<PAGE> 1
LETTER TO SHAREHOLDERS
Dear Shareholder:
Photo: John Knutson
President and Chairman of the Board
The last 12 months have seen some interesting economic developments. Interest
rates began to drop in the last quarter of 1994 and continued to drop through
all of 1995. This has had a positive effect on the Jackson National Capital
Management Funds (JNCMF). The following is a discussion of the performance and
investment strategy of JNCMF. I encourage you to read these informative
sections.
MONEY MARKET FUND
Results from the Jackson National Money Market Fund continued strong over the
last 12 months. The Fund's 7-day yield as of October 31, 1995, was 5.37%.
The average maturity of the Fund's investments, largely commercial paper, has
been 24-36 days. This strategy has served the Fund well-over the last 12
months. It is our intention to continue this practice at this time.
The Fund declares dividends daily and distributes dividends monthly.
An investment in the Money Market Fund is neither insured nor guaranteed by the
U.S. Government. There can be no assurance that the Fund will be able to
maintain a stable net asset and return value of $1.00 per share.
Performance data cited here represents past performance and is no guarantee of
future results. Investment return and principal value will fluctuate. An
investor's shares, when redeemed, may be worth more or less than their original
cost.
TAX-EXEMPT FUND
The Jackson National Tax-Exempt Fund reported a total return (including
reinvestment of dividends and/or distributions and excluding sales charges)
since November 30, 1992, through October 31, 1995, of 19.85%.
The Fund's performance reflects the current municipal bond market trend as
indicated by the Fund's benchmark index, the Lehman Brothers Municipal Bond
Index. The Lehman Brothers Municipal Bond Index is a broad, unmanaged index of
tax-exempt state and local government and industrial revenue bonds. The Fund's
results are in line with the total return of the Lehman Brothers Municipal Bond
Index which returned 23.09% since November 30, 1992.
The total return for the 12 months ending October 31, 1995, was 11.32%. The
30-day yield as of October 31, 1995, was 4.07%. For an investor in the 31%
federal tax bracket, this yield is equivalent to a taxable yield of 5.90%.
<PAGE> 2
LETTER TO SHAREHOLDERS
The Fund's average annual total return (including the maximum sales charge of
4.75%) was 4.54% since commencement of operations on November 12, 1992 through
October 31, 1995, and 6.00% for the one-year period of November 1, 1994,
through October 31, 1995.
The Fund invests in tax-exempt securities. Income produced by these securities
is primarily free from federal income tax, but may be subject to the
Alternative Minimum Tax and may be subject to state and local taxes. JNCMF
passes interest produced by the Fund through to its shareholders as monthly
dividends. Dividends may also include net taxable capital gains from the sale
of securities.
INCOME FUND
The Jackson National Income Fund's total return (including reinvestment of
dividends and/or distributions and excluding sales charges) since November 30,
1992, was 21.58% through October 31, 1995. The Fund's total return for the
twelve months ending October 31, 1995 was 13.13%. Average annual total return
(including the maximum sales charge of 4.75%) was 4.82% since commencement of
operations through October 31, 1995, and 7.80% for the one-year period of
November 1, 1994, through October 31, 1995.
The Fund's benchmark index, the Lehman Brothers Aggregate Bond Index, produced
a return of 25.15% from November 30, 1992, through October 31, 1995. The
Lehman Brothers Aggregate Bond Index is a broad-based, unmanaged index made up
of U.S. Treasury securities, corporate bonds and mortgage-backed bonds.
The Fund invests primarily in investment-grade debt securities. No more than
30% of the Fund's total assets can consist of securities rated below A-
(Standard and Poor's) or A3 (Moody's). For a complete discussion of
fixed-income quality ratings, refer to the Statement of Additional Information,
available on request, by calling 800/888-FUND (800/888-3863).
GROWTH FUND
Because the Jackson National Growth Fund has invested in the 500 common stocks
of the Standard & Poor's 500 Composite Stock Price Index (S&P 500 Index), in
about the same proportion as those stocks are represented in the Index, the
Fund's performance has closely reflected that of the S&P 500 Index.
The Fund's total return for the 12 month period ending October 31, 1995
(including reinvestment of dividends and/or distributions and excluding sales
charges) was 25.83%. The Fund's cumulative total return since November 30,
1992, through October 31, 1995, was 43.82%, against the S&P 500 Index's return
of 45.79%. It should be noted that the Fund has expenses and costs associated
with it that do not affect the return of the S&P 500 Index.
The Fund's average annual total return (including the maximum sales charge of
4.75%) was 19.90% for the one-year period ending October 31, 1995, and 11.97%
since commencement of operations on November 12, 1992, through October 31,
1995.
2
<PAGE> 3
LETTER TO SHAREHOLDERS
TOTAL RETURN FUND
The Jackson National Total Return Fund looks for bargains in the market
wherever they may be found. It has been the Fund's practice to seek out
fundamentally sound, but undervalued stocks, corporate and U.S. Treasury
fixed-income securities and carefully selected non-investment-grade bonds.
The Fund's cumulative total return (including reinvestment of dividends and/or
distributions and excluding sales charges) since November 30, 1992, through
October 31, 1995, was 40.59%. The Fund's total return for the 12 months ending
October 31, 1995, was 22.72%.
The Fund's average annual total return (including the maximum sales charge of
4.75%) was 10.85% since commencement of operations on November 12, 1992,
through October 31, 1995, and 16.90% for the twelve-month period ending October
31, 1995.
In selecting investments for the Fund, its managers use a value-based approach
in looking at individual issues. If, in analyzing an issue's fundamentals, the
fund managers determine that the market undervalues a particular investment, it
may be considered for purchase. We believe this is a sound approach to total
return investing and will continue to pursue market opportunities in this way.
IN CLOSING
It's our goal to see that our mutual funds serve you as successful investment
vehicles. Thank you very much for choosing Jackson National Capital Management
Funds and for allowing us to help you with your financial goals. If you have
any questions about JNCMF or your account, please call us toll-free at
800/888-FUND (800/888-3863).
Sincerely,
John A. Knutson
John A. Knutson
President and Chairman
3
<PAGE> 4
PERFORMANCE COMPARISONS
JACKSON NATIONAL
TAX-EXEMPT FUND
This graph compares the total return performance of the Jackson National
Tax-Exempt Fund to the Lehman Brothers Municipal Bond Index, an unmanaged,
commonly used measure of municipal bond total return results.
AVERAGE ANNUAL TOTAL RETURN
AS OF OCTOBER 31, 1995
SINCE
INCEPTION
1 YEAR (11/12/92)
6.00% 4.54%
LEHMAN BROS. TAX
MUNIC. INDEX EXEMPT
30-NOV-92 10,000 9,525
31-DEC-92 10,102 9,612
31-JAN-93 10,219 9,755
28-FEB-93 10,589 10,120
31-MAR-93 10,477 9,947
30-APR-93 10,583 10,054
28-MAY-93 10,642 10,103
30-JUN-93 10,820 10,288
30-JUL-93 10,834 10,268
31-AUG-93 11,059 10,485
30-SEP-93 11,185 10,672
31-OCT-93 11,206 10,712
30-NOV-93 11,108 10,623
31-DEC-93 11,342 10,811
31-JAN-94 11,471 10,931
28-FEB-94 11,174 10,608
31-MAR-94 10,720 10,264
30-APR-94 10,811 10,313
31-MAY-94 10,905 10,403
30-JUN-94 10,838 10,350
31-JUL-94 11,037 10,501
31-AUG-94 11,075 10,529
30-SEP-94 10,912 10,402
31-OCT-94 10,718 10,255
30-NOV-94 10,524 10,117
31-DEC-94 10,756 10,316
31-JAN-95 11,063 10,513
28-FEB-95 11,385 10,701
31-MAR-95 11,516 10,794
30-APR-95 11,530 10,793
31-MAY-95 11,898 11,102
30-JUN-95 11,794 10,983
31-JUL-95 11,906 11,068
31-AUG-95 12,058 11,186
30-SEP-95 12,133 11,217
31-OCT-95 12,309 11,416
JACKSON NATIONAL
INCOME FUND
This graph compares the total return performance of the Jackson National Income
Fund to the Lehman Brothers Aggregate Bond Index, an unmanaged, commonly used
measure of bond total return results.
AVERAGE ANNUAL TOTAL RETURN
AS OF OCTOBER 31, 1995
SINCE
INCEPTION
1 YEAR (11/12/92)
7.80% 4.82%
LEHMAN BROS.
AGGR. BOND INCOME
30-NOV-92 10,000 9,525
31-DEC-92 10,159 9,669
31-JAN-93 10,354 9,939
28-FEB-93 10,535 10,173
31-MAR-93 10,580 10,223
30-APR-93 10,654 10,291
28-MAY-93 10,667 10,251
30-JUN-93 10,860 10,490
30-JUL-93 10,922 10,539
31-AUG-93 11,114 10,809
30-SEP-93 11,144 10,899
31-OCT-93 11,185 10,940
30-NOV-93 11,090 10,757
31-DEC-93 11,150 10,822
31-JAN-94 11,300 10,986
28-FEB-94 11,103 10,676
31-MAR-94 10,829 10,343
30-APR-94 10,743 10,215
31-MAY-94 10,742 10,209
30-JUN-94 10,718 10,184
31-JUL-94 10,931 10,338
31-AUG-94 10,944 10,365
30-SEP-94 10,783 10,241
31-OCT-94 10,774 10,237
30-NOV-94 10,797 10,202
31-DEC-94 10,872 10,263
31-JAN-95 11,087 10,412
28-FEB-95 11,351 10,628
31-MAR-95 11,420 10,714
30-APR-95 11,580 10,836
31-MAY-95 12,028 11,198
30-JUN-95 12,116 11,267
31-JUL-95 12,089 11,229
31-AUG-95 12,236 11,354
30-SEP-95 12,354 11,438
31-OCT-95 12,515 11,581
4
<PAGE> 5
PERFORMANCE COMPARISONS
JACKSON NATIONAL
GROWTH FUND
This graph compares the total return performance of the Jackson National Growth
Fund to the Standard & Poor's 500 Composite Index, an unmanaged, commonly used
measure of common stock total return results.
AVERAGE ANNUAL TOTAL RETURN
AS OF OCTOBER 31, 1995
SINCE
INCEPTION
1 YEAR (11/12/92)
19.90% 11.97%
STANDARD & GROWTH
POOR'S 500 FUND
30-NOV-92 10,000 9,525
31-DEC-92 10,123 9,633
31-JAN-93 10,208 9,708
28-FEB-93 10,347 9,839
31-MAR-93 10,565 10,045
30-APR-93 10,310 9,792
28-MAY-93 10,586 10,055
30-JUN-93 10,616 10,073
30-JUL-93 10,574 10,027
31-AUG-93 10,975 10,401
30-SEP-93 10,891 10,317
31-OCT-93 11,116 10,523
30-NOV-93 11,010 10,420
31-DEC-93 11,142 10,542
31-JAN-94 11,520 10,896
28-FEB-94 11,206 10,600
31-MAR-94 10,718 10,131
30-APR-94 10,855 10,255
31-MAY-94 11,031 10,418
30-JUN-94 10,760 10,160
31-JUL-94 11,112 10,494
31-AUG-94 11,565 10,915
30-SEP-94 11,281 10,647
31-OCT-94 11,533 10,887
30-NOV-94 11,114 10,494
31-DEC-94 11,278 10,646
31-JAN-95 11,570 10,921
28-FEB-95 12,021 11,345
31-MAR-95 12,375 11,650
30-APR-95 12,739 11,985
31-MAY-95 13,247 12,458
30-JUN-95 13,555 12,743
31-JUL-95 14,004 13,157
31-AUG-95 14,039 13,186
30-SEP-95 14,631 13,748
31-OCT-95 14,579 13,698
JACKSON NATIONAL
TOTAL RETURN FUND
This graph compares the total return performance of the Jackson National Total
Return Fund to the Standard & Poor's 500 Composite Stock Price and Lehman
Brothers Aggregate Bond indexes, which are unmanaged, commonly used measures of
total return results for common stocks and bonds, respectively.
AVERAGE ANNUAL TOTAL RETURN
AS OF OCTOBER 31, 1995
SINCE
INCEPTION
1 YEAR (11/12/92)
16.90% 10.85%
STANDARD & TOTAL LEHMAN BROS.
POOR'S 500 RETURN AGGR. BOND
30-NOV-92 10,000 9,525 10,000
31-DEC-92 10,123 9,710 10,159
31-JAN-93 10,208 9,862 10,354
28-FEB-93 10,347 10,032 10,535
31-MAR-93 10,565 10,249 10,580
30-APR-93 10,310 10,145 10,654
28-MAY-93 10,586 10,211 10,667
30-JUN-93 10,616 10,494 10,860
30-JUL-93 10,574 10,513 10,922
31-AUG-93 10,975 10,797 11,114
30-SEP-93 10,891 10,740 11,144
31-OCT-93 11,116 10,844 11,185
30-NOV-93 11,010 10,740 11,090
31-DEC-93 11,142 10,872 11,150
31-JAN-94 11,520 11,186 11,300
28-FEB-94 11,206 10,993 11,103
31-MAR-94 10,718 10,608 10,829
30-APR-94 10,855 10,618 10,743
31-MAY-94 11,031 10,740 10,742
30-JUN-94 10,760 10,638 10,718
31-JUL-94 11,112 10,821 10,931
31-AUG-94 11,565 11,166 10,944
30-SEP-94 11,281 10,912 10,783
31-OCT-94 11,533 10,912 10,774
30-NOV-94 11,114 10,689 10,797
31-DEC-94 11,278 10,825 10,872
31-JAN-95 11,570 11,121 11,087
28-FEB-95 12,021 11,522 11,351
31-MAR-95 12,375 11,755 11,420
30-APR-95 12,739 11,955 11,580
31-MAY-95 13,247 12,431 12,028
30-JUN-95 13,555 12,526 12,116
31-JUL-95 14,004 12,800 12,089
31-AUG-95 14,039 12,948 12,236
30-SEP-95 14,631 13,339 12,354
31-OCT-95 14,579 13,392 12,515
These graphs assume an initial investment of $10,000 made on November 30, 1992.
Returns shown include the effect of the 4.75% maximum sales charge, the
reinvestment of all distributions at net asset value and the changes in share
price for the stated periods. The indexes cited represent unmanaged groups of
securities or bonds differing from the composition of the Jackson National
Capital Management Funds. Returns indicate past performance, which is no
guarantee of future results. Investment return and principal value will
fluctuate, so that your shares, when redeemed, may be worth more or less than
the original cost.
5
<PAGE> 6
[THIS PAGE INTENTIONALLY LEFT BLANK]
6
<PAGE> 7
[PRICE WATERHOUSE LETTERHEAD]
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and
Board of Trustees of
Jackson National Capital Management Funds
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Jackson National Money Market Fund,
Jackson National Tax-Exempt Fund, Jackson National Income Fund, Jackson National
Growth Fund and Jackson National Total Return Fund (constituting the Jackson
National Capital Management Funds, hereafter referred to as the "Funds") at
October 31, 1995, the results of each of their operations for the year then
ended, the changes in each of their net assets for each of the two years in the
period then ended and the financial highlights for each of the two years in the
period ended October 31, 1995 and for the period November 12, 1992 (commencement
of operations) through October 31, 1993, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Funds' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 1995 by correspondence with the
custodian, provide a reasonable basis for the opinion expressed above.
Price Waterhouse LLP
November 30, 1995
7
<PAGE> 8
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 1995
<TABLE>
<CAPTION>
MONEY TOTAL
MARKET TAX-EXEMPT INCOME GROWTH RETURN
FUND FUND FUND FUND FUND
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at value
(Cost: $24,181,808; $20,722,121;
$21,161,776; $10,769,062; and
$20,230,669, respectively)........ $24,181,808 $21,365,546 $21,663,367 $13,547,461 $23,218,924
Cash................................ 2,932 91,698 2,593 99,985 39,684
Receivables
Dividends and interest............ -- 373,635 485,118 19,685 252,035
Fund shares sold.................. 60,076 20,528 -- 1,598 4,364
Investments sold.................. -- 396,935 -- 905 316,380
Prepaid expenses.................... 10,630 10,630 10,630 10,630 10,630
----------- ----------- ----------- ----------- -----------
Total Assets................. $24,255,446 $22,258,972 $22,161,708 $13,680,264 $23,842,017
----------- ----------- ----------- ----------- -----------
LIABILITIES
Payables
Dividends to shareholders......... $ 4,267 $ 1,232 $ 1,834 $ -- $ --
Fund shares redeemed.............. 85,813 -- -- 800 --
Investments purchased............. -- 494,083 -- 80,224 134,276
Adviser........................... 19,618 19,618 19,618 19,618 19,618
Accrued expenses and other
liabilities....................... 48,038 34,651 35,396 35,664 38,385
----------- ----------- ----------- ----------- -----------
Total Liabilities............ 157,736 549,584 56,848 136,306 192,279
----------- ----------- ----------- ----------- -----------
NET ASSETS............................ $24,097,710 $21,709,388 $22,104,860 $13,543,958 $23,649,738
=========== =========== =========== =========== ===========
NET ASSETS CONSIST OF
Trust capital (beneficial
interest)......................... $24,097,710 $20,982,723 $22,508,366 $ 7,295,758 $18,264,481
Accumulated undistributed net
investment income................. -- 552 489 352,957 842,197
Accumulated net realized gains
(losses) on investments........... -- 82,688 (905,586) 3,116,844 1,554,805
Accumulated net unrealized
appreciation on investments....... -- 643,425 501,591 2,778,399 2,988,255
----------- ----------- ----------- ----------- -----------
Net Assets................... $24,097,710 $21,709,388 $22,104,860 $13,543,958 $23,649,738
=========== =========== =========== =========== ===========
SHARES OF BENEFICIAL INTEREST
OUTSTANDING (unlimited number of
shares authorized).................. 24,097,710 2,085,712 2,188,205 973,881 1,864,527
=========== =========== =========== =========== ===========
NET ASSET VALUE AND REDEMPTION PRICE
PER SHARE........................... $1.00 $10.41 $10.10 $13.91 $12.68
===== ====== ====== ====== ======
MAXIMUM PUBLIC OFFERING PRICE (Net
Asset Value Per Share divided by
0.9525 for a 4.75% sales charge
except for the Money Market Fund)... $1.00 $10.93 $10.60 $14.60 $13.31
===== ====== ====== ====== ======
</TABLE>
The accompanying notes to financial statements are an integral part of these
statements.
8
<PAGE> 9
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
STATEMENTS OF OPERATIONS
YEAR ENDED OCTOBER 31, 1995
<TABLE>
<CAPTION>
MONEY TOTAL
MARKET TAX- EXEMPT INCOME GROWTH RETURN
FUND FUND FUND FUND FUND
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends................................ $ -- $ -- $ 36,308 $ 565,352 $ 526,971
Taxable interest......................... 1,206,993 9,116 1,600,987 -- 842,943
Tax-exempt interest...................... -- 1,289,560 -- -- --
Other income............................. -- -- 7,000 -- 12,197
Foreign tax withholding.................. -- -- -- (2,258) --
---------- ---------- ---------- ---------- ----------
Total Investment Income................ 1,206,993 1,298,676 1,644,295 563,094 1,382,111
---------- ---------- ---------- ---------- ----------
EXPENSES
Administrative service fees.............. -- 59,099 59,203 49,986 64,562
Adviser fees............................. 100,515 118,199 142,087 49,986 180,773
Custodian fees........................... 17,018 6,801 9,549 21,060 15,878
Portfolio accounting fees................ 42,000 42,000 42,000 42,000 42,000
Professional fees........................ 24,251 24,251 24,251 24,251 24,251
S.E.C. and state registration fees....... 22,240 22,219 22,217 22,249 22,236
Transfer agency fees..................... 124,868 83,130 83,946 85,267 98,913
Other.................................... 8,339 6,830 7,388 17,024 10,323
---------- ---------- ---------- ---------- ----------
Total Expenses......................... 339,231 362,529 390,641 311,823 458,936
---------- ---------- ---------- ---------- ----------
Less
Reimbursement from Adviser........... (277,622) (149,234) (155,633) (262,088) (151,094)
Fees paid indirectly................. (81) (5,604) (6,950) (4,147) (8,842)
---------- ---------- ---------- ---------- ----------
Total Net Expenses..................... 61,528 207,691 228,058 45,588 299,000
---------- ---------- ---------- ---------- ----------
Net Investment Income...................... 1,145,465 1,090,985 1,416,237 517,506 1,083,111
---------- ---------- ---------- ---------- ----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON
INVESTMENTS
Net realized gains on investments........ -- 82,674 84,845 3,128,377 1,555,619
Net change in unrealized appreciation
(depreciation) on investments.......... -- 1,448,037 1,313,114 (218,864) 2,295,607
---------- ---------- ---------- ---------- ----------
NET REALIZED AND UNREALIZED GAINS ON
INVESTMENTS.............................. -- 1,530,711 1,397,959 2,909,513 3,851,226
---------- ---------- ---------- ---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS............................... $1,145,465 $2,621,696 $2,814,196 $3,427,019 $4,934,337
========== ========== ========== ========== ==========
</TABLE>
The accompanying notes to financial statements are an integral part of these
statements.
9
<PAGE> 10
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MONEY MARKET FUND TAX-EXEMPT FUND
---------------------------- ----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/95 10/31/94 10/31/95 10/31/94
------------ ----------- ------------ -----------
<S> <C> <C> <C> <C>
OPERATIONS
Net investment income................. $ 1,145,465 $ 242,335 $ 1,090,985 $ 1,331,513
Net realized gains (losses) on
investments......................... -- -- 82,674 187,580
Net change in unrealized appreciation
(depreciation) on investments....... -- -- 1,448,037 (2,850,463)
------------ ----------- ------------ -----------
Net Increase (Decrease) in Net Assets
Resulting from Operations............. 1,145,465 242,335 2,621,696 (1,331,370)
------------ ----------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net investment income................. (1,145,465) (242,335) (1,090,902) (1,331,695)
Net realized gains on investments..... -- -- (187,566) --
------------ ----------- ------------ -----------
Total Distributions to Shareholders..... (1,145,465) (242,335) (1,278,468) (1,331,695)
------------ ----------- ------------ -----------
TRUST SHARE TRANSACTIONS
Purchases of trust shares............. 41,294,922 9,912,678 666,409 1,543,929
Income dividends reinvested........... 1,105,023 233,871 1,077,486 1,315,151
Capital gain distributions
reinvested.......................... -- -- 187,004 --
Redemption of trust shares............ (27,404,428) (5,159,230) (11,028,400) (622,347)
------------ ----------- ------------ -----------
Net Increase (Decrease) in Trust
Capital............................... 14,995,517 4,987,319 (9,097,501) 2,236,733
------------ ----------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS... 14,995,517 4,987,319 (7,754,273) (426,332)
NET ASSETS BEGINNING OF PERIOD.......... 9,102,193 4,114,874 29,463,661 29,889,993
------------ ----------- ------------ -----------
NET ASSETS END OF PERIOD................ $ 24,097,710 $ 9,102,193 $ 21,709,388 $29,463,661
============ =========== ============ ===========
Undistributed Net Investment Income..... $ -- $ -- $ 552 $ 469
============ =========== ============ ===========
</TABLE>
The accompanying notes to financial statements are an integral part of these
statements.
10
<PAGE> 11
<TABLE>
<CAPTION>
INCOME FUND GROWTH FUND TOTAL RETURN FUND
- ---------------------------- ---------------------------- ----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
10/31/95 10/31/94 10/31/95 10/31/94 10/31/95 10/31/94
- ------------ ----------- ------------ ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
$ 1,416,237 $ 1,691,684 $ 517,506 $ 768,351 $ 1,083,111 $ 1,320,616
84,845 (990,465) 3,128,377 172,128 1,555,619 20,197
1,313,114 (2,705,042) (218,864) 226,877 2,295,607 (1,129,267)
- ------------ ----------- ------------ ----------- ------------ -----------
2,814,196 (2,003,823) 3,427,019 1,167,356 4,934,337 211,546
- ------------ ----------- ------------ ----------- ------------ -----------
(1,416,253) (1,691,766) (794,089) (679,498) (1,356,169) (1,258,830)
-- (187,914) (183,124) (10,428) (20,167) (1,046,251)
- ------------ ----------- ------------ ----------- ------------ -----------
(1,416,253) (1,879,680) (977,213) (689,926) (1,376,336) (2,305,081)
- ------------ ----------- ------------ ----------- ------------ -----------
593,692 1,873,137 2,885,484 2,906,392 1,829,337 4,012,336
1,392,590 1,672,248 793,295 678,575 1,353,794 1,255,399
-- 185,633 182,992 10,414 20,149 1,043,399
(10,718,110) (739,619) (27,735,223) (823,872) (18,925,616) (821,322)
- ------------ ----------- ------------ ----------- ------------ -----------
(8,731,828) 2,991,399 (23,873,452) 2,771,509 (15,722,336) 5,489,812
- ------------ ----------- ------------ ----------- ------------ -----------
(7,333,885) (892,104) (21,423,646) 3,248,939 (12,164,335) 3,396,277
29,438,745 30,330,849 34,967,604 31,718,665 35,814,073 32,417,796
- ------------ ----------- ------------ ----------- ------------ -----------
$ 22,104,860 $29,438,745 $ 13,543,958 $34,967,604 $ 23,649,738 $35,814,073
============ =========== ============ =========== ============ ===========
$ 489 $ 505 $ 352,957 $ 629,540 $ 842,197 $ 1,115,255
============ =========== ============ =========== ============ ===========
</TABLE>
11
<PAGE> 12
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MONEY MARKET FUND TAX-EXEMPT FUND
-------------------------------- ---------------------------------
YEAR YEAR PERIOD YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
10/31/95 10/31/94 10/31/93* 10/31/95 10/31/94 10/31/93*
-------- -------- --------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net asset value, beginning of period... $ 1.00 $ 1.00 $ 1.00 $ 9.87 $ 10.78 $ 10.00
Income From Investment Operations
Net investment income(c)............. 0.06 0.04 0.03 0.48 0.46 0.44
Net realized and unrealized gains
(losses) on investments............ -- -- -- 0.60 (0.91) 0.78
------- ------ ------ ------- ------- -------
Total from investment
operations.................... 0.06 0.04 0.03 1.08 (0.45) 1.22
------- ------ ------ ------- ------- -------
Less Distributions From
Net investment income................ (0.06) (0.04) (0.03) (0.48) (0.46) (0.44)
Net realized gain on
investments(f)..................... -- -- -- (0.06) -- --
------- ------ ------ ------- ------- -------
Total distributions to
shareholders.................. (0.06) (0.04) (0.03) (0.54) (0.46) (0.44)
------- ------ ------ ------- ------- -------
Net increase (decrease) in net asset
value................................ -- -- -- 0.54 (0.91) 0.78
------- ------ ------ ------- ------- -------
Net asset value, end of period......... $ 1.00 $ 1.00 $ 1.00 $ 10.41 $ 9.87 $ 10.78
======= ====== ====== ======= ======= =======
TOTAL RETURN(A)(B)..................... 5.87 % 3.94% 3.25% 11.32% (4.27)% 12.82%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in
thousands)........................... $24,098 $9,102 $ 4,115 $21,709 $29,464 $29,890
Ratio of net expenses to average net
assets(b)(d)......................... 0.31 % 0.00% 0.00% 0.88% 0.90% 0.88%
Ratio of net investment income to
average net assets(b)(d)............. 5.71 % 4.00% 3.15% 4.64% 4.46% 4.38%
Portfolio turnover rate................ -- -- -- 79.18% 41.74% 0.00%
RATIO INFORMATION ASSUMING NO EXPENSE
REIMBURSEMENT OR OFFSET
Ratio of expenses to average net
assets(b)(e)......................... 1.69 % 3.19% 5.35% 1.54% 1.22% 1.07%
Ratio of net investment income to
average net assets(b)(e)............. 4.33 % 0.81% (2.20)% 3.98% 4.14% 4.19%
</TABLE>
- -------------------------
* From commencement of operations on November 12, 1992.
(a) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period.
(b) The amounts for the period ended October 31, 1993 have been annualized.
(c) For the year ended October 31, 1995, less than $.01 per share of investment
income in the Tax-Exempt Fund is subject to federal taxes. In prior years,
no investment income in the Tax-Exempt Fund was subject to federal taxes.
(d) Computed after giving effect to the Adviser's expense reimbursement, and
after fees paid indirectly for the year ended October 31, 1995.
The accompanying notes to financial statements are an integral part of these
statements.
12
<PAGE> 13
<TABLE>
<CAPTION>
INCOME FUND GROWTH FUND TOTAL RETURN FUND
--------------------------------- --------------------------------- ---------------------------------
YEAR YEAR PERIOD YEAR YEAR PERIOD YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED ENDED
10/31/95 10/31/94 10/31/93* 10/31/95 10/31/94 10/31/93* 10/31/95 10/31/94 10/31/93*
-------- -------- --------- -------- -------- --------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 9.49 $ 10.80 $ 10.00 $ 11.38 $ 11.24 $ 10.00 $ 10.75 $ 11.48 $ 10.00
0.60 0.57 0.57 0.42 0.25 0.23 0.53 0.40 0.43
0.61 (1.24) 0.80 2.43 0.13 1.05 1.82 (0.33) 1.11
-------- -------- --------- -------- -------- --------- -------- -------- ---------
1.21 (0.67) 1.37 2.85 0.38 1.28 2.35 0.07 1.54
-------- -------- --------- -------- -------- --------- -------- -------- ---------
(0.60) (0.57) (0.57) (0.26) (0.24) (0.04) (0.41) (0.44) (0.06)
-- (0.07) -- (0.06) -- -- (0.01) (0.36) --
-------- -------- --------- -------- -------- --------- -------- -------- ---------
(0.60) (0.64) (0.57) (0.32) (0.24) (0.04) (0.42) (0.80) (0.06)
-------- -------- --------- -------- -------- --------- -------- -------- ---------
0.61 (1.31) 0.80 2.53 0.14 1.24 1.93 (0.73) 1.48
-------- -------- --------- -------- -------- --------- -------- -------- ---------
$ 10.10 $ 9.49 $ 10.80 $ 13.91 $ 11.38 $ 11.24 $ 12.68 $ 10.75 $ 11.48
======== ======== ========= ======== ======== ========= ======== ======== =========
13.13% (6.42)% 14.50% 25.83% 3.46% 13.19% 22.72% 0.63% 15.92%
$22,105 $29,439 $30,331 $13,544 $34,968 $31,719 $23,650 $35,814 $32,418
0.97% 0.97% 0.99% 0.23% 0.46% 0.49% 1.16% 1.16% 1.18%
6.01% 5.68% 5.66% 2.60% 2.32% 2.27% 4.22% 3.82% 4.26%
100.91% 141.95% 31.49% 9.10% 2.83% 0.53% 90.23% 50.29% 56.86%
1.66% 1.30% 1.18% 1.57% 0.96% 0.85% 1.79% 1.35% 1.27%
5.32% 5.35% 5.47% 1.26% 1.83% 1.91% 3.59% 3.63% 4.17%
</TABLE>
- -------------------------
(e) For the year ended October 31, 1995, the manner in which total expenses are
calculated changed to exclude expense offsets for custodian fees (i.e., fees
paid indirectly).
(f) For the year ended October 31, 1995, all capital gain distributions were
from long-term capital gains, which are taxed as capital gains to the
shareholder. For the year ended October 31, 1994, all capital gain
distributions were from short-term capital gains, which are taxed as
ordinary income to the shareholder.
13
<PAGE> 14
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1995
NOTE 1 -- ORGANIZATION
Jackson National Capital Management Funds (the "Trust") is a Massachusetts
Business Trust registered as an open-ended diversified management investment
company under the Investment Company Act of 1940. The Trust is comprised of five
separate investment portfolios (the "Funds"): the Money Market Fund, Tax-Exempt
Fund, Income Fund, Growth Fund and Total Return Fund.
The costs associated with the organization of the Trust and certain other
initial period costs have been borne by Jackson National Financial Services,
Inc., the Trust's investment adviser ("Adviser"). The Adviser is a subsidiary of
Jackson National Life Insurance Company ("Jackson National").
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Funds in the preparation of their financial statements.
Security Valuation -- Portfolio securities traded on national exchanges are
valued at the last reported sales prices. Each over-the-counter security for
which the last sale price is available from NASDAQ is valued at that price.
Portfolio securities which are debt instruments are valued based on valuations
supplied by independent pricing services, including services using matrix
pricing formulas and/or independent broker bid quotations. Instruments held by
the Money Market Fund and fixed income securities purchased with remaining
maturities of 60 days or less held by the other Funds are valued on an amortized
cost basis. Otherwise, securities are valued in good faith under the direction
of the Board of Trustees.
Federal Income Taxes -- The Funds' policy is to comply with the
requirements of the Internal Revenue Code which are applicable to regulated
investment companies and to distribute substantially all of their taxable income
to their shareholders. The Funds have paid no federal income or excise taxes and
no federal income or excise tax provision is required.
The percentage of income from the Income Fund, the Growth Fund and the
Total Return Fund which is eligible for the corporate dividend received
deduction, for the year ended October 31, 1995, is 2%, 99% and 28%,
respectively. The percentage of income from the Tax-Exempt Fund which is exempt
from federal income tax, for the year ended October 31, 1995, is 99%. The Income
Fund has $905,740 in net capital losses which expire October 31, 2002 that may
be used to offset capital gains in future years to the extent provided by tax
regulations. For the year ended October 31, 1995, the Income Fund utilized
$84,725 of its net capital loss carryforward.
Distributions to Shareholders -- Net investment income is distributed to
each shareholder as a dividend. Dividends to shareholders are recorded on the
ex-dividend date. Dividends from the Money Market Fund are declared daily and
distributed monthly. Dividends from the Tax-Exempt Fund and Income Fund are
declared and paid monthly. Dividends from the Growth Fund and Total Return Fund
are declared and paid annually, but may be done more frequently to avoid excise
tax. Net realized gains from securities transactions, if any, are distributed at
least annually, after the close of the Fund's fiscal year.
Credit Risk -- The Funds hold investments in variable rate demand notes,
which are unsecured instruments. The Funds may be susceptible to credit risk
with respect to these instruments to the extent the issuer defaults on its
payment obligation. The Funds' policy is to monitor the creditworthiness of the
variable rate demand note issuer and does not anticipate nonperformance on these
instruments.
14
<PAGE> 15
Other -- Investment security transactions are accounted for on trade date.
All discounts and premiums on securities purchased are amortized to expected
maturity. Realized gains or losses on sales are determined on a specific cost
identification basis, or if not specified, on a first-in-first-out basis.
Dividend income is recorded on the ex-dividend date, and interest income is
recorded as earned.
NOTE 3 -- INVESTMENT MANAGEMENT FEES AND TRANSACTIONS WITH AFFILIATES
The Trust has entered into an Investment Management Agreement with the
Adviser for management of each Fund's portfolio and for the administration of
other Trust affairs. As compensation for its services, the Adviser receives a
fee based on the net assets of the Funds as of the close of business on each
valuation day. The adviser fee is computed based on an annual rate of the
average daily net assets of each Fund as follows:
<TABLE>
<S> <C>
Money Market Fund.................... .50%
Tax-Exempt Fund...................... .50%
Income Fund.......................... .60%
Growth Fund.......................... .25%
Total Return Fund.................... .70%
</TABLE>
The Trust has also entered into an Administrative Services Agreement with
the Adviser. Under the agreement, effective June 1, 1994, the Adviser appoints
various broker-dealers and other firms to provide, or itself provides,
information and administrative services to the Funds' shareholders. The
administration fee is computed at an annual rate of .25% of each Fund's average
daily net assets, with the exception of the Money Market Fund, which does not
pay the administration fee.
The Adviser has entered into a Sub-Advisory Agreement with PPM America,
Inc., an affiliate of the Adviser. The sub-advisory fee, which is paid by the
Adviser, is at an annual rate of .035% of each Fund's average daily net assets.
Trustees not affiliated with Jackson National or the Adviser receive a fee
of one thousand dollars for each meeting of the Board of Trustees attended. No
remuneration has been paid by the Trust to any of the officers or affiliated
Trustees. The Trust paid fees of $8,000 to non-affiliated Trustees for the year
ended October 31, 1995.
Each Fund is charged for those expenses that are directly attributable to
it, such as advisory, administration, custodian, accounting services and certain
shareholder service fees, while other expenses that cannot be directly
attributable to a Fund are allocated in equal proportion to each Fund. Each Fund
earns credits on uninvested cash balances. These credits are used to offset
custodian expenses and are not included in the total operating expenses for
purposes of calculating the Adviser expense reimbursements for all Funds. Each
Fund could have invested cash balances in an income producing asset if it had
not agreed to a reduction in custodian expenses under the expense offset
arrangement.
The Adviser reimburses the Funds for annual expenses in excess of the
lowest expense limitation imposed by the states. In addition to this
reimbursement, the Adviser has voluntarily reimbursed the Funds for total
operating expenses (before custodian expense reduction) exceeding the following
percentages of average daily net assets:
<TABLE>
<S> <C>
Money Market Fund................... .50%
Tax-Exempt Fund..................... .90%
Income Fund......................... 1.00%
Growth Fund......................... .25%
Total Return Fund................... 1.20%
</TABLE>
Prior to May 1, 1995, the Adviser reimbursed all expenses in the Money
Market Fund. Prior to October 1, 1994, the expenses that exceeded .50% of
average daily net assets in the Growth Fund were reimbursed by the Adviser.
Voluntary reimbursements to these Funds may be modified or discontinued at any
time by the Adviser.
For the year ended October 31, 1995, the Adviser, who is also the
distributor of the Funds, received sales charges of $18,104; $16,946; $71,151;
and $48,200 on sales of shares of the Tax-Exempt Fund, Income Fund, Growth Fund,
and Total Return Fund, respectively.
15
<PAGE> 16
NOTE 4 -- INVESTMENT TRANSACTIONS
During the year ended October 31, 1995, purchases and sales or maturities
of securities, other than short-term obligations, were as follows (in
thousands):
<TABLE>
<CAPTION>
TAX- TOTAL
EXEMPT INCOME GROWTH RETURN
FUND FUND FUND FUND
------- ------- ------- -------
<S> <C> <C> <C> <C>
Purchases...... $17,748 $21,853 $ 1,889 $22,840
Proceeds from
sales and
maturities... 24,022 26,407 26,062 38,163
</TABLE>
Included in these transactions were purchases and sales of U.S. Government
obligations in the Income Fund of $16,807,266, and $10,606,269, respectively,
and in the Total Return Fund of $12,015,015, and $11,242,689, respectively.
Cost of investments is substantially the same for financial reporting
purposes and federal income tax purposes.
The gross unrealized appreciation and depreciation on investments at
October 31, 1995, were as follows (in thousands):
<TABLE>
<CAPTION>
TAX- TOTAL
EXEMPT INCOME GROWTH RETURN
FUND FUND FUND FUND
------ ------ ------ ------
<S> <C> <C> <C> <C>
Appreciation........ $650 $558 $3,083 $3,051
Depreciation........ (7) (56) (305) (63)
---- ---- ------ ------
Net unrealized
appreciation...... $643 $502 $2,778 $2,988
==== ==== ====== ======
</TABLE>
NOTE 5 -- TRUST TRANSACTIONS
Transactions in trust shares were as follows (in thousands):
<TABLE>
<CAPTION>
MONEY TAX- TOTAL
MARKET EXEMPT INCOME GROWTH RETURN
FUND FUND FUND FUND FUND
------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
For year ended
October 31, 1995:
Shares purchased..... 41,295 66 61 234 162
Income dividends
reinvested......... 1,105 107 143 73 132
Capital gain
distributions
reinvested......... 0 19 0 17 2
Shares redeemed...... (27,404)(1,092) (1,119)(2,423) (1,763)
------- ----- ------ ----- ------
Net increase
(decrease) of trust
shares............. 14,996 (900) (915)(2,099) (1,467)
======= ===== ====== ===== ======
</TABLE>
<TABLE>
<CAPTION>
MONEY TAX- TOTAL
MARKET EXEMPT INCOME GROWTH RETURN
FUND FUND FUND FUND FUND
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
For year ended October
31, 1994:
Shares purchased....... 9,912 148 183 264 371
Income dividends
reinvested........... 234 127 168 61 117
Capital gain
distributions
reinvested........... 0 0 18 1 97
Shares redeemed........ (5,159) (61) (74) (75) (76)
------ --- --- --- ---
Net increase of trust
shares............... 4,987 214 295 251 509
===== === === === ===
</TABLE>
In February 1995, Jackson National redeemed approximately 2,100,000;
1,040,000; 1,047,000; and 1,630,000 shares in the Money Market Fund, Tax-Exempt
Fund, Income Fund and Total Return Fund, respectively. In March 1995, Jackson
National redeemed approximately 2,277,000 shares of the Growth Fund. Jackson
National continues to have ownership of more than 25% of the outstanding shares
of the Tax-Exempt Fund, Income Fund, Growth Fund and Total Return Fund.
16
<PAGE> 17
JACKSON NATIONAL MONEY MARKET FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
COMMERCIAL PAPER -- 100%
CAPTIVE FINANCE COMPANIES -- 20.01%
American Express Credit 5.70%,
11/17/1995.................... $300,000 $ 299,240
American Express Credit 5.70%,
12/29/1995.................... 650,000 644,031
Chrysler Financial Corporation
5.75%, 11/03/1995............. 350,000 349,888
Chrysler Financial Corporation
5.70%, 11/07/1995............. 700,000 699,335
Ford Motor Credit Corporation
5.67%, 11/22/1995............. 450,000 448,512
Ford Motor Credit Corporation
5.69%, 01/12/1995............. 500,000 494,310
General Motors Acceptance
Corporation
5.67%, 11/16/1995............. 710,000 708,323
General Motors Acceptance
Corporation
5.60%, 12/18/1995............. 235,000 233,282
J.C. Penney Funding Corporation
5.73%, 11/06/1995............. 815,000 814,351
J.C. Penney Funding Corporation
5.72%, 12/08/1995............. 150,000 149,118
-----------
Subtotal.................... 4,840,390
COMPUTERS & TECHNOLOGY -- 6.48%
Hewlett-Packard Company 5.60%,
12/21/1995.................... 875,000 868,194
IBM Corporation
5.75%, 11/15/1995............. 700,000 698,435
-----------
Subtotal.................... 1,566,629
CONSUMER FINANCE -- 12.90%
American General Finance
Corporation
5.72%, 11/27/1995............. 115,000 114,525
American General Finance
Corporation
5.69%, 12/15/1995............. 280,000 278,053
American General Finance
Corporation
5.70%, 01/29/1996............. 545,000 537,320
Beneficial Corporation 5.72%,
12/06/1995.................... 435,000 432,581
Household Finance Corporation
5.73%, 11/30/1995............. 165,000 164,238
Household Finance Corporation
5.70%, 12/04/1995............. 800,000 795,820
Norwest Financial, Inc. 5.70%,
11/29/1995.................... 800,000 796,453
-----------
Subtotal.................... 3,118,990
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
CONSUMER PRODUCTS -- 13.27%
Coca-Cola Company 5.70%,
01/11/1996.................... 400,000 395,503
ConAgra, Inc.
5.78%, 11/10/1995............. 475,000 474,314
Hasbro, Inc.
5.60%, 12/18/1995............. 700,000 694,882
Hasbro, Inc.
5.69%, 12/20/1995............. 250,000 248,064
H.J. Heinz Company 5.78%,
11/01/1995.................... 125,000 125,000
H.J. Heinz Company 5.73%,
11/14/1995.................... 800,000 798,345
Tyson Foods, Inc.
5.85%, 11/27/1995............. 475,000 472,993
-----------
Subtotal.................... 3,209,101
ELECTRIC UTILITIES -- .58%
Florida Power Corporation 5.73%,
11/14/1995.................... 140,000 139,710
ENERGY -- 7.58%
Chevron Oil Finance Company
5.70%, 11/29/1995............. 735,000 731,741
Consolidated Natural Gas Company
5.72%, 11/01/1995............. 297,000 297,000
Consolidated Natural Gas Company
5.72%, 11/02/1995............. 500,000 499,921
Dresser Industries, Inc. 5.72%,
11/06/1995.................... 305,000 304,758
-----------
Subtotal.................... 1,833,420
HEALTH CARE -- 4.84%
A.H. Robins Company, Inc. 5.72%,
01/16/1996.................... 325,000 321,075
Allergan, Inc.
5.66%, 12/05/1995............. 250,000 248,664
American Home Products 5.75%,
11/02/1995.................... 600,000 599,904
-----------
Subtotal.................... 1,169,643
INDEPENDENT FINANCE COMPANIES -- 11.04%
Associates Corporation 5.68%,
12/22/1995.................... 885,000 877,879
CIT Group Holding, Inc. 5.73%,
11/13/1995.................... 505,000 504,035
CIT Group Holding, Inc. 5.73%,
12/14/1995.................... 525,000 521,407
General Electric Capital
Corporation
5.70%, 11/20/1995............. 505,000 503,481
</TABLE>
17
<PAGE> 18
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
COMMERCIAL PAPER (CONTINUED)
- ----------------------------
General Electric Capital
Corporation
5.69%, 11/27/1995............. 265,000 263,911
-----------
Subtotal.................... 2,670,713
INSURANCE -- 3.82%
USAA Capital Corporation 5.67%,
12/19/1995.................... 930,000 922,969
MORTGAGE BANKING -- 3.93%
Countrywide Funding Corporation
5.77%, 12/07/1995............. 450,000 447,404
Countrywide Funding Corporation
5.77%, 12/08/1995............. 505,000 502,005
-----------
Subtotal.................... 949,409
RETAIL -- 2.37%
Wal-Mart Corporation 5.72%,
11/21/1995.................... 575,000 573,173
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
TELECOMMUNICATIONS -- 13.18%
AT&T Corporation
5.65%, 11/21/1995............. 265,000 264,168
AT&T Corporation
5.65%, 11/22/1995............. 210,000 209,308
BellSouth Telecommunications,
Inc. 5.72%, 11/13/1995........ 930,000 928,227
GTE Northwest, Inc. 5.73%,
11/09/1995.................... 900,000 898,854
GTE Corporation
5.78%, 11/28/1995............. 225,000 224,025
GTE Corporation
5.79%, 11/28/1995............. 365,000 363,415
US West Communications, Inc.
5.75%, 11/08/1995............. 300,000 299,664
-----------
Subtotal.................... 3,187,661
-----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(amortized cost
$24,181,808)................ $24,181,808
===========
</TABLE>
The accompanying notes to financial statements are an integral part of this
schedule.
18
<PAGE> 19
JACKSON NATIONAL TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
MUNICIPAL BONDS -- 99.53%
- -------------------------
ARIZONA -- 2.59%
Arizona State Transportation Board
Highway Revenue
4.70%, 07/01/2005............... $ 350,000 $ 345,912
Salt River Project AZ Electric
Systems Revenue
5.20%, 01/01/2002............... 200,000 206,910
-----------
Subtotal...................... 552,822
COLORADO -- 1.25%
Aurora CO
4.75%, 11/01/2014............... 300,000 266,868
CONNECTICUT -- 1.96%
Connecticut State Housing
Financing Authority 6.70%,
11/15/2012...................... 400,000 419,304
FLORIDA -- 5.32%
Florida State
5.125%, 07/01/2017.............. 300,000 279,372
Florida State Board Education
Capital Outlay 5.00%,
06/01/2015...................... 500,000 461,215
Jacksonville FL Electric Authority
Revenue 5.20%, 10/01/2009....... 400,000 396,080
-----------
Subtotal...................... 1,136,667
GEORGIA -- 4.49%
DeKalb County GA Water & Sewer
Revenue 5.125%, 10/01/2014...... 400,000 377,988
Georgia State Series D
6.80%, 08/01/2006............... 500,000 580,880
-----------
Subtotal...................... 958,868
ILLINOIS -- 8.56%
Chicago IL Metropolitan Water
5.40%, 12/01/2006............... 400,000.. 413,128
Chicago IL Public Building Revenue
5.80%, 01/01/2013(a)............ 250,000 252,098
Chicago IL Wastewater Transmission
Revenue 5.375%, 01/01/2013(a)... 500,000 488,730
Illinois Health Facilities
Authority Revenue 6.00%,
02/15/2019...................... 250,000 240,285
Illinois State Sales Tax Revenue
Series M 6.80%, 06/15/2009...... 400,000 434,168
-----------
Subtotal...................... 1,828,409
INDIANA -- 3.65%
Indiana State Office Building
Commission Correctional
Facilities Revenue 6.375%,
07/01/2016...................... 350,000 361,452
Indianapolis IN Transportation
Revenue 6.00%, 07/01/2010....... 405,000 418,458
-----------
Subtotal...................... 779,910
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
KENTUCKY -- 2.41%
Kentucky State Turnpike Authority
Economic Development Revenue
5.375%, 01/01/2000.............. 500,000 515,655
MARYLAND -- 5.92%
Maryland State Department of
Transportation 6.25%,
09/01/2003...................... 350,000 377,783
University of Maryland System
Auxiliary Facility & Tuition
Revenue 6.30%, 02/01/2008....... 365,000 392,094
Washington Suburban Sanitation
District Maryland
3.75%, 06/01/1998............... 500,000 494,750
-----------
Subtotal...................... 1,264,627
MASSACHUSETTS -- 6.57%
Boston MA Revenue
5.75%, 02/15/2013(b)............ 330,000 330,884
Massachusetts State Convention
Center Authority Hynes
Convention Center 5.90%,
09/01/1998...................... 400,000 416,984
Massachusetts State Health &
Educational Facilities Authority
Revenue 5.60%, 11/01/2014....... 250,000 253,053
Massachusetts State Water
Pollution Abatement Treatment
5.70%, 02/01/2014............... 400,000 402,936
-----------
Subtotal...................... 1,403,857
MICHIGAN -- 1.89%
Michigan State Building Authority
Revenue 5.625%, 10/01/2010...... 400,000 402,904
MINNESOTA -- 2.92%
Minneapolis & St. Paul MN Housing
& Redevelopment Authority &
Health Care Systems 5.00%,
11/15/2013(c)................... 300,000 277,473
Rochester MN Health Care
5.75%, 11/15/2021............... 350,000 345,615
-----------
Subtotal...................... 623,088
MISSOURI -- 2.02%
Missouri State Environmental
Improvement & Energy Resource
Authority 6.45%, 07/01/2008..... 400,000 432,336
NEBRASKA -- 1.41%
Lincoln NE Electric Systems
Revenue 5.25%, 09/01/2015....... 320,000 301,910
NEW JERSEY -- 4.51%
New Jersey Building Authority
State Building Revenue
5.00%, 06/15/2010(b)............ 500,000 486,325
</TABLE>
19
<PAGE> 20
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
MUNICIPAL BONDS (CONTINUED)
- ----------------------------------
New Jersey Sports & Exposition
5.20%, 01/01/2020............... 510,000 477,992
-----------
Subtotal...................... 964,317
NEW YORK -- 6.30%
New York State Dormatory Authority
Revenue 5.70%, 07/01/2011(b).... 450,000 463,149
New York State Urban Development
5.375%, 01/01/2012(b)........... 500,000 492,270
Triborough Bridge & Tunnel
Authority 5.05%, 01/01/2017..... 400,000 390,684
-----------
Subtotal...................... 1,346,103
NORTH CAROLINA -- 1.85%
Mecklenburg County NC
5.00%, 04/01/2009............... 400,000 395,364
OHIO -- 4.60%
Columbus OH Water System Revenue
6.10%, 11/01/2003............... 415,000 453,408
Ohio State Public Facilities
Commission 5.75%,
11/01/2006(c)................... 500,000 529,140
-----------
Subtotal...................... 982,548
PENNSYLVANIA -- 4.32%
Pennsylvania Housing and Finance
Authority 5.55%,
07/01/2007(d)................... 400,000 401,300
Pennsylvania State University
5.40%, 08/15/2004............... 500,000 520,905
-----------
Subtotal...................... 922,205
SOUTH CAROLINA -- 2.09%
Columbia SC Waterworks and Sewer
System Revenue
6.50%, 02/01/2002............... 405,000 446,120
TEXAS -- 8.89%
Dallas TX Waterworks & Sewer
5.90%, 10/01/1999............... 300,000 316,650
Harris County TX
5.125%, 10/01/2013.............. 380,000 361,175
Lower Colorado River Authority TX
Revenue 5.25%, 01/01/2015....... 300,000 279,723
San Antonio TX Electric & Gas
5.00%, 02/01/2014............... 225,000 207,736
Tarrant County TX Health
Facilities Development
Corporation Health System
Revenue
6.40%, 09/01/1998(a)............ 500,000 527,805
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
TEXAS (CONTINUED)
University Texas University
Revenue 6.10%, 08/15/1997....... 200,000 206,956
-----------
Subtotal...................... 1,900,045
UTAH -- .89%
Intermountain Power Agency UT
Power Supply Revenue
5.25%, 07/01/2014............... 200,000 190,166
VIRGINIA -- 2.72%
Virginia State Transportation
Board Transportation Contract
Revenue 5.25%, 05/15/2012....... 600,000 581,928
WASHINGTON -- 8.58%
Seattle WA Water System Revenue
5.50%, 06/01/2018............... 410,000 394,104
South Columbia Basin Revenue
6.00%, 12/01/2003............... 440,000 478,698
Washington State
6.50%, 05/01/2004............... 400,000 447,304
Washington State Public Power
Supply System Nuclear Project
5.45%, 07/01/2000............... 500,000 513,620
-----------
1,833,726
WISCONSIN -- 3.82%
Wisconsin State 6.25%,
05/01/2012...................... 400,000 434,536
Wisconsin State Transportation
Revenue 4.75%, 07/01/2012....... 425,000 381,263
-----------
Subtotal 815,799
-----------
Total Municipal Bonds
(cost $20,622,121).......... 21,265,546
-----------
SHORT TERM INVESTMENTS -- .47%
- ----------------------------------
VARIABLE RATE DEMAND NOTES -- .47%
Ohio State Water Development
Authority Revenue 11/01/2015.... 100,000 100,000
-----------
Total Short Term Investments
(cost $100,000)............. 100,000
-----------
Total Investments -- 100%
(cost $20,722,121).............. $21,365,546
==========
</TABLE>
- -------------------------
(a) Insured by Financial Guarantee Insurance Company.
(b) Insured by MBIA Insurance Corporation.
(c) Insured by AMBAC Indemnity Corporation.
(d) Insured by Federal National Mortgage Association.
The accompanying notes to financial statements are an integral part of this
schedule.
20
<PAGE> 21
JACKSON NATIONAL INCOME FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1995
<TABLE>
<CAPTION>
SHARES
OR PRINCIPAL MARKET
AMOUNT VALUE
------------ -----------
<S> <C> <C>
PREFERRED STOCKS -- 1.29%
- -------------------------
ENERGY -- 1.29%
Atlantic Richfield Company
9.00% Convertible......... 12,445 $ 280,013
-----------
Total Preferred Stocks
(cost $335,293)....... 280,013
-----------
CORPORATE OBLIGATIONS -- 17.80%
- -------------------------------
AEROSPACE & DEFENSE -- 1.03%
Northrop Grumman Corporation
8.625%, 10/15/2004........ $ 200,000 223,156
CAPITAL GOODS & MANUFACTURING -- 1.42%
Case Corporation 7.25%,
08/01/2005................ 300,000 307,065
CHEMICALS -- 2.08%
Occidental Petroleum
Corporation 8.75%,
01/15/2023................ 200,000 229,162
Union Carbide Corporation
8.75%, 08/01/2022......... 200,000 221,080
-----------
Subtotal................ 450,242
CONSUMER PRODUCTS -- .93%
Joseph Seagram & Sons 7.00%,
04/15/2008................ 200,000 201,248
DOMESTIC BANKS -- .97%
Nationsbank Corporation
7.75%, 08/15/2015......... 200,000 209,894
ENERGY -- 3.64%
Phillips Petroleum Company
8.86%, 05/15/2022......... 200,000 221,044
Vastar Resources, Inc.
8.75%, 02/01/2005......... 250,000 280,788
Western Atlas, Inc. 8.55%,
06/15/2024................ 250,000 287,820
-----------
Subtotal................ 789,652
FOREIGN GOVERNMENT -- .68%
Quebec Province 7.50%,
07/15/2023................ 150,000 148,665
<CAPTION>
SHARES
OR PRINCIPAL MARKET
AMOUNT VALUE
------------ -----------
<S> <C> <C>
INDEPENDENT FINANCE COMPANIES -- 2.34%
Associates Corporation
North America 8.625%,
11/15/2004................ 200,000 227,440
Household Finance
Corporation 9.00%,
09/28/2001................ 250,000 279,715
-----------
Subtotal................ 507,155
INSURANCE -- 1.03%
American Reinsurance
Corporation 10.875%,
09/15/2004................ 200,000 222,752
MEDIA -- .53%
Tele-Communications, Inc.
9.80%, 02/01/2012......... 100,000 114,556
METALS & MINING -- 2.12%
ASARCO, Inc. 7.875%,
04/15/2013................ 200,000 205,142
WMC Finance Limited USA
7.25%, 11/15/2013......... 250,000 253,623
-----------
Subtotal................ 458,765
PAPER & FOREST PRODUCTS -- 1.03%
Georgia-Pacific Corporation
9.50%, 05/15/2022......... 200,000 223,190
-----------
Total Corporate
Obligations (cost
$3,616,502)........... 3,856,340
-----------
U.S. GOVERNMENT SECURITIES -- 80.91%
- ------------------------------------
U.S. TREASURY BONDS --
16.37%
U.S. Treasury Bond 11.125%,
08/15/2003................ 185,000 243,245
U.S. Treasury Bond 10.625%,
08/15/2015................ 250,000 368,945
U.S. Treasury Bond 7.25%,
05/15/2016................ 200,000 218,938
U.S. Treasury Bond 8.125%,
08/15/2019................ 215,000 258,806
U.S. Treasury Bond 8.50%,
02/15/2020................ 1,500,000 1,875,240
U.S. Treasury Bond 7.625%,
02/15/2025................ 500,000 580,470
-----------
Subtotal................ 3,545,644
</TABLE>
21
<PAGE> 22
<TABLE>
<CAPTION>
SHARES
OR PRINCIPAL MARKET
AMOUNT VALUE
------------ -----------
<S> <C> <C>
U.S. GOVERNMENT SECURITIES
(CONTINUED)
- --------------------------
U.S. TREASURY NOTES --
64.54%
U.S. Treasury Note 7.375%,
05/15/1996................ 1,350,000 1,362,447
U.S. Treasury Note 7.50%,
12/31/1996................ 750,000 765,585
U.S. Treasury Note 6.75%,
05/31/1997................ 2,300,000 2,337,743
U.S. Treasury Note 6.00%,
11/30/1997................ 200,000 201,468
U.S. Treasury Note 5.625%,
01/31/1998................ 1,200,000 1,198,872
U.S. Treasury Note 6.125%,
05/15/1998................ 735,000 742,695
U.S. Treasury Note 5.125%,
11/30/1998................ 1,200,000 1,180,128
U.S. Treasury Note 6.75%,
06/30/1999................ 1,880,000 1,939,634
U.S. Treasury Note 6.25%,
05/31/2000................ 500,000 508,515
<CAPTION>
SHARES
OR PRINCIPAL MARKET
AMOUNT VALUE
------------ -----------
<S> <C> <C>
U.S. TREASURY NOTES (CONTINUED)
U.S. Treasury Note 8.50%,
11/15/2000................ 1,150,000 1,282,606
U.S. Treasury Note 6.375%,
08/15/2002................ 1,300,000 1,333,514
U.S. Treasury Note 7.875%,
11/15/2004................ 450,000 507,163
U.S. Treasury Note 6.50%,
05/15/2005................ 600,000 621,000
-----------
Subtotal................ 13,981,370
-----------
Total U.S. Government Securities
(cost $17,209,981)................... 17,527,014
-----------
TOTAL INVESTMENTS -- 100%
- ----------------------------
(cost $21,161,776)........ $21,663,367
==========
</TABLE>
The accompanying notes to financial statements are an integral part of this
schedule.
22
<PAGE> 23
JACKSON NATIONAL GROWTH FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1995
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
PREFERRED STOCKS -- 0.00%
DIVERSIFIED -- 0.00%
Teledyne, Inc. Series E.............. 2 $ 29
-----------
Total Preferred Stock
(cost $0)........................ 29
-----------
WARRANTS -- 0.00%
ENGINEERING -- 0.00%
Emcor Group, Inc. Warrant-Z.......... 2 --
-----------
Total Warrants
(cost $0)........................ --
-----------
COMMON STOCKS -- 100%
AEROSPACE & DEFENSE -- 2.66%
Allied-Signal, Inc. ................. 871 37,017
Applied Materials, Inc. (a).......... 600 30,075
Boeing Company....................... 1,046 68,644
EG&G, Inc............................ 155 2,887
General Dynamics Corporation......... 182 10,078
Lockheed Martin Corporation.......... 612 41,692
Loral Corporation.................... 540 15,998
McDonnell Douglas Corporation........ 339 27,713
Northrop Grumman Corporation......... 139 7,958
Raytheon Company..................... 712 31,061
Rockwell International Corporation... 700 31,150
Textron, Inc......................... 253 17,394
United Technologies Corporation...... 356 31,595
Western Atlas, Inc. (a).............. 149 6,537
-----------
Subtotal......................... 359,799
APPAREL & TEXTILES -- 0.41%
Fruit of the Loom, Inc. -- Class A
(a)................................ 200 3,475
Liz Claiborne, Inc................... 220 6,243
NIKE, Inc. -- Class B................ 418 23,721
Reebok International, Ltd............ 234 7,956
Russell Corporation -- Class A....... 113 2,797
Springs Industries, Inc.............. 50 2,144
V.F. Corporation..................... 187 8,953
-----------
Subtotal......................... 55,289
AUTOMOTIVE -- 2.49%
Chrysler Corporation................. 1,200 61,950
Cooper Tire & Rubber Company......... 236 5,457
Dana Corporation..................... 400 10,250
Echlin, Inc.......................... 167 5,970
Ford Motor Company................... 3,300 94,875
General Motors Corporation........... 2,350 102,813
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
AUTOMOTIVE (CONTINUED)
Genuine Parts Company................ 400 15,850
Goodyear Tire & Rubber Company....... 500 19,000
Pep Boys-Manny, Moe & Jack........... 173 3,784
Snap-On, Inc......................... 121 5,127
TRW, Inc............................. 185 12,164
-----------
Subtotal......................... 337,240
BROKERAGE -- 0.49%
Merrill Lynch & Company, Inc. ....... 544 30.192
Morgan Stanley Group, Inc............ 250 21,750
Salomon, Inc. ....................... 400 14,450
-----------
Subtotal......................... 66,392
CAPITAL GOODS & MANUFACTURING --
5.74%
AMP, Inc............................. 700 27,475
Ball Corporation..................... 84 2,320
Briggs & Stratton Corporation........ 82 3,311
Browning-Ferris Industries, Inc...... 672 19,572
Caterpillar, Inc..................... 650 36,481
Cincinnati Milacron, Inc............. 95 2,446
Cooper Industries, Inc............... 310 10,463
Corning, Inc......................... 800 20,900
Crane Company........................ 85 3,007
Cummins Engine Company, Inc.......... 117 4,110
Deere & Company...................... 247 22,076
Dover Corporation.................... 326 12,877
Eaton Corporation.................... 225 11,531
Emerson Electric Company............. 700 49,875
Fluor Corporation.................... 239 13,503
FMC Corporation (a).................. 103 7,377
Foster Wheeler Corporation........... 101 3,788
General Electric Company............. 5,300 335,225
General Signal Corporation........... 133 4,239
Giddings & Lewis, Inc................ 97 1,564
Grainger (W.W.), Inc................. 145 9,062
Harnischfeger Industries, Inc........ 130 4,095
Honeywell, Inc....................... 369 15,498
Illinois Tool Works, Inc............. 400 23,250
Ingersoll-Rand Company............... 301 10,648
Johnson Controls, Inc................ 115 6,699
Laidlaw, Inc. -- Class B............. 849 7,641
Morrison Knudsen Corporation......... 93 605
NACCO Industries, Inc. -- Class A.... 25 1,431
Navistar International Corporation
(a)................................ 212 2,173
Ogden Corporation.................... 137 3,117
PACCAR, Inc.......................... 110 4,592
Pall Corporation..................... 335 8,166
Parker-Hannifin Corporation.......... 207 6,986
</TABLE>
23
<PAGE> 24
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
CAPITAL GOODS & MANUFACTURING
(CONTINUED)
Raychem Corporation.................. 122 5,658
Safety-Kleen Corporation............. 163 2,506
Thomas & Betts Corporation........... 55 3,554
Timken Company....................... 88 3,542
Trinova Corporation.................. 81 2,278
Varity Corporation (a)............... 124 4,495
Westinghouse Electric Corporation.... 1,200 16,950
WMX Technologies, Inc................ 1,500 42,188
Zurn Industries, Inc................. 35 875
-----------
Subtotal......................... 778,149
CHEMICALS -- 3.01%
Air Products & Chemicals, Inc........ 323 16,675
Avery Dennison Corporation........... 155 6,936
B.F. Goodrich Company................ 73 4,809
Dow Chemical Company................. 900 61,762
Du Pont (E.I.) De Nemours &
Company............................ 1,700 106,038
Eastman Chemical Company............. 236 14,042
Ecolab, Inc.......................... 191 5,539
Grace (W.R.) & Company............... 268 14,941
Great Lakes Chemical Corporation..... 195 13,089
Hercules, Inc........................ 339 18,094
Mallinckrodt Group, Inc.............. 216 7,506
Millipore Corporation................ 140 4,953
Monsanto Company..................... 335 35,091
Morton International, Inc............ 500 15,250
Nalco Chemical Company............... 192 5,760
PPG Industries, Inc.................. 700 29,750
Praxair, Inc......................... 500 13,500
Rohm & Haas Company.................. 193 10,663
Sigma-Aldrich Corporation............ 141 6,698
Union Carbide Corporation............ 424 16,059
-----------
Subtotal......................... 407,155
COMPUTERS & TECHNOLOGY -- 10.83%
Advanced Micro Devices, Inc.......... 311 7,425
Amdahl Corporation (a)............... 400 3,700
Andrew Corporation (a)............... 108 4,563
Apple Computer, Inc.................. 400 14,525
Autodesk, Inc........................ 133 4,522
Automatic Data Processing, Inc....... 500 35,750
Cabletron Systems (a)................ 200 15,725
Ceridian Corporation (a)............. 127 5,524
Cisco Systems, Inc. (a).............. 900 69,750
COMPAQ Computer Corporation (a)...... 860 47,945
Computer Associates International,
Inc................................ 750 41,250
Computer Sciences Corporation (a).... 155 10,366
Cray Research, Inc. (a).............. 72 1,494
Data General Corporation (a)......... 102 1,173
Digital Equipment Corporation (a).... 500 27,063
DSC Communications Corporation (a)... 400 14,800
First Data Corporation............... 700 46,288
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMPUTERS & TECHNOLOGY (CONTINUED)
Harris Corporation................... 111 6,452
Hewlett-Packard Company.............. 1,572 145,606
Intel Corporation.................... 2,550 178,181
Intergraph Corporation (a)........... 126 1,528
International Business Machines
Corporation........................ 1,793 174,369
Micron Technology, Inc............... 650 45,906
Microsoft Corporation (a)............ 1,800 180,000
Motorola, Inc........................ 1,900 124,688
National Semiconductor
Corporation (a).................... 358 8,726
Novell, Inc. (a)..................... 1,122 18,513
Oracle Systems Corporation (a)....... 1,400 61,075
Perkin-Elmer Corporation............. 120 4,215
Pitney Bowes, Inc.................... 450 19,631
Scientific-Atlanta, Inc.............. 214 2,648
Silicon Graphics Corporation (a)..... 520 17,290
Sun Microsystems, Inc. (a)........... 271 21,138
Tandem Computers, Inc. (a)........... 400 4,500
Tektronix, Inc....................... 86 5,096
Texas Instruments, Inc............... 600 40,950
Unisys Corporation (a)............... 600 3,375
Xerox Corporation.................... 400 51,900
-----------
Subtotal......................... 1,467,650
CONSUMER PRODUCTS -- 12.83%
Alberto-Culver Company -- Class B.... 80 2,510
American Brands, Inc................. 581 24,910
American Greetings Corporation --
Class A............................ 210 6,615
Anheuser-Busch Companies, Inc........ 800 52,800
Archer-Daniels-Midland Company....... 1,667 26,880
Avon Products, Inc................... 199 14,154
Bausch & Lomb, Inc................... 167 5,782
Black & Decker Corporation........... 245 8,299
Brown Group, Inc..................... 51 701
Brown-Forman Corporation -- Class
B.................................. 195 7,434
Campbell Soup Company................ 800 41,900
Clorox Company....................... 153 10,978
Coca-Cola Company.................... 3,950 283,906
Colgate-Palmolive Company............ 500 34,625
ConAgra, Inc......................... 800 30,900
Coors (Adolph) Company -- Class B.... 108 1,931
CPC International, Inc............... 500 33,188
CUC International, Inc. (a).......... 600 20,775
Dial Corporation..................... 300 7,313
Eastman Kodak Company................ 1,043 65,319
General Mills, Inc................... 600 34,425
Gillette Company..................... 1,358 65,693
H.J. Heinz Company................... 800 37,200
Hershey Foods Corporation............ 248 14,818
International Flavors & Fragrances,
Inc................................ 400 19,300
Jostens, Inc......................... 128 2,896
</TABLE>
24
<PAGE> 25
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
CONSUMER PRODUCTS (CONTINUED)
Kellogg Company...................... 700 50,575
National Service Industries, Inc..... 139 4,135
Newell Company....................... 500 12,063
Pepsico, Inc......................... 2,500 131,875
Philip Morris Companies, Inc......... 2,600 219,700
Pioneer Hi-Bred International,
Inc................................ 243 12,059
Polaroid Corporation................. 130 5,557
Premark International, Inc........... 182 8,417
Proctor & Gamble Company............. 2,150 174,150
Quaker Oats Company.................. 500 17,063
Ralston-Ralston Purina Group......... 400 23,750
Rubbermaid, Inc...................... 550 14,369
Sara Lee Corporation................. 1,500 44,062
Seagram Company, Ltd................. 1,142 41,112
Service Corporation International.... 300 12,038
Sherwin-Williams Company............. 244 9,180
Unilever N.V......................... 500 65,500
UST, Inc............................. 579 17,370
Wrigley (W.M.) Jr. Company........... 400 18,600
Zenith Electronics Corporation (a)... 125 1,047
-----------
Subtotal......................... 1,737,874
DIVERSIFIED -- 1.45%
Alco Standard Corporation............ 156 13,806
ITT Corporation...................... 400 49,000
Loews Corporation.................... 200 29,325
Minnesota Mining & Manufacturing
Company............................ 1,300 73,938
Teledyne, Inc........................ 156 3,880
Tyco International, Ltd.............. 300 18,225
Whitman Corporation.................. 400 8,500
-----------
Subtotal......................... 196,674
DOMESTIC BANKS -- 6.64%
Ahmanson (H.F.) & Company............ 400 10,000
Banc One Corporation................. 1,200 40,500
Bank of Boston Corporation........... 494 21,983
Bank of New York Company, Inc........ 700 29,400
BankAmerica Corporation.............. 1,179 67,792
Bankers Trust New York Corporation... 222 14,153
Barnett Banks, Inc................... 277 15,304
Boatmen's Bancshares, Inc............ 368 13,984
Chase Manhattan Corporation.......... 517 29,469
Chemical Banking Corporation......... 800 45,500
Citicorp............................. 1,235 80,121
Corestates Financial Corporation..... 417 15,168
First Bank System, Inc............... 425 21,144
First Chicago Corporation............ 262 17,783
First Fidelity Bancorporation........ 233 15,232
First Interstate Bancorp............. 228 29,412
First Union Corporation.............. 508 25,210
Fleet Financial Group, Inc........... 500 19,375
Golden West Financial Corporation.... 171 8,571
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
DOMESTIC BANKS (CONTINUED)
Great Western Financial
Corporation........................ 603 13,643
KeyCorp.............................. 800 27,000
MBNA Corporation..................... 500 18,438
Mellon Bank Corporation.............. 500 25,062
Morgan (J.P.) & Company.............. 600 46,275
National City Corporation............ 429 13,245
Nationsbank Corporation.............. 850 55,888
NBD Bancorp, Inc..................... 500 19,000
Norwest Corporation.................. 1,000 29,500
PNC Bank Corporation................. 750 19,688
Republic New York Corporation........ 160 9,380
Shawmut National Corporation......... 450 15,244
Suntrust Banks, Inc.................. 337 21,736
U.S. Bancorp, Inc.................... 278 8,236
Wachovia Corporation................. 600 26,475
Wells Fargo & Company................ 149 31,309
-----------
Subtotal......................... 900,220
ELECTRIC UTILITIES -- 3.94%
American Electric Power Company,
Inc................................ 600 22,875
Baltimore Gas & Electric Company..... 500 13,375
Carolina Power & Light Company....... 500 16,375
Central & Southwest Corporation...... 700 18,725
Cinergy Corporation.................. 500 14,188
Consolidated Edison Company of
New York, Inc...................... 800 24,300
Detroit Edison Company............... 500 16,875
Dominion Resources, Inc.............. 600 23,850
Duke Power Company................... 809 36,203
Entergy Corporation.................. 698 19,893
FPL Group, Inc....................... 700 29,313
General Public Utilities
Corporation........................ 400 12,500
Houston Industries, Inc.............. 400 18,550
Niagara Mohawk Power Corporation..... 500 5,375
Northern States Power Company........ 189 8,930
Ohio Edison Company.................. 500 11,438
Pacific Gas & Electric Company....... 1,400 41,125
Pacificorp........................... 900 16,988
PECO Energy Company.................. 740 21,645
Public Service Enterprise Group,
Inc................................ 800 23,500
SCE Corporation...................... 1,400 23,800
Southern Company..................... 2,100 50,137
Texas Utilities Company.............. 800 29,400
Unicom Corporation................... 720 23,580
Union Electric Company............... 291 11,349
-----------
Subtotal......................... 534,289
ENERGY -- 9.68%
Amerada Hess Corporation............. 265 11,958
Amoco Corporation.................... 1,533 97,920
Ashland, Inc......................... 230 7,274
Atlantic Richfield Company........... 500 53,375
Baker Hughes, Inc.................... 500 9,813
</TABLE>
25
<PAGE> 26
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
ENERGY (CONTINUED)
Burlington Resources, Inc............ 400 14,400
Chevron Corporation.................. 2,050 95,837
Coastal Corporation.................. 299 9,680
Columbia Gas System, Inc. (a)........ 143 5,506
Consolidated Natural Gas Company..... 265 10,070
Dresser Industries, Inc.............. 600 12,450
Eastern Enterprises.................. 58 1,733
Enron Corporation.................... 800 27,500
ENSERCH Corporation.................. 189 2,740
Exxon Corporation.................... 3,900 297,863
Halliburton Company.................. 400 16,600
Helmerich & Payne, Inc............... 70 1,811
Kerr-McGee Corporation............... 146 8,048
Louisiana Land & Exploration......... 94 3,325
McDermott International, Inc......... 152 2,413
Mobil Corporation.................... 1,200 120,900
Nicor, Inc........................... 147 3,951
NorAm Energy Corporation............. 400 3,100
Occidental Petroleum Corporation..... 972 20,898
ONEOK, Inc........................... 75 1,828
Oryx Energy Company.................. 400 4,600
Pacific Enterprises.................. 300 7,425
Panhandle Eastern Corporation........ 500 12,625
Pennzoil Company..................... 130 4,908
Peoples Energy Corporation........... 98 2,817
Phillips Petroleum Company........... 860 27,735
Rowan Companies, Inc. (a)............ 238 1,577
Royal Dutch Petroleum Company........ 1,700 208,888
Santa Fe Energy Resources, Inc....... 254 2,254
Schlumberger, Ltd.................... 800 49,800
Sonat, Inc........................... 246 7,072
Sun Company, Inc..................... 210 6,011
Tenneco, Inc......................... 544 23,868
Texaco, Inc.......................... 900 61,313
The Williams Companies, Inc.......... 310 11,974
Unocal Corporation................... 800 21,000
USX Corporation -- Marathon Group.... 920 16,330
-----------
Subtotal......................... 1,311,190
HEALTHCARE -- 10.19%
Abbott Laboratories.................. 2,500 99,375
Allergan, Inc........................ 179 5,258
ALZA Corporation (a)................. 300 6,600
American Home Products Corporation... 944 83,662
Amgen, Inc. (a)...................... 850 40,800
Bard (C.R.), Inc..................... 147 4,153
Baxter International, Inc............ 900 34,763
Becton, Dickinson & Company.......... 192 12,480
Beverly Enterprises, Inc. (a)........ 300 3,525
Biomet, Inc. (a)..................... 335 5,569
Boston Scientific Corporation (a).... 500 21,062
Bristol-Myers Squibb Company......... 1,573 119,941
Columbia/HCA Healthcare
Corporation........................ 1,380 67,793
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
HEALTHCARE (CONTINUED)
Community Psychiatric Centers........ 123 1,338
Eli Lilly & Company.................. 950 91,794
Johnson & Johnson.................... 2,000 163,000
Manor Care, Inc...................... 176 5,764
Medtronic, Inc....................... 700 40,425
Merck & Company , Inc................ 3,850 221,375
Pfizer, Inc.......................... 2,000 114,750
Schering-Plough Corporation.......... 1,200 64,350
Shared Medical Systems Corporation... 65 2,511
St. Jude Medical, Inc................ 131 6,976
Tenet Healthcare Corporation (a)..... 700 12,512
U.S. Healthcare, Inc................. 600 23,100
U.S. Surgical Corporation............ 160 3,920
United HealthCare Corporation........ 600 31,875
Upjohn Company....................... 1,050 53,288
Warner-Lambert Company............... 450 38,306
-----------
Subtotal......................... 1,380,265
HOSPITALITY -- .93%
Hilton Hotels Corporation............ 139 9,313
Luby's Cafeterias, Inc............... 72 1,494
Marriott International, Inc.......... 400 14,750
McDonald's Corporation............... 2,200 90,200
Ryan's Family Steak House, Inc.
(a)................................ 151 1,170
Shoney's, Inc. (a)................... 116 1,291
Wendy's International, Inc........... 400 7,950
-----------
Subtotal......................... 126,168
HOUSING RELATED -- 1.00%
Armstrong World Industries, Inc...... 106 6,294
Centex Corporation................... 85 2,784
Fleetwood Enterprises, Inc........... 130 2,665
Home Depot, Inc...................... 1,500 55,875
Kaufman & Broad Home Corporation..... 91 1,058
Lowe's Companies, Inc................ 600 16,200
Masco Corporation.................... 500 14,062
Maytag Corporation................... 400 7,600
Owens-Corning Fiberglas
Corporation (a).................... 200 8,475
Pulte Corporation.................... 78 2,467
Stanley Works........................ 126 6,016
Whirlpool Corporation................ 218 11,554
-----------
Subtotal......................... 135,050
INDEPENDENT FINANCE COMPANIES --
2.42%
American Express Company............. 1,600 65,000
Beneficial Corporation............... 148 7,252
Dean Witter Discover & Company....... 600 29,850
Federal Home Loan Mortgage
Corporation........................ 600 41,550
Federal National Mortgage
Association........................ 888 93,129
H&R Block, Inc....................... 302 12,457
Household International, Inc......... 275 15,469
Transamerica Corporation............. 200 13,550
</TABLE>
26
<PAGE> 27
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
INDEPENDENT FINANCE COMPANIES (CONTINUED)
Transport Holdings, Inc. -- Class A
(a)................................ 4 157
Travelers Group, Inc................. 979 49,440
-----------
Subtotal......................... 327,854
INSURANCE -- 3.08%
Aetna Life & Casualty Company........ 400 28,150
Alexander & Alexander Services,
Inc................................ 124 2,774
Allstate Corporation................. 1,400 51,450
American General Corporation......... 700 23,013
American International Group, Inc.... 1,530 129,094
Chubb Corporation.................... 249 22,379
CIGNA Corporation.................... 206 20,420
General Re Corporation............... 236 34,190
Jefferson - Pilot Corporation........ 137 9,042
Lincoln National Corporation......... 360 16,065
Marsh & McLennan Companies, Inc...... 213 17,439
Providian Corporation................ 280 10,990
SAFECO Corporation................... 182 11,682
St. Paul Companies, Inc.............. 240 12,180
Torchmark Corporation................ 202 8,383
UNUM Corporation..................... 207 10,893
USF&G Corporation.................... 360 6,030
USLIFE Corporation................... 96 2,736
-----------
Subtotal......................... 416,910
LEISURE & ENTERTAINMENT -- 1.01%
Bally Entertainment Corporation
(a)................................ 132 1,452
Brunswick Corporation................ 300 5,850
Disney (Walt) Company................ 1,595 91,912
Handleman Company.................... 95 736
Harrah's Entertainment Inc. (a)...... 292 7,227
Hasbro, Inc.......................... 253 7,717
Mattel, Inc.......................... 700 20,125
Outboard Marine Corporation.......... 56 1,162
-----------
Subtotal......................... 136,181
MEDIA -- 2.80%
Capital Cities/ABC, Inc.............. 444 52,669
CBS, Inc............................. 175 14,131
Comcast Corporation Special -- Class
A.................................. 800 14,300
Donnelley (R.R.) & Sons Company...... 500 18,250
Dow Jones & Company, Inc............. 280 9,870
Dun & Bradstreet Corporation......... 600 35,850
Gannett Company, Inc................. 500 27,188
Harcourt General, Inc................ 225 8,916
Harland (J.H.) Company............... 86 1,784
Interpublic Group.................... 222 8,603
King World Productions, Inc. (a)..... 104 3,627
Knight-Ridder, Inc................... 151 8,381
McGraw-Hill, Inc..................... 142 11,626
Meredith Corporation................. 78 2,788
New York Times Company -- Class A.... 281 7,798
Tele-Communications, Inc. --
Class A (a)........................ 2,000 34,000
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
MEDIA (CONTINUED)
Time Warner, Inc..................... 1,164 42,486
Times Mirror Company -- Class A...... 363 10,527
Tribune Company...................... 191 12,057
Viacom, Inc. -- Class B (a).......... 1,102 55,100
-----------
Subtotal......................... 379,951
METALS & MINING -- 1.73%
Alcan Aluminium, Ltd................. 700 22,137
Aluminum Company of America.......... 600 30,600
Armco, Inc. (a)...................... 400 2,450
ASARCO, Inc.......................... 119 3,838
Barrick Gold Corporation............. 1,109 25,646
Bethlehem Steel Corporation (a)...... 400 5,250
Crown Cork & Seal Company, Inc.
(a)................................ 255 8,893
Cyprus Amax Minerals Company......... 261 6,819
Echo Bay Mines, Ltd.................. 400 3,600
Englehard Corporation................ 500 12,437
Freeport-McMoran Copper-B............ 700 15,925
Homestake Mining Company............. 450 6,919
Inco, Ltd............................ 400 13,750
Inland Steel Industries, Inc......... 125 2,922
Newmont Mining Corporation........... 246 9,286
Nucor Corporation.................... 249 11,983
Phelps Dodge Corporation............. 202 12,802
Placer Dome, Inc..................... 800 17,500
Reynolds Metals Company.............. 179 9,017
USX Corporation -- U.S. Steel
Group.............................. 300 8,963
Worthington Industries, Inc.......... 256 4,256
-----------
Subtotal......................... 234,993
PAPER & FOREST PRODUCTS -- 1.91%
Bemis Company, Inc................... 144 3,744
Boise Cascade Corporation............ 132 4,785
Champion International Corporation... 300 16,050
Deluxe Corporation................... 233 6,262
Federal Paper Board Company, Inc..... 200 8,400
Georgia-Pacific Corporation.......... 261 21,533
International Paper Company.......... 800 29,600
James River Corporation.............. 230 7,389
Kimberly-Clark Corporation........... 500 36,312
Louisiana-Pacific Corporation........ 320 7,640
Mead Corporation..................... 168 9,681
Moore Corporation, Ltd............... 350 6,694
Potlatch Corporation................. 82 3,454
Scott Paper Company.................. 500 26,625
Stone Container Corporation.......... 300 4,950
Temple-Inland, Inc................... 159 7,234
Union Camp Corporation............... 200 10,175
Westvaco Corporation................. 291 8,075
Weyerhaeuser Company................. 650 28,681
Willamette Industries, Inc........... 200 11,600
-----------
Subtotal......................... 258,884
</TABLE>
27
<PAGE> 28
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
RESTAURANTS -- 0.04%
Darden Restaurants, Inc.............. 500 5,688
RETAIL -- 4.13%
Albertson's, Inc..................... 900 29,925
American Stores Company.............. 500 14,937
Charming Shoppes, Inc................ 290 834
Circuit City Stores, Inc............. 300 10,013
Dayton Hudson Corporation............ 207 14,231
Dillard Department Stores, Inc. --
Class A............................ 326 8,843
Fleming Companies, Inc............... 105 2,376
Gap (The), Inc....................... 500 19,687
Giant Food, Inc. -- Class A.......... 167 5,365
Great Atlantic & Pacific Tea Co.,
Inc................................ 108 2,187
Kmart Corporation.................... 1,400 11,375
Kroger Company (a)................... 400 13,350
Limited, Inc......................... 1,094 20,102
Longs Drug Stores Corporation........ 58 2,320
May Department Stores Company........ 800 31,400
Melville Corporation................. 301 9,632
Mercantile Stores Company, Inc....... 104 4,667
Nordstrom, Inc....................... 237 8,784
Penney (J.C.) Company, Inc........... 800 33,700
Price/Costco, Inc. (a)............... 600 10,200
Rite Aid Corporation................. 238 6,426
Sears, Roebuck and Company........... 1,200 40,800
Stride Rite Corporation.............. 140 1,575
Supervalu, Inc....................... 202 6,212
Sysco Corporation.................... 600 18,225
Tandy Corporation.................... 210 10,369
TJX Companies, Inc................... 207 2,794
Toys 'R' Us, Inc. (a)................ 920 20,125
Wal-Mart Stores, Inc................. 7,150 154,619
Walgreen Company..................... 800 22,800
Winn-Dixie Stores, Inc............... 215 13,975
Woolworth Corporation................ 500 7,313
-----------
Subtotal......................... 559,161
TELECOMMUNICATIONS -- 8.92%
Airtouch Communications, Inc. (a).... 1,600 45,600
TELECOMMUNICATIONS (CONTINUED)
Alltel Corporation................... 600 18,375
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
Ameritech Corporation................ 1,690 91,260
AT&T Corporation..................... 4,900 313,600
Bell Atlantic Corporation............ 1,360 86,530
BellSouth Corporation................ 1,531 117,122
GTE Corporation...................... 3,000 123,750
MCI Communications Corporation....... 2,150 53,616
Northern Telecom, Ltd................ 776 27,936
NYNEX Corporation.................... 1,317 61,899
Pacific Telesis Group................ 1,300 39,487
SBC Communications Inc............... 1,900 106,163
Sprint Corporation................... 1,068 41,118
Tellabs, Inc. (a).................... 300 10,200
U.S. West, Inc....................... 1,500 71,437
-----------
Subtotal......................... 1,208,093
TRANSPORTATION -- 1.67%
AMR Corporation (a).................. 217 14,322
Burlington Northern Santa Fe, Inc.... 460 38,582
Conrail, Inc......................... 225 15,469
Consolidated Freightways, Inc........ 121 2,813
CSX Corporation...................... 302 25,292
Delta Air Lines, Inc................. 144 9,450
Federal Express Corporation (a)...... 160 13,140
Norfolk Southern Corporation......... 388 29,973
Pittston Services Group.............. 118 3,245
Roadway Services, Inc................ 114 5,101
Ryder System, Inc.................... 222 5,355
Santa Fe Pacific Gold Corporation.... 450 4,443
Southwest Airlines Company........... 500 10,000
Union Pacific Corporation............ 700 45,762
USAir Group, Inc. (a)................ 171 2,329
Yellow Corporation................... 79 1,037
-----------
Subtotal......................... 226,313
-----------
Total Common Stocks
(cost $10,769,062)............... 13,547,432
-----------
TOTAL INVESTMENTS -- 100%
(cost $10,769,062)................. $13,547,461
===========
</TABLE>
- -------------------------
(a) Non-income producing.
The accompanying notes to financial statements are an integral part of this
schedule.
28
<PAGE> 29
JACKSON NATIONAL TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1995
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS -- 55.39%
- -----------------------
AEROSPACE & DEFENSE -- 4.36%
Lockheed Martin Corporation...... 3,900 $ 265,688
Raytheon Company................. 6,400 279,200
Rockwell International
Corporation.................... 4,100 182,450
United Technologies
Corporation.................... 3,200 284,000
-----------
Subtotal..................... 1,011,338
APPAREL & TEXTILES -- 1.70%
NIKE, Inc. -- Class B............ 2,500 141,875
V.F. Corporation................. 5,300 253,738
-----------
Subtotal..................... 395,613
AUTOMOTIVE -- 1.52%
Ford Motor Company............... 3,900 112,125
General Motors Corporation....... 5,500 240,625
-----------
Subtotal..................... 352,750
CAPITAL GOODS & MANUFACTURING -- 0.84%
General Electric Company......... 3,100 196,075
CHEMICALS -- 1.91%
Grace (W.R.) & Company........... 3,700 206,275
PPG Industries, Inc.............. 5,600 238,000
-----------
Subtotal..................... 444,275
COMPUTER & TECHNOLOGY -- 2.19%
Harris Corporation............... 4,300 249,937
Xerox Corporation................ 2,000 259,500
-----------
Subtotal..................... 509,437
CONSUMER PRODUCTS -- 5.57%
RJR Nabisco Holdings
Corporation.................... 8,500 261,375
American Brands, Inc............. 4,500 192,937
Anheuser-Busch Companies, Inc.... 3,100 204,600
Dial Corporation................. 7,400 180,375
Philip Morris Companies, Inc..... 3,200 270,400
Polaroid Corporation............. 4,300 183,825
-----------
Subtotal..................... 1,293,512
DIVERSIFIED -- 1.06%
ITT Corporation.................. 2,000 245,000
DOMESTIC BANKS -- 5.11%
BankAmerica Corporation.......... 3,800 218,500
Boatmen's Bancshares, Inc........ 5,200 197,600
Chemical Banking Corporation..... 4,200 238,875
KeyCorp.......................... 7,400 249,750
Mellon Bank Corporation.......... 5,600 280,700
-----------
Subtotal..................... 1,185,425
ELECTRIC UTILITIES -- 4.42%
General Public Utilities
Corporation.................... 8,700 271,875
Ohio Edison Company.............. 11,500 263,063
PECO Energy Company.............. 9,900 289,575
Texas Utilities Company.......... 5,500 202,125
-----------
Subtotal..................... 1,026,638
ENERGY -- 4.59%
Ashland, Inc..................... 8,000 253,000
Chevron Corporation.............. 5,300 247,775
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
<S> <C> <C>
ENERGY (CONTINUED)
Exxon Corporation................ 4,000 305,500
Texaco, Inc...................... 3,800 258,875
-----------
Subtotal..................... 1,065,150
HEALTHCARE -- 6.22%
Baxter International, Inc........ 5,400 208,575
Bristol-Myers Squibb Company..... 3,300 251,625
Columbia/HCA Healthcare
Corporation.................... 4,600 225,975
Lilly (Eli) & Company............ 2,200 212,575
U.S. Healthcare, Inc............. 7,700 296,450
Upjohn Company................... 4,900 248,675
-----------
Subtotal..................... 1,443,875
INDEPENDENT FINANCE COMPANIES -- 3.21%
Beneficial Corporation........... 4,800 235,200
Student Loan Marketing
Association.................... 4,400 259,050
Transamerica Corporation......... 3,700 250,675
-----------
Subtotal..................... 744,925
INSURANCE -- 2.16%
American General Corporation..... 7,400 243,275
CIGNA Corporation................ 2,600 257,725
-----------
Subtotal..................... 501,000
LEISURE & ENTERTAINMENT -- 0.14%
Hasbro, Inc...................... 1,100 33,550
METALS & MINING -- 1.12%
Phelps Dodge Corporation......... 4,100 259,837
RETAIL -- 3.60%
Dayton Hudson Corporation........ 3,400 233,750
Federated Department Stores,
Inc.(a)........................ 8,500 215,688
Melville Corporation............. 5,000 160,000
Penney (J.C.) Company, Inc....... 5,400 227,475
-----------
Subtotal..................... 836,913
TELECOMMUNICATIONS -- 3.21%
BellSouth Corporation............ 2,700 206,550
Sprint Corporation............... 7,200 277,200
U.S. West, Inc................... 5,500 261,937
-----------
Subtotal..................... 745,687
TRANSPORTATION -- 2.46%
Burlington Northern Santa Fe,
Inc............................ 3,500 293,563
CSX Corporation.................. 3,300 276,375
-----------
Subtotal..................... 569,938
-----------
Total Common Stocks
(cost $10,014,255)......... 12,860,938
-----------
CORPORATE OBLIGATIONS -- 9.49%
- ------------------------------
APPAREL & TEXTILES -- 1.24%
CMI Industries, Inc. 9.50%,
10/01/2003..................... $ 100,000 89,000
Day International Group 11.125%,
06/01/2005 (144A).............. 100,000 102,000
Hartmarx Corporation 10.875%,
01/15/2002..................... 100,000 98,000
-----------
Subtotal..................... 289,000
</TABLE>
29
<PAGE> 30
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
<S> <C> <C>
CORPORATE OBLIGATIONS (CONTINUED)
- ---------------------------------
CAPITAL GOODS
& MANUFACTURING -- 0.44%
Case Corporation
7.25%, 08/01/2005.............. 100,000 102,355
CONSUMER PRODUCTS -- 1.29%
Coty, Inc. 10.25%, 05/01/2005.... 100,000 106,250
Joseph Seagram & Sons 7.00%,
04/15/2008..................... 100,000 100,624
Specialty Foods Company 11.125%,
10/01/2002..................... 100,000 93,750
-----------
Subtotal..................... 300,624
DOMESTIC BANKS -- 0.45%
Nationsbank Corporation 7.75%,
08/15/2015..................... 100,000 104,947
FOREIGN GOVERNMENTS -- 0.43%
Quebec Province 7.50%,
07/15/2023..................... 100,000 99,110
HEALTHCARE -- 0.49%
Lilly (Eli) & Company 8.375%,
12/01/2006..................... 100,000 113,949
HOTEL & GAMING -- 0.47%
Showboat, Inc. 13.00%,
08/01/2009..................... 100,000 110,000
HOUSING RELATED -- 0.48%
Schuller International Group,
Inc. 10.875%, 12/15/2004....... 100,000 111,125
INDEPENDENT FINANCE
COMPANIES -- 0.49%
Associated Corporation N.A.
8.625%, 11/15/2004............. 100,000 113,720
INSURANCE -- 0.48%
American Reinsurance Corporation
10.875% 09/15/2004............. 100,000 111,376
MEDIA -- 0.90%
Continental Cablevision, Inc.
8.875%, 09/15/2005............. 100,000 104,500
TCI Communications, Inc. 8.00%,
08/01/2005..................... 100,000 103,384
-----------
Subtotal..................... 207,884
METALS & MINING -- 1.42%
AK Steel Corporation 10.75%,
04/01/2004..................... 100,000 109,000
UCAR Global Enterprises, Inc.
12.00%, 01/15/2005............. 105,000 118,256
WMC Finance Limited USA 7.25%,
11/15/2013..................... 100,000 101,449
-----------
Subtotal..................... 328,705
PAPER & FOREST PRODUCTS -- 0.91%
Rainy River Forest Products, Inc.
10.75%, 10/15/2001............. 100,000 109,500
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
<S> <C> <C>
PAPER & FOREST PRODUCTS (CONTINUED)
Repap New Brunswick, Inc.
10.625%, 04/15/2005............ 100,000 102,000
-----------
Subtotal..................... 211,500
-----------
Total Corporate Obligations
(cost $2,153,165).......... 2,204,295
-----------
U.S. GOVERNMENT SECURITIES -- 34.26%
- ------------------------------------
U.S. TREASURY BONDS -- 10.23%
U.S. Treasury Bond
7.25%, 08/15/2004.............. 625,000 676,756
U.S. Treasury Strip Bond
0.00% to 11/15/2009;
11.75% to 11/15/2014........... 150,000 60,986
U.S. Treasury Strip Bond
0.00%, 02/15/2015.............. 300,000 98,451
U.S. Treasury Bond
9.00%, 11/15/2018.............. 650,000 848,958
U.S. Treasury Strip Bond
0.00%, 08/15/2021.............. 250,000 46,325
U.S. Treasury Bond
8.00%, 11/15/2021.............. 300,000 358,593
U.S. Treasury Bond
7.50%, 11/15/2024.............. 250,000 285,625
-----------
Subtotal..................... 2,375,694
U.S. TREASURY NOTES -- 24.03%
U.S. Treasury Note
8.00%, 10/15/1996.............. 1,100,000 1,123,892
U.S. Treasury Strip Note
0.00%, 11/15/1997.............. 200,000 178,532
U.S. Treasury Note
8.875%, 11/15/1997............. 850,000 902,063
U.S. Treasury Note
9.00%, 05/15/1998.............. 900,000 969,606
U.S. Treasury Note
5.875%, 08/15/1998............. 200,000 200,938
U.S. Treasury Note
6.875%, 07/31/1999............. 1,100,000 1,139,699
U.S. Treasury Note
8.00%, 05/15/2001.............. 700,000 770,434
U.S. Treasury Strip Note
0.00%, 02/15/2003.............. 450,000 292,895
-----------
Subtotal..................... 5,578,059
-----------
Total U.S. Government
Securities (cost
$7,863,311)................ 7,953,753
-----------
SHORT TERM INVESTMENTS -- 0.86%
- -------------------------------
COMMERCIAL PAPER -- 0.86%
General Electric Capital
Corporation
5.60%, 11/03/1995.............. 200,000 199,938
-----------
Total Short Term Investments
(cost $199,938)............ 199,938
-----------
TOTAL INVESTMENTS -- 100%
- ---------------------------------
(cost $20,230,669)............. $23,218,924
===========
</TABLE>
- -------------------------
(a) Non-income producing.
The accompanying notes to financial statements are an integral part of this
schedule.
30
<PAGE> 31
JNCMF SERVICES FOR SHAREHOLDERS
Receive up-to-date account information on your balance, last transaction,
recent Fund distribution and other services. You may also process transactions
such as purchases, redemptions and exchanges using a touch-pad telephone, as
well as receive quotes on price yield and total return of your Jackson National
Fund. Call toll free 800/258-1585.
- - EASY ACCESS TO INFORMATION ON YOUR ACCOUNT. Information about your JNCMF
account is available 24 hours a day by calling 800/258-1585. To speak
with a Mutual Fund representative about your account, call toll
free 800/888-FUND (888-3863) between 8:00 a.m. and 5:00 p.m. CST.
- - EXCHANGE PRIVILEGE. You may move your money among funds in the Jackson
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gives you the added ability to move your money any time of day, any day of
the week. JNCMF offers a variety of funds with different investment
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- - AUTOMATIC MONTHLY INVESTMENT PLAN. You may purchase additional shares by
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please call toll free at 800/888-FUND.
JNCMF is committed to providing you with quality service responsive to your
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This report was prepared primarily for the Fund's Shareholders. Its use for
other purposes is authorized only when it is preceded or accompanied by the
delivery of a current prospectus showing the sales charge and other important
information about the Fund.
<PAGE> 32
FUND -
Jackson National Capital Management Funds
JACKSON NATIONAL FAMILY OF FUNDS
Managed by:
Jackson National Financial Services, Inc.
Distributed by:
Jackson National Financial Services, Inc.
MONEY MARKET FUND SEEKS:
Income consistent with preservation of capital and maintenance of liquidity by
investing in high-quality, short-term money market instruments.
TAX-EXEMPT FUND SEEKS:
Income exempt from Federal Income Tax consistent with preservation of capital
by investing in a diversified portfolio of Municipal obligations, the interest
from which is exempt from Federal Income Taxes.
INCOME FUND SEEKS:
Income consistent with preservation of capital by investing primarily in
investment-grade debt securities.
GROWTH FUND SEEKS:
Income and growth by investing in a statistically selected sample of the 500
stocks in the Standard & Poor's 500 Composite Stock Price Index.
TOTAL RETURN FUND SEEKS:
A combination of income and capital appreciation consistent with reasonable
risk by investing in stocks, bonds and money market instruments.
For more complete information about the
Jackson National Family of Funds,
including all charges and expenses, call your
Registered Representative or our toll free number:
800/USE-JNLI
800/888-FUND (800/888-3863)
[JACKSON NATIONAL LOGO]
JACKSON NATIONAL
CAPITAL MANAGEMENT FUNDS
Annual
Report
October 31, 1995
[JACKSON NATIONAL LOGO]
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
P.O. Box 419102
Kansas City, MO 64141-6102
M2279 Rev. 12/95
