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<PAGE> 1
LETTER TO SHAREHOLDERS
Dear Shareholder:
We are pleased to report on the operations of the Jackson National Capital
Management Funds for the fiscal year ended October 31, 1996. The following
discussion provides you with information regarding each Fund's performance
during that period.
The United States financial markets were volatile throughout the year. The
equity markets were strong during the first half of the period, but declined
significantly in July, then recovered and posted a gain for the period.
Interest rates fell early in the period; rose, putting pressure on stocks, then
fell again after the Federal Reserve Board chose not to raise rates at both the
August and September Federal Open Market Committee meetings. The bond markets
fell during both the first and second calendar quarters. The volatility in
the markets was driven by divergent opinions concerning the strength
of the economy.
JACKSON NATIONAL MONEY MARKET FUND
The Jackson National Money Market Fund underperformed the IBC/Donoghue's Money
Fund Report Average. The IBC/Donoghue's Money Fund Report Average is an
average for all major money market mutual fund yields. On October 31, 1996,
the Fund's 7-day yield was 5.04%, while the IBC/Donoghue's Money Fund Report
Average was 5.12%.
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
The Jackson National Tax-Exempt Fund's cumulative total return for the year
ended October 31, 1996 was 4.10%. The Fund underperformed the Lehman Brothers
Municipal Bond Index, which returned 5.71% for the 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
The Jackson National Income Fund's cumulative total return for the year ended
October 31, 1996 was 4.96%. The Fund underperformed the Lehman Brothers
Aggregate Bond Index, which returned 5.83% for the 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.
<PAGE> 2
LETTER TO SHAREHOLDERS
JACKSON NATIONAL GROWTH FUND
The Jackson National Growth Fund's cumulative total return for the year ended
October 31, 1996 was 23.75%. The Fund underperformed the Standard & Poor's 500
Composite Stock Price Index (S&P 500 Index), which returned 24.08% for the same
period. The S&P 500 Index is a broad-based, unmanaged index made up of 500
widely held common stocks. The Fund's underperformance was due to the
deduction of fees and expenses charged by the Fund.
JACKSON NATIONAL TOTAL RETURN FUND
The Jackson National Total Return Fund's cumulative total return for the year
ended October 31, 1996 was 16.27%. The Fund underperformed S&P 500 Index,
which returned 24.08% for the same period, and outperformed the Lehman Brothers
Aggregate Bond Index, which returned 5.83% for the same period.
IN CLOSING
As President of the Jackson National Capital Management Funds, I would like to
wish you success with your financial investments in the future.
Respectfully,
John A. Knutson
John A. Knutson
President and Chairman
<PAGE> 3
PERFORMANCE COMPARISONS
JACKSON NATIONAL
TAX-EXEMPT FUND
This graph compares the total return performance of the Jackson National
Tax-Exempt Fund to the Lehman Brothers Municipal Bond Index, an unmanaged,
commonly used measure of municipal bond total return results. The Index shows
returns for a representative sample of long-term, investment-grade, municipal
bond issues of at least $50 million and dated within the last five years.
AVERAGE ANNUAL TOTAL RETURN
AS OF OCTOBER 31, 1996
<TABLE>
<CAPTION>
3 YEAR 1 YEAR SINCE
INCEPTION
(11/12/92)
<S> <C> <C>
1.85% (.84%) 4.43%
</TABLE>
<TABLE>
<CAPTION>
LEHMAN BRO
TAX EXEMPT MUNIC, INDE
<S> <C> <C>
30-Nov-92 9,525 10,000
31-Dec-92 9,612 10,102
31-Jan-93 9,755 10,219
28-Feb-93 10,120 10,589
31-Mar-93 9,947 10,477
30-Apr-93 10,054 10,583
28-May-93 10,103 10,642
30-Jun-93 10,288 10,820
30-Jul-93 10,268 10,834
31-Aug-93 10,485 11,059
30-Sep-93 10,672 11,185
31-Oct-93 10,712 11,206
30-Nov-93 10,623 11,108
31-Dec-93 10,811 11,342
31-Jan-94 10,931 11,471
28-Feb-94 10,608 11,174
31-Mar-94 10,264 10,720
30-Apr-94 10,313 10,811
31-May-94 10,403 10,905
30-Jun-94 10,350 10,838
31-Jul-94 10,501 11,037
31-Aug-94 10,529 11,075
30-Sep-94 10,402 10,912
31-Oct-94 10,255 10,718
30-Nov-94 10,117 10,524
31-Dec-94 10,316 10,756
31-Jan-95 10,513 11,063
28-Feb-95 10,701 11,385
31-Mar-95 10,794 11,516
30-Apr-95 10,793 11,530
31-May-95 11,102 11,898
30-Jun-95 10,983 11,794
31-Jul-95 11,068 11,906
31-Aug-95 11,186 12,058
30-Sep-95 11,217 12,133
31-Oct-95 11,416 12,309
30-Nov-95 11,645 12,448
31-Dec-95 11,787 12,622
31-Jan-96 11,851 12,620
29-Feb-96 11,750 12,735
31-Mar-96 11,536 12,873
30-Apr-96 11,489 12,868
31-May-96 11,463 12,832
30-Jun-96 11,551 12,668
31-Jul-96 11,662 12,582
31-Aug-96 11,637 12,678
30-Sep-96 11,783 12,799
31-Oct-96 11,884 13,012
</TABLE>
JACKSON NATIONAL
INCOME FUND
This graph compares the total return performance of the Jackson National Income
Fund to the Lehman Brothers Aggregate Bond Index, an unmanaged, commonly used
measure of bond total return results. The Index is made up of the Lehman
Brothers Government/Corporate Mortgage-Backed Securities and Asset-Backed
Securities indices.
AVERAGE ANNUAL TOTAL RETURN
AS OF OCTOBER 31, 1996
<TABLE>
<CAPTION>
3 YEAR 1 YEAR SINCE
INCEPTION
(11/12/92)
<S> <C> <C>
1.91% (.02%) 4.85%
</TABLE>
<TABLE>
<CAPTION>
LEHMAN BROS
INCOME AGGR. BOND
<S> <C> <C>
30-Nov-92 9,525 10,000
31-Dec-92 9,669 10,159
31-Jan-93 9,939 10,354
28-Feb-93 10,173 10,535
31-Mar-93 10,223 10,580
30-Apr-93 10,291 10,654
28-May-93 10,251 10,667
30-Jun-93 10,490 10,860
30-Jul-93 10,539 10,922
31-Aug-93 10,809 11,114
30-Sep-93 10,899 11,144
31-Oct-93 10,940 11,185
30-Nov-93 10,757 11,090
31-Dec-93 10,822 11,150
31-Jan-94 10,986 11,300
28-Feb-94 10,676 11,103
31-Mar-94 10,343 10,829
30-Apr-94 10,215 10,743
31-May-94 10,209 10,742
30-Jun-94 10,184 10,718
31-Jul-94 10,338 10,931
31-Aug-94 10,365 10,944
30-Sep-94 10,241 10,783
31-Oct-94 10,237 10,774
30-Nov-94 10,202 10,797
31-Dec-94 10,263 10,872
31-Jan-95 10,412 11,087
28-Feb-95 10,628 11,351
31-Mar-95 10,714 11,420
30-Apr-95 10,836 11,580
31-May-95 11,198 12,028
30-Jun-95 11,267 12,116
31-Jul-95 11,229 12,089
31-Aug-95 11,354 12,236
30-Sep-95 11,438 12,354
31-Oct-95 11,581 12,515
30-Nov-95 11,772 12,793
31-Dec-95 11,938 13,015
31-Jan-96 11,989 12,993
29-Feb-96 11,741 13,028
31-Mar-96 11,665 13,203
30-Apr-96 11,590 13,177
31-May-96 11,562 13,103
30-Jun-96 11,702 13,011
31-Jul-96 11,724 12,785
31-Aug-96 11,723 12,869
30-Sep-96 11,938 13,049
31-Oct-96 12,156 13,245
</TABLE>
<PAGE> 4
PERFORMANCE COMPARISONS
JACKSON NATIONAL
GROWTH FUND
This graph compares the total return performance of the Jackson National Growth
Fund to the Standard & Poor's 500 Composite Stock Price Index, an
unmanaged, commonly used measure
of common stock total return results.
AVERAGE ANNUAL TOTAL RETURN
AS OF OCTOBER 31, 1996
<TABLE>
<CAPTION>
3 YEAR 1 YEAR SINCE
INCEPTION
(11/12/92)
<S> <C> <C>
15.31% 17.77% 14.81%
</TABLE>
<TABLE>
<CAPTION>
STANDARD &
GROWTH FUND POORS 500
<S> <C> <C>
30-Nov-92 9,525 10,000
31-Dec-92 9,633 10,123
31-Jan-93 9,708 10,208
28-Feb-93 9,839 10,347
31-Mar-93 10,045 10,566
30-Apr-93 9,792 10,310
28-May-93 10,055 10,586
30-Jun-93 10,073 10,616
30-Jul-93 10,027 10,574
31-Aug-93 10,401 10,975
30-Sep-93 10,317 10,891
31-Oct-93 10,523 11,116
30-Nov-93 10,420 11,010
31-Dec-93 10,542 11,142
31-Jan-94 10,896 11,520
28-Feb-94 10,600 11,206
31-Mar-94 10,131 10,718
30-Apr-94 10,255 10,855
31-May-94 10,418 11,031
30-Jun-94 10,160 10,760
31-Jul-94 10,494 11,112
31-Aug-94 10,915 11,565
30-Sep-94 10,647 11,281
31-Oct-94 10,887 11,533
30-Nov-94 10,494 11,114
31-Dec-94 10,646 11,278
31-Jan-95 10,921 11,570
28-Feb-95 11,345 12,021
31-Mar-95 11,650 12,375
30-Apr-95 11,985 12,739
31-May-95 12,458 13,247
30-Jun-95 12,743 13,555
31-Jul-95 13,157 14,004
31-Aug-95 13,186 14,039
30-Sep-95 13,748 14,631
31-Oct-95 13,698 14,579
30-Nov-95 14,299 15,218
31-Dec-95 14,567 15,511
31-Jan-96 15,057 16,039
29-Feb-96 15,186 16,188
31-Mar-96 15,328 16,344
30-Apr-96 15,560 16,585
31-May-96 15,959 17,012
30-Jun-96 16,011 17,076
31-Jul-96 15,302 16,322
31-Aug-96 15,624 16,667
30-Sep-96 16,488 17,604
31-Oct-96 16,952 18,090
</TABLE>
JACKSON NATIONAL
TOTAL RETURN FUND
This graph compares the total return performance of the Jackson National Total
Return Fund to the Standard & Poor's 500 Composite Stock Price Index and the
Lehman Brothers Aggregate Bond Index, which are unmanaged, commonly used
measure of total return results for common stocks and bonds, respectively.
The Jackson National Total Return Fund consists of approximately 55% common
stocks, with the balance primarily
in bonds.
AVERAGE ANNUAL TOTAL RETURN
AS OF OCTOBER 31, 1996
<TABLE>
<CAPTION>
3 YEAR 1 YEAR SINCE
INCEPTION
(11/12/92)
<S> <C> <C>
10.98% 10.69% 12.18%
</TABLE>
<TABLE>
<CAPTION>
STANDARD & LEHMAN BROS
TOTAL RETURN POORS 500 AGGR. BOND
<S> <C> <C> <C>
30-Nov-92 9,525 10,000 10,000
31-Dec-92 9,710 10,123 10,159
31-Jan-93 9,862 10,208 10,354
28-Feb-93 10,032 10,347 10,535
31-Mar-93 10,249 10,566 10,580
30-Apr-93 10,145 10,310 10,654
28-May-93 10,211 10,586 10,667
30-Jun-93 10,494 10,616 10,860
30-Jul-93 10,513 10,574 10,922
31-Aug-93 10,797 10,975 11,114
30-Sep-93 10,740 10,891 11,144
31-Oct-93 10,844 11,116 11,185
30-Nov-93 10,740 11,010 11,090
31-Dec-93 10,872 11,142 11,150
31-Jan-94 11,186 11,520 11,300
28-Feb-94 10,993 11,206 11,103
31-Mar-94 10,608 10,718 10,829
30-Apr-94 10,618 10,855 10,743
31-May-94 10,740 11,031 10,742
30-Jun-94 10,638 10,760 10,718
31-Jul-94 10,821 11,112 10,931
31-Aug-94 11,166 11,565 10,944
30-Sep-94 10,912 11,281 10,783
31-Oct-94 10,912 11,533 10,774
30-Nov-94 10,689 11,114 10,797
31-Dec-94 10,826 11,278 10,872
31-Jan-95 11,121 11,570 11,087
28-Feb-95 11,522 12,021 11,351
31-Mar-95 11,755 12,375 11,420
30-Apr-95 11,955 12,739 11,580
31-May-95 12,431 13,247 12,028
30-Jun-95 12,526 13,555 12,116
31-Jul-95 12,800 14,004 12,089
31-Aug-95 12,948 14,039 12,236
30-Sep-95 13,339 14,631 12,354
31-Oct-95 13,392 14,579 12,515
30-Nov-95 13,888 15,218 12,793
31-Dec-95 14,162 15,511 13,015
31-Jan-96 14,502 16,039 12,993
29-Feb-96 14,502 16,188 13,028
31-Mar-96 14,585 16,344 13,203
30-Apr-96 14,679 16,585 13,177
31-May-96 14,902 17,012 13,103
30-Jun-96 14,913 17,076 13,011
31-Jul-96 14,596 16,322 12,785
31-Aug-96 14,855 16,667 12,869
30-Sep-96 15,254 17,604 13,049
31-Oct-96 15,571 18,090 13,245
</TABLE>
These graphs assume an initial investment of $10,000 made on November 30, 1992.
Returns shown include the effect of the 4.75% maximum sales charge, the
reinvestment of all distributions at net asset value and the change in share
price for the stated periods. The indices cited represent unmanaged groups of
securities or bonds differing from the composition of the Jackson National
Capital Management Funds. Returns indicate past performance, which is no
guarantee of future results. Investment return and principal value will
fluctuate so that your shares, when redeemed, may be worth more or less than
the original cost.
<PAGE> 5
[PRICE WATERHOUSE LLP LETTERHEAD]
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and
Board of Trustees of
Jackson National Capital Management Funds
In our opinion, the accompanying statement of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Jackson National Money Market
Fund, Jackson National Tax-Exempt Fund, Jackson National Income Fund, Jackson
National Growth Fund and Jackson National Total Return Fund (constituting
Jackson National Capital Management Funds, hereafter referred to as the
"Funds") at October 31, 1996, the results of each of their operations for the
year then ended, the changes in each of their net assets for each of the two
years in the period then ended and the financial highlights for each of the
three years in the period ended October 31, 1996 and for the period November
12, 1992 (commencement of operations) through October 31, 1993, in conformity
with generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of
material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at October 31, 1996 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
As discussed in Note 6, on November 5, 1996, the Board of Trustees approved an
Agreement and Plan of Liquidation (the "Plan") for the Trust. As part of the
Plan, on a date not later than December 20, 1996, the Fund will cease
operations and the shareholders of each Fund will have their shares redeemed
for cash.
/s/ Price Waterhouse LLP
December 10, 1996
<PAGE> 6
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
OCTOBER 31, 1996
<TABLE>
<CAPTION>
MONEY MARKET TAX-EXEMPT INCOME GROWTH TOTAL RETURN
FUND FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at cost $22,414,069 $20,841,010 $22,024,301 $14,672,238 $23,830,848
- ------------------------------------------------------------------------------------------------------------------------------------
Investments in securities, at value $22,414,069 $21,286,991 $22,290,569 $20,490,151 $27,525,982
Cash 2,553 155,783 36,940 104,810 49,485
Receivables:
Dividends and interest - 387,539 420,928 29,398 217,981
Fund shares sold 28,193 1,868 237 2,788 1,494
Investment securities sold - - 430,873 49 994,031
Prepaid expenses 10,652 10,652 10,652 10,652 10,652
- ------------------------------------------------------------------------------------------------------------------------------------
Total Assets 22,455,467 21,842,833 23,190,199 20,637,848 28,799,625
- ------------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Dividends to shareholders 2,612 2,380 1,619 - -
Fund shares redeemed 78,268 - 1,865 930 130
Investment securities purchased - - 412,695 78,845 1,009,963
Accrued expenses and other liabilities 47,783 35,370 38,464 41,743 42,293
- ------------------------------------------------------------------------------------------------------------------------------------
Total Liabilities 128,663 37,750 454,643 121,518 1,052,386
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $22,326,804 $21,805,083 $22,735,556 $20,516,330 $27,747,239
===================================================================================================================================
NET ASSETS CONSIST OF
Paid-in capital $22,326,804 $21,243,390 $23,310,701 $14,256,114 $21,031,423
Undistributed net investment income - 400 4,140 291,454 835,005
Accumulated net realized gains (losses) on investments - 115,312 (845,553) 150,849 2,185,677
Net unrealized appreciation on investments - 445,981 266,268 5,817,913 3,695,134
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS $22,326,804 $21,805,083 $22,735,556 $20,516,330 $27,747,239
===================================================================================================================================
===================================================================================================================================
SHARES OF BENEFICIAL INTEREST OUTSTANDING (UNLIMITED NUMBER OF
SHARES AUTHORIZED) 22,326,804 2,110,080 2,268,522 1,560,647 2,093,261
===================================================================================================================================
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE $1.00 $10.33 $10.02 $13.15 $13.26
===================================================================================================================================
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 $10.85 $10.52 $13.81 $13.92
===================================================================================================================================
</TABLE>
See notes to financial statements.
<PAGE> 7
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
STATEMENTS OF OPERATIONS
YEAR ENDED OCTOBER 31, 1996
<TABLE>
<CAPTION>
MONEY MARKET TAX-EXEMPT INCOME GROWTH
FUND FUND FUND FUND
==================================================================================================================================
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends $ - $ - $ 17,542 $ 389,058
Interest 1,247,134 1,152,468 1,459,519 -
Other income
Foreign tax withholding - - - (2,578)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 1,247,134 1,152,468 1,477,061 386,480
- ----------------------------------------------------------------------------------------------------------------------------------
EXPENSES
Administrative service fees - 54,427 55,658 42,524
Adviser fees 112,495 108,853 133,580 42,524
Custodian fees 15,966 4,579 9,371 18,877
Portfolio accounting fees 42,000 42,000 42,000 42,000
Professional fees 24,843 24,843 24,843 24,843
Regulatory fees 20,815 18,835 18,785 19,410
Transfer agency fees 118,474 85,567 85,462 90,490
Trustee fees 1,600 1,600 1,600 1,600
Other 8,283 4,392 4,930 13,538
- ----------------------------------------------------------------------------------------------------------------------------------
Total Expenses 344,476 345,096 376,229 295,806
Less:
Reimbursement from Adviser (232,002) (149,703) (153,637) (253,603)
Fees paid indirectly (268) (5,088) (3,242) (2,491)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Expenses 112,206 190,305 219,350 39,712
- ----------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,134,928 962,163 1,257,711 346,768
- ----------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains on investments - 115,291 60,033 174,710
Net change in unrealized appreciation (depreciation) on investments - (197,444) (235,323) 3,039,514
- ----------------------------------------------------------------------------------------------------------------------------------
Net Realized and Unrealized Gains (Losses) on Investments - (82,153) (175,290) 3,214,224
- ----------------------------------------------------------------------------------------------------------------------------------
==================================================================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $1,134,928 $ 880,010 $1,082,421 $3,560,992
==================================================================================================================================
<CAPTION>
TOTAL RETURN
FUND
========================================================================================
<S> <C>
INVESTMENT INCOME
Dividends $ 452,429
Interest 829,728
Other income
Foreign tax withholding -
- ----------------------------------------------------------------------------------------
Total Investment Income 1,282,157
- ----------------------------------------------------------------------------------------
EXPENSES
Administrative service fees 65,276
Adviser fees 182,772
Custodian fees 17,021
Portfolio accounting fees 42,000
Professional fees 24,843
Regulatory fees 18,935
Transfer agency fees 95,871
Trustee fees 1,600
Other 7,740
- ----------------------------------------------------------------------------------------
Total Expenses 456,058
Less:
Reimbursement from Adviser (142,926)
Fees paid indirectly (3,110)
- ----------------------------------------------------------------------------------------
Net Expenses 310,022
- ----------------------------------------------------------------------------------------
NET INVESTMENT INCOME 972,135
- ----------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS
Net realized gains on investments 2,186,531
Net change in unrealized appreciation (depreciation) on investments 706,879
- ----------------------------------------------------------------------------------------
Net Realized and Unrealized Gains (Losses) on Investments 2,893,410
- ----------------------------------------------------------------------------------------
========================================================================================
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $3,865,545
========================================================================================
</TABLE>
See notes to financial statements.
<PAGE> 8
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MONEY MARKET FUND TAX-EXEMPT FUND
--------------------------- --------------------------
Year ended Year ended Year ended Year ended
10/31/96 10/31/95 10/31/96 10/31/95
===================================================================================================================================
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 1,134,928 $ 1,145,465 $ 962,163 $ 1,090,985
Net realized gains on investments - - 115,291 82,674
Net change in unrealized appreciation (depreciation) on
investments - - (197,444) 1,448,037
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 1,134,928 1,145,465 880,010 2,621,696
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,134,928) (1,145,465) (962,315) (1,090,902)
Net realized gains on investments - - (82,667) (187,566)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (1,134,928) (1,145,465) (1,044,982) (1,278,468)
- ----------------------------------------------------------------------------------------------------------------------------------
TRUST SHARE TRANSACTIONS:
Purchases of trust shares 25,919,612 41,294,922 220,399 666,409
Reinvested income dividends 1,095,831 1,105,023 952,013 1,077,486
Reinvested capital gain distributions - - 81,622 187,004
Redemptions of trust shares (28,786,349) (27,404,428) (993,367) (11,028,400)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Trust Capital (1,770,906) 14,995,517 260,667 (9,097,501)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets (1,770,906) 14,995,517 95,695 (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 $ 22,326,804 $ 24,097,710 $21,805,083 $ 21,709,388
==================================================================================================================================
==================================================================================================================================
Undistributed Net Investment Income $ - $ - $ 400 $ 552
==================================================================================================================================
See notes to financial statements.
<CAPTION>
INCOME FUND GROWTH FUND
--------------------------- --------------------------
Year ended Year ended Year ended Year ended
10/31/96 10/31/95 10/31/96 10/31/95
===================================================================================================================================
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 1,257,711 $ 1,416,237 $ 346,768 $ 517,506
Net realized gains on investments 60,033 84,845 174,710 3,128,377
Net change in unrealized appreciation (depreciation) on
investments (235,323) 1,313,114 3,039,514 (218,864)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 1,082,421 2,814,196 3,560,992 3,427,019
- ----------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,254,060) (1,416,253) (408,271) (794,089)
Net realized gains on investments - - (3,140,705) (183,124)
- ----------------------------------------------------------------------------------------------------------------------------------
Total Distributions to Shareholders (1,254,060) (1,416,253) (3,548,976) (977,213)
- ----------------------------------------------------------------------------------------------------------------------------------
TRUST SHARE TRANSACTIONS:
Purchases of trust shares 442,391 593,692 5,646,930 2,885,484
Reinvested income dividends 1,236,036 1,392,590 407,601 793,295
Reinvested capital gain distributions - - 3,135,442 182,992
Redemptions of trust shares (876,092) (10,718,110) (2,229,617) (27,735,223)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Trust Capital 802,335 (8,731,828) 6,960,356 (23,873,452)
- ----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 630,696 (7,333,885) 6,972,372 (21,423,646)
Net Assets Beginning of Period 22,104,860 29,438,745 13,543,958 34,967,604
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS END OF PERIOD $ 22,735,556 $ 22,104,860 $20,516,330 $ 13,543,958
==================================================================================================================================
==================================================================================================================================
Undistributed Net Investment Income $ 4,140 $ 489 $ 291,454 $ 352,957
==================================================================================================================================
See notes to financial statements.
<CAPTION>
TOTAL RETURN FUND
---------------------------
Year ended Year ended
10/31/96 10/31/95
==============================================================================================
<S> <C> <C>
OPERATIONS:
Net investment income $ 972,135 $ 1,083,111
Net realized gains on investments 2,186,531 1,555,619
Net change in unrealized appreciation (depreciation) on
investments 706,879 2,295,607
- ----------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting from Operations 3,865,545 4,934,337
- ----------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (979,327) (1,356,169)
Net realized gains on investments (1,555,659) (20,167)
- ----------------------------------------------------------------------------------------------
Total Distributions to Shareholders (2,534,986) (1,376,336)
- ----------------------------------------------------------------------------------------------
TRUST SHARE TRANSACTIONS:
Purchases of trust shares 2,144,409 1,829,337
Reinvested income dividends 972,799 1,353,794
Reinvested capital gain distributions 1,546,016 20,149
Redemptions of trust shares (1,896,282) (18,925,616)
- ----------------------------------------------------------------------------------------------
Net Increase (Decrease) in Trust Capital 2,766,942 (15,722,336)
- ----------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets 4,097,501 (12,164,335)
Net Assets Beginning of Period 23,649,738 35,814,073
- ----------------------------------------------------------------------------------------------
NET ASSETS END OF PERIOD $ 27,747,239 $ 23,649,738
==============================================================================================
==============================================================================================
Undistributed Net Investment Income $ 835,005 $ 842,197
==============================================================================================
See notes to financial statements.
</TABLE>
<PAGE> 9
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MONEY MARKET FUND TAX-EXEMPT FUND
------------------------------------------- -------------------
Year Year Year Period Year Year
ended ended ended ended ended ended
10/31/96 10/31/95 10/31/94 10/31/93* 10/31/96 10/31/95
==================================================================================================================================
<S> <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
Income From Investment Operations:
Net investment income (c) 0.05 0.06 0.04 0.03 0.46 0.48
Net realized and unrealized gains (losses) on investments - - - - (0.04) 0.60
- ----------------------------------------------------------------------------------------------------------------------------------
Total from investment operations 0.05 0.06 0.04 0.03 0.42 1.08
- ----------------------------------------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.05) (0.06) (0.04) (0.03) (0.46) (0.48)
Net realized gains on investments - - - - (0.04) (0.06)
- ----------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (0.05) (0.06) (0.04) (0.03) (0.50) (0.54)
- ----------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net asset value - - - - (0.08) 0.54
- ----------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $1.00 $1.00 $1.00 $1.00 $10.33 $10.41
==================================================================================================================================
TOTAL RETURN (a) 5.18% 5.87% 3.94% 3.25% 4.10% 11.32%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in thousands) $22,327 $24,098 $9,102 $4,115 $21,805 $21,709
Ratio of net expenses to average net assets (b)(d) 0.50% 0.31% - - 0.88% 0.88%
Ratio of net investment income to average net assets (b)(d) 5.09% 5.71% 4.00% 3.15% 4.45% 4.64%
Portfolio turnover rate - - - - 61.68% 79.18%
Average commission rate paid - - - - - -
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT OR OFFSET
Ratio of expenses to average net assets (b)(e) 1.54% 1.69% 3.19% 5.35% 1.60% 1.54%
Ratio of net investment income to average net assets (b)(e) 4.05% 4.33% 0.81% (2.20)% 3.74% 3.98%
==================================================================================================================================
<CAPTION>
TAX-EXEMPT FUND INCOME FUND
-------------------- --------------------------------------------
Year Period Year Year Year Period
ended ended ended ended ended ended
10/31/94 10/31/93* 10/31/96 10/31/95 10/31/94 10/31/93*
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $10.78 $10.00 $10.10 $9.49 $10.80 $10.00
Income From Investment Operations:
Net investment income (c) 0.46 0.44 0.57 0.60 0.57 0.57
Net realized and unrealized gains (losses) on investments (0.91) 0.78 (0.09) 0.61 (1.24) 0.80
- ------------------------------------------------------------------------------------------------------------------------------------
Total from investment operations (0.45) 1.22 0.48 1.21 (0.67) 1.37
- ------------------------------------------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.46) (0.44) (0.56) (0.60) (0.57) (0.57)
Net realized gains on investments - - - - (0.07) -
- ------------------------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (0.46) (0.44) (0.56) (0.60) (0.64) (0.57)
- ------------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net asset value (0.91) 0.78 (0.08) 0.61 (1.31) 0.80
- ------------------------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $9.87 $10.78 $10.02 $10.10 $9.49 $10.80
====================================================================================================================================
TOTAL RETURN (a) (4.27)% 12.82% 4.96% 13.13% (6.42)% 14.50%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in thousands) $29,464 $29,890 $22,736 $22,105 $29,439 $30,331
Ratio of net expenses to average net assets (b)(d) 0.90% 0.88% 0.99% 0.97% 0.97% 0.99%
Ratio of net investment income to average net assets (b)(d) 4.46% 4.38% 5.69% 6.01% 5.68% 5.66%
Portfolio turnover rate 41.74% 0.00% 110.60% 100.91% 141.95% 31.49%
Average commission rate paid - - - - - -
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT OR OFFSET
Ratio of expenses to average net assets (b)(e) 1.22% 1.07% 1.70% 1.66% 1.30% 1.18%
Ratio of net investment income to average net assets (b)(e) 4.14% 4.19% 4.98% 5.32% 5.35% 5.47%
====================================================================================================================================
</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.
(b) The amounts for the period ended October 31, 1993 have been annualized.
(c) For the years ended October 31, 1996 and 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 the credit for fees paid indirectly.
(e) For the years ended October 31, 1996 and October 31, 1995, the manner in
which total expenses are calculated was changed to exclude expense offsets
for custodian fees (i.e., fees paid indirectly).
See notes to financial statements.
<PAGE> 10
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GROWTH FUND
--------------------------------------------------
Year ended Year ended Year ended Period ended
10/31/96 10/31/95 10/31/94 10/31/93*
==============================================================================================================
<S> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $13.91 $11.38 $11.24 $10.00
Income From Investment Operations:
Net investment income (c) 0.23 0.42 0.25 0.23
Net realized and unrealized gains (losses) on investments 2.50 2.43 0.13 1.05
- --------------------------------------------------------------------------------------------------------------
Total from investment operations 2.73 2.85 0.38 1.28
- --------------------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.40) (0.26) (0.24) (0.04)
Net realized gains on investments (3.09) (0.06) - -
- --------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (3.49) (0.32) (0.24) (0.04)
- --------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net asset value (0.76) 2.53 0.14 1.24
- --------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $13.15 $13.91 $11.38 $11.24
==============================================================================================================
TOTAL RETURN (a) 23.75% 25.83% 3.46% 13.19%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in thousands) $20,516 $13,544 $34,968 $31,719
Ratio of net expenses to average net assets (b)(d) 0.24% 0.23% 0.46% 0.49%
Ratio of net investment income to average net assets (b)(d) 2.05% 2.60% 2.32% 2.27%
Portfolio turnover rate 3.23% 9.10% 2.83% 0.53%
Average commission rate paid $0.03 - - -
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT OR OFFSET
Ratio of expenses to average net assets (b)(e) 1.75% 1.57% 0.96% 0.85%
Ratio of net investment income to average net assets (b)(e) 0.54% 1.26% 1.83% 1.91%
==============================================================================================================
</TABLE>
See notes to financial statements.
<TABLE>
<CAPTION>
TOTAL RETURN FUND
---------------------------------------------------
Year ended Year ended Year ended Period ended
10/31/96 10/31/95 10/31/94 10/31/93*
====================================================================================================================
<S> <C> <C> <C> <C>
SELECTED PER SHARE DATA
Net Asset Value, Beginning of Period $12.68 $10.75 $11.48 $10.00
Income From Investment Operations:
Net investment income (c) 0.47 0.53 0.40 0.43
Net realized and unrealized gains (losses) on investments 1.46 1.82 (0.33) 1.11
- --------------------------------------------------------------------------------------------------------------------
Total from investment operations 1.93 2.35 0.07 1.54
- --------------------------------------------------------------------------------------------------------------------
Less Distributions From:
Net investment income (0.52) (0.41) (0.44) (0.06)
Net realized gains on investments (0.83) (0.01) (0.36) -
- --------------------------------------------------------------------------------------------------------------------
Total distributions to shareholders (1.35) (0.42) (0.80) (0.06)
- --------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net asset value 0.58 1.93 (0.73) 1.48
- --------------------------------------------------------------------------------------------------------------------
Net Asset Value, End of Period $13.26 $12.68 $10.75 $11.48
====================================================================================================================
TOTAL RETURN (a) 16.27% 22.72% 0.63% 15.92%
RATIOS AND SUPPLEMENTAL DATA
Net assets, end of period (in thousands) $27,747 $23,650 $35,814 $32,418
Ratio of net expenses to average net assets (b)(d) 1.20% 1.16% 1.16% 1.18%
Ratio of net investment income to average net assets (b)(d) 3.75% 4.22% 3.82% 4.26%
Portfolio turnover rate 89.85% 90.23% 50.29% 56.86%
Average commission rate paid $0.04 - - -
RATIO INFORMATION ASSUMING NO EXPENSE REIMBURSEMENT OR OFFSET
Ratio of expenses to average net assets (b)(e) 1.76% 1.79% 1.35% 1.27%
Ratio of net investment income to average net assets (b)(e) 3.19% 3.59% 3.63% 4.17%
====================================================================================================================
</TABLE>
See notes to financial statements.
<PAGE> 11
JACKSON NATIONAL CAPITAL MANAGEMENT FUNDS
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 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
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 generally 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.
If the approved pricing services are unable to price a bond, broker quotations
are used. 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.
The percentage of income from the Income Fund, the Growth Fund and the
Total Return Fund which is eligible for the corporate dividend received
deduction, for the year ended October 31, 1996, is 1%, 96%, and 30%,
respectively. The percentage of income from the Tax-Exempt Fund which is
exempt from federal income tax, for the year ended October 31, 1996, is 99%.
For federal income tax purposes, the Income Fund had a capital loss carryover
totaling $835,619
<PAGE> 12
expiring in 2002 which can be used to offset future realized capital gains.
For the year ended October 31, 1996, the Income Fund utilized $70,121 of its
net capital loss carryforward.
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
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.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS - The funds, excluding the
Growth Fund, may purchase securities on a when-issued or delayed delivery
basis. On the trade date, the Funds record purchases of when-issued securities
and reflect the values of such securities in determining net asset value in the
same manner as other portfolio securities. Income is not accrued until
settlement date.
UNREGISTERED SECURITIES - The Income and Total Return Funds own certain
investment securities which are unregistered and thus restricted to resale.
These securities are valued by the Funds after giving due consideration to
pertinent factors including recent private sales, market conditions and the
issuer's financial performance. Where future dispositions of these securities
require registration under the Securities Act of 1933, the Funds have the right
to include their securities in such registration generally without cost to the
Funds. The Funds have no right to require registration of unregistered
securities. Unregistered and other illiquid securities are limited to 10% of
the net assets of a Fund.
OTHER - Security and fund share 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>
<PAGE> 13
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 $8,000 to non-affiliated Trustees for the
year ended October 31, 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 expense reduction) exceeding the following percentages of
average daily net assets:
<TABLE>
<S> <C>
Money Market Fund .50%
Tax-Exempt Fund .90%
Income Fund 1.00%
Growth Fund .25%
Total Return Fund 1.20%
</TABLE>
Prior to May 1, 1995, the Adviser reimbursed all expenses in the Money
Market Fund. Prior to October 1, 1994, the expenses that exceeded .50% of
average daily net assets in the Growth Fund were reimbursed by the Adviser.
Voluntary reimbursements to these Funds may be modified or discontinued at any
time by the Adviser.
For the year ended October 31, 1996, the Adviser, who is also the distributor
of the Funds, received sales charges of $7,285; $14,724; $119,305; and $62,603
on sales of shares of the Tax-Exempt Fund, Income Fund, Growth Fund, and Total
Return Fund, respectively.
NOTE 4 - INVESTMENT TRANSACTIONS
During the year ended October 31, 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>
</TABLE>
<PAGE> 14
<TABLE>
<S> <C> <C> <C> <C>
Cost of Purchases $13,325 $24,748 $4,275 $24,429
Proceeds from sales and maturities 13,177 23,799 547 23,016
</TABLE>
Included in these transactions were purchases and sales of U.S. Government
obligations in the Income Fund of $14,320,555, and $16,219,467, respectively,
and in the Total Return Fund of $6,881,968, and $8,356,899, respectively.
Cost of investments is substantially the same for financial reporting purposes
and federal income tax purposes.
The gross unrealized appreciation and depreciation on investments at October
31, 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 $487 $317 $6,143 $3,806
Gross unrealized depreciation (41) (51) (325) (111)
---- --- ------ ------
Net unrealized
appreciation (depreciation) $446 $266 $5,818 $3,695
==== ==== ====== ======
</TABLE>
NOTE 5 - TRUST TRANSACTIONS
Transactions in trust shares were as follows (in thousands):
<TABLE>
<CAPTION>
Money Tax- Total
Market Exempt Income Growth Return
Fund Fund Fund Fund Fund
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
For year ended October 31, 1996:
Shares purchased 25,919 21 44 455 170
Income dividends reinvested 1,096 91 124 36 81
Capital gain distributions reinvested - 8 - 278 128
Shares redeemed (28,786) (96) (88) (182) (150)
------- --- --- ---- ----
Net increase (decrease)
of trust shares (1,771) 24 80 587 229
======= === === ==== ====
</TABLE>
<PAGE> 15
<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 - 19 - 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.
NOTE 6 - SUBSEQUENT EVENT
On November 5, 1996, the Board of Trustees approved an Agreement and Plan
of Liquidation (the "Plan") for the Trust. As part of the Plan, on a date
not later than December 20, 1996, the Fund will cease operations and the
shareholders of each Fund will have their shares redeemed for cash. Jackson
National has agreed to compensate any shareholder of each Fund for the amount by
which all purchase payment made by that shareholder (including sales charges),
less any redemption proceeds previously received, exceeds the shareholder's
account balance upon redemption.
<PAGE> 16
JACKSON NATIONAL MONEY MARKET FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
COMMERCIAL PAPER - 100%
CAPTIVE FINANCE COMPANIES - 23.67%
American Express Credit
5.30%, 02/21/1997 $675,000 $ 663,870
Chrysler Financial Corporation
5.41%, 01/28/1997 295,000 291,099
5.41%, 02/04/1997 257,000 253,331
5.33%, 02/24/1997 120,000 117,957
5.40%, 02/28/1997 238,000 233,752
Ford Motor Credit Corporation
5.36%, 12/03/1996 140,000 139,333
5.44%, 01/30/1997 250,000 246,600
5.40%, 02/28/1997 145,000 142,412
5.33%, 03/28/1997 180,000 176,083
5.32%, 03/31/1997 175,000 171,121
General Motors Acceptance Corporation
5.54%, 11/19/1996 120,000 119,668
5.56%, 12/13/1996 100,000 99,351
5.60%, 12/23/1996 110,000 109,110
5.62%, 02/03/1997 170,000 167,505
5.34%, 03/31/1997 100,000 97,775
5.39%, 06/06/1997 200,000 193,502
5.38%, 06/12/1997 120,000 116,001
J.C. Penney Funding Corporation
5.34%, 11/18/1996 260,000 259,345
John Deere Capital Corporation
5.30%, 01/14/1997 195,000 192,876
5.42%, 02/24/1997 183,000 179,832
Pitney Bowes Credit Corporation
5.32%, 04/08/1997 465,000 454,143
Sears Roebuck Acceptance
5.44%, 01/31/1997 470,000 463,537
5.32%, 02/26/1997 425,000 417,651
-----------
5,305,854
CHEMICALS - .91%
DuPont (E.I.) De Nemours
5.52%, 12/18/1996 205,000 203,523
COMPUTERS & TECHNOLOGY - 3.94%
IBM Corporation
5.39%, 11/13/1996 130,000 129,767
5.24%, 11/21/1996 195,000 194,432
5.35%, 11/26/1996 170,000 169,369
5.31%, 01/09/1997 135,000 133,626
5.29%, 01/24/1997 260,000 256,791
-----------
883,985
CONSUMER FINANCE - 15.17%
American General Finance Corporation
5.31%, 11/27/1996 270,000 268,965
5.30%, 12/16/1996 255,000 253,311
5.31%, 03/031997 400,000 392,802
</TABLE>
<PAGE> 17
<TABLE>
<S> <C> <C>
Beneficial Corporation
5.25%, 11/06/1996 150,000 149,891
5.40%, 12/18/1996 100,000 99,295
5.30%, 12/19/1996 195,000 193,622
5.32%, 02/10/1997 200,000 197,015
5.31%, 02/27/1997 215,000 211,258
Household Finance Corporation
5.30%, 11/01/1996 300,000 300,000
5.32%, 01/06/1997 210,000 207,952
5.40%, 01/06/1997 320,000 316,832
Norwest Financial, Inc.
5.30%, 11/13/1996 180,000 179,682
5.30%, 01/07/1997 475,000 470,314
5.31%, 01/17/1997 160,000 158,182
-----------
3,399,121
CONSUMER PRODUCTS - 10.26%
Coca-Cola Company
5.40%, 11/05/1996 221,000 220,868
ConAgra, Inc.
5.50%, 11/20/1996 320,000 319,071
5.47%, 12/23/1996 110,000 109,131
H.J. Heinz Company
5.35%, 11/04/1996 200,000 199,911
5.30%, 11/19/1996 125,000 124,669
Hasbro Inc
5.45%, 11/19/1996 270,000 269,264
5.47%, 11/25/1996 340,000 338,760
5.37%,, 12/13/1996 230,000 228,559
Procter & Gamble Company
5.30%, 01/15/1997 243,000 240,317
Tyson Foods, Inc.
5.40%, 11/01/1996 250,000 250,000
-----------
2,300,550
HEALTH CARE - 10.85%
Allergan, Inc.
5.38%, 11/12/1996 415,000 414,318
5.38%, 11/12/1996 200,000 199,671
American Home Products
5.28%, 11/01/1996 495,000 495,000
5.27%, 11/15/1996 400,000 399,180
Schering Corporation
5.44%, 11/12/1996 320,000 319,468
5.35%, 01/29/1997 250,000 246,694
5.35%, 01/29/1997 110,000 108,545
Schering-Plough Corporation
5.43%, 11/19/1996 250,000 249,321
-----------
2,432,197
INDEPENDENT FINANCE COMPANIES - 10.83%
Associates Corporation
5.41%, 11/20/1996 300,000 299,143
5.43%, 12/12/1996 300,000 298,145
5.31%, 01/22/1997 325,000 321,069
CIT Holding Group, Inc.
5.29%, 01/08/1997 615,000 608,855
</TABLE>
<PAGE> 18
<TABLE>
<S> <C> <C>
General Electric Capital Corporation
5.50%, 11/05/1996 155,000 154,905
5.29%, 11/15/1996 210,000 209,568
5.29%, 01/30/1997 175,000 172,685
5.35%, 02/14/1997 220,000 216,567
5.33%, 03/31/1997 150,000 146,669
-----------
2,427,606
INSURANCE - 3.33%
USAA Capital Corporation
5.40%, 12/09/1996 125,000 124,288
5.42%, 12/10/1996 200,000 198,826
5.32%, 02/25/1997 430,000 422,629
-----------
745,743
MEDIA - 1.40%
McGraw Hill, Inc.
5.45%, 11/26/1996 316,000 314,804
MORTGAGE BANKING - 3.97%
Countrywide Funding Corporation
5.26%, 11/14/1996 200,000 199,620
5.28%, 12/05/1996 370,000 368,155
5.36%, 01/23/1997 325,000 320,984
-----------
888,759
PACKAGING - 1.69%
Crown Cork and Seal Company
5.47%, 11/25/1996 220,000 219,194
5.40%, 12/11/1996 160,000 159,040
-----------
378,234
RETAIL - 1.25%
Wal-Mart Corporation
5.25%, 11/01/1996 180,000 180,000
5.55%, 11/01/1996 100,000 100,000
-----------
280,000
TELECOMMUNICATIONS - 12.73%
Ameritech Corporation
5.33%, 07/11/1997 260,000 250,299
AT&T Corporation
5.30%, 11/05/1996 250,000 249,853
5.34%, 01/10/1997 200,000 197,923
5.35%, 02/18/1997 250,000 245,950
Bellsouth Telecommunications
5.28%, 11/04/1996 195,000 194,914
5.35%, 11/19/1996 205,000 204,452
GTE Corporation
5.30%, 11/04/1996 665,000 664,706
5.32%, 12/17/1996 200,000 198,640
Southwestern Bell Capital
5.40%, 11/22/1996 250,000 249,213
5.40%, 11/22/1996 399,000 397,743
-----------
2,853,693
-----------
TOTAL INVESTMENTS - 100%
(amortized cost $22,414,069) $22,414,069
===========
</TABLE>
See notes to financial statements.
<PAGE> 19
JACKSON NATIONAL TAX-EXEMPT FUND
SCHEDULE OF INVESTMENTS
October 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
MUNICIPAL BONDS - 100%
ALABAMA - 3.93%
Birmingham Baptist Medical Center Special Care Facilities Financing
5.80%, 11/15/2016 $400,000 $ 401,364
Birmingham Airport Authority Airport Revenue Series A - AMBAC Insured
7.25%, 07/01/2020 400,000 435,816
-----------
837,180
ARIZONA - 3.80%
Arizona State Transportation Board Highway Revenue
4.70%, 07/01/2005 350,000 346,203
Phoenix Series A
5.20%, 07/01/2005 250,000 256,827
Salt River Project Electric Systems Revenue
5.20%, 01/01/2002 200,000 205,820
-----------
808,850
COLORADO - 3.49%
Aurora Colorado Water
4.75%, 11/01/2014 300,000 272,898
Denver CO City & County Airport Revenue Series C
5.50%, 11/15/2016 500,000 469,955
-----------
742,853
CONNECTICUT - 1.97%
Connecticut State Housing Financing Authority
6.70%, 11/15/2012 400,000 419,716
FLORIDA - 5.30%
Florida State Dade County
5.125%, 07/01/2017 300,000 283,359
Jacksonville Sales Tax Revenue River City Renaissance Project - FGIC Insured
6.00%, 10/01/2003 370,000 399,012
Orlando Utilities Community Water & Electric Revenue
5.00%, 10/01/2013 475,000 445,560
-----------
1,127,931
GEORGIA - 2.69%
Georgia State Series D
6.80%, 08/01/2006 500,000 572,895
HAWAII - 1.53%
Honolulu City & County Series C
4.875%, 09/01/2012 350,000 325,997
ILLINOIS - 6.26%
Chicago Metropolitan Water
5.40%, 12/01/2006 400,000 411,256
Chicago Wastewater Transmission Revenue - FGIC Insured
5.375%, 01/01/2013 500,000 490,180
Illinois State Sales Tax Revenue Series M
6.80%, 06/15/2009 400,000 432,044
-----------
1,333,480
INDIANA - 6.29%
Indianapolis Transportation Revenue
6.00%, 07/01/2010 405,000 420,754
Indiana State Health Facilities
5.60%, 05/15/2014 500,000 490,145
Indianapolis Airport Authority Revenue
7.10%, 01/15/2017 400,000 427,716
-----------
1,338,615
</TABLE>
<PAGE> 20
<TABLE>
<S> <C> <C>
KENTUCKY - 6.76%
Kentucky State Property & Buildings Community Revenues
5.50%, 11/01/2006 420,000 434,364
Kentucky State Turnpike Authority Economic Development Revenue
5.375%, 01/01/2000 500,000 513,340
Kenton County Airport Board Revenue
6.125%, 02/01/2022 500,000 490,250
-----------
1,437,954
LOUISIANA - 2.12%
East Baton Rouge Parish Sales & Use Tax Series A - FGIC Insured
4.80%, 02/01/2013 500,000 451,210
MARYLAND - 3.02%
University of Maryland System Auxiliary Facility & Tuition Revenue
6.30%, 02/01/2008 365,000 393,368
Washington Suburban Sanitation District
3.75%, 06/01/1998 250,000 249,612
-----------
642,980
MASSACHUSETTS - 3.13%
Massachusetts State Convention Center Authority Hynes Convention Center
5.90%, 09/01/1998 400,000 412,496
Massachusetts State Health & Educational Facilities Authority Revenue
5.60%, 11/01/2014 250,000 253,691
-----------
666,187
MICHIGAN - 1.87%
Michigan State Building Authority Revenue
5.625%, 10/01/2010 400,000 397,880
MISSOURI - 2.02%
Missouri State Environmental Improvement & Energy Resource Authority
6.45%, 07/01/2008 400,000 428,988
NEVADA - 2.37%
Clark County School District
7.65%, 05/01/2010 450,000 504,693
NEW JERSEY - 2.25%
Camden County Municipal Utilities Authority Sewer Revenue
8.25%, 12/01/2017 450,000 479,894
NEW MEXICO - 2.54%
Gallup New Mexico Pollution Control Revenue
6.45%, 08/15/2006 500,000 541,680
NEW YORK - 7.57%
New York City Municpal Water Financial Authority Water & Sewer System
7.00%, 06/15/2009 350,000 384,976
New York State Dormatory Authority Revenue - MBIA Insured
5.70%, 07/01/2011 450,000 464,256
New York Series C
5.50%, 10/01/2016 395,000 359,817
Triborough Bridge & Tunnel Authority
5.50%, 01/01/2017 400,000 401,420
-----------
1,610,469
NORTH CAROLINA - 1.85%
Mecklenburg County
5.00%, 04/01/2009 400,000 394,528
OHIO - 4.09%
Columbus Water System Revenue
6.10%, 11/01/2003 415,000 447,204
Cuyahoga County Hospital Revenue
6.00%, 01/15/2003 400,000 424,364
-----------
871,568
</TABLE>
<PAGE> 21
<TABLE>
<S> <C> <C>
PENNSYLVANIA - 1.91%
Pennsylvania Housing & Finance Authority - FNMA Insured
5.55%, 07/01/2007 400,000 407,208
PUERTO RICO - 1.72%
Puerto Rico Industrial Medical & Environmental Pollution Control Facilities
5.10%, 12/01/2018 400,000 365,360
SOUTH CAROLINA - 2.06%
Columbia Waterworks & Sewer Systems Revenue
6.50%, 02/01/2002 405,000 437,947
TEXAS - 8.00%
University of Texas Revenue
6.10%, 08/15/1997 200,000 203,678
Dallas Waterworks & Sewer
5.90%, 10/01/1999 300,000 312,933
Harris County
5.125%, 10/01/2011 200,000 193,808
5.125%, 10/01/2013 380,000 363,212
San Antonio Electric & Gas
5.00%, 02/01/2014 225,000 209,464
Matagorda County Navigation District Number 1 Revenue
7.70%, 02/01/2019 400,000 419,132
-----------
1,702,227
WASHINGTON - 7.61%
Seattle Water System Revenue
5.50%, 06/01/2018 410,000 397,396
South Columbia Basin Revenue
6.00%, 12/01/2003 440,000 473,009
Washington State
6.50%, 05/01/2004 400,000 441,612
Washington State Public Power Supply System Nuclear Project
5.45%, 07/01/2000 300,000 306,969
-----------
1,618,986
WISCONSIN - 3.85%
Wisconsin State
6.25%, 05/01/2012 400,000 435,396
Wisconsin State Transportation
4.75%, 07/01/2012 425,000 384,319
-----------
819,715
-----------
TOTAL INVESTMENTS - 100%
(cost $20,841,010) $21,286,991
===========
</TABLE>
See notes to financial statements.
<PAGE> 22
JACKSON NATIONAL INCOME FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1996
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
CORPORATE OBLIGATIONS - 30.95%
AEROSPACE & DEFENSE - 2.36%
Lockheed Martin Corporation
6.55%, 05/15/1999 $ 200,000 $ 201,502
McDonnell Douglas Corporation
8.25%, 07/01/2000 100,000 105,397
Northrop Grumman Corporation
8.625%, 10/15/2004 200,000 219,126
-----------
526,025
AUTOMOTIVE - 2.43%
Chrysler-Auburn Hills Trust Company
12.00%, 05/01/2020 150,000 226,236
Lear Corporation
9.50%, 07/15/2006 200,000 213,000
Speedy Muffler King, Inc.
10.875%, 10/01/2006 100,000 102,500
-----------
541,736
BROKERAGE - 0.90%
Lehman Brothers, Inc.
7.25%, 10/15/2003 200,000 201,522
CAPITAL GOODS & MANUFACTURING - 1.36%
Case Corporation
7.25%, 08/01/2005 200,000 200,808
Hayes Wheels International, Inc.
11.00%, 07/15/2006 100,000 103,250
-----------
304,058
CAPTIVE FINANCE COMPANIES - 0.88%
General Motors Acceptance Corporation
5.625%, 02/15/2001 200,000 193,106
CHEMICALS - 2.96%
LaRoch Industries, Inc.
13.00%, 08/15/2004 200,000 216,000
Occidental Petroleum Corporation
8.75%, 01/15/2023 200,000 227,214
Union Carbide Corporation
8.75%, 08/01/2022 200,000 216,472
-----------
659,686
</TABLE>
<PAGE> 23
<TABLE>
<S> <C> <C>
CONSUMER PRODUCTS - 1.87%
Coty, Inc.
10.25%, 05/01/2005 100,000 106,000
E&S Holding Corporation - (144a) (b)
10.375%, 10/01/2006 200,000 205,250
Keebler Corporation - (144a) (b)
10.75%, 07/01/2006 100,000 106,500
-----------
417,750
DOMESTIC BANKS - 3.31%
Chase Manhattan Corporation
10.00%, 06/15/1999 200,000 217,740
First Nationwide Escrow - (144a) (b)
10.625%, 10/01/2003 300,000 315,000
NationsBank Corporation
7.75%, 08/15/2015 200,000 205,646
-----------
738,386
ENERGY - 1.93%
Seagull Energy
8.625%, 08/01/2005 150,000 150,750
Vastar Resources, Inc.
8.75%, 02/01/2005 150,000 166,155
Western Atlas, Inc.
8.55%, 06/15/2024 100,000 112,968
-----------
429,873
HOTEL & GAMING - 1.13%
Mirage Resorts, Inc.
7.25%, 10/15/2006 250,000 252,750
INDEPENDENT FINANCE COMPANIES - 0.99%
Associates Corporation N.A.
8.625%, 11/15/2004 200,000 222,820
INSURANCE - 0.45%
Travelers/Aetna Property & Casualty
6.75%, 04/15/2001 100,000 100,897
MEDIA - 1.46%
Rogers Cable Systems
10.00%, 03/15/2005 100,000 102,000
Time Warner Enterprises, Inc.
9.625%, 05/01/2002 200,000 224,412
-----------
326,412
METALS & MINING - 0.45%
NS Group, Inc.
13.50%, 07/15/2003 100,000 99,750
MUTUAL FUNDS - 0.47%
AIM Management Group
9.00%, 11/15/2003 100,000 104,500
PACKAGING - 2.27%
Crown Cork & Seal
6.75%, 04/15/2003 200,000 196,554
Pintpack, Inc. - (144a) (b)
10.625%, 08/15/2006 200,000 206,500
US Can Corporation - (144a) (b)
10.125%, 10/15/2006 100,000 103,000
-----------
506,054
</TABLE>
<PAGE> 24
<TABLE>
<S> <C> <C>
PAPER & FOREST PRODUCTS - 0.98%
Gaylord Container
12.75%, 05/15/2005 200,000 219,500
FOREIGN GOVERNMENT - 0.99%
Quebec Province
8.80%, 04/15/2003 200,000 221,558
SUPERMARKETS - 0.97%
Smith Food & Drug Centers
11.25%, 05/15/2007 200,000 216,000
TRANSPORTATION - 0.99%
AMR Corporation
9.50%, 05/15/2001 200,000 220,656
WASTE MANAGEMENT - 0.98%
Norcal Waste Systems - (a)
12.75%, 11/15/2005 200,000 220,000
-----------
Total Corporate Obligations
(cost $6,606,067) 6,723,039
-----------
U.S. GOVERNMENT SECURITIES - 67.97%
U.S. GOVERNMENT AGENCIES - 29.38%
Federal Home Loan Mortgage Corporation
6.50%, 09/01/2001 149,879 150,140
8.50%, 10/01/2024 421,348 437,166
6.50%, 02/01/2011 398,592 394,052
6.00%, 03/01/2011 265,279 255,930
7.00%, 04/01/2011 348,607 349,862
6.00%, 03/01/2026 148,524 138,495
6.50%, 03/01/2026 345,362 331,323
7.00%, 03/01/2026 343,218 337,744
7.50%, 03/01/2026 248,772 249,734
6.50%, 04/01/2026 304,020 291,662
Federal National Mortgage Association
9.00%, 11/01/2004 89,293 93,427
8.00%, 07/01/2003 179,885 184,809
8.50%, 08/01/2010 99,730 103,992
7.50%, 04/01/2011 180,035 182,952
8.00%, 06/01/2011 149,696 154,054
7.50%, 09/01/2011 100,691 102,322
8.00%, 10/01/2011 100,142 103,057
8.00%, 03/01/2026 746,184 762,361
8.00%, 05/01/2026 218,454 222,919
8.50%, 07/01/2026 99,785 103,298
Government National Mortgage Association
7.50%, 03/15/2024 575,378 579,970
7.00%, 03/15/2026 703,109 689,947
9.00%, 05/15/2026 312,211 330,394
-----------
6,549,610
U.S. TREASURY BONDS - 7.82%
U.S. Treasury Bond
9.125%, 05/15/2018 800,000 1,015,872
8.50%, 02/15/2020 200,000 240,656
7.625%, 11/15/2022 440,000 486,750
-----------
1,743,278
</TABLE>
<PAGE> 25
<TABLE>
<S> <C> <C>
U.S. TREASURY NOTES - 30.77%
U.S. Treasury Note
6.75%, 05/31/1997 550,000 554,037
6.00%, 11/30/1997 200,000 200,874
5.625%, 01/31/1998 1,200,000 1,199,808
6.125%, 05/15/1998 735,000 739,822
5.125%, 11/30/1998 800,000 790,000
6.75%, 06/30/1999 2,030,000 2,073,463
6.25%, 05/31/2000 500,000 504,060
8.50%, 11/15/2000 500,000 543,670
6.50%, 05/15/2005 250,000 252,735
-----------
6,858,469
-----------
Total U.S. Government Securities
(cost $15,016,336) 15,151,357
-----------
PREFERRED STOCK - 1.08%
Arcadian Corporation Convertible Preferred A
226,975 241,250
-----------
Total Preferred Stocks 241,250
-----------
(cost $226,975)
SHORT TERM INVESTMENTS - 0.79%
COMMERICAL PAPER - 0.79%
American Express Credit
5.25%, 11/04/1996 175,000 174,923
-----------
Total Short Term Investments 174,923
-----------
(cost $174,923)
TOTAL INVESTMENTS - 100%
(cost $22,024,301) $22,290,569
===========
</TABLE>
(a) Coupon payment periodically increases over the life of the security.
Rate stated is in effect on October 31, 1996.
(b) Unregistered security - refer to note 2 in the notes to financial
statements.
See notes to financial statements.
<PAGE> 26
JACKSON NATIONAL GROWTH FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1996
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 100%
AEROSPACE & DEFENSE - 2.72%
Allied-Signal, Inc. 1,100 72,050
Applied Materials, Inc. (a) 700 18,506
Boeing Company 1,300 123,987
EG&G, Inc. 155 2,732
General Dynamics Corporation 225 15,441
Lockheed Martin Corporation 800 71,700
McDonnell Douglas Corporation 800 43,600
Northrop Grumman Corporation 200 16,150
Raytheon Company 900 44,325
Rockwell International Corporation 800 44,000
Textron, Inc. 300 26,625
United Technologies Corporation 500 64,375
Western Atlas, Inc. (a) 200 13,875
-----------
557,366
APPAREL & TEXTILES -0.55%
Fruit of the Loom, Inc. - Class A (a) 250 9,094
Liz Claiborne, Inc. 350 14,787
NIKE, Inc. - Class B 1,000 58,875
Reebok International, Ltd. 200 7,150
Russell Corporation 150 4,256
Springs Industries, Inc. 100 4,513
V.F. Corporation 200 13,075
-----------
111,750
AUTOMOTIVE - 2.44%
Chrysler Corporation 2,800 94,150
Cooper Tire & Rubber Company 300 5,888
Dana Corporation 400 11,850
Echlin, Inc. 200 6,525
Ford Motor Company 4,500 140,625
General Motors Corporation 2,900 156,237
Genuine Parts Company 500 21,875
Goodyear Tire & Rubber Company 600 27,525
Pep Boys-Manny, Moe & Jack 225 7,875
Snap-On, Inc. 225 7,228
TRW, Inc. 225 20,363
-----------
500,141
BROKERAGE - 0.42%
Merrill Lynch & Company, Inc. 600 42,150
Morgan Stanley Group, Inc. 550 27,637
Salomon, Inc. 400 18,050
-----------
87,837
CAPITAL GOODS & MANUFACTURING - 6.22%
AMP, Inc. 800 27,100
Ball Corporation 125 3,016
Briggs & Stratton Corporation 125 5,000
Browning-Ferris Industries, Inc. 800 21,000
Caterpillar, Inc. 700 48,038
Cincinnati Milacron, Inc. 200 3,825
Cooper Industries, Inc. 400 16,100
</TABLE>
<PAGE> 27
<TABLE>
<S> <C> <C>
Corning, Inc. 900 34,875
Crane Company 125 5,812
Cummins Engine Company, Inc. 200 8,325
Deere & Company 1,000 41,750
Dover Corporation 400 20,550
Eaton Corporation 300 17,925
Emerson Electric Company 900 80,100
Fluor Corporation 300 19,650
FMC Corporation (a) 100 7,363
Foster Wheeler Corporation 200 8,200
General Electric Company 6,300 609,525
General Signal Corporation 200 8,150
Giddings & Lewis, Inc. 125 1,469
Grainger (W.W.), Inc. 175 12,972
Harnischfeger Industries, Inc. 180 7,200
Honeywell, Inc. 500 31,062
Illinois Tool Works, Inc. 550 38,637
Ingersoll-Rand Company 400 16,650
Johnson Controls, Inc. 150 10,950
Laidlaw, Inc. - Class B 1,200 14,100
NACCO Industries, Inc. - Class A 25 1,156
Navistar International Corporation (a) 250 2,313
PACCAR, Inc. 100 5,575
Pall Corporation 400 10,250
Parker-Hannifin Corporation 250 9,469
Raychem Corporation 200 15,625
Safety-Kleen Corporation 200 3,125
Thomas & Betts Corporation 200 8,475
Timken Company 125 5,578
Trinova Corporation 100 3,288
Westinghouse Electric Corporation 1,600 27,400
WMX Technologies, Inc. 1,850 63,594
-----------
1,275,192
CHEMICALS - 3.16%
Air Products & Chemicals, Inc. 400 24,000
Avery Dennison Corporation 200 13,175
B.F. Goodrich Company 200 8,475
Dow Chemical Company 950 73,863
Du Pont (E.I.) De Nemours & Company 2,200 204,050
Eastman Chemical Company 275 14,506
Ecolab, Inc. 250 9,125
Great Lakes Chemical Corporation 200 10,425
Hercules, Inc. 400 19,050
Mallinckrodt Group, Inc. 250 10,875
Millipore Corporation 200 7,000
Monsanto Company 2,200 87,175
Morton International, Inc. 500 19,688
Nalco Chemical Company 300 10,913
PPG Industries, Inc. 675 38,475
Praxair, Inc. 550 24,337
Rohm & Haas Company 300 21,413
Sigma-Aldrich Corporation 200 11,750
Union Carbide Corporation 475 20,247
W.R. Grace & Company 350 18,550
-----------
647,092
</TABLE>
<PAGE> 28
<TABLE>
<S> <C> <C>
COMPUTERS & TECHNOLOGY - 11.23%
3Com Corporation (a) 600 40,575
Advanced Micro Devices, Inc. 500 8,875
Amdahl Corporation (a) 500 5,125
Andrew Corporation (a) 200 9,750
Apple Computer, Inc. 500 11,500
Autodesk, Inc. 200 4,575
Automatic Data Processing, Inc. 1,150 47,869
Bay Networks, Inc. (a) 700 14,175
Cabletron Systems (a) 350 21,831
Ceridian Corporation (a) 350 17,369
Cisco Systems, Inc. (a) 2,500 154,688
COMPAQ Computer Corporation (a) 1,000 69,625
Computer Associates International, Inc. 1,400 82,775
Computer Sciences Corporation (a) 300 22,275
Data General Corporation (a) 200 2,975
Dell Computer Corporation (a) 300 24,413
Digital Equipment Corporation (a) 600 17,700
DSC Communications Corporation (a) 400 5,550
EMC Corporation (a) 900 23,625
First Data Corporation 900 71,775
Harris Corporation 100 6,262
Hewlett-Packard Company 3,900 172,088
HFS Incorporated (a) 550 40,287
Intel Corporation 3,200 351,600
Intergraph Corporation (a) 150 1,406
International Business Machines Corporation 2,000 258,000
LSI Logic Corporation (a) 450 11,925
Micron Technology, Inc. 750 19,031
Microsoft Corporation (a) 2,300 315,675
Motorola, Inc. 2,300 105,800
National Semiconductor (a) 500 9,625
Novell, Inc. (a) 1,400 12,950
Oracle Systems Corporation (a) 2,500 105,781
Perkin-Elmer Corporation 200 10,725
Pitney Bowes, Inc. 600 33,525
Scientific-Atlanta, Inc. 275 3,988
Seagate Technology Inc (a) 400 26,700
Silicon Graphics Corporation (a) 700 12,950
Sun Microsystems, Inc. (a) 700 42,700
Tandem Computers, Inc. (a) 500 6,312
Tektronix, Inc. 100 3,913
Texas Instruments, Inc. 700 33,688
Unisys Corporation (a) 700 4,375
Xerox Corporation 1,200 55,650
-----------
2,302,001
CONSUMER PRODUCTS - 12.40%
Alberto-Culver Company - Class B 100 4,575
American Brands, Inc. 700 33,425
American Greetings Corporation - Class A 300 8,794
Anheuser-Busch Companies, Inc. 1,900 73,150
Archer-Daniels-Midland Company 2,100 45,675
Avon Products, Inc. 500 27,125
Bausch & Lomb, Inc. 200 6,750
Black & Decker Corporation 300 11,213
Brown-Forman Corporation - Class B 300 12,975
Campbell Soup Company 900 72,000
Clorox Company 175 19,097
Coca-Cola Company 9,600 484,800
Colgate-Palmolive Company 650 59,800
ConAgra, Inc. 900 44,888
</TABLE>
<PAGE> 29
<TABLE>
<S> <C> <C>
Coors (Adolph) Company - Class B 150 2,925
CPC International, Inc. 600 47,325
CUC International, Inc. (a) 1,350 33,075
Eastman Kodak Company 1,300 103,675
General Mills, Inc. 650 37,131
Gillette Company 1,700 127,075
H.J. Heinz Company 1,400 49,700
Hershey Foods Corporation 600 29,025
International Flavors & Fragrances, Inc. 400 16,550
Jostens, Inc. 128 2,752
Kellogg Company 800 50,800
National Service Industries, Inc. 175 6,037
Newell Company 600 17,025
Pepsico, Inc. 6,000 177,750
Philip Morris Companies, Inc. 3,100 287,138
Pioneer Hi-Bred International, Inc. 275 18,459
Polaroid Corporation 200 8,125
Proctor & Gamble Company 2,600 257,400
Quaker Oats Company 500 17,750
Ralston Purina Group 400 26,450
Rubbermaid, Inc. 550 12,787
Sara Lee Corporation 1,900 67,450
Seagram Company, Ltd. 1,400 53,025
Service Corporation International 900 25,650
Sherwin-Williams Company 300 15,037
Unilever N.V. 650 99,369
UST, Inc. 800 23,100
Wrigley (W.M.) Jr. Company 400 24,100
-----------
2,540,952
DIVERSIFIED - 1.18%
Alco Standard Corporation 500 23,187
Allegheny Teledyne, Inc. (a) 700 14,962
ITT Industries, Inc 500 11,625
Loews Corporation 400 33,050
Minnesota Mining & Manufacturing Company 1,600 122,600
Tyco Laboratories International, Ltd. 550 27,294
Whitman Corporation 400 9,700
-----------
242,418
DOMESTIC BANKS - 8.32%
Ahmanson (H.F.) & Company 400 12,550
Banc One Corporation 1,700 72,038
Bank of Boston Corporation 600 38,400
Bank of New York Company, Inc. 1,500 49,688
BankAmerica Corporation 1,400 128,100
Bankers Trust New York Corporation 300 25,350
Barnett Banks, Inc. 800 30,500
Boatmen's Bancshares, Inc. 575 34,931
Chase Manhattan Corporation 1,700 145,775
Citicorp 1,900 188,100
Comerica, Inc. 400 21,250
Corestates Financial Corporation 900 43,762
Fifth Third Bancorp 400 25,050
First Bank System, Inc. 500 33,000
First Chicago NBD Corporation 1,250 63,750
First Union Corporation 1,150 83,662
Fleet Financial Group, Inc. 1,000 49,875
Golden West Financial Corporation 225 14,597
Great Western Financial Corporation 500 14,000
KeyCorp 950 44,294
MBNA Corporation 900 33,975
</TABLE>
<PAGE> 30
<TABLE>
<S> <C> <C>
Mellon Bank Corporation 500 32,563
Morgan (J.P.) & Company 700 60,463
National City Corporation 900 39,038
NationsBank Corporation 1,100 103,675
Norwest Corporation 1,400 61,425
PNC Bank Corporation 1,300 47,125
Republic New York Corporation 200 15,250
Suntrust Banks, Inc. 900 41,963
U.S. Bancorp, Inc. 600 24,000
Wachovia Corporation 600 32,250
Wells Fargo & Company 350 93,494
-----------
1,703,893
ELECTRIC UTILITIES - 3.08%
American Electric Power Company, Inc. 675 28,012
Baltimore Gas & Electric Company 600 16,350
Carolina Power & Light Company 600 21,675
Central & Southwest Corporation 800 21,200
Cinergy Corporation 600 19,875
Consolidated Edison Company of New York, Inc. 900 26,325
Dominion Resources, Inc. 700 26,425
DTE Energy Company 600 18,075
Duke Power Company 850 41,544
Edison International 1,700 33,575
Entergy Corporation 850 23,800
FPL Group, Inc. 725 33,350
General Public Utilities Corporation 500 16,438
Houston Industries, Inc. 950 21,731
Niagara Mohawk Power Corporation 600 5,100
Northern States Power Company 300 14,100
Ohio Edison Company 650 13,569
Pacific Gas & Electric Company 1,600 37,600
Pacificorp 1,125 23,766
PECO Energy Company 900 22,725
PP&L Resources, Inc. 600 14,025
Public Service Enterprise Group, Inc. 900 24,188
Southern Company 2,600 57,525
Texas Utilities Company 900 36,450
Unicom Corporation 800 20,800
Union Electric Company 350 13,519
-----------
631,742
ENERGY - 10.24%
Amerada Hess Corporation 400 22,150
Amoco Corporation 1,900 143,925
Ashland Oil, Inc. 200 8,500
Atlantic Richfield Company 575 76,188
Baker Hughes, Inc. 600 21,375
Burlington Resources, Inc. 500 25,188
Chevron Corporation 2,500 164,375
Coastal Corporation 400 17,200
Columbia Gas System, Inc. 200 12,150
Consolidated Natural Gas Company 425 22,578
Dresser Industries, Inc. 700 23,012
Eastern Enterprises 100 3,850
Enron Corporation 1,000 46,500
ENSERCH Corporation 300 6,450
Exxon Corporation 4,800 425,400
Halliburton Company 500 28,313
Helmerich & Payne, Inc. 100 5,413
Kerr-McGee Corporation 175 10,981
Louisiana Land & Exploration 125 7,109
</TABLE>
<PAGE> 31
<TABLE>
<S> <C> <C>
McDermott International, Inc. 200 3,550
Mobil Corporation 1,500 175,125
Nicor, Inc. 200 6,975
NorAm Energy Corporation 500 7,688
Occidental Petroleum Corporation 1,250 30,625
ONEOK, Inc. 100 2,687
Oryx Energy Company 350 6,738
Pacific Enterprises 300 9,225
Panhandle Eastern Corporation 550 21,175
Pennzoil Company 200 10,200
Peoples Energy Corporation 150 5,288
Phillips Petroleum Company 1,000 41,000
Rowan Companies, Inc. (a) 350 7,831
Royal Dutch Petroleum Company 2,100 347,288
Santa Fe Energy Resources, Inc. 300 4,275
Schlumberger, Ltd. 900 89,213
Sonat, Inc. 300 14,775
Sun Company, Inc. 250 5,594
Tenneco, Inc. 700 34,650
Texaco, Inc. 950 96,544
The Williams Companies, Inc. 400 20,900
Union Pacific Resources Group 960 26,400
Unocal Corporation 950 34,794
USX Corporation - Marathon Group 1,100 24,062
-----------
2,097,259
HEALTH CARE - 10.30%
Abbott Laboratories 3,000 151,875
Allergan, Inc. 325 9,912
ALZA Corporation - Class A (a) 300 7,762
American Home Products Corporation 2,400 147,000
Amgen, Inc. (a) 1,000 61,312
Bard (C.R.), Inc. 200 5,650
Baxter International, Inc. 1,000 41,625
Becton, Dickinson & Company 500 21,750
Beverly Enterprises, Inc. (a) 400 4,950
Biomet, Inc. (a) 400 6,450
Boston Scientific Corporation (a) 700 38,062
Bristol-Myers Squibb Company 1,900 200,925
Columbia/HCA Healthcare Corporation 2,650 94,738
Humana, Inc. (a) 600 10,950
Johnson & Johnson 5,100 251,175
Lilly (Eli) & Company 2,100 148,050
Manor Care, Inc. 200 7,850
Medtronic, Inc. 900 57,937
Merck & Company , Inc. 4,700 348,387
Pfizer, Inc. 2,500 206,875
Pharmacia & Upjohn, Inc. 1,850 66,600
Schering-Plough Corporation 1,400 89,600
Shared Medical Systems Corporation 100 4,825
St. Jude Medical, Inc. 300 11,850
Tenet Healthcare Corporation (a) 825 17,222
U.S. Surgical Corporation 200 8,375
United HealthCare Corporation 650 24,619
Warner-Lambert Company 1,000 63,625
-----------
2,109,951
HOSPITALITY - .91%
Darden Restaurants, Inc. 550 4,606
Hilton Hotels Corporation 700 21,262
Luby's Cafeterias, Inc. 100 2,100
Marriott International, Inc. 450 25,594
</TABLE>
<PAGE> 32
<TABLE>
<S> <C> <C>
McDonald's Corporation 2,700 119,813
Ryan's Family Steak House, Inc. (a) 200 1,475
Shoney's, Inc. (a) 225 1,659
Wendy's International, Inc. 450 9,281
-----------
185,790
HOUSING RELATED - 1.03%
Armstrong World Industries, Inc. 100 6,675
Centex Corporation 100 3,012
Fleetwood Enterprises, Inc. 100 3,375
Home Depot, Inc. 1,800 98,550
Kaufman & Broad Home Corporation 150 1,800
Lowe's Companies, Inc. 700 28,263
Masco Corporation 600 18,825
Maytag Corporation 375 7,453
Owens-Corning Fiberglas Corporation 175 6,781
Pulte Corporation 100 2,650
Stanley Works 300 8,475
Tupperware Corporation 200 10,275
Whirlpool Corporation 300 14,175
-----------
210,309
INDEPENDENT FINANCE COMPANIES - 2.72%
American Express Company 1,800 84,600
Beneficial Corporation 200 11,700
Dean Witter Discover & Company 600 35,325
Federal Home Loan Mortgage Corporation 750 75,750
Federal National Mortgage Association 4,200 164,325
Green Tree Financial Corporation 475 18,822
H&R Block, Inc. 400 9,900
Household International, Inc. 450 39,825
Transamerica Corporation 250 18,969
Travelers, Inc. 1,800 97,650
-----------
556,866
INSURANCE - 3.45%
Aetna Life & Casualty Company 575 38,453
Alexander & Alexander Service, Inc. 200 3,050
Allstate Corporation 1,700 95,413
American General Corporation 800 29,800
American International Group, Inc. 1,800 195,525
Aon Corporation 400 23,100
Chubb Corporation 700 35,000
CIGNA Corporation 300 39,150
General Re Corporation 275 40,494
ITT Hartford Group, Inc. 400 25,200
Jefferson-Pilot Corporation 300 17,062
Lincoln National Corporation 360 17,460
Marsh & McLennan Companies, Inc. 350 36,444
MGIC Investment Corporation 225 15,441
Providian Corporation 400 18,800
SAFECO Corporation 500 18,875
St. Paul Companies, Inc. 300 16,312
Torchmark Corporation 250 12,094
UNUM Corporation 250 15,719
USF&G Corporation 500 9,500
USLIFE Corporation 100 3,125
-----------
706,017
LEISURE & ENTERTAINMENT - 1.22%
Bally Entertainment Corporation (a) 200 6,025
Brunswick Corporation 400 9,400
</TABLE>
<PAGE> 33
<TABLE>
<S> <C> <C>
Disney (Walt) Company 2,600 171,275
Harrah's Entertainment, Inc. (a) 350 5,863
Hasbro, Inc. 300 11,662
ITT Corporation (a) 400 16,800
Mattel, Inc. 1,000 28,875
-----------
249,900
MEDIA - 1.95%
Comcast Corporation - Class A 900 13,275
Donnelley (R.R.) & Sons Company 600 18,225
Dow Jones & Company, Inc. 425 14,025
Dun & Bradstreet Corporation 600 34,725
Gannett Company, Inc. 500 37,937
Harcourt General, Inc. 300 14,925
Harland (J.H.) Company 125 3,891
Interpublic Group 275 13,337
King World Productions, Inc. (a) 150 5,400
Knight-Ridder, Inc. 402 15,025
McGraw-Hill, Inc. 350 16,406
Meredith Corporation 125 6,281
New York Times Company - Class A 400 14,450
Tele-Communications, Inc. - Class A (a) 2,500 31,094
Time Warner, Inc. 2,200 81,950
Times Mirror Company - Class A 363 16,788
Tribune Company 200 16,350
Viacom, Inc. - Class B (a) 1,400 45,675
-----------
399,759
METALS & MINING - 1.65%
Alcan Aluminium, Ltd. 900 29,587
Aluminum Company of America 700 41,038
Armco, Inc. (a) 450 1,688
ASARCO, Inc. 200 5,250
Barrick Gold Corporation 1,400 36,575
Battle Mountain Gold Company 860 6,557
Bethlehem Steel Corporation (a) 400 3,250
Case Corporation 350 16,275
Crown Cork & Seal Company, Inc. 500 24,000
Cyprus Minerals Company 400 9,050
Echo Bay Mines, Ltd. 500 3,906
Englehard Corporation 600 10,950
Freeport-McMoran Copper - Class B 700 21,263
Homestake Mining Company 600 8,550
Inco, Ltd. 600 19,050
Inland Steel Industries, Inc. 175 2,822
Newmont Mining Corporation 400 18,500
Nucor Corporation 300 14,213
Phelps Dodge Corporation 300 18,863
Placer Dome, Inc. 850 20,400
Reynolds Metals Company 200 11,250
USX Corporation - U.S. Steel Group 300 8,175
Worthington Industries, Inc. 300 6,225
-----------
337,437
PAPER & FOREST PRODUCTS - 1.71%
Bemis Company, Inc. 200 7,000
Boise Cascade Corporation 200 6,200
Champion International Corporation 400 17,400
Deluxe Corporation 275 8,972
Georgia-Pacific Corporation 425 31,872
International Paper Company 1,150 49,162
James River Corporation 300 9,450
</TABLE>
<PAGE> 34
<TABLE>
<S> <C> <C>
Kimberly-Clark Corporation 1,100 102,575
Louisiana-Pacific Corporation 375 7,828
Mead Corporation 168 9,534
Moore Corporation, Ltd. 350 7,087
Potlatch Corporation 125 5,344
Stone Container Corporation 350 5,337
Temple-Inland, Inc. 200 10,250
Union Camp Corporation 250 12,187
Westvaco Corporation 350 9,975
Weyerhaeuser Company 800 36,700
Willamette Industries 200 13,500
-----------
350,373
RETAIL - 4.17%
Albertson's, Inc. 1,000 34,375
American Stores Company 600 24,825
Charming Shoppes, Inc. 350 1,619
Circuit City Stores, Inc. 400 13,100
Dayton-Hudson Corporation 825 28,565
Dillard Department Stores, Inc. - Class A 400 12,700
Federated Department Stores, Inc. (a) 800 26,400
Fleming Companies, Inc. 175 3,041
Footstar, Inc. (a) .16 3
Giant Food, Inc. - Class A 200 6,750
Great Atlantic & Pacific Tea Company, Inc. 150 4,500
J.C. Penney Company, Inc. 900 47,250
Kmart Corporation 1,850 18,038
Kroger Company (a) 450 20,081
Longs Drug Stores Corporation 100 4,487
May Department Stores Company 1,000 47,375
Melville Corporation 400 14,900
Mercantile Stores Company, Inc. 100 4,962
Nordstrom, Inc. 275 9,917
Price/Costco, Inc. (a) 800 15,900
Rite Aid Corporation 300 10,200
Sears, Roebuck & Company 1,500 72,563
Stride Rite Corporation 200 1,650
Supervalu, Inc. 300 8,925
Sysco Corporation 700 23,800
Tandy Corporation 210 7,901
The Gap, Inc. 1,100 31,900
The Limited, Inc. 1,000 18,375
TJX Companies, Inc. 250 10,000
Toys 'R' Us, Inc. (a) 1,000 33,875
Wal-Mart Stores, Inc. 8,800 234,300
Walgreen Company 900 33,975
Winn-Dixie Stores, Inc. 550 18,356
Woolworth Corporation 500 10,500
-----------
855,108
</TABLE>
<PAGE> 35
<TABLE>
<S> <C> <C>
TELECOMMUNICATIONS - 7.39%
Airtouch Communications, Inc. (a) 1,900 49,638
Alltel Corporation 700 21,350
Ameritech Corporation 2,100 114,975
AT&T Corporation 6,200 216,225
Bell Atlantic Corporation 1,700 102,425
BellSouth Corporation 3,800 154,850
General Instrument Corporation (a) 450 9,056
GTE Corporation 3,700 155,862
Lucent Technologies Inc. 2,400 112,800
MCI Communications Corporation 2,650 66,581
Northern Telecom, Ltd. 1,000 65,125
NYNEX Corporation 1,650 73,425
Pacific Telesis Group 1,600 54,400
SBC Communications, Inc. 2,300 111,837
Sprint Corporation 1,600 62,800
Tellabs, Inc. (a) 300 25,538
U.S. West Communications Group 1,750 53,156
US West Media Group (a) 1,800 28,125
WorldCom, Inc. (a) 1,500 36,563
-----------
1,514,731
TRANSPORTATION - 1.54%
AMR Corporation (a) 300 25,200
Burlington Northern Santa Fe, Inc. 650 53,544
Caliber System, Inc. 150 2,531
Conrail, Inc. 275 26,159
Consolidated Freightways, Inc. 200 4,800
CSX Corporation 850 36,656
Delta Air Lines, Inc. 300 21,262
Federal Express Corporation (a) 200 16,100
Norfolk Southern Corporation 500 44,563
Ryder System, Inc. 275 8,181
Santa Fe Pacific Gold Corporation 450 5,344
Southwest Airlines Company 600 13,500
Union Pacific Corporation 950 53,319
USAir Group, Inc. (a) 200 3,475
Yellow Corporation 125 1,633
-----------
316,267
-----------
Total Common Stocks
(cost $14,672,238) 20,490,151
-----------
WARRANTS - 0.00%
ENGINEERING - 0.00%
Emcor Group, Inc. - Class Z (a) 2 -
-----------
Total Warrants
(cost $0) -
-----------
TOTAL INVESTMENTS - 100%
(cost $14,672,238) $20,490,151
===========
</TABLE>
(a) Non-income producing
See notes to financial statements.
<PAGE> 36
JACKSON NATIONAL TOTAL RETURN FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1996
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS - 55.39%
AEROSPACE & DEFENSE - 2.50%
Lockheed Martin Corporation 1,700 $ 152,362
Rockwell International Corporation 3,900 214,500
United Technologies Corporation 2,500 321,875
------------
688,737
APPAREL & TEXTILES - 1.12%
V.F. Corporation 4,700 307,262
AUTOMOTIVE - 3.21%
Ford Motor Company 9,500 296,875
General Motors Corporation 5,500 296,312
TRW, Inc. 3,200 289,600
------------
882,787
CAPITAL GOODS & MANUFACTURING - 2.07%
Cooper Industries, Inc. 6,700 269,675
Parker-Hannifin Corporation 7,900 299,212
------------
568,887
CHEMICALS - 1.89%
Grace (W.R.) & Company 3,100 164,300
PPG Industries, Inc. 5,600 319,200
Rohm & Haas Company 500 35,688
------------
519,188
COMPUTERS & TECHOLOGY - 3.73%
Harris Corporation 5,100 319,387
International Business Machines Corporation 2,900 374,100
Xerox Corporation 7,200 333,900
------------
1,027,387
CONSUMER PRODUCTS - 5.36%
American Brands, Inc. 7,700 367,675
Anheuser-Busch Companies, Inc. 6,200 238,700
Philip Morris Companies, Inc. 3,300 305,662
Polaroid Corporation 5,900 239,687
RJR Nabisco Holdings Corporation 11,200 323,400
------------
1,475,124
DOMESTIC BANKS - 5.02%
BankAmerica Corporation 2,600 237,900
Charter One Financial, Inc. 4,600 199,813
Chase Manhattan Corporation 3,800 325,850
KeyCorp 6,700 312,387
Mellon Bank Corporation 4,700 306,087
------------
1,382,037
ELECTRIC UTILITIES - 4.65%
Edison International 16,900 333,775
General Public Utilities Corporation 9,700 318,888
Ohio Edison Company 15,500 323,562
PECO Energy Company 12,000 303,000
------------
1,279,225
</TABLE>
<PAGE> 37
<TABLE>
<S> <C> <C>
ENERGY - 4.38%
Ashland Oil, Inc. 5,400 229,500
Chevron Corporation 4,600 302,450
Exxon Corporation 4,200 372,225
Occidental Petroleum Corporation 12,300 301,350
------------
1,205,525
HEATH CARE - 2.86%
Baxter International, Inc. 4,800 199,800
Bristol-Myers Squibb Company 2,200 232,650
Columbia/HCA Healthcare Corporation 6,300 225,225
Pharmacia & Upjohn, Inc. 3,600 129,600
------------
787,275
INDEPENDENT FINANCE COMPANIES - 2.30%
Beneficial Corporation 5,100 298,350
Student Loan Marketing Association 1,400 115,850
Transamerica Corporation 2,900 220,038
------------
634,238
INSURANCE - 5.34%
Aetna 4,900 327,688
American General Corporation 5,900 219,775
CIGNA Corporation 2,400 313,200
ITT Hartford Group, Inc. 5,100 321,300
Providian Corporation 6,100 286,700
------------
1,468,663
LEISURE & ENTERTAINMENT - 1.10%
Hasbro, Inc. 7,800 303,225
METALS & MINING - 1.14%
Phelps Dodge Corporation 5,000 314,375
PAPER & FOREST PRODUCTS - 1.05%
Mead Corporation 5,100 289,425
RETAIL - 2.17%
Federated Department Stores, Inc. (a) 9,000 297,000
J.C. Penney Company, Inc. 5,700 299,250
------------
596,250
TELECOMMUNICATIONS - 3.74%
AT&T Corporation 8,500 296,438
Sprint Corporation 9,100 357,175
U.S. West Communications Group 12,400 376,650
------------
1,030,263
TRANSPORTATION - 1.76%
Burlington Northern Santa Fe 2,200 181,225
CSX Corporation 7,000 301,875
------------
483,100
------------
Total Common Stock
(cost $11,811,263) 15,242,973
------------
WARRANTS - 0.02%
Bar Technologies - CW4/01 100 5,500
(cost $5,080)
</TABLE>
<PAGE> 38
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- ------
<S> <C> <C>
CORPORATE OBLIGATIONS - 20.50%
AEROSPACE & DEFENSE - 1.17%
Litton Industries, Inc.
7.75%, 03/15/2026 $ 100,000 101,278
McDonnell Douglas Corporation
9.25%, 04/01/2002 100,000 111,517
Northrop Grumman Corporation
8.625%, 10/15/2004 100,000 109,563
------------
322,358
AUTOMOTIVE - 1.11%
Lear Corporation
9.50%, 07/15/2006 100,000 106,500
Speedy Muffler King, Inc.
10.875%, 10/01/2006 100,000 102,500
Ford Motor Company
7.125%, 11/15/2025 100,000 96,673
------------
305,673
BROKERAGE -0.37%
Lehman Brothers, Inc.
7.25%, 10/15/2003 100,000 100,761
CAPITAL GOODS & MANUFACTURING - 0.75%
Hayes Wheels International, Inc
11.00%, 07/15/2006 200,000 206,500
CHEMICALS - 0.39%
LaRoch Industries, Inc.
13.00%, 08/15/2004 100,000 108,000
CONSUMER PRODUCTS - 2.68%
Coty, Inc.
10.25%, 05/01/2005 200,000 212,000
Dominick's Finer Foods
10.875%, 05/01/2005 100,000 110,375
E&S Holding Corporation - (144a) (c)
10.375%, 10/01/2006 200,000 205,250
Keebler Corporation - (144a) (c)
10.75%, 07/01/2006 100,000 106,500
Simmons Company
10.75%, 04/15/2006 100,000 102,750
------------
736,875
DOMESTIC BANKS - 1.87%
Bank of Boston
6.625%, 12/01/2005 100,000 96,813
First Nationwide Escrow - (144a) (c)
10.625%, 10/01/2003 300,000 315,000
NationsBank Corporation
7.75%, 08/15/2015 100,000 102,823
------------
514,636
ENERGY - 1.11%
Lasmo (USA) Inc
7.50%, 06/30/2006 200,000 206,140
Seagull Energy
8.625%, 08/01/2005 100,000 100,500
------------
306,640
</TABLE>
<PAGE> 39
<TABLE>
<S> <C> <C>
FOREIGN GOVERNMENTS - 0.80%
Quebec Province
8.80%, 04/15/2003 200,000 221,558
HOTEL & GAMING - 2.03%
Mirage Resorts Inc
7.25%, 10/15/2006 250,000 252,750
Showboat, Inc.
13.00%, 08/01/2009 100,000 112,000
Station Casinos
10.125%, 03/15/2006 200,000 196,500
------------
561,250
HOUSING RELATED -0.40%
Schuller International Group, Inc.
10.875%, 12/15/2004 100,000 110,000
INDEPENDENT FINANCE COMPANIES - 0.77%
Associates Corporation N.A.
8.625%, 11/15/2004 100,000 111,410
General Electric Capital Corporation
6.66%, 05/01/2018 100,000 100,979
------------
212,389
INSURANCE - 1.13%
American Reinsurance Corporation
10.875%, 09/15/2004 100,000 108,449
Travelers/Aetna Property & Casualty
6.75%, 04/15/2001 200,000 201,794
------------
310,243
MEDIA - 1.62%
Big Flower Press
10.75%, 08/01/2003 125,000 129,375
Gray Communication System, Inc.
10.625%, 10/01/2006 100,000 101,000
Rogers Cablesystems Limited
10.00%, 03/15/2005 100,000 102,000
Time Warner Enterprises, Inc.
9.625%, 05/01/2002 100,000 112,206
------------
444,581
METALS & MINING - 1.52%
Bar Technologies, Inc. - (144a) (c)
13.50%, 04/01/2001 100,000 101,000
NS Group Inc
13.50%, 07/15/2003 100,000 99,750
UCAR Global Enterprises, Inc.
12.00%, 01/15/2005 105,000 119,700
WMC Finance Limited USA
7.25%, 11/15/2013 100,000 98,000
------------
418,450
MUTUAL FUND -0.57%
AIM Management Group
9.00%, 11/15/2003 150,000 156,750
PACKAGING - 0.73%
Crown Cork & Seal
6.75%, 04/15/2003 100,000 98,277
US Can Corporation - (144a) (c)
10.125%, 10/15/2006 100,000 103,000
------------
201,277
</TABLE>
<PAGE> 40
<TABLE>
<S> <C> <C>
PAPER & FOREST PRODUCTS -0.68%
Doman Industries, Ltd.
8.75%, 03/15/2004 200,000 188,000
TRANSPORTATION - 0.40%
AMR Corporation
9.50%, 05/15/2001 100,000 110,328
WASTE MANAGEMENT - 0.40%
Norcal Waste Systems - (b)
12.75%, 11/15/2005 100,000 110,000
------------
Total Corporate Obligations
(cost $5,441,444) 5,646,269
------------
U.S. GOVERNMENT SECURITIES - 22.60%
U.S. GOVERNMENT AGENCIES - 13.09%
Federal Home Loan Mortgage Corporation
6.50%, 09/01/2001 84,931 85,079
8.50%, 10/01/2024 47,881 49,678
6.00%, 03/01/2011 132,639 127,965
6.50%, 03/01/2011 189,404 187,247
7.00%, 04/01/2011 174,304 174,931
7.00%, 01/01/2026 99,614 98,025
6.50%, 03/01/2026 320,693 307,657
7.00%, 03/01/2026 173,201 170,151
7.50%, 03/01/2026 124,386 124,867
8.50%, 05/01/2026 169,502 175,785
7.50%, 07/01/2026 99,783 100,169
Federal National Mortgage Association
8.00%, 07/01/2003 114,913 118,058
9.00%, 11/01/2004 44,642 46,709
8.50%, 08/01/2010 49,865 51,996
7.50%, 04/01/2011 90,018 91,476
8.00%, 06/01/2011 85,541 88,031
8.00%, 10/01/2011 100,142 103,057
8.00%, 03/01/2026 397,965 406,592
8.50%, 07/01/2026 99,785 103,297
Government National Mortgage Association
7.50%, 03/15/2024 326,823 329,431
7.00%, 03/15/2026 401,777 394,257
9.00%, 05/15/2026 157,185 166,340
8.00%, 07/15/2026 99,792 102,129
------------
3,602,927
U.S. GOVERNMENT BONDS - 1.81%
U.S. Treasury Strips
0.00%, 11/15/2015 200,000 54,822
0.00%, 08/15/2021 250,000 45,968
US Treasury Bond
7.875%, 02/15/2021 350,000 396,375
------------
497,165
</TABLE>
<PAGE> 41
<TABLE>
<S> <C> <C>
U.S. GOVERNMENT NOTES - 7.71%
U.S. Treasury Note
9.00%, 05/15/1998 350,000 366,954
5.875%, 08/15/1998 575,000 576,346
6.875%, 07/31/1999 1,150,000 1,178,026
------------
2,121,326
------------
Total U.S. Government Securities
(cost $6,163,239) 6,221,418
------------
SHORT TERM INVESTMENTS - 1.49%
COMMERCIAL PAPER - 1.49%
American Express Credit
5.25%, 11/04/1996 300,000 299,869
Wal-Mart Corporation
5.17%, 11/04/1996 111,000 109,953
------------
409,822
Total Short Term Investments
(cost $409,822) 409,822
------------
Total Investments - 100%
(cost $23,830,848) $27,525,982
============
</TABLE>
(a) Non-income producing.
(b) Coupon payment periodically increases over the life of the security. Rate
stated is in effect on October 31, 1996.
(c) Unregistered security - refer to note 2 in the note to financial
statements.
See notes to financial statements.
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