<PAGE>
NICHOLAS=APPLEGATE-Registered Trademark-
MUTUAL FUNDS
ANNUAL REPORT
MARCH 31, 1996
---------------------------------------------
FIXED INCOME PORTFOLIOS
INSTITUTIONAL SERIES
--------------------------------------------------
FULLY DISCRETIONARY
SHORT-INTERMEDIATE
<PAGE>
NICHOLAS=APPLEGATE-Registered Trademark- MUTUAL FUNDS
- -----------------------------------------------------------------------
600 West Broadway
San Diego, California 92101
800-551-8643
TRUSTEES OF NICHOLAS-APPLEGATE MUTUAL FUNDS
Fred C. Applegate, Chairman
Dr. Arthur B. Laffer
Charles E. Young
TRUSTEES OF NICHOLAS-APPLEGATE INVESTMENT TRUST
Arthur E. Nicholas, Chairman
Dann V. Angeloff
Walter A. Auch
Theodore J. Coburn
Darlene T. DeRemer
George F. Keane
OFFICERS
John D. Wylie, President
Peter J. Johnson, Vice President
Ashley T. Rabun, Vice President
Thomas Pindelski, Treasurer
E. Blake Moore, Jr., Secretary
INVESTMENT MANAGER
Nicholas-Applegate Capital Management
DISTRIBUTOR
Nicholas-Applegate Securities
CUSTODIAN
PNC Bank
TRANSFER AGENT
State Street Bank & Trust Company
- --------------------------------------------------------------------------------
<PAGE>
TABLE OF CONTENTS
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
PAGE
<S> <C>
Letter to Shareholders................................................ 1
Organization.......................................................... 3
The Funds' Schedules of Investments
Fully Discretionary Fixed Income.................................... 5
Short-Intermediate Fixed Income..................................... 7
The Portfolios'
Financial Highlights................................................ 10
Statements of Assets and Liabilities................................ 12
Statements of Operations............................................ 13
Statements of Changes in Net Assets................................. 14
Notes to the Financial Statements................................... 15
Notes to the Funds' Financial Statements.............................. 20
Report of Independent Auditors
Nicholas-Applegate Mutual Funds..................................... 23
Nicholas-Applegate Investment Trust................................. 24
</TABLE>
- ------------
This report is authorized for distribution to shareholders and to others only
when preceded or accompanied by a currently effective prospectus for
Nicholas-Applegate Institutional Series Fixed Income Portfolios. Distributor:
Nicholas-Applegate Securities.
<PAGE>
(This page intentionally left blank)
<PAGE>
LETTER TO SHAREHOLDERS
- -------------------------------------------------------------------
DEAR FELLOW SHAREHOLDERS,
This report reviews the Fully Discretionary Fixed Income Portfolio and the
Short-Intermediate Fixed Income Portfolio for the period ended March 31, 1996.
Market activity in the fourth quarter of 1995 reflected a continuation of the
trend toward lower rates begun earlier in the year. Fundamentals for the bond
market remain positive as inflation continues to moderate and the economy
remains in a slow growth phase, which is unlikely to reignite inflationary
pressures. Money supply growth also seems to support a positive environment for
financial assets. Broad measures of money have been growing rapidly over the
short term which implies ample liquidity in the financial system. However, over
the long term, growth in the broad measures of money remain moderate which
implies limited economic stimulation. The result was that interest rates
continued to decline during the fourth quarter.
For the six month period ending March 31, 1996, the Portfolios were structured
for a flat to declining interest rate environment. We also overweighted the
mortgage security sector of the Portfolios to capture that sector's higher yield
and more attractive valuations.
For the first half of the quarter ended March 31, the fixed income market
moved sideways as positive fundamentals were offset by interest rate levels
which made the market appear fully valued. By mid-February, however, the tone
began to change. Rather than focusing on the weak economy which was evident in
the fourth quarter of 1995, market participants began to focus on the potential
rebound which was likely to occur as concern over government shutdowns faded and
as pent-up demand caused by the unusually bad weather in December and January
began to work its way into the economy. The rise in yields accelerated after
Alan Greenspan's Humphrey-Hawkins testimony, which changed both the perception
of the Federal Reserve's current pulse and the expectations of future Federal
Reserve actions. Expecting a second wind for economic activity, Greenspan
implied that further reductions in short term interest rates were on hold. This
made longer bond prices appear vulnerable, and began a rise in yields which was
further fueled on March 8th by a stunning 705,000 jump in nonfarm payrolls. Any
lingering concern about a possible recession was removed and replaced with fears
of an accelerating economy, rising inflation, and even the possibility of a
tightening of monetary policy. The result was that interest rates continued to
rise for the rest of the quarter.
<TABLE>
<CAPTION>
INTEREST RATE MOVEMENT
----------------------------------------------------
FED FUNDS 2 YEAR 7 YEAR 30 YEAR
------------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
September, 1995...... 5.75 5.83 6.11 6.69
December, 1995....... 5.50 5.19 5.49 6.06
March, 1996.......... 5.25 5.77 6.28 6.83
Net Change........... (.50) (.06) .17 .14
</TABLE>
In spite of growing evidence of an economic resurgence, the fundamental
outlook for interest rates remains fairly positive. While the economy is clearly
growing faster than its very weak 4th quarter performance, a future level of
growth which would create inflationary pressures does not seem sustainable. As a
result, the secular disinflationary trend remains in place and cyclical
inflationary pressures appear modest. Broad measures of money continue to grow
rapidly. This implies ample liquidity in the financial systems which is positive
for the bond market. In addition, the flow of investment funds from overseas,
especially Japan, seems unlikely to abate. In Japan, a weak economy and a shaky
banking system make it highly likely that the Bank of Japan will continue to
keep Japanese interest rates low and continue to support the dollar by buying
U.S. fixed income assets.
The primary change which has resulted from the past three months market
actions is that bond valuations
- --------------------------------------------------------------------------------
1
<PAGE>
appear much more reasonable. Two year treasury notes, for example, which yielded
as much as fifty basis points less than Fed Funds earlier in the quarter,
yielded fifty-two basis points more than Fed Funds at the end of March. Thus, it
no longer requires a substantial decline in the Fed Funds rate just to justify
the current level of interest rates. In this environment, and with the
fundamentals still positive, on balance, the duration of the Fully Discretionary
Portfolio has been increased to 5.9 at the end of March. The duration of the
Short-Intermediate Fixed Income Portfolio has been increased to 2.1 at the end
of March.
We continue to have a sizable allocation of mortgage securities in both
Portfolios. The large yield premium on mortgage securities and the likelihood
that this yield premium will narrow, makes the return potential for mortgage
securities particularly attractive.
International bond markets posted better total returns than the U.S. bond
market during the first quarter. Yields in Europe and Japan changed relatively
little as economic weakness in the foreign economies was offset by the rise in
yields in the U.S. The dollar was modestly stronger during the quarter.
The performance for the Fully Discretionary Fixed Income Portfolio for the
last six months was 2.3% compared to the Lehman Brothers Government Corporate
Bond Index return of 2.2% and the Lehman Brothers Aggregate Bond Index return of
2.4%. The performance for the Short-Intermediate Fixed Income Portfolio for the
last six months was 3.0% compared to the Merrill Lynch 1-3 Year Treasury Index
return of 2.9%.
We are honored to have been selected to help you manage your financial assets
during this period.
Sincerely,
[SIGNATURE]
Fred S. Robertson, III
Portfolio Manager
Nicholas-Applegate Capital Management
- --------------------------------------------------------------------------------
2
<PAGE>
ORGANIZATION
- -------------------------------------------------------------------
Nicholas-Applegate Mutual Funds (the "Trust") is organized as a diversified,
open-end management investment company which offers 43 separate series comprised
of Portfolios A, with an initial sales charge, B, with a contingent deferred
sales charge, C, with a level asset-based sales charge, Institutional, with no
load, and Qualified, with no load (each a "Portfolio" and collectively the
"Portfolios"). The Portfolios of the Trust seek to achieve their respective
investment objectives by investing all of their assets in corresponding series
of Nicholas-Applegate Investment Trust (the "Master Trust"), a diversified,
open-end management investment company offering 12 investment vehicles (the
"Funds"). As of March 31, 1996, the Funds and corresponding Portfolios are as
follows:
<TABLE>
<CAPTION>
INCLUDED
IN INCLUDED IN
FUNDS OF THE PORTFOLIOS OF THIS ANOTHER
MASTER TRUST THE TRUST REPORT REPORT
- ----------------------- --------------------------------------------- ---------- -------------
<S> <C> <C> <C>
Mini Cap Growth Mini Cap Growth Institutional x
Emerging Growth Emerging Growth A x
Emerging Growth B x
Emerging Growth C x
Emerging Growth Institutional x
Emerging Growth Qualified x
Core Growth Core Growth A x
Core Growth B x
Core Growth C x
Core Growth Institutional x
Core Growth Qualified x
Income & Growth Income & Growth A x
Income & Growth B x
Income & Growth C x
Income & Growth Institutional x
Income & Growth Qualified x
Balanced Growth Balanced Growth A x
Balanced Growth B x
Balanced Growth C x
Balanced Growth Institutional x
Balanced Growth Qualified x
Government Income Government Income A x
Government Income B x
Government Income C x
Government Income Qualified x
Money Market Money Market Portfolio x
Worldwide Growth Worldwide Growth A x
Worldwide Growth B x
Worldwide Growth C x
Worldwide Growth Institutional x
Worldwide Growth Qualified x
International Growth International Growth A x
International Growth B x
International Growth C x
International Growth Institutional x
International Growth Qualified x
Emerging Countries Emerging Countries A x
Emerging Countries B x
Emerging Countries C x
Emerging Countries Institutional x
Emerging Countries Qualified x
Fully Discretionary Fully Discretionary Institutional x
Short-Intermediate Short-Intermediate Institutional x
</TABLE>
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3
<PAGE>
FULLY DISCRETIONARY FIXED INCOME INSTITUTIONAL PORTFOLIO
- -------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
FULLY DISCRETIONARY FIXED INCOME INSTITUTIONAL PORTFOLIO WITH THE LEHMAN
BROTHERS GOVERNMENT/CORPORATE BOND INDEX.
TOTAL RETURN
SINCE INCEPTION
(08/31/95 -- 03/31/96)
5.49%
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
FULLY DISCRETIONARY
<S> <C> <C>
Fixed Income
Institutional Lehman Gov't/Corp
Portfolio Bond Index
8/31/95 250000 250000
9/95 257840 252550
10/95 262060 256262
11/95 267084 260491
12/95 272016 264320
1/96 271811 265959
2/96 265457 260320
3/31/96 263735 258134
</TABLE>
This graph is furnished to you in accordance with SEC regulations. It compares a
$250,000 investment in the Fully Discretionary Fixed Income Institutional
Portfolio with the Lehman Brothers Government/Corporate Bond Index, on a
cumulative basis. All return calculations reflect the reinvestment of income and
capital gains distributions, if any, as well as all fees and expenses applicable
to the Portfolio.
The total returns for the Portfolio reflect the fact that fees and expenses in
excess of certain expense limits specified in the investment management
agreement have been deferred by Nicholas-Applegate Capital Management. Total
return results would have been lower had there been no deferral of fees and
expenses in excess of expense limitations.
The Lehman Brothers Government/Corporate Bond Index is an unmanaged
market-weighted index consisting of all public obligations of the U.S.
Government, its agencies and instrumentalities and all corporation issuers of
fixed rate, non-convertible, investment grade U.S. dollar denominated bonds
having maturities of greater than one year. It is generally regarded as
representative of the market for domestic bonds.
Index returns reflect the reinvestment of income and capital gains
distributions, if any, but does not reflect fees, brokerage commissions, or
other expenses of investing.
Past performance is no guarantee of future performance. Investment return and
the principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
- --------------------------------------------------------------------------------
4
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1996
- ------------------------------------------------------------------------
FULLY DISCRETIONARY
FIXED INCOME FUND PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 22.8%
- ----------------------------------------------
<TABLE>
<S> <C> <C>
U.S. TREASURY BONDS
12.00%, 08/15/13........................... $537,000 $ 775,208
10.63%, 08/15/15........................... 120,000 168,750
7.63%, 02/15/25............................ 60,000 66,028
----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,038,915).................................... 1,009,986
----------
- -------------------------------------------------------------------
AGENCY OBLIGATIONS -- 53.8%
- -------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 22.5%
POOL 50700
11.50%, 02/15/12......................... 9,366 10,611
POOL 64054
11.50%, 02/15/13......................... 8,410 9,527
POOL 57459
12.00%, 02/15/13......................... 3,459 3,995
POOL 125096
12.00%, 03/15/15......................... 2,331 2,693
POOL 141741
11.00%, 11/15/15......................... 16,512 18,576
POOL 321741
7.50%, 01/15/23.......................... 405,599 406,309
POOL 336173
7.50%, 04/15/23.......................... 394,459 395,149
POOL 352025
7.50%, 11/15/23.......................... 153,248 152,912
----------
999,772
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 24.5%
POOL 050341
9.50%, 09/01/05.......................... 209,264 221,362
POOL 303481
10.00%, 10/01/05......................... 193,655 206,242
POOL 303758
9.50%, 07/01/06.......................... 190,916 201,953
1993 116E
6.50%, 07/25/22.......................... 200,000 193,624
1993 138K
6.75%, 11/25/22.......................... 80,000 76,825
1993 183K
6.50%, 07/25/23.......................... 200,000 187,500
----------
</TABLE>
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
$1,087,506
----------
FEDERAL HOME LOAN MORTGAGE ASSOCIATION -- 6.8%
POOL 380032
10.00%, 10/01/03......................... $149,778 159,209
POOL 200112
9.50%, 11/01/05.......................... 134,375 141,996
----------
301,205
----------
TOTAL AGENCY OBLIGATIONS
(Cost $2,432,177).................................... 2,388,483
- -------------------------------------------------------------------
CORPORATE BONDS -- 12.4%
- -------------------------------------------------------------------
AMRO BANK, N.Y.
7.00%, 04/01/08.......................... 45,000 44,865
GTE FLORIDA, INC.
7.25%, 10/15/25.......................... 100,000 94,514
US WEST COMMUNICATIONS
6.88%, 09/15/33.......................... 150,000 133,793
PACIFIC BELL
6.63%, 10/15/34.......................... 155,000 135,977
BELL SOUTH TELECOM
7.00%, 12/01/45.......................... 150,000 141,977
----------
TOTAL CORPORATE BONDS
(Cost $602,212)...................................... 551,126
----------
- -------------------------------------------------------------------
FOREIGN BOND -- 6.1%
- -------------------------------------------------------------------
TREUHANDANSTALT
6.25%, 03/04/04
(Cost $276,922)........................DM 400,000 271,066
----------
- -------------------------------------------------------------------
DISCOUNT NOTE -- 3.8%
- -------------------------------------------------------------------
FEDERAL FARM CREDIT BANK
5.28%, 04/03/96
(Cost $169,950).......................... 170,000 169,950
----------
TOTAL INVESTMENTS -- 98.9%
(Cost $4,520,176).................................... $4,390,611
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 1.1%.................................. 49,474
----------
NET ASSETS -- 100.0%................................... $4,440,085
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
5
<PAGE>
SHORT-INTERMEDIATE FIXED INCOME INSTITUTIONAL PORTFOLIO
- -------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
SHORT-INTERMEDIATE FIXED INCOME INSTITUTIONAL PORTFOLIO WITH THE MERRILL LYNCH
1-3 YEAR TREASURY INDEX.
TOTAL RETURN
SINCE INCEPTION
(08/31/95 -- 03/31/96)
5.33%
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SHORT-INTERMEDIATE
<S> <C> <C>
Fixed Income
Institutional Merrill Lynch
Portfolio 1-3 Year Treasury Index
8/31/95 250000 250000
9/95 255700 251200
10/95 258313 253310
11/95 260324 255539
12/95 262368 257507
1/96 264602 259696
2/96 263384 258605
3/31/96 263323 258372
</TABLE>
This graph is furnished to you in accordance with SEC regulations. It compares a
$250,000 investment in the Short-Intermediate Fixed Income Institutional
Portfolio with the Merrill Lynch 1-3 Year Treasury Index, on a cumulative basis.
All return calculations reflect the reinvestment of income and capital gains
distributions, if any, as well as all fees and expenses applicable to the
Portfolio.
The total returns for the Portfolio reflect the fact that fees and expenses in
excess of certain expense limits specified in the investment management
agreement have been deferred by Nicholas-Applegate Capital Management. Total
return results would have been lower had there been no deferral of fees and
expenses in excess of expense limitations.
The Merrill Lynch 1-3 Year Treasury is an index consisting of all public U.S.
Treasury obligations having maturities from one to 2.99 years. It includes
income and distributions but does not reflect fees, brokerage commissions or
other expenses of investing.
Past performance is no guarantee of future performance. Investment return and
the principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
- --------------------------------------------------------------------------------
6
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1996
- ------------------------------------------------------------------------
SHORT-INTERMEDIATE
FIXED INCOME FUND PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------
U. S. TREASURY OBLIGATIONS -- 28.7%
- ----------------------------------------------
<TABLE>
<S> <C> <C>
U.S. TREASURY NOTES
5.125%, 11/30/98........................... $1,000,000 $ 980,780
7.750%, 11/30/99........................... 365,000 385,301
----------
TOTAL U. S. TREASURY NOTES
(Cost $1,375,039)...................................... 1,366,081
----------
- ---------------------------------------------------------------------
AGENCY OBLIGATIONS -- 24.8%
- ---------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION -- 17.1%
POOL 380032
10.00%, 10/01/03......................... 9,041 9,610
POOL 380062
9.50%, 11/01/04.......................... 303,724 320,951
POOL 380078
9.00%, 04/01/05.......................... 171,658 179,696
POOL 200112
9.50%, 11/01/05.......................... 192,626 203,551
POOL G10453
9.00%, 06/01/07.......................... 97,705 102,896
----------
816,704
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 0.4%
POOL 50155
10.00%, 12/01/03......................... 8,338 8,849
POOL 2454
14.75%, 10/01/12......................... 8,098 9,652
----------
18,501
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 7.3%
POOL 780328
10.00%, 10/15/06......................... 194,275 209,331
POOL 64054
11.50%, 02/15/13......................... 8,410 9,527
POOL 59779
11.50%, 03/15/13......................... 3,396 3,847
POOL 65569
12.00%, 09/15/13......................... 726 838
POOL 67134
12.00%, 09/15/13......................... 1,819 2,101
</TABLE>
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
POOL 780179
12.00%, 10/15/15......................... $ 84,614 $ 97,570
POOL 141741
11.00%, 11/15/15......................... 11,610 13,061
POOL 200947
9.50%, 12/15/17.......................... 9,772 10,615
----------
346,890
----------
TOTAL AGENCY OBLIGATIONS
(Cost $1,182,582)...................................... 1,182,095
----------
- ---------------------------------------------------------------------
CMO'S AND ASSET-BACKED SECURITIES -- 42.0%
- ---------------------------------------------------------------------
AUTOS -- 10.0%
BANC ONE AUTO TRUST 1995-A
6.650%, 05/15/97......................... 108,527 108,697
PREMIER AUTO TRUST 1994-4
6.200%, 10/02/97......................... 159,903 160,202
DAIMLER-BENZ AUTO GRANTOR TRUST 1993-A
3.900%, 10/15/98......................... 3,253 3,215
CARCO AUTO LOAN MASTER TRUST 1994-2
7.875%, 07/15/99......................... 200,000 204,874
----------
476,988
----------
BANKS -- 16.7%
FIRST DEPOSIT MASTER TRUST 1993-1
4.900%, 06/15/00......................... 50,000 49,968
BANC ONE CREDIT CARD MASTER TRUST 1994-C
7.800%, 12/15/00......................... 305,000 316,819
STANDARD CREDIT CARD MASTER TRUST 1995-10
5.900%, 02/07/01......................... 200,000 198,186
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
7
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1996 -- CONTINUED
- --------------------------------------------------------------------------------
SHORT-INTERMEDIATE
FIXED INCOME FUND PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------
CMO'S AND ASSET-BACKED SECURITIES (Continued)
- ----------------------------------------------
<TABLE>
<S> <C> <C>
BANKS (CONTINUED)
SIGNET CREDIT CARD MASTER TRUST
5.200%, 02/15/02......................... $ 235,000 $ 229,931
----------
794,904
----------
FINANCE -- 6.8%
DISCOVER CARD TRUST 1991-D
8.000%, 10/16/00......................... 100,000 103,718
AT&T UNIVERSAL CARD MASTER TRUST
5.950%, 10/17/02......................... 225,000 221,272
----------
324,990
----------
RETAIL -- 8.5%
SEARS CREDIT ACCOUNT TRUST 1991-D
7.750%, 09/15/98......................... 200,000 201,874
</TABLE>
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
RETAIL (CONTINUED)
SEARS CREDIT ACCOUNT MASTER TRUST 1994-2
7.250%, 07/16/01......................... $ 200,000 $ 203,562
----------
405,436
----------
TOTAL CMO'S AND ASSET-BACKED SECURITIES
(Cost $2,023,481)...................................... 2,002,318
----------
- ---------------------------------------------------------------------
DISCOUNT NOTES
- ---------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION -- 7.6%
5.280%, 04/02/96
(Cost $359,948)........................ 360,000 359,948
----------
TOTAL INVESTMENTS -- 103.1%
(Cost $4,941,050)...................................... $4,910,442
LIABILITIES IN EXCESS OF OTHER ASSETS -- (3.1%).......... (149,219)
----------
NET ASSETS -- 100.0%..................................... $4,761,223
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
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8
<PAGE>
(This page intentionally left blank)
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9
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------
INSTITUTIONAL SERIES PORTFOLIOS+
<TABLE>
<CAPTION>
NET ASSET NET REALIZED DISTRIBUTIONS
VALUES AT NET AND UNREALIZED FROM NET DISTRIBUTIONS
BEGINNING INVESTMENT GAINS ON INVESTMENT FROM
OF PERIOD INCOME INVESTMENTS INCOME CAPITAL GAINS
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------
FULLY DISCRETIONARY FIXED
INCOME
Institutional (For the
period ended 03/31/96).... $12.50 $ 0.45 $0.47 $(0.44) $(0.26)
SHORT-INTERMEDIATE FIXED
INCOME
Institutional (For the
period ended 03/31/96).... 12.50 0.37 0.29 (0.37) --
</TABLE>
- ------------
+Fully Discretionary Fixed Income Institutional and Short-Intermediate Fixed
Income Institutional Portfolios commenced operations on August 31, 1995.
++Includes expenses allocated from the Master Trust Funds. See Notes to Funds'
Financial Statements for amounts.
*Annualized
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
10
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO OF EXPENSES RATIO OF EXPENSES
TO AVERAGE TO AVERAGE
NET ASSET NET ASSETS, NET ASSETS,
VALUES AT NET ASSETS AT AFTER EXPENSE BEFORE EXPENSE
END OF PERIOD TOTAL RETURN END OF PERIOD REIMBURSEMENT++ REIMBURSEMENT++
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------------
FULLY DISCRETIONARY FIXED
INCOME
Institutional (For the
period ended 03/31/96).... $12.72 5.49% $ 4,413,386 0.45%* 6.45%*
SHORT-INTERMEDIATE FIXED
INCOME
Institutional (For the
period ended 03/31/96).... 12.79 5.33% 4,725,591 0.35%* 3.17%*
<CAPTION>
RATIO OF NET RATIO OF NET
TO AVERAGE TO AVERAGE
NET ASSETS, NET ASSETS,
AFTER EXPENSE BEFORE EXPENSE
REIMBURSEMENT++ REIMBURSEMENT++
<S> <C> <C>
- ------------------------------
FULLY DISCRETIONARY FIXED
INCOME
Institutional (For the
period ended 03/31/96).... 6.39%* 2.63%*
SHORT-INTERMEDIATE FIXED
INCOME
Institutional (For the
period ended 03/31/96).... 5.81%* 4.01%*
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
11
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
STATEMENTS OF ASSETS AND LIABILITIES AS OF MARCH 31, 1996
- -------------------------------------------------------------------
INSTITUTIONAL SERIES PORTFOLIOS
<TABLE>
<CAPTION>
FULLY SHORT-
DISCRETIONARY INTERMEDIATE
FIXED INCOME FIXED INCOME
<S> <C> <C>
-----------------------------
ASSETS
Investments in Master Trust Fund, at value*.............................. $4,413,705 $4,734,842
Due from advisor......................................................... 13,557 16,122
Deferred organization costs.............................................. 105 1,954
Prepaid expenses and other assets........................................ 12,844 214
-----------------------------
Total assets....................................................... 4,440,211 4,753,132
-----------------------------
LIABILITIES
Due to advisor........................................................... 2,240 2,240
Accrued expenses......................................................... 24,585 25,301
-----------------------------
Total liabilities.................................................. 26,825 27,541
-----------------------------
NET ASSETS................................................................. $4,413,386 $4,725,591
-----------------------------
COMPOSITION OF NET ASSETS
Paid-in capital.......................................................... $4,562,388 $4,750,680
Accumulated undistributed net investment income (loss)................... 2,116 (186)
Accumulated undistributed net realized gain (loss) from security
transactions........................................................... (23,216) 5,535
Accumulated undistributed net realized foreign exchange gain............. 856 --
Net unrealized foreign exchange (loss)................................... (18) --
Net unrealized (depreciation) of investments and foreign currency........ (128,740) (30,438)
-----------------------------
Net Assets......................................................... $4,413,386 $4,725,591
-----------------------------
Shares of beneficial interest, no par value, issued and outstanding
(unlimited shares authorized)............................................ 346,945 369,411
-----------------------------
COMPUTATION OF
Net asset value per share of beneficial interest (Net assets/Outstanding
shares of beneficial interest)......................................... $12.72 $12.79
-----------------------------
*Cost of investments in the Master Trust Fund.............................. $4,509,476 $4,646,581
-----------------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
12
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
STATEMENTS OF OPERATIONS FOR THE PERIOD ENDED MARCH 31, 1996
- -------------------------------------------------------------------
INSTITUTIONAL SERIES PORTFOLIOS*
<TABLE>
<CAPTION>
FULLY SHORT-
DISCRETIONARY INTERMEDIATE
FIXED INCOME FIXED INCOME
<S> <C> <C>
-----------------------------
INVESTMENT INCOME
Net investment income from Master Trust Fund............................. $ 55,126 $113,164
-----------------------------
EXPENSES
Accounting fee......................................................... 3,900 3,900
Administration fee..................................................... 2,905 2,905
Audit and tax services................................................. 4,299 4,299
Legal fee.............................................................. 265 726
Miscellaneous.......................................................... 19 118
Organization costs..................................................... 285 286
Registration fees...................................................... 14,915 15,138
Shareholder reporting fees............................................. 697 1,969
Transfer agent fees.................................................... 4,080 5,006
Trustees' fee.......................................................... 1,031 1,031
-----------------------------
Total expenses....................................................... 32,396 35,378
Less: Reimbursement from advisor....................................... (31,964) (34,403)
-----------------------------
Net expenses......................................................... 432 975
-----------------------------
Net investment income.............................................. 54,694 112,189
-----------------------------
NET REALIZED & UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from security transactions.................... (22,995) 5,535
Net realized foreign exchange gain..................................... 856 --
Change in net unrealized depreciation of investments and foreign
currency............................................................. (128,758) (30,438)
-----------------------------
Net loss on investments.............................................. (150,897) (24,903)
-----------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ $(96,203) $ 87,286
-----------------------------
</TABLE>
- ------------
*Commenced operations on August 31, 1995.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
13
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED MARCH 31, 1996
- -------------------------------------------------------------------
INSTITUTIONAL SERIES PORTFOLIOS+
<TABLE>
<CAPTION>
FULLY SHORT-
DISCRETIONARY INTERMEDIATE
FIXED INCOME FIXED INCOME
<S> <C> <C>
-----------------------------
INCREASE IN NET ASSETS
OPERATIONS
Net investment income.................................................. $ 54,694 $ 112,189
Net realized gain (loss) from security transactions and foreign
exchange............................................................. (22,139) 5,535
Change in net unrealized (depreciation) of investments and foreign
currency............................................................. (128,758) (30,438)
-----------------------------
Net increase (decrease) in net assets resulting from operations...... (96,203) 87,286
-----------------------------
DISTRIBUTIONS TO SHARES OF BENEFICIAL INTEREST
Net investment income*................................................. (52,578) (112,375)
Capital gain*.......................................................... (221) --
-----------------------------
Total distributions.................................................. (52,799) (112,375)
-----------------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold.............................................. 4,516,992 4,664,407
Proceeds from shares issued for distribution reinvestment.............. 52,796 112,373
Cost of shares repurchased............................................. (8,400) (27,100)
-----------------------------
Increase in net assets from transactions in shares of beneficial
interest............................................................. 4,561,388 4,749,680
-----------------------------
Total increase in net assets......................................... 4,412,386 4,724,591
NET ASSETS:
BEGINNING OF PERIOD...................................................... 1,000 1,000
-----------------------------
END OF PERIOD............................................................ $4,413,386 $4,725,591
-----------------------------
CHANGES IN SHARES OF BENEFICIAL INTEREST
Beginning balance........................................................ 80 80
Shares sold.............................................................. 343,351 362,652
Shares issued for distributions reinvested............................... 4,145 8,769
Shares repurchased....................................................... (631) (2,090)
-----------------------------
Ending balance........................................................... 346,945 369,411
-----------------------------
</TABLE>
- ------------
+Commenced operations on August 31, 1995.
*See Financial Highlights for per share distribution amounts.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
14
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS
- -------------------------------------------------------------------
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
Nicholas-Applegate Mutual Funds (the "Trust") is organized as a diversified,
open-end management investment company which offers 43 separate series comprised
of Portfolios A, with an initial sales charge, B, with a back-end sales charge,
C, with a level asset-based sales charge, Institutional, with no load, and
Qualified, with no load (each a "Portfolio" and collectively the "Portfolios").
The Portfolios of the Trust seek to achieve their respective investment
objectives by investing all of their assets in corresponding series of
Nicholas-Applegate Investment Trust (the "Master Trust"), a diversified,
open-end management investment company offering twelve investment vehicles (the
"Funds"). For a description of the investment objectives of each Fund, see Note
A to the accompanying Funds' financial statements.
Pursuant to Rule 24f-2 under the Investment Company Act, the Trust has elected
to register an indefinite number of shares. The Trust commenced operations on
April 19, 1993.
INVESTMENT INCOME
Each Portfolio accrues income, net of expenses, daily on its investment in the
applicable Fund. All of the net investment income (deficit) and realized and
unrealized gains and losses from the security transactions and foreign currency
of the Fund are allocated pro rata among the investors in the Fund at the time
of such determination.
FEDERAL INCOME TAXES
It is the Portfolios' policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute
substantially all of their taxable income to their shareholders. Accordingly, no
federal income tax provisions are required if the Portfolios continue to comply
with such requirements.
The Funds are treated as partnerships for federal income tax purposes. Any
interest, dividends and gains or losses of the Funds will be deemed to have been
"passed through" to the Portfolios.
Net investment income and net realized gains for the year (or period where
appropriate) differ for financial statement and tax purposes primarily because
of one or all of the following: deferral of wash-sale losses, passive foreign
investments, unrealized appreciation/depreciation, and capital loss
carryforwards.
The character of distributions made during the year (or period where
appropriate) from net investment income or net realized gains may differ from
their ultimate characterization for federal income tax purposes due to book/tax
differences in the character of income and expense recognition.
DEFERRED ORGANIZATION COSTS
Organization costs incurred by the Trust have been allocated to certain
Portfolios based upon management's best estimate of the costs applicable to each
Portfolio. These costs have been deferred and will be amortized over a period of
60 months from the date the Portfolios commenced operations.
In the event that any of the initial shares are redeemed by the holder during
the period of amortization of the Portfolio's organization costs, the redemption
proceeds will be reduced by any such unamortized organization costs in the same
proportion as the number of initial shares being redeemed bears to the number of
those shares outstanding at the time of redemption.
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
- --------------------------------------------------------------------------------
15
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS -- Continued
- --------------------------------------------------------------------------------
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
2. TRANSACTIONS WITH AFFILIATES
ADVISORY AGREEMENTS
The investment adviser to the Master Trust is Nicholas-Applegate Capital
Management ("Nicholas-Applegate" or "Investment Adviser"). The advisory fee is
computed daily for the Funds based upon the percentage of each Fund's average
daily net assets.
EXPENSE LIMITATIONS
Nicholas-Applegate and the Trust have undertaken to limit the Portfolios'
expenses to the following annual levels through March 31, 1997. In subsequent
years, overall operating expenses for each Portfolio will not fall below the
applicable percentage limitation until the Investment Adviser has been fully
reimbursed for fees foregone or expenses paid by the Investment Adviser under
this agreement, as each Portfolio will reimburse the Investment Adviser in
subsequent years when operating expenses (before reimbursement) are less than
the applicable percentage limitation.
<TABLE>
<CAPTION>
FUND
- ------------------------------------------------
<S> <C>
Fully Discretionary Fixed Income Institutional
Portfolio..................................... 0.45%
Short-Intermediate Fixed Income Institutional
Portfolio..................................... 0.35%
</TABLE>
These percentages are based on the average net assets of the Portfolios,
exclusive of interest, taxes, brokerage commissions and other costs incurred in
connection with portfolio securities transactions, capital expenditures, and
extraordinary expenses.
The cumulative unreimbursed amounts paid by Nicholas-Applegate on behalf of
the Portfolios, during the period from inception (respectively) to March 31,
1996 are as follows:
<TABLE>
<S> <C>
Fully Discretionary Fixed Income
Institutional Portfolio............. $ 31,964
Short-Intermediate Fixed Income
Institutional Portfolio............. $ 34,403
</TABLE>
Nicholas-Applegate advanced certain organization costs discussed in Note 1. As
of March 31, 1996, the following Portfolios have amounts due to
Nicholas-Applegate for organizational costs advanced:
<TABLE>
<S> <C>
Fully Discretionary Fixed Income
Institutional Portfolio.............. $ 2,240
Short-Intermediate Fixed Income
Institutional Portfolio.............. $ 2,240
</TABLE>
RELATED PARTIES
Certain officers of the Trust and the Master Trust are also officers of the
Investment Advisor.
3. INVESTMENT TRANSACTIONS
Additions and reductions in the investments in the respective Master Trust
Funds for the fiscal year ended March 31, 1996, were as follows:
<TABLE>
<CAPTION>
ADDITIONS REDUCTIONS
(000S) (000S)
----------- -------------
<S> <C> <C>
Fully Discretionary Fixed Income
Institutional Portfolio........... $ 4,518 $ 9
Short-Intermediate Fixed Income
Institutional Portfolio........... 4,684 37
</TABLE>
- --------------------------------------------------------------------------------
16
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS -- Continued
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES FOR NICHOLAS-APPLEGATE INVESTMENT TRUST
AS OF MARCH 31, 1996
<TABLE>
<CAPTION>
FULLY SHORT-
DISCRETIONARY INTERMEDIATE
FIXED INCOME FIXED INCOME
FUND FUND
<S> <C> <C>
-----------------------------
ASSETS
Investments, at value*................................................... $4,390,611 $4,910,442
Cash..................................................................... 3,974 1,342
Interest receivable...................................................... 42,197 54,902
Receivable for investment securities sold................................ -- 202,125
Due from advisor......................................................... 7,381 10,043
Deferred organization costs.............................................. 1,954 1,954
Prepaid expenses and other assets........................................ 8,975 17,671
-----------------------------
Total assets......................................................... 4,455,092 5,198,479
-----------------------------
LIABILITIES
Payable for investment securities purchased.............................. -- 423,614
Due to advisor........................................................... 2,240 2,240
Accrued expenses......................................................... 12,767 11,402
-----------------------------
Total liabilities.................................................... 15,007 437,256
-----------------------------
NET ASSETS................................................................. $4,440,085 $4,761,223
-----------------------------
COMPOSITION OF NET ASSETS
Paid-in capital.......................................................... $4,534,476 $4,671,581
Accumulated undistributed net investment income.......................... 56,158 114,124
Accumulated undistributed net realized gain (loss)....................... (21,828) 6,126
Accumulated undistributed net realized foreign exchange gain............. 862 --
Net unrealized foreign exchange (loss)................................... (18) --
Net unrealized (depreciation) on investments............................. (129,565) (30,608)
-----------------------------
Net assets........................................................... $4,440,085 $4,761,223
-----------------------------
*Investments, at cost...................................................... $4,520,176 $4,941,050
-----------------------------
</TABLE>
- --------------------------------------------------------------------------------
17
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS -- Continued
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR NICHOLAS-APPLEGATE INVESTMENT TRUST
FOR THE PERIOD ENDED MARCH 31, 1996
<TABLE>
<CAPTION>
FULLY SHORT-
DISCRETIONARY INTERMEDIATE
FIXED INCOME FIXED INCOME
FUND* FUND*
<S> <C> <C>
---------------------------
INVESTMENT INCOME
Interest................................................................. $ 59,680 $120,029
---------------------------
EXPENSES
Accounting fee......................................................... 9,375 9,375
Administration fee..................................................... 290 662
Advisory fee........................................................... 3,962 5,905
Audit & tax services................................................... 252 590
Custodian fee.......................................................... 3,000 2,853
Miscellaneous.......................................................... 1,602 2,275
Organization costs..................................................... 285 286
Trustees' fee.......................................................... 4,838 4,838
---------------------------
Total expenses....................................................... 23,604 26,784
Less: Reimbursement from advisor....................................... (20,082) (20,879)
---------------------------
Net expenses......................................................... 3,522 5,905
---------------------------
Net investment income.............................................. 56,158 114,124
---------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from security transactions...................... (21,828) 6,126
Net realized foreign exchange gain....................................... 862 --
Change in net unrealized depreciation of investments and foreign
currency............................................................... (129,583) (30,608)
---------------------------
Net loss on investments.............................................. (150,549) (24,482)
---------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS............ $ (94,391) $ 89,642
---------------------------
</TABLE>
- ------------
*Commenced operations on August 31, 1995.
- --------------------------------------------------------------------------------
18
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS -- Continued
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS FOR NICHOLAS-APPLEGATE INVESTMENT TRUST
FOR THE PERIOD ENDED MARCH 31, 1996
<TABLE>
<CAPTION>
FULLY SHORT-
DISCRETIONARY INTERMEDIATE
FIXED INCOME FIXED INCOME
FUND* FUND*
<S> <C> <C>
-----------------------------
INCREASE IN NET ASSETS
OPERATIONS
Net investment income.................................................. $ 56,158 $ 114,124
Net realized gain (loss) from security transactions and foreign
exchange............................................................. (20,966) 6,126
Change in net unrealized (depreciation) of investments and foreign
currency............................................................. (129,583) (30,608)
-----------------------------
Net increase (decrease) in net assets resulting from operations...... (94,391) 89,642
-----------------------------
TRANSACTIONS IN INTEREST
Contributions by partners.............................................. 4,542,991 4,708,688
Withdrawals by partners................................................ (8,515) (37,107)
-----------------------------
Net increase in net assets from transactions in interests............ 4,534,476 4,671,581
-----------------------------
Total increase in net assets......................................... 4,440,085 4,761,223
NET ASSETS:
BEGINNING OF PERIOD...................................................... -- --
-----------------------------
END OF PERIOD............................................................ $ 4,440,085 $ 4,761,223
-----------------------------
</TABLE>
- ------------
*Commenced operations on August 31, 1995.
- --------------------------------------------------------------------------------
19
<PAGE>
NICHOLAS-APPLEGATE INVESTMENT TRUST
NOTES TO THE FUNDS' FINANCIAL STATEMENTS
- -------------------------------------------------------------------
A. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
Nicholas-Applegate Investment Trust (the "Master Trust"), a diversified,
open-end management investment company organized as a Delaware business trust,
is comprised of twelve investment vehicles (each a "Fund" and collectively the
"Funds") as of March 31, 1996. Each Fund has up to five Portfolios which have
invested in the respective series of the Master Trust to achieve their
investment objective.
The investment objectives of the Funds are as follows:
Fully Discretionary Fixed Income Fund seeks to maximize total return through
investment primarily in investment grade fixed-income securities with an average
portfolio duration between two and eight years.
Short-Intermediate Fixed Income Fund seeks to preserve principal and liquidity
and realize a relatively high level of current income through investment
primarily in investment grade fixed-income securities with a maximum average
dollar-weighted portfolio maturity of five years.
SECURITIES TRANSACTIONS
Debt securities generally are valued at the last bid price. Securities with 60
days or less remaining to maturity are valued on an amortized cost basis which
approximates market value.
Securities for which market quotations are not readily available are valued at
fair value determined in good faith by or under the direction of the Master
Trust's Board of Trustees.
Securities transactions are recognized on the trade date. Realized gains and
losses from securities transactions are calculated using the first-in, first-out
method. Dividend income is recognized on the ex-dividend date, and interest
income is recorded on the accrual basis. Discounts and premiums on securities
purchased are amortized over the life of the respective securities. The
prospectus for the Nicholas-Applegate Mutual Funds describes each Fund's
policies with respect to declaration and payment of dividends and distribution
of capital gains.
FEDERAL INCOME TAXES
The Funds are treated as partnerships for federal income tax purposes. Any
interest, dividends and gains or losses of a Fund will be deemed to have been
"passed through" to the Portfolios.
DEFERRED ORGANIZATION COSTS
Organization costs incurred by the Master Trust have been allocated to the
various Funds based upon management's best estimate of the costs applicable to
each Fund. These costs have been deferred and will be amortized over a period of
60 months from the date the Funds commenced operations.
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.
- --------------------------------------------------------------------------------
20
<PAGE>
NICHOLAS-APPLEGATE INVESTMENT TRUST
NOTES TO THE FUNDS' FINANCIAL STATEMENTS -- Continued
- --------------------------------------------------------------------------------
B. TRANSACTIONS WITH AFFILIATES
ADVISORY AGREEMENTS
The investment adviser to the Master Trust is Nicholas-Applegate Capital
Management ("Nicholas-Applegate"). The advisory fee is computed daily for the
Funds based upon the following percentages of each Fund's average daily net
assets: for the Short-Intermediate Fund, 0.30% of the first $250 million of the
Fund's average net assets and 0.25% of average net assets in excess of $250
million; for the Fully Discretionary Fund, 0.45% of the first $500 million of
the Fund's average net assets, 0.40% of the next $250 million of average net
assets, and 0.35% of average net assets in excess of $750 million.
EXPENSE LIMITATIONS
Nicholas-Applegate and the Master Trust have undertaken to limit the Funds'
expenses to certain annual levels through March 31, 1997. In subsequent years,
overall operating expenses for each Fund will not fall below the percentage
limitation until the Investment Adviser has been fully reimbursed for fees
foregone or expenses paid by the Investment Adviser under this agreement, as
each Fund will reimburse the Investment Adviser in subsequent years when
operating expenses (before reimbursement) are less than the applicable
percentage limitation.
The cumulative unreimbursed amounts paid by Nicholas-Applegate on behalf of
the Funds, during the period from inception (respectively) to March 31, 1996 are
as follows:
<TABLE>
<S> <C>
Fully Discretionary Fixed Income
Fund................................ $ 20,082
Short-Intermediate Fixed Income
Fund................................ 20,879
</TABLE>
Nicholas-Applegate advanced certain organization costs discussed in Note A. As
of March 31, 1996, the following Funds have amounts due to Nicholas-Applegate
for organizational costs advanced:
<TABLE>
<S> <C>
Fully Discretionary Fixed Income
Fund................................. $ 2,240
Short-Intermediate Fixed Income
Fund................................. 2,240
</TABLE>
C. INVESTMENT TRANSACTIONS
The aggregate purchases and sales of investment securities, other than
short-term obligations, for the fiscal year ended March 31, 1996, were as
follows (in 000's):
<TABLE>
<CAPTION>
PURCHASES SALES
----------- ---------
<S> <C> <C>
Fully Discretionary Fixed Income
Fund.............................. $ 5,442 $ 1,065
Short-Intermediate Fixed Income
Fund.............................. 8,394 3,801
</TABLE>
At March 31, 1996, the net unrealized appreciation (depreciation) based on the
cost of investments for Federal income tax purposes was as follows (in 000's):
<TABLE>
<CAPTION>
TAX GROSS
COST OF GROSS UNREALIZED UNREALIZED NET UNREALIZED
INVESTMENTS APPRECIATION DEPRECIATION DEPRECIATION
------------- ----------------- --------------- ---------------
<S> <C> <C> <C> <C>
Fully
Discretionary
Fixed Income
Fund........... $ 4,520 $ 2 $ 132 $ (130)
Short-Intermediate
Fixed Income
Fund........... 4,941 4 35 (31)
</TABLE>
- --------------------------------------------------------------------------------
21
<PAGE>
NICHOLAS-APPLEGATE INVESTMENT TRUST
NOTES TO THE FUNDS' FINANCIAL STATEMENTS -- Continued
- --------------------------------------------------------------------------------
D. SELECTED RATIO DATA
<TABLE>
<CAPTION>
RATIO OF NET RATIO OF NET
RATIO OF RATIO OF INVESTMENT INVESTMENT
EXPENSES EXPENSES INCOME TO INCOME TO
TO AVERAGE TO AVERAGE AVERAGE AVERAGE
NET ASSETS, NET ASSETS, NET ASSETS, NET ASSETS, PORTFOLIO
AFTER EXPENSE BEFORE EXPENSE AFTER EXPENSE BEFORE EXPENSE TURNOVER
REIMBURSEMENTS+ REIMBURSEMENTS+ REIMBURSEMENTS+ REIMBURSEMENTS+ RATE
<S> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
FULLY DISCRETIONARY FIXED INCOME*
For the period ended 03/31/96......... 0.45% 2.69% 6.44% 4.12% 60.06%
SHORT-INTERMEDIATE FIXED INCOME*
For the period ended 03/31/96......... 0.30% 1.36% 5.85% 4.77% 114.38%
</TABLE>
- ------------
*Commenced operations on August 31, 1995
+Annualized
- --------------------------------------------------------------------------------
22
<PAGE>
REPORT OF INDEPENDENT AUDITORS
- -------------------------------------------------------------------
[LOGO]
To the Shareholders and Board of Trustees of
Nicholas-Applegate Mutual Funds
We have audited the accompanying statements of assets and liabilities of the
following portfolios of Nicholas-Applegate Mutual Funds: Fully Discretionary
Fixed Income Institutional Portfolio and Short-Intermediate Fixed Income
Institutional Portfolio (hereinafter the "Portfolios"), as of March 31, 1996,
and the related statements of operations and changes in net assets and the
financial highlights for the fiscal year then ended. These financial statements
and financial highlights are the responsibility of the Portfolios' management.
Our responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial positions of the
Portfolios as of March 31, 1996, and the results of their operations, changes in
their net assets and the financial highlights for the fiscal year then ended, in
conformity with generally accepted accounting principles.
[LOGO]
May 10, 1996
- --------------------------------------------------------------------------------
23
<PAGE>
REPORT OF INDEPENDENT AUDITORS
- -------------------------------------------------------------------
[LOGO]
To the Shareholders and Board of Trustees of
Nicholas-Applegate Investment Trust
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of the following series of Nicholas-Applegate
Investment Trust: Fully Discretionary Fixed Income Fund and Short-Intermediate
Fixed Income Fund (hereinafter the "Funds"), as of March 31, 1996, and the
related statements of operations and changes in net assets for the fiscal year
then ended. These 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 in accordance with generally accepted auditing
standards. Those standards 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. Our procedures included
confirmation of securities owned as of March 31, 1996, by correspondence with
the custodian. An audit also includes assessing the accounting principles used
and significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial positions of the Funds as of March 31,
1996, and the results of their operations and changes in their net assets for
the fiscal year then ended, in conformity with generally accepted accounting
principles.
[LOGO]
May 10, 1996
- --------------------------------------------------------------------------------
24
<PAGE>
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<PAGE>
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<PAGE>
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