*............................. 1,683,263
16,572 Scientific-Atlanta, Inc............................. 1,701,737
7,212 Sprint Corp. (PCS Group)*+.......................... 373,221
5,195 Teligent Inc., Class A Shares*...................... 426,639
79,437 Tellabs, Inc.*+..................................... 3,812,976
2,453 Time Warner Telecom, Class A Shares*+............... 188,881
1,908 United States Cellular Corp.*....................... 127,717
12,120 VoiceStream Wireless Corp.*+........................ 1,612,718
10,765 Western Wireless Corp., Class A Shares*............. 522,103
6,893 Winstar Communications, Inc.*+...................... 533,346
- --------------------------------------------------------------------------------
239,102,256
- --------------------------------------------------------------------------------
Telephone -- 1.8%
57,840 Alltel Corp. ....................................... 3,354,720
770,766 MCI WorldCom, Inc.*................................. 34,395,433
16,910 Nextlink Communications, Class A Shares*+........... 1,863,271
119,095 SBC Communications, Inc. ........................... 4,525,610
51,731 U.S. West, Inc. .................................... 3,756,964
- --------------------------------------------------------------------------------
47,895,998
- --------------------------------------------------------------------------------
Textiles -- 0.0%
17,910 Cintas Corp.+....................................... 715,281
644 Mohawk Industries, Inc.*............................ 14,289
8,834 Westpoint Stevens, Inc. ............................ 146,865
- --------------------------------------------------------------------------------
876,435
- --------------------------------------------------------------------------------
Tobacco -- 0.3%
298,159 Philip Morris Cos., Inc. ........................... 5,981,815
8,184 RJ Reynolds Tobacco Holdings........................ 147,312
16,445 UST, Inc............................................ 317,594
- --------------------------------------------------------------------------------
6,446,721
- --------------------------------------------------------------------------------
Toys/Games/Hobbies -- 0.0%
38,735 Mattel, Inc......................................... 372,824
- --------------------------------------------------------------------------------
Transportation -- 0.3%
11,280 Expeditors International of Washington, Inc......... 425,820
82,881 Kansas City Southern Industries..................... 6,526,837
- --------------------------------------------------------------------------------
6,952,657
- --------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,195,086,935)......... 2,588,163,619
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
FACE AMOUNT SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 0.1%
$ 1,800,000 U.S. Treasury Bill, 4.890% due 3/23/00 (Cost --
$1,794,104)..................................... $ 1,794,104
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.4%
37,007,000 J.P. Morgan Securities Inc., 5.760% due 3/1/00;
Proceeds at maturity -- $37,012,921;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 4.750% to 12.750% due 5/25/00 to 8/15/28;
Market value -- $37,747,230) (Cost --
$37,007,000)..................................... 37,007,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,233,888,039**)............................... $2,626,964,723
- -------------------------------------------------------------------------------
</TABLE>
* Non-income producing security.
+ All or a portion of this security is on loan (See Note 12).
++Security has been partially segregated by Custodian for futures contracts
commitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
Classification of Investments
Miscellaneous
Manufacturing Computers Software Semiconductors Retail
- ------------- --------- -------- -------------- ------
4.6% 17.6% 13.3% 9.7% 6.6%
U.S. Treasury
Other Obligations
Telecommunication Common & Repurchase
Pharmaceuticals Equipment Stocks Agreement
- --------------- --------- ------ ---------
8.3% 9.1% 29.3% 1.5%
See Notes to Financial Statements.
33
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 91.3%
- --------------------------------------------------------------------------------
Advertising -- 0.3%
581 Interpublic Group of Cos., Inc. ....................... $ 23,349
368 Omnicom Group Inc. .................................... 34,661
150 Young & Rubicam, Inc. ................................. 7,575
- --------------------------------------------------------------------------------
65,585
- --------------------------------------------------------------------------------
Aerospace/Defense -- 0.7%
244 The B.F. Goodrich, Co. ................................ 5,841
1,958 The Boeing Co. ........................................ 72,201
423 General Dynamics Corp. ................................ 18,295
826 Lockheed Martin Corp. ................................. 14,403
145 Northrop Grumman Corp. ................................ 6,588
703 Raytheon Co., Class B Shares .......................... 13,006
1,004 United Technologies Corp. ............................. 51,141
- --------------------------------------------------------------------------------
181,475
- --------------------------------------------------------------------------------
Airlines -- 0.2%
313 AMR Corp. ............................................. 16,550
280 Delta Air Lines, Inc. ................................. 12,775
1,049 Southwest Airlines Co. ................................ 19,341
156 US Airways Group, Inc. ................................ 2,915
- --------------------------------------------------------------------------------
51,581
- --------------------------------------------------------------------------------
Apparel -- 0.1%
133 Liz Claiborne, Inc. ................................... 4,979
581 NIKE, Inc., Class B Shares ............................ 16,522
107 Reebok International Ltd. ............................. 856
92 Russell Corp. ......................................... 1,271
226 V.F. Corp. ............................................ 5,579
- --------------------------------------------------------------------------------
29,207
- --------------------------------------------------------------------------------
Auto Manufacturers -- 0.8%
2,552 Ford Motor Co. ........................................ 106,227
1,355 General Motors Corp. .................................. 103,065
144 Navistar International Corp. .......................... 4,716
167 PACCAR, Inc ........................................... 7,191
- --------------------------------------------------------------------------------
221,199
- --------------------------------------------------------------------------------
Auto Parts & Equipment -- 0.2%
145 Cooper Tire & Rubber Co. ............................. 1,568
336 Dana Corp. ............................................ 7,161
1,173 Delphi Automotive Systems Corp. ...................... 19,574
344 The Goodyear Tire & Rubber Co. ........................ 7,805
256 TRW Inc. .............................................. 12,288
- --------------------------------------------------------------------------------
48,396
- --------------------------------------------------------------------------------
Banks -- 4.2%
855 AmSouth Bancorporation ................................ 12,398
3,605 Bank of America Corp. ................................. 166,055
1,569 Bank of New York Co., Inc. ............................ 52,267
2,444 Bank One Corp. ........................................ 63,086
729 BB&T Corp. ............................................ 17,132
1,741 The Chase Manhattan Corp. ............................. 138,627
324 Comerica Inc. ......................................... 11,968
645 Fifth Third Bancorp ................................... 33,580
2,067 First Union Corp. ..................................... 60,977
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Banks -- 4.2% (continued)
2,044 Firstar Corp. ......................................... $ 36,409
1,950 FleetBoston Financial Corp. ........................... 53,138
480 Huntington Bancshares Inc. ............................ 10,020
358 J.P. Morgan & Co. ..................................... 39,738
937 KeyCorp ............................................... 15,870
1,062 Mellon Financial Corp. ................................ 31,993
1,284 National City Corp. ................................... 24,717
468 Northern Trust Corp. .................................. 26,442
236 Old Kent Financial Corp. .............................. 6,180
616 PNC Bank Corp. ........................................ 23,832
449 Regions Financial Corp. ............................... 9,092
346 SouthTrust Corp. ...................................... 7,936
335 State Street Corp. .................................... 24,413
388 Summit Bancorp. ....................................... 9,288
670 SunTrust Banks, Inc. .................................. 34,044
569 Synovus Financial Corp. ............................... 9,317
1,519 U.S. Bancorp .......................................... 27,817
291 Union Planters Corp. .................................. 7,966
424 Wachovia Corp. ........................................ 24,248
3,468 Wells Fargo & Co. ..................................... 114,661
- --------------------------------------------------------------------------------
1,093,211
- --------------------------------------------------------------------------------
Beverages -- 1.7%
78 Adolph Coors Co., Class B Shares ...................... 3,422
991 Anheuser-Busch Cos., Inc. ............................. 63,548
145 Brown-Forman Corp., Class B Shares .................... 6,906
5,195 The Coca-Cola Co. ..................................... 251,633
922 Coca-Cola Enterprises Inc. ............................ 21,552
3,077 PepsiCo, Inc. ......................................... 99,233
- --------------------------------------------------------------------------------
446,294
- --------------------------------------------------------------------------------
Biotechnology -- 0.9%
2,161 Amgen Inc. ............................................ 147,353
318 Biogen, Inc.* ......................................... 34,324
1,327 Monsanto Co. .......................................... 51,504
- --------------------------------------------------------------------------------
233,181
- --------------------------------------------------------------------------------
Building Materials -- 0.1%
69 Armstrong World Industries, Inc. ...................... 1,311
936 Masco Corp. ........................................... 16,731
112 Owens Corning ......................................... 1,624
212 Vulcan Materials Co. .................................. 8,480
- --------------------------------------------------------------------------------
28,146
- --------------------------------------------------------------------------------
Chemicals -- 0.9%
480 Air Products & Chemicals, Inc. ........................ 12,360
156 Ashland Inc. .......................................... 4,856
458 The Dow Chemical Co. .................................. 49,693
2,206 E.I. du Pont de Nemours & Co. ......................... 111,403
167 Eastman Chemical Co. .................................. 6,002
277 Engelhard Corp. ....................................... 3,774
123 Great Lakes Chemical Corp. ............................ 3,575
211 Hercules Inc. ......................................... 3,482
335 Praxair, Inc. ......................................... 11,306
457 Rohm & Haas Co. ....................................... 18,451
367 Sherwin-Williams Co. .................................. 7,019
212 Sigma Aldrich ......................................... 5,035
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Chemicals -- 0.9% (continued)
279 Union Carbide Corp. .................................. $ 14,979
131 W.R. Grace & Co.* .................................... 1,318
- -------------------------------------------------------------------------------
253,253
- -------------------------------------------------------------------------------
Commercial Services -- 0.4%
1,486 Cendant Corp. ........................................ 26,469
156 Deluxe Corp. ......................................... 3,656
315 The Dun & Bradstreet Corp. ........................... 8,249
288 Ecolab Inc. .......................................... 8,136
311 Equifax Inc. ......................................... 6,589
201 H&R Block, Inc. ...................................... 8,819
581 McKesson HBOC, Inc. .................................. 11,257
513 Paychex, Inc. ........................................ 25,682
235 Quintiles Transnational Corp.* ....................... 6,977
278 R.R. Donnelley & Sons Co. ............................ 5,317
618 Service Corp. International .......................... 2,279
- -------------------------------------------------------------------------------
113,430
- -------------------------------------------------------------------------------
Computers -- 11.1%
723 3Com Corp.* .......................................... 70,854
232 Adaptec, Inc.* ....................................... 9,512
335 Apple Computer, Inc. ................................. 38,399
378 Cabletron Systems, Inc.* ............................. 18,522
311 Ceridian Corp. ....................................... 6,162
7,195 Cisco Systems, Inc.* ................................. 951,089
3,599 Compaq Computer Corp. ................................ 89,525
345 Computer Sciences Corp. .............................. 27,190
5,361 Dell Computer Corp.* ................................. 218,796
982 Electronic Data Systems Corp. ........................ 63,585
2,140 EMC Corp. ............................................ 254,660
678 Gateway, Inc.* ....................................... 46,613
2,140 Hewlett-Packard Co. .................................. 287,830
3,792 International Business Machines Corp. ................ 386,784
268 Lexmark International Group Inc., Class A Shares* .... 31,959
210 NCR Corp.* ........................................... 7,967
312 Network Appliance, Inc.* ............................. 58,890
435 Seagate Technology, Inc.* ............................ 21,696
411 Silicon Graphics, Inc.* .............................. 4,033
3,296 Sun Microsystems, Inc.* .............................. 313,944
646 Unisys Corp. ......................................... 19,340
- -------------------------------------------------------------------------------
2,927,350
- -------------------------------------------------------------------------------
Cosmetics/Personal Care -- 1.8%
122 Alberto Culver Co., Class B Shares ................... 2,608
502 Avon Products, Inc. .................................. 13,585
1,236 Colgate Palmolive Co. ................................ 64,504
2,270 The Gillette Co. ..................................... 80,018
213 International Flavors & Fragrances Inc. .............. 6,390
1,136 Kimberly-Clark Corp. ................................. 58,717
2,778 The Procter & Gamble Co. ............................. 244,464
- -------------------------------------------------------------------------------
470,286
- -------------------------------------------------------------------------------
Distribution/Wholesale -- 0.2%
926 Costco Wholesale Corp. ............................... 45,953
369 Genuine Parts Co. .................................... 8,326
200 W.W. Grainger, Inc. .................................. 8,563
- -------------------------------------------------------------------------------
62,842
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Diversified Financial Services -- 3.8%
937 American Express Co. .................................. $ 125,734
1,518 Associates First Capital Corp., Class A Shares ........ 30,170
248 The Bear Stearns Cos. Inc. ............................ 9,734
413 Capital One Financial Corp. ........................... 15,204
1,717 Charles Schwab Corp. .................................. 71,792
3,512 Citigroup Inc. ........................................ 181,527
244 Countrywide Credit Industries, Inc. ................... 6,085
2,162 Fannie Mae ............................................ 114,586
525 Franklin Resources, Inc. .............................. 14,273
1,481 Freddie Mac ........................................... 61,832
984 Household International, Inc. ......................... 31,427
246 Lehman Brothers Holdings, Inc. ........................ 17,835
1,674 MBNA Corp. ............................................ 38,084
770 Merrill Lynch & Co. Inc. .............................. 78,925
2,348 Morgan Stanley Dean Witter & Co. ...................... 165,387
292 PaineWebber Group Inc. ................................ 11,169
311 Providian Financial Corp. ............................. 20,157
335 SLM Holding Corp. ..................................... 10,490
246 T. Rowe Price Associates, Inc. ........................ 8,103
- --------------------------------------------------------------------------------
1,012,514
- --------------------------------------------------------------------------------
Electric -- 1.5%
435 AES Corp. ............................................. 36,458
300 Ameren Corp. .......................................... 9,000
402 American Electric Power Co., Inc. ..................... 11,306
335 Carolina Power & Light Co. ............................ 9,966
436 Central & South West Corp. ............................ 7,330
344 Cinergy Corp. ......................................... 7,353
236 CMS Energy Corp. ...................................... 3,953
458 Consolidated Edison, Inc. ............................. 12,624
312 Constellation Energy Group ............................ 9,282
519 Dominion Resources, Inc. .............................. 19,041
321 DTE Energy Co. ........................................ 9,690
759 Duke Energy Corp. ..................................... 36,812
725 Edison International .................................. 19,077
514 Entergy Corp. ......................................... 10,409
481 FirstEnergy Corp. ..................................... 8,989
211 Florida Progress Corp. ................................ 8,994
369 FPL Group, Inc. ....................................... 14,253
237 GPU Inc. .............................................. 5,895
263 New Century Energies, Inc. ............................ 7,117
411 Niagara Mohawk Holdings, Inc. ......................... 4,829
311 Northern States Power ................................. 5,462
390 PECO Energy Co. ....................................... 14,552
803 PG&E Corp. ............................................ 16,562
178 Pinnacle West Capital Corp. ........................... 4,917
294 PPL Corp. ............................................. 5,917
458 Public Service Enterprise Group ....................... 13,282
614 Reliant Energy, Inc. .................................. 12,625
1,408 Southern Co. .......................................... 31,240
580 Texas Utilities Co. ................................... 18,923
457 Unicom Corp. .......................................... 17,280
- --------------------------------------------------------------------------------
393,138
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Electrical Components & Equipment -- 0.2%
904 Emerson Electric Co. .................................. $ 41,189
324 Molex Inc. ............................................ 18,104
- --------------------------------------------------------------------------------
59,293
- --------------------------------------------------------------------------------
Electronics -- 0.6%
179 Johnson Controls Inc. ................................. 9,554
100 Millipore Corp. ....................................... 5,344
244 Parker-Hannifin Corp. ................................. 8,845
424 PE Corp. - PE Biosystems Group ........................ 44,732
100 Perkin-Elmer Inc. ..................................... 6,463
614 Solectron Corp.* ...................................... 40,217
100 Tektronix Inc. ........................................ 5,800
357 Teradyne Inc.* ........................................ 31,059
344 Thermo Electron Corp. ................................. 5,375
122 Thomas & Betts Corp. .................................. 2,737
- --------------------------------------------------------------------------------
160,126
- --------------------------------------------------------------------------------
Engineering & Construction -- 0.0%
156 Fluor Corp. ........................................... 4,436
- --------------------------------------------------------------------------------
Entertainment -- 0.1%
268 Harrah's Entertainment Inc. ........................... 5,126
433 Mirage Resorts Inc.* .................................. 6,874
- --------------------------------------------------------------------------------
12,000
- --------------------------------------------------------------------------------
Environmental Control -- 0.1%
370 Allied Waste Industries, Inc.* ........................ 2,081
1,294 Waste Management Inc. ................................. 19,410
- --------------------------------------------------------------------------------
21,491
- --------------------------------------------------------------------------------
Food -- 1.6%
881 Albertson's Inc. ...................................... 21,585
1,274 Archer-Daniels-Midland Co. ............................ 12,820
580 Bestfoods ............................................. 24,324
894 Campbell Soup Co. ..................................... 25,367
1,026 ConAgra, Inc. ......................................... 16,801
636 General Mills, Inc. ................................... 20,948
78 Great Atlantic & Pacific Tea Co. ...................... 1,828
748 H.J. Heinz & Co. ...................................... 23,889
290 Hershey Foods Corp. ................................... 12,742
848 Kellogg Co. ........................................... 21,465
1,740 Kroger Co. ............................................ 25,883
711 Nabisco Group Holdings Corp............................ 6,132
279 Quaker Oats Co. ....................................... 15,049
630 Ralston-Ralston Purina Group .......................... 17,837
1,091 Safeway, Inc.* ........................................ 42,072
1,896 Sara Lee Corp. ........................................ 28,440
300 SUPERVALU Inc. ........................................ 5,156
712 SYSCO Corp. ........................................... 23,363
1,194 Unilever NV ........................................... 54,327
351 Winn-Dixie Stores, Inc. ............................... 5,660
245 Wm. Wrigley Jr. Co. ................................... 16,568
- --------------------------------------------------------------------------------
422,256
- --------------------------------------------------------------------------------
Forest Products & Paper -- 0.5%
122 Boise Cascade Corp. ................................... 3,637
201 Champion International Corp. .......................... 10,402
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Forest Products & Paper -- 0.5% (continued)
448 Fort James Corp. ...................................... $ 8,428
357 Georgia-Pacific Group ................................. 12,383
890 International Paper Co. ............................... 32,763
283 Louisiana-Pacific Corp. ............................... 3,343
212 Mead Corp. ............................................ 6,347
69 Potlatch Corp. ........................................ 2,622
122 Temple-Inland, Inc. ................................... 6,237
212 Westvaco Corp. ........................................ 5,843
491 Weyerhaeuser Co. ...................................... 25,194
234 Willamette Industries, Inc. ........................... 7,941
- --------------------------------------------------------------------------------
125,140
- --------------------------------------------------------------------------------
Gas -- 0.1%
56 Eastern Enterprises ................................... 3,241
100 NICOR Inc. ............................................ 3,038
71 Oneok, Inc. ........................................... 1,611
82 Peoples Energy Corp. .................................. 2,373
514 Sempra Energy ......................................... 9,252
- --------------------------------------------------------------------------------
19,515
- --------------------------------------------------------------------------------
Hand/Machine Tools -- 0.1%
179 Black & Decker Corp. .................................. 5,896
129 Milacron, Inc. ........................................ 1,790
134 Snap-on Inc. .......................................... 2,923
189 The Stanley Works ..................................... 4,347
- --------------------------------------------------------------------------------
14,956
- --------------------------------------------------------------------------------
Health Care -- 2.1%
289 Allergan, Inc. ........................................ 14,540
122 Bausch & Lomb Inc. .................................... 6,436
623 Baxter International Inc. ............................. 33,954
524 Becton Dickinson & Co. ................................ 16,277
244 Biomet, Inc. .......................................... 8,052
860 Boston Scientific Corp.* .............................. 15,695
111 C.R. Bard, Inc. ....................................... 4,385
1,172 Columbia/HCA Healthcare Corp. ......................... 22,634
646 Guidant Corp. ......................................... 43,524
910 HEALTHSOUTH Corp.* .................................... 4,436
366 Humana Inc. ........................................... 2,493
2,937 Johnson & Johnson ..................................... 210,730
155 Mallinckrodt, Inc. .................................... 3,817
223 Manor Care, Inc.* ..................................... 1,937
2,525 Medtronic, Inc. ....................................... 122,305
178 St. Jude Medical, Inc. ................................ 4,650
647 Tenet Healthcare Corp.* ............................... 11,323
358 United Healthcare Corp. ............................... 18,303
134 Wellpoint Health Networks* ............................ 9,045
- --------------------------------------------------------------------------------
554,536
- --------------------------------------------------------------------------------
Holding Companies - Diversified -- 0.2%
924 The Seagram Co. Ltd. .................................. 54,285
- --------------------------------------------------------------------------------
Home Builders -- 0.0%
123 Centex Corp. .......................................... 2,422
100 Kaufman & Broad Home Corp. ............................ 1,913
89 Pulte Corp. ........................................... 1,496
- --------------------------------------------------------------------------------
5,831
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Home Furnishings -- 0.1%
433 Leggett & Platt, Inc. ................................. $ 7,280
199 Maytag Corp. .......................................... 5,261
156 Whirlpool Corp. ....................................... 8,473
- --------------------------------------------------------------------------------
21,014
- --------------------------------------------------------------------------------
Household Products/Wares -- 0.3%
145 American Greetings Corp., Class A Shares .............. 2,501
235 Avery Dennison Corp. .................................. 14,262
491 Clorox Co. ............................................ 19,855
366 Fortune Brands, Inc. .................................. 8,006
67 Jostens Inc. .......................................... 1,612
591 Newell Rubbermaid, Inc. ............................... 13,667
123 Tupperware Corp. ...................................... 2,114
- --------------------------------------------------------------------------------
62,017
- --------------------------------------------------------------------------------
Insurance -- 2.3%
312 Aetna, Inc. ........................................... 12,831
558 AFLAC, INC. ........................................... 20,402
1,683 Allstate Corp. ........................................ 32,819
519 American General Corp. ................................ 27,085
3,266 American International Group, Inc. .................... 288,837
536 Aon Corp. ............................................. 11,223
368 Chubb Corp. ........................................... 18,101
390 Cigna Corp. ........................................... 28,787
336 Cincinnati Financial Corp. ............................ 10,038
681 Conseco Inc. .......................................... 9,960
459 The Hartford Financial Services Group, Inc. ........... 14,344
233 Jefferson-Pilot Corp. ................................. 12,131
403 Lincoln National Corp. ................................ 11,208
223 Loews Corp. ........................................... 9,924
557 Marsh & McLennan Cos., Inc. ........................... 43,098
212 MBIA, Inc. ............................................ 8,136
204 MGIC Investment Corp. ................................. 7,625
156 Progressive Corp. ..................................... 9,282
270 SAFECO Corp. .......................................... 5,670
469 St. Paul Cos. ......................................... 10,494
289 Torchmark Corp. ....................................... 5,726
502 UnumProvident Corp. ................................... 6,714
- --------------------------------------------------------------------------------
604,435
- --------------------------------------------------------------------------------
Iron/Steel -- 0.1%
201 Allegheny Technologies, Inc. .......................... 3,404
289 Bethlehem Steel Corp. ................................. 1,644
189 Nucor Corp. ........................................... 9,391
189 USX-U.S. Steel Group .................................. 4,134
- --------------------------------------------------------------------------------
18,573
- --------------------------------------------------------------------------------
Leisure Time -- 0.2%
190 Brunswick Corp. ....................................... 3,361
1,293 Carnival Corp. ........................................ 37,255
320 Harley Davidson, Inc. ................................. 21,800
- --------------------------------------------------------------------------------
62,416
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Lodging -- 0.1%
700 Hilton Hotels Corp. ................................ $ 4,900
534 Marriott International, Inc., Class A Shares ....... 14,718
- ------------------------------------------------------------------------------
19,618
- ------------------------------------------------------------------------------
Machinery - Construction & Mining -- 0.1%
747 Caterpillar Inc. ................................... 26,192
- ------------------------------------------------------------------------------
Machinery - Diversified -- 0.3%
45 Briggs & Stratton .................................. 1,505
89 Cummins Engine Co., Inc. ........................... 2,965
491 Deere & Co. ........................................ 17,553
425 Dover Corp. ........................................ 16,389
336 Ingersoll-Rand Co. ................................. 12,873
123 McDermott International, Inc. ...................... 1,153
12 NACCO Industries, Inc., Class A Shares ............. 521
401 Rockwell International Corp. ....................... 18,145
- ------------------------------------------------------------------------------
71,104
- ------------------------------------------------------------------------------
Media -- 3.4%
1,598 CBS Corp. ........................................... 95,181
703 Clear Channel Communications, Inc. .................. 46,837
1,813 Comcast Corp., Special Class A Shares ............... 77,053
190 Dow Jones & Co., Inc. ............................... 11,851
581 Gannett Co. ......................................... 37,874
155 Harcourt General, Inc. .............................. 5,338
168 Knight Ridder, Inc. ................................. 7,875
413 McGraw-Hill Cos., Inc. .............................. 21,011
1,282 MediaOne Group, Inc.* ............................... 100,637
111 Meredith Corp. ...................................... 3,177
358 New York Times Co., Class A Shares .................. 15,126
2,711 Time Warner, Inc. ................................... 231,791
133 Times Mirror Co., Class A Shares .................... 6,783
491 Tribune Co. ......................................... 19,118
1,461 Viacom Inc., Class B Shares* ........................ 81,451
4,357 The Walt Disney Co. ................................. 145,960
- ------------------------------------------------------------------------------
907,063
- ------------------------------------------------------------------------------
Metal Fabricate/Hardware -- 0.0%
120 Timken Co. .......................................... 1,718
197 Worthington Industries, Inc. ........................ 2,610
- ------------------------------------------------------------------------------
4,328
- ------------------------------------------------------------------------------
Metals - Diversified -- 0.4%
459 Alcan Aluminium Ltd. ................................ 15,147
770 Alcoa, Inc. ......................................... 52,745
355 Freeport-McMoRan Copper & Gold, Inc., Class B
Shares ............................................. 4,881
412 Inco Ltd. ........................................... 7,210
167 Phelps Dodge Corp. .................................. 7,870
134 Reynolds Metals Co. ................................. 8,509
- ------------------------------------------------------------------------------
96,362
- ------------------------------------------------------------------------------
Mining -- 0.1%
825 Barrick Gold Corp. .................................. 13,458
580 Homestake Mining Co. ................................ 3,770
366 Newmont Mining Corp. ................................ 8,098
711 Placer Dome, Inc. ................................... 6,221
- ------------------------------------------------------------------------------
31,547
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Miscellaneous Manufacturer -- 5.6%
200 Cooper Industries, Inc. ............................... $ 6,050
565 Corning, Inc. ......................................... 106,220
145 Crane Co. ............................................. 2,882
291 Danaher Corp. ......................................... 11,876
659 Eastman Kodak Co. ..................................... 37,769
156 Eaton Corp. ........................................... 11,690
67 FMC Corp. ............................................. 3,237
6,906 General Electric Co. .................................. 912,887
1,659 Honeywell International, Inc. ......................... 79,839
645 Illinois Tool Works Inc. .............................. 33,338
189 ITT Industries, Inc. .................................. 4,583
837 Minnesota Mining & Manufacturing Co. .................. 73,761
71 National Service Industries, Inc. ..................... 1,456
277 Pall Corp. ............................................ 5,471
90 Polaroid Corp. ........................................ 2,256
378 PPG Industries, Inc. .................................. 18,664
313 Textron, Inc. ......................................... 19,093
3,563 Tyco International, Ltd. .............................. 135,171
- --------------------------------------------------------------------------------
1,466,243
- --------------------------------------------------------------------------------
Office/Business Equipment -- 0.2%
558 Pitney Bowes, Inc. .................................... 27,621
1,384 Xerox Corp. ........................................... 30,016
- --------------------------------------------------------------------------------
57,637
- --------------------------------------------------------------------------------
Oil & Gas Producers -- 4.5%
190 Amerada Hess Corp. .................................... 9,607
278 Anadarko Petroleum Corp. .............................. 8,549
255 Apache Corp. .......................................... 9,308
690 Atlantic Richfield Co. ................................ 48,990
457 Burlington Resources, Inc. ............................ 12,625
1,372 Chevron Corp. ......................................... 102,471
446 Coastal Corp. ......................................... 18,760
1,306 Conoco Inc., Class B Shares ........................... 25,712
7,264 Exxon Mobil Corp. ..................................... 547,070
179 Kerr-McGee Corp. ...................................... 8,010
756 Occidental Petroleum Corp. ............................ 12,143
525 Phillips Petroleum Co. ................................ 20,081
178 Rowan Cos., Inc. ...................................... 4,472
4,525 Royal Dutch Petroleum ADR ............................. 237,563
184 Sunoco, Inc. .......................................... 4,543
1,160 Texaco, Inc. .......................................... 55,028
293 Tosco Corp. ........................................... 7,838
434 Transocean Sedco Forex Inc. ........................... 17,116
545 Union Pacific Resources Group ......................... 4,871
503 Unocal Corp. .......................................... 13,455
647 USX-Marathon Group .................................... 13,991
- --------------------------------------------------------------------------------
1,182,203
- --------------------------------------------------------------------------------
Oil & Gas Services -- 0.5%
681 Baker Hughes, Inc. .................................... 17,621
926 Halliburton Co. ....................................... 35,362
1,169 Schlumberger, Ltd. .................................... 86,360
- --------------------------------------------------------------------------------
139,343
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Packaging & Containers -- 0.1%
67 Ball Corp. ............................................ $ 1,805
111 Bemis Co. ............................................. 3,302
267 Crown Cork & Seal Co., Inc. ........................... 3,738
354 Owens-Illinois, Inc.* ................................. 4,890
403 Pactiv Corp.* ......................................... 3,350
178 Sealed Air Corp.* ..................................... 8,844
- --------------------------------------------------------------------------------
25,929
- --------------------------------------------------------------------------------
Pharmaceuticals -- 5.8%
3,250 Abbott Laboratories ................................... 106,438
212 ALZA Corp.* ........................................... 7,778
2,733 American Home Products Corp. .......................... 118,886
4,171 Bristol-Myers Squibb Co. .............................. 236,965
589 Cardinal Health, Inc. ................................. 24,296
2,307 Eli Lilly & Co. ....................................... 137,122
4,929 Merck & Co., Inc. ..................................... 303,442
8,140 Pfizer, Inc. .......................................... 261,498
1,110 Pharmacia & Upjohn, Inc. .............................. 52,864
3,098 Schering-Plough Corp. ................................. 108,043
1,815 Warner-Lambert Co. .................................... 155,296
201 Watson Pharmaceuticals, Inc.* ......................... 8,040
- --------------------------------------------------------------------------------
1,520,668
- --------------------------------------------------------------------------------
Pipelines -- 0.6%
158 Columbia Energy Group ................................. 9,322
479 El Paso Energy Corp. .................................. 17,753
1,495 Enron Corp. ........................................... 103,155
934 Williams Cos., Inc. ................................... 39,053
- --------------------------------------------------------------------------------
169,283
- --------------------------------------------------------------------------------
Retail -- 5.2%
302 AutoZone, Inc.* ....................................... 7,418
290 Bed Bath & Beyond, Inc.* .............................. 8,229
444 Best Buy Co., Inc.* ................................... 24,143
424 Circuit City Stores-Circuit City Group ................ 17,119
244 Consolidated Stores Corp.* ............................ 2,745
845 CVS Corp. ............................................. 29,575
289 Darden Restaurants, Inc. .............................. 3,811
223 Dillard Inc., Class A Shares .......................... 3,875
589 Dollar General Corp. .................................. 12,332
435 Federated Department Stores, Inc.* .................... 15,959
1,786 The Gap, Inc. ......................................... 86,286
4,855 Home Depot, Inc. ...................................... 280,680
321 Ikon Office Solutions, Inc. ........................... 2,247
537 J.C. Penney Co., Inc. ................................. 8,458
1,037 Kmart Corp. ........................................... 9,139
355 Kohls Corp.* .......................................... 26,913
446 The Limited, Inc. ..................................... 15,164
79 Longs Drugs Stores Corp. .............................. 1,466
823 Lowe's Cos., Inc. ..................................... 39,195
692 May Department Stores Co. ............................. 18,122
2,834 McDonald's Corp. ...................................... 89,448
310 Nordstrom, Inc. ....................................... 6,607
681 Office Depot, Inc.* ................................... 8,300
73 The Pep Boys - Manny, Moe & Jack ...................... 452
556 Rite Aid Corp. ........................................ 3,823
792 Sears Roebuck & Co. ................................... 21,830
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Retail -- 5.2% (continued)
971 Staples Inc.* ......................................... $ 26,217
402 Tandy Corp. ........................................... 15,301
916 Target Corp. .......................................... 54,044
639 TJX Cos., Inc. ........................................ 10,184
534 Toys "R" Us, Inc.* .................................... 6,608
323 Tricon Global Resturants, Inc.* ....................... 8,600
9,385 Wal-Mart Stores, Inc. ................................. 456,932
2,138 Walgreen Co. .......................................... 55,187
266 Wendy's International, Inc. ........................... 4,190
- --------------------------------------------------------------------------------
1,380,599
- --------------------------------------------------------------------------------
Savings & Loans -- 0.1%
336 Golden West Financial Corp. ........................... 9,576
1,206 Washington Mutual, Inc. ............................... 26,683
- --------------------------------------------------------------------------------
36,259
- --------------------------------------------------------------------------------
Semiconductors -- 5.8%
292 Advanced Micro Devices, Inc. .......................... 11,425
367 Analog Devices, Inc.* ................................. 57,619
796 Applied Materials, Inc.* .............................. 145,618
416 Conexant Systems, Inc.* ............................... 40,872
7,027 Intel Corp. ........................................... 794,051
378 KLA-Tencor Corp.* ..................................... 29,460
624 LSI Logic Corp.* ...................................... 39,975
564 Micron Technology, Inc. ............................... 55,307
356 National Semiconductor Corp.* ......................... 26,745
1,690 Texas Instruments, Inc. ............................... 281,385
668 Xilinx, Inc.* ......................................... 53,273
- --------------------------------------------------------------------------------
1,535,730
- --------------------------------------------------------------------------------
Software -- 8.4%
246 Adobe Systems, Inc. ................................... 25,092
4,721 America Online, Inc. .................................. 278,539
123 Autodesk, Inc. ........................................ 5,497
1,334 Automatic Data Processing ............................. 58,112
502 BMC Software, Inc.* ................................... 23,092
376 Citrix Systems, Inc.* ................................. 39,645
1,147 Computer Associates International, Inc. ............... 73,766
747 Compuware Corp.* ...................................... 16,527
878 First Data Corp. ...................................... 39,510
638 IMS Health, Inc. ...................................... 12,840
10,857 Microsoft Corp.* ...................................... 970,344
693 Novell, Inc.* ......................................... 22,912
5,994 Oracle Corp.* ......................................... 445,055
558 Parametric Technology Corp.* .......................... 16,914
533 PeopleSoft, Inc.* ..................................... 11,026
56 Shared Medical Systems Corp. .......................... 2,181
1,109 Yahoo! Inc.* .......................................... 177,093
- --------------------------------------------------------------------------------
2,218,145
- --------------------------------------------------------------------------------
Telecommunication Equipment -- 5.9%
624 ADC Telecommunications, Inc.* ......................... 28,002
178 Andrew Corp.* ......................................... 4,406
160 Comverse Technology, Inc.* ............................ 31,500
1,607 Global Crossing, Ltd.* ................................ 74,926
6,594 Lucent Technologies, Inc. ............................. 392,343
1,495 Motorola, Inc. ........................................ 254,898
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Telecommunications Equipment -- 5.9% (continued)
758 Nextel Communications Inc.* ........................... $ 103,657
2,808 Nortel Networks Corp. ................................. 313,092
1,487 QUALCOMM, Inc.* ....................................... 211,805
167 Scientific-Atlanta Corp. .............................. 17,149
1,820 Sprint Corp. (PCS Group)* ............................. 94,185
845 Tellabs, Inc.* ........................................ 40,560
- --------------------------------------------------------------------------------
1,566,523
- --------------------------------------------------------------------------------
Telephone -- 5.9%
656 Alltel Corp. .......................................... 38,048
6,743 AT&T Corp. ............................................ 333,357
3,277 Bell Atlantic Corp. ................................... 160,368
3,969 BellSouth Corp. ....................................... 161,737
290 CenturyTel, Inc. ...................................... 9,751
2,053 GTE Corp. ............................................. 121,127
5,989 MCI WorldCom, Inc.* ................................... 267,259
7,173 SBC Communications, Inc. .............................. 272,574
1,838 Sprint Corp. (FON Group) .............................. 112,118
1,059 U.S. West, Inc. ....................................... 76,910
- --------------------------------------------------------------------------------
1,553,249
- --------------------------------------------------------------------------------
Textiles -- 0.0%
21 Spring Industries, Inc., Class A Shares ............... 744
- --------------------------------------------------------------------------------
Tobacco -- 0.4%
4,953 Philip Morris Cos., Inc. .............................. 99,370
358 UST, Inc. ............................................. 6,914
- --------------------------------------------------------------------------------
106,284
- --------------------------------------------------------------------------------
Toys/Games/Hobbies -- 0.1%
422 Hasbro, Inc. .......................................... 6,647
881 Mattel, Inc. .......................................... 8,480
- --------------------------------------------------------------------------------
15,127
- --------------------------------------------------------------------------------
Transportation -- 0.3%
951 Burlington Northern Santa Fe Corp. .................... 18,723
457 CSX Corp. ............................................. 10,140
625 FedEx Corp.* .......................................... 21,836
234 Kansas City Southern Industries, Inc. ................. 18,428
793 Norfolk Southern Corp. ................................ 10,755
514 Union Pacific Corp. ................................... 19,502
- --------------------------------------------------------------------------------
99,384
- --------------------------------------------------------------------------------
Trucking & Leasing -- 0.0%
144 Ryder Systems, Inc. ................................... 2,682
- --------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $23,124,667) .............. 24,085,654
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
S&P 500 Index Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 1.0%
U.S. Treasury Bills:
$ 50,000 4.890% due 3/23/00+ ................................ $ 49,853
200,000 5.080% due 3/23/00+ ................................ 199,394
- -------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost --
$249,213) ........................................ 249,247
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 7.7%
2,019,000 Goldman, Sachs & Co., 5.770% due 3/1/00; Proceeds at
maturity -- $2,019,324; (Fully collateralized by
U.S. Treasury Notes & Bonds, 5.250% to 13.250% due
5/15/01 to 5/15/21; Market value -- $2,019,001)
(Cost -- $2,019,000) .............................. 2,019,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $25,392,880**) .. $ 26,353,901
- -------------------------------------------------------------------------------
</TABLE>
* Non-income producing security.
+ Security is partially segregated by custodian for futures contracts
commitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
Classification of Investments
Miscellaneous Oil & Gas
Manufacturer Producers Pharmaceuticals Retail Semiconductors
- ------------ --------- --------------- ------ --------------
5.6% 4.5% 5.8% 5.2% 5.8%
Telecommunication Repurchase
Equipment Telephone Agreement Other Computers
- --------- --------- --------- ----- ---------
5.9% 5.9% 7.7% 34.1% 11.1%
See Notes to Financial Statements.
46
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 28.8%
U.S. Treasury Notes:
$12,000,000 6.625% due 7/30/01................................. $ 12,024,960
21,825,000 5.500% due 8/31/01................................. 21,521,196
33,725,000 6.625% due 4/30/02................................. 33,771,203
519,000 6.375% due 8/15/02................................. 516,831
325,000 4.750% due 2/15/04................................. 304,688
2,325,000 5.250% due 5/15/04................................. 2,211,098
3,325,000 7.875% due 11/15/04................................ 3,485,398
22,859,000 7.000% due 7/15/06................................. 23,231,145
3,575,000 6.250% due 2/15/07................................. 3,494,277
32,075,000 6.000% due 8/15/09................................. 30,866,093
1,100,000 8.500% due 2/15/20................................. 1,349,656
U.S. Treasury Bonds:
2,700,000 12.000% due 8/15/13................................ 3,591,729
6,500,000 12.500% due 8/15/14................................ 9,058,985
U.S. Treasury Inflation Index Bonds:
9,876,956 3.625% due 7/15/02................................. 9,791,323
9,240,618 3.375% due 1/15/07................................. 8,736,265
4,531,613 3.625% due 1/15/08................................. 4,328,959
8,517,627 3.875% due 1/15/09................................. 8,246,425
14,124,990 3.875% due 4/15/29................................. 13,471,427
- ------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost --
$192,132,587)..................................... 190,001,658
- ------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 38.5%
- -------------------------------------------------------------------------------
Auto Manufacturers -- 1.1%
DaimlerChrysler NA Holdings, Notes:
4,500,000 A+ 6.380% due 8/23/02....................... 4,515,570
3,000,000 A+ 7.400% due 1/20/05....................... 2,996,250
- -------------------------------------------------------------------------------
7,511,820
- -------------------------------------------------------------------------------
Auto Parts & Equipment -- 0.9%
4,000,000 BBB Delphi Auto Services Corp., Notes, 6.125%
due 5/1/04............................... 3,750,000
2,000,000 BBB TRW Inc., Notes, 6.625% due 6/1/04....... 1,915,000
- -------------------------------------------------------------------------------
5,665,000
- -------------------------------------------------------------------------------
Banking -- 6.6%
2,625,000 BBB Banponce Corp., Sub. Notes, 6.750% due
12/15/05................................. 2,516,719
2,000,000 A- Banque National, Sub. Notes, 6.765% due
12/29/49................................. 1,924,886
2,055,000 BBB+ BB&T Corp., Bonds, 6.375% due 6/30/05.... 1,921,425
4,000,000 A+ Dresdner Funding Trust, Bonds, 8.151% due
6/30/31.................................. 3,693,984
2,000,000 A First National Bank of Boston, Sub.
Notes, 8.375% due 12/15/02............... 2,040,000
3,250,000 A- First Tennessee National, Sub. Notes,
5.750% due 12/1/08....................... 2,823,438
3,200,000 A First Union National Bank, Sub. Notes,
5.800% due 12/1/08....................... 2,816,000
2,700,000 A- Firstar Bank, Sub. Notes, 7.125% due
12/1/09.................................. 2,606,580
2,350,000 A2* Merita Bank, Sub. Notes, 7.500% due
12/29/49................................. 2,229,753
3,250,000 A- National City Corp., Sub. Notes, 5.750%
due 2/1/09............................... 2,827,500
1,500,000 A+ National Westminster Bank, Sub. Notes,
7.750% due 4/29/49....................... 1,471,875
2,000,000 BBB+ Nordbanken, Bonds, 8.950% due 11/29/49... 1,986,596
2,500,000 BBB+ Popular Inc., Notes, 6.200% due 4/30/01.. 2,459,375
5,700,000 BBB Skand Enskilda, Sub. Notes, 6.500% due
12/29/49+................................ 5,352,237
500,000 A- St. Georges Bank, Sub. Debentures, 7.150%
due 10/15/05............................. 476,370
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
Banking -- 6.6% (continued)
$ 3,250,000 A+ U.S. Bank NA, Notes, 5.625% due
11/30/05................................. $ 2,953,438
3,600,000 A+ Wells Fargo & Co., Sub. Notes, 6.625% due
7/15/04.................................. 3,483,000
- -------------------------------------------------------------------------------
43,583,176
- -------------------------------------------------------------------------------
Beverages -- 0.6%
4,025,000 A+ Diageo PLC, Company Guaranteed, 6.125%
due 8/15/05.............................. 3,793,563
- -------------------------------------------------------------------------------
Commercial Mortgage-Backed Securities -- 0.5%
3,575,000 BBB Chase Mortgage Securities Corp., Notes,
7.370% due 5/19/07....................... 3,319,674
- -------------------------------------------------------------------------------
Commercial Services -- 0.4%
2,900,000 BBB+ Cox Enterprises Inc., Notes, 6.625% due
6/14/02.................................. 2,842,000
- -------------------------------------------------------------------------------
Computers -- 1.0%
6,500,000 A+ Electronic Data Services, Notes, 6.850%
due 10/15/04............................. 6,345,625
- -------------------------------------------------------------------------------
Diversified Financial Services -- 11.5%
Amvescap PLC, Company Guaranteed:
2,000,000 BBB 6.375% due 5/15/03....................... 1,865,000
1,300,000 BBB 6.600% due 5/15/05....................... 1,166,750
Associates Corp., Sr. Notes:
2,300,000 A+ 5.750% due 11/1/03....................... 2,182,125
4,000,000 A+ 5.800% due 4/20/04....................... 3,750,000
AT&T Capital Corp., Company Guaranteed:
1,100,000 A+ 6.350% due 3/21/00....................... 1,100,152
2,000,000 A+ 7.500% due 11/15/00...................... 2,012,860
3,000,000 A+ 7.000% due 8/15/01....................... 2,994,867
Bear, Stearns & Co., Inc., Sr. Notes:
4,700,000 A 6.347% due 5/7/02........................ 4,698,651
2,500,000 A 7.625% due 12/7/09....................... 2,431,900
Ford Motor Credit Co., Notes:
2,000,000 A+ 5.750% due 1/25/01....................... 1,982,500
5,100,000 A+ 6.710% due 7/13/01....................... 5,133,711
1,300,000 A+ 7.750% due 11/15/02...................... 1,314,625
3,975,000 A+ 6.700% due 7/16/04....................... 3,855,750
General Electric Capital Corp., Notes:
6,000,000 AAA 5.440% due 1/14/02....................... 5,827,500
3,800,000 AAA 6.267% due 7/23/03....................... 3,695,500
General Motors Acceptance Corp., Bonds:
6,000,000 A 6.251% due 4/5/04........................ 5,986,215
3,500,000 A 6.850% due 6/17/04....................... 3,412,500
Goldman Sachs Group LP, Notes:
3,000,000 A+ 6.390% due 12/7/01....................... 3,008,340
450,000 A+ 7.200% due 3/1/07+....................... 437,625
2,900,000 A Household Financial Corp., Medium Term
Notes, 6.125% due 7/15/02................ 2,820,250
Lehman Brothers Holdings, Notes:
2,500,000 A 6.903% due 4/2/02........................ 2,515,200
3,525,000 A 7.000% due 5/15/03....................... 3,445,688
3,425,000 AA- Merrill Lynch & Co., Bonds, 6.000% due
2/12/03.................................. 3,300,844
Morgan Stanley Dean Witter & Co., Notes:
3,000,000 A+ 7.125% due 1/15/03....................... 2,981,250
4,000,000 A+ 6.290% due 4/22/04....................... 3,997,440
- -------------------------------------------------------------------------------
75,917,243
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
Electric -- 1.4%
$ 4,300,000 A- Central Power & Light, Notes, 6.560% due
2/22/02.................................. $ 4,300,000
2,900,000 BBB+ Dominion Resources, Certificate of
Deposit, 6.195% due 1/26/01+............. 2,884,575
2,000,000 BBB+ Niagara Mohawk Power, Debentures, 6.875%
due 4/1/03............................... 1,957,500
- -------------------------------------------------------------------------------
9,142,075
- -------------------------------------------------------------------------------
Environmental Control -- 0.4%
2,700,000 BBB WMX Technologies, Notes, 6.375% due
12/1/03.................................. 2,430,000
- -------------------------------------------------------------------------------
Food -- 0.2%
1,500,000 A Ahold Finance, Company Guaranteed, 6.250%
due 5/1/09............................... 1,359,375
- -------------------------------------------------------------------------------
Holding Companies - Diversified -- 0.7%
3,450,000 BBB Brascan Ltd., Notes, 7.375% due 10/1/02.. 3,402,563
1,500,000 A Duke Capital Corp., Sr. Notes, 7.250% due
10/1/04.................................. 1,483,125
- -------------------------------------------------------------------------------
4,885,688
- -------------------------------------------------------------------------------
Insurance -- 2.2%
1,000,000 BBB+ Fairfax Financial Holdings, Notes, 6.875%
due 4/15/08.............................. 842,664
3,450,000 A- Florida Resident Property & Casualty,
Notes, 7.375% due 7/1/03................. 3,398,250
3,000,000 A- Florida Windstorm, Bonds, 6.700% due
8/25/04+................................. 2,883,750
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.............................. 5,958,875
- -------------------------------------------------------------------------------
14,385,352
- -------------------------------------------------------------------------------
Leisure Time -- 0.4%
1,500,000 A Carnival Corp., Notes, 7.050% due
5/15/05.................................. 1,449,375
900,000 BBB Royal Carribbean Cruises, Sr. Notes,
8.125% due 7/28/04....................... 904,500
- -------------------------------------------------------------------------------
2,353,875
- -------------------------------------------------------------------------------
Lodging -- 0.4%
3,100,000 BB- La Quinta Inns, Notes, 7.110% due
10/17/01................................. 3,018,625
- -------------------------------------------------------------------------------
Media -- 2.9%
1,250,000 BBB- Clear Channel, Bonds, 1.500% due
12/1/02.................................. 1,148,438
4,250,000 BBB+ Cox Communications, Notes, 7.000% due
8/15/01.................................. 4,262,325
3,400,000 BBB+ Houghton Mifflin Co., Notes, 6.501% due
12/1/00.................................. 3,400,340
400,000 BBB- News America Holdings, Sr. Notes, 8.500%
due 2/15/05.............................. 410,500
TCI Communications Inc., Notes:
2,800,000 AA- 6.335% due 9/11/00....................... 2,796,590
3,575,000 AA- 6.375% due 5/1/03........................ 3,472,218
1,000,000 A Times Mirror Co., Notes, 7.450% due
10/15/09................................. 985,000
3,000,000 A Walt Disney Co., Notes, 5.125% due
12/15/03................................. 2,782,500
- -------------------------------------------------------------------------------
19,257,911
- -------------------------------------------------------------------------------
Miscellaneous Manufacturing -- 0.3%
1,775,000 A- Tyco International Group, Notes, 6.875%
due 9/5/02............................... 1,746,156
- -------------------------------------------------------------------------------
Oil & Gas Producers -- 0.6%
4,000,000 BBB Occidental Petroleum, Sr. Notes, 6.703%
due 4/3/00............................... 3,997,280
- -------------------------------------------------------------------------------
Pharmaceuticals -- 0.4%
2,825,000 AAA Merck & Co., Medium Term Notes, 5.760%
due 5/3/07............................... 2,821,469
- -------------------------------------------------------------------------------
Real Estate -- 0.4%
2,900,000 A+ Homeside Lending Inc., Notes, 6.875% due
6/30/02.................................. 2,863,750
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
Real Estate Investment Trust -- 2.1%
$ 2,500,000 BBB- American Health Property, Notes, 7.050%
due 1/15/02.............................. $ 2,465,625
2,000,000 BBB CP Limited Partnership, Sr. Notes, 8.500%
due 3/1/05............................... 2,005,000
Highwoods Realty, Notes:
2,000,000 BBB 6.835% due 1/31/03....................... 1,876,500
1,000,000 BBB 7.000% due 12/1/06....................... 893,340
2,000,000 A- Kimco Realty Corp., Sr. Notes, 7.500% due
11/5/06.................................. 1,935,740
2,500,000 BBB+ Simon Debartolo, Notes, 7.000% due
6/15/08.................................. 2,276,678
United Dominion Realty, Notes:
1,000,000 BBB 7.020% due 11/15/05...................... 925,980
500,000 BBB 7.950% due 7/12/06....................... 477,450
1,000,000 BBB 7.250% due 1/15/07....................... 919,290
- -------------------------------------------------------------------------------
13,775,603
- -------------------------------------------------------------------------------
Retail -- 0.4%
3,000,000 A CVS Corp., Notes, 5.500% due 2/15/04..... 2,823,750
- -------------------------------------------------------------------------------
Telecommunications -- 0.4%
3,000,000 BBB- PanAmSat Corp., Notes, 6.000% due
1/15/03.................................. 2,797,500
- -------------------------------------------------------------------------------
Telephone -- 0.6%
4,000,000 BBB+ Sprint Capital Corp., Company Guaranteed,
5.875% due 5/1/04........................ 3,765,000
- -------------------------------------------------------------------------------
Tobacco -- 0.9%
6,000,000 A Philip Morris, Notes, 9.000% due 1/1/01.. 6,060,000
- -------------------------------------------------------------------------------
Transportation -- 1.2%
4,000,000 BBB CSX Corp., Medium Term Notes, 6.401% due
6/15/00.................................. 3,998,640
2,125,000 BBB+ Norfolk Southern, Notes, 6.950% due
5/1/02................................... 2,103,750
1,800,000 BBB+ Stagecoach Holdings, Notes, 8.625% due
11/15/09................................. 1,806,750
- -------------------------------------------------------------------------------
7,909,140
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$261,348,013)........................... 254,370,650
- -------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 25.9%
- -------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 1.4%
2,750,000 FHLMC, 5.750% due 6/15/01................ 2,717,578
6,950,000 FHLMC, 5.750% due 3/15/09................ 6,263,688
557,909 FHLMC, 7.000% due 4/15/23................ 552,026
- -------------------------------------------------------------------------------
9,533,292
- -------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 3.5%
9,475,000 FNMA, 5.625% due 5/14/04................. 8,970,267
10,100,000 FNMA, 6.500% due 8/15/04................. 9,863,963
1,500,000 FNMA, 6.625% due 9/15/09................. 1,436,250
41,789 FNMA, 8.000% due 10/1/09................. 41,867
2,987,622 FNMA, 7.000% due 4/24/24................. 2,720,744
- -------------------------------------------------------------------------------
23,033,091
- -------------------------------------------------------------------------------
Government National Mortgage Association (GNMA) -- 3.7%
3,900,000 GNMA, 8.000% due 2/15/29++............... 3,912,168
3,000,000 GNMA, 6.500% due 5/15/29................. 2,796,541
2,700,000 GNMA, 6.500% due 7/15/29................. 2,516,887
14,990,674 GNMA, 8.000% due 1/15/30................. 15,046,889
- -------------------------------------------------------------------------------
24,272,485
- -------------------------------------------------------------------------------
Collateralized Mortgage Obligations (CMO) -- 17.3%
5,818,676 AAMES Mortgage Trust, 6.285% due
7/15/29.................................. 5,811,402
2,817,746 Amresco Commercial Lending, 7.120% due
6/15/12.................................. 2,729,001
2,850,000 ANRC Auto Owner Trust, 6.940% due
4/17/06.................................. 2,819,405
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
Collateralized Mortgage Obligations (CMO) -- 17.3% (continued)
$ 456,093 Banc One Auto Grantor Trust, 6.100% due
10/15/02................................. $ 455,925
1,700,000 Bayview Financial Revolving Mortgage,
7.178% due 8/25/29....................... 1,671,844
593,474 Capital Asset Research Funding LP, 5.905%
due 12/15/05............................. 587,725
2,062,941 CMC Securities Corp. III, 6.750% due
11/25/23................................. 2,041,860
2,025,000 Continental Mortgage Home Equity, 7.130%
due 3/15/15.............................. 2,018,935
2,775,000 Copelco Capital Funding Corp., 5.950% due
6/15/04.................................. 2,665,873
GE Capital Mortgage Services, Inc.:
1,389,108 6.380% due 5/25/14....................... 1,380,669
2,000,000 6.500% due 3/25/24....................... 1,705,370
1,919,035 Green Tree Financial Corp., 6.420% due
11/15/28................................. 1,920,534
500,000 Green Tree Home Improvement, 10.540% due
7/15/26.................................. 528,364
4,495,613 IMPAC CMB Trust, 6.056% due 7/25/28...... 4,463,748
847,000 Mortgage Capital Funding, 7.800% due
4/15/06.................................. 834,359
493,800 Residential Accredit Loans, 8.000% due
10/25/28................................. 491,185
Residential Funding Mortgage Securities,
Inc.:
1,000,000 7.000% due 10/25/27...................... 931,335
8,725,000 5.980% due 10/25/29...................... 8,052,695
36,096 Resolution Trust Corp., 9.000% due
9/25/28.................................. 36,316
SBIC Business Investment Cos.:
8,910,778 7.540% due 8/10/09....................... 8,661,555
9,000,000 8.017% due 2/10/10....................... 9,075,936
Small Business Administration:
4,068,926 6.150% due 11/01/13...................... 3,840,049
1,289,836 6.850% due 10/1/15....................... 1,252,689
3,906,493 6.650% due 11/1/15....................... 3,709,950
6,781,750 7.100% due 2/1/17........................ 6,567,705
8,844,102 7.500% due 4/1/17........................ 8,898,051
6,776,959 7.300% due 5/1/17........................ 6,726,200
13,938,750 7.200% due 10/1/19....................... 13,466,069
5,900,000 7.190% due 12/1/19....................... 5,713,784
5,107,000 7.590% due 1/1/20........................ 5,052,738
- -------------------------------------------------------------------------------
114,111,271
- -------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$173,809,666)........................... 170,950,139
- -------------------------------------------------------------------------------
COMMERCIAL PAPER -- 3.5%
2,200,000 Alcoa Inc., Discount Note, 5.760% due
3/13/00.................................. 2,193,664
500,000 Emerson Electric, Discount Note, 5.800%
due 4/5/00............................... 497,181
Federal Home Loan Mortgage Corporation,
Discount Note:
100,000 5.620% due 3/1/00........................ 100,000
7,000,000 5.650% due 3/21/00....................... 6,978,028
7,000,000 General Electric Capital Corp., 5.910%
due 5/18/00.............................. 6,910,365
3,000,000 Honeywell International Inc., Discount
Note, 5.830% due 4/10/00................. 2,980,562
UBS Finance Inc.:
3,000,000 5.820% due 4/6/00........................ 2,982,540
200,000 5.890% due 4/6/00........................ 198,822
- -------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost --
$22,843,278)............................ 22,841,162
- -------------------------------------------------------------------------------
REGIONAL GOVERNMENT OBLIGATIONS -- 0.9%
3,250,000 AA- Ontario Province, 5.500% due 10/1/08..... 2,855,938
3,500,000 A+ Quebec Province, 7.500% due 7/15/02...... 3,508,750
- -------------------------------------------------------------------------------
TOTAL REGIONAL GOVERNMENT OBLIGATIONS
(Cost -- $6,917,188)..................... 6,364,688
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 2.4%
$12,939,000 J.P. Morgan & Co., 5.760% due 3/1/00; Proceeds at
maturity -- $12,941,070; (Fully collateralized by
U.S. Treasury Notes & Bonds, 4.750% to 12.750% due
5/25/00 to 8/15/28; Market value -- $13,458,247)... $ 12,939,000
2,910,000 Morgan Stanley Dean Witter & Co., 5.750% due 3/1/00;
Proceeds at maturity -- $2,910,465;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 5.375% to 8.750% due 6/30/03 to 5/15/17;
Market value -- $3,181,828)........................ 2,910,000
- --------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost -- $15,849,000)... 15,849,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $672,899,732**).. $660,377,297
- --------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service, except those
identified by an asterisk (*), which are rated by Moody's Investors
Service, Inc.
+ Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
++Security is traded on a "to-be-announced" basis (See Note 10).
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 68 for definition of ratings.
[PIE CHART]
Classification of Investments
Repurchase Corporate Mortgage-Backed Regional Government
Agreements Bonds & Notes Securities Obligations
- ---------- ------------- ---------- -----------
2.4% 38.5% 25.9% 0.9%
Regional Government U.S. Government Agencies Commercial
Obligations & Obligations Paper
- ----------- ------------- -----
0.9% 28.8% 3.5%
See Notes to Financial Statements.
52
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Long-Term Bond Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS & AGENCIES -- 46.1%
- -------------------------------------------------------------------------------
U.S. Treasury Obligations -- 35.9%
$ 200,000 U.S. Treasury Notes, 5.478% due 5/11/00#............ $ 197,839
U.S. Treasury Strips:
5,125,100 3.875% due 1/15/09.................................. 4,961,916
1,453,739 3.875% due 4/15/29.................................. 1,386,475
33,000,000 Zero coupon due 5/15/10............................. 16,892,370
36,000,000 Zero coupon due 5/15/20............................. 10,199,520
- -------------------------------------------------------------------------------
33,638,120
- -------------------------------------------------------------------------------
U.S. Government Agencies -- 10.2%
Federal National Mortgage Association (FNMA):
300,000 5.810% due 5/11/00.................................. 296,521
8,400,000 7.500% TBA 30 years+................................ 8,237,207
900,000 8.500% TBA 30 years+................................ 921,375
Student Loan Mortgage Association, 1997-2A Floating,
93,660 6.089% due 10/25/05................................. 93,127
- -------------------------------------------------------------------------------
9,548,230
- -------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS & AGENCIES
(Cost -- $43,067,580)............................... 43,186,350
- -------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 45.9%
- -------------------------------------------------------------------------------
Aerospace/Defense -- 0.3%
270,000 BBB- Lockheed Martin Corp., 8.500% due
12/1/29................................... 266,963
- -------------------------------------------------------------------------------
Agriculture -- 1.5%
1,600,000 A+ Cargill Inc., 6.875% due 5/1/28++......... 1,388,000
- -------------------------------------------------------------------------------
Banking -- 7.8%
3,650,000 A Bank One Corp., 8.000% due 4/29/27........ 3,627,187
3,350,000 AAA International Bank of Reconstruction &
Development, 8.250% due 9/1/16............ 3,718,500
- -------------------------------------------------------------------------------
7,345,687
- -------------------------------------------------------------------------------
Consumer Products -- 4.1%
1,550,000 A+ Bestfoods, Series F, 6.625% due 4/15/28... 1,338,813
2,075,000 AA The Proctor & Gamble Co., 9.360% due
1/1/21.................................... 2,458,874
- -------------------------------------------------------------------------------
3,797,687
- -------------------------------------------------------------------------------
Financial Services -- 9.5%
2,400,000 BBB- Continental Corp., 8.375% due 8/15/12..... 2,340,000
260,000 A Dow Chemical Co., 7.375% due 11/1/29...... 250,250
1,450,000 A- Lumbermens Mutual Casualty, Surplus Notes,
8.300% due 12/1/37++...................... 1,261,500
3,000,000 A+ Nationwide CSN Trust, 9.875% due 2/15/25.. 3,206,250
2,100,000 A- US West Capital Funding Inc., 6.875% due
7/15/28................................... 1,829,625
- -------------------------------------------------------------------------------
8,887,625
- -------------------------------------------------------------------------------
Media & Entertainment -- 5.7%
1,275,000 BBB- News America Holdings Inc., 9.250% due
2/1/13.................................... 1,400,906
3,800,000 BBB Time Warner Inc., 8.375% due 7/15/33...... 3,947,250
- -------------------------------------------------------------------------------
5,348,156
- -------------------------------------------------------------------------------
Miscellaneous -- 6.9%
3,250,000 BBB+ Boston University, 7.625% due 7/15/97..... 2,933,125
2,850,000 BBB+ Ogden Corp., 9.250% due 3/1/22............ 2,664,750
994,000 BBB Republic of Poland PDI, 6.000% due
10/27/14.................................. 883,418
- -------------------------------------------------------------------------------
6,481,293
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Long-Term Bond Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- ---------------------------------------------------------------------------------
Transportation -- 3.1%
$ 2,216,820 BBB+ Federal Express Corp., 7.630% due 1/5/14.... $ 2,061,643
Ford Motor Co.:
625,000 A+ 7.375% due 10/28/09......................... 607,031
240,000 A+ 6.625% due 10/1/28.......................... 210,300
- ---------------------------------------------------------------------------------
2,878,974
- ---------------------------------------------------------------------------------
Utilities -- 7.0%
2,275,000 BBB+ Columbia Gas Systems Inc., 7.320% due
11/28/10.................................... 2,098,689
3,000,000 A+ New York Telephone, 6.700% due 11/1/23...... 2,632,500
2,100,000 A- Puget Sound Energy Inc., Series A, 6.740%
due 6/15/18................................. 1,874,250
- ---------------------------------------------------------------------------------
6,605,439
- ---------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$45,825,432)............................... 42,999,824
- ---------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 8.0%
7,447,000 J.P. Morgan Securities Inc., 5.760% due
3/1/00; Proceeds at maturity -- $7,448,191;
(Fully collateralized by U.S. Treasury
Notes & Bonds, 4.750% to 12.750% due
5/25/00 to 8/15/28; Market value --
$7,595,958) (Cost -- $7,447,000).......... 7,447,000
- ---------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$96,340,012**)............................. $93,633,174
- ---------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service, except those
identified by an asterisk (*), which are rated by Moody's Investors
Service, Inc.
# Security is partially segregated by custodian for futures contracts
commitments.
+ Security is traded on a "to-be-announced" basis (See Note 10).
++Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 68 for definition of ratings.
[PIE CHART]
Classification of Investments
Corporate Bonds Repurchase U.S. Government
& Notes Agreement Obligations & Agencies
- ------- --------- ----------------------
45.9% 8.0% 46.1%
See Notes to Financial Statements.
54
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Municipal Bond Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
Alaska -- 0.2%
$ 100,000 AAA Valdez Alaska Marine Term Revenue, Exxon
Pipeline Company Project, VRDN, Series A,
3.750% due 12/1/33........................ $ 100,000
- -------------------------------------------------------------------------------
Arizona -- 3.6%
Arizona Student Loan Acquisition Authority
Revenue:
1,000,000 Aaa* Series A-1, 5.650% due 5/1/14.............. 985,000
1,000,000 Aaa* Series A-1, 5.750% due 5/1/15.............. 985,000
100,000 AA- Maricopa County, AZ PCR, Arizona Public
Services Co., VRDN, Series C,
3.800% due 5/1/29......................... 100,000
- -------------------------------------------------------------------------------
2,070,000
- -------------------------------------------------------------------------------
California -- 8.2%
California State Public Works Board Lease
Revenue:
3,100,000 A1* California Community Colleges, Series D,
4.750% due 10/1/14........................ 2,782,250
2,000,000 A1* Department of Corrections, Series A, 5.250%
due 9/1/15................................ 1,892,500
- -------------------------------------------------------------------------------
4,674,750
- -------------------------------------------------------------------------------
District of Columbia -- 1.0%
600,000 AA- District of Columbia GO, VRDN, Series B,
3.900% due 6/1/03......................... 600,000
- -------------------------------------------------------------------------------
Florida -- 15.8%
Florida State Board of Education Capital
Outlay, Public Education GO:
2,000,000 AA+ Series A, 5.250% due 6/1/17................ 1,862,500
2,500,000 AA+ Series B, 5.000% due 6/1/14................ 2,306,250
1,500,000 AAA Reedy Creek, FL Improvement District,
Series A, MBIA-Insured, 5.250% due
6/1/15.................................... 1,426,875
3,765,000 AAA Tampa Bay, FL Water Utilities System
Revenue, Series A, 5.125% due 10/1/17..... 3,440,269
- -------------------------------------------------------------------------------
9,035,894
- -------------------------------------------------------------------------------
Georgia -- 4.9%
3,000,000 AAA Gwinnett County, GA Water & Sewer Authority
Revenue, 5.250% due 8/1/18................ 2,831,250
- -------------------------------------------------------------------------------
Illinois -- 3.2%
2,000,000 AAA Chicago, IL Board of Education GO, School
Reform Board, Series A, FGIC-Insured,
5.250% due 12/1/20........................ 1,817,500
- -------------------------------------------------------------------------------
Indiana -- 1.7%
1,000,000 AA- Indiana Health Facility Funding Authority
GO, Methodist Hospital, Series A,
5.750% due 9/1/15......................... 1,003,750
- -------------------------------------------------------------------------------
Iowa -- 4.6%
3,000,000 AAA Iowa Finance Authority, Hospital Facility
Revenue, Iowa Health System, Series A,
MBIA-Insured, 5.125% due 7/1/20........... 2,617,500
- -------------------------------------------------------------------------------
Massachusetts -- 9.1%
3,000,000 AA- Massachusetts State Consolidated Loan GO,
Series C, 5.250% due 8/1/14............... 2,850,000
2,500,000 AAA Massachusetts State Turnpike Authority,
Metropolitan Highway System, Series A,
MBIA-Insured, 5.000% due 1/1/13........... 2,346,875
- -------------------------------------------------------------------------------
5,196,875
- -------------------------------------------------------------------------------
Minnesota -- 6.3%
3,000,000 AAA Minnesota Public Facility Authority, Water
PCR, Series B, 5.125% due 3/1/13.......... 2,861,250
750,000 AAA Southern Minnesota Municipal Power Agency
Revenue, Power Supply System, Pre-
Refunded, Series A, 5.750% due 1/1/18..... 736,874
- -------------------------------------------------------------------------------
3,598,124
- -------------------------------------------------------------------------------
New Jersey -- 5.1%
100,000 AAA New Jersey Economic Development Authority
Water Facility Revenue, VRDN, United
Water, AMBAC-Insured, 3.800% due 11/1/25.. 100,000
1,000,000 AAA New Jersey Sports & Exposition Authority
State Contract, Series A, MBIA-Insured,
5.250% due 3/1/12......................... 976,250
2,000,000 Aa2* New Jersey State Transportation Trust Fund
Authority, Series A, 5.125% due 6/15/15... 1,850,000
- -------------------------------------------------------------------------------
2,926,250
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Municipal Bond Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- --------------------------------------------------------------------------------
New York -- 9.5%
$ 100,000 AA New York, NY City Transitional Finance
Authority Revenue, VRDN, Sub-Series B,
3.750% due 11/1/27......................... $ 100,000
3,000,000 A- New York, NY GO, Series J, 5.375% due
8/1/13..................................... 2,876,250
500,000 AAA New York, NY GO, VRDN, Sub-Series B, 3.900%
due 8/15/19................................ 500,000
2,000,000 A- New York State Dormitory Authority, State
University Educational Facility, Series A,
5.500% due 5/15/13......................... 1,970,000
- --------------------------------------------------------------------------------
5,446,250
- --------------------------------------------------------------------------------
Tennessee -- 2.0%
1,170,000 AAA Memphis, TN Shelby County Airport Authority
Revenue, Series D, AMBAC-Insured,
5.875% due 3/1/16(b)....................... 1,162,688
- --------------------------------------------------------------------------------
Texas -- 14.8%
2,270,000 AAA Arlington, TX GO, ISD, PSFG, 4.500% due
2/15/20.................................... 1,816,000
3,000,000 AAA Dallas, TX Civic Center, MBIA-Insured,
5.000% due 8/15/18......................... 2,628,750
3,000,000 AA Fort Worth, TX Water & Sewer Revenue, 5.250%
due 2/15/16................................ 2,816,250
120,000 AAA Gulf Coast Waste Disposal Authority, TX PCR,
(Exxon Project), VRDN, 3.800% due 6/1/20... 120,000
100,000 AAA North Central Texas Health Facility
Development Corp. Revenue, Methodist
Hospital of Dallas, VRDN, Series B, 3.800%
due 10/1/15................................ 100,000
1,000,000 AAA Texas State Public Finance Authority
Building Revenue, (Department of Criminal
Justice Project), Series A, FSA-Insured,
5.250% due 2/1/11.......................... 985,000
- --------------------------------------------------------------------------------
8,466,000
- --------------------------------------------------------------------------------
Washington -- 3.9%
2,600,000 AA- King County, WA GO, School District No. 412
Shoreline, 4.750% due 6/1/15............... 2,245,750
- --------------------------------------------------------------------------------
Wisconsin -- 5.2%
2,000,000 A1* Sun Prairie Wisconsin Area School District
GO, FGIC-Insured, 5.625% due 4/1/16........ 1,965,000
1,000,000 AA- Wisconsin State Petroleum Inspection Fee
Revenue, Series A, 6.000% due 7/1/12....... 1,024,650
- --------------------------------------------------------------------------------
2,989,650
- --------------------------------------------------------------------------------
Wyoming -- 0.9%
500,000 AA+ Uinta County, WY PCR, Amoco Project, VRDN,
3.750% due 7/1/26.......................... 500,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$62,182,875**)............................ $57,282,231
- --------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service, except those
identified by an asterisk (*), which are rated by Moody's Investors
Service, Inc.
(b) Income from this issue is considered a preference item for purposes of
calculating the alternative minimum tax.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 68 for definition of ratings and certain security descriptions.
[PIE CHART]
Classification of Investments
Iowa New York Wisconsin Florida Minnesota Georgia Texas
- ---- -------- --------- ------- --------- ------- -----
4.6% 9.5% 5.2% 15.8% 6.3% 4.9% 14.8%
Other States New Jersey California Massachusetts
- ------------ ---------- ---------- -------------
16.5% 5.1% 8.2% 9.1%
See Notes to Financial Statements.
56
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Mortgage Backed Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 99.5%
- ------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 48.0%
$ 27,205 FHLMC, 11.000% due 4/1/00 - 10/1/00................ $ 28,585
202,958 FHLMC, 10.000% due 4/1/09 - 10/1/09................ 217,545
83,768 FHLMC, 10.250% due 11/1/03 - 2/1/10................ 90,261
434,977 FHLMC, 9.000% due 12/1/04 - 7/1/11................. 450,257
68,942 FHLMC, 11.500% due 10/1/15......................... 76,504
33,841 FHLMC, 7.500% due 6/1/16........................... 33,566
506,394 FHLMC, 9.500% due 10/1/08 - 8/1/16................. 531,238
876,275 FHLMC, 8.000% due 8/1/08 - 5/1/17.................. 887,500
1,905,863 FHLMC, 8.500% due 12/1/06 - 7/1/17................. 1,972,568
76,323 FHLMC Gold, 9.500% due 4/1/10...................... 79,759
532,703 FHLMC Gold, 8.500% due 9/1/08 - 2/1/18............. 545,520
6,443,929 FHLMC Gold, 7.500% due 12/1/12 - 5/1/25............ 6,329,099
3,647,894 FHLMC Gold, 8.000% due 5/1/06 - 12/1/26............ 3,663,867
10,333,834 FHLMC Gold, 6.000% due 10/1/27 - 1/1/29............ 9,377,955
15,855,646 FHLMC Gold, 6.500% due 2/1/11 - 5/1/29............. 14,915,029
12,276,013 FHLMC Gold, 7.000% due 5/1/12 - 7/1/29............. 11,845,489
- ------------------------------------------------------------------------------
51,044,742
- ------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 23.0%
1,899,301 FNMA, 5.500% due 11/1/08........................... 1,741,412
127,475 FNMA, 10.750% due 10/1/12.......................... 138,988
17,294 FNMA, 12.500% due 6/1/15........................... 19,635
645,032 FNMA, 8.500% due 6/1/06 - 6/1/17................... 660,516
1,047,889 FNMA, 9.000% due 8/1/02 - 3/1/18................... 1,085,948
5,813 FNMA, 10.000% due 1/1/21........................... 6,213
279,120 FNMA, 9.500% due 4/1/01 - 11/1/21.................. 291,814
1,986,151 FNMA, 8.000% due 9/1/02 - 12/1/22.................. 1,990,565
3,401,911 FNMA, 7.500% due 12/1/06 - 9/1/23.................. 3,343,124
2,412,086 FNMA, 7.000% due 1/1/24............................ 2,313,336
4,787,574 FNMA, 6.500% due 3/1/09 - 5/1/28................... 4,512,151
9,053,558 FNMA, 6.000% due 9/1/08 - 9/1/28................... 8,368,129
- ------------------------------------------------------------------------------
24,471,831
- ------------------------------------------------------------------------------
Government National Mortgage Association (GNMA) -- 28.5%
87,461 GNMA I, 11.000% due 7/15/10 - 9/15/10.............. 96,207
87,063 GNMA I, 9.000% due 10/15/16........................ 90,491
179,340 GNMA I, 9.500% due 12/15/16 - 8/15/19.............. 188,868
2,683,394 GNMA I, 8.000% due 1/15/14 - 8/15/23.............. 2,693,457
590,620 GNMA I, 8.500% due 5/15/17 - 7/15/27............... 604,648
2,490,623 GNMA I, 7.500% due 9/15/27......................... 2,445,469
8,687,414 GNMA I, 7.000% due 4/15/23 - 3/15/28............... 8,329,058
9,964,194 GNMA I, 6.000% due 1/15/29 - 6/15/29............... 8,995,775
707,139 GNMA II, 7.000% due 11/20/16....................... 674,872
794,944 GNMA II, 8.500% due 6/20/16 - 1/20/17.............. 805,875
427,011 GNMA II, 9.000% due 4/20/17 - 11/20/21............. 439,020
5,321,421 GNMA II, 6.500% due 12/20/23 - 5/20/24............. 4,937,268
- ------------------------------------------------------------------------------
30,301,008
- ------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$110,067,904).................................... 105,817,581
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
57
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Mortgage Backed Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.5%
$ 488,000 J.P. Morgan Securities Inc., 5.760% due 3/1/00;
Proceeds at maturity -- $488,078; (Fully
collateralized by U.S. Treasury Notes & Bonds,
4.750% to 12.750% due 5/25/00 to 8/15/28; Market
value -- $497,761) (Cost -- $488,000)............... $ 488,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $110,555,904*).... $106,305,581
- --------------------------------------------------------------------------------
</TABLE>
* Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
Classification of Investments
FNMA FHLMC GNMA Repurchase Agreement
- ---- ----- ---- --------------------
23.0% 48.0% 28.5% 0.5%
See Notes to Financial Statements.
58
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
High Yield Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 97.9%
- -------------------------------------------------------------------------------
Air Transportation -- 0.4%
$ 500,000 D Canadian Airlines Corp., Sr. Notes, 10.000%
due 5/1/05................................. $ 400,000
- -------------------------------------------------------------------------------
Apparel -- 1.6%
1,500,000 B- HCI Direct Inc., Sr. Sub. Notes, 13.750%
due 8/1/02................................. 1,567,500
- -------------------------------------------------------------------------------
Automotive -- 2.6%
Safelite Glass Corp., Sr. Sub. Notes:
1,150,000 CC Class B, 9.875% due 12/15/06............... 69,000
770,000 CC Class D, 9.875% due 12/15/06............... 46,200
Special Devices Inc., Sr. Sub. Notes:
250,000 B- 11.375% due 12/15/08....................... 172,500
1,750,000 NR 11.375% due 12/15/08+...................... 1,207,500
1,000,000 B+ Tenneco Automotive Inc., Sr. Sub. Notes,
11.625% due 10/15/09+...................... 1,018,800
- -------------------------------------------------------------------------------
2,514,000
- -------------------------------------------------------------------------------
Chemicals -- 5.1%
2,000,000 CCC+ Aqua Chemical Inc., Sr. Sub. Notes, 11.250%
due 7/1/08................................. 1,140,000
1,500,000 NR General Chemical Industrial Products, Sr.
Notes, 10.625% due 5/1/09+................. 1,451,300
1,000,000 BB Lyondell Chemical Co., Secured Notes,
9.625% due 5/1/07+......................... 967,500
1,500,000 B- Philipp Brothers Chemicals, Inc., Company
Guaranteed, 9.875% due 6/1/08.............. 1,350,000
- -------------------------------------------------------------------------------
4,908,800
- -------------------------------------------------------------------------------
Communications - Cable -- 2.1%
2,000,000 B United Pan-Europe, Sr. Notes, 10.875% due
8/1/09+.................................... 2,020,000
- -------------------------------------------------------------------------------
Communications - Fixed -- 13.2%
1,000,000 B Filtronic PLC, Sr. Notes, 10.000% due
12/1/05.................................... 972,500
2,000,000 BB Global Crossing Holdings Ltd., Sr. Notes,
9.125% due 11/15/06........................ 1,940,000
2,250,000 B- ICG Services, Sr. Discount Notes, 9.875%
due 5/1/08................................. 1,203,800
1,000,000 B IPC Information, Sr. Discount Notes,
10.875% due 5/1/08......................... 895,000
1,500,000 B- KMC Telecom Holdings Inc., Sr. Notes,
13.500% due 5/15/09+....................... 1,515,000
Level 3 Communications, Sr. Notes:
1,000,000 B 11.000% due 3/15/08+....................... 1,005,000
1,000,000 B 12.875% due 3/15/10+....................... 536,300
1,500,000 B+ Metromedia Fiber Network, Sr. Notes,
10.000% due 12/15/09....................... 1,488,800
1,000,000 NR Northeast Optic Network, Sr. Notes, 12.750%
due 8/15/08................................ 1,062,500
2,000,000 B+ Orion Network Systems Inc., Sr. Notes,
11.250% due 1/15/07........................ 1,580,000
500,000 B- PSINet Inc., Sr. Notes, 11.000% due
8/1/09..................................... 501,300
- -------------------------------------------------------------------------------
12,700,200
- -------------------------------------------------------------------------------
Communications - Mobile -- 3.4%
1,000,000 NR AMSC Acquisition Co., Inc., Company
Guranteed, 12.250% due 4/1/08.............. 885,000
1,000,000 B Nextel Communications, Sr. Notes, 9.375%
due 11/15/09............................... 968,800
2,000,000 CCC+ Orbital Imaging Corp., Sr. Notes, 11.625%
due 3/1/05+................................ 1,360,000
- -------------------------------------------------------------------------------
3,213,800
- -------------------------------------------------------------------------------
Consumer Staples -- 7.4%
1,000,000 B+ Evenflo Co., Sr. Notes, 11.750% due
8/15/06.................................... 983,800
2,500,000 B- Generac Portable Products Inc., Sr. Sub.
Notes, 11.250% due 7/1/06+................. 2,481,300
2,000,000 CCC+ Hedstrom Corp., Company Guaranteed, 10.000%
due 6/1/07................................. 190,000
1,500,000 B- Moll Industries, Sr. Sub. Notes, 10.500%
due 7/1/08................................. 607,500
2,000,000 B- Outsourcing Services Group, Company
Guaranteed, 10.875% due 3/1/06............. 1,757,500
2,000,000 CCC+ Revlon Consumer Products Corp., Sr. Sub.
Notes, 8.625% due 2/1/08................... 820,000
500,000 CCC+ Syratech Corp., Sr. Notes, 11.000% due
4/15/07.................................... 300,000
- -------------------------------------------------------------------------------
7,140,100
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
59
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
High Yield Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
Electronics -- 6.9%
$1,500,000 B+ Details Holdings Corp., Sr. Notes, 12.500%
due 11/15/07............................... $ 975,000
1,500,000 B Elgar Holdings Inc., Company Guaranteed,
9.875% due 2/1/08.......................... 930,000
1,000,000 CCC+ Pacific Aerospace & Electric, Inc., Company
Guaranteed, 11.250% due 8/1/05............. 550,000
2,000,000 B SCG Holdings & Semiconductor Co., Sr. Sub. 2,180,000
Notes, 12.000% due 8/1/09+.................
2,500,000 B- Viasystems Inc., Sr. Sub. Notes, 9.750% due
6/1/07..................................... 2,025,000
- -------------------------------------------------------------------------------
6,660,000
- -------------------------------------------------------------------------------
Energy -- 11.5%
2,805,000 CCC- Belden & Blake Corp., Company Guaranteed,
9.875% due 6/15/07......................... 1,402,500
1,500,000 B Crown Central Petroleum, Sr. Notes, 10.375%
due 2/1/05................................. 1,065,000
1,500,000 BB EOTT Energy Partners L.P., Company
Guaranteed, 11.000% due 10/1/09............ 1,537,500
2,000,000 B- Key Energy Services Inc., 14.000% due
1/15/09#................................... 2,195,000
2,000,000 NR Michael Petroleum Corp., Sr. Sub. Notes,
11.500% due 4/1/05......................... 900,000
2,000,000 BB Port Arthur Finance Corp., Secured Notes,
12.500% due 1/15/09+....................... 1,900,000
1,000,000 CCC+ Queen Sand Resources Inc., Company
Guaranteed, 12.500% due 7/1/08............. 480,000
1,500,000 BB- Western Gas Resources, Sr. Sub. Notes,
10.000% due 6/15/09+....................... 1,533,800
- -------------------------------------------------------------------------------
11,013,800
- -------------------------------------------------------------------------------
Entertainment -- 3.3%
2,000,000 NR Marvel Enterprises Inc., Company
Guaranteed, 12.000% due 6/15/09............ 1,760,000
1,000,000 BB+ Park Place Entertainment, Sr. Sub. Notes,
9.375% due 2/15/07+........................ 992,500
500,000 B Vail Resorts Inc., Company Guaranteed,
8.750% due 5/15/09......................... 452,500
- -------------------------------------------------------------------------------
3,205,000
- -------------------------------------------------------------------------------
Financial -- 3.9%
1,500,000 B Lodgian Financing Corp., Sr. Sub. Notes,
12.250% due 7/15/09+....................... 1,417,500
1,500,000 BB+ Sovereign Bancorp., Sr. Sub. Notes, 10.500%
due 11/15/06+.............................. 1,511,300
1,000,000 B+ Willis Corron Corp., Sr. Sub. Notes, 9.000%
due 2/1/09+................................ 800,000
- -------------------------------------------------------------------------------
3,728,800
- -------------------------------------------------------------------------------
Food -- 5.3%
1,000,000 CCC+ Pueblo Xtra International, Sr. Notes,
9.500% due 8/1/03.......................... 450,000
1,000,000 CCC+ RAB Enterprises Inc., Company Guaranteed,
10.500% due 5/1/05......................... 700,000
1,500,000 CCC Richmont Marketing Special, Company
Guaranteed, 10.125% due 12/15/07........... 855,000
2,000,000 NR Specialty Foods Corp., Sr. Notes, 11.125%
due 10/1/02................................ 2,000,000
1,500,000 B Vlasic Foods Inc., 10.250% due 7/1/09+..... 1,050,000
- -------------------------------------------------------------------------------
5,055,000
- -------------------------------------------------------------------------------
Healthcare -- 1.8%
1,000,000 B- Concentra Operating Corp., Sr. Sub. Notes,
13.000% due 8/15/09+....................... 850,000
1,000,000 B- Packard Bioscience Co., Sr. Sub. Notes,
9.375% due 3/1/07.......................... 860,000
- -------------------------------------------------------------------------------
1,710,000
- -------------------------------------------------------------------------------
Industrial -- 8.1%
2,004,000 B- Amtrol Inc., Sr. Sub. Notes, 10.625% due
12/31/06................................... 1,913,820
2,500,000 B- Anchor Lamina Inc., Sr. Sub. Notes, 9.875%
due 2/1/08................................. 1,875,000
1,500,000 CCC+ Derby Cycle Corp., Sr. Notes, 10.000% due
5/15/08.................................... 765,000
2,000,000 B Hexcel Corp., Sr. Sub. Notes, 9.750% due
1/15/09.................................... 1,710,000
1,500,000 B+ High Voltage Engineering, Sr. Notes,
10.500% due 8/15/04........................ 1,233,800
2,000,000 B- Phase Metrics Inc., Company Guaranteed,
10.750% due 2/1/05......................... 300,000
- -------------------------------------------------------------------------------
7,797,620
- -------------------------------------------------------------------------------
Media -- 3.3%
2,000,000 B- Dialog Corp., Sr. Sub. Notes, 11.000% due
11/15/07................................... 1,100,000
2,000,000 B Jones International Networks Ltd., Company
Guaranteed, 11.750% due 7/1/05............. 2,022,500
- -------------------------------------------------------------------------------
3,122,500
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
High Yield Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
Metals & Mining -- 4.0%
$1,000,000 B- Continental Global Group, Sr. Notes,
11.000% due 4/1/07......................... $ 495,000
500,000 B- Great Lakes Carbon Corp., Company
Guaranteed, 10.250% due 5/15/08............ 468,800
Metal Management Inc., Company Guaranteed:
1,000,000 B- 12.750% due 6/15/04+....................... 945,000
1,000,000 CCC+ 10.000% due 5/15/08........................ 760,000
3,000,000 B Republic Tech/RTI Capital, 13.750% due
7/15/09#................................... 1,140,000
- -------------------------------------------------------------------------------
3,808,800
- -------------------------------------------------------------------------------
Paper -- 2.5%
800,000 B- Fonda Group, Inc., Sr. Sub. Notes, 9.500%
due 3/1/07................................. 662,000
2,000,000 B- Russell-Stanley Holdings Inc., Sr. Sub.
Notes, 10.875% due 2/15/09+................ 1,770,000
- -------------------------------------------------------------------------------
2,432,000
- -------------------------------------------------------------------------------
Real Estate -- 0.1%
1,500,000 D Reliant Building Product, Inc., Sr. Sub.
Notes, 10.875% due 5/1/04.................. 60,000
- -------------------------------------------------------------------------------
Retail -- 3.6%
2,000,000 CCC+ AAI.Fostergrant Inc., Company Guaranteed,
10.750% due 7/15/06........................ 640,000
1,500,000 B- Frank's Nursery & Crafts, Sr. Sub. Notes,
10.250% due 3/1/08......................... 607,500
1,000,000 B Group 1 Automotive Inc., Company
Guaranteed, 10.875% due 3/1/09............. 960,000
1,250,000 NR O'Sullivan Furniture, 13.375% due
10/15/09................................... 1,246,877
- -------------------------------------------------------------------------------
3,454,377
- -------------------------------------------------------------------------------
Services -- 3.1%
1,000,000 B Buhrmann U.S. Inc., Sr. Sub. Notes, 12.250%
due 11/1/09................................ 1,042,500
1,000,000 B- Pentacon Inc., Company Guaranteed, 12.250%
due 4/1/09................................. 897,500
1,000,000 B Worldwide Flight Service, Sr. Notes,
12.250% due 8/15/07+....................... 982,500
- -------------------------------------------------------------------------------
2,922,500
- -------------------------------------------------------------------------------
Technology -- 1.0%
1,000,000 B- Verio Inc., Sr. Notes, 10.625% due
11/15/09................................... 1,000,000
- -------------------------------------------------------------------------------
Utility -- 3.7%
1,500,000 BB Azurix Corp., Notes, 10.375% due 2/15/07+.. 1,507,500
2,000,000 BBB- PSE&G Energy Holdings Inc., Sr. Notes,
10.000% due 10/1/09+....................... 2,085,000
- -------------------------------------------------------------------------------
3,592,500
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$114,552,419)............................. 94,027,297
- -------------------------------------------------------------------------------
<CAPTION>
SHARES SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
PREFERRED STOCK -- 0.5%
1,179 HH Acquisition Corp., 13.500% (Cost --
$1,065,743)............................... 471,600
- -------------------------------------------------------------------------------
WARRANTS++ -- 0.3%
2,000 American Mobile Satellite Corp., Expire
4/1/08..................................... 180,000
2,000 Key Energy Services Inc., Expire 1/15/09... 120,000
1,000 Worldwide Flight Service, Expire 8/15/07... 10,000
- -------------------------------------------------------------------------------
TOTAL WARRANTS (Cost -- $12,893)........... 310,000
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
61
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
High Yield Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <C> <S> <C>
REPURCHASE AGREEMENT -- 1.3%
$1,206,000 Morgan Stanley Dean Witter & Co., 5.750% due
3/1/00; Proceeds at maturity -- $1,206,193;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 5.375% to 8.750% due 4/30/02 to 8/15/27;
Market value -- $1,111,531) (Cost --
$1,206,000).................................... $ 1,206,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$116,837,055**).................................. $ 96,014,897
- --------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service, except those
identified by an asterisk (*), which are rated by Moody's Investors
Service, Inc.
# Security has been issued with attached warrants.
+ 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.
++Non-income producing securities.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 68 for definition of ratings.
[PIE CHART]
Classification of Investments
Repurchase Agreement Warrants & Preferred Stock Corporate Bonds & Notes
- -------------------- -------------------------- -----------------------
1.3% 0.8% 97.9%
See Notes to Financial Statements.
62
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Multi-Sector Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 47.3%
U.S. Treasury Notes:
$4,850,000 5.500% due 8/31/01................................... $ 4,782,488
2,825,000 6.625% due 4/30/02................................... 2,828,870
175,000 7.875% due 11/15/04.................................. 183,442
2,525,000 6.250% due 2/15/07................................... 2,467,986
1,375,000 6.000% due 8/15/09................................... 1,323,176
650,000 6.500% due 2/15/10................................... 654,232
1,961,000 8.000% due 11/15/21.................................. 2,318,294
240,000 6.250% due 5/15/30................................... 243,578
- ------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost --
$14,828,306)........................................ 14,802,066
- ------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE BONDS & NOTES -- 24.1%
- -------------------------------------------------------------------------------
Auto Manufacturers -- 0.7%
DaimlerChrysler NA Holding, Company
Guaranteed, Notes:
150,000 A+ 6.900% due 9/1/04.......................... 147,375
75,000 A+ 7.400% due 1/20/05......................... 74,906
- -------------------------------------------------------------------------------
222,281
- -------------------------------------------------------------------------------
Auto Parts & Equipment -- 0.8%
TRW Inc., Notes:
150,000 BBB 6.500% due 6/1/02+......................... 146,625
100,000 BBB 6.625% due 6/1/04+......................... 95,750
- -------------------------------------------------------------------------------
242,375
- -------------------------------------------------------------------------------
Banks -- 2.4%
20,000 BBB+ Bank Of Tokyo-Mitsubishi, Sub. Notes,
8.400% due 4/15/10......................... 20,225
125,000 BBB+ BB&T Corp., Sub. Notes, 6.375% due
6/30/05.................................... 116,875
First Union Corp., Sub. Notes:
50,000 A 6.950% due 11/1/04......................... 48,688
50,000 A- 6.875% due 9/15/05......................... 48,062
100,000 A- 7.500% due 7/15/06......................... 98,750
US Bancorp, Sr. Notes:
150,000 A 6.000% due 5/15/04......................... 141,938
75,000 A 6.875% due 12/1/04......................... 73,031
200,000 A+ Wells Fargo & Co., Notes, 6.625% due
7/15/04.................................... 193,500
- -------------------------------------------------------------------------------
741,069
- -------------------------------------------------------------------------------
Beverages -- 0.7%
225,000 A+ Diageo Capital PLC, Company Guaranteed,
6.125% due 8/15/05......................... 212,063
- -------------------------------------------------------------------------------
Chemicals -- 0.3%
100,000 A Great Lakes Chemical, Notes, 7.000% due
7/15/09.................................... 95,125
- -------------------------------------------------------------------------------
Diversified Financial Services -- 3.8%
150,000 BBB Amvescap PLC, Company Guaranteed, 6.600%
due 5/15/05................................ 134,625
200,000 A+ Ford Motor Credit Co., Notes, 6.700% due
7/16/04.................................... 194,000
General Electric Capital Corp., Notes:
150,000 AAA 6.267% due 7/23/03......................... 145,875
75,000 AAA 7.250% due 2/1/05.......................... 74,813
225,000 A Lehman Brothers Holdings, Notes, 7.000% due
5/15/03.................................... 219,937
225,000 AA- Merrill Lynch & Co., Bonds, 6.000% due
2/12/03.................................... 216,844
200,000 A+ Morgan Stanley Dean Witter & Co., Sr.
Unsubordinated Notes, 7.125% due 1/15/03... 198,750
- -------------------------------------------------------------------------------
1,184,844
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
63
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Multi-Sector Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- ------------------------------------------------------------------------------
Electric -- 0.8%
$ 225,000 BBB- PSE&G Energy Holdings, Sr. Notes, 10.000%
due 10/1/09+............................... $ 234,562
- ------------------------------------------------------------------------------
Entertainment -- 0.5%
150,000 BB+ Park Place Entertainment Corp., Sr. Sub.
Notes, 9.375% due 2/15/07+................. 148,875
- ------------------------------------------------------------------------------
Food -- 0.7%
Safeway Inc., Notes:
125,000 BBB 6.050% due 11/15/03........................ 119,219
100,000 BBB 7.250% due 9/15/04......................... 98,625
- ------------------------------------------------------------------------------
217,844
- ------------------------------------------------------------------------------
Forest Products & Paper -- 0.4%
125,000 BBB Fort James Corp., Sr. Notes, 6.875% due
9/15/07.................................... 118,125
- ------------------------------------------------------------------------------
Gas -- 0.3%
100,000 A Keyspan Gas East Corp., Unsubordinated
Notes, 7.875% due 2/1/10................... 101,000
- ------------------------------------------------------------------------------
Insurance -- 0.9%
200,000 A- Florida Windstorm Under Associates, Bonds,
6.700% due 8/25/04+........................ 192,250
100,000 AA- Marsh & McLennan Cos. Inc., Sr. Notes,
6.625% due 6/15/04......................... 96,500
- ------------------------------------------------------------------------------
288,750
- ------------------------------------------------------------------------------
Iron/Steel -- 0.8%
250,000 BB AK Steel Corp., Sr. Notes, 9.125% due
12/15/06................................... 246,250
- ------------------------------------------------------------------------------
Leisure Time -- 0.4%
125,000 BBB Royal Caribbean Cruises Ltd., Sr. Notes,
8.125% due 7/28/04......................... 125,625
- ------------------------------------------------------------------------------
Media -- 2.5%
225,000 BBB Comcast Cable Communication, Notes, 6.200%
due 11/15/08............................... 201,656
100,000 BBB+ Cox Communications Inc., Notes, 6.690% due
9/20/04.................................... 96,375
TCI Communications Inc., Sr. Notes:
150,000 AA- 6.375% due 5/1/03.......................... 145,688
50,000 AA- 8.650% due 9/15/04......................... 52,187
50,000 A Times Mirror Co., Notes, 7.450% due
10/15/09................................... 49,250
225,000 A The Walt Disney Co., Notes, 7.300% due
2/8/05..................................... 223,594
- ------------------------------------------------------------------------------
768,750
- ------------------------------------------------------------------------------
Oil & Gas Producers -- 0.8%
250,000 BB EOTT Energy Partners L.P., Company
Guaranteed, 11.000% due 10/1/09............ 256,250
- ------------------------------------------------------------------------------
Real Estate -- 0.3%
100,000 BBB+ Eop Operating LLP, Sr. Notes, 6.375% due
2/15/03.................................... 95,750
- ------------------------------------------------------------------------------
Real Estate Investment Trusts -- 0.5%
100,000 BBB+ Simon Property Group Inc., Notes, 6.750%
due 2/9/04................................. 93,750
75,000 BBB+ Wellsford Residential Property Trust, Sr.
Notes, 9.375% due 2/1/02................... 76,969
- ------------------------------------------------------------------------------
170,719
- ------------------------------------------------------------------------------
Retail -- 0.9%
100,000 A CVS Corp., Notes, 5.500% due 2/15/04....... 94,125
200,000 AA Wal-Mart Stores, Inc., Sr. Notes, 6.550%
due 8/10/04................................ 194,500
- ------------------------------------------------------------------------------
288,625
- ------------------------------------------------------------------------------
Software -- 1.6%
250,000 B- PSINet Inc., Sr. Notes, 11.000% due
8/1/09..................................... 250,625
250,000 B- Verio Inc., Sr. Notes, 10.625% due
11/15/09+.................................. 250,000
- ------------------------------------------------------------------------------
500,625
- ------------------------------------------------------------------------------
Telecommunication Equipment -- 0.8%
250,000 B Nextel Communications, Inc., Sr. Notes,
9.375% due 11/15/09........................ 242,188
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Multi-Sector Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
Telecommunications -- 1.9%
$ 300,000 B Level 3 Communications, Sr. Notes, 11.000%
due 3/15/08+............................... $ 301,500
100,000 BBB- PanAmSat Corp., Notes, 6.000% due 1/15/03.. 93,250
200,000 A Vodafone AirTouch PLC, Notes, 7.625% due
2/15/05+................................... 200,500
- -------------------------------------------------------------------------------
595,250
- -------------------------------------------------------------------------------
Transportation -- 1.3%
175,000 BBB CSX Corp., Debentures, 7.250% due 5/1/04... 172,156
100,000 BBB+ Norfolk Southern Corp., Notes, 6.950% due
5/1/02..................................... 99,000
150,000 BBB+ Stagecoach Holdings PLC, Notes, 8.625% due
11/15/09................................... 150,562
- -------------------------------------------------------------------------------
421,718
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$7,558,352)............................... 7,518,663
- -------------------------------------------------------------------------------
FOREIGN BONDS -- 0.1%
- -------------------------------------------------------------------------------
Poland -- 0.1%
Republic of Poland:
10,000 BBB Series PDI, 6.000% due 10/27/14............ 8,888
24,000 BBB Series PDIB, 6.000% due 10/27/14........... 21,487
- -------------------------------------------------------------------------------
TOTAL FOREIGN BONDS (Cost -- $29,988)...... 30,375
- -------------------------------------------------------------------------------
REGIONAL GOVERNMENT OBLIGATIONS -- 0.5%
150,000 A+ Quebec Province, Debentures, 8.800% due
4/15/03 (Cost -- $156,645)................. 155,437
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 4.3%
200,000 ANRC Auto Owner Trust, 6.940% due 4/17/06.. 197,853
150,000 Capital One Master Trust, 7.100% due
4/17/06.................................... 149,354
Chase Commercial Mortgage Securities Corp.:
225,000 6.600% due 12/19/07........................ 202,056
100,000 Sub. Bond, 7.370% due 5/19/07.............. 92,858
125,000 CIT Marine Trust, 6.250% due 11/15/19...... 114,876
200,000 Discover Card Master Trust I, 5.600% due
5/16/06.................................... 189,185
175,000 FMAC Loan Receivables Trust, 6.740% due
11/15/20................................... 161,662
100,000 Morgan Stanley Capital I, 7.490% due
5/15/09.................................... 90,953
150,000 Residential Asset Securities Corp., 7.505%
due 10/25/30............................... 147,596
4,683 SLMA Student Loan Trust, 5.849% due
10/25/05................................... 4,656
- -------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES (Cost --
$1,356,632)............................... 1,351,049
- -------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 19.7%
- -------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 9.2%
100,000 FHLMC, 5.750% due 6/15/01.................. 98,821
425,000 FHLMC, 5.750% due 3/15/09.................. 383,031
625,300 FHLMC Gold, 7.000% due 11/1/29............. 640,345
993,286 FHLMC Gold, 8.500% due 11/1/29............. 953,237
791,261 FHLMC Gold, 8.500% due 12/1/29............. 810,298
- -------------------------------------------------------------------------------
2,885,732
- -------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 4.9%
1,600,000 FNMA, 5.625% due 5/14/04................... 1,514,768
- -------------------------------------------------------------------------------
Government National Mortgage Association (GNMA) -- 5.6%
997,834 GNMA, 6.000% due 3/15/29................... 900,854
498,938 GNMA, 6.000% due 4/15/29................... 450,446
425,000 GNMA, 6.500% due 5/15/29................... 392,283
- -------------------------------------------------------------------------------
1,743,583
- -------------------------------------------------------------------------------
TOTAL MORTGAGE-BACKED SECURITIES (Cost --
$6,213,394)............................... 6,144,083
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Multi-Sector Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <C> <S> <C>
COMMERCIAL PAPER -- 1.1%
- --------------------------------------------------------------------------------
Federal Home Loan Mortgage Corporation (FHLMC) -- 0.5%
$150,000 FHLMC, 5.600% due 3/3/00............................. $ 149,953
- --------------------------------------------------------------------------------
Federal National Mortgage Association (FNMA) -- 0.6%
200,000 FNMA, 5.480% due 5/11/00............................. 197,716
- --------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (Cost -- $347,791)............ 347,669
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 2.9%
681,000 Goldman, Sachs & Co., 5.770% due 3/1/00; Proceeds at
maturity -- $681,109; (Fully collateralized by
U.S. Treasury Notes & Bonds, 5.250% to 13.250% due
5/15/01 to 5/15/21; Market value -- $735,480)....... 681,000
236,000 J.P. Morgan Securities Inc., 5.760% due 3/1/00;
Proceeds at maturity -- $236,038; (Fully
collateralized by U.S. Treasury Notes & Bonds,
4.750% to 12.750% due 5/25/00 to 8/15/28; Market
value -- $245,440).................................. 236,000
- --------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost -- $917,000)....... 917,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $31,408,108**).... $31,266,342
- --------------------------------------------------------------------------------
</TABLE>
(a) All ratings are by Standard & Poor's Ratings Service, except those
identified by an asterisk (*), which are rated by Moody's Investors
Service, Inc.
+ Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 68 for definition of ratings.
[PIE CHART]
Classification of Investments
Regional Government
Obligations and Corporate Bonds Mortgage-Backed Repurchase
Foreign Bonds & Notes Securities Agreements
- ------------- ------- ---------- ----------
0.6% 24.1% 19.7% 2.9%
Asset-Backed U.S. Treasury Commercial
Securities Obligations Paper
- ---------- ----------- -----
4.3% 47.3% 1.1%
See Notes to Financial Statements.
66
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Government Money Investments
<TABLE>
<CAPTION>
FACE ANNUALIZED
AMOUNT SECURITY YIELD VALUE
- ------------------------------------------------------------------------------
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCY DISCOUNT NOTES -- 100.0%
$ 66,550,000 Federal Home Loan Bank mature
3/2/00 to 5/26/00................. 5.64% to 5.95% $ 65,972,311
155,100,000 Federal Home Loan Mortgage Corp.
mature 3/15/00 to 5/31/00......... 5.59 to 5.89 154,345,189
37,765,000 Federal National Mortgage
Association mature 3/10/00 to
6/15/00........................... 5.71 to 5.90 37,219,451
- ------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$257,536,951*)................... $257,536,951
- ------------------------------------------------------------------------------
</TABLE>
* Aggregate cost for Federal income tax purposes is substantially the same.
See Notes to Financial Statements.
67
<PAGE>
Bond Ratings (unaudited)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor's Ratings Service ("Standard & Poor's") -- Ratings from "AA"
to "CCC" may be modified by the addition of a plus (+) or a minus (-) sign to
show relative standings within the major rating categories.
<TABLE>
<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 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.
D -- Bonds rated "D" are in default, and payment of interest and/or
repayment of principal is in arrears.
Moody's Investors Service, Inc. ("Moody's") -- Numerical modifiers 1, 2, and 3
may be applied to each generic rating from "Aa" to "B," where 1 is the highest
and 3 the lowest rating within its generic category.
Aaa -- Bonds rated "Aaa" are judged to be of the best quality. They carry
the smallest degree of investment risk and are generally referred
to as "gilt edge." Interest payments are protected by a large or
by an exceptionally stable margin and principal is secure. While
the various protective elements are likely to change, such changes
as can be visualized are most unlikely to impair the fundamentally
strong position of such issues.
Aa -- Bonds rated "Aa" are judged to be of high quality by all
standards. Together with the "Aaa" group they comprise what are
generally known as high grade bonds. They are rated lower than the
best bonds because margins of protection may not be as large as in
"Aaa" securities or fluctuation of protective elements may be of
greater amplitude or there may be other elements present which
make the long-term risks appear somewhat larger than in "Aaa"
securities.
A -- Bonds rated "A" possess many favorable investment attributes and
are to be considered as upper medium grade obligations. Factors
giving security to principal and interest are considered adequate
but elements may be present which suggest a susceptibility to
impairment some time in the future.
Baa -- Bonds rated "Baa" are considered to be medium grade obligations,
i.e., they are neither highly protected nor poorly secured.
Interest payments and principal security appear adequate for the
present but certain protective elements may be lacking or may be
characteristically unreliable over any great length of time. Such
bonds lack outstanding investment characteristics and in fact have
speculative characteristics as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements; their
future cannot be considered as well assured. Often the protection
of interest and principal payments may be very moderate, and
thereby not well safeguarded during both good and bad times over
the future. Uncertainty of position characterizes bonds in this
class.
B -- Bonds rated "B" generally lack characteristics of desirable
investments. Assurance of interest and principal payments or of
maintenance of other terms of the contract over any long period of
time may be small.
NR -- Indicates that the bond is not rated by Standard & Poor's or
Moody's.
Short-Term Security Ratings (unaudited)
VMIG 1 -- Moody's highest rating for issues having demand feature --
variable-rate demand obligation (VRDO).
P-1 -- Moody's highest rating for commercial paper and for VRDO prior to
the advent of the VMIG 1 rating.
A-1 -- Standard & Poor's highest commercial paper and VRDO rating
indicating that the degree of safety regarding timely payment is
either overwhelming or very strong; those issues determined to
possess overwhelming safety characteristics are denoted with a
plus (+) sign.
</TABLE>
Security Descriptions (unaudited)
AMBAC -- AMBAC Indemnity Corporation MBIA -- Municipal Bond Investors
FGIC -- Financial Guaranty Insurance Assurance Corporation
Company PCR -- Pollution Control Revenue
GO -- General Obligation PSFG -- Permanent School Fund Guaranty
ISD -- Independent School District VRDN -- Variable Rate Demand Note
68
<PAGE>
(This page intentionally left blank.)
69
<PAGE>
Statements of Assets and Liabilities (unaudited)
<TABLE>
<CAPTION>
Large Large
Capitalization Capitalization S&P 500
Value Equity Growth Index
Investments Investments Investments
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS:
Investments, at cost.............. $1,627,746,587 $1,233,888,039 $25,392,880
Foreign currency, at cost......... -- -- --
- -------------------------------------------------------------------------------
Investments, at value............. $1,684,962,365 $2,626,964,723 $26,353,901
Foreign currency, at value........ -- -- --
Cash.............................. -- 1,185 922
Collateral for securities on loan
(Note 12)........................ 124,851,958 374,888,231 --
Receivable for securities sold.... 8,002,747 12,887,371 --
Receivable for Fund shares sold... 3,981,426 3,448,723 99,137
Dividends and interest
receivable....................... 3,872,241 913,393 29,273
Receivable from manager........... -- -- 51,291
Receivable from broker --
variation margin................ 151,875 249,075 40,095
Other receivables................. -- -- --
- -------------------------------------------------------------------------------
Total Assets...................... 1,825,822,612 3,019,352,701 26,574,619
- -------------------------------------------------------------------------------
LIABILITIES:
Payable for securities purchased.. 4,725,089 3,419,586 --
Payable to bank................... 776,636 -- --
Management fees payable........... 671,880 767,914 --
Administration fees payable....... 254,723 419,728 --
Payable for securities on loan
(Note 12)........................ 124,851,958 374,888,231 --
Payable for reverse repurchase
agreement (Note 7)............... -- -- --
Payable for Fund shares
purchased........................ -- -- --
Dividends payable................. -- -- --
Payable to broker -- variation
margin........................... -- -- --
Accrued expenses.................. 258,249 39,954 19,174
- -------------------------------------------------------------------------------
Total Liabilities................. 131,538,535 379,535,413 19,174
- -------------------------------------------------------------------------------
Total Net Assets................... $1,694,284,077 $2,639,817,288 $26,555,445
- -------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of beneficial
interest......................... $ 160,561 $ 96,891 $ 3,130
Capital paid in excess of par
value............................ 1,557,921,044 985,284,794 25,426,151
Undistributed (overdistributed)
net investment income............ 2,221,988 (1,055,947) (10,636)
Accumulated net realized gain
(loss) on security transactions,
foreign currencies and futures
contracts........................ 76,874,436 263,231,016 233,629
Net unrealized appreciation
(depreciation) of investments,
foreign currencies
and futures contracts............ 57,106,048 1,392,260,534 903,171
- -------------------------------------------------------------------------------
Total Net Assets................... $1,694,284,077 $2,639,817,288 $26,555,445
- -------------------------------------------------------------------------------
Shares Outstanding................. 160,561,136 96,891,398 3,130,098
- -------------------------------------------------------------------------------
Net Asset Value.................... $10.55 $27.25 $8.48
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
70
<PAGE>
February 29, 2000
<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>
$672,899,732 $96,340,012 $62,182,875 $110,555,904 $116,837,055 $31,408,108 $257,536,951
-- -- -- -- 27,379 -- --
- -----------------------------------------------------------------------------------------------
$660,377,297 $93,633,174 $57,282,231 $106,305,581 $ 96,014,897 $31,266,342 $257,536,951
-- -- -- -- 41,467 -- --
-- 96 -- 794 -- 1,916 39,362
-- -- -- -- -- -- --
615,356 883,266 -- -- -- -- --
1,872,381 77,776 75,461 235,728 402,425 -- 4,505,360
10,336,827 1,081,142 735,600 763,317 3,054,974 545,663 9,764
-- -- -- -- -- 13,723 157,388
-- 142,640 -- -- -- 2,375 --
-- -- -- -- -- -- 44,697
- -----------------------------------------------------------------------------------------------
673,201,861 95,818,094 58,093,292 107,305,420 99,513,763 31,830,019 262,293,522
- -----------------------------------------------------------------------------------------------
6,476,400 10,002,069 1,024,650 -- -- 149,354 --
245,595 -- 34,650 -- 17,829 -- --
207,282 27,537 7,405 213,992 74,427 -- 25,741
102,934 13,769 67,740 89,371 8,855 -- --
-- -- -- -- -- -- --
17,661,000 -- -- -- -- -- --
-- -- -- -- 201,204 -- --
-- -- -- -- -- -- 608,406
6,750 -- -- -- -- -- --
125,247 34,592 168,935 15,019 118,312 22,323 258,140
- -----------------------------------------------------------------------------------------------
24,825,208 10,077,967 1,303,380 318,382 420,627 171,677 892,287
- -----------------------------------------------------------------------------------------------
$648,376,653 $85,740,127 $56,789,912 $106,987,038 $ 99,093,136 $31,658,342 $261,401,235
- -----------------------------------------------------------------------------------------------
$ 83,961 $ 11,369 $ 7,143 $ 13,996 $ 15,659 $ 3,970 $ 261,370
684,370,777 91,317,684 63,014,189 112,399,796 127,310,750 31,645,245 261,108,491
379,573 (95,173) 33,392 183,248 (35,875) 274,484 66,724
(24,056,605) (2,965,171) (1,364,168) (1,359,679) (7,389,328) (129,309) (35,350)
(12,401,053) (2,528,582) (4,900,644) (4,250,323) (20,808,070) (136,048) --
- -----------------------------------------------------------------------------------------------
$648,376,653 $85,740,127 $56,789,912 $106,987,038 $ 99,093,136 $31,658,342 $261,401,235
- -----------------------------------------------------------------------------------------------
83,961,423 11,368,691 7,143,228 13,995,556 15,658,609 3,969,839 261,369,861
- -----------------------------------------------------------------------------------------------
$7.72 $7.54 $7.95 $7.64 $6.33 $7.97 $1.00
- -----------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
71
<PAGE>
Statements of Operations (unaudited)
<TABLE>
<CAPTION>
Large Large
Capitalization Capitalization S&P 500
Value Equity Growth Index
Investments Investments Investments
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest......................... $ 18,671,274 $ 1,000,969 $ 56,426
Dividends........................ 782,922 6,057,844 112,467
Less: Interest expense........... (26,404) (1,781) (140)
- -------------------------------------------------------------------------------
Total Investment Income.......... 19,427,792 7,057,032 168,753
- -------------------------------------------------------------------------------
EXPENSES:
Management fees (Note 2)......... 4,527,511 4,541,735 2,117
Administration fees (Note 2)..... 1,735,730 2,441,881 10,587
Shareholder and system servicing
fees............................ 639,246 852,296 5,881
Registration fees................ 68,806 64,863 11,310
Custody.......................... 66,068 99,834 20,357
Shareholder communications....... 64,821 49,863 14,929
Trustees' fees................... 17,450 16,455 905
Audit and legal.................. 15,921 17,454 15,834
Pricing service fees............. -- -- --
Other............................ 18,914 2,493 905
- -------------------------------------------------------------------------------
Total Expenses................... 7,154,467 8,086,874 82,825
Less: Management and
administration fee waiver and
expense reimbursement (Note 2).. -- -- (53,741)
- -------------------------------------------------------------------------------
Net Expenses..................... 7,154,467 8,086,874 29,084
- -------------------------------------------------------------------------------
Net Investment Income (Loss)...... 12,273,325 (1,029,842) 139,669
- -------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS, FOREIGN
CURRENCIES AND FUTURES CONTRACTS
(NOTES 4 AND 5):
Realized Gain (Loss) From:
Security transactions (excluding
short-term securities).......... 99,592,373 333,843,697 203,179
Foreign currency transactions.... -- -- --
Futures contracts................ 2,362,261 2,023,673 30,450
- -------------------------------------------------------------------------------
Net Realized Gain (Loss)......... 101,954,634 335,867,370 233,629
- -------------------------------------------------------------------------------
Change in Net Unrealized
Appreciation (Depreciation) of
Investments, Foreign Currencies
and Futures Contracts:
Beginning of period.............. 318,635,342 1,187,257,933 --
End of period.................... 57,106,048 1,392,260,534 903,171
- -------------------------------------------------------------------------------
Change in Net Unrealized
Appreciation (Depreciation)..... (261,529,294) 205,002,601 903,171
- -------------------------------------------------------------------------------
Net Gain (Loss) on Investments,
Foreign Currencies and Futures
Contracts........................ (159,574,660) 540,869,971 1,136,800
- -------------------------------------------------------------------------------
Increase (Decrease) in Net Assets
From Operations.................. $(147,301,335) $ 539,840,129 $1,276,469
- -------------------------------------------------------------------------------
</TABLE>
*Represents net realized gains from the sale of short-term securities for
Government Money Investments.
See Notes to Financial Statements.
72
<PAGE>
For the Six Months Ended February 29, 2000
<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>
$ 21,310,889 $ 3,463,664 $ 1,539,794 $ 4,101,507 $ 7,039,898 $ 701,129 $7,867,735
-- -- -- -- 35,990 -- --
(103,099) -- -- (49,203) -- -- --
- ---------------------------------------------------------------------------------------------
21,207,790 3,463,664 1,539,794 4,052,304 7,075,888 701,129 7,867,735
- ---------------------------------------------------------------------------------------------
1,321,547 194,837 117,165 291,356 393,039 41,463 212,492
645,549 97,418 58,583 116,543 112,297 21,498 284,017
253,803 98,078 17,102 109,000 143,294 5,881 477,750
24,930 12,465 14,959 15,000 36,400 11,310 17,472
14,964 2,393 2,393 3,500 3,240 2,262 7,462
9,970 2,992 2,008 2,500 3,578 14,929 99,190
4,488 1,995 1,995 200 2,493 905 6,370
17,949 17,412 18,420 18,000 19,714 15,834 13,423
2,000 1,496 1,998 -- 4,519 -- --
983 1,995 1,513 -- 1,995 905 4,958
- ---------------------------------------------------------------------------------------------
2,296,183 431,081 236,136 556,099 720,569 114,987 1,123,134
-- -- -- (89,927) -- (28,454) (268,688)
- ---------------------------------------------------------------------------------------------
2,296,183 431,081 236,136 466,172 720,569 86,533 854,446
- ---------------------------------------------------------------------------------------------
18,911,607 3,032,583 1,303,658 3,586,132 6,355,319 614,596 7,013,289
- ---------------------------------------------------------------------------------------------
(10,736,681) (2,970,212) (1,364,011) (772,382) (6,237,358) (124,796) (11,357)*
-- -- -- -- 47,587 -- --
67,405 (20,791) -- -- -- (4,513) --
- ---------------------------------------------------------------------------------------------
(10,669,276) (2,991,003) (1,364,011) (772,382) (6,189,771) (129,309) (11,357)
- ---------------------------------------------------------------------------------------------
(13,209,652) (3,990,021) (4,259,497) (3,837,857) (10,724,522) -- --
(12,401,053) (2,528,582) (4,900,644) (4,250,323) (20,808,070) (136,048) --
- ---------------------------------------------------------------------------------------------
808,599 1,461,439 (641,147) (412,466) (10,083,548) (136,048) --
- ---------------------------------------------------------------------------------------------
(9,860,677) (1,529,564) (2,005,158) (1,184,848) (16,273,319) (265,357) (11,357)
- ---------------------------------------------------------------------------------------------
$9,050,930 $ 1,503,019 $ (701,500) $ 2,401,284 $ (9,918,000) $ 349,239 $7,001,932
- ---------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
Statements of Changes in Net Assets (unaudited)
<TABLE>
<CAPTION>
Large Large
Capitalization Capitalization S&P 500
Value Equity Growth Index
Investments Investments Investments
- ------------------------------------------------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income (loss).... $ 12,273,325 $ (1,029,842) $ 139,669
Net realized gain (loss)........ 101,954,634 335,867,370 233,629
Change in net unrealized
appreciation (depreciation).... (261,529,294) 205,002,601 903,171
- ------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets From Operations......... (147,301,335) 539,840,129 1,276,469
- ------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM (NOTE 3):
Net investment income........... (24,273,137) -- (150,305)
Net realized gains.............. (267,626,463) (255,136,348) --
- ------------------------------------------------------------------------------
Decrease in Net Assets From
Distributions to Shareholders.. (291,899,600) (255,136,348) (150,305)
- ------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE
13):
Net proceeds from sale of
shares......................... 427,182,225 583,529,296 31,358,473
Net asset value of shares issued
for reinvestment of dividends.. 288,324,631 252,133,517 150,261
Cost of shares reacquired....... (528,301,603) (806,856,047) (6,079,453)
- ------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets From Fund Share
Transactions................... 187,205,253 28,806,766 25,429,281
- ------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets.......................... (251,995,682) 313,510,547 26,555,445
NET ASSETS:
Beginning of period............. 1,946,279,759 2,326,306,741 --
- ------------------------------------------------------------------------------
End of period*.................. $1,694,284,077 $2,639,817,288 $26,555,445
- ------------------------------------------------------------------------------
* Includes undistributed
(overdistributed) net
investment income of:.......... $2,221,988 $(1,055,947) $(10,636)
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
For the Six Months Ended February 29, 2000
<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>
$ 18,911,607 $ 3,032,583 $ 1,303,658 $ 3,586,132 $ 6,355,319 $ 614,596 $ 7,013,289
(10,669,276) (2,991,003) (1,364,011) (772,382) (6,189,771) (129,309) (11,357)
808,599 1,461,439 (641,147) (412,466) (10,083,548) (136,048) --
- ----------------------------------------------------------------------------------------------------
9,050,930 1,503,019 (701,500) 2,401,284 (9,918,000) 349,239 7,001,932
- ----------------------------------------------------------------------------------------------------
(18,532,034) (3,127,756) (1,270,266) (3,402,884) (6,549,384) (340,112) (7,001,940)
-- (691,035) (63,742) -- -- -- --
- ----------------------------------------------------------------------------------------------------
(18,532,034) (3,818,791) (1,334,008) (3,402,884) (6,549,384) (340,112) (7,001,940)
- ----------------------------------------------------------------------------------------------------
241,976,759 14,548,613 12,522,789 12,849,400 30,610,745 32,053,664 838,865,260
17,766,560 3,674,801 1,245,684 3,233,821 6,436,987 340,112 6,546,180
(196,551,484) (45,522,276) (16,686,395) (39,133,853) (76,543,791) (744,561) (887,170,090)
- ----------------------------------------------------------------------------------------------------
63,191,835 (27,298,862) (2,917,922) (23,050,632) (39,496,059) 31,649,215 (41,758,650)
- ----------------------------------------------------------------------------------------------------
53,710,731 (29,614,634) (4,953,430) (24,052,232) (55,963,443) 31,658,342 (41,758,658)
594,665,922 115,354,761 61,743,342 131,039,270 155,056,579 -- 303,159,893
- ----------------------------------------------------------------------------------------------------
$648,376,653 $ 85,740,127 $ 56,789,912 $106,987,038 $ 99,093,136 $31,658,342 $ 261,401,235
- ----------------------------------------------------------------------------------------------------
$379,573 $(95,173) $33,392 $183,248 $(35,875) $274,484 $66,724
- ----------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
75
<PAGE>
Statements of Changes in Net Assets (continued)
<TABLE>
<CAPTION>
Large Large
Capitalization Capitalization
Value Equity Growth
Investments Investments
- -------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss)................. $ 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 13):
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.
76
<PAGE>
For the Year Ended August 31, 1999
<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.
77
<PAGE>
Notes to Financial Statements (unaudited)
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 Investments, High Yield Investments, Multi-Sector Fixed Income
Investments and Government 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 offers 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 financial statements and
financial highlights for the other portfolios are presented 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 obligations are valued at the mean between the bid
and ask prices; (c) securities maturing within 60 days are valued at cost plus
accreted discount, or minus amortized premium, which approximates value;
(d) dividend income is recorded on the ex-dividend date except that foreign
dividends are recorded on the ex-dividend date or as soon as practical after
the Fund determines the existence of a dividend declaration after exercising
reasonable due diligence; and interest income is recorded on an accrual basis;
(e) gains or losses on the sale of securities are calculated by using the
specific identification method; (f) dividends and distributions to shareholders
are recorded on the ex-dividend date; (g) the accounting records of the Fund
are maintained in U.S. dollars. All assets and liabilities denominated in
foreign currencies are translated into U.S. dollars based on the rate of
exchange of such currencies against U.S. dollars on the date of valuation.
Purchases and sales of securities and income and expenses are translated at the
rate of exchange quoted on the respective date that such transactions are
recorded. Differences between income or expense amounts recorded and collected
or paid are adjusted when reported by the custodian bank; (h) each Portfolio
intends to comply with the requirements of the Internal Revenue Code of 1986,
as amended, pertaining to regulated investment companies and to make
distributions of taxable income sufficient to relieve it from substantially all
Federal income and excise taxes; (i) the character of income and gains to be
distributed are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. At August 31, 1999,
reclassifications were made to the capital accounts of the Large Capitalization
Value Equity Investments, Large Capitalization Growth Investments, Intermediate
Fixed Income Investments, Long-Term Bond Investments and Mortgage Backed
Investments to reflect permanent book/tax differences and income and gains
available for distributions under income tax regulations. Accordingly, a
portion of undistributed (overdistributed) net investment income amounting to
$(346,107) was reclassified to paid-in capital for Intermediate Fixed Income
Investments. Net investment income, net realized gains and net assets were not
affected by this adjustment; and (j) estimates and assumptions are required to
be made regarding assets, liabilities and changes in net assets resulting from
operations when financial statements are prepared. Changes in the economic
environment, financial markets and any other parameters used in determining
these estimates could cause actual results to differ.
In addition, certain portfolios may from time to time enter into futures
contracts in order to hedge market risk. Also, certain Portfolios may enter
into forward exchange contracts in order to hedge against foreign currency
risk. These contracts are marked to market daily, by recognizing the difference
between the contract exchange rate and the current market rate as an unrealized
gain or loss. Realized gains or losses are recognized when contracts are
settled.
78
<PAGE>
Notes to Financial Statements (unaudited) (continued)
2. Investment Advisory Agreement, Administration Agreement and Other
Transactions
The Fund has entered into an investment management agreement ("Management
Agreement") with 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
advisors of the Fund. SSBC has entered into an investment advisory agreement
with each advisor selected for the Portfolios (collectively, "Advisors").
Under the Management Agreement, each Portfolio pays SSBC a fee, calculated
daily and paid monthly, based on the rates applied to the value of each
Portfolio's average daily net assets. In addition, SSBC pays each Advisor,
based on the rates applied to each respective Portfolio's average daily net
assets on a monthly basis. The applicable management fee, advisory fee paid by
SSBC to each Advisor, and the Advisor for each Portfolio are indicated below:
<TABLE>
<CAPTION>
Annual
Advisor Management
Portfolio Advisor Fee Fee
- --------------------------------------------------------------------------------------------
<C> <S> <C> <C>
Large Capitalization Value Equity Investments Barclays Global Fund 0.02% 0.60%
Advisors
The Boston Co. Asset 0.30 0.60
Management, Inc.: 0.25 0.60
on the first $350
million
on the amount over $350
million
Parametric Portfolio 0.20 0.60
Associates: 0.15 0.60
on the first $300
million
on the amount over $300
million
Chartwell Investment 0.30 0.60
Partners
Large Capitalization Growth Investments Provident Investment 0.30 0.60
Counsel Inc.: 0.25 0.60
on the first $100
million
on the amount over $100
million
Barclays Global Fund 0.02 0.60
Advisors
TCW Investment 0.40 0.60
Management Co.: 0.35 0.60
on the first $500
million
on the amount over $500
million
S&P 500 Index Investments Barclays Global Fund 0.02 0.02
Advisors
Intermediate Fixed Income Investments Standish, Ayer & Wood, 0.20 0.40
Inc.: 0.15 0.40
on the first $200
million
on the amount over $200
million
Pacific Investment 0.25 0.40
Management Co.
Metropolitian West Asset 0.20 0.40
Management, LLC
Long-Term Bond Investments Western Asset Management 0.20 0.40
Co.
Municipal Bond Investments Smith Affiliated Capital 0.20 0.40
Corp.
Mortgage Backed Investments Utendahl Capital 0.25 0.50
Management CFI
High Yield Investments Alliance Capital 0.45 0.70
Management L.P.
Multi-Sector Fixed Income Investments Standish, Ayer & Wood, 0.15 0.65
Inc.
Western Asset Management 0.20 0.65
Co.
Utendahl Capital 0.25 0.65
Management CFI
Alliance Capital 0.45 0.65
Management L.P.
Government Money Investments Standish, Ayer & Wood, 0.15 0.15
Inc.: 0.10 0.15
on the first $100
million
on the amount over $100
million
- --------------------------------------------------------------------------------------------
</TABLE>
Effective October 1999, Citi Fiduciary Trust Company ("CFTC"), another
subsidiary of Citigroup, became the Fund's transfer agent and PFPC Global Fund
Services ("PFPC") became the sub-transfer agent. CFTC receives account fees and
asset-based fees that vary according to the account size and type of account.
PFPC is responsible for shareholder recordkeeping and financial processing for
all shareholder accounts and is paid by CFTC. During the period October 1, 1999
through February 29, 2000, the Portfolios paid transfer agent fees totaling
$1,474,172 to CFTC.
79
<PAGE>
Notes to Financial Statements (unaudited) (continued)
SSBC also acts as the Fund's administrator for which the Fund pays a fee
calculated at an annual rate of 0.20% of the average daily net assets of each
respective Portfolio, except S&P 500 Index Investments. S&P 500 Index
Investments 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 six months ended February 29, 2000, the following fees were waived:
<TABLE>
<CAPTION>
Total Fee
Portfolio Waivers Manager Administrator
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
S&P 500 Index Investments...................... $ 2,450 $ 410 $ 2,040
Mortgage Backed Investments.................... 89,927 64,748 25,179
Multi-Sector Fixed Income Investments.......... 14,731 9,721 5,010
Government Money Investments................... 268,688 48,731 219,957
- -------------------------------------------------------------------------------
</TABLE>
In addition, for the six months ended February 29, 2000, SSBC has agreed to
reimburse expenses of $51,291 and $13,723 for S&P 500 Index Investments and
Multi-Sector Fixed Income Investments, respectively.
For the six months ended February 29, 2000, Salomon Smith Barney Inc.
("SSB"), another subsidiary of SSBH and its affiliates, received brokerage
commissions of approximately $31,251.
All officers and one Trustee of the Fund are employees of SSB.
3. Exempt-Interest Dividends and Other Dividends
Municipal Bond Investments intends to satisfy conditions that will enable
interest from municipal securities, which are exempt from regular Federal
income tax and from designated state income taxes, to retain such tax-exempt
status when distributed to the shareholders of the Portfolio.
Capital gain distributions, if any, are taxable to shareholders, and are
declared and paid at least annually. Additional taxable distributions may be
made if necessary to avoid a Federal excise tax.
4. Investments
During the six months ended February 29, 2000, the aggregate cost of
purchases and proceeds from sales of investments (including maturities, but
excluding short-term securities) were as follows:
<TABLE>
<CAPTION>
Portfolio Purchases Sales
- -------------------------------------------------------------------------------
<S> <C> <C>
Large Capitalization Value Equity Investments........ $472,986,178 $563,855,960
Large Capitalization Growth Investments.............. 566,155,891 928,143,674
S&P 500 Index Investments............................ 25,620,208 2,502,294
Intermediate Fixed Income Investments................ 646,103,134 595,092,741
Long-Term Bond Investments........................... 157,507,490 185,822,813
Municipal Bond Investments........................... 10,372,004 13,966,416
Mortgage Backed Investments.......................... 27,070,760 42,269,672
High Yield Investments............................... 61,764,649 101,510,606
Multi-Sector Fixed Income Investments................ 56,581,216 26,238,440
- -------------------------------------------------------------------------------
</TABLE>
80
<PAGE>
Notes to Financial Statements (unaudited) (continued)
At February 29, 2000, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
<TABLE>
<CAPTION>
Net Unrealized
Appreciation
Portfolio Appreciation Depreciation (Depreciation)
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Large Capitalization Value Eq-
uity Investments.............. $ 269,202,368 $(211,986,590) $ 57,215,778
Large Capitalization Growth In-
vestments..................... 1,451,860,176 (58,783,492) 1,393,076,684
S&P 500 Index Investments...... 3,225,340 (2,264,319) 961,021
Intermediate Fixed Income In-
vestments..................... 772,738 (13,295,173) (12,522,435)
Long-Term Bond Investments..... 255,548 (2,962,386) (2,706,838)
Municipal Bond Investments..... 9,700 (4,910,344) (4,900,644)
Mortgage Backed Investments.... 90,415 (4,340,738) (4,250,323)
High Yield Investments......... 2,213,182 (23,035,340) (20,822,158)
Multi-Sector Fixed Income In-
vestments..................... 74,298 (216,064) (141,766)
- -------------------------------------------------------------------------------
</TABLE>
5. Futures Contracts
Initial margin deposits made upon entering into futures contracts are
recognized as assets. Securities equal to the initial margin amount are
segregated by the custodian in the name of the broker. Additional securities
are also segregated up to the current market value of the futures contract.
During the period the futures contract is open, changes in the value of the
contract are recognized as unrealized gains or losses by "marking to market" on
a daily basis to reflect the market value of the contract at the end of each
day's trading. Variation margin payments are made or received and recognized as
assets due from or liabilities due to broker, depending upon whether unrealized
gains or losses are incurred. When the contract is closed, the Portfolio
records a realized gain or loss equal to the difference between the proceeds
from (or cost of) the closing transactions and the Portfolio's basis in the
contract.
The Portfolio enters into such contracts to hedge a portion of its portfolio.
The Portfolio bears the market risk that arises from changes in the value of
the financial instruments and securities indices (futures contracts) and the
credit risk should a counterparty fail to perform under such contracts.
At February 29, 2000, Large Capitalization Value Equity Investments, Large
Capitalization Growth Investments, S&P 500 Index Investments, Intermediate
Fixed Income Investments, Long-Term Bond Investments and Multi-Sector Fixed
Income Investments had the following open futures contracts:
Large Capitalization Value Equity Investments
<TABLE>
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Loss
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index.......... 25 3/00 $8,684,730 $8,575,000 $(109,730)
- -------------------------------------------------------------------------------
Large Capitalization Growth Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Loss
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 Index.......... 41 3/00 $14,879,150 $14,063,000 $(816,150)
- -------------------------------------------------------------------------------
S&P 500 Index Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Loss
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Emini S&P 500 Index.... 18 3/00 $1,257,950 $1,234,800 $(23,150)
S&P 500 Index.......... 3 3/00 1,063,700 1,029,000 (34,700)
- -------------------------------------------------------------------------------
Total.................. $2,321,650 $2,263,800 $(57,850)
- -------------------------------------------------------------------------------
</TABLE>
81
<PAGE>
Notes to Financial Statements (unaudited) (continued)
Intermediate Fixed Income Investments
<TABLE>
<CAPTION>
# of Basis Market Unrealized
Sold Contracts Contracts Expiration Value Value Gain
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
U.S. Treasury Bonds..... 54 3/00 $5,292,726 $ 5,171,344 $121,382
- ---------------------------------------------------------------------------------
Long-Term Bond Investments
<CAPTION>
# of Basis Market Unrealized
Contracts Expiration Value Value Gain
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Purchased Contracts
U.S. Treasury Bonds..... 252 3/00 $23,796,009 $23,955,750 $159,741
U.S. Treasury Bonds..... 20 6/00 1,887,133 1,893,750 6,617
- ---------------------------------------------------------------------------------
25,683,142 25,849,500 166,358
- ---------------------------------------------------------------------------------
Sold Contracts
U.S. Treasury Bonds..... 253 3/00 24,240,344 24,228,704 11,640
U.S. Treasury Bonds..... 33 6/00 3,148,149 3,147,891 258
- ---------------------------------------------------------------------------------
27,388,493 27,376,595 11,898
- ---------------------------------------------------------------------------------
Total................... $178,256
- ---------------------------------------------------------------------------------
Multi-Sector Fixed Income Investments
<CAPTION>
# of Basis Market Unrealized
Contracts Expiration Value Value Gain
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Purchased Contracts
USH U.S. Treasury Long
Bonds.................. 4 3/00 $ 375,689 $ 380,250 $4,561
- ---------------------------------------------------------------------------------
Sold Contracts
TYH U.S. 10 Year Notes.. 2 3/00 192,688 191,531 1,157
- ---------------------------------------------------------------------------------
Total................... $5,718
- ---------------------------------------------------------------------------------
</TABLE>
6. 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
interest and/or a dividend in foreign currencies, changes in the relationship
of these foreign currencies to the U.S. dollar can significantly affect the
value of the investments and earnings of the Portfolios. Foreign investments
may also subject the Portfolios to foreign government exchange restrictions,
expropriation, taxation or other political, social or economic developments,
all of which could affect the market and/or credit risk of the investments.
7. 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
securities 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 decline below the repurchase price of the securities. The Portfolio will
establish a segregated account with its custodian, in which the Portfolio will
maintain cash, U.S. government securities or other liquid high grade debt
obligations equal in value to its obligations with respect to reverse
repurchase agreements.
82
<PAGE>
Notes to Financial Statements (unaudited) (continued)
At February 29, 2000, Intermediate Fixed Income Investments had the following
open reverse repurchase agreement:
<TABLE>
<CAPTION>
Face Amount Security Value
- --------------------------------------------------------------------------------
<C> <S> <C>
$17,661,000 Reverse Repurchase Agreement with Morgan Stanley Dean
Witter & Co., dated 2/29/00 bearing
5.770% to be repurchased at $17,726,104 on 3/23/00,
collateralized by U.S. Treasury Note,
3.875% due 1/15/09 through 4/15/29................... $17,661,000
- --------------------------------------------------------------------------------
</TABLE>
At February 29, 2000, total market value of the collateral for the reverse
repurchase agreement for Intermediate Fixed Income Investments was $21,717,852.
During the six months ended February 29, 2000, the maximum and average amount
of reverse repurchase agreements outstanding at month ends 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............................ 17,930,500 4,983,333
- -------------------------------------------------------------------------------
</TABLE>
In addition, during the six months ended February 29, 2000 interest rates
raged from 5.68% to 5.77% for Intermediate Fixed Income Investments and from
5.34% to 5.85% for Mortgaged Backed Investments.
Interest expense for the six months ended February 29, 2000, on borrowings by
Intermediate Fixed Income Investments and Mortgage Backed Investments under
reverse repurchase agreements totaled $103,099 and $49,203, respectively.
8. Repurchase Agreements
The Fund purchases (and its custodian takes possession of) U.S. government
securities from banks and securities dealers subject to agreements to resell
the securities to the sellers at a future date (generally, the next business
day) at an agreed-upon higher repurchase price. The Fund requires continual
maintenance of the market value of the collateral in amounts at least equal to
the repurchase price.
9. Capital Loss Carryforward
At August 31, 1999, the Fund had, for Federal income tax purposes,
approximately the following unused capital loss carryforwards available to
offset future capital gains expiring on August 31 of the years below:
<TABLE>
<CAPTION>
Portfolio Total 2003 2004 2005
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Government Money Investments.......... $ 20,000 $ 12,000 $ 8,000 $ --
Intermediate Fixed Income Invest-
ments................................ 2,622,000 387,000 1,462,000 773,000
- ------------------------------------------------------------------------------
</TABLE>
To the extent that these capital carryforward losses are used to offset
capital gains, it is probable that the gains so offset will not be distributed.
10. Securities Traded on a To-Be-Announced Basis
The Fund may trade securities on a "to-be-announced" ("TBA") basis. In a TBA
transaction, the Fund commits to purchasing or selling securities for which
specific information is not yet known at the time of the trade, particularly
the face amount and maturity date in GNMA transactions. Securities purchased on
a TBA basis are not settled until they are delivered to the Fund normally 15 to
45 days later. These transactions are subject to market fluctuations and their
current value is determined in the same manner as for other securities.
As of February 29, 2000, the Intermediate Fixed Income Investments and Long-
Term Bond Investments had purchased TBA securities with total costs of
$3,886,601 and $9,120,469, respectively.
83
<PAGE>
Notes to Financial Statements (unaudited) (continued)
11. Short Sales of Securities
A short sale is a transaction in which the Portfolio sells securities it does
not own (but has borrowed) in anticipation of a decline in the market price of
the securities. To complete a short sale, the Portfolio may arrange through a
broker to borrow the securities to be delivered to the buyer. The proceeds
received by the Portfolio for the short sale are retained by the broker until
the Portfolio replaces the borrowed securities. In borrowing the securities to
be delivered to the buyer, the Portfolio becomes obligated to replace the
securities borrowed at their market price at the time of replacement, whatever
that price may be.
As of February 29, 2000, there were no open short sale transactions.
12. Lending of Portfolio Securities
The Portfolios have an agreement with the custodian whereby the custodian may
lend securities owned by the Portfolios to brokers, dealers and other financial
organizations. Fees earned by the Portfolios on securities lending are recorded
in interest income. Loans of securities by the Portfolios are collateralized by
cash, U.S. government securities or high quality money market instruments that
are maintained at all times in an amount equal to the current market value of
the loaned securities, plus a margin depending on the type of securities
loaned. The custodian establishes and maintains the collateral in a segregated
account.
At February 29, 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..................... $122,402,797
Large Capitalization Growth Investments........................... 373,174,958
- -------------------------------------------------------------------------------
</TABLE>
At February 29, 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:
AmSouth Bank, 5.910% due 3/1/00.................................. $ 8,510,300
Bank of America, 5.880% due 3/1/00............................... 11,488,904
Bank of Brussels, 5.880% due 3/1/00.............................. 12,646,201
Chase Bank, 5.880% due 3/1/00.................................... 11,488,904
Credit Suisse, 5.910% due 3/1/00................................. 11,488,904
Fifth Third Bank, 5.880% due 3/1/00.............................. 11,488,905
Firstar Bank, 5.750% due 3/1/00.................................. 102,140
SunTrust Bank, 5.880% due 3/1/00................................. 8,820,313
Commercial Paper:
American Home, 5.900% due 3/3/00................................. 134,366
Atlantis One Fund, 5.940% due 3/6/00............................. 1,704,362
Atlantis One Fund, 5.970% due 3/20/00............................ 2,181,460
Atlantis One Fund, 5.970% due 3/22/00............................ 2,721,080
Atlantis One Fund, 5.980% due 3/23/00............................ 5,850,193
Block Financial Corp., 5.870% due 3/10/00........................ 6,967,473
CC USA, 6.000% due 3/3/00........................................ 1,597,394
CC USA, 5.950% due 3/14/00....................................... 386,745
CC USA, 6.000% due 3/20/00....................................... 3,800,916
Sigma Finance, 5.960% due 3/7/00................................. 795,724
Floating Rate Note:
AmSouth Bank, 5.730% due 1/25/01................................. 1,778,735
Goldman Sachs & Co., 5.280% due 8/23/00.......................... 6,991,351
KeyBank Corp., 5.880% due 2/14/01................................ 7,675,436
Sigma Finance, 6.230% due 4/4/00................................. 648,688
Floating Rate Commercial Paper:
American Home, 5.480% due 4/20/00................................ 4,214,579
Commercial Bank, 5.860% due 2/14/01.............................. 1,368,885
- -------------------------------------------------------------------------------
Total............................................................. $124,851,958
- -------------------------------------------------------------------------------
</TABLE>
84
<PAGE>
Notes to Financial Statements (unaudited) (continued)
Large Capitalization Growth Investments
<TABLE>
<CAPTION>
Security Description Value
- -------------------------------------------------------------------------------
<S> <C>
Time Deposits:
AmSouth Bank, 5.910% due 3/1/00................................. $ 32,468,239
Bank of America, 5.880% due 3/1/00.............................. 43,832,123
Bank of Brussels, 5.880% due 3/1/00............................. 43,820,739
Chase Bank, 5.880% due 3/1/00................................... 43,832,123
Credit Suisse, 5.910% due 3/1/00................................ 43,832,123
Fifth Third Bank, 5.880% due 3/1/00............................. 43,832,123
Firstar Bank, 5.750% due 3/1/00................................. 437,978
SunTrust Bank, 5.880% due 3/1/00................................ 8,330,426
Commercial Paper:
American Home, 5.900% due 3/3/00................................ 5,289,434
Atlantis One Fund, 5.940% due 3/6/00............................ 739,461
Atlantis One Fund, 5.970% due 3/20/00........................... 4,795,830
Atlantis One Fund, 5.980% due 3/23/00........................... 14,549,029
Block Financial Corp., 5.870% due 3/10/00....................... 5,275,146
CC USA, 6.000% due 3/20/00...................................... 354,071
Cregam Bank, 6.080% due 7/19/00................................. 2,379,047
Fairway Asset, 5.850% due 3/24/00............................... 2,971,690
Fairway Asset, 5.980% due 4/17/00............................... 1,564,691
Sigma Finance, 5.930% due 3/6/00................................ 2,669,410
Sigma Finance, 5.930% due 3/7/00................................ 2,345,806
Swedbank, 6.120% due 7/18/00.................................... 1,001,092
Textron, 5.860% due 3/6/00...................................... 577,935
Floating Rate Note:
Goldman Sachs & Co., 5.280% due 8/23/00......................... 7,207,264
KeyBank Corp., 5.880% due 2/14/01............................... 13,287,321
Morgan Stanley, 5.750% due 5/8/00............................... 9,845,878
Sigma Finance, 6.230% due 4/4/00................................ 7,365,316
Floating Rate Commercial Paper:
American Home, 5.480% due 4/20/00............................... 7,620,364
Commercial Bank, 5.860% due 2/14/01............................. 24,663,572
- -------------------------------------------------------------------------------
Total............................................................ $ 374,888,231
- -------------------------------------------------------------------------------
</TABLE>
Income earned by the Portfolios from securities lending for the six months
ended February 29, 2000, was as follows:
<TABLE>
<CAPTION>
Portfolio Value
- -------------------------------------------------------------------------------
<S> <C>
Large Capitalization Value Equity Investments......................... $107,255
Large Capitalization Growth Investments............................... 271,377
- -------------------------------------------------------------------------------
</TABLE>
13. Shares of Beneficial Interest
At February 29, 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>
Six Months Ended Year Ended
February 29, 2000 August 31, 1999
- -----------------------------------------------------------------------------
<S> <C> <C>
Large Capitalization Value Equity Invest-
ments
Shares sold............................... 34,440,932 52,439,364
Shares issued on reinvestment............. 24,834,163 19,687,603
Shares reacquired......................... (42,599,098) (67,623,981)
- -----------------------------------------------------------------------------
Net Increase.............................. 16,675,997 4,502,986
- -----------------------------------------------------------------------------
Large Capitalization Growth Investments
Shares sold............................... 22,362,066 28,217,260
Shares issued on reinvestment............. 10,162,576 3,921,017
Shares reacquired......................... (31,174,882) (40,273,355)
- -----------------------------------------------------------------------------
Net Increase (Decrease)................... 1,349,760 (8,135,078)
- -----------------------------------------------------------------------------
</TABLE>
85
<PAGE>
Notes to Financial Statements (unaudited) (continued)
<TABLE>
<CAPTION>
Six Months Ended Year Ended
February 29, 2000 August 31, 1999
- ------------------------------------------------------------------------------
<S> <C> <C>
S&P 500 Index Investments*
Shares sold................................ 3,811,417 --
Shares issued on reinvestment.............. 16,549 --
Shares reacquired.......................... (697,868) --
- ------------------------------------------------------------------------------
Net Increase............................... 3,130,098 --
- ------------------------------------------------------------------------------
Intermediate Fixed Income Investments
Shares sold................................ 30,991,014 33,105,433
Shares issued on reinvestment.............. 2,324,095 4,149,749
Shares reacquired.......................... (25,296,170) (31,483,419)
- ------------------------------------------------------------------------------
Net Increase............................... 8,018,939 5,771,763
- ------------------------------------------------------------------------------
Long-Term Bond Investments
Shares sold................................ 1,925,848 5,357,531
Shares issued on reinvestment.............. 484,126 1,563,665
Shares reacquired.......................... (6,016,213) (9,354,951)
- ------------------------------------------------------------------------------
Net Decrease............................... (3,606,239) (2,433,755)
- ------------------------------------------------------------------------------
Municipal Bond Investments
Shares sold................................ 1,556,029 2,319,842
Shares issued on reinvestment.............. 155,802 430,977
Shares reacquired.......................... (2,076,236) (3,370,750)
- ------------------------------------------------------------------------------
Net Decrease............................... (364,405) (619,931)
- ------------------------------------------------------------------------------
Mortgage Backed Investments
Shares sold................................ 1,658,554 3,969,941
Shares issued on reinvestment.............. 417,720 1,106,705
Shares reacquired.......................... (5,041,939) (7,307,074)
- ------------------------------------------------------------------------------
Net Decrease............................... (2,965,665) (2,230,428)
- ------------------------------------------------------------------------------
High Yield Investments
Shares sold................................ 4,413,365 16,355,763
Shares issued on reinvestment.............. 965,534 1,897,006
Shares reacquired.......................... (10,883,844) (6,787,756)
- ------------------------------------------------------------------------------
Net Increase (Decrease).................... (5,504,945) 11,465,013
- ------------------------------------------------------------------------------
Multi-Sector Fixed Income Investments*
Shares sold................................ 4,020,835 --
Shares issued on reinvestment.............. 42,943 --
Shares reacquired.......................... (93,939) --
- ------------------------------------------------------------------------------
Net Increase............................... 3,969,839 --
- ------------------------------------------------------------------------------
Government Money Investments
Shares sold................................ 838,865,260 851,220,980
Shares issued on reinvestment.............. 6,546,180 14,498,758
Shares reacquired.......................... (887,170,090) (938,322,010)
- ------------------------------------------------------------------------------
Net Decrease............................... (41,758,650) (72,602,272)
- ------------------------------------------------------------------------------
</TABLE>
* For the period from October 1, 1999 (commencement of operation) to February
29, 2000.
86
<PAGE>
Financial Highlights
For a share of beneficial interest outstanding throughout each year ended
August 31,
except where noted:
<TABLE>
<CAPTION>
LARGE CAPITALIZATION VALUE
EQUITY INVESTMENTS 2000(1) 1999 1998 1997 1996 1995(2)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period................ $13.53 $12.28 $14.91 $11.55 $10.42 $9.39
- -------------------------------------------------------------------------------
Income (Loss) From Opera-
tions:
Net investment in-
come(3)................. 0.08 0.17 0.16 0.23 0.26 0.27
Net realized and
unrealized gain (loss).. (0.98) 2.94 0.08 4.09 1.25 1.16
- -------------------------------------------------------------------------------
Total Income (Loss) From
Operations............... (0.90) 3.11 0.24 4.32 1.51 1.43
- -------------------------------------------------------------------------------
Less Distributions From:
Net investment income.... (0.17) (0.18) (0.11) (0.34) (0.24) (0.24)
Net realized gains....... (1.91) (1.68) (2.76) (0.62) (0.14) (0.16)
- -------------------------------------------------------------------------------
Total Distributions....... (2.08) (1.86) (2.87) (0.96) (0.38) (0.40)
- -------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $10.55 $13.53 $12.28 $14.91 $11.55 $10.42
- -------------------------------------------------------------------------------
Total Return.............. (8.03)%++ 26.36% 0.03% 38.98% 14.75% 16.14%
- -------------------------------------------------------------------------------
Net Assets, End of Period
(millions)............... $1,694 $1,946 $1,712 $1,935 $1,512 $1,070
- -------------------------------------------------------------------------------
Ratios to Average Net As-
sets:
Expenses(3).............. 0.77%+ 0.75% 0.80% 0.78% 0.80% 0.83%
Net investment income.... 1.32+ 1.10 1.18 1.70 2.31 2.93
- -------------------------------------------------------------------------------
Portfolio Turnover Rate... 26% 54% 57% 70% 24% 21%
- -------------------------------------------------------------------------------
<CAPTION>
LARGE CAPITALIZATION
GROWTH INVESTMENTS 2000(1) 1999 1998 1997 1996 1995
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period................ $24.35 $17.30 $17.27 $13.10 $12.13 $10.00
- -------------------------------------------------------------------------------
Income (Loss) From Opera-
tions:
Net investment income
(loss)(3)............... (0.01) 0.01 0.04 0.07 0.07 0.09
Net realized and
unrealized gain......... 5.76 7.87 1.31 4.72 1.46 2.13
- -------------------------------------------------------------------------------
Total Income From Opera-
tions.................... 5.75 7.88 1.35 4.79 1.53 2.22
- -------------------------------------------------------------------------------
Less Distributions From:
Net investment income.... -- (0.01) (0.08) (0.08) (0.06) (0.08)
Net realized gains....... (2.85) (0.82) (1.24) (0.54) (0.50) (0.01)
- -------------------------------------------------------------------------------
Total Distributions....... (2.85) (0.83) (1.32) (0.62) (0.56) (0.09)
- -------------------------------------------------------------------------------
Net Asset Value, End of
Period................... $27.25 $24.35 $17.30 $17.27 $13.10 $12.13
- -------------------------------------------------------------------------------
Total Return.............. 24.78%++ 46.29% 7.81% 37.47% 12.89% 22.30%
- -------------------------------------------------------------------------------
Net Assets, End of Period
(millions)............... $2,640 $2,326 $1,793 $1,845 $1,205 $782
- -------------------------------------------------------------------------------
Ratios to Average Net As-
sets:
Expenses(3).............. 0.61%+ 0.68% 0.76% 0.69% 0.83% 0.88%
Net investment income
(loss) ................. (0.08)+ 0.06 0.16 0.50 0.63 0.98
- -------------------------------------------------------------------------------
Portfolio Turnover Rate... 23% 34% 39% 65% 40% 38%
- -------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 29, 2000 (unaudited).
(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 1995 1995
--------- -------------- --------------
<S> <C> <C>
Large Capitalization Value Equity
Investments................................. $0.01 0.93%
Large Capitalization Growth Investments...... 0.00* 0.98
</TABLE>
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
87
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31,
except where noted:
<TABLE>
<CAPTION>
S&P 500 INDEX INVESTMENTS 2000(1)
- --------------------------------------------------------------------------------
<S> <C>
Net Asset Value, Beginning of Period................................... $8.00
- --------------------------------------------------------------------------------
Income From Operations:
Net investment income(2).............................................. 0.05
Net realized and unrealized gain...................................... 0.48
- --------------------------------------------------------------------------------
Total Income From Operations........................................... 0.53
- --------------------------------------------------------------------------------
Less Distributions From:
Net investment income................................................. (0.05)
- --------------------------------------------------------------------------------
Total Distributions.................................................... (0.05)
- --------------------------------------------------------------------------------
Net Asset Value, End of Period......................................... $8.48
- --------------------------------------------------------------------------------
Total Return++......................................................... 6.56%
- --------------------------------------------------------------------------------
Net Assets, End of Period (000s)....................................... $26,555
- --------------------------------------------------------------------------------
Ratios to Average Net Assets+:
Expenses(2)(3)........................................................ 0.27%
Net investment income................................................. 1.31
- --------------------------------------------------------------------------------
Portfolio Turnover Rate................................................ 10%
- --------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE FIXED INCOME
INVESTMENTS 2000(4) 1999 1998 1997 1996 1995
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Begin-
ning of Period.......... $7.83 $8.19 $8.06 $7.92 $8.10 $7.92
- ----------------------------------------------------------------------------------------
Income (Loss) From Opera-
tions:
Net investment income... 0.23 0.44 0.48 0.50 0.50 0.50
Net realized and
unrealized gain
(loss)................. (0.12) (0.35) 0.15 0.14 (0.17) 0.16
- ----------------------------------------------------------------------------------------
Total Income From Opera-
tions................... 0.11 0.09 0.63 0.64 0.33 0.66
- ----------------------------------------------------------------------------------------
Less Distributions From:
Net investment income... (0.22) (0.45) (0.50) (0.50) (0.51) (0.48)
- ----------------------------------------------------------------------------------------
Total Distributions...... (0.22) (0.45) (0.50) (0.50) (0.51) (0.48)
- ----------------------------------------------------------------------------------------
Net Asset Value, End of
Period.................. $7.72 $7.83 $8.19 $8.06 $7.92 $8.10
- ----------------------------------------------------------------------------------------
Total Return............. 1.44%++ 1.07% 8.00% 8.23% 4.08% 8.70%
- ----------------------------------------------------------------------------------------
Net Assets, End of Period
(000s).................. $648,377 $594,666 $574,998 $384,094 $296,053 $246,323
- ----------------------------------------------------------------------------------------
Ratios to Average Net As-
sets:
Expenses................ 0.70%+ 0.61% 0.73% 0.73% 0.73% 0.80%
Net investment income... 5.83+ 4.53 5.95 6.19 5.78 6.40
- ----------------------------------------------------------------------------------------
Portfolio Turnover Rate.. 94% 207% 63% 118% 98% 98%
- ----------------------------------------------------------------------------------------
</TABLE>
(1) For the period from October 1, 1999 (commencement of operations) to
February 29, 2000 (unaudited).
(2) 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...................... $0.02 0.32%+
</TABLE>
(3) As a result of a voluntary expense limitation, expense ratios will not
exceed 0.27%.
(4) For the six months ended February 29, 2000 (unaudited).
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
88
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31, except where noted:
<TABLE>
<CAPTION>
LONG-TERM BOND
INVESTMENTS 2000(1) 1999 1998 1997 1996 1995
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Begin-
ning of Period......... $7.70 $9.05 $8.26 $7.87 $8.23 $7.86
- ------------------------------------------------------------------------------------------
Income (Loss) From Oper-
ations:
Net investment in-
come(2)............... 0.24 0.49 0.52 0.53 0.51 0.45
Net realized and
unrealized gain
(loss)................ (0.10) (1.00) 0.78 0.46 (0.41) 0.36
- ------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 0.14 (0.51) 1.30 0.99 0.10 0.81
- ------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income.. (0.25) (0.50) (0.51) (0.59) (0.46) (0.44)
Net realized gains..... (0.05) (0.34) -- -- -- --
Capital................ -- -- -- (0.01) -- --
- ------------------------------------------------------------------------------------------
Total Distributions..... (0.30) (0.84) (0.51) (0.60) (0.46) (0.44)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $7.54 $7.70 $9.05 $8.26 $7.87 $8.23
- ------------------------------------------------------------------------------------------
Total Return............ 1.87%++ (6.19)% 16.22% 12.93% 1.11% 10.71%
- ------------------------------------------------------------------------------------------
Net Assets, End of Pe-
riod (000s)............ $85,740 $115,355 $157,612 $183,051 $155,910 $137,545
- ------------------------------------------------------------------------------------------
Ratios to Average Net
Assets:
Expenses(2)............ 0.89%+ 0.80% 0.82% 0.78% 0.80% 0.80%
Net investment income.. 6.24+ 5.81 5.96 6.54 6.18 5.80
- ------------------------------------------------------------------------------------------
Portfolio Turnover
Rate................... 160% 30% 63% 34% 125% 62%
- ------------------------------------------------------------------------------------------
<CAPTION>
MUNICIPAL BOND
INVESTMENTS 2000(1) 1999 1998 1997 1996 1995
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Begin-
ning of Period......... $8.22 $8.92 $8.62 $8.26 $8.27 $8.06
- ------------------------------------------------------------------------------------------
Income (Loss) From Oper-
ations:
Net investment in-
come(2)............... 0.18 0.35 0.36 0.38 0.38 0.40
Net realized and
unrealized gain
(loss)................ (0.27) (0.57) 0.32 0.34 -- 0.21
- ------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. (0.09) (0.22) 0.68 0.72 0.38 0.61
- ------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income.. (0.17) (0.35) (0.38) (0.36) (0.39) (0.40)
In excess of net in-
vestment income....... -- -- (0.00)* -- -- --
Net realized gains..... (0.01) (0.13) -- -- -- (0.00)*
- ------------------------------------------------------------------------------------------
Total Distributions..... (0.18) (0.48) (0.38) (0.36) (0.39) (0.40)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $7.95 $8.22 $8.92 $8.62 $8.26 $8.27
- ------------------------------------------------------------------------------------------
Total Return............ (1.05)%++ (2.60)% 8.09% 8.88% 4.62% 7.86%
- ------------------------------------------------------------------------------------------
Net Assets, End of Pe-
riod (000s)............ $56,790 $61,743 $72,511 $52,024 $46,485 $45,356
- ------------------------------------------------------------------------------------------
Ratios to Average Net
Assets:
Expenses(2)............ 0.81%+ 0.78% 0.80% 0.80% 0.80% 0.80%
Net investment income.. 4.47+ 4.03 4.20 4.50 4.59 4.99
- ------------------------------------------------------------------------------------------
Portfolio Turnover
Rate................... 18% 142% 160% 31% 29% 49%
- ------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 29, 2000 (unaudited).
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Expense Ratios
Net Investment Income Without Waivers
Per Share Decrease and/or Reimbursements
------------------------ ---------------------
Portfolio 1997 1996 1995 1997 1996 1995
--------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Long-Term Bond
Investments............ N/A N/A $ 0.01 N/A N/A 0.93%
Municipal Bond
Investments............ $0.00* $0.02 0.02 0.83% 1.02% 1.04
</TABLE>
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
89
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31, except where noted:
<TABLE>
<CAPTION>
MORTGAGE BACKED
INVESTMENTS 2000(1) 1999 1998 1997 1996(2) 1995
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Begin-
ning of Period......... $7.73 $8.13 $7.96 $7.74 $7.91 $7.69
- ---------------------------------------------------------------------------------------
Income (Loss) From Oper-
ations:
Net investment in-
come(3)............... 0.24 0.45 0.46 0.48 0.48 0.51
Net realized and
unrealized gain
(loss)................ (0.10) (0.34) 0.19 0.25 (0.14) 0.22
- ---------------------------------------------------------------------------------------
Total Income From Opera-
tions.................. 0.14 0.11 0.65 0.73 0.34 0.73
- ---------------------------------------------------------------------------------------
Less Distributions From:
Net investment income.. (0.23) (0.45) (0.48) (0.51) (0.48) (0.49)
Net realized gains..... -- (0.05) -- -- -- --
Capital................ -- (0.01) -- -- (0.03) (0.02)
- ---------------------------------------------------------------------------------------
Total Distributions..... (0.23) (0.51) (0.48) (0.51) (0.51) (0.51)
- ---------------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $7.64 $7.73 $8.13 $7.96 $7.74 $7.91
- ---------------------------------------------------------------------------------------
Total Return............ 1.78%++ 1.30% 8.37% 9.69% 4.37% 9.96%
- ---------------------------------------------------------------------------------------
Net Assets, End of Pe-
riod (000s)............ $106,987 $131,039 $156,043 $136,586 $120,945 $104,789
- ---------------------------------------------------------------------------------------
Ratios to Average Net
Assets:
Expenses(3)(4)......... 0.80%+ 0.80% 0.80% 0.80% 0.80% 0.80%
Net investment income.. 6.16+ 5.67 5.69 6.08 6.09 6.85
- ---------------------------------------------------------------------------------------
Portfolio Turnover
Rate................... 23% 87% 214% 94% 23% 30%
- ---------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 29, 2000 (unaudited).
(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 Without
Net Investment Income Waivers
Per Share Decrease and/or Reimbursements
----------------------------------- -----------------------------------
Portfolio 2000 1999 1998 1997 1996 1995 2000 1999 1998 1997 1996 1995
--------- ----- ----- ----- ----- ----- ----- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Mortgage Backed
Investments............ $0.01 $0.01 $0.01 $0.01 $0.01 $0.02 0.96%+ 0.91% 0.93% 0.93% 0.94% 1.09%
</TABLE>
(4) As a result of a voluntary expense limitation, expense ratios will not
exceed 0.80%.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
90
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31, except where noted:
<TABLE>
<CAPTION>
HIGH YIELD INVESTMENTS 2000(1) 1999(2) 1998(3)
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period......... $7.33 $7.89 $8.00
- -------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment income(4).................... 0.40 0.83 0.05
Net realized and unrealized gain (loss)..... (1.00) (0.54) (0.16)
- -------------------------------------------------------------------------------
Total Income (Loss) From Operations.......... (0.60) 0.29 (0.11)
- -------------------------------------------------------------------------------
Less Distributions From:
Net investment income....................... (0.40) (0.83) --
Net realized gains.......................... -- (0.02) --
- -------------------------------------------------------------------------------
Total Distributions.......................... (0.40) (0.85) --
- -------------------------------------------------------------------------------
Net Asset Value, End of Period............... $6.33 $7.33 $7.89
- -------------------------------------------------------------------------------
Total Return................................. (8.29)%++ 3.67% (1.38)%++
- -------------------------------------------------------------------------------
Net Assets, End of Period (000s)............. $99,093 $155,057 $76,557
- -------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses(4)................................. 1.29%+ 1.19% 1.20%+
Net investment income....................... 11.35+ 10.62 7.37+
- -------------------------------------------------------------------------------
Portfolio Turnover Rate...................... 57% 122% 13%
- -------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 29, 2000 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the period from July 13, 1998 (commencement of operations) to August
31, 1998.
(4) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Expense Ratios
Net Investment Income Without Waivers
Per Share Decrease and 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.
91
<PAGE>
Financial Highlights (continued)
For a share of each class of beneficial interest outstanding throughout the
period:
<TABLE>
<CAPTION>
MULTI-SECTOR FIXED INCOME INVESTMENTS 2000(1)
- --------------------------------------------------------------------------------
<S> <C>
Net Asset Value, Beginning of Period................................... $8.00
- --------------------------------------------------------------------------------
Income (Loss) From Operations:
Net investment income(2).............................................. 0.18
Net realized and unrealized loss...................................... (0.09)
- --------------------------------------------------------------------------------
Total Income From Operations........................................... 0.09
- --------------------------------------------------------------------------------
Less Distributions From:
Net investment income................................................. (0.12)
- --------------------------------------------------------------------------------
Total Distributions.................................................... (0.12)
- --------------------------------------------------------------------------------
Net Asset Value, End of Period......................................... $7.97
- --------------------------------------------------------------------------------
Total Return++......................................................... 1.10%
- --------------------------------------------------------------------------------
Net Assets, End of Period (000's)...................................... $31,658
- --------------------------------------------------------------------------------
Ratios to Average Net Assets+:
Expenses(2)(3)........................................................ 0.80%
Net investment income................................................. 5.69
- --------------------------------------------------------------------------------
Portfolio Turnover Rate................................................ 105%
- --------------------------------------------------------------------------------
</TABLE>
(1) For the period from October 1, 1999 (commencement of operations) to
February 29, 2000 (unaudited).
(2) Expense ratios and the per share decreases in net investment income before
fee waivers were as follows:
<TABLE>
<CAPTION>
Expense Ratios
Net Investment Without
Income Per Waivers and/or
Share Decrease Reimbursements
-------------- --------------
Portfolio 2000 2000
--------- -------------- --------------
<S> <C> <C>
Multi-Sector Fixed Income Investments.......... $0.01 1.06%+
</TABLE>
(3) As a result of a voluntary expense limitation, expense ratios will not
exceed 0.80%.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
92
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31, except where noted:
<TABLE>
<CAPTION>
GOVERNMENT MONEY
INVESTMENTS 2000(1) 1999 1998 1997 1996 1995
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Begin-
ning of Period......... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------------
Net investment in-
come(2)............... 0.02 0.04 0.05 0.05 0.05 0.05
Dividends from net in-
vestment income....... (0.02) (0.04) (0.05) (0.05) (0.05) (0.05)
- --------------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
- --------------------------------------------------------------------------------------
Total Return............ 2.49%++ 4.53% 5.10% 4.98% 5.02% 5.24%
- --------------------------------------------------------------------------------------
Net Assets, End of Pe-
riod (000s)............ $261,401 $303,160 $375,761 $388,713 $278,162 $241,590
- --------------------------------------------------------------------------------------
Ratios to Average Net
Assets:
Expenses(2)(3)......... 0.60%+ 0.60% 0.60% 0.60% 0.60% 0.60%
Net investment income.. 4.96+ 4.46 4.99 4.91 4.93 5.14
- --------------------------------------------------------------------------------------
</TABLE>
(1)For the six months ended February 29, 2000 (unaudited).
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Net Investment Income Expense Ratios Without Waivers
Per Share Decrease and Reimbursements
-------------------------------------- -----------------------------------------
Portfolio 2000 1999 1998 1997 1996 1995 2000 1999 1998 1997 1996 1995
--------- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Government Money
Investments............ $0.00* $0.00* $0.00* $0.01 $0.01 $0.05 0.80%+ 0.71% 0.66% 0.64% 0.72% 0.74%
</TABLE>
(3) As a result of a voluntary expense limitation, expense ratios will not
exceed 0.60%.
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
93
<PAGE>
This report is submitted for the general information of the shareholders of
Consulting Group Capital Markets Funds.
It is not authorized for distribution to prospective investors unless
accompanied or preceded by a current Prospectus for the Trust which contains
information concerning the Trust's investment policies, charges and expenses as
well as other pertinent information.
TK 2120A, 4/00 Consulting Group Capital Markets Funds
222 Delaware Avenue . Wilmington, Delaware . 19801
<PAGE>
TRAK(R)
----------------------------------------
Personalized Investment Advisory Service
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
Semi-Annual Report February 29, 2000
SalomonSmithBarney
---------------------------
A member of citigroup[LOGO]
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
TABLE OF CONTENTS
<TABLE>
<S> <C>
Shareholder Letter.......................................................... 2
Schedules of Investments:
Small Capitalization Value Equity Investments............................. 4
Small Capitalization Growth Investments................................... 31
International Equity Investments.......................................... 58
Emerging Markets Equity Investments....................................... 80
International Fixed Income Investments.................................... 89
Balanced Investments...................................................... 92
Statements of Assets and Liabilities........................................ 101
Statements of Operations.................................................... 102
Statements of Changes in Net Assets......................................... 103
Notes to Financial Statements............................................... 105
Financial Highlights........................................................ 117
</TABLE>
1
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
Dear Shareholder:
Although we are only two full months into the new millennium, the U.S. equity
markets continue to focus on new economy stocks. Investor sentiment remained
positive and almost any stock that stood to benefit from the internet was
propelled higher. While the tech-heavy NASDAQ Index closed 1999 with a gain of
almost 86%, it advanced over 17% in the first sixty days of 2000. This was in
contrast to the S&P 500 Index that finished 1999 up 21%, but had declined
almost 7% this year through February. This divergence has caused concern and
left investors to wonder how long it would persist.
The divergence can be explained by a number of factors. Traditional valuation
measures like price/earnings and dividend yields have flashed the same "over-
valued" signal for years. Market strategists and portfolio managers alike have
therefore either downplayed or ignored these traditional warning signs. So,
when faced with a decision of following the technology sector's momentum or
bottom fishing in the old economy stocks, most have chosen to buy the new-
economy stocks. Also, with investors moving assets to sectors with positive
momentum, the money is coming out of non-technology sectors like healthcare and
consumer non-durables.
The divergence between technology and non-technology spilled over into small-
cap stocks. For 1999, the Russell 2000 Index moved past the S&P 500 Index and
returned 21%. This followed almost five years of predictions that small-cap
stocks would outperform large-cap stocks. And, in the first two months of 2000,
the gap has only widened. So far in 2000, a small number of stocks accounted
for the Russell 2000's gain and nearly all were technology and bio-technology
names. So, whether examining the performance of large-cap or small-cap stocks,
technology related shares have been the market driver.
While stocks moved higher in 1999, bonds moved in the opposite direction.
This continued the de-coupling of stocks and bonds that began at the end of
1997. For the year 1999, returns on most major fixed income benchmarks were
negative. The yield on the 30-year Treasury bond reached 6.48% by the end of
the year, from 5.09% at the beginning of 1999. However, in the first two months
of 2000, long rates declined and the yield curve has become inverted with the 5
and 10 year yields higher than the 30-year Treasury.
Overseas, emerging markets throughout Asia and Latin America staged explosive
recoveries from the 1997-98 financial crisis. A return of foreign capital to
developing Asian countries helped bolster local currencies, boosting stock
market returns in dollar terms. The Morgan Stanley Capital International
Emerging Markets Free Index posted returns of 25.45% for the fourth quarter and
66.42% for the year in dollar terms.
Stock markets in the developed world also posted generally strong returns.
The MSCI Europe and the Far East Index returned 17.06% in dollar terms in the
fourth quarter, and 27.31% for the year. In Japan, economic recovery, combined
with efforts to shore up the nation's banking system, gave a strong upward push
to stocks. The MSCI Japan Index returned 15.5% for the fourth quarter and 61.5%
for the year in dollar terms. Most European markets also advanced, as a wave of
mergers prompted hopes of improved corporate profitability. However, weakness
in the newly created Euro trimmed market gains in dollar terms.
Consulting Group Capital Markets Funds ("Portfolios")
During the six months ended February 29, 2000, the Portfolios generally
performed in line with their respective benchmarks. Small Capitalization Value
Equity Investments was an exception, however, as traditional valuation methods
applied by the advisors were not rewarded in this "new-economy" investment
paradigm. In addition, International Fixed Income Investments produced negative
returns primarily due to the Portfolio's underweight position in Japan. The
Japan market returned over 15% in dollar terms last year, all the while
yielding less than 2%. Because of this low yield the advisor stayed away from
the market and preferred the high yielding markets available in Europe. This
weakness was the result of continued strong growth in the US, which surprised
many market participants.
2
<PAGE>
Consulting Group, as investment manager, is responsible for hiring advisors
that it determines will benefit shareholders, and changing advisors where
appropriate. During the last six months, the Board of Trustees approved
Consulting Group's recommendation to:
. Terminate the investment contract with David L. Babson, advisor to Small
Capitalization Value Equity and reallocated the assets to Mellon Capital
Management Investments.
. Terminate the investment contract with Marvin & Palmer Associates and
retain Scudder Kemper Investments as an advisor to International Equity
Investments.
. Terminate the investment contract with AIB Govett and retain Foreign &
Colonial Emerging Markets Ltd. as an advisor to Emerging Markets Equity
Investments.
Shareholders of the individual Portfolios have or will receive an Information
Statement detailing the changes.
It is still too early to determine whether the market volatility witnessed
over the past six months is here to stay. It is important to remember your
investment goals and objectives and revisit them if appropriate. 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 of the Board of Trustees Investment Officer of the Consulting
of the Consulting Group Capital Group Capital Markets Funds
Markets Funds
March 29, 2000
3
<PAGE>
Schedules of Investments (unaudited) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.6%
- --------------------------------------------------------------------------------
Advertising -- 0.1%
500 Grey Advertising, Inc.................................... $ 198,000
4,700 R.H. Donnelley Corp...................................... 79,313
7,700 Sitel Corp.*............................................. 66,413
14,500 True North Communications Inc.+.......................... 536,500
- --------------------------------------------------------------------------------
880,226
- --------------------------------------------------------------------------------
Aerospace & Defense -- 1.9%
95,998 AAR Corp................................................. 2,279,953
4,228 Alliant Techsystems, Inc.*............................... 228,841
4,500 Be Aerospace, Inc.*...................................... 39,938
90,000 Cordant Technologies Inc. ............................... 2,913,750
4,300 Curtiss-Wright Corp...................................... 159,100
13,768 The Fairchild Corp., Class A Shares*..................... 84,329
279,000 Gencorp, Inc. ........................................... 2,179,688
204,940 Kaman Corp., Class A Shares.............................. 2,036,591
4,600 Kellstrom Industries Inc.*+.............................. 31,913
9,400 Orbital Sciences Corp.*.................................. 164,500
96,000 Primex Technologies Inc. ................................ 2,016,000
19,200 Remec, Inc.*............................................. 708,000
9,098 Sequa Corp., Class A Shares*............................. 337,195
7,400 Triumph Group, Inc.*..................................... 216,450
- --------------------------------------------------------------------------------
13,396,248
- --------------------------------------------------------------------------------
Agriculture -- 0.1%
30,400 AgriBiotech, Inc.*....................................... 6,384
9,832 Agribrands International Inc.*........................... 359,483
- --------------------------------------------------------------------------------
365,867
- --------------------------------------------------------------------------------
Airlines -- 0.2%
7,975 Airtran Holdings, Inc.*+................................. 32,648
21,875 Alaska Airgroup, Inc.*................................... 579,688
31,021 America West Holdings Corp., Class B Shares*............. 414,906
600 Atlantic Coast Airlines Holdings, Inc.*+................. 10,725
10,200 Frontier Airlines, Inc.*................................. 113,475
24,500 Mesa Air Group Inc.*..................................... 145,469
5,810 Midwest Express Holdings, Inc.*.......................... 149,971
4,800 Skywest Inc. ............................................ 142,500
51,722 Trans World Airlines, Inc.*+............................. 126,072
- --------------------------------------------------------------------------------
1,715,454
- --------------------------------------------------------------------------------
Apparel -- 0.8%
44,916 Burlington Industries, Inc.*............................. 126,326
2,900 Columbia Sportswear Co.*................................. 60,356
7,534 Donna Karan International, Inc.*......................... 54,151
676 Galey & Lord, Inc.*+..................................... 1,310
25,993 Kellwood Co. ............................................ 438,632
20,100 Nautica Enterprises, Inc.*............................... 212,306
5,531 Oxford Industries Inc.................................... 91,953
20,759 Phillips-Van Heusen Corp. ............................... 144,016
37,982 Reebok International Ltd.*............................... 303,856
25,200 Russell Corp. ........................................... 348,075
161,800 Stride Rite Corp. ....................................... 889,900
306,859 Unifi Inc.*.............................................. 2,934,339
31,800 Wolverine Worldwide, Inc. ............................... 365,700
- --------------------------------------------------------------------------------
5,970,920
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
4
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Auto Manufacturers -- 0.4%
1,250 Oshkosh Truck Corp....................................... $ 33,125
197,342 Wabash National Corp. ................................... 2,762,788
- --------------------------------------------------------------------------------
2,795,913
- --------------------------------------------------------------------------------
Auto Parts & Equipment -- 1.7%
15,595 Aftermarket Technology Corp.*............................ 183,241
5,600 American Axel & Manufacturing Holdings*.................. 78,050
123,001 Arvin Industries, Inc.................................... 2,260,143
11,250 Bandag Inc............................................... 264,375
60,000 Borg-Warner Automotive Inc............................... 1,920,000
53,910 Collins & Aikman Corp. .................................. 272,919
3,300 Delco Remy International, Inc.*.......................... 24,131
6,200 Dura Automotive Systems, Inc.*........................... 80,988
320,482 Exide Corp.+............................................. 3,244,880
155,000 Meritor Automotive Inc. ................................. 2,170,000
15,200 Miller Industries, Inc.*................................. 56,050
8,400 Oea Inc.................................................. 57,225
17,093 Simpson Industries, Inc. ................................ 171,998
8,089 Standard Motor Products, Inc. ........................... 109,707
17,595 Superior Industries International, Inc. ................. 420,081
14,979 Titan International, Inc. ............................... 110,470
28,998 Tower Automotive Inc.*................................... 344,351
2,900 Wynn's International Inc................................. 38,606
- --------------------------------------------------------------------------------
11,807,215
- --------------------------------------------------------------------------------
Banks -- 4.2%
8,000 Alabama National Bancorp. ............................... 146,000
24,989 Amcore Financial, Inc.................................... 523,207
10,524 Area Bancshares Corp..................................... 211,796
6,554 BOK Financial Corp.*..................................... 101,587
8,204 BSB Bancorp, Inc......................................... 147,159
11,264 BT Financial Corp. ...................................... 197,120
3,300 Bancfirst Ohio Corp. .................................... 67,238
2,050 Bancfirst Corp........................................... 56,888
4,180 Banco Santander Puerto Rico.............................. 54,340
52,732 Bancorp South, Inc. ..................................... 847,008
44,900 Bancwest, Corp. ......................................... 681,919
700 Bank of Granite Corp..................................... 13,300
21,648 Banknorth Group, Inc. ................................... 409,959
26,155 Bay View Capital Corp. .................................. 228,856
4,000 Brenton Banks, Inc. ..................................... 38,500
8,100 CPB Inc.................................................. 182,250
620 CVB Financial Corp....................................... 8,758
4,815 Capital City Bank Group, Inc............................. 89,078
23,900 Carolina First Corp...................................... 379,413
7,500 Cathay Bancorp Inc....................................... 322,500
810 Centura Banks Inc........................................ 27,338
5,700 Century South Banks Inc.................................. 139,650
13,307 Chemical Financial Corp. ................................ 352,636
9,197 Chittenden, Corp......................................... 233,949
26,529 Citizens Banking Corp. of Michigan....................... 446,019
13,900 City Holding Co.......................................... 173,750
12,937 Commerce Bancorp Inc. of New Jersey...................... 435,007
9,400 Community First Bankshares, Inc. ........................ 131,600
9,650 Community Trust Bancorp, Inc............................. 182,144
8,685 Corus Bankshares, Inc.................................... 213,868
13,600 East West Bancorp, Inc. ................................. 170,850
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Banks -- 4.2% (continued)
6,427 F&M Bancorp of Maryland.................................. $ 115,686
10,892 F&M National Corp. ...................................... 246,432
18,125 F.N.B. Corp. of Pennsylvania............................. 394,219
7,400 FCNB Corp. .............................................. 124,875
5,500 Farmers Capital Bank Corp. .............................. 167,750
1,400 First Bankcorp of Puerto Rico............................ 23,800
5,500 First Busey Corp. ....................................... 104,156
13,900 First Charter Corp. ..................................... 189,388
5,105 First Citizens Bancshares, Class A Shares................ 329,273
5,553 First Commerce BCSHS Inc. -- Class B Shares.............. 192,967
53,494 First Commonwealth Financial Corp........................ 534,940
8,611 First Financial Bankshares, Inc. ........................ 223,886
5,968 First Financial Corp. of Indiana......................... 204,404
8,080 First Merchants Corp..................................... 202,505
29,721 First Midwest Bancorp, Inc. of Illinois.................. 741,167
8,161 First Republic Bank*..................................... 124,455
22,042 First United Bancshares, Inc. of Arkansas................ 264,504
10,186 GBC Bancorp of California................................ 275,022
1,300 Glacier Bancorp, Inc. ................................... 17,225
15,024 Grand Premier Financial Inc.............................. 165,264
3,800 Greater Bay Bancorp...................................... 149,150
3,500 Hamilton Bancorp, Inc.*.................................. 58,406
8,651 Hancock Holding Co. ..................................... 322,250
6,793 Harleysville National Corp. ............................. 196,572
94,914 Hudson United Bancorp.................................... 1,916,076
12,528 Imperial Bancorp......................................... 322,596
8,500 Independent Bank Corp. of Massachusetts.................. 89,250
11,575 International Bancshares Corp............................ 447,808
13,840 Interwest Bancorp, Inc. ................................. 242,200
7,308 JSB Financial, Inc. ..................................... 353,068
17,900 Local Financial Corp.*................................... 143,200
2,100 Michigan Financial Corp.................................. 48,366
6,800 Mid-State Bancshares..................................... 184,875
7,888 MidAmerica Bancorp....................................... 188,326
4,000 Midwest Bancorp Holding, Inc............................. 60,000
11,407 NBT Bancorp, Inc......................................... 148,291
12,132 National Bancorp of Alaska, Inc.......................... 357,894
16,603 National City Bancshares, Inc. of Indiana................ 413,000
7,445 National Penn BCSHS, Inc. ............................... 161,929
16,584 North Fork Bancorp....................................... 271,563
6,850 Omega Financial Corp. ................................... 166,969
30,797 One Valley Bancorp, Inc. ................................ 921,985
160,000 Pacific Century Financial Corp. ......................... 2,430,000
4,500 Peoples Holding Co. ..................................... 118,125
15,180 Premier National Bancorp. ............................... 176,468
21,049 Provident Bancshares Corp. .............................. 339,415
1,000 R&G Financial Corp., Class B Shares...................... 8,500
39,998 Republic Bancorp, Inc. .................................. 319,984
2,000 Republic Bancorp, Inc., Class A Shares................... 17,250
6,100 Republic Bancshares, Inc.*............................... 74,344
43,959 Republic Security Financial Corp......................... 324,198
16,988 Riggs National Corp. of Washington D.C. ................. 169,349
1,206 S & T Bancorp, Inc. ..................................... 22,236
2,600 Sandy Spring Bancorp, Inc. .............................. 53,625
9,200 Second Bancorp, Inc...................................... 174,800
17,600 Silicon Valley Bancshares*............................... 1,394,800
6,300 Simmons First National Corp., Class A Shares............. 142,144
</TABLE>
See Notes to Financial Statements.
6
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <S> <C>
Banks -- 4.2% (continued)
9,182 Sky Financial Group, Inc. ................................ $ 140,599
184,350 Susquehanna Bancshares, Inc............................... 2,696,119
8,948 Texas Regional Bancshares, Class A Shares................. 218,667
1,100 The Trust Co. of New Jersey............................... 21,106
15,241 UMB Financial Corp. ...................................... 512,479
2,600 USB Holding Co., Inc. .................................... 38,350
13,133 United National Bancorp of New Jersey..................... 216,695
13,422 US Bancorp, Inc. of Pennsylvania.......................... 131,703
15,591 Wesbanco, Inc. ........................................... 327,411
12,384 West Coast Bancorp of Oregon.............................. 129,258
20,361 Whitney Holding, Corp. ................................... 664,278
- --------------------------------------------------------------------------------
29,881,282
- --------------------------------------------------------------------------------
Beverages -- 0.2%
13,700 Canadaigua Brands Inc., Class A Shares*................... 671,300
735 Farmer Brothers Co. ...................................... 117,600
7,962 Robert Mondavi Corp., Class A Shares*..................... 291,608
- --------------------------------------------------------------------------------
1,080,508
- --------------------------------------------------------------------------------
Biotechnology -- 2.1%
7,461 Bio-Rad Labs, Class A Shares*............................. 245,280
800 Invitrogen Corp.*......................................... 67,600
45,800 Pe, Corp. - Celera Genomics*.............................. 11,175,200
10,200 Protein Design Labs, Inc.*+............................... 2,551,913
15,330 Regeneron Pharmaceuticals, Inc.*.......................... 866,145
17,025 Serologicals Corp.*....................................... 191,531
- --------------------------------------------------------------------------------
15,097,669
- --------------------------------------------------------------------------------
Building Materials -- 2.5%
89,503 Butler Manufacturing Co. ................................. 2,265,545
75,000 Centex Construction Products, Inc. ....................... 1,743,750
10,100 Comfort Systerms USA, Inc.*............................... 79,538
398,800 Dal-Tile International, Inc.*............................. 2,791,600
2,862 Florida Rock Industries, Inc. ............................ 95,340
10,700 Genlyte Group, Inc.*...................................... 214,000
231,450 Hussmann International Inc. .............................. 3,341,559
3,216 Lennox International Inc. ................................ 30,552
79,200 Martin Marietta Corp. .................................... 2,811,600
2,600 Mestek Inc.*.............................................. 43,388
13,040 Modine Manufacturing Co. ................................. 297,475
9,682 NCI Building Systems, Inc.*............................... 146,440
8,281 Nortek Inc.*.............................................. 181,147
24,900 Rayonier Inc. ............................................ 989,775
4,000 Republic Group, Inc. ..................................... 43,500
500 Simpson Manufacturing Co, Inc.*........................... 21,188
11,097 Texas Industries, Inc. ................................... 332,910
2,800 Trex Co., Inc.*........................................... 69,300
223,156 Universal Forest Products, Inc. .......................... 2,649,978
- --------------------------------------------------------------------------------
18,148,585
- --------------------------------------------------------------------------------
Chemicals -- 2.4%
45,200 Airgas Inc.*.............................................. 313,575
21,818 Albemarle Corp............................................ 328,634
15,000 Arch Chemicals, Inc. ..................................... 285,938
27,715 A. Schulman Inc. ......................................... 367,224
5,359 Bush Boake Allen, Inc.*................................... 150,052
64,947 CK Witco Corp. ........................................... 690,062
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Chemicals -- 2.4% (continued)
20,742 Cambrex Corp.+........................................... $ 832,273
17,125 Chemfirst Inc............................................ 333,938
38,260 Cytec Industries, Inc.*.................................. 927,805
451,600 Ethyl Corp. ............................................. 1,439,475
14,401 Ferro Corp. ............................................. 271,819
15,763 Geon Co.................................................. 329,053
13,530 Georgia Gulf Corp. ...................................... 307,808
10,554 H.B. Fuller Co........................................... 647,752
14,140 International Specialty Products, Inc.*.................. 93,678
17,576 Lilly Industries, Inc., Class A Shares................... 249,360
300,573 M.A. Hanna & Co. ........................................ 3,437,804
16,288 Minerals Technologies, Inc. ............................. 660,682
22,772 Mississippi Chemical Corp. .............................. 170,790
12,902 NL Industries, Inc....................................... 186,273
21,595 OM Group, Inc. .......................................... 804,414
11,100 Octel Corp.*............................................. 104,063
35,800 Olin Corp................................................ 554,900
351,200 Omnova Solutions, Inc. .................................. 2,304,750
300 Penford Corp............................................. 5,063
4,800 Sparteck Corp............................................ 122,400
4,985 Stepan Co. .............................................. 102,193
23,915 Terra Industries, Inc. .................................. 55,303
1,900 Tetra Technologies, Inc.*................................ 17,100
30,127 Wellman, Inc. ........................................... 561,115
28,800 W. R. Grace & Co.*....................................... 289,800
- --------------------------------------------------------------------------------
16,945,096
- --------------------------------------------------------------------------------
Coal -- 0.0%
14,578 Arch Coal, Inc........................................... 129,380
14,500 CONSOL Energy Inc. ...................................... 168,563
- --------------------------------------------------------------------------------
297,943
- --------------------------------------------------------------------------------
Commercial Services -- 3.0%
2,168 ABM Industries, Inc...................................... 54,607
5,455 Aaron Rents, Inc. ....................................... 81,825
145,500 Acnielsen Corp.*......................................... 2,464,406
600 Albany Molecular Research, Inc.*......................... 28,950
15,600 Ameripath Inc.*.......................................... 154,050
17,200 Avis Rent A Car, Inc.*................................... 250,475
3,892 Bacou USA Inc.*.......................................... 58,623
128,400 Banta, Corp. ............................................ 2,343,300
1,754 Berlitz International, Inc.*............................. 26,968
32,824 Bowne & Co., Inc......................................... 391,837
24,100 Budget Group, Inc., Class A Shares*...................... 141,588
2,600 Burns International Services Corp.*...................... 28,438
129,300 CDI Corp.*............................................... 2,359,725
700 CPI Corp. ............................................... 17,238
1,600 Carey International, Inc.*............................... 26,800
3,900 Carriage Services Inc., Class A Shares*.................. 16,819
4,100 Century Business Services, Inc.*......................... 13,966
108,215 Chemed Corp. ............................................ 3,185,579
800 Corinthian Colleges, Inc.*............................... 14,300
900 Cornell Corrections, Inc.*............................... 7,313
1,900 Corporate Executive Board Co.*........................... 94,763
1,200 Costar Group, Inc.*...................................... 43,650
22,600 Dollar Thrifty Automotive Group, Inc.*................... 296,625
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 1999
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Commercial Services -- 3.0% (continued)
12,500 Electro Rent Corp.*...................................... $ 135,938
13,701 Encompass Services Corp.*................................ 98,476
7,368 First Health Group Corp.*................................ 177,753
18,076 Franklin Convey Co.*..................................... 147,997
11,300 Group Maintenance America Corp.*......................... 103,847
2,900 Heidrick & Struggles International, Inc.*................ 118,900
12,000 Integrated Electrical Services., Inc.*................... 70,500
34,524 Interim Services, Inc.*.................................. 860,942
106,600 Kelly Services, Inc., Class A Shares..................... 2,565,063
4,500 Korn/Ferry International*................................ 168,750
2,000 Lason Inc.*.............................................. 17,063
1,100 Learning Tree International, Inc.*....................... 29,288
137,000 McGrath Rent Corp........................................ 2,311,875
3,100 NFO Worldwide Inc.*...................................... 55,025
6,300 National Equipment Services, Inc.*....................... 37,800
6,783 National Processing, Inc.*............................... 59,775
21,500 Nationsrent Inc.*........................................ 119,594
1,800 Nextera Enterprises Inc., Class A Shares*................ 18,000
29,600 Ogden Corp. ............................................. 336,700
61,500 Olsten Corp. ............................................ 734,156
4,000 Pediatrix Medical Group, Inc.*........................... 31,500
18,418 Personnel Group of America Inc.*+........................ 140,437
47,800 Phycor Inc.*............................................. 55,269
17,626 Primark Corp.*........................................... 388,874
761 Quebecor Printing, Inc. ................................. 14,887
21,700 Staffmark Inc.*.......................................... 244,125
19,613 U.S. Oncology, Inc.*..................................... 80,904
8,100 Volt Info. Sciences, Inc.*............................... 214,650
615 Wackenhut Corp., Class A Shares+......................... 8,072
- --------------------------------------------------------------------------------
21,448,005
- --------------------------------------------------------------------------------
Computers -- 1.4%
1,000 ACT Networks Inc.*....................................... 14,000
5,600 Anacomp, Inc.*........................................... 98,700
19,708 Anixter International, Inc.*............................. 368,293
7,900 Auspex Systems, Inc. .................................... 102,206
9,400 Avant! Corp.*............................................ 139,238
3,500 CACI International, Inc., Class A Shares*................ 99,531
31,644 Compucom Systems, Inc.*.................................. 142,398
1,600 Filenet Corp.*........................................... 68,500
7,400 Hutchinson Technologies, Inc.*........................... 133,663
10,600 Hypercom Corp.*.......................................... 183,513
17,700 IN Focus Systems, Inc.*.................................. 592,950
32,688 Inacom Corp.*+........................................... 110,322
35,866 Intergraph Corp.*........................................ 215,196
41,700 Komag Inc.*.............................................. 92,522
240,960 MTS Systems Corp......................................... 1,852,380
1,300 Maxwell Technologies, Inc.*.............................. 21,775
35,743 Mentor Graphics Corp.*................................... 612,099
3,800 Micron Electronics, Inc.*................................ 40,850
4,000 Network Peripherals Inc.*................................ 247,250
31,125 Read-Rite Corp.*+........................................ 117,691
55,547 S3 Inc.*................................................. 885,280
177,900 Scitex Corp., Ltd.*...................................... 2,735,213
12,500 Wave Systems Corp., Class A Shares*+..................... 570,313
50,200 Western Digital Corp.*................................... 225,900
- --------------------------------------------------------------------------------
9,669,783
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Distribution & Wholesale -- 1.2%
7,500 Anicom Inc.*............................................. $ 61,406
15,800 Aviall, Inc.*............................................ 129,363
25,100 Brightpoint Inc.*........................................ 323,163
29,800 CHS Electronics, Inc.*+.................................. 26,075
9,100 Daisytek International Corp.*............................ 208,731
26,615 Handleman Co.*........................................... 276,131
161,950 Hughes Supply Inc. ...................................... 2,894,856
3,000 JLK Direct Distribution, Class A Shares*................. 32,813
3,000 Keystone Automotive Industries, Inc.*.................... 15,938
69,700 Merisel Inc.*............................................ 154,647
500 Miami Computer Supply Corp.*............................. 16,375
285,166 Owens & Minor Inc. Holding Co............................ 3,136,826
1,442 Sunbeam Corp. Warrants, expire 8/24/03*.................. 1,803
28,700 United Stationers, Inc.*................................. 771,313
1,500 Valley Media, Inc.*+..................................... 9,000
2,350 Watsco Inc.*............................................. 19,681
14,100 Wesco International, Inc.*............................... 118,969
- --------------------------------------------------------------------------------
8,197,090
- --------------------------------------------------------------------------------
Electric -- 3.9%
31,964 Avista, Corp. ........................................... 960,918
6,131 Black Hills Corp. ....................................... 134,882
15,700 CH Energy Group, Inc..................................... 448,431
20,507 Cleco Corp. ............................................. 656,224
169,900 CMP Group, Inc. ......................................... 4,799,675
18,215 Eastern Utilities Association............................ 565,803
52,802 EL Paso Electric Co. .................................... 504,919
14,305 Empire District Electric Co. ............................ 297,723
1,865 Energy East Corp. ....................................... 39,166
107,435 Hawaiian Electric Industries, Inc.+...................... 3,095,471
34,400 IDA Corp, Inc. .......................................... 1,096,500
45,550 MDU Resources Group, Inc. ............................... 868,297
14,459 Madison Gas & Electric Co................................ 251,225
21,309 Northwestern Corp........................................ 482,116
135,000 OGE Energy Corp. ........................................ 2,320,313
9,257 Otter Tail Power Co. .................................... 342,509
167,054 Public Service Co. of New Mexican........................ 2,568,455
133,690 RGS Energy Group, Inc.................................... 2,632,022
70,443 Sierra Pacific Resorces.................................. 959,786
20,836 SigCorp, Inc............................................. 450,579
11,566 TNP Enterprises, Inc..................................... 499,507
5,900 Trigen Energy Corp....................................... 137,544
28,620 UniSource Energy Corp., Holding Co....................... 386,370
59,789 United Illuminating Co................................... 2,428,928
23,902 WPS Resources Corp.+..................................... 563,191
- --------------------------------------------------------------------------------
27,490,554
- --------------------------------------------------------------------------------
Electrical Components & Equipment -- 1.5%
3,400 Applied Power Inc., Class A Shares....................... 82,238
148,798 Belden, Inc. ............................................ 3,366,555
70,000 C&D Technology, Inc. .................................... 3,272,500
25,664 Cable Design Technologies Corp.*......................... 593,480
10,004 General Cable Corp. ..................................... 100,040
5,063 Littlefuse Inc.*......................................... 151,257
1,700 Power-One, Inc.*......................................... 83,513
185,248 UCAR International, Inc.*................................ 2,825,032
- --------------------------------------------------------------------------------
10,474,615
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Electronics -- 3.4%
15,800 Ampex Corp., Class A Shares*............................. $ 61,225
1,100 Amphenol Corp., Class A Shares*.......................... 87,931
5,400 Analogic Corp. .......................................... 261,900
77,700 Aura Systems, Inc.*+..................................... 33,994
17,300 BMC Industries, Inc. .................................... 95,150
5,100 Brady Corp., Class A Shares.............................. 138,338
1,900 Britesmile Inc.*+........................................ 25,056
25,857 Checkpoint Systems, Inc. ................................ 219,785
22,324 Coherent Inc.*........................................... 2,366,344
14,900 COHU, Inc. .............................................. 839,988
4,659 Cubic Corp. ............................................. 118,222
4,298 Electro Scientific Industries, Inc.*+.................... 243,643
13,600 Fisher Scientific International Inc. .................... 591,600
8,500 Hadco Corp.*............................................. 470,688
1,900 Harmon Industries, Inc. ................................. 26,600
6,900 ITI Technologies, Inc.*.................................. 200,531
6,900 Innovex Inc. ............................................ 65,119
77,142 Integrated Device Tech, Inc.*+........................... 2,844,611
1,100 Itron Inc.*+............................................. 8,250
29,900 Kemet Corp.*............................................. 1,836,981
21,700 Kent Electronics Corp.*.................................. 735,088
10,288 Methode Electronics, Class A Shares...................... 597,990
3,349 MOOG, Inc., Class A Shares............................... 59,863
9,079 Park Electrochemical Corp. .............................. 206,547
36,560 Paxar Corp.*............................................. 363,315
108,300 Perkinelmer Inc. ........................................ 6,998,888
1,100 Recoton Corp.*........................................... 15,331
6,700 Rogers Corp. ............................................ 393,206
54,100 Sensormatic Electronics Corp. ........................... 1,027,900
11,600 Stoneridge Inc.*......................................... 123,250
39,366 Tektronix Inc. .......................................... 2,283,228
2,493 Thermo Optek Corp.*...................................... 36,149
6,409 Thermoquest Corp.*....................................... 105,749
16,200 Thermedics, Inc.*........................................ 143,775
6,600 Varian, Inc.*............................................ 263,175
15,026 Watts Industries, Inc., Class A Shares................... 217,877
7,100 Woodward Governor Co. ................................... 163,300
2,100 X-Rite, Inc. ............................................ 25,200
- --------------------------------------------------------------------------------
24,295,787
- --------------------------------------------------------------------------------
Engineering & Construction -- 0.4%
8,300 Emcor Group, Inc.*....................................... 186,750
325,600 Foster Wheeler Corp. .................................... 1,831,500
14,962 Granite Construction Inc. ............................... 373,115
7,141 Jacobs Engineering Group, Inc. .......................... 200,394
28,481 Morrison Knudsen Corp.*.................................. 195,807
3,000 Pitt-Des Moines, Inc. ................................... 66,750
8,134 Stone & Webster, Inc. ................................... 103,709
9,500 URS Corp. ............................................... 129,438
- --------------------------------------------------------------------------------
3,087,463
- --------------------------------------------------------------------------------
Entertainment -- 0.4%
1,024 AMC Entertaiment, Inc. .................................. 7,552
4,900 Anchor Gaming*........................................... 203,963
28,032 Ascent Entertainment Group, Inc.*........................ 425,736
34,801 Aztar Corp.*............................................. 330,610
31,871 Boyd Gaming Corp.*....................................... 165,331
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Entertainment -- 0.4% (continued)
8,900 Carmike Cinemas Inc., Class A Shares*.................... $ 69,531
2,000 Dover Downs Entertainment, Inc. ......................... 28,375
5,243 GC Cos., Inc.*........................................... 177,934
15,933 Gaylord Entertainment Co. ............................... 439,153
16,300 Gtech Holdings Corp.*.................................... 326,000
6,400 Lowes Cineplex Entertainment*............................ 26,400
18,409 Pinnacle Entertainment, Inc. ............................ 317,555
24,700 Players International, Inc.*............................. 203,003
9,100 Scientific Games Holdings Corp.*......................... 151,288
993 Station Casinos, Inc.*................................... 19,488
1,900 Steinway Musical Instruments, Inc.*...................... 35,269
4,600 Sunterra Corp.*.......................................... 12,075
14,400 Vail Resorts, Inc.*...................................... 230,400
- --------------------------------------------------------------------------------
3,169,663
- --------------------------------------------------------------------------------
Environmental Control -- 0.4%
29,526 Calgon Carbon Corp. ..................................... 212,218
12,773 Imco Recycling, Inc. .................................... 126,932
14,956 Ionics, Inc.*............................................ 426,246
19,900 IT Group, Inc.*.......................................... 151,738
2,813 Mine Safety Appliances Co. .............................. 178,626
305,400 Safety-Kleen Corp. ...................................... 1,488,825
2,000 Thermo Ecotek Corp.*..................................... 12,500
12,900 US Liquids, Inc.*........................................ 80,625
- --------------------------------------------------------------------------------
2,677,710
- --------------------------------------------------------------------------------
Financial Services -- 1.3%
6,300 Advest Group, Inc. ...................................... 104,738
17,343 Advanta Corp., Class A Shares+........................... 323,013
3,400 Affiliated Managers Group*............................... 133,663
35,500 Amresco Inc. ............................................ 48,813
30,910 Arcadia Financial Ltd. .................................. 148,754
18,600 Charter Municipal Mortgage Acceptance Co. ............... 222,038
1,900 Compucredit Corp.*....................................... 62,700
21,630 Credit Acceptance Corp.*................................. 118,965
2,600 Creditrust Corp.*+....................................... 20,394
9,500 DVI, Inc.*............................................... 140,125
54,670 Dain Rauscher Corp. ..................................... 3,082,021
1,106 Delta Financial Corp.*+.................................. 4,148
5,800 Doral Financial Corp. ................................... 56,913
975 Financial Federal Corp. ................................. 16,697
2,700 FirstCity Financial Corp.*............................... 5,738
13,900 Freedom Securities Corp. ................................ 192,863
22,800 Imperial Credit Industries, Inc.*........................ 131,100
19,000 Jefferies Group, Inc. (New).............................. 444,125
11,000 Morgan Keegan Inc. ...................................... 156,750
9,500 New Century Financial Corp.*............................. 85,500
1,800 Nextcard, Inc.*+......................................... 40,725
37,890 Phoenix Investment Partners, Ltd. ....................... 272,334
1,400 Prism Financial Corp.*+.................................. 7,044
131,600 Raymond James Financial, Inc. ........................... 2,599,100
19,600 Resource America Inc., Class A Shares.................... 138,425
17,792 Resource Bancshares Mortgage Group, Inc. ................ 65,608
3,800 Student Loan Corp. ...................................... 147,725
27,100 Unicapital Corp.*........................................ 67,750
22,300 United Asset Management Corp. ........................... 333,106
3,400 WFS Financial, Inc.*..................................... 51,000
- --------------------------------------------------------------------------------
9,221,875
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Food -- 2.7%
900 American Italian Pasta Co., Class A Shares*.............. $ 20,531
10,700 Aurora Foods Inc.*....................................... 30,094
34,400 Chiquita Brands International, Inc. ..................... 152,650
133,750 Corn Products International, Inc. ....................... 3,151,484
11,600 Del Monte Foods Co.*..................................... 145,000
35,188 Earthgrains Co. ......................................... 527,820
36,034 Fleming Cos, Inc. ....................................... 556,275
11,600 Grand Union Co.*......................................... 58,000
15,312 Great Atlantic & Pacific Tea Co., Inc. .................. 358,875
14,400 Imperial Sugar, Co. ..................................... 38,700
9,389 Ingles Markets, Inc., Class A Shares..................... 102,692
6,440 International Home Foods, Inc.*.......................... 109,078
14,900 International Multifoods Corp. .......................... 162,969
6,400 J & J Snack Foods Corp.*................................. 118,000
22,910 J.M. Smucker Co., Class A Shares......................... 392,334
8,100 Lance Inc. .............................................. 83,025
121,185 Michael Foods, Inc. ..................................... 2,650,922
99,300 Nash Finch Co. .......................................... 781,988
4,628 Performance Food Group Co.*.............................. 109,915
3,527 Pilgrims Pride Corp., Class A Shares..................... 4,006
763 Pilgrims Pride Corp., Class B Shares..................... 28,216
214,600 Ralcorp Holdings, Inc.*.................................. 3,205,588
38,282 Riviana Foods, Inc. ..................................... 636,438
26,221 Ruddick Corp. ........................................... 352,345
4,700 Sanderson Farms, Inc. ................................... 32,606
333 Seaboard Corp. .......................................... 59,607
10,200 Smithfield Foods, Inc.*.................................. 158,100
28,000 Suiza Foods Corp.*+...................................... 1,095,500
341 Supervalu Inc. .......................................... 5,861
174,500 Universal Foods Corp. ................................... 3,151,906
189,800 Vlasic Foods International Inc.*......................... 533,813
12,700 Zapata Corp.*............................................ 63,500
- --------------------------------------------------------------------------------
18,877,838
- --------------------------------------------------------------------------------
Forest Products & Paper -- 1.1%
12,500 Buckeye Technologies, Inc.*.............................. 199,219
123,705 Caraustar Industries, Inc. .............................. 2,056,596
18,862 Chesapeake Corp. ........................................ 418,501
8,984 Deltic Timber Corp. ..................................... 199,894
22,281 P.H. Glatfelter Co. ..................................... 272,942
23,200 Potlatch Corp.+.......................................... 881,600
12,505 Rock-Tenn Co., Class A Shares............................ 140,681
12,759 Schweitzer-Mauduit International Inc. ................... 173,841
266,298 Wausau-Mosinee Paper Corp. .............................. 3,478,518
- --------------------------------------------------------------------------------
7,821,792
- --------------------------------------------------------------------------------
Gas -- 2.9%
52,488 AGL Resources, Inc.+..................................... 895,577
28,721 Atmos Energy Corp. ...................................... 491,847
7,700 CTG Resources, Inc. ..................................... 284,900
9,600 Cascade Natural Gas Corp. ............................... 138,600
20,587 Eastern Enterprises...................................... 1,191,473
183,866 Energen Corp. ........................................... 2,987,823
26,412 Indiana Energy, Inc. .................................... 430,846
16,813 Laclede Gas Co. ......................................... 336,260
12,073 NUI Corp. ............................................... 286,734
15,803 New Jersey Resources Corp. .............................. 586,686
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Gas -- 2.9% (continued)
23,136 Northwest Natural Gas Co. ............................... $ 451,152
28,765 Oneok Inc. .............................................. 652,606
75,900 Peoples Energy Corp. .................................... 2,196,356
27,608 Piedmont Natural Gas Co. ................................ 683,298
16,039 Semco Energy Inc. ....................................... 192,468
7,280 South Jersey Industries, Inc. ........................... 212,940
17,858 Southern Union Co.*...................................... 274,571
28,267 Southwest Gas Corp. ..................................... 522,940
20,414 Southwestern Energy Co. ................................. 142,898
143,959 UGI Corp. ............................................... 2,699,231
33,646 Wicor Inc. .............................................. 1,011,483
138,724 Washington Gas Light Co. ................................ 3,312,036
9,834 Yankee Energy Systems, Inc. ............................. 432,696
- --------------------------------------------------------------------------------
20,415,421
- --------------------------------------------------------------------------------
Hand & Machine Tools -- 1.0%
25,376 Baldor Electric Co. ..................................... 410,774
33,100 Hardinge Inc. ........................................... 341,344
25,000 Kennametal Inc. ......................................... 581,250
148,122 Lincoln Electric Holdings, Inc. ......................... 2,888,379
5,887 L.S. Starrett Co., Class A Shares........................ 135,401
34,662 Milacron, Inc. .......................................... 480,935
19,700 Regal Beloit............................................. 350,906
102,900 Snap-On, Inc. ........................................... 2,244,506
- --------------------------------------------------------------------------------
7,433,495
- --------------------------------------------------------------------------------
Health Care -- 2.2%
13,800 Acuson Corp.*............................................ 184,575
6,200 Alterra Healthcare Corp.*+............................... 37,200
5,794 American Homepatient, Inc.*.............................. 3,621
1,500 American Retirement Corp.*+.............................. 12,375
47,233 Apria Healthcare Group, Inc.*............................ 673,070
89,816 Arrow International, Inc. ............................... 3,547,732
5,100 Assisted Living Concepts, Inc.*+......................... 9,244
73,242 Beverly Enterprises, Inc.*............................... 192,260
2,800 Columbia Laboratories, Inc.*............................. 35,350
1,500 Cooper Co., Inc. ........................................ 41,156
48,600 Coventry Health Care Inc.*............................... 397,913
10,238 Datascope Corp. ......................................... 408,240
9,299 Diagnostic Products Corp. ............................... 213,877
6,805 Haemonetics Corp.*....................................... 162,044
3,200 Hanger Orthopedic Group, Inc.*........................... 15,400
1,700 Hologic Inc.*............................................ 11,688
4,920 Innovative Clinical Solutions, Ltd.*..................... 1,624
149,206 Invacare Corp. .......................................... 3,636,896
42,991 Laboratory Corp. of America Holdings*+................... 171,964
10,937 Lifepoint Hospitals, Inc.*............................... 164,739
27,100 Magellan Health Services, Inc.*.......................... 159,213
29,700 Matria Healthcare Inc.*.................................. 181,913
2,200 Mentor Corp. ............................................ 61,050
22,980 Mid Atlantic Medical Services, Inc.*..................... 188,149
2,000 Oakley Inc.*............................................. 17,250
5,754 PSS World Medical Inc.*.................................. 37,041
1,000 Province Healthcare Co.*................................. 20,125
36,252 Quest Diagnostics Inc.*.................................. 1,243,897
64,479 Quorum Health Group, Inc.*............................... 574,266
2,200 Respironics Inc.*........................................ 30,938
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Health Care -- 2.2% (continued)
23,533 Sierra Health Services, Inc.*............................ $ 144,140
21,800 Sola International, Inc.*................................ 109,000
31,371 Sun Healthcare Group, Inc.*+............................. 2,118
17,217 Sunrise Medical Inc.*.................................... 74,248
800 Thermo Bioanalysis Corp.*................................ 21,500
314,900 Total Renal Care Holdings*............................... 944,700
4,271 Trex Medical Corp.*...................................... 13,347
11,737 Triad Hospitals, Inc.*................................... 187,792
28,070 Varian Medical Systems, Inc.*............................ 1,121,046
49,800 Vencor Inc.*+............................................ 8,964
5,686 Vital Signs Inc. ........................................ 131,844
37,794 Walter Industries Inc. .................................. 321,249
10,188 West Pharmaceutical Services............................. 299,909
- --------------------------------------------------------------------------------
15,814,667
- --------------------------------------------------------------------------------
Home Builders -- 1.2%
5,900 Champion Enterprises, Inc.*.............................. 37,244
15,573 Coachmen Industries, Inc. ............................... 186,876
2,000 Crossmann Communities, Inc.*............................. 31,250
39,473 D.R. Horton Inc. ........................................ 444,071
13,216 Del E. Webb Corp.*....................................... 198,240
23,600 Fleetwood Enterprises, Inc. ............................. 364,325
39,668 Kaufman & Broad Home Corp.+.............................. 758,651
43,000 Lennar Corp.+............................................ 709,500
191,300 MDC Holdings, Inc. ...................................... 2,905,369
35,138 Oakwood Homes Corp. ..................................... 90,041
28,674 Pulte Corp. ............................................. 482,082
12,949 Ryland Group, Inc. ...................................... 229,845
8,410 Skyline Corp. ........................................... 180,815
10,533 Standard-Pacific Corp. .................................. 111,913
41,263 Thor Industries Inc. .................................... 1,054,785
16,683 Toll Brothers, Inc.*..................................... 277,355
11,200 U. S. Home Corp.*........................................ 383,600
- --------------------------------------------------------------------------------
8,445,962
- --------------------------------------------------------------------------------
Home Furnishings -- 1.3%
11,836 Bassett Furniture Industries Inc. ....................... 159,786
9,106 Bush Industries, Inc., Class A Shares.................... 120,085
2,600 Ethan Allen Interiors, Inc. ............................. 60,613
20,125 Fedders Corp. ........................................... 105,656
5,700 Furniture Brands International, Inc.*.................... 91,556
64,468 Harman International..................................... 3,992,987
181,146 Kimball International, Class B Shares.................... 2,751,155
102,271 La-Z-Boy, Inc. .......................................... 1,700,255
8,000 Select Comfort Corp.*.................................... 44,000
71,348 Sunbeam Corp.*+.......................................... 294,311
16,000 Windmere-Double Holdings Inc.*........................... 240,000
- --------------------------------------------------------------------------------
9,560,404
- --------------------------------------------------------------------------------
Household Products & Wares -- 2.2%
5,155 CSS Industries, Inc.*.................................... 98,267
14,400 Central Garden & Pet Co.*................................ 138,600
319,800 Ennis Business Forms, Inc. .............................. 2,338,538
17,853 John H. Harland Co. ..................................... 275,606
148,500 Jostens Inc. ............................................ 3,573,281
69,318 Pennzoil-Quaker State Co. ............................... 606,533
9,541 Playtex Products, Inc.*.................................. 130,592
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Household Products & Wares -- 2.2% (continued)
153,796 Russ Berrie & Co., Inc. ................................. $ 2,826,002
3,080 The Scotts Co., Class A Shares*.......................... 100,100
12,217 Standard Register Co. ................................... 166,457
22,732 Tupperware Corp. ........................................ 390,706
448,600 Wallace Computer Services, Inc. ......................... 4,682,263
- --------------------------------------------------------------------------------
15,326,945
- --------------------------------------------------------------------------------
Housewares -- 0.6%
429,009 Enesco Group, Inc. ...................................... 3,110,315
7,341 Libbey, Inc. ............................................ 197,289
45,900 Metromedia International Group, Inc.*.................... 315,563
5,809 Mikasa, Inc. ............................................ 53,007
6,705 National Presto Industries, Inc. ........................ 212,046
10,919 Toro Co. ................................................ 361,692
- --------------------------------------------------------------------------------
4,249,912
- --------------------------------------------------------------------------------
Insurance -- 4.6%
9,070 Acceptance Insurance Cos, Inc.*.......................... 37,414
36,250 Alfa Corp. .............................................. 593,594
4,421 Alleghany Corp.*......................................... 822,030
6,900 American Annuity Group, Inc. ............................ 107,813
113,124 Amerus Life Holdings, Inc., Class A Shares............... 2,297,831
15,196 Argonaut Group, Inc. .................................... 288,724
52,000 Arthur J. Gallagher & Co. ............................... 2,658,500
12,100 Baldwin & Lyons, Inc., Class B Shares.................... 219,313
1,838 E.W. Blanch Holdings, Inc. .............................. 86,386
14,376 CNA Surety Corp. ........................................ 163,527
12,500 Chicago Title, Corp. .................................... 581,250
23,345 Commerce Group, Inc. .................................... 697,432
13,978 Delphi Financial Group, Class A Shares*.................. 368,670
23,672 Enhance Financial Services Group......................... 278,146
11,484 FBL Financial Group, Inc., Class A Shares................ 185,180
4,800 Farm Family Holdings, Inc.*+............................. 169,200
21,149 Fidelity National Financial, Inc. ....................... 265,684
51,055 First American Financial Corp. .......................... 593,514
8,983 Foremost Corp. of America................................ 261,068
24,804 Frontier Insurance Group, Inc. .......................... 46,508
308,100 HCC Insurance Holdings Inc. ............................. 3,928,275
107,750 HSB Group, Inc. ......................................... 2,666,813
12,600 Harleysville Group, Inc. ................................ 164,588
36,500 Horace Mann Educators Corp............................... 565,750
6,168 Kansas City Life Insurance Co. .......................... 197,376
12,600 LandAmerica Financial Group, Inc......................... 226,800
36,110 Leucadia National Corp. ................................. 771,851
14,298 Liberty Corp. ........................................... 480,770
11,800 Liberty Financial Co. ................................... 227,888
16,960 MMI Co., Inc. ........................................... 160,060
3,326 Markel Corp.*+........................................... 434,875
21,988 Medical Assurance, Inc.*................................. 431,515
3,600 Midland Co. ............................................. 81,000
42,400 Mony Group, Inc. ........................................ 1,213,700
2,059 National Western Life Insurance, Class A Shares*......... 143,101
55,540 Ohio Casualty Corp. ..................................... 687,308
10,000 Pico Holdings Inc.*...................................... 132,500
15,700 PMA Capital Corp., Class A Shares........................ 290,450
5,193 Penn Treaty American Corp.*.............................. 68,807
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Insurance -- 4.6% (continued)
7,400 Philadelph Consolidated Holding Corp.*................... $ 108,688
185,971 Presidential Life Corp. ................................. 2,905,797
8,790 Professional Group, Inc.*................................ 175,800
7,012 RLI Corp. ............................................... 209,045
29,634 Radian Group, Inc. ...................................... 1,027,929
55,700 Reliance Group Holdings Inc. ............................ 247,169
8,312 Risk Capital Holdings, Inc.*............................. 126,758
11,244 SCPIE Holdings, Inc. .................................... 354,889
163,274 Selective Insurance Group Inc. .......................... 2,520,542
9,100 StanCorp Financial Group, Inc. .......................... 224,088
11,998 State Auto Financial Corp. .............................. 94,484
10,700 Stewart Info Service Corp. .............................. 146,456
13,500 Superior National Insurance Group, Inc.*................. 48,094
8,780 Trenwick Group, Inc. .................................... 115,786
11,120 Triad Guaranty Inc.*..................................... 233,520
31,500 UICI*.................................................... 275,625
7,600 Unistar Financial Service Corp.*+........................ 1
5,951 United Fire & Casualty Co. .............................. 119,020
15,435 W.R. Berkley Corp. ...................................... 247,925
9,015 Zenith National Insurance Corp. ......................... 190,442
- --------------------------------------------------------------------------------
32,967,269
- --------------------------------------------------------------------------------
Investment Companies -- 0.1%
42,000 Allied Capital Corp. .................................... 729,750
2,800 Medallion Financial Co. ................................. 51,100
- --------------------------------------------------------------------------------
780,850
- --------------------------------------------------------------------------------
Iron & Steel -- 1.0%
115,500 Bethlehem Steel Corp.*................................... 656,906
16,170 Carpenter Technology Corp. .............................. 359,783
89,756 Cleveland-Cliffs Inc. ................................... 2,238,290
6,460 Gibraltar Steel Corp. ................................... 109,013
83,500 LTV Corp. ............................................... 276,594
7,500 Lone Star Technologies, Inc*............................. 281,250
18,465 National Steel Corp., Class B Shares..................... 129,255
21,440 Oregon Steel Mills Inc. ................................. 88,440
14,915 Reliance Steel & Aluminum Co. ........................... 288,978
7,182 Rouge Industries, Inc., Class A Shares+.................. 55,212
177,983 Ryerson Tull, Inc. ...................................... 2,358,275
851 Shiloh Industries, Inc.*................................. 8,882
2,400 Steel Dynamics Inc. ..................................... 36,900
- --------------------------------------------------------------------------------
6,887,778
- --------------------------------------------------------------------------------
Leisure Time -- 0.2%
43,994 AMF Bowling, Inc.*+...................................... 142,981
16,653 Arctic Cat Inc. ......................................... 168,612
40,630 Callaway Golf Co. ....................................... 487,560
4,600 Direct Focus Inc.*....................................... 128,513
9,200 Family Golf Centers Inc.*................................ 11,500
2,822 Polaris Industries, Inc. ................................ 86,424
3,900 WMS Industries, Inc.*.................................... 44,363
- --------------------------------------------------------------------------------
1,069,953
- --------------------------------------------------------------------------------
Lodging -- 0.2%
29,322 Boca Resorts Inc., Class A Shares*....................... 263,898
2,400 Choice Hotels International, Inc.*....................... 39,900
7,800 Cretline Capital Corp.*.................................. 141,375
32,300 Extended Stay America Inc.*.............................. 209,950
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Lodging -- 0.2% (continued)
19,800 Lodgian, Inc.*+.......................................... $ 79,200
19,748 Marcus Corp. ............................................ 206,120
42,752 Prime Hospitality Corp. ................................. 363,392
118,222 Wyndham International, Class A Shares*................... 280,777
- --------------------------------------------------------------------------------
1,584,612
- --------------------------------------------------------------------------------
Machinery - Construction & Mining -- 0.1%
11,421 Commercial Intertech Corp. .............................. 205,578
13,526 JLG Industries, Inc. .................................... 121,734
4,679 Manitowoc Co., Inc. ..................................... 126,027
5,000 Terex Corp.*............................................. 59,375
- --------------------------------------------------------------------------------
512,714
- --------------------------------------------------------------------------------
Machinery - Diversified -- 3.5%
54,350 Agco Corp. .............................................. 597,850
188,643 Albany International Corp., Class A Shares*.............. 2,735,324
2,600 Allied Products Corp. ................................... 8,613
18,854 Applied Industrial Tech, Inc. ........................... 341,729
6,200 Asyst Technologies Inc.*+................................ 284,425
10,100 Brooks Automation Inc.*.................................. 729,725
11,014 Columbus McKinnon Corp. ................................. 165,210
8,479 Detroit Diesel Corp. .................................... 142,023
17,230 Esterline Technologies, Corp.*........................... 191,684
15,087 FSI International, Inc.*................................. 295,139
33,158 Flowserve Corp. ......................................... 381,317
12,100 Gardner Denver, Inc.*.................................... 229,900
177,960 Gerber Scientific Inc. .................................. 2,980,830
105,000 Gleason Corp. ........................................... 2,395,313
16,309 IDEX Corp. .............................................. 403,648
32,561 Imation Corp.*........................................... 1,007,356
19,300 Kulicke & Soffa Industries Inc.*......................... 1,534,350
1,100 Lindsay Manufacturing Co. ............................... 18,494
409,000 Magnetek Inc.*........................................... 3,527,625
5,809 Nacco Industries, Class A Shares......................... 252,328
5,677 Nordson Corp. ........................................... 219,984
2,000 Presstek Inc.*........................................... 47,500
6,758 Robbins & Myers, Inc. ................................... 127,557
8,100 Sauer, Inc. ............................................. 64,800
13,034 Speedfam-Ipec, Inc.*..................................... 375,542
24,601 Stewart & Stevenson Services, Inc. ...................... 241,397
47,000 Tecumseh Products Co., Class A Shares.................... 2,026,875
3,750 Tennant Co. ............................................. 120,000
15,060 Thomas Industries, Inc. ................................. 282,375
288,200 Unova Inc.*.............................................. 3,332,313
- --------------------------------------------------------------------------------
25,061,226
- --------------------------------------------------------------------------------
Manufacturing - Miscellaneous -- 4.1%
16,500 ABC-NACO, Inc.*.......................................... 207,281
18,464 A.O. Smith Corp. ........................................ 318,504
23,492 Aptargroup Inc. ......................................... 562,340
167,782 Barnes Group, Inc. ...................................... 2,380,407
6,646 Blount International Inc.*............................... 91,798
6,200 Cuno Inc.*............................................... 151,125
150,631 Clarcor Inc. ............................................ 2,927,890
10,800 Dexter Corp. ............................................ 498,150
16,770 Donaldson Co., Inc. ..................................... 381,518
14,520 Gentek, Inc. ............................................ 196,020
28,705 Griffon Corp.*........................................... 240,404
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Manufacturing - Miscellaneous -- 4.1% (continued)
145,525 Harsco Corp.............................................. $ 3,610,839
11,600 Hexcel Corp.*............................................ 56,550
15,300 Justin Industries, Inc................................... 276,356
82,000 Lancaster Colony Corp. .................................. 2,439,500
15,423 Lydall, Inc.*............................................ 108,925
42,100 Mark IV Industries, Inc. ................................ 842,000
26,191 Mascotech Inc. .......................................... 366,674
11,504 Myers Industries, Inc. .................................. 163,213
2,140 NCH Corp. ............................................... 84,798
44,206 Pittston Brink's Group................................... 790,182
40,933 Polaroid Corp.+.......................................... 1,025,883
16,900 Polymer Group, Inc. ..................................... 252,444
101,800 Roper Industries, Inc. .................................. 2,774,050
11,200 SPS Technologies, Inc.*.................................. 366,100
3,000 Scott Technologies, Inc.*................................ 57,750
3,981 Standex International Corp. ............................. 62,950
317,400 Sturm Ruger & Co., Inc. ................................. 3,094,650
2,100 Tredegar Corp. .......................................... 59,325
125,860 Trinity Industries, Inc. ................................ 2,784,653
350 Tyco International Ltd. ................................. 13,278
229,797 Westinghouse Air Brake Co. .............................. 2,183,072
- --------------------------------------------------------------------------------
29,368,629
- --------------------------------------------------------------------------------
Media -- 1.4%
1,400 Ackerley Group, Inc. .................................... 17,938
87,200 Central Newspapers, Class A Shares....................... 2,490,650
1,600 Entercom Communications Corp.*+.......................... 67,300
9,900 Gray Communications Systems, Inc. ....................... 159,019
266,800 Hollinger International, Inc.+........................... 3,218,275
14,900 Journal Register Co.*.................................... 204,875
116,200 Lee Enterprises, Inc. ................................... 2,418,413
6,716 On Command Corp.*........................................ 114,172
5,700 Pulitizer, Inc. ......................................... 221,231
500 Radio One Inc.*.......................................... 32,875
9,610 Scholastic Corp.*+....................................... 497,918
21,500 Sinclair Broadcast Group, Class A Shares*................ 204,250
2,300 Source Media Inc.*+...................................... 34,213
2,100 Worldpages.com Inc.*+.................................... 27,694
2,800 Young Broadcasting Inc. Class A Shares*.................. 67,550
24,600 Ziff-Davis Inc.*......................................... 467,400
- --------------------------------------------------------------------------------
10,243,773
- --------------------------------------------------------------------------------
Metal Fabricate & Hardware -- 1.6%
6,600 Alltrista Corp.*......................................... 154,275
9,646 A.M. Castle & Co. ....................................... 122,987
86,238 Commercial Metal Co. .................................... 2,382,325
219,761 Intermet Corp. .......................................... 2,472,311
15,200 Kaydon Corp. ............................................ 349,600
5,278 Lawson Products, Inc. ................................... 118,755
15,700 Maverick Tube Corp.*..................................... 353,250
17,600 Metals USA, Inc. ........................................ 136,400
27,058 Mueller Industries, Inc.*................................ 774,535
97,700 Precision Castparts Corp. ............................... 2,521,881
11,776 Quanex Corp. ............................................ 250,976
46,023 Timken Co. .............................................. 658,704
8,000 Valmont Industries, Inc. ................................ 121,000
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Metal Fabricate & Hardware -- 1.6% (continued)
11,117 Wolverine Tube, Inc.*................................... $ 143,826
67,101 Worthington Industries, Inc. ........................... 889,088
- -------------------------------------------------------------------------------
11,449,913
- -------------------------------------------------------------------------------
Metals - Diversified -- 0.2%
14,521 Brush Wellman, Inc. .................................... 243,227
25,158 Kaiser Aluminum Corp.*.................................. 143,086
4,134 Maxxam Inc.*............................................ 121,436
14,312 RTI International Metals Inc.*.......................... 101,079
23,600 Southern Peru Cooper Corp. ............................. 359,900
14,000 Titanium Metals Corp.+.................................. 63,875
79,000 USEC Inc. .............................................. 281,438
- -------------------------------------------------------------------------------
1,314,041
- -------------------------------------------------------------------------------
Mining -- 0.0%
15,604 Amcol International, Corp. ............................. 245,763
1,100 Battle Mountain Gold Co. ............................... 2,338
- -------------------------------------------------------------------------------
248,101
- -------------------------------------------------------------------------------
Office Furnishings -- 0.0%
1,500 Compx International Inc. ............................... 27,938
32,590 Interface, Inc ......................................... 146,655
3,960 Virco MFG Corp. ........................................ 49,995
- -------------------------------------------------------------------------------
224,588
- -------------------------------------------------------------------------------
Office & Business Equipment -- 0.0%
12,721 American Business Products, Inc. ....................... 254,420
2,972 General Binding Corp. .................................. 20,061
- -------------------------------------------------------------------------------
274,481
- -------------------------------------------------------------------------------
Oil & Gas Producers -- 4.2%
2,400 Atwood Oceanics, Inc.*.................................. 127,500
2,000 Basin Exploration, Inc.*................................ 21,125
6,700 Belco Oil & Gas Corp.*.................................. 47,738
200,000 Berry Petroleum, Class A Shares......................... 3,575,000
14,028 Tom Brown Inc.*......................................... 185,871
17,329 Cabot Oil & Gas Corp., Class A Shares................... 274,015
33,773 Chesapeake Energy Corp. ................................ 99,208
307,000 Cross Timbers Oil Co. .................................. 2,647,875
33,500 EEX Corp.*.............................................. 81,656
6,765 Forest Oil Corp.*....................................... 55,388
123,600 Grey Wolf, Inc.*........................................ 432,600
14,629 HS Resources, Inc.*..................................... 241,379
106,000 Harken Energy Corp.*.................................... 92,750
44,200 Helmerich & Payne, Inc. ................................ 1,176,825
6,647 Houston Exploration Co.*................................ 100,951
72,300 Key Energy Services, Inc.*.............................. 718,481
17,747 Louis Dreyfus Natural Gas*.............................. 366,032
51,500 Marine Drilling Co., Inc.*.............................. 1,174,844
12,100 McMoRan Exploration Co.*................................ 242,000
3,042 Meridian Resource Corp.*................................ 10,457
18,400 Mitchell Energy & Development Corp., Class A Shares..... 397,900
180,000 Mitchell Energy & Development Corp., Class B Shares..... 3,791,250
120,200 Nabors Industries, Inc.*................................ 4,312,175
7,400 Newfield Exploration Co.*............................... 229,400
15,068 Nuevo Energy Co.*....................................... 267,457
51,295 Parker Drilling Co.*.................................... 205,180
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Oil & Gas Producers -- 4.2% (continued)
30,000 Patterson Energy Inc.*................................... $ 684,375
75,000 Penn Virginia Corp. ..................................... 1,228,125
89,214 Pioneer Natural Resources Co.*........................... 741,591
46,100 Pride International Inc.*................................ 682,856
75,600 St. Mary Land & Exploration Co. ......................... 2,102,625
273,000 Santa Fe Snyder Corp.*................................... 2,047,500
17,340 Swift Energy Co.*........................................ 204,829
28,212 Tesoro Petroleum Corp.*.................................. 260,961
44,340 Valero Energy Corp. ..................................... 1,130,670
4,902 Vintage Petroleum Inc. .................................. 71,079
- --------------------------------------------------------------------------------
30,029,668
- --------------------------------------------------------------------------------
Oil & Gas Services -- 1.5%
1,362 Eagle Geophysical, Inc.*+................................ 54
7,296 Friede Goldman Halter, Inc.*............................. 38,304
16,500 Global Industries Ltd.*.................................. 169,125
4,200 Hanover Compressor Co.*+................................. 197,138
12,200 IRI International Corp.*................................. 59,475
40,317 Input/Output, Inc.*...................................... 244,422
44,300 National-Oilwell Inc.*+.................................. 1,074,275
270,600 Newpark Resources Inc.*.................................. 2,114,063
16,429 Oceaneering International, Inc.*......................... 312,151
12,276 RPC Inc. ................................................ 93,605
10,408 Seacor Smit, Inc.*....................................... 504,788
22,000 Seitel, Inc.*............................................ 180,125
26,500 Tuboscope Inc.*.......................................... 442,219
12,800 UTI Energy Corp.*........................................ 410,400
54,300 Varco International Inc.*................................ 600,694
22,700 Veritas DGC, Inc.*....................................... 454,000
296,200 Stolt Comex Seaway S.A.*................................. 3,850,600
- --------------------------------------------------------------------------------
10,745,438
- --------------------------------------------------------------------------------
Packaging & Containers -- 0.2%
13,400 ACX Technologies, Inc.*.................................. 42,713
13,500 Earthshell Corp.*+....................................... 81,844
26,300 Gaylord Container Corp., Class A Shares*................. 141,363
12,558 Greif Brothers Corp., Class A Shares*.................... 395,577
19,300 Ivex Packaging Corp.*.................................... 145,956
45,942 Longview Fiber Co. ...................................... 625,960
9,500 Shorewood Packaging Corp.*............................... 197,125
10,736 Silgan Holdings, Inc.*................................... 135,542
- --------------------------------------------------------------------------------
1,766,080
- --------------------------------------------------------------------------------
Pharmaceuticals -- 1.3%
1,200 Accredo Health Inc.*..................................... 35,400
11,793 Bindley Western Industries, Inc. ........................ 202,692
13,816 Block Drug Co., Class A Shares........................... 454,201
14,500 Carter-Wallace, Inc. .................................... 261,906
2,100 Cell Pathways Inc.*+..................................... 98,700
5,300 Cygnus Inc.*+............................................ 97,719
110,400 Dentsply International, Inc. ............................ 2,829,000
20,700 Dura Pharmaceuticals, Inc.*.............................. 287,213
4,800 Geltex Pharmaceuticals, Inc.*+........................... 105,300
21,300 Guilford Pharmaceuticals, Inc.*.......................... 705,563
10,200 Herbalife International, Class A Shares.................. 153,000
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Pharmaceuticals -- 1.3% (continued)
2,700 Macrochem Corp. of Delaware*............................. $ 18,225
1,900 Mannatech Inc.*.......................................... 9,025
50,000 NBTY, Inc.*.............................................. 703,125
3,700 NCS Healthcare, Inc., Class A Shares*+................... 8,441
10,848 Neurogen Corp.*.......................................... 458,328
2,300 Omega Protein Corp.*..................................... 7,331
3,200 Pathogenesis Corp.*...................................... 98,800
55,082 Perrigo Co.*............................................. 404,508
2,000 Pharmaceutical Resources Inc.*........................... 8,500
65,400 Sicor, Inc.*............................................. 649,913
1,600 Theragenics Corp.*....................................... 22,100
22,000 Twinlab Corp.*........................................... 136,125
20,400 Vertex Pharmaceuticals, Inc.*............................ 1,481,550
10,756 Veterinary Centers of America*........................... 118,988
- --------------------------------------------------------------------------------
9,355,653
- --------------------------------------------------------------------------------
Pipelines -- 1.0%
128,376 Equitable Resources Inc. ................................ 4,846,194
54,000 National Fuel Gas Co. ................................... 2,210,625
13,700 Transmontaigne, Inc.*.................................... 89,050
13,683 Western Gas Resources, Inc. ............................. 188,141
- --------------------------------------------------------------------------------
7,334,010
- --------------------------------------------------------------------------------
Real Estate -- 8.6%
9,350 Alexandria Real Estate Equities, Inc. ................... 285,759
16,400 American Industries Properties REIT...................... 176,300
12,810 Amli Residential Properties Trust........................ 261,804
14,800 Associated Estates Realty Corp. ......................... 131,350
18,155 Bedford Property Investors, Inc. ........................ 304,096
15,719 Boykin Lodging Co. ...................................... 186,663
22,476 Bradley Real Estate, Inc. ............................... 391,925
32,400 Brandywine Realty Trust.................................. 518,400
40,013 BRE Properties, Class A Shares........................... 945,307
28,800 Burnham Pacific Property, Inc. .......................... 286,200
176,100 Cabot Industrial Trust................................... 3,257,850
35,977 Camden Property Trust.................................... 964,633
20,100 Capital Automotive REIT.................................. 251,250
14,299 Capstead Mortgage Corp. ................................. 59,877
12,537 Castle & Cooke Inc.*..................................... 168,466
5,900 CB Richard Ellis Services Inc.*.......................... 61,213
19,996 CBL & Associates Properties, Inc. ....................... 447,411
20,700 Center Trust, Inc. ...................................... 157,838
18,296 Centerpoint Properties Corp. ............................ 664,374
9,645 Chateau Communities, Inc. ............................... 238,714
11,430 Chelsea GCA Realty Inc. ................................. 302,895
23,200 Colonial Properties Trust................................ 578,550
26,879 Commercial Net Lease Realty.............................. 273,830
35,200 Cornerstone Realty Income Trust, Inc. ................... 352,000
19,908 Crown American Realty.................................... 115,715
53,100 Developers Divers Realty Corp. .......................... 610,650
14,102 EastGroup Properties, Inc. .............................. 277,633
13,000 Entertainment Properties Trust........................... 180,375
31,859 Equity Inns, Inc. ....................................... 207,084
16,580 Essex Property Trust, Inc. .............................. 584,445
27,048 Federal Realty Investment Trust.......................... 520,674
33,969 First Industrial Realty Trust, Inc. ..................... 883,194
8,100 First Washington Realty Trust, Inc. ..................... 159,469
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Real Estate -- 8.6% (continued)
2,400 Forest City Enterprises, Class A Shares................. $ 65,400
125,000 Franchise Financial Corp. .............................. 2,812,500
23,386 Gables Residential Trust................................ 514,492
27,594 Glenborough Realty Trust, Inc. ......................... 412,185
180,600 Glimcher Realty Trust................................... 2,234,925
7,350 Golf Trust of America Inc. ............................. 135,056
14,720 Great Lakes REIT, Inc. ................................. 222,640
135,793 Health Care Properties Investment, Inc. ................ 3,377,851
25,246 Health Care REIT, Inc. ................................. 392,891
35,570 Healthcare Realty Trust, Inc. .......................... 578,013
17,952 Home Properties of New York, Inc. ...................... 480,216
45,256 Hospitality Properties Trust............................ 876,835
22,700 Imperial Credit Commercial Mortgage Investment Corp. ... 259,631
305,801 Innkeepers USA Trust.................................... 2,408,183
6,188 Insignia Financial Group, Inc.*......................... 73,483
29,500 IRT Property Co. ....................................... 232,313
30,330 JDN Realty Corp. ....................................... 326,048
12,200 JP Realty Inc. ......................................... 220,363
25,806 Kilroy Realty Corp. .................................... 551,603
24,981 Koger Equity, Inc. ..................................... 441,851
13,400 Konover Property Trust, Inc. ........................... 75,375
12,000 Lasalle Hotel Properties................................ 150,000
15,000 Lexington Corporate Properties Trust.................... 155,625
21,707 LNR Property Corp. ..................................... 423,287
24,183 LTC Properties, Inc. ................................... 142,075
27,800 The Macerich Co. ....................................... 559,475
11,900 Manufactured Home Communities, Inc. .................... 272,213
42,410 Meristar Hospitality, Corp. ............................ 675,909
11,300 MGI Properties, Inc. ................................... 58,619
17,300 Mid-America Apartment Communities, Inc. ................ 395,738
144,573 National Golf Properties, Inc. ......................... 3,117,355
23,012 National Health Investors Inc. ......................... 306,347
42,352 Nationwide Health Properties, Inc. ..................... 484,401
140,000 New Plan Excel Realty Trust, Inc. ...................... 1,951,250
17,340 Omega Healthcare Investors, Inc. ....................... 104,040
15,614 Pacific Gulf Properties, Inc. .......................... 315,208
7,700 Pan Pacific Retail Properties, Inc. .................... 138,119
9,200 Parkway Properties Inc. of Maryland..................... 272,550
21,800 PC Business Parks Inc. of California.................... 476,875
9,400 Pennsylvania Real Estate Investment Trust............... 155,688
22,800 Pinnacle Holdings, Inc.*................................ 1,333,800
154,922 Prentiss Properties Trust............................... 3,185,584
7,400 Prime Group Realty Trust................................ 102,213
39,041 Prime Retail, Inc. ..................................... 90,282
24,921 Realty Income Corp. .................................... 518,668
36,800 Reckson Associates Realty Corp. ........................ 680,800
6,600 Redwood Trust, Inc. .................................... 79,613
32,288 Regency Realty Corp. ................................... 611,454
23,400 RFS Hotel Investors, Inc. .............................. 248,625
9,600 Saul Centers Inc. ...................................... 137,400
35,800 Security Capital Group, Class B Shares*................. 463,163
136,579 Shurgard Storage Centers, Class A Shares................ 3,226,679
20,000 SL Green Realty Corp. .................................. 465,000
11,900 Sovran Self Storage, Inc. .............................. 225,356
25,888 Storage USA, Inc. ...................................... 813,854
20,314 Summit Properties, Inc. ................................ 385,966
16,226 Sun Communities, Inc. .................................. 478,667
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Real Estate -- 8.6% (continued)
4,744 Tanger Factory Outlet Center, Inc. ...................... $ 92,212
32,200 Taubman Centers, Inc. ................................... 334,075
18,826 Thornburg Mortgage Asset Corp. .......................... 151,785
322,900 United Dominion Realty Trust............................. 3,229,000
9,100 Urban Shopping Centers, Inc. ............................ 252,525
13,400 US Restaurant Properties, Inc.+.......................... 176,713
39,500 Ventas, Inc. ............................................ 133,313
22,385 Walden Residential Properties, Inc. ..................... 516,254
6,163 Washington Real Estate Investors......................... 94,756
20,500 Weingarten Realty Investors.............................. 768,750
18,900 Wellsford Real Properties Inc.*.......................... 144,113
16,300 Western Properties Trust................................. 173,188
25,000 Westfield America, Inc. ................................. 353,125
- --------------------------------------------------------------------------------
61,119,505
- --------------------------------------------------------------------------------
Retail -- 3.4%
25,900 Advantica Restaurant Group*.............................. 44,516
5,500 Ames Department Stores, Inc.*............................ 77,688
1,539 AnnTaylor Stores Corp.*.................................. 29,337
5,800 Applebees International, Inc. ........................... 163,306
7,300 Avado Brands, Inc. ...................................... 31,709
9,300 barnesandnoble.com, Inc.*................................ 74,400
34,557 Bob Evans Farms, Inc. ................................... 468,679
10,300 Boise Cascade Office Products*........................... 153,213
16,800 The Bombay Co., Inc.*.................................... 60,900
38,142 Borders Group, Inc.*..................................... 469,623
216,100 Brown Shoe Co., Inc...................................... 2,269,050
37,963 Buffets Inc.*............................................ 329,804
182,180 Burlington Coat Factory Warehouse Corp. ................. 2,083,684
54,411 CBRL Group, Inc. ........................................ 503,302
17,950 CKE Restaurants, Inc. ................................... 114,431
6,400 Casey's General Stores, Inc. ............................ 53,600
24,312 Cash America International, Inc. ........................ 273,510
11,500 Cato Corp., Class A Shares............................... 115,000
87,121 Charming Shoppes Inc.*................................... 522,726
600 Cheap Tickets, Inc.*+.................................... 9,488
130,100 Claire's Stores, Inc. ................................... 2,268,619
70,081 CompUSA, Inc.*........................................... 700,810
4,510 Consolidated Products, Inc.*............................. 45,382
6,300 Cyberian Outpost, Inc.*+................................. 55,519
2,400 David's Bridal Inc.*..................................... 22,500
1,500 Deb Shops, Inc. ......................................... 23,250
8,782 Discount Auto Parts, Inc.*............................... 95,504
14,500 Dress Barn, Inc.*........................................ 210,250
1,000 Fatbrain.com, Inc.*+..................................... 17,750
7,700 The Finish Line, Class A Shares*......................... 46,200
10,329 Footstar Inc.*........................................... 254,997
8,900 Goody's Family Clothing, Inc.*........................... 62,300
14,400 Gymboree Corp.*.......................................... 67,500
263,000 Haverty Furniture Cos., Inc. ............................ 2,843,688
48,826 Heilig-Meyers Co. ....................................... 158,685
32,900 Homebase Inc.*+.......................................... 84,306
2,602 IHOP Corp.*.............................................. 40,168
15,000 Intertan, Inc.*.......................................... 134,063
13,900 Jo-Ann Stores, Inc. Class A Shares*...................... 125,100
1,610 Lands' End, Inc.*........................................ 53,432
22,838 Landry's Seafood Restaurants, Inc.*...................... 161,293
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Retail -- 3.4% (continued)
1,300 Lithia Motors, Inc., Class A Shares*..................... $ 19,419
32,539 Lone Star Steakhouse & Saloon, Inc.*..................... 288,784
239,886 Luby's, Inc. ............................................ 2,503,810
10,615 Michaels Stores, Inc.*................................... 287,932
3,800 Movado Group, Inc. ...................................... 68,400
6,100 O' Charleys, Inc.*....................................... 68,625
80,718 Officemax Inc.*.......................................... 570,071
2,400 P.F.Changs China Bistro, Inc.*........................... 72,150
39,986 Pep Boys-Manny, Moe & Jack............................... 247,413
20,100 Petco Animal Supplies, Inc.*............................. 216,075
9,200 Pier 1 Imports Inc. ..................................... 80,500
1,100 RARE Hospitality International, Inc.*.................... 20,763
4,638 Ruby Tuesday Inc. ....................................... 78,556
32,100 Ryan's Family Steak Houses, Inc.*........................ 306,956
57,700 7-Eleven, Inc.*.......................................... 149,659
27,042 Shopko Stores, Inc.*..................................... 449,573
6,125 Smart & Final, Inc. ..................................... 35,219
15,138 Spiegel Inc., Class A Shares*............................ 108,804
4,900 Stein Mart, Inc.*........................................ 21,131
30,400 Systemax, Inc.*.......................................... 300,200
7,146 Talbots, Inc. ........................................... 258,596
5,400 Tractor Supply Co.*...................................... 97,200
12,600 Trans World Entertainment Corp.*......................... 133,875
2,400 Tuesday Morning Corp.*................................... 31,200
18,653 United Auto Group, Inc.*................................. 156,219
12,400 United Retail Group, Inc.*............................... 155,775
23,600 U.S. Office Products Co.*................................ 64,900
11,543 Value City Dept Stores, Inc.*............................ 152,223
2,900 Value America Inc.*+..................................... 11,963
5,100 West Marine, Inc.*....................................... 43,988
225,000 World Fuel Services Corp. ............................... 1,603,125
- --------------------------------------------------------------------------------
23,922,386
- --------------------------------------------------------------------------------
Savings & Loans -- 3.0%
9,000 Alliance Bancorp......................................... 164,813
22,600 Anchor Bancorp Wisconsin, Inc. .......................... 303,688
52,900 Andover Bancorp, Inc. ................................... 1,415,075
28,900 Bank United Corp., Class A Shares+....................... 756,819
32,498 Bankatlantic Bancorp Inc., Class A Shares+............... 1,298,594
310,112 Bankatlantic Bancorp Inc., Class B Shares................ 192,957
12,100 Brookline Bancorp, Inc. ................................. 114,194
17,800 CFS Bancorp, Inc. ....................................... 156,863
70,900 Capitol Federal Financial Corp. ......................... 677,981
130,000 Commercial Federal Corp. ................................ 1,681,875
11,734 Commonwealth Bancorp, Inc. .............................. 183,450
161,800 Dime Bancorp, Inc. ...................................... 1,971,938
11,694 Dime Community Bancshares................................ 173,810
19,128 Downey Financial Corp. .................................. 376,583
9,336 First Federal Capital Corp. ............................. 100,362
9,680 First Financial Holdings, Inc. .......................... 147,620
8,000 First Indiana Corp. ..................................... 162,000
37,207 First Sentinel Bancorp, Inc. ............................ 306,958
10,155 First Washington Bancorp, Inc. .......................... 142,170
16,000 FirstFed Financial Corp. ................................ 204,000
5,534 Flagstar Bancorp, Inc. .................................. 71,250
215,300 Golden State Bancorp*+................................... 2,771,988
11,400 Harbor Florida Bancshares................................ 119,700
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Savings & Loans -- 3.0% (continued)
5,900 Harris Financial Inc. ................................... $ 36,875
12,500 Hudson River Bancorp..................................... 129,688
65,400 Independence Community Bank.............................. 723,488
63,500 Indymac Mortgage Holdings................................ 805,656
21,609 MAF Bancorp, Inc. ....................................... 367,353
9,000 Niagara Bancorp, Inc. ................................... 81,000
12,800 Northwest Bancorp, Inc. ................................. 88,000
12,098 OceanFirst Financial Corp. .............................. 192,812
33,900 Ocwen Financial Corp.*................................... 201,281
1,600 PBOC Holdings, Inc.*..................................... 13,700
11,469 PFF Bancorp, Inc. ....................................... 173,469
6,382 Queens County Bancorp, Inc. ............................. 121,258
28,000 Richmond County Financial Corp. ......................... 467,250
7,400 ST Francis Capital Corp. ................................ 107,763
19,700 Seacoast Financial Services Corp. ....................... 194,538
35,800 Staten Island Bancorp, Inc. ............................. 595,175
25,300 United Community Financial Corp. ........................ 177,100
179,421 Washington Federal Inc. ................................. 2,747,384
35,210 Webster Financial Corp. ................................. 743,811
8,455 Westcorp................................................. 108,330
27 Wilshire Financial Services Group*....................... 32
- --------------------------------------------------------------------------------
21,570,651
- --------------------------------------------------------------------------------
Semiconductors -- 1.7%
14,300 Actel Corp.*............................................. 465,644
21,800 Alliance Semiconductor Corp.*............................ 544,319
7,100 Amkor Technology, Inc.*.................................. 368,756
59,735 Cirrus Logic, Inc.*...................................... 1,243,235
39,900 Cypress Semiconductor Corp.*............................. 1,820,438
400 Dupont Photomasks, Inc.*................................. 23,400
24,400 ESS Technology*.......................................... 379,725
15,534 Electroglas Inc.*........................................ 601,943
12,900 EXAR Corp.*.............................................. 895,744
1,900 HI/FN Inc.*+............................................. 143,213
26,182 International Rectifier Corp.*........................... 1,096,371
9,100 Lam Research Corp.*+..................................... 1,420,738
29,600 MEMC Electronic Materials, Inc.*......................... 516,150
400 Maker Communications, Inc.*.............................. 25,850
11,600 Phoenix Technology Ltd.*................................. 331,325
1,100 Photronics Inc.*......................................... 46,819
23,954 Pioneer Standard Electronics, Inc. ...................... 440,155
26,311 Silicon Valley Group, Inc.*.............................. 665,997
936 Siliconix Inc.*.......................................... 75,816
9,606 Ultratech Stepper, Inc.*................................. 168,105
9,670 Varian Semiconductor Equipment Associates, Inc.*......... 562,069
- --------------------------------------------------------------------------------
11,835,812
- --------------------------------------------------------------------------------
Shipbuilding -- 0.4%
100,000 Newport News Shipbuilding Inc. .......................... 2,831,250
- --------------------------------------------------------------------------------
Software -- 1.0%
700 About.com, Inc.*......................................... 49,175
500 Allaire Corp.*........................................... 64,688
14,599 Applied Graphics Technologies, Inc.*..................... 62,046
900 AppliedTheory Corp.*..................................... 25,481
14,900 Ashton Technology Group, Inc.*........................... 151,794
8,100 Aspen Technology Inc. ................................... 362,475
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Software -- 1.0% (continued)
1,200 Autoweb.com, Inc.*....................................... $ 7,200
13,300 Avid Technology Inc.*.................................... 233,581
700 Cais Internet, Inc.*..................................... 26,775
546 CMGI Inc.*+.............................................. 70,741
1,300 Documentum, Inc.*........................................ 98,069
2,400 Efax.com*+............................................... 15,900
4,500 Fidelity Holdings, Inc.*+................................ 68,625
900 Flashnet Communications Inc.*............................ 6,188
9,100 GT Interactive Software Corp.*........................... 36,969
3,100 Hearme Inc.*............................................. 64,519
500 Informatica Corp.*....................................... 85,750
25,445 Information Resources, Inc.*............................. 198,789
1,200 Intraware Inc.*.......................................... 91,725
10,400 JDA Software Group, Inc.*................................ 210,600
700 Juno Online Services, Inc.*.............................. 16,188
5,500 Launch Media Inc.*....................................... 107,250
6,000 Leran2.com Inc.*......................................... 36,563
7,800 Manugistics Group, Inc.*................................. 443,138
500 Media Metrix, Inc.*...................................... 17,563
2,400 Midway Games, Inc.*...................................... 35,550
1,000 Neon Systems*............................................ 33,500
700 Net Perceptions, Inc.*................................... 34,213
1,100 Netobjects Inc.*......................................... 40,975
1,800 Onemain.com Inc.*........................................ 23,063
6,200 Onhealth Network Co.*.................................... 58,125
900 Onyx Software Corp.*..................................... 71,775
21,500 Pegasystems, Inc.*....................................... 505,250
157,400 Policy Management Systems Corp.*......................... 1,396,925
4,600 Proxicom Inc.*+.......................................... 192,625
4,800 Quadramed Corp.*......................................... 43,200
7,100 Rare Medium Group, Inc.*................................. 426,000
800 Sagent Technology, Inc.*................................. 13,950
1,100 Serena Software, Inc.*................................... 46,406
200 Silknet Software, Inc.*.................................. 44,813
1,700 Softnet Systems, Inc.*................................... 62,900
2,900 Structural Dynamics Research Corp.*...................... 41,325
62,200 Sybase Inc.*............................................. 1,558,888
700 Tenfold Corp.*........................................... 35,131
1,100 Worldgate Communications, Inc.*.......................... 37,950
254 Zap.com Corp.*........................................... 2,223
- --------------------------------------------------------------------------------
7,256,579
- --------------------------------------------------------------------------------
Telecommunication Equipment -- 1.1%
25,427 Allen Telecom Inc.*...................................... 349,621
56,006 Andrew Corp.*............................................ 1,386,149
2,000 Cellnet Data Systems, Inc.*+............................. 2,875
7,300 Commscope Inc.*.......................................... 284,244
1,000 Com21, Inc.*............................................. 70,000
56,548 Glenayre Technologies, Inc.*............................. 1,123,892
1,100 IPC Communications, Inc.*+............................... 262,900
21,400 MRV Communications, Inc.*+............................... 3,355,788
16,560 Network Equipment Tech, Inc.*............................ 173,880
700 Northeast Optic Network, Inc.*........................... 78,575
18,000 P-Com Inc.*.............................................. 328,500
6,500 Paging Network, Inc.*+................................... 18,891
38,349 Picturetel Corp.*........................................ 290,014
2,178 Superior Telecom, Inc. .................................. 27,225
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Telecommunication Equipment -- 1.1% (continued)
929 Telxon, Corp. ........................................... $ 19,974
1,700 Tut Systems, Inc.*....................................... 71,188
2,700 Weblink Wireless Inc., Class A Shares*................... 48,600
- --------------------------------------------------------------------------------
7,892,316
- --------------------------------------------------------------------------------
Telecommunications -- 0.4%
1,430 Adaptive Broadband, Corp.*............................... 164,495
1,000 Adelphia Business Solutions, Inc.*....................... 51,375
2,100 American Mobile Satellite Corp.*......................... 60,900
13,800 Aspect Communications Corp.*............................. 889,238
8,600 CT Communications, Inc. ................................. 477,300
34,687 General Communication, Class A Shares*................... 229,801
600 Inet Technologies, Inc.*................................. 26,025
500 Latitude Communications, Inc.*........................... 10,553
1,600 Leap Wireless International, Inc.*....................... 140,300
1,200 Metricom Inc.*........................................... 93,450
2,500 Omnipoint Corp.*+........................................ 294,433
11,800 PTEK Holdings, Inc.*..................................... 124,638
2,700 Talk.com, Inc.*.......................................... 45,563
1,100 Viatel Inc.*............................................. 61,944
1,500 West Teleservices Corp.*................................. 29,625
- --------------------------------------------------------------------------------
2,699,640
- --------------------------------------------------------------------------------
Textiles -- 0.1%
13,200 Dan River Inc., Class A Shares*.......................... 72,600
14,991 Guilford Mills, Inc. .................................... 138,667
7,720 Pillowtex Corp.+......................................... 33,775
9,876 Spring Industries Inc., Class A Shares................... 349,981
10,447 UniFirst Corp. .......................................... 105,123
- --------------------------------------------------------------------------------
700,146
- --------------------------------------------------------------------------------
Tobacco -- 0.6%
7,890 Brooke Group, Ltd.+...................................... 104,543
445,900 Dimon Inc. .............................................. 1,086,871
7,618 General Cigar Holdings, Inc.*............................ 112,842
163,400 Universal Corp. ......................................... 2,675,675
- --------------------------------------------------------------------------------
3,979,931
- --------------------------------------------------------------------------------
Toys & Hobbies -- 0.0%
23,600 Boyds Collection Ltd*.................................... 150,450
7,446 Department 56 Inc.*+..................................... 105,175
5,186 Marvel Enterprises, Inc.*................................ 32,088
- --------------------------------------------------------------------------------
287,713
- --------------------------------------------------------------------------------
Transportation -- 2.5%
43,500 Airborne Freight Corp. .................................. 804,750
39,000 Alexander & Baldwin Inc. ................................ 798,281
10,809 American Freightways Corp.*.............................. 117,548
17,291 Arnold Industries, Inc. ................................. 204,240
5,000 C.H. Robinson Worldwide, Inc. ........................... 255,000
11,793 Circle International Group, Inc. ........................ 288,181
18,338 Consolidated Freightways Corp.*.......................... 121,489
4,100 Convenant Transport Inc., Class A Shares*................ 47,150
26,256 Florida East Coast Industries, Inc. ..................... 1,069,922
307,593 Fritz Cos., Inc.*........................................ 2,576,091
300 Gulfmark Offshore, Inc.*................................. 3,994
8,800 Heartland Express, Inc.*................................. 125,675
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Transportation -- 2.5% (continued)
6,400 Hub Group, Inc., Class A Shares*........................ $ 114,400
4,563 Hvide Marine Inc.*+..................................... 707
37 Hvide Marine Inc., Class A Warrants, expire 12/15/03*... 183
19,200 J.B. Hunt Transport Services, Inc. ..................... 220,790
1,205 Kirby Corp.*............................................ 23,347
3,581 Landstar Systems, Inc.*................................. 201,207
8,010 MS Carriers, Inc.*...................................... 177,221
17,918 Offshore Logistics, Inc.*............................... 178,060
23,504 Overseas Shipholding Group, Inc. ....................... 489,177
11,578 Roadway Express, Inc. .................................. 238,796
85,000 Sea Containers Ltd., Class A Shares..................... 2,082,490
6,100 U.S. Xpress Enterprises Inc., Class A Shares*........... 42,690
83,683 USFreightways Corp. .................................... 2,782,459
28,776 Werner Enterprises, Inc. ............................... 384,879
39,400 Wisconsin Central Transportation Corp.*................. 487,575
242,722 Yellow Corp.*........................................... 3,883,552
- -------------------------------------------------------------------------------
17,719,854
- -------------------------------------------------------------------------------
Trucking & Leasing -- 0.5%
7,479 Amerco*................................................. 128,078
10,098 Interpool, Inc. ........................................ 66,899
305,653 Rollins Truck Leasing, Corp. ........................... 2,559,834
12,071 XTRA Corp.*............................................. 480,577
- -------------------------------------------------------------------------------
3,235,388
- -------------------------------------------------------------------------------
Water -- 0.4%
7,800 American States Water, Co............................... 210,113
10,068 California Water Service Group.......................... 270,578
7,919 E'Town Corp............................................. 510,281
28,529 Philadelphia Suburban Corp.............................. 527,787
1,900 SJW Corp................................................ 213,988
24,957 United Water Resources, Inc............................. 868,816
- -------------------------------------------------------------------------------
2,601,563
- -------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $819,679,759)............... 694,933,418
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 0.1%
$500,000 U.S. Treasury Bill, 5.200% due 3/30/00.............. $ 497,906
200,000 U.S. Treasury Bill, 5.275% due 3/30/00.............. 199,159
- -------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost -- $697,065).. 697,065
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.3%
16,715,000 J.P. Morgan & Co., 5.760% due 3/1/00; Proceeds at
maturity -- $16,717,674; (Fully collateralized by
U.S. Treasury Notes & Bonds, 4.750% to 12.750% due
5/25/00 to 8/15/26; Market value -- $16,242,978)
(Cost -- $16,715,000)............................. 16,715,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $837,091,824).... $712,345,483
- -------------------------------------------------------------------------------
</TABLE>
* Non-income producing security.
+ All or portion of this security is on loan (See Note 11).
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
Classification of Investments
U.S Treasury Obligations and Repurchase Agreement 2.4%
Real Estate 8.6%
Other Common Stock 57.7%
Electric 3.9%
Insurance 4.6%
Retail 3.4%
Manufacturing Miscellaneous 4.1%
Machinery-Diversified 3.5%
Oil & Gas Products 4.2%
Electronics 3.4%
Banks 4.2%
See Notes to Financial Statements.
30
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 97.9%
- --------------------------------------------------------------------------------
Advertising -- 1.4%
18,815 Advo Inc. ............................................... $ 522,116
12,000 e4L, Inc.+............................................... 27,000
124,600 Getty Images Inc.+....................................... 6,409,113
200 Grey Advertising Inc.*................................... 79,200
47,112 HA-LO Industries, Inc. .................................. 500,565
200,300 Marketing Services Group, Inc. .......................... 5,307,950
3,000 Modem Media Poppe Tyson, Inc. ........................... 238,125
243,400 Penton Media, Inc. ...................................... 6,389,250
32,919 R.H. Donnelley Corp.*.................................... 555,508
91,100 Sitel Corp. ............................................. 785,737
29,600 True North Communications Inc.*.......................... 1,095,200
64,300 Valuevision International Inc., Class A Shares........... 3,215,000
- --------------------------------------------------------------------------------
25,124,764
- --------------------------------------------------------------------------------
Aerospace & Defense -- 0.5%
19,700 Aeroflex Inc. ........................................... 896,350
15,100 Alliant Techsystems, Inc. ............................... 817,287
19,200 BE Aerospace, Inc. ...................................... 170,400
5,400 Heico Corp.*............................................. 78,638
6,600 Kellstrom Industries Inc.+............................... 45,788
87,200 L-3 Communications Holdings, Inc. ....................... 3,711,450
29,900 Orbital Sciences Corp. .................................. 523,250
86,200 Titan Corp. ............................................. 3,232,500
3,200 Triumph Group Inc. ...................................... 93,600
- --------------------------------------------------------------------------------
9,569,263
- --------------------------------------------------------------------------------
Agriculture -- 0.1%
38,300 Cadiz, Inc. ............................................. 466,781
43,400 Delta & Pine Land Co.*................................... 778,488
24,100 Hines Horticulture, Inc. ................................ 192,800
7,200 Tejon Ranch Co.*......................................... 180,900
- --------------------------------------------------------------------------------
1,618,969
- --------------------------------------------------------------------------------
Airlines -- 0.1%
51,000 Airtran Holdings Inc. ................................... 208,781
4,000 Amtran Inc. ............................................. 67,500
11,100 Atlantic Coast Airlines Holdings, Inc. .................. 198,413
9,800 Frontier Airlines, Inc. ................................. 109,025
12,150 Mesaba Holdings, Inc. ................................... 138,966
8,425 Midwest Express Holding Co. ............................. 217,470
16,500 SkyWest Inc. ............................................ 489,843
- --------------------------------------------------------------------------------
1,429,998
- --------------------------------------------------------------------------------
Apparel -- 0.5%
6,800 Columbia Sportswear Co. ................................. 141,525
3,800 Donna Karan International Inc. .......................... 27,313
5,500 Global Sports, Inc.+..................................... 99,000
240,900 Guess ? Inc. ............................................ 5,134,180
41,100 K-Swiss Inc. ............................................ 457,238
9,000 Nautica Enterprises Inc. ................................ 95,063
13,400 Oshkosh B'gosh Inc., Class A Shares*..................... 254,600
95,443 Quiksilver Inc. ......................................... 1,228,828
2,900 Reebok International Ltd. ............................... 23,200
42,500 Stride Rite Corp.*....................................... 233,750
7,000 Tarrant Apparel Group.................................... 51,625
10,600 Timberland Co., Class A Shares........................... 454,475
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Apparel -- 0.5% (continued)
4,900 Tropical Sportswear International Corp. .................. $ 56,963
5,600 Wolverine Worldwide Inc. ................................. 64,400
- --------------------------------------------------------------------------------
8,322,160
- --------------------------------------------------------------------------------
Auto Manufacturers -- 0.0%
11,700 A.S.V. Inc.+.............................................. 152,831
15,650 Oshkosh Truck Corp.*...................................... 414,725
1,800 Wabash National Corp.*.................................... 25,200
- --------------------------------------------------------------------------------
592,756
- --------------------------------------------------------------------------------
Auto Parts & Equipment -- 0.1%
1,800 Aftermarket Technology Corp. ............................. 21,150
2,400 American Axle & Manufacturing Holdings, Inc. ............. 33,450
17,800 Delco Remy International Inc. ............................ 130,163
8,400 Dura Automotive Systems Inc. ............................. 109,725
20,400 Hayes Lemmerz International Inc. ......................... 405,450
25,250 Miller Industries Inc. ................................... 93,109
8,000 OEA Inc.*................................................. 54,500
79,100 Tower Automotive Inc. .................................... 939,312
11,750 Wynn's International Inc. ................................ 156,422
- --------------------------------------------------------------------------------
1,943,281
- --------------------------------------------------------------------------------
Banks -- 1.4%
1,000 Alabama National Bancorp.................................. 18,250
8,900 Anchor Financial Corp.*................................... 295,925
9,301 BOK Financial Corp. ...................................... 144,166
4,305 BT Financial Corp.*....................................... 75,338
3,200 Bancfirst Ohio Corp. ..................................... 65,200
3,850 Banco Santander Puerto Rico*.............................. 50,050
11,362 Bank of Granite Corp.*.................................... 215,878
12,980 Brenton Banks, Inc.*...................................... 124,933
15,281 CVB Financial Corp.*...................................... 215,844
17,100 Cathay Bancorp Inc.*...................................... 735,300
22,372 Centennial Bancorp........................................ 220,922
11,829 Centura Banks, Inc.*...................................... 399,229
2,900 Century South Banks Inc. ................................. 71,050
20,000 Chittenden Corp.*......................................... 508,750
12,782 Citizens Banking Corp.*................................... 214,897
2,832 City Holding Co. ......................................... 35,400
17,020 Commerce Bancorp of New Jersey*........................... 572,298
41,700 Community First Bankshares*............................... 583,800
8,100 East West Bancorp*........................................ 101,756
1,365 F & M Bancorp of Maryland*................................ 24,570
11,639 F & M National Corp.*..................................... 263,332
2,500 FCNB Corp.*............................................... 42,188
1,000 Farmers Capital Bank Corp.*............................... 30,500
23,424 First BanCorp. of Puerto Rico............................. 398,208
4,700 First Busey Corp.*........................................ 89,006
4,400 First Commonwealth Financial Corp.*....................... 44,000
38,445 First Financial Bancorp................................... 735,261
3,000 First Midwest Bancorp Inc. ............................... 74,813
11,730 First Source Corp.*....................................... 240,465
15,600 Frontier Financial Corp.*................................. 310,050
7,100 Glacier Bancorp, Inc.*.................................... 94,075
8,300 Greater Bay Bancorp....................................... 325,775
35,459 Hamilton Bancorp Inc. .................................... 591,722
735 Harleysville National Corp. .............................. 21,269
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Banks -- 1.4% (continued)
68,188 Hudson United Bancorp*................................... $ 1,376,544
78,244 Imperial Bancorp......................................... 2,014,782
2,500 Independent Bank Corp.*.................................. 26,250
40,500 Investors Financial Services*............................ 1,640,250
12,300 Irwin Financial Corp. ................................... 207,563
21,168 Merchants New York Bancorp, Inc. ........................ 346,626
4,200 Midstate Bancshares*..................................... 114,188
3,300 Midwest Banc Holding, Inc. .............................. 49,500
6,900 Mississippi Valley Bancshares............................ 162,581
1,102 NBT Bancorp Inc.*........................................ 14,326
1,000 National Bancorp of Alaska, Inc.*........................ 29,500
10,395 National Penn Bancshares Inc.*........................... 226,091
2,000 Omega Financial Corp. ................................... 48,750
12,066 Oriental Financial Group................................. 229,254
26,754 Pacific Capital Bancorp*................................. 765,833
9,530 Park National Corp.*..................................... 933,940
49,200 Provident Bankshares Corp.*.............................. 793,350
66,500 R & G Financial Corp.*................................... 565,250
2,000 Republic Bancorp, Inc.*.................................. 17,250
28,900 S & T Bancorp Inc.*...................................... 532,844
6,900 Sandy Spring Bancorp Inc. ............................... 142,313
9,925 Shoreline Financial Corp. ............................... 173,688
15,600 Silicon Valley Bancshares................................ 1,236,300
74,804 Sky Financial Group, Inc. ............................... 1,145,435
53,532 Southwest Bancorp of Texas............................... 976,958
30,150 Sterling Bancshares Inc.*................................ 286,425
7,750 Sterling Financial Corp. ................................ 149,188
5,100 Texas Regional Bancshares, Class A Shares................ 124,631
15,900 The Trust Co. of New Jersey*............................. 305,081
60,362 Trustco Bank Corp of New York............................ 669,641
6,880 USB Holding Co., Inc. ................................... 101,480
47,458 United Bankshares, Inc. ................................. 869,075
265 United National Bancorp*................................. 4,373
48,200 W Holding Co., Inc. ..................................... 409,700
2,800 WesBanco, Inc. .......................................... 58,800
3,061 West Coast Bancorp*...................................... 31,949
- --------------------------------------------------------------------------------
24,713,929
- --------------------------------------------------------------------------------
Beverages -- 0.1%
19,900 Beringer Wine Estates, Class B Shares.................... 717,644
10,200 Canadaigua Brands Inc., Class A Shares................... 499,800
1,500 Coca Cola Bottling Co.*.................................. 75,703
- --------------------------------------------------------------------------------
1,293,147
- --------------------------------------------------------------------------------
Biotechnology -- 4.6%
19,000 Affymetrix Inc.+ ........................................ 5,502,875
14,700 Aviron+.................................................. 596,269
161,700 Bio-Technology General Corp. ............................ 3,107,672
15,400 EntreMed Inc.+........................................... 1,516,900
39,900 Enzon, Inc. ............................................. 2,314,200
49,617 Enzo Biochem Inc. ....................................... 3,932,147
81,900 Genzyme Transgenics Corp. ............................... 3,644,550
81,000 Human Genome Sciences, Inc. ............................. 17,678,250
46,200 IDEC Pharmaceuticals+.................................... 6,508,425
26,700 Incyte Pharmaceuticals Inc. ............................. 7,357,519
14,900 Inhale Therapeutic Systems, Inc.+ ....................... 1,508,625
6,600 Invitrogen Corp. ........................................ 557,700
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Biotechnology -- 4.6% (continued)
43,500 Liposome Co. Inc. ....................................... $ 584,531
92,800 Lynx Therapeutics, Inc. ................................. 8,908,800
58,700 Maxim Pharmaceuticals, Inc.+ ............................ 4,431,850
40,900 Millennium Pharmaceuticals, Inc.+ ....................... 10,639,113
33,688 Organogenesis Inc.+ ..................................... 505,320
8,400 Protein Design Labs Inc. ................................ 2,101,575
7,400 Safescience, Inc.+ ...................................... 119,325
18,500 Transkaryotic Therapies, Inc.+ .......................... 927,313
17,900 Vical Inc. .............................................. 1,057,218
- --------------------------------------------------------------------------------
83,500,177
- --------------------------------------------------------------------------------
Building Materials -- 0.7%
31,000 Apogee Enterprises, Inc.*................................ 143,375
8,754 Centex Construction Products, Inc.*...................... 203,531
20,300 Comfort Systems USA Inc. ................................ 159,863
41,700 Dal-Tile International Inc. ............................. 291,900
239,418 Elcor Corp.*............................................. 8,020,501
18,200 Florida Rock Industries, Inc. ........................... 606,288
10,800 LSI Industries, Inc.*.................................... 174,825
8,576 Lennox International Inc.*............................... 81,472
7,800 Modine Manufacturing Co.*................................ 177,938
47,800 NCI Building Systems, Inc. .............................. 722,975
4,600 Republic Group, Inc.*.................................... 50,025
8,069 Simpson Manufacturing Co. Inc. .......................... 341,924
55,500 Texas Industries Inc.*................................... 1,665,000
2,400 Trex Co. ................................................ 59,400
- --------------------------------------------------------------------------------
12,699,017
- --------------------------------------------------------------------------------
Chemicals -- 0.2%
12,400 Airgas Inc. ............................................. 86,025
5,500 Arch Chemicals, Inc.*.................................... 104,844
48,100 CK Witco Corp.*.......................................... 511,063
18,800 Cambrex Corp.*........................................... 754,350
20,450 Ferro Corp.*............................................. 385,994
3,600 Geon Co.*................................................ 75,150
18,500 Georgia Gulf Corp. ...................................... 420,875
1,600 H.B. Fuller & Co.*....................................... 98,200
2,700 Lilly Industries, Inc., Class A Shares................... 38,306
16,100 MacDermid, Inc. ......................................... 550,418
1,200 Minerals Technologies Inc. .............................. 48,675
8,300 NL Industries Inc. ...................................... 119,831
9,600 Omnova Solutions Inc.*................................... 63,000
10,100 Sparteck Corp.*.......................................... 257,550
29,500 U.S. Plastic Lumber Corp.+ .............................. 236,000
36,600 W. R. Grace & Co. ....................................... 368,288
- --------------------------------------------------------------------------------
4,118,569
- --------------------------------------------------------------------------------
Coal -- 0.0%
8,300 Consol Energy Inc.*...................................... 96,488
- --------------------------------------------------------------------------------
Commercial Services -- 4.7%
14,300 ABM Industries Inc.*..................................... 360,181
8,500 AHL Services, Inc. ...................................... 86,594
34,400 Aaron Rents, Inc.*....................................... 516,000
10,600 Administaff, Inc.+ ...................................... 437,250
6,200 Albany Molecular Research, Inc. ......................... 299,150
6,800 AmeriPath Inc. .......................................... 67,150
10,100 Applied Analytical Industries Inc. ...................... 115,519
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Commercial Services -- 4.7% (continued)
76,900 Avis Rent A Car Inc. .................................... $ 1,119,855
41,600 Billing Concepts Corp. .................................. 244,400
13,900 Bright Horizons Family Solutions, Inc. .................. 234,563
8,200 Burns International Corp. ............................... 89,688
20,700 CDI Corp. ............................................... 377,775
8,900 CPI Corp.*............................................... 219,163
8,100 Career Education Corp. .................................. 303,750
3,900 Careerbuilder Inc. ...................................... 22,913
223,900 Caremark Rx Inc. ........................................ 1,007,550
8,700 Carey International Inc. ................................ 145,725
6,700 Carriage Services Inc. .................................. 28,894
13,350 Central Parking Corp.*+.................................. 197,747
65,700 Century Business Services, Inc. ......................... 223,791
8,000 Charles River Associates Inc. ........................... 219,000
23,400 Coinstar, Inc. .......................................... 327,600
15,200 Consolidated Graphics Inc. .............................. 208,050
4,400 Corinthian Colleges, Inc. ............................... 78,650
9,400 Cornell Corrections, Inc. ............................... 76,375
7,300 The Corporate Executive Board Co. ....................... 364,088
5,600 Costar Group Inc. ....................................... 203,700
39,300 Crawford & Co.*.......................................... 520,725
10,800 DBT Online Inc. ......................................... 206,550
35,500 Data Broadcasting Corp.+ ................................ 350,563
11,000 Data Transmission Network Corp. ......................... 280,500
23,700 Diamond Technology Partners Inc. ........................ 1,620,486
5,100 Duff & Phelps Credit Rating Co.*......................... 407,363
54,700 Education Management Corp. .............................. 711,100
65,300 Electro Rent Corp. ...................................... 710,138
91,207 Encompass Services Corp. ................................ 655,550
26,900 F.Y.I. Inc. ............................................. 800,275
17,700 First Consulting Group Inc. ............................. 264,394
45,600 First Health Group Corp. ................................ 1,100,100
27,500 Forrester Research Inc. ................................. 1,100,000
20,800 Group Maintenance America Corp. ......................... 191,152
12,100 Heidrick & Struggles International, Inc. ................ 496,100
73,800 Hooper Holmes Inc.*...................................... 2,269,350
394,600 Horizon Offshore Inc. ................................... 2,367,600
15,600 ITT Educational Services, Inc. .......................... 187,200
16,800 Integrated Electrical Services, Inc. .................... 98,700
78,820 Interim Services Inc. ................................... 1,965,573
36,670 Iron Mountain, Inc. ..................................... 1,118,434
18,200 Korn/Ferry International................................. 682,500
11,900 The Kroll-O'Gara Co. .................................... 197,838
39,600 Labor Ready, Inc. ....................................... 329,175
9,100 Landauer, Inc.*.......................................... 181,431
17,800 Lason Inc. .............................................. 151,856
44,200 Learning Tree International, Inc. ....................... 1,176,824
142,300 Mail-Well, Inc. ......................................... 1,236,230
12,600 MAXIMUS, Inc. ........................................... 430,763
8,300 McGrath Rent Corp.*...................................... 140,063
105,300 Medquist Inc. ........................................... 2,711,474
13,300 Memberworks Inc. ........................................ 1,075,637
18,700 Midas, Inc. ............................................. 448,800
136,500 Modis Professional Services, Inc. ....................... 2,149,874
14,600 NCC Group, Inc. ......................................... 341,275
16,600 NFO Worldwide, Inc. ..................................... 294,650
18,400 National Equipment Services, Inc. ....................... 110,400
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Commercial Services -- 4.7% (continued)
14,000 Nationsrent Inc. ........................................ $ 77,875
40,700 Navigant Consulting Co. ................................. 391,738
82,100 Neff Corp. .............................................. 590,094
7,300 Nextera Enterprises Inc. ................................ 73,000
52,200 Nova Corp. .............................................. 1,203,862
18,300 Ogden Corp.*............................................. 208,163
12,400 On Assignment, Inc. ..................................... 463,450
70,400 Orthodontic Centers of America........................... 1,218,800
25,400 PAREXEL International Corp. ............................. 346,075
11,700 Pediatrix Medical Group Inc. ............................ 92,138
3,700 Personnel Group of America, Inc. ........................ 28,213
19,205 Pharmaceutical Product Development....................... 465,721
17,800 PhyCor Inc. ............................................. 20,581
36,600 Plexus Corp. ............................................ 2,066,755
48,600 Prepaid Legal Services, Inc. ............................ 1,366,875
3,500 Professional Detailing, Inc. ............................ 75,250
63,637 The Profit Recovery Group, International, Inc. .......... 1,177,285
24,100 Protection One, Inc. .................................... 39,163
8,300 PROVANT Inc. ............................................ 57,063
18,700 ProxyMed, Inc.+ ......................................... 184,663
52,500 Quanta Services Inc.+ ................................... 2,126,250
39,480 Renaissance Worldwide, Inc. ............................. 207,270
45,300 Rent-A-Center, Inc. ..................................... 679,500
299,790 Rent-Way, Inc. .......................................... 5,096,430
18,562 Rollins Inc.*............................................ 300,472
45,188 Romac International, Inc. ............................... 610,038
42,100 Source Information Management Co.+ ...................... 870,944
19,100 Staff Leasing Inc. ...................................... 109,825
4,900 Staffmark, Inc. ......................................... 55,125
7,800 Startek Inc. ............................................ 322,725
7,700 Strayer Education Inc.*.................................. 203,569
7,900 Superior Consultants Holdings Corp. ..................... 122,450
707,500 Teletech Holdings Inc. .................................. 26,796,563
13,200 Track Data Corp.+ ....................................... 84,150
13,800 Towne Services Inc. ..................................... 27,600
40,156 US Oncology, Inc. ....................................... 165,644
17,300 United Payors & United Providers......................... 450,881
13,300 Wackenhut Corp.*+........................................ 174,563
10,800 Wackenhut Corrections Corp. ............................. 105,975
27,200 Xceed Inc.+ ............................................. 853,400
- --------------------------------------------------------------------------------
86,165,902
- --------------------------------------------------------------------------------
Computers -- 10.4%
8,000 ACT Networks Inc. ....................................... 112,000
39,300 Advanced Digital Information Corp. ...................... 3,561,563
7,500 Anacomp Inc. ............................................ 132,188
23,600 Analysts International Corp. ............................ 312,700
134,900 Ancor Communications Inc. ............................... 8,077,138
29,900 AnswerThink Consulting Group, Inc. ...................... 609,213
37,129 Apex Inc. ............................................... 1,666,164
21,900 Auspex Systems Inc.*..................................... 283,331
97,875 Avant! Corp. ............................................ 1,449,773
123,200 Axent Technologies Inc. ................................. 3,341,800
17,000 The BISYS Group Inc. .................................... 876,563
43,200 Bell & Howell Co. ....................................... 1,414,800
41,300 Black Box Corp. ......................................... 3,089,756
11,600 Brooktrout Technology Inc. .............................. 556,800
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Computers -- 10.4% (continued)
43,300 CACI International Inc, Class A Shares................... $ 1,231,344
369,400 Cabletron Systems, Inc. ................................. 18,100,600
56,200 Cambridge Technology Partners Inc. ...................... 843,000
3,800 Catapult Communications Corp.+........................... 49,400
85,400 CIBER Inc. .............................................. 1,985,550
38,000 Cognizant Technology Solutions Corp. .................... 4,146,750
26,800 Complete Business Solutions, Inc. ....................... 532,650
36,500 Computer Horizons Corp. ................................. 812,125
24,900 Computer Network Tech Corp. ............................. 624,056
17,200 Computer Task Group Inc.*................................ 220,375
80,800 Concurrent Computer Corp. ............................... 1,444,300
14,400 Cotelligent, Inc. ....................................... 86,400
45,450 Cybex Computer Products Corp. ........................... 2,113,425
19,700 Echelon Corp. ........................................... 1,598,163
89,150 eLoyalty Corp.+.......................................... 2,724,647
108,100 Emulex Corp. ............................................ 17,296,000
17,500 Entrust Technologies Inc.+............................... 1,544,375
63,300 Extreme Networks Inc.+................................... 7,042,125
20,400 Factset Research Systems Inc.*........................... 614,550
69,718 Filenet Corp. ........................................... 2,984,802
19,200 Hutchinson Technology Inc. .............................. 346,800
28,300 ISS Group, Inc. ......................................... 2,971,500
24,000 In Focus Systems, Inc. .................................. 804,000
8,576 InaCom Corp. ............................................ 28,944
35,200 Intervoice - Brite Inc. ................................. 1,271,600
297,000 Iomega Corp. ............................................ 1,113,750
14,900 Jack Henry & Associates, Inc.*........................... 1,041,138
3,200 Komag, Inc. ............................................. 7,100
45,525 Kronos Inc. ............................................. 2,890,838
34,200 MMC Networks Inc. ....................................... 1,357,313
172,100 MTI Technology Corp. .................................... 9,024,494
3,000 Manhattan Associates, Inc. .............................. 50,813
38,600 Mastech Corp. ........................................... 1,278,625
74,600 Maxtor Corp. ............................................ 596,800
8,800 Maxwell Technologies Inc.*............................... 147,400
112,400 Mentor Graphics Corp. ................................... 1,924,850
22,700 Mercury Computer Systems, Inc. .......................... 1,093,856
37,550 Metamor Worldwide, Inc. ................................. 769,775
6,600 Metro Information Services, Inc. ........................ 138,600
34,800 Micron Electronics Inc. ................................. 374,100
95,800 Micros Systems Inc. ..................................... 5,304,925
35,200 National Computer Systems Inc.*.......................... 1,399,200
67,900 Netegrity, Inc. ......................................... 5,805,450
79,100 Netsolve, Inc. .......................................... 3,262,875
9,500 Network Peripherals Inc. ................................ 587,219
119,300 Paradyne Networks Inc. .................................. 5,338,675
53,700 Pomeroy Computer Resources Inc. ......................... 879,338
23,200 PubliCARD, Inc. ......................................... 285,650
52,150 QRS Corp. ............................................... 4,921,656
40,000 RSA Security Inc.+....................................... 2,677,500
5,400 RWD Technologies, Inc. .................................. 48,263
20,600 Radiant Systems Inc. .................................... 1,053,174
29,950 Radisys Corp. ........................................... 1,467,550
53,600 Rainmaker Systems, Inc. ................................. 643,200
10,600 Read-Rite Corp.+......................................... 40,081
13,800 SCM Microsystems, Inc.+.................................. 1,642,200
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Computers -- 10.4% (continued)
16,700 S3 Inc. ................................................. $ 266,156
142,400 SandDisk Corp.+.......................................... 12,673,600
62,300 Silicon Storage Technology, Inc. ........................ 3,932,685
24,400 Sykes Enterprises, Inc. ................................. 398,025
5,800 Syntel, Inc.+............................................ 94,975
35,600 Systems & Computer Tech Corp. ........................... 849,950
232,050 Technology Solutions Co. ................................ 1,682,363
45,300 Tyler Technologies, Inc. ................................ 243,487
34,800 Verisign Inc. ........................................... 8,804,400
37,500 Visual Networks, Inc. ................................... 2,465,624
31,100 Wave Systems Corp.+...................................... 1,418,937
63,000 Western Digital Corp. ................................... 283,500
50,500 Xircom, Inc.+............................................ 2,097,328
- --------------------------------------------------------------------------------
189,278,708
- --------------------------------------------------------------------------------
Cosmetics/Personal Care -- 0.0%
9,900 Chattem, Inc. ........................................... 178,200
10,132 Kimberly Clark Corp. .................................... 523,702
- --------------------------------------------------------------------------------
701,902
- --------------------------------------------------------------------------------
Distribution/Wholesale -- 0.4%
17,200 Anicom, Inc. ............................................ 140,825
12,879 Aviation Sales Co.+...................................... 95,787
29,974 Brightpoint, Inc. ....................................... 385,915
5,163 CHS Electronics, Inc. ................................... 4,518
38,100 Cellstar Corp. .......................................... 365,522
8,400 Daisytek International Corp. ............................ 192,675
2,300 JLK Direct Distribution Inc., Class A Shares............. 25,156
14,800 Keystone Automotive Industries, Inc. .................... 78,625
104,000 Miami Computer Supply Corp. ............................. 3,406,000
12,700 Navarre Corp.+........................................... 66,278
55,200 Owens & Minor Co., Inc. ................................. 607,200
55,700 SCP Pool Corp. .......................................... 1,382,057
33,600 United Stationers Inc. .................................. 903,000
15,800 Watsco, Inc.*............................................ 132,325
16,700 WESCO International, Inc. ............................... 140,906
- --------------------------------------------------------------------------------
7,926,789
- --------------------------------------------------------------------------------
Diversified Financial Services -- 1.2%
73,400 Affiliated Managers Group................................ 2,885,537
167,400 AmeriCredit Corp. ....................................... 2,322,675
1,900 AMRESCO Inc. ............................................ 2,612
6,300 Compucredit Corp. ....................................... 207,900
14,500 Conning Corp.*........................................... 153,156
1,000 Creditrust Corp.+........................................ 7,844
1,000 Dain Rauscher Corp.*..................................... 56,375
25,700 Doral Financial Corp.*................................... 252,181
33,200 Eaton Vance Corp. ....................................... 1,375,725
8,700 Federal Agricultural Mortgage Corp. ..................... 146,269
10,400 Financial Federal Corp. ................................. 178,100
55,300 FiNet.com, Inc.+......................................... 76,037
71,700 Friedman, Billings, Ramsey Group, Class A Shares......... 1,147,200
7,983 The John Nuveen Co.*..................................... 275,413
200,500 Metris Companies Inc.*+.................................. 5,187,938
20,150 Morgan Keegan Inc. ...................................... 287,138
37,700 National Discount Brokers Group, Inc.+................... 1,698,856
115,400 Nextcard Inc.+........................................... 2,610,925
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Diversified Financial Services -- 1.2% (continued)
28,560 Pioneer Group Inc. ...................................... $ 572,985
35,700 Raymond James Financial Corp. ........................... 705,075
29,700 SierraCitie.Com Inc. .................................... 627,413
26,815 Southwest Securities Group, Inc. ........................ 1,230,138
21,800 UniCapital Corp. ........................................ 54,500
28,600 United Asset Management Corp.*........................... 427,213
- --------------------------------------------------------------------------------
22,489,205
- --------------------------------------------------------------------------------
Electronic -- 0.6%
17,100 Black Hills Corp.*....................................... 376,200
114,400 Calpine Corp. ........................................... 10,467,600
1,300 Empire District Electric Co.*............................ 27,056
6,400 MDU Resources Group, Inc. ............................... 122,000
1,700 Otter Tail Power Co.*.................................... 62,900
- --------------------------------------------------------------------------------
11,055,756
- --------------------------------------------------------------------------------
Electrical Computer & Equipment -- 1.3%
15,200 Alpine Group Inc. ....................................... 150,100
17,600 American Superconductor Corp. ........................... 1,215,500
34,800 Ametek Inc. ............................................. 589,425
39,260 Applied Power Inc., Class A Shares*...................... 949,601
83,374 Artesyn Technologies Inc. ............................... 1,651,847
42,200 Belden Inc. ............................................. 954,775
27,850 C & D Technology Inc. ................................... 1,301,988
45,000 C-Cube Microsystems Inc. ................................ 4,196,250
19,400 General Cable Corp.*..................................... 194,000
14,500 Littlefuse Inc. ......................................... 433,187
177,500 Power-One, Inc. ......................................... 8,719,688
31,100 Rayovac Corp. ........................................... 645,325
20,800 SLI, Inc.+............................................... 253,500
38,400 Valence Technology Inc. ................................. 1,309,200
20,100 Vicor Corp. ............................................. 457,275
- --------------------------------------------------------------------------------
23,021,661
- --------------------------------------------------------------------------------
Electronics -- 5.0%
28,500 Ampex Corp., Class A Shares.............................. 110,437
34,500 Amphenol Corp., Class A Shares........................... 2,757,844
29,400 Anadigics, Inc. ......................................... 3,969,000
11,600 Arguss Holdings, Inc. ................................... 197,925
8,400 BMC Industries Inc.*..................................... 46,200
18,190 Benchmark Electronics Inc................................ 575,259
17,680 Brady Corp., Class A Shares.............................. 479,570
8,600 BriteSmile, Inc.+........................................ 113,413
58,800 CTS Corp................................................. 3,792,600
29,700 Cohu Inc................................................. 1,674,337
83,000 Credence Systems Corp.................................... 11,059,750
153,400 Cymer Inc................................................ 8,417,825
40,400 DII Group, Inc........................................... 3,906,175
14,300 DSP Group, Inc........................................... 1,255,719
24,500 Dionex Corp.............................................. 773,281
50,600 Electro Scientific Industries Inc.+...................... 2,868,387
26,900 Fisher Scientific International Inc...................... 1,170,150
30,600 Genrad Inc............................................... 451,350
4,611 Hadco Corp............................................... 255,334
10,200 Harmon Industries, Inc.*................................. 142,800
1,600 ITI Technologies Inc..................................... 46,500
23,600 Identix Inc.............................................. 448,400
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Electronics -- 5.0% (continued)
9,900 Innovex Inc.*............................................ $ 93,431
104,000 Integrated Device Technology, Inc. ...................... 3,835,000
63,300 Kemet Corp............................................... 3,888,995
45,700 Kent Electronics Corp.................................... 1,548,088
66,500 LTX Corp. ............................................... 2,805,470
16,200 Mechanical Technology, Inc. ............................. 1,109,700
89,200 Methode Electronics Inc.*................................ 5,184,750
42,500 Mettler-Toledo International Inc......................... 1,641,562
51,700 Micrel Inc. ............................................. 5,958,425
96,000 Microchip Technology, Inc................................ 5,994,000
10,500 Molecular Devices Corp................................... 861,000
19,000 PerkinElmer, Inc......................................... 1,227,875
36,000 Power Intergrations, Inc.+............................... 1,869,750
27,300 SBS Technologies, Inc.................................... 1,486,144
41,100 Sawtek Inc............................................... 1,972,800
79,900 Sensormatic Electronics Corp............................. 1,518,100
18,500 Sipex Corp............................................... 829,031
46,100 Stoneridge Inc........................................... 489,812
12,500 Technitrol, Inc.......................................... 585,937
3,200 Thermo Optek Corp........................................ 46,400
24,100 Trimble Navigation Ltd. ................................. 578,400
25,400 Varian, Inc. ............................................ 1,012,825
9,900 Veeco Instruments Inc.+.................................. 813,037
- --------------------------------------------------------------------------------
89,862,788
- --------------------------------------------------------------------------------
Engineering & Construction -- 0.4%
101,175 Dycom Industries Inc..................................... 5,058,750
2,200 Granite Construction Inc................................. 54,862
22,400 Insituform Technologies, Inc., Class A Shares............ 632,800
15,000 Jacobs Engineering Group Inc............................. 420,938
58,500 URS Corp................................................. 797,063
- --------------------------------------------------------------------------------
6,964,413
- --------------------------------------------------------------------------------
Entertainment -- 1.7%
18,700 AMC Entertainment Inc. .................................. 137,912
2,300 Anchor Gaming............................................ 95,737
94,200 Argosy Gaming Co. ....................................... 1,065,637
10,100 Championship Auto Racing Teams Inc. ..................... 202,000
9,300 Churchill Downs Inc.*+................................... 206,344
557,200 Cinar Corp., Class B Shares.............................. 11,492,250
11,100 Dover Downs Entertainment, Inc.*......................... 157,481
47,800 Fairfield Communities, Inc. ............................. 421,238
113,800 Gtech Holdings Corp. .................................... 2,276,000
8,100 Loews Cineplex Entertainment, Inc. ...................... 33,412
79,700 Macrovision Corp. ....................................... 7,950,076
29,600 Pinnacle Systems, Inc. .................................. 510,600
60,350 SFX Entertainment, Inc.+................................. 2,323,476
50,100 Speedway Motorsports, Inc. .............................. 1,534,313
24,100 Station Casinos Inc. .................................... 472,962
7,200 Steinway Musical Instrument, Inc. ....................... 133,650
33,950 SUNTERRA Corp. .......................................... 89,119
3,600 Trendwest Resorts Inc.+.................................. 87,750
5,700 Vail Resorts, Inc.+...................................... 91,200
23,500 Zomax Inc. .............................................. 1,150,031
- --------------------------------------------------------------------------------
30,431,188
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Environmental Control -- 0.2%
9,700 Casella Waste Systems Inc., Class A Shares............... $ 66,384
62,500 Catalytica Inc. ......................................... 804,687
14,800 Stericycle Inc. ......................................... 273,337
28,600 Syntroleum Corp. ........................................ 632,775
36,557 Tetra Tech, Inc. ........................................ 916,210
14,500 Waste Connections Inc. .................................. 154,062
3,800 Waste Industries Inc. ................................... 40,136
- --------------------------------------------------------------------------------
2,887,591
- --------------------------------------------------------------------------------
Food -- 0.5%
19,300 American Italian Pasta Co., Class A Shares............... 440,281
4,400 Aurora Foods Inc. ....................................... 12,375
42,400 Del Monte Foods Co. ..................................... 530,000
15,200 Dreyer's Grand Ice Cream, Inc.*.......................... 276,450
5,000 Earthgrains Co.*......................................... 75,000
14,600 Grand Union Co. ......................................... 73,000
41,700 Hain Food Group Inc. .................................... 1,532,475
19,800 International Home Foods Inc. ........................... 335,362
16,100 Lance Inc.*.............................................. 165,025
1,700 Michael Foods Inc.*...................................... 37,187
7,650 Performance Food Group Co. .............................. 181,687
12,900 Pilgrims Pride Corp., Class B Shares..................... 103,200
5,000 Riviana Foods, Inc. ..................................... 83,125
2,400 Ruddick Corp. ........................................... 32,250
72,100 Smithfield Foods Inc. ................................... 1,117,550
9,600 United National Foods, Inc. ............................. 99,000
10,500 Universal Foods Corp.*................................... 189,657
12,800 Vlasic Foods International Inc. ......................... 36,000
28,900 Whole Foods Market Inc. ................................. 1,097,298
125,800 Wild Oats Markets Inc.+.................................. 2,358,750
- --------------------------------------------------------------------------------
8,775,672
- --------------------------------------------------------------------------------
Food Service -- 0.0%
13,100 Morrison Management Specialist*.......................... 293,113
- --------------------------------------------------------------------------------
Forest Products & Paper -- 0.1%
58,562 Buckeye Technologies Inc. ............................... 933,332
5,100 Caraustar Industries Inc. ............................... 84,787
2,400 Deltic Timber Corp.*..................................... 53,400
35,013 Wausau-Mosinee Paper Corp.*.............................. 457,358
- --------------------------------------------------------------------------------
1,528,877
- --------------------------------------------------------------------------------
Gas -- 0.0%
5,625 Eastern Enterprises...................................... 325,543
19,047 Southern Union Co. ...................................... 292,848
- --------------------------------------------------------------------------------
618,391
- --------------------------------------------------------------------------------
Hand/Machine Tools -- 0.0%
6,066 Baldor Electric Co. ..................................... 98,193
5,200 Franklin Electric Co. Inc.*.............................. 346,450
12,900 Lincoln Electric Holding Inc.*........................... 251,550
- --------------------------------------------------------------------------------
696,193
- --------------------------------------------------------------------------------
Health Care -- 3.1%
5,600 Acuson Corp. ............................................ 74,900
16,300 Alaris Medical Inc. ..................................... 37,694
16,200 Alterra Healthcare Corp.+................................ 97,200
16,300 American Retirement Corp. ............................... 134,475
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HealthCare -- 3.1% (continued)
1,100 Arrow International Inc.*................................ $ 43,450
83,700 ArthroCare Corp. ........................................ 10,336,950
10,100 Capital Senior Living Corp. ............................. 42,294
9,700 Carematrix Corp. ........................................ 17,581
6,600 Closure Medical Corp.+................................... 145,200
21,700 Columbia Laboratories, Inc. ............................. 273,962
32,079 CONMED Corp. ............................................ 882,172
66,500 Cooper Companies Inc. ................................... 1,824,594
64,400 Covance Inc. ............................................ 917,700
86,500 Coventry Health Care Corp. .............................. 708,219
18,700 Cyberonics, Inc. ........................................ 476,850
196,400 Cytyc Corp.+............................................. 9,034,400
17,100 Datascope Corp.*......................................... 681,862
600 Diagnostic Products Corp.*............................... 13,800
19,900 Eclipse Surgical Technology Inc. ........................ 171,637
10,400 Gliatech Inc.+........................................... 213,200
20,100 Haemonetics Corp. ....................................... 478,631
15,000 Hanger Orthopedic Group, Inc. ........................... 72,187
25,400 Henry Schein Inc. ....................................... 476,250
44,579 IDEXX Laboratories Inc. ................................. 1,317,867
11,200 IGEN International Inc. ................................. 310,800
9,300 IMPATH Inc. ............................................. 304,575
5,800 Invacare Corp. .......................................... 141,375
28,300 LCA-Vision Inc. ......................................... 140,616
9,100 Laboratory Corp. of America Holdings+.................... 36,400
18,500 LaserSight Inc. ......................................... 178,062
27,100 Laser Vision Centers Inc. ............................... 281,162
21,000 LifePoint Hospitals, Inc. ............................... 316,312
56,300 Mentor Graphics Corp.*................................... 1,562,325
22,000 Mid Atlantic Medical Services, Inc. ..................... 180,125
14,300 Novoste Corp. ........................................... 521,950
29,100 Oakley Inc. ............................................. 250,988
16,600 Ocular Sciences Inc. .................................... 249,000
16,700 Osteotech, Inc. ......................................... 268,244
155,000 Oxford Health Plans, Inc. ............................... 2,392,813
68,900 PSS World Medical, Inc. ................................. 443,544
112,600 PolyMedica Corp. ........................................ 5,214,787
11,300 Province Healthcare Co. ................................. 227,412
49,025 Renal Care Group Inc. ................................... 861,001
20,950 Res-Care Inc.+........................................... 208,191
33,900 ResMed Inc. ............................................. 2,529,787
31,259 Respironics Inc. ........................................ 439,580
75,900 STERIS Corp. ............................................ 735,281
52,100 Summit Technology Inc. .................................. 390,750
90,800 Sunrise Assisted Living, Inc. ........................... 1,146,350
49,800 Sunrise Technologies, Inc.+.............................. 410,850
48,500 Techne Corp. ............................................ 4,160,393
18,200 Thermo BioAnalysis, Corp. ............................... 489,125
15,500 Thermo Cardiosystems Inc. ............................... 226,688
83,000 Total Renal Care Holdings Inc. .......................... 249,000
4,600 Trex Co. ................................................ 14,375
23,000 Triad Hospitals, Inc. ................................... 368,000
14,900 Ventana Medical Systems, Inc.+........................... 839,987
1,100 Vital Signs Inc.*........................................ 25,506
35,395 Wesley Jessen VisionCare, Inc. .......................... 1,017,607
1,300 West Pharmaceutical Services, Inc.*...................... 38,269
- --------------------------------------------------------------------------------
55,644,305
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Holding Companies - Diversified -- 0.0%
18,100 Triarc Cos................................................ $ 342,769
- --------------------------------------------------------------------------------
Home Builders -- 0.2%
34,844 Champion Enterprises Inc.................................. 219,953
5,800 Crossmann Communities Inc. ............................... 90,625
6,000 D. R. Horton, Inc.*....................................... 67,500
6,900 Fleetwood Enterprises, Inc.*.............................. 106,519
32,600 Kaufman & Broad Home Corp.*+.............................. 623,479
60,450 Monaco Coach Corp......................................... 1,088,100
11,200 NVR, Inc.................................................. 494,200
9,900 National R.V. Holdings, Inc............................... 128,700
5,400 Oakwood Homes Corp.*...................................... 13,837
20,847 Palm Harbor Homes Inc. ................................... 338,765
15,300 Standard Pacific Corp.*................................... 162,562
3,800 Thor Industries Inc. ..................................... 97,137
2,100 Toll Brothers, Inc. ...................................... 34,912
15,362 Winnebago Industries Inc.*................................ 328,363
- --------------------------------------------------------------------------------
3,794,652
- --------------------------------------------------------------------------------
Home Furnishings -- 0.4%
5,000 American Woodmark Corp. .................................. 82,500
41,600 Ethan Allen Interiors Inc................................. 969,800
3,600 Fedders Corp. ............................................ 18,900
43,800 Furniture Brands International, Inc. ..................... 703,537
12,500 La-Z-boy Inc.*............................................ 207,812
7,600 ParkerVision Inc.+........................................ 247,000
35,300 Polycom Inc.+............................................. 4,105,832
23,050 Salton, Inc.+............................................. 1,086,231
9,400 Select Comfort Corp. ..................................... 51,700
14,557 Sunbeam Corp. ............................................ 60,049
1,447 Sunbeam Corp. Warrants*, expire 8/24/03................... 1,809
14,900 Windmere-Durable Holdings, Inc. .......................... 223,500
- --------------------------------------------------------------------------------
7,758,670
- --------------------------------------------------------------------------------
Household Products/Wares -- 0.3%
61,300 Central Garden & Pet Co. ................................. 590,012
78,790 Church & Dwight Co., Inc.*................................ 1,344,354
14,617 Fossil Inc. .............................................. 331,623
13,000 John H. Harland Co.*...................................... 200,687
19,065 Jostens Inc.*............................................. 458,753
13,300 New England Business Services*............................ 251,869
19,800 Playtex Products, Inc. ................................... 271,012
41,200 Scotts Co. ............................................... 1,339,000
34,600 Tupperware Corp.*......................................... 594,688
- --------------------------------------------------------------------------------
5,381,998
- --------------------------------------------------------------------------------
Housewares -- 0.0%
10,600 Enesco Group Inc. ........................................ 76,850
8,790 Libbey Inc.*.............................................. 236,231
16,000 Oneida Ltd. .............................................. 284,000
- --------------------------------------------------------------------------------
597,081
- --------------------------------------------------------------------------------
Insurance -- 0.3%
20,200 Arthur J. Gallagher & Co.*................................ 1,032,726
11,900 Brown & Brown, Inc.*...................................... 392,700
11,900 E.W. Blanch Holdings, Inc.*............................... 559,300
10,600 FPIC Insurance Group Inc. ................................ 173,575
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Insurance -- 0.3% (continued)
700 Farm Family Holdings, Inc. .............................. $ 24,675
10,000 Foremost Corp. of America*............................... 290,625
3,300 HCC Insurance Holdings Inc.*............................. 42,075
31,900 HSB Group Inc. .......................................... 789,525
10,900 Healthaxis, Inc. ........................................ 317,462
14,693 Hilb, Rogal & Hamilton Co. .............................. 417,832
700 Markel Corp. ............................................ 91,525
100 Philadelphia Consolidated Holding Corp. ................. 1,469
25,812 Radian Group, Inc.*...................................... 895,354
4,600 Stancorp Financial Group, Inc.*.......................... 113,275
900 Triad Guaranty Inc. ..................................... 18,900
5,800 UICI..................................................... 50,750
4,200 Unistar Financial Service Corp.+......................... 0
- --------------------------------------------------------------------------------
5,211,768
- --------------------------------------------------------------------------------
Investment Companies -- 0.0%
16,300 Allied Capital Corp. .................................... 283,213
8,000 Medallion Financial Co.*................................. 146,000
10,900 Winfield Capital Corp. .................................. 332,450
- --------------------------------------------------------------------------------
761,663
- --------------------------------------------------------------------------------
Iron/Steel -- 0.1%
1,500 Gibraltar Steel Corp.*................................... 25,313
15,800 Lone Star Technologies Inc. ............................. 592,500
2,400 Reliance Steel & Aluminum Co. ........................... 46,500
45,500 Steel Dynamics Inc.+..................................... 699,562
- --------------------------------------------------------------------------------
1,363,875
- --------------------------------------------------------------------------------
Leisure Time -- 0.6%
137,200 American Classic Voyages Co.............................. 3,258,500
26,900 Bally Total Fitness Holding Corp......................... 722,938
330,100 Callaway Golf Co.*....................................... 3,961,200
4,200 Direct Focus, Inc. ...................................... 117,337
9,929 Family Golf Centers, Inc.+............................... 12,412
64,150 Pegasus Systems Inc...................................... 1,283,000
23,400 Polaris Industries Inc.*................................. 716,625
19,300 WMS Industries Inc....................................... 219,537
- --------------------------------------------------------------------------------
10,291,549
- --------------------------------------------------------------------------------
Lodging -- 0.1%
57,000 Choice Hotels Corp Inc. ................................. 947,625
12,761 Crestline Capital Corp................................... 231,293
39,500 Extended Stay America Inc................................ 256,750
14,800 USS Franchises Systems Inc., Class A Shares.............. 76,775
- --------------------------------------------------------------------------------
1,512,443
- --------------------------------------------------------------------------------
Machinery - Construction & Mining -- 0.2%
43,400 Astec Industries Inc..................................... 1,155,525
18,500 CMI Corp.*............................................... 111,000
32,600 JLG Industries Inc. ..................................... 293,400
53,713 Manitowoc Co., Inc.*..................................... 1,446,880
83,477 Terex Corp............................................... 991,290
- --------------------------------------------------------------------------------
3,998,095
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Machinery - Diversified -- 0.9%
11,400 Advanced Energy Industries, Inc.......................... $ 829,350
35,800 Asyst Technologies Inc................................... 1,642,325
23,500 Briggs & Stratton Corp................................... 785,781
18,150 Chart Industries, Inc.................................... 73,734
63,900 Cognex Corp.+............................................ 2,807,606
2,100 Columbus McKinnon Corp................................... 31,500
8,800 FSI International, Inc. ................................. 172,150
11,000 Gerber Scientific Inc. .................................. 184,250
16,325 Graco Inc................................................ 492,811
24,600 Helix Technology Corp.................................... 1,749,675
12,450 IDEX Corp. .............................................. 308,137
22,600 Kulicke & Soffa Industries Inc........................... 1,796,700
12,050 Lindsay Manufacturing Co................................. 202,591
9,000 Nordson Corp. ........................................... 348,750
22,200 PRI Automation, Inc.+.................................... 1,773,227
27,100 Presstek, Inc............................................ 643,625
4,300 Sauer, Inc............................................... 34,400
13,121 Specialty Equipment Companies, Inc....................... 227,977
10,116 SpeedFam-IPEC, Inc. ..................................... 291,467
5,400 Tennant Co. ............................................. 172,800
5,200 Thermo Fibertek Inc.+.................................... 37,050
37,600 Zebra Technologies Corp., Class A Shares................. 2,502,750
- --------------------------------------------------------------------------------
17,108,656
- --------------------------------------------------------------------------------
Media -- 1.8%
355,800 ACTV, Inc................................................ 10,696,237
12,400 Ackerley Group Inc. ..................................... 158,875
35,400 Citadel Communications Corp. ............................ 1,199,175
53,500 Cox Radio Inc............................................ 4,280,000
20,500 Cumulus Media Inc. ...................................... 612,437
63,600 Emmis Communications Corp., Class A Shares+.............. 2,321,400
24,100 Entercom Communications Corp.+........................... 1,013,706
2,900 IDG Books Worldwide, Inc., Class A Shares................ 39,875
5,000 Information Holdings Inc................................. 195,625
33,600 Journal Register Co...................................... 462,000
48,900 Lee Enterprises, Inc.*................................... 1,017,731
3,100 On Command Corp.......................................... 52,700
32,909 Paxson Communications Corp............................... 337,317
12,100 Pegasus Communications Corp.............................. 1,500,400
64,200 Playboy Enterprises, Class B Shares...................... 1,416,412
1,100 Pulitzer Inc.*........................................... 42,694
8,700 Radio One Inc............................................ 572,025
42,275 Saga Communications Inc.................................. 919,481
3,700 Scholastic Corp.......................................... 191,706
1,200 Sinclair Broadcast Group., Class A Shares................ 11,400
18,300 Sirius Satellite Radio Inc.+............................. 1,116,300
12,500 Source Media, Inc.+...................................... 185,937
39,300 TCI Satellite Entertainment, Class A Shares.............. 496,163
4,200 United Television Inc.................................... 557,552
2,151 Value Line Inc.*......................................... 77,167
38,015 Westwood One, Inc........................................ 2,539,879
13,500 WorldPages.com, Inc. .................................... 178,031
7,300 Young Broadcasting Corp., Class A Shares................. 176,112
11,900 Youthstream Media Networks Inc. ......................... 232,050
- --------------------------------------------------------------------------------
32,600,387
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Metal Fabricate/Hardware -- 0.2%
14,100 Kaydon Corp.............................................. $ 324,300
54,000 Maverick Tube Corp....................................... 1,215,000
11,300 Metals USA Inc........................................... 87,575
26,600 Mueller Industries, Inc.................................. 761,425
3,497 Quanex Corp.............................................. 74,530
11,122 Valmont Industries, Inc.................................. 168,220
41,600 Stillwater Mining Co..................................... 1,544,400
- --------------------------------------------------------------------------------
4,175,450
- --------------------------------------------------------------------------------
Mining -- 0.0%
9,800 AMCOL International Corp.*............................... 154,350
143,600 Battle Mountain Gold Co. ................................ 305,150
- --------------------------------------------------------------------------------
459,500
- --------------------------------------------------------------------------------
Miscellaneous Manufacturers -- 0.3%
5,500 AptarGroup Inc.*......................................... 131,656
4,018 Barnes Group Inc.*....................................... 57,005
24,499 Blount International, Inc................................ 338,392
11,100 Cuno Inc................................................. 270,562
12,400 Dexter Corp.............................................. 571,950
24,900 Donaldson Co., Inc.*..................................... 566,476
50,400 Federal Signal Corp.*.................................... 752,850
3,240 Gentek, Inc.*............................................ 43,740
10,200 MascoTech Inc.*.......................................... 142,800
16,936 Matthews International Corp., Class A Shares*............ 409,640
2,310 Myers Industries Inc. ................................... 32,773
2,000 Polymer Group, Inc.*..................................... 29,875
33,200 Roper Industries Inc..................................... 904,700
1,000 SPS Technologies, Inc.................................... 32,687
12,500 Scott Technologies, Inc. ................................ 240,625
7,250 Standex International Corp.*............................. 114,641
19,360 Tredegar Corp............................................ 546,920
11,748 Westinghouse Air Brake Co.*.............................. 111,606
- --------------------------------------------------------------------------------
5,298,898
- --------------------------------------------------------------------------------
Office Furnishings -- 0.0%
800 CompX International Inc.................................. 14,900
1,254 Virco Manufacturing Corp. ............................... 15,832
- --------------------------------------------------------------------------------
30,732
- --------------------------------------------------------------------------------
Office/Business Equipment -- 0.0%
2,500 General Binding Corp.*................................... 16,875
7,100 Global Imaging Systems Inc............................... 53,250
- --------------------------------------------------------------------------------
70,125
- --------------------------------------------------------------------------------
Oil & Gas Producers -- 1.5%
40,200 Atwood Oceanics Inc. .................................... 2,135,625
31,060 Barrett Resources Corp................................... 904,623
12,100 Basin Exploration Inc. .................................. 127,806
20,400 Berry Petroleum Co....................................... 364,650
2,700 Cabot Oil & Gas Corp.*................................... 42,694
34,300 Chesapeake Energy Corp................................... 100,756
47,925 Cross Timbers Oil Co..................................... 413,353
69,800 Devon Energy Corp.+...................................... 2,600,050
3,600 EEX Corp. ............................................... 8,775
12,700 Evergreen Resources Inc.................................. 282,575
29,600 Forest Oil Corp.......................................... 242,350
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Oil & Gas Producers -- 1.5% (continued)
20,600 Grey Wolf Inc. .......................................... $ 72,100
1,300 Houston Exploration Co................................... 19,744
131,400 Marine Drilling Co. Inc.................................. 2,997,562
29,600 Meridian Resource Corp................................... 101,750
42,400 Nabors Industries Inc. .................................. 1,521,100
57,900 Newfield Exploration Co.................................. 1,794,900
133,100 Patterson Energy, Inc.................................... 3,036,344
17,213 Plains Resources Inc. ................................... 238,830
87,600 Pogo Producing Co.*...................................... 2,025,750
192,000 Precision Drilling Corp.................................. 5,496,000
85,300 Pride International Inc.................................. 1,263,507
18,600 Stone Energy Corp........................................ 755,625
12,300 Tom Brown, Inc........................................... 162,975
41,960 Vintage Petroleum, Inc.*................................. 608,420
14,800 WD-40 Co.*............................................... 273,800
- --------------------------------------------------------------------------------
27,591,664
- --------------------------------------------------------------------------------
Oil & Gas Services -- 0.6%
5,700 Cal Dive International, Inc.............................. 205,200
5,500 Carbo Ceramics Inc.*..................................... 119,625
10,100 Drill-Quip Inc........................................... 342,769
19,805 Friede Goldman International Inc......................... 103,976
46,800 Global Industries, Ltd. ................................. 479,700
49,000 Hanover Compressor Co.+.................................. 2,299,937
180,500 National Oilwell Inc.+................................... 4,377,125
73,940 Newpark Resources Inc.................................... 577,657
2,700 Oceaneering International, Inc........................... 51,300
42,700 UTI Energy Corp.......................................... 1,369,069
32,767 Veritas DGC Inc.......................................... 655,340
- --------------------------------------------------------------------------------
10,581,698
- --------------------------------------------------------------------------------
Packaging & Containers -- 0.1%
15,200 AEP Industries Inc....................................... 467,400
10,900 Earthshell Corp.+........................................ 66,081
3,300 Liqui-Box Corp.*......................................... 150,150
12,900 Shorewood Packaging Corp................................. 267,675
10,100 U.S. Can Corp............................................ 128,775
26,900 Gaylord Container Corp................................... 144,588
- --------------------------------------------------------------------------------
1,224,669
- --------------------------------------------------------------------------------
Pharmaceuticals -- 8.0%
54,000 Abgenix, Inc............................................. 17,394,750
3,000 Accredo Health, Inc...................................... 88,500
228,300 Advance Paradigm Inc..................................... 5,400,722
63,100 Algos Pharmaceuticals Corp.+............................. 1,258,056
89,900 Alkermes Inc.+........................................... 17,249,562
79,200 Alpharma Inc.*+.......................................... 2,742,300
146,678 Amerisource Health Corp.................................. 2,135,998
50,600 Anesta Corp.............................................. 1,125,850
21,300 Antigenics Inc. ......................................... 958,500
44,625 Barr Laboratories Inc.................................... 2,125,266
95,534 Bindley Western Industries Inc........................... 1,641,996
64,800 Biomatrix Inc.+.......................................... 1,903,500
4,700 Carter-Wallace Inc.*..................................... 84,894
55,200 Celgene Corp.+........................................... 9,135,600
20,000 Cell Pathways Inc.+...................................... 940,000
124,600 Cephalon Inc.+........................................... 8,282,006
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Pharmaceuticals -- 8.0% (continued)
15,300 ChiRex Inc............................................... $ 380,587
24,856 COR Therapeutics, Inc.+.................................. 2,227,719
16,300 Corixa Corp.............................................. 1,131,831
19,000 Coulter Pharmaceutical Inc.+............................. 736,250
140,800 Cubist Pharmaceuticals, Inc. ............................ 8,263,200
17,300 Cygnus Inc.+............................................. 318,969
107,500 Dura Pharmaceuticals Inc. ............................... 1,491,562
22,400 Duramed Pharmaceuticals, Inc............................. 268,800
10,000 Geltex Pharmaceuticals Inc............................... 219,375
117,191 Gilead Sciences Inc...................................... 8,965,112
28,400 Hemispherix Biopharma, Inc.+............................. 472,150
31,400 ImClone Systems Inc.+.................................... 4,115,363
30,800 Isis Pharmaceuticals Inc.+............................... 435,050
186,500 Jones Pharma Inc. ....................................... 13,381,375
12,900 K-V Phamaceuticals Co., Class B Shares................... 374,100
30,303 King Pharmaceutical Inc.+................................ 1,445,073
49,900 Ligand Pharmaceuticals, Inc.............................. 1,085,325
19,200 MacroChem Corp. of Delaware.............................. 129,600
2,200 Mannatech, Inc........................................... 10,450
114,150 Medicis Pharmaceutical Corp., Class A Shares ............ 5,757,441
233,500 NBTY, Inc. .............................................. 3,283,594
11,100 NCS Healthcare, Inc. .................................... 25,322
62,100 Natures Sunshine Products Inc.* ......................... 652,050
15,200 Pathogenesis Corp. ...................................... 469,300
50,300 Patterson Dental Co. .................................... 1,812,372
13,600 Pharmaceutical Resources Inc. ........................... 57,800
80,600 Pharmacyclics Inc. ...................................... 6,432,887
54,600 Priority Healthcare Corp., Class B Shares ............... 2,620,800
112,900 Rexall Sundown Inc. ..................................... 1,693,500
16,400 Sangstat Medical Corp. .................................. 709,300
6,200 Schein Pharmaceutical Inc. .............................. 79,437
17,500 Sicor, Inc. ............................................. 173,906
18,100 Supergen Inc.+........................................... 1,114,282
28,000 Syncor International Corp. .............................. 686,000
90,200 Theragenics Corp. ....................................... 1,245,888
36,600 Triangle Pharmaceuticals, Inc. .......................... 837,225
3,800 Vertex Pharmaceuticals .................................. 275,975
12,100 Veterinary Centers of America ........................... 133,857
- --------------------------------------------------------------------------------
145,980,327
- --------------------------------------------------------------------------------
Pipelines -- 0.0%
9,500 Transmontaigne, Inc. .................................... 61,750
- --------------------------------------------------------------------------------
Real Estate -- 0.1%
14,539 CB Richard Ellis Services Inc. .......................... 150,842
14,408 Forest City Enterprises Inc., Class A Shares* ........... 392,618
8,736 Getty Realty Corp. ...................................... 105,378
11,466 Insignia Financial Group, Inc. .......................... 136,159
33,100 Jones Lang Lasalle Inc. ................................. 405,475
1,900 LNR Property Corp.* ..................................... 37,050
27,900 Trammell Crow Co. ....................................... 334,800
- --------------------------------------------------------------------------------
1,562,322
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Real Estate Investment Trusts -- 0.6%
3,800 Alexander's Inc. ......................................... $ 287,612
800 Alexandria Real Estate Investment Co. .................... 24,450
11,300 Chateau Communities Inc. ................................. 279,675
3,200 Chelsea GCA Realty, Inc.* ................................ 84,800
26,700 Cousins Properties Inc.* ................................. 947,850
10,600 Federal Realty Investors Trust* .......................... 204,050
18,798 Health Care Property Investors, Inc.* .................... 467,606
6,600 Manufactured Home Communities, Inc.* ..................... 150,975
16,100 Mills Corp. .............................................. 272,694
9,000 National Golf Properties, Inc.* .......................... 194,062
600 Pennsylvania Real Estate Investment Trust* ............... 9,937
98,100 Pinnacle Holdings Inc. ................................... 5,738,850
20,800 Charles E. Smith Residential Reality, Inc.* .............. 726,700
16,700 Town & Country Trust* .................................... 293,294
5,200 Ventas, Inc. ............................................. 17,550
34,300 Washington Real Estate Investment Trust .................. 527,363
5,100 Weingarten Realty Investors .............................. 191,250
1,700 Westfield America Inc. ................................... 24,013
- --------------------------------------------------------------------------------
10,442,731
- --------------------------------------------------------------------------------
Retail -- 3.3%
65,900 Ames Department Stores Inc. .............................. 930,837
20,600 Ann Taylor Stores Corp. .................................. 392,687
19,800 Applebee's International, Inc. ........................... 557,494
8,000 Avado Brands, Inc. ....................................... 34,750
20,000 Barnes&Noble.com, Inc. ................................... 160,000
3,200 Bebe Stores Inc.+......................................... 33,800
27,400 Beyond.com Corp.+......................................... 142,994
1,000 Boise Cascade Office Products ............................ 14,875
12,600 Bombay Co. ............................................... 45,675
39,000 Borders Group, Inc. ...................................... 480,188
8,459 Buckle Inc.+.............................................. 123,713
4,200 Burlington Coat Factory Wholesale Corp.* ................. 48,038
17,854 CDnow, Inc. .............................................. 142,832
97,762 CEC Entertainment, Inc. .................................. 2,224,086
36,900 CKE Restaurants, Inc.* ................................... 235,237
19,600 CSK Auto Corp. ........................................... 225,400
46,046 Casey's General Stores Inc.* ............................. 385,635
2,200 Cato Corp. ............................................... 22,000
3,300 Cheap Tickets Inc.+....................................... 52,181
19,250 The Cheesecake Factory, Inc. ............................. 572,687
13,600 Chico's Fas Inc. ......................................... 171,700
18,100 The Children's Place Retail Stores, Inc.+................. 213,806
3,000 Coldwater Creek Inc....................................... 54,375
12,800 CompUSA, Inc. ............................................ 128,000
20,256 Consolidated Products Inc................................. 203,824
40,340 Copart Inc................................................ 848,401
44,700 Cost Plus Inc............................................. 829,744
4,200 Creative Computers, Inc................................... 49,350
10,900 Cyberian Outpost, Inc.+................................... 96,056
13,400 Dave & Buster's Inc....................................... 86,262
5,300 David's Bridal, Inc. ..................................... 49,687
3,700 Deb Shops Inc.*........................................... 57,350
5,300 DELIA*s Inc............................................... 33,787
64,375 Dollar Tree Stores Inc.................................... 2,498,555
92,500 Duane Reade Inc.+......................................... 2,214,219
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Retail -- 3.3% (continued)
24,777 Egghead.com Inc........................................ $ 227,639
5,600 Electronics Boutique Holdings Corp..................... 81,900
13,500 Factory 2-u Stores, Inc................................ 327,375
2,000 Fatbrain.com, Inc.+.................................... 35,500
8,600 The Finish Line, Class A Shares........................ 51,600
8,800 Footstar Inc. ......................................... 217,250
132,400 Genesco Inc............................................ 1,357,100
8,774 Goody's Family Clothing Inc............................ 61,418
16,900 Group 1 Automotive Inc................................. 164,775
25,500 Guitar Center, Inc..................................... 235,875
4,700 Gymboree Corp. ........................................ 22,031
2,007,200 Hanover Direct Inc..................................... 5,519,800
2,200 Haverty Furniture Companies, Inc.*..................... 23,787
32,300 Hollywood Entertainment Corp........................... 329,056
18,400 IHOP Corp.............................................. 284,050
51,650 Insight Enterprises Inc. .............................. 1,620,519
13,050 InterTAN Inc........................................... 116,634
119,200 Jack In The Box Inc.................................... 2,391,450
50,700 Kenneth Cole Productions, Inc.......................... 2,585,700
11,700 Lands' End Inc. ....................................... 388,294
6,000 Lithia Motors, Inc., Class A Shares.................... 89,625
27,900 MSC Industrial Direct Co., Inc. ....................... 435,937
119,118 The Men's Wearhouse, Inc............................... 2,765,773
46,600 Michaels Stores Inc.................................... 1,264,027
5,300 Movado Group, Inc.*.................................... 95,400
33,500 Musicland Stores Corp.................................. 228,219
10,980 NPC International, Inc................................. 90,585
12,924 99 Cents Only Stores................................... 323,908
8,500 O' Charley's Inc. ..................................... 95,625
23,000 Officemax Inc.......................................... 162,437
37,404 O'Reilly Automotive, Inc............................... 523,656
4,200 PC Connection Inc...................................... 110,512
3,300 P.F. Chang's China Bistro, Inc......................... 99,206
108,088 Pacific Sunware of California.......................... 2,749,478
25,325 Papa John's International Inc.......................... 607,800
121,800 PETsMART, Inc. ........................................ 403,462
90,300 Pier 1 Imports Inc.*................................... 790,125
10,100 RARE Hospitality International Inc. ................... 190,638
34,690 Regis Corp.*........................................... 537,695
13,700 Restoration Hardware Inc. ............................. 78,775
76,300 RoweCom Inc. +......................................... 1,917,037
28,300 Ruby Tuesday Inc.* .................................... 479,331
19,300 School Specialty, Inc. ................................ 332,925
75,300 7-Eleven, Inc. ........................................ 195,309
10,300 Shoe Carnival, Inc. ................................... 88,837
28,400 Shop At Home, Inc. .................................... 312,400
207,500 ShopNow.com Inc. ...................................... 2,905,000
19,530 Sonic Corp. ........................................... 473,602
24,500 Stein Mart Inc. ....................................... 105,656
41,754 Sunglass Hut International Inc. ....................... 357,519
2,000 Systemax Inc. ......................................... 19,750
3,200 The Talbots, Inc. ..................................... 115,800
2,600 Tractor Supply Co. .................................... 46,800
21,600 Trans World Entertainment Corp. ....................... 229,500
4,500 Tuesday Morning Corp. ................................. 58,500
119,000 Tweeter Home Entertainment Group....................... 3,644,375
2,300 UBid Inc.+............................................. 76,044
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Retail -- 3.3% (continued)
10,500 Urban Outfitters Inc. ................................... $ 121,406
5,500 Value America Inc.+...................................... 22,688
1,700 West Marine, Inc. ....................................... 14,662
10,600 Wet Seal Inc., Class A Shares............................ 109,312
13,750 Whitehall Jewelers, Inc. ................................ 268,984
62,200 Williams-Sonoma, Inc. ................................... 1,924,312
96,300 Zale Corp. .............................................. 3,623,288
- --------------------------------------------------------------------------------
59,487,898
- --------------------------------------------------------------------------------
Savings & Loans -- 0.1%
14,500 Capitol Federal Financial*............................... 138,656
4,800 First Federal Capital Corp.*............................. 51,600
2,800 First Financial Holdings Inc.*........................... 42,700
500 Flagstar Bancorp Inc.*................................... 6,437
6,400 Great Southern Bancorp. Inc.*............................ 136,000
1,785 Harris Financial Inc.*................................... 11,156
3,000 Hudson River Bancorp. Inc.*.............................. 31,125
24,200 Net.B@nk, Inc.+.......................................... 366,027
2,000 Niagara Bancorp, Inc.*................................... 18,000
2,800 Northwest Bancorp Inc.*.................................. 19,250
11,200 Queens County Bancorp Inc.*.............................. 212,800
4,110 Roslyn Bancorp Inc.*..................................... 63,191
2,700 Seacoast Financial Services Corp.*....................... 26,662
4,800 United Community Financial*.............................. 33,600
- --------------------------------------------------------------------------------
1,157,204
- --------------------------------------------------------------------------------
Semiconductors -- 7.3%
148,200 ATMI, Inc. .............................................. 6,993,187
21,200 Actel Corp. ............................................. 690,325
18,400 Alpha Industries, Inc. .................................. 2,671,450
17,500 American Xtal Technology, Inc.+.......................... 763,437
126,700 Amkor Technology, Inc. .................................. 6,580,481
44,600 Applied Micro Circuits Corp. ............................ 12,267,787
42,508 Burr-Brown Corp. ........................................ 2,494,659
27,800 Cree Research, Inc. ..................................... 5,222,925
134,300 Cypress Semiconductor Corp. ............................. 6,127,438
121,600 Dallas Semiconductor*.................................... 4,909,600
54,300 DuPont Photomasks Inc. .................................. 3,176,550
23,669 Etec Systems, Inc. ...................................... 2,787,764
3,200 Electroglas Inc. ........................................ 124,000
10,700 EMCORE Corp. ............................................ 1,391,000
66,100 Fairchild Semiconductor Corp. ........................... 2,495,275
31,300 General Semiconductor Inc. .............................. 522,319
119,100 GlobeSpan, Inc. ......................................... 8,992,050
4,800 hi/fn, Inc. ............................................. 361,800
62,300 International Rectifier Corp. ........................... 2,608,812
32,900 Kopin Corp. ............................................. 2,438,713
51,400 Lam Research Corp.+...................................... 8,024,825
66,600 Lattice Semiconductor.................................... 4,678,650
7,800 MKS Instruments, Inc. ................................... 354,900
3,500 Maker Communications Inc. ............................... 226,188
111,800 MIPS Technology Inc. .................................... 6,540,300
14,500 PLX Technology, Inc. .................................... 415,063
55,900 Phoenix Technology Ltd. ................................. 1,596,645
151,200 Photronics, Inc. ........................................ 6,435,450
28,200 Rudolph Technologies, Inc. .............................. 1,272,525
47,400 Semtech Corp.+........................................... 2,962,500
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Semiconductors -- 7.3% (continued)
5,400 Silicon Valley Group Inc. ............................... $ 136,687
25,500 Siliconix Inc. .......................................... 2,065,500
30,600 St Assembly Test Service Ltd. ........................... 1,468,800
54,700 TranSwitch Corp. ........................................ 6,427,250
126,200 Tri Quint Semiconductor, Inc.+........................... 14,986,250
12,900 Ultratech Stepper, Inc. ................................. 225,750
21,700 Varian Semiconductor Equipment Associates, Inc. ......... 1,261,312
- --------------------------------------------------------------------------------
132,698,167
- --------------------------------------------------------------------------------
Shipbuilding -- 0.1%
34,000 Newport News Shipbuilding Inc.*.......................... 962,625
- --------------------------------------------------------------------------------
Software -- 20.1%
106,400 AVT Corp. ............................................... 2,812,950
3,800 About.com, Inc. ......................................... 266,950
44,000 Acclaim Entertainment Inc.+.............................. 218,625
69,500 Accrue Software Inc. .................................... 3,262,156
112,200 Activision Inc. ......................................... 1,423,537
45,700 Actuate Software Corp. .................................. 2,850,537
9,800 Advantage Learning Systems, Inc. ........................ 150,675
13,600 Advent Software Inc. .................................... 1,233,350
6,800 Allaire Corp. ........................................... 879,750
118,800 Allscripts, Inc.+........................................ 8,197,200
112,000 American Management Systems Inc. ........................ 3,563,000
3,900 AppliedTheory Corp. ..................................... 110,419
15,800 Ardent Software, Inc. ................................... 878,875
12,900 Ashton Technology Group, Inc. ........................... 131,419
25,400 Aspect Development Inc. ................................. 3,781,425
25,800 Aspen Technology, Inc. .................................. 1,154,550
56,200 Audible, Inc. ........................................... 716,550
9,000 Autobytel.com Inc.+...................................... 96,187
5,300 AutoWeb.com.............................................. 31,800
8,000 Avid Technology, Inc. ................................... 140,500
27,200 Banyan Systems Inc. ..................................... 904,400
48,500 BARRA Inc. .............................................. 1,699,016
36,400 Bindview Development Corp.+.............................. 1,228,500
7,400 Bottomline Technologies, Inc. ........................... 289,062
133,100 Brio Technology Inc. .................................... 5,332,319
85,700 Broadvision Inc. ........................................ 21,644,606
6,300 CAIS Internet, Inc. ..................................... 240,975
24,100 CCC Information Services Group, Inc. .................... 557,313
25,300 CSG Systems International, Inc. ......................... 1,299,788
30,000 Cerner Corp. ............................................ 1,063,125
32,400 Choicepoint Inc. ........................................ 1,221,075
23,500 Clarify Inc. ............................................ 3,391,344
60,600 Clarus Corp. ............................................ 7,067,475
46,000 Concentric Network Corp. ................................ 2,466,750
44,200 Concord Communications Inc.+............................. 1,977,950
14,500 Concur Technologies, Inc. ............................... 349,812
41,200 Critical Path, Inc. ..................................... 3,548,350
18,200 CyberCash Inc.+.......................................... 191,100
16,600 Datastream Systems, Inc. ................................ 371,425
104,250 Dendrite International Inc.+............................. 2,567,156
94,700 Digital River, Inc. ..................................... 3,409,200
14,500 Documentum, Inc. ........................................ 1,093,844
22,100 EarthWeb Inc.+........................................... 591,175
167,000 Eclipsys Corp. .......................................... 4,008,000
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Software -- 20.1% (continued)
5,600 Efax.com................................................. $ 37,100
70,100 Elot, Inc. .............................................. 420,600
14,400 Engineering Animation Inc.+.............................. 255,600
44,633 Epicor Software Corp. ................................... 398,907
11,900 Excalibur Technologies Corp. ............................ 440,300
12,800 Exchange Applications, Inc. ............................. 1,390,400
26,800 Fair, Issac & Co., Inc.*................................. 1,308,175
8,700 Flashnet Communications, Inc. ........................... 59,812
22,200 GT Interactive Software Corp. ........................... 90,187
26,400 Globix Corp. ............................................ 1,384,350
35,600 Go2Net, Inc. ............................................ 3,097,200
16,400 Great Plains Software Inc. .............................. 1,140,825
41,400 HNC Software, Inc. ...................................... 4,072,725
42,100 Harbinger Corp. ......................................... 1,349,831
2 Healtheon/WebMD Corp. ................................... 97
9,400 Hearme Inc. ............................................. 195,637
48,235 Hyperion Solutions Corp.+................................ 2,381,603
15,100 IDX Systems Corp. ....................................... 547,375
22,450 IMRglobal Corp. ......................................... 273,609
276,800 Infocure Corp.+.......................................... 5,224,600
47,500 Informatica Corp. ....................................... 8,146,250
221,600 Informix Corp.+.......................................... 3,545,600
24,700 InfoUSA Inc., Class B Shares............................. 308,750
12,900 Inspire Insurance Solutions, Inc. ....................... 49,987
22,300 Inter-Tel Inc.*.......................................... 875,275
10,000 InterVU Inc. ............................................ 1,479,375
20,800 Intraware, Inc. ......................................... 1,589,900
5,900 iTurf Inc., Class A Shares............................... 64,900
19,700 iVillage Inc.+........................................... 369,375
36,650 JDA Software Group, Inc. ................................ 742,162
6,600 Juno Online Services Inc. ............................... 152,625
21,700 Keynote Systems, Inc. ................................... 3,553,375
4,300 Launch Media Inc. ....................................... 83,850
37,400 Learn2.com Inc. ......................................... 227,906
48,400 Lightspan Partnership, Inc. ............................. 532,400
67,100 Liquid Audio, Inc. ...................................... 1,711,050
19,500 MAPICS Inc. ............................................. 302,250
13,200 Manugistics Group Inc. .................................. 749,925
4,200 MapQuest.com Inc. ....................................... 76,125
3,700 MarketWatch.com, Inc. ................................... 158,637
2,600 Media Metrix, Inc. ...................................... 91,325
116,200 Mediconsult.com, Inc. ................................... 718,987
154,200 Mercury Interactive Corp. ............................... 14,861,025
180,900 MessageMedia, Inc.+...................................... 2,532,600
105,900 MicroStrategy Inc. ...................................... 14,726,719
101,000 Micromuse Inc. .......................................... 14,323,063
112,294 Midway Games Inc. ....................................... 1,663,355
14,700 Multex.com............................................... 448,350
66,500 MyPoints.com Inc. ....................................... 3,117,187
12,800 NBC Internet, Inc. ...................................... 672,800
85,500 National Data Corp.*..................................... 2,650,500
139,800 National Instruments Corp. .............................. 6,277,894
27,800 NeoMagic Corp. .......................................... 150,294
6,500 NEON Systems, Inc. ...................................... 217,750
11,100 Net Perceptions Inc. .................................... 542,512
204,500 Netopia, Inc. ........................................... 17,638,125
7,000 NetObjects Inc. ......................................... 260,750
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Software -- 20.1% (continued)
159,400 New Era of Networks Inc. ................................ $ 14,605,025
19,100 NVIDIA Corp.+............................................ 1,222,400
4,500 Omega Research Inc. ..................................... 24,750
18,200 OneMain.com, Inc. ....................................... 233,187
9,000 OnHealth Network Co. .................................... 84,375
6,500 Onyx Software Corp. ..................................... 518,375
37,400 Open Market Inc. ........................................ 1,874,675
106,100 PC-Tel, Inc. ............................................ 7,214,800
2,600 pcOrder.com Inc. ........................................ 68,900
8,600 Pegasus Systems Inc. .................................... 202,100
30,564 Per-Se Technologies, Inc. ............................... 240,694
259,800 Peregrine Systems Inc. .................................. 14,191,575
16,800 Pervasive Software Inc. ................................. 179,550
45,300 Pinnacle Systems, Inc. .................................. 2,270,662
40,200 Policy Management Systems Corp. ......................... 356,775
17,200 Preview Systems, Inc. ................................... 911,600
14,500 Preview Travel Inc.+..................................... 667,906
120,450 ProBusiness Services, Inc. .............................. 3,267,206
2,600 Private Business Inc. ................................... 10,725
45,400 Procurenet.com........................................... 0
116,308 Progress Software Corp. ................................. 2,900,431
14,200 Project Software & Development, Inc. .................... 1,099,612
25,600 Proxim, Inc.+............................................ 1,072,000
24,500 Puma Technology, Inc. ................................... 4,325,781
18,400 Quadramed Corp. ......................................... 165,600
21,100 Quest Software, Inc. .................................... 2,460,787
68,900 Rare Medium Group, Inc. ................................. 4,134,000
15,500 Razorfish Inc.+.......................................... 519,250
59,200 RealNetworks, Inc.+...................................... 4,162,500
42,500 Remedy Corp. ............................................ 2,409,219
59,200 Rhythms NetConnections Inc. ............................. 2,112,700
8,700 SPSS Inc. ............................................... 270,787
41,189 S1 Corp. ................................................ 4,144,643
26,700 SVI Holdings, Inc.+...................................... 285,356
31,300 SAGA Systems, Inc. ...................................... 1,062,245
14,100 Sagent Technology, Inc. ................................. 245,869
3,900 SalesLogix Corp. ........................................ 108,712
52,900 Sanchez Computer Associates, Inc.+....................... 2,565,652
19,300 Santa Cruz Operation, Inc. .............................. 332,925
11,000 Schawk, Inc. ............................................ 85,250
9,600 Serena Software, Inc. ................................... 405,000
3,500 Silknet Software, Inc. .................................. 784,219
30,400 Silverstream Software, Inc. ............................. 2,606,800
100,000 Smartforce PLC ADR....................................... 4,406,250
19,600 Softnet Systems, Inc. ................................... 725,200
17,100 Software.com+............................................ 1,645,877
17,600 SportsLine.com, Inc. .................................... 811,800
18,400 Spyglass, Inc. .......................................... 1,076,400
9,100 SS&C Technologies, Inc. ................................. 51,188
38,600 Structural Dynamics Research Corp. ...................... 550,050
72,500 Sunquest Information Systems, Inc. ...................... 797,500
89,000 Sybase, Inc. ............................................ 2,230,562
45,950 THQ Inc.+................................................ 927,616
98,100 TSI International Software Ltd. ......................... 8,320,106
13,900 Telescan, Inc. .......................................... 283,212
5,100 Tenfold Corp. ........................................... 255,956
10,600 theglobe.com, Inc. ...................................... 82,150
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Software -- 20.1% (continued)
5,400 TheStreet.com Inc. ...................................... $ 62,437
21,700 3Dfx Interactive, Inc. .................................. 200,725
36,600 Transaction Systems Architects, Inc.+.................... 1,651,575
14,600 24/7 Media, Inc.+........................................ 678,900
5,500 Unigraphics Solutions, Inc. ............................. 152,281
15,600 USinternetworking Inc.+.................................. 1,041,300
32,000 Verity, Inc. ............................................ 1,708,000
52,000 VerticalNet, Inc.+....................................... 11,440,000
29,100 Vignette Corp. .......................................... 6,707,550
20,100 Wavo Corp. .............................................. 149,495
7,300 WebTrends Corp. ......................................... 693,500
57,583 Wind River Systems Inc. ................................. 3,343,415
9,700 Worldgate Communication Inc. ............................ 334,650
14,600 Ziff-Davis Inc. - ZDNet+................................. 468,113
17,300 Zixit Corp.+............................................. 930,416
- --------------------------------------------------------------------------------
366,226,943
- --------------------------------------------------------------------------------
Telecommunication Equipment -- 5.9%
22,000 ADTRAN Inc. ............................................. 1,618,375
117,700 Advanced Fibre Communications, Inc. ..................... 8,018,312
27,400 Advanced Radio Telecom Corp. ............................ 1,041,200
139,000 Anaren Microwave Inc. ................................... 10,546,625
44,600 Andrew Corp. ............................................ 1,103,850
107,491 Antec Corp.+............................................. 5,690,305
17,700 Aware Inc. .............................................. 1,115,100
46,200 C-COR.net Corp. ......................................... 2,066,006
11,000 Carrier Access Corp. .................................... 624,250
39,600 CellNet Data Systems Inc.+............................... 56,925
121,966 CommScope Inc. .......................................... 4,749,051
18,800 Com21 Inc. .............................................. 1,316,000
74,900 Digital Microwave Corp. ................................. 2,499,787
45,300 Harmonic Inc.+........................................... 6,203,269
14,300 IPC Communications, Inc. ................................ 3,417,700
90,400 InterDigital Communications Corp. ....................... 2,887,150
26,500 International Fibercom, Inc. ............................ 834,750
3,900 eShare Technologies, Inc. ............................... 58,744
110,100 Metromedia Fiber Network Inc., Class A Shares+........... 7,915,158
13,600 Network Equipment Technologies........................... 142,800
16,600 North Pittsburgh Systems Inc. ........................... 209,575
4,900 NorthEast Optic Network, Inc. ........................... 550,025
17,700 Optical Cable Corp.+..................................... 942,525
50,400 P-Com, Inc. ............................................. 919,800
95,300 Paging Network Inc.+..................................... 276,966
74,200 Pairgain Technologies Inc ............................... 1,326,325
18,200 Plantronics, Inc. ....................................... 1,445,762
21,100 Powerwave Technologies, Inc. ............................ 3,373,362
13,000 Proxicom, Inc. .......................................... 1,865,500
70,300 RF Micro Devices, Inc. .................................. 9,723,369
34,300 SBA Communications Corp. ................................ 1,389,150
9,382 Superior TeleCom Inc.*................................... 117,275
800 Superior Trust........................................... 10,000
30,900 Tekelec.................................................. 1,591,350
64,600 Terayon Communication Systems, Inc. ..................... 16,610,275
51,600 Tut Systems, Inc. ....................................... 2,160,750
37,200 WebLink Wireless, Inc. .................................. 669,600
18,400 Westell Technologies Inc.+............................... 630,200
68,800 World Access, Inc.+...................................... 1,307,200
- --------------------------------------------------------------------------------
107,024,366
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Telecommunications -- 4.0%
15,900 Adaptive Broadband Corp. ................................ $ 1,828,997
14,500 Adelphia Business Solutions, Inc. ....................... 744,937
17,697 Aerial Communications, Inc. ............................. 1,060,714
91,500 Allegiance Telecom, Inc.+................................ 9,047,062
18,334 American Mobile Satellite................................ 531,686
163,600 Aspect Telecommunications Corp. ......................... 10,541,976
107,600 CTC Communications Group................................. 8,070,000
48,400 Caprock Communications Corp. ............................ 2,132,625
155,600 Cellular Telecom......................................... 5,640,500
46,500 Commonwealth Telephone Enterprises, Inc.................. 2,028,562
49,200 Dobson Communications Corp.+............................. 934,800
54,900 e.spire Communications Inc. ............................. 686,250
9,400 Electric Lightway Inc., Class A Shares................... 213,850
22,800 IDT Corp. ............................................... 843,956
68,100 ITC DeltaCom, Inc. ...................................... 2,583,544
5,500 Inet Technologies, Inc. ................................. 238,562
52,200 LCG Communications, Inc. ................................ 1,637,775
142,500 Latitude Communications Inc. ............................ 3,010,312
20,500 Leap Wireless International, Inc. ....................... 1,797,594
18,900 MGC Communications, Inc. ................................ 1,304,100
41,250 MasTec, Inc. ............................................ 2,377,031
15,300 Metricom, Inc. .......................................... 1,191,487
31,000 Omnipoint Corp.+......................................... 3,651,074
36,800 PTEK Holdings, Inc. ..................................... 388,700
16,500 Pacific Gateway Exchange Inc.+........................... 334,125
38,486 Powertel, Inc. .......................................... 3,603,254
158,570 Price Communications Corp. .............................. 3,785,860
39,300 Star Telecommunications, Inc. ........................... 235,800
39,575 TALK.com, Inc.+.......................................... 667,828
37,900 US LEC Corp., Class A Shares............................. 1,648,650
8,300 West TeleServices Corp. ................................. 163,925
- --------------------------------------------------------------------------------
72,925,536
- --------------------------------------------------------------------------------
Telephone -- 1.0%
14,600 CFW Communications Co.*.................................. 627,800
74,200 Intermedia Communications Inc.+.......................... 4,697,805
71,400 Nextlink Communications, Class A Shares+................. 7,867,387
45,180 Primus Telecommunications Group, Inc.+................... 1,982,272
58,948 Viatel, Inc. ............................................ 3,319,510
- --------------------------------------------------------------------------------
18,494,774
- --------------------------------------------------------------------------------
Textiles -- 0.0%
21,000 G & K Services Inc., Class A Shares...................... 357,000
- --------------------------------------------------------------------------------
Tobacco -- 0.0%
4,305 Brooke Group Ltd.*+...................................... 57,041
- --------------------------------------------------------------------------------
Toys/Games/Hobbies -- 0.1%
16,300 Action Performance Companies, Inc.+...................... 147,719
28,500 The Boyds Collection, Ltd. .............................. 181,688
9,600 Department 56 Inc. ...................................... 135,600
16,500 Jakks Pacific, Inc. ..................................... 272,250
4,200 Marvel Enterprises, Inc. ................................ 25,987
12,000 Racing Champions Corp. .................................. 39,000
96,900 The Topps Co., Inc. ..................................... 726,750
- --------------------------------------------------------------------------------
1,528,994
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Transportation -- 0.4%
10,500 American Freightways Corp. ...................... $ 114,187
15,750 Atlas Air, Inc. ................................. 380,952
39,600 C.H. Robinson Worldwide, Inc. ................... 2,019,600
3,500 Convenant Transport.............................. 40,250
35,650 Eagle USA Airfreight Inc.+....................... 1,002,656
1,800 Florida East Coast Industries, Inc.*............. 73,350
40,950 Forward Air Corp. ............................... 941,850
9,885 Heartland Express, Inc. ......................... 141,170
25,400 Kirby Corp. ..................................... 492,125
7,400 Knight Transportation Inc. ...................... 121,175
6,800 Landstar Systems, Inc. .......................... 382,075
900 M.S. Carriers, Inc. ............................. 19,912
38,100 Swift Transportation Co., Inc. .................. 564,358
41,800 US Freightways Corp.*............................ 1,389,850
9,800 Wisconsin Central Transportation Corp. .......... 121,275
- --------------------------------------------------------------------------------
7,804,785
- --------------------------------------------------------------------------------
Water -- 0.0%
4,800 Philadelphia Suburban Corp.*..................... 88,800
- --------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $1,130,615,480)...... 1,780,382,577
- --------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS -- 0.1%
$1,200,000.00 U.S. Treasury Bills, 5.200% due 3/30/00 (Cost --
$1,194,973)++.................................. 1,194,973
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.0%
37,100,000 J.P. Morgan Securities, 5.760% due 3/1/00;
Proceeds at maturity -- $37,105,936;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 4.750% to 12.750%; due 5/25/00 to
8/15/28; Market value -- $38,588,839) (Cost --
$37,100,000)................................... 37,100,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$1,168,910,453**).............................. $1,818,677,550
- --------------------------------------------------------------------------------
</TABLE>
+ All or a portion of the security is on loan (See Note 11).
* Income producing security.
++ Security has been partially segregated by Custodian for futures contracts
commitments.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
Classification of Investments
Other Common Stock 31.9%
Software 20.1%
Computers 10.4%
Pharmaceuticals 8.0%
Biotechnology 4.6%
Semiconductors 7.3%
Commercial Services 4.7%
Telecommunications Equipment 5.9%
Electronics 5.0%
U.S. Government Obligations and
Repurchase Agreement 2.1%
See Notes to Financial Statements.
57
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
STOCK -- 96.6%
- --------------------------------------------------------------------------------
Australia -- 1.1%
40,662 Amcor Ltd. ........................................ $ 149,847
31,201 AMP Diversified Property Trust..................... 44,459
64,976 AMP Ltd. .......................................... 590,284
216,537 Australia New Zealand Banking Group Ltd. .......... 1,331,303
21,408 Australian Gas Light Co. Ltd. ..................... 105,849
31,715 Boral Ltd.(a)...................................... 45,387
13,400 Brambles Industries Ltd. .......................... 336,619
7,200 British American Tobacco Co. PLC................... 53,510
323,034 Broken Hill Proprietary Co. Ltd. .................. 3,192,782
65,392 Coca Cola Amatil Ltd. ............................. 129,730
74,015 Coles Myer Ltd. ................................... 310,038
53,485 Colonial Ltd. ..................................... 203,017
6,000 CSL Ltd. .......................................... 80,337
71,400 CSR Ltd. .......................................... 155,681
26,048 David Jones Ltd. .................................. 20,158
13,300 Delta Gold NL...................................... 17,808
24,266 Email Ltd. ........................................ 30,702
10,918 F. H. Faulding & Co. Ltd. ......................... 55,658
93,751 Fosters Brewing Group Ltd. ........................ 246,336
40,361 Futuris Corp. Ltd. ................................ 41,648
105,688 General Property Trust............................. 166,179
1,160 GIO Australia Holdings Ltd. ....................... 61,639
78,866 Goodman Fielder Ltd. .............................. 56,675
13,403 Howard Smith Ltd. ................................. 67,916
10,786 Iluka Resources Ltd. .............................. 24,510
30,432 James Hardie Industries Ltd. ...................... 68,224
19,600 Leighton Holdings Ltd. ............................ 57,182
26,092 Lend Lease Corp. Ltd. ............................. 342,951
101,125 M.I.M. Holdings Ltd. .............................. 63,974
24,712 Mayne Nickless Ltd. ............................... 47,962
89,197 National Australia Bank Ltd. ...................... 1,172,397
18,442 Newcrest Mining Ltd.* ............................. 49,273
104,738 News Corp. Ltd. ................................... 1,526,814
112,753 News Corp. Ltd. Preferred.......................... 1,411,169
111,415 Normandy Mining Ltd. .............................. 59,535
48,575 North Ltd. ........................................ 82,045
16,500 Orica Ltd. ........................................ 67,494
31,715 Origin Energy Ltd. ................................ 24,330
70,800 Pacific Dunlop Ltd. ............................... 70,011
53,610 Pioneer International Ltd. ........................ 142,908
22,655 QBE Insurance Group Ltd. .......................... 102,968
11,820 Resolute Ltd. ..................................... 1,814
14,486 Rio Tinto Ltd. .................................... 207,307
40,825 Santos Ltd. ....................................... 96,036
8,486 Sons of Gwalia Ltd. ............................... 24,289
39,803 Southcorp Ltd. .................................... 108,056
25,842 Stockland Trust Group.............................. 53,172
12,705 Suncorp-Metway Ltd. ............................... 60,243
18,701 TABCORP Holdings Ltd. ............................. 111,413
479,164 Telstra Corp Ltd.(a)............................... 2,249,066
17,040 Wesfarmers Ltd. ................................... 129,716
90,144 Westfield Trust.................................... 170,528
106,603 Westpac Bank Corp Ltd.(a).......................... 680,947
470,921 WMC Ltd. .......................................... 1,770,152
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Australia -- 1.1% (continued)
79,700 Woodside Petroleum Ltd. ......................... $ 455,252
74,931 Woolworths Ltd................................... 229,654
- ------------------------------------------------------------------------------
19,154,954
- ------------------------------------------------------------------------------
Austria -- 0.1%
200 Austria Mikro Systeme International AG(a)........ 8,896
1,603 Austria Tabakwerke AG............................ 63,895
2,800 Austrian Airlines Osterreichishe Luftverkehrs
AG.............................................. 43,943
8,668 Bank Austria AG.................................. 377,218
300 Bau Holding AG................................... 12,217
1,000 Boehler-Uddeholm AG.............................. 37,250
100 BWT AG........................................... 31,483
1,800 Flughafen Wien AG*............................... 64,815
606 Generali Holding Vienna AG....................... 94,222
200 Lenzing AG....................................... 10,879
1,000 Mayr-Melnhof Karton AG........................... 54,956
680 Oesterreichische Brau-Beteiligungs AG*........... 26,253
2,681 Oesterreichische Elektrizitaetswirschafts AG,
Class A Shares.................................. 316,204
1,976 OMV AG........................................... 154,691
1,573 RHI AG........................................... 42,602
1,200 VA Technologie AG................................ 70,938
5,600 Wienerberger Baustoffindustrie AG................ 103,519
- ------------------------------------------------------------------------------
1,513,981
- ------------------------------------------------------------------------------
Belgium -- 0.3%
45 Almanij NV - STRIP VVPR*......................... 3
900 Barco NV......................................... 109,614
3,230 Bekaert NV....................................... 142,585
250 Cimenteries CBR Cementbedrijven - STRIP VVPR*.... 2
3,152 Colruyt NV....................................... 127,458
600 Compagnie Maritime Belge S.A. ................... 25,995
25 Copeba........................................... 1,343
450 D'ieteren S.A. .................................. 129,977
3,798 Delhaize-Le Lion S.A. ........................... 217,208
275 Dolmen Computer Applications*.................... 6,325
4,430 Electrabel S.A.(a)............................... 1,197,239
625 Electrabel S.A. - STRIP VVPR*.................... 90
55,709 Fortis AG........................................ 1,394,548
41,418 Fortis AG - STRIP VVPR*.......................... 398
110 Generale De Banque S.A. - STRIP VVPR*............ 2
450 Glaverbel S.A. .................................. 30,328
1,647 Groupe Buxeless Lambert S.A. .................... 357,301
23,162 KBC Bancassurance Holdings NV(a)................. 885,322
2,140 KBC Bancassurance Holdings NV - STRIP VVPR*...... 41
175 Royal Belge - STRIP VVPR*........................ 3
6,571 Solvay S.A. ..................................... 457,419
750 Tractebel - STRIP VVPR*.......................... 7
10,714 UCB S.A. ........................................ 365,681
1,700 Union Miniere S.A. .............................. 55,649
- ------------------------------------------------------------------------------
5,504,538
- ------------------------------------------------------------------------------
Brazil -- 0.3%
182,495 Embratel Participacoes ADR....................... 4,379,880
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
59
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Canada -- 1.8%
202,300 BCE Inc.*........................................ $ 22,028,532
172,800 Seagrams Co. Ltd.(a)............................. 9,699,903
- ------------------------------------------------------------------------------
31,728,435
- ------------------------------------------------------------------------------
Denmark -- 0.3%
1,015 Bang & Olufsen Holdings A/S, Class B Shares(a)... 36,844
2,945 Carlsberg A/S, Class A Shares.................... 93,158
2,760 Carlsberg A/S, Class B Shares.................... 93,031
81 D/S 1912, Class B Shares......................... 842,185
54 D/S Svendborg, Class B Shares.................... 791,080
4,050 Danisco A/S...................................... 123,387
4,025 Den Danske Bank Group............................ 384,575
1,710 Ostasiatiske Kompagni A/S*....................... 20,838
4,190 FLS Industries A/S, Class B Shares............... 70,616
800 Falck A/S........................................ 87,638
3,125 ISS International Service System A/S, Class B
Shares.......................................... 208,643
2,000 Navison Software A/S*............................ 207,428
600 NKT Holdings A/S................................. 39,359
5,460 Novo Nordisk A/S, Class B Shares................. 690,153
825 Radiometer A/S, Class B Shares................... 31,017
3,750 SAS Danmark A/S(a)............................... 38,649
14,130 Teledanmark A/S.................................. 1,161,394
2,500 Topdanmark A/S*.................................. 40,837
6,425 Unidanmark A/S, Class A Shares................... 366,500
600 Vestas Wind Systems A/S*......................... 169,183
900 William Demant A/S............................... 128,346
- ------------------------------------------------------------------------------
5,624,861
- ------------------------------------------------------------------------------
Finland -- 1.6%
1,900 Amer Group Ltd................................... 49,391
1,387 Finnlines Oyj.................................... 40,596
4,306 Hartwall Oyj AB.................................. 63,845
1,960 Instrumentarium Oyj(a)........................... 63,877
10,900 Kemira Oyj....................................... 68,214
6,500 Kesko Oyj, Class B Shares(a)..................... 86,050
1,200 Kone Corp., Class B Shares(a).................... 58,923
67,766 Merita PLC....................................... 368,633
1,100 Metra Oyj, Class A Shares(a)..................... 22,399
3,600 Metra Oyj, Class B Shares........................ 73,827
10,076 Metso Group Oyj.................................. 131,932
118,460 Nokia Oyj AB..................................... 23,521,652
8,000 Outokumpu Oyj.................................... 89,347
1,500 Pohjloa Insurance Group, Class A Shares.......... 91,706
2,000 Pohjola Insurance Group, Class B Shares.......... 112,454
17,189 Raisio Group PLC................................. 46,835
12,271 Rautaruukki Oyj(a)............................... 67,342
4,100 Sampo Insurance Co. Ltd., Class A Shares*........ 140,135
437 Sanitec Oyj...................................... 5,764
40,742 Sonera Corp. Oyj................................. 3,142,026
1,800 Stockmann AB, Class A Shares..................... 28,421
2,300 Stockmann AB, Class B Shares..................... 35,440
18,160 UPM-Kymmene Oyj.................................. 503,550
3,090 Uponor Oyj(a).................................... 52,658
- ------------------------------------------------------------------------------
28,865,017
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
France -- 12.1%
11,955 Accor S.A.(a)...................................... $ 435,087
5,749 Air Liquide........................................ 776,024
16,922 Alcatel............................................ 3,962,326
393,312 Aventis S.A.*...................................... 20,149,797
44,185 Axa................................................ 5,551,627
32,392 Banque National de Paris .......................... 2,557,344
54,710 BIC S.A. .......................................... 2,388,795
1,645 Bouygues S.A.(a)................................... 1,369,988
1,250 CPR S.A. .......................................... 64,988
5,602 Canal Plus......................................... 1,565,802
4,826 Cap Gemini S.A.(a)................................. 1,328,887
82,227 Carrefour Supermarche S.A.(a)...................... 12,468,952
30,046 Casino Guich-Perrachon(a).......................... 1,748,710
4,300 Casino Guich-Perrachon Preferred Shares(a)......... 382,331
650 Chargeurs S.A. .................................... 36,109
16,554 Christian Dior..................................... 3,386,856
5,806 Cie de St Gobain................................... 807,755
1,344 Club Mediterrane S.A.(a)........................... 154,503
1,400 Coflexip S.A. ..................................... 124,277
40,393 Dassault Systemes S.A. ............................ 4,433,491
105,398 Equant N.V.*....................................... 11,913,391
2,400 Eridania Beghin Say S.A. .......................... 201,494
654 Essilor International S.A. ........................ 167,492
2,550,535 Eurotunnel S.A. ................................... 3,143,230
58,391 France Telecom S.A.(a)............................. 9,416,633
600 Gecia(a)........................................... 60,367
4,924 Groupe Danone...................................... 989,882
1,369 Groupe GTM......................................... 104,786
1,400 Imerys(a).......................................... 165,793
9,198 LVMH............................................... 3,413,915
4,374 L'oreal S.A. ...................................... 2,905,780
36,944 Lafarge S.A. ...................................... 2,756,643
8,208 Lafarge S.A. Rights................................ 237
7,890 Lagardere S.A. .................................... 742,175
8,341 Michelin, Class B Shares........................... 260,435
2,100 Pathe S.A. ........................................ 384,156
5,300 Pechiney S.A. ..................................... 309,231
3,600 Pernod - Ricard.................................... 181,968
22,435 Pinault Printemps Redout(a)........................ 4,516,635
1,300 Promodes........................................... 1,176,538
3,088 PSA Peugeot Citroen................................ 636,544
450 Publicis S.A. ..................................... 229,193
168,029 Rhodia............................................. 2,863,468
1,350 SEB S.A. .......................................... 97,483
648 Sagem S.A. ........................................ 729,954
63,284 SGS-Thomson Microelectronics....................... 12,551,513
71,290 Sanofi S.A.*....................................... 2,744,826
36,048 Schneider Electric S.A. ........................... 2,325,363
3,025 Seita.............................................. 100,509
2,500 Sidel(a)........................................... 204,594
1,684 Simco S.A. ........................................ 126,465
368 Societe Eurafrance................................. 171,960
14,218 Societe Generale Paris............................. 2,947,253
2,388 Sodex Alliance S.A.(a)............................. 319,583
123,561 Suez Lyonnaise des Eaux............................ 20,342,882
4,975 Suez Lyonnaise des Eaux - STRIP VVPR*.............. 47
1,450 Tech Nip........................................... 158,592
12,012 Thomson CSF........................................ 474,170
</TABLE>
See Notes to Financial Statements.
61
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
France -- 12.1% (continued)
152,362 Total Fina Elf..................................... $ 20,170,381
10,170 Total Fina Elf, Class B Shares*.................... 1,346,351
10,170 Total Fina S.A. - STRIP VVPR*...................... 97
1,000 Unibail S.A. ...................................... 126,222
11,564 Union des Assurance Fed............................ 1,174,614
113,470 Usinor S.A.(a)..................................... 1,655,116
142,715 Valeo S.A. ........................................ 6,938,985
283,983 Vivendi(a)......................................... 33,357,011
505 Zodiac S.A. ....................................... 85,913
- --------------------------------------------------------------------------------
218,383,519
- --------------------------------------------------------------------------------
Germany -- 9.7%
3,100 Adidas Salomon AG(a)............................... 164,306
2,450 AGIV AG............................................ 44,228
23,862 Allianz AG Registered Shares....................... 8,316,687
108,100 BASF AG............................................ 4,803,218
373,103 Bayarische Motoren Werke AG(a)..................... 9,627,166
122,018 Bayer AG........................................... 4,975,219
63,475 Bayer Hypo - Und Vereinsbank AG.................... 3,452,916
5,400 Beiersdorf AG...................................... 327,283
2,700 Bilfinger & Berger Bau AG.......................... 39,773
400 Brau Und Brunmen AG*............................... 15,212
4,300 Buderus AG......................................... 66,157
37,800 Commerbank AG(a)................................... 1,375,683
7,800 Continental AG..................................... 128,042
64,527 Daimler Chrysler AG(b)............................. 4,320,865
34,486 Deutsche Bank AG................................... 2,895,304
21,050 Deutsche Lufthansa AG.............................. 459,045
200,278 Deutsche Telekom AG(b)............................. 16,756,679
5,200 Deutz AG*.......................................... 25,733
2,500 Douglas Holding AG................................. 76,903
219,196 Dresdner Bank AG(a)................................ 10,404,339
1,656 Dyckerhoff AG...................................... 42,251
156 Dyckerhoff AG Preferred Shares..................... 4,475
6,400 EM TV & Merchandising AG(a)........................ 640,838
54,704 Epcos AG*.......................................... 7,584,317
50 Escada AG.......................................... 4,886
50 Escada AG Preferred Shares......................... 4,862
4,080 FAG Kugelfischer Georg Schaefer AG................. 33,586
4,300 Fresenius Medical Care............................. 317,126
4,100 Gehe AG(a)......................................... 128,292
3,778 Heidelberg Zement AG............................... 214,245
5,400 Hochtief AG........................................ 127,638
1,000 Holsten-Brauerei AG................................ 16,463
2,000 IWKA AG............................................ 34,006
1,500 Kamps AG(a)........................................ 114,019
1,500 Kamps AG Rights.................................... 577
5,500 Karstadtquelle AG.................................. 172,100
6,600 Linde AG........................................... 265,934
5,600 MAN AG............................................. 184,394
3,300 MAN AG Vorzugsaktien............................... 65,450
9,350 Merck KGaA......................................... 243,058
362,028 Metallgesellschaft AG(a)........................... 6,762,057
17,694 Metro AG(a)........................................ 668,652
1,600 Metro AG Preferred Shares.......................... 36,201
8,556 Mobilcom AG........................................ 1,042,068
23,827 Munchener Ruckver AG............................... 6,664,237
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Germany -- 9.7% (continued)
10,968 Preussag AG(a)................................... $ 512,158
1,950 Rheinmetal Berlin AG............................. 19,431
826 Rheinmetall Berlin AG Preferred Shares........... 6,847
29,976 RWE AG........................................... 995,698
5,500 RWE AG Preferred Shares.......................... 145,623
4,150 SAP AG(a)........................................ 2,537,212
32,858 SAP AG Vorzug.................................... 27,143,345
1,550 SGL Carbon AG.................................... 149,084
1,000 Salamander AG.................................... 8,376
4,350 Schering AG...................................... 526,662
173,483 Siemens AG(a).................................... 29,848,082
169,910 Thyssen Krupp AG(a).............................. 4,187,876
217,742 Veba AG.......................................... 9,664,471
227,357 Viag AG(a)....................................... 4,027,737
20,860 Volkswagen AG(a)................................. 849,551
5,250 Volkswagen AG Preferred Shares................... 122,828
10,800 WCM Beteiligungs & Grund AG...................... 374,335
- ------------------------------------------------------------------------------
174,765,806
- ------------------------------------------------------------------------------
Greece -- 0.2%
132,320 Hellenic Telecommunication Organization S.A. .... 3,921,115
- ------------------------------------------------------------------------------
Hong Kong -- 2.5%
79,208 Bank of East Asia Ltd. .......................... 186,244
131,000 CLP Holdings Ltd. ............................... 579,020
208 Cable & Wireless................................. 6,461
765,509 Cable And Wireless Ltd. PLC...................... 2,552,417
184,000 Cathay Pacific Airways(a)........................ 255,332
134,000 Cheung Kong Ltd. ................................ 1,782,006
2,008,000 China Telecom *.................................. 18,447,345
195,368 Chinese Estates Holdings......................... 33,135
7,760 Chinese Estates Holdings Warrants, Expire
11/24/00*....................................... 448
65,000 Elec & Eltek International Co. Ltd. ............. 12,193
44,000 Giordano International Ltd. ..................... 49,185
93,000 Hang Lung Development Co. Ltd. .................. 72,294
108,600 Hang Seng Bank Ltd. ............................. 980,257
16,800 Hong Kong Aircraft Engineering................... 22,989
286,793 Hong Kong & China Gas Co. Ltd. .................. 335,331
79,500 Hong Kong & Shanghai Hotels Ltd. ................ 34,985
34,000 Hong Kong Construction Holdings.................. 8,125
63,400 Hopewell Holdings Ltd.(a)........................ 33,195
1,085,000 Hutchison Whampoa Ltd. .......................... 17,008,017
71,271 Hysan Development Co. Ltd.(a).................... 74,175
51,100 Johnson Electric Holding Ltd. ................... 336,495
4,900 Melco International Development Ltd. ............ 1,573
41,000 Miramar Hotel & Investment Ltd. ................. 31,608
121,745 New World Development Co. Ltd. .................. 175,199
132,000 Oriental Press Group *........................... 50,033
52,000 Peregrine Investment Holdings Ltd.*.............. 0
260,800 Regal Hotel International Holdings Ltd.*......... 19,100
52,000 Shangri La Asia Ltd. ............................ 41,758
22,286 Shangri La Hotel................................. 18,183
125,243 Shun Tak Holdings Ltd. .......................... 19,793
256,000 Sino Land Co. ................................... 120,059
102,000 South China Morning Post Holding Ltd. ........... 101,570
133,000 Sun Hung Kai Properties Ltd. .................... 1,200,499
96,000 Swire Pacific Ltd., Class A Shares............... 460,091
</TABLE>
See Notes to Financial Statements.
63
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Hong Kong -- 2.5% (continued)
41,000 Tai Cheung Holdings Ltd. .......................... $ 9,377
25,000 Television Broadcast Ltd. ......................... 205,581
22,000 Varitronix International Ltd. ..................... 48,054
149,607 Wharf Holdings Ltd.(a)............................. 256,624
16,968 Wing Lung Bank..................................... 60,827
- --------------------------------------------------------------------------------
45,629,578
- --------------------------------------------------------------------------------
Ireland -- 0.1%
55,833 Allied Irish Banks PLC............................. 454,237
24,789 CRH PLC............................................ 429,602
4,618 DCC PLC............................................ 51,353
132,732 Eircom PLC......................................... 581,462
17,038 Fyffes PLC......................................... 55,774
13,464 Greencore Group PLC................................ 38,889
13,661 Independent Newspapers PLC......................... 143,365
1,549 Irish Continental Group PLC........................ 18,045
38,162 Irish Life & Permanent PLC......................... 296,510
70,714 Jefferson Smurfit Group PLC........................ 159,995
3,623 Jurys Hotel Group PLC*............................. 23,719
10,700 Kerry Group PLC, Class A Shares.................... 122,077
18,638 Ryanair Holdings PLC*.............................. 121,126
22,163 Tullow Oil PLC*.................................... 27,099
51,020 Waterford Foods PLC, Class A Shares................ 46,174
- --------------------------------------------------------------------------------
2,569,427
- --------------------------------------------------------------------------------
Italy -- 6.8%
88,000 Alitalia S.p.A.(a)................................. 171,146
6,750 Arnoldo Mondadori Editore S.p.A. .................. 281,726
74,028 Assicurazioni Generali(a).......................... 2,032,020
310,000 Banca di Roma(a)................................... 351,892
3,598,858 Banca Nazionale del Lavoro*(a)..................... 12,993,643
15,500 Banca Popolare di Milano........................... 114,551
257,998 Banco Intesa S.p.A.(a)............................. 946,403
41,666 Banco Intesa S.p.A. di Risp NC#.................... 86,249
114,200 Benetton Group S.p.A.(a)........................... 223,641
84,385 Beni Stabili S.p.A. ............................... 44,798
17,000 Bulgari S.p.A. .................................... 155,491
9,000 Burgo Cartiere S.p.A. ............................. 52,857
18,000 Cementir S.p.A. ................................... 26,844
3,000 Danieli & Co. ..................................... 13,656
3,000 Danieli & Co. di Risp NC#.......................... 6,750
437,000 Enel S.p.A.*....................................... 1,722,519
461,500 ENI S.p.A. ........................................ 2,164,780
20,420 Fiat S.p.A.(a)..................................... 621,266
4,198 Fiat S.p.A. di Risp NC#............................ 60,465
5,159 Fiat S.p.A. Preferred Shares....................... 87,420
13,000 Finanziaria Autogrill(a)........................... 133,662
226,600 Gruppo Editoriale L' Espresso...................... 5,329,891
17,000 Immsi S.p.A.*...................................... 38,954
30,000 Impregilo S.p.A. .................................. 20,160
12,000 Italcementi(a)..................................... 103,982
7,000 Italcementi di Risp NC#............................ 22,833
46,000 Italgas S.p.A. .................................... 243,100
18,600 La Rinascente S.p.A.(a)............................ 94,554
3,000 La Rinascente S.p.A. di Risp NC#................... 10,684
2,000 La Rinascente S.p.A. Preferred Shares.............. 6,970
17,950 Magneti Marelli S.p.A. ............................ 68,990
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Italy -- 6.8% (continued)
4,000 Marzotto S.p.A. .................................. $ 31,579
1,966,568 Mediaset S.p.A.(a)................................ 47,922,125
1,600 Medibanco S.p.A. Warrants, Expires 12/31/00*...... 1,843
30,100 Mediobanca S.p.A. ................................ 269,110
23,400 Montedison S.p.A. di Risp NC#..................... 24,512
121,844 Montedison S.p.A.*(a)............................. 213,957
231,868 Olivetti S.p.A.*.................................. 909,041
105,000 Parmalat Finanziera S.p.A.(a)..................... 114,235
107,000 Pirelli S.p.A. ................................... 274,031
7,000 Pirelli S.p.A. di Risp NC#........................ 13,458
32,550 Ras S.p.A.(a)..................................... 282,208
6,750 Sai S.p.A. ....................................... 55,376
4,000 Sai S.p.A. di Risp NC#............................ 15,866
84,385 San Paolo-Imi S.p.A. ............................. 1,325,848
1,922,200 Seat-Pagine Gialle S.p.A.(a)...................... 11,936,946
17,000 Sirti S.p.A. ..................................... 39,920
60,000 Snia S.p.A.(a).................................... 69,263
82,500 TIM S.p.A. di Risp NC#............................ 436,631
1,399,749 TIM S.p.A.(b)..................................... 19,203,018
182,940 Telecom Italia S.p.A.(a).......................... 3,215,337
56,201 Telecom Italia S.p.A. di Risp NC#................. 442,620
2,118,941 Uncredito Italiano S.p.A. ........................ 7,870,748
- -------------------------------------------------------------------------------
122,899,569
- -------------------------------------------------------------------------------
Japan -- 24.5%
8,700 Acom Co. Ltd.(a).................................. 923,417
18,700 Advantest Corp. .................................. 3,390,869
43,000 Ajinomoto Co. Inc. ............................... 473,624
13,000 Alps Electric Co. Ltd.(a)......................... 118,219
23,000 Amada Co. Ltd.(a)................................. 155,140
8,000 Amano Corp. ...................................... 50,612
6,500 Aoyamma Trading Co. Ltd. ......................... 91,770
4,800 Arabian Oil Co. Ltd.*............................. 28,401
159,000 Asahi Bank Ltd. .................................. 673,023
2,700 Asatsu DK Inc. ................................... 158,527
29,000 Ashi Breweries Ltd. .............................. 281,671
82,000 Ashi Chemical Industry Co. Ltd. .................. 484,438
78,000 Ashi Glass Co. Ltd. .............................. 532,520
56,000 Ashikaga Bank Ltd. ............................... 101,952
2,900 Autobacs Seven Co. Ltd. .......................... 69,691
37,000 Bank of Fukuoka Ltd.(a)........................... 206,463
283,600 Bank of Tokyo Mitsubishi Ltd.(b).................. 3,472,231
71,000 Bank of Yokohama Ltd. ............................ 253,352
9,000 Benesse Corp. .................................... 1,802,375
54,000 Bridgestone Corp. ................................ 1,206,772
22,000 Brother Industries Ltd. .......................... 47,062
355,000 Canon, Inc. ...................................... 14,768,103
25,000 Casio Computer Co. Ltd. .......................... 248,964
94 Central Japan Railway Co.(a)...................... 576,723
22,000 Chiyoda Corp.*.................................... 32,042
21,000 Chugai Pharmaceutical Co. Ltd. ................... 321,150
28,000 Citizen Watch Co. Ltd. ........................... 206,199
46,000 Cosmo Oil Co. Ltd. ............................... 50,248
14,200 Credit Saison Co. Ltd.(a)......................... 222,458
1,400 CSK Corp.(a)...................................... 145,792
352 DDI Corp.(a)...................................... 3,268,308
49,000 Dai Nippon Printing Co. Ltd. ..................... 733,739
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Japan -- 24.5% (continued)
28,000 Daicel Chemical Industries Ltd. .................. $ 93,031
45,000 Daiei Inc.(a)..................................... 158,117
9,000 Daifuku Co. Ltd. ................................. 84,383
23,000 Daiichi Pharmaceutical Co. Ltd. .................. 298,347
21,000 Daikin Industries Ltd. ........................... 314,077
15,000 Daikyo Inc.*(a)................................... 27,718
24,000 Daimaru Inc. ..................................... 77,119
51,000 Dainippon Ink & Chemicals Inc. ................... 181,521
14,000 Dainippon Screen Manufacturing Co., Ltd.(a)....... 83,091
12,400 Daito Trust Construction Co. Ltd. ................ 161,412
70,000 Daiwa Bank Ltd. .................................. 173,956
41,000 Daiwa House Industry Co. Ltd. .................... 280,287
12,000 Daiwa Kosho Lease Co. Ltd. ....................... 29,493
448,000 Daiwa Securities Co. Ltd.(a)...................... 7,116,289
35,000 Denki Kagaku Kogyo Kabushiki Kaisha............... 95,261
48,000 Denso Co. Ltd. ................................... 897,910
246 East Japan Railway Co. ........................... 1,110,700
24,000 Ebara Corp. ...................................... 316,344
17,800 Eisai Co. Ltd. ................................... 420,472
30,500 Fanuc Ltd. ....................................... 2,970,734
1,760,000 Fuji Bank Ltd.(a)................................. 13,714,077
3,000 Fuji Machine Manufacturing Co. Ltd. .............. 198,534
22,000 Fuji Photo Film Co. .............................. 967,275
2,000 Fuji Soft ABC Inc. ............................... 141,277
30,000 Fujikura Ltd. .................................... 117,973
26,000 Fujisawa Pharmaceutical Co.(a).................... 854,398
55,000 Fujita Corp.(a)................................... 25,033
564,000 Fujitsu Ltd.(a)................................... 18,739,247
4,300 Fujitsu Support & Service Inc. ................... 2,759,546
38,000 Furukawa Electric Co. Ltd.*....................... 580,783
43,000 Gunma Bank Ltd.(a)................................ 236,029
19,000 Gunze Ltd. ....................................... 48,427
17,000 Hankyu Department Stores Inc. .................... 67,316
34,000 Haseko Corp.*(a).................................. 13,927
1,900 Hirose Electric Co. Ltd. ......................... 254,417
448,000 Hitachi Ltd. ..................................... 6,113,076
90,000 Hitachi Zosen Corp.(a)............................ 54,071
62,000 Hokuriku Bank Ltd. ............................... 128,114
64,000 Honda Motor Co. Ltd. ............................. 2,097,310
10,000 House Foods Corp. ................................ 145,646
7,000 Hoya Corp. ....................................... 571,571
21,000 Inax Corp. ....................................... 106,859
135,200 Industrial Bank Japan Ltd......................... 1,057,182
18,000 Isetan Co. Ltd. .................................. 132,720
35,000 Ishihara Sangyo Kaisha Ltd.*...................... 44,604
78,000 Ishikawajima-Harima Heavy Industries Co. Ltd. .... 79,523
20,000 Ito Yokado Co. Ltd. .............................. 1,165,172
107,000 Itochu Corp.(a)................................... 584,406
20,000 Iwatani International Corp. ...................... 32,952
20,000 JGC Co. Ltd.(a)................................... 48,245
12,000 Jaccs Co. ........................................ 42,383
109,000 Japan Airlines Co. Ltd.(a)........................ 260,953
98,000 Japan Energy Corp. ............................... 76,719
41,000 Japan Steel Works Ltd.*........................... 34,709
128 Japan Tobacco Inc. ............................... 914,660
66,600 Joyo Bank Ltd.(a)................................. 231,588
</TABLE>
See Notes to Financial Statements.
66
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Japan -- 24.5% (continued)
22,000 Jusco Co. Ltd. ................................... $ 309,808
1,000 Kadokawa Shoten Publishing Co. Ltd. .............. 381,411
48,000 Kajima Corp. ..................................... 122,343
10,000 Kaken Pharmaceutical Co. Ltd. .................... 58,713
21,000 Kamigumi Co. Ltd. ................................ 82,199
200 Kandenko Co. Ltd. ................................ 720
41,000 Kanebo Ltd.*...................................... 60,088
23,000 Kankeka Corp.(a).................................. 250,612
60,100 Kansai Electric Power Co. Inc. ................... 880,806
298,000 Kao Corp.(a)...................................... 7,907,423
4,000 Katokichi Co. Ltd. ............................... 81,380
119,000 Kawasaki Heavy Industries Ltd. ................... 124,573
53,000 Kawasaki Kisen Kaisha Ltd.(a)..................... 72,850
198,000 Kawasaki Steel Corp. ............................. 277,565
45,930 Keihin Electric Express Railway Co. Ltd.(a)....... 160,130
17,600 Kikkoman Corp.(a)................................. 102,855
23,500 Kinden Corp. ..................................... 145,678
112,940 Kinki Nippon Railway Co. Ltd.(a).................. 423,569
73,000 Kirin Brewery Co. Ltd. ........................... 871,175
300 Kissei Pharmaceutical Co. Ltd. ................... 5,052
12,000 Kokuyo Co. Ltd. .................................. 130,535
71,000 Komatsu Ltd. ..................................... 314,104
7,000 Komori Corp. ..................................... 89,208
2,700 Konami Co. Ltd. .................................. 475,581
32,000 Konica Corp. ..................................... 143,316
14,000 Koyo Seiko Co. Ltd. .............................. 109,471
84,000 Kubota Corp. ..................................... 244,686
56,000 Kumagai Gumi Co. Ltd.(a).......................... 29,056
30,000 Kuraray Co. Ltd. ................................. 250,147
24,000 Kureha Chemical Industry Co. Ltd. ................ 55,709
10,800 Kurita Water Industries Ltd. ..................... 214,810
34,800 Kyocera Corp. .................................... 5,898,466
7,000 Kyowa Exeo Corp.(a)............................... 44,285
25,000 Kyowa Hakko Kogyo Co. Ltd. ....................... 325,428
11,000 Maeda Road Construction Co. Ltd. ................. 44,558
10,000 Makino Milling Machine Co. Ltd. .................. 72,004
15,000 Makita Corp. ..................................... 123,571
94,000 Marubeni Corp. ................................... 382,486
23,000 Marui Co. Ltd. ................................... 301,488
13,800 Matsushita Communication Industrial Co. Ltd. ..... 2,336,534
269,000 Matsushita Electric Industrial Co. Ltd. .......... 7,835,783
27,000 Meiji Milk Products Co. Ltd. ..................... 169,587
32,000 Meiji Seika Kaisha Ltd. .......................... 212,643
3,000 Meitec Corp. ..................................... 86,022
23,000 Minebea Co. Ltd.(a)............................... 264,849
50,000 Mitsu Rayon Co. Ltd. ............................. 106,048
56,000 Mitsu Trust & Banking Co. ........................ 86,659
115,000 Mitsubishi Chemical Corp. ........................ 395,703
96,000 Mitsubishi Corp. ................................. 708,716
142,000 Mitsubishi Electric Corp. ........................ 1,257,712
94,000 Mitsubishi Estate Co. Ltd. ....................... 823,157
37,000 Mitsubishi Gas Chemical Co. Inc. ................. 68,035
208,000 Mitsubishi Heavy Industries Ltd. ................. 569,914
15,000 Mitsubishi Logistics Corp. ....................... 97,765
58,000 Mitsubishi Materials Corp. ....................... 192,708
26,000 Mitsubishi Paper Mills Ltd. ...................... 28,164
84,000 Mitsubishi Trust & Banking Co. ................... 573,483
</TABLE>
See Notes to Financial Statements.
67
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Japan -- 24.5% (continued)
108,000 Mitsui & Co. ...................................... $ 668,517
71,000 Mitsui Engineering & Shipbuilding Co.*............. 38,778
64,000 Mitsui Fudosan Co. Ltd............................. 513,840
61,000 Mitsui Marine & Fire Insurance Co. Ltd. ........... 255,427
40,000 Mitsui Mining & Smelting Co. Ltd.(a)............... 208,638
15,000 Mitsui Soko Co. Ltd. .............................. 32,360
36,000 Mitsukoshi Ltd.(a)................................. 111,747
9,000 Mori Seiki Co. Ltd. ............................... 117,564
173,000 Murata Manufacturing Co. Ltd. ..................... 32,944,881
25,000 Mycal Corp.(a)..................................... 90,573
308,000 NEC Corp. ......................................... 6,883,073
29,000 NGK Insulators Ltd. ............................... 228,874
18,000 NGK Spark Plug Co. Ltd. ........................... 173,028
17,000 NOF Corp. ......................................... 38,377
287,000 NSK Ltd. .......................................... 1,985,526
34,000 NTN Corp. ......................................... 74,589
1,552 NTT Corp.(c)....................................... 21,474,124
1,213 NTT Mobile Communication Network Inc. ............. 48,915,297
4,900 Namco Ltd.(a)...................................... 368,431
450 Nankai Electric Railway Co. Ltd. .................. 1,802
350 Nichido Fire & Marine Insurance Co. Ltd. .......... 1,414
4,300 Nichiei Co. Ltd. .................................. 86,896
31,000 Nichirei Corp. .................................... 78,731
2,000 Nidec Corp.(a)..................................... 378,680
21,000 Nikon Corp. ....................................... 709,207
27,300 Nintendo Corp. .................................... 5,961,740
12,000 Nippon Comsys Corp.(a)............................. 188,976
67,000 Nippon Express Co. Ltd. ........................... 447,662
40,000 Nippon Light Metal Co. Ltd. ....................... 25,488
20,000 Nippon Meat Packers Inc. .......................... 183,878
94,000 Nippon Mitsubishi Oil.............................. 330,289
57,000 Nippon Paper Industries Co. ....................... 294,196
16,000 Nippon Sharyo Ltd. ................................ 27,090
39,000 Nippon Sheet Glass Co. Ltd. ....................... 353,238
26,000 Nippon Shinpan Co. Ltd. ........................... 59,168
18,000 Nippon Shokubai Co. Ltd. .......................... 67,998
443,000 Nippon Steel Corp. ................................ 935,560
33,000 Nippon Suisan Kaisha Ltd. ......................... 49,565
80,000 Nippon Yusen Kabushiki Kaisha...................... 262,163
25,000 Nishimatsu Construction Co. Ltd.(a)................ 76,009
776,000 Nissan Motor Co. Ltd. ............................. 2,931,500
17,000 Nisshin Flour Milling Co. Ltd. .................... 119,466
18,000 Nisshinbo Industries Inc. ......................... 67,671
10,000 Nissin Food Products Co. Ltd.(a)................... 213,918
16,000 Nitto Boseki Co. Ltd. ............................. 19,079
9,000 Nitto Denko Corp. ................................. 350,644
788,000 Nomura Securities Co. Ltd.(a)...................... 22,236,584
14,000 Noritake Co. Ltd. ................................. 45,623
63,000 OJI Paper Co., Ltd. ............................... 302,227
56,000 Obayashi Corp.(a).................................. 159,046
320 Odakyu Electric Railway Co. Ltd. .................. 943
11,000 Okuma Corp. ....................................... 31,241
22,000 Okumura Corp. ..................................... 60,079
22,000 Olympus Optical Co. Ltd. .......................... 293,386
16,000 Omron Corp. ....................................... 441,309
9,000 Onward Kashiyama Co. Ltd. ......................... 86,923
29,000 Orient Corp. ...................................... 106,649
</TABLE>
See Notes to Financial Statements.
68
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Japan -- 24.5% (continued)
6,000 Oriental Land Co. Ltd. ............................ $ 639,024
2,200 Orix Corp.(a)...................................... 380,501
183,000 Osaka Gas Co. Ltd. ................................ 343,161
3,600 Oyo Corp. ......................................... 39,848
29,000 Penta Ocean Construction Co. Ltd. ................. 36,165
14,000 Pioneer Electrictonic Corp.(a)..................... 444,768
6,500 Promise Co. Ltd. .................................. 479,859
22,000 Renown Inc.(a)..................................... 32,442
67,000 Rohm Co. Ltd. ..................................... 21,742,751
8,600 SMC Corp.(a)....................................... 1,597,014
2,586,000 Sakura Bank Ltd. .................................. 14,759,655
13,000 Sanden Corp. ...................................... 66,505
32,000 Sankyo Co. Ltd. ................................... 662,691
3,000 Sanrio Co. Ltd. ................................... 120,158
17,000 Sanwa Shutter Co.(a)............................... 43,639
125,000 Sanyo Electric Co. Ltd. ........................... 509,762
30,000 Sapporo Breweries Ltd.(a).......................... 92,576
13,000 Secom Co. Ltd. .................................... 1,164,444
9,000 Sega Enterprises Ltd.(a)........................... 294,934
13,000 Seino Transportation Co. Ltd. ..................... 65,204
17,000 Seiyu Ltd.(a)...................................... 30,949
46,000 Sekisui Chemical Co. Ltd. ......................... 144,044
48,000 Sekisui House Ltd. ................................ 358,290
800 Seven-Eleven Japan Co. Ltd. ....................... 80,542
26,000 Seventy Seventh Bank Ltd. ......................... 192,180
60,000 Sharp Corp. ....................................... 1,256,201
4,000 Shimachu Co. Ltd. ................................. 40,052
2,000 Shimamura Co. Ltd. ................................ 241,955
12,000 Shimano Inc. ...................................... 229,393
65,000 Shimizu Corp. ..................................... 156,797
24,000 Shin-Etsu Chemical Co. Ltd. ....................... 1,299,895
25,000 Shionogi & Co. Ltd. ............................... 357,289
28,000 Shiseido Co. Ltd. ................................. 336,953
58,000 Shizuoka Bank Ltd. ................................ 460,916
1,800 Sho-Bond Corp. .................................... 22,955
93,000 Showa Denko K.K. .................................. 118,519
23,000 Showa Shell Sekiyu K.K. ........................... 77,884
8,000 Skylark Co. Ltd.(a)................................ 189,704
29,000 Snow Brand Milk Products Co. Ltd. ................. 121,696
11,500 Softbank Corp.(a).................................. 16,749,351
46,700 Sony Corp.(a)...................................... 13,815,939
189,000 Sumitomo Bank Ltd.(a).............................. 2,231,423
105,000 Sumitomo Chemical Co. Ltd. ........................ 396,659
73,000 Sumitomo Corp...................................... 809,376
49,000 Sumitomo Electric Industries....................... 645,869
16,000 Sumitomo Forestry Co. Ltd. ........................ 94,815
53,000 Sumitomo Heavy Industries Ltd. .................... 111,446
54,000 Sumitomo Marine & Fire Insurance Co. Ltd. ......... 229,065
288,000 Sumitomo Metal lndustries Ltd. .................... 157,298
50,000 Sumitomo Metal Mining Co. ......................... 118,337
29,000 Sumitomo Osaka Cement Co. Ltd. .................... 108,761
31,400 THK Co. Ltd.(a).................................... 1,386,281
82,000 Taiheiyo Cement Corp. ............................. 123,908
82,000 Taisei Corp. ...................................... 120,176
104,000 Taisho Pharmaceutical Co. Ltd. .................... 2,934,777
1,000 Taiyo Yuden Co. Ltd. .............................. 53,252
11,000 Takara Shuzo Co. Ltd.(a)........................... 308,406
</TABLE>
See Notes to Financial Statements.
69
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Japan -- 24.5% (continued)
13,000 Takara Standard Co. Ltd.(a)........................ $ 47,453
26,000 Takashimaya Co. Ltd.(a)............................ 175,139
310,000 Takeda Chemical Industries Ltd..................... 17,495,789
7,000 Takefuji Corp. .................................... 914,387
10,000 Takuma Co. Ltd..................................... 68,817
72,000 Teijin Ltd......................................... 282,481
23,000 Teikoku Oil Co. Ltd................................ 65,531
13,000 Terumo Corp. ...................................... 338,446
22,000 Toa Corp........................................... 25,033
72,000 Tobu Railway Co. Ltd. ............................. 199,244
22,000 Toda Corp.......................................... 66,888
13,000 Toei Co. Ltd....................................... 118,219
1,600 Toho Co. Ltd. ..................................... 302,944
35,200 Tohoku Electric Power Co. Ltd...................... 416,549
117,000 Tokai Bank Ltd..................................... 535,715
102,000 Tokio Marine & Fire Insurance Co. Ltd. ............ 931,282
14,000 Tokyo Broadcasting Systems Inc. ................... 638,477
13,000 Tokyo Dome Corp.(a)................................ 57,275
78,000 Tokyo Electric Power Co. .......................... 1,704,064
41,000 Tokyo Electron Ltd. ............................... 6,251,422
199,000 Tokyo Gas Co. Ltd.(a).............................. 365,918
9,000 Tokyo Style Co. Ltd. .............................. 73,733
17,000 Tokyo Tatemono Co. Ltd.(a)......................... 26,926
32,000 Tokyotokeiba Co. Ltd. ............................. 39,907
92,000 Tokyu Corp. ....................................... 248,727
50,000 Toppan Printing Co. ............................... 492,922
112,000 Toray Industries Inc. ............................. 356,834
609,000 Toshiba Corp. ..................................... 4,972,673
43,000 Tosoh Corp. ....................................... 195,712
17,000 Tostem Corp. ...................................... 234,445
31,000 Toto Ltd.(a)....................................... 150,689
2,000 Toyo Information Systems Co. Ltd.(a)............... 158,572
14,000 Toyo Seikan Kaisha Ltd. ........................... 182,877
59,000 Toyobo Co. Ltd. ................................... 77,875
213,000 Toyota Motor Corp.(c).............................. 8,511,856
200 Trans Cosmos Inc. ................................. 93,213
15,000 Tsumakimoto Chain Co. ............................. 59,123
63,000 UBE Industries Ltd.(a)............................. 88,889
16,000 UNY Co. Ltd. ...................................... 116,517
6,000 Uni-Charm Corp. ................................... 381,229
53,000 Unitika Ltd.*(a)................................... 33,771
12,000 Wacoal Corp. ...................................... 86,295
2,000 World Co. Ltd.(a).................................. 217,377
9,000 Yakult Honsha Co. Ltd. ............................ 75,454
16,000 Yamaha Corp........................................ 109,671
106,000 Yamaichi Securities Co. Ltd.*...................... 0
204,000 Yamanouchi Pharmaceutical Co. Ltd. ................ 9,749,214
24,000 Yamato Transport Co. Ltd.(a)....................... 637,931
18,000 Yamazaki Baking Co. Ltd............................ 150,088
22,000 Yokogawa Electric Corp. ........................... 199,663
- --------------------------------------------------------------------------------
441,467,572
- --------------------------------------------------------------------------------
Malaysia -- 0.0%
433 Aokam Perdana Berhad............................... 70
200 Commerce Asset Holding Berhad...................... 626
400 Hong Leong Industries Berhad....................... 1,600
47,000 Idris Hydraulic Berhad*............................ 8,225
</TABLE>
See Notes to Financial Statements.
70
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Malaysia -- 0.0% (continued)
8,000 Kelanamas Industries Berhad*....................... $ 1,515
500 Magnum Corp. Berhad................................ 439
500 Malayawata Steel Berhad............................ 227
200 Malayan United Industries Berhad*.................. 48
750 Mulpha International Berhad........................ 195
200 Oriental Holdings Berhad........................... 471
49,000 Promet Berhad*..................................... 3,739
532 Public Bank Berhad................................. 721
3,675 Silverstone Berhad*................................ 0
200 Sungei Way Holdings Berhad*........................ 139
600 YTL Corp. Berhad................................... 1,105
- --------------------------------------------------------------------------------
19,120
- --------------------------------------------------------------------------------
Mexico -- 0.4%
102,858 Telefonos de Mexico S.A. ADR....................... 6,762,913
- --------------------------------------------------------------------------------
Netherlands -- 7.2%
96,300 ABN AMRO Holdings NV............................... 1,993,424
57,978 ASM Lithography Holding NV*........................ 7,382,337
60,369 Aegon NV........................................... 4,161,615
44,450 Ahold NV........................................... 1,032,247
52,055 Akzo Nobel NV...................................... 2,005,238
14,427 Baan Co. NV........................................ 77,785
5,902 Buhrmann NV........................................ 155,414
41,495 Elsevier NV........................................ 439,464
41,300 Fortis NL NV....................................... 1,037,033
69,900 Getronics NV....................................... 5,855,060
7,753 Hagemeyer NV....................................... 130,406
21,552 Heineken NV........................................ 1,088,348
3,070 Hollandsche Beton Groep NV......................... 42,563
2,071 IHC Caland NV...................................... 69,788
245,074 ING Groep NV....................................... 12,392,442
4,196 KLM Royal Dutch Air Lines NV....................... 78,176
391,588 Kon Ptt Nederland.................................. 49,785,484
59,970 Laurus NV.......................................... 733,284
1,819 Nedlloyd NV........................................ 41,681
6,245 Oce NV............................................. 76,060
20,272 Philips Electronic NV.............................. 3,752,221
145,208 Royal Dutch Petroleum Co. ......................... 7,590,062
2,489 Stork NV........................................... 30,554
32,060 TNT Post Group NV.................................. 794,523
42,192 Unilever NV........................................ 1,919,420
16,590 United Pan-Europe Communications................... 3,268,835
347,360 VNU NV............................................. 23,962,435
7,069 Vedior NV.......................................... 66,701
6,239 Vopak.............................................. 146,868
17,519 Wolters Kluwer NV.................................. 624,256
- --------------------------------------------------------------------------------
130,733,724
- --------------------------------------------------------------------------------
New Zealand -- 0.1%
240,000 Brierley Investment Ltd. .......................... 43,121
119,012 Carter Holt Harvey Ltd. ........................... 115,006
41,300 Contact Energy Ltd................................. 56,956
7,800 Fisher & Paykel Industries Ltd.(a)................. 23,672
</TABLE>
See Notes to Financial Statements.
71
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
New Zealand -- 0.1% (continued)
25,233 Fletcher Challenge Building...................... $ 28,427
25,226 Fletcher Challenge Energy........................ 54,511
73,284 Fletcher Challenge Forests*...................... 19,928
48,950 Fletcher Challenge Paper......................... 34,228
38,207 Lion Nathan Ltd.................................. 68,832
124,410 Telecom Corp. of New Zealand Ltd................. 513,514
- -------------------------------------------------------------------------------
958,195
- -------------------------------------------------------------------------------
Norway -- 0.1%
4,800 Bergesen d.y. ASA, Class A Shares................ 80,109
2,100 Bergesen d.y. ASA, Class B Shares................ 34,422
31,500 Christiania Bank Og Kreditkasse ASA.............. 159,593
44,500 DNB Holding ASA.................................. 161,268
2,300 Dyno Industrier ASA.............................. 54,836
4,000 Elkem ASA........................................ 69,142
6,200 Hafslund Nycomed, Series A(a).................... 31,042
2,700 Hafslund Nycomed, Series B....................... 9,012
3,740 Kvaerner ASA*.................................... 64,648
1,260 Kvaerner ASA, Class B Shares..................... 17,498
2,700 Leif Hoegh & Co. ASA............................. 26,232
7,500 Merkantildata ASA................................ 86,725
19,820 Norsk Hydro ASA.................................. 738,362
2,400 Norske Skogindustrier ASA, Class A Shares(a)..... 92,412
400 Norske Skogindustrier ASA, Class B Shares........ 12,183
17,142 Orkla ASA........................................ 261,569
6,400 Petroleum Geo-Services ASA*(a)................... 100,327
3,700 Proxima ASA...................................... 27,126
3,800 SAS Norge ASA, Class B Shares.................... 33,748
5,500 Schibsted ASA.................................... 160,636
2,700 Smedvig ASA, Class A Shares...................... 34,440
6,000 Tomra Systems ASA................................ 113,727
21,800 Uni Storebrand, Class A Shares................... 132,538
1,300 Unitor ASA....................................... 9,453
- -------------------------------------------------------------------------------
2,511,048
- -------------------------------------------------------------------------------
Portugal -- 0.2%
82,401 Banco Commercial Portuguese S.A.(a).............. 430,791
9,226 Banco Espirito Santo............................. 239,568
45,344 BPI-SGPS S.A. Registered Shares.................. 168,515
34,710 Brisa Auto Estradas de Portugal.................. 273,030
1,100 Brisa Auto Estradas de Portugal S.A. ............ 44,057
6,500 Brisa Auto Estradas de Portugal S.A. Registered
Shares ......................................... 52,068
12,588 Cimpor-Cimentos de Portugal S.A. ................ 191,006
2,140 CIN-Corparacao Industrial do Norte S.A. ......... 14,917
1,300 Corticeira Amorim S.A. .......................... 12,078
46,183 Electricidade de Portugal S.A. .................. 921,756
1,552 Engil-SGPS....................................... 14,942
1,901 INAPA-Investimentos Participacoes e Gestao
S.A. ........................................... 14,367
7,743 Jeronimo Martins S.A. ........................... 156,553
5,555 Portucel Industrial-Empresa Produtora de Celulose
S.A. ........................................... 43,749
78,005 Portugal Telecom S.A. ........................... 1,109,271
1,536 Seguros Tranquilidade............................ 47,988
5,443 Sonae Investimentos-Societade Gestora de
Participacoes Sociais S.A. ..................... 342,467
1,774 UNICER-Uniao Cervejeira S.A. .................... 49,839
- -------------------------------------------------------------------------------
4,126,962
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
72
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Singapore -- 0.7%
666 Asia Food & Properties Ltd. ..................... $ 226
47,000 City Development Ltd. ........................... 190,868
42,000 Comfort Group Ltd. .............................. 18,761
5,000 Creative Technology Ltd. ........................ 108,777
21,000 Cycle & Carriage Ltd. ........................... 46,295
711,292 DBS Group Holdings Ltd. ......................... 8,789,531
98,000 DBS Land Ltd. ................................... 129,628
27,000 First Capital Corp. Ltd. ........................ 20,206
19,200 Fraser & Neave Ltd. ............................. 53,466
2,400 Genting International PLC........................ 684
12,000 Haw Par Corp. Ltd. .............................. 20,467
37,000 Hotel Properties Ltd. ........................... 32,627
13,000 Inchcape Motors Ltd. ............................ 10,106
800 IPC Corp. ....................................... 194
311 Jardine Matheson Holdings Ltd. .................. 1,088
60,250 Keppel Corp. Ltd. ............................... 134,921
400 Lum Chang Holdings Ltd. ......................... 164
30,000 Natsteel Ltd. ................................... 59,523
73,023 Neptune Orient Line Ltd. ........................ 59,733
82,151 Overseas-Chinese Banking Corp. Ltd. ............. 519,490
11,000 Overseas Union Enterprise Ltd. .................. 28,206
25,000 Parkway Holdings Ltd. ........................... 69,037
4,800 Robinson & Co. Ltd. ............................. 13,812
101,241 Sembcorp Industries Ltd.(a)...................... 94,562
85,000 Singapore Airlines Ltd. ......................... 789,000
21,749 Singapore Press Holdings Ltd. ................... 416,377
187,000 Singapore Technologies Engineering Ltd. ......... 228,908
374,000 Singapore Telecommunications Ltd. ............... 607,530
2,400 Star Cruises Public Co. Ltd. .................... 23,760
27,000 Straits Trading Co. Ltd. ........................ 28,195
122,000 United Industrial Corp. Ltd. .................... 53,083
53,000 United Oversea Land Ltd. ........................ 37,204
64,416 United Overseas Bank Ltd. ....................... 407,341
9,000 Van Der Horst Ltd. .............................. 2,323
16,000 Venture Manufacturing Ltd. ...................... 240,413
- ------------------------------------------------------------------------------
13,236,506
- ------------------------------------------------------------------------------
South Korea -- 1.1%
85,900 Korea Telecom Corp. ADR.......................... 3,736,650
27,900 Samsung Electronics.............................. 6,314,533
1,790 SK Telecom Co. Ltd. ............................. 6,646,597
71,891 SK Telecom Co. Ltd. ADR.......................... 3,230,601
- ------------------------------------------------------------------------------
19,928,381
- ------------------------------------------------------------------------------
Spain -- 2.0%
3,950 Acerinox S.A.(a)................................. 142,234
2,786 Actividades de Construccion y Servicios,
S.A.(a)......................................... 58,609
9,383 Agus de Barcelona................................ 137,496
12,100 Altadis, S.A. ................................... 135,138
16,186 Autopistas Cescesionario Espanala S.A. .......... 132,770
227,317 Banco Bilbao Vizcaya S.A.(a)..................... 3,304,794
213,418 Banco Santander S.A.(a).......................... 2,239,713
4,933 Corporacion Financiera Alba S.A. ................ 154,358
5,300 Corporacion Mapfre............................... 72,766
2,600 Cortefiel S.A. .................................. 55,572
4,018 Ebro Agricolas S.A. ............................. 49,130
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Spain -- 2.0% (continued)
1,950 El Aguila S.A.* ................................. $ 15,958
64,970 Endesa S.A. ..................................... 1,374,288
16,366 Erctros S.A. .................................... 7,563
16,366 Erctros S.A. Rights.............................. 157
6,598 Fomento de Construcciones y Contratas S.A. ...... 115,298
25,962 GAS Natural SDG S.A. ............................ 522,169
11,000 Grupo Dragados S.A. ............................. 96,587
1,650 Grupo Empresaria Ence S.A. ...................... 34,139
56,172 Iberdrola S.A. .................................. 704,691
6,400 Inmobilaria Urbis S.A. .......................... 31,487
4,051 Metrovacesa S.A. ................................ 63,139
1,650 Portland Valderrivas S.A. ....................... 34,949
4,650 Prosegur CIA de Seguridad S.A. .................. 49,247
71,372 Repsol S.A. ..................................... 1,350,284
8,250 Sol Melia S.A.*(a)............................... 96,111
852,857 Telefonica S.A.(a)............................... 24,510,689
11,550 TelePizza S.A. .................................. 65,721
18,500 Union Electrica Fenosa S.A.(a)................... 382,952
4,100 Uralita S.A.(a).................................. 28,579
10,050 Vallehermos S.A. ................................ 62,120
9,171 Zardoya-Otis S.A. ............................... 79,112
- -------------------------------------------------------------------------------
36,107,820
- -------------------------------------------------------------------------------
Sweden -- 3.0%
12,139 ABB Ltd. ........................................ 1,287,667
10,100 Assidoman AB..................................... 148,614
84,924 Astrazeneca PLC.................................. 2,814,015
9,371 Atlas Copco AB, Class A Shares(a)................ 216,451
4,685 Atlas Copco AB, Class B Shares................... 103,671
3,870 Diligentia AB.................................... 32,224
7,000 Drott AB......................................... 68,666
21,600 Electrolux AB Series B........................... 406,524
1,400 Esselete AB, Class A Shares...................... 7,984
1,100 Esselete AB, Class B Shares...................... 6,712
38,500 Foreningssparbaken AB............................ 487,452
17,900 Gambro AB, Class A Shares........................ 124,546
7,800 Gambro AB, Class B Shares........................ 55,161
57,925 Hennes & Mauritz AB, Class B Shares(b)........... 1,912,773
5,900 Netcom Systems AB*............................... 561,936
5,800 OM Gruppen AB.................................... 293,737
3,700 SKF AB, Class A Shares........................... 69,214
5,000 SKF AB, Class B Shares........................... 99,235
4,600 Sandvik AB, Class A Shares....................... 123,303
11,500 Sandvik AB, Class B Shares....................... 311,537
2,850 Sapa AB.......................................... 53,638
25,400 Securitas AB, Class B Shares..................... 679,400
54,120 Skandinaviska Enskilda Banken, Class A
Shares(a)....................................... 543,237
34,000 Skandia Forsakrings AB........................... 1,392,266
8,200 Skanska AB, Class B Shares....................... 282,468
15,816 Svenska Cellolosa AB, Class B Shares(a).......... 385,162
46,100 Svenska Handelsbanken, Class A Shares............ 538,981
4,800 Svenska Handelsbanken, Class B Shares............ 54,203
5,200 Svenskt Stal AB, Class A Shares.................. 63,168
1,900 Svenskt Stal AB, Class B Shares.................. 22,647
31,000 Swedish Match AB................................. 101,129
98,800 Telefonaktiebolaget LM Ericcson ADR.............. 9,484,800
317,932 Telefonaktiebolaget LM Ericcson, Class B Shares.. 30,426,023
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Sweden -- 3.0% (continued)
8,500 Trelleborg AB, Class B Shares.................... $ 59,627
9,400 Volvo AB, Class A Shares......................... 208,007
20,400 Volvo AB, Class B Shares......................... 480,506
3,900 Wm-Data AB, Class B Shares....................... 258,013
- ------------------------------------------------------------------------------
54,164,697
- ------------------------------------------------------------------------------
Switzerland -- 2.8%
4,130 ABB Ltd.*........................................ 439,348
1,055 Adecco S.A. ..................................... 834,691
445 Alusuisse Lonza Group AG Registered Shares....... 272,057
6,799 Clariant AG+..................................... 2,551,050
12,292 Clariant AG Registered Shares*................... 4,612,079
17,475 Credit Suisse Group.............................. 2,780,875
110 Forbo Holding AG Registered Shares............... 45,228
245 Gebrueder Sulzer AG.............................. 159,622
250 Georg Fischer AG................................. 74,622
506 Holdbrbx......................................... 555,010
426 Holderbank Financiere Glarus AG Bearer Shares*... 120,007
30 Jelnoli Holding AG Bearer Shares................. 38,300
90 Jelnoli Holding AG Registered Shares............. 23,141
35 Kuoni Reisen AG Registered Shares, Category B.... 159,434
445 Lonza AG Rights.................................. 237,383
440 Lonza AG -- Registered Shares.................... 223,903
90 Movenpick Holding AG Bearer Shares............... 42,076
3,780 Nestle AG Registered Shares*..................... 6,373,255
11,089 Novartis Registered Shares*...................... 14,117,139
96 Roche Holding AG Bearer Shares................... 1,150,803
679 Roche Holding AG Genusss*........................ 7,317,441
860 SAirGroup........................................ 163,402
90 Schindler Holdings AG Participating
Certificates.................................... 130,220
30 Schindler Holdings AG Registered Shares.......... 43,155
941 Schn Rucker...................................... 1,512,684
180 Sika Finanz AG Bearer Shares..................... 59,446
1,095 SMH Neuchatel S.A. Registered.................... 237,586
175 SGS Societe General de Surveillance Holdings
S.A., Class B Shares............................ 324,112
225 Swatch Group AG.................................. 241,938
4,280 Swisscom AG Registered Shares*................... 1,395,540
13,518 UBS AG Registered Shares......................... 3,285,475
295 Valora Holding AG................................ 84,871
3,115 Zurich Allied AG*................................ 1,320,010
- ------------------------------------------------------------------------------
50,925,903
- ------------------------------------------------------------------------------
Taiwan -- 0.1%
26,686 Gigamedia Ltd. .................................. 1,869,687
- ------------------------------------------------------------------------------
United Kingdom -- 16.5%
87,100 Abbey National PLC............................... 977,662
27,600 Airtours PLC..................................... 123,200
93,616 Allied Zurich AG................................. 798,077
21,000 AMEC PLC......................................... 51,552
39,400 Amvescap PLC..................................... 448,158
20,653 Anglian Water PLC................................ 145,094
27,500 Arjo Wiggins Appletan PLC........................ 68,594
27,258 ARM Holdings..................................... 2,046,189
245,308 Astrazeneca PLC.................................. 7,908,039
70,100 BAA PLC.......................................... 416,109
</TABLE>
See Notes to Financial Statements.
75
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
United Kingdom -- 16.5% (continued)
18,700 BBA Group PLC...................................... $ 114,839
214,175 BG PLC............................................. 943,353
191,770 BOC Group PLC...................................... 3,875,181
1,345,521 BP Amoco PLC(c).................................... 10,355,390
93,583 Barclays PLC....................................... 2,235,307
23,700 Barratt Developments PLC........................... 64,354
46,298 Bass PLC........................................... 489,345
9,500 The Berkeley Group PLC............................. 67,114
3,030 Betacom PLC........................................ 23,989
43,036 The BICC Group..................................... 40,085
308,000 Billiton PLC....................................... 1,271,521
50,400 Blue Circle Industries PLC......................... 340,744
58,500 Boots Co. PLC...................................... 421,135
3,368,592 British Aerospace PLC.............................. 16,632,102
65,600 British Airways PLC................................ 311,466
134,616 British American Tobacco PLC....................... 553,081
35,800 British Land Co. PLC............................... 203,604
94,395 British Sky Broadcasting PLC....................... 2,424,587
345,573 British Telecommunications PLC..................... 6,033,874
38,400 Bunzl PLC.......................................... 174,289
8,500 Burmah Castrol PLC................................. 137,410
74,407 CGU PLC............................................ 885,112
646,008 Cable & Wireless PLC............................... 13,370,324
130,700 Cadbury Schweppes PLC.............................. 773,763
42,600 Canary Wharf Group PLC............................. 210,165
10,500 Capita Group PLC................................... 264,808
32,760 Caradon PLC........................................ 68,526
16,121 Carillon PLC....................................... 22,523
35,850 Carlton Communications PLC......................... 406,363
9,600 Celltech Group PLC................................. 202,478
216,060 Centrica PLC....................................... 724,827
55,300 Coats Viyella PLC.................................. 35,575
37,737 Compass Group PLC.................................. 440,859
164,534 Corus Group........................................ 274,686
15,045 De La Rue PLC...................................... 65,317
1,172,622 Diageo PLC......................................... 8,969,189
26,400 Dixons Group PLC................................... 565,985
6,000 Eidos PLC.......................................... 69,526
23,438 Electrocomponents PLC.............................. 266,782
70,840 Energis PLC........................................ 3,583,211
33,800 FXI PLC............................................ 144,072
28,500 George Wimpey PLC.................................. 45,893
41,697 GKN PLC............................................ 537,150
709,346 Glaxo Wellcome PLC................................. 16,999,308
88,833 Granada Group PLC.................................. 892,635
26,088 Great Portland Estates PLC......................... 73,927
62,000 Great Universal Stores PLC......................... 352,611
136,871 Halifax Group PLC.................................. 1,227,330
23,291 Hammerson PLC...................................... 118,398
39,925 Hanson PLC......................................... 256,216
93,200 Hays PLC........................................... 617,233
19,300 Hepworth PLC....................................... 45,703
105,021 Hilton Group PLC................................... 382,577
494,424 HSBC Holdings PLC(c)............................... 5,787,780
32,900 I3i Group PLC...................................... 585,357
25,400 IMI PLC............................................ 86,914
48,500 Imperial Chemical Industries PLC................... 373,648
</TABLE>
See Notes to Financial Statements.
76
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
United Kingdom -- 16.5% (continued)
195,060 Invensys PLC...................................... $ 896,114
12,100 Jarvis PLC........................................ 32,856
16,300 Johnson Matthey PLC............................... 187,978
80,900 Kingfisher PLC.................................... 602,187
37,900 Land Securities PLC............................... 413,146
81,100 LASMO PLC......................................... 120,991
274,900 Legal & General Group PLC......................... 671,593
7,000 Lex Service PLC................................... 36,744
309,364 Lloyds TSB Group PLC.............................. 2,864,436
22,000 Logica PLC........................................ 941,919
1,200 London Bridge Software Holdings................... 122,191
15,527 Lonrho Africa PLC................................. 6,373
27,439 MEPC PLC.......................................... 147,174
135,370 Marconi PLC....................................... 1,686,167
162,674 Marks & Spencer PLC............................... 588,747
10,100 Meyer International PLC........................... 80,521
33,700 Misys PLC......................................... 506,752
92,364 National Grid Group PLC........................... 716,686
75,300 National Power PLC................................ 444,598
39,500 Nycomed Amersham PLC.............................. 314,132
5,900 Ocean Group PLC................................... 113,449
30,552 Pearson PLC....................................... 1,026,872
38,619 The Peninsular & Oriental Steam Navigation Co. ... 433,787
63,000 Pilkington PLC.................................... 66,637
18,956 Provident Financial PLC........................... 153,970
344,071 Prudential Corp. ................................. 5,067,935
3,700 Psion PLC......................................... 310,051
17,900 RMC Group PLC..................................... 207,278
348,772 RTZ Corp. ........................................ 5,148,190
22,200 Racal Electronics PLC............................. 146,497
526,902 Railrack Group PLC................................ 5,352,784
32,900 Rank Group PLC.................................... 81,934
1,662,987 Reed International PLC(b)......................... 12,207,962
662,769 Rentokil Initial PLC.............................. 2,137,103
501,667 Reuters Group PLC................................. 11,198,666
27,433 Rexam PLC......................................... 79,039
467,971 Royal & Sun Alliance Insurance Group PLC.......... 2,539,584
54,698 Royal Bank of ScotLand Group PLC.................. 722,766
35,149 Rugby Group PLC................................... 27,744
63,000 Sage Group PLC.................................... 793,678
109,500 Sainsbury PLC..................................... 443,839
18,601 Schroders PLC..................................... 350,038
66,849 Scottish Power PLC................................ 507,095
22,400 Sema Group PLC.................................... 477,400
555,100 Shell Transport & Trading Co. PLC................. 3,820,842
33,400 Slough Estates PLC................................ 147,376
66,201 Smith & Nephew PLC................................ 195,698
429,874 Smithkline Beecham PLC............................ 4,831,951
18,200 Smiths Industries PLC............................. 222,963
1,666,372 Somerfield PLC.................................... 1,433,738
12,000 SSL International PLC............................. 117,171
93,200 Stagecoach Holdings PLC........................... 136,835
183,300 Standard Chartered PLC............................ 2,578,348
16,121 Tarmac PLC........................................ 147,484
35,700 Tate & Lyle PLC................................... 143,576
</TABLE>
See Notes to Financial Statements.
77
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
United Kingdom -- 16.5% (continued)
40,653 Taylor Woodrow PLC............................... $ 86,962
958,467 Telewest Communications PLC...................... 6,555,670
387,303 Tesco PLC........................................ 1,053,201
21,158 Thames Water PLC................................. 229,143
51,700 Thorn EMI........................................ 551,745
32,018 TI Group PLC..................................... 169,332
16,500 Unigate PLC...................................... 75,541
179,457 Unilever PLC..................................... 1,099,243
29,566 United Biscuits Holdings PLC..................... 121,705
35,520 United Utilities PLC............................. 368,136
67 Viglen Floating Rate Guaranteed Loan Notes 2001.. 0
6,900 Viglen Technology Letters of Entitlements
Litigation Notes*................................ 0
16,172,238 Vodafone Airtouch PLC(c)......................... 90,635,574
145,500 Vodafone Group PLC............................... 815,441
50,417 Williams PLC(c).................................. 209,727
33,700 Wolseley PLC..................................... 162,001
39,100 WPP Group PLC.................................... 749,988
- -------------------------------------------------------------------------------
297,057,209
- -------------------------------------------------------------------------------
United States -- 1.0%
102,100 Canadian National Railway Co. ................... 2,405,731
81,630 Gedeon Richter................................... 5,722,483
30,900 Gucci Group NV................................... 2,701,818
5,346 Impsat Fiber Networks, Inc. ..................... 196,131
22,540 SK Telecom Co. Ltd. ADR.......................... 1,012,891
81,800 Taiwan Semiconductor ADR......................... 4,892,662
4,949 Tietoenator Corp.(a)............................. 340,689
- -------------------------------------------------------------------------------
17,272,405
- -------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $1,306,872,774)............. 1,742,082,822
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT++ SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
FOREIGN BONDS -- 0.0%
United Kingdom -- 0.0%
20,412 British Aerospace 7.450% Loan (Cost -- $2,055)... $ 322
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
78
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Equity Investments
<TABLE>
<CAPTION>
FACE AMOUNT SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 3.4%
$62,000,000 CIBC Wood Gundy Securities Inc., 5.650% due
3/1/00; Proceeds at maturity -- $62,009,731;
(Fully collateralized by U.S. Treasury Notes,
4.500% due 1/31/00; Market value -- $63,241,292)
(Cost -- $62,000,000)............................ 62,000,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS (Cost -- $1,368,874,829**)...... $1,804,083,144
- -------------------------------------------------------------------------------
</TABLE>
(a) All or a portion of this security is on loan (See Note 11).
(b) Security is segregated for open foreign currency contracts.
* Non-income producing security.
# Risp NC -- Risparmio Non-Convertible (Non-Convertible savings shares).
(c) Security is segregated for futures contracts commitments.
+ Security is exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions that are exempt from
registration, normally to qualified institutional buyers.
++Represents local currency.
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
Classification of Investments
Japan 24.5%
United Kingdom 16.5%
France 12.1%
Germany 9.7%
Sweden 3.0%
Switzerland 2.8%
Italy 6.8%
Hong Kong 2.5%
Repurchase Agreement 3.4%
Netherlands 7.2%
Other Stock 11.5%
See Notes to Financial Statements.
79
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
STOCK -- 99.6%
- -------------------------------------------------------------------------------
Argentina -- 0.0%
1 Banco de Galicia y Buenos Aires S.A. de C.V. Series
B Shares.......................................... $ 1
1 IRSA Inversiones y Representacions S.A. ........... 1
- -------------------------------------------------------------------------------
2
- -------------------------------------------------------------------------------
Brazil -- 14.8%
57,800 Aracruz Celulose S.A. Preferred Class B Shares..... 118,899
17,300 Aracruz Celulose S.A. ADR.......................... 362,219
30,110,800 Banco Bradesco S.A. Preferred...................... 216,110
1,955,217 Banco Bradesco S.A Rights*......................... 6,298
2,402,300 Banco do Estado de Sao Paolo S.A. Preferred*....... 97,069
26,990,700 Banco Itau S.A. Preferred.......................... 2,135,461
1,000 Banco Santiago ADR................................. 20,000
51,000 Brasil District Pao Acucar - SP ADR................ 1,721,250
1,210,000 Caemi Mineracao e Metalurgica S.A. ................ 119,667
49,105,700 Centrais Eletricas Brasileira S.A. ................ 846,411
2,864,000 Centrais Eletricas Brasileira S.A. - Electrobras
Preferred Class B Shares ......................... 52,602
5,459,400 Companhia Brasileira de Distribuicao Grupo Pao de
Acucar ADR........................................ 184,808
10,587,500 Companhia Brasileira de Petroleo Ipiranga
Preferred......................................... 134,565
282,700 Companhia Cervejaria Brahma Preferred.............. 174,141
15,138,100 Companhia Paranaense de Enargia - Copel ADR........ 85,978
14,040,000 Companhia Paranaense de Enargia - Copel Class B
Shares ADR*....................................... 127,348
51,200 Companhia Paranaense de Enargia - Copel Preferred
Class B Shares.................................... 476,800
17,584,100 Companhia Siderurgica Nacional S.A. ............... 537,609
39,922,452 Companhia Siderurgica de Turbarao Preferred*....... 618,183
20,200 Companhia Vale do Rio Doce Preferred ADR........... 549,115
136,600 Companhia Vale do Rio Doce Preferred Class A
Shares............................................ 3,628,257
370,667 Copene Petroquimica do Nordeste S.A. Preferred
Class A Shares.................................... 127,361
119,700 Embratel Participacoes S.A. ADR.................... 2,872,800
55,806,100 Embratel Participacoes S.A. Preferred.............. 1,340,356
17,059,800 Gerdau Metalurgica S.A. Preferred.................. 474,339
22,169,400 Petroleo Brasileiro S.A. Preferred................. 5,775,696
1,670,000 Siderurgica Belgo Mineira Preferred................ 141,565
28,447 Souza Cruz S.A. ................................... 172,016
16,800,000 Tele Centro Sul Participacoes S.A. ................ 158,648
54,499,500 Tele Nordeste Cellular Preferred................... 166,317
21,923,900 Tele Norte Leste Participacoes S.A. Preferred...... 361,785
44,000 Tele Norte Leste Participacoes S.A. ADR............ 1,122,000
16,433,292 Tele Sudeste Celular Partcipacoes S.A.(a).......... 182,953
14,690 Telecomunicacoes Brasileiras S.A. Preferred ADR.... 2,163,103
8,589,800 Tele Centro Minas Gerais Preferred, Class B
Shares............................................ 320,388
112,632,300 Tele Centro Sul Participa Preferred................ 1,635,221
38,700 Telecomunicacoes de Sao Paulo S.A. ................ 1,320,638
36,111,575 Telecomunicacoes de Sao Paulo S.A. Preferred ...... 1,224,263
106,076,250 Tele Norte Leste Participacoes S.A. Preferred ..... 2,685,626
600 Telesp Cellular Participacoes ADR*................. 32,325
85,897,913 Telesp Cellular Participacoes Preferred*........... 1,878,638
1 Tele Centro Oeste Cellular ADR*.................... 4
4,700 Tele Centro Sul Participacoes ADR.................. 338,988
3,120 Telesudeste Cellular Participacoes ADR............. 178,620
69,900 Uniao de Banco Brasileiros S.A. GDR*............... 2,035,838
1,750,000 Uniao de Banco Brasileiros S.A. Units*............. 102,854
18,700 Usinas Siderurigicas de Minas Gerais S.A. ......... 99,867
1,664,400 Votorantim Celulose Papel Preferred................ 55,947
- -------------------------------------------------------------------------------
39,180,946
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
80
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Chile -- 0.9%
2,932 Banco de A. Edwards ADR............................ $ 53,876
6,900 Banca Santander Chile S.A. ADR..................... 102,206
26,050 Cia. de Telecomunicaciones de Chile S.A. ADR....... 521,000
1,900 Cristalerias de Chile ADR.......................... 39,900
20,200 Distribucion y Servicio D&S S.A. ADR............... 388,850
21,200 Embotelladora Andina S.A. ADR*(a).................. 318,000
31,968 Empresa Nacional de Electricidad S.A. ADR.......... 379,620
7,048 Enersis S.A. ADR................................... 137,436
5,500 Gener S.A. ADR(a).................................. 85,250
2,100 Masisa S.A. ADR.................................... 31,763
1,400 Sociedad Quimica & Minera de Chile S.A. ADR........ 41,213
4,800 Vina Concha y Toro ADR............................. 181,200
- -------------------------------------------------------------------------------
2,280,314
- -------------------------------------------------------------------------------
Colombia -- 0.0%
6,020 Banco Gandero S.A. ADR............................. 77,884
- -------------------------------------------------------------------------------
Czech Republic -- 0.6%
72,272 Cesky Telecom A.S. ................................ 1,515,133
- -------------------------------------------------------------------------------
Egypt -- 0.1%
2,901 Commercial International Bank...................... 33,276
993 Eastern Co. for Tobacco & Cigarettes............... 22,894
2,896 Egyptian Co. for Mobile Services................... 139,949
284 Madinet NSAR....................................... 3,225
660 Orascom Construction Industries.................... 11,513
1,420 Suez Cement Co. ................................... 21,186
- -------------------------------------------------------------------------------
232,043
- -------------------------------------------------------------------------------
Greece -- 0.7%
3,620 Aegek S.A. ........................................ 44,789
1,900 Alpha Credit Bank S.A. ............................ 136,609
920 Alpha Leasing S.A. ................................ 26,069
1,110 Commercial Bank of Greece S.A. .................... 73,310
800 Elais S.A. ........................................ 22,784
3,270 Ergo Bank S.A. .................................... 87,188
1,480 Hellenic Bottling Co. S.A. ........................ 28,534
35,790 Hellenic Telecommunication Organization S.A. ...... 1,060,586
2,272 Intracom S.A. ..................................... 100,811
1,910 Michaniki S.A. .................................... 21,070
2,100 National Bank Of Greece S.A. ...................... 142,449
1,260 Titan Cement Co. S.A. ............................. 58,796
- -------------------------------------------------------------------------------
1,802,995
- -------------------------------------------------------------------------------
Hong Kong -- 3.6%
168,000 Beijing Datang Power Generation Co. Ltd. Class H
Shares............................................ 20,507
42,000 China Everbright Ltd. ............................. 29,681
40,000 China Resources Enterprises........................ 51,652
656,000 China Telecom Ltd. ................................ 6,026,623
25,000 Citic Pacific Ltd. ................................ 125,919
58,000 Cosco Pacific Ltd.(a).............................. 33,163
40,000 Guangdong Kelon Electrical Holdings Co. Ltd., Class
H Shares.......................................... 19,530
93,250 HSBC Holdings PLC.................................. 1,069,353
114,500 Hutchison Whampoa Ltd. ............................ 1,794,855
22,000 Legend Holdings Ltd. .............................. 101,763
166,000 Shanghai Petrochemica Co. Ltd. .................... 16,850
478,000 Tsingtao Brewery Co. Ltd. ......................... 116,693
656,000 Yanzhou Coal Moning Co. Ltd. ...................... 102,832
- -------------------------------------------------------------------------------
9,509,421
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
81
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Hungary -- 2.9%
756 Egis RT. .......................................... $ 35,709
383 Gedeon Richter RT. ................................ 26,848
16,696 Gedeon Richter RT. GDR............................. 1,172,894
104,168 Magyar Tavkozlesi RT. ADR.......................... 4,785,218
71,931 Magyar Tavkozlesi RT. GDR.......................... 668,724
6,390 MOL Magyar Olaj-es Gazipari RT. ................... 121,208
816 OTP Bank RT. ...................................... 46,587
7,760 OTP Bank RT. GDR................................... 440,380
678 Pick Szeged RT. ................................... 27,958
3,028 Tisza Vegyi Kombinat RT. .......................... 55,620
10,100 Tisza Vegyi Kombinat RT. GDR....................... 189,375
- ------------------------------------------------------------------------------
7,570,521
- ------------------------------------------------------------------------------
India -- 5.5%
27,800 Ashok Leyland Ltd. GDR............................. 186,955
16,500 Dr. Reddy Laboratories Ltd. GDR*................... 569,250
66,080 Hindalco Industries Ltd. GDR....................... 1,404,201
83,000 ITC Ltd. GDR....................................... 1,846,750
26,300 Larsen & Toubro Ltd. GDR........................... 539,150
147,260 Mahanagar Telephone Nigam Ltd. GDR................. 2,893,659
108,110 Morgan Stanley Dean Witter India Fund.............. 1,756,788
17,700 Pentamedia Graphics Ltd. GDR....................... 1,048,725
12,700 Reliance Industries Ltd. GDR....................... 254,000
83,250 State Bank of India GDR............................ 1,290,375
71,030 Videsh Sanchar Nigam Ltd. GDR*..................... 2,721,495
- ------------------------------------------------------------------------------
14,511,348
- ------------------------------------------------------------------------------
Indonesia -- 0.3%
483,000 PT Astra International Tbk*........................ 239,061
1,444,000 PT Bank Pan Indonesia Tbk*......................... 92,377
86,000 PT Gudang Garam Tbk................................ 143,333
483,000 PT Indah Kiat Pulp & Paper Corp. Tbk*.............. 133,354
500 PT Semen Gresik Tbk................................ 566
450,000 PT Telekomunikasi Indonesia Tbk.................... 221,212
182,000 PT Timah Tbk....................................... 84,566
- ------------------------------------------------------------------------------
914,469
- ------------------------------------------------------------------------------
Israel -- 4.5%
4,445 Agis Industries (1983) Ltd. ....................... 42,743
8,358 Azorim Investment Development & Construction Co.
Ltd. ............................................. 96,485
226,284 Bank Hapoalim Ltd. ................................ 670,674
309,071 Bank Leumi Le...................................... 678,437
143,324 Bezeq Israeli Telecommunication Corp. Ltd. ........ 868,008
20,010 Check Point Software Technologies Ltd.(a).......... 4,080,789
14,800 ECI Telecom Ltd.(a)................................ 488,400
3,779 Elbit System Ltd. ................................. 70,995
7,088 Elco Holding Ltd. ................................. 77,268
1,925 Formula Systems Ltd. .............................. 154,651
4,275 Galileo Technology Ltd. ........................... 82,027
2,960 Gilat Satellite Networks Ltd.(a)................... 444,740
9,243 IDB Holding Corp. Ltd. ............................ 339,295
227,664 Israel Chemicals Ltd. ............................. 266,754
452 The Israel Corp. Ltd .............................. 69,050
1,533 Koor Industries Ltd. .............................. 151,201
3,000 Magic Software Enterprises ADR..................... 75,375
</TABLE>
See Notes to Financial Statements.
82
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Israel -- 4.5% (continued)
2,138 Nice Systems Ltd.*................................. $ 188,147
22,725 Orbotech Ltd.*..................................... 2,092,120
14,488 Osem Investment Ltd. .............................. 98,845
37,973 Supersol Ltd. ..................................... 137,234
17,440 Teva Pharmaceutical Industries Ltd. ADR............ 752,100
- ------------------------------------------------------------------------------
11,925,338
- ------------------------------------------------------------------------------
Malaysia -- 3.5%
5,000 British American Tobacco Berhad.................... 36,842
747,000 Commerce Asset Holding Berhad...................... 2,339,290
46,000 Golden Hope Plantations Berhad..................... 40,916
22,000 Hong Leong Credit Berhad........................... 47,474
23,000 Malaysia International Shipping Corp. Berhad....... 34,803
243,000 Malaysian Banking Berhad........................... 1,093,500
13,000 Malaysian Oxygen Berhad............................ 40,711
5,000 Malaysian Pacific Industries....................... 63,487
9,000 Nestle (Malaysia) Berhad........................... 46,421
18,000 Oriental Holdings Berhad........................... 42,395
725,000 Resorts World Berhad............................... 2,632,895
266,000 Telekom Malaysia Berhad............................ 1,127,000
496,000 Tenaga Nasional Berhad............................. 1,644,632
- ------------------------------------------------------------------------------
9,190,366
- ------------------------------------------------------------------------------
Mexico -- 12.3%
392,941 Alfa, S.A. de C.V. Class A Shares*................. 1,375,797
112,535 Cemex S.A. de C.V. Class B Shares.................. 482,911
58,831 Cemex S.A. de C.V. Class B Shares ADR.............. 1,257,508
14,800 Coca Cola Femsa S.A. ADR........................... 283,975
130,000 Controladora Comercial Mexicana S.A. de C.V. ...... 124,893
316,000 Desc S.A. de C.V. Series B Shares*................. 205,764
478,684 Fomento Economico Mexicano, S.A. de C.V. .......... 2,120,558
13,500 Fomento Economico Mexicano, S.A. de C.V. ADR....... 599,906
53,000 Grupo Bimbo S.A. Series A Shares*.................. 87,579
294,887 Grupo Carso S.A. de C.V. Series A1 Shares*......... 1,142,656
176,000 Grupo Casa Autrey S.A. de C.V.*.................... 158,565
56,000 Grupo Continental.................................. 54,996
89,300 Grupo Financiero Banamex Series B Shares*.......... 380,821
223,200 Grupo Financiero Banamex Series O Shares*.......... 950,649
1 Grupo Financiero Bancomer Series L Shares*......... 1
744,000 Grupo Financiero Bancomer Series O Shares*......... 366,123
46,000 Grupo Mexico S.A. Series B Shares.................. 226,366
731,100 Grupo Modelo S.A. de C.V. Series C Shares.......... 1,638,888
150,000 Grupo Televisa S.A.*............................... 578,832
72,800 Grupo Televisa S.A. GDR*........................... 5,591,950
149,400 Hylsamex S.A.*..................................... 334,906
25,000 Industrias Penoles S.A. ........................... 67,384
90,300 Kimberly-Clark de Mexico, S.A. de C.V. Class A
Shares............................................ 280,983
6,780 Nuevo Grupo Iusacell Series V Shares ADR*.......... 144,075
200,560 Organizacion Soriano S.A. Series B Shares*......... 824,249
39,200 Telefonos de Mexico S.A. Series L Shares ADR....... 2,577,400
2,419,300 Telefonos de Mexico S.A. Series L Shares........... 7,876,671
50,000 Vitro S.A. Series A Shares......................... 72,588
893,992 Wal-Mart De Mexico S.A. Series C Shares*........... 1,906,699
343,100 Wal-Mart De Mexico S.A. Series V Shares*........... 769,118
- ------------------------------------------------------------------------------
32,482,811
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
83
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Netherlands -- 1.0%
77,360 Indo Himalayan Fund NV............................... $ 2,533,540
- --------------------------------------------------------------------------------
Panama -- 0.2%
28,100 Panamerican Beverages Inc., Class A Shares........... 479,456
- --------------------------------------------------------------------------------
Peru -- 0.1%
14,800 Credicorp. Ltd. ..................................... 181,300
- --------------------------------------------------------------------------------
Philippines -- 0.1%
13,600 Philippine Long Distance Telephone Co. .............. 295,364
- --------------------------------------------------------------------------------
Poland -- 0.3%
81,900 Telekomunikacja Polska S.A. GDR...................... 747,338
- --------------------------------------------------------------------------------
Russia -- 2.0%
20,700 AO Taftnet ADR....................................... 243,225
43,528 Lukoil Holding ADR................................... 1,784,648
82,034 RAO Unified Energy Systems........................... 1,181,502
20,850 Rostelecom ADR*+..................................... 364,875
156,125 Surgutneftegaz ADR................................... 1,811,050
- --------------------------------------------------------------------------------
5,385,300
- --------------------------------------------------------------------------------
South Africa -- 7.8%
106,900 ABSA Group Ltd. ..................................... 412,793
22,800 AECI Ltd. ........................................... 53,185
92,200 African Bank Investments Ltd.*....................... 192,547
74,300 Anglo American Platinum Corp. Ltd. .................. 2,107,901
17,900 Anglo American PLC................................... 802,364
14,650 Anglogold Ltd. ...................................... 759,666
12,380 Anglovaal Industrial Ltd. ........................... 11,805
160,451 Aveng Ltd. .......................................... 204,588
40,300 Barlow Ltd. ......................................... 295,357
22,484 Bidvest Group Ltd. .................................. 184,277
667,700 BOE Ltd. ............................................ 625,110
35,700 Comparex Holdings Ltd. .............................. 248,983
51,740 De Beers............................................. 1,133,522
303,090 Dimension Data Holdings Ltd.*........................ 2,818,464
1 Edgars Consolidate Stores Ltd. ...................... 7
704,420 FirstRand Ltd. ...................................... 880,428
42,900 Foschini Ltd. ....................................... 97,028
29,364 Gold Fields Ltd.+.................................... 136,067
14,120 Impala Platinum Holdings Ltd.+....................... 503,403
19,428 Imperial Holdings Ltd.*.............................. 189,847
10,700 Investec Group Ltd. ................................. 445,222
63,330 Iron & Steel Industries Corp. ....................... 177,173
6,300 JD Group Ltd. ....................................... 49,648
19,800 Johnnies Industrial Corp. Ltd. ...................... 330,796
21,700 Kersaf Investments Ltd. ............................. 72,508
1 Liberty International PLC............................ 5
27,375 Liberty Life Association of Africa Ltd. ............. 261,466
128,600 M-Cell Ltd. ......................................... 770,218
136,700 Metropolitan Life Ltd. .............................. 187,446
268,000 Murray & Roberts Holdings Ltd. ...................... 177,408
85,100 Nampak Ltd. ......................................... 220,640
31,087 Nedcor Ltd. ......................................... 656,557
3,200 Omni Media Corp. Ltd. ............................... 100,872
103,100 Primedia Ltd. Class N Shares......................... 128,373
106,900 Profurn Ltd. ........................................ 87,613
162,300 Rembrandt Group Ltd. ................................ 1,406,922
</TABLE>
See Notes to Financial Statements.
84
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
South Africa -- 7.8% (continued)
210,500 Safmarine & Rennies Holdings Ltd. ................... $ 97,873
479,200 Sanlam Ltd. ......................................... 604,221
229,810 Sappi Ltd. .......................................... 1,901,591
83,240 Sasol Ltd. .......................................... 532,656
67,120 South African Breweries Ltd.(a)...................... 518,367
24,500 The Tongaat-Hulett Group Ltd. ....................... 131,291
- --------------------------------------------------------------------------------
20,516,208
- --------------------------------------------------------------------------------
South Korea -- 12.7%
1,956 Cheil Jedang Corp.*.................................. 126,065
7,500 Dacom Corp.*......................................... 2,168,234
11,180 Daewoo Securities Co. ............................... 117,621
6,330 Daishin Securities Co. .............................. 96,256
5,130 Dongwon Securities Co. .............................. 104,767
82,625 H&CB*................................................ 1,471,925
15,080 Hana Bank............................................ 109,323
19,761 Hanjin Heavy Industries*............................. 52,586
12,900 Hanvit Bank GDR...................................... 45,473
11,380 Hanwha Chemical Corp.*............................... 65,396
3,745 Hite Brewery Co. Ltd.*............................... 92,706
6,770 Hyundai Electronics Industries*...................... 107,137
12,680 Hyundai Merchant Marine*............................. 87,440
14,513 Hyundai Motor Co. Ltd.*.............................. 154,611
42,622 Hyundai Motor Co. Ltd. GDR*.......................... 232,290
86,187 Kookmin Bank*........................................ 960,084
960 Korea Chemical Co. Ltd.*............................. 59,835
75,151 Korea Electric Power Corp.*.......................... 1,880,262
92,339 Korea Telecom Corp. ADR.............................. 4,016,747
600 Korea Thrunet Co. Ltd. Class A Shares................ 35,475
6,804 Korean Air*.......................................... 46,619
107,579 L.G. Chemical Ltd.*.................................. 2,848,534
8,410 L.G. Electronics*.................................... 172,869
410 L.G. Information & Communication Ltd.*............... 45,491
6,084 Namhae Chemical Co.*................................. 93,860
1,110 Nong Shim Co. ....................................... 42,198
37,720 Pohang Iron & Steel Co. Ltd.*........................ 3,867,025
19,508 Pohang Iron & Steel Co. Ltd. ADR..................... 490,139
42,434 Samsung Electronics.................................. 9,603,975
1,070 Samsung Electronics GDR+............................. 140,224
2,940 Samsung Electro-Mechanics Co.*....................... 178,307
10,732 Samsung Fire & Marine Insurance...................... 305,041
4,580 Samsung SDI Co. Ltd.*................................ 133,217
41,624 Samsung Securties Co. Ltd. .......................... 1,273,260
19,780 Shinhan Bank*........................................ 188,863
6,490 Shin Young Securities Co. ........................... 108,444
1,590 Sindo Ricoh Co.*..................................... 44,983
11,240 Sk Corp.*............................................ 253,398
455 Sk Telecom Co. Ltd.*................................. 1,689,127
3,390 Ssangyong Oil Refining Co. Ltd.*..................... 56,645
100 Tae Kwang Industry Co.*.............................. 33,861
4,037 Taehan Electric Wire Co.*............................ 49,610
- --------------------------------------------------------------------------------
33,649,923
- --------------------------------------------------------------------------------
Spain -- 0.1%
2,500 Terra Networks S.A. ADR.............................. 324,063
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
85
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Sri Lanka -- 0.0%
70 Hayleys Ltd. ........................................ $ 93
75 John Keells Holdings Ltd. ........................... 148
- --------------------------------------------------------------------------------
241
- --------------------------------------------------------------------------------
Taiwan -- 13.7%
91,250 Acer Inc. ........................................... 247,946
39,852 Advanced Semiconductor Engineering Inc. ............. 132,926
138,800 Asia Cement Corp. ................................... 148,150
373,398 Asustek Computer Inc. ............................... 4,653,805
122,000 Cathay Construction Corp. ........................... 51,611
126,000 Cathay Life Insurance Corp. ......................... 348,519
144,600 China Development Industrial Bank*................... 244,686
1,298,250 China Steel Corp. ................................... 1,005,478
95,320 Chinatrust Commercial Bank*.......................... 102,361
291,540 Chung Hsing Bills Finance Corp. ..................... 122,384
59,000 Compal Electronics Corp. ............................ 205,434
16,200 Delta Electronics, Inc. ............................. 78,021
43 Evergreen Marine Corp.*.............................. 40
185,760 Far Eastern Department Stores Ltd. .................. 111,831
857,000 Far Eastern Textile Ltd. ............................ 1,868,500
84,000 First Commercial Bank*............................... 122,187
123,640 Formosa Chemicals & Fibre Corp. ..................... 185,078
1,355,030 Formosa Plastics Corp. .............................. 2,976,392
129,480 Formosa Taffeta Co. ................................. 105,337
2,961 Gigamedia Ltd. ADR(a)................................ 207,455
223,860 Hon Hai Precision Industry Co. Ltd. ................. 2,083,435
81,000 Hua Nan Commercial Bank*............................. 112,024
118,720 International Bank of Taipei*........................ 136,762
61,800 International Commercial Bank of China............... 69,382
117,330 Nan Ya Plastic Corp. ................................ 259,630
43,340 Nien Hsing Textile Co., Ltd. ........................ 103,661
134,000 Pacific Electrical Wire & Cable Co., Ltd. ........... 139,102
568,073 President Chain Store Corp. ......................... 2,477,116
1,506,000 Siliconware Precision Industries Corp. .............. 3,136,479
86,000 Synnex Technology Industrial Corp. .................. 601,692
89,000 Taiwan Glass Industrial Corp. ....................... 72,405
736,270 Taiwan Semiconductor Manufacturing Co. .............. 4,815,824
122,000 Tatung Co., Ltd.*.................................... 169,919
1,612,375 United Microelectronics Corp. Ltd.*.................. 5,902,772
2,527,160 United World Chinese Commercial Bank................. 3,190,817
74,000 Yulon Motor Co., Ltd. ............................... 62,610
- --------------------------------------------------------------------------------
36,251,771
- --------------------------------------------------------------------------------
Thailand -- 1.7%
127,375 Advanced Information Service Public Co. Ltd.*........ 1,942,867
263,100 Bangkok Bank Public Co. Ltd.*........................ 424,522
69,900 BEC World Public Co. Ltd. ........................... 524,502
61,770 PTT Exploration & Production Public Co. Ltd. ........ 297,233
1,019,300 Thai Farmers Bank Public Co. Ltd. ................... 962,739
1,563,800 Thai Petrochemical Ltd. ............................. 410,285
- --------------------------------------------------------------------------------
4,562,148
- --------------------------------------------------------------------------------
Turkey -- 6.7%
78 Akbank T.A.S. ....................................... 2
4,652,000 Akcansa Cimento A.S. ................................ 103,189
73,617,357 Aksigorta A.S. ...................................... 1,729,009
367,000 Aktas Elektrik Ticaret A.S. ......................... 106,946
</TABLE>
See Notes to Financial Statements.
86
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Turkey -- 6.7% (continued)
5,796,122 Arcelik A.S........................................ $ 342,846
1,196,000 Aygaz A.S.......................................... 141,489
2,672,714 Beko Elektronik A.S................................ 62,773
4,484,480 Bolu Cimento Sanayii A.S. ......................... 55,393
92,300,925 Dogan Sirketler Grubu Holding A.S.*................ 2,730,113
15,134,000 Dogan Yayin Holding A.S............................ 388,355
4,100,000 Eczacibasi Ilac Sanayi Ve T.A.S.*.................. 106,994
1,430,686 Enka Holding Yatirim A.S........................... 373,352
3,530,000 Eregli Demir Ve Celik Fabrikalari T.A.S............ 151,996
6,189,740 Haci Omer Sabanci Holding A.S. .................... 285,366
261,262 Migros Turk T.A.S. ................................ 156,812
12,158,444 Netas Telekomunikaja A.S........................... 1,522,978
3,813,000 Sabah Yayincilik A.S............................... 34,826
751,000 Tansas A.S......................................... 150,252
24,000 Turk Economi Bankasi S.A. GDR...................... 46,500
130,276,221 Turkiye Garanti Bankasi S.A........................ 1,949,157
25,245,120 Turkiye Is Bankasi, Class C Shares................. 1,207,795
7,206,122 Vestel Elektronik Sanayi ve Ticaret A.S............ 2,350,640
129,269,264 Yapi ve Kredi Bankasi A.S.......................... 3,824,857
- ------------------------------------------------------------------------------
17,821,640
- ------------------------------------------------------------------------------
United States -- 3.0%
11,000 Chile Fund......................................... 125,125
8,090 Comverse Technology, Inc. ......................... 1,592,719
1,100 Deltathree.com Inc.(a)............................. 46,063
293,300 The India Fund*.................................... 6,030,981
3,930 Scitex Corp Ltd.*.................................. 60,424
- ------------------------------------------------------------------------------
7,855,312
- ------------------------------------------------------------------------------
Venezuela -- 0.5%
25,700 C.A. La Electricidad de Caracas ADR*............... 366,225
26,700 Compania Aoinima Nacional Telefonos de Venezuela
ADR............................................... 889,444
21,000 Mavesa S.A. ADR.................................... 57,750
- ------------------------------------------------------------------------------
1,313,419
- ------------------------------------------------------------------------------
TOTAL STOCK (Cost -- $184,658,278)................. 263,110,614
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
87
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 0.4%
$1,000,000 CIBC Wood Gundy Securities Inc., 5.650% due 3/1/00;
Proceeds at maturity -- $1,000,157;
(Fully collateralized by U.S. Treasury Notes,
4.500% due 1/31/01; Market value -- $1,020,355)
(Cost -- $1,000,000)............................... $ 1,000,000
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost -- $185,658,278**).. $264,110,614
- --------------------------------------------------------------------------------
</TABLE>
* Non-income producing security.
(a) All or a portion of this security is on loan (See Note 11).
+ 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.
[PIE CHART]
Classification of Investments
Malysia 3.5%
Mexico 12.3%
Hong Kong 3.6%
South Africa 7.8%
Turkey 6.7%
India 5.5%
South Korea 12.7%
Taiwan 13.7%
Israel 4.5%
Repurchage Agreement 0.4%
Other Stocks 14.5%
Brazil 14.8%
See Notes to Financial Statements.
88
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
BONDS -- 97.7%
- ------------------------------------------------------------------------------
Argentina -- 0.4%
1,120,000 Republic of Argentina, 8.750% due 7/10/02........ $ 1,022,662
- ------------------------------------------------------------------------------
Australia -- 4.0%
1,003,000,000 Oesterreich Kontrollbank, 1.800% due 3/22/10..... 9,098,261
- ------------------------------------------------------------------------------
France -- 0.6%
1,450,000 Crown Cork & Seal Finance SA, 6.000% due
12/6/04......................................... 1,384,189
- ------------------------------------------------------------------------------
Germany -- 25.4%
1,170,000 Bundesobligation, 5.000% due 8/20/01............. 1,137,005
Bundesrepublic Deutschland:
2,300,000 6.000% due 1/5/06................................ 2,293,046
9,186,000 5.250% due 1/4/08................................ 8,724,860
13,730,000 4.125% due 7/4/08(a)............................. 12,049,309
7,710,000 4.750% due 7/4/08................................ 7,063,887
5,690,000 3.750% due 1/4/09................................ 4,824,754
12,170,000 5.375% due 1/4/10(a)............................. 11,603,588
10,000,000 5.625% due 1/4/28................................ 9,228,414
1,660,000 Corp. Andina De Fomento, 4.750% due 5/6/04....... 1,503,561
- ------------------------------------------------------------------------------
58,428,424
- ------------------------------------------------------------------------------
Greece -- 10.4%
Hellenic Republic:
531,000,000 8.900% due 4/1/03................................ 1,644,978
500,000,000 6.600% due 1/15/04............................... 1,462,248
2,143,000,000 8.700% due 4/8/05................................ 6,824,655
2,145,000,000 6.000% due 2/19/06............................... 6,094,005
1,793,900,000 7.500% due 5/20/13............................... 5,605,459
2,660,000 Public Power Corp., 4.500% due 3/12/09........... 2,227,337
- ------------------------------------------------------------------------------
23,858,682
- ------------------------------------------------------------------------------
Japan -- 2.8%
4,200,000 Japan Financial Corp., 6.375 due 3/9/04.......... 6,497,173
- ------------------------------------------------------------------------------
Netherlands -- 3.6%
47,000,000 Deutsche Finance BV, zero coupon due 4/16/18..... 664,105
7,100,000 Netherlands Government, 7.750% due 3/1/05........ 7,578,920
- ------------------------------------------------------------------------------
8,243,025
- ------------------------------------------------------------------------------
New Zealand -- 2.5%
11,051,000 New Zealand Government, 10.000% due 3/15/02(a)... 5,666,624
- ------------------------------------------------------------------------------
Poland -- 3.7%
Poland Government Bond:
40,600,000 Zero coupon due 12/21/01......................... 7,352,352
6,011,000 8.500% due 2/12/05............................... 1,197,148
- ------------------------------------------------------------------------------
8,549,500
- ------------------------------------------------------------------------------
Portugal -- 1.9%
4,550,000 Obrig Do Tes Medio Prazo, 5.850% due 5/20/10..... 4,398,251
- ------------------------------------------------------------------------------
South Africa -- 2.7%
Republic of South Africa:
30,560,000 12.000% due 2/28/05(a)........................... 4,619,902
11,200,000 13.000% due 8/31/10.............................. 1,701,711
- ------------------------------------------------------------------------------
6,321,613
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
89
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT+ SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Spain -- 9.7%
987,000,000 Kingdom of Spain, 3.100% due 9/20/06(a)........ $ 9,917,618
13,000,000 Spain Government, 4.250% due 7/30/02........... 12,390,578
- ------------------------------------------------------------------------------
22,308,196
- ------------------------------------------------------------------------------
Supranational -- 9.9%
39,900,000 European Bank Reconstruction & Development,
15.700% due 5/10/02........................... 999,905
1,136,000,000 European Investment Bank, 2.125% due 9/20/07... 10,739,545
66,000,000 International Bank Reconstruction &
Development, zero coupon due 5/14/12.......... 2,015,981
880,000,000 World Bank, 4.500% due 3/20/03(a).............. 8,978,234
- ------------------------------------------------------------------------------
22,733,665
- ------------------------------------------------------------------------------
Sweden -- 6.7%
42,600,000 AB Spintab, 5.500% due 9/17/03................. 4,758,546
2,360,000 Birka Energi AB, 6.375% due 11/3/06(a)......... 2,289,584
1,707,714 Investor AB, 5.250% due 6/30/08................ 1,541,225
Swedish Government:
40,800,000 5.500% due 4/12/02............................. 4,669,028
16,600,000 10.250% due 5/5/03............................. 2,146,023
- ------------------------------------------------------------------------------
15,404,406
- ------------------------------------------------------------------------------
Turkey -- 0.6%
861,000,000,000 Turkey T-Bill, zero coupon due 3/15/00......... 1,432,356
- ------------------------------------------------------------------------------
United Kingdom -- 2.2%
1,000,000 BG PLC, 7.000% due 4/4/00...................... 1,578,117
Lloyds TSB Bank PLC:
1,000,000 7.375% due 3/11/04............................. 1,589,782
2,300,000 4.750% due 3/18/11............................. 1,927,410
- ------------------------------------------------------------------------------
5,095,309
- ------------------------------------------------------------------------------
United States -- 10.6%
1,180,000,000 Federal National Mortgage Association, 1.750%
due 3/26/08................................... 10,840,391
1,950,000 Household Finance Corp., 5.125% due 6/24/09.... 1,712,710
2,210,000 International Lease Finance Corp., 4.125% due
7/12/04....................................... 2,002,349
1,060,000,000 KFW International Finance, 1.000% due
12/20/04...................................... 9,623,512
- ------------------------------------------------------------------------------
24,178,962
- ------------------------------------------------------------------------------
TOTAL BONDS (Cost -- $234,520,085)............. 224,621,298
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
90
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
International Fixed Income Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.3%
$ 5,300,000 CIBC Wood Gundy Securities Inc., 5.650% due
3/1/00; Proceeds at maturity -- $5,300,832;
(Fully collateralized by U.S. Treasury Notes,
4.500% due 1/31/01; Market value -- $5,406,401)
(Cost -- $5,300,000)............................. $ 5,300,000
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$239,820,085**)................................. $229,921,298
- -------------------------------------------------------------------------------
</TABLE>
+ Represents local currency.
(a) All or a portion of this security is on loan (See Note 11).
** Aggregate cost for Federal income tax purposes is substantially the same.
[PIE CHART]
Classification of Investments
Germany 25.5%
Supranational 9.9%
Repurchase Agreement 2.3%
Other Bonds 17.4%
United States 10.6%
Greece 10.4%
Sweden 6.7%
Spain 9.7%
Australia 4.0%
Netherlands 3.6%
See Notes to Financial Statements.
91
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COMMON STOCK -- 48.5%
- --------------------------------------------------------------------------------
Advertising -- 0.3%
2,200 Omnicom Group, Inc.+............................... $ 207,212
- --------------------------------------------------------------------------------
Aerospace -- 0.4%
2,600 General Dynamics Corp. ............................ 112,450
1,100 Northrop Grumman Corp. ............................ 49,981
2,500 United Technologies Corp. ......................... 127,344
- --------------------------------------------------------------------------------
289,775
- --------------------------------------------------------------------------------
Airlines -- 0.1%
2,800 US Airways Group, Inc.*............................ 52,325
- --------------------------------------------------------------------------------
Auto Manufacturers -- 0.5%
2,272 Ford Motor Co. .................................... 94,572
3,900 General Motors Corp. .............................. 296,644
- --------------------------------------------------------------------------------
391,216
- --------------------------------------------------------------------------------
Auto Parts & Equipment -- 0.1%
5,245 Delphi Automotive Systems Corp.+................... 87,526
- --------------------------------------------------------------------------------
Banks -- 2.3%
3,200 Bank of America Corp. ............................. 147,400
7,100 Chase Manhattan Corp. ............................. 565,337
12,100 Fleet Boston Financial Corp. ...................... 329,725
2,700 PNC Bank Corp. .................................... 104,456
4,700 South Trust Corp. ................................. 107,806
1,800 Summit Bancorp+.................................... 43,087
1,800 SunTrust Banks, Inc. .............................. 91,462
8,800 Wells Fargo Co. ................................... 290,950
- --------------------------------------------------------------------------------
1,680,223
- --------------------------------------------------------------------------------
Beverages -- 1.0%
3,400 Anheuser-Busch Co. ................................ 218,025
5,300 The Coca-Cola Co. ................................. 256,719
7,900 PepsiCo Inc. ...................................... 254,775
- --------------------------------------------------------------------------------
729,519
- --------------------------------------------------------------------------------
Biotechnology -- 0.7%
6,200 Amgen, Inc.*....................................... 422,762
1,100 Biogen, Inc.*...................................... 118,731
- --------------------------------------------------------------------------------
541,493
- --------------------------------------------------------------------------------
Building Materials -- 0.2%
1,400 Martin Marietta Materials Inc. .................... 49,700
2,400 Southdown, Inc. ................................... 119,100
- --------------------------------------------------------------------------------
168,800
- --------------------------------------------------------------------------------
Chemicals -- 0.4%
1,800 E.I. du Pont de Nemours & Co. ..................... 90,900
2,300 Rohm & Haas Co. ................................... 92,862
1,700 Union Carbide Corp. ............................... 91,269
- --------------------------------------------------------------------------------
275,031
- --------------------------------------------------------------------------------
Computers -- 5.4%
12,200 Cisco Systems, Inc.*............................... 1,612,688
10,100 Dell Computer Corp.*............................... 412,206
4,200 EMC Corp.*......................................... 499,800
4,700 International Business Machines Corp. ............. 479,400
</TABLE>
See Notes to Financial Statements.
92
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Computers -- 5.4% (continued)
2,600 Lexmark International Group, Inc., Class A
Shares*......................................... $ 310,050
7,300 Sun Microsystems, Inc.*.......................... 695,325
- ------------------------------------------------------------------------------
4,009,469
- ------------------------------------------------------------------------------
Cosmetics/Personal Care -- 0.6%
5,400 The Procter & Gamble Co. ........................ 475,200
- ------------------------------------------------------------------------------
Distribution/Wholesale -- 0.2%
2,900 Costco Wholesale Corp.*.......................... 143,913
- ------------------------------------------------------------------------------
Diversified Financial Services -- 1.7%
1,900 A.G. Edwards, Inc. .............................. 60,206
4,100 Fannie Mae....................................... 217,300
2,300 Lehman Brothers Holdings Inc. ................... 166,750
8,600 MBNA Corp. ...................................... 195,650
3,245 Merrill Lynch & Co., Inc. ....................... 332,613
2,424 Morgan Stanley Dean Witter & Co. ................ 170,740
3,000 SLM Holding Corp. ............................... 93,938
- ------------------------------------------------------------------------------
1,237,197
- ------------------------------------------------------------------------------
Electric -- 0.8%
3,500 Edison International............................. 92,094
2,400 Florida Progress Corp. .......................... 102,300
3,200 GPU, Inc. ....................................... 79,600
2,500 PECO Energy Co. ................................. 93,281
1,300 Pinnacle West Capital Corp. ..................... 35,913
2,500 Public Service Enterprise Group Inc.+............ 72,500
3,500 Texas Utilities Co. ............................. 114,188
- ------------------------------------------------------------------------------
589,876
- ------------------------------------------------------------------------------
Electronics -- 0.9%
1,400 Linear Technology Corp. ......................... 146,912
2,200 Maxim Integrated Products, Inc.*+................ 146,988
4,600 SCI Systems, Inc.*+.............................. 185,150
2,600 Solectron Corp.*+................................ 170,300
- ------------------------------------------------------------------------------
649,350
- ------------------------------------------------------------------------------
Food -- 1.0%
4,900 General Mills, Inc. ............................. 161,394
4,400 Nabisco Holdings Corp. Class A Shares+........... 128,700
2,400 The Quaker Oats Co. ............................. 129,450
4,900 Ralston-Ralston Purina Group..................... 138,731
4,800 Safeway Inc.*+................................... 185,100
- ------------------------------------------------------------------------------
743,375
- ------------------------------------------------------------------------------
Forest Products & Paper -- 0.3%
2,200 Champion International Corp. .................... 113,850
2,400 International Paper Co. ......................... 88,350
- ------------------------------------------------------------------------------
202,200
- ------------------------------------------------------------------------------
Health Care -- 0.8%
1,800 Bausch & Lomb Inc.+.............................. 94,950
6,200 Medtronic Inc. .................................. 300,313
2,900 United HealthCare Corp. ......................... 148,262
- ------------------------------------------------------------------------------
543,525
- ------------------------------------------------------------------------------
Holding Companies - Diversified -- 0.1%
1,800 The Seagram Co., Ltd. ........................... 105,750
- ------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
93
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
Household Products -- 0.1%
4,200 The Dial Corp. ..................................... $ 60,375
- -------------------------------------------------------------------------------
Insurance -- 1.0%
3,600 Ace Ltd. ........................................... 64,350
6,800 Allstate Corp. ..................................... 132,600
1,600 Ambac Financial Group, Inc. ........................ 70,300
2,400 American General Corp. ............................. 125,250
1,500 CIGNA Corp. ........................................ 110,719
5,200 Hartford Financial Services Group, Inc. ............ 162,500
2,500 Old Republic International Corp..................... 29,219
2,100 Torchmark Corp. .................................... 41,607
- -------------------------------------------------------------------------------
736,545
- -------------------------------------------------------------------------------
Iron/Steel -- 0.1%
1,900 USX-U.S. Steel Group................................ 41,562
- -------------------------------------------------------------------------------
Leisure Time -- 0.1%
3,300 Carnival Corp.+..................................... 95,081
- -------------------------------------------------------------------------------
Machinery - Diversified -- 0.1%
2,300 Ingersoll-Rand Co. ................................. 88,119
- -------------------------------------------------------------------------------
Media -- 2.1%
1,000 AMFM Inc.*.......................................... 61,375
3,200 AT&T Corp. - Liberty Media Group, Class A Shares*... 167,200
1,600 Clear Channel Communications, Inc.*+................ 106,600
3,494 Fox Entertainment Group, Inc., Class A Shares*...... 91,936
1,100 Hispanic Broadcasting Corp.*........................ 102,781
4,000 Infinity Broadcasting Corp., Class A Shares*........ 127,750
1,300 MediaOne Group, Inc.*............................... 102,050
6,000 Time Warner, Inc.+.................................. 513,000
5,400 Viacom Inc., Class B Shares*........................ 301,050
- -------------------------------------------------------------------------------
1,573,742
- -------------------------------------------------------------------------------
Metals - Diversified -- 0.3%
2,900 Alcoa Inc.+......................................... 198,650
- -------------------------------------------------------------------------------
Miscellaneous Manufacturers -- 4.0%
2,500 Corning Inc......................................... 470,000
11,100 General Electric Co................................. 1,467,281
2,100 Honeywell Inc....................................... 101,063
2,300 Minnesota Mining & Manufacturing Co................. 202,687
3,100 PPG Industries, Inc. ............................... 153,063
14,600 Tyco International Ltd.............................. 553,887
- -------------------------------------------------------------------------------
2,947,981
- -------------------------------------------------------------------------------
Oil & Gas Producers -- 2.5%
2,400 Atlantic Richfield Co............................... 170,400
4,100 Coastal Corp. ...................................... 172,456
5,800 Diamond Offshore Drilling, Inc. .................... 184,150
9,000 Exxon Mobil Corp.................................... 677,813
2,600 Kerr McGee Corp..................................... 116,350
6,400 Royal Dutch Petroleum Co............................ 336,000
3,700 Tosco Corp.......................................... 98,975
3,600 USX-Marathon Group, Inc............................. 77,850
- -------------------------------------------------------------------------------
1,833,994
- -------------------------------------------------------------------------------
Pharmaceuticals -- 3.5%
6,400 American Home Products Corp. ....................... 278,400
7,300 Bristol-Myers Squibb Co............................. 414,731
6,200 Elan Corp. PLC Sponsored ADR*....................... 254,975
</TABLE>
See Notes to Financial Statements.
94
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
Pharmaceuticals -- 3.5% (continued)
1,000 MedImunne, Inc.*+.................................... $ 198,500
7,400 Merck & Co., Inc. ................................... 455,563
7,900 Schering-Plough Corp. ............................... 275,512
7,900 Warner-Lambert Co. .................................. 675,944
- --------------------------------------------------------------------------------
2,553,625
- --------------------------------------------------------------------------------
Pipelines -- 0.6%
2,700 Columbia Energy Group................................ 159,300
4,200 Enron Corp........................................... 289,800
- --------------------------------------------------------------------------------
449,100
- --------------------------------------------------------------------------------
Retail -- 2.6%
3,000 Best Buy Co., Inc.*.................................. 163,125
4,000 Federated Department Stores, Inc.*................... 146,750
4,800 The Limited Inc. .................................... 163,200
3,400 Lowe's Cos., Inc.+................................... 161,925
5,350 Staples, Inc.*+...................................... 144,450
2,900 Tandy Corp. ......................................... 110,381
3,500 Target Corp. ........................................ 206,500
6,500 The TJX, Cos., Inc. ................................. 103,594
15,400 Wal-Mart Stores, Inc. +.............................. 749,788
- --------------------------------------------------------------------------------
1,949,713
- --------------------------------------------------------------------------------
Savings & Loans -- 0.1%
2,432 Washington Mutual, Inc. ............................. 53,808
- --------------------------------------------------------------------------------
Semiconductors -- 2.6%
1,900 Altera Corp.*........................................ 151,525
2,100 Applied Materials, Inc.*............................. 384,169
8,600 Intel Corp. ......................................... 971,800
2,200 Micron Technology, Inc.*+............................ 215,737
900 PMC-Sierra, Inc.*.................................... 173,756
- --------------------------------------------------------------------------------
1,896,987
- --------------------------------------------------------------------------------
Software -- 4.7%
5,600 America Online, Inc.*................................ 330,400
3,400 Automatic Data Processing, Inc. ..................... 148,113
700 Internet Capital Group, Inc.*+....................... 74,025
16,300 Microsoft Corp.*..................................... 1,456,812
13,400 Oracle Corp.*+....................................... 994,950
900 Siebel Systems, Inc.*................................ 124,819
1,700 Symantec Corp.*...................................... 121,444
1,400 Yahoo! Inc.*+........................................ 223,563
- --------------------------------------------------------------------------------
3,474,126
- --------------------------------------------------------------------------------
Telecommunications -- 0.7%
2,500 Qwest Communications International Inc.*+............ 115,937
7,000 Vodafone AirTouch PLC Sponsored ADR+................. 403,813
- --------------------------------------------------------------------------------
519,750
- --------------------------------------------------------------------------------
Telecommunications Equipment -- 2.4%
2,900 Lucent Technologies, Inc. ........................... 172,550
3,222 Motorola, Inc. ...................................... 549,351
1,200 Nokia Oyj Sponsored ADR+............................. 237,975
3,900 Nortel Networks Corp. +.............................. 434,850
1,900 QUALCOMM, Inc.*+..................................... 270,631
2,700 Tellabs, Inc.*+...................................... 129,600
- --------------------------------------------------------------------------------
1,794,957
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
95
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Balanced Investments
<TABLE>
<CAPTION>
SHARES SECURITY VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
Telephone -- 3.0%
12,100 AT&T Corp.+....................................... $ 598,194
5,500 Bell Atlantic Corp. .............................. 269,156
4,000 GTE Corp.......................................... 236,000
12,020 MCI WorldCom, Inc.*............................... 536,393
8,627 SBC Communications, Inc. ......................... 327,826
2,600 Sprint Corp....................................... 158,600
1,800 Telefonos de Mexico S.A. Sponsored ADR+........... 118,350
- ------------------------------------------------------------------------------
2,244,519
- ------------------------------------------------------------------------------
Transportation -- 0.2%
3,300 Burlington Northern Santa Fe Corp................. 64,969
2,200 Canadian National Railway Co...................... 51,837
- ------------------------------------------------------------------------------
116,806
- ------------------------------------------------------------------------------
TOTAL COMMON STOCK (Cost -- $31,480,822).......... 35,752,415
- ------------------------------------------------------------------------------
PREFERRED STOCK -- 0.4%
6,700 Placer Dome Inc., 8.625% exchangeable 12/31/45.... 127,300
1,000 SPG Properties Inc., 7.890%....................... 44,719
150 Centaur Funding Corp., 9.080% exchangeable
4/21/20.......................................... 153,560
- ------------------------------------------------------------------------------
TOTAL PREFERRED STOCK (Cost -- $330,797).......... 325,579
- ------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
- ------------------------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS - 9.9%
U.S. Treasury Notes:
$ 1,410,000 6.375% due 9/30/01................................ 1,406,867
310,000 5.750% due 8/15/03................................ 301,863
960,000 5.875% due 11/15/04............................... 932,122
410,000 6.500% due 8/15/05................................ 406,835
910,000 7.000% due 7/15/06................................ 924,815
110,000 6.000% due 8/15/09................................ 105,854
145,000 6.500% due 2/15/10................................ 145,944
U.S. Treasury Bonds:
855,000 9.250% due 2/15/16................................ 1,084,362
1,225,000 8.875% due 2/15/19................................ 1,542,545
150,000 6.125% due 8/15/29................................ 147,483
680,000 U.S. Treasury Strips, due 8/15/13................. 284,873
- ------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS (Cost --
$7,212,047)..................................... 7,283,563
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- --------------------------------------------------------------------------------
<C> <C> <S> <C>
CORPORATE BONDS & NOTES -- 12.1%
- --------------------------------------------------------------------------------
Airlines -- 0.1%
70,000 AAA Northwest Airlines, 7.935% due 4/1/19............ 69,581
- --------------------------------------------------------------------------------
Auto Manufacturers -- 0.2%
150,000 A+ Ford Motor Co., 7.450% due 7/16/31............... 142,125
- --------------------------------------------------------------------------------
Banks -- 1.6%
260,000 A+ Bank of America Corp., 6.068% due 9/11/01........ 259,867
240,000 A Bank One Corp., 6.300% due 12/20/01.............. 240,166
220,000 A+ Chase Manhattan Corp., 6.122% due 1/3/02......... 220,000
190,000 A+ Continental Bank N.A., 12.500% due 4/1/01........ 200,213
250,000 A+ Fleet National Bank, 6.060% due 7/31/01.......... 249,962
- --------------------------------------------------------------------------------
1,170,208
- --------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
96
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Balanced Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Building Materials -- 0.5%
$430,000 A+ Vulcan Materials Co., 5.750% due 4/1/04....... $ 407,425
- -------------------------------------------------------------------------------
Computers -- 0.2%
65,000 A IBM Corp., 6.500% due 1/15/28................. 57,525
80,000 BBB Seagate Technology Inc., 7.450% due 3/1/37.... 69,600
- -------------------------------------------------------------------------------
127,125
- -------------------------------------------------------------------------------
Diversified Financial Services -- 3.9%
110,000 A+ Abbey National Capital Trust I, 8.963% due
12/29/49...................................... 110,182
170,000 A+ Associates Corp., 6.950% due 11/1/18.......... 154,275
200,000 A Beneficial Corp., 6.281% due 12/5/01.......... 200,084
170,000 A+ Caterpillar Financial Services Corp., 6.590%
due 5/1/03.................................... 165,963
220,000 A+ Chrysler Financial Co., 6.005% due 7/17/02.... 220,000
690,000 A+ Ford Motor Credit Co., 7.375% due 10/28/09.... 670,162
90,000 A General Motors Acceptance Corp., 6.150% due
4/5/07........................................ 83,588
235,000 A- Heller Financial Inc., 6.46% due 8/20/01...... 235,510
255,000 A+ John Deere Capital Corp., 6.260% due 2/11/02.. 255,000
100,000 A- Kern River Funding Corp., 6.720% due 9/30/01.. 99,000
270,000 A Lehman Brothers Inc., 7.250% due 4/15/03...... 265,950
150,000 A+ Morgan Stanley Dean Witter & Co., 7.125% due
1/15/03....................................... 149,063
135,000 BBB Pemex Finance Ltd., 9.690% due 8/15/09........ 140,400
130,000 NA Ras Laffan-Links, 7.850% due 3/18/14.......... 129,675
- -------------------------------------------------------------------------------
2,878,852
- -------------------------------------------------------------------------------
Electric -- 0.9%
135,000 A+ Hydro-Quebec, 7.500% due 4/1/16............... 132,469
145,000 BBB+ NSTAR, 8.000% due 2/15/10..................... 147,175
300,000 AAA Philadelphia Electric, 5.625% due 11/1/01..... 292,875
115,000 BBB- Sithe/Independence Funding, 9.000% due
12/30/13...................................... 117,012
- -------------------------------------------------------------------------------
689,531
- -------------------------------------------------------------------------------
Holding Companies - Diversified -- 0.2%
60,000 A Duke Capital Corp., 8.000% due 10/1/19........ 60,525
70,000 BBB Edperbrascan Corp., 7.125% due 12/16/03....... 67,725
- -------------------------------------------------------------------------------
128,250
- -------------------------------------------------------------------------------
Home Builders -- 0.4%
300,000 BBB- Champion Enterprises Inc., 7.625% due
5/15/09....................................... 271,875
- -------------------------------------------------------------------------------
Industrial -- 0.3%
135,000 BBB Tenaska Georgia Partners, 9.500% due 2/1/30... 140,400
80,000 BBB+ Yosemite Security Trust, 8.250% due 11/15/04.. 79,007
- -------------------------------------------------------------------------------
219,407
- -------------------------------------------------------------------------------
Insurance -- 1.0%
145,000 BBB+ Lubermens Mutual Casualty, 8.300% due
12/1/37....................................... 126,150
270,000 A Mutual Life Insurance Co., 11.250% due
8/15/24....................................... 355,258
140,000 A+ Progressive Corp., 6.600% due 1/15/04......... 135,450
125,000 A- URC Holdings Corp., 7.875% due 6/30/06........ 123,437
- -------------------------------------------------------------------------------
740,295
- -------------------------------------------------------------------------------
Machinery - Diversified -- 0.5%
380,000 BBB+ Cummins Engine Co., 5.650% due 3/1/98......... 239,875
160,000 BB Unova Inc., 6.875% due 3/15/05................ 137,600
- -------------------------------------------------------------------------------
377,475
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
97
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Balanced Investments
<TABLE>
<CAPTION>
FACE
AMOUNT RATING(a) SECURITY VALUE
- -------------------------------------------------------------------------------
<C> <C> <S> <C>
Oil & Gas Producers -- 0.3%
$ 150,000 A- Burlington Resources Inc., 9.125% due
10/1/21.................................. $ 168,000
100,000 BBB Petroleum Geo-Services, 6.250% due
11/19/03................................. 95,125
- -------------------------------------------------------------------------------
263,125
- -------------------------------------------------------------------------------
Pharmaceuticals -- 0.1%
60,000 AA Eli Lilly & Co., 6.770% due 1/1/36....... 53,475
- -------------------------------------------------------------------------------
Pipelines -- 0.1%
80,000 A- PG&E Gas Transmission Northwest Corp.,
7.100% due 6/1/05........................ 78,900
- -------------------------------------------------------------------------------
Property/Casualty -- 0.2%
130,000 A- ACE INA Holdings, 8.875% due 8/15/29..... 137,150
- -------------------------------------------------------------------------------
Real Estate -- 0.3%
265,000 BBB+ ERP Operating L.P., 7.100% due 6/23/04... 255,062
- -------------------------------------------------------------------------------
REITS - Manufactured Homes -- 0.1%
90,000 BBB CP Limited Partnership, 8.500% due
3/1/05................................... 90,225
- -------------------------------------------------------------------------------
Retail -- 0.1%
60,000 AA Wal-Mart Stores Inc., 7.550% due
2/15/30.................................. 59,700
- -------------------------------------------------------------------------------
Sovereign -- 0.2%
135,000 AA+ Canada Mortgage & Housing Corp., 7.200%
due 2/5/05............................... 134,662
- -------------------------------------------------------------------------------
Telephone -- 0.6%
130,000 AAA BellSouth Capital Funding, 7.875% due
2/15/30.................................. 130,650
380,000 BBB Metronet Communications Corp., step bond
to yield 9.950% due 6/15/08.............. 300,200
- -------------------------------------------------------------------------------
430,850
- -------------------------------------------------------------------------------
Transportation -- 0.3%
240,000 BB+ Windsor Petroleum Transport Corp., 7.840%
due 1/15/21.............................. 191,700
- -------------------------------------------------------------------------------
TOTAL CORPORATE BONDS & NOTES (Cost --
$8,957,433)............................ 8,916,998
- -------------------------------------------------------------------------------
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <C> <S> <C>
- -------------------------------------------------------------------------------
ASSET-BACKED SECURITIES -- 4.2%
140,000 Chase Credit Card Master Trust, 6.950%
due 1/15/07.............................. 137,163
245,000 Chemical Master Credit Card Trust, 6.230%
due 6/15/03.............................. 244,601
275,000 Contimortgage Home Equity Loan Trust,
6.870% due 3/15/24....................... 266,027
100,000 Continental Airlines, 7.256% due
3/15/20.................................. 95,723
92,129 Countrywide Home Equity Loan Trust,
6.075% due 3/15/24....................... 91,669
220,000 Criimi Mae Commercial Mortgage Trust,
7.000% due 3/2/11........................ 187,653
273,837 Fannie Mae, 6.250% due 3/18/27........... 261,921
142,456 Freddie Mac, 6.500% due 11/15/23......... 122,918
197,193 Green Tree Home Equity Loan Trust, 6.165%
due 2/15/29.............................. 197,317
231,861 Merrill Lynch Home Equity Loan, 5.994%
due 9/25/27.............................. 230,858
245,000 Olympic Automobile Receivables Trust,
6.800% due 2/15/05....................... 241,749
130,000 Premier Auto Trust, 6.340% due 1/6/02.... 129,718
225,000 Providian Master Trust, 5.995% due
12/12/05................................. 224,505
55,000 Residential Funding Mortgage, 7.250% due
10/25/27................................. 53,126
155,000 UCFC Home Equity Loan, 6.755% due
11/15/23................................. 150,349
110,000 Union Acceptance Corp., 6.450% due
1/8/03................................... 109,772
WSF Financial Owner Trust:
77,060 5.524% due 8/20/01...................... 76,954
270,000 6.920% due 1/20/04...................... 268,630
- -------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES (Cost --
$3,096,101)............................ 3,090,653
- -------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
98
<PAGE>
Schedules of Investments (unaudited) (continued) February 29, 2000
Balanced Investments
<TABLE>
<CAPTION>
FACE
AMOUNT SECURITY VALUE
<C> <C> <S> <C>
- ---------------------------------------------------------------------------------
MORTGAGE-BACKED SECURITIES -- 15.3%
$ 570,000 Federal Home Loan Mortgage Corp. Gold, 6.500% due
7/15/12++........................................ $ 547,018
Federal National Mortgage Association:
425,000 6.000% due 8/1/09 - 9/1/30++...................... 394,435
2,711,557 6.500% due 11/2/13 - 9/1/29++..................... 2,544,262
900,000 6.625% due 9/15/09................................ 861,750
1,500,588 7.000% due 10/1/28 - 12/15/28++................... 1,438,209
1,883,917 7.500% due 12/1/29 - 1/1/30++..................... 1,847,157
315,000 8.000% due 11/1/30++.............................. 315,394
340,000 Federal Home Loan Bank, 6.550% due 12/30/13....... 306,496
Government National Mortgage Association:
248,880 6.500% due 1/15/29................................ 232,000
2,863,492 7.500% due 1/15/28 - 4/15/29++.................... 2,810,109
- ---------------------------------------------------------------------------------
TOTAL MORTGAGE BACKED SECURITIES (Cost --
$11,303,140).................................... 11,296,830
- ---------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 9.6%
945,000 J.P. Morgan Securities Inc., 5.760% due 3/1/00;
Proceeds at maturity -- $945,151;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 4.750% to 12.750% due 5/25/00 to 8/15/28;
Market value -- $962,902)....................... 945,000
6,095,000 Morgan Stanley Dean Witter & Co., 5.750% due
3/1/00; Proceeds at maturity -- $6,095,973;
(Fully collateralized by U.S. Treasury Notes &
Bonds, 5.375% to 8.750% due 6/30/03 to 5/15/17;
Market value -- $6,238,657)...................... 6,095,000
- ---------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (Cost -- $7,040,000).. 7,040,000
- ---------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100% (Cost --
$69,420,340**).................................. $73,706,038
- ---------------------------------------------------------------------------------
</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 those
identified by an asterisk (*), which are rated by Moody's Investors
Service, Inc.
++All or a portion of this security is traded on a "to be announced" basis
(See Note 9).
** Aggregate cost for Federal income tax purposes is substantially the same.
See page 100 for definition of ratings.
[PIE CHART]
Classification of Investments
Asset-Backed Securities 4.2%
Common & Preferred Stock 48.9%
Corporate Bonds and Notes 12.1%
Repurchase Agreement 9.6%
U.S. Treasury Obligations 9.9%
Mortgage-Backed Securities 15.3%
See Notes to Financial Statements.
99
<PAGE>
Bond Ratings (unaudited)
The definitions of the applicable rating symbols are set forth below:
Standard & Poor's Ratings Service ("Standard & Poor's") -- Ratings from "AA"
to "CCC" may be modified by the addition of a plus (+) or a minus (-) sign to
show relative standings within the major rating categories.
AAA -- Bonds rated "AAA" have the highest rating assigned by Standard &
Poor's. Capacity to pay interest and repay principal is extremely
strong.
AA -- Bonds rated "AA" have a very strong capacity to pay interest and repay
principal and differ from the highest rated issue only in a small
degree.
A -- Bonds rated "A" have a strong capacity to pay interest and repay
principal although they are somewhat more susceptible to the adverse
effects of changes in circumstances and economic conditions than bonds
in higher rated categories.
BBB -- Bonds rated "BBB" are regarded as having an adequate capacity to pay
interest and repay principal. Whereas they normally exhibit adequate
protection parameters, adverse economic conditions or changing
circumstances are more likely to lead to a weakened capacity to pay
interest and repay principal for debt in this category than in higher
rated categories.
BB, B, CCC, CC and C
-- Bonds rated BB, B, CCC, CC and C are regarded, on balance, as
predominantly speculative with respect to the issuer's capacity to pay
interest and repay principal in accordance with the terms of the
obligation. BB indicates the lowest degree of speculation and C the
highest degree of speculation. While such bonds will likely have some
quality and protective characteristics, these are outweighted by large
uncertainties or major risk exposures to adverse conditions.
Moody's Investors Service, Inc. ("Moody's") -- Numerical modifiers 1, 2, and 3
may be applied to each generic rating from "Aa" to "B," where 1 is the highest
and 3 the lowest rating within its generic category.
Aaa -- Bonds rated "Aaa" are judged to be of the best quality. They carry the
smallest degree of investment risk and are generally referred to as
"gilt edge." Interest payments are protected by a large or by an
exceptionally stable margin and principal is secure. While the various
protective elements are likely to change, such changes as can be
visualized are most unlikely to impair the fundamentally strong position
of such issues.
Aa -- Bonds rated "Aa" are judged to be of high quality by all standards.
Together with the "Aaa" group they comprise what are generally known as
high grade bonds. They are rated lower than the best bonds because
margins of protection may not be as large as in "Aaa" securities or
fluctuation of protective elements may be of greater amplitude or there
may be other elements present which make the long-term risks appear
somewhat larger than in "Aaa" securities.
A -- Bonds rated "A" possess many favorable investment attributes and are to
be considered as upper medium grade obligations. Factors giving security
to principal and interest are considered adequate but elements may be
present which suggest a susceptibility to impairment some time in the
future.
Baa -- Bonds rated "Baa" are considered to be medium grade obligations, i.e.,
they are neither highly protected nor poorly secured. Interest payments
and principal security appear adequate for the present but certain
protective elements may be lacking or may be characteristically
unreliable over any great length of time. Such bonds lack outstanding
investment characteristics and in fact have speculative characteristics
as well.
Ba -- Bonds rated "Ba" are judged to have speculative elements; their future
cannot be considered as well assured. Often the protection of interest
and principal payments may be very moderate, and thereby not well
safeguarded during both good and bad times over the future. Uncertainty
of position characterizes bonds in this class.
B -- Bonds rated "B" generally lack characteristics of desirable
investments. Assurance of interest and principal payments or of
maintenance of other terms of the contract over any long period of time
may be small.
NR -- Indicates that the bond is not rated by Standard & Poor's or Moody's.
Short-Term Security Ratings (unaudited)
VMIG 1 -- Moody's highest rating for issues having demand feature -- variable-
rate demand obligation (VRDO).
P-1 -- Moody's highest rating for commercial paper and for VRDO prior to the
advent of the VMIG 1 rating.
A-1 -- Standard & Poor's highest commercial paper and VRDO rating indicating
that the degree of safety regarding timely payment is either
overwhelming or very strong; those issues determined to possess
overwhelming safety characteristics are denoted with a plus (+) sign.
Security Descriptions (unaudited)
AMBAC
-- AMBAC Indemnity Corporation MBIA -- Municipal Bond Investors
FGIC Assurance Corporation
-- Financial Guaranty Insurance Company
PCR -- Pollution Control Revenue
GO PSFG -- Permanent School Fund
-- General Obligation Guaranty
ISD VRDN -- Variable Rate Demand Note
-- Independent School District
100
<PAGE>
Statements of Assets and Liabilities (unaudited) February 29, 2000
<TABLE>
<CAPTION>
Small Small Emerging
Capitalization Capitalization International Markets International
Value Equity Growth Equity Equity Fixed Income Balanced
Investments Investments Investments Investments Investments Investments
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at cost... $837,091,824 $1,168,910,453 $1,368,874,829 $185,658,278 $239,820,085 $69,420,340
Foreign currency, at
cost.................. -- -- 13,971,472 1,679,704 13,594,492 --
Foreign currency
segregated for futures
contracts, at cost.... -- -- 5,609,827 -- -- --
- ----------------------------------------------------------------------------------------------------------------
Investments, at value.. $712,345,483 $1,818,677,550 $1,804,083,144 $264,110,614 $229,921,298 $73,706,038
Foreign currency, at
value................. -- -- 14,050,883 1,676,288 13,391,347 --
Foreign currency
segregated for futures
contracts, at value... -- -- 8,496,964 -- -- --
Cash................... 26,906 -- 3,230,151 -- 376,846 2,424
Collateral for
securities on loan
(Note 11)............. 32,199,072 249,220,596 252,053,111 4,618,360 34,986,514 7,684,654
Receivable for Fund
shares sold........... 3,071,898 2,345,588 3,300,444 376,771 682,360 60
Receivable for
securities sold....... 1,564,680 7,928,379 21,070,801 4,290,962 -- 1,126,740
Dividends and interest
receivable............ 1,270,766 274,406 1,780,086 494,818 6,207,089 332,576
Receivable from
broker -- variation
margin................ 546,750 253,125 591,215 -- -- --
Receivable for open
forward foreign
currency contracts.... -- -- 5,889,227 -- 1,867,356 --
- ----------------------------------------------------------------------------------------------------------------
Total Assets........... 751,025,555 2,078,699,644 2,114,546,026 275,567,813 287,432,810 82,852,492
- ----------------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for securities
on loan (Note 11)..... 32,199,072 249,220,596 252,053,111 4,618,360 34,986,514 7,684,654
Payable for Fund shares
purchased............. 851,958 -- -- -- -- --
Payable for securities
purchased............. 705,999 6,445,542 20,916,079 1,489,514 13,941,176 8,511,098
Management fees
payable............... 381,456 848,711 869,867 198,278 95,103 13,729
Administration fees
payable............... 38,537 169,812 286,748 43,866 38,041 4,926
Payable for open
forward foreign
currency contracts.... -- -- 7,448,216 70,573 1,844,150 --
Payable to broker --
variation margin...... -- -- -- 1,770 -- --
Payable to bank........ -- 754,214 -- 267,702 -- --
Accrued expenses....... 291,928 107,569 369,410 503,317 80,409 33,001
- ----------------------------------------------------------------------------------------------------------------
Total Liabilities...... 34,468,950 257,546,444 281,943,431 7,193,380 50,985,393 16,247,408
- ----------------------------------------------------------------------------------------------------------------
Total Net Assets........ $716,556,605 $1,821,153,200 $1,832,602,595 $268,374,433 $236,447,417 $66,605,084
- ----------------------------------------------------------------------------------------------------------------
NET ASSETS:
Par value of shares of
beneficial interest... $ 75,212 $ 66,098 $ 125,115 $ 31,892 $ 31,426 $ 6,445
Capital paid in excess
of par value.......... 841,008,694 1,041,352,755 1,227,260,729 293,780,137 266,208,681 60,625,637
Undistributed
(overdistributed) net
investment income..... 3,047,270 (3,294,761) (15,785,000) (1,595,637) (11,421,860) 349,492
Accumulated net
realized gain (loss)
on security
transactions, futures
contracts and foreign
currencies............ (5,142,906) 132,175,136 183,901,586 (102,194,598) (8,416,295) 1,337,812
Net unrealized
appreciation
(depreciation) of
investments, futures
contracts and foreign
currencies............ (122,431,665) 650,853,972 437,100,165 78,352,639 (9,954,535) 4,285,698
- ----------------------------------------------------------------------------------------------------------------
Total Net Assets........ $716,556,605 $1,821,153,200 $1,832,602,595 $268,374,433 $236,447,417 $66,605,084
- ----------------------------------------------------------------------------------------------------------------
Shares Outstanding...... 75,211,551 66,098,439 125,114,702 31,892,027 31,425,670 6,445,125
- ----------------------------------------------------------------------------------------------------------------
Net Asset Value......... $9.53 $27.55 $14.65 $8.42 $7.52 $10.33
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
101
<PAGE>
Statements of Operations (unaudited)
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
Small Small Emerging
Capitalization Capitalization International Markets International
Value Equity Growth Equity Equity Fixed Income Balanced
Investments Investments Investments Investments Investments Investments
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest............... $ 592,702 $ 1,581,211 $ 2,004,436 $ 152,007 $ 7,054,073 $ 980,186
Dividends.............. 9,611,813 1,356,340 6,256,437 1,289,904 -- 251,367
Less: Foreign
withholding tax....... -- (181) (658,641) (142,606) (79,504) --
- ---------------------------------------------------------------------------------------------------------------
Total Investment
Income................ 10,204,515 2,937,370 7,602,232 1,299,305 6,974,569 1,231,553
- ---------------------------------------------------------------------------------------------------------------
EXPENSES:
Management fees (Note
2).................... 2,136,855 4,271,951 4,459,762 1,170,853 619,670 211,951
Administration fees
(Note 2).............. 721,621 1,144,400 1,604,841 260,190 245,533 72,874
Shareholder and system
servicing fees........ 433,311 686,238 602,843 395,164 175,666 53,076
Registration fees...... 52,356 17,500 24,930 24,930 27,424 17,450
Custody................ 44,876 90,000 363,996 382,049 57,341 6,215
Audit and legal........ 16,790 15,919 18,941 18,447 18,447 18,451
Shareholder
communications........ 8,310 23,937 24,930 5,485 4,486 2,006
Trustees' fees......... 4,985 5,505 14,960 4,736 2,990 1,501
Pricing service fees... -- -- 69,806 19,445 -- 1,245
Other.................. 5,131 3,189 7,477 6,114 2,345 2,279
- ---------------------------------------------------------------------------------------------------------------
Total Expenses......... 3,424,235 6,258,639 7,192,486 2,287,413 1,153,902 387,048
Less: Management and
administration fee
waiver (Note 2)....... -- -- -- -- -- (23,000)
- ---------------------------------------------------------------------------------------------------------------
Net Expenses........... 3,424,235 6,258,639 7,192,486 2,287,413 1,153,902 364,048
- ---------------------------------------------------------------------------------------------------------------
Net Investment Income
(Loss)................. 6,780,280 (3,321,269) 409,746 (988,108) 5,820,667 867,505
- ---------------------------------------------------------------------------------------------------------------
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)........... (1,683,115) 154,856,219 199,092,670 31,196,346 (8,416,295) 1,468,473
Futures contracts...... 733,512 2,025,937 5,363,593 (121,160) -- --
Foreign currency
transactions.......... -- -- 1,206,914 (543,490) (3,163,204) --
- ---------------------------------------------------------------------------------------------------------------
Net Realized Gain
(Loss)................ (949,603) 156,882,156 205,663,177 30,531,696 (11,579,499) 1,468,473
- ---------------------------------------------------------------------------------------------------------------
Change in Net
Unrealized
Appreciation
(Depreciation) of
Investments, Futures
Contracts and Foreign
Currencies:
Beginning of period... (67,069,724) 45,894,375 228,495,210 54,298,305 (3,782,994) 3,001,944
End of period......... (122,431,665) 650,853,972 437,100,165 78,352,639 (9,954,535) 4,285,698
- ---------------------------------------------------------------------------------------------------------------
Change in Net
Unrealized
Appreciation
(Depreciation)........ (55,361,941) 604,959,597 208,604,955 24,054,334 (6,171,541) 1,283,754
- ---------------------------------------------------------------------------------------------------------------
Net Gain (Loss) on
Investments, Futures
Contracts and Foreign
Currencies............. (56,311,544) 761,841,753 414,268,132 54,586,030 (17,751,040) 2,752,227
- ---------------------------------------------------------------------------------------------------------------
Increase (Decrease) in
Net Assets From
Operations............. $ (49,531,264) $758,520,484 $414,677,878 $53,597,922 $(11,930,373) $3,619,732
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
102
<PAGE>
Statements of Changes in Net Assets (unaudited)
For the Six Months Ended February 29, 2000
<TABLE>
<CAPTION>
Small Small Emerging
Capitalization Capitalization International Markets International
Value Equity Growth Equity Equity Fixed Income Balanced
Investments Investments Investments Investments Investments Investments
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income
(loss)................ $ 6,780,280 $ (3,321,269) $ 409,746 $ (988,108) $ 5,820,667 $ 867,505
Net realized gain
(loss)................ (949,603) 156,882,156 205,663,177 30,531,696 (11,579,499) 1,468,473
Change in net
unrealized
appreciation
(depreciation)........ (55,361,941) 604,959,597 208,604,955 24,054,334 (6,171,541) 1,283,754
- -------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in
Net Assets From
Operations............ (49,531,264) 758,520,484 414,677,878 53,597,922 (11,930,373) 3,619,732
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM
(NOTE 3):
Net investment income.. (11,434,061) -- (12,669,394) (1,264,598) (6,332,137) (796,386)
Net realized gain...... (13,216,365) (126,863,990) (127,919,362) -- -- (9,419,182)
- -------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets
From Distributions to
Shareholders.......... (24,650,426) (126,863,990) (140,588,756) (1,264,598) (6,332,137) (10,215,568)
- -------------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS
(NOTE 12):
Net proceeds from sale
of shares............. 145,944,417 423,033,831 792,055,743 57,266,032 54,364,433 9,509,893
Net asset value of
shares issued for
reinvestment of
dividends............. 24,343,197 58,039,508 139,035,729 -- 6,163,673 10,200,263
Cost of shares
reacquired............ (123,513,416) (400,952,177) (758,047,133) (158,850,436) (42,071,933) (21,374,957)
- -------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in
Net Assets From Fund
Share Transactions.... 46,774,198 80,121,162 173,044,339 (101,584,404) 18,456,173 (1,664,801)
- -------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in
Net Assets............. (27,407,492) 711,777,656 447,133,461 (49,251,080) 193,663 (8,260,637)
NET ASSETS:
Beginning of period.... 743,964,097 1,109,375,544 1,385,469,134 317,625,513 236,253,754 74,865,721
- -------------------------------------------------------------------------------------------------------------------
End of period*......... $ 716,556,605 $1,821,153,200 $1,832,602,595 $268,374,433 $236,447,417 $66,605,084
- -------------------------------------------------------------------------------------------------------------------
* Includes undistributed
(overdistributed) net
investment income of:.. $3,047,270 $(3,294,761) $(15,785,000) $(1,595,637) $(11,421,860) $349,492
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
103
<PAGE>
Statements of Changes in Net Assets For the Year Ended August 31, 1999
<TABLE>
<CAPTION>
Small Small Emerging
Capitalization Capitalization International Markets International
Value Equity Growth Equity Equity Fixed Income Balanced
Investments Investments Investments Investments Investments Investments
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss).. $ 13,018,362 $ (4,259,675) $ 13,054,261 $ 2,277,286 $ 11,388,805 $ 1,592,843
Net realized gain (loss)...... 8,227,514 110,801,347 114,383,017 (49,440,840) (2,103,188) 10,166,423
Change in net unrealized
appreciation (depreciation).. 74,328,727 263,557,739 168,341,488 164,616,452 (7,190,841) 892,481
- ------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets
From Operations.............. 95,574,603 370,099,411 295,778,766 117,452,898 2,094,776 12,651,747
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income......... (13,030,887) -- (17,799,556) (2,193,397) (7,975,035) (1,864,163)
Net realized gains............ (117,115,012) (33,622,731) (69,094,047) -- (3,599,905) (7,093,352)
Capital ...................... -- -- -- -- (28,247) --
- ------------------------------------------------------------------------------------------------------------------------------
Decrease in Net Assets From
Distributions to Shareholders.. (130,145,899) (33,622,731) (86,893,603) (2,193,397) (11,603,187) (8,957,515)
- ------------------------------------------------------------------------------------------------------------------------------
FUND SHARE TRANSACTIONS (NOTE
12):
Net proceeds from sale of
shares....................... 254,966,829 374,207,710 782,939,276 189,783,469 106,412,056 34,336,221
Net asset value of shares
issued for reinvestment of
dividends.................... 128,710,339 33,406,703 86,017,381 2,174,644 11,310,781 8,942,096
Cost of shares reacquired..... (345,481,496) (493,225,800) (1,023,559,456) (220,118,029) (64,028,598) (40,576,739)
- ------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net
Assets From Fund Share
Transactions................. 38,195,672 (85,611,387) (154,602,799) (28,159,916) 53,694,239 2,701,578
- ------------------------------------------------------------------------------------------------------------------------------
Increase in Net Assets......... 3,624,376 250,865,293 54,282,364 87,099,585 44,185,828 6,395,810
NET ASSETS:
Beginning of year............. 740,339,721 858,510,251 1,331,186,770 230,525,928 192,067,926 68,469,911
- ------------------------------------------------------------------------------------------------------------------------------
End of year*.................. $ 743,964,097 $1,109,375,544 $ 1,385,469,134 $ 317,625,513 $236,253,754 $ 74,865,721
- ------------------------------------------------------------------------------------------------------------------------------
* Includes undistributed
(overdistributed) net
investment income of:....... $7,701,051 $26,508 $(4,732,266) $620,781 $(7,747,186) $278,373
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
104
<PAGE>
Notes to Financial Statements (unaudited)
1. Significant Accounting Policies
Small Capitalization Value Equity Investments, Small Capitalization Growth
Investments, International Equity Investments, Emerging Markets Equity
Investments, International Fixed Income Investments, and Balanced 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 offers eleven
other portfolios: 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 and Multi-Strategy
Market Neutral Investments. The financial statements and financial highlights
for these other portfolios are presented 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 obligations are valued at the mean between the bid
and ask prices; (c) securities maturing within 60 days are valued at cost plus
accreted discount, or minus amortized premium, which approximates value;
(d) dividend income is recorded on the ex-dividend date except that foreign
dividends are recorded on the ex-dividend date or as soon as practical after
the Fund determines the existence of a dividend declaration after exercising
reasonable due diligence; and interest income is recorded on an accrual basis;
(e) gains or losses on the sale of securities are calculated by using the
specific identification method; (f) dividends and distributions to shareholders
are recorded on the ex-dividend date; (g) the accounting records of the Fund
are maintained in U.S. dollars. All assets and liabilities denominated in
foreign currencies are translated into U.S. dollars based on the rate of
exchange of such currencies against U.S. dollars on the date of valuation.
Purchases and sales of securities and income and expenses are translated at the
rate of exchange quoted on the respective date that such transactions are
recorded. Differences between income or expense amounts recorded and collected
or paid are adjusted when reported by the custodian bank; (h) each Portfolio
intends to comply with the requirements of the Internal Revenue Code of 1986,
as amended, pertaining to regulated investment companies and to make
distributions of taxable income sufficient to relieve it from substantially all
Federal income and excise taxes; (i) the character of income and gains to be
distributed are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. At August 31, 1999,
reclassifications were made to the capital accounts of the Small Capitalization
Value Equity Investments, Small Capitalization Growth Investments,
International Equity Investments, International Fixed Income 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. Net investment income, net realized gains and net
assets were not affected by this adjustment; and (j) estimates and assumptions
are required to be made regarding assets, liabilities and changes in net assets
resulting from operations when financial statements are prepared. Changes in
the economic environment, financial markets and any other parameters used in
determining these estimates could cause actual results to differ.
105
<PAGE>
Notes to Financial Statements (unaudited) (continued)
In addition, certain portfolios may from time to time enter into futures
contracts in order to hedge market risk. Also, certain Portfolios may enter
into forward exchange contracts in order to hedge against foreign currency
risk. These contracts are marked to market daily, by recognizing the difference
between the contract exchange rate and the current market rate as an unrealized
gain or loss. Realized gains or losses are recognized when contracts are
settled.
2. Investment Advisory Agreement, Administration Agreement and Other
Transactions
The Fund has entered into an investment management agreement ("Management
Agreement") with SSB Citi Fund Management LLC ("SSBC"), 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
advisors of the Fund. SSBC has entered into an investment advisory agreement
with each advisor selected for the Portfolios (collectively, "Advisors").
Under the Management Agreement, each Portfolio pays SSBC a fee, calculated
daily and paid monthly, based on the rates applied to the value of each
Portfolio's average daily net assets. In addition, SSBC pays each Advisor,
based on the rates applied to each respective Portfolio's average daily net
assets on a monthly basis. The applicable management fee, advisory fee paid by
SSBC to each Advisor, and the Advisor for each Portfolio are indicated below:
<TABLE>
<CAPTION>
Annual
Advisor Management
Portfolio Advisor Fee Fee
- --------------------------------------------------------------------------------------------
<C> <S> <C> <C>
Small Capitalization Value Equity Investments NFJ Investment Group
on the first $450 0.50% 0.80%
million
on the amount over $450 0.45 0.80
million
David L. Babson & Co.,
Inc.
on the first $100 0.50 0.80
million
on the amount over $100 0.45 0.80
million
Mellon Capital 0.06 0.80
Management Corp.
Small Capitalization Growth Investments Wall Street Associates 0.50 0.80
Mellon Capital 0.06 0.80
Management Corp.
Westpeak Investment 0.50 0.80
Advisors, L.P.
Kern Capital Management 0.50 0.80
LLC
International Equity Investments Oechsle International 0.40 0.70
Advisors, LLC
Scudder Kemper
Investments, Inc.
on the first $300 0.45 0.70
million
on the amount over $300 0.40 0.70
million
State Street Global 0.06 0.70
Advisors
Emerging Markets Equity Investments AIB Govett, Inc. 0.60 0.90
State Street Global 0.60 0.90
Advisors
Baring Asset Management, 0.60 0.90
Inc.
International Fixed Income Investments Julius Baer Investment 0.25 0.50
Management Inc.
Balanced Investments Laurel Capital Advisors, 0.30 0.60
LLP
Seix Investment 0.25 0.60
Advisors, Inc.
- --------------------------------------------------------------------------------------------
</TABLE>
SSBC also acts as the Fund's administrator for which the Fund pays a fee
calculated at an annual rate of 0.20% of the average daily net assets of each
respective Portfolio. This fee is calculated daily and paid monthly.
106
<PAGE>
Notes to Financial Statements (unaudited) (continued)
Effective October 1999, Citi Fiduciary Trust Company ("CFTC"), another
subsidiary of Citigroup, became the Trust's transfer agent and PFPC Global Fund
Services ("PFPC") became the Trust's sub-transfer agent. CFTC receives account
fees and asset-based fees that vary according to the account size and type of
account. PFPC is responsible for shareholder recordkeeping and financial
processing for all shareholder accounts and is paid by CFTC. During the period
October 1, 1999 through February 29, 2000, the Portfolios paid transfer agent
fees totaling $1,399,372 to CFTC.
For the six months ended February 29, 2000, Salomon Smith Barney Inc.
("SSB"), another subsidiary of SSBH and its affiliates, received brokerage
commissions of approximately $34,523.
All officers and one Trustee of the Fund are employees of SSB.
3. Investments
During the six months ended February 29, 2000, the aggregate cost of
purchases and proceeds from sales of investments (including maturities, but
excluding short-term securities) were as follows:
<TABLE>
<CAPTION>
Portfolio Purchases Sales
- --------------------------------------------------------------------------------
<S> <C> <C>
Small Capitalization Value Equity Investments......... $148,296,378 $125,083,768
Small Capitalization Growth Investments............... 532,698,001 612,514,731
International Equity Investments...................... 672,409,311 690,209,008
Emerging Markets Equity Investments................... 85,831,810 183,998,129
International Fixed Income Investments................ 293,788,343 276,763,066
Balanced Investments.................................. 93,780,427 104,955,335
- --------------------------------------------------------------------------------
</TABLE>
At February 29, 2000, the aggregate gross unrealized appreciation and
depreciation of investments for Federal income tax purposes were substantially
as follows:
<TABLE>
<CAPTION>
Net Unrealized
Appreciation
Portfolio Appreciation Depreciation (Depreciation)
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Small Capitalization Value Equity
Investments....................... $ 79,636,034 (204,382,375) $(124,746,341)
Small Capitalization Growth Invest-
ments............................. 774,086,297 (124,319,200) 649,767,097
International Equity Investments... 565,061,212 (129,852,897) 435,208,315
Emerging Markets Equity Invest-
ments............................. 87,647,203 (9,194,867) 78,452,336
International Fixed Income Invest-
ments............................. 2,437,326 (12,336,113) (9,898,787)
Balanced Investments............... 7,584,299 (3,298,601) 4,285,698
- -------------------------------------------------------------------------------
</TABLE>
4. Futures Contracts
Initial margin deposits made upon entering into futures contracts are
recognized as assets. Securities equal to the initial margin amount are
segregated by the custodian in the name of the broker. Additional securities
are also segregated up to the current market value of the futures contract.
During the period the futures contract is open, changes in the value of the
contract are recognized as unrealized gains or losses by "marking to market" on
a daily basis to reflect the market value of the contract at the end of each
day's trading. Variation margin payments are made or received and recognized as
assets due from or liabilities due to broker, depending upon whether unrealized
gains or losses are incurred. When the contract is closed, the Portfolio
records a realized gain or loss equal to the difference between the proceeds
from (or cost of) the closing transactions and the Portfolio's basis in the
contract.
The Portfolio enters into such contracts to hedge a portion of its portfolio.
The Portfolio bears the market risk that arises from changes in the value of
the financial instruments and securities indices (futures contracts) and the
credit risk should a counterparty fail to perform under such contracts.
107
<PAGE>
Notes to Financial Statements (unaudited) (continued)
At February 29, 2000, Small Capitalization Value Equity Investments, Small
Capitalization Growth Investments, International Equity Investments and
Emerging Markets Equity Investments had the following open futures contracts:
Small Capitalization Value Investments
<TABLE>
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Gain
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Russell 2000............ 54 3/00 $13,338,574 $15,653,250 $2,314,676
- ---------------------------------------------------------------------------------
Small Capitalization Growth Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Gain
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Russell 2000............ 25 3/00 $6,160,000 $7,246,875 $1,086,875
- ---------------------------------------------------------------------------------
International Equity Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Gain (Loss)
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OMX Index Future........ 33 3/00 $ 506,764 $ 541,844 $ 35,080
Hang Seng Stock Index
Future................. 11 3/00 1,196,324 1,201,367 5,043
Australian ALL Ordi-
naries................. 34 3/00 1,622,429 1,637,216 14,787
IBEX 35 PLUS............ 7 3/00 839,078 843,290 4,212
London Financial Times
Stock Exchange 100..... 144 3/00 14,116,524 14,208,357 91,833
Marche A Terme Interna-
tional de France Cac
40..................... 41 3/00 2,428,868 2,451,773 22,905
MIB 30.................. 19 3/00 4,130,955 4,547,678 416,723
Osaka Securities Ex-
change Nikkei 300...... 515 3/00 14,735,278 14,560,921 (174,357)
Deustche Terminboerse
DAX.................... 50 3/00 9,077,508 9,252,484 174,976
- ---------------------------------------------------------------------------------
Total $ 591,202
- ---------------------------------------------------------------------------------
Emerging Markets Equity Investments
<CAPTION>
# of Basis Market Unrealized
Purchased Contracts Contracts Expiration Value Value Loss
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Taiwan MSCI............. 18 3/00 $765,870 $764,100 $ (1,770)
- ---------------------------------------------------------------------------------
</TABLE>
5. Foreign Securities
International Equity Investments, Emerging Markets Equity Investments and
International Fixed Income Investments invest in foreign securities which may
involve risks not present in domestic investments. Since securities may be
denominated in a foreign currency and may require settlement in foreign
currencies and pay interest and/or a dividend in foreign currencies, changes in
the relationship of these foreign currencies to the U.S. dollar can
significantly affect the value of the investments and earnings of the
Portfolios. Foreign investments may also subject the Portfolios to foreign
government exchange restrictions, expropriation, taxation or other political,
social or economic developments, all of which could affect the market and/or
credit risk of the investments.
108
<PAGE>
Notes to Financial Statements (unaudited) (continued)
6. Forward Foreign Currency Contracts
At February 29, 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>
Unrealized
Local Market Settlement Gain
Foreign Currency Currency Value Date (Loss)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
To Sell:
Australian Dollar.............. 1,266,010 $ 775,631 3/1/00 $ 7,649
Australian Dollar.............. 618,086 378,712 3/2/00 (689)
Australian Dollar.............. 402,703 246,743 3/2/00 114
Australian Dollar.............. 1,280,000 784,659 3/7/00 33,773
Australian Dollar.............. 250,000 153,254 3/7/00 7,659
Australian Dollar.............. 680,000 416,850 3/7/00 25,626
Australian Dollar.............. 560,000 343,288 3/7/00 24,072
Australian Dollar.............. 500,000 306,507 3/7/00 26,843
Australian Dollar.............. 1,100,000 674,316 3/7/00 57,569
Australian Dollar.............. 1,000,000 613,015 3/7/00 15,585
Australian Dollar.............. 620,000 380,069 3/7/00 375
British Pound.................. 1,267,180 2,014,329 3/1/00 17,403
British Pound.................. 2,800,000 4,444,456 3/7/00 111,984
British Pound.................. 2,600,000 4,126,995 3/7/00 61,605
British Pound.................. 2,270,000 3,603,184 3/7/00 69,222
British Pound.................. 1,700,000 2,698,420 3/7/00 105,815
British Pound.................. 2,000,000 3,174,611 3/7/00 122,809
British Pound.................. 3,000,000 4,761,917 3/7/00 174,190
British Pound.................. 3,500,000 5,555,570 3/7/00 30,010
British Pound.................. 1,800,000 2,857,150 3/7/00 764
Euro........................... 7,300,000 7,055,060 3/7/00 467,006
Euro........................... 9,500,000 9,181,242 3/7/00 533,458
Euro........................... 7,790,000 7,528,618 3/7/00 337,139
Euro........................... 7,000,000 6,765,126 3/7/00 508,294
Euro........................... 8,800,000 8,504,729 3/7/00 563,583
Euro........................... 13,200,000 12,757,094 3/7/00 611,602
Euro........................... 18,000,000 17,396,037 3/7/00 325,683
Euro........................... 6,800,000 6,571,836 3/7/00 (2,016)
Euro........................... 1,727,534 1,670,245 3/1/00 26,306
Euro........................... 734,756 710,150 3/6/00 1,681
Euro........................... 1,031,630 995,535 3/31/00 29,937
Japanese Yen................... 920,000,000 8,435,570 3/7/00 623,562
Japanese Yen................... 188,000,000 1,723,790 3/7/00 122,424
Japanese Yen................... 450,000,000 4,126,094 3/7/00 206,453
Japanese Yen................... 450,000,000 4,126,094 3/7/00 143,356
Japanese Yen................... 758,000,000 6,950,176 3/7/00 282,993
Japanese Yen................... 1,200,000,000 11,002,917 3/7/00 48,129
Japanese Yen................... 360,000,000 3,300,875 3/7/00 5,517
- --------------------------------------------------------------------------------
5,727,485
- --------------------------------------------------------------------------------
</TABLE>
109
<PAGE>
Notes to Financial Statements (unaudited) (continued)
<TABLE>
<CAPTION>
Unrealized
Local Market Settlement Gain
Foreign Currency Currency Value Date (Loss)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
To Buy:
Australian Dollar............ 2,390,000 $ 1,465,105 3/7/00 $ (60,074)
Australian Dollar............ 100,000 61,301 3/7/00 (2,409)
Australian Dollar............ 570,000 349,418 3/7/00 (18,716)
Australian Dollar............ 350,000 214,555 3/7/00 (15,815)
Australian Dollar............ 900,000 551,713 3/7/00 (41,630)
Australian Dollar............ 750,000 459,761 3/7/00 (38,970)
Australian Dollar............ 240,000 147,124 3/7/00 (12,309)
Australian Dollar............ 1,400,000 858,220 3/7/00 (36,030)
Australian Dollar............ 950,000 582,364 3/7/00 (5,620)
British Pound................ 6,394,000 10,149,232 3/7/00 (90,887)
British Pound................ 4,600,000 7,301,606 3/7/00 (185,906)
British Pound................ 3,640,000 5,777,793 3/7/00 (110,999)
British Pound................ 640,000 1,015,876 3/7/00 (31,868)
British Pound................ 2,700,000 4,285,725 3/7/00 (159,987)
British Pound................ 2,200,000 3,492,072 3/7/00 (112,716)
British Pound................ 800,000 1,269,845 3/7/00 (43,035)
British Pound................ 2,400,000 3,809,534 3/7/00 (42,394)
British Pound................ 1,980,000 3,142,865 3/7/00 (28,026)
British Pound................ 3,180,000 5,047,632 3/7/00 (19,603)
Euro......................... 9,368,000 9,053,671 3/7/00 (447,917)
Euro......................... 13,800,000 13,336,962 3/7/00 (878,142)
Euro......................... 8,950,000 8,649,696 3/7/00 (443,772)
Euro......................... 3,000,000 2,899,340 3/7/00 (208,690)
Euro......................... 12,000,000 11,597,358 3/7/00 (833,322)
Euro......................... 16,400,000 15,849,723 3/7/00 (798,573)
Euro......................... 3,700,000 3,575,852 3/7/00 (178,538)
Euro......................... 7,000,000 6,765,126 3/7/00 (49,969)
Euro......................... 1,500,000 1,449,670 3/7/00 (43,655)
Euro......................... 13,000,000 12,563,805 3/7/00 (204,535)
Euro......................... 277,196 267,497 3/31/00 (8,659)
Euro......................... 356,457 343,984 3/31/00 (4,131)
Euro......................... 429,646 414,613 3/31/00 (2,771)
Euro......................... 128,450 123,956 3/31/00 (1,155)
Japanese Yen................. 506,481,000 4,643,974 3/7/00 (364,243)
Japanese Yen................. 730,000,000 6,693,441 3/7/00 (535,713)
Japanese Yen................. 535,000,000 4,905,467 3/7/00 (425,873)
Japanese Yen................. 400,000,000 3,667,639 3/7/00 (295,504)
Japanese Yen................. 405,000,000 3,713,485 3/7/00 (254,769)
Japanese Yen................. 100,000,000 916,910 3/7/00 (35,553)
Japanese Yen................. 556,000,000 5,098,018 3/7/00 (212,037)
Japanese Yen................. 131,000,000 1,201,152 3/7/00 (46,111)
Japanese Yen................. 1,200,000,000 11,002,917 3/7/00 (114,885)
Japanese Yen................. 400,000,000 3,667,639 3/7/00 58,899
Japanese Yen................. 725,000,000 6,647,596 3/7/00 100,138
- -------------------------------------------------------------------------------
(7,286,474)
- -------------------------------------------------------------------------------
Total Unrealized Loss on
Forward
Foreign Currency Contracts.. $(1,558,989)
- -------------------------------------------------------------------------------
</TABLE>
110
<PAGE>
Notes to Financial Statements (unaudited) (continued)
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
Local Market Settlement Unrealized
Foreign Currency Currency Value Date Loss
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
To Buy:
Euro.......................... 2,957,504 $ 2,859,427 3/1/00 $ (70,573)
- -------------------------------------------------------------------------------
International Fixed Income Investments
<CAPTION>
Unrealized
Local Market Settlement Gain
Cross Forwards Currency Value Date (Loss)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
To Buy:
Australian Dollar............. 19,394,000 11,925,176 6/15/00 $ (332,901)
British Pound................. 6,300,000 9,944,670 4/17/00 (97,823)
Euro.......................... 12,397,560 11,985,620 3/2/00 (434,380)
Euro.......................... 12,251,452 11,825,031 3/2/00 (160,981)
Euro.......................... 3,581,805 3,457,795 4/6/00 (82,665)
Euro.......................... 9,400,000 9,081,447 4/18/00 (568,402)
Japanese Yen.................. 1,392,714 12,778,775 4/17/00 (104,989)
Japanese Yen.................. 245,115,080 2,249,041 4/17/00 24,236
New Zealand Dollar............ 7,150,000 3,473,091 4/6/00 (39,761)
New Zealand Dollar............ 13,118,000 6,372,217 4/6/00 13,278
South African Rand............ 30,131,700 4,722,909 4/18/00 (22,248)
- -------------------------------------------------------------------------------
(1,806,636)
- -------------------------------------------------------------------------------
To Sell:
Euro.......................... 12,661,197 12,240,497 3/2/00 179,504
Euro.......................... 3,584,229 3,460,135 4/6/00 52,717
Euro.......................... 13,175,856 12,727,571 4/17/00 156,193
Euro.......................... 10,190,877 9,844,898 4/17/00 197,595
Euro.......................... 2,260,000 2,183,273 4/17/00 41,531
Euro.......................... 4,700,000 4,540,722 4/18/00 204,433
Euro.......................... 6,306,731 6,108,427 5/25/00 250,512
Euro.......................... 12,325,389 11,956,074 6/15/00 302,004
New Zealand Dollar............ 7,150,000 3,473,091 4/6/00 67,368
Swedish Krona................. 104,530,000 11,946,135 4/3/00 39,876
South African Rand............ 59,408,000 9,311,740 4/18/00 338,109
- -------------------------------------------------------------------------------
1,829,842
- -------------------------------------------------------------------------------
Total Unrealized Gain on
Forward Foreign
Currency Contracts........... $ 23,206
- -------------------------------------------------------------------------------
</TABLE>
7. Repurchase Agreements
The Fund purchases (and its custodian takes possession of) U.S. government
securities from banks and securities dealers subject to agreements to resell
the securities to the sellers at a future date (generally, the next business
day) at an agreed-upon higher repurchase price. The Fund requires continual
maintenance of the market value of the collateral in amounts at least equal to
the repurchase price.
8. Capital Loss Carryforward
At August 31, 1999, the Fund had, for Federal income tax purposes,
approximately the following unused capital loss carryforwards available to
offset future capital gains expiring on August 31 of the years below:
<TABLE>
<CAPTION>
Portfolio Total 2006 2007
- -------------------------------------------------------------------------------
<S> <C> <C> <C>
Emerging Markets Equity Investments...... $121,162,000 $11,527,000 $109,635,000
- -------------------------------------------------------------------------------
</TABLE>
To the extent that these capital carryforward losses are used to offset
capital gains, it is probable that the gains so offset will not be distributed.
111
<PAGE>
Notes to Financial Statements (unaudited) (continued)
9. Securities Traded on a To-Be-Announced Basis
The Fund may trade securities on a "to-be-announced" ("TBA") basis. In a TBA
transaction, the Fund commits to purchasing or selling securities for which
specific information is not yet known at the time of the trade, particularly
the face amount and maturity date in GNMA transactions. Securities purchased on
a TBA basis are not settled until they are delivered to the Fund normally 15 to
45 days later. These transactions are subject to market fluctuations and their
current value is determined in the same manner as for other securities.
As of February 29, 2000, Balanced Investments had purchased seven TBA
securities with a total cost of $7,330,982.
10. Short Sales of Securities
A short sale is a transaction in which the Portfolio sells securities it does
not own (but has borrowed) in anticipation of a decline in the market price of
the securities. To complete a short sale, the Portfolio may arrange through a
broker to borrow the securities to be delivered to the buyer. The proceeds
received by the Portfolio for the short sale are retained by the broker until
the Portfolio replaces the borrowed securities. In borrowing the securities to
be delivered to the buyer, the Portfolio becomes obligated to replace the
securities borrowed at their market price at the time of replacement, whatever
that price may be.
As of February 29, 2000, there were no open short sale transactions.
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.
At February 29, 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..................... $ 31,080,692
Small Capitalization Growth Investments........................... 248,781,649
International Equity Investments.................................. 242,876,671
Emerging Markets Equity Investments............................... 4,503,731
International Fixed Income Investments............................ 31,927,821
Balanced Investments.............................................. 7,752,917
- -------------------------------------------------------------------------------
</TABLE>
112
<PAGE>
Notes to Financial Statements (unaudited) (continued)
At February 29, 2000, Small Capitalization Value Equity Investments, Small
Capitalization Growth Investments, International Equity Investments,
International Fixed Income Investments and Balanced Investments Emerging
Markets Equity Investments received cash collateral which was invested as
follows:
Small Capitalization Value Equity Investments
<TABLE>
<CAPTION>
Security Description Value
- -------------------------------------------------------------------------------
<S> <C>
Time Deposits:
AmSouth Bank, 5.910% due 3/1/00................................... $ 3,544,378
Bank of America, 5.880% due 3/1/00................................ 4,784,909
Bank of Brussels, 5.880% due 3/1/00............................... 4,648,550
Chase Bank, 5.880% due 3/1/00..................................... 4,784,910
Credit Suisse, 5.910% due 3/1/00.................................. 4,784,910
Fifth Third Bank, 5.880% due 3/1/00............................... 4,784,909
SunTrust Bank, 5.880% due 3/1/00.................................. 120,919
Commercial Paper:
Atlantis One Fund, 5,940% due 3/6/00.............................. 932,073
Cregem Bank, 6.080% due 7/19/00................................... 162,687
Floating Rate Note:
AmSouth Bank, 5.730% due 1/25/01.................................. 1,296,994
Goldman Sachs & Co., 5.560% due 8/23/00........................... 2,353,833
- -------------------------------------------------------------------------------
Total.............................................................. $32,199,072
- -------------------------------------------------------------------------------
</TABLE>
Small Capitalization Growth Investments
<TABLE>
<CAPTION>
Security Description Value
- -------------------------------------------------------------------------------
<S> <C>
Time Deposits:
AmSouth Bank, 5.910% due 3/1/00.................................. $ 25,799,915
Bank of America, 5.880% due 3/1/00............................... 34,829,887
Bank of Brussels, 5.880% due 3/1/00.............................. 33,455,092
Chase Bank, 5.880% due 3/1/00.................................... 34,829,886
Credit Suisse, 5.910% due 3/1/00................................. 34,829,886
Fifth Third Bank, 5.880% due 3/1/00.............................. 34,829,886
Firstar Bank, 5.750% due 3/1/00.................................. 42,343
SunTrust Bank, 5.880% due 3/1/00................................. 4,758,717
Commercial Paper:
American Home, 5.900% due 3/3/00................................. 9,489,138
Atlantis One Fund, 5.970% due 3/20/00............................ 2,172,886
Atlantis One Fund, 5.980% due 3/23/00............................ 120,661
CC USA, 6.000% due 3/20/00....................................... 2,756,215
Fairway Asset, 5.980% due 4/17/00................................ 282,070
Sigma Finance, 5.960% due 3/7/00................................. 8,944,792
Swedbank, 6.120% due 7/18/00..................................... 2,108,527
Textron, 5.860% due 3/6/00....................................... 7,329,318
Floating Rate Note:
Goldman Sachs & Co., 5.280% due 8/23/00.......................... 4,265,262
KeyBank Corp., 5.880% due 2/14/01................................ 6,351,181
Sigma Finance, 6.230.% due 4/4/00................................ 1,961,240
Floating Rate Commercial Paper:
Commercial Bank, 5,860% due 2/14/01.............................. 63,694
- -------------------------------------------------------------------------------
Total............................................................. $249,220,596
- -------------------------------------------------------------------------------
</TABLE>
113
<PAGE>
Notes to Financial Statements (unaudited) (continued)
International Equity Investments
<TABLE>
<CAPTION>
Security Description Value
- -------------------------------------------------------------------------------
<S> <C>
Time Deposit:
Abbey National, London, 5.880% due 3/1/00........................ $ 11,723,732
Bank of Austria, London, 5.880% due 3/1/00....................... 11,723,732
Bank of Scotland, London, 5.880% due 3/1/00...................... 11,723,732
Banque Bruxelles Lambert, London, 5.940% due 3/1/00.............. 11,723,732
BNP, 5.940% due 3/1/00........................................... 6,008,412
Caisse de Depots et Cosign., Paris, 5.880% due 3/1/00............ 11,723,732
Chase Manhattan, London, 5.880% due 3/1/00....................... 8,089,370
Citibank, London, 5.880% due 3/1/00.............................. 11,723,731
Commerzbank, London, 5.880% due 3/1/00........................... 11,723,732
Credit Commerciale de France, 5.880% due 3/1/00.................. 11,723,732
Credit Communal de Belgique, 5.940% due 3/1/00................... 11,723,732
Credit Suisse, London, 5.880% due 3/1/00......................... 5,158,442
Deutsche Bank, London, 5.880% due 3/1/00......................... 11,723,732
Halifax PLC, 5.880% due 3/1/00................................... 11,723,732
Landesbank Hessen Thuringen, 5.880% due 3/1/00................... 11,723,732
Nordeutsche Landesbank Singapore, 5.880% due 3/1/00.............. 11,723,732
Rabobank, London, 5.880% due 3/1/00.............................. 11,723,732
Societe Generale, 5.880% due 3/1/00.............................. 11,723,732
Repurchase Agreements:
Bear Stearns & Co., 5.970% due 3/1/00............................ 21,769,712
CS First Boston, 5.880% due 3/1/00............................... 11,723,732
Merrill Lynch Securities, 5.930 due 3/1/00....................... 11,723,732
Money Market Fund:
Janus Institutional Money Market Fund, 5.850% due 3/1/00......... 11,723,732
- -------------------------------------------------------------------------------
Total ............................................................ $252,053,111
- -------------------------------------------------------------------------------
</TABLE>
Emerging Markets Equity Investments
<TABLE>
<CAPTION>
Security Description Value
- -------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Abbey National, London, 5.880% due 3/1/00......................... $ 214,814
Bank of Austria, London, 5.880% due 3/1/00........................ 214,814
Bank of Scotland, London 5.880% due 3/1/00........................ 214,813
Banque Bruxelles Lambert London, 5.940% due 3/1/00................ 214,813
BNP, 5.940% due 3/1/00............................................ 110,092
Caisse de Depots et Cosign., Paris, 5.880% due 3/1/00............. 214,814
Chase Manhattan, London, 5.880% due 3/1/00........................ 148,221
Citibank, London, 5.880% due 3/1/00............................... 214,814
Commerzbank London, 5.880% due 3/1/00............................. 214,814
Credit Commerciale de France, 5.880% due 3/1/00................... 214,814
Credit Communal de Belgique, 5.940% due 3/1/00.................... 214,813
Credit Suisse, London, 5.880% due 3/1/00.......................... 94,518
Deutsche Bank, London, 5.880% due 3/1/00.......................... 214,813
Halifax PLC, 5.880% due 3/1/00.................................... 214,814
Landesbank Hessen Thuringen, 5.880% due 3/1/00.................... 214,813
Nordeutsche Landesbank Singapore, 5.880% due 3/1/00............... 214,814
Rabobank, London, 5.880% due 3/1/00............................... 214,813
Societe Generale, 5.880% due 3/1/00............................... 214,814
Repurchase Agreements:
Bear Stearns & Co., 5.970% due 3/1/00............................. 398,886
CS First Boston, 5.880% due 3/1/00................................ 214,813
Merrill Lynch Securities, 5.930% due 3/1/00....................... 214,813
Money Market Fund:
Janus Institutional Money Market Fund, 5.850% due 3/1/00.......... 214,813
- -------------------------------------------------------------------------------
Total ............................................................. $ 4,618,360
- -------------------------------------------------------------------------------
</TABLE>
114
<PAGE>
Notes to Financial Statements (unaudited) (continued)
International Fixed Income Investments
<TABLE>
<CAPTION>
Security Description Value
- -------------------------------------------------------------------------------
<S> <C>
Time Deposits:
Abbey National, London, 5.880% due 3/1/00......................... $ 1,627,326
Bank of Austria, London, 5.880% due 3/1/00........................ 1,627,326
Bank of Scotland, London, 5.880% due 3/1/00....................... 1,627,326
Banque Bruxelles Lambert, London, 5.940% due 3/1/00............... 1,627,325
BNP, 5.940% due 3/1/00............................................ 834,004
Caisse de Depots et Cosign., Paris, 5.880% due 3/1/00............. 1,627,326
Chase Manhattan, London, 5.880% due 3/1/00........................ 1,122,855
Citibank, London, 5.880% due 3/1/00............................... 1,627,326
Commerzbank London, 5.880% due 3/1/00............................. 1,627,326
Credit Commerciale de France, 5.880% due 3/1/00................... 1,627,326
Credit Communal de Belgique, 5.940% due 3/1/00.................... 1,627,325
Credit Suisse, London, 5.880% due 3/1/00.......................... 716,023
Deutsche Bank, London, 5.880% due 3/1/00.......................... 1,627,326
Halifax PLC, 5.880% due 3/1/00.................................... 1,627,326
Landesbank Hessen Thuringen, 5.880% due 3/1/00.................... 1,627,326
Nordeutsche Landesbank, Singapore, 5.880% due 3/1/00.............. 1,627,326
Rabobank, London, 5.880% due 3/1/00............................... 1,627,326
Societe Generale, 5.880% due 3/1/00............................... 1,627,326
Repurchase Agreements:
Bear Stearns & Co., 5.970% due 3/1/00............................. 3,021,769
CS First Boston, 5.880% due 3/1/00................................ 1,627,325
Merrill Lynch Securities, 5.930% due 3/1/00....................... 1,627,325
Money Market Fund:
Janus Institutional Money Market Fund, 5.850% due 3/1/00.......... 1,627,325
- -------------------------------------------------------------------------------
Total ............................................................. $34,986,514
- -------------------------------------------------------------------------------
</TABLE>
Balanced Investments
<TABLE>
<CAPTION>
Security Description Value
- -------------------------------------------------------------------------------
<S> <C>
Time Deposits:
AmSouth Bank, 5.910% due 3/1/00.................................... $ 833,089
Bank of America, 5.880% due 3/1/00................................. 1,124,670
Bank of Brussels, 5.880% due 3/1/00................................ 1,060,356
Chase Bank, 5.880% due 3/1/00...................................... 1,124,670
Credit Suisse, 5.910% due 3/1/00................................... 1,124,670
Fifth Third Bank, 5.880% due 3/1/00................................ 1,124,670
SunTrust Bank, 5.880% due 3/1/00................................... 484,435
Commercial Paper:
Atlantis One Fund, 5.970% due 3/20/00.............................. 136,201
Cregem Bank, 6.080% due 7/19/00.................................... 74,975
KeyBank Corp., 5.880% due 2/14/01.................................. 100,390
Floating Rate Commercial Paper:
Commercial Bank, 5.860% due 2/14/01................................ 496,528
- -------------------------------------------------------------------------------
Total............................................................... $7,684,654
- -------------------------------------------------------------------------------
</TABLE>
In addition to the above noted cash collateral, International Equity
Investments held securities collateral with a market value of $3,315,262 as of
February 29, 2000.
115
<PAGE>
Notes to Financial Statements (unaudited) (continued)
Income earned by the Portfolios from securities lending for the six months
ended February 29, 2000 was as follows:
<TABLE>
<CAPTION>
Portfolio Value
- --------------------------------------------------------------------------------
<S> <C>
Small Capitalization Value Equity Investments.......................... $121,370
Small Capitalization Growth Investments................................ 349,298
International Equity Investments....................................... 277,754
Emerging Markets Equity Investments.................................... 25,541
International Fixed Income Investments................................. 21,290
Balanced Investments................................................... 3,234
- --------------------------------------------------------------------------------
</TABLE>
12. Shares of Beneficial Interest
At February 29, 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>
Six Months Ended Year Ended
February 29, 2000 August 31, 1999
- -----------------------------------------------------------
<S> <C> <C>
Small Capitalization
Value Equity Invest-
ments
Shares sold............. 14,716,327 52,439,364
Shares Issued on rein-
vestment............... 2,499,302 19,687,603
Shares reacquired....... (12,487,186) (67,623,981)
- -----------------------------------------------------------
Net Increase............ 4,728,443 4,502,986
- -----------------------------------------------------------
Small Capitalization
Growth Investments
Shares sold............. 20,588,408 23,026,786
Shares Issued on rein-
vestment............... 2,967,255 2,140,083
Shares reacquired....... (19,333,786) (30,203,582)
- -----------------------------------------------------------
Net Increase (De-
crease)................ 4,221,877 (5,036,713)
- -----------------------------------------------------------
International Equity In-
vestments
Shares sold............. 58,499,165 67,405,362
Shares Issued on rein-
vestment............... 10,736,350 7,749,314
Shares reacquired....... (55,541,052) (88,204,125)
- -----------------------------------------------------------
Net Increase (De-
crease)................ 13,694,463 (13,049,449)
- -----------------------------------------------------------
Emerging Markets Equity
Investments
Shares sold............. 7,995,551 35,288,902
Shares Issued on rein-
vestment............... -- 441,104
Shares reacquired....... (23,222,716) (41,373,785)
- -----------------------------------------------------------
Net Decrease............ (15,227,165) (5,643,779)
- -----------------------------------------------------------
International Fixed In-
come Investments
Shares sold............. 6,743,876 12,322,760
Shares Issued on rein-
vestment............... 778,678 1,331,308
Shares reacquired....... (5,256,559) (7,518,237)
- -----------------------------------------------------------
Net Increase............ 2,265,995 6,135,831
- -----------------------------------------------------------
Balanced Investments
Shares sold............. 874,416 3,008,224
Shares Issued on rein-
vestment............... 977,099 795,738
Shares reacquired....... (1,969,030) (3,540,988)
- -----------------------------------------------------------
Net Increase (De-
crease)................ (117,515) 262,974
- -----------------------------------------------------------
</TABLE>
116
<PAGE>
Financial Highlights
For a share of beneficial interest outstanding throughout each year ended
August 31, except where noted:
<TABLE>
<CAPTION>
SMALL CAPITALIZATION
VALUE EQUITY INVESTMENTS 2000(1) 1999 1998(2) 1997 1996 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Begin-
ning of Period......... $10.56 $11.11 $14.45 $11.11 $10.01 $ 9.03
- --------------------------------------------------------------------------------
Income (Loss) From Oper-
ations:
Net investment in-
come(3)............... 0.09 0.19 0.17 0.19 0.16 0.15
Net realized and
unrealized gain
(loss)................ (0.78) 1.28 (1.66) 4.22 1.08 0.95
- --------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. (0.69) 1.47 (1.49) 4.41 1.24 1.10
- --------------------------------------------------------------------------------
Less Distributions From:
Net investment income.. (0.16) (0.20) (0.13) (0.19) (0.14) (0.12)
Net realized gains..... (0.18) (1.82) (1.72) (0.88) -- (0.00)*
- --------------------------------------------------------------------------------
Total Distributions..... (0.34) (2.02) (1.85) (1.07) (0.14) (0.12)
- --------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $9.53 $10.56 $11.11 $14.45 $11.11 $10.01
- --------------------------------------------------------------------------------
Total Return............ (6.58)%++ 13.61% (12.84)% 42.40% 12.48% 12.50%
- --------------------------------------------------------------------------------
Net Assets, End of Pe-
riod (millions)........ $717 $744 $740 $622 $479 $340
- --------------------------------------------------------------------------------
Ratios to Average Net
Assets:
Expenses(3)............ 0.95%+ 0.96% 0.94% 0.90% 0.95% 1.11%
Net investment income.. 1.88+ 1.70 1.45 1.62 1.52 1.54
- --------------------------------------------------------------------------------
Portfolio Turnover
Rate................... 18% 53% 59% 53% 39% 115%
- --------------------------------------------------------------------------------
<CAPTION>
SMALL CAPITALIZATION
GROWTH INVESTMENTS 2000(1) 1999 1998 1997 1996 1995(2)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Begin-
ning of Period......... $17.93 $12.83 $18.29 $17.79 $17.19 $12.50
- --------------------------------------------------------------------------------
Income (Loss) From Oper-
ations:
Net investment
loss(3)............... (0.05) (0.07) (0.07) (0.06) (0.08) (0.05)
Net realized and
unrealized gain
(loss)................ 11.79 5.68 (4.23) 2.87 3.36 4.81
- --------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 11.74 5.61 (4.30) 2.81 3.28 4.76
- --------------------------------------------------------------------------------
Less Distributions From:
Net realized gains..... (2.12) (0.51) (1.16) (2.31) (2.68) (0.07)
- --------------------------------------------------------------------------------
Total Distributions..... (2.12) (0.51) (1.16) (2.31) (2.68) (0.07)
- --------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $27.55 $17.93 $12.83 $18.29 $17.79 $17.19
- --------------------------------------------------------------------------------
Total Return............ 70.28%++ 44.32% (25.10)% 17.53% 21.33% 38.25%
- --------------------------------------------------------------------------------
Net Assets, End of Pe-
riod (millions)........ $1,821 $1,109 $859 $777 $494 $315
- --------------------------------------------------------------------------------
Ratios to Average Net
Assets:
Expenses(3)............ 0.94%+ 0.93% 1.01% 0.90% 1.00% 1.14%
Net investment loss.... (0.50)+ (0.39) (0.43) (0.39) (0.49) (0.35)
- --------------------------------------------------------------------------------
Portfolio Turnover
Rate................... 41% 108% 91% 81% 83% 174%
- --------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 29, 2000 (unaudited).
(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 1995 1995
--------- -------------- --------------
<S> <C> <C>
Small Capitalization Value Equity
Investments................................. $0.00* 1.13%
Small Capitalization Growth Investments...... 0.00* 1.16
</TABLE>
* Amount represents less than $0.01 per share.
++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 beneficial interest outstanding throughout each year ended
August 31, except where noted:
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
INVESTMENTS 2000(1) 1999 1998 1997 1996 1995
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Begin-
ning of Period......... $12.43 $10.69 $10.63 $10.49 $10.50 $10.86
- ---------------------------------------------------------------------------------------
Income (Loss) From Oper-
ations:
Net investment income.. 0.02 0.09 0.14 0.09 -- 0.05
Net realized and
unrealized gain
(loss)................ 3.46 2.39 0.21 0.87 0.44 (0.09)
- ---------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 3.48 2.48 0.35 0.96 0.44 (0.04)
- ---------------------------------------------------------------------------------------
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) (0.32)
- ---------------------------------------------------------------------------------------
Total Distributions..... (1.26) (0.74) (0.29) (0.82) (0.45) (0.32)
- ---------------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $14.65 $12.43 $10.69 $10.63 $10.49 $10.50
- ---------------------------------------------------------------------------------------
Total Return............ 29.32%++ 24.06% 3.53% 9.53% 4.23% (0.18)%
- ---------------------------------------------------------------------------------------
Net Assets, End of Pe-
riod (millions)........ $1,833 $1,385 $1,331 $1,136 $844 $663
- ---------------------------------------------------------------------------------------
Ratios to Average Net
Assets:
Expenses(2)............ 0.90%+ 0.82% 0.90% 0.97% 1.00% 1.19%
Net investment income
(loss)................ 0.05+ 0.90 1.23 0.70 (0.12) 0.43
- ---------------------------------------------------------------------------------------
Portfolio Turnover
Rate................... 44% 45% 45% 32% 50% 28%
- ---------------------------------------------------------------------------------------
<CAPTION>
EMERGING MARKETS EQUITY
INVESTMENTS 2000(1) 1999(3) 1998 1997 1996 1995(3)
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Begin-
ning of Period......... $6.74 $4.37 $9.31 $8.50 $7.85 $9.49
- ---------------------------------------------------------------------------------------
Income (Loss) From Oper-
ations:
Net investment income
(loss)(4)............. (0.03) 0.05 0.06 0.04 0.03 0.01
Net realized and
unrealized gain
(loss)................ 1.75 2.36 (4.44) 0.79 0.62 (1.45)
- ---------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 1.72 2.41 (4.38) 0.83 0.65 (1.44)
- ---------------------------------------------------------------------------------------
Less Distributions From:
Net investment income.. (0.04) (0.04) (0.10) (0.01) -- --
Net realized gains..... -- -- (0.46) (0.01) -- (0.20)
- ---------------------------------------------------------------------------------------
Total Distributions..... (0.04) (0.04) (0.56) (0.02) -- (0.20)
- ---------------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $8.42 $6.74 $4.37 $9.31 $8.50 $7.85
- ---------------------------------------------------------------------------------------
Total Return............ 25.58%++ 55.37% (49.49)% 9.88% 8.28% (15.13)%
- ---------------------------------------------------------------------------------------
Net Assets, End of Pe-
riod (000s)............ $268,374 $317,626 $230,526 $226,280 $97,489 $59,333
- ---------------------------------------------------------------------------------------
Ratios to Average Net
Assets:
Expenses(4)(5)......... 1.76%+ 1.72% 1.69% 1.60% 1.84% 1.75%
Net investment income
(loss)................ (0.76)+ 0.84 0.80 0.39 0.26 0.15
- ---------------------------------------------------------------------------------------
Portfolio Turnover
Rate................... 34% 135% 139% 105% 106% 89%
- ---------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 29, 2000 (unaudited).
(2) During the year ended August 31, 1996, the portfolio earned credits from
the custodian which reduced service fees incurred. If the credits are taken
into consideration, the ratio of expenses to average net assets for
International Equity Investments would be 1.00%; prior year numbers have
not been restated to reflect these numbers.
(3) Per share amounts have been calculated using the monthly average shares
method.
(4) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Expense Ratios
Net Investment Without
Income Per Waivers and/or
Share Decrease Reimbursements
--------------- ----------------
Portfolio 1996 1995 1996 1995
--------- ------- ------- ------- -------
<S> <C> <C> <C> <C>
Emerging Markets Equity Investments........ $ 0.01 $ 0.02 1.97% 1.96%
</TABLE>
(5) During the year ended August 31, 1996, the portfolio earned credits from
the custodian which reduced service fees incurred. If the credits are taken
into consideration, the ratio of expenses to average net assets for
Emerging Markets Equity Investments would be 1.80%; prior year numbers have
not been restated to reflect these numbers.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
118
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31, except where noted:
<TABLE>
<CAPTION>
INTERNATIONAL FIXED
INCOME INVESTMENTS 2000(1) 1999(2) 1998 1997 1996 1995
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Begin-
ning of Period ........ $8.10 $8.34 $8.21 $9.11 $9.01 $8.17
- ------------------------------------------------------------------------------------------
Income (Loss) From Oper-
ations:
Net investment in-
come(3)............... 0.19 0.42 0.51 0.51 0.55 0.56
Net realized and
unrealized gain
(loss)................ (0.57) (0.24) 0.31 (0.62) 0.49 0.84
- ------------------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. (0.38) 0.18 0.82 (0.11) 1.04 1.40
- ------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income.. (0.20) (0.42) (0.27) (0.55) (0.94) (0.56)
Net realized gains..... -- -- (0.34) (0.24) -- --
Capital................ -- (0.00)* (0.08) -- -- --
- ------------------------------------------------------------------------------------------
Total Distributions..... (0.20) (0.42) (0.69) (0.79) (0.94) (0.56)
- ------------------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $7.52 $8.10 $8.34 $8.21 $9.11 $9.01
- ------------------------------------------------------------------------------------------
Total Return............ (4.74)%++ 2.30% 10.45% (1.52)% 12.05% 17.66%
- ------------------------------------------------------------------------------------------
Net Assets, End of Pe-
riod (000s)............ $236,447 $236,254 $192,068 $125,610 $129,410 $105,884
- ------------------------------------------------------------------------------------------
Ratios to Average Net
Assets:
Expenses(3)(4)......... 0.93%+ 0.94% 0.97% 0.99% 1.02% 0.95%
Net investment income.. 4.71+ 4.85 5.39 5.87 6.34 6.50
- ------------------------------------------------------------------------------------------
Portfolio Turnover
Rate................... 119% 204% 211% 251% 211% 307%
- ------------------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 29, 2000 (unaudited).
(2) Per share amounts have been calculated using the monthly average shares
method.
(3) For the year ended August 31, 1995, expense ratios and the per share
decreases in net investment income before fee waivers and/or expense
reimbursements would have been 1.18% and $0.02, respectively.
(4) During the years ended August 31, 1997 and August 31, 1996, the portfolios
earned credits from the custodian which reduced service fees incurred. If
the credits are taken into consideration, the ratio of expenses to average
net assets for International Fixed Income Investments would be 0.97% and
0.97%, respectively; prior year numbers have not been restated to reflect
these numbers.
* Amount represents less than $0.00 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
119
<PAGE>
Financial Highlights (continued)
For a share of beneficial interest outstanding throughout each year ended
August 31, except where noted:
<TABLE>
<CAPTION>
BALANCED INVESTMENTS 2000(1) 1999 1998 1997 1996 1995
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Begin-
ning of Period......... $11.41 $10.87 $12.01 $10.00 $9.37 $8.63
- ----------------------------------------------------------------------------------
Income (Loss) From Oper-
ations:
Net investment in-
come(2)............... 0.13 0.25 0.26 0.27 0.29 0.26
Net realized and
unrealized gain
(loss)................ 0.39 1.74 (0.53) 2.27 0.95 0.81
- ----------------------------------------------------------------------------------
Total Income (Loss) From
Operations............. 0.52 1.99 (0.27) 2.54 1.24 1.07
- ----------------------------------------------------------------------------------
Less Distributions From:
Net investment income.. (0.12) (0.29) (0.30) (0.27) (0.28) (0.29)
Net realized gains..... (1.48) (1.16) (0.57) (0.26) (0.33) (0.04)
- ----------------------------------------------------------------------------------
Total Distributions..... (1.60) (1.45) (0.87) (0.53) (0.61) (0.33)
- ----------------------------------------------------------------------------------
Net Asset Value, End of
Period................. $10.33 $11.41 $10.87 $12.01 $10.00 $9.37
- ----------------------------------------------------------------------------------
Total Return............ 4.57%++ 18.78% (2.85)% 26.05% 13.60% 12.76%
- ----------------------------------------------------------------------------------
Net Assets, End of Pe-
riod (000s)............ $66,605 $74,866 $68,470 $89,789 $50,281 $30,268
- ----------------------------------------------------------------------------------
Ratios to Average Net
Assets:
Expenses(2)............ 1.00%+ 0.85% 1.00% 1.00% 1.00% 1.00%
Net investment income.. 2.39+ 1.77 1.92 2.49 2.85 3.28
- ----------------------------------------------------------------------------------
Portfolio Turnover
Rate................... 129% 332% 57% 67% 47% 47%
- ----------------------------------------------------------------------------------
</TABLE>
(1) For the six months ended February 29, 2000 (unaudited).
(2) Expense ratios and the per share decreases in net investment income before
fee waivers and/or expense reimbursements were as follows:
<TABLE>
<CAPTION>
Net Investment Income Expense Ratios Without Waivers
Per Share Decrease and/or Reimbursements
------------------------------------ ----------------------------------
Portfolio 2000(1) 1999 1998 1997 1996 1995 2000(1) 1999 1998 1997 1996 1995
--------- ------- ---- ---- ----- ----- ----- ------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Balanced Investments.... $0.00* N/A N/A $0.00* $0.03 $0.06 1.07%+ N/A N/A 1.02% 1.26% 1.75%
</TABLE>
* Amount represents less than $0.01 per share.
++Total return is not annualized, as it may not be representative of the total
return for the year.
+ Annualized.
120
<PAGE>
This report is submitted for the general information of the shareholders of
Consulting Group Capital Markets Funds.
It is not authorized for distribution to prospective investors unless
accompanied or preceded by a current Prospectus for the Trust which contains
information concerning the Trust's investment policies, charges and expenses as
well as other pertinent information.
TK 2120B, 4/00 Consulting Group Capital Markets Funds . 222
Delaware Avenue . Wilmington, Delaware . 19801
