<PAGE> 1
- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
JOHN KNUTSON PHOTO
JOHN KNUTSON
PRESIDENT AND CHAIRMAN OF THE
BOARD
Dear Shareholder:
We are pleased to report on the operations of
the Jackson National Capital Management Funds
for the six month period ended April 30, 1996.
The following discussion provides you with
information regarding each Fund's performance
during that period. The performance quoted
reflects the reinvestment of dividends and/or
distributions and is impacted by the ongoing
expenses of the Fund. The "total return" and
"cumulative total return" do not reflect the
deduction of a sales charge, while the
"average annual total return" reflects the
deduction of the maximum sales charge of
4.75%. For the period ended April 30, 1996,
the investment adviser reimbursed all expenses
associated with each Fund in excess of the
following amounts, respectively: Money Market
Fund - .50%; Tax-Exempt Fund - .90%; Income
Fund - 1.00%; Growth Fund -.25% and Total
Return Fund - 1.20%. The indices cited
represent unmanaged groups of securities or
bonds differing from the composition of the
Jackson National Capital Management Funds. The
performance quoted indicates 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.
During the six month period ended April 30,
1996, economic news revealed much stronger
economic activity than many had forecast. The
level of housing starts for the first quarter
of 1996 was the highest since 1994. Existing
home sales increased in March. Retail sales
rose during the six months; however, the
increase was slightly weaker than expected.
Industrial production generally increased
until March, when it decreased in response to
a strike at General Motors. Throughout the
period, the stock market continued to be
relatively expensive in terms of traditional
valuation characteristics.
Interest rates fell during the three months ended January 31, 1996, and the
Federal Reserve reduced its Federal Funds rate in December and January. Interest
rates began to rise in February and continued to rise through April 30, 1996.
JACKSON NATIONAL MONEY MARKET FUND
During the six months ended April 30, 1996, the average days to maturity of the
investments held by the Money Market Fund was slightly lower than the average
days to maturity as reflected by the IBC/Donoghue Average. The IBC/Donoghue
Average is a widely used indicator of money market mutual fund trends. The Fund
targeted a somewhat shorter average in order to benefit from market conditions
in which shorter-maturing commercial paper provided higher interest rates than
longer-maturing commercial paper.
<PAGE> 2
- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
The Fund's performance was positively impacted by the shorter average days to
maturity of the investments it held. The Fund outperformed the IBC/Donoghue
Average during this period. On April 30, 1996 the Fund's 7-Day Yield was 4.90%,
while the IBC/Donoghue Average 7-Day Yield was 4.68%.
The Fund's yield will vary, and past performance is no guarantee of future
results. An investment in the 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 value of $1.00 per share.
JACKSON NATIONAL TAX-EXEMPT FUND
For the six-month period ended April 30, 1996, the Tax-Exempt Fund's total
return was 0.64%. During the first three months of the period, the Fund
maintained a relatively neutral stance in duration relative to the Lehman
Brothers Municipal Bond Index. In anticipation of rising interest rates, the
sub-adviser shortened the Fund's duration relative to the Index in January.
For the one year period ended April 30, 1996, the Fund's cumulative total return
was 6.44% and its average annual total return was 1.40%. The Fund's average
annual total return for the period from its inception on November 12, 1992 to
April 30, 1996 was 4.09%.
The Fund's cumulative total return for the period from November 30, 1992 to
April 30, 1996 was 20.62%. The Fund slightly underperformed the Lehman Brothers
Municipal Bond Index, which returned 24.47% for this same period. The Lehman
Brothers Municipal Bond Index is a broad-based, unmanaged index of tax-exempt
state and local government and industrial revenue bonds.
The Fund invests in tax-exempt securities. Income produced by these securities
is primarily free from federal income tax, but may be subject to Alternative
Minimum Tax and may be subject to state and local taxes. The Fund passes the
interest produced by its holdings through to its shareholders as monthly
distributions. Distributions may also include net taxable capital gains from the
sale of securities.
JACKSON NATIONAL INCOME FUND
For the six-month period ended April 30, 1996, the Income Fund's total return
was 0.08%. The Fund invested mainly in securities rated A or higher by a
nationally recognized statistical ratings organization. The Fund's duration was
slightly lower than the duration of the Lehman Brothers Aggregate Bond Index for
most of the period.
For the one year period ended April 30, 1996, the Fund's cumulative total return
was 6.96% and its average annual total return was 1.90%. The Fund's average
annual total return for the period from its inception on November 12, 1992 to
April 30, 1996 was 4.14%.
The Fund's cumulative total return for the period from November 30, 1992 to
April 30, 1996 was 21.68%. The Fund slightly underperformed the Lehman Brothers
Aggregate Bond Index, which returned 25.80% for this same period. 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.
JACKSON NATIONAL GROWTH FUND
For the six-month period ended April 30, 1996, the Growth Fund's total return
was 13.59%. The Fund's portfolio was managed to nearly replicate the Standard &
Poor's 500 Composite Stock Price Index (S&P 500 Index). The Fund held all stocks
tracked by the S&P 500 Index in approximately the same proportion as the stocks
were represented in the Index.
2
<PAGE> 3
- --------------------------------------------------------------------------------
LETTER TO SHAREHOLDERS
- --------------------------------------------------------------------------------
For the one year period ended April 30, 1996, the Fund's cumulative total return
was 29.83% and its average annual total return was 23.70%. The Fund's average
annual total return for the period from its inception on November 12, 1992 to
April 30, 1996 was 14.28%.
The Fund's cumulative total return for the period from November 30, 1992 to
April 30, 1996 was 63.36%. The Fund's performance closely tracked that of the
S&P 500 Index, which returned 65.63% for this same period; the underperformance
was due to the deduction of fees and expenses charged by the Fund. The S&P 500
Index is a broad-based, unmanaged index and is a widely used indicator of stock
market trends.
JACKSON NATIONAL TOTAL RETURN FUND
For the six-month period ended April 30, 1996, the Total Return Fund's total
return was 9.61%. The Fund invests in both equity securities and fixed income
securities. In the Fund's equity portfolio, the sub-adviser emphasized sectors
and securities which offered above average dividend yields at attractive
valuations. The Fund's bond portfolio was split between high yield corporate
bonds, investment grade corporate bonds, U.S. Treasury bonds and, during 1996,
mortgage-backed bonds. The sub-adviser shortened the duration of the bond
portfolio in January in response to the prospect of rising interest rates.
For the one year period ended April 30, 1996, the Fund's cumulative total return
was 22.78% and its average annual total return was 16.90%. The Fund's average
annual total return for the period from its inception on November 12, 1992 to
April 30, 1996 was 12.14%.
The Fund's cumulative total return for the period from November 30, 1992 to
April 30, 1996 was 54.11%. The Fund underperformed the S&P 500 Index, which
returned 65.63% for this same period, and outperformed the Lehman Brothers
Aggregate Bond Index, which returned 25.80%. The S&P 500 Index is a broad-based,
unmanaged index and is a widely used indicator of stock market trends and 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.
IN CLOSING
As President of your Fund, I would like to thank you for your continued
confidence in our products and services. We strive to provide successful
investment vehicles for your financial goals. If you have any questions about
the Jackson National Capital Management Funds or your account, please call us
toll-free at 800/888-FUND (800/888-3863).
Respectfully,
/s/ John A. Knutson Signature
John A. Knutson
President and Chairman
3
<PAGE> 4
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 1996
(UNAUDITED)
<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
cost.............................. $22,092,348 $20,837,481 $21,737,763 $12,643,994 $22,646,167
=========== =========== =========== =========== ===========
Investments in securities, at
value............................. $22,092,348 $21,007,391 $21,508,548 $17,092,098 $26,321,510
Cash................................ 4,389 169,012 53,264 53,114 75,510
Receivables:
Dividends and interest............ -- 381,996 414,523 21,730 208,500
Fund shares sold.................. 261,113 268 -- 7,879 28,678
Investment securities sold........ -- 406,860 97,256 -- 203,125
Prepaid expenses.................... 11,448 11,783 11,786 11,680 11,902
----------- ----------- ----------- ----------- -----------
Total assets................. 22,369,298 21,977,310 22,085,377 17,186,501 26,849,225
=========== =========== =========== =========== ===========
LIABILITIES
Payables:
Dividends to shareholders......... 3,041 706 1,465 -- --
Fund shares redeemed.............. 222,368 -- 13,000 13,857 12,000
Investment securities purchased... -- 381,724 100,000 31,171 344,622
Accrued expenses and other
liabilities....................... 49,688 37,470 38,238 41,537 42,794
----------- ----------- ----------- ----------- -----------
Total liabilities............ 275,097 419,900 152,703 86,565 399,416
----------- ----------- ----------- ----------- -----------
NET ASSETS............................ $22,094,201 $21,557,410 $21,932,674 $17,099,936 $26,449,809
=========== =========== =========== =========== ===========
NET ASSETS CONSIST OF
Paid-in capital..................... $22,094,201 $21,256,160 $22,921,337 $12,483,372 $21,328,475
Undistributed net investment
income............................ -- 577 293 99,130 306,298
Accumulated net realized gains
(losses) on investments........... -- 130,763 (759,741) 69,330 1,139,693
Net unrealized appreciation
(depreciation) on investments..... -- 169,910 (229,215) 4,448,104 3,675,343
----------- ----------- ----------- ----------- -----------
Net assets................... $22,094,201 $21,557,410 $21,932,674 $17,099,936 $26,449,809
=========== =========== =========== =========== ===========
SHARES OF BENEFICIAL INTEREST
OUTSTANDING (UNLIMITED NUMBER OF
SHARES AUTHORIZED).................. 22,094,201 2,111,241 2,228,909 1,416,980 2,116,356
=========== =========== =========== =========== ===========
NET ASSET VALUE AND REDEMPTION PRICE
PER SHARE........................... $1.00 $10.21 $9.84 $12.07 $12.50
=========== =========== =========== =========== ===========
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 $10.72 $10.33 $12.67 $13.12
=========== =========== =========== =========== ===========
</TABLE>
See notes to unaudited financial statements.
4
<PAGE> 5
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED APRIL 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
MONEY TAX- TOTAL
MARKET EXEMPT INCOME GROWTH RETURN
FUND FUND FUND FUND FUND
--------- --------- --------- ---------- ----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends.................................. $ -- $ -- $ 13,861 $ 172,589 $ 217,132
Interest................................... 629,418 583,652 696,440 -- 376,419
Foreign tax withholding.................... -- -- -- (313) --
--------- --------- --------- ---------- ----------
Total investment income.................. 629,418 583,652 710,301 172,276 593,551
--------- --------- --------- ---------- ----------
EXPENSES
Administrative service fees................ -- 27,467 27,869 19,208 31,554
Adviser fees............................... 56,125 54,934 66,885 19,208 88,351
Custodian fees............................. 7,564 1,795 3,895 8,021 7,934
Portfolio accounting fees.................. 20,885 20,885 20,885 20,885 20,885
Professional fees.......................... 14,464 14,464 14,464 14,464 14,464
Regulatory fees............................ 12,254 11,553 11,540 11,640 11,548
Transfer agency fees....................... 59,931 43,411 42,821 43,528 48,102
Trustee fees............................... 795 795 795 795 795
Other...................................... 3,122 1,931 2,130 6,491 3,204
--------- --------- --------- ---------- ----------
Total expenses........................... 175,140 177,235 191,284 144,240 226,837
--------- --------- --------- ---------- ----------
Less:
Reimbursement from Adviser............. (119,014) (79,126) (79,806) (125,279) (75,542)
Fees paid indirectly................... (198) (1,900) (898) (1,129) (1,172)
--------- --------- --------- ---------- ----------
Net expenses................................. 55,928 96,209 110,580 17,832 150,123
--------- --------- --------- ---------- ----------
NET INVESTMENT INCOME........................ 573,490 487,443 599,721 154,444 443,428
--------- --------- --------- ---------- ----------
REALIZED AND UNREALIZED GAINS (LOSSES) ON
INVESTMENTS
Net realized gains on investments.......... -- 130,742 145,845 93,190 1,140,547
Net change in unrealized appreciation
(depreciation) on investments............ -- (473,515) (730,806) 1,669,705 687,088
--------- --------- --------- ---------- ----------
NET REALIZED AND UNREALIZED GAINS (LOSSES) ON
INVESTMENTS................................ -- (342,773) (584,961) 1,762,895 1,827,635
--------- --------- --------- ---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS................................. $ 573,490 $ 144,670 $ 14,760 $1,917,339 $2,271,063
========= ========= ========= ========== ==========
</TABLE>
See notes to unaudited financial statements.
5
<PAGE> 6
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MONEY MARKET FUND TAX-EXEMPT FUND
------------------------------- --------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
4/30/96 YEAR ENDED 4/30/96 YEAR ENDED
(UNAUDITED) 10/31/95 (UNAUDITED) 10/31/95
---------------- ------------ ----------------- ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income.................. $ 573,490 $ 1,145,465 $ 487,443 $ 1,090,985
Net realized gains on investments...... -- -- 130,742 82,674
Net change in unrealized appreciation
(depreciation) on investments........ -- -- (473,515) 1,448,037
------------ ------------ ----------- ------------
Net increase in net assets resulting from
operations............................. 573,490 1,145,465 144,670 2,621,696
------------ ------------ ----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................. (573,490) (1,145,465) (487,418) (1,090,902)
Net realized gains on investments...... -- -- (82,667) (187,566)
------------ ------------ ----------- ------------
Total distributions to shareholders...... (573,490) (1,145,465) (570,085) (1,278,468)
------------ ------------ ----------- ------------
TRUST SHARE TRANSACTIONS:
Purchases of trust shares.............. 12,781,231 41,294,922 151,107 666,409
Reinvested income dividends............ 552,310 1,105,023 481,502 1,077,486
Reinvested capital gain
distributions........................ -- -- 81,622 187,004
Redemptions of trust shares............ (15,337,050) (27,404,428) (440,794) (11,028,400)
------------ ------------ ----------- ------------
Net increase (decrease) in trust
capital................................ (2,003,509) 14,995,517 273,437 (9,097,501)
------------ ------------ ----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS.... (2,003,509) 14,995,517 (151,978) (7,754,273)
NET ASSETS BEGINNING OF PERIOD........... 24,097,710 9,102,193 21,709,388 29,463,661
------------ ------------ ----------- ------------
NET ASSETS END OF PERIOD................. $ 22,094,201 $ 24,097,710 $21,557,410 $ 21,709,388
============ ============ =========== ============
Undistributed net investment income...... $ -- $ -- $ 577 $ 552
============ ============ =========== ============
</TABLE>
See notes to unaudited financial statements.
6
<PAGE> 7
<TABLE>
<CAPTION>
INCOME FUND GROWTH FUND TOTAL RETURN FUND
--------------------------------- --------------------------------- ---------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED SIX MONTHS ENDED
4/30/96 YEAR ENDED 4/30/96 YEAR ENDED 4/30/96 YEAR ENDED
(UNAUDITED) 10/31/95 (UNAUDITED) 10/31/95 (UNAUDITED) 10/31/95
---------------- ------------ ---------------- ------------ ---------------- ------------
<S> <C> <C> <C> <C> <C>
$ 599,721 $ 1,416,237 $ 154,444 $ 517,506 $ 443,428 $ 1,083,111
145,845 84,845 93,190 3,128,377 1,140,547 1,555,619
(730,806) 1,313,114 1,669,705 (218,864) 687,088 2,295,607
----------- ------------ ----------- ------------ ----------- ------------
14,760 2,814,196 1,917,339 3,427,019 2,271,063 4,934,337
----------- ------------ ----------- ------------ ----------- ------------
(599,917) (1,416,253) (408,271) (794,089) (979,327) (1,356,169)
-- -- (3,140,704) (183,124) (1,555,659) (20,167)
----------- ------------ ----------- ------------ ----------- ------------
(599,917) (1,416,253) (3,548,975) (977,213) (2,534,986) (1,376,336)
----------- ------------ ----------- ------------ ----------- ------------
223,311 593,692 2,588,080 2,885,484 1,240,605 1,829,337
590,814 1,392,590 407,425 793,295 972,799 1,353,794
-- -- 3,135,442 182,992 1,546,016 20,149
(401,154) (10,718,110) (943,333) (27,735,223) (695,426) (18,925,616)
----------- ------------ ----------- ------------ ----------- ------------
412,971 (8,731,828) 5,187,614 (23,873,452) 3,063,994 (15,722,336)
----------- ------------ ----------- ------------ ----------- ------------
(172,186) (7,333,885) 3,555,978 (21,423,646) 2,800,071 (12,164,335)
22,104,860 29,438,745 13,543,958 34,967,604 23,649,738 35,814,073
----------- ------------ ----------- ------------ ----------- ------------
$ 21,932,674 $ 22,104,860 $ 17,099,936 $ 13,543,958 $ 26,449,809 $ 23,649,738
=========== ============ =========== ============ =========== ============
$ 293 $ 489 $ 99,130 $ 352,957 $ 306,298 $ 842,197
=========== ============ =========== ============ =========== ============
</TABLE>
7
<PAGE> 8
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MONEY MARKET FUND TAX-EXEMPT FUND
--------------------------------------------- ---------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR YEAR PERIOD ENDED YEAR YEAR PERIOD
4/30/96 ENDED ENDED ENDED 4/30/96 ENDED ENDED ENDED
(UNAUDITED) 10/31/95 10/31/94 10/31/93* (UNAUDITED) 10/31/95 10/31/94 10/31/93*
----------- -------- -------- --------- ----------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net asset value, beginning of
period......................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 10.41 $ 9.87 $ 10.78 $ 10.00
Income from investment
operations:
Net investment income(c)....... 0.03 0.06 0.04 0.03 0.23 0.48 0.46 0.44
Net realized and unrealized
gains (losses) on
investments.................. -- -- -- -- (0.16) 0.60 (0.91 ) 0.78
------- ------- ------ ------ ------- ------- ------- -------
Total income from
investment operations... 0.03 0.06 0.04 0.03 0.07 1.08 (0.45 ) 1.22
------- ------- ------ ------ ------- ------- ------- -------
Less distributions from:
Net investment income.......... (0.03) (0.06 ) (0.04) (0.03) (0.23) (0.48 ) (0.46 ) (0.44)
Net realized gains on
investments.................. -- -- -- -- (0.04) (0.06 ) -- --
------- ------- ------ ------ ------- ------- ------- -------
Total distributions to
shareholders............ (0.03) (0.06 ) (0.04) (0.03) (0.27) (0.54 ) (0.46 ) (0.44)
------- ------- ------ ------ ------- ------- ------- -------
Net asset value, end of period... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 10.21 $ 10.41 $ 9.87 $ 10.78
======= ======= ====== ====== ======= ======= ======= =======
TOTAL RETURN(A).................. 2.58% 5.87 % 3.94% 3.25% 0.64% 11.32 % (4.27 )% 12.82%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in
thousands)..................... $22,094 $24,098 $9,102 $ 4,115 $21,557 $21,709 $29,464 $29,890
Ratio of net expenses to average
net assets(b)(d)............... 0.50% 0.31 % 0.00% 0.00% 0.88% 0.88 % 0.90 % 0.88%
Ratio of net investment income to
average net assets(b)(d)....... 5.12% 5.71 % 4.00% 3.15% 4.44% 4.64 % 4.46 % 4.38%
Portfolio turnover rate.......... -- -- -- -- 33.68% 79.18 % 41.74 % 0.00%
RATIO INFORMATION ASSUMING NO
EXPENSE REIMBURSEMENT OR FEES
PAID INDIRECTLY................
Ratio of expenses to average net
assets(b)(e)................... 1.56% 1.69 % 3.19% 5.35% 1.61% 1.54 % 1.22 % 1.07%
Ratio of net investment income to
average net assets(b)(e)....... 4.06% 4.33 % 0.81% (2.20)% 3.71% 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. Total
return is not annualized, except for the period ended October 31, 1993.
(b) The amounts for the six months ended April 30, 1996 and the period ended
October 31, 1993 have been annualized.
(c) For the six months ended April 30, 1996 and 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.
(e) For the six months ended April 30, 1996 and 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).
See notes to unaudited financial statements.
8
<PAGE> 9
<TABLE>
<CAPTION>
INCOME FUND GROWTH FUND TOTAL RETURN FUND
--------------------------------------------- --------------------------------------------- ----------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR YEAR PERIOD ENDED YEAR YEAR PERIOD ENDED YEAR
4/30/96 ENDED ENDED ENDED 4/30/96 ENDED ENDED ENDED 4/30/96 ENDED
(UNAUDITED) 10/31/95 10/31/94 10/31/93* (UNAUDITED) 10/31/95 10/31/94 10/31/93* (UNAUDITED) 10/31/95
----------- -------- -------- --------- ----------- -------- -------- --------- ----------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
$ 10.10 $ 9.49 $ 10.80 $ 10.00 $ 13.91 $ 11.38 $ 11.24 $ 10.00 $ 12.68 $ 10.75
0.27 0.60 0.57 0.57 0.11 0.42 0.25 0.23 0.21 0.53
(0.26) 0.61 (1.24) 0.80 1.54 2.43 0.13 1.05 0.96 1.82
----------- -------- -------- --------- ----------- -------- -------- --------- ----------- --------
0.01 1.21 (0.67) 1.37 1.65 2.85 0.38 1.28 1.17 2.35
----------- -------- -------- --------- ----------- -------- -------- --------- ----------- --------
(0.27) (0.60) (0.57) (0.57) (0.40) (0.26) (0.24) (0.04) (0.52) (0.41)
-- -- (0.07) -- (3.09) (0.06) -- -- (0.83) (0.01)
----------- -------- -------- --------- ----------- -------- -------- --------- ----------- --------
(0.27) (0.60) (0.64) (0.57) (3.49) (0.32) (0.24) (0.04) (1.35) (0.42)
----------- -------- -------- --------- ----------- -------- -------- --------- ----------- --------
$ 9.84 $ 10.10 $ 9.49 $ 10.80 $ 12.07 $ 13.91 $ 11.38 $ 11.24 $ 12.50 $ 12.68
=========== ======== ======== ========= =========== ======== ======== ========= =========== ========
0.08% 13.13% (6.42)% 14.50% 13.59% 25.83% 3.46% 13.19% 9.61% 22.72%
$21,933 $22,105 $29,439 $30,331 $17,100 $13,544 $34,968 $31,719 $26,450 $23,650
0.99% 0.97% 0.97% 0.99% 0.23% 0.23% 0.46% 0.49% 1.19% 1.16%
5.38% 6.01% 5.68% 5.66% 2.01% 2.60% 2.32% 2.27% 3.51% 4.22%
66.96% 100.91% 141.95% 31.49% 1.78% 9.10% 2.83% 0.53% 54.84% 90.23%
1.72% 1.66% 1.30% 1.18% 1.88% 1.57% 0.96% 0.85% 1.80% 1.79%
4.65% 5.32% 5.35% 5.47% 0.36% 1.26% 1.83% 1.91% 2.90% 3.59%
<CAPTION>
TOTAL RETURN FUND
--------------------
YEAR PERIOD
ENDED ENDED
10/31/94 10/31/93*
-------- ---------
<C> <C>
$ 11.48 $ 10.00
0.40 0.43
(0.33) 1.11
-------- ---------
0.07 1.54
-------- ---------
(0.44) (0.06)
(0.36) --
-------- ---------
(0.80) (0.06)
-------- ---------
$ 10.75 $ 11.48
======== =========
0.63% 15.92%
$35,814 $32,418
1.16% 1.18%
3.82% 4.26%
50.29% 56.86%
1.35% 1.27%
3.63% 4.17%
</TABLE>
9
<PAGE> 10
- --------------------------------------------------------------------------------
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
NOTES TO UNAUDITED FINANCIAL STATEMENTS
APRIL 30, 1996
- --------------------------------------------------------------------------------
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.
Jackson National Financial Services, Inc., a wholly-owned subsidiary of
Jackson National Life Insurance Company ("Jackson National"), serves as
investment adviser ("Adviser") for each Fund.
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.
Use of Estimates -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenues and expenses
during the reporting period. Actual results could differ from those estimates.
Security Valuation -- Bonds are valued on the basis of prices furnished by
a service which determines prices for normal institutional size trading units of
bonds, without regard to exchange or over-the-counter prices. When quotations
are not available, bonds are valued at fair market value determined by
procedures approved by the Board of Trustees. Stocks listed on a national stock
exchange are valued at the final sale price, or final bid price in absence of a
sale. Stocks not listed on a stock exchange are valued at the closing bid price
on the over-the-counter market. Short-term securities maturing within 60 days of
purchase, and all securities in the Money Market Fund, are valued at amortized
cost, which approximates market value.
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 income in amounts that will avoid federal
income or excise taxes for each Fund. The Funds may periodically make
reclassifications among certain of its capital accounts as a result of the
recognition and characterization of certain income and capital gain
distributions determined annually in accordance with federal tax regulations
which may differ from generally accepted accounting principles.
For federal income tax purposes, the Income Fund had a capital loss
carryover totaling $905,740 expiring in 2002 which can be used to offset future
realized capital gains.
Distributions to Shareholders -- 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 capital gains, if any, are
distributed at least annually. Dividends are payable in cash or may be
reinvested in additional shares of the Funds at net asset value.
Credit Risk -- The Funds may hold investments in variable rate demand
notes, which are unsecured instruments. The Funds may be susceptible to credit
10
<PAGE> 11
- --------------------------------------------------------------------------------
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
NOTES TO UNAUDITED FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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.
Other -- Security transactions are accounted for on trade date. Realized
gains and losses are determined on a specific cost identification basis, which
is the same basis used for federal income tax purposes. Dividend income is
recorded on the ex-dividend date. Interest income, including level-yield
amortization of premiums and discounts, is accrued daily.
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 from each Fund. The adviser fee, which is accrued daily and payable monthly,
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, 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, which is accrued
daily and payable monthly, 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 monthly
by the Adviser, is calculated 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 $1,000 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 $4,000 to non-affiliated Trustees for the six months ended
April 30, 1996.
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 held at the custodian. 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.
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
11
<PAGE> 12
- --------------------------------------------------------------------------------
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
NOTES TO UNAUDITED FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 six months ended April 30, 1996, the Adviser, who is also the
distributor of the Funds, received sales charges of $6,194; $7,499; $63,118; and
$37,126 on sales of shares of the Tax-Exempt Fund, Income Fund, Growth Fund, and
Total Return Fund, respectively.
NOTE 4 -- INVESTMENT TRANSACTIONS
During the six months ended April 30, 1996, cost of purchases and proceeds
from sales and 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>
Cost of
purchases.... $ 7,383 $14,929 $ 2,056 $14,875
Proceeds from
sales and
maturities... 7,289 14,457 274 13,662
</TABLE>
Included in these transactions were purchases and sales of U.S. Government
obligations in the Income Fund of $10,362,022, and $11,926,235, respectively,
and in the Total Return Fund of $3,732,755, and $5,699,845, 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 April
30, 1996, were as follows (in thousands):
<TABLE>
<CAPTION>
TAX- TOTAL
EXEMPT INCOME GROWTH RETURN
FUND FUND FUND FUND
------ ------ ------ ------
<S> <C> <C> <C> <C>
Gross unrealized
appreciation....... $ 341 $ 100 $4,637 $3,896
Gross unrealized
depreciation....... (171) (329) (189) (221)
------ ------ ------ ------
Net unrealized
appreciation
(depreciation)..... $ 170 $ (229) $4,448 $3,675
====== ====== ====== ======
</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 SIX MONTHS ENDED
APRIL 30, 1996:
Shares purchased....... 12,781 14 22 208 99
Income dividends
reinvested........... 552 46 59 36 81
Capital gain
distributions
reinvested........... 0 8 0 277 128
Shares redeemed........ (15,337) (42) (40) (78) (56)
------- --- --- --- ---
Net increase (decrease)
of trust shares...... (2,004) 26 41 443 252
======= === === === ===
</TABLE>
12
<PAGE> 13
- --------------------------------------------------------------------------------
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
NOTES TO UNAUDITED FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
<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>
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.
13
<PAGE> 14
JACKSON NATIONAL MONEY MARKET FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
COMMERCIAL PAPER -- 100%
- -----------------------------------------------------------
CAPTIVE FINANCE COMPANIES -- 23.26%
American Express Credit Corp.
5.20%, 05/31/1996............... $610,000 $ 607,357
4.94%, 07/18/1996............... 320,000 316,575
Chrysler Financial Corporation
5.28%, 08/02/1996............... 230,000 226,863
5.31%, 08/14/1996............... 300,000 295,354
5.30%, 08/23/1996............... 225,000 221,224
5.29%, 08/26/1996............... 135,000 132,679
Ford Motor Credit Corporation
5.28%, 05/24/1996............... 355,000 353,802
5.31%, 05/28/1996............... 100,000 99,602
5.32%, 06/13/1996............... 205,000 203,697
5.26%, 06/25/1996............... 160,000 158,714
General Motors Acceptance
Corporation
5.03%, 06/11/1996............... 700,000 695,990
5.31%, 07/12/1996............... 200,000 197,876
J.C. Penney Funding Corporation
5.30%, 05/17/1996............... 250,000 249,411
5.30%, 06/13/1996............... 600,000 596,202
Pitney Bowes Credit Corporation
5.30%, 05/23/1996............... 500,000 498,381
5.25%, 05/24/1996............... 285,000 284,044
-----------
5,137,771
CHEMICALS -- 3.83%
E.I. DuPont De Nemours Co.,
5.02%, 05/24/1996............... 400,000 398,717
5.32%, 05/31/1996............... 450,000 448,005
-----------
846,722
COMPUTERS & TECHNOLOGY -- 4.94%
Hewlett-Packard Company
5.00%, 05/31/1996............... 200,000 199,167
IBM Corporation
5.33%, 05/22/1996............... 770,000 767,606
5.31%, 06/10/1996............... 125,000 124,263
-----------
1,091,036
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
COMMERCIAL PAPER (CONTINUED)
- -----------------------------------------------------------
CONSUMER FINANCE -- 13.60%
American General Finance
Corporation
5.27%, 08/16/1996............... $220,000 $ 216,554
5.27%, 08/27/1996............... 520,000 511,018
Beneficial Corporation
5.27%, 05/08/1996............... 150,000 149,846
5.22%, 05/17/1996............... 375,000 374,130
5.27%, 08/16/1996............... 320,000 314,988
Household Finance Corporation
5.25%, 08/30/1996............... 605,000 594,324
Norwest Financial, Inc.
5.32%, 05/23/1996............... 130,000 129,577
4.98%, 06/24/1996............... 720,000 714,622
-----------
3,005,059
CONSUMER PRODUCTS -- 6.55%
ConAgra, Inc.
5.48%, 05/24/1996............... 150,000 149,475
5.50%, 05/24/1996............... 291,000 289,977
H.J. Heinz Company
5.30%, 05/10/1996............... 265,000 264,649
Procter & Gamble Company
5.28%, 05/16/1996............... 295,000 294,351
Tyson Foods, Inc.
5.44%, 05/13/1996............... 325,000 324,411
5.47%, 05/16/1996............... 125,000 124,715
-----------
1,447,578
ENERGY -- 3.77%
Dresser Industries, Inc.
5.30%, 05/15/1996............... 835,000 833,279
HEALTH CARE -- 7.21%
Allergan, Inc.
5.10%, 05/07/1996............... 150,000 149,873
5.10%, 05/14/1996............... 295,000 294,457
5.27%, 06/18/1996............... 200,000 198,595
American Home Products Corp.
5.35%, 05/09/1996............... 400,000 399,524
5.18%, 05/17/1996............... 250,000 249,424
Schering Corporation
5.30%, 05/02/1996............... 300,000 299,956
-----------
1,591,829
</TABLE>
See notes to unaudited financial statements.
14
<PAGE> 15
JACKSON NATIONAL MONEY MARKET FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
COMMERCIAL PAPER (CONTINUED)
- -----------------------------------------------------------
INDEPENDENT FINANCE COMPANIES -- 10.04%
Associates Corporation
5.38%, 05/17/1996............... $860,000 $ 857,944
CIT Holding Group, Inc.
5.30%, 05/30/1996............... 480,000 477,951
General Electric Capital
Corporation
5.22%, 05/21/1996............... 410,000 408,811
5.29%, 06/26/1996............... 345,000 342,161
5.28%, 10/25/1996............... 135,000 131,495
-----------
2,218,362
INSURANCE -- 3.99%
USAA Capital Corporation
5.30%, 06/12/1996............... 200,000 198,763
5.25%, 07/02/1996............... 690,000 683,761
-----------
882,524
MEDIA -- 4.05%
McGraw Hill, Inc.
5.00%, 06/21/1996............... 900,000 893,625
MORTGAGE BANKING -- 4.06%
Countrywide Funding Corporation
5.38%, 05/17/1996............... 700,000 698,326
5.33%, 06/07/1996............... 200,000 198,904
-----------
897,230
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
COMMERCIAL PAPER (CONTINUED)
- -----------------------------------------------------------
RETAIL -- 0.34%
Wal-Mart Corporation
5.20%, 05/02/1996............... $ 75,000 $ 74,989
TELECOMMUNICATIONS -- 14.36%
Ameritech Corporation
5.25%, 07/08/1996............... 400,000 396,033
AT&T Corporation
5.22%, 05/03/1996............... 335,000 334,903
5.29%, 06/03/1996............... 230,000 228,885
Bellsouth Telecommunications
5.28%, 05/06/1996............... 151,000 150,889
GTE Northwest, Inc.
5.35%, 05/01/1996............... 160,000 160,000
5.31%, 05/09/1996............... 100,000 99,882
5.29%, 05/20/1996............... 170,000 169,525
GTE Corporation
5.38%, 05/10/1996............... 400,000 399,462
5.38%, 06/05/1996............... 245,000 243,719
5.37%, 06/06/1996............... 245,000 243,684
Southwestern Bell Capital Corp.
5.30%, 06/12/1996............... 750,000 745,362
-----------
3,172,344
-----------
TOTAL INVESTMENTS -- 100%
(amortized cost $22,092,348).... $22,092,348
==========
</TABLE>
See notes to unaudited financial statements.
15
<PAGE> 16
JACKSON NATIONAL TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
<S> <C> <C>
MUNICIPAL BONDS -- 100%
- -----------------------------------
ALABAMA -- 2.05%
Birmingham Airport Authority
Airport Revenue Series A -- AMBAC
Insured
7.25%, 07/01/2020................ $400,000 $ 430,872
ARIZONA -- 3.82%
Arizona State Transportation Board
Highway Revenue
4.70%, 07/01/2005................ 350,000 342,482
Phoenix Series A
5.20%, 07/01/2005................ 250,000 254,730
Salt River Project Electric Systems
Revenue
5.20%, 01/01/2002................ 200,000 205,014
------------
802,226
COLORADO -- 1.27%
Aurora Colorado Water
4.75%, 11/01/2014................ 300,000 267,045
CONNECTICUT -- 1.98%
Connecticut State Housing Financing
Authority
6.70%, 11/15/2012................ 400,000 415,240
FLORIDA -- 7.39%
Florida State Dade County
5.125%, 07/01/2017............... 300,000 272,412
Florida State Board Education
Capital Outlay
5.00%, 06/01/2015................ 500,000 449,370
Jacksonville Sales Tax Revenue
River City Renaissance Project --
FGIC Insured
6.00%, 10/01/2003................ 370,000 396,947
Orlando Utilities Community Water &
Electric Revenue
5.00%, 10/01/2013................ 475,000 433,661
------------
1,552,390
GEORGIA -- 2.71%
Georgia State Series D
6.80%, 08/01/2006................ 500,000 570,600
HAWAII -- 1.50%
Honolulu City & County Series C
4.875%, 09/01/2012............... 350,000 314,380
ILLINOIS -- 7.46%
Chicago Metropolitan Water
5.40%, 12/01/2006................ 400,000 405,908
Chicago Public Building Revenue --
FGIC Insured
5.80%, 01/01/2013................ 250,000 249,185
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
MUNICIPAL BONDS (CONTINUED)
- -----------------------------------
<S> <C> <C>
ILLINOIS (CONTINUED)
Chicago Wastewater Transmission
Revenue -- FGIC Insured
5.375%, 01/01/2013............... $500,000 $ 480,540
Illinois State Sales Tax Revenue
Series M
6.80%, 06/15/2009................ 400,000 432,568
------------
1,568,201
INDIANA -- 4.15%
Indiana State Office Building
Community Capital Complex Revenue
Series B
5.25%, 07/01/2015................ 500,000 458,115
Indianapolis Transportation Revenue
6.00%, 07/01/2010................ 405,000 413,546
------------
871,661
KENTUCKY -- 4.48%
Kentucky State Property & Buildings
Community Revenues
5.50%, 11/01/2006................ 420,000 427,715
Kentucky State Turnpike Authority
Economic Development Revenue
5.375%, 01/01/2000............... 500,000 512,915
------------
940,630
LOUISIANA -- 2.09%
East Baton Rouge Parish Sales & Use
Tax Series A -- FGIC Insured
4.80%, 02/01/2013................ 500,000 439,410
MARYLAND -- 4.21%
University of Maryland System
Auxiliary Facility & Tuition
Revenue
6.30%, 02/01/2008................ 365,000 388,196
Washington Suburban Sanitation
District
3.75%, 06/01/1998................ 500,000 496,425
------------
884,621
MASSACHUSETTS -- 4.70%
Boston Revenue -- MBIA Insured
5.75%, 02/15/2013................ 330,000 325,083
Massachusetts State Convention
Center Authority Hynes Convention
Center
5.90%, 09/01/1998................ 400,000 413,604
Massachusetts State Health &
Educational Facilities Authority
Revenue
5.60%, 11/01/2014................ 250,000 248,748
------------
987,435
</TABLE>
See notes to unaudited financial statements.
16
<PAGE> 17
JACKSON NATIONAL TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
MUNICIPAL BONDS (CONTINUED)
- -----------------------------------
<S> <C> <C>
MICHIGAN -- 4.24%
Detroit Water Supply System Series
B -- MBIA Insured
5.10%, 07/01/2007................ $500,000 $ 493,975
Michigan State Building Authority
Revenue
5.625%, 10/01/2010............... 400,000 396,668
-----------
890,643
MINNESOTA -- 1.28%
Minneapolis & St. Paul Housing &
Redevelopment Authority Health
Care Systems -- AMBAC Insured
5.00%, 11/15/2013................ 300,000 269,217
MISSOURI -- 4.55%
Missouri State Health Educational
Facilities Authority Health
Facilities Revenue -- MBIA
Insured
6.25%, 06/01/2007................ 500,000 530,545
Missouri State Environmental
Improvement & Energy Resource
Authority
6.45%, 07/01/2008................ 400,000 425,240
-----------
955,785
NEVADA -- 2.42%
Clark County School District
7.65%, 05/01/2010................ 450,000 507,726
NEW JERSEY -- 0.90%
New Jersey Building Authority State
Building Revenue -- MBIA Insured
5.00%, 06/15/2010................ 200,000 190,010
NEW YORK -- 5.79%
Municipal Assistance Corporation
For New York, NY Series E
5.50%, 07/01/2001................ 365,000 378,917
New York State Dormatory Authority
Revenue -- MBIA Insured
5.70%, 07/01/2011................ 450,000 455,805
Triborough Bridge & Tunnel
Authority
5.50%, 01/01/2017................ 400,000 381,456
-----------
1,216,178
NORTH CAROLINA -- 1.84%
Mecklenburg County
5.00%, 04/01/2009................ 400,000 387,044
OHIO -- 6.63%
Columbus Water System Revenue
6.10%, 11/01/2003................ 415,000 446,586
Cuyahoga County Hospital Revenue
6.00%, 01/15/2003................ 400,000 423,928
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----------
MUNICIPAL BONDS (CONTINUED)
- -----------------------------------
OHIO (CONTINUED)
Ohio State Public Facilities
Commission -- AMBAC Insured
5.75%, 11/010/2006............... $500,000 $ 521,495
-----------
1,392,009
PENNSYLVANIA -- 1.89%
Pennsylvania Housing & Finance
Authority -- FNMA Insured
5.55%, 07/01/2007................ 400,000 397,144
PUERTO RICO -- 2.14%
Puerto Rico Electric Power
Authority Power Revenue Series P
7.00%, 07/01/2021................ 400,000 448,832
SOUTH CAROLINA -- 2.09%
Columbia Waterworks & Sewer Systems
Revenue
6.50%, 02/01/2002................ 405,000 439,425
TEXAS -- 6.03%
Dallas Waterworks & Sewer
5.90%, 10/01/1999................ 300,000 313,917
Harris County
5.125%, 10/01/2011............... 200,000 189,692
5.125%, 10/01/2013............... 380,000 355,292
San Antonio Electric & Gas
5.00%, 02/01/2014................ 225,000 202,244
University of Texas Revenue
6.10%, 08/15/1997................ 200,000 205,552
-----------
1,266,697
WASHINGTON -- 8.58%
Seattle Water System Revenue
5.50%, 06/01/2018................ 410,000 382,222
South Columbia Basin Revenue
6.00%, 12/01/2003................ 440,000 470,624
Washington State
6.50%, 05/01/2004................ 400,000 438,624
Washington State Public Power
Supply System Nuclear Project
5.45%, 07/01/2000................ 500,000 510,790
-----------
1,802,260
WISCONSIN -- 3.81%
Wisconsin State
6.25%, 05/01/2012................ 400,000 427,244
Wisconsin State Transportation
4.75%, 07/01/2012................ 425,000 372,466
-----------
799,710
TOTAL INVESTMENTS -- 100%
- -----------------------------------
(cost $20,837,481)............. $21,007,391
==========
</TABLE>
See notes to unaudited financial statements.
17
<PAGE> 18
JACKSON NATIONAL INCOME FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 26.74%
- ---------------------------------------------------------
AEROSPACE & DEFENSE -- 2.00%
McDonnell Douglas Corporation
8.25%, 07/01/2000.......... $ 100,000 $ 104,722
9.25%, 04/01/2002.......... 100,000 110,519
Northrop Grumman Corporation
8.625%, 10/15/2004......... 200,000 214,870
-----------
430,111
AUTOMOTIVE -- 1.00%
Chrysler-Auburn Hills Trust
Company
12.00%, 05/01/2020......... 150,000 215,913
BROKERAGE -- 1.81%
Lehman Brothers, Inc.
7.25%, 04/15/2003.......... 200,000 198,252
Morgan Stanley Group
5.75%, 02/15/2001.......... 200,000 191,020
-----------
389,272
CAPITAL GOODS & MANUFACTURING -- 0.92%
Case Corporation
7.25%, 08/01/2005.......... 200,000 197,076
CAPTIVE FINANCE COMPANIES -- 0.88%
General Motors Acceptance
Corporation
5.625%, 02/15/2001......... 200,000 190,344
CHEMICALS -- 1.97%
Occidental Petroleum
Corporation
8.75%, 01/15/2023.......... 200,000 219,214
Union Carbide Corporation
8.75%, 08/01/2022.......... 200,000 204,490
-----------
423,704
CONSUMER PRODUCTS -- 2.73%
Crown Cork & Seal
6.75%, 04/15/2003.......... 200,000 193,346
Philip Morris Companies, Inc.
7.25%, 01/15/2003.......... 200,000 199,316
J. Seagram & Sons, Inc.
7.00%, 04/15/2008.......... 200,000 193,726
-----------
586,388
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
<S> <C> <C>
CORPORATE OBLIGATIONS (CONTINUED)
- ---------------------------------------------------------
DOMESTIC BANKS -- 2.83%
Bank of Boston
6.625%, 12/01/2005......... $ 200,000 $ 190,016
Chase Manhattan Corporation
10.00%, 06/15/1999......... 200,000 218,380
Nationsbank Corporation
7.75%, 08/15/2015.......... 200,000 199,920
-----------
608,316
ENERGY -- 4.04%
Phillips Petroleum Company
8.86%, 05/15/2022.......... 200,000 210,456
USX Corporation
9.80%, 07/01/2001.......... 255,000 280,796
Vastar Resources, Inc.
8.75%, 02/01/2005.......... 250,000 270,202
Western Atlas, Inc.
8.55%, 06/15/2024.......... 100,000 108,093
-----------
869,547
HOTEL & GAMING -- 0.86%
Circus Circus Enterprise
6.45%, 02/01/2006.......... 200,000 185,252
INDEPENDENT FINANCE COMPANIES -- 1.48%
Associates Corporation N.A.
8.625%, 11/15/2004......... 200,000 218,700
General Electric Capital
Corporation
6.66%, 05/01/2018.......... 100,000 99,584
-----------
318,284
INSURANCE -- 1.94%
American Reinsurance
Corporation
10.875%, 09/15/2004........ 200,000 218,664
Travelers/Aetna Property &
Casualty
6.75%, 04/15/2001.......... 200,000 199,126
-----------
417,790
LEISURE & ENTERTAINMENT -- 0.90%
ITT Corporation
6.25%, 11/15/2000.......... 200,000 194,544
</TABLE>
See notes to unaudited financial statements.
18
<PAGE> 19
JACKSON NATIONAL INCOME FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
<S> <C> <C>
CORPORATE OBLIGATIONS (CONTINUED)
- ---------------------------------------------------------
MEDIA -- 1.03%
Time Warner Enterprises, Inc.
9.625%, 05/01/2002......... $ 200,000 $ 220,774
METALS & MINING -- 0.90%
ASARCO, Inc.
7.875%, 04/15/2013......... 200,000 193,542
TRANSPORTATION -- 1.45%
AMR Corporation
9.50%, 05/15/2001.......... 200,000 217,722
Burlington Northern Santa Fe
6.375%, 12/15/2005......... 100,000 93,094
-----------
310,816
-----------
Total Corporate
Obligations
(cost $5,852,814)...... 5,751,673
-----------
FOREIGN GOVERNMENT BONDS -- 1.01%
- ------------------------------------------
Quebec Province
8.80%, 04/15/2003
(cost $220,581).......... 200,000 217,150
-----------
U.S. GOVERNMENT SECURITIES -- 72.25%
- ------------------------------------------
U.S. GOVERNMENT AGENCIES -- 24.62%
Federal Home Loan Mortgage
Corporation
5.50%, 02/01/2011.......... 24,831 23,063
6.50%, 02/01/2011.......... 496,067 481,140
5.50%, 03/01/2011.......... 195,334 181,426
6.50%, 03/01/2011.......... 25,499 24,732
7.00%, 04/01/2011.......... 357,000 353,559
6.00%, 03/01/2026.......... 149,868 136,813
6.50%, 03/01/2026.......... 349,715 328,540
7.00%, 03/01/2026.......... 349,651 337,693
7.50%, 03/01/2026.......... 250,000 246,563
6.50%, 04/01/2026.......... 305,754 287,241
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
U.S. GOVERNMENT SECURITIES (CONTINUED)
- ---------------------------------------------------------
<S> <C> <C>
Federal National Mortgage
Association
7.50%, 04/01/2011.......... $ 199,828 $ 201,265
8.00%, 03/01/2026.......... 849,465 858,273
Government National Mortgage
Association
7.50%, 03/15/2024.......... 1,011,556 1,000,864
7.00%, 03/15/2026.......... 866,338 834,838
-----------
5,296,010
U.S. TREASURY BONDS -- 6.68%
U.S. Treasury Bond
9.125%, 05/15/2018......... 800,000 980,624
8.50%, 02/15/2020.......... 300,000 347,811
7.625%, 02/15/2025......... 100,000 107,344
-----------
1,435,779
U.S. TREASURY NOTES -- 40.95%
U.S. Treasury Note
7.375%, 05/15/1996......... 850,000 850,663
7.50%, 12/31/1996.......... 500,000 506,405
6.125%, 05/31/1997......... 790,000 792,962
6.00%, 11/30/1997.......... 200,000 200,094
5.625%, 01/31/1998......... 1,200,000 1,193,244
6.125%, 05/15/1998......... 1,035,000 1,036,128
5.125%, 11/30/1998......... 800,000 780,248
6.75%, 06/30/1999.......... 1,880,000 1,906,151
6.25%, 05/31/2000.......... 500,000 497,655
8.50%, 11/15/2000.......... 600,000 649,122
6.375%, 08/15/2002......... 100,000 99,203
6.50%, 05/15/2005.......... 300,000 296,061
-----------
8,807,936
-----------
Total U.S. Government Securities
(cost $15,664,368).................. 15,539,725
-----------
TOTAL INVESTMENTS -- 100%
- ------------------------------------------
(cost $21,737,763)......... $21,508,548
==========
</TABLE>
See notes to unaudited financial statements.
19
<PAGE> 20
JACKSON NATIONAL GROWTH FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS -- 100%
- -------------------------------------
AEROSPACE & DEFENSE -- 2.83%
Allied-Signal, Inc. ................. 950 $ 55,219
Applied Materials, Inc. (a).......... 600 24,000
Boeing Company....................... 1,250 102,656
EG&G, Inc. .......................... 155 3,410
General Dynamics Corporation......... 225 14,203
Lockheed Martin Corporation.......... 700 56,438
Loral Space & Communications, Ltd.
(a)................................ 600 8,625
McDonnell Douglas Corporation........ 400 38,600
Northrop Grumman Corporation......... 150 9,281
Raytheon Company..................... 900 45,561
Rockwell International Corporation... 750 43,875
Textron, Inc. ....................... 300 25,725
United Technologies Corporation...... 400 44,200
Western Atlas, Inc. (a).............. 200 12,000
-----------
483,793
APPAREL & TEXTILES -- 0.50%
Fruit of the Loom, Inc. -- Class A
(a)................................ 250 6,594
Liz Claiborne, Inc. ................. 250 9,094
NIKE, Inc. -- Class B................ 500 43,750
Reebok International, Ltd. .......... 234 6,786
Russell Corporation.................. 113 2,938
Springs Industries, Inc. ............ 50 2,300
V.F. Corporation..................... 250 14,250
-----------
85,712
AUTOMOTIVE -- 2.68%
Chrysler Corporation................. 1,275 80,006
Cooper Tire & Rubber Company......... 275 6,738
Dana Corporation..................... 350 11,637
Echlin, Inc. ........................ 200 6,875
Ford Motor Company................... 3,700 132,738
General Motors Corporation........... 2,600 141,050
Genuine Parts Company................ 400 17,700
Goodyear Tire & Rubber Company....... 500 26,063
Pep Boys -- Manny, Moe & Jack........ 225 7,509
Snap-On, Inc. ....................... 121 5,808
TRW, Inc. ........................... 225 21,122
-----------
457,246
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
BROKERAGE -- 0.49%
Merrill Lynch & Company, Inc. ....... 650 $ 39,244
Morgan Stanley Group, Inc. .......... 600 30,150
Salomon, Inc. ....................... 350 14,219
-----------
83,613
CAPITAL GOODS & MANUFACTURING --
6.22%
AMP, Inc. ........................... 750 33,562
Ball Corporation..................... 84 2,615
Briggs & Stratton Corporation........ 82 3,721
Browning-Ferris Industries, Inc. .... 800 25,800
Caterpillar, Inc. ................... 750 48,000
Cincinnati Milacron, Inc. ........... 95 2,505
Cooper Industries, Inc. ............. 350 14,875
Corning, Inc. ....................... 800 27,800
Crane Company........................ 85 3,527
Cummins Engine Company, Inc. ........ 117 5,470
Deere & Company...................... 900 34,988
Dover Corporation.................... 400 20,600
Eaton Corporation.................... 250 15,125
Emerson Electric Company............. 750 62,719
Fluor Corporation.................... 300 19,837
FMC Corporation (a).................. 103 7,145
Foster Wheeler Corporation........... 150 6,938
General Electric Company............. 5,750 445,625
General Signal Corporation........... 200 7,600
Giddings & Lewis, Inc. .............. 97 1,801
Grainger (W.W.), Inc. ............... 175 12,075
Harnischfeger Industries, Inc. ...... 180 7,290
Honeywell, Inc. ..................... 450 23,681
Illinois Tool Works, Inc. ........... 400 26,900
Ingersoll-Rand Company............... 350 13,562
ITT Industries, Inc. ................ 400 11,000
Johnson Controls, Inc. .............. 150 10,725
Laidlaw, Inc. -- Class B............. 1,000 10,500
NACCO Industries, Inc. -- Class A.... 25 1,578
Navistar International Corporation
(a)................................ 250 3,000
Ogden Corporation.................... 200 4,050
PACCAR, Inc. ........................ 110 5,445
Pall Corporation..................... 400 11,200
Parker-Hannifin Corporation.......... 250 10,563
Raychem Corporation.................. 200 15,575
Safety-Kleen Corporation............. 200 3,000
</TABLE>
See notes to unaudited financial statements.
20
<PAGE> 21
JACKSON NATIONAL GROWTH FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
CAPITAL GOODS & MANUFACTURING (CONTINUED)
Thomas & Betts Corporation........... 110 $ 4,331
Timken Company....................... 88 3,487
Trinova Corporation.................. 81 2,855
Varity Corporation (a)............... 124 5,285
Westinghouse Electric Corporation.... 1,500 28,313
WMX Technologies, Inc. .............. 1,700 59,075
-----------
1,063,743
CHEMICALS -- 3.33%
Air Products & Chemicals, Inc........ 400 22,850
Avery Dennison Corporation........... 200 11,400
B.F. Goodrich Company................ 200 7,950
Dow Chemical Company................. 900 79,987
Du Pont (E.I.) De Nemours &
Company............................ 1,925 154,722
Eastman Chemical Company............. 275 18,494
Ecolab, Inc. ........................ 250 8,125
Grace (W.R.) & Company............... 325 25,188
Great Lakes Chemical Corporation..... 195 13,309
Hercules, Inc. ...................... 400 24,200
Mallinckrodt Group, Inc. ............ 250 9,844
Millipore Corporation................ 140 5,863
Monsanto Company..................... 400 60,600
Morton International, Inc. .......... 500 17,688
Nalco Chemical Company............... 225 6,862
PPG Industries, Inc. ................ 675 34,172
Praxair, Inc. ....................... 525 20,278
Rohm & Haas Company.................. 225 14,934
Sigma-Aldrich Corporation............ 200 10,800
Union Carbide Corporation............ 475 21,612
-----------
568,878
COMPUTERS & TECHNOLOGY -- 10.45%
3Com Corporation (a)................. 550 25,369
Advanced Micro Devices, Inc. ........ 450 8,438
Amdahl Corporation (a)............... 400 5,100
Andrew Corporation (a)............... 200 9,600
Apple Computer, Inc. ................ 400 9,750
Autodesk, Inc. ...................... 133 5,420
Automatic Data Processing, Inc. ..... 1,000 38,875
Bay Networks, Inc. (a)............... 650 20,475
Cabletron Systems (a)................ 250 18,844
Ceridian Corporation (a)............. 200 9,550
Cisco Systems, Inc. (a).............. 1,900 98,563
COMPAQ Computer Corporation (a)...... 925 43,128
Computer Associates International,
Inc. .............................. 900 66,038
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
COMPUTERS & TECHNOLOGY (CONTINUED)
Computer Sciences Corporation (a).... 200 $ 14,800
Data General Corporation (a)......... 200 3,075
Digital Equipment Corporation (a).... 500 29,875
DSC Communications Corporation (a)... 400 12,600
EMC Corporation (a).................. 800 16,400
First Data Corporation............... 750 57,000
Harris Corporation................... 111 6,854
Hewlett-Packard Company.............. 1,750 185,281
Intel Corporation.................... 2,850 193,087
Intergraph Corporation (a)........... 150 1,903
International Business Machines
Corporation........................ 1,950 209,625
LSI Logic Corporation (a)............ 450 16,200
Micron Technology, Inc. ............. 700 25,462
Microsoft Corporation (a)............ 2,050 232,419
Motorola, Inc. ...................... 2,050 125,563
National Semiconductor (a)........... 450 7,087
Novell, Inc. (a)..................... 1,300 18,850
Oracle Systems Corporation (a)....... 2,250 75,938
Perkin-Elmer Corporation............. 120 6,585
Pitney Bowes, Inc. .................. 500 24,375
Scientific-Atlanta, Inc. ............ 275 5,087
Silicon Graphics Corporation (a)..... 550 16,294
Sun Microsystems, Inc. (a)........... 700 37,975
Tandem Computers, Inc. (a)........... 400 5,100
Tektronix, Inc. ..................... 100 3,962
Texas Instruments, Inc. ............. 650 36,725
Unisys Corporation (a)............... 600 3,600
Xerox Corporation.................... 375 54,938
-----------
1,785,810
CONSUMER PRODUCTS -- 12.12%
Alberto-Culver Company -- Class B.... 80 3,030
American Brands, Inc. ............... 625 26,015
American Greetings Corporation --
Class A............................ 250 6,906
Anheuser-Busch Companies, Inc. ...... 850 57,056
Archer-Daniels-Midland Company....... 1,825 34,447
Avon Products, Inc. ................. 250 22,219
Bausch & Lomb, Inc. ................. 250 9,969
Black & Decker Corporation........... 300 12,075
Brown Group, Inc. ................... 51 816
Brown-Forman Corporation -- Class
B.................................. 225 8,888
Campbell Soup Company................ 850 53,125
Clorox Company....................... 175 14,459
Coca-Cola Company.................... 4,325 352,488
</TABLE>
See notes to unaudited financial statements.
21
<PAGE> 22
JACKSON NATIONAL GROWTH FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
CONSUMER PRODUCTS (CONTINUED)
Colgate-Palmolive Company............ 500 $ 38,312
ConAgra, Inc. ....................... 900 34,763
Coors (Adolph) Company -- Class B.... 108 2,052
CPC International, Inc. ............. 500 34,562
CUC International, Inc. (a).......... 600 19,725
Dial Corporation..................... 300 8,437
Eastman Kodak Company................ 1,200 91,800
General Mills, Inc. ................. 550 30,525
Gillette Company..................... 1,525 82,350
H.J. Heinz Company................... 1,300 44,038
Hershey Foods Corporation............ 248 18,817
International Flavors & Fragrances,
Inc. .............................. 400 19,650
Jostens, Inc. ....................... 128 2,880
Kellogg Company...................... 750 53,531
National Service Industries, Inc. ... 139 5,143
Newell Company....................... 600 17,100
Pepsico, Inc. ....................... 2,725 173,038
Philip Morris Companies, Inc. ....... 2,900 261,362
Pioneer Hi-Bred International,
Inc. .............................. 275 15,331
Polaroid Corporation................. 130 5,850
Premark International, Inc. ......... 250 12,844
Proctor & Gamble Company............. 2,350 198,575
Quaker Oats Company.................. 450 15,469
Ralston Purina Group................. 350 20,431
Rubbermaid, Inc. .................... 550 15,538
Sara Lee Corporation................. 1,650 51,150
Seagram Company, Ltd. ............... 1,300 44,037
Service Corporation International.... 400 21,250
Sherwin-Williams Company............. 300 14,025
Unilever N.V. ....................... 550 75,075
UST, Inc. ........................... 650 20,800
Wrigley (W.M.) Jr. Company........... 400 21,050
-----------
2,071,003
DIVERSIFIED -- 1.13%
Alco Standard Corporation............ 500 28,937
Loews Corporation.................... 400 30,500
Minnesota Mining & Manufacturing
Company............................ 1,500 98,625
Teledyne, Inc. ...................... 199 7,404
Tyco International, Ltd. ............ 500 19,313
Whitman Corporation.................. 350 8,837
-----------
193,616
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
DOMESTIC BANKS -- 7.33%
Ahmanson (H.F.) & Company............ 400 $ 9,500
Banc One Corporation................. 1,540 53,515
Bank of Boston Corporation........... 400 19,350
Bank of New York Company, Inc. ...... 700 33,950
BankAmerica Corporation.............. 1,250 94,687
Bankers Trust New York Corporation... 300 20,812
Barnett Banks, Inc. ................. 300 19,013
Boatmen's Bancshares, Inc. .......... 525 20,344
Chase Manhattan Corporation.......... 1,525 105,034
Citicorp............................. 1,650 129,937
Comerica, Inc. ...................... 400 17,400
Corestates Financial Corporation..... 775 30,225
Fifth Third Bancorp.................. 350 19,337
First Bank System, Inc. ............. 475 28,619
First Chicago NBD Corporation........ 1,150 47,438
First Union Corporation.............. 1,000 61,500
Fleet Financial Group, Inc. ......... 900 38,700
Golden West Financial Corporation.... 225 11,841
Great Western Financial
Corporation........................ 450 10,350
KeyCorp.............................. 800 30,900
MBNA Corporation..................... 750 21,281
Mellon Bank Corporation.............. 450 24,188
Morgan (J.P.) & Company.............. 650 54,681
National City Corporation............ 500 18,438
Nationsbank Corporation.............. 1,025 81,744
Norwest Corporation.................. 1,200 43,350
PNC Bank Corporation................. 1,200 36,300
Republic New York Corporation........ 250 14,844
Suntrust Banks, Inc. ................ 400 28,200
U.S. Bancorp, Inc. .................. 500 16,188
Wachovia Corporation................. 600 26,400
Wells Fargo & Company................ 350 84,919
-----------
1,252,985
ELECTRIC UTILITIES -- 3.21%
American Electric Power Company,
Inc. .............................. 675 27,422
Baltimore Gas & Electric Company..... 500 13,187
Carolina Power & Light Company....... 600 21,600
Central & Southwest Corporation...... 725 19,756
Cinergy Corporation.................. 550 15,950
Consolidated Edison Company of New
York, Inc. ........................ 800 23,500
Dominion Resources, Inc. ............ 600 23,100
DTE Energy Company................... 500 15,500
Duke Power Company................... 700 32,900
</TABLE>
See notes to unaudited financial statements.
22
<PAGE> 23
JACKSON NATIONAL GROWTH FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
ELECTRIC UTILITIES (CONTINUED)
Edison International................. 1,600 $ 25,600
Entergy Corporation.................. 850 22,525
FPL Group, Inc. ..................... 625 26,953
General Public Utilities
Corporation........................ 400 12,700
Houston Industries, Inc. ............ 950 20,306
Niagara Mohawk Power Corporation..... 500 3,750
Northern States Power Company........ 225 10,519
Ohio Edison Company.................. 500 10,438
Pacific Gas & Electric Company....... 1,450 32,987
Pacificorp........................... 1,000 20,000
PECO Energy Company.................. 750 18,656
PP&L Resources, Inc. ................ 600 13,575
Public Service Enterprise Group,
Inc. .............................. 850 22,206
Southern Company..................... 2,300 50,600
Texas Utilities Company.............. 800 32,200
Unicom Corporation................... 720 19,800
Union Electric Company............... 350 13,519
-----------
549,249
ENERGY -- 10.12%
Amerada Hess Corporation............. 300 16,988
Amoco Corporation.................... 1,700 124,100
Ashland Oil, Inc. ................... 230 9,459
Atlantic Richfield Company........... 550 64,762
Baker Hughes, Inc. .................. 500 15,875
Burlington Resources, Inc. .......... 450 16,763
Chevron Corporation.................. 2,250 130,500
Coastal Corporation.................. 350 13,869
Columbia Gas System, Inc. ........... 200 9,725
Consolidated Natural Gas Company..... 325 15,194
Dresser Industries, Inc. ............ 600 19,125
Eastern Enterprises.................. 58 2,081
Enron Corporation.................... 850 34,212
ENSERCH Corporation.................. 225 4,838
Exxon Corporation.................... 4,350 369,750
Halliburton Company.................. 400 22,950
Helmerich & Payne, Inc. ............. 70 2,581
Kerr-McGee Corporation............... 175 11,178
Louisiana Land & Exploration......... 94 5,088
McDermott International, Inc. ....... 200 4,200
Mobil Corporation.................... 1,350 155,250
Nicor, Inc. ......................... 147 4,098
NorAm Energy Corporation............. 500 5,500
Occidental Petroleum Corporation..... 1,150 29,612
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
ENERGY (CONTINUED)
ONEOK, Inc. ......................... 75 $ 1,931
Oryx Energy Company.................. 350 5,600
Pacific Enterprises.................. 300 7,725
Panhandle Eastern Corporation........ 500 16,313
Pennzoil Company..................... 200 8,850
Peoples Energy Corporation........... 98 3,087
Phillips Petroleum Company........... 950 39,425
Rowan Companies, Inc. (a)............ 275 4,056
Royal Dutch Petroleum Company........ 1,900 272,175
Santa Fe Energy Resources, Inc. ..... 300 3,600
Schlumberger, Ltd. .................. 900 79,425
Sonat, Inc. ......................... 300 13,087
Sun Company, Inc. ................... 250 7,750
Tenneco, Inc. ....................... 600 32,925
Texaco, Inc. ........................ 900 76,950
The Williams Companies, Inc. ........ 400 20,450
Unocal Corporation................... 850 27,306
USX Corporation -- Marathon Group.... 1,000 22,000
-----------
1,730,353
HEALTH CARE -- 10.08%
Abbott Laboratories.................. 2,725 110,703
Allergan, Inc. ...................... 225 7,959
ALZA Corporation -- Class A (a)...... 300 8,550
American Home Products Corporation... 1,150 121,325
Amgen, Inc. (a)...................... 900 51,750
Bard (C.R.), Inc. ................... 200 7,300
Baxter International, Inc. .......... 950 42,038
Becton, Dickinson & Company.......... 225 18,141
Beverly Enterprises, Inc. (a)........ 400 4,850
Biomet, Inc. (a)..................... 400 5,900
Boston Scientific Corporation (a).... 600 25,875
Bristol-Myers Squibb Company......... 1,750 143,937
Columbia/HCA Healthcare
Corporation........................ 1,550 82,344
Community Psychiatric Centers........ 123 1,138
Humana, Inc. (a)..................... 550 13,544
Johnson & Johnson.................... 2,350 217,375
Lilly (Eli) & Company................ 1,900 112,100
Manor Care, Inc. .................... 200 8,025
Medtronic, Inc. ..................... 800 42,500
Merck & Company, Inc. ............... 4,250 257,125
Pfizer, Inc. ........................ 2,200 151,525
Pharmacia & Upjohn, Inc. ............ 1,725 65,981
Schering-Plough Corporation.......... 1,300 74,587
</TABLE>
See notes to unaudited financial statements.
23
<PAGE> 24
JACKSON NATIONAL GROWTH FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
HEALTH CARE (CONTINUED)
Shared Medical Systems Corporation... 65 $ 4,453
St. Jude Medical, Inc. .............. 250 9,125
Tenet Healthcare Corporation (a)..... 700 14,350
U.S. Healthcare, Inc. ............... 525 27,366
U.S. Surgical Corporation............ 200 7,400
United HealthCare Corporation........ 600 35,100
Warner-Lambert Company............... 450 50,288
-----------
1,722,654
HOSPITALITY -- 1.03%
Darden Restaurants, Inc. ............ 550 7,562
Hilton Hotels Corporation............ 175 18,462
Luby's Cafeterias, Inc. ............. 72 1,728
Marriott International, Inc. ........ 450 21,938
McDonald's Corporation............... 2,400 114,900
Ryan's Family Steak House, Inc.
(a)................................ 200 1,925
Shoney's, Inc. (a)................... 116 1,291
Wendy's International, Inc. ......... 400 7,650
-----------
175,456
HOUSING RELATED -- 1.00%
Armstrong World Industries, Inc. .... 106 6,042
Centex Corporation................... 85 2,295
Fleetwood Enterprises, Inc. ......... 200 5,250
Home Depot, Inc. .................... 1,700 80,538
Kaufman & Broad Home Corporation..... 91 1,285
Lowe's Companies, Inc. .............. 550 17,806
Masco Corporation.................... 550 14,987
Maytag Corporation................... 375 8,062
Owens-Corning Fiberglas Corporation
(a)................................ 175 7,044
Pulte Corporation.................... 78 2,067
Stanley Works........................ 126 7,907
Whirlpool Corporation................ 300 18,037
-----------
171,320
INDEPENDENT FINANCE COMPANIES --
2.54%
American Express Company............. 1,700 82,450
Beneficial Corporation............... 200 11,050
Dean Witter Discover & Company....... 600 32,700
Federal Home Loan Mortgage
Corporation........................ 600 50,025
Federal National Mortgage
Association........................ 3,750 114,844
Green Tree Financial Corporation..... 475 16,031
H&R Block, Inc. ..................... 350 12,294
Household International, Inc. ....... 350 24,194
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
INDEPENDENT FINANCE COMPANIES
(CONTINUED)
Transamerica Corporation............. 250 $ 19,000
Travelers, Inc. ..................... 1,150 70,725
-----------
433,313
INSURANCE -- 3.19%
Aetna Life & Casualty Company........ 400 28,500
Alexander & Alexander Services,
Inc. .............................. 200 3,775
Allstate Corporation................. 1,550 60,256
American General Corporation......... 700 24,588
American International Group,
Inc. .............................. 1,700 155,338
Aon Corporation...................... 400 21,450
Chubb Corporation.................... 300 28,387
CIGNA Corporation.................... 250 28,344
General Re Corporation............... 275 39,291
ITT Hartford Group, Inc. ............ 400 19,550
Jefferson-Pilot Corporation.......... 249 13,135
Lincoln National Corporation......... 360 17,370
Marsh & McLennan Companies, Inc. .... 250 23,500
Providian Corporation................ 325 14,991
SAFECO Corporation................... 500 16,500
St. Paul Companies, Inc. ............ 300 15,937
Torchmark Corporation................ 250 10,750
UNUM Corporation..................... 250 14,875
USF&G Corporation.................... 360 5,715
USLIFE Corporation................... 96 2,700
-----------
544,952
LEISURE & ENTERTAINMENT -- 1.38%
Bally Entertainment Corporation
(a)................................ 200 4,175
Brunswick Corporation................ 400 8,800
Disney (Walt) Company................ 2,400 148,800
Harrah's Entertainment, Inc. (a)..... 350 12,075
Hasbro, Inc. ........................ 300 11,025
ITT Corporation (a).................. 400 24,350
Mattel, Inc. ........................ 950 24,700
Outboard Marine Corporation.......... 56 1,106
-----------
235,031
MEDIA -- 2.31%
Comcast Corporation -- Class A....... 800 14,000
Donnelley (R.R.) & Sons Company...... 600 21,600
Dow Jones & Company, Inc. ........... 325 12,147
Dun & Bradstreet Corporation......... 575 35,003
Gannett Company, Inc. ............... 475 32,478
</TABLE>
See notes to unaudited financial statements.
24
<PAGE> 25
JACKSON NATIONAL GROWTH FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
MEDIA (CONTINUED)
Harcourt General, Inc. .............. 225 $ 9,900
Harland (J.H.) Company............... 86 2,257
Interpublic Group.................... 275 12,856
King World Productions, Inc. (a)..... 104 4,524
Knight-Ridder, Inc. ................. 151 10,929
McGraw-Hill, Inc. ................... 350 15,444
Meredith Corporation................. 78 3,539
New York Times Company -- Class A.... 325 10,563
Tele-Communications, Inc. --
Class A (a)........................ 2,250 43,031
Time Warner, Inc. ................... 1,350 55,181
Times Mirror Company -- Class A...... 363 15,473
Tribune Company...................... 191 13,322
U.S. West Media Group (a)............ 1,625 31,687
Viacom, Inc. -- Class B (a).......... 1,250 51,250
-----------
395,184
METALS & MINING -- 1.91%
Alcan Aluminium, Ltd. ............... 800 25,500
Aluminum Company of America.......... 600 37,425
Armco, Inc. (a)...................... 350 1,969
ASARCO, Inc. ........................ 119 3,942
Barrick Gold Corporation............. 1,200 36,750
Bethlehem Steel Corporation (a)...... 400 5,450
Case Corporation..................... 250 12,625
Crown Cork & Seal Company, Inc. ..... 500 23,563
Cyprus Minerals Company.............. 300 8,137
Echo Bay Mines, Ltd. ................ 500 6,563
Englehard Corporation................ 500 12,562
Freeport-McMoran Copper -- Class B... 700 23,013
Homestake Mining Company............. 500 10,062
Inco, Ltd. .......................... 400 13,450
Inland Steel Industries, Inc. ....... 175 4,309
Newmont Mining Corporation........... 300 17,363
Nucor Corporation.................... 300 16,875
Phelps Dodge Corporation............. 250 18,375
Placer Dome, Inc. ................... 800 22,200
Reynolds Metals Company.............. 200 10,750
USX Corporation -- U.S. Steel
Group.............................. 300 9,900
Worthington Industries, Inc. ........ 300 6,112
-----------
326,895
PAPER & FOREST PRODUCTS -- 1.76%
Bemis Company, Inc. ................. 200 6,475
Boise Cascade Corporation............ 150 6,975
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
PAPER & FOREST PRODUCTS (CONTINUED)
Champion International Corporation... 400 $ 19,300
Deluxe Corporation................... 275 9,625
Georgia-Pacific Corporation.......... 325 25,269
International Paper Company.......... 1,000 39,875
James River Corporation.............. 275 7,356
Kimberly-Clark Corporation........... 950 68,994
Louisiana-Pacific Corporation........ 375 9,422
Mead Corporation..................... 168 9,345
Moore Corporation, Ltd. ............. 350 6,388
Potlatch Corporation................. 82 3,495
Stone Container Corporation.......... 400 6,800
Temple-Inland, Inc. ................. 200 9,700
Union Camp Corporation............... 250 13,594
Westvaco Corporation................. 350 10,850
Weyerhaeuser Company................. 700 34,650
Willamette Industries................ 200 12,300
-----------
300,413
RETAIL -- 4.40%
Albertson's, Inc. ................... 875 33,687
American Stores Company.............. 500 16,688
Charming Shoppes, Inc. .............. 350 2,253
Circuit City Stores, Inc. ........... 350 11,112
Dayton-Hudson Corporation............ 250 23,875
Dillard Department Stores, Inc. --
Class A............................ 400 16,050
Federated Department Stores, Inc.
(a)................................ 700 23,362
Fleming Companies, Inc. ............. 105 1,444
Giant Food, Inc. -- Class A.......... 200 6,375
Great Atlantic & Pacific Tea
Company, Inc. ..................... 108 3,766
J.C. Penney Company, Inc. ........... 775 38,363
Kmart Corporation.................... 1,600 16,200
Kroger Company (a)................... 400 16,450
Longs Drug Stores Corporation........ 58 2,625
May Department Stores Company........ 850 43,350
Melville Corporation................. 350 13,606
Mercantile Stores Company, Inc. ..... 104 6,487
Nordstrom, Inc. ..................... 275 13,991
Price/Costco, Inc. (a)............... 650 12,350
Rite Aid Corporation................. 300 8,888
Sears, Roebuck and Company........... 1,400 69,825
Stride Rite Corporation.............. 200 1,925
Supervalu, Inc. ..................... 300 9,600
</TABLE>
See notes to unaudited financial statements.
25
<PAGE> 26
JACKSON NATIONAL GROWTH FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
RETAIL (CONTINUED)
Sysco Corporation.................... 700 $ 22,487
Tandy Corporation.................... 210 10,894
The Gap, Inc. ....................... 1,000 30,125
The Limited, Inc. ................... 1,000 20,750
TJX Companies, Inc. ................. 250 7,375
Toys 'R' Us, Inc. (a)................ 1,000 27,875
Wal-Mart Stores, Inc. ............... 7,900 188,613
Walgreen Company..................... 850 27,200
Winn-Dixie Stores, Inc. ............. 500 16,500
Woolworth Corporation................ 450 8,606
-----------
752,697
TELECOMMUNICATIONS -- 8.32%
Airtouch Communications, Inc. (a).... 1,750 54,687
Alltel Corporation................... 700 23,013
Ameritech Corporation................ 1,900 110,913
AT&T Corporation..................... 5,500 336,875
Bell Atlantic Corporation............ 1,500 97,500
BellSouth Corporation................ 3,425 137,000
General Instrument Corporation (a)... 400 13,100
GTE Corporation...................... 3,350 145,306
MCI Communications Corporation....... 2,350 69,178
Northern Telecom, Ltd................ 850 43,775
NYNEX Corporation.................... 1,500 73,687
Pacific Telesis Group................ 1,500 51,375
SBC Communications, Inc.............. 2,100 105,000
Sprint Corporation................... 1,475 62,134
Tellabs, Inc. (a).................... 300 16,575
U.S. West Communications Group....... 1,600 52,400
WorldCom, Inc. (a)................... 650 30,550
-----------
1,423,068
<CAPTION>
MARKET
SHARES VALUE
------ -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- -------------------------------------
TRANSPORTATION -- 1.67%
AMR Corporation (a).................. 250 $ 22,313
Burlington Northern Santa Fe, Inc.... 550 48,125
Caliber System, Inc.................. 114 4,574
Conrail, Inc......................... 275 19,181
Consolidated Freightways, Inc........ 200 5,225
CSX Corporation...................... 700 35,875
Delta Air Lines, Inc................. 175 14,066
Federal Express Corporation (a)...... 200 16,150
Norfolk Southern Corporation......... 450 37,800
Ryder System, Inc.................... 275 8,009
Santa Fe Pacific Gold Corporation.... 450 6,694
Southwest Airlines Company........... 500 14,875
Union Pacific Corporation............ 700 47,687
USAir Group, Inc. (a)................ 200 3,550
Yellow Corporation................... 79 968
-----------
285,092
-----------
Total Common Stocks
(cost $12,643,994)............... 17,092,076
-----------
PREFERRED STOCKS -- 0.00%
DIVERSIFIED -- 0.00%
Teledyne, Inc. -- Series E (cost
$0)................................ 2 22
-----------
WARRANTS -- 0.00%
ENGINEERING -- 0.00%
Emcor Group, Inc. -- Class Z (a)
(cost $0).......................... 2 0
-----------
TOTAL INVESTMENTS -- 100%
(cost $12,643,994)................. $17,092,098
===========
</TABLE>
- -------------------------
(a) Non-income producing.
See notes to unaudited financial statements.
26
<PAGE> 27
JACKSON NATIONAL TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS -- 56.74%
- ---------------------------------
AEROSPACE & DEFENSE -- 2.72%
Lockheed Martin Corporation...... 2,500 $ 201,563
Rockwell International
Corporation.................... 3,700 216,450
United Technologies
Corporation.................... 2,700 298,350
-----------
716,363
APPAREL & TEXTILES -- 1.15%
V.F. Corporation................. 5,300 302,100
AUTOMOTIVE -- 3.16%
Ford Motor Company............... 7,400 265,475
General Motors Corporation....... 4,900 265,825
TRW, Inc......................... 3,200 300,400
-----------
831,700
CAPITAL GOODS & MANUFACTURING -- 3.06%
Cooper Industries, Inc........... 5,600 238,000
General Electric Company......... 2,800 217,000
Parker-Hannifin Corporation...... 8,300 350,675
-----------
805,675
CHEMICALS -- 2.24%
Grace (W.R.) & Company........... 3,700 286,750
PPG Industries, Inc.............. 6,000 303,750
-----------
590,500
COMPUTERS & TECHNOLOGY -- 3.63%
Harris Corporation............... 5,000 308,750
International Business Machines
Corporation.................... 2,600 279,500
Xerox Corporation................ 2,500 366,250
-----------
954,500
CONSUMER PRODUCTS -- 5.02%
American Brands, Inc............. 5,100 212,287
Anheuser-Busch Companies, Inc.... 3,100 208,088
Dial Corporation................. 4,600 129,375
Philip Morris Companies, Inc..... 3,200 288,400
Polaroid Corporation............. 4,300 193,500
RJR Nabisco Holdings
Corporation.................... 9,700 289,787
-----------
1,321,437
DOMESTIC BANKS -- 5.47%
BankAmerica Corporation.......... 3,800 287,850
Boatmen's Bancshares, Inc........ 4,300 166,625
Charter One Financial, Inc....... 2,500 87,187
Chase Manhattan Corporation...... 4,500 309,938
KeyCorp.......................... 7,400 285,825
Mellon Bank Corporation.......... 5,600 301,000
-----------
1,438,425
ELECTRIC UTILITIES -- 4.19%
Edison International............. 14,300 228,800
<CAPTION>
MARKET
SHARES VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------
ELECTRIC UTILITIES (CONTINUED)
General Public Utilities
Corporation.................... 9,400 $ 298,450
Ohio Edison Company.............. 13,300 277,637
PECO Energy Company.............. 12,000 298,500
-----------
1,103,387
ENERGY -- 4.85%
Ashland Oil, Inc................. 7,500 308,438
Chevron Corporation.............. 5,300 307,400
Exxon Corporation................ 4,200 357,000
Occidental Petroleum
Corporation.................... 11,800 303,850
-----------
1,276,688
HEATH CARE -- 5.15%
Baxter International, Inc........ 5,400 238,950
Bristol-Myers Squibb Company..... 3,600 296,100
Columbia/HCA Healthcare
Corporation.................... 4,600 244,375
Pharmacia & Upjohn, Inc.......... 6,500 248,625
U.S. Healthcare, Inc............. 6,300 328,387
-----------
1,356,437
INDEPENDENT FINANCE COMPANIES -- 2.78%
Beneficial Corporation........... 5,700 314,925
Student Loan Marketing
Association.................... 2,800 205,100
Transamerica Corporation......... 2,800 212,800
-----------
732,825
INSURANCE -- 3.16%
American General Corporation..... 5,900 207,238
CIGNA Corporation................ 2,800 317,450
ITT Hartford Group, Inc.......... 6,300 307,913
-----------
832,601
LEISURE & ENTERTAINMENT -- 1.16%
Hasbro, Inc...................... 8,300 305,025
METALS & MINING -- 1.12%
Phelps Dodge Corporation......... 4,000 294,000
PAPER & FOREST PRODUCTS -- 0.82%
Mead Corporation................. 3,900 216,937
RETAIL -- 2.20%
Federated Department Stores, Inc.
(a)............................ 8,900 297,038
J.C. Penney Company, Inc......... 5,700 282,150
-----------
579,188
TELECOMMUNICATIONS -- 2.88%
Sprint Corporation............... 9,100 383,337
U.S. West Communications Group... 11,400 373,350
-----------
756,687
</TABLE>
See notes to unaudited financial statements.
27
<PAGE> 28
JACKSON NATIONAL TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
- ---------------------------------
TRANSPORTATION -- 1.98%
Burlington Northern Santa Fe..... 2,200 $ 192,500
CSX Corporation.................. 6,400 328,000
-----------
520,500
-----------
Total Common Stock
(cost $11,131,127)......... 14,934,975
-----------
CORPORATE OBLIGATIONS -- 19.21%
- ----------------------------------------------------------
AEROSPACE & DEFENSE -- 1.20%
Litton Industries, Inc.
7.75%, 03/15/2026.............. $ 100,000 96,930
McDonnell Douglas Corporation
9.25%, 04/01/2002.............. 100,000 110,519
Northrop Grumman Corporation
8.625%, 10/15/2004............. 100,000 107,435
-----------
314,884
AUTOMOTIVE -- 0.35%
Ford Motor Company
7.125%, 11/15/2025............. 100,000 92,128
BROKERAGE -- 0.38%
Lehman Brothers, Inc.
7.25%, 04/15/2003.............. 100,000 99,126
CAPITAL GOODS & MANUFACTURING -- 0.40%
CDV Acquisition Corporation (Van
Kampen Merritt)
9.75%, 02/15/2003.............. 100,000 105,500
CHEMICALS -- 0.81%
LaRoch Industries, Inc.
13.00%, 08/15/2004............. 100,000 106,000
Terra Industries
10.50%, 06/15/2005............. 100,000 106,500
-----------
212,500
CONSUMER PRODUCTS -- 2.32%
Coty, Inc.
10.25%, 05/01/2005............. 200,000 209,000
Crown Cork & Seal
6.75%, 04/15/2003.............. 100,000 96,673
Dominick's Finer Foods
10.875%, 05/01/2005............ 100,000 105,000
Philip Morris Companies, Inc.
7.25%, 01/15/2003.............. 100,000 99,658
Simmons Company -- 144a
10.75%, 04/15/2006............. 100,000 100,625
-----------
610,956
DIVERSIFIED -- 0.72%
Hanson Overseas
6.75%, 09/15/2005.............. 200,000 190,536
DOMESTIC BANKS -- 0.74%
Bank of Boston
6.625%, 12/01/2005............. 100,000 95,008
Nationsbank Corporation
7.75%, 08/15/2015.............. 100,000 99,960
-----------
194,968
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
<S> <C> <C>
CORPORATE OBLIGATIONS (CONTINUED)
- ---------------------------------
ENERGY -- 1.23%
United Meridian Corporation
10.375%, 10/15/2005............ $ 100,000 $ 103,500
USX Corporation
9.80%, 07/01/2001.............. 200,000 220,232
-----------
323,732
HOTEL & GAMING -- 1.92%
Circus Circus Enterprises
6.45%, 02/01/2006.............. 100,000 92,626
Showboat, Inc.
13%, 08/01/2009................ 100,000 114,500
Station Casinos
10.125%, 03/15/2006............ 200,000 196,000
Trump Atlantic City
11.25%, 05/01/2006............. 100,000 101,500
-----------
504,626
HOUSING RELATED -- 1.26%
G-I Holdings Company
0.00%, 10/01/1998.............. 150,000 118,500
Schuller International Group,
Inc.
10.875%, 12/15/2004............ 100,000 108,000
Toll Corporation
10.50%, 03/15/2002............. 100,000 104,000
-----------
330,500
INDEPENDENT FINANCE COMPANIES -- 0.79%
Associates Corporation N.A.
8.625%, 11/15/2004............. 100,000 109,350
General Electric Capital
Corporation
6.66%, 05/01/2018.............. 100,000 99,584
-----------
208,934
INSURANCE -- 1.17%
American Reinsurance Corporation
10.875%, 09/15/2004............ 100,000 109,332
Travelers/Aetna Property &
Casualty
6.75%, 04/15/2001.............. 200,000 199,126
-----------
308,458
LEISURE & ENTERTAINMENT -- 1.17%
AMF Corporation -- 144a
0.00% to 03/15/2001;
12.25% to 03/15/2006........... 200,000 109,000
Aztar Corporation
11%, 10/01/2002................ 100,000 101,750
ITT Corporation
6.25%, 11/15/2000.............. 100,000 97,272
-----------
308,022
MEDIA -- 1.65%
Big Flower Press
10.75%, 08/01/2003............. 125,000 124,375
Century Communications
9.50%, 03/01/2005.............. 100,000 99,000
Rogers Cablesystems Limited
10.00%, 03/15/2005............. 100,000 102,000
</TABLE>
See notes to unaudited financial statements.
28
<PAGE> 29
JACKSON NATIONAL TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
<S> <C> <C>
CORPORATE OBLIGATIONS (CONTINUED)
- ---------------------------------
MEDIA (CONTINUED)
Time Warner Enterprises, Inc.
9.625%, 05/01/2002............. $ 100,000 $ 110,387
-----------
435,762
METALS & MINING -- 1.61%
AK Steel Corporation
10.75%, 04/01/2004............. 100,000 109,250
Bar Technologies, Inc. -- 144a
13.50%, 04/01/2001............. 100,000 99,000
UCAR Global Enterprises, Inc.
12.00%, 01/15/2005............. 105,000 119,700
WMC Finance Limited USA
7.25%, 11/15/2013.............. 100,000 95,605
-----------
423,555
PAPER & FOREST PRODUCTS -- 0.69%
Doman Industries, Ltd.
8.75%, 03/15/2004.............. 200,000 181,000
TRANSPORTATION -- 0.41%
AMR Corporation
9.50%, 05/15/2001.............. 100,000 108,861
WASTE MANAGEMENT -- 0.39%
Norcal Waste Systems (step-up
bond) -- 144a 12.50%,
11/15/2005 (b)................. 100,000 102,000
-----------
Total Corporate Obligations
(cost $5,141,818).......... 5,056,048
-----------
FOREIGN GOVERNMENT BONDS -- 0.82%
- ---------------------------------
Quebec Province
8.80%, 04/15/2003
(cost $220,581)................ 200,000 217,150
U.S. GOVERNMENT SECURITIES -- 22.09%
- ----------------------------------------------------------
U.S. GOVERNMENT AGENCIES --
10.30%
Federal Home Loan Mortgage
Company
5.50%, 02/01/2011.............. 99,324 92,252
6.50%, 03/01/2011.............. 254,999 247,326
7.00%, 04/01/2011.............. 178,500 176,779
6.00%, 03/01/2026.............. 104,907 95,769
6.50%, 03/01/2026.............. 324,735 305,073
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
---------- -----------
U.S. GOVERNMENT SECURITIES (CONTINUED)
- ----------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES (CONTINUED)
7.00%, 03/01/2026.............. $ 177,874 $ 171,791
7.50%, 03/01/2026.............. 125,000 123,281
Federal National Mortgage
Association
7.50%, 04/01/2011.............. 99,914 100,633
8.00%, 03/01/2026.............. 449,717 454,380
Government National Mortgage
Association
7.50%, 03/15/2024.............. 505,777 500,431
7.00%, 03/15/2026.............. 458,649 441,973
-----------
2,709,688
U.S. GOVERNMENT BONDS -- 1.21%
U.S. Treasury Strips
0.00%, 02/15/2003.............. 200,000 128,470
0.00% to 11/15/2009;
11.75% to 11/15/2014........... 150,000 57,457
0.00%, 02/15/2013.............. 300,000 90,663
0.00%, 08/15/2021.............. 250,000 40,925
-----------
317,515
U.S. GOVERNMENT NOTES -- 10.58%
U.S. Treasury Note
8.875%, 11/15/1997............. 500,000 521,170
9.00%, 05/15/1998.............. 450,000 474,890
5.875%, 08/15/1998............. 675,000 671,517
6.875%, 07/31/1999............. 1,100,000 1,118,557
-----------
2,786,134
-----------
Total U.S. Government
Securities
(cost $5,852,641).......... 5,813,337
-----------
SHORT TERM INVESTMENTS -- 1.14%
- ----------------------------------------------------------
COMMERCIAL PAPER -- 1.14%
American Express Credit Corp.
5.26%, 05/01/1996.............. 300,000 300,000
-----------
Total Short Term Investments
(cost $300,000)............ 300,000
-----------
TOTAL INVESTMENTS -- 100%
- -------------------------
(cost $22,646,167)............. $26,321,510
==========
</TABLE>
- -------------------------
(a) Non-income producing.
(b) Coupon payment periodically increases over the life of the security. Rate
stated is in effect on April 30, 1996.
See notes to unaudited financial statements.
29
<PAGE> 30
- --------------------------------------------------------------------------------
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
National Family of Funds quickly and easily without a service fee. JNCMF 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 objectives for your
changing investment needs.
- - AUTOMATIC MONTHLY INVESTMENT PLAN. You may purchase additional shares by
having your money automatically withdrawn from your checking account and
deposited into your Fund's account each month.
- - PREAUTHORIZED ELECTRONIC FUNDS TRANSFER (ACH). Often referred to as a
"paperless check," ACH allows you to take advantage of a variety o
preauthorized account transactions, including automatic monthly investments
and systematic monthly or quarterly withdrawals. ACH is a quick, safe and
accurate way to move money between your bank account and your JNCMF account.
- - CHECK WRITING. Shareholders of Jackson National's Money Market Fund may
exercise the check writing privilege to draw from their accounts.
- - REDEMPTION. Easy access makes redemption services available to you 24 hours a
day, every day of the year. The amount you receive may be more, or less, than
your original investment.
- - ADDITIONS TO YOUR ACCOUNT. You can purchase additional shares for your account
at any time with a $50 minimum additional investment.
- - REINVESTMENT OF DISTRIBUTIONS. You can compound the return on your investment
by automatically reinvesting your Fund's distributions at net asset value with
no sales charge.
- - RETIREMENT PLANS. JNCMF offers a range of qualified retirement plans,
including IRAs, Rollover IRAs, SEP-IRAs and 403(b) accounts. 401(k) programs,
Keogh or Corporate Profit-Sharing and Money-Purchase plans may invest in the
Jackson National Family of Funds. For more information, please call toll free
at 800/888-FUND.
JNCMF is committed to providing you with quality service responsive to your
needs. We will do our best to assist you in carrying out your investment plans.
- --------------------------------------------------------------------------------
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> 31
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 Capital Management Funds Logo
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JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
P.O. Box 419102
Kansas City, MO 64141-6102
M2220 Rev. 6/96
Jackson National Capital Management Funds Logo
JACKSON NATIONAL
CAPITAL MANAGEMENT FUNDS
Semi-Annual
Report
April 30, 1996
