<PAGE>
NICHOLAS|APPLEGATE -Registered Trademark-
MUTUAL FUNDS, ANNUAL REPORT
INSTITUTIONAL PORTFOLIOS : MARCH 31, 1997
<PAGE>
JAPAN UNITED MEXICO SWITZERLAND THAILAND
STATES
<PAGE>
At Nicholas-Applegate, we apply our bottom-up investment philosophy with a
global perspective. We seek companies around the world that are showing signs
of positive change, sustainability and timeliness. Our stock selection is
based on a collaboration of integrated methods: a vast network of contacts
around the world, including professionals in our international analyst
exchange program; the discipline and depth of our internal research,
bolstered by a proprietary database of over 20,000 stocks world-wide;
continuous team interaction; and timely, well-informed decision making.
Below are a few examples of our holdings.
COMPUTER CHIP MANUFACTURER:JAPAN -- Of the myriad of choices around the
world, the U.S. largest computer chip maker opted for the services of a
Japanese packaging company, a company that has since become a thriving stock
in one of our portfolios.
FURNITURE MANUFACTURER:UNITED STATES -- With a complete management
makeover, a well-established furniture manufacturer and retailer has revamped
its entire business plan to aggressively pursue a younger market, making it
an archetypical Nicholas-Applegate holding.
ENTERTAINMENT:MEXICO -- The upturn in the Mexican economy has spawned an
explosive entertainment industry. Spearheading that growth is an
international promoter of live concerts that is just one of our growing
stocks.
GLOBAL TEMP AGENCY:SWITZERLAND -- Due to the streamlining of work forces
abroad, Europe's largest global temporary help agency was an ideal addition
to some of our portfolios.
PIZZA:THAILAND -- Pizza is fast becoming the most popular food among the
younger generations in Thailand, making a Thai holding company of several
fast-food chains the perfect candidate to be a Nicholas-Applegate holding.
Disclosure: International investing involves special risks, including
currency and political risks not associated with domestic investments.
Distributor: Nicholas-Applegate Securities.
<PAGE>
TABLE OF CONTENTS
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<TABLE>
<CAPTION>
PAGE
<S> <C>
Letter to Shareholders.................................................. 1
Long-Term View of the Global Equity and Bond Markets.................... 2
The Portfolios' Review and Outlook, Performance and the Funds' Schedules
of Investments
Mini Cap Growth....................................................... 3
Emerging Growth....................................................... 8
Core Growth........................................................... 16
Income & Growth....................................................... 20
Balanced Growth....................................................... 25
Value................................................................. 30
Large Cap Growth...................................................... 34
Emerging Countries.................................................... 36
International Small Cap Growth........................................ 42
International Core Growth............................................. 48
Worldwide Growth...................................................... 52
Fully Discretionary Fixed Income...................................... 58
Short-Intermediate Fixed Income....................................... 62
Strategic Income...................................................... 65
High Yield Bond....................................................... 69
The Portfolios'
Financial Highlights.................................................. 72
Statements of Assets and Liabilities.................................. 74
Statements of Operations.............................................. 76
Statements of Changes in Net Assets................................... 78
Notes to the Financial Statements..................................... 82
Notes to the Funds' Financial Statements................................ 94
Report of Independent Auditors
Nicholas-Applegate Mutual Funds....................................... 99
Nicholas-Applegate Investment Trust................................... 100
</TABLE>
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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 Portfolios. Distributor: Nicholas-
Applegate Securities.
<PAGE>
LETTER TO SHAREHOLDERS
- ------------------------------------------------------------------------
FELLOW SHAREHOLDER,
Against the background of an ever-changing financial horizon, domestic and
global investing continued to present exciting opportunities during the recently
ended fiscal year. For the period between April 1, 1996 and March 31, 1997, we
witnessed equity markets soar to all-time high levels, while fixed income
markets moved in tandem with major economic events. We also saw international
economies carry through and adapt to the challenges of growth, highlighting the
long-term investment potential for developed and emerging markets around the
world.
In the face of these dynamic developments, the Nicholas-Applegate Mutual Funds
remained positioned to take advantage of fundamental strengths we identified
globally, delivering sound returns for shareholders during the period.
U.S. stocks, for instance, turned in solid gains despite a wave of selling
activity in the most recent quarter that saw larger-capitalization shares stay
at the forefront of a narrow market advance. At March-end, smaller-cap stocks
were trading at their most attractive valuation levels since the early 1990s
relative to larger-cap equities. Combined with the robust earnings growth
prevalent among small caps, we believe they should attract greater recognition
in the year ahead.
The benefits of our stock selection were evident worldwide, especially in
Europe and emerging countries such as Mexico and China.
For their part, fixed-income instruments displayed resiliency amid mixed
economic data reported during the fiscal year. Despite the volatility of
interest rates in the period, returns for our fixed-income investments were
enhanced through sector and security selection in domestic and international
markets.
In addition to the creation of the Value, Strategic Income, and High Yield
Bond mutual funds early in the fiscal year, we recently added the International
Core Growth and Large Cap Growth mutual funds. Our family of funds continues to
grow in response to the evolving needs of our shareholders.
Looking ahead, we remain optimistic in our outlook for worldwide growth
investing. We believe that opportunities abound in the global marketplace. As
always, we are confident that the consistent application of our investment
philosophy will reward our shareholders with long-term appreciation.
Thank you for selecting Nicholas-Applegate Mutual Funds.
Best Regards,
[SIGNATURE]
John D. Wylie
President
Nicholas-Applegate Mutual Funds
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1
<PAGE>
LONG-TERM VIEW OF GLOBAL EQUITY AND BOND MARKETS
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EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
THE GROWTH OF $1.00 INVESTED AT YEAR-END
1969 THROUGH DECEMBER 1996
LONG-TERM INFLATION SMALL INTERNATIONAL LARGE
GOVERNMENT BONDS COMPANY STOCK STOCKS COMPANY STOCK
<S> <C> <C> <C> <C> <C>
Dec 1969 $ 1 $ 1 $ 1 $ 1 $ 1
Dec 1970 1.121059215 1.054916426 0.825661484 0.894879897 1.040065616
Dec 1971 1.269371876 1.090347126 0.961892527 1.174150171 1.188927419
Dec 1972 1.341548263 1.12754958 1.004544102 1.615611805 1.414539684
Dec 1973 1.326700092 1.226754011 0.694095606 1.386730661 1.20715054
Dec 1974 1.384471488 1.37644603 0.555657342 1.079598462 0.887643365
Dec 1975 1.511786318 1.472992153 0.849132107 1.480157725 1.217873832
Dec 1976 1.765084762 1.543852495 1.33634258 1.535504278 1.508253479
Dec 1977 1.752937265 1.648369998 1.675467221 1.833772011 1.399900469
Dec 1978 1.732297675 1.797174114 2.068551129 2.462774507 1.491736529
Dec 1979 1.710920777 2.036323189 2.967633147 2.615043053 1.766805621
Dec 1980 1.643397054 2.288760432 4.150984033 3.253885817 2.339593716
Dec 1981 1.67392721 2.493367804 4.727097865 3.220297086 2.224747404
Dec 1982 2.349546704 2.589907967 6.050934266 3.192647959 2.701053085
Dec 1983 2.364859959 2.688226313 8.451243074 3.978387612 3.309163144
Dec 1984 2.730867828 2.794515814 7.887625237 4.291261194 3.516525973
Dec 1985 3.576530396 2.899887865 9.832862666 6.725433675 4.647371699
Dec 1986 4.453883483 2.932652377 10.50654155 11.42914677 5.505765733
Dec 1987 4.333002093 3.061968176 9.529705152 14.27881017 5.793758911
Dec 1988 4.752133652 3.19728891 11.70955501 18.36070287 6.767648768
Dec 1989 5.612965247 3.345876176 12.90143612 20.34295824 8.898838582
Dec 1990 5.95998744 3.550184212 10.11974905 15.6249679 8.616507619
Dec 1991 7.11022832 3.658972623 14.63662624 17.5769639 11.24880574
Dec 1992 7.682876394 3.765106707 18.05418764 15.49396734 12.11161228
Dec 1993 9.084266831 3.868587117 21.84168912 20.59845037 13.32153781
Dec 1994 8.378384135 3.972070187 22.52000493 22.25896356 13.49568968
Dec 1995 11.0316799 4.07289762 30.2804398 24.83012571 18.54706335
Dec 1996 10.93 4.21 35.62 26.41 22.83
</TABLE>
IBBOTSON ASSOCIATES GROWTH OF $1.00 CHART
SMALL COMPANY STOCK
Small Company Stocks data represents the smallest one-fifth of NYSE stocks
from 1/1/26 through 12/31/81 and Dimensional Fund Advisors ("DFA") Small Company
Fund thereafter, with all income dividends and capital gains distributions, if
any, reinvested.
LARGE COMPANY STOCK
Large Company Stocks data represents the Standard & Poor's 500 Index which
contains 500 industrial, transportation, utility and financial companies
regarded as generally representative of the U.S. stock market.
LONG-TERM GOVERNMENT BONDS
Long Term Government Bond data is based on a one bond portfolio whose
rolling approximate maturity is twenty years.
INTERNATIONAL STOCK
International stock data represents the MSCI EAFE Index. The Index is
considered to be a generally accepted benchmark for major overseas markets.
TREASURY BILLS
Treasury bill data is measured by a portfolio having a minimum maturity of
one month.
INFLATION
The Consumer Price Index is a measure of change in consumer prices as
determined by a monthly survey of the U.S. Bureau of Labor Statistics. Many
pension and employment contracts are tied to changes in consumer prices, as
protection against inflation and reduced purchasing power.
Each equity and bond index reflects the reinvestment of income dividends and
capital gains distributions, if any, but does not reflect fees, brokerage
commissions, or other expenses of investing (except for the DFA Small Company
Fund's returns which are net of transaction costs). All results are historical.
Past performance is no guarantee of future performance of any index or
Nicholas-Applegate Mutual Funds.
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2
<PAGE>
MINI CAP GROWTH FUND
INSTITUTIONAL PORTFOLIO
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MANAGEMENT TEAM
Catherine Somhegyi,
Partner, Chief Investment Officer,
Global Equity Management
Thomas E. Bleakley,
Portfolio Manager
Ronald J. Krystyniak,
Portfolio Manager
John C. McCraw,
Portfolio Manager
GOAL: The Nicholas-Applegate Mini Cap Growth Fund seeks to maximize long-term
capital appreciation by investing primarily in U.S. companies with less than
$100 million in market capitalization.
REVIEW AND OUTLOOK: The Mini Cap Growth Fund turned in positive returns from
April 1, 1996 to March 31, 1997. The Fund's Institutional Portfolio finished
3.9% higher at the end of the review period, outperforming the Russell 2000
Growth Index, which declined 5.9%.
Small-capitalization growth stocks were at the forefront of the market's
upturn during the first half of the Fund's fiscal year amid a backdrop of
macroeconomic factors -- such as a perceived slowing of the economy and a strong
dollar -- which often bode well for small stocks. Small-cap shares usually
thrive in a slow economic growth setting since their earnings depend less on the
overall condition of the economy. Moreover, unlike larger companies with
overseas operations, small cap stocks are not as susceptible to currency
fluctuations.
The market's upward trek during the first half was cut short as investors
shifted attention from smaller-cap stocks to larger-cap value stocks over the
last six months. The technology sector, which had contributed to strong gains
during the first half, led the decline in the small- and mid-cap segments in
recent quarters. Negative factors such as lower-than-expected earnings among
networking companies in the sector, increased competition, and the strong U.S.
dollar all contributed to the downturn in technology stocks.
Despite a turbulent market environment, our stock selection in the retail
trade and manufacturing sectors bolstered performance during the period.
Among the top performers were Pacific Sunwear, a mall-based retailer of young
men's casual apparel and accessories, and Genesco, Inc., a footwear
manufacturer. Both Pacific Sunwear and Genesco benefited from increased store
sales over the past year. These companies are expected to post increased
earnings growth in the years ahead.
Going forward, we remain optimistic about the prospects for mini cap stocks,
as they continue to offer a source of attractive investment opportunities. As of
March 31, 1997, the median earnings growth rate for holdings in the Mini Cap
Growth Fund was 30.6%, versus 17.7% for the Russell 2000 Growth Index.
REPRESENTATIVE HOLDINGS
Genesco
QLogic
Pacific Sunwear
Fine Host
Molecular Dynamics
SOS Staffing Services
Logan's Roadhouse
Cinar Films
Maverick Tube
Gasonics International
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3
<PAGE>
MINI CAP GROWTH INSTITUTIONAL PORTFOLIO
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COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
MINI CAP GROWTH INSTITUTIONAL PORTFOLIO WITH THE RUSSELL 2000 GROWTH INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
3.90% As of 03/31/97 17.42%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MINI CAP GROWTH RUSSELL 2000
INSTITUTIONAL GROWTH
PORTFOLIO INDEX
<S> <C> <C>
12-Jul-95 $ 250,000.00 $ 250,000.00
31-Jul-95 261,400.00 259,625.00
31-Aug-95 266,200.01 262,828.77
30-Sep-95 275,600.01 268,240.42
31-Oct-95 270,200.01 255,045.67
30-Nov-95 278,200.02 266,344.19
31-Dec-95 287,000.01 272,246.38
31-Jan-96 284,600.00 269,992.18
29-Feb-96 301,400.00 282,303.82
31-Mar-96 317,000.01 287,884.97
30-Apr-96 365,200.02 309,985.90
31-May-96 408,800.01 325,888.18
30-Jun-96 371,600.02 304,705.45
31-Jul-96 319,000.00 267,500.91
31-Aug-96 340,600.00 287,304.00
30-Sep-96 359,600.00 302,100.16
31-Oct-96 349,200.01 289,079.64
30-Nov-96 361,192.86 297,116.06
31-Dec-96 369,458.15 302,909.82
31-Jan-97 384,748.91 310,240.24
28-Feb-97 358,919.91 291,501.73
31-Mar-97 329,371.54 270,930.45
</TABLE>
This graph compares a $250,000 investment in the Mini Cap Growth Institutional
Portfolio with the Russell 2000 Growth Index, on a cumulative and average annual
total return basis. All return calculations reflect the reinvestment of income
dividends and capital gains distributions, if any, as well as all fees and
expenses.
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 Russell 2000 Growth Index is an unmanaged index containing those securities
in the Russell 2000 Index with a greater-than-average growth orientation.
Companies in this index generally have higher price-to-book and price-earnings
ratios. The Russell 2000 Index is an unmanaged index and is a widely regarded
small-cap index of the 2,000 smallest securities in the Russell 3000 Index which
comprises the 3,000 largest U.S. securities as determined by total market
capitalization.
Index returns reflect the reinvestment of income dividends and capital gains
distributions, if any, but do 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, 1997
- ------------------------------------------------------------------------
MINI CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------
COMMON STOCKS -- 93.3%
- -------------------------------------------------------------------------
AIRLINES -- 1.2%
Atlantic Coast Airlines, Inc.*............. 13,600 $ 183,600
Mesaba Holdings, Inc.*..................... 13,700 159,263
------------
342,863
------------
APPAREL -- 4.8%
Ashworth, Inc.*............................ 19,800 158,400
Cole Kenneth Productions, Inc.*............ 9,300 195,300
Cutter & Buck, Inc.*....................... 9,200 140,300
Farah, Inc.*............................... 13,500 135,000
Genesco, Inc.*............................. 30,800 346,500
Rocky Shoes & Boots, Inc.*................. 12,800 171,200
Sport - Haley Inc.*........................ 9,900 164,588
Vans, Inc.*................................ 6,300 74,025
------------
1,385,313
------------
BIOTECHNOLOGY -- 2.1%
Arqule, Inc.*.............................. 10,700 165,850
Guilford Pharmaceuticals, Inc.*............ 17,400 361,050
Matritech, Inc.*........................... 14,900 75,900
------------
602,800
------------
BROADCASTING -- 0.6%
Argyle Television, Inc.*................... 6,300 159,056
------------
BUILDING MATERIALS -- 1.6%
Cameron Ashley Building Products, Inc.*.... 14,100 192,113
Northwest Pipe Co.*........................ 16,000 266,000
------------
458,113
------------
CATALOG/OUTLET STORES -- 0.1%
Insight Enterprises, Inc.*................. 1,700 42,075
------------
CLOTHING CHAINS -- 3.5%
Buckle, Inc.*.............................. 11,700 312,975
Pacific Sunwear of California, Inc.*....... 13,900 455,225
Paul Harris Stores, Inc.*.................. 15,000 232,500
------------
1,000,700
------------
COMPUTER/OFFICE AUTOMATION -- 2.0%
Brooktrout Technology, Inc.*............... 6,300 93,713
Qlogic Corp.*.............................. 25,100 495,725
------------
589,438
------------
CONTAINERS -- 0.7%
Seda Specialty Corp.*...................... 12,000 192,000
------------
CONTRACTING DRILLING -- 1.5%
Patterson Energy, Inc.*.................... 100 2,762
Unit Corp.*................................ 19,500 175,500
UTI Energy Corp.*.......................... 10,100 270,175
------------
448,437
------------
DRUGS/PHARMACEUTICALS -- 1.0%
Inhale Therapeutic Systems Co.*............ 7,600 145,350
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------
</TABLE>
DRUGS/PHARMACEUTICALS (CONTINUED)
<TABLE>
<S> <C> <C>
Nastech Pharmaceutical Co.*................ 15,300 $ 139,613
------------
284,963
------------
ELECTRONIC INSTRUMENTS/COMPONENTS -- 2.9%
Lecroy Corp.*.............................. 12,900 335,400
Molecular Dynamics, Inc.*.................. 20,400 300,900
Printrak International, Inc.*.............. 18,800 216,200
------------
852,500
------------
ENTERTAINMENT -- 1.3%
American Classic Voyages Co.*.............. 13,800 144,037
Cinar Films, Inc.*......................... 9,700 237,650
------------
381,687
------------
ENVIRONMENTAL SERVICES -- 0.9%
American Disposal Services, Inc.*.......... 7,300 129,575
Superior Services, Inc.*................... 5,800 129,050
------------
258,625
------------
FINANCE COMPANIES -- 1.1%
Central Financial Co.*..................... 11,600 185,600
Consumer Portfolio Services, Inc.*......... 17,300 138,400
------------
324,000
------------
FOOD CHAINS -- 0.6%
Penn Traffic Co.*.......................... 26,400 181,500
------------
GROCERY PRODUCTS -- 0.9%
Worthington Foods, Inc..................... 13,466 262,587
------------
HOME/OFFICE FURNISHINGS -- 1.2%
O'Sullivan Industries, Inc.*............... 15,400 194,425
Stanley Furniture, Inc.*................... 7,200 140,400
------------
334,825
------------
LEASURE/GAMING -- 0.3%
Colonial Downs Holdings, Inc.*............. 9,900 73,013
------------
LIFE INSURERS -- 0.4%
Provident American Corp.*.................. 12,600 118,125
------------
MACHINERY/EQUIPMENT -- 3.7%
Ballantyne Omaha, Inc.*.................... 19,200 295,200
CFM Technologies, Inc.*.................... 13,300 394,013
Gardner Denver, Inc.*...................... 16,400 389,500
------------
1,078,713
------------
MANAGED HEALTH CARE/HMO'S/PPO'S -- 0.2%
FPA Medical Management, Inc.*.............. 3,723 71,668
------------
MEDICAL SPECIALTIES -- 1.1%
Impath, Inc.*.............................. 4,600 82,800
Medical Res, Inc.*......................... 22,600 245,775
------------
328,575
------------
MEDICAL SUPPLIES -- 3.8%
Avecor Cardiovascular, Inc.*............... 10,400 111,800
Capstone Pharmaceutical Corp.*............. 23,800 261,800
Dynamic Healthcare Tech, Inc.*............. 23,700 162,937
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
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5
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997 -- CONTINUED
- --------------------------------------------------------------------------------
MINI CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
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<S> <C> <C>
</TABLE>
COMMON STOCKS (Continued)
- ---------------------------------------------------------
MEDICAL SUPPLIES (CONTINUED)
<TABLE>
<S> <C> <C>
Laserscope, Inc.*.......................... 21,600 $ 159,300
Meridian Diagnostics, Inc.................. 17,900 196,900
Penederm, Inc.*............................ 19,300 212,300
------------
1,105,037
------------
MEDICAL/HEALTH SERVICES -- 1.2%
Hooper Holmes, Inc......................... 8,900 151,300
Medical Alliance, Inc.*.................... 17,300 190,570
------------
341,870
------------
MEDICAL/NURSING/HEALTH SERVICES -- 1.5%
Assisted Living Concepts, Inc.*............ 5,600 117,618
Diagnostic Health Services, Inc.*.......... 19,200 151,200
PMR Corp.*................................. 8,000 175,000
------------
443,818
------------
MULTI-LINE INSURERS -- 1.1%
Delphi Financial Group, Inc. Class A*...... 9,460 314,545
------------
OIL/GAS PRODUCTION -- 2.2%
Abraxas Petroleum Corp.*................... 15,200 166,963
Key Production, Inc.*...................... 22,800 230,850
USX - Delhi Group, Inc..................... 17,300 237,875
------------
635,688
------------
OILFIELD SERVICES/EQUIPMENT -- 3.1%
American Oilfield Divers, Inc.*............ 19,200 216,000
Key Energy Group, Inc.*.................... 20,800 296,400
Maverick Tube Corp.*....................... 21,700 385,175
------------
897,575
------------
OTHER COMMERCIAL/INDUSTRIAL SERVICES -- 6.7%
BTG, Inc.*................................. 9,400 164,500
Data Processing Resources Corp.*........... 11,600 217,500
Fine Host Corp.*........................... 14,100 331,350
First Aviation Services, Inc.*............. 22,200 210,900
ICTS International, Inc.*.................. 13,400 108,037
Kellstrom Industries, Inc.*................ 16,600 226,175
NCO Group, Inc.*........................... 4,400 96,250
Remedytemp, Inc. Class A*.................. 11,300 175,150
SOS Staffing Services, Inc.*............... 18,100 201,362
Warrantech Corp.*.......................... 22,700 204,300
------------
1,935,524
------------
OTHER CONSUMER DURABLES -- 0.7%
Movado Group, Inc.......................... 8,500 208,250
------------
OTHER CONSUMER NON-DURABLES -- 0.7%
Amrion, Inc.*.............................. 13,000 212,875
------------
OTHER FINANCIAL SERVICES -- 0.4%
Healthcare Financial Partners, Inc.*....... 6,700 100,500
------------
OTHER HEALTH TECHNOLOGY/SERVICES -- 2.6%
Horizon Mental Health MG, Inc.*............ 7,900 121,463
Medquist, Inc.*............................ 19,500 429,000
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------
</TABLE>
OTHER HEALTH TECHNOLOGY/SERVICES (CONTINUED)
<TABLE>
<S> <C> <C>
Sterile Recoveries, Inc.*.................. 11,700 $ 204,750
------------
755,213
------------
OTHER PRODUCERS/MANUFACTURING -- 0.6%
Shelby Williams Industries, Inc............ 13,200 183,150
------------
OTHER TECHNOLOGY -- 3.0%
CHS Electronics, Inc.*..................... 14,800 301,550
II VI, Inc.*............................... 12,300 304,425
Rofin - Sinar Technologies, Inc.*.......... 18,600 272,025
------------
878,000
------------
OTHER TRANSPORTATION -- 1.3%
Hvide Marine, Inc.*........................ 16,700 379,925
------------
PAPER -- 1.0%
Specialty Paperboard, Inc.*................ 11,700 292,500
------------
REAL ESTATE BROKERS/SERVICES -- 1.2%
Grubb & Ellis Co.*......................... 11,300 107,350
Redwood Trust, Inc......................... 5,300 245,125
------------
352,475
------------
RECREATIONAL PRODUCTS -- 0.6%
Monaco Coach Corp.*........................ 9,200 164,450
------------
REGIONAL COMMERCIAL BANKS -- 0.7%
Sterling Bancorp Co........................ 13,700 205,500
------------
RENTAL/LEASING COMPANIES -- 2.4%
Leasing Solutions, Inc.*................... 6,900 129,375
Rent Way, Inc.*............................ 25,600 259,200
Ugly Duckling Corp.*....................... 16,600 305,025
------------
693,600
------------
RESTAURANTS -- 0.8%
Logans Roadhouse, Inc.*.................... 10,600 222,600
------------
SAVINGS & LOAN ASSOCIATIONS -- 0.7%
SIS Bancorp, Inc........................... 8,400 201,600
------------
SEMICONDUCTORS/ELECTRONIC COMPONENTS -- 7.0%
Adflex Solutions, Inc.*.................... 15,200 180,500
Benchmarq Microelectronics, Inc.*.......... 6,500 81,250
Gasonics International Corp.*.............. 20,300 289,275
Intevac, Inc.*............................. 7,200 100,800
JPM Company*............................... 14,800 247,900
Microsemi Corp.*........................... 16,300 201,513
STB Systems, Inc.*......................... 9,400 274,950
Three D Labs, Inc.*........................ 27,300 641,550
------------
2,017,738
------------
SOAPS/COSMETICS -- 0.3%
Chattem, Inc.*............................. 8,600 81,700
------------
SOFTWARE -- 4.7%
Cotelligent Group, Inc.*................... 6,300 59,994
Engineering Animation, Inc.*............... 6,100 141,825
Interlink Computer Sciences, Inc.*......... 17,000 180,625
Peerless Systems Corp.*.................... 14,300 166,237
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
6
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- -------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCKS (Continued)
- ---------------------------------------------------------
SOFTWARE (CONTINUED)
<TABLE>
<S> <C> <C>
Simulation Sciences, Inc.*................. 23,600 $ 238,950
Tecnomatix Technologies LTD*............... 10,000 207,500
Tripos, Inc*............................... 11,300 172,325
TTI Team Telecommunications International
LTD*..................................... 17,700 73,012
Unison Software, Inc.*..................... 13,900 88,612
Versant Object Technology Corp.*........... 4,600 40,825
------------
1,369,905
------------
SPECIALTY CHAINS -- 1.6%
Factory Card Outlet Corp.*................. 8,400 67,200
Finlay Enterprises, Inc.*.................. 8,500 133,875
Funco, Inc.*............................... 8,000 112,000
Maxim Group, Inc.*......................... 10,600 140,450
------------
453,525
------------
TEXTILES -- 0.7%
Quaker Fabric Corp.*....................... 14,800 192,400
------------
TELECOMMUNICATIONS SERVICES -- 0.6%
U.S. Long Distance Corp.*.................. 14,800 172,050
------------
TELECOMMUNICATIONS EQUIPMENT -- 5.0%
Electromagnetic Sciences, Inc.*............ 11,000 204,875
Remec, Inc.*............................... 11,700 251,550
Spectran Corp.*............................ 22,200 244,200
Teledata Communications, LTD*.............. 20,600 370,800
Tollgrade Communications, Inc.*............ 10,150 182,700
Wandel & GoltermanTech., Inc.*............. 8,600 189,200
------------
1,443,325
------------
TOBACCO PRODUCTS -- 0.9%
General Cigar Holdings, Inc.*.............. 12,000 270,435
------------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------
TRUCKING -- 1.3%
Knight Transportation, Inc.*............... 6,600 $ 149,325
U S Xpress Enterprises, Inc. Class A*...... 17,100 239,400
------------
388,725
------------
WHOLESALE DISTRIBUTION -- 1.2%
Anicom, Inc.*.............................. 38,800 328,587
Central Garden & Pet Co.*.................. 1,500 27,238
------------
355,825
------------
TOTAL COMMON STOCKS
(Cost $2,5581,392)......................... 1,823,799 27,041,899
------------
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
- -------------------------------------------------------------------------
COMMERCIAL PAPER -- 8.3%
- -------------------------------------------------------------------------
Associates Corp. of North
America -- 3.2%
6.75%, 04/01/97.......................... $ 934,000 934,000
Merrill Lynch & Co. -- 5.1%
6.75%, 04/01/97.......................... 1,479,000 1,479,000
----------- ------------
TOTAL COMMERCIAL PAPER
(Cost $2,413,000).......................... 2,413,000 2,413,000
----------- ------------
TOTAL INVESTMENTS -- 101.6%
(Cost $27,994,392)...................................... 29,454,899
LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.6%)........... (466,484)
------------
NET ASSETS -- 100%........................................ $ 28,988,415
------------
</TABLE>
- ---------------
* Non-Income Producing Security.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
7
<PAGE>
EMERGING GROWTH FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Catherine Somhegyi,
Partner, Chief Investment Officer,
Global Equity Management
Thomas E. Bleakley,
Portfolio Manager
Ronald J. Krystyniak,
Portfolio Manager
John C. McCraw,
Portfolio Manager
GOAL: The Nicholas-Applegate Emerging Growth Fund seeks to maximize long-term
capital appreciation by investing primarily in U.S. equity securities of
companies with market capitalizations below $500 million.
REVIEW AND OUTLOOK: Smaller-cap growth stocks were among the market leaders
early in the Fund's fiscal year. However, after a summer sell-off in the
technology sector, cautious investors began to favor larger-cap, more liquid
names. In short, the market reversed direction and the same factors which
contributed to the Fund's strong results early in the fiscal year negatively
impacted returns in more recent quarters. For the 12-month period ending March
31, 1997, the Fund declined 5.7% while the Russell 2000 Growth Index fell 5.9%.
Technology stocks, which contributed to strong gains earlier in the year,
later experienced a difficult environment. The pullback in technology issues was
most pronounced within the smaller-cap segments as investors avoided stocks with
higher earnings growth rates and corresponding higher valuations. Earnings
disappointments among networking companies, increasing competition sector-wide,
and the strong U.S. dollar were key factors adversely affecting technology
stocks. The combination of technology stocks' underperformance and the Fund's
slightly higher exposure within this sector, relative to the Russell 2000 Growth
Index, negatively impacted returns.
Stock selection in the energy and retail trade sectors made a positive
contribution to the Fund's performance during the year. Varco International
Inc., a manufacturer of drilling machinery, equipment, and instrumentation, and
Trico Marine Services Inc., a provider of marine support services to the
offshore drilling industry, both posted strong results as they capitalized on
more favorable industry-wide trends in the energy sector. In the retail sector,
Ross Stores Inc., an operator of off-price, brand-name apparel stores, also
exhibited solid gains over the last 12 months as it experienced extremely
positive sales trends and strong earnings growth.
The Fund retains solid fundamentals. The median earnings growth rate for the
Fund's holdings as of March 31 was 36%. Going forward, we expect the pace of
earnings growth among issues in the broad market to slow. As a result, we
believe investors will return their focus to stocks offering consistent earnings
strength.
Our bottom-up, growth-oriented approach should excel in such an environment.
In addition, the portfolio is poised to benefit from its smaller-cap
orientation, as inflated expectations, higher interest rates, and a strong
dollar, may adversely affect the earnings of many larger-cap companies.
REPRESENTATIVE HOLDINGS
Wolverine World Wide
Vitesse Semiconductor
CKE Restaurants
Ethan Allen Interiors
Trico Marine Services
St. John Knits
Varco International
Ciber
Uniphase
Pier 1 Imports
- --------------------------------------------------------------------------------
8
<PAGE>
EMERGING GROWTH INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
EMERGING GROWTH INSTITUTIONAL PORTFOLIO WITH THE RUSSELL 2000 GROWTH INDEX.
<TABLE>
<S> <C> <C>
ANNUALIZED TOTAL RETURNS
As of 03/31/97
1 YEAR 5 YEARS 10 YEARS
-5.66% 11.79% 12.32%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
EMERGING GROWTH RUSSELL 2000
INSTITUTIONAL GROWTH
PORTFOLIO INDEX
<S> <C> <C>
31-Jul-85 $ 250,000.00 $ 250,000.00
31-Dec-85 278,462.87 267,425.23
31-Dec-86 296,384.82 277,003.83
31-Dec-87 285,176.66 247,983.84
31-Dec-88 362,320.08 298,502.11
31-Dec-89 462,329.11 358,702.16
31-Dec-90 423,895.60 296,251.12
31-Dec-91 662,269.68 447,892.55
31-Dec-92 746,967.57 482,694.30
31-Dec-93 867,187.07 547,181.64
31-Dec-94 836,745.77 533,874.94
31-Dec-95 1,137,100.86 699,699.05
31-Dec-96 1,351,841.01 778,506.99
31-Mar-97 1,155,437.57 696,316.98
</TABLE>
This graph compares a $250,000 investment in the Emerging Growth Institutional
Portfolio with the Russell 2000 Growth Index, on a cumulative and average annual
total return basis. All return calculations reflect the reinvestment of income
dividends and capital gains distributions, if any, as well as all fees and
expenses. Performance results reflect the total returns of a predecessor limited
partnership and a pooled trust managed by Nicholas-Applegate Capital Management
prior to the effective date of the Portfolio's registration statement which was
10/1/93. Limited partnership/pooled trust returns are restated to reflect all
fees and expenses applicable to the Portfolio and share class. If the limited
partnership and pooled trust had been registered as investment companies under
the federal securities laws, their performance might have been adversely
affected because of the additional restrictions applicable to registered
investment companies.
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 Russell 2000 Growth Index is an unmanaged index containing those securities
in the Russell 2000 Index with a greater-than-average growth orientation.
Companies in this index generally have higher price-to-book and price-earnings
ratios. The Russell 2000 Index is an unmanaged index and is a widely regarded
small-cap index of the 2,000 smallest securities in the Russell 3000 Index which
comprises the 3,000 largest U.S. securities as determined by total market
capitalization.
The Index reflects the reinvestment of income dividends 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.
- --------------------------------------------------------------------------------
9
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
EMERGING GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
COMMON STOCK -- 90.9%
- ----------------------------------------------------------------------------
ADVERTISING -- 0.5%
CKS Group, Inc.*........................... 15,700 $ 329,700
Lamar Advertising Co.*..................... 30,900 625,725
Universal Outdoor Holdings, Inc.*.......... 59,000 1,711,000
------------
2,666,425
------------
AEROSPACE -- 0.3%
AAR Corp................................... 35,500 1,065,000
Doncasters PLC*............................ 27,100 525,062
------------
1,590,062
------------
AGRICULTURE -- 0.5%
Dekalb Genetics Corp. Class B.............. 48,500 2,582,625
------------
AIR FREIGHT/SHIPPING -- 0.5%
Airnet Systems, Inc.*...................... 22,400 358,400
Expeditors International of Washington,
Inc...................................... 90,400 2,169,600
------------
2,528,000
------------
AIRLINES -- 0.7%
Alaska Air Group Inc.*..................... 91,800 2,352,375
Midwest Express Holdings, Inc.*............ 25,900 980,962
------------
3,333,337
------------
APPAREL -- 3.6%
Authentic Fitness Corp..................... 54,600 805,350
Cole Kenneth Productions, Inc.*............ 121,000 2,541,000
Genesco, Inc.*............................. 41,100 462,375
Nautica Enterprises, Inc.*................. 119,350 2,998,669
Playtex Products, Inc.*.................... 40,000 435,000
St. John Knits, Inc........................ 53,900 2,331,175
Tultex Corp.*.............................. 53,600 415,400
Vans, Inc.*................................ 61,800 726,150
Wolverine Worldwide, Inc................... 199,000 7,263,500
------------
17,978,619
------------
AUTOMOTIVE EQUIPMENT -- 0.4%
Special Devices, Inc.*..................... 25,300 430,100
Tower Automotive, Inc.*.................... 43,400 1,692,600
------------
2,122,700
------------
BIOTECHNOLOGY -- 1.5%
Arqule, Inc.*.............................. 22,100 342,550
Bio-Technology General Corp.*.............. 88,400 1,105,000
Biopsys Medical, Inc.*..................... 38,000 940,500
DepoTech Corp.*............................ 8,800 133,051
Guilford Pharmaceuticals, Inc.*............ 73,300 1,520,975
Martek Biosciences Corp.*.................. 32,300 565,250
Matritech, Inc............................. 13,700 69,356
Molecular Biosystems, Inc.*................ 59,500 542,938
Pharmaceutical Product Development,
Inc.*.................................... 44,600 892,000
Sonus Pharmaceuticals, Inc.*............... 18,700 493,212
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
</TABLE>
BIOTECHNOLOGY (CONTINUED)
<TABLE>
<S> <C> <C>
Vertex Pharmaceuticals, Inc.*.............. 19,700 $ 792,925
------------
7,397,757
------------
BROADCASTING -- 1.6%
Argyle Television, Inc. Class A*........... 27,300 689,325
Emmis Broadcasting Corp. Class A*.......... 41,100 1,590,056
Evergreen Media Corp. Class A*............. 93,450 2,727,572
Saga Communications, Inc. Class A*......... 50,062 1,038,787
Telemundo Group, Inc. Class A*............. 10,000 286,250
Westwood One, Inc.*........................ 82,700 1,529,950
------------
7,861,940
------------
BUILDING MATERIALS -- 1.0%
Advanced Lighting Technologies, Inc.*...... 20,100 442,200
AFC Cable Systems, Inc.*................... 21,800 452,350
Falcon Building Products, Inc. Class A*.... 45,000 787,500
Hexcel Corp.*.............................. 115,300 2,032,163
NCI Building Systems, Inc.*................ 20,000 647,500
Northwest Pipe Co.*........................ 500 8,312
Triangle Pacific Corp.*.................... 15,200 418,000
------------
4,788,025
------------
BUILDING MATERIAL CHAIN -- 0.3%
Eagle Hardware & Garden, Inc.*............. 95,400 1,717,200
------------
CATALOG/OUTLET STORES -- 0.1%
Coldwater Creek, Inc.*..................... 14,100 195,638
Insight Enterprises, Inc.*................. 3,700 91,575
------------
287,213
------------
CHEMICALS -- 0.7%
Lilly Industries, Inc. Class A............. 12,200 221,125
Mississippi Chemical Corp.................. 60,700 1,449,212
OM Group, Inc.............................. 64,650 1,818,281
Spartech Corp.............................. 17,900 201,375
------------
3,689,993
------------
CLOTHING CHAINS -- 2.0%
99 Cents Only Stores*...................... 34,000 684,250
Buckle, Inc. (The)*........................ 7,500 200,625
Gadzooks, Inc.*............................ 52,300 1,647,450
Men's Wearhouse, Inc.*..................... 72,800 2,002,000
Pacific Sunwear of California*............. 3,700 121,175
Paul Harris Stores, Inc.*.................. 24,500 379,750
Ross Stores, Inc........................... 61,800 1,568,175
Stage Stores, Inc.*........................ 57,200 1,258,400
Stein Mart, Inc.*.......................... 69,400 1,977,900
------------
9,839,725
------------
COAL MINING -- 0.3%
Zeigler Coal Holding Co.................... 54,600 1,296,750
------------
COMMERCIAL/INDUSTRIAL SERVICES -- 0.1%
Phymatrix Corp.*........................... 52,800 699,600
------------
COMPUTER/OFFICE AUTOMATION -- 2.4%
Advanced Digital Information Corp.*........ 52,600 670,650
Brooktrout Technology, Inc.*............... 14,700 218,663
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
10
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (Continued)
- ---------------------------------------------------------
COMPUTER/OFFICE AUTOMATION (CONTINUED)
<TABLE>
<S> <C> <C>
BTG, Inc.*................................. 55,900 $ 978,056
Discreet Logic, Inc.*...................... 42,300 248,512
Encad, Inc.*............................... 42,500 1,269,688
GEAC Computer Corp. LTD*................... 40,500 962,544
In Focus Systems, Inc.*.................... 52,600 907,350
Larscom, Inc. Class A*..................... 62,500 523,438
Logitech International*.................... 16,000 260,000
Microtouch Systems, Inc.*.................. 52,200 1,030,950
Network Appliance, Inc.*................... 117,000 3,802,500
Safeguard Scientifics, Inc.*............... 19,700 389,075
Splash Technology Holdings, Inc.*.......... 36,300 907,500
Sunquest Information Systems, Inc.*........ 11,300 110,175
------------
12,279,101
------------
CONTAINERS -- 0.1%
U.S. Can Corp.*............................ 20,900 318,725
------------
CONTRACTING DRILLING -- 2.0%
Atwood Oceanics, Inc.*..................... 32,500 2,019,063
Cliffs Drilling Co.*....................... 37,800 2,244,375
Marine Drilling Co., Inc.*................. 307,400 5,456,350
Unit Corp.*................................ 16,000 144,000
------------
9,863,788
------------
DEPARTMENT/DISCOUNT STORES -- 0.1%
Tuesday Morning Corp.*..................... 14,500 466,222
------------
DRUGS/PHARMACEUTICALS -- 3.8%
Alkermes, Inc.*............................ 26,200 366,800
Amylin Pharmaceuticals Inc.*............... 122,400 1,484,100
Anesta Corp.*.............................. 65,500 1,129,875
Curative Health Services, Inc.*............ 96,500 2,219,500
Dura Pharmaceuticals, Inc.*................ 67,700 2,420,275
Incyte Pharmaceuticals, Inc.*.............. 57,200 2,974,400
Inhale Therapeutic Systems*................ 15,300 292,612
Medicis Pharmaceutical Corp. Class A*...... 28,350 843,412
NBTY, Inc.*................................ 39,500 597,438
NCS Healthcare, Inc. Class A*.............. 21,500 486,438
Parexel International Corp.*............... 78,800 1,812,400
Pathogenesis Corp.*........................ 22,100 552,500
Sangstat Medical Corp.*.................... 57,000 1,546,125
Sepracor, Inc.*............................ 77,500 1,787,344
Theragencis Corp.*......................... 45,100 732,875
------------
19,246,094
------------
ELECTRONIC DATA PROCESSING -- 0.3%
Banctec, Inc.*............................. 45,300 1,155,150
Factset Research Systems, Inc.*............ 10,100 195,688
Nova Corp.*................................ 19,300 306,388
------------
1,657,226
------------
ELECTRONIC INSTRUMENTS/DIVERSIFIED -- 1.7%
Checkpoint Systems, Inc.*.................. 153,900 2,635,538
Coherent, Inc.*............................ 53,000 2,534,062
Lecroy Corp.*.............................. 25,500 663,000
Molecular Dynamics, Inc.*.................. 10,800 159,300
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
</TABLE>
ELECTRONIC INSTRUMENTS/DIVERSIFIED (CONTINUED)
<TABLE>
<S> <C> <C>
Orbotech LTD*.............................. 16,500 $ 297,000
Plexus Corp.*.............................. 45,100 1,330,450
SBS Technologies, Inc.*.................... 9,300 141,825
Veeco Instruments, Inc..................... 18,500 543,438
------------
8,304,613
------------
ENTERTAINMENT -- 0.4%
Hollywood Entertainment Corp.*............. 92,300 2,249,812
------------
ENTERTAINMENT/MUSIC CHAINS -- 0.1%
Guitar Center, Inc.*....................... 39,600 635,362
------------
ENVIRONMENTAL SERVICES -- 1.8%
Newpark Resources, Inc.*................... 36,385 1,591,844
Superior Services, Inc.*................... 44,100 981,225
Tetra Technologies, Inc.*.................. 66,100 1,454,200
United Waste Systems, Inc.*................ 130,900 4,876,025
------------
8,903,294
------------
FINANCE COMPANIES -- 2.9%
AmeriCredit Corp.*......................... 185,700 3,226,538
Imperial Credit Industries, Inc.*.......... 263,400 5,300,925
Ocwen Financial Corp.*..................... 58,500 1,696,500
Resource Bancshares Mortgage Group, Inc.... 43,500 685,125
Sirrom Capital Corp........................ 61,000 2,211,250
Southern Pacific Funding Corp.*............ 88,150 1,531,606
------------
14,651,944
------------
FOOD CHAINS -- 0.6%
Quality Food Centers, Inc.*................ 75,400 3,166,800
------------
GROCERY PRODUCTS -- 0.4%
Hudson Foods, Inc. Class A................. 55,500 867,187
Morningstar Group, Inc.*................... 62,200 1,197,350
------------
2,064,537
------------
HOMEBUILDING -- 0.1%
Diamond Home Services, Inc.*............... 5,800 103,675
Pacific Greystone Corp.*................... 21,600 270,000
------------
373,675
------------
HOME FURNISHINGS -- 1.4%
Ethan Allen Interiors, Inc................. 85,500 3,726,457
Foamex International, Inc.*................ 103,100 1,610,938
Furniture Brands International, Inc.*...... 89,500 1,342,500
O'Sullivan Industries Holdings, Inc.*...... 42,400 535,300
------------
7,215,195
------------
HOSPITALS -- 0.4%
National Surgery Centers, Inc.*............ 66,500 1,928,500
------------
INVESTMENT COMPANIES -- 0.2%
Everen Capital Corp........................ 22,200 449,550
Hambrecht & Quist Group*................... 25,600 428,800
------------
878,350
------------
LIFE INSURERS -- 0.1%
Protective Life Corp.*..................... 9,000 378,000
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
11
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997 -- CONTINUED
- --------------------------------------------------------------------------------
EMERGING GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (Continued)
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
LODGING -- 0.8%
Capstar Hotel Co.*......................... 30,850 $ 863,800
Doubletree Corp.*.......................... 26,300 933,650
Singature Resorts, Inc.*................... 50,100 1,198,926
Suburban Lodges of America, Inc.*.......... 11,800 212,400
Wyndham Hotel Corp.*....................... 34,000 1,003,000
------------
4,211,776
------------
MACHINERY/EQUIPMENT -- 2.1%
Ballantyne of Omaha, Inc.*................. 10,350 159,131
CFM Technologies, Inc.*.................... 23,100 684,338
DT Industries, Inc......................... 65,200 1,711,500
Kuhlman Corp............................... 53,800 1,250,850
Magnetek, Inc.*............................ 73,800 1,190,025
Miller Industries, Inc.*................... 145,050 1,740,600
Robbins & Myers, Inc....................... 20,400 540,600
Texex Corp.*............................... 21,900 287,868
Uniphase Corp.*............................ 50,900 1,883,300
Watsco, Inc. Class A....................... 34,450 878,475
------------
10,326,687
------------
MANAGED HEALTHCARE/HMO'S/PPO'S -- 1.4%
Coventry Corp.*............................ 180,600 2,054,324
CRA Managed Care, Inc.*.................... 35,700 1,338,750
FPA Medical Management, Inc.*.............. 110,043 2,118,328
Maxicare Health Plans, Inc.*............... 32,000 804,000
OccuSystems, Inc.*......................... 21,700 488,250
------------
6,803,652
------------
MEDICAL/NURSING/HEALTH SERVICES -- 1.2%
American Homepatient, Inc.*................ 24,300 540,674
Diagnostic Health Services, Inc.*.......... 19,900 156,712
EmCare Holdings, Inc.*..................... 42,800 1,150,250
Multicare Companies, Inc.*................. 64,800 1,223,100
Rotech Med Corp.*.......................... 41,200 756,061
Pediatrix Medical Group, Inc.*............. 26,800 881,050
PMR Corp.*................................. 9,700 212,188
Sunrise Assisted Liviing, Inc.*............ 29,900 837,400
------------
5,757,435
------------
MEDICAL SPECIALTIES -- 0.7%
Cardiothoracic Systems, Inc.*.............. 15,300 325,124
Impath, Inc.*.............................. 8,500 153,000
Medical Resources, Inc.*................... 70,600 767,774
Urologix, Inc.*............................ 9,000 153,000
Vivus, Inc.*............................... 51,500 2,060,000
------------
3,458,898
------------
MEDICAL SUPPLIES -- 2.2%
Adac Laboratories*......................... 40,800 851,700
Capstone Pharmacy Services*................ 55,400 609,400
ESC Medical Systems LTD*................... 27,600 696,900
Graham Field Health Products, Inc.*........ 45,300 492,638
Hologic, Inc.*............................. 52,600 1,282,124
Keravision, Inc.*.......................... 3,000 30,374
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
</TABLE>
MEDICAL SUPPLIES (CONTINUED)
<TABLE>
<S> <C> <C>
Lunar Corp.*............................... 17,300 $ 592,524
Meridian Diagnostics, Inc.................. 4,400 48,400
Minimed, Inc.*............................. 52,200 1,344,150
Molecular Devices Corp.*................... 32,200 446,774
Penederm, Inc.*............................ 19,400 213,400
Respironics, Inc.*......................... 1,000 21,250
Sabratek Corp.*............................ 17,800 356,000
Safeskin Corp.*............................ 175,000 3,171,874
Serologicals Corp.*........................ 22,950 344,250
Ventana Medical Systems, Inc.*............. 37,400 523,600
------------
11,025,358
------------
METALS -- 0.8%
Lone Star Technologies, Inc.*.............. 26,100 495,900
Mueller Industries, Inc.*.................. 85,900 3,360,838
------------
3,856,738
------------
MILITARY /DEFENSE TECHNOLOGY -- 0.3%
Avondale Industries, Inc.*................. 22,600 389,850
Tracor, Inc.*.............................. 52,600 1,222,950
------------
1,612,800
------------
MULTI-LINE INSURERS -- 0.0%
Delphi Financial Group, Inc. Class A*...... 5,200 172,900
------------
OCEAN FREIGHT/SHIPPING -- 0.1%
OMI Corp.*................................. 71,100 693,224
------------
OIL/GAS PRODUCTION -- 1.5%
Abacan Resource Corp.*..................... 51,400 404,774
Abraxas Petroleum Corp.*................... 21,900 240,558
Brown (Tom), Inc.*......................... 47,100 871,350
Harken Energy Corp.*....................... 235,100 1,160,806
Nuevo Energy Co.*.......................... 25,200 967,050
Petsec Energy LTD*......................... 49,400 975,650
Swift Energy Co.*.......................... 45,200 1,067,850
Vintage Petroleum, Inc..................... 20,000 600,000
Western Gas Resources, Inc................. 75,300 1,355,400
------------
7,643,438
------------
OIL REFINING/MARKETING -- 0.0%
Tesoro Petroleum Corp.*.................... 21,600 226,800
------------
OILFIELD SERVICES/EQUIPMENT -- 5.4%
3DX Technology*............................ 25,400 279,400
Camco International, Inc................... 57,700 2,538,800
Energy Ventures, Inc.*..................... 35,500 2,187,688
Global Industries LTD*..................... 120,100 2,567,138
Maverick Tube Corp.*....................... 800 14,200
Oceaneering International, Inc.*........... 76,300 1,192,188
Pool Energy Services Co.*.................. 84,600 1,247,850
Pride Petroleum Services, Inc.*............ 129,400 2,685,050
Seacor Holdings, Inc.*..................... 71,200 3,818,100
Stolt Comex Seaway SA*..................... 27,700 560,924
Trico Marine Services, Inc.*............... 66,300 3,149,250
Tuboscope Vetco International, Corp.*...... 190,600 2,596,924
Varco International, Inc.*................. 106,100 2,652,500
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
12
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (Continued)
- ---------------------------------------------------------
OILFIELD SERVICES/EQUIPMENT (CONTINUED)
<TABLE>
<S> <C> <C>
Veritas DGC, Inc.*......................... 77,000 $ 1,520,750
------------
27,010,762
------------
OTHER COMMERCIAL/INDUSTRIAL SERVICES -- 6.3%
Administaff, Inc.*......................... 36,900 613,462
Affiliated Computer Services, Inc. Class
A*....................................... 69,400 1,587,525
ASE Test LTD*.............................. 8,000 255,000
Billing Information Concepts*.............. 58,200 1,396,800
CareMatrix Corp.*.......................... 22,800 418,950
Caribiner International, Inc.*............. 54,200 2,533,850
CCC Information Services Group*............ 54,000 675,000
Ciber, Inc.*............................... 111,600 2,817,900
Computer Task Group, Inc................... 68,600 2,435,300
Data Processing Resources Corp.*........... 50,300 943,124
Diamond Technology Partners Class A*....... 2,310 11,983
Fine Host Corp.*........................... 17,900 420,650
Forrester Research, Inc.*.................. 21,800 397,850
G&K Services, Inc., Class A................ 17,950 538,500
ICTS International NV*..................... 3,800 30,638
Information Management Resources, Inc.*.... 36,900 580,800
Learning Tree International*............... 29,600 828,800
Meta Group, Inc.*.......................... 23,500 452,374
Metzler Group, Inc.*....................... 46,600 1,077,624
National Techteam, Inc.*................... 40,800 632,400
Norrell Corp............................... 49,200 1,211,550
On Assignment, Inc.*....................... 11,200 282,800
Perseptive Biosystems, Inc.*............... 769 6,056
Personnel Group of America, Inc.*.......... 25,900 508,288
PMT Services, Inc.*........................ 90,350 993,850
Rental Service Corp.*...................... 17,100 324,900
Romac International, Inc.*................. 66,600 1,177,988
Staffmark, Inc.*........................... 25,900 339,938
Sykes Enterprises, Inc.*................... 57,450 1,874,306
Technology Solutions Co.*.................. 54,750 1,512,469
Vincam Group, Inc.*........................ 28,400 777,450
Warrantech Corp.*.......................... 75,900 683,100
Whittman-Hart, Inc.*....................... 144,900 3,079,124
------------
31,420,349
------------
OTHER CONSUMER DURABLES -- 0.5%
Action Performance Cos., Inc.*............. 59,900 1,168,050
Sola International, Inc.*.................. 67,800 1,567,874
------------
2,735,924
------------
OTHER CONSUMER NON-DURABLES -- 0.1%
Helen of Troy LTD*......................... 15,000 356,250
------------
OTHER CONSUMER SERVICES -- 0.3%
Equity Corp. International*................ 17,800 373,800
ITT Educational Services*.................. 19,800 428,174
Memberworks, Inc.*......................... 21,400 347,750
National Education Corp.*.................. 40,100 506,262
------------
1,655,986
------------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
OTHER FINANCIAL SERVICES -- 0.0%
Metris Companies, Inc.*.................... 2,100 $ 52,500
------------
OTHER HEALTH TECHNOLOGY/SERVICES -- 0.8%
Enterprise Systems, Inc.*.................. 51,300 1,154,250
Envoy Corp.*............................... 91,100 2,129,462
Horizon Mental Health Management, Inc.*.... 13,050 200,644
Medquist, Inc.*............................ 9,600 211,200
Premier Research Worldwide, Ltd.*.......... 15,600 257,400
Sterile Recoveries, Inc.*.................. 400 7,000
------------
3,959,956
------------
OTHER PRODUCERS/MANUFACTURING -- 2.1%
BE Aerospace, Inc.*........................ 144,700 3,545,150
Belden, Inc................................ 43,600 1,553,250
BMC Industries, Inc........................ 53,300 1,505,724
Griffon Corp.*............................. 54,300 651,600
Interface, Inc............................. 39,100 979,944
Libbey, Inc................................ 52,300 1,634,374
Rexel, Inc.*............................... 31,400 569,124
Special Metals Corp.*...................... 14,000 245,000
------------
10,684,166
------------
OTHER RETAIL TRADE -- 0.2%
RDO Equipment Co. Class A*................. 19,900 348,250
Renters Choice, Inc.*...................... 61,600 885,500
------------
1,233,750
------------
OTHER TECHNOLOGY -- 0.5%
Computer Products, Inc.*................... 87,900 1,285,538
Henry (Jack) & Associates.................. 28,050 624,113
Renaissance Solutions, Inc.*............... 26,000 656,500
------------
2,566,151
------------
OTHER TRANSPORTATION -- 0.3%
Coach USA, Inc.*........................... 35,800 1,038,200
Hvide Marine, Inc. Class A*................ 23,500 534,624
------------
1,572,824
------------
PAPER -- 0.1%
American Pad & Paper Co.*.................. 40,500 607,336
------------
PIPELINES -- 0.2%
Offshore Logistics, Inc.*.................. 52,600 841,600
------------
PRINTING/FORMS -- 0.4%
Applied Graphics Technologies, Inc.*....... 41,100 1,453,912
Consolidated Graphics, Inc.*............... 16,000 458,000
------------
1,911,912
------------
PROPERTY-CASUALTY INSURERS -- 0.5%
Capmac Holdings, Inc....................... 43,300 1,152,862
HCC Insurance Holdings, Inc................ 54,000 1,323,000
------------
2,475,862
------------
PUBLISHING -- 0.3%
Golden Books Family Entertainment, Inc.*... 90,000 832,500
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
13
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997 -- CONTINUED
- --------------------------------------------------------------------------------
EMERGING GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (Continued)
- ---------------------------------------------------------
PUBLISHING (CONTINUED)
<TABLE>
<S> <C> <C>
Mecklermedia Corp.*........................ 30,800 $ 739,200
------------
1,571,700
------------
REAL ESTATE BROKERS/SERVICES -- 0.5%
CB Commercial Real Estate Services Group,
Inc.*.................................... 26,500 629,374
Redwood Trust, Inc......................... 45,200 2,090,500
------------
2,719,874
------------
RECREATIONALPRODUCTS -- 0.1%
Rockshox, Inc.*............................ 17,000 253,938
------------
REGIONAL BANKS -- 0.7%
Bay View Capital Corp...................... 17,400 887,400
Peoples Heritage Financial Group, Inc...... 52,900 1,626,674
Provident Bankshares Corp.................. 32,100 1,235,850
------------
3,749,924
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.4%
American General Hospitality Corp.......... 26,400 719,400
Essex Property............................. 35,100 1,048,612
FelCor Suite Hotels, Inc................... 21,500 790,124
Golf Trust of America, Inc.*............... 43,600 1,062,750
Health Care Real Estate Investment Trust... 33,900 805,124
Kilroy Realty Corp.*....................... 37,025 985,791
Storage USA, Inc........................... 27,000 995,624
Walden Residential Properties, Inc......... 35,700 861,262
------------
7,268,687
------------
RENTAL/LEASING COMPANIES -- 0.7%
Leasing Solutions, Inc.*................... 59,200 1,110,000
Team Rental Group, Inc.*................... 25,100 527,100
Ugly Duckling Corp.*....................... 71,100 1,306,463
Winthrop Resources Corp.................... 15,700 467,075
------------
3,410,638
------------
RESTAURANTS -- 1.5%
CKE Restaurants, Inc....................... 162,950 3,605,269
Foodmaker, Inc.*........................... 168,200 1,703,025
Logan's Roadhouse, Inc.*................... 17,100 359,100
Rare Hospitality International, Inc.*...... 43,500 565,500
Showbiz Pizza Time, Inc.*.................. 62,400 1,092,000
------------
7,324,894
------------
RETAIL/FOOD DISTRIBUTION -- 0.6%
Richfood Holdings, Inc..................... 120,650 2,262,188
Suiza Foods Corp.*......................... 31,200 834,600
------------
3,096,788
------------
SAVINGS & LOAN ASSOCIATIONS -- 0.1%
MAF Bancorp, Inc........................... 15,800 616,200
------------
SEMICONDUCTORS/ELECTRONIC COMPONENTS -- 7.2%
Aavid Thermal Technologies*................ 29,400 345,450
Advanced Technology Materials, Inc.*....... 34,100 588,225
Anadigics, Inc.*........................... 39,500 1,066,500
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
</TABLE>
SEMICONDUCTORS/ELECTRONIC COMPONENTS (CONTINUED)
<TABLE>
<S> <C> <C>
Benchmarq Microelectronics, Inc.*.......... 17,800 $ 222,500
Credence Systems Corp.*.................... 71,600 1,396,200
Cymer, Inc.*............................... 44,100 1,582,088
Fusion Systems Corp.*...................... 61,300 1,455,875
Gasonics International Corp.*.............. 21,500 306,375
Hadco Corp................................. 61,100 2,367,625
Integrated Process Equipment Corp.*........ 96,700 1,619,725
Jabil Circuit, Inc.*....................... 133,700 6,024,856
JPM Co.*................................... 700 11,725
Kulicks & Soffa Industries, Inc.*.......... 77,300 1,632,962
Level One Communications, Inc.*............ 21,400 588,500
MRV Communications, Inc.*.................. 50,900 1,132,525
Photronics, Inc.*.......................... 34,600 1,016,375
Radisys Corp.*............................. 41,100 1,202,175
Sawtek, Inc.*.............................. 80,000 2,300,000
SDL, Inc.*................................. 9,900 169,538
Sipex Corp.*............................... 31,900 933,075
Smart Modular Technologies, Inc.*.......... 50,000 1,187,500
STB Systems, Inc.*......................... 17,500 511,875
Stormedia, Inc.*........................... 89,000 1,023,500
Trident Microsystems, Inc.*................ 102,000 1,377,000
Vitesse Semiconductor Corp.*............... 188,700 5,212,838
Zygo Corp.*................................ 30,200 687,050
------------
35,962,057
------------
SOAPS/COSMETICS -- 0.1%
American Safety Razor Co.*................. 22,500 347,990
------------
SOFTWARE -- 8.5%
Aspen Technology, Inc.*.................... 78,400 2,136,400
Avant Corp.*............................... 48,400 1,312,850
C Net, Inc.*............................... 27,200 666,400
CBT Group PLC Sponsored ADR*............... 80,900 4,034,888
Credit Management Solutions, Inc.*......... 5,000 51,250
Dataworks Corp.*........................... 37,500 543,750
Documentum, Inc.*.......................... 37,000 684,500
Excite, Inc.*.............................. 44,300 476,225
Geotel Communications Corp.*............... 5,100 56,100
Harbinger Corp.*........................... 101,150 2,225,300
HNC Software, Inc.*........................ 70,700 1,847,038
HPR, Inc.*................................. 12,000 135,000
Hyperion Software Corp.*................... 125,500 2,070,750
Infinity Financial Technology, Inc.*....... 17,700 305,325
Infoseek Corp.*............................ 40,500 288,562
Lycos, Inc.*............................... 45,000 632,812
Manugistics Group, Inc.*................... 36,400 1,328,600
Mercury Interactive Corp.*................. 80,200 781,950
National Instruments Corp.*................ 68,500 2,209,125
Pegasystems, Inc.*......................... 53,900 1,084,738
Perceptron, Inc.*.......................... 38,200 1,002,750
Quick Response Services, Inc.*............. 16,600 437,824
Rational Software Corp.*................... 67,200 1,386,000
Rogue Wave Software*....................... 17,800 162,424
Sapient Corp.*............................. 13,800 441,600
Saville Systems Ireland PLC*............... 72,200 2,075,750
Seibel Systems, Inc.*...................... 113,600 1,902,800
Select Software Tools Sponsored ADR*....... 70,050 700,500
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
14
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCK (Continued)
- ---------------------------------------------------------
SOFTWARE (CONTINUED)
<TABLE>
<S> <C> <C>
SPSS, Inc.*................................ 20,100 $ 499,988
Tecnomatix Technologies Ltd.*.............. 3,300 68,475
Triteal Corp.*............................. 10,000 117,500
Trusted Information Systems, Inc.*......... 35,400 460,200
Verilink Corp.*............................ 13,600 81,600
Veritas Software Co.*...................... 57,200 1,694,550
Versant Object Technology Corp.*........... 5,000 44,375
Viasoft, Inc.*............................. 40,000 1,300,000
Videoserver, Inc.*......................... 92,300 2,180,588
Visio Corp.*............................... 75,600 2,948,400
Walker Interactive Systems, Inc.*.......... 40,800 512,550
Wind River Systems, Inc.*.................. 84,000 1,984,500
------------
42,873,937
------------
SPECIALTY CHAINS -- 2.3%
Cort Business Services Corp.*.............. 42,300 967,612
Duty Free International, Inc............... 63,300 925,762
Finish Line, Inc. Class A*................. 19,900 442,775
Linens'n Things, Inc.*..................... 107,100 2,503,462
Micro Warehouse, Inc.*..................... 107,000 1,404,375
Party City Corp.*.......................... 10,900 170,313
Pier 1 Imports, Inc........................ 130,500 2,300,062
West Coast Entertainment Corp.*............ 2,500 18,125
West Marine, Inc.*......................... 25,500 841,500
Williams-Sonoma, Inc.*..................... 72,900 2,095,875
------------
11,669,861
------------
SPECIALTY INSURERS -- 0.1%
International Alliance Services, Inc.*..... 56,800 568,000
------------
TELECOMMUNICATIONS EQUIPMENT -- 2.6%
Coherent Communications Systems Corp.*..... 41,900 722,775
Comverse Technology, Inc.*................. 48,500 1,915,750
Davox Corp.*............................... 31,400 973,400
Digital Microwave Corp.*................... 82,100 1,580,425
Gilat Satellite Networks LTD*.............. 56,800 1,718,200
Harmonic Lightwaves, Inc.*................. 88,800 1,221,000
Natural Microsystems Corp.*................ 82,400 1,637,700
Nice Systems LTD*.......................... 27,500 563,750
P Com, Inc.*............................... 52,900 1,375,400
Remec, Inc.*............................... 25,600 550,400
Spectran Corp.*............................ 13,600 176,800
Teledata Communications LTD*............... 33,500 603,000
------------
13,038,600
------------
TELECOMMUNICATION SERVICES -- 0.3%
Pacific Gateway Exchange, Inc.*............ 23,000 575,000
Pricellular Corp. Class A*................. 57,168 471,636
U. S. Long Distance Corp.*................. 35,600 413,850
------------
1,460,486
------------
TEXTILES -- 0.1%
Culp, Inc.................................. 17,400 300,150
------------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
TOBACCO PRODUCTS -- 0.2%
General Cigar Holdings, Inc.*.............. 35,100 $ 780,975
------------
TRUCKING -- 0.7%
Knight Transportation, Inc.*............... 20,600 466,075
Swift Transportation Co.*.................. 36,400 928,200
U.S. Xpress Enterprises, Inc. Class A*..... 700 9,800
USFreightways Corp......................... 57,200 1,480,050
Yellow Corp.*.............................. 29,400 554,924
------------
3,439,049
------------
WHOLESALE DISTRIBUTION -- 1.2%
Anicom, Inc.*.............................. 49,900 422,591
Brightpoint, Inc.*......................... 191,250 3,131,719
Cellstar Corp.*............................ 75,100 1,595,875
Central Garden & Pet Co.*.................. 6,800 123,250
CHS Electronics, Inc.*..................... 28,700 584,762
------------
5,858,197
------------
TOTAL COMMON STOCKS
(Cost $409,848,367)...................................... 456,148,188
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 7.0%
- --------------------------------------------------------------------------------
Associates Corp. -- 3.7%
6.75%, 04/01/97................................... $18,673,000 18,673,000
Merrill Lynch -- 3.3%
6.35%, 04/01/97................................... 16,214,000 16,214,000
-------------
TOTAL COMMERCIAL PAPER
(Cost $34,887,000)............................................. 34,887,000
-------------
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 4.5%
- --------------------------------------------------------------------------------
J. P. Morgan & Co., Inc. $22,666,000 at 6.25%,
(Agreement dated 03/31/97; to be repurchased at
$22,669,935 on 04/01/97; collateralized by
$23,265,000 FHMA Notes, 7.125% due 04/30/26)
(VALUE $23,811,037)
(Cost $22,666,000)................................ 22,666,000 22,666,000
-------------
- --------------------------------------------------------------------------------
RIGHTS/WARRANTS -- 0.0%
- --------------------------------------------------------------------------------
Perseptive Biosystems Class G, Warrants
(Cost $1,033)..................................... 435 1,033
-------------
TOTAL INVESTMENTS -- 102.4%
(Cost $467,402,401)............................................ 513,702,221
LIABILITIES IN EXCESS OF OTHER ASSETS (2.4%)..................... (12,139,688)
-------------
NET ASSETS 100.0%................................................ $ 501,562,533
-------------
</TABLE>
- ------------
* Non-Income Producing Security.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
15
<PAGE>
CORE GROWTH FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Jack C. Marshall, Jr.,
Partner, Chief Investment Officer,
Institutional Equity Management
Andrew B. Gallagher,
Portfolio Manager
Maren Lindstrom,
Portfolio Manager
Thomas J. Sullivan,
Portfolio Manager
GOAL: The Nicholas-Applegate Core Growth Fund seeks to maximize long-term
capital appreciation by investing primarily in U.S. companies generally over
$500 million in market capitalization.
REVIEW AND OUTLOOK: Smaller-cap growth stocks were among the market leaders
during the first half of the Fund's fiscal year. However, over the last six
months, investors turned their favor away from growth stocks toward a narrow
group of larger-cap value stocks. As a result, the same factors which
contributed to the Fund's strong gains early in the fiscal year negatively
impacted performance in more recent quarters.
Bolstered by the strong showing of a select group of large-cap stocks, the S&P
500 Index rose 19.8% during the 12-month period ending March 31, 1997. Over the
same period, the Fund gained 1.7%. Technology stocks, which had contributed to
strong gains, have experienced a difficult environment recently. The pull-back
in technology issues was most pronounced within the small- and mid-cap segments
as investors moved away from stocks with higher earnings growth rates and
corresponding higher valuations. Earnings disappointments among networking
companies, increasing competition sector-wide, and the strong U.S. dollar were
key factors which dragged technology stocks lower. In addition, underperformance
among healthcare holdings and our overweighting in this sector relative to the
S&P 500 negatively impacted returns.
Over the last six months, we have reduced our technology exposure on a
stock-specific basis. While there are strong pockets of opportunity in the soft-
ware, semiconductor, and wireless communications industries, we have virtually
eliminated the Fund's exposure to the computer hardware and networking
telecommunications segments. Several factors are adversely affecting earnings
trends for companies in these areas.
The Fund's stock selection in the energy sector made a positive contribution
to performance during the year. Oilfield service companies Ensco International,
Inc. and BJ Services Co. both posted strong returns as they capitalized on more
favorable trends in the oil and gas industry.
The Fund retains compelling fundamentals. The median earnings growth rate for
holdings as of March 31 was 28%. Going forward, we expect the pace of earnings
growth among issues in the broad market to slow. As a result, we believe
investors will return their focus to stocks offering consistent earnings
strength. Because of our bottom-up, growth-oriented approach, we should excel in
such an environment.
REPRESENTATIVE HOLDINGS
Safeway
Oxford Health Plans
USA Waste Services
EMC
Host Marriott
MGIC Investment
Associates First Capital
AES
Consolidated Stores
McKesson
- --------------------------------------------------------------------------------
16
<PAGE>
CORE GROWTH INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
CORE GROWTH INSTITUTIONAL PORTFOLIO WITH THE S&P 500 INDEX, AND THE S&P 400
MID-CAP INDEX.
<TABLE>
<S> <C> <C>
ANNUALIZED TOTAL RETURNS
As of 03/31/97
1 YEAR 5 YEARS 10 YEARS
1.74% 13.13% 13.66%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
CORE GROWTH
INSTITUTIONAL
PORTFOLIO S&P 500 INDEX S&P 400 MID-CAP INDEX
<S> <C> <C> <C>
09-30-85 $ 250,000.00 $ 250,000.00 $ 250,000.00
12-31-85 $ 311,844.71 $ 292,859.56 $ 294,134.41
12-31-86 $ 414,298.60 $ 347,444.17 $ 341,839.70
12-31-87 $ 429,184.05 $ 365,740.98 $ 334,867.53
12-31-88 $ 483,552.01 $ 426,259.70 $ 404,748.71
12-31-89 $ 647,589.51 $ 561,013.22 $ 548,608.87
12-31-90 $ 652,317.71 $ 543,946.17 $ 520,521.75
12-31-91 $ 1,014,500.39 $ 709,606.48 $ 781,391.53
12-31-92 $ 1,151,987.77 $ 763,705.33 $ 874,552.09
12-31-93 $ 1,379,773.32 $ 840,600.03 $ 996,549.24
12-31-94 $ 1,234,653.54 $ 851,663.45 $ 960,767.97
12-31-95 $ 1,710,920.31 $ 1,171,846.52 $ 1,258,115.42
12-31-96 $ 1,992,544.95 $ 1,440,856.08 $ 1,499,549.40
03-31-97 $ 1,830,762.20 $ 1,479,285.24 $ 1,476,398.51
</TABLE>
This graph compares a $250,000 investment in Core Growth Institutional Portfolio
with the Standard & Poor's ("S&P") 500 Index and the S&P 400 Mid-Cap Index, on a
cumulative and average annual total return basis. All return calculations
reflect the reinvestment of income dividends and capital gains distributions, if
any, as well as all fees and expenses. Performance results reflect the total
returns of a predecessor limited partnership managed by Nicholas-Applegate
Capital Management prior to the effective date of the Portfolio's registration
statement which was 4/19/93. Limited partnership returns are restated to reflect
all fees and expenses applicable to the Portfolio and share class. If the
limited partnership had been registered as an investment company under the
federal securities laws, its performance might have been adversely affected
because of the additional restrictions applicable to registered investment
companies.
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 S&P 500 Index is an unmanaged index containing 500 industrial,
transportation, utility and financial companies regarded as generally
representative of the U.S. stock market.
The S&P 400 Index is an unmanaged index considered generally representative of
the market for the stocks of mid-sized U.S. companies. It consists of 400
domestic stocks chosen for market size (median market capitalization of about
$610 million), liquidity, and industry group representation.
In future annual reports, Nicholas-Applegate will compare the Core Growth
Portfolios only to the S&P 400 for purposes of showing annualized total returns.
We believe this shift in benchmark measures is appropriate since the composition
of the Fund more closely matches the composition of the S&P 400 Index.
Index returns reflect the reinvestment of income dividends 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.
- --------------------------------------------------------------------------------
17
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
CORE GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------------------------
COMMON STOCKS -- 93.0%
- ---------------------------------------------------------------------------------
APPAREL -- 1.9%
Nike, Inc. -- Class B...................... 36,900 $ 2,287,800
Tommy Hilfiger Corp.*...................... 110,000 5,747,500
-------------
8,035,300
-------------
BEVERAGES/SOFT DRINKS -- 1.5%
Panamerican Beverages, Inc. -- Class A..... 120,000 6,435,000
-------------
BIOTECHNOLOGY -- 3.3%
Biogen, Inc.*.............................. 242,000 9,044,750
Centocor, Inc.*............................ 165,000 5,032,500
-------------
14,077,250
-------------
COMPUTERS/OFFICE AUTOMATION -- 2.3%
EMC Corp.*................................. 140,000 4,970,000
Read-Rite Corp.*........................... 200,000 5,050,000
-------------
10,020,000
-------------
CONTAINERS -- 0.9%
Crown Cork & Seal Co., Inc................. 77,500 4,000,938
-------------
DEPARTMENT/DISCOUNT STORES -- 2.5%
Consolidated Stores Corp.*................. 180,625 6,367,031
Costco Cos, Inc.*.......................... 167,200 4,618,900
-------------
10,985,931
-------------
DRUGS/PHARMACEUTICALS -- 5.0%
Cardinal Health, Inc....................... 162,950 8,860,406
Dura Pharmaceuticals, Inc.*................ 183,700 6,567,275
Elan Corp. PLC-Sponsored ADR*.............. 185,100 6,316,537
-------------
21,744,218
-------------
ELECTRIC UTILITIES -- 2.0%
AES Corp.*................................. 158,600 8,881,600
-------------
ENVIRONMENTAL SERVICES -- 6.7%
Republic Industries, Inc.*................. 256,900 8,911,219
United States Filter Corp.*................ 191,000 5,897,125
United Waste Systems, Inc.*................ 174,900 6,515,025
USA Waste Services, Inc.*.................. 213,700 7,586,350
-------------
28,909,719
-------------
FINANCE COMPANIES -- 1.7%
Associates First Capital Corp. -- Class
A........................................ 176,100 7,572,300
-------------
FOOD CHAINS -- 4.0%
Kroger Co.*................................ 130,000 6,597,500
Safeway, Inc.*............................. 232,600 10,786,825
-------------
17,384,325
-------------
HOSPITALS -- 3.7%
Healthsouth Corp.*......................... 504,600 9,650,475
Tenet Healthcare Corp.*.................... 257,200 6,333,550
-------------
15,984,025
-------------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------------------------
LEASURE/GAMING -- 2.3%
Carnival Corp. -- Class A.................. 268,400 $ 9,930,800
-------------
LODGING -- 2.1%
Doubletree Corp.*.......................... 126,700 4,497,850
Host Marriott Corp.*....................... 277,000 4,709,000
-------------
9,206,850
-------------
MANAGED HEALTHCARE/HMO'S -- 1.9%
Oxford Health Plans, Inc.*................. 138,000 8,090,250
-------------
MEDICAL SUPPLIES -- 4.5%
Boston Scientific Corp.*................... 155,000 9,571,250
ESC Medical Systems LTD.*.................. 175,000 4,418,750
Safeskin Corp.*............................ 310,600 5,629,625
-------------
19,619,625
-------------
OIL/GAS PRODUCTION -- 2.4%
Burlington Resources, Inc.................. 105,900 4,527,225
Valero Energy Corp......................... 165,800 6,030,975
-------------
10,558,200
-------------
OILFIELD SERVICES/EQUIPMENT -- 6.6%
BJ Services Co.*........................... 72,500 3,470,937
Diamond Offshore Drilling, Inc.*........... 95,400 6,534,900
ENSCO International, Inc.*................. 160,800 7,919,400
Smith International, Inc.*................. 171,000 7,801,875
Tidewater, Inc............................. 41,500 1,909,000
Western Atlas, Inc.*....................... 16,000 970,000
-------------
28,606,112
-------------
OIL REFINING/MARKETING -- 1.4%
Tosco Corp................................. 216,600 6,173,100
-------------
OTHER COMMERCIAL/INDUSTRIAL SERVICES -- 1.5%
APAC Teleservices, Inc.*................... 26,300 683,800
Manpower, Inc.............................. 162,300 5,842,800
-------------
6,526,600
-------------
OTHER CONSUMER DURABLES -- 1.3%
U S Industries, Inc.*...................... 159,200 5,611,800
-------------
OTHER FINANCIAL SERVICES -- 2.7%
Equifax, Inc............................... 232,600 6,338,350
SunAmerica, Inc............................ 139,300 5,223,505
-------------
11,561,855
-------------
OTHER HEALTH TECHNOLOGY/SERVICES -- 0.9%
McKesson Corp.............................. 63,400 4,057,600
-------------
PIPELINES -- 1.2%
Williams Companies, Inc.................... 117,900 5,246,550
-------------
REGIONAL BANKS -- 1.2%
Washington Mutual, Inc..................... 110,500 5,338,531
-------------
SEMICONDUCTORS/ELECTRONIC COMPONENTS -- 1.6%
ASM Lithography Holding NV*................ 92,000 6,900,000
-------------
SOAPS/COSMETICS -- 2.1%
Revlon, Inc. -- Class A*................... 234,100 8,960,935
-------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
18
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCKS (Continued)
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
SOFTWARE -- 7.7%
BMC Software, Inc.*........................ 94,400 $ 4,354,200
Electronics for Imaging, Inc.*............. 180,400 7,193,450
McAfee Associates, Inc.*................... 128,700 5,694,975
Parametric Technology Corp.*............... 128,700 5,807,588
Peoplesoft, Inc.*.......................... 142,400 5,696,000
Rational Software Corp.*................... 220,000 4,537,500
-------------
33,283,713
-------------
SPECIALTY CHAINS -- 1.6%
Borders Group, Inc.*....................... 365,200 6,893,150
-------------
SPECIALTY INSURERS -- 1.0%
MGIC Investment Corp....................... 59,300 4,195,475
-------------
TELECOMMUNICATIONS EQUIPMENT -- 9.2%
ADC Telecommunications, Inc.*.............. 120,000 3,225,000
Andrew Corp.*.............................. 287,700 10,393,163
Ascend Communications, Inc.*............... 49,000 1,996,750
Boston Technology, Inc.*................... 256,300 4,837,662
L M Ericsson Telecommunications-Sponsored
ADR...................................... 258,400 8,737,150
Nokia Corp.-Sponsored ADR -- Class A....... 69,300 4,036,725
Tellabs, Inc.*............................. 176,600 6,379,675
-------------
39,606,125
-------------
TELEPHONE -- 3.2%
Nextel Communications, Inc. -- Class A*.... 563,600 7,538,150
Teleport Communications Group, Inc. --
Class A*................................. 268,500 6,175,500
-------------
13,713,650
-------------
TEXTILES -- 1.1%
Mohawk Industries, Inc.*................... 232,900 4,861,787
-------------
TOTAL COMMON STOCKS
(Cost $382,398,610)......................................... 402,973,314
-------------
- ---------------------------------------------------------------------------------
PREFERRED STOCKS -- 1.4%
- ---------------------------------------------------------------------------------
CONTAINERS -- 0.5%
Crown Cork & Seal, Inc., 4.5%.............. 40,000 1,970,000
-------------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------------------------
DRUGS/PHARMACEUTICALS -- 0.4%
McKesson Corp., $2.50...................... 36,300 $ 1,942,050
-------------
PIPELINES -- 0.5%
Williams Cos, Inc., $3.50.................. 20,300 2,144,188
-------------
TOTAL PREFERRED STOCKS
(Cost $6,012,500)........................................... 6,056,238
-------------
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
- ---------------------------------------------------------------------------------
CONVERTIBLE CORPORATE BONDS -- 2.0%
- ---------------------------------------------------------------------------------
COMPUTERS/OFFICE AUTOMATION -- 0.9%
EMC Corp.,
3.25%, 03/15/02.......................... $ 3,700,000 3,792,500
-------------
ENVIRONMENTAL SERVICES -- 0.5%
Sanifill, Inc.,
5.00%, 03/01/06.......................... 1,437,000 2,044,133
-------------
OILFIELD SERVICES/EQUIPMENT -- 0.6%
Diamond Offshore Drilling, Inc. 3.75%,
02/15/07................................. 2,500,000 2,662,500
-------------
TOTAL CONVERTIBLE CORPORATE BONDS
(Cost $8,190,198)........................................... 8,499,133
-------------
- ---------------------------------------------------------------------------------
COMMERCIAL PAPER -- 2.9%
- ---------------------------------------------------------------------------------
Associates Corp. of North America 6.75%,
04/01/97................................. 12,426,000 12,426,000
-------------
TOTAL COMMERCIAL PAPER
(Cost $12,426,000)..........................................
-------------
TOTAL INVESTMENTS -- 99.3%
(Cost $409,027,308)......................................... 429,954,685
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.7%................. 2,819,246
-------------
NET ASSETS -- 100.0%.......................................... $ 432,773,931
-------------
</TABLE>
- ---------------
* Non-Income Producing Security.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
19
<PAGE>
INCOME & GROWTH FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Catherine Somhegyi,
Partner, Chief Investment Officer,
Global Equity Management
Maren Lindstrom,
Portfolio Manager
Sandra K. Durn,
Portfolio Manager
GOAL: The Nicholas-Applegate Income & Growth Fund seeks to maximize total
return by investing primarily in convertible and equity securities of U.S.
companies.
REVIEW AND OUTLOOK: The Income & Growth Institutional Portfolio advanced 14.4%
during the Fund's fiscal year versus an 8.1% gain for the First Boston
Convertible Index. Issue selection and strong gains among smaller-cap stocks
early in the Fund's fiscal year contributed to its outperformance.
The Fund is comprised primarily of convertible bonds issued by small- and
mid-cap companies. Reflecting the smaller-cap nature of the convertible market,
of the total number of firms issuing convertible bonds, about two-thirds have
market capitalizations less than $2 billion.
The Fund continued to deliver returns consistent with our objective of
achieving asymmetrical market participation. We seek to capture approximately
70% to 80% of the upside performance of the underlying equities with only 50% or
less of the downside exposure. Over the fiscal year, the Fund, up 14.4%,
outperformed the Russell 2000 Index, which gained 5.1%. The Fund also
participated in 71% of the gain of the S&P 500 Index, which was up 19.8% in the
period.
During the difficult environment for equities in March, triggered by the
Federal Reserve Board's decision to raise short-term interest rates, the S&P 500
declined 4.1% and the Russell 2000 Index fell 4.7%. However, the Income & Growth
Fund was off just 1.0% -- a participation rate of less than 25%.
Concerns regarding the sustainability of earnings growth among a number of
financial services companies prompted us to reduce our exposure in this sector
on an issue-specific basis. Overall, we reduced the Fund's weighting in real
estate investment trusts during the fiscal year. Simultaneously, we increased
the Fund's allocation to the technology and healthcare sectors as a result of
our bottom-up approach.
Among the Fund's best-performing holdings was Ericsson, a telecommunication
systems and services provider. Well positioned to profit from the expanding
wireless communications market, the company has a healthy backlog of both new
network builds and digital conversions for clients around the world. In
addition, Ericsson continues to pursue extending its business in emerging
countries such as China and India.
We believe convertibles continue to provide investors with appreciation
potential and downside protection. Looking ahead, we remain confident of our
bottom-up approach and our ability to reward shareholders with long-term results
and limited downside risk.
REPRESENTATIVE HOLDINGS
Ericsson
Omnicom Group
Host Marriott
U.S. Filter
Williams Companies
Crown Cork & Seal
Diamond Offshore Drilling
Ahmanson
Alaska Air Group
AES
- --------------------------------------------------------------------------------
20
<PAGE>
INCOME & GROWTH INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
INCOME & GROWTH INSTITUTIONAL PORTFOLIO WITH THE CS FIRST BOSTON CONVERTIBLE
INDEX.
<TABLE>
<S> <C> <C>
ANNUALIZED TOTAL RETURNS
As of 03/31/97
1 YEAR 5 YEARS 10 YEARS
14.37% 13.96% 13.66%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
INCOME & FIRST BOSTON
GROWTH INSTITUTIONAL CONVERTIBLE
PORTFOLIO INDEX
<S> <C> <C>
12-31-86 $ 250,000.00 $ 250,000.00
12-31-87 242,192.20 249,438.54
12-31-88 290,338.67 282,892.46
12-31-89 372,774.53 321,822.20
12-31-90 379,633.21 299,660.78
12-31-91 525,253.10 386,904.65
12-31-92 576,920.28 454,915.53
12-31-93 733,125.90 539,287.59
12-31-94 677,475.98 513,857.47
12-31-95 828,248.30 635,736.19
12-31-96 1,002,323.52 723,744.87
03-31-97 1,016,584.65 727,499.25
</TABLE>
This graph compares a $250,000 investment in Income & Growth Institutional
Portfolio with the CS First Boston Convertible ("First Boston Convertible")
Index, on a cumulative and average annual total return basis. All return
calculations reflect the reinvestment of income dividends and capital gains
distributions, if any, as well as all fees and expenses. Performance results
reflect the total returns of a predecessor limited partnership managed by
Nicholas-Applegate Capital Management prior to the effective date of the
Portfolio's registration statement which was 4/19/93. Limited partnership
returns are restated to reflect all fees and expenses applicable to the
Portfolio and share class. If the limited partnership had been registered as an
investment company under the federal securities laws, its performance might have
been adversely affected because of the additional restrictions applicable to
registered investment companies.
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 First Boston Convertible Index is an unmanaged market weighted index
representing the universe of convertible securities whether they are convertible
preferred stocks or convertible bonds.
The Index reflects the reinvestment of income dividends 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.
- --------------------------------------------------------------------------------
21
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
INCOME & GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
COMMON STOCKS -- 11.8%
- ----------------------------------------------------------------------------
COMPUTER/OFFICE AUTOMATION -- 0.0%
Seagate Technology, Inc.*.................. 1 $ 45
------------
GAS UTILITIES -- 0.9%
MCN Corp................................... 41,860 1,177,313
------------
INVESTMENT COMPANIES -- 1.0%
Merrill 6.50% "MTG" -- Strypes............. 19,000 1,244,500
------------
MACHINERY/EQUIPMENT -- 0.7%
Cooper Industries, Inc.,
6.00% WYMN (DECS)........................ 51,100 932,575
------------
OTHER FINANCIAL SERVICES -- 0.7%
SunAmerica, Inc. (PERCS)*.................. 22,300 879,392
------------
REAL ESTATE INVESTMENT TRUSTS -- 8.5%
Bay Apartment Communities, Inc............. 38,190 1,370,066
Cali Realty Corp........................... 44,130 1,412,160
CenterPoint Properties Corp................ 38,200 1,169,875
Equity Residential Properties Trust........ 12,100 536,938
Kilroy Realty Corp.*....................... 21,300 567,113
Meridian Industrial Trust, Inc............. 38,470 889,619
Patriot American Hospitality, Inc.......... 28,460 690,155
Reckson Associates Realty Corp............. 31,930 1,472,771
Spieker Properties, Inc.................... 40,900 1,595,100
Starwood Lodging Trust..................... 36,115 1,408,485
------------
11,112,282
------------
TOTAL COMMON STOCKS
(Cost $12,831,606)....................................... 15,346,107
------------
- ----------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS -- 31.8%
- ----------------------------------------------------------------------------
CONTAINERS -- 1.8%
Crown Cork & Seal, 4.50%................... 48,250 2,376,313
------------
DRUGS/PHARMACEUTICALS -- 0.8%
McKesson Corp., $2.50*..................... 19,600 1,048,600
------------
ELECTRIC UTILITIES -- 2.5%
AES Trust I, Series A, 5.375%*............. 26,520 1,289,535
California Energy Capital Trust, 6.25%..... 27,380 1,759,165
California Energy Capital Trust 2,
6.25%*................................... 5,900 300,163
------------
3,348,863
------------
FINANCE COMPANIES -- 2.6%
HF Ahmanson & Company, Series D, 6.00%..... 20,465 1,575,805
Finova Finance Trust, 5.50%................ 34,680 1,812,030
------------
3,387,835
------------
GAS UTILITIES -- 0.8%
Noram Financing I, 6.25%................... 17,000 1,058,250
------------
INTEGRATED OIL COMPANIES -- 1.5%
Unocal Capital Trust, 6.25%................ 35,455 1,923,434
------------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
LIFE INSURERS -- 1.3%
Penncorp Financial Group, Inc., $3.50...... 29,505 $ 1,644,904
------------
LODGING -- 2.1%
Host Marriott Financial Trust, 6.75%*...... 47,435 2,668,219
------------
MEDICAL SUPPLIES -- 0.5%
United States Surgical Corp., Series A,
$2.20.*.................................. 21,340 613,525
------------
METALS -- 0.1%
Coeur D'Alene Mines Corp., 7.00%........... 5,500 97,625
------------
MULTI-LINE INSURERS -- 0.7%
Allstate Corp., 6.7647%.................... 22,300 953,325
------------
OIL/GAS PRODUCTION -- 2.5%
Devon Financing Trust, $3.25*.............. 30,148 1,823,954
Nuevo Financing I, Series A, 5.75%......... 10,300 495,688
Valero Energy, $3.125*..................... 13,700 923,038
------------
3,242,680
------------
OIL REFINING/MARKETING -- 1.5%
Tosco Financing Trust, 5.75%*.............. 37,100 2,008,038
------------
OTHER CONSUMER SERVICES -- 1.0%
SCI Finance LLC, Series A, $3.125.......... 12,930 1,318,860
------------
OTHER PRODUCTION/MANUFACTURING -- 1.2%
Corning Delaware LP, 6.00%................. 22,130 1,568,464
------------
PIPELINES -- 1.9%
Williams Cos., $3.50....................... 23,095 2,465,391
------------
RESTAURANTS -- 1.7%
Apple South Inc., $3.50.................... 9,000 492,750
Wendy's Financing I, Series A, 5.00%....... 34,900 1,766,813
------------
2,259,563
------------
SAVINGS AND LOAN/THRIFTS -- 0.6%
Sovereign Bancorp, Inc., Series B, 6.25%... 9,610 720,750
------------
SPECIALTY INSURERS -- 1.7%
American Bankers Insurance, Series B,
$3.125................................... 36,290 2,200,081
------------
TELECOMMUNICATION EQUIPMENT -- 3.1%
LM Ericsson Telephone, 4.25%............... 619,270 2,941,533
Qualcomm Financial Trust, 5.75%............ 20,900 1,029,325
------------
3,970,858
------------
TELECOMMUNICATION SERVICES -- 0.4%
Worldcom, Inc., 8.00%...................... 6,860 538,510
------------
TELEPHONE -- 1.5%
Salomon, Inc. CSN (DECS), 6.25%............ 32,980 1,945,820
------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $37,345,556)....................................... 41,359,908
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
22
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
CONVERTIBLE CORPORATE BONDS -- 54.3%
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
ADVERTISING -- 2.1%
Omnicom Group,
4.250%, 01/03/07......................... $2,534,000 $ 2,695,543
------------
AEROSPACE -- 1.1%
Morgan Stanley Group, Series MTNC*
0.000%, 09/30/00......................... 1,290,000 1,470,600
------------
AIRLINES -- 1.1%
Alaska Air Group,
6.500%, 06/15/05......................... 694,000 888,320
Continental Airlines,
6.750%, 04/15/06......................... 430,000 547,713
------------
1,436,033
------------
ALCOHOLIC BEVERAGES -- 1.0%
Grand Metropolitan PLC Euro,
6.500%, 01/31/00......................... 1,130,000 1,337,638
------------
AUTOMOBILES -- 0.2%
Volkswagen International Finance,
3.000%, 01/24/02......................... 240,000 266,700
------------
BROADCASTING -- 0.2%
Telemundo Group, Inc.,
7.000%, 02/15/06......................... 225,000 217,406
------------
BUILDING MATERIALS -- 1.4%
Cemex SA Euro,
4.250%, 11/01/97......................... 830,000 811,325
Hexcel Corp.,
7.000%, 08/01/03......................... 755,000 999,431
------------
1,810,756
------------
BUILDING MATERIAL CHAINS -- 0.8%
Home Depot, Inc.,
3.250%, 10/01/01......................... 985,000 992,388
------------
CLOTHING CHAINS -- 0.9%
Nine West Group, Inc.,
5.500%, 07/15/03......................... 1,220,000 1,186,450
------------
COMPUTERS/OFFICE AUTOMATION -- 3.3%
Comverse Technology, Inc.,
5.750 10/01/06........................... 1,263,000 1,351,410
EMC Corp.,
3.250%, 03/15/02......................... 1,190,000 1,219,750
HMT Technology Corp.,
0.000%, 01/15/04......................... 958,000 832,263
Safeguard Scientifics
6.000%, 02/01/06......................... 1,075,000 932,563
------------
4,335,986
------------
CONTRACT DRILLING -- 1.8%
Diamond Offshore Drilling
3.750%, 02/15/07......................... 1,927,000 2,052,255
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
</TABLE>
CONTRACT DRILLING (CONTINUED)
<TABLE>
<S> <C> <C>
Nabors Industries, Inc.
5.000%, 05/15/06......................... $ 251,000 $ 317,515
------------
2,369,770
------------
DRUG CHAINS -- 1.5%
Rite-Aid Corp.*
0.000%, 07/24/06......................... 2,729,000 1,883,010
------------
DRUGS/PHARMACEUTICALS -- 4.0%
Elan International Finance*
0.000%, 10/16/12......................... 1,711,000 1,272,556
Sandoz Capital BVI LTD.
2.000%, 10/06/02......................... 900,000 1,048,500
Sandoz Capital BVI LTD. Euro,
2.000%, 10/06/02......................... 1,470,000 1,721,738
Sepracor, Inc.
7.000%, 12/01/02......................... 295,000 396775
Sepracor, Inc., Euro,
7.000%, 12/01/02......................... 582,000 782,790
------------
5,222,359
------------
ELECTRIC UTILITIES -- 1.2%
AES Corp.
10.250%, 07/15/06........................ 1,385,000 1,513,113
------------
ELECTRONIC DATA PROCESSING -- 2.3%
Automatic Data Process*
0.000%, 02/20/12......................... 4,664,000 2,606,010
National Data Corp.
5.000%, 11/01/03......................... 392,000 375,830
------------
2,981,840
------------
ELECTRONIC INSTRUMENTS -- 3.1%
ADT Operations, Inc.*
0.000%, 07/06/10......................... 3,093,000 2,207,629
SCI Systems, Inc.
5.000%, 05/01/06......................... 1,499,000 1,858,760
------------
4,066,389
------------
ENVIRONMENTAL SERVICES -- 5.6%
Sanifill, Inc.
5.000%, 03/01/06......................... 1,088,000 1,547,680
United Waste Systems, Inc. Note
4.500%, 06/01/01......................... 1,060,000 1,362,100
United Waste Systems, Inc.
4.500%, 06/01/01......................... 540,000 693,900
U.S. Filter Corp.
0.000%, 12/15/01......................... 2,470,000 2,479,263
USA Waste Services, Inc.
4.000%, 02/01/02......................... 1,113,000 1,151,955
------------
7,234,898
------------
FINANCE COMPANIES -- 0.4%
Leasing Solutions, Inc.
6.875%, 10/01/03......................... 530,000 482,300
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
23
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997 -- CONTINUED
- --------------------------------------------------------------------------------
INCOME & GROWTH FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
CONVERTIBLE CORPORATE BONDS (Continued)
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
FOOD CHAINS -- 1.0%
Starbucks Corp.
4.250%, 11/01/02......................... $ 939,000 $ 1,319,376
------------
INDUSTRIAL ENGINEERING/CONSTRUCTION -- 1.0%
Empresas ICA Sociedad
5.000%, 03/15/04......................... 1,726,000 1,311,760
------------
LIFE INSURERS -- 1.9%
American Travellers Corp.,
6.500%, 10/01/05......................... 521,000 1,454,893
Penn Treaty American Corp.,
6.250%, 12/01/03......................... 920,000 1,036,150
------------
2,491,043
------------
LODGING -- 1.9%
Hilton Hotels Corp.
5.000%, 05/15/06......................... 1,740,000 1,774,800
Prime Hospitality Corp.
7.000%, 04/15/02......................... 341,000 488,056
Signature Resorts, Inc.
5.750.%, 01/15/07........................ 277,000 235,450
------------
2,498,306
------------
MACHINERY/EQUIPMENT -- 1.7%
Intevac, Inc.
6.500%, 03/01/04......................... 445,000 403,838
Thermo Electron Corp.
4.250%, 01/03/03......................... 565,000 590,425
Thermo Electron Corp. Euro
4.250%, 01/03/03......................... 1,110,000 1,187,700
------------
2,181,963
------------
MANAGED HEALTHCARE/HMOS -- 1.0%
Tenet Healthcare
6.000%, 12/01/05......................... 1,172,000 1,353,660
------------
MEDICAL/HEALTH SERVICES -- 2.7%
FPA Medical Management
6.500%, 12/15/01......................... 500,000 490,625
Phycor, Inc.
4.500%, 02/15/03......................... 1,965,000 1,891,313
Renal Treatment Centers, Inc.
5.625%, 07/15/06......................... 1,202,000 1,117,860
------------
3,499,798
------------
MEDICAL SUPPLIES -- 0.4%
Morgan Stanley Group, Series MTN
2.000%, 03/29/02......................... 557,000 569,533
------------
OIL FIELD SERVICES/EQUIPMENT -- 2.7%
Baker Hughes, Inc.*
0.000%, 05/05/08......................... 2,520,000 1,962,450
Pride Petroleum Services, Inc.
6.250%, 02/15/06......................... 372,000 675,180
Seacor Holdings, Inc.
5.375%, 11/15/06......................... 883,000 927,150
------------
3,564,780
------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
OTHER COMMERCIAL/INDUSTRIAL SERVICES -- 1.3%
CUC International, Inc.
3.000%, 02/15/02......................... $ 735,000 $ 729,488
National Education Corp.
6.500%, 05/15/11......................... 1,129,000 987,875
------------
1,717,363
------------
OTHER PRODUCTION/MANUFACTURING -- 2.1%
ALFA S.A. DE C.V.
8.000%, 09/15/00......................... 1,000,000 1,258,750
ALFA S.A. DE C.V. Euro
8.000%, 09/15/00......................... 1,180,000 1,485,325
------------
2,744,075
------------
OTHER TRANSPORTATION -- 0.8%
Offshore Logistic
6.000%, 12/15/03......................... 1,000,000 981,250
------------
SEMICONDUCTORS/ELECTRONIC COMPONENTS -- 1.8%
Analog Devices
3.500%, 12/01/00......................... 813,000 1,022,258
Xilinx, Inc.
5.250%, 11/01/02......................... 1,178,000 1,341,448
------------
2,363,706
------------
SPECIALTY CHAINS -- 1.9%
Pep Boys*
0.000%, 09/20/11......................... 2,490,000 1,329,038
Staples, Inc.
4.500%, 10/01/00......................... 1,009,000 1,114,945
------------
2,443,983
------------
TELEPHONE -- 0.1%
Pricellular Wire Series B
14.000%, 11/15/01........................ 130,000 132,600
------------
TOTAL CONVERTIBLE CORPORATE BONDS
(Cost $66,761,391)....................................... 70,676,375
------------
- ----------------------------------------------------------------------------
COMMERCIAL PAPER -- 4.4%
- ----------------------------------------------------------------------------
Associates Corp.
6.750%, 04/01/97
(Cost $5,742,000)........................ 5,742,000 5,742,000
------------
TOTAL INVESTMENTS -- 101.9%
(Cost $122,680,553)...................................... 133,124,390
LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.9%)............
(2,472,988)
------------
NET ASSETS -- 100.0%....................................... $130,651,402
------------
</TABLE>
- ---------------
* Non-Income Producing Security.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
24
<PAGE>
BALANCED GROWTH FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Catherine Somhegyi,
Partner, Chief Investment Officer,
Global Equity Management
Lawrence S. Speidell, CFA,
Partner, Director of Global/Systematic Portfolio
Management and Research
John J. Kane,
Partner, Senior Portfolio Manager
Fred S. Robertson,
Partner, Chief Investment Officer,
Fixed Income Management
GOAL: The Nicholas-Applegate Balanced Growth Fund seeks to provide capital
appreciation and current income by investing approximately 60% of total assets
in equity and convertible securities primarily of U.S. companies and 40% of
total assets in debt securities, money market instruments, and other short-term
investments.
REVIEW AND OUTLOOK: Early in the Fund's fiscal year, outperformance among
smaller-cap growth stocks contributed to solid gains. However, after a summer
sell-off in the technology sector, cautious investors began to favor larger-cap,
more liquid stocks. Consequently, the same factors which contributed to the
Fund's strong results early in the fiscal year negatively impacted returns in
the more recent quarters.
During the 12-month period ending March 31, 1997, the Fund gained 7.5% while
the Balanced Index, comprised of 60% of the S&P 500 Index and 40% of the Lehman
Government/Corporate Index, rose 13.6%.
Investors' preference for a narrow group of large-cap, value-oriented stocks
was the primary reason for the S&P 500 Index's strong performance during the
period.
Overweighting within the technology sector relative to the benchmark, as well
as stock selection within the retail trade, financial services, and energy
sectors, contributed to the Fund's gains. Disappointing returns within the
consumer services and consumer non-durables sectors, along with the Fund's
healthcare weighting, negatively impacted returns.
For much of the fiscal year, mixed data regarding the strength and direction
of the economy prompted interest rates to alternately rise and fall. In this
environment, bond returns were restrained. The Federal Reserve Board raised
short-term interest rates in late March, citing persisting economic strength as
the reason for its preemptive action. The Fed's move prompted a quarter-end
sell-off.
Our long-term outlook for bonds remains positive. However, with little slack
in the U.S. economy, short periods of accelerating economic activity may prompt
the Federal Reserve Board to raise rates again. As a result, we believe the risk
that interest rates may rise further before they fall makes a neutral, near-term
stance on interest rates appropriate.
We are optimistic that the combination of our disciplined approach to
selecting dynamic growth stocks and the diversification benefits of purchasing
various fixed income securities, including U.S. Treasuries, mortgage securities,
and corporate and asset-backed securities, will continue to deliver solid long-
term returns.
REPRESENTATIVE HOLDINGS
United States Treasury Note 7.500 5-15-02
United States Treasury Note 7.000 7-15-06
United States Treasury Note 6.250 8-31-00
Advanced Micro Devices 11.000 8-1-03
Dell Computer
TJX
Intel
Miller Herman
Jabil Circuit
Burlington Coat Factory
- --------------------------------------------------------------------------------
25
<PAGE>
BALANCED GROWTH INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
BALANCED GROWTH INSTITUTIONAL PORTFOLIO WITH A MODEL INDEX CONSISTING OF 60% S&P
500 INDEX/40% LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX.
<TABLE>
<S> <C> <C>
ANNUALIZED TOTAL RETURNS
As of 03/31/97 SINCE
1 YEAR 3 YEARS INCEPTION
7.46% 10.92% 7.49%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
BALANCED GROWTH
INSTITUTIONAL
PORTFOLIO BALANCED 60/40 INDEX
<S> <C> <C>
09-30-93 $ 250,000.00 $ 250,000.00
12-31-93 242,780.00 253,187.41
03-31-94 235,857.76 244,253.39
06-30-94 224,276.36 243,688.82
09-30-94 235,449.76 251,327.67
12-31-94 231,594.88 251,732.94
03-31-95 246,605.66 271,448.75
06-30-95 270,814.50 294,027.63
09-30-95 292,723.78 310,269.58
12-31-95 288,577.37 327,298.65
03-31-96 299,511.83 334,617.52
06-30-96 317,756.71 344,237.69
09-30-96 329,813.21 353,229.61
12-31-96 338,809.17 375,249.72
03-31-97 321,868.70 380,105.86
</TABLE>
This graph compares a $250,000 investment in the Balanced Growth Institutional
Portfolio with a model index consisting of 60% Standard & Poor's ("S&P") 500
Index and 40% Lehman Brothers Government/Corporate Bond Index, on a cumulative
and average annual total return basis. All return calculations reflect the
reinvestment of income dividends 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 S&P 500 Index is an unmanaged index containing 500 industrial,
transportation, utility and financial companies regarded as generally
representative of the U.S. stock market.
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.
Each index reflects the reinvestment of income dividends 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.
- --------------------------------------------------------------------------------
26
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
BALANCED GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
COMMON STOCKS -- 57.3%
- ----------------------------------------------------------------------------
AIRLINES -- 0.6%
Delta Airlines, Inc........................ 1,800 $ 151,425
------------
APPAREL -- 0.6%
Fruit of the Loom, Inc.*................... 3,500 145,250
------------
AUTOMOBILES -- 0.4%
Chrysler Corp.............................. 3,200 96,000
------------
AUTOMOTIVE EQUIPMENT -- 0.7%
SPX Corp.*................................. 4,000 181,500
------------
BIOTECHNOLOGY -- 0.3%
Quintiles Transnational Corp.*............. 1,400 75,425
------------
BUILDING MATERIALS -- 0.7%
Apogee Enterprises, Inc.................... 7,200 142,200
Eagle Hardware and Garden, Inc.*........... 1,200 22,854
------------
165,054
------------
CATALOG/OUTLET STORES -- 1.2%
CDW Computer Centers, Inc.*................ 2,500 112,656
Lands' End, Inc.*.......................... 7,300 193,450
------------
306,106
------------
CHEMICALS -- 0.7%
Cytec Industries, Inc.*.................... 4,400 166,650
------------
CLOTHING CHAINS -- 2.9%
Burlington Coat Factory*................... 8,900 160,200
Ross Stores, Inc........................... 14,400 365,400
TJX Companies.............................. 4,600 196,650
------------
722,250
------------
COAL MINING -- 0.8%
Zeigler Coal Holding Co.................... 7,900 187,625
------------
COMPUTERS/OFFICE AUTOMATION -- 6.5%
Cisco Systems, Inc.*....................... 2,200 105,875
Compaq Computer Corp.*..................... 2,300 176,237
Dell Computer Corp.*....................... 3,800 256,975
EMC Corp.*................................. 4,400 156,200
Gateway 2000, Inc.*........................ 3,200 164,000
Quantum Corp.*............................. 3,500 135,188
Seagate Technology, Inc.*.................. 3,500 157,063
Storage Technology Corp.*.................. 3,900 153,075
Western Digital Corp.*..................... 5,500 311,438
------------
1,616,051
------------
CONTRACT DRILLING -- 2.2%
Cliff's Drilling Co.*...................... 2,200 130,625
Global Marine, Inc.*....................... 11,100 238,650
Marine Drilling, Cos., Inc.*............... 10,700 189,925
------------
559,200
------------
DEPARTMENT/DISCOUNT STORES -- 1.4%
Mac Frugals Bargains Close-Outs, Inc.*..... 6,800 180,200
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
</TABLE>
DEPARTMENT/DISCOUNT STORES (CONTINUED)
<TABLE>
<S> <C> <C>
Woolworth Corp.*........................... 7,400 $ 172,975
------------
353,175
------------
DRUGS/PHARMACEUTICALS -- 1.1%
Dura Phamaceuticals, Inc.*................. 5,600 200,200
Jones Medical Industries, Inc.............. 2,650 63,600
------------
263,800
------------
ELECTRONIC INSTRUMENTS/DIVERSIFIED -- 1.2%
American Power Conversion Corp.*........... 6,800 147,050
Dynatech Corp.*............................ 4,800 144,000
------------
291,050
------------
FINANCE COMPANIES -- 2.7%
Aames Financial Corp....................... 2,100 42,525
Green Tree Financial Corp.................. 4,700 158,625
Imperial Credit Industries, Inc.*.......... 7,900 158,988
MBNA Corp.................................. 4,800 133,800
Student Loan Marketing Association......... 1,800 171,450
------------
665,388
------------
GROCERY PRODUCTS -- 0.7%
Interstate Bakeries Corp................... 3,800 179,550
------------
HOME FURNISHINGS -- 1.6%
Bed Bath & Beyond, Inc.*................... 1,500 36,281
Ethan Allen Interiors, Inc................. 4,400 191,400
Furniture Brands International, Inc.*...... 11,200 168,000
------------
395,681
------------
HOSPITALS -- 0.7%
Health Management Associates, Inc. -- Class
A*....................................... 1,700 40,375
Healthsouth Corp.*......................... 7,000 133,875
------------
174,250
------------
INVESTMENT COMPANIES -- 0.5%
Bear Stearns Co............................ 4,520 118,650
------------
LIFE INSURERS -- 1.1%
Conseco, Inc............................... 7,500 267,187
------------
LODGING -- 0.6%
HFS, Inc.*................................. 2,700 158,963
------------
MANAGED HEALTHCARE -- 1.1%
Oxford Health Plans, Inc.*................. 4,600 269,675
------------
MEDICAL SUPPLIES -- 0.2%
Guidant Corp............................... 900 55,350
------------
MONEY CENTER BANKS -- 0.6%
North Fork Bancorporation, Inc............. 4,200 151,725
------------
OILFIELD SERVICES/EQUIPMENT -- 3.1%
Camco International, Inc................... 4,700 206,800
Cooper Cameron Corp.*...................... 2,200 150,700
Rowan Cos., Inc.*.......................... 7,800 176,475
Tidewater, Inc............................. 2,200 101,200
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
27
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997 -- CONTINUED
- --------------------------------------------------------------------------------
BALANCED GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCKS (Continued)
- ---------------------------------------------------------
OILFIELD SERVICES/EQUIPMENT (CONTINUED)
<TABLE>
<S> <C> <C>
Varco International, Inc.*................. 5,900 $ 147,500
------------
782,675
------------
OIL/GAS PRODUCTION -- 0.5%
Swift Energy Co.*.......................... 5,500 129,938
------------
OTHER COMMERCIAL/INDUSTRIAL SERVICES -- 0.6%
Corrections Corp. of America*.............. 3,500 84,875
Robert Half International, Inc.*........... 1,600 55,800
------------
140,675
------------
OTHER FINANCIAL SERVICES -- 0.9%
Sunamerica, Inc............................ 5,800 218,225
------------
OTHER HEALTH SERVICES -- 0.7%
HBO & Company.............................. 3,600 171,000
------------
OTHER PRODUCERS/MANUFACTURING -- 1.2%
BMC Industries, Inc........................ 3,400 96,050
Miller Herman, Inc......................... 2,900 197,925
------------
293,975
------------
PAPER -- 0.8%
Fort Howard Corp.*......................... 6,400 199,200
------------
PROPERTY-CASUALTY INSURANCE -- 1.3%
Lowes Corp................................. 1,900 168,863
Orion Capital Corp......................... 2,700 166,725
------------
335,588
------------
PUBLISHING -- 0.8%
Central Newspapers, Inc.................... 3,000 150,375
Gartner Group, Inc.*....................... 1,700 36,762
------------
187,137
------------
REGIONAL/COMMERCIAL BANKS -- 0.5%
Star Banc Corp............................. 3,400 135,575
------------
SAVINGS & LOAN ASSOCIATIONS -- 1.6%
Charter One Financial, Inc................. 3,730 163,654
Greenpoint Financial Corp.................. 4,600 236,900
------------
400,554
------------
SEMICONDUCTORS/ELECTRONIC COMPONENTS -- 2.3%
Intel Corp................................. 1,500 208,688
Jabil Circuit, Inc.*....................... 3,700 166,731
Vitesse Semiconductor Corp.*............... 7,650 211,331
------------
586,750
------------
SOAPS/COSMETICS -- 1.2%
Amway Asia Pacific, LTD.................... 4,400 165,550
Herbalife International, Inc............... 7,900 143,188
------------
308,738
------------
SOFTWARE -- 6.9%
Aspen Technology, Inc.*.................... 3,000 81,750
BMC Software, Inc.*........................ 5,400 249,075
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
</TABLE>
SOFTWARE (CONTINUED)
<TABLE>
<S> <C> <C>
Cadence Design System, Inc.*............... 5,100 $ 175,312
Compuware Corp.*........................... 4,300 269,825
Keane, Inc.*............................... 4,400 144,650
McAfee Associations, Inc.*................. 6,300 278,775
Microsoft Corp.*........................... 1,600 146,700
Parametric Technology Co.*................. 3,600 162,450
Peoplesoft, Inc.*.......................... 5,400 216,000
------------
1,724,537
------------
SPECIALTY CHAINS -- 0.3%
Gap, Inc................................... 2,000 67,000
------------
TELECOMMUNICATIONS EQUIPMENT -- 2.6%
ADC Telecommunications, Inc.*.............. 4,900 131,687
Ascend Communications, Inc.*............... 5,200 211,900
Pairgain Technologies, Inc.*............... 6,000 177,750
Tellabs, Inc.*............................. 3,800 137,275
------------
658,612
------------
TEXTILES -- 0.5%
Carlisle Cos, Inc.......................... 4,500 131,625
------------
WHOLESALE DISTRIBUTION -- 0.3%
Tech Data Corp.*........................... 3,000 72,375
------------
TOTAL COMMON STOCKS
(Cost $12,268,906)....................................... 14,261,159
------------
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
- ----------------------------------------------------------------------------
CORPORATE BONDS -- 26.0%
- ----------------------------------------------------------------------------
AIRLINES -- 0.8%
US Air, Inc.
10.00%, 07/01/03......................... $ 200,000 201,750
------------
BEVERAGES/SOFT DRINKS -- 4.0%
Pepsi-Gemex SA
9.75%, 03/30/04.......................... 1,000,000 995,000
------------
BROADCASTING -- 0.3%
Telemundo Group, Inc.
7.000%, 02/15/06......................... 75,000 74,250
------------
CONTRACT DRILLING -- 0.3%
Cliffs Drilling Co. Series B
10.250%, 05/15/03........................ 80,000 83,600
------------
ELECTRONIC INSTRUMENTS -- 0.8%
Electronic Retailing Systems*
13.25%, 02/01/04......................... 300,000 205,125
------------
ENTERTAINMENT -- 4.8%
AMC Entertainment
9.5%, 03/15/09........................... 450,000 445,500
United Artists
11.5%, 05/01/02.......................... 725,000 756,719
------------
1,202,219
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
28
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
CORPORATE BONDS (Continued)
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
FINANCE COMPANIES -- 1.3%
Americredit Corp., Series A
9.25%, 02/01/04.......................... $ 200,000 $ 195,000
Ocwen Financial Corp.
11.875%, 10/01/03........................ 125,000 138,750
------------
333,750
------------
GROCERY PRODUCTS -- 1.1%
Curtice-Burns Foods, Inc.
Senior Subordinated Note
12.25%, 02/01/05......................... 50,000 53,250
Fage Dairy Industries, Series A
9.0%, 02/01/07........................... 225,000 218,250
------------
271,500
------------
LEISURE/GAMING -- 2.4%
Casino Magic
13.00%, 08/15/03......................... 335,000 324,950
Majestic Star Casino
12.750%, 05/15/03........................ 250,000 271,875
------------
596,825
------------
OTHER FINANCIAL SERVICES -- 0.5%
ESAT Holdings, LTD*
12.5%, 02/01/07.......................... 225,000 124,875
------------
RESTAURANTS -- 1.4%
Foodmaker, Inc.
9.25%, 03/01/99.......................... 100,000 101,000
Rally's Hamburgers, Inc.
9.875%, 06/15/00......................... 250,000 236,563
------------
337,563
------------
SEMICONDUCTORS/ELEC. COMP. -- 4.0%
Advanced Micro Devices
11.00%, 08/01/03......................... 900,000 987,750
------------
SOAPS/COSMETICS -- 0.7%
Revlon Worldwide, Series B*
Zero Coupon, 3/15/98..................... 175,000 164,500
------------
SPECIALTY CHAINS -- 0.3%
CompUSA, Inc.
9.500%, 06/15/00......................... 75,000 75,937
------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT -- 1.3%
Echostar Communications*
Step-up, 06/01/04........................ $ 125,000 $ 105,000
Optel, Inc.
13.00%, 02/15/05......................... 225,000 215,438
------------
320,438
------------
TELEPHONE -- 2.0%
Nextel Communications*
11.5%, 09/01/03.......................... 75,000 58,688
Paging Network, Inc.
10.00%, 10/15/08......................... 250,000 225,000
PriceCellular Wire Series B*
14.000%, 11/15/01........................ 200,000 204,000
------------
487,688
------------
TOTAL CORPORATE BONDS
(Cost $6,324,643)........................................ 6,462,770
------------
- ----------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 15.0%
- ----------------------------------------------------------------------------
U.S.Treasury Notes
6.250%, 08/31/00......................... 1,000,000 988,178
7.500%, 11/15/01......................... 700,000 720,467
7.500%, 05/15/02......................... 1,000,000 1,031,910
7.000%, 07/15/06......................... 1,000,000 1,003,230
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $3,898,393)........................................ 3,743,785
------------
- ----------------------------------------------------------------------------
COMMERCIAL PAPER -- 3.5%
- ----------------------------------------------------------------------------
Associates Corp.
6.75%, 04/01/97
(Cost $860,000).......................... 860,000 860,000
------------
TOTAL INVESTMENTS -- 101.3%
(Cost $23,351,942)....................................... 25,327,714
LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.3%)............ (315,744)
------------
NET ASSETS -- 100.0%....................................... $ 25,011,970
------------
</TABLE>
- ---------------
* Non-Income Producing Security.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
29
<PAGE>
VALUE FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Catherine Somhegyi,
Partner, Chief Investment Officer,
Global Equity Management
Lawrence S. Speidell, CFA,
Partner, Director of Global/Systematic Portfolio
Management and Research
John J. Kane,
Partner, Senior Portfolio Manager, U.S. Systematic
Mark Stuckelman,
Portfolio Manager, U.S. Systematic
GOAL: The Nicholas-Applegate Value Fund seeks to provide total return through
long-term capital appreciation plus dividend income. Holdings reflect a
diversified portfolio comprised predominantly of U.S. companies with larger
market capitalizations.
REVIEW AND OUTLOOK: Record levels of mutual fund inflows and a positive
economic climate helped drive larger-capitalization stocks higher as major
market indexes hit all-time highs between the Fund's inception date on May 1,
1996 and March 31, 1997.
As of June-end 1996, mutual fund flows exceeded $128 billion, which was the
full-year rate set in 1995. Fears of an imminent Federal Reserve Board
tightening dissipated as economic growth, measured by gross domestic product,
dropped to an estimated 2.2% in the quarter ended September 30th from 4.7% the
previous quarter.
Amid this favorable environment, the Nicholas-Applegate Value Fund delivered
solid gains, climbing 26.8% between its inception on May 1, 1996 to March 31,
1997. The Fund outperformed the S&P 500 Index, which was up 18.1%, and the
Russell 1000 Value Index, which was up 17.6%.
In managing the Fund, we initially identify purchase candidates exhibiting
typical value characteristics such as low price-to-book ratio from a universe of
larger-cap U.S. stocks. From this subset, we select holdings meeting our
investment criteria of positive fundamental change, sustainability, and
timeliness.
Holdings in the technology sector contributed significantly to the Fund's
outperformance during the period. Computer-related companies such as Western
Digital and Intel were among the best performing stocks in the Fund. Despite a
wave of selling pressure that dragged technology stocks lower in the most recent
quarter, larger-cap technology shares still finished the fiscal year on a
positive note.
Fund holdings retain both attractive valuations and strong earnings growth
rates. As of March-end, the P/E ratio for holdings in the Nicholas-Applegate
Value Fund was 13 versus 16 for the S&P 500 Index.
We continue to find stocks with attractive P/E ratios and the potential for
strong earnings growth. We are confident that strict adherence to our objectives
and our bottom-up stock selection approach should continue to reward
shareholders with long-term capital appreciation.
REPRESENTATIVE HOLDINGS
Caterpillar
Marathon Group
First Chicago
US West Communications
Intel
Dell Computers
Delta Airlines
Inland Steel Industries
Columbia Gas Systems
Travelers' Group
- --------------------------------------------------------------------------------
30
<PAGE>
VALUE INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
VALUE INSTITUTIONAL PORTFOLIO WITH THE S&P/BARRA INDEX.
TOTAL RETURNS SINCE INCEPTION
As of 03/31/97
26.77%
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE INSTITUTIONAL S&P/BARRA
PORTFOLIO INDEX
<S> <C> <C>
01-May-96 $250000.00 $250000.00
31-May-96 256,600.00 253,775.00
30-Jun-96 263,799.99 252,556.88
30-Jul-96 257,599.98 241,898.98
30-Aug-96 264,799.98 248,575.39
30-Sep-96 278,799.98 259,214.42
30-Oct-96 288,599.96 267,975.87
30-Nov-96 311,580.72 288,476.02
30-Dec-96 310,622.01 283,745.01
30-Jan-97 327,247.44 296,825.66
28-Feb-97 331,245.94 298,992.48
30-Mar-97 316,935.45 288,766.94
</TABLE>
This graph compares a $250,000 investment in the Value Institutional Portfolio
with the S&P/BARRA Index, on a cumulative and average annual total return basis.
All return calculations reflect the reinvestment of income dividends 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 S&P 500/BARRA Value Index is an unmanaged index containing those securities
within the S&P 500 with low price to book ratios. The S&P 500 Index containing
500 industrial, transportation, utility and financial companies and is
considered to be generally representative of the U.S. stock market.
The Index reflects the reinvestment of income dividends 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.
- --------------------------------------------------------------------------------
31
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
VALUE FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------
COMMON STOCKS -- 98.3%
- -------------------------------------------------------------------------------
AEROSPACE -- 1.7%
Northrop Grumman Corp...................... 700 $ 52,938
------------
AIRLINES -- 1.6%
AMR Corp................................... 600 49,500
------------
AUTOMOBILES -- 3.8%
Chrysler Corp.............................. 2,500 75,000
General Motors Corp........................ 800 44,300
------------
119,300
------------
BEVERAGES/SOFT DRINKS -- 1.0%
Coca-Cola Co............................... 600 33,525
------------
BUILDING MATERIALS -- 1.2%
Southdown, Inc............................. 1,100 37,675
------------
CHEMICALS -- 3.0%
Dow Chemical Co............................ 800 64,000
Rohm & Haas Co............................. 400 29,950
------------
93,950
------------
COMPUTER/OFFICE AUTOMATION -- 8.5%
Compaq Computer Corp....................... 800 61,300
Dell Computer Corp......................... 1,000 67,625
E M C Corp. Mass........................... 1,200 42,600
Moore LTD.................................. 2,000 40,000
Western Digital Corp....................... 900 50,963
------------
262,488
------------
DEPT/DISCOUNT STORES -- 2.3%
Dayton Hudson Corp......................... 1,700 70,975
------------
DRUGS/PHARMACEUTICALS -- 5.8%
American Home Products Corp................ 1,000 60,000
Bristol-Myers Squibb Co.................... 600 35,400
Merck & Co., Inc........................... 400 33,700
Schering-Plough Corp....................... 700 50,925
------------
180,025
------------
ELECTRIC UTILITIES -- 5.0%
Central Hudson Gas & Electric.............. 1,300 42,737
Consolidated Edison Co..................... 1,600 48,000
Edison International....................... 1,400 31,500
Entergy Corp............................... 1,300 31,850
------------
154,087
------------
FINANCE COMPANIES -- 1.1%
Fannie Mae................................. 900 32,512
------------
GROCERY PRODUCTS -- 3.7%
ConAgra, Inc............................... 400 21,700
Philip Morris Cos., Inc.................... 800 91,300
------------
113,000
------------
HOME FURNISHINGS -- 1.4%
Kimball International, Inc. Class B........ 1,100 41,800
------------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------
HOME BUILDING -- 1.9%
Continental Homes Holding Corp............. 1,500 $ 24,937
US Home Corp............................... 1,300 32,988
------------
57,925
------------
INTEGRATED OIL COMPANIES -- 4.7%
Exxon Corp................................. 600 64,650
Phillips Petroleum Co...................... 2,000 81,750
------------
146,400
------------
INVESTMENT COMPANIES -- 2.9%
Bear Stearns Cos., Inc..................... 1,470 38,587
Salomon, Inc............................... 1,000 49,875
------------
88,462
------------
LEISURE/GAMING -- 0.8%
International Game Technology.............. 1,500 24,187
------------
MACHINERY/EQUIPMENT -- 4.1%
Caterpillar, Inc........................... 1,100 88,275
Robbins & Myers, Inc....................... 1,400 37,100
------------
125,375
------------
MEDICAL SUPPLIES -- 0.7%
Becton Dickinson & Co...................... 500 22,500
------------
METALS -- 4.9%
Asarco, Inc................................ 1,600 45,000
Inland Steel Industries, Inc............... 1,500 29,250
LTV Corp................................... 2,400 30,300
Timken Co.................................. 900 48,150
------------
152,700
------------
MONEY-CENTER BANKS -- 5.6%
Bankers Trust New York Corp................ 600 49,200
Chase Manhattan Corp....................... 400 37,450
Southtrust Corp............................ 2,400 86,700
------------
173,350
------------
INSURANCE BROKERS/SERVICES -- 0.5%
Sunamerica Inc............................. 400 15,050
------------
MULTI-LINE INSURERS -- 6.7%
Cigna Corp................................. 500 73,062
Providian Corp............................. 1,200 64,200
Travelers Group............................ 1,466 70,185
------------
207,447
------------
OIL/GAS PRODUCTION -- 4.2%
Atlantic Richfield Co...................... 200 27,000
USX Marathon Group......................... 3,700 103,138
------------
130,138
------------
OTHER PRODUCERS/MANUFACTURING -- 1.3%
General Electric Co........................ 400 39,700
------------
PIPELINES -- 1.5%
Columbia Gas System........................ 800 46,300
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
32
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- -------------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCKS -- 98.3% (Continued)
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
PROPERTY-CASUALTY INSURERS -- 2.8%
First American Financial Corp.............. 1,300 $ 48,425
Orion Capital Corp......................... 600 37,050
------------
85,475
------------
REAL ESTATE INVESTMENT TRUSTS -- 3.2%
Public Storage, Inc........................ 1,300 37,700
Reckson Associates Realty Corp............. 1,300 59,963
------------
97,663
------------
REGIONAL BANKS -- 2.8%
First Chicago NBD Corp..................... 1,600 86,600
------------
SEMICONDUCTORS/ELECTRONIC COMPONENTS -- 3.1%
Intel Corp................................. 700 97,344
------------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------
SOFTWARE -- 1.2%
Microsoft Corp............................. 400 $ 36,675
------------
TELEPHONE -- 5.3%
Bell Atlantic Corp......................... 600 36,525
Telefonica de Espana-Sponsored ADR......... 800 57,400
U S West Communications Group.............. 2,100 71,400
------------
165,325
------------
TOTAL COMMON STOCKS
(Cost $2,800,415).......................................... 3,040,391
------------
TOTAL INVESTMENTS -- 98.3%
(Cost $2,800,415).......................................... 3,040,391
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.7%................ 51,042
------------
NET ASSETS -- 100.0%......................................... $ 3,091,433
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
33
<PAGE>
LARGE CAP GROWTH FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Jack C. Marshall, Jr.,
Partner, Chief Investment Officer,
Institutional Equity Management
Andrew B. Gallagher,
Portfolio Manager
Maren Lindstrom,
Portfolio Manager
Thomas J. Sullivan,
Portfolio Manager
GOAL: The Nicholas-Applegate Large Cap Growth Fund seeks to maximize long-term
capital appreciation by investing primarily in U.S. companies generally over $3
billion in market capitalization.
REVIEW AND OUTLOOK: Between its inception on December 27, 1996 and March 31,
1997, the Fund advanced 4.0%. By comparison, the S&P 500 Index climbed 0.7% over
the same period.
For much of the first quarter, larger-cap stocks led the U.S. equity market's
climb to record highs as investors exhibited a preference for a select group of
highly liquid stocks.
The market's narrow advance created a difficult environment for active
portfolio managers. Just 8% of mutual funds matched the performance of the S&P
500 Index in the first quarter. In spite of this challenging market environment,
the Fund delivered better-than-benchmark results.
Stock selection and the Fund's overweighted position among technology stocks
relative to the S&P 500 were the primary contributors to its outperformance in
the period.
Holdings in the energy sector also positively impacted performance. For
example, Diamond Offshore Drilling, benefited from increasing demand for
offshore drilling fueled by rising energy prices. With limited offshore drilling
services available, the company enjoyed an advantageous pricing position.
Our approach to the larger-cap segment of the market reflects our extension of
the same bottom-up, growth-oriented investment philosophy we have applied
firmwide since our inception. We seek companies exhibiting the following
characteristics: positive fundamental change; sustainability of improvement; and
timeliness of investment.
We remain confident the consistent application of our philosophy will generate
favorable long-term returns for our shareholders.
REPRESENTATIVE HOLDINGS
Diamond Offshore Drilling
Delta Air Lines
Ensco International
Monsanto
Tyco International
Qualcomm
Ericsson
American Express
Dayton Hudson
Boeing
- --------------------------------------------------------------------------------
34
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
LARGE CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ------------------------------------------------------------------------
COMMON STOCKS -- 98.9%
- ------------------------------------------------------------------------
AEROSPACE -- 1.5%
Honeywell, Inc............................. 300 $ 20,362
------------
AIRLINES -- 3.2%
Delta Air Lines, Inc....................... 500 42,062
------------
APPAREL -- 1.0%
Nike Inc., Class B......................... 200 12,400
------------
BUILDING MATERIALS -- 1.7%
Sherwin Williams Co........................ 800 21,600
------------
CHEMICALS -- 3.2%
Monsanto Co................................ 1,100 42,199
------------
CONTAINERS -- 2.8%
Crown Cork & Seal Co., Inc................. 700 36,137
------------
DEPARTMENT/DISCOUNT STORES -- 8.6%
Costco Companies, Inc...................... 1,300 35,912
Federated Dept. Stores..................... 1,200 40,074
Dayton Hudson Corp......................... 900 37,575
------------
113,561
------------
DRUGS/PHARMACEUTICALS -- 3.7%
Cardinal Health, Inc....................... 600 32,625
Pfizer Inc................................. 200 16,825
------------
49,450
------------
ENVIRONMENTAL SERVICES -- 5.3%
Republic Industries, Inc................... 900 31,219
USA Waste Services, Inc.................... 1,100 39,050
------------
70,269
------------
FINANCE COMPANIES -- 5.1%
American Express Co........................ 700 42,006
Associate First Capital Corp. Class A...... 600 25,800
------------
67,806
------------
FOOD CHAINS -- 3.1%
Kroger Co.................................. 800 40,600
------------
HOSPITALS -- 6.4%
Columbia HCA Healthcare Corp............... 400 13,450
Healthsouth Corp........................... 1,800 34,425
Tenet Healthcare Corp...................... 1,500 36,938
------------
84,813
------------
MANAGED HEALTH CARE/HMO'S/PPO'S -- 2.9%
United Healthcare Corp..................... 800 38,456
------------
MEDICAL SUPPLIES -- 1.4%
Boston Scientific Corp..................... 300 18,525
------------
OIL REFINING/MARKETING -- 2.6%
Tosco Corp................................. 1,200 34,200
------------
OILFIELD SERVICES/EQUIPMENT -- 3.4%
Diamond Offshore Drilling, Inc............. 300 20,550
ENSCO International, Inc................... 500 24,625
------------
45,175
------------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ------------------------------------------------------------------------
OTHER FINANCIAL SERVICES -- 2.2%
Nationwide Financial Services, Inc. Class
A........................................ 1,100 $ 28,325
------------
OTHER HEALTH TECHNOLOGY/SERVICES -- 2.9%
HBO & Co................................... 800 38,000
------------
OTHER PRODUCERS/MANUFACTURING -- 5.2%
Boeing Co.................................. 300 29,588
Tyco International......................... 700 38,500
------------
68,088
------------
PIPELINES -- 2.5%
Williams Companies, Inc.................... 750 33,375
------------
SEMICONDUCTORS/ELECTRONIC COMPONENTS -- 8.1%
Advanced Micro Devices, Inc................ 700 29,050
Altera Corp................................ 500 21,500
LSI Logic Corp............................. 800 27,800
Micron Technology, Inc..................... 700 28,350
------------
106,700
------------
SOFTWARE -- 5.5%
BMC Software, Inc.......................... 400 18,450
Parametric Technology Co................... 300 13,537
Peoplesoft, Inc............................ 1,000 40,000
------------
71,987
------------
TELECOMMUNICATIONS EQUIPMENT -- 11.0%
Ascend Communications, Inc................. 800 32,600
Ericsson (LM) Tel-Sp ADR Class B........... 1,000 33,813
Nokia Corp.-Sponsored ADR Class A.......... 700 40,775
QUALCOMM, Inc.............................. 700 39,463
------------
146,651
------------
TELECOMMUNICATIONS SERVICES -- 5.6%
Nextel Communications Inc. Class A......... 3,000 40,524
Worldcom, Inc.............................. 1,500 33,000
------------
73,524
------------
TOTAL COMMON STOCKS
(Cost $1,340,005)...................................... 1,304,265
------------
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
- ------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 13.3%
- ------------------------------------------------------------------------
J.P. Morgan & Co., Inc. $176,000 at 6.25%,
(Agreement dated 03/31/97; to be
repurchased at $176,030.56 on 04/01/97;
collateralized by $185,000 United States
Treasury Notes, 7.125% due 04/30/26)
(Value $189,342) (Cost $176,000)......... $ 176,000 176,000
------------
TOTAL INVESTMENTS -- 112.2%
(Cost $1,516,005)...................................... 1,480,265
LIABILITIES IN EXCESS OF OTHER ASSETS -- (12.2%)......... (161,107)
------------
NET ASSETS -- 100%....................................... $ 1,319,158
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
35
<PAGE>
EMERGING COUNTRIES FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Catherine Somhegyi,
Partner, Chief Investment Officer,
Global Equity Management
Lawrence S. Speidell, CFA,
Partner, Director of Global/Systematic Portfolio
Management and Research
Pedro V. Marcal,
Senior Portfolio Manager
Eswar Menon,
Portfolio Manager
Aaron M. Harris,
Portfolio Manager
Ernesto Ramos, Ph.D.,
Senior Portfolio Manager
GOAL: The Nicholas-Applegate Emerging Countries Fund seeks to provide
long-term capital appreciation by investing in companies in developing countries
around the world.
REVIEW AND OUTLOOK: The Nicholas-Applegate Emerging Countries Fund delivered
solid results on the strength of our stock selection in some of the fastest
growing markets around the world.
During the fiscal year, the Fund was up 25.5% versus an 8.3% gain for the MSCI
Emerging Markets Free Index. Indicative of our ability to find top-performing
stocks even in weaker-performing countries, the Fund's holdings in Thailand
gained approximately 17% in 1996 while the overall Thai market fell more than
36%.
Leaders of the world's emerging countries are actively pursuing market
reforms, deregulating their economies, and inviting greater foreign investment.
As a result, a wealth of opportunities are being generated. Amid this dynamic
global environment, our holdings in Russia, China, and Latin America were
especially strong performers during the fiscal year.
In Asia, many export-dependent economies were negatively impacted by slowing
consumption in Europe and Japan. Still, we identified a number of Asian
companies capitalizing on change, including ASE Test Limited, a Taiwan-based
provider of integrated circuit testing services, and Guangnan Holdings, the sole
distributor of live and fresh foodstuffs in Hong Kong. Expanding its operations
to include food distribution in China and the development of a supermarket
chain, Guangnan is poised to benefit from increasing demand for imported foods.
Solid gains among Latin American holdings were also a significant source of
outperformance for the Fund during the period. For example, stock selection in
Brazil, specifically Telecomunicacoes Brasileires, one of the Fund's top
performers, was a positive contributor to the Fund's gains.
We remain optimistic regarding the outlook for emerging countries. Rapid
growth in these regions, combined with Nicholas-Applegate's bottom-up stock
selection process, creates promising opportunities for long-term appreciation.
REPRESENTATIVE HOLDINGS
Telecomunicacoes Brasileires, Brazil
De Beers Centenary, South Africa
Hindalco Industries, India
United Engineers, Malaysia
Corporacion Interamericana de Entretenimiento (CIE), Mexico
Pliva, Croatia
Vina Concha Y Toro, Chile
ASE Test, Taiwan
Siderar, Argentina
Guangnan Holdings, Hong Kong
- --------------------------------------------------------------------------------
36
<PAGE>
EMERGING COUNTRIES INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
EMERGING COUNTRIES INSTITUTIONAL PORTFOLIO WITH THE IFC INVESTABLE INDEX AND THE
MSCI EMERGING MARKETS FREE INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
25.48% As of 03/31/97 15.97%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
EMERGING COUNTRIES IFC INVESTABLE MSCI EMF
PORTFOLIO
INSTITUTIONAL INDEX INDEX
<S> <C> <C> <C>
28-Nov-94 $ 250,000.00 $ 250,000.00 $ 250,000.00
31-Dec-94 $ 237,014.39 $ 211,505.91 $ 218,040.00
31-Mar-95 $ 218,397.55 $ 180,838.10 $ 190,998.80
30-Jun-95 $ 251,427.43 $ 196,620.83 $ 210,822.59
30-Sep-95 $ 267,041.55 $ 195,837.13 $ 209,469.00
31-Dec-95 $ 253,510.76 $ 194,014.21 $ 206,645.60
31-Mar-96 $ 281,857.34 $ 208,606.38 $ 219,517.82
30-Jun-96 $ 310,807.03 $ 217,663.23 $ 228,680.27
30-Sep-96 $ 317,441.35 $ 212,749.10 $ 220,416.86
31-Dec-96 $ 324,696.06 $ 212,185.51 $ 219,117.48
31-Mar-97 $ 353,679.52 $ 232,388.85 $ 237,659.83
</TABLE>
This graph compares a $250,000 investment in the Emerging Countries
Institutional Portfolio with the International Finance Corporation ("IFC")
Investable Index and the MSCI Emerging Markets Free Index ("EMF"), on a
cumulative and average annual total return basis. All return calculations
reflect the reinvestment of income dividends 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 IFC Investable Index is an unmanaged index that measures the performance of
more than 1,100 stocks that are legally and practically available to outside
investors in 25 emerging market countries of the world.
The MSCI EMF is a market capitalization weighted index composed of companies
representative of the market structure of 22 Emerging Market countries in
Europe, Latin America, and the Pacific Basin. The Index excludes closed markets
and those shares in otherwise free markets which are not purchasable by
foreigners.
In future annual reports, Nicholas-Applegate will compare the Emerging Countries
Portfolios only to the MSCI EMF for purposes of showing annualized total
returns. We believe this shift in benchmark measures is appropriate since the
composition of the Fund more closely matches the composition of the MSCI EMF
Index.
Index returns reflect the reinvestment of income dividends 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.
- --------------------------------------------------------------------------------
37
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
EMERGING COUNTRIES FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------------------
COMMON STOCKS -- 91.8%
- --------------------------------------------------------------------------
ARGENTINA -- 5.1%
Bansud S.A................................. 61,000 $ 841,800
Banco Frances Rio Pla -- SP ADR............ 61,600 1,848,000
Compania Naviera Perez Companc S.A. -- B... 220,473 1,708,666
Disco S.A. -- ADR*......................... 19,400 632,925
Importadora y Exportadora de la
Patagonia S.A............................ 29,000 391,500
Siderca S.A................................ 719,900 1,529,788
Siderar S.A.I.C............................ 157,436 543,154
Telefonica De Argentina -- ADR............. 21,500 631,562
-------------
8,127,395
-------------
BRAZIL -- 12.7%
Banco Bradesco S.A......................... 207,408,000 1,697,206
Brazil Realty SA -- GDR.................... 55,100 1,460,150
Centrais Eletricas de Santa Catarina
S.A.*.................................... 307,300 351,349
Centrais Eletricas Brasileiras S.A. --
ADR...................................... 130,700 2,804,299
Companhia Brasileira de Distribuicao Grupo
Pao de Acucar -- ADR..................... 12,400 269,129
Companhia Brasileira de Distribuicao Grupo
Pao de Acucar -- GDR..................... 44,040 955,316
Companhia Energetica de Minas Gerais....... 26,530,000 1,139,364
Companhia Energetica de Minas Gerais PN.... 11,750,000 486,854
Companhia Paulista de Forca e Luz.......... 9,500,000 1,319,569
Itausa Investimentos S.A................... 654,000 556,175
Lojas Arapua S.A........................... 56,300,000 1,298,044
Lojas Renner S.A........................... 27,150,600 1,423,848
Telec de Rio Janeiro S.A.*................. 4,736,000 648,890
Telec de Rio Janeiro S.A. PN............... 5,689,496 779,530
Telecomunicacoes Brasileiras -- ADR........ 40,529 4,149,156
Telecomunicacoes do Parana S.A. --
Preferred................................ 1,200,000 765,378
-------------
20,104,257
-------------
CHILE -- 4.6%
Chilgener S.A. -- ADR...................... 43,800 1,127,850
CIA Telecom de Chile -- ADR................ 30,600 879,750
Laboratorio Chile S.A. -- ADR.............. 51,000 1,115,625
Madeco S.A. -- ADR......................... 45,200 1,199,976
Santa Isabel S.A. -- ADR................... 23,200 600,300
Sociedad Quimica Minera -- A............... 22,100 1,273,512
Vina Concha Y Toro S.A. -- SP ADR.......... 37,800 1,077,300
-------------
7,274,313
-------------
CHINA -- 0.5%
Shenzhen Expressway Co. -- H*.............. 2,428,000 759,847
-------------
COLOMBIA -- 0.4%
Banco Ganadero S.A. -- ADR................. 28,200 715,575
-------------
CROATIA -- 0.2%
Pliva d. d.*............................... 19,900 288,550
-------------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------------------
CZECHOSLOVAKIA REPUBLIC -- 0.9%
CKD Praha Holding A.S.*.................... 13,221 $ 397,539
SPT Telecom A.S.*.......................... 8,900 1,055,155
-------------
1,452,694
-------------
EGYPT -- 0.5%
Helwan Cement.............................. 18,175 427,283
Commercial International Bank of Egypt --
GDR*..................................... 15,905 359,453
-------------
786,736
-------------
GREECE -- 0.9%
Hellenic Bottling Co. S.A.................. 8,520 276,950
Intracom S.A. -- Pref...................... 13,220 311,940
Sarantis S.A............................... 58,400 834,522
-------------
1,423,412
-------------
HONG KONG -- 2.3%
Anhui Gujing Distillery Co.*............... 13,200 20,340
Beijing Datang Power Generation Co.*....... 2,940,000 1,176,182
China Overseas Land & Investment........... 1,257,000 681,318
Guangnan Holdings Ltd...................... 154,000 199,734
Guangnan Holdings Ltd. -- Warrants......... 84,857 47,089
Guangdong Investments Holdings Ltd......... 550,000 472,009
GZI Transportation Ltd.*................... 650,000 381,672
Qingling Motors Co.*....................... 634,000 337,504
Shenzhen Fangda Co. Ltd.................... 230,500 269,206
-------------
3,585,054
-------------
HUNGARY -- 1.0%
Borsodchem Rt.............................. 15,403 569,931
Graboplast Rt.............................. 12,260 549,303
Pick Szeged Rt............................. 6,560 430,359
-------------
1,549,593
-------------
INDIA -- 9.3%
Bharat Heavy Electricals Ltd............... 45,000 366,848
BSES LTD -- GDR*........................... 42,000 850,500
BSES LTD -- GDR 144A*...................... 10,000 202,500
Hindalco Industries Ltd. -- ADR............ 53,200 1,742,300
Hindalco Industries Ltd. -- GDR............ 24,900 815,475
ITC Ltd. -- GDR............................ 66,200 868,875
ITC Ltd. -- 144A........................... 20,500 269,063
Larsen & Toubro Limited -- GDR............. 21,500 306,375
Larsen & Toubro Limited -- GDR............. 29,000 413,250
Mahindra & Mahindra -- GDR*................ 12,500 146,875
Mahindra & Mahindra -- GDR, 144A........... 55,000 646,250
NIIT Ltd................................... 128,000 1,277,146
Oriental Bank of Commerce.................. 418,000 783,459
Punjab Tractors Ltd........................ 25,000 309,365
State Bank of India........................ 125,000 950,216
State Bank of India -- GDR*................ 38,000 872,100
State Bank of India -- GDR, 144A*.......... 25,900 594,405
Tata Engineering & Locomotive Co. Ltd.*.... 114,000 1,390,800
Videsh Sanchar Nigam Ltd. -- GDR, 144A*.... 99,000 1,737,450
Wockhardt Ltd. -- GDR...................... 22,000 167,750
-------------
14,711,002
-------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
38
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCKS (Continued)
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
INDONESIA -- 3.9%
PT Astra International -- Foreign.......... 196,000 $ 639,792
PT Bank Bire -- Foreign.................... 300,000 415,981
PT Bank International Indonesia --
Foreign.................................. 1,723,329 1,309,971
PT Bank International Indonesia -- Foreign
Warrants*................................ 74,962 26,539
PT Bimantara Citra -- Foreign.............. 884,000 1,141,417
PT Hanjaya Mandala Sampoerma -- Foreign.... 67,000 313,948
PT Indofood Sukses Makmur -- Foreign....... 126,000 278,149
PT Sierad Produca -- Foreign*.............. 800,000 274,900
PT Steady Safe Transportation -- Foreign... 340,000 403,603
PT Telekomunikasi Indonesia -- Foreign..... 610,000 933,722
PT Tempo Scan Pacific -- Foreign........... 134,000 276,274
PT Tempo Scan Pacific -- Local............. 48,000 98,964
PT Wicaksana Overseas -- Foreign........... 79,000 102,827
-------------
6,216,087
-------------
IRELAND -- 0.2%
Saville Systems Ireland PLC -- ADR*........ 10,800 310,500
-------------
ISRAEL -- 2.3%
Bank Leumi Le' Israel*..................... 321,143 512,717
Gilat Satellite Networks Ltd.*............. 29,800 901,450
Koor Industries Ltd. -- ADR................ 50,000 900,000
NICE-System, Ltd.*......................... 25,200 516,600
Orbotech Ltd.*............................. 20,600 370,800
Tecnomatix Technologies Ltd.*.............. 19,900 412,925
Teledata Communications Ltd.*.............. 500 9,000
-------------
3,623,492
-------------
KOREA -- 1.1%
Korea Housing Bank......................... 310 5,520
Korea Mobile Telecommunications Corp....... 9,270 821,603
LG Info & Communications Ltd............... 9,179 929,405
Samsung Electronics (New).................. 3 237
-------------
1,756,765
-------------
LUXEMBURG -- 0.5%
First NIS Regional Fund*................... 15,000 236,250
Gujarat Ambuja Cements -- GDR.............. 67,600 523,900
-------------
760,150
-------------
MALAYSIA -- 8.1%
AMMB Holdings BHD.......................... 17,000 146,340
Commerce Asset Holding BHD................. 76,000 533,764
Ekran BHD.................................. 79,000 250,313
Fraser & Neave Holdings BHD................ 148,000 734,773
Hume Industries BHD........................ 188,000 1,062,361
Malayan Banking BHD........................ 137,000 1,562,159
Metroplex BHD.............................. 922,000 1,079,233
Rashid Hussain BHD......................... 73,000 574,571
Road Builder (M) Holdings BHD.............. 94,000 546,357
Sime Darby BHD............................. 423,000 1,545,166
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------------------
</TABLE>
MALAYSIA (CONTINUED)
<TABLE>
<S> <C> <C>
UMW Holdings BHD........................... 410,000 $ 2,267,205
United Engineers Ltd....................... 182,000 1,586,761
YTL Power BHD*............................. 600,000 967,185
-------------
12,856,188
-------------
MEXICO -- 9.7%
Cifra S.A. de C.V. -- A.................... 130,502 177,916
Cifra S.A. de C.V. -- C.................... 1,067,000 1,500,627
Coca-Cola Femsa S.A. -- ADR................ 47,400 1,706,400
Consorcio ARA S.A.*........................ 458,000 1,566,804
Corporacion GEO, S.A. de C.V. -- B*........ 102,000 488,514
Corporacion Interamericana de Entertainment
S.A.*.................................... 415,900 1,460,985
ECE S.A.*.................................. 180,000 248,134
Empresas ICA S.A. -- SP ADR................ 102,500 1,627,188
Fomento Economico Mexicano, S.A. -- B...... 408,000 1,814,482
Gruma S.A.*................................ 192,254 950,004
Grupo Radio Centro S.A. -- ADR............. 115,000 991,935
Panamerican Beverages, Inc. -- Class A..... 28,500 1,528,313
Tablex S.A. de C.V......................... 186,000 659,867
Tubos de Acero de Mexico S.A. -- ADR*...... 36,500 625,062
-------------
15,346,231
-------------
MOROCCO -- 0.6%
Banque Marocaine Commerce -- GDR, 144A*.... 47,000 893,000
-------------
PAKISTAN -- 0.8%
Fauji Fertilizer Company Ltd............... 10,000 19,586
Hub Power Company*......................... 635,000 592,540
Pakistan State Oil Company Ltd............. 35,970 251,287
SUI Northern Gas Pipelines*................ 465,750 348,615
-------------
1,212,028
-------------
PERU -- 2.4%
Cementos Norte Pacasmayo S.A............... 1 2
Compania de Minas Buenaventura S.A......... 60,700 1,305,050
Consorcio Alimentos Fabril Pacifico*....... 247,350 364,989
Consorcio Alimentos Fabril Pacifico --
Rights................................... 22,499 596
Credicorp Ltd.............................. 55,900 1,306,663
Telefonica Del Peru S.A. -- ADR............ 35,000 778,750
-------------
3,756,050
-------------
PHILIPPINES -- 3.7%
Belle Corp.*............................... 1,824,000 581,465
Empire East Land Holdings, Inc.*........... 1,200,000 466,793
Equitable Banking Corp.*................... 30,000 128,994
Far East Bank.............................. 60,800 269,966
Filinvest Land, Inc.*...................... 1,031,000 328,668
Metro Pacific Corp......................... 5,000,000 1,518,027
Metropolitan Bank & Trust Co............... 45,837 1,191,588
Music Semiconductors Corp.*................ 1,149,000 632,277
Selecta Dairy Products, Inc................ 50,000 5,598
Solid Group, Inc.*......................... 2,801,000 744,099
-------------
5,867,475
-------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
39
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997 -- CONTINUED
- --------------------------------------------------------------------------------
EMERGING COUNTRIES FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCKS (Continued)
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
POLAND -- 1.0%
Computerland Poland S.A.*.................. 3,600 $ 113,598
Elektrim Spolda Akcyjna S.A................ 44,600 391,737
National Investment Fund of Poland*........ 20,800 1,082,628
-------------
1,587,963
-------------
PORTUGAL -- 0.9%
Portugal Telecom S.A....................... 9,075 337,905
Sonae Investimentos S.A.................... 10,400 351,276
Telecel Comunicacaoes Pessoais S.A.*....... 8,100 664,053
-------------
1,353,234
-------------
RUSSIA -- 1.3%
Lukoil Holding -- ADR...................... 1,900 107,559
Megionneftegazgeologia -- ADR 144A*........ 70 396,900
Moscow City Tele Network -- RDC 144A*...... 167 233,800
Rostelecom -- ADR 144A*.................... 10 390,000
Rostelecom -- 144A*........................ 50 975,000
-------------
2,103,259
-------------
SINGAPORE -- 0.6%
ASA Ltd.................................... 383,000 477,093
Datacraft Asia Ltd......................... 101,000 214,120
Elec & Eltek International Co. Ltd......... 65,000 301,600
-------------
992,813
-------------
SLOVENIA -- 0.2%
SKB Bank -- 144A*.......................... 9,000 321,750
-------------
SOUTH AFRICA -- 7.0%
Amalg Banks of South Africa................ 99,300 629,149
Barlow Ltd................................. 165,700 1,839,111
De Beers Centenary AG*..................... 54,000 1,967,280
Driefontein Consolidated Ltd............... 125,700 1,140,581
King Food Holdings*........................ 181,500 64,444
Liberty Life Association of Africa Ltd..... 21,655 607,612
South African Breweries Ltd................ 108,500 3,437,196
Vaal Reefs Exploration & Mining Co.,
Ltd...................................... 22,700 1,366,325
-------------
11,051,698
-------------
TAIWAN -- 1.3%
ASE Test Limited*.......................... 15,200 487,254
China Steel Co. -- GDR*.................... 33,825 655,359
ROC Taiwan Fund*........................... 45,000 534,375
Taiwan Fund, Inc........................... 14,450 355,831
-------------
2,032,819
-------------
THAILAND -- 2.6%
Grammy Entertainment PLC -- Foreign........ 67,000 902,617
K.R. Precision Public Co., Ltd. --
Foreign.................................. 95,240 645,198
Nation Multimedia Group PLC -- Foreign..... 250,600 718,618
Pizza Co. Ltd. -- Foreign.................. 21,000 145,092
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------------------
</TABLE>
THAILAND (CONTINUED)
<TABLE>
<S> <C> <C>
PTT Exploration and Production --
Foreign.................................. 76,500 $ 1,136,605
Serm Suk Co., Ltd. -- Local................ 2,000 28,637
Serm Suk Co., Ltd. -- Foreign.............. 9,400 191,763
Thai Engine -- Foreign..................... 52,000 376,289
Thai Farmers Bank -- Warrants*............. 10,250 7,398
-------------
4,152,217
-------------
TURKEY -- 1.0%
Akbank T.A.S............................... 3,513,255 283,128
Arcelik A.S................................ 2,604,000 346,358
Eczacibasi Ilac Sanayi VE TI*.............. 8,166,000 466,410
Global Menkul Degerler A.S.*............... 21,018,000 526,231
Migros Turk T. A. S........................ 25,000 25,917
-------------
1,648,044
-------------
UNITED STATES OF AMERICA -- 2.8%..........................................
Euronet Services, Inc.*.................... 56,300 717,825
Harken Energy Corp......................... 258,900 1,278,319
Pride Petroleum Services, Inc.............. 11,500 238,625
TV Filme, Inc.*............................ 126,800 1,569,150
Vitech America, Inc........................ 52,800 640,200
-------------
4,444,119
-------------
VENEZUELA -- 1.4%
Mavesa SA -- ADR........................... 157,675 1,044,879
Siderurgica Venezolana Sivensa, Saica
S.A.C.A. -- ADR.......................... 395,200 1,136,200
-------------
2,181,079
-------------
TOTAL COMMON STOCKS
(Cost $139,967,199)..................................... 145,245,389
-------------
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
- --------------------------------------------------------------------------
CONVERTIBLE CORPORATE BONDS -- 0.2%
- --------------------------------------------------------------------------
Quingling Motors Ltd.
(Cost $335,000)
3.50%, 01/22/02.......................... $ 335,000 333,744
-------------
- --------------------------------------------------------------------------
COMMERCIAL PAPER -- 1.9%
- --------------------------------------------------------------------------
Associate Corporation of North America
(Cost $3,036,000)
6.75%, 4/1/97............................ 3,036,000 3,036,000
-------------
TOTAL INVESTMENTS -- 93.9%
(Cost $143,338,199)..................................... 148,615,133
OTHER ASSETS IN EXCESS OF LIABILITIES -- 6.1%............. 9,721,751
-------------
NET ASSETS -- 100.0%...................................... $ 158,336,884
-------------
</TABLE>
- ---------------
* Non-Income Producing Security.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
40
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
EMERGING COUNTRIES FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------------------------------------------- -------------
<S> <C>
Agriculture................................. 0.6%
Alcoholic Beverages......................... 4.0
Automotive.................................. 1.8
Beverages/Soft Drinks....................... 2.4
Broadcasting................................ 1.6
Building Materials.......................... 2.4
Chemicals................................... 1.6
Closed End/Country Funds.................... 1.4
Computers/Office Automation................. 0.1
Consumer Electrical......................... 0.7
Consumer Services........................... 0.6
Department/Discount Stores.................. 2.0
Drugs/Pharmaceuticals....................... 1.3
Electric Utilities.......................... 6.3
Electronic Instruments...................... 0.4
Entertainment............................... 1.5
Food Chains................................. 1.8
Grocery Products............................ 2.9
Homebuilding................................ 1.5
Industrial Engineering/Construction......... 2.1
Integrated Oil Companies.................... 1.1
Investment Companies........................ 1.3
Life Insurers............................... 0.4
Machinery/Equipment......................... 1.6
Medical Supplies............................ 0.2
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------------------------------------------- -------------
<S> <C>
Metals...................................... 5.7%
Money Center Banks.......................... 3.6
Oil/Gas Production.......................... 2.4
Oilfield Services/Equipment................. 0.2
Other Commercial/Industrial Services........ 2.0
Other Consumer Services..................... 0.4
Other Financial Services.................... 3.0
Other Transportation........................ 0.2
Other Producers/Manufacturing............... 8.3
Publishing.................................. 0.5
Real Estate Development/Investment.......... 1.8
Regional/Commercial Banks................... 6.7
Restaurants................................. 0.2
Semiconductors/Electric Companies........... 0.7
Soaps/Cosmetics............................. 0.5
Software.................................... 1.3
Telecommunication Equipment................. 1.3
Telecommunication Services.................. 2.9
Telephone................................... 7.1
Tobacco Products............................ 0.4
Water Supply................................ 0.6
Wholesale Distribution...................... 0.6
Short Term Obligations...................... 1.9
Other Assets in Excess of Liabilities....... 6.1
-----
NET ASSETS.................................. 100.0%
-----
-----
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
41
<PAGE>
INTERNATIONAL SMALL CAP GROWTH FUND
(PREVIOUSLY, INTERNATIONAL GROWTH FUND)
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Catherine Somhegyi,
Partner, Chief Investment Officer,
Global Equity Management
Lawrence S. Speidell, CFA,
Partner, Director of Global/Systematic Portfolio
Management and Research
Loretta J. Morris,
Senior Portfolio Manager
Alex Muromcew,
Portfolio Manager
Melisa Grigolite,
Portfolio Manager
Ernesto Ramos, Ph.D,
Senior Portfolio Manager
GOAL: The Nicholas-Applegate International Small Cap Growth Fund seeks to
maximize long-term capital appreciation by investing in equity securities
primarily of non-U.S. companies.
REVIEW AND OUTLOOK: The International Small Cap Growth Fund, previously the
International Growth Fund and renamed to reflect its style and capitalization
range, delivered solid performance on the strength of its superior stock
selection this year.
For the 12-month period ending March 31, 1997, the Fund, up 15.3%, outpaced
its benchmark, the Salomon EPAC/EMI (Europe, Pacific, Asia Composite/Extended
Market Index), down 1.3%.
The most significant contributors to performance were our stock selection and
underweighting in Japan. Economic concerns and the weak showing among banking
and financial services stocks were major factors that led to Japan's overall
market decline during the period. Despite the problems encountered by Japanese
stocks, our bottom-up research continues to uncover promising opportunities in
this country.
On the other side of the globe, the Fund's exposure to export-oriented
European companies positively impacted returns. A strong dollar boosted
performance of the Fund's holdings.
Pent-up demand for new automobile models in Europe helped lead us to companies
such as Bertrand Faure and Porsche. Bertrand Faure's strategy of technical
excellence in producing car seats has opened up new avenues of growth in Europe
and around the world. Porsche, on the other hand, benefited from a cost-cutting
program which resulted in a ten-fold increase in profits. The firm expects to
more than double orders for its new Boxster model.
Stock selection in emerging markets including Mexico, Egypt, Spain, Hungary,
and Taiwan also helped contribute to the Fund's positive performance during the
year.
The Fund's attractive valuations relative to the United States, a favorable
economic environment, as well as excellent opportunities on a stock-by-stock
basis, position us with optimism and confidence for long-term international
investing.
REPRESENTATIVE HOLDINGS
Logitech, Switzerland
Porsche, Germany
Ares-Serono, Switzerland
Sema Group, United Kingdom
Bertrand Faure, France
Datacraft Asia, Singapore
Games Workshop Group, United Kingdom
Qiagen, Netherlands
Tomra Systems, Norway
Ibiden, Japan
- --------------------------------------------------------------------------------
42
<PAGE>
INTERNATIONAL SMALL CAP GROWTH INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
INTERNATIONAL SMALL CAP GROWTH INSTITUTIONAL PORTFOLIO WITH THE MSCI EAFE INDEX
AND THE SALOMON EPAC EMI INDEX.
<TABLE>
<S> <C> <C>
ANNUALIZED TOTAL RETURNS
As of 03/31/97
1 YEAR 5 YEARS SINCE INCEPTION
15.25% 11.50% 5.56%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
INTERNATIONAL SMALL CAP MSCI EAFE SALOMON EPAC
GROWTH INSTITUTIONAL PORTFOLIO INDEX EMI INDEX
<S> <C> <C> <C>
6-07-90 $250,000.00 $250,000.00 $250,000.00
6-30-90 253,508.33 247,788.75 253,375.00
9-30-90 231,247.58 226,878.56 197,004.81
12-31-90 209,211.19 212,365.29 207,595.54
3-31-91 232,916.60 246,674.88 226,284.88
6-30-91 225,592.75 236,605.31 212,795.64
9-30-91 214,702.23 225,314.40 225,827.01
12-31-91 220,956.09 230,115.37 221,428.65
3-31-92 222,705.65 228,362.32 199,182.45
6-30-92 225,491.10 228,635.50 208,235.89
9-30-92 215,074.36 225,535.45 197,668.92
12-31-92 199,945.80 211,467.47 187,284.92
3-31-93 206,967.85 218,955.94 214,853.78
6-30-93 258,884.82 266,144.45 236,985.21
9-30-93 272,863.17 285,805.10 252,308.97
12-31-93 238,402.04 262,807.41 244,111.79
3-31-94 279,780.70 304,737.04 267,336.25
6-30-94 279,984.47 302,234.22 278,219.91
9-30-94 294,452.37 316,771.77 275,454.43
12-31-94 279,984.47 301,761.51 267,145.81
3-31-95 259,723.33 291,152.35 265,142.37
6-30-95 277,882.19 317,011.98 264,344.48
9-30-95 289,236.98 317,813.01 274,867.89
12-31-95 285,933.80 324,059.67 279,947.91
3-31-96 300,952.43 339,652.37 295,856.35
6-30-96 330,318.73 350,378.61 309,413.14
9-30-96 322,612.69 342,804.89 301,482.61
12-31-96 346,843.24 362,197.57 298,064.13
3-31-97 361,267.00 351,932.45 292,165.66
</TABLE>
This graph compares a $250,000 investment in the International Small Cap Growth
Institutional Portfolio with the Morgan Stanley Capital International ("MSCI")
EAFE Index and the Salomon EPAC EMI Index, on a cumulative and average annual
total return basis. All return calculations reflect the reinvestment of income
dividends and capital gains distributions, if any, as well as all fees and
expenses. Performance results reflect the total returns of a predecessor limited
partnership managed by Nicholas-Applegate Capital Management prior to the
effective date of the Portfolio's registration statement which was 12/31/93.
Limited partnership returns are restated to reflect all fees and expenses
applicable to the Portfolio and share class. If the limited partnership had been
registered as an investment company under the federal securities laws, its
performance might have been adversely affected because of the additional
restrictions applicable to registered investment companies.
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 MSCI Europe, Australia, Far East ("EAFE") Index is an unmanaged index that
is a generally accepted benchmark for major overseas markets. The MSCI EAFE
Index weightings represent the relative capitalization of the major overseas
markets included in the index on a U.S. dollar adjusted basis.
The Salomon EPAC Extended Market Index ("EMI") is an unmanaged index. It is a
top-down, float capitalization-weighted index that includes shares of about
2,821 companies in 22 countries excluding Canada and the United States.
Companies within the Index are smaller capitalization companies with available
float market capitalizations greater than U.S. $100 million. Only issues that
are legally and practically available to outside investors are included in the
Index.
The Index reflects the reinvestment of income dividends and capital gains
distributions, if any, but does not reflect fees, brokerage commissions, or
other expenses of investing.
In future reports, Nicholas-Applegate will compare the International Small Cap
Growth Fund only to the Salomon EPAC EMI Index for purpose of showing annualized
total returns. We believe this shift in benchmark measures is appropriate since
the composition of the Fund more closely matches the composition of the Salomon
EPAC EMI.
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.
- --------------------------------------------------------------------------------
43
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
INTERNATIONAL SMALL CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------------------
COMMON STOCKS -- 95.6%
- ---------------------------------------------------------------------------
ARGENTINA -- 1.4%
Banco Frances Del Rio De La Plata S.A.-
ADR...................................... 7,015 $ 210,450
Compania Naviera Perez SA.................. 40,870 316,743
Siderar SA................................. 3,232 11,150
Siderca SA................................. 155,800 331,075
-----------
869,418
-----------
AUSTRALIA -- 0.0%
Australian Gas Light Co., Ltd.............. 1,083 6,155
-----------
BELGIUM -- 0.7%
Barco N.V.................................. 2,465 426,297
-----------
BRAZIL -- 1.5%
Centrais Electricas Brasileiras
S/A-Electrobas........................... 14,500 311,112
Lojas Arapua S.A........................... 2,616,000 60,314
Telecomunicacoes Brasileiras
Sponsored ADR............................ 3,000 307,125
TV Filme, Inc.*............................ 23,900 295,762
-----------
974,313
-----------
CANADA -- 3.1%
Abitibi-Price, Inc......................... 16,100 234,959
Jannock Ltd................................ 32,300 488,538
Prime Resource Group, Inc.................. 54,500 432,629
Royal Bank of Canada....................... 20,600 803,400
-----------
1,959,526
-----------
CHILE -- 0.6%
Quimica Minera SA-ADR...................... 3,300 190,163
Vina Concha Y Toro SA-ADR.................. 6,600 188,100
-----------
378,263
-----------
CZECHOSLOVAKIA -- 0.4%
SPT Telecom AS*............................ 2,300 272,680
-----------
DENMARK -- 0.7%
Novo Nordisk A/S-B......................... 4,200 439,566
-----------
EGYPT -- 0.4%
Commercial International Bank*............. 10,650 240,690
-----------
FINLAND -- 2.8%
Huhtamaki Oy............................... 6,700 326,044
Oy Nokia AB-ADR............................ 7,700 448,525
Raision Tehtaat Oy......................... 10,700 985,681
-----------
1,760,250
-----------
FRANCE -- 6.1%
Bertrand Faure S.A......................... 14,000 714,400
Bouygues Offshore S.A...................... 16,000 426,040
Cap Gemini Sogeti S.A...................... 12,200 741,843
Clarins S.A................................ 3,700 507,436
Lagardere Groupe S.A. (Non-voting)......... 238 7,715
Lagardere Groupe S.A....................... 20,700 671,013
Sidel S.A.................................. 5,320 416,920
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------------------
</TABLE>
FRANCE (CONTINUED)
<TABLE>
<S> <C> <C>
Zodiac S.A................................. 1,300 $ 341,526
-----------
3,826,893
-----------
GERMANY -- 6.9%
Fresenius AG............................... 1,050 230,396
Fresenius Medical AG-ADR*.................. 14,000 364,000
Fresenius Medical Care AG-ADR*............. 6,500 198,250
Gehe AG.................................... 4,500 312,410
Moebel Walthern AG......................... 7,700 408,543
Porsche AG................................. 900 1,033,273
Schmalbach Lubeca AG....................... 2,000 419,664
Sixt AG.................................... 850 509,592
Volkswagen AG.............................. 1,600 882,494
-----------
4,358,622
-----------
HONG KONG -- 1.5%
Dao Heng Bank Group Ltd.................... 96,100 439,028
Guangdong Investments Ltd.................. 275,000 236,004
Qingling Motors Company*................... 449,000 239,021
-----------
914,053
-----------
INDIA -- 1.4%
Hindalco Industries Ltd.................... 10,000 327,500
State Bank of India-GDR*................... 23,800 546,210
-----------
873,710
-----------
INDONESIA -- 0.4%
Bank Negara Indonesia*..................... 442,000 253,137
-----------
IRELAND -- 0.7%
Saville Systems PLC-ADR*................... 16,000 460,000
-----------
ISRAEL -- 0.9%
Gilat Satellite Network-ADR*............... 9,700 293,425
Koor Industries Ltd........................ 7,500 135,000
Tecnomatix Technologies Ltd.*.............. 6,400 132,800
-----------
561,225
-----------
ITALY -- 4.8%
Banca Fideuram SpA......................... 226,000 585,675
Brembo SpA................................. 47,000 614,637
Credito Italiano SpA....................... 456,000 648,302
Pininfarina SpA............................ 46,100 624,991
Telecom Italia Mobile SpA.................. 193,000 555,729
-----------
3,029,334
-----------
JAPAN -- 11.9%
Circle K Japan Co., Ltd.................... 4,680 196,861
Fujikura Co., Ltd.......................... 24,000 171,817
Hokuto Corp................................ 14,300 446,514
Ibiden Co., Ltd............................ 30,000 322,763
Matsumotokiyoshi Co........................ 1,000 29,526
Matsushita Kotobuki Electronics
Industries Ltd........................... 11,000 326,565
Meitec Corp................................ 30,000 601,844
Nichiei Co., Ltd........................... 6,500 504,773
Nidec Corp................................. 14,000 518,686
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
44
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCKS (Continued)
- ---------------------------------------------------------
JAPAN (CONTINUED)
<TABLE>
<S> <C> <C>
Nintendo Corp. Ltd......................... 9,800 $ 703,964
Promise Co., Ltd........................... 11,000 460,929
Rohm Co.................................... 7,000 516,421
Sumitomo Realty & Development.............. 94,000 632,648
Takeda Chemical Industries................. 24,000 502,831
TDK Corp................................... 11,000 756,350
Terumo Corp................................ 55,000 778,596
-----------
7,471,088
-----------
KOREA -- 0.4%
LG Information & Communication Ltd......... 2,500 253,133
-----------
MALAYSIA -- 2.5%
AMMB Holdings BHD.......................... 30,500 262,436
Metroplex BHD.............................. 285,000 333,602
Oriental Holdings BHD...................... 58,000 524,400
United Engineers BHD....................... 50,000 435,923
-----------
1,556,361
-----------
MEXICO -- 2.2%
Cifra SA de CV-A........................... 6,115 8,337
Cifra SA de CV-C........................... 50,000 70,320
Coca-Cola Femsa SA......................... 10,200 367,200
Fomento Economico Mexicano SA de CV........ 100,000 444,726
Gruma SA*.................................. 41,000 202,597
Tubos De Acero De Mexico-ADR*.............. 18,100 309,963
-----------
1,403,143
-----------
NETHERLANDS -- 5.6%
ASM Lithography Holdings N.V.*............. 8,900 692,101
Baan Co., N.V.*............................ 9,700 447,517
ICTS International N.V.*................... 36,800 296,700
IHC Caland N.V............................. 6,500 347,379
International-Muller N.V................... 22,000 672,356
Koninklijke Volker Stevin N.V.............. 1,500 162,409
Oce-Van Der Grinten N.V.................... 3,423 443,279
Qiagen N.V.*............................... 14,500 482,125
-----------
3,543,866
-----------
NORWAY -- 3.7%
Petroleum Geo-Services ASA-ADR*............ 14,400 619,200
Schibsted A/S.............................. 31,400 634,621
Sensonor A/S*.............................. 57,500 550,708
Tomra Systems A/S.......................... 25,800 517,549
-----------
2,322,078
-----------
PAKISTAN -- 0.4%
Fauji Fertilizer Co., Ltd.................. 7,900 15,473
Hub Power Co., Ltd.*....................... 254,000 237,016
-----------
252,489
-----------
PHILIPPINES -- 0.4%
Metropolitan Bank & Trust Co............... 10,000 259,962
-----------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------------------
POLAND -- 0.3%
Elektrim Spolka Akcyjna S.A................ 23,000 $ 202,017
-----------
PORTUGAL -- 0.2%
Portugal Telecom S.A....................... 3,800 141,492
-----------
RUSSIA -- 0.7%
Oil Co. Lukoil-ADR......................... 6,450 365,135
Vimpel-Communications-SP ADR*.............. 1,500 48,000
-----------
413,135
-----------
SINGAPORE -- 4.8%
Datacraft Asia, Ltd........................ 274,000 580,880
Elec & Eltek International Co. Ltd......... 63,400 294,176
Electronic Resources Ltd................... 189,000 274,671
Lindeteves Jacoberg Ltd.................... 425,000 591,176
Singapore Technologies Aerospace Ltd....... 285,000 453,633
Super Coffeemix Manufacturing Ltd.......... 330,000 255,779
Thakral Corp. Ltd.......................... 600,000 561,000
-----------
3,011,315
-----------
SOUTH AFRICA -- 0.8%
King Food Holdings Ltd.*................... 11,200 3,976
Liberty Life Association of Africa Ltd..... 5,558 155,950
South African Breweries Ltd................ 10,300 326,296
-----------
486,222
-----------
SPAIN -- 2.2%
Acerinox SA................................ 4,200 593,078
Tele Pizza SA*............................. 18,000 783,550
-----------
1,376,628
-----------
SWEDEN -- 1.5%
Autoliv AB................................. 8,800 380,520
Lindex AB.................................. 17,000 343,270
Medical Invest Svenska AB*................. 7,000 246,426
-----------
970,216
-----------
SWITZERLAND -- 4.2%
Adecco S.A................................. 2,010 655,328
Ares Serono Group.......................... 630 829,489
Logitech International S.A................. 6,000 1,142,857
-----------
2,627,674
-----------
TAIWAN -- 0.4%
ASE Test, Ltd.*............................ 7,500 239,063
-----------
THAILAND -- 0.7%
K.R. Precision Public Co. -- Foreign....... 19,660 133,186
PTT Exploration & Production Ltd........... 20,000 297,152
Thai Farmers Bank Public Co., Ltd.......... 3,250 21,141
-----------
451,479
-----------
UNITED KINGDOM -- 16.9%
Airtours PLC............................... 36,200 587,451
Avis Europe PLC*........................... 250,000 544,906
Berkeley Group (The) PLC................... 30,700 364,873
Biocompatibles International PLC*.......... 28,000 558,478
British Aerospace PLC...................... 24,855 557,896
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
45
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997 -- CONTINUED
- --------------------------------------------------------------------------------
INTERNATIONAL SMALL CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCKS (Continued)
- ---------------------------------------------------------
UNITED KINGDOM (CONTINUED)
<TABLE>
<S> <C> <C>
Capita Group PLC........................... 59,000 $ 684,238
Caradon PLC................................ 134,100 552,589
D.F.S. Furniture Co., PLC.................. 64,000 600,622
Doncasters PLC*............................ 10,000 193,750
Dr. Solomon's Group PLC*................... 17,400 382,800
Freepages Group PLC*....................... 881,000 666,653
Games Workshop Group PLC................... 50,000 534,625
GKN PLC.................................... 215 3,539
Goldsmiths Group PLC....................... 75,000 479,312
Granada Group PLC.......................... 28,000 422,601
Iona Technologies PLC-ADR*................. 25,000 450,000
Logica PLC................................. 36,000 569,400
PizzaExpress PLC........................... 54,900 658,815
Professional Staff PLC-ADR*................ 28,000 241,500
Sema Group PLC............................. 32,000 723,800
Siebe PLC.................................. 1 17
WPP Group PLC.............................. 106,200 442,862
Zagrebacka Banka-GDR*...................... 12,400 392,150
-----------
10,612,877
-----------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------------------
UNITED STATES OF AMERICA -- 1.1%
Rofin-Sinar Technologies, Inc.*............ 46,000 $ 672,750
-----------
VENEZUELA -- 0.4%
Mavesa SA-ADR.............................. 38,460 254,798
-----------
TOTAL COMMON STOCKS
(Cost $53,668,875).......................................
60,125,918
-----------
- ---------------------------------------------------------------------------
RIGHTS/WARRANTS -- 0.0%
- ---------------------------------------------------------------------------
MALAYSIA
AMMB Holdings BHD-Rights
(Cost $0)................................ 63,000 --
-----------
TOTAL INVESTMENTS -- 95.6%
(Cost $53,668,875).......................................
60,125,918
OTHER ASSETS IN EXCESS OF LIABILITIES -- 4.4%..............
2,760,626
-----------
NET ASSETS -- 100.0%.......................................
$62,886,544
-----------
</TABLE>
- ------------
* Non-Income Producing Security.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
46
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
INTERNATIONAL SMALL CAP GROWTH FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------------------------------------------- -------------
<S> <C>
Advertising................................. 0.7%
Aerospace................................... 1.9
Agriculture................................. 1.1
Alcoholic Beverages......................... 1.5
Automotive.................................. 5.3
Automotive Equipment........................ 3.0
Beverages/Soft Drinks....................... 0.6
Biotechnology............................... 2.8
Broadcasting................................ 0.5
Building Materials.......................... 2.1
Chemicals................................... 0.3
Clothing Chains............................. 0.5
Computers/Office Automation................. 3.4
Consumer Electrical......................... 1.4
Containers.................................. 0.7
Department/Discount Stores.................. 0.1
Drugs/Pharmaceuticals....................... 1.3
Electric Utilities.......................... 0.9
Electronic Instruments...................... 0.8
Finance Companies........................... 1.5
Food Chains................................. 0.4
Gas Utilities............................... 0.1
Grocery Products............................ 2.9
Home Furnishings............................ 1.5
Homebuilding................................ 0.6
Industrial Engineering/Construction......... 1.9
Integrated Oil companies.................... 0.5
Investment Companies........................ 0.4
Life Insurers............................... 0.2
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------------------------------------------- -------------
<S> <C>
Machinery/Equipment......................... 3.8%
Medical Supplies............................ 3.5
Metals...................................... 2.7
Money Center Banks.......................... 2.1
Oil/Gas Production.......................... 1.1
Oilfield Services/Equipment................. 2.2
Other Commercial/Industrial Services........ 3.5
Other Consumer Services..................... 2.4
Other Financial Services.................... 1.3
Other Health Services....................... 0.3
Other Production/Manufacturing.............. 1.4
Other Technology............................ 1.1
Paper....................................... 0.4
Publishing.................................. 2.1
Real Estate Development/Investment.......... 1.5
Recreational Products....................... 2.6
Regional/Commercial Banks................... 3.9
Rental/Leasing Companies.................... 1.7
Restaurants................................. 2.3
Semiconductors/Electric Companies........... 5.5
Soaps/Cosmetics............................. 0.8
Software.................................... 5.3
Specialty Chains............................ 0.8
Telecommunication Equipment................. 1.2
Telecommunication Services.................. 0.1
Telephone................................... 2.0
Wholesale Distribution...................... 1.1
Other Assets in Excess of Liabilities....... 4.4
-----
NET ASSETS.................................. 100.0%
-----
-----
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
47
<PAGE>
INTERNATIONAL CORE GROWTH FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Catherine Somhegyi,
Partner, Chief Investment Officer,
Global Equity Management
Lawrence S. Speidell, CFA,
Partner, Director of Global/Systematic Portfolio
Management and Research
Loretta J. Morris,
Senior Portfolio Manager
Alex Muromcew,
Portfolio Manager
Melisa Grigolite,
Portfolio Manager
Ernesto Ramos, Ph.D,
Senior Portfolio Manager
GOAL: The Nicholas-Applegate International Core Growth Fund seeks to maximize
long-term capital appreciation by investing primarily in equity securities of
international companies.
REVIEW AND OUTLOOK: Between its inception on December 27, 1996 and March 31,
1997, the Fund gained 13.0% versus a 1.2% increase in the Morgan Stanley Capital
International (MSCI) Europe, Australasia, Far East (EAFE) + Emerging Markets
Free (EMF) Index. The Fund invests in companies within the top 75% of each
country's market capitalization spectrum.
Stock selection, especially in Scandinavia, exposure to emerging countries,
and the Fund's underweighted position in Japan, relative to the Index,
contributed to outperformance during the period.
Among the top-performing holdings was Ares-Serono, a Swiss drug company which
focuses on the production of infertility drugs, growth hormones, and new drugs
to treat multiple sclerosis (MS) and AIDS. The company has a 70% market share in
infertility drugs. Strong top-line growth is expected from the introduction of
new drugs and from expanding margins due to new high-price products and
economies of scale.
Another strong performer was Volkswagen, the German auto maker. Pent-up demand
for new automobile models in Europe contributed to Volkswagen's recent
appreciation.
On March 31, more than 12% of the Fund was invested in emerging countries.
Solid gains among holdings in Latin America positively impacted returns during
the period. Factors such as political shifts to democratic rule, coupled with
economic reforms, have encouraged privatization and foreign investments that are
expected to further accelerate the region's rapid growth rate. In Brazil, for
example, ongoing economic development plans continue to create a more favorable
investment environment.
We remain optimistic regarding the outlook for international investing. With
expectations for sustained economic growth worldwide, we are confident that the
application of our bottom-up, growth-oriented investment philosophy will reward
shareholders with solid returns.
REPRESENTATIVE HOLDINGS
Ares-Serono, Switzerland
ASE Test, Taiwan
ASM Lithography, The Netherlands
Volkswagen, Germany
Pininfarina, Italy
Ibiden, Japan
Portugal Telecom, Portugal
Banco Central Hispanoame, Spain
Cap Gemini, France
Sony, Japan
- --------------------------------------------------------------------------------
48
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
INTERNATIONAL CORE GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
COMMON STOCKS -- 97.6%
- ----------------------------------------------------------------------------
ARGENTINA -- 1.4%
Perez Companc S.A.......................... 2,400 $ 18,600
Siderca S.A................................ 12,200 25,925
Telefonica de Argentina S.A. -- ADR........ 700 20,563
------------
65,088
------------
BRAZIL -- 2.0%
Telecomunicacoes Brasileiras S/A -- ADR.... 900 92,138
------------
BELGIUM -- 1.0%
Banque Bruxelles Lambert SA................ 200 45,110
------------
CANADA -- 3.5%
Canadian Imperial Bank of Commerce......... 1,800 40,699
Northern Telecom Ltd....................... 700 45,762
Royal Bank of Canada....................... 1,400 54,600
Stone Consolidated Corp.*.................. 1,600 23,182
------------
164,243
------------
CHILE -- 0.4%
Laboratorio Chile -- ADR................... 1,000 21,875
------------
CHINA -- 1.2%
Shenzhen Expressway Co.*................... 180,000 56,331
------------
DENMARK -- 1.8%
Novo Nordisk A/S -- B...................... 800 83,727
------------
FINLAND -- 2.4%
Oy Nokia Corp AB -- ADR.................... 650 37,860
Raision Tehtaat OY......................... 800 73,696
------------
111,556
------------
FRANCE -- 6.6%
Cap Gemini Sogeti S.A...................... 1,400 85,130
Clarins.................................... 300 41,143
Lagardere Groupe S.A....................... 1,925 62,401
Promodes................................... 130 44,109
SGS-Thomson Microelectronics NV*........... 300 21,106
Schneider S.A.............................. 1,000 56,591
------------
310,480
------------
GERMANY -- 7.4%
BASF AG.................................... 1,750 67,041
Bayerische Motoren Werke AG................ 50 40,887
Daimler Benz AG............................ 1,150 92,800
Fresenius Medical Care AG*................. 1,150 35,075
Volkswagen AG.............................. 200 110,312
------------
346,115
------------
HONG KONG -- 4.3%
Beijing Datang Power Generation Co. Ltd.*.. 260,000 104,016
Hong Kong Telecommunications Ltd........... 11,600 19,835
HSBC Holdings Ltd.......................... 1,000 23,230
Hutchison Whampoa Ltd...................... 3,000 22,552
Qingling Motors*........................... 56,000 29,811
------------
199,444
------------
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
INDIA -- 1.5%
Videsh Sanchar Nigam Ltd.*................. 4,000 $ 70,200
------------
IRELAND -- 1.8%
Bank of Ireland............................ 1,000 9,996
Elan Corp. PLC............................. 500 17,062
Saville Systems PLC*....................... 2,000 57,500
------------
84,558
------------
ISRAEL -- 0.6%
Tecnomatix Technologies Ltd.*.............. 1,500 31,125
------------
ITALY -- 4.6%
Banca Fideuram SpA......................... 25,000 64,787
Credito Italiano SpA....................... 31,000 44,073
Pininfarina SpA............................ 5,000 67,787
Seat SpA................................... 4,000 1,392
Telecom Italia Mobile SpA.................. 13,300 38,296
------------
216,335
------------
JAPAN -- 10.5%
Familymart................................. 1,000 37,777
Ibiden Co., Ltd............................ 2,000 21,518
Kawasaki Heavy Industrial, Ltd............. 5,000 19,455
Mitsui Fudosan Co., Ltd.................... 3,000 31,063
Nichiei Co. Ltd............................ 400 31,063
Nintendo Co., Ltd.......................... 700 50,283
Orix Corp.................................. 1,000 44,087
Promise Co., Ltd........................... 1,200 50,283
Sony Corp.................................. 600 41,983
TDK Corp................................... 1,000 68,759
Terumo Corp................................ 3,000 42,469
Toyota Motor Corp.......................... 2,000 50,639
------------
489,379
------------
MALAYSIA -- 4.6%
AMMB Holdings BHD.......................... 4,400 36,585
Malayan Banking BHD........................ 2,000 22,805
Metroplex BHD.............................. 18,800 22,006
Oriental Holdings BHD...................... 4,000 36,166
Sime Darby BHD............................. 4,000 14,612
YTL Power International BHD*............... 52,400 84,601
------------
216,775
------------
MEXICO -- 3.1%
Coca-Cola Femsa S.A. -- ADR................ 800 28,800
ECE S.A.*.................................. 30,000 41,356
Empresas ICA Sociedad...................... 2,400 38,100
Tubos de Acero De Mexico -- ADR*........... 2,200 37,675
------------
145,931
------------
NETHERLANDS -- 4.9%
Aegon NV................................... 450 31,706
ASM Lithography Holding NV*................ 600 46,659
Baan Corp. NV*............................. 1,180 54,440
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
49
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997 -- CONTINUED
- --------------------------------------------------------------------------------
INTERNATIONAL CORE GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCKS (Continued)
- ---------------------------------------------------------
NETHERLANDS (CONTINUED)
<TABLE>
<S> <C> <C>
IHC Caland NV.............................. 750 $ 40,082
Oce-Van Der Grinten NV..................... 420 54,390
------------
227,277
------------
NORWAY -- 2.8%
Petroleum Geo-Services ASA -- ADR*......... 1,450 62,350
Schibsted A/S.............................. 3,300 66,696
------------
129,046
------------
PHILIPPINES -- 1.8%
Equitable Banking Corp.*................... 20,000 85,996
------------
PORTUGAL -- 0.9%
Portugal Telecom S.A....................... 1,150 42,820
------------
RUSSIA -- 0.7%
Lukoil Oil Co. -- ADR...................... 550 31,136
------------
SINGAPORE -- 1.2%
DBS Land Ltd............................... 6,000 20,512
Parkway Holdings Ltd....................... 5,000 19,031
United Overseas Bank Ltd................... 1,800 18,436
------------
57,979
------------
SOUTH AFRICA -- 1.0%
South African Breweries.................... 1,500 47,519
------------
SPAIN -- 0.9%
Banco Central Hispanoamericano S.A......... 1,500 39,815
------------
SWEDEN -- 1.9%
NetCom Systems AB*......................... 3,000 44,237
Telefonaktiebolaget LM Ericsson -- B....... 1,200 42,404
------------
86,641
------------
SWITZERLAND -- 5.1%
Adecco SA Cheserex......................... 110 35,864
Ares-Seron Group........................... 60 78,999
Novartis AG................................ 20 24,831
Roche Holding AG........................... 10 86,514
Swiss Reinsurance Corp..................... 10 10,636
------------
236,844
------------
TAIWAN -- 0.5%
ASE Test Ltd.*............................. 700 22,312
------------
UNITED KINGDOM -- 14.9%
Airtours PLC............................... 4,400 71,403
Avis Europe PLC*........................... 35,000 76,287
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
</TABLE>
UNITED KINGDOM (CONTINUED)
<TABLE>
<S> <C> <C>
Bank of Ireland............................ 2,000 $ 19,987
Berkeley Group PLC......................... 6,000 71,311
British Aerospace PLC...................... 3,100 69,583
British Airways PLC........................ 4,900 52,836
Caradon PLC................................ 11,900 49,037
Compass Group PLC.......................... 4,000 43,263
Ladbroke Group PLC......................... 21,700 80,317
Pearson PLC................................ 2,000 23,984
Sema Group PLC............................. 3,000 67,856
WPP Group PLC.............................. 16,500 68,806
------------
694,670
------------
UNITED STATES OF AMERICA -- 2.3%
ITC Limited................................ 3,400 44,625
TDK Corp................................... 900 60,525
------------
105,150
------------
TOTAL COMMON STOCKS
(Cost $4,498,875)........................................ 4,557,615
------------
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
- ----------------------------------------------------------------------------
CONVERTIBLE BONDS -- 1.7%
- ----------------------------------------------------------------------------
UTILITIES (ELECTRIC)
First Pacific Capital 144A
2.00%, 03/27/02
(Cost $78,000)........................... $ 78,000 77,805
------------
- ----------------------------------------------------------------------------
COMMERCIAL PAPER -- 6.9%
- ----------------------------------------------------------------------------
Associates Corp. -- 2.8%
6.75%, 04/01/97.......................... 130,000 130,000
Merrill Lynch -- 4.1%
6.35%, 04/01/97.......................... 194,000 194,000
------------
TOTAL COMMERCIAL PAPER
(Cost $324,000).......................................... 324,000
------------
TOTAL INVESTMENTS -- 106.2%
(Cost $4,900,875)........................................ 4,959,420
LIABILITIES IN EXCESS OF OTHER ASSETS -- (6.2%)............ (290,544)
------------
NET ASSETS -- 100.0%....................................... $ 4,668,876
------------
</TABLE>
- ------------
* Non-Income Producing Security.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
50
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
INTERNATIONAL CORE GROWTH FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------------------------------------------- -------------
<S> <C>
Advertising................................. 1.5%
Aerospace................................... 1.5
Airlines.................................... 1.1
Alcoholic Beverages......................... 1.0
Automotive.................................. 9.3
Beverages/Soft Drinks....................... 0.6
Biotechnology............................... 3.6
Building Materials.......................... 0.8
Chemicals................................... 1.4
Computers/Office Automation................. 1.2
Consumer Electrical......................... 0.9
Drugs/Pharmaceuticals....................... 3.3
Electric Utilities.......................... 2.2
Finance Companies........................... 2.0
Food Chains................................. 1.5
Grocery Products............................ 1.6
Homebuilding................................ 1.5
Industrial Engineering/Construction......... 0.8
Integrated Oil Companies.................... 0.4
Leisure/Gaming.............................. 1.7
Machinery/Equipment......................... 2.7
Medical Supplies............................ 0.9
Metals...................................... 0.6
Money Center Banks.......................... 3.5
Multi-Line Insurers......................... 0.9
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------------------------------------------- -------------
<S> <C>
Oil/Gas Production.......................... 0.7%
Oilfield Services/Equipment................. 2.2
Other Commercial/Industrial Services........ 5.6
Other Consumer Services..................... 1.5
Other Financial Services.................... 2.2
Other Health Services....................... 0.8
Other Production/Manufacturing.............. 0.9
Paper....................................... 0.5
Publishing.................................. 3.3
Real Estate Development/Investment.......... 1.6
Recreational Products....................... 1.1
Regional/Commercial Banks................... 5.2
Rental/Leasing Companies.................... 2.6
Restaurants................................. 0.9
Semiconductors/Electric Companies........... 3.8
Soaps/Cosmetics............................. 0.9
Software.................................... 6.3
Telecommunication Equipment................. 2.7
Telecommunication Services.................. 1.6
Telephone................................... 5.5
Tobacco Products............................ 1.1
Water Supply................................ 1.8
Short Term Obligations...................... 6.9
Liabilities in Excess of Other Assets....... (6.2)
-----
NET ASSETS.................................. 100.0%
-----
-----
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
51
<PAGE>
WORLDWIDE GROWTH FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Catherine Somhegyi,
Partner, Chief Investment Officer,
Global Equity Management
Lawrence S. Speidell, CFA,
Partner, Director of Global/Systematic Portfolio
Management and Research
John J. Kane,
Partner, Senior Portfolio Manager
Loretta J. Morris,
Senior Portfolio Manager
Melisa Grigolite,
Portfolio Manager
Ernesto Ramos, Ph.D,
Senior Portfolio Manager
GOAL: The Nicholas-Applegate Worldwide Growth Fund seeks to maximize long-term
capital appreciation by investing in growth stocks of U.S. and international
companies.
REVIEW AND OUTLOOK: The Worldwide Growth Fund delivered solid performance on
the strength of stock selection this year, outperforming its benchmark, the MSCI
World Index. For the 12-month period ending March 31, 1997, the Fund posted a
13.2% gain versus a 9.4% return for the benchmark.
The Fund seeks a strategic mix of overseas and domestic stocks, based on
Nicholas-Applegate's global, bottom-up selection process.
Approximately 25% weighted in the United States, the Fund gained substantial
returns from holdings such as Merck & Co., a pharmaceutical company which
thrives on its ongoing heart research program, as well as the success of drugs
such as Aggrastat, which treats coronary syndromes, and Propecia, which treats
male pattern baldness. The Travelers Group, a U.S.-based financial services
company, was another strong contributor to the Fund's performance.
Nicholas-Applegate's stock selection strategy, coupled with the Fund's
underweighting in Japan, significantly boosted performance during the period.
Our bottom-up approach resulted in reduced exposure to Japanese equities, as
economic concerns and the weak showing among banking and financial services
stocks took their toll on the Japanese market during the year.
European export-oriented companies, in which the Fund invested, benefited
primarily from the strength of the dollar. Pent-up demand for new automobile
models in Europe led us to companies such as Porsche, whose cost-cutting program
resulted in a ten-fold rise in profits.
Other strong contributors to the Fund were AXA, a French company which has
become one of the world's leading insurance firms since its merger with UAP, and
Cap Gemini, a German computer services firm which continues to show promising
growth potential.
Stock selection in emerging markets including Mexico, Egypt, Spain, Hungary,
and Taiwan, also helped the Fund's positive performance for the year.
In light of today's favorable economic environment and our ability to identify
what we believe are the best individual stock opportunities around the world, we
remain optimistic regarding the outlook for long-term global growth investing.
REPRESENTATIVE HOLDINGS
Volkswagen, Germany
Ares-Serono, Switzerland
Intel, United States
Merck, United States
ASE Test, Taiwan
Novo-Nordisk, Denmark
TDK, Japan
Petroleum Geo Services, Norway
Travelers Group, United States
Telecomunicacoes Brasileires, Brazil
- --------------------------------------------------------------------------------
52
<PAGE>
WORLDWIDE GROWTH INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
WORLDWIDE GROWTH INSTITUTIONAL PORTFOLIO WITH THE MSCI WORLD INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
13.18% As of 03/31/97 10.72%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WORLDWIDE GROWTH MSCI WORLD
INSTITUTIONAL
PORTFOLIO INDEX
<S> <C> <C>
01-Oct-93 $250,000.00 $250,000.00
31-Dec-93 250,600.00 254,061.23
31-Mar-94 263,000.00 255,609.44
30-Jun-94 258,600.00 263,296.68
30-Sep-94 272,200.00 268,946.15
31-Dec-94 258,091.09 267,012.17
31-Mar-95 262,104.94 279,072.01
30-Jun-95 277,357.61 290,978.78
30-Sep-95 303,648.39 306,816.19
31-Dec-95 297,700.90 321,380.29
31-Mar-96 315,501.56 334,459.71
30-Jun-96 337,394.33 344,170.41
30-Sep-96 337,803.52 348,762.29
31-Dec-96 352,799.84 364,721.36
31-Mar-97 357,071.62 365,767.30
</TABLE>
This graph compares a $250,000 investment in the Worldwide Growth Institutional
Portfolio with the Morgan Stanley Capital International ("MSCI") World Index, on
a cumulative and average annual total return basis. All return calculations
reflect the reinvestment of income dividends 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.
MSCI World Index consists of more than 1,400 securities listed on exchanges in
the U.S., Europe, Canada, Australia, New Zealand, and the Far East. The Index is
a market-value weighted combination of countries and is unmanaged.
The Index reflects the reinvestment of income dividends 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.
- --------------------------------------------------------------------------------
53
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
WORLDWIDE GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
COMMON STOCKS -- 98.9%
- ----------------------------------------------------------------------------
ARGENTINA -- 1.2%
Banco Frances del Rio de la Plata SA --
ADR...................................... 9,800 $ 294,000
Perez Companc SA........................... 42,715 331,041
Siderar SA................................. 7,728 26,662
Siderca SA................................. 193,200 410,550
Telefonica de Argentina SA -- ADR.......... 8,000 235,000
------------
1,297,253
------------
AUSTRALIA -- 0.0%
Australian Gas & Light Co., Ltd............ 3,170 18,016
------------
BRAZIL -- 1.4%
Centrais Electricas Brasileiras SA -- ADR.. 25,000 536,400
Lojas Arapua S.A........................... 4,383,000 101,054
Telecomunicacoes Brasileiras S/A-Telebras
-- ADR................................... 4,800 491,400
TV Filme, Inc. ADR*........................ 27,100 335,362
------------
1,464,216
------------
CANADA -- 2.7%
Canadian Imperial Bank of Commerce......... 44,000 994,871
Northern Telecom Ltd....................... 10,000 653,750
Royal Bank of Canada....................... 28,600 1,115,400
------------
2,764,021
------------
CHILE -- 0.6%
Quimica Minera Chile SA -- ADR............. 5,600 322,700
Vina Concha Y Toro -- ADR.................. 10,400 296,400
------------
619,100
------------
CZECH REPUBLIC -- 0.5%
SPT Telecom AS*............................ 4,000 474,227
------------
DENMARK -- 0.6%
Novo Nordisk A/S -- B...................... 5,740 600,740
------------
EGYPT -- 0.5%
Commercial International Bank*............. 21,355 482,623
------------
FINLAND -- 2.6%
Metsa-Serla Oy -- B........................ 60,600 436,888
Oy Nokia Corp. AB -- ADR................... 16,200 943,650
Raision Tehtaat Oy......................... 14,300 1,317,312
------------
2,697,850
------------
FRANCE -- 4.7%
AXA-UAP.................................... 8,000 530,484
Bouygues Offshore SA....................... 24,000 639,060
Cap Gemini Sogeti SA....................... 18,000 1,094,523
Lagardere Groupe SA (Non Trading).......... 377 12,221
Lagardere Groupe SA........................ 36,200 1,173,462
Promodes SA................................ 2,000 677,883
SGS-Thomson Microelectronics N.V.*......... 10,000 703,535
------------
4,831,168
------------
GERMANY -- 6.1%
BASF AG.................................... 40,000 1,532,374
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
</TABLE>
GERMANY (CONTINUED)
<TABLE>
<S> <C> <C>
Bayerische Motoren Werke AG................ 1,000 $ 817,746
Daimler Benz AG............................ 20,000 1,613,909
Fresenius AG............................... 2,935 644,010
Volkswagen AG.............................. 3,200 1,764,988
------------
6,373,027
------------
HONG KONG -- 2.4%
Guangdong Investments Ltd.................. 600,000 514,918
HSBC Holdings Ltd.*........................ 22,400 520,339
Hutchison Whampoa Ltd...................... 74,000 556,280
Qingling Motors Company*................... 695,000 369,977
Sun Hung Kai Properties Ltd................ 49,000 518,532
------------
2,480,046
------------
INDIA -- 1.2%
Bombay Suburban Electric Supply Co. Ltd.... 60,000 332,776
HDFC Bank Ltd.*............................ 250,000 323,997
State Bank of India*....................... 24,400 559,980
------------
1,216,753
------------
INDONESIA -- 0.4%
PT Bank Negara Indonesia*.................. 650,000 372,260
------------
IRELAND -- 1.5%
Elan Corp. PLC -- ADR*..................... 22,000 750,750
Saville Systems PLC*....................... 27,400 787,750
------------
1,538,500
------------
ISRAEL -- 0.8%
Gilat Satellite Networks*.................. 12,400 375,100
Koor Industries Ltd........................ 12,500 225,000
Tecnomatix Technologies Ltd.*.............. 12,000 249,000
------------
849,100
------------
ITALY -- 2.9%
Banca Fideuram SpA......................... 360,000 932,933
Credito Italiano SpA....................... 803,000 1,141,638
Telecom Italia Mobile SpA.................. 322,300 928,038
------------
3,002,609
------------
JAPAN -- 11.9%
Advantest Corp............................. 16,390 827,322
Bank of Tokyo-Mitsubishi................... 2,000 31,225
Bridgestone Corp........................... 40,000 750,688
Canon, Inc................................. 30,000 643,100
Fujitsu, Ltd............................... 58,000 591,166
Hirose Electric............................ 11,000 604,190
Honda Motor Co., Ltd....................... 20,000 596,991
Ibiden Co., Ltd............................ 50,000 537,939
Mitsui Fudosan Co., Ltd.................... 47,000 486,653
Nichiei Co., Ltd........................... 10,000 776,573
Nintendo Co., Ltd.......................... 10,800 775,797
Orix Corp.................................. 16,000 705,387
Promise Co., Ltd........................... 22,000 921,857
Sony Corp.................................. 16,000 1,119,560
TDK Corp................................... 19,000 1,306,423
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
54
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCKS (Continued)
- ---------------------------------------------------------
JAPAN (CONTINUED)
<TABLE>
<S> <C> <C>
Terumo Corp................................ 80,000 $ 1,132,503
Toyota Motor Corp.......................... 20,000 506,390
------------
12,313,764
------------
MALAYSIA -- 2.2%
AMMB Holdings BHD.......................... 42,500 366,584
Malayan Banking BHD........................ 33,000 376,287
Metroplex BHD.............................. 500,000 585,267
Sime Darby BHD............................. 57,000 208,214
UMW Holdings BHD........................... 61,000 337,316
United Engineers BHD....................... 50,000 435,923
------------
2,309,591
------------
MEXICO -- 2.0%
Cifra SA de CV -- Series A................. 14,676 20,008
Cifra SA de CV -- Series C................. 120,000 168,768
Coca-Cola Femsa S.A. -- ADR................ 17,200 619,200
Fomento Economico Mexicano SA de CV........ 140,000 622,616
Gruma SA -- B*............................. 69,000 340,957
Tubos de Acero De Mexico -- ADR*........... 22,000 376,750
------------
2,148,299
------------
NETHERLANDS -- 2.8%
Baan Co., N.V.*............................ 19,300 861,263
IHC Caland NV.............................. 12,900 689,413
Koninklijke Volker Stevin NV-CVA........... 5,400 584,671
Oce-Van Der Grinten NV..................... 5,955 771,174
------------
2,906,521
------------
NORWAY -- 2.7%
Petroleum Goe-Services ASA -- ADR*......... 26,300 1,130,900
Schibsted A/S.............................. 37,000 747,802
Tomra Systems A/S.......................... 44,500 892,671
------------
2,771,373
------------
PAKISTAN -- 0.2%
Fauji Fertilizer Co. Ltd................... 7,900 15,473
Hub Power Co.*............................. 254,000 237,016
------------
252,489
------------
PHILLIPPINES -- 0.4%
Metropolitan Bank & Trust Co............... 15,000 389,943
------------
POLAND -- 0.2%
Elektrim Spolka Akcyjna SA................. 26,800 235,393
------------
PORTUGAL -- 0.3%
Portugal Telecom SA........................ 9,600 357,453
------------
RUSSIA -- 0.5%
Lukoil Oil Co. -- ADR...................... 8,400 475,524
Vimpel-Communications -- ADR*.............. 2,700 86,400
------------
561,924
------------
SINGAPORE -- 1.6%
Lindeteves-Jacoberg Ltd.................... 500,000 695,502
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
</TABLE>
SINGAPORE (CONTINUED)
<TABLE>
<S> <C> <C>
Parkway Holdings Ltd....................... 124,000 $ 471,972
United Overseas Bank Ltd................... 46,495 476,212
------------
1,643,686
------------
SOUTH AFRICA -- 0.8%
Liberty Life Association of Africa Ltd..... 18,192 510,445
South African Breweries Ltd................ 10,300 326,296
------------
836,741
------------
SPAIN -- 0.8%
Banco Central Hispanoamericano SA.......... 30,000 796,291
------------
SWEDEN -- 0.9%
Telefonaktiebolaget LM Ericsson -- B....... 27,000 954,089
------------
SWITZERLAND -- 4.6%
Adecco SA.................................. 3,500 1,141,119
Ares-Serono Group.......................... 1,380 1,816,976
Novartis AG................................ 525 651,825
Roche Holding AG........................... 80 692,110
Swiss Reinsurance Co....................... 450 478,623
------------
4,780,653
------------
TAIWAN -- 1.2%
ASE Test Ltd.*............................. 36,900 1,176,188
Tuntex Distinct Corp....................... 5,725 42,823
------------
1,219,011
------------
THAILAND -- 0.5%
PTT Exploration and Production Public Co.
Ltd...................................... 35,000 520,015
Thai Farmers Bank Public Co. Ltd. --
Foreign*................................. 5,375 34,964
------------
554,979
------------
UNITED KINGDOM -- 9.4%
Airtours PLC............................... 65,000 1,054,815
Avis Europe PLC*........................... 315,000 686,582
Bank of Ireland............................ 65,000 649,569
British Aerospace PLC...................... 48,287 1,083,851
British Airways PLC........................ 74,526 803,612
Caradon PLC................................ 163,000 671,678
Compass Group PLC.......................... 71,000 767,927
GKN PLC.................................... 1,807 29,740
Granada Group PLC.......................... 23,700 357,701
Ladbroke Group PLC......................... 158,000 584,798
Pearson PLC................................ 55,000 659,563
Professional Staff PLC -- ADR*............. 47,000 405,375
WPP Group PLC.............................. 325,000 1,355,274
Zagrebacka Banka -- GDR*................... 21,250 672,031
------------
9,782,516
------------
UNITED STATES OF AMERICA -- 25.4%
Ascend Communications, Inc.*............... 1,800 73,350
BMC Industries, Inc........................ 8,000 226,000
BMC Software, Inc.*........................ 12,400 571,950
Boston Chicken, Inc.*...................... 5,400 164,700
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
55
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997 -- CONTINUED
- --------------------------------------------------------------------------------
WORLDWIDE GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ----------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
COMMON STOCKS (Continued)
- ---------------------------------------------------------
UNITED STATES OF AMERICA (CONTINUED)
<TABLE>
<S> <C> <C>
Cadence Design Systems, Inc.*.............. 9,250 $ 317,969
Callaway Golf Co........................... 11,500 329,187
Camco International, Inc................... 9,600 422,400
Central Garden and Pet Co.*................ 8,900 161,312
Chase Manhattan Corp....................... 2,500 234,063
Children's Comprehensive Services, Inc.*... 8,800 101,200
Chrysler Corp.............................. 27,300 819,000
Cisco Systems, Inc.*....................... 6,000 288,750
Comerica, Inc.............................. 8,400 473,550
Compuware Inc.*............................ 4,300 269,825
Dell Computer Corp.*....................... 11,200 757,400
Electronics For Imaging, Inc.*............. 10,200 406,725
Encad, Inc.*............................... 7,400 221,075
Executive Risk, Inc........................ 8,300 384,913
Fannie Mae................................. 23,600 852,550
Finish Line, Inc., The*.................... 16,200 360,450
Gateway 2000, Inc.*........................ 10,500 538,125
General Electric Co........................ 1,100 109,175
Guidant Corp............................... 3,700 227,550
HBO & Co................................... 5,300 251,750
HFS, Inc.*................................. 6,500 382,688
Intel Corp................................. 9,400 1,307,775
International Specialty Products, Inc.*.... 15,500 193,750
Interstate Bakeries Corp................... 12,500 590,625
Jones Medical Industries, Inc.............. 13,625 327,000
Liz Claiborne, Inc......................... 7,500 327,188
Loews Corp................................. 9,100 808,763
MBNA Corp.................................. 25,300 705,238
McAfee Associates, Inc.*................... 6,000 265,500
Medicis Pharmaceutical Corp.*.............. 7,800 232,050
Merck & Co., Inc........................... 14,200 1,196,350
Microsoft Corp.*........................... 1,700 155,869
Molecular Devices Corp.*................... 43,000 596,625
Nautica Enterprises, Inc.*................. 7,900 198,487
NBTY, Inc.*................................ 18,900 285,862
New York Bancorp, Inc...................... 1,350 39,150
Oxford Health Plans, Inc.*................. 1,500 87,937
Pacific Sunwear of California*............. 13,650 447,037
Pairgain Technology, Inc.*................. 11,600 343,650
Peoplesoft, Inc.*.......................... 3,800 152,000
Premark International, Inc................. 10,800 214,650
Providian Corp............................. 15,600 834,600
QLogic Corp.*.............................. 26,000 513,500
Riser Foods, Inc........................... 7,600 251,750
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------
</TABLE>
UNITED STATES OF AMERICA (CONTINUED)
<TABLE>
<S> <C> <C>
Robert Half International, Inc.*........... 9,400 $ 327,825
Ross Stores Inc............................ 27,200 690,200
Safeskin Corp.*............................ 10,200 184,875
Safeway, Inc.*............................. 18,100 839,387
Showbiz Pizza Time, Inc.*.................. 11,900 208,250
SPX Corp.*................................. 8,200 372,075
Student Loan Marketing Association......... 3,800 361,950
TCF Financial Corp......................... 1,000 39,625
Tellabs, Inc.*............................. 14,500 523,812
Travelers Group, Inc....................... 18,800 900,050
United Technologies Corp................... 12,200 918,050
Unocal Corp................................ 7,200 274,500
USX-Marathon Group......................... 30,900 861,337
Veritas DGC, Inc.*......................... 30,000 592,500
Zions Bancorporation....................... 2,100 249,375
------------
26,364,824
------------
VENEZUELA -- 0.4%
Mavesa SA -- ADR........................... 61,540 407,703
------------
TOTAL COMMON STOCKS
(Cost $89,964,628).......................................
102,668,752
------------
- ----------------------------------------------------------------------------
WARRANTS/RIGHTS -- 0.0%
- ----------------------------------------------------------------------------
SINGAPORE
United Overseas Bank Ltd. -- Warrants*
(Cost $1,333)............................ 208 885
------------
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
- ----------------------------------------------------------------------------
CONVERTIBLE BONDS -- 1.8%
- ----------------------------------------------------------------------------
UTILITIES (ELECTRIC)
First Pacific Capital 144A
2.00%, 3/27/02
(Cost $1,891,000)........................ $1,891,000 $ 1,886,273
------------
TOTAL INVESTMENTS -- 100.7%
(Cost $91,856,961).......................................
$104,555,910
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.7%)............ (740,534)
------------
NET ASSETS -- 100.0%....................................... $103,815,376
------------
</TABLE>
- ------------
* Non-Income Producing Security.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
56
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
WORLDWIDE GROWTH FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------------------------------------------- -------------
<S> <C>
Advertising................................. 1.3%
Aerospace................................... 1.9
Agriculture................................. 0.3
Airlines.................................... 0.8
Alcoholic Beverages......................... 1.2
Apparel..................................... 0.5
Automotive.................................. 6.3
Automotive Equipment........................ 1.1
Beverages/Soft Drinks....................... 0.6
Biotechnology............................... 2.3
Broadcasting................................ 0.3
Building Materials.......................... 1.0
Chemicals................................... 1.5
Clothing Chains............................. 1.1
Computers/Office Automation................. 4.2
Consumer Electrical......................... 1.1
Department/Discount Stores.................. 0.2
Drugs/Pharmaceuticals....................... 4.0
Electric Utilities.......................... 1.1
Electronic Instruments...................... 0.6
Finance Companies........................... 3.5
Food Chains................................. 1.7
Grocery Products............................ 2.2
Industrial Engineering/Construction......... 1.0
Investment Companies........................ 0.5
Leisure/Gaming.............................. 0.6
Life Insurers............................... 0.5
Lodging..................................... 0.4
Machinery/Equipment......................... 2.6
Managed Health care/HMO's................... 0.1
Medical Supplies............................ 2.7
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------------------------------------------- -------------
<S> <C>
Metals...................................... 0.4%
Money Center Banks.......................... 3.7
Multi-Line Insurers......................... 3.1
Oil/Gas Production.......................... 2.1
Oilfield Services/Equipment................. 3.3
Other Commercial/Industrial Services........ 4.2
Other Consumer Services..................... 1.1
Other Financial Services.................... 1.3
Other Health Services....................... 0.2
Other Health Services....................... 0.2
Other Production/Manufacturing.............. 1.8
Paper....................................... 0.4
Property -- Casualty Insurance.............. 1.1
Publishing.................................. 2.5
Real Estate Development/Investment.......... 1.5
Recreational Products....................... 1.4
Regional/Commercial Banks................... 6.2
Rental/Leasing Companies.................... 1.3
Restaurants................................. 0.4
Savings & Loan/Thrifts...................... 0.1
Semiconductors/Electric Companies........... 3.7
Software.................................... 5.0
Specialty Chains............................ 0.3
Telecommunication Equipment................. 3.7
Telecommunication Services.................. 0.1
Telephone................................... 2.4
Utilities................................... 1.8
Wholesale Distribution...................... 0.2
Liabilities in Excess of Other Assets....... (0.7)
-----
NET ASSETS.................................. 100.0%
-----
-----
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
57
<PAGE>
FULLY DISCRETIONARY FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Fred S. Robertson,
Partner, Chief Investment Officer,
Fixed Income Management
James E. Kellerman,
Partner, Senior Portfolio Manager
Alan J. Brochstein,
Portfolio Manager
Malcom S. Day,
Portfolio Manager
David L. Kroon,
Portfolio Manager
Ashvin Syal,
Portfolio Manager
David Smith,
Portfolio Manager
Douglas G. Forsyth,
Portfolio Manager
Susan Malone,
Portfolio Manager
GOAL: The Nicholas-Applegate Fully Discretionary Fixed Income Fund seeks to
maximize long-term total return from a portfolio of investment grade
fixed-income securities with an average portfolio duration between two and eight
years.
REVIEW AND OUTLOOK: During the 12-month period ending March 31, 1997,
conflicting news regarding the direction and pace of the U.S. economy
contributed to a choppy environment for U.S. fixed income securities. As
investors struggled to interpret mixed economic reports, interest rates
oscillated. Among the factors negatively impacting the bond market were reports
of strong job growth, high levels of consumer confidence, and accelerating gains
in personal income. Concurrent with these short-term negatives, longer-term
positive fundamentals such as contractionary fiscal policies, stable money
supply growth rates, and moderate economic growth rates remained evident.
Interest rates were volatile throughout the past year but without a clear
trend. As a result, we structured the Fund to reflect a relatively neutral
stance on rates. Returns for the Fund were enhanced through sector and security
selection. A relatively large allocation to mortgage securities, as well as
exposure to international bonds and select high yield securities were positive
contributors to the Fund's performance. During the period, the Fund advanced
5.0% vs. 4.4% for the Lehman Government/ Corporate Index.
At March end, mortgage securities comprised 39% of the Fund while corporate
and asset-backed securities accounted for 15% of the Fund. Twenty percent of the
Fund was invested in international bonds as of March 31, 1997. Because of their
significant yield premium over U.S. Treasuries, mortgage securities were
attractive. The wide yield spread reflected the bond market's volatility as well
as excessively pessimistic expectations for mortgage refinancing. However,
interest rates remained in a range not conducive to refinancing activity. As a
result of compelling yields and sound fundamentals, mortgages remain a
significant position in the Fund.
For much of the fiscal year, issue selection among corporate bonds contributed
favorably to results. Although corporate bonds continue to offer exceptional
opportunities, the contraction in yield premiums and potential for increasing
credit risk premiums prompted us to reduce our exposure to this sector recently.
The Fund's international fixed income securities, particularly European
issues, added value. Steep yield curves and sluggish economic activity in Europe
created a positive environment for bonds. We continue to maintain hedged
allocations in the international sector.
Overall, our long-term outlook for bonds remains positive. However, with
little slack in the U.S. economy, short periods of accelerating economic
activity may prompt the Federal Reserve Board to raise rates, as it did in
March. As a result, we believe the risk that interest rates may rise further
before they fall makes a neutral, near-term stance on interest rates
appropriate. We continue our search to add value through tactical yield curve
decisions and sector and issue selection.
- --------------------------------------------------------------------------------
58
<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.
<TABLE>
<S> <C> <C>
1 YEAR ANNUALIZED TOTAL RETURNS Since Inception
4.98% As of 03/31/97 6.66%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
FULLY LEHMAN BROTHERS
DISCRETIONARY GOVERNMENT/
FIXED INCOME CORPORATE
FUND BOND INDEX
<S> <C> <C>
08-31-95 $ 250,000 $ 250,000
09-30-95 257,850 252,550
12-31-95 272,032 264,319
03-31-96 263,762 258,134
06-30-96 264,975 259,321
09-30-96 270,010 263,885
12-31-96 278,245 271,960
03-31-97 276,858 269,621
</TABLE>
This graph compares a $250,000 investment in the Fully Discretionary Fixed
Income Institutional Portfolio with the Lehman Brothers Government/Corporate
Bond Index, on a cumulative and average annual total return 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 do 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.
- --------------------------------------------------------------------------------
59
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
FULLY DISCRETIONARY FIXED INCOME FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------------
PREFERRED STOCKS -- 0.3%
- ----------------------------------------------------------------------------------
Marquette Real Estate Fund 13.701%
(Cost $44,959)........................... 45,000 $ 43,733
-------------
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
- ----------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 32.2%
- ----------------------------------------------------------------------------------
U.S. TREASURY BONDS -- 13.2%
10.625%, 08/15/15.......................... $ 610,000 821,402
7.625%, 02/15/25........................... 10,000 10,498
6.750%, 08/15/26........................... 35,000 33,163
6.500%, 11/15/26........................... 1,355,000 1,247,453
-------------
2,112,516
-------------
U.S. TREASURY NOTES -- 18.3%
5.000%, 01/31/98........................... 485,000 480,907
5.125%, 11/30/98........................... 150,000 147,234
5.625%, 11/30/98........................... 225,000 222,398
6.250%, 04/30/01........................... 995,000 978,055
6.500%, 08/31/01........................... 200,000 198,000
5.875%, 11/30/01........................... 500,000 482,420
7.250%, 05/15/04........................... 295,000 300,900
7.250%, 08/15/04........................... 40,000 40,800
7.500%, 02/15/05........................... 30,000 31,041
8.750%, 08/15/00........................... 25,000 26,547
-------------
2,908,302
-------------
U.S. TREASURY STRIPS -- 0.7%
0.000%, 05/15/04........................... 185,000 113,845
-------------
TOTAL U. S. TREASURY OBLIGATIONS
(Cost $5,150,647)............................................ 5,134,663
-------------
- ----------------------------------------------------------------------------------
AGENCY OBLIGATIONS -- 42.4%
- ----------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP., DISCOUNT NOTES -- 0.7%
5.480%, 04/02/97......................... 116,000 115,982
-------------
FEDERAL HOME LOAN MORTGAGE CORPORATION -- 7.0%
Pool 380032
10.000%, 10/01/03........................ 112,570 118,374
Pool 200112
9.500%, 11/01/05......................... 99,975 104,130
Pool E80820
7.000%, 07/01/10......................... 183,621 180,790
Pool E20197
7.000%, 10/01/10......................... 21,330 21,001
Pool E20207
7.000%, 12/01/10......................... 262,211 258,168
Pool E62135
7.000%, 12/01/10......................... 8,164 8,038
Pool 1356 J
5.500%, 10/15/20......................... 110,000 98,032
Pool G43PF
6.500%, 02/17/21......................... 150,000 141,937
Pool 1905 H
7.500%, 10/15/26......................... 115,000 110,364
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------------
</TABLE>
FEDERAL HOME LOAN MORTGAGE CORPORATION (CONTINUED)
<TABLE>
<S> <C> <C>
Pool 1915 C
7.500%, 12/25/26......................... $ 75,000 $ 71,742
-------------
1,112,576
-------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 5.9%
Pool 303481
10.000%, 10/01/05........................ 140,827 149,013
Pool 303758
9.500%, 07/01/06......................... 140,898 147,678
Pool 303262
9.500%, 05/01/07......................... 171,138 178,679
Pool 273114
6.500%, 02/01/09......................... 355,232 344,575
Pool 1993-87 HA
6.000%, 10/25/21......................... 125,000 115,664
-------------
935,609
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 28.8%
Pool 780236
7.000%, 07/15/08......................... 243,445 241,161
Pool 780287
7.000%, 12/15/08......................... 36,940 36,593
Pool 405583
8.000%, 02/15/11......................... 469,519 480,375
Pool 426085
6.500%, 05/15/11......................... 582,924 562,886
Pool 50700
11.500%, 02/15/12........................ 9,151 10,327
Pool 64054
11.500%, 02/15/13........................ 7,388 8,337
Pool 68958
11.500%, 07/15/13........................ 9,690 10,936
Pool 141741
11.000%, 11/15/15........................ 14,506 16,253
Pool 780172
11.000%, 06/15/20........................ 78,358 87,572
Pool 299705
8.500%, 02/15/21......................... 13,614 14,103
Pool 332970
7.500%, 11/15/22......................... 187,860 185,512
Pool 336173
7.500%, 04/15/23......................... 183,698 181,172
Pool 355498
7.500%, 07/15/23......................... 458,751 452,444
Pool
7.500%, 08/15/23......................... 50,000 49,312
Pool 355772
7.500%, 08/15/23......................... 417,480 411,740
Pool 780466
7.500%, 08/15/23......................... 50,500 49,806
Pool 346753
7.500%, 09/15/23......................... 217,259 214,408
Pool 368781
6.500%, 10/15/23......................... 38,501 35,938
Pool 376514
7.500%, 05/15/24......................... 223,235 219,677
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
60
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
AGENCY OBLIGATIONS -- 42.4% (Continued)
- ---------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
<TABLE>
<S> <C> <C>
Pool 377656
7.500%, 11/15/25......................... $ 1,342,246 $ 1,316,650
-------------
4,585,202
-------------
TOTAL AGENCY OBLIGATIONS
(Cost $6,767,756)............................................
6,749,369
-------------
- ----------------------------------------------------------------------------------
CMO'S AND ASSET-BACKED SECURITIES -- 0.4%
- ----------------------------------------------------------------------------------
CREDIT CARDS
AT&T Universal Card Master Trust-A
5.950%, 10/17/02
(Cost $67,210)........................... 70,000 68,075
-------------
- ----------------------------------------------------------------------------------
CORPORATE BONDS -- 12.2%
- ----------------------------------------------------------------------------------
AMERICAN UTILITY -- 0.1%
Illinois Central Railroad Co.
7.700%, 09/15/46......................... 25,000 23,589
-------------
AUTO -- 3.2%
Chrysler Corp.
7.450%, 03/01/27......................... 50,000 47,374
Ford Motor Credit Corp.
6.375%, 10/06/00......................... 50,000 48,908
Ford Motor Credit Corp.
7.250%, 05/15/99......................... 100,000 100,682
Ford Motor Credit Corp.
6.375%, 09/15/99......................... 300,000 296,775
-------------
493,739
-------------
BANK & INSURANCE -- 2.6%
American Resource Corp.
7.450%, 12/15/26......................... 55,000 52,414
Banc One Corp.
7.625%, 10/15/26......................... 25,000 24,015
GE Global Insurance Holding Corp.
7.000%, 02/15/26......................... 105,000 95,459
HSBC Americas, Inc.
7.000%, 11/01/06......................... 105,000 100,476
Mellon Capital I-Series A
7.720%, 12/01/26......................... 45,000 42,084
Travelers Capital II
7.750%, 12/01/36......................... 105,000 97,617
-------------
412,065
-------------
FINANCE -- 4.1%
Associates Corp. NA
6.875%, 02/01/03......................... 25,000 24,560
Countrywide Capital I
8.000%, 12/15/26......................... 110,000 104,129
General Electric Capital Corp.
6.875%, 04/15/00......................... 250,000 250,983
General Electric Capital Corp.
8.500%, 07/24/08......................... 5,000 5,435
JP Morgan Capital Trust I
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- ----------------------------------------------------------------------------------
</TABLE>
FINANCE (CONTINUED)
<TABLE>
<S> <C> <C>
7.540%, 01/15/27......................... 210,000 195,000
JP Morgan Capital Trust II
7.950%, 02/01/27......................... $ 75,000 $ 72,836
-------------
652,943
-------------
FOREIGN BANK -- 0.4%
Abbey National Plc
7.350%, 10/29/49......................... 65,000 63,347
Swiss Bank Corp.-NY
7.750%, 09/01/26......................... 5,000 4,921
-------------
68,268
-------------
FOREIGN UTILITY (YANKEE) -- 0.3%
Hydro-Quebec-HY
8.400%, 01/15/22......................... 40,000 41,706
-------------
TELEPHONE -- 1.5%
AT&T Capital Corp.
6.520%, 05/14/99......................... 50,000 49,624
BellSouth Telecom
7.000%, 12/01/95......................... 215,000 195,435
-------------
245,059
-------------
TOTAL CORPORATE BONDS
(Cost $1,969,312)............................................
1,937,369
-------------
- ----------------------------------------------------------------------------------
FOREIGN BONDS -- 5.7%
- ----------------------------------------------------------------------------------
CANADIAN -- 1.3%
Canada Government Bond-A37
10.500%, 03/01/01........................ 240,000 201,060
-------------
GERMANY -- 3.5%
Federal National Mortgage Association
Global
5.000%, 02/16/01......................... 600,000 364,140
German Unity Fund
8.500%, 02/20/01......................... 275,000 187,273
-------------
551,413
-------------
SWEDEN -- 0.9%
Sweden Government Bond-1036
10.250%, 05/05/00........................ 1,000,000 150,499
-------------
TOTAL FOREIGN BONDS
(Cost $956,453).............................................. 902,972
-------------
- ----------------------------------------------------------------------------------
GOVERNMENT ISSUES -- 0.3%
- ----------------------------------------------------------------------------------
FNMA Medium Term Note
6.340%, 07/17/00
(Cost $49,188)........................... 50,000 49,187
-------------
TOTAL INVESTMENTS -- 93.5%
(Cost $15,005,525)........................................... 14,885,368
OTHER ASSETS IN EXCESS OF LIABILITIES -- 6.5%.................. 1,033,017
-------------
NET ASSETS -- 100.0%........................................... $ 15,918,385
-------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
61
<PAGE>
SHORT-INTERMEDIATE FIXED INCOME FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Fred S. Robertson,
Partner, Chief Investment Officer,
Fixed Income Management
James E. Kellerman,
Partner, Senior Portfolio Manager
Alan J. Brochstein,
Portfolio Manager
Malcom S. Day,
Portfolio Manager
David L. Kroon,
Portfolio Manager
David Smith,
Portfolio Manager
Susan Malone,
Portfolio Manager
GOAL: The Nicholas-Applegate Short-Intermediate Fixed Income Fund seeks
primarily to preserve principal and liquidity and, secondarily, to realize a
relatively high level of current income from a portfolio of investment grade
fixed-income securities with a maximum dollar-weighted maturity of five years.
REVIEW AND OUTLOOK: During the 12-month period ending March 31, 1997,
conflicting news regarding the direction and pace of the U.S. economy
contributed to a choppy environment for U.S. fixed-income securities. As
investors struggled to interpret mixed economic reports, interest rates
oscillated.
Among the factors negatively impacting the bond market were reports of strong
job growth, high levels of consumer confidence, and accelerating gains in
personal income. Concurrent with these short-term negatives, longer-term
positive fundamentals such as contractionary fiscal policies, stable money
supply growth rates, and moderate economic growth rates remained evident.
Interest rates were volatile throughout the past year but without a clear
trend. As a result, we structured the Fund to reflect a relatively neutral
stance on rates.
Returns for the Fund were enhanced through sector and security selection. A
relatively large allocation to mortgage securities, as well as exposure to
select corporate and asset-backed securities were positive contributors to the
Fund's performance. During the period, the Fund and the Merrill Lynch 1-3 Year
Government Index each advanced 5.3%.
At March end, mortgage securities comprised 59% of the Fund while asset-backed
securities accounted for 30% of the Fund.
Because of their significant yield premium over U.S. Treasuries, mortgage
securities were attractive. The wide yield spread reflected the bond market's
volatility as well as excessively pessimistic expectations for mortgage
refinancing. However, interest rates remained in a range not conducive to
refinancing activity. As a result of compelling yields and sound fundamentals,
mortgages remain a significant position in the Fund.
Overall, our long-term outlook for bonds remains positive. However, with
little slack in the U.S. economy, short periods of accelerating economic
activity may prompt the Federal Reserve Board to raise rates, as it did during
March.
As a result, we believe the risk that interest rates may rise further before
they fall makes a neutral, near-term stance on interest rates appropriate. We
continue our search to add value through sector and issue selection.
- --------------------------------------------------------------------------------
62
<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.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
5.30% As of 03/31/97 6.76%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SHORT INTERMEDIATE MERRILL LYNCH 1-3 YEAR
FIXED INCOME FUND TREASURY INDEX
<S> <C> <C>
8/31/95 $ 250,000 $ 250,000
9/95 255,700 251,200
12/95 262,374 257,505
3/96 263,318 258,381
6/96 265,636 260,990
9/96 270,098 265,297
12/96 275,095 270,364
3/31/97 277,288 272,148
</TABLE>
This graph 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 and average annual total return 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.
- --------------------------------------------------------------------------------
63
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
SHORT-INTERMEDIATE FIXED INCOME FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- ---------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 5.3%
- ---------------------------------------------------------------------
U.S. TREASURY NOTES
7.375%, 11/15/97........................... $ 100,000 $ 100,844
7.750%, 11/30/99........................... 40,000 41,119
6.250%, 04/30/01........................... 150,000 147,492
----------
TOTAL U.S. TREASURY NOTES
(Cost $291,831)........................................ 289,455
----------
- ---------------------------------------------------------------------
AGENCY OBLIGATIONS -- 60.9%
- ---------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION -- 41.3%
Pool 380032
10.000%, 10/01/03........................ 98,810 103,905
Pool B00455
9.000%, 12/01/03......................... 196,724 203,425
Pool 380062
9.500%, 11/01/04......................... 232,245 242,841
Pool 1472 E
6.250%, 02/15/05......................... 200,000 197,680
Pool 380078
9.000%, 04/01/05......................... 136,970 141,636
Pool 200112
9.500%, 11/01/05......................... 142,772 148,706
Pool 504019
9.000%, 03/01/06......................... 266,116 275,347
Pool B00623
9.000%, 06/01/06......................... 151,418 156,717
Pool G10453
9.000%, 06/01/07......................... 75,060 78,039
Pool 1552 EA
5.850%, 01/15/17......................... 185,000 180,486
Pool G21H
5.850%, 01/25/19......................... 225,000 213,750
Pool 1836 D
6.250%, 04/15/26......................... 300,000 292,320
----------
2,234,852
----------
FEDERAL HOME LOAN MORTGAGE DISCOUNT NOTES -- 2.3%
5.480%, 04/02/97........................... 124,000 123,981
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 8.8%
Pool 50155
10.000%, 12/01/03........................ 7,058 7,477
Pool 1991-95 Z
8.500%, 11/25/05......................... 149,694 150,113
Pool 2454
14.750%, 10/01/12........................ 6,278 7,527
Pool G93-40 D
5.700%, 07/25/16......................... 200,000 194,120
Pool 1993-136 PB
6.000%, 03/25/19......................... 120,000 115,556
----------
474,793
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 8.5%
Pool 780328
10.000%, 10/15/06........................ 140,840 149,466
Pool 64054
11.500%, 02/15/13........................ 7,388 8,337
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- ---------------------------------------------------------------------
</TABLE>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
<TABLE>
<S> <C> <C>
Pool 59779
11.500%, 03/15/13........................ $ 3,011 $ 3,406
Pool 780179
12.000%, 10/15/15........................ 66,219 76,496
Pool 141741
11.000%, 11/15/15........................ 10,199 11,425
Pool 780455
11.500%, 02/15/16........................ 183,664 207,196
Pool 200947
9.500%, 12/15/17......................... 5,656 6,103
----------
462,429
----------
TOTAL AGENCY OBLIGATIONS
(Cost $3,313,246)...................................... 3,296,055
----------
- ---------------------------------------------------------------------
CMO'S AND ASSET-BACKED SECURITIES -- 29.5%
- ---------------------------------------------------------------------
AUTOS -- 9.2%
Daimler-Benz Auto Grantor Trust 1993-A A
3.900%, 10/15/98......................... 972 965
Premier Auto Trust 1995-2 A5
7.150%, 02/04/99......................... 250,000 251,514
Premier Auto Trust 1995-3 A4
6.100%, 07/06/99......................... 250,000 249,609
----------
502,088
----------
BANKING -- 14.8%
Bank One Credit Card Master Trust 1994-B A
7.550%, 12/15/99......................... 175,000 176,422
First Deposit Master Trust 1995-2 A
6.050%, 08/15/02......................... 150,000 149,438
Signet Credit Card Master Trust 1993-1 A
5.200%, 02/15/02......................... 285,000 279,478
Standard Credit Card Master Trust 1995-10 A
5.900%, 02/07/01......................... 200,000 197,406
----------
802,744
----------
FINANCE -- 5.5%
AT&T Universal Card Master Trust 1995-2 A
5.950%, 10/17/02......................... 225,000 218,884
Standard Credit Card Master Trust 1993-3 A
5.500%, 01/07/99......................... 80,000 78,463
----------
297,347
----------
RETAIL -- 0.0%
Sears Credit Account Master Trust 1994-2 A
7.250%, 07/16/01......................... 333 335
----------
TOTAL CMO'S AND ASSET-BACKED SECURITIES
(Cost $1,620,173)...................................... 1,602,514
----------
TOTAL INVESTMENTS -- 95.7%
(Cost $5,225,250)...................................... 5,188,024
OTHER ASSETS IN EXCESS OF LIABILITIES -- 4.3%............ 234,615
----------
NET ASSETS -- 100.0%..................................... $5,422,639
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
64
<PAGE>
STRATEGIC INCOME FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Fred S. Robertson,
Partner, Chief Investment Officer,
Fixed Income Management
Douglas G. Forsyth, CFA,
Portfolio Manager
Catherine Somhegyi,
Partner, Chief Investment Officer,
Global Equity Management
Sandra K. Durn,
Portfolio Manager
Alan J. Brochstein,
Portfolio Manager
David Smith,
Portfolio Manager
GOAL: The Nicholas-Applegate Strategic Income Fund seeks to provide a high
level of current income and long-term capital appreciation by investing in
convertible, high yield, and mortgage-backed securities.
REVIEW AND OUTLOOK: Combining an equal mix of mortgage-backed, convertible,
and high yield securities, the Strategic Income Fund is designed to meet the
needs of investors seeking enhanced return potential when investing in fixed
income-related securities. The diverse asset classes comprising the Fund have
excellent risk/return profiles. The low correlation among these asset classes
provides the potential for compelling relative performance in a variety of
market environments.
Conflicting news regarding the direction and pace of the U.S. economy
contributed to a choppy environment for U.S. fixed income securities in the last
seven months. As investors struggled to interpret mixed economic reports,
interest rates oscillated. Near the end of the first quarter, the Federal
Reserve Board raised short-term interest rates triggering a sell-off in the U.S.
fixed income market.
Despite the uneven terrain during this period, the Fund delivered an 11.1%
return since its inception on August 1, 1996. The Lehman Aggregate Index gained
4.0% during the same period. An equal-weighted composite of the Lehman
Mortgage-Backed Securities Index, the First Boston High Yield Index, and the
First Boston Convertible Securities Index advanced 8.1%.
All three of the Fund's asset classes performed well during the fiscal year
and contributed to the Fund's solid gains. The Fund benefited from exposure to
convertible securities issued by smaller-cap companies, especially earlier in
the fiscal year. In addition, as smaller-cap stocks underperformed recently, our
convertible holdings showed resilience and participated in far less of the
decline than the underlying common stocks.
Healthy corporate earnings, little evidence of inflation, strong demand for
high yield bonds, a robust initial public offering (IPO) market, and a
lower-than-expected number of defaults were among the factors boosting returns
among high yield issues.
Mortgage securities were attractive based upon their significant yield premium
over U.S. Treasuries. The wide yield spread reflected the bond market's
volatility as well as excessively pessimistic expectations for mortgage
refinancing. However, interest rates remained in a range not conducive to
refinancing activity.
Our long-term outlook for bonds remains positive. However, in the near term,
we believe interest rates may rise further before they fall. In this sensitive
environment, we believe the complementary nature of the securities which
comprise the Strategic Income Fund will continue to provide downside protection,
current income, and appreciation potential.
- --------------------------------------------------------------------------------
65
<PAGE>
STRATEGIC INCOME INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
STRATEGIC INCOME INSTITUTIONAL PORTFOLIO WITH A MODEL INDEX CONSISTING OF 1/3
LEHMAN BROTHERS MORTGAGE-BACKED SECURITIES INDEX, 1/3 FIRST BOSTON CONVERTIBLE
INDEX AND 1/3 FIRST BOSTON HIGH YIELD BOND INDEX.
<TABLE>
<S> <C> <C>
TOTAL RETURNS SINCE INCEPTION
As of 03/31/97
11.07%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
STRATEGIC INCOME MODEL
INSTITUTIONAL
PORTFOLIO INDEX
<S> <C> <C>
01-Aug-96 $250,000 $250,000
30-Sep-96 264,175.16 259,283.95
31-Oct-96 265,005.14 262,551.11
30-Nov-96 271,576.90 267,980.48
31-Dec-96 272,990.92 268,163.42
31-Jan-97 279,454.85 272,132.24
28-Feb-97 282,127.36 273,583.52
31-Mar-97 277,664.93 270,300.52
</TABLE>
This graph compares a $250,000 investment in the Strategic Income Institutional
Portfolio with a model index consisting of 1/3 Lehman Brothers Mortgage-Backed
Securities Index, 1/3 First Boston Convertible Index and 1/3 First Boston High
Yield Bond Index, on a cumulative return basis. All return calculations reflect
the reinvestment of income dividends 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 Mortgage-Backed Securities Index is an unmanaged index
consisting of fixed-rate securities backed by mortgage pools of the Government
National Mortgage Association (GNMA), Federal Home Loan Mortgage Corporation
(FHLMC) and Federal National Mortgage Association (FNMA).
The First Boston Convertible Index is an unmanaged market weighted index
representing the universe of convertible securities whether they are convertible
preferred stocks or convertible bonds.
The First Boston High Yield Index is an unmanaged index that generally includes
over 180 issues with an average maturity range of seven to ten years with a
minimum capitalization of $100 million. All issues are individually
trader-priced monthly.
Index returns reflect the reinvestment of income dividends and capital gains
distributions, if any, but do 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.
- --------------------------------------------------------------------------------
66
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
STRATEGIC INCOME FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
COMMON STOCKS -- 1.3%
- ---------------------------------------------------------------------------------------------------
TELEPHONE
Deutsche Telekom AG ADR *
(Cost $49,114).................................................... 2,600 $ 56,875
------------
- ---------------------------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS -- 17.9%
- ---------------------------------------------------------------------------------------------------
FINANCE COMPANIES -- 5.6%
Ahmanson, H. F. - Series D, 6.000%.................................. 1,550 119,983
Finova Finance Trust, 5.500%........................................ 2,250 117,594
------------
237,577
------------
GAS UTILITIES -- 1.6%
MCN Corp., 8.750% (Prides).......................................... 2,600 69,550
------------
INTEGRATED OIL COMPANIES -- 2.1%
Occidental Petroleum
Series 1993, $3.875............................................... 1,500 87,375
------------
INVESTMENT COMPANIES -- 2.2%
Merrill Lynch - Series IGL
6.250%, (Strypes)................................................. 2,500 94,375
------------
METALS -- 2.1%
AK Steel Holding Corp., 7.000%...................................... 2,800 90,650
------------
SPECIALITY INSURERS -- 2.2%
American Bankers Insurance
Series B, $3.125.................................................. 1,500 90,938
------------
TELEPHONE -- 2.1%
Nortel Inversora, 10.000%........................................... 2,000 90,000
------------
TOTAL PREFERRED STOCKS
(Cost $776,647)................................................................... 760,465
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
CONVERTIBLE CORPORATE BONDS -- 9.7%
- ---------------------------------------------------------------------------------------------------
ALCOHOLIC BEVERAGES -- 2.8%
Grand Metropolitan PLC, Euro
6.500%, 01/31/00.................................................. $ 100,000 118,375
------------
INDUSTRIAL ENGINEERING/CONSTRUCTION -- 2.4%
Empresas ICA, Sociedad
5.000%, 03/15/04.................................................. 135,000 101,925
------------
MONEY-CENTER, BANKS -- 2.5%
Banmex, Euro
11.000%, 07/15/03................................................. 100,000 105,500
------------
OTHER PRODUCERS/MANUFACTURING -- 2.0%
Gencorp, Inc.
8.000%, 08/01/02.................................................. 70,000 84,350
------------
TOTAL CONVERTIBLE CORPORATE BONDS
(Cost $378,050)................................................................... 410,150
------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
CORPORATE BONDS -- 34.9%
- ---------------------------------------------------------------------------------------------------
AIRLINES -- 1.2%
US Air, Inc.
10.000%, 07/01/03................................................. $ 50,000 $ 50,313
------------
BROADCASTING -- 1.7%
Lodgenet Entertainment
10.250%, 12/15/06................................................. 75,000 73,687
------------
CONTRACT DRILLING SERVICES -- 1.2%
Cliffs Drilling Co.- Series B
10.250%, 05/15/03................................................. 50,000 52,125
------------
ELECTRONIC INSTRUMENTS -- 2.4%
Electronic Retailing Systems
13.250%, 02/01/04................................................. 150,000 102,563
------------
ENTERTAINMENT -- 3.0%
AMC Entertainment, Inc.
9.500%, 03/15/09.................................................. 50,000 49,375
United Artists
11.500%, 05/01/02................................................. 75,000 78,094
------------
127,469
------------
FINANCE COMPANIES -- 4.3%
Americredit Corp.
9.250%, 02/01/04.................................................- 100,000 97,250
Ocwen Financial Corp.
11.875%, 10/01/03................................................. 80,000 88,600
------------
185,850
------------
GROCERY PRODUCTS -- 1.7%
Fage Dairy Industries SA.
9.000%, 02/01/07.................................................. 75,000 72,563
------------
LESIURE/GAMING -- 2.8%
Casino Magic LA
13.000%, 08/15/03................................................. 40,000 38,700
Majestic Star Casino, LLC.
12.750%, 05/15/03................................................. 75,000 81,375
------------
120,075
------------
OTHER FINANCIAL SERVICES -- 1.0%
Esat Holdings LTD.
12.500%, 02/01/07................................................. 75,000 41,625
------------
RESTRAURANTS -- 1.8%
Foodmaker, Inc.
9.250%, 03/01/99.................................................. 75,000 75,750
------------
SEMICONDUCTORS/ELEC COMP -- 1.2%
Fairchild Semiconductor
10.125%, 03/15/07................................................. 50,000 50,000
------------
SPECIALITY CHAINS -- 1.8%
Compusa, Inc.
9.500%, 06/15/00.................................................. 75,000 75,844
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
67
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997 -- CONTINUED
- --------------------------------------------------------------------------------
STRATEGIC INCOME FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------------------------------------------------
<S> <C> <C>
</TABLE>
CORPORATE BONDS -- 34.9% (Continued)
- ---------------------------------------------------------
<TABLE>
<S> <C> <C>
SOAPS/COSMETICS -- 2.8%
Revlon Worldwide - Series B
0.000%, 03/15/98.................................................. $ 125,000 $ 117,500
------------
TELECOMMUNICATIONS EQUIPMENT -- 3.2%
Echostar Communications
12.875%, 06/01/04................................................. 75,000 63,000
Optel, Inc.
13.000%, 02/15/05................................................. 75,000 71,812
------------
134,812
------------
TELEPHONE -- 4.8%
Nextel Communications
11.500%, 09/01/03................................................. 75,000 58,688
Paging Network
10.000%, 10/15/08................................................. 50,000 44,875
Pricellular Wire - Series B
14.000%, 11/15/01................................................. 100,000 102,000
------------
205,563
------------
TOTAL CORPORATE BONDS
(Cost $1,491,233)................................................................. 1,485,739
------------
- ---------------------------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 3.1%
- ---------------------------------------------------------------------------------------------------
U. S. Treasury Notes
7.750%, 11/30/99.................................................. 115,000 118,217
U. S. Treasury Notes
7.500%, 02/15/05.................................................. 15,000 15,520
------------
133,737
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $135,467)................................................................... 133,737
------------
- ---------------------------------------------------------------------------------------------------
AGENCY OBLIGATIONS -- 30.0%
- ---------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORPORATION -- 5.7%
Pool 380003
9.500%, 06/01/02.................................................. 32,161 33,196
Pool 380062
9.500%, 11/01/04.................................................. 70,081 73,279
Poo1 504019
9.000%, 03/01/06.................................................. 53,223 54,620
Pool 1356 J
5.500%, 10/15/20.................................................. 35,000 31,192
Pool 1579 PM
6.700%, 09/15/23.................................................. 35,000 32,293
Pool 1591 PK
6.350%, 10/15/23.................................................. 22,000 19,477
------------
244,057
------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 8.3%
Pool 2468
10.500%, 12/01/00................................................. $ 104,800 $ 109,680
Pool 50319
9.500%, 06/01/05.................................................. 62,647 65,936
1991-95 Z
8.500%, 11/25/05.................................................. 35,980 36,227
1993-40 D
5.700%, 07/25/16.................................................. 65,000 63,089
X-130A J
6.500%, 06/25/21.................................................. 35,000 33,338
1993-87 J
6.250%, 04/25/22.................................................. 50,000 45,750
------------
354,020
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 16.0%
Pool 346237
7.500%, 02/01/23.................................................. 103,733 102,307
Pool
7.500%, 08/01/23.................................................. 110,000 108,488
Pool 357262
7.500%, 09/15/23.................................................. 133,672 131,834
Pool 370281
7.500%, 11/15/23.................................................. 193,286 190,629
Pool 354713
7.500%, 12/15/23.................................................. 146,183 144,173
------------
677,431
------------
TOTAL AGENCY OBLIGATIONS
(Cost $1,286,199)................................................................. 1,275,508
------------
- ---------------------------------------------------------------------------------------------------
COMMERCIAL PAPER -- 3.1%
- ---------------------------------------------------------------------------------------------------
Merrill Lynch & Co.
6.350%, 04/01/97
(Cost $132,000)................................................... 132,000 132,000
------------
TOTAL INVESTMENTS -- 100.0%
(Cost $4,248,710)................................................................. 4,254,474
LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.0%)..................................... (1,925)
------------
NET ASSETS -- 100.0%................................................................ $ 4,252,549
------------
</TABLE>
- ---------------
*Non-Income Producing Security.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
68
<PAGE>
HIGH YIELD BOND FUND
INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
MANAGEMENT TEAM
Fred S. Robertson,
Partner, Chief Investment Officer,
Fixed Income Management
Douglas G. Forsyth, CFA,
Portfolio Manager
James E. Kellerman,
Partner, Senior Portfolio Manager
Malcom S. Day,
Portfolio Manager
GOAL: The Nicholas-Applegate High Yield Fund seeks to deliver total return via
high current income and long-term capital appreciation from a diversified
portfolio consisting primarily of U.S. corporate fixed income securities.
REVIEW AND OUTLOOK: Even as interest rates fluctuated over the past eight
months, creating an uneven environment for most fixed income securities, high
yield bonds delivered solid returns.
Healthy corporate earnings, little evidence of inflation, strong demand for
high yield bonds, a robust initial public offering (IPO) market, and a
lower-than-expected number of defaults were among the factors boosting returns
among high yield issues.
Default rates for high yield bonds dropped near historic lows in the first
quarter of 1997. The default rate among high yield bonds was 0.12% in the first
quarter, or approximately 0.5% on an annual basis.
Since its inception on August 1, 1996 through March 31, 1997, the Fund gained
13.9% while the First Boston High Yield Index was up 9.0% over the same period.
By comparison, the Lehman Government/Corporate Index gained just 3.7% during
that period.
Individual security selection was the primary factor driving the Fund's
outperformance. Our approach to high yield securities reflects the extension of
the same investment philosophy we use to manage equities: positive fundamental
change leading to earnings growth, cash flow growth, debt reduction, and
potential credit-quality upgrade; sustainability of improvement; and timeliness
of investment.
We believe our expertise in researching companies within the mid- and
smaller-market capitalization segments provides a competitive advantage in
analyzing high yield bonds. Of the companies that issue both high yield and
equity securities, more than half have equity market capitalizations less than
$500 million.
Because of our bottom-up approach to high yield investing and focus on company
fundamentals, we believe we will continue to find attractive high yield
investment opportunities regardless of the macroeconomic environment. We look
forward to building upon the Fund's solid start and extending our strong
performance results.
REPRESENTATIVE HOLDINGS
Comp USA 9.50% 6/15/00
Foodmaker 9.25% 3/1/99
Ocwen Financial 11.88% 10/01/03
Price Cellular 11.19% 11/15/01
Revlon 10.50% 2/15/03
- --------------------------------------------------------------------------------
69
<PAGE>
HIGH YIELD BOND INSTITUTIONAL PORTFOLIO
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN NICHOLAS-APPLEGATE
HIGH YIELD BOND INSTITUTIONAL PORTFOLIO WITH THE FIRST BOSTON HIGH YIELD INDEX.
<TABLE>
<S> <C> <C>
TOTAL RETURNS SINCE INCEPTION
As of 03/31/97
13.90%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
HIGH YIELD BOND FIRST BOSTON
INSTITUTIONAL
PORFOLIO HIGH YIELD INDEX
<S> <C> <C>
8/1/96 $250,000 $250,000
8/31/96 256,780 252,725
9/30/96 265,702 257,072
10/31/96 268,927 259,231
11/30/96 273,926 263,275
12/31/96 278,313 268,409
1/31/97 283,685 270,369
2/28/97 289,776 275,451
3/31/97 284,739 272,366
</TABLE>
This graph compares a $250,000 investment in the High Yield Bond Institutional
Portfolio with the First Boston High Yield Index, on a cumulative return basis.
All return calculations reflect the reinvestment of income dividends 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 First Boston High Yield Index includes over 180 U.S. domestic issues with an
average maturity range of seven to ten years and with a minimum issues size of
$100 million.
The Index reflects the reinvestment of income dividends 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.
- --------------------------------------------------------------------------------
70
<PAGE>
SCHEDULE OF INVESTMENTS AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
HIGH YIELD BOND FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- -----------------------------------------------------------------
CORPORATE BONDS -- 96.9%
- -----------------------------------------------------------------
AIRLINES -- 4.3%
US Air, Inc.
10.000%, 07/01/03..................... $200,000 $ 201,250
------------
BIOTECHNOLOGY -- 2.1%
Packard Bioscience Co.
9.375%, 03/01/07...................... 100,000 96,750
------------
BROADCASTING -- 8.0%
Lodgenet Entertainment
10.250%, 12/15/06..................... 175,000 171,937
Telemundo Group, Inc.
7.000%, 02/15/06...................... 200,000 198,000
------------
369,937
------------
ELECTRONIC INSTRUMENTS -- 4.4%
Electronic Retailing Systems
13.250%, 02/01/04..................... 300,000 205,125
------------
ENTERTAINMENT -- 8.7%
AMC Entertainment, Inc.
9.500%, 03/15/09...................... 200,000 197,500
United Artist
11.500%, 05/01/02..................... 200,000 208,250
------------
405,750
------------
FINANCE COMPANIES -- 8.3%
Americredit Corp.
9.250%, 02/01/04...................... 200,000 194,500
Ocwen Financial Corp.
11.875%, 10/01/03..................... 175,000 193,813
------------
388,313
------------
GROCERY PRODUCTS -- 8.7%
Curtice-Burns Foods, Inc.
12.250%, 02/01/05..................... 200,000 213,000
Fage Dairy Industries SA
9.000%, 02/01/07...................... 200,000 193,500
------------
406,500
------------
LEISURE/GAMING -- 6.7%
Casino Magic LA
13.000%, 08/15/03..................... 125,000 120,938
Majestic Star Casino, LLC.
12.750%, 05/15/03..................... 175,000 189,875
------------
310,813
------------
OTHER FINANCIAL SERVICES -- 2.4%
Esat Holdings, LTD.
12.500%, 02/01/07..................... 200,000 111,000
------------
RESTAURANTS -- 9.0%
Foodmaker, Inc.
9.250%, 03/01/99...................... 225,000 227,250
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- -----------------------------------------------------------------
</TABLE>
RESTAURANTS (CONTINUED)
<TABLE>
<S> <C> <C>
Rally's Hamburgers, Inc.
9.875%, 06/15/00...................... $200,000 $ 189,250
------------
416,500
------------
SEMICONDUCTORS/ELEC COMP. -- 6.6%
Advanced Micro Devices
11.000%, 08/01/03..................... 100,000 109,500
Fairchild Semiconductor
10.125%, 03/15/07..................... 200,000 200,000
------------
309,500
------------
SOAPS/COSMETICS -- 4.0%
Revlon Worldwide -- Series B*
0.000%, 03/15/98...................... 200,000 188,000
------------
SPECIALITY CHAINS -- 3.3%
Compusa, Inc.
9.500%, 06/15/00...................... 150,000 151,688
------------
TELECOMMUNICATIONS EQUIPMENT -- 6.8%
Echostar Communications
12.875%, 06/01/04..................... 150,000 126,000
Optel, Inc.
13.000%, 02/15/05..................... 200,000 191,500
------------
317,500
------------
TELECOMMUNICATIONS SERVICES -- 0.5%
McCaw International, LTD.
13.000%, 04/15/07..................... 50,000 24,000
------------
TELEPHONE -- 13.1%
Colt Telecom Group, PLC.
12.000%, 12/15/06..................... 250,000 150,000
Nextel Communications
11.500%, 09/01/03..................... 100,000 78,250
Paging Network
10.000%, 10/15/08..................... 200,000 179,500
Pricellular Wire -- Series B
14.000%, 11/15/01..................... 200,000 204,000
------------
611,750
------------
TOTAL INVESTMENTS -- 96.9%
(Cost $4,538,274)................................ 4,514,376
OTHER ASSETS IN EXCESS OF LIABILITIES -- 3.1%...... 146,678
------------
NET ASSETS -- 100.0%............................... $ 4,661,054
------------
</TABLE>
- ---------------
* Non-Income Producing Security.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
71
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
FINANCIAL HIGHLIGHTS
- ------------------------------------------------------------------------
INSTITUTIONAL SERIES PORTFOLIOS
<TABLE>
<CAPTION>
NET ASSET NET NET REALIZED AND DISTRIBUTIONS
VALUES AT INVESTMENT UNREALIZED GAINS FROM NET DISTRIBUTIONS
BEGINNING INCOME (LOSSES) ON INVESTMENT FROM
OF PERIOD (DEFICIT) INVESTMENTS INCOME CAPITAL GAINS
<S> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------------
MINI CAP GROWTH+
Institutional (For the year
ended 03/31/97)........... $ 15.85 $ (0.17) $ 0.84 -- $ (0.58)
Institutional (For the
period ended 03/31/96).... 12.50 (0.05) 3.40 -- --
EMERGING GROWTH++
Institutional (For the year
ended 03/31/97)........... 15.10 (0.08) (0.31) -- (3.65)
Institutional (For the year
ended 03/31/96)........... 11.58 (0.11) 4.45 -- (0.82)
Institutional (For the year
ended 03/31/95)........... 11.38 (0.05) 0.95 -- (0.70)
Institutional (For the
period ended 03/31/94).... 12.50 (0.04) (0.69) -- (0.39)
CORE GROWTH+++
Institutional (For the year
ended 03/31/97)........... 16.26 (0.08) 0.49 -- (1.28)
Institutional (For the year
ended 03/31/96)........... 12.62 (0.03) 4.47 -- (0.80)
Institutional (For the year
ended 03/31/95)........... 12.68 (0.01) 0.38 -- (0.43)
Institutional (For the
period ended 03/31/94).... 12.50 (0.01) 0.92 -- (0.73)
INCOME & GROWTH+++
Institutional (For the year
ended 03/31/97)........... 14.45 0.51 1.51 $ (0.52) (0.98)
Institutional (For the year
ended 03/31/96)........... 11.86 0.53 2.59 (0.53) --
Institutional (For the year
ended 03/31/95)........... 13.39 0.54 (0.85) (0.54) (0.68)
Institutional (For the
period ended 03/31/94).... 12.50 0.42 2.12 (0.42) (1.23)
BALANCED GROWTH++
Institutional (For the year
ended 03/31/97)........... 14.20 0.36 0.75 (0.33) (1.04)
Institutional (For the year
ended 03/31/96)........... 12.01 0.37 2.19 (0.37) --
Institutional (For the year
ended 03/31/95)........... 11.71 0.22 0.30 (0.22) --
Institutional (For the
period ended 03/31/94).... 12.50 0.08 (0.79) (0.08) --
VALUE++++
Institutional (For the
period ended 03/31/97).... 12.50 1.50 3.11 (1.44) (0.61)
LARGE CAP GROWTH+++++++++
Institutional (For the
period ended 03/31/97).... 12.50 -- 0.50 -- --
EMERGING COUNTRIES+++++
Institutional (For the year
ended 03/31/97)........... 14.02 (0.06) 3.62 -- (0.13)
Institutional (For the year
ended 03/31/96)........... 10.91 -- 3.16 (0.05) --
Institutional (For the
period ended 03/31/95).... 12.50 0.08 (1.66) (0.01) --
INTERNATIONAL SMALL CAP
GROWTH++++++
Institutional (For the year
ended 03/31/97)........... 15.05 -- 2.28 (0.08) (0.23)
Institutional (For the year
ended 03/31/96)........... 13.09 0.06 2.02 (0.12) --
Institutional (For the year
ended 03/31/95)........... 13.47 0.02 (0.22) (0.06) (0.12)
Institutional (For the
period ended 03/31/94).... 12.50 0.01 0.96 -- --
INTERNATIONAL CORE
GROWTH+++++++++
Institutional (For the
period ended 03/31/97).... 12.50 -- 1.63 -- --
WORLDWIDE GROWTH++
Institutional (For the year
ended 03/31/97)........... 15.42 (0.12) 2.08 -- (3.17)
Institutional (For the year
ended 03/31/96)........... 13.06 0.06 2.58 (0.28) --
Institutional (For the year
ended 03/31/95)........... 13.15 (0.01) (0.04) (0.04) --
Institutional (For the
period ended 03/31/94).... 12.50 -- 0.65 -- --
FULLY DISCRETIONARY FIXED
INCOME+++++++
Institutional (For the year
ended 03/31/97)........... 12.72 0.79 (0.17) (0.80) --
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 year
ended 03/31/97)........... 12.79 0.79 (0.13) (0.79) --
Institutional (For the
period ended 03/31/96).... 12.50 0.37 0.29 (0.37) --
STRATEGIC INCOME++++++++
Institutional (For the
period ended 03/31/97).... 12.50 0.61 0.76 (0.61) (0.20)
HIGH YIELD BOND++++++++
Institutional (For the
period ended 03/31/97).... 12.50 0.74 0.95 (0.73) (0.26)
</TABLE>
- --------------------
+ Mini-Cap Institutional Portfolio commenced operations on July 12,
1995.
++ Emerging Growth, Balanced Growth and Worldwide Growth Institutional
Portfolios commenced operations on October 1, 1993.
+++ Core Growth and Income & Growth Institutional Portfolios commenced
operations on April 19, 1993.
++++ Value Institutional Portfolio commenced operations on April 30, 1996.
+++++ Emerging Countries Institutional Portfolio commenced operations on
November 28, 1994.
++++++ International Small Cap Growth Institutional Portfolio commenced
operations on January 3, 1994.
+++++++ Fully Discretionary and Short-Intermediate Fixed Income Institutional
Portfolios commenced operations on August 31, 1995.
++++++++ Strategic Income and High Yield Bond Institutional Portfolios
commenced operations on July 31, 1996.
+++++++++ Large Cap Growth and International Core Growth Institutional
Portfolios commenced operations on December 27, 1997.
* Annualized.
** Includes expenses allocated from the Master Trust Funds. See Notes to
Funds' Financial Statements for amounts.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
72
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO OF RATIO OF
EXPENSES TO EXPENSES TO
AVERAGE NET AVERAGE NET
NET ASSETS ASSETS, AFTER ASSETS, BEFORE
NET ASSET AT EXPENSE EXPENSE
VALUES AT TOTAL END OF REIMBURSEMENT REIMBURSEMENT
END OF PERIOD RETURN PERIOD AND FEE WAIVER** AND FEE WAIVER**
<S> <C> <C> <C> <C> <C>
- --------------------------------------------------------------------------------------------------------------------
MINI CAP GROWTH+
Institutional (For the year
ended 03/31/97)........... $ 15.94 3.90% $28,711,622 1.56% 1.99%
Institutional (For the
period ended 03/31/96).... 15.85 26.80% 25,237,077 1.55%* 2.46%*
EMERGING GROWTH++
Institutional (For the year
ended 03/31/97)........... 11.06 (5.66%) 167,230,059 1.17% 1.26%
Institutional (For the year
ended 03/31/96)........... 15.10 38.27% 224,077,027 1.16% 1.20%
Institutional (For the year
ended 03/31/95)........... 11.58 8.69% 206,695,605 1.18% 1.24%
Institutional (For the
period ended 03/31/94).... 11.38 (6.06%) 165,939,862 1.17%* 1.18%*
CORE GROWTH+++
Institutional (For the year
ended 03/31/97)........... 15.39 1.74% 156,443,417 1.00% 1.02%
Institutional (For the year
ended 03/31/96)........... 16.26 35.81% 149,969,371 0.98% 1.06%
Institutional (For the year
ended 03/31/95)........... 12.62 3.30% 72,825,771 0.99% 1.07%
Institutional (For the
period ended 03/31/94).... 12.68 6.84% 77,947,252 0.97%* 1.14%*
INCOME & GROWTH+++
Institutional (For the year
ended 03/31/97)........... 14.97 14.37% 18,343,841 1.00% 1.37%
Institutional (For the year
ended 03/31/96)........... 14.45 26.69% 17,239,363 1.00% 1.53%
Institutional (For the year
ended 03/31/95)........... 11.86 (2.02%) 12,506,203 1.00% 1.48%
Institutional (For the
period ended 03/31/94).... 13.39 20.18% 18,331,546 0.99%* 1.50%*
BALANCED GROWTH++
Institutional (For the year
ended 03/31/97)........... 13.94 7.46% 709,692 1.00% 7.37%
Institutional (For the year
ended 03/31/96)........... 14.20 21.45% 625,350 1.00% 9.90%
Institutional (For the year
ended 03/31/95)........... 12.01 4.56% 283,586 1.00% 20.66%
Institutional (For the
period ended 03/31/94).... 11.71 (5.66%) 142,745 0.99%* 43.16%*
VALUE++++
Institutional (For the
period ended 03/31/97).... 15.06 26.77% 3,062,377 1.00%* 3.34%*
LARGE CAP GROWTH+++++++++
Institutional (For the
period ended 03/31/97).... 13.00 4.00% 1,292,965 1.00%* 4.99%*
EMERGING COUNTRIES+++++
Institutional (For the year
ended 03/31/97)........... 17.45 25.48% 56,917,892 1.65% 1.87%
Institutional (For the year
ended 03/31/96)........... 14.02 29.06% 6,877,500 1.65% 3.59%
Institutional (For the
period ended 03/31/95).... 10.91 (12.64%) 2,020,615 1.65%* 2.14%*
INTERNATIONAL SMALL CAP
GROWTH++++++
Institutional (For the year
ended 03/31/97)........... 17.02 15.25% 48,504,553 1.40% 1.68%
Institutional (For the year
ended 03/31/96)........... 15.05 15.99% 20,245,194 1.40% 2.44%
Institutional (For the year
ended 03/31/95)........... 13.09 (1.54%) 16,923,561 1.40% 1.92%
Institutional (For the
period ended 03/31/94).... 13.47 7.60% 3,668,113 1.40%* 2.35%*
INTERNATIONAL CORE
GROWTH+++++++++
Institutional (For the
period ended 03/31/97).... 14.13 13.04% 4,593,482 1.40%* 3.14%*
WORLDWIDE GROWTH++
Institutional (For the year
ended 03/31/97)........... 14.21 13.18% 2,655,712 1.35% 3.05%
Institutional (For the year
ended 03/31/96)........... 15.42 20.37% 3,613,140 1.35% 2.60%
Institutional (For the year
ended 03/31/95)........... 13.06 (0.34%) 4,086,668 1.35% 2.50%
Institutional (For the
period ended 03/31/94).... 13.15 5.20% 2,981,559 1.34%* 3.58%*
FULLY DISCRETIONARY FIXED
INCOME+++++++
Institutional (For the year
ended 03/31/97)........... 12.54 4.98% 15,865,442 0.45% 3.74%
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 year
ended 03/31/97)........... 12.66 5.30% 5,363,962 0.35% 2.86%
Institutional (For the
period ended 03/31/96).... 12.79 5.33% 4,725,591 0.35%* 3.17%*
STRATEGIC INCOME++++++++
Institutional (For the
period ended 03/31/97).... 13.06 11.07% 4,205,509 0.77%* 2.33%*
HIGH YIELD BOND++++++++
Institutional (For the
period ended 03/31/97).... 13.20 13.90% 4,607,559 0.75%* 1.95%*
<CAPTION>
RATIO OF NET RATIO OF NET
INCOME (DEFICIT) TO INCOME (DEFICIT) TO
AVERAGE NET AVERAGE NET
ASSETS, AFTER ASSETS, BEFORE
EXPENSE EXPENSE
REIMBURSEMENT REIMBURSEMENT
AND FEE WAIVER** AND FEE WAIVER**
<S> <C> <C>
- ------------------------------
MINI CAP GROWTH+
Institutional (For the year
ended 03/31/97)........... (1.08%) (1.30%)
Institutional (For the
period ended 03/31/96).... (0.98%)* (1.36%)*
EMERGING GROWTH++
Institutional (For the year
ended 03/31/97)........... (0.72%) (0.81%)
Institutional (For the year
ended 03/31/96)........... (0.62%) (0.66%)
Institutional (For the year
ended 03/31/95)........... (0.58%) (0.64%)
Institutional (For the
period ended 03/31/94).... (0.83%)* (0.84%)*
CORE GROWTH+++
Institutional (For the year
ended 03/31/97)........... (0.45%) (0.47%)
Institutional (For the year
ended 03/31/96)........... (0.32%) (0.40%)
Institutional (For the year
ended 03/31/95)........... (0.06%) (0.14%)
Institutional (For the
period ended 03/31/94).... (0.07%)* (0.24%)*
INCOME & GROWTH+++
Institutional (For the year
ended 03/31/97)........... 3.43% 3.03%
Institutional (For the year
ended 03/31/96)........... 3.88% 3.34%
Institutional (For the year
ended 03/31/95)........... 4.28% 3.80%
Institutional (For the
period ended 03/31/94).... 3.36%* 2.85%*
BALANCED GROWTH++
Institutional (For the year
ended 03/31/97)........... 2.49% (3.63%)
Institutional (For the year
ended 03/31/96)........... 2.74% (5.74%)
Institutional (For the year
ended 03/31/95)........... 2.06% (17.60%)
Institutional (For the
period ended 03/31/94).... 1.59%* (40.58%)*
VALUE++++
Institutional (For the
period ended 03/31/97).... 1.64%* 0.59%*
LARGE CAP GROWTH+++++++++
Institutional (For the
period ended 03/31/97).... (0.06%)* (1.68%)*
EMERGING COUNTRIES+++++
Institutional (For the year
ended 03/31/97)........... (0.52%) (0.76%)
Institutional (For the year
ended 03/31/96)........... 0.29% (1.41%)
Institutional (For the
period ended 03/31/95).... 1.73%* 1.24%*
INTERNATIONAL SMALL CAP
GROWTH++++++
Institutional (For the year
ended 03/31/97)........... (0.38%) (0.63%)
Institutional (For the year
ended 03/31/96)........... 0.34% (0.07%)
Institutional (For the year
ended 03/31/95)........... 0.19% (0.33%)
Institutional (For the
period ended 03/31/94).... 0.36%* (0.59%)*
INTERNATIONAL CORE
GROWTH+++++++++
Institutional (For the
period ended 03/31/97).... 0.43%* (0.41%)*
WORLDWIDE GROWTH++
Institutional (For the year
ended 03/31/97)........... (0.43%) (2.06%)
Institutional (For the year
ended 03/31/96)........... 0.20% (0.99%)
Institutional (For the year
ended 03/31/95)........... 0.05% (1.10%)
Institutional (For the
period ended 03/31/94).... 0.05%* (2.19%)*
FULLY DISCRETIONARY FIXED
INCOME+++++++
Institutional (For the year
ended 03/31/97)........... 6.12% 4.71%
Institutional (For the
period ended 03/31/96).... 6.39%* 2.63%*
SHORT-INTERMEDIATE FIXED
INCOME+++++++
Institutional (For the year
ended 03/31/97)........... 6.18% 4.95%
Institutional (For the
period ended 03/31/96).... 5.81%* (4.01%)*
STRATEGIC INCOME++++++++
Institutional (For the
period ended 03/31/97).... 6.97%* 6.36%*
HIGH YIELD BOND++++++++
Institutional (For the
period ended 03/31/97).... 8.47%* 7.97%*
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
73
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
STATEMENTS OF ASSETS AND LIABILITIES AS OF MARCH 31, 1997
- ------------------------------------------------------------------------
INSTITUTIONAL PORTFOLIOS
<TABLE>
<CAPTION>
MINI CAP EMERGING CORE INCOME & BALANCED
GROWTH GROWTH GROWTH GROWTH GROWTH VALUE
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
ASSETS
Investments in Master Trust
Fund, at value*........... $ 28,731,716 $167,270,120 $156,496,876 $ 18,347,415 $ 717,558 $ 3,063,619
Receivable for shares of
beneficial interest
sold...................... 27,100 571,887 685,000 150 -- --
Receivable for investments
sold in Master Trust
Fund...................... 84,469 258 -- -- -- --
Due from advisor............ 9,145 68,929 15,589 8,807 5,806 8,498
Deferred organization
costs..................... -- 3,480 14,144 7,914 -- 2,641
Prepaid expenses and other
assets.................... 1,759 4 39,328 -- -- --
---------------------------------------------------------------------------------------
Total assets.............. 28,854,189 167,914,678 157,250,937 18,364,286 723,364 3,074,758
---------------------------------------------------------------------------------------
LIABILITIES:
Payable for investments
purchased in Master Trust
Fund...................... 27,100 571,887 685,000 150 -- --
Payable for shares of
beneficial interest
repurchased............... 84,469 258 -- -- -- --
Due to advisor.............. 2,671 -- -- -- -- 6,525
Dividend payable............ 127 -- -- 4,370 43 --
Accrued expenses............ 28,200 112,474 122,520 15,925 13,629 5,856
---------------------------------------------------------------------------------------
Total liabilities......... 142,567 684,619 807,520 20,445 13,672 12,381
---------------------------------------------------------------------------------------
NET ASSETS.................... $ 28,711,622 $167,230,059 $156,443,417 $ 18,343,841 $ 709,692 $ 3,062,377
---------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
Paid-in capital............. $ 25,725,949 $159,191,011 $143,172,641 $ 16,450,844 $ 663,384 $ 2,639,601
Accumulated undistributed
net investment income
(deficit)................. (399,908) (4,232,942) (1,231,964) (3,074) 1,311 11,858
Accumulated undistributed
net realized gains
(losses).................. 1,945,564 (9,572,384) 8,493,326 398,034 13,843 173,817
Accumulated undistributed
foreign exchange gain
(loss).................... -- -- -- -- -- --
Net unrealized foreign
exchange gain (loss)...... -- -- -- -- -- --
Net unrealized appreciation
(depreciation) on
investments............... 1,440,017 21,844,374 6,009,414 1,498,037 31,154 237,101
---------------------------------------------------------------------------------------
Net assets................ $ 28,711,622 $167,230,059 $156,443,417 $ 18,343,841 $ 709,692 $ 3,062,377
---------------------------------------------------------------------------------------
Shares of beneficial
interest, no par value,
issued and outstanding
(unlimited shares
authorized)............... 1,801,049 15,120,583 10,163,057 1,225,160 50,910 203,339
---------------------------------------------------------------------------------------
COMPUTATION OF
Net asset value per share of
beneficial interest (Net
assets/Outstanding shares
of beneficial interest)... $ 15.94 $ 11.06 $ 15.39 $ 14.97 $ 13.94 $ 15.06
---------------------------------------------------------------------------------------
* Cost of investments in the
Master Trust Fund:.......... $ 24,766,026 $ 94,737,011 $117,954,215 $ 11,148,520 $ 596,130 $ 2,508,460
---------------------------------------------------------------------------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
74
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
FULLY SHORT
INTERNATIONAL INTERNATIONAL DISCRETIONARY INTERMEDIATE
LARGE CAP EMERGING SMALL CAP CORE WORLDWIDE FIXED FIXED
GROWTH COUNTRIES GROWTH GROWTH GROWTH INCOME INCOME
<S> <C> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------
ASSETS
Investments in Master Trust
Fund, at value*........... $1,293,145 $56,917,122 $ 48,498,898 $ 4,593,812 $2,660,293 $15,868,107 $5,371,822
Receivable for shares of
beneficial interest
sold...................... 100 700 100 -- 50 837,744 --
Receivable for investments
sold in Master Trust
Fund...................... -- 261,855 -- -- 2,000 -- 6,000
Due from advisor............ 3,494 8,625 21,732 3,604 5,830 5,590 5,730
Deferred organization
costs..................... -- 5,566 4,698 -- -- 1,465 1,465
Prepaid expenses and other
assets.................... -- -- -- -- -- 4,522 --
------------------------------------------------------------------------------------------------
Total assets.............. 1,296,739 57,193,868 48,525,428 4,597,416 2,668,173 16,717,428 5,385,017
------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for investments
purchased in Master Trust
Fund...................... 100 700 100 -- 50 837,744 --
Payable for shares of
beneficial interest
repurchased............... -- 261,855 -- -- 2,000 -- 6,000
Due to advisor.............. -- -- -- -- -- 3,672 2,240
Dividend payable............ -- -- -- -- -- -- --
Accrued expenses............ 3,674 13,421 20,775 3,934 10,411 10,570 12,815
------------------------------------------------------------------------------------------------
Total liabilities......... 3,774 275,976 20,875 3,934 12,461 851,986 21,055
------------------------------------------------------------------------------------------------
NET ASSETS.................... $1,292,965 $56,917,892 $ 48,504,553 $ 4,593,482 $2,655,712 $15,865,442 $5,363,962
------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
Paid-in capital............. $1,256,909 $50,220,596 $ 41,817,969 $ 4,408,789 $2,047,884 $16,071,472 $5,445,374
Accumulated undistributed
net investment income
(deficit)................. (192) (140,558) (494,453) 2,509 (73,925) (2,205) 303
Accumulated undistributed
net realized gains
(losses).................. 71,363 4,524,578 2,261,657 139,496 318,955 (162,219) (44,816)
Accumulated undistributed
foreign exchange gain
(loss).................... -- (55,427) (350,864) (13,711) (10,212) 76,248 --
Net unrealized foreign
exchange gain (loss)...... -- (5,936) (5,142) (1,301) (626) 938 --
Net unrealized appreciation
(depreciation) on
investments............... (35,115) 2,374,639 5,275,386 57,700 373,636 (118,792) (36,899)
------------------------------------------------------------------------------------------------
Net assets................ $1,292,965 $56,917,892 $ 48,504,553 $ 4,593,482 $2,655,712 $15,865,442 $5,363,962
------------------------------------------------------------------------------------------------
Shares of beneficial
interest, no par value,
issued and outstanding
(unlimited shares
authorized)............... 99,421 3,262,451 2,849,347 325,024 186,939 1,265,138 423,739
------------------------------------------------------------------------------------------------
COMPUTATION OF
Net asset value per share of
beneficial interest (Net
assets/Outstanding shares
of beneficial interest)... $ 13.00 $ 17.45 $ 17.02 $ 14.13 $ 14.21 $ 12.54 $ 12.66
------------------------------------------------------------------------------------------------
* Cost of investments in the
Master Trust Fund:.......... $1,256,909 $49,989,828 $ 40,637,628 $ 4,408,789 $1,531,404 $15,742,178 $5,021,072
------------------------------------------------------------------------------------------------
<CAPTION>
STRATEGIC HIGH YIELD
INCOME BOND
<S> <C> <C>
ASSETS
Investments in Master Trust
Fund, at value*........... $4,226,251 $4,634,509
Receivable for shares of
beneficial interest
sold...................... -- 500
Receivable for investments
sold in Master Trust
Fund...................... -- --
Due from advisor............ 4,726 4,148
Deferred organization
costs..................... -- --
Prepaid expenses and other
assets.................... -- --
Total assets.............. 4,230,977 4,639,157
LIABILITIES:
Payable for investments
purchased in Master Trust
Fund...................... -- 500
Payable for shares of
beneficial interest
repurchased............... -- --
Due to advisor.............. -- --
Dividend payable............ 19,320 25,360
Accrued expenses............ 6,148 5,738
Total liabilities......... 25,468 31,598
NET ASSETS.................... $4,205,509 $4,607,559
COMPOSITION OF NET ASSETS
Paid-in capital............. $4,037,047 $4,388,328
Accumulated undistributed
net investment income
(deficit)................. 161 1,667
Accumulated undistributed
net realized gains
(losses).................. 162,626 241,337
Accumulated undistributed
foreign exchange gain
(loss).................... -- --
Net unrealized foreign
exchange gain (loss)...... -- --
Net unrealized appreciation
(depreciation) on
investments............... 5,675 (23,773)
Net assets................ $4,205,509 $4,607,559
Shares of beneficial
interest, no par value,
issued and outstanding
(unlimited shares
authorized)............... 321,942 349,046
COMPUTATION OF
Net asset value per share of
beneficial interest (Net
assets/Outstanding shares
of beneficial interest)... $ 13.06 $ 13.20
* Cost of investments in the
Master Trust Fund:.......... $3,816,515 $4,078,706
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
75
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 1997
- -------------------------------------------------------------------------------
INSTITUTIONAL SERIES PORTFOLIOS
<TABLE>
<CAPTION>
MINI CAP EMERGING CORE INCOME & BALANCED
GROWTH GROWTH GROWTH GROWTH GROWTH VALUE+
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------
INVESTMENT INCOME:
Net investment income
(deficit) from Master
Trust Fund................ $ (306,962) $ (1,183,103) $ (584,706) $ 609,994 $ 16,199 $ 39,296
---------------------------------------------------------------------------------------
EXPENSES
Accounting fees........... 20,789 57,337 65,182 25,024 10,564 4,584
Administration fees....... 5,157 4,986 13,590 4,743 777 5,000
Audit & tax fees.......... 8,676 46,184 8,379 9,397 9,598 4,400
Co-Administration fees.... 10,519 52,869 64,264 6,111 237 988
Insurance................. 301 4,590 2,846 347 9 20
Legal fees................ 7,690 39,813 38,734 3,776 135 589
Miscellaneous............. 1,180 6,630 2,574 252 109 33
Organization costs........ 575 2,325 13,483 7,523 -- 594
Registration fees......... 10,117 22,764 19,934 2,077 69 5,146
Shareholder reporting
fees.................... 1,130 17,480 2,580 1,581 316 400
Transfer agent fees....... 14,115 21,357 23,177 17,989 16,678 2,525
Trustees' fee............. 939 3,208 1,468 520 816 1,220
---------------------------------------------------------------------------------------
Total expenses.......... 81,188 279,543 256,211 79,340 39,308 25,499
Less: Reimbursement to
(from) advisor.......... (55,477) (95,453) 25,239 (64,480) (38,752) (23,353)
Less: Co-Administration
fees waived............. (10,519) (52,869) (64,264) (6,111) (237) (988)
Add: Line of credit
commitment fee.......... 663 4,493 5,458 519 20 84
---------------------------------------------------------------------------------------
Net expenses............ 15,855 135,714 222,644 9,268 339 1,242
---------------------------------------------------------------------------------------
Net investment income
(deficit)........... (322,817) (1,318,817) (807,350) 600,726 15,860 38,054
---------------------------------------------------------------------------------------
NET REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) on
security transactions..... 2,962,417 40,968,639 24,083,173 2,239,627 37,219 278,762
Net realized foreign
exchange gain (loss)...... -- -- -- -- -- --
Net unrealized foreign
exchange gain (loss)...... -- -- -- -- -- --
Change in net unrealized
appreciation
(depreciation) of
investments............... (1,715,457) (41,243,766) (21,156,642) (495,107) (15,084) 237,101
---------------------------------------------------------------------------------------
Net gain (loss) on
investments........... 1,246,960 (275,127) 2,926,531 1,744,520 22,135 515,863
---------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 924,143 $ (1,593,944) $ 2,119,181 $ 2,345,246 $ 37,995 $ 553,917
---------------------------------------------------------------------------------------
</TABLE>
- -------------
+ Commenced operations on April 30, 1996.
++ Commenced operations on December 27, 1996.
+++ Commenced operations on July 31, 1996.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
76
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL INTERNATIONAL FULLY SHORT
LARGE CAP EMERGING SMALL CAP CORE WORLDWIDE DISCRETIONARY INTERMEDIATE
GROWTH++ COUNTRIES GROWTH GROWTH++ GROWTH FIXED INCOME FIXED INCOME
<S> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Net investment income
(deficit) from Master
Trust Fund................ $ (12) $ (134,206) $ (127,170) $ 2,839 $ (7,043) $ 274,407 $ 319,301
--------------------------------------------------------------------------------------------------
EXPENSES
Accounting fees........... 214 28,447 21,272 394 21,406 15,314 15,577
Administration fees....... 1,288 12,748 24,949 1,288 775 4,979 4,979
Audit & tax fees.......... 1,860 6,112 15,561 1,240 3,004 8,765 8,765
Co-Administration fees.... 308 15,958 15,721 564 874 1,467 1,849
Insurance................. -- 48 378 -- 52 20 29
Legal fees................ 74 4,290 8,089 136 686 1,147 1,316
Miscellaneous............. 83 810 559 8 37 164 74
Organization costs........ -- 1,853 402 -- -- 490 489
Registration fees......... 900 6,441 7,026 900 276 19,794 20,188
Shareholder reporting
fees.................... 30 2,702 2,961 30 1,042 168 168
Transfer agent fees....... 132 6,396 18,417 180 16,868 11,716 11,707
Trustees' fee............. 464 847 1,153 464 261 973 673
--------------------------------------------------------------------------------------------------
Total expenses.......... 5,353 86,652 116,488 5,204 45,281 64,997 65,814
Less: Reimbursement to
(from) advisor.......... (4,891) (56,125) (81,229) (4,358) (40,593) (61,309) (61,415)
Less: Co-Administration
fees waived............. (308) (15,958) (15,721) (564) (874) (1,467) (1,849)
Add: Line of credit
commitment fee.......... 26 1,351 1,335 48 74 125 157
--------------------------------------------------------------------------------------------------
Net expenses............ 180 15,920 20,873 330 3,888 2,346 2,707
--------------------------------------------------------------------------------------------------
Net investment income
(deficit)........... (192) (150,126) (148,043) 2,509 (10,931) 272,061 316,594
--------------------------------------------------------------------------------------------------
NET REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) on
security transactions..... 71,363 4,904,364 2,759,222 139,496 563,530 (139,003) (50,351)
Net realized foreign
exchange gain (loss)...... -- (45,337) (140,129) (13,711) (8,783) 75,392 --
Net unrealized foreign
exchange gain (loss)...... -- (5,843) (3,275) (1,301) (522) -- --
Change in net unrealized
appreciation
(depreciation) of
investments............... (35,115) 1,820,754 3,025,858 57,700 (201,276) 10,904 (6,461)
--------------------------------------------------------------------------------------------------
Net gain (loss) on
investments........... 36,248 6,673,938 5,641,676 182,184 352,949 (52,707) (56,812)
--------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 36,056 $ 6,523,812 $ 5,493,633 $ 184,693 $ 342,018 $ 219,354 $ 259,782
--------------------------------------------------------------------------------------------------
<CAPTION>
STRATEGIC HIGH YIELD
INCOME+++ BOND+++
<S> <C> <C>
INVESTMENT INCOME:
Net investment income
(deficit) from Master
Trust Fund................ $ 183,851 $ 249,816
EXPENSES
Accounting fees........... 1,714 1,834
Administration fees....... 3,485 3,485
Audit & tax fees.......... 4,979 4,879
Co-Administration fees.... 1,350 1,526
Insurance................. 14 15
Legal fees................ 657 732
Miscellaneous............. 137 241
Organization costs........ -- --
Registration fees......... 1,000 1,000
Shareholder reporting
fees.................... 100 88
Transfer agent fees....... 3,288 2,688
Trustees' fee............. 698 703
Total expenses.......... 17,422 17,191
Less: Reimbursement to
(from) advisor.......... (14,764) (14,205)
Less: Co-Administration
fees waived............. (1,350) (1,526)
Add: Line of credit
commitment fee.......... 115 130
Net expenses............ 1,423 1,590
Net investment income
(deficit)........... 182,428 248,226
NET REALIZED & UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Net realized gain (loss) on
security transactions..... 220,210 329,760
Net realized foreign
exchange gain (loss)...... -- --
Net unrealized foreign
exchange gain (loss)...... -- --
Change in net unrealized
appreciation
(depreciation) of
investments............... 5,675 (23,773)
Net gain (loss) on
investments........... 225,885 305,987
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 408,313 $ 554,213
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
77
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- ------------------------------------------------------------------------
INSTITUTIONAL SERIES PORTFOLIOS
<TABLE>
<CAPTION>
MINI CAP GROWTH EMERGING GROWTH
------------------------------ -------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED PERIOD ENDED YEAR ENDED YEAR ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1997 1996+ 1997 1996
<S> <C> <C> <C> <C>
----------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income
(deficit)................. $ (322,817) $ (77,091) $ (1,318,817) $ (1,297,127)
Net realized gain (loss)
from security
transactions.............. 2,962,417 (56,635) 40,968,639 36,854,224
Net realized foreign
exchange gain (loss)...... -- -- -- --
Net unrealized foreign
exchange gain (loss)...... -- -- -- --
Change in net unrealized
appreciation
(depreciation) of
investments............... (1,715,457) 3,155,474 (41,243,766) 33,557,773
----------------------------------------------------------------
Net increase (decrease) in
net assets resulting from
operations................ 924,143 3,021,748 (1,593,944) 69,114,870
----------------------------------------------------------------
DISTRIBUTIONS TO SHARES OF
BENEFICIAL INTEREST
Net investment income*...... -- -- -- --
Capital gain*............... (960,218) -- (37,468,037) (11,944,149)
----------------------------------------------------------------
Total distributions..... (960,218) -- (37,468,037) (11,944,149)
----------------------------------------------------------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST
Proceeds from sales......... 13,080,834 22,406,432 70,456,223 21,738,499
Proceeds from shares issued
for distribution
reinvestment.............. 754,309 -- 33,951,298 11,195,132
Cost of shares
repurchased............... (10,324,523) (192,103) (122,192,508) (72,722,930)
----------------------------------------------------------------
Increase (decrease) in net
assets derived from
transactions in shares
of beneficial
interest................ 3,510,620 22,214,329 (17,784,987) (39,789,299)
----------------------------------------------------------------
Total increase
(decrease) in net
assets................ 3,474,545 25,236,077 (56,846,968) 17,381,422
----------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD......... 25,237,077 1,000 224,077,027 206,695,605
----------------------------------------------------------------
END OF PERIOD............... $ 28,711,622 $ 25,237,077 $ 167,230,059 $ 224,077,027
----------------------------------------------------------------
CHANGES IN SHARES OF
BENEFICIAL INTEREST
Beginning balance........... 1,592,133 80 14,834,897 17,845,788
Shares sold................. 724,572 1,605,094 5,471,066 1,606,361
Shares issued for
distributions
reinvested................ 43,501 -- 2,681,778 823,777
Shares repurchased.......... (559,157) (13,041) (7,867,158) (5,441,029)
----------------------------------------------------------------
Ending balance.......... 1,801,049 1,592,133 15,120,583 14,834,897
----------------------------------------------------------------
</TABLE>
- ---------------
+ Commenced operations on July 12, 1995.
++ Commenced operations on April 30, 1996.
+++ Commenced operations on December 27, 1996.
* See Financial Highlights for per share distribution amounts.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
78
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
CORE GROWTH INCOME & GROWTH BALANCED GROWTH VALUE
-------------------------- -------------------------- -------------------------- ------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1997 1996 1997 1996 1997 1996 1997++
<S> <C> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income
(deficit)................. $ (807,350) $ (333,533) $ 600,726 $ 529,941 $ 15,860 $ 11,761 $ 38,054
Net realized gain (loss)
from security
transactions.............. 24,083,173 13,876,018 2,239,627 1,265,964 37,219 38,873 278,762
Net realized foreign
exchange gain (loss)...... -- -- -- -- -- -- --
Net unrealized foreign
exchange gain (loss)...... -- -- -- -- -- -- --
Change in net unrealized
appreciation
(depreciation) of
investments............... (21,156,642) 17,420,211 (495,107) 1,584,928 (15,084) 22,385 237,101
------------------------------------------------------------------------------------------------
Net increase (decrease) in
net assets resulting from
operations................ 2,119,181 30,962,696 2,345,246 3,380,833 37,995 73,019 553,917
------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARES OF
BENEFICIAL INTEREST
Net investment income*...... -- -- (606,762) (528,014) (14,573) (11,756) (26,196)
Capital gain*............... (13,534,098) (4,998,748) (1,113,316) -- (42,381) -- (104,945)
------------------------------------------------------------------------------------------------
Total distributions..... (13,534,098) (4,998,748) (1,720,078) (528,014) (56,954) (11,756) (131,141)
------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST
Proceeds from sales......... 57,722,183 59,521,255 2,424,480 4,259,507 333,652 330,767 2,647,153
Proceeds from shares issued
for distribution
reinvestment.............. 13,248,640 4,613,020 1,702,546 515,752 56,905 11,755 131,141
Cost of shares
repurchased............... (53,081,860) (12,954,623) (3,647,716) (2,894,918) (287,256) (62,021) (139,693)
------------------------------------------------------------------------------------------------
Increase (decrease) in net
assets derived from
transactions in shares
of beneficial
interest................ 17,888,963 51,179,652 479,310 1,880,341 103,301 280,501 2,638,601
------------------------------------------------------------------------------------------------
Total increase
(decrease) in net
assets................ 6,474,046 77,143,600 1,104,478 4,733,160 84,342 341,764 3,061,377
------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD......... 149,969,371 72,825,771 17,239,363 12,506,203 625,350 283,586 1,000
------------------------------------------------------------------------------------------------
END OF PERIOD............... $156,443,417 $149,969,371 $ 18,343,841 $ 17,239,363 $ 709,692 $ 625,350 $ 3,062,377
------------------------------------------------------------------------------------------------
CHANGES IN SHARES OF
BENEFICIAL INTEREST
Beginning balance........... 9,221,300 5,768,800 1,193,034 1,054,784 44,039 23,604 80
Shares sold................. 3,328,373 3,993,369 162,499 315,794 22,505 24,001 204,389
Shares issued for
distributions
reinvested................ 774,774 312,747 114,716 38,265 3,853 857 (10,167)
Shares repurchased.......... (3,161,390) (853,616) (245,089) (215,809) (19,487) (4,423) 9,037
------------------------------------------------------------------------------------------------
Ending balance.......... 10,163,057 9,221,300 1,225,160 1,193,034 50,910 44,039 203,339
------------------------------------------------------------------------------------------------
<CAPTION>
LARGE CAP
------------
FOR THE
PERIOD ENDED
MARCH 31,
1997+++
<S> <C>
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income
(deficit)................. $ (192)
Net realized gain (loss)
from security
transactions.............. 71,363
Net realized foreign
exchange gain (loss)...... --
Net unrealized foreign
exchange gain (loss)...... --
Change in net unrealized
appreciation
(depreciation) of
investments............... (35,115)
Net increase (decrease) in
net assets resulting from
operations................ 36,056
DISTRIBUTIONS TO SHARES OF
BENEFICIAL INTEREST
Net investment income*...... --
Capital gain*............... --
Total distributions..... --
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST
Proceeds from sales......... 1,321,861
Proceeds from shares issued
for distribution
reinvestment.............. --
Cost of shares
repurchased............... (65,952)
Increase (decrease) in net
assets derived from
transactions in shares
of beneficial
interest................ 1,255,909
Total increase
(decrease) in net
assets................ 1,291,965
NET ASSETS:
BEGINNING OF PERIOD......... 1,000
END OF PERIOD............... $ 1,292,965
CHANGES IN SHARES OF
BENEFICIAL INTEREST
Beginning balance........... 80
Shares sold................. 104,530
Shares issued for
distributions
reinvested................ --
Shares repurchased.......... (5,189)
Ending balance.......... 99,421
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
79
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS -- Continued
- ------------------------------------------------------------------------
INSTITUTIONAL SERIES PORTFOLIOS
<TABLE>
<CAPTION>
EMERGING COUNTRIES INTERNATIONAL SMALL CAP GROWTH
------------------------------- -------------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1997 1996 1997 1996
<S> <C> <C> <C> <C>
-----------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income
(deficit)................. $ (150,126) $ 10,548 $ (148,043) $ 58,952
Net realized gain (loss)
from security
transactions.............. 4,904,364 (9,283) 2,759,222 79,202
Net realized foreign
exchange gain (loss)...... (45,337) (10,388) (140,129) 188,185
Net unrealized foreign
exchange gain (loss)...... (5,843) (93) (3,275) (6,571)
Change in net unrealized
appreciation
(depreciation) of
investments............... 1,820,754 850,675 3,025,858 2,308,893
-----------------------------------------------------------------
Net increase (decrease) in
net assets resulting from
operations................ 6,523,812 841,459 5,493,633 2,628,661
-----------------------------------------------------------------
DISTRIBUTIONS TO SHARES OF
BENEFICIAL INTEREST
Net investment income*...... -- (14,493) (223,045) (142,279)
Capital gain*............... (194,973) -- (568,944) --
-----------------------------------------------------------------
Total distributions..... (194,973) (14,493) (791,989) (142,279)
-----------------------------------------------------------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST
Proceeds from sales......... 55,734,073 4,084,306 25,838,052 3,161,273
Proceeds from shares issued
for distribution
reinvestment.............. 169,281 14,314 773,378 133,555
Cost of shares
repurchased............... (12,191,801) (68,701) (3,053,715) (2,459,577)
-----------------------------------------------------------------
Increase (decrease) in net
assets derived from
transactions in shares
of beneficial
interest................ 43,711,553 4,029,919 23,557,715 835,251
-----------------------------------------------------------------
Total increase
(decrease) in net
assets................ 50,040,392 4,856,885 28,259,359 3,321,633
-----------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD......... 6,877,500 2,020,615 20,245,194 16,923,561
-----------------------------------------------------------------
END OF PERIOD............... $ 56,917,892 $ 6,877,500 $ 48,504,553 $ 20,245,194
-----------------------------------------------------------------
CHANGES IN SHARES OF
BENEFICIAL INTEREST
Beginning balance........... 490,586 185,138 1,345,544 1,292,929
Shares sold................. 3,450,932 309,531 1,639,856 218,835
Shares issued for
distributions
reinvested................ 10,803 1,158 47,675 9,657
Shares repurchased.......... (689,870) (5,241) (183,728) (175,877)
-----------------------------------------------------------------
Ending balance.......... 3,262,451 490,586 2,849,347 1,345,544
-----------------------------------------------------------------
</TABLE>
- ---------------
++++ Commenced operations on August 31, 1995.
+++++ Commenced operations on July 31, 1996.
* See Financial Highlights for per share distribution amounts.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
80
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL FULLY DISCRETIONARY FIXED SHORT INTERMEDIATE FIXED
CORE GROWTH WORLDWIDE GROWTH INCOME INCOME
------------ -------------------------- -------------------------- --------------------------
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1997+++ 1997 1996 1997 1996++++ 1997 1996++++
<S> <C> <C> <C> <C> <C> <C> <C>
------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income
(deficit)................. $ 2,509 $ (10,931) $ 7,801 $ 272,061 $ 54,694 $ 316,594 $ 112,189
Net realized gain (loss)
from security
transactions.............. 139,496 563,530 368,239 (139,003) (22,139) (50,351) 5,535
Net realized foreign
exchange gain (loss)...... (13,711) (8,783) 35,476 75,392 -- -- --
Net unrealized foreign
exchange gain (loss)...... (1,301) (522) (3,240) -- -- -- --
Change in net unrealized
appreciation
(depreciation) of
investments............... 57,700 (201,276) 351,725 10,904 (128,758) (6,461) (30,438)
------------------------------------------------------------------------------------------------
Net increase (decrease) in
net assets resulting from
operations................ 184,693 342,018 760,001 219,354 (96,203) 259,782 87,286
------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARES OF
BENEFICIAL INTEREST
Net investment income*...... -- -- (54,929) (276,382) (52,578) (316,105) (112,375)
Capital gain*............... -- (429,300) -- -- (221) -- --
------------------------------------------------------------------------------------------------
Total distributions..... -- (429,300) (54,929) (276,382) (52,799) (316,105) (112,375)
------------------------------------------------------------------------------------------------
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST
Proceeds from sales......... 4,415,151 5,125,124 2,895,533 11,803,710 4,516,992 1,516,862 4,664,407
Proceeds from shares issued
for distribution
reinvestment.............. -- 421,075 54,179 276,378 52,796 316,102 112,373
Cost of shares
repurchased............... (7,362) (6,416,345) (4,128,312) (571,004) (8,400) (1,138,270) (27,100)
------------------------------------------------------------------------------------------------
Increase (decrease) in net
assets derived from
transactions in shares
of beneficial
interest................ 4,407,789 (870,146) (1,178,600) 11,509,084 4,561,388 694,694 4,749,680
------------------------------------------------------------------------------------------------
Total increase
(decrease) in net
assets................ 4,592,482 (957,428) (473,528) 11,452,056 4,412,386 638,371 4,724,591
------------------------------------------------------------------------------------------------
NET ASSETS:
BEGINNING OF PERIOD......... 1,000 3,613,140 4,086,668 4,413,386 1,000 4,725,591 1,000
------------------------------------------------------------------------------------------------
END OF PERIOD............... $ 4,593,482 $ 2,655,712 $ 3,613,140 $ 15,865,442 $ 4,413,386 $ 5,363,962 $ 4,725,591
------------------------------------------------------------------------------------------------
CHANGES IN SHARES OF
BENEFICIAL INTEREST
Beginning balance........... 80 234,347 312,949 346,945 80 369,411 80
Shares sold................. 325,489 353,391 196,095 940,990 343,351 118,278 362,652
Shares issued for
distributions
reinvested................ -- 30,293 3,799 21,906 4,145 24,862 8,769
Shares repurchased.......... (545) (431,092) (278,496) (44,703) (631) (88,812) (2,090)
------------------------------------------------------------------------------------------------
Ending balance.......... 325,024 186,939 234,347 1,265,138 346,945 423,739 369,411
------------------------------------------------------------------------------------------------
<CAPTION>
INCOME BOND
------------ ------------
FOR THE FOR THE
PERIOD ENDED PERIOD ENDED
MARCH 31, MARCH 31,
1997+++++ 1997+++++
<S> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS FROM OPERATIONS
Net investment income
(deficit)................. $ 182,428 $ 248,226
Net realized gain (loss)
from security
transactions.............. 220,210 329,760
Net realized foreign
exchange gain (loss)...... -- --
Net unrealized foreign
exchange gain (loss)...... -- --
Change in net unrealized
appreciation
(depreciation) of
investments............... 5,675 (23,773)
Net increase (decrease) in
net assets resulting from
operations................ 408,313 554,213
DISTRIBUTIONS TO SHARES OF
BENEFICIAL INTEREST
Net investment income*...... (182,267) (246,559)
Capital gain*............... (57,584) (88,423)
Total distributions..... (239,851) (334,982)
TRANSACTIONS IN SHARES OF
BENEFICIAL INTEREST
Proceeds from sales......... 4,223,875 4,551,209
Proceeds from shares issued
for distribution
reinvestment.............. 16,398 37,643
Cost of shares
repurchased............... (204,226) (201,524)
Increase (decrease) in net
assets derived from
transactions in shares
of beneficial
interest................ 4,036,047 4,387,328
Total increase
(decrease) in net
assets................ 4,204,509 4,606,559
NET ASSETS:
BEGINNING OF PERIOD......... 1,000 1,000
END OF PERIOD............... $ 4,205,509 $ 4,607,559
CHANGES IN SHARES OF
BENEFICIAL INTEREST
Beginning balance........... 80 80
Shares sold................. 336,500 361,395
Shares issued for
distributions
reinvested................ 1,254 2,861
Shares repurchased.......... (15,892) (15,290)
Ending balance.......... 321,942 349,046
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
81
<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 52 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
Advisory (formerly 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 seventeen 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 AND REALIZED AND UNREALIZED GAINS AND LOSSES
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 securities 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.
As of March 31, 1997, Fully Discretionary Fixed Income Institutional Portfolio
and Short-Intermediate Fixed Income Institutional Portfolio had available for
Federal tax purposes $156,347 and $47,734, respectively, of unused capital loss
carryovers which expire through 2005.
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. The prospectus
for the Nicholas-Applegate Mutual Funds describes each Portfolio's policies with
respect to declaration and payment of dividends and distribution of capital
gains.
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 are 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
- --------------------------------------------------------------------------------
82
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS -- CONTINUED
- --------------------------------------------------------------------------------
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 amounts reported in the financial statements and accompanying notes.
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.
ADMINISTRATIVE SERVICES AGREEMENT
Effective November 15, 1996, the Trust agreed to compensate the Investment
Adviser for co-administrative services at an annual rate of up to 0.10% of
average daily net assets of each of the Portfolios. These fees are in addition
to the administrative fees charged by Investment Company Administration
Corporation. The Investment Adviser has agreed to waive these fees if the
related Portfolio's expenses before reimbursement is greater than the expense
limitation. In subsequent years, each Portfolio will reimburse the Investment
Adviser, up to actual cost, when operating expenses before reimbursement are
less than the applicable expense limitation.
EXPENSE LIMITATIONS
Nicholas-Applegate and the Trust have undertaken to limit the Portfolios'
expenses to the following annual levels through March 31, 1998. 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 and 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>
<S> <C>
Mini Cap Growth Institutional
Portfolio............................. 1.56%
Emerging Growth Institutional
Portfolio............................. 1.17%
Core Growth Institutional Portfolio.... 1.00%
Income & Growth Institutional
Portfolio............................. 1.00%
Balanced Growth Institutional
Portfolio............................. 1.00%
Value Institutional Portfolio.......... 1.00%
Large Cap Growth Institutional
Portfolio............................. 1.00%
Emerging Countries Institutional
Portfolio............................. 1.65%
International Small Cap Growth
Institutional Portfolio............... 1.40%
International Core Growth Institutional
Portfolio............................. 1.40%
Worldwide Growth Institutional
Portfolio............................. 1.35%
Fully Discretionary Institutional Fixed
Income Portfolio...................... 0.45%
Short-Intermediate Institutional Fixed
Income Portfolio...................... 0.35%
Strategic Income Institutional
Portfolio............................. 0.75%
High Yield Bond Institutional
Portfolio............................. 0.75%
</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, including
administrative fees, on
- --------------------------------------------------------------------------------
83
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS -- CONTINUED
- --------------------------------------------------------------------------------
behalf of the Portfolios, during the periods from inception (respectively) to
March 31, 1997, are as follows:
<TABLE>
<S> <C>
Mini Cap Growth Institutional
Portfolio.......................... $ 96,342
Emerging Growth Institutional
Portfolio.......................... 340,593
Core Growth Institutional
Portfolio.......................... 290,438
Income & Growth Institutional
Portfolio.......................... 286,900
Balanced Growth Institutional
Portfolio.......................... 146,303
Value Institutional Portfolio....... 24,341
Large Cap Institutional Portfolio... 5,199
Emerging Countries Institutional
Portfolio.......................... 147,556
International Small Cap Growth
Institutional Portfolio............ 247,968
International Core Growth
Institutional Portfolio............ 4,922
Worldwide Growth Institutional
Portfolio.......................... 165,242
Fully Discretionary Institutional
Fixed Income Portfolio............. 94,740
Short-Intermediate Institutional
Fixed Income Portfolio............. 97,667
Strategic Income Institutional
Portfolio.......................... 16,114
High Yield Bond Institutional
Portfolio.......................... 15,731
</TABLE>
RELATED PARTIES
Certain officers of the Trust and the Master Trust are also officers of the
Investment Adviser.
3. INVESTMENT TRANSACTIONS
Additions and reductions in the investments in the respective Master Trust
Funds for the fiscal year ended March 31, 1997 were as follows:
<TABLE>
<CAPTION>
ADDITIONS REDUCTIONS
(000S) (000S)
--------- -----------
<S> <C> <C>
Mini Cap Growth Institutional
Portfolio....................... $ 13,138 $ 10,585
Emerging Growth Institutional
Portfolio....................... 70,565 125,941
Core Growth Institutional
Portfolio....................... 57,820 53,655
Income & Growth Institutional
Portfolio....................... 2,497 3,734
Balanced Growth Institutional
Portfolio....................... 370 321
Value Institutional Portfolio.... 2,648 140
Large Cap Growth Institutional
Portfolio....................... 1,323 66
Emerging Countries Institutional
Portfolio....................... 55,782 12,284
International Small Cap Growth
Institutional Portfolio......... 25,909 3,171
International Core Growth
Institutional Portfolio......... 4,416 7
Worldwide Growth Institutional
Portfolio....................... 5,168 6,464
Fully Discretionary Institutional
Fixed Income Portfolio.......... 11,804 571
Short-Intermediate Institutional
Fixed Income Portfolio.......... 1,613 1,239
Strategic Income Institutional
Portfolio....................... 4,225 408
High Yield Bond Institutional
Portfolio....................... 4,552 474
</TABLE>
- --------------------------------------------------------------------------------
84
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS -- CONTINUED
- --------------------------------------------------------------------------------
4. CREDIT FACILITY
The Portfolios participate with other Nicholas-Applegate Mutual Funds
portfolios in a $75 million unsecured redemption credit facility ("Facility") to
be utilized for temporary or emergency purposes, including the financing of
redemptions. In connection therewith, the Portfolios have agreed to pay
commitment fees on its pro rata portion of the Facility. Interest is charged to
the Portfolios at rates based on prevailing market rates in effect at the time
of borrowings. At March 31, 1997, there were no outstanding borrowing under the
Facility. The maximum amount borrowed under this line of credit at any time
during the period ended March 31, 1997 was $0.
- --------------------------------------------------------------------------------
85
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS -- Continued
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES FOR THE NICHOLAS-APPLEGATE INVESTMENT TRUST
MARCH 31, 1997
<TABLE>
<CAPTION>
MINI CAP EMERGING CORE INCOME & BALANCED
GROWTH GROWTH GROWTH GROWTH GROWTH VALUE
FUND FUND FUND FUND FUND FUND
<S> <C> <C> <C> <C> <C> <C>
---------------------------------------------------------------------------------------------
ASSETS
Investments, at value*...... $ 29,454,899 $ 513,702,221 $ 429,954,685 $ 133,124,390 $ 25,327,714 $ 3,040,391
Foreign currencies, at
value**................... -- -- -- -- -- --
Cash........................ 475 7,296 -- 1,763 514 48,611
Receivable for investment
securities sold........... 126,630 5,647,577 6,131,600 427,413 1,058,379 --
Receivable for interests
sold...................... 27,100 1,685,096 1,205,089 202,752 15,798 --
Dividends receivable........ 3,517 104,509 74,306 105,839 6,081 6,774
Forward currency
contracts................. -- -- -- -- -- --
Interest receivable......... -- 3,935 27,425 718,983 187,456 --
Due from advisor............ -- -- -- -- -- 4,742
Deferred organization
costs..................... -- 14,447 16,342 8,103 5,779 --
Other assets................ -- 119,971 466 187 2,900 --
---------------------------------------------------------------------------------------------
Total assets.............. 29,612,621 521,285,052 437,409,913 134,589,430 26,604,621 3,100,518
---------------------------------------------------------------------------------------------
LIABILITIES
Payable for investment
securities purchased...... 491,717 5,620,659 3,198,970 3,069,606 1,446,188 --
Payable for interests
repurchased............... 84,469 13,505,243 936,646 733,123 118,699 --
Due to Advisor.............. 30,908 447,116 301,517 90,545 13,802 --
Accrued expenses............ 17,112 149,501 170,271 44,704 13,962 9,085
Cash overdraft.............. -- -- 28,578 -- -- --
---------------------------------------------------------------------------------------------
Total liabilities......... 624,206 19,722,519 4,635,982 3,938,028 1,592,651 9,085
---------------------------------------------------------------------------------------------
NET ASSETS.................... $ 28,988,415 $ 501,562,533 $ 432,773,931 $ 130,651,402 $ 25,011,970 $ 3,091,433
---------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
Paid-in capital............. $ 24,992,217 $ 344,243,025 $ 318,631,289 $ 85,728,279 $ 18,287,185 $ 2,529,597
Accumulated net investment
income (deficit).......... (382,385) (9,945,231) (2,250,183) 15,837,317 2,070,209 39,737
Accumulated net realized
gain (loss)............... 2,918,076 120,964,919 95,465,448 18,641,969 2,678,804 282,123
Accumulated net realized
foreign exchange gain
(loss).................... -- -- -- -- -- --
Net unrealized foreign
exchange gain (loss)...... -- -- -- -- -- --
Net unrealized appreciation
(depreciation) on
investments............... 1,460,507 46,299,820 20,927,377 10,443,837 1,975,772 239,976
---------------------------------------------------------------------------------------------
Net assets................ $ 28,988,415 $ 501,562,533 $ 432,773,931 $ 130,651,402 $ 25,011,970 $ 3,091,433
---------------------------------------------------------------------------------------------
*Investments, at cost....... $ 27,994,392 $ 467,402,401 $ 409,027,308 $ 122,680,553 $ 23,351,942 $ 2,800,415
---------------------------------------------------------------------------------------------
**Foreign currencies, at
cost...................... -- -- -- -- -- --
---------------------------------------------------------------------------------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
86
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL INTERNATIONAL FULLY SHORT-
LARGE CAP EMERGING SMALL CAP CORE WORLDWIDE DISCRETIONARY INTERMEDIATE
GROWTH COUNTRIES GROWTH GROWTH GROWTH FIXED INCOME FIXED INCOME
FUND FUND FUND FUND FUND FUND FUND
<S> <C> <C> <C> <C> <C> <C> <C>
-------------------------------------------------------------------------------------------
ASSETS
Investments, at value*...... $ 1,480,265 $148,615,133 $60,125,918 $4,959,420 $104,555,910 $ 14,885,368 $ 5,188,024
Foreign currencies, at
value**................... -- 10,253,752 1,140,629 104,781 938,477 -- --
Cash........................ 480 -- -- -- -- 39,250 5,375
Receivable for investment
securities sold........... 31,994 14,065,771 2,505,675 231,643 5,612,574 -- 184,627
Receivable for interests
sold...................... 100 1,060,310 196,701 8,988 343,764 837,744 --
Dividends receivable........ 493 130,452 81,043 5,387 184,526 -- --
Forward currency
contracts................. -- -- -- -- -- 779 --
Interest receivable......... 31 2,235 -- 21 514 200,773 43,336
Due from advisor............ 4,062 -- -- 595 25,043 11,966 7,107
Deferred organization
costs..................... -- -- 529 -- 6,630 1,465 1,465
Other assets................ -- 2,706 -- -- -- 4,406 14,422
-------------------------------------------------------------------------------------------
Total assets.............. 1,517,425 174,130,359 64,050,495 5,310,835 111,667,438 15,981,751 5,444,356
-------------------------------------------------------------------------------------------
LIABILITIES
Payable for investment
securities purchased...... 193,358 13,826,788 489,820 557,913 4,518,099 41,150 6,001
Payable for interests
repurchased............... -- 353,188 7,959 -- 311,556 -- --
Due to Advisor.............. -- 151,114 25,225 -- 88,419 2,240 2,240
Accrued expenses............ 4,909 27,618 35,528 4,995 87,583 19,976 13,476
Cash overdraft.............. -- 1,434,767 605,419 79,051 2,846,405 -- --
-------------------------------------------------------------------------------------------
Total liabilities......... 198,267 15,793,475 1,163,951 641,959 7,852,062 63,366 21,717
-------------------------------------------------------------------------------------------
NET ASSETS.................... $ 1,319,158 $158,336,884 $62,886,544 $4,668,876 $103,815,376 $ 15,918,385 $ 5,422,639
-------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
Paid-in capital............. $ 1,281,909 $141,911,478 $53,544,182 $4,480,421 $67,019,886 $ 15,788,558 $ 5,068,065
Accumulated net investment
income (deficit).......... (12) (294,130) (52,729) 2,864 264,027 333,265 436,172
Accumulated net realized
gain (loss)............... 73,001 11,593,258 2,950,994 142,256 23,282,898 (161,373) (44,372)
Accumulated net realized
foreign exchange gain
(loss).................... -- (138,069) (6,280) (13,888 ) 573,896 77,144 --
Net unrealized foreign
exchange gain (loss)...... -- (12,587) (6,666) (1,322 ) (24,280) 948 --
Net unrealized appreciation
(depreciation) on
investments............... (35,740) 5,276,934 6,457,043 58,545 12,698,949 (120,157) (37,226)
-------------------------------------------------------------------------------------------
Net assets................ $ 1,319,158 $158,336,884 $62,886,544 $4,668,876 $103,815,376 $ 15,918,385 $ 5,422,639
-------------------------------------------------------------------------------------------
*Investments, at cost....... $ 1,516,005 $143,338,199 $53,668,875 $4,900,875 $91,856,961 $ 15,005,525 $ 5,225,250
-------------------------------------------------------------------------------------------
**Foreign currencies, at
cost...................... -- $10,125,382 $ 1,140,493 $ 103,656 $ 939,277 -- --
-------------------------------------------------------------------------------------------
<CAPTION>
STRATEGIC HIGH YIELD
INCOME BOND
FUND FUND
<S> <C> <C>
ASSETS
Investments, at value*...... $ 4,254,474 $ 4,514,376
Foreign currencies, at
value**................... -- --
Cash........................ 384 25,524
Receivable for investment
securities sold........... 55,020 794,899
Receivable for interests
sold...................... -- 500
Dividends receivable........ 8,654 --
Forward currency
contracts................. -- --
Interest receivable......... 44,246 80,191
Due from advisor............ 7,466 4,148
Deferred organization
costs..................... -- --
Other assets................ 2,139 --
Total assets.............. 4,372,383 5,419,638
LIABILITIES
Payable for investment
securities purchased...... 109,656 750,000
Payable for interests
repurchased............... -- --
Due to Advisor.............. -- --
Accrued expenses............ 10,178 8,584
Cash overdraft.............. -- --
Total liabilities......... 119,834 758,584
NET ASSETS.................... $ 4,252,549 $ 4,661,054
COMPOSITION OF NET ASSETS
Paid-in capital............. $ 3,839,988 $ 4,101,814
Accumulated net investment
income (deficit).......... 185,083 251,326
Accumulated net realized
gain (loss)............... 221,714 331,812
Accumulated net realized
foreign exchange gain
(loss).................... -- --
Net unrealized foreign
exchange gain (loss)...... -- --
Net unrealized appreciation
(depreciation) on
investments............... 5,764 (23,898)
Net assets................ $ 4,252,549 $ 4,661,054
*Investments, at cost....... $ 4,248,710 $ 4,538,274
**Foreign currencies, at
cost...................... -- --
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
87
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS -- Continued
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE NICHOLAS-APPLEGATE INVESTMENT TRUST
FOR THE YEAR ENDED MARCH 31, 1997
<TABLE>
<CAPTION>
MINI CAP EMERGING CORE INCOME & BALANCED
GROWTH GROWTH GROWTH GROWTH GROWTH
FUND FUND FUND FUND FUND
<S> <C> <C> <C> <C> <C>
------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends................... $ 63,295 $ 889,913 $ 1,091,361 $ 1,998,357 $ 62,192
Interest.................... 84,017 1,793,613 1,536,884 3,344,440 847,653
------------------------------------------------------------------------
Total income.............. 147,312 2,683,526 2,628,245 5,342,797 909,845
------------------------------------------------------------------------
EXPENSES:
Advisory fee................ 376,577 5,836,182 3,594,196 902,615 196,321
Accounting fee.............. 64,430 227,961 205,513 82,626 65,767
Administration fee.......... 8,728 34,905 138,879 34,823 7,596
Audit & tax fees............ 6,199 105,901 87,431 20,549 6,121
Custodian fee............... 50,297 144,315 104,051 37,891 27,971
Insurance................... 267 10,843 4,479 1,013 152
Legal fee................... 724 11,605 6,337 2,606 345
Miscellaneous............... 2,439 39,817 32,328 7,917 2,957
Organization costs.......... -- 8,515 15,542 7,709 5,501
Trustees' fee............... 6,500 6,500 6,500 6,500 4,000
------------------------------------------------------------------------
Total expense............. 516,161 6,426,544 4,195,256 1,104,249 316,731
Less: Reimbursement to
(from) advisor............ (59,756) -- -- 39,067 (68,056)
------------------------------------------------------------------------
Net expenses............ 456,405 6,426,544 4,195,256 1,143,316 248,675
------------------------------------------------------------------------
Net investment income
(deficit)................. (309,093) (3,743,018) (1,567,011) 4,199,481 661,170
------------------------------------------------------------------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss)
from security
transactions.............. 2,973,970 96,622,117 76,538,109 15,692,945 1,969,019
Net realized foreign
exchange gain (loss)...... -- -- -- -- --
Net unrealized foreign
exchange gain (loss)...... -- -- -- --
Change in net unrealized
appreciation
(depreciation) of
investments............... (1,699,744) (114,330,357) (67,826,297) (3,821,355) (768,824)
------------------------------------------------------------------------
Net gain (loss) on
investments........... 1,274,226 (17,708,240) 8,711,812 11,871,590 1,200,195
------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS................... $ 965,133 $(21,451,258) $ 7,144,801 $ 16,071,071 $ 1,861,365
------------------------------------------------------------------------
</TABLE>
- -------------
+ Commenced operations on April 30, 1996.
++ Commenced operations on December 27, 1996.
+++ Commenced operations on July 31, 1996.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
88
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
FULLY
INTERNATIONAL INTERNATIONAL DISCRETIONARY
LARGE CAP EMERGING SMALL CAP CORE WORLDWIDE FIXED
VALUE GROWTH COUNTRIES GROWTH GROWTH GROWTH INCOME
FUND+ FUND++ FUND FUND FUND++ FUND FUND
<S> <C> <C> <C> <C> <C> <C> <C>
--------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends................... $ 59,485 $ 1,681 $ 679,747 $ 426,462 $ 5,637 $ 891,102 --
Interest.................... 2,511 1,295 149,808 54,657 4,958 61,483 295,066
--------------------------------------------------------------------------------------------
Total income.............. 61,996 2,976 829,555 481,119 10,595 952,585 295,066
--------------------------------------------------------------------------------------------
EXPENSES:
Advisory fee................ 17,527 2,359 915,695 477,212 5,726 1,028,250 20,207
Accounting fee.............. 19,437 1,074 93,917 75,496 1,158 74,912 57,213
Administration fee.......... 669 83 20,598 13,683 152 29,846 1,305
Audit & tax fees............ 491 103 9,384 7,953 158 18,808 638
Custodian fee............... 7,469 5,056 98,062 72,779 3,985 122,467 15,078
Insurance................... -- -- 204 259 -- 1,086 20
Legal fee................... 35 4 1,393 656 7 1,361 129
Miscellaneous............... 238 24 3,908 2,982 44 6,871 367
Organization costs.......... -- -- -- 299 -- 6,296 489
Trustees' fee............... 6,528 2,192 6,500 6,500 2,197 6,500 6,500
--------------------------------------------------------------------------------------------
Total expense............. 52,394 10,895 1,149,661 657,819 13,427 1,296,397 101,946
Less: Reimbursement to
(from) advisor............ (30,135) (7,907) 22,429 (13,583) (5,696) (62,497) (83,987)
--------------------------------------------------------------------------------------------
Net expenses............ 22,259 2,988 1,172,090 644,236 7,731 1,233,900 17,959
--------------------------------------------------------------------------------------------
Net investment income
(deficit)................. 39,737 (12) (342,535) (163,117) 2,864 (281,315) 277,107
--------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss)
from security
transactions.............. 282,123 73,001 11,849,728 3,140,492 142,256 15,788,457 (139,545)
Net realized foreign
exchange gain (loss)...... -- -- (113,212) (171,484) (13,888) (333,967) 76,282
Net unrealized foreign
exchange gain (loss)...... (12,593) (4,450) (1,322) (21,431) 966
Change in net unrealized
appreciation
(depreciation) of
investments............... 239,976 (35,740) 3,898,413 3,921,418 58,545 (2,434,302) 9,408
--------------------------------------------------------------------------------------------
Net gain (loss) on
investments........... 522,099 37,261 15,622,336 6,885,976 185,591 12,998,757 (52,889)
--------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 561,836 $ 37,249 $ 15,279,801 $ 6,722,859 $ 188,455 $12,717,442 $ 224,218
--------------------------------------------------------------------------------------------
<CAPTION>
SHORT-
INTERMEDIATE
FIXED STRATEGIC HIGH YIELD
INCOME INCOME BOND
FUND FUND+++ FUND+++
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends................... -- $ 29,110 --
Interest.................... 337,545 174,418 271,891
Total income.............. 337,545 203,528 271,891
EXPENSES:
Advisory fee................ 15,497 15,811 17,627
Accounting fee.............. 57,332 8,150 8,204
Administration fee.......... 1,495 737 822
Audit & tax fees............ 803 521 579
Custodian fee............... 13,823 8,446 6,539
Insurance................... 123 -- --
Legal fee................... 105 47 51
Miscellaneous............... 420 4,209 283
Organization costs.......... 489 -- --
Trustees' fee............... 6,500 5,691 5,642
Total expense............. 96,587 43,612 39,747
Less: Reimbursement to
(from) advisor............ (81,090) (25,167) (19,182)
Net expenses............ 15,497 18,445 20,565
Net investment income
(deficit)................. 322,048 185,083 251,326
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss)
from security
transactions.............. (50,498) 221,714 331,812
Net realized foreign
exchange gain (loss)...... -- -- --
Net unrealized foreign
exchange gain (loss)...... -- -- --
Change in net unrealized
appreciation
(depreciation) of
investments............... (6,618) 5,764 (23,898)
Net gain (loss) on
investments........... (57,116) 227,478 307,914
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 264,932 $ 412,561 $ 559,240
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
89
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS -- Continued
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS FOR THE NICHOLAS-APPLEGATE INVESTMENT TRUST
<TABLE>
<CAPTION>
MINI CAP GROWTH FUND EMERGING GROWTH FUND
--------------------------- ---------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED PERIOD ENDED YEAR ENDED YEAR ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1997 1996+ 1997 1996
<S> <C> <C> <C> <C>
---------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS
OPERATIONS
Net investment
income
(deficit)......... $ (309,093) $ (73,292) $ (3,743,018) $ (2,945,373)
Net realized gain
(loss) from
security
transactions...... 2,973,970 (55,894) 96,622,117 78,797,996
Net realized foreign
exchange gain
(loss)............ -- -- -- --
Net unrealized
foreign exchange
gain (loss)....... -- -- -- --
Change in net
unrealized
appreciation
(depreciation) of
investments....... (1,699,744) 3,160,251 (114,330,357) 91,635,716
---------------------------------------------------------
Net increase
(decrease) in
net assets
resulting from
operations...... 965,133 3,031,065 (21,451,258) 167,488,339
---------------------------------------------------------
TRANSACTIONS IN
INTERESTS
Contributions by
partners.......... 13,388,281 22,441,390 626,817,132 107,044,506
Withdrawals by
partners.......... (10,628,968) (208,486) (687,889,723) (161,495,614)
---------------------------------------------------------
Net increase
(decrease) in
net assets from
transactions in
interests....... 2,759,313 22,232,904 (61,072,591) (54,451,108)
---------------------------------------------------------
Total increase
(decrease) in
net assets.... 3,724,446 25,263,969 (82,523,849) 113,037,231
NET ASSETS
BEGINNING OF
PERIOD............ 25,263,969 -- 584,086,382 471,049,151
---------------------------------------------------------
END OF PERIOD....... $ 28,988,415 $25,263,969 $501,562,533 $584,086,382
---------------------------------------------------------
</TABLE>
- ---------------
+ Commenced operations on July 12, 1995.
++ Commenced operations on April 30, 1996.
+++ Commenced operations on December 27, 1996.
++++ Commenced operations on August 31, 1995.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
90
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAP
VALUE FUND GROWTH FUND
CORE GROWTH FUND INCOME & GROWTH FUND BALANCED GROWTH FUND ----------- -----------
-------------------------- -------------------------- ------------------------ FOR THE FOR THE
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE PERIOD PERIOD
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED ENDED ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1997 1996 1997 1996 1997 1996 1997++ 1997+++
<S> <C> <C> <C> <C> <C> <C> <C> <C>
----------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN
NET ASSETS
OPERATIONS
Net investment
income
(deficit)......... $ (1,567,011) $ (752,357) $ 4,199,481 $ 4,142,172 $ 661,170 $ 638,909 $ 39,737 $ (12)
Net realized gain
(loss) from
security
transactions...... 76,538,109 50,587,998 15,692,945 10,319,301 1,969,019 2,837,068 282,123 73,001
Net realized foreign
exchange gain
(loss)............ -- -- -- -- -- -- -- --
Net unrealized
foreign exchange
gain (loss)....... -- -- -- -- -- -- -- --
Change in net
unrealized
appreciation
(depreciation) of
investments....... (67,826,297) 52,583,826 (3,821,355) 10,732,341 (768,824) 742,010 239,976 (35,740)
----------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
net assets
resulting from
operations...... 7,144,801 102,419,467 16,071,071 25,193,814 1,861,365 4,217,987 561,836 37,249
----------------------------------------------------------------------------------------------------------
TRANSACTIONS IN
INTERESTS
Contributions by
partners.......... 158,154,505 113,757,799 34,105,984 15,608,507 8,738,263 4,914,004 2,673,153 1,347,861
Withdrawals by
partners.......... (153,067,978) (79,489,585) (31,283,589) (35,130,807) (9,432,209) (7,102,941) (143,556) (65,952)
----------------------------------------------------------------------------------------------------------
Net increase
(decrease) in
net assets from
transactions in
interests....... 5,086,527 34,268,214 2,822,395 (19,522,300) (693,946) (2,188,937) 2,529,597 1,281,909
----------------------------------------------------------------------------------------------------------
Total increase
(decrease) in
net assets.... 12,231,328 136,687,681 18,893,466 5,671,514 1,167,419 2,029,050 3,091,433 1,319,158
NET ASSETS
BEGINNING OF
PERIOD............ 420,542,603 283,854,922 111,757,936 106,086,422 23,844,551 21,815,501 -- --
----------------------------------------------------------------------------------------------------------
END OF PERIOD....... $432,773,931 $420,542,603 $130,651,402 $111,757,936 $25,011,970 $23,844,551 $3,091,433 $1,319,158
----------------------------------------------------------------------------------------------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
91
<PAGE>
NICHOLAS-APPLEGATE MUTUAL FUNDS
NOTES TO THE FINANCIAL STATEMENTS -- Continued
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS FOR NICHOLAS-APPLEGATE INVESTMENT TRUST
<TABLE>
<CAPTION>
INTERNATIONAL SMALL CAP
EMERGING COUNTRIES FUND GROWTH FUND
---------------------------- ---------------------------
FOR THE FOR THE FOR THE FOR THE
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1997 1996 1997 1996
<S> <C> <C> <C> <C>
----------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS OPERATIONS
Net investment income
(deficit)................. $ (342,535) $ 26,122 $ (163,117) $ 73,015
Net realized gain (loss)
from security
transactions.............. 11,849,728 (35,846) 3,140,492 61,956
Net realized foreign
exchange gain (loss)...... (113,212) (25,318) (171,484) 197,499
Net change in unrealized
foreign exchange gain
(loss).................... (12,593) (1,712) (4,450) 1,753
Net change in net unrealized
appreciation
(depreciation) of
investments............... 3,898,413 1,753,151 3,921,418 2,583,077
----------------------------------------------------------
Net increase (decrease) in
net assets resulting
from operations......... 15,279,801 1,716,397 6,722,859 2,917,300
----------------------------------------------------------
TRANSACTIONS IN INTERESTS
Contributions by partners... 143,835,272 16,175,253 37,692,390 6,044,445
Withdrawals by partners..... (20,677,175) (1,272,742) (5,334,333) (2,768,514)
----------------------------------------------------------
Net increase (decrease) in
net assets from
transactions in
interests............... 123,158,097 14,902,511 32,358,057 3,275,931
----------------------------------------------------------
Total increase
(decrease) in net
assets................ 138,437,898 16,618,908 39,080,916 6,193,231
NET ASSETS
BEGINNING OF PERIOD......... 19,898,986 3,280,078 23,805,628 17,612,397
----------------------------------------------------------
END OF PERIOD............... $ 158,336,884 $ 19,898,986 $ 62,886,544 $ 23,805,628
----------------------------------------------------------
</TABLE>
- ---------------
+++ Commenced operations on December 27, 1996.
++++ Commenced operations on August 31, 1995.
+++++ Commenced operations on July 31, 1996.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
92
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL FULLY DISCRETIONARY
CORE GROWTH FIXED INCOME FUND
FUND WORLDWIDE GROWTH FUND ------------------------
------------- -------------------------- FOR THE
FOR THE FOR THE FOR THE FOR THE PERIOD
PERIOD ENDED YEAR ENDED YEAR ENDED YEAR ENDED ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1997+++ 1997 1996 1997 1996++++
<S> <C> <C> <C> <C> <C>
-------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS OPERATIONS
Net investment income
(deficit)................. $ 2,864 $ (281,315) $ 299,362 $ 277,107 $ 56,158
Net realized gain (loss)
from security
transactions.............. 142,256 15,788,457 8,223,209 (139,545) (21,828)
Net realized foreign
exchange gain (loss)...... (13,888) (333,967) 792,348 76,282 862
Net change in unrealized
foreign exchange gain
(loss).................... (1,322) (21,431) 585 966 --
Net change in net unrealized
appreciation
(depreciation) of
investments............... 58,545 (2,434,302) 9,091,332 9,408 (129,583)
-------------------------------------------------------------------
Net increase (decrease) in
net assets resulting
from operations......... 188,455 12,717,442 18,406,836 224,218 (94,391)
-------------------------------------------------------------------
TRANSACTIONS IN INTERESTS
Contributions by partners... 4,487,783 34,174,758 17,650,729 11,828,709 4,542,991
Withdrawals by partners..... (7,362) (43,419,850) (33,276,911) (574,627) (8,515)
-------------------------------------------------------------------
Net increase (decrease) in
net assets from
transactions in
interests............... 4,480,421 (9,245,092) (15,626,182) 11,254,082 4,534,476
-------------------------------------------------------------------
Total increase
(decrease) in net
assets................ 4,668,876 3,472,350 2,780,654 11,478,300 4,440,085
NET ASSETS
BEGINNING OF PERIOD......... -- 100,343,026 97,562,372 4,440,085 --
-------------------------------------------------------------------
END OF PERIOD............... $ 4,668,876 $103,815,376 $100,343,026 $15,918,385 $4,440,085
-------------------------------------------------------------------
<CAPTION>
FIXED INCOME FUND INCOME FUND BOND FUND
------------------------ ----------- -----------
FOR THE FOR THE FOR THE
FOR THE PERIOD PERIOD PERIOD
YEAR ENDED ENDED ENDED ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1997 1996++++ 1997+++++ 1997+++++
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS OPERATIONS
Net investment income
(deficit)................. $ 322,048 $ 114,124 $ 185,083 $ 251,326
Net realized gain (loss)
from security
transactions.............. (50,498) 6,126 221,714 331,812
Net realized foreign
exchange gain (loss)...... -- -- -- --
Net change in unrealized
foreign exchange gain
(loss).................... -- -- -- --
Net change in net unrealized
appreciation
(depreciation) of
investments............... (6,618) (30,608) 5,764 (23,898)
Net increase (decrease) in
net assets resulting
from operations......... 264,932 89,642 412,561 559,240
TRANSACTIONS IN INTERESTS
Contributions by partners... 1,638,177 4,708,688 4,249,875 4,577,209
Withdrawals by partners..... (1,241,693) (37,107) (409,887) (475,395)
Net increase (decrease) in
net assets from
transactions in
interests............... 396,484 4,671,581 3,839,988 4,101,814
Total increase
(decrease) in net
assets................ 661,416 4,761,223 4,252,549 4,661,054
NET ASSETS
BEGINNING OF PERIOD......... 4,761,223 -- -- --
END OF PERIOD............... $5,422,639 $4,761,223 $4,252,549 $4,661,054
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
93
<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 seventeen investment vehicles (each a "Fund" and collectively
the "Funds") as of March 31, 1997. Up to five Portfolios of Nicholas-Applegate
Mutual Funds invest in the respective Funds of the Master Trust to achieve their
investment objective.
The investment objectives of the Funds are as follows:
Mini Cap Growth Fund seeks to maximize long-term capital appreciation through
investment primarily in a diversified portfolio of common stocks of U.S.
corporations with smaller market capitalizations.
Emerging Growth Fund seeks to maximize long-term capital appreciation through
investment primarily in equity securities of U.S. companies with less than $500
million in market capitalization.
Core Growth Fund seeks to maximize long-term capital appreciation through
investment primarily in U.S. companies, generally over $500 million in total
stock market value.
Income & Growth Fund seeks to maximize total return through investment
primarily in convertible and equity securities of U.S. companies.
Balanced Growth Fund seeks to provide a balance of long-term capital
appreciation and current income by investing approximately 60% of its total
assets in equity and convertible securities of primarily U.S. companies and 40%
of its total assets in debt securities, money market instruments and other
short-term investments.
Value Fund seeks to provide a total return consisting of capital appreciation
plus dividend and interest income that exceeds the total return on the Standard
& Poor's 500 Stock Price Index by investing primarily in a diversified portfolio
of equity securities of issuers with larger market capitalizations.
Large Cap Growth Fund seeks to maximize long-term capital appreciation through
investment primarily in equity securities of U.S. companies with larger market
capitalizations whose earnings and prices are expected to grow faster than the
Standard & Poor's 500 Stock Price Index.
Emerging Countries Fund seeks to maximize long-term capital appreciation
through investment primarily in equity securities of companies in developing
countries of the world.
International Small Cap Growth Fund (formerly International Growth Fund) seeks
to maximize long-term capital appreciation through investment primarily in
equity securities of international companies with smaller to middle market
capitalizations.
International Core Growth Fund seeks to maximize long-term capital
appreciation through investment primarily in equity securities of international
companies with larger market capitalizations.
Worldwide Growth Fund seeks to maximize long-term capital appreciation through
investment primarily in growth stocks of U.S. and foreign companies
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.
Strategic Income Fund seeks to provide a high level of current income by
investing primarily in convertible, lower quality and mortgage-backed debt
securities.
- --------------------------------------------------------------------------------
94
<PAGE>
NICHOLAS-APPLEGATE INVESTMENT TRUST
NOTES TO THE FUNDS' FINANCIAL STATEMENTS -- CONTINUED
- --------------------------------------------------------------------------------
High Yield Bond Fund seeks to provide a higher level of income and capital
growth by investing primarily in debt and equity securities, with an emphasis on
lower quality debt securities.
SECURITIES TRANSACTIONS
Equity securities are valued at the last sale price (for exchange-listed
securities) or the mean between the last bid and asked price (if lacking any
sales and for over-the-counter securities). Debt securities generally are valued
at the mean between the last bid and asked prices. 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 (net of foreign taxes withheld when applicable) 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.
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 are 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 amounts reported in the financial statements and accompanying notes.
Actual results could differ from those estimates.
B. TRANSACTIONS WITH AFFILIATES
ADVISORY AGREEMENTS
The investment adviser to the Master Trust is Nicholas-Applegate Capital
Management ("Nicholas-Applegate" or the "Investment Adviser"). The advisory fee
is computed daily based upon the following annual percentages of each Fund's
average daily net assets:
<TABLE>
<CAPTION>
FIRST $500 NEXT $500 EXCESS OF
MILLION MILLION $1 BILLION
----------- ----------- -----------
<S> <C> <C> <C>
Mini Cap Growth Fund........ 1.25% 1.25% 1.25%
Emerging Growth Fund........ 1.00% 1.00% 1.00%
Core Growth Fund............ 0.75% 0.675% 0.65%
Income & Growth Fund........ 0.75% 0.675% 0.65%
Balanced Growth Fund........ 0.75% 0.675% 0.65%
Value Fund.................. 0.75% 0.75% 0.75%
Large Cap Growth Fund....... 0.75% 0.75% 0.75%
Emerging Countries Fund..... 1.25% 1.25% 1.25%
International Small Cap
Growth Fund............... 1.00% 0.90% 0.85%
International Core Growth
Fund...................... 1.00% 0.90% 0.85%
Worldwide Growth Fund....... 1.00% 0.90% 0.85%
Strategic Income Fund....... 0.60% 0.60% 0.60%
High Yield Bond Fund........ 0.60% 0.60% 0.60%
</TABLE>
The advisory fee for Fully Discretionary Fixed Income Fund is computed as
follows: 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. The advisory fee for Short-Intermediate Fixed Income
Fund is computed a follows: 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.
- --------------------------------------------------------------------------------
95
<PAGE>
NICHOLAS-APPLEGATE INVESTMENT TRUST
NOTES TO THE FUNDS' FINANCIAL STATEMENTS -- CONTINUED
- --------------------------------------------------------------------------------
EXPENSE LIMITATIONS
Nicholas-Applegate and the Master Trust have undertaken to limit the Funds'
and Portfolios' expenses to certain annual levels through March 31, 1998. 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 and 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, 1997,
are as follows:
<TABLE>
<CAPTION>
FUND
- -----------------------------------------------
<S> <C>
Mini Cap Growth Fund........................... $ 100,479
Balanced Growth Fund........................... 312,927
Value Fund..................................... 30,135
Large Cap Growth Fund.......................... 7,907
Emerging Countries Fund........................ 89,344
International Small Cap Growth Fund............ 209,240
International Core Growth Fund................. 5,696
Worldwide Growth Fund.......................... 296,420
Fully Discretionary Fixed Income Fund.......... 104,069
Short-Intermediate Fixed Income Fund........... 101,969
Strategic Income Fund.......................... 25,167
High Yield Bond Fund........................... 19,182
</TABLE>
C. INVESTMENT TRANSACTIONS
The aggregate purchases and sales of investment securities, other than
short-term obligations, for the fiscal year ended March 31, 1997, were as
follows (in 000's):
<TABLE>
<CAPTION>
FUND PURCHASES SALES
- -------------------------------- ----------- -----------
<S> <C> <C>
Mini Cap Growth Fund............ $ 47,053 $ 45,389
Emerging Growth Fund............ 618,124 720,027
Core Growth Fund................ 698,508 689,415
Income & Growth Fund............ 201,594 192,617
Balanced Growth Fund............ 54,281 53,566
Value Fund...................... 6,073 3,555
Large Cap Growth Fund........... 4,832 3,565
Emerging Countries Fund......... 235,294 124,478
International Small Cap Growth
Fund.......................... 125,061 94,641
International Core Growth
Fund.......................... 6,103 1,669
Worldwide Growth Fund........... 181,284 188,408
Fully Discretionary Fixed Income
Fund.......................... 19,886 9,675
Short-Intermediate Fixed Income
Fund.......................... 7,071 6,483
Strategic Income Fund........... 12,053 8,045
High Yield Bond Fund............ 24,305 20,125
</TABLE>
- --------------------------------------------------------------------------------
96
<PAGE>
NICHOLAS-APPLEGATE INVESTMENT TRUST
NOTES TO THE FUNDS' FINANCIAL STATEMENTS -- CONTINUED
- --------------------------------------------------------------------------------
At March 31, 1997, the net unrealized appreciation (depreciation) based on the
cost of investments for Federal income tax purposes was as follows (in 000's):
<TABLE>
<CAPTION>
GROSS GROSS NET UNREALIZED
TAX COST OF UNREALIZED UNREALIZED APPRECIATION
INVESTMENTS APPRECIATION DEPRECIATION (DEPRECIATION)
----------- ------------- ------------- ---------------
<S> <C> <C> <C> <C>
Mini Cap Growth
Fund............ $ 28,002 $ 3,657 $ 2,204 $ 1,453
Emerging Growth
Fund............ 468,068 77,636 32,001 45,635
Core Growth Fund.. 409,134 43,158 22,337 20,821
Income & Growth
Fund............ 122,709 12,275 1,859 10,416
Balanced Growth
Fund............ 23,352 2,780 804 1,976
Value Fund........ 2,772 339 70 269
Large Cap Growth
Fund............ 1,518 41 79 (38)
Emerging Countries
Fund............ 143,340 10,716 5,441 5,275
International
Small Cap Growth
Fund............ 53,734 8,139 1,747 6,392
International Core
Growth Fund..... 4,907 161 108 53
Worldwide Growth
Fund............ 91,969 15,291 2,704 12,587
Fully
Discretionary
Fixed Income
Fund............ 15,011 7 133 (126)
Short-Intermediate
Fixed Income
Fund............ 5,228 7 47 (40)
Strategic Income
Fund............ 4,249 67 61 6
High Yield Bond
Fund............ 4,538 45 69 (24)
</TABLE>
D. MARKET AND CREDIT RISKS AND DERIVATIVE INSTRUMENTS
The Masters Trust's investment in foreign securities may entail risks due to
the potential of political and economic instability in the countries where the
securities are being offered. In addition, foreign exchange fluctuations could
affect the value of positions held. It is the Master Trust's policy to
continuously monitor its exposure to these risks.
Some of the Funds may utilize forward foreign currency exchange contracts as
part of their strategy of preserving capital. Upon entering into forward foreign
currency contracts, the Funds are required to deposit with the broker an amount
of cash or cash equivalents equal to the amount of the contract. The daily
changes in the contract are recorded as unrealized gains or losses. The Funds
recognize a realized gain or loss when the contract is sold.
- --------------------------------------------------------------------------------
97
<PAGE>
NICHOLAS-APPLEGATE INVESTMENT TRUST
NOTES TO THE FUNDS' FINANCIAL STATEMENTS -- CONTINUED
- --------------------------------------------------------------------------------
E. SELECTED RATIO DATA
<TABLE>
<CAPTION>
RATIO OF NET
RATIO OF RATIO OF INVESTMENT RATIO OF NET
EXPENSES TO EXPENSES TO INCOME INVESTMENT
AVERAGE NET AVERAGE NET (DEFICIT) TO INCOME (DEFICIT)
ASSETS, ASSETS, AVERAGE NET TO AVERAGE NET
AFTER BEFORE ASSETS, AFTER ASSETS, BEFORE
EXPENSE EXPENSE EXPENSE EXPENSE
REIMBURSEMENTS REIMBURSEMENTS REIMBURSEMENTS REIMBURSEMENTS
(RECOUPMENT) (RECOUPMENT) (RECOUPMENT) (RECOUPMENT)
<S> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------------------
MINI CAP GROWTH(1)
For the year ended 03/31/97........................ 1.51% 1.71% (1.03%) (1.22%)
For the period ended 03/31/96*..................... 1.50% 2.02% (0.93%) (1.44%)
EMERGING GROWTH(2)
For the year ended 03/31/97........................ 1.10% 1.10% (0.64%) (0.64%)
For the year ended 03/31/96........................ 1.11% 1.11% (0.57%) (0.57%)
For the year ended 03/31/95........................ 1.12% 1.11% (0.53%) (0.52%)
For the period ended 03/31/94*..................... 1.12% 1.16% (0.80%) (0.84%)
CORE GROWTH(3)
For the year ended 03/31/97........................ 0.88% 0.88% (0.33%) (0.33%)
For the year ended 03/31/96........................ 0.89% 0.89% (0.22%) (0.22%)
For the year ended 03/31/95........................ 0.89% 0.89% 0.05% 0.05%
For the period ended 03/31/94*..................... 0.92% 0.92% (0.03%) (0.03%)
INCOME & GROWTH(3)
For the year ended 03/31/97........................ 0.95% 0.92% 3.49% 3.52%
For the year ended 03/31/96........................ 0.95% 0.94% 3.94% 3.94%
For the year ended 03/31/95........................ 0.93% 0.95% 4.37% 4.35%
For the period ended 03/31/94*..................... 0.94% 0.97% 3.51% 3.48%
BALANCED GROWTH(3)
For the year ended 03/31/97........................ 0.95% 1.21% 2.53% 2.27%
For the year ended 03/31/96........................ 0.95% 1.37% 2.83% 2.37%
For the year ended 03/31/95........................ 0.95% 1.33% 2.13% 1.75%
For the period ended 03/31/94*..................... 0.94% 1.37% 1.93% 1.50%
VALUE FUND(4)
For the period ended 03/31/97*..................... 0.95% 2.24% 1.70% 0.41%
LARGE CAP GROWTH FUND(5)
For the period ended 03/31/97*..................... 0.91% 3.32% -- (2.41%)
EMERGING COUNTRIES FUND(6)
For the year ended 03/31/97........................ 1.60% 1.57% (0.47%) (0.44%)
For the year ended 03/31/96........................ 1.60% 2.80% 0.30% (0.90%)
For the period ended 03/31/95*..................... 1.60% 1.81% 1.73% 1.52%
INTERNATIONAL SMALL CAP GROWTH FUND(7)
For the year ended 03/31/97........................ 1.35% 1.38% (0.34%) (0.37%)
For the year ended 03/31/96........................ 1.35% 1.98% 0.39% (0.24%)
For the year ended 03/31/95........................ 1.35% 1.85% 0.24% (0.26%)
For the period ended 03/31/94*..................... 1.35% 2.28% 0.41% (0.52%)
INTERNATIONAL CORE GROWTH FUND(5)
For the period ended 03/31/97*..................... 1.29% 2.25% 0.48% (0.47%)
WORLDWIDE GROWTH FUND(3)
For the year ended 03/31/97........................ 1.20% 1.26% (0.27%) (0.33%)
For the year ended 03/31/96........................ 1.20% 1.26% 0.31% 0.25%
For the year ended 03/31/95........................ 1.20% 1.30% 0.24% 0.14%
For the period ended 03/31/94*..................... 1.20% 1.36% 0.01% (0.15%)
FULLY DISCRETIONARY FIXED INCOME(8)
For the year ended 03/31/97........................ 0.40% 2.27% 6.17% 4.30%
For the period ended 03/31/96*..................... 0.45% 2.69% 6.44% 4.12%
SHORT-INTERMEDIATE FIXED INCOME(8)
For the year ended 03/31/97........................ 0.30% 1.87% 6.23% 4.66%
For the period ended 03/31/96*..................... 0.30% 1.36% 5.85% 4.77%
STRATEGIC INCOME FUND(9)
For the period ended 03/31/97*..................... 0.70% 1.66% 7.02% 6.07%
HIGH YIELD BOND FUND(9)
For the period ended 03/31/97*..................... 0.70% 1.13% 8.55% 7.90%
<CAPTION>
BROKER
PORTFOLIO COMMISSIONS
TURNOVER RATE PER SHARE
<S> <C> <C>
- -----------------------------------------------------
MINI CAP GROWTH(1)
For the year ended 03/31/97........................ 164.01% $0.0455
For the period ended 03/31/96*..................... 106.99% $0.0529
EMERGING GROWTH(2)
For the year ended 03/31/97........................ 112.90% $0.0520
For the year ended 03/31/96........................ 129.59% $0.0523
For the year ended 03/31/95........................ 100.46% --
For the period ended 03/31/94*..................... 50.51% --
CORE GROWTH(3)
For the year ended 03/31/97........................ 153.20% $0.0582
For the year ended 03/31/96........................ 114.48% $0.0593
For the year ended 03/31/95........................ 98.09% --
For the period ended 03/31/94*..................... 84.84% --
INCOME & GROWTH(3)
For the year ended 03/31/97........................ 166.84% $0.0154
For the year ended 03/31/96........................ 144.97% $0.0597
For the year ended 03/31/95........................ 125.51% --
For the period ended 03/31/94*..................... 177.52% --
BALANCED GROWTH(3)
For the year ended 03/31/97........................ 212.95% $0.0586
For the year ended 03/31/96........................ 197.19% $0.0594
For the year ended 03/31/95........................ 110.40% --
For the period ended 03/31/94*..................... 85.43% --
VALUE FUND(4)
For the period ended 03/31/97*..................... 139.27% $0.0589
LARGE CAP GROWTH FUND(5)
For the period ended 03/31/97*..................... 320.73% $0.0594
EMERGING COUNTRIES FUND(6)
For the year ended 03/31/97........................ 176.20% $0.0021
For the year ended 03/31/96........................ 118.21% $0.0022
For the period ended 03/31/95*..................... 60.79% --
INTERNATIONAL SMALL CAP GROWTH FUND(7)
For the year ended 03/31/97........................ 206.07% $0.0098
For the year ended 03/31/96........................ 141.02% $0.0128
For the year ended 03/31/95........................ 74.85% --
For the period ended 03/31/94*..................... 23.71% --
INTERNATIONAL CORE GROWTH FUND(5)
For the period ended 03/31/97*..................... 75.53% $0.0106
WORLDWIDE GROWTH FUND(3)
For the year ended 03/31/97........................ 181.81% $0.0078
For the year ended 03/31/96........................ 132.20% $0.0187
For the year ended 03/31/95........................ 98.54% --
For the period ended 03/31/94*..................... 95.09% --
FULLY DISCRETIONARY FIXED INCOME(8)
For the year ended 03/31/97........................ 190.83% --
For the period ended 03/31/96*..................... 60.06% --
SHORT-INTERMEDIATE FIXED INCOME(8)
For the year ended 03/31/97........................ 132.30% --
For the period ended 03/31/96*..................... 114.38% --
STRATEGIC INCOME FUND(9)
For the period ended 03/31/97*..................... 211.63% $0.0600
HIGH YIELD BOND FUND(9)
For the period ended 03/31/97*..................... 465.32% $0.0200
</TABLE>
- --------------------
(1) Commenced operations on July 12, 1995.
(2) Commenced operations on October 1, 1993.
(3) Commenced operations on April 19, 1993.
(4) Commenced operations on April 30, 1996.
(5) Commenced operations on December 27, 1996.
(6) Commenced operations on November 28, 1994.
(7) Commenced operations on December 31, 1993.
(8) Commenced operations on August 31, 1995.
(9) Commenced operations on July 31, 1996.
* Annualized
- --------------------------------------------------------------------------------
98
<PAGE>
REPORT OF INDEPENDENT AUDITORS
- ------------------------------------------------------------------------
ERNST & YOUNG LLP
515 SOUTH FLOWER STREET
LOS ANGELES, CALIFORNIA 90071
PHONE: 213 977 3200
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF
NICHOLAS-APPLEGATE MUTUAL FUNDS
We have audited the accompanying statements of assets and liabilities of
series of Institutional Portfolios of Nicholas-Applegate Mutual Funds
(comprising respectively, Mini Cap Growth Institutional Portfolio, Emerging
Growth Institutional Portfolio, Core Growth Institutional Portfolio, Income &
Growth Institutional Portfolio, Balanced Growth Institutional Portfolio, Value
Institutional Portfolio, Large Cap Growth Institutional Portfolio, Emerging
Countries Institutional Portfolio, International Small Cap Growth Institutional
(formerly "International Growth") Portfolio, International Core Growth
Institutional Portfolio, Worldwide Growth Institutional Portfolio, Fully
Discretionary Fixed Income Institutional Portfolio, Short-Intermediate Fixed
Income Institutional Portfolio, Strategic Income Institutional Portfolio, and
High Yield Bond Institutional Portfolio) (hereinafter the "Portfolios"), as of
March 31, 1997, and the related statements of operations for the fiscal year
then ended, and the statements of changes in net assets and the financial
highlights for each of the two fiscal years in the period then ended, except for
Value Institutional Portfolio, Large Cap Growth Institutional Portfolio,
International Core Growth Institutional Portfolio, Strategic Income
Institutional Portfolio, and High Yield Institutional Portfolio, which are 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. The financial highlights for each of the two fiscal years in the
period ended March 31, 1995 were audited by other auditors whose report dated
May 12, 1995 expressed an unqualified opinion on those financial highlights.
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 the 1996 and 1997 financial
highlights referred to above present fairly, in all material respects, the
financial position of each of the respective series of Institutional Portfolios
of Nicholas-Applegate Mutual Funds as of March 31, 1997, the results of their
operations for the fiscal year then ended, and changes in their net assets and
the financial highlights for each of the two fiscal years in the period then
ended, as described in the first paragraph, in conformity with generally
accepted accounting principles.
/s/ Ernst & Young LLP
May 13, 1997
- --------------------------------------------------------------------------------
99
<PAGE>
REPORT OF INDEPENDENT AUDITORS
- ------------------------------------------------------------------------
ERNST & YOUNG LLP
515 SOUTH FLOWER STREET
LOS ANGELES, CALIFORNIA 90071
PHONE: 213 977 3200
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: Mini Cap Growth Fund, Emerging Growth Fund,
Core Growth Fund, Income & Growth Fund, Balanced Growth Fund, Value Fund, Large
Cap Growth Fund, Emerging Countries Fund, International Small Cap Growth Fund
(formerly "International Growth Fund"), International Core Growth Fund,
Worldwide Growth Fund, Fully Discretionary Fixed Income Fund, Short-Intermediate
Fixed Income Fund, Strategic Income Fund, and High Yield Bond Fund (hereinafter
the "Funds"), as of March 31, 1997, and the related statements of operations for
the fiscal year then ended, and the statements of changes in net assets for each
of the two fiscal years in the period then ended, except for the Value Fund,
Large Cap Growth Fund, International Core Growth Fund, Strategic Income Fund,
and High Yield Fund, which are 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. The
selected ratio data for each of the two fiscal years in the period ended March
31, 1995 were audited by other auditors whose report dated May 12, 1995
expressed an unqualified opinion on those selected ratio data.
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, 1997, by correspondence with
the custodians and brokers. 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 position of each of the respective Funds of
Nicholas-Applegate Investment Trust as of March 31, 1997, the results of their
operations for the fiscal year then ended, and changes in their net assets for
each of the two fiscal years in the period then ended, as described in the first
paragraph, in conformity with generally accepted accounting principles.
/s/ Ernst & Young LLP
May 13, 1997
- --------------------------------------------------------------------------------
100
<PAGE>
TRUSTEES OF NICHOLAS-APPLEGATE MUTUAL FUNDS
- -------------------------------------------
Fred C. Applegate, CHAIRMAN
Dr. Arthur B. Lafler
Charles E. Young
OFFICERS
- --------
John D. Wylie, PRESIDENT
Peter J. Johnson, VICE PRESIDENT
Thomas Pindelski, TREASURER
E. Blake Moore, Jr., SECRETARY
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
INVESTMENT MANAGER
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Nicholas-Applegate Capital Management
DISTRIBUTOR
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Nicholas-Applegate Securities
CUSTODIAN
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PNC Bank
TRANSFER AGENT
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State Street Bank & Trust Company
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NICHOLAS|APPLEGATE -Registered Trademark-
MUTUAL FUNDS
600 West Broadway
San Diego, California 92101
800-551-8643
ANN3311
