<PAGE>
NICHOLAS-APPLEGATE-Registered
Trademark-
INSTITUTIONAL FUNDS
Semi-Annual Report
Institutional Shares
SEPTEMBER 30, 1999
<PAGE>
LETTER TO SHAREHOLDERS
- ------------------------------------------------------------------------
DEAR FELLOW SHAREHOLDER:
During the six-month period ended September 30, 1999, global equity markets
surged to record highs and suffered sharp declines. Amid these changing
market conditions, the Nicholas-Applegate mutual funds largely outperformed
their benchmarks as a result of the consistent application of our proven
investment philosophy.
In the United States, stocks benefited from solid corporate profits, low
inflation and continued economic strength during much of the period. While the
specter of higher interest rates contributed to a pullback during the third
quarter, we continued to find stocks exhibiting the three elements of our
investment philosophy: evidence of positive change; sustainability of that
change; and timeliness of investment. The strong gains among US technology
stocks across all market cap segments lifted the market to record highs during
the period and helped small and mid caps narrow their underperformance gap
versus large-cap stocks.
Overseas, signs of economic recovery, corporate restructuring and increased
merger and acquisition activity boosted returns for stocks in Japan. Similar
themes, and a continued focus on enhancing shareholder value and improving
corporate efficiency, characterized developed markets in Europe and contributed
to gains. In emerging markets, two years after a devastating economic and
currency crisis, many countries are demonstrating significant recoveries. The
following factors boosted returns among emerging market stocks: improvement in
economic conditions, declining interest rates, government efforts to implement
reforms, corporate restructuring and a recovery in commodity prices.
Fixed income markets were negatively affected by rising long-term interest
rates during much of the period and the Federal Reserve Board's decision to
increase short-term interest rates twice. At the same time, inflation remains
benign -- despite investor worries. Economic growth is solid and the Fed is
committed to fighting inflation -- all positive signs for bonds.
Over the last six months, we further strengthened our investment and client
service teams by hiring a number of talented professionals. We hired several
investment professionals for our Global Equity Management Team who intensify our
research and analysis capabilities in the United States and among developed and
emerging markets. These additions fortify the depth of talent firmwide and
enhance our ability to deliver superior investment results and excellent client
service.
We also introduced our Global Health Care Fund to capture the long-term growth
potential of health care stocks around the world. The fund, launched on
September 1, is our second sector-specific fund. The Global Technology Fund,
launched last year, was our first.
As we continue to sharpen our competitive advantages, I believe
Nicholas-Applegate is better positioned now to deliver superior long-term
performance results and responsive client service than we have been at any point
in our 15-year history. We appreciate your confidence and look forward to
extending our relationship with you in the years to come.
Best Regards,
/S/ ART NICHOLAS
Art Nicholas
Managing Partner
Nicholas-Applegate Capital Management
- --------------------------------------------------------------------------------
<PAGE>
TABLE OF CONTENTS
- ------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAGE
<S> <C>
The Funds' Review and Outlook, Performance and Schedule of
Investments
Worldwide Growth.......................................... 1
Global Blue Chip.......................................... 7
Global Growth & Income.................................... 12
Global Technology......................................... 17
Global Health Care........................................ 22
International Core Growth................................. 25
International Small Cap Growth............................ 30
Emerging Countries........................................ 35
Pacific Rim............................................... 40
Latin America............................................. 45
Large Cap Growth.......................................... 49
Mid Cap Growth............................................ 52
Small Cap Growth.......................................... 56
Mini Cap Growth........................................... 64
Value..................................................... 69
Convertible............................................... 73
Short Intermediate........................................ 78
High Quality Bond......................................... 83
High Yield Bond........................................... 89
The Funds'
Financial Highlights...................................... 94
Statements of Assets and Liabilities...................... 98
Statements of Operations.................................. 102
Statements of Changes in Net Assets....................... 106
Notes to the Financial Statements......................... 113
</TABLE>
- ------------------------
This report is authorized for distribution to shareholders and to others only
when preceded or accompanied by a currently effective prospectus for
Nicholas-Applegate Institutional Funds. Distributor: Nicholas-Applegate
Securities.
<PAGE>
WORLDWIDE GROWTH FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; LAWRENCE S. SPEIDELL, CFA, Partner, Director of Global
Systematic Portfolio Management and Research; ANDREW B. GALLAGHER, Partner,
Portfolio Manager; PEDRO V. MARCAL, Partner, Portfolio Manager; LORETTA J.
MORRIS, Partner, Portfolio Manager; RANDALL S. KAHN, CFA, Portfolio Manager;
ERNESTO RAMOS, PH.D., Portfolio Manager; MELISA GRIGOLITE, Portfolio Manager;
CHRISTOPHER V. ANGIOLETTI, Investment Analyst.
GOAL: The Worldwide Growth Fund seeks to maximize long-term capital
appreciation through investments in growth-oriented companies around the world
including the United States.
MARKET OVERVIEW: A number of factors contributed to a positive backdrop for
global investing during the six-month period ended September 30, 1999.
In the United States, optimism about the robust economy, strong corporate
earnings reports, and low inflation contributed to large-cap indices reaching
record highs. European economies showed signs of recovery during the period with
prospects for strong growth in Germany, France, and Italy. Many equity markets
in the region posted gains. The following factors contributed to brighter
prospects for Europe:
- rising consumer and business confidence
- low inflation
- continued trends of consolidation, restructuring and deregulation
- a record pace of merger and acquisition activity
In Japan, optimism about economic recovery and the trend of corporate
restructuring contributed to better-than-expected stock market performance.
PERFORMANCE: For the six-month period ending September 30, 1999, the fund
gained 13.2% versus 3.2% for its benchmark, the MSCI World Index.
PORTFOLIO SPECIFICS: Stock selection, particularly within the technology
sector in Japan, was critical to the fund's outperformance relative to its
benchmark. For example, electronic device manufacturers Fujitsu, Sony and
Matsushita, as well as software and peripheral distributor Softbank, were strong
contributors to returns.
In Germany, we owned Mannesmann AG, which continued to thrive amid the
improvement in consumer and business demand in the country. Mannesmann is one of
Germany's largest conglomerates, and is among the country's leading providers of
telecommunications and engineering products and services.
MARKET OUTLOOK: Our outlook for the world's developed markets remains
optimistic amid a host of positive economic conditions, business trends, and
consumer activity. Within such a positive economic backdrop we continue to find
a myriad of stock opportunities that continue to post attractive earnings for
the Worldwide Growth Fund.
- --------------------------------------------------------------------------------
1
<PAGE>
WORLDWIDE GROWTH FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN WORLDWIDE GROWTH FUND
INSTITUTIONAL SHARES WITH THE MSCI WORLD INDEX.
<TABLE>
<S> <C> <C>
ANNUALIZED TOTAL RETURNS
As of 09/30/99 SINCE
1 YEAR 5 YEARS INCEPTION
63.86% 21.91% 20.59%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
WORLDWIDE GROWTH FUND INSTITUTIONAL SHARES MSCI WORLD INDEX
<S> <C> <C>
4/19/1993 250,000.00 250,000.00
12/31/1993 286,073.06 273,515.66
12/31/1994 294,624.53 287,458.30
12/31/1995 339,841.23 345,989.58
12/31/1996 402,739.61 392,649.45
12/31/1997 474,947.92 454,494.69
12/31/1998 655,343.88 565,076.75
9/30/1999 836,701.08 604,155.15
</TABLE>
This graph compares a $250,000 investment in the Worldwide Growth Fund
Institutional Shares with the Morgan Stanley Capital International ("MSCI")
World Index, on a cumulative and average annual total return basis. The Fund's
Institutional Shares calculate their performance based upon the historical
performance of their corresponding series ("Fund") of Pilgrim Mutual Funds,
adjusted to reflect sales charges and operating expenses. The Fund's
Institutional Shares were first available on 10/1/93. 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 Fund.
The total returns reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
MSCI World Index consists of more than 1,400 securities listed on exchanges in
the United States, 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.
Investments in overseas markets pose special risks, including currency
fluctuation and political risks, and the Fund's share price is expected to be
more volatile than that of a United States only fund.
- --------------------------------------------------------------------------------
2
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
WORLDWIDE GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCK -- 96.7%
- --------------------------------------------------------------
AUSTRALIA -- 0.5%
Rio Tinto, Ltd.................. 38,000 $ 644,422
------------
BELGIUM -- 0.5%
Fortis (B)...................... 20,400 664,784
------------
BRAZIL -- 0.5%
Aracruz Celulose S.A. -- ADR.... 9,200 192,050
CIA Siderurgica Nacional........ 11,398,000 287,918
Petroleo Brasileiro S.A. --
ADR........................... 18,400 283,671
------------
763,639
------------
CANADA -- 1.8%
Anderson Exploration, Ltd.*..... 35,600 469,983
Barrick Gold Corp............... 15,000 326,250
Biovail International Corp.*.... 10,200 517,650
Nortel Networks Corp............ 14,800 754,800
Talisman Energy, Inc............ 15,700 470,019
------------
2,538,702
------------
DENMARK -- 0.5%
Tele Denmark AS................. 12,000 715,166
------------
FINLAND -- 3.5%
Nokia OYJ -- ADR................ 37,300 3,350,006
Sonera Group OYJ................ 20,300 588,023
Stora Enso OYJ Cl. R............ 74,800 991,745
------------
4,929,774
------------
FRANCE -- 6.5%
Alcatel......................... 4,600 633,901
AXA............................. 5,600 708,490
Cap Gemini S.A.................. 4,200 661,973
Carrefour S.A................... 4,400 704,273
Coflexip S.A. -- ADR............ 5,600 267,400
Compagnie De St. Gobain......... 4,200 782,738
Credit Lyonnais S.A.*........... 15,200 446,930
Elf Aquitaine S.A............... 2,900 506,490
Lafarge S.A..................... 6,500 718,522
Michelin (CGDE) Cl. B........... 14,000 660,780
Pechiney S.A. Cl. A............. 12,800 708,831
Societe Television Francaise
1............................. 3,700 1,035,121
Suez Lyonnaise des Eaux......... 2,000 323,745
Total Fina S.A.................. 8,100 1,017,879
------------
9,177,073
------------
GERMANY -- 5.5%
BASF AG......................... 15,700 668,789
Bayerische Motoren Werke AG..... 28,600 807,126
Deutsche Bank AG................ 15,300 1,024,061
Deutsche Telekom AG............. 16,700 684,710
Edel Music AG................... 7,000 279,549
Fresenius Medical Care AG....... 9,600 635,903
Mannesmann AG................... 7,200 1,150,146
SAP AG -- ADR................... 27,700 1,045,675
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
GERMANY (CONTINUED)
Thyssen Krupp AG*............... 24,400 $ 489,813
Veba AG......................... 16,300 893,104
------------
7,678,876
------------
GREECE -- 0.3%
Titan Cement Co. S.A............ 3,900 454,949
------------
HONG KONG -- 0.8%
Cathay Pacific Airways.......... 332,000 598,368
HSBC Holdings PLC............... 51,000 582,694
------------
1,181,062
------------
HUNGARY -- 0.2%
Matav Tovkozlesi -- ADR......... 13,100 356,975
------------
INDIA -- 0.0%
Bombay Surburban Electric Supply
Co., Ltd...................... 300 1,263
------------
INDONESIA -- 0.0%
Sampoerna International......... 100 177
------------
IRELAND -- 0.3%
CRH PLC......................... 20,400 390,615
------------
ITALY -- 1.2%
Bipop-Carire SpA*............... 8,800 376,737
Mediaset SpA.................... 75,100 766,987
Seat-Pagine Gialle SpA.......... 389,800 569,541
------------
1,713,265
------------
JAPAN -- 17.9%
Asahi Chemical Industry Co.,
Ltd........................... 62,000 345,318
Bank of Tokyo-Mitsubishi,
Ltd........................... 49,000 752,465
Dai-Ichi Kangyo Bank, Ltd....... 118,000 1,471,814
Fuji Soft ABC, Inc.............. 11,500 979,666
Fujitsu, Ltd.................... 38,000 1,184,935
Hitachi, Ltd.................... 70,000 775,805
KAO Corp........................ 35,000 989,481
KDD Corp........................ 4,700 486,024
Keyence Corp.................... 1,000 267,681
Matsushita Communication
Industrial Co., Ltd........... 9,400 1,046,210
Murata Manufacturing Co.,
Ltd........................... 9,000 904,480
Nintendo Co., Ltd............... 2,300 366,808
Nippon Steel Corp............... 387,000 1,050,465
Nippon Telegraph and Telephone
Corp.......................... 75 922,795
Nomura Securities Co., Ltd...... 47,000 728,374
NTT Data Corp................... 31 349,394
NTT Mobile Communications
Network, Inc.................. 68 1,341,223
Orix Corp. -- ADR............... 5,700 346,275
Rengo Co., Ltd.................. 99,000 640,659
Ryohin Keikaku Co., Ltd......... 1,400 282,709
Ryohin Keikaku Co., Ltd. (99
Shares)*...................... 4,700 944,679
Seven-Eleven Japan Co., Ltd..... 6,000 526,909
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
3
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
WORLDWIDE GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- --------------------------------------------------------------
JAPAN (CONTINUED)
Seven-Eleven Japan Co., Ltd. (99
Shares)*...................... 6,000 $ 529,727
Shin-Etsu Chemical Co........... 16,000 667,230
Shohkoh Fund & Co., Ltd......... 1,500 1,120,034
Softbank Corp................... 3,500 1,331,361
Sony Corp....................... 8,000 1,195,454
Sony Corp. -- ADR............... 17,200 2,581,075
Takefuji Corp................... 6,000 999,155
------------
25,128,205
------------
MEXICO -- 0.4%
Telefonos de Mexico S.A. --
ADR........................... 7,000 498,750
------------
NETHERLANDS -- 3.0%
ASM Lithography Holding N.V. --
ADR*.......................... 14,200 952,288
DSM N.V......................... 16,800 666,446
Equant N.V.*.................... 7,100 577,763
Koninklijke Philips Electronics
N.V........................... 6,400 646,400
Royal Dutch Petroleum Co........ 6,800 401,625
STMicroelectronics N.V.......... 13,000 962,000
------------
4,206,522
------------
SINGAPORE -- 0.7%
DBS Group Holdings, Ltd......... 22,097 246,894
Flextronics International,
Ltd.*......................... 7,300 424,769
Natsteel Electronics, Ltd....... 90,000 336,078
------------
1,007,741
------------
SOUTH KOREA -- 0.9%
Korea Telecom Corp. -- ADR*..... 12,100 447,700
Pohang Iron & Steel Co., Ltd. --
ADR........................... 12,000 375,750
Samsung Electronics -- GDR...... 2,310 374,081
------------
1,197,531
------------
SWEDEN -- 0.6%
LM Ericsson Telephone Co. --
ADR........................... 26,800 837,500
------------
SWITZERLAND -- 0.2%
Julius Baer Holdings AG Cl. B... 100 296,548
------------
TAIWAN -- 0.4%
Taiwan Semiconductor
Manufacturing Co., Ltd. --
ADR*.......................... 18,945 558,878
------------
UNITED KINGDOM -- 6.1%
ARM Holdings PLC ADR*........... 14,700 690,900
Barclays PLC.................... 16,700 490,368
British Telecom PLC............. 25,700 389,170
CMG PLC......................... 10,900 371,579
Colt Telecom Group PLC*......... 20,000 475,610
Corus Group PLC*................ 301,900 766,906
Eidos PLC*...................... 11,600 737,203
General Electric Co. PLC........ 61,300 588,550
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
GKN PLC......................... 26,700 $ 426,298
Morgan Crucible Co. PLC......... 117,300 500,325
Orange PLC*..................... 29,900 587,935
Shell Transport & Trading Co.... 70,100 524,117
Smith & Nephew PLC*............. 97,200 306,141
Standard Chartered PLC.......... 29,600 427,997
Unilever PLC.................... 76,400 719,058
Vodafone AirTouch PLC........... 25,161 595,855
------------
8,598,012
------------
UNITED STATES -- 44.4%
Alltel Corp..................... 20,300 1,428,613
America Online, Inc............. 22,800 2,371,200
Amgen, Inc.*.................... 29,700 2,420,550
AT&T Corp. -- Liberty Media
Group Cl. A*.................. 63,900 2,372,288
CBS Corp........................ 41,200 1,905,500
Cisco Systems, Inc.*............ 33,100 2,269,419
Comcast Corp. Cl. A............. 63,400 2,528,075
Dell Computer Corp.*............ 47,200 1,973,550
EOG Resources, Inc.............. 86,900 1,846,625
Genentech, Inc.*................ 14,700 2,150,794
Halliburton Co.................. 41,400 1,697,400
Intel Corp...................... 13,100 973,494
International Paper Co.......... 37,700 1,811,956
Johnson & Johnson............... 22,200 2,039,625
Lucent Technologies, Inc........ 31,620 2,051,347
MCI WorldCom, Inc............... 24,500 1,760,937
MGM Grand, Inc.*................ 47,100 2,410,930
Microsoft Corp.*................ 24,200 2,191,613
Motorola, Inc................... 24,600 2,164,800
Nike, Inc. Cl. B................ 37,300 2,121,437
Oracle Systems Corp.*........... 50,000 2,275,000
Qualcomm, Inc.*................. 12,300 2,327,005
Schlumberger, Ltd............... 5,200 324,025
Solectron Corp.*................ 30,000 2,154,374
Sprint Corp. -- PCS Group....... 30,800 2,296,524
Sun Microsystems, Inc.*......... 26,300 2,445,900
Texas Instuments, Inc........... 22,900 1,883,524
Tyco International, Ltd......... 25,300 2,612,224
Wal-Mart Stores, Inc............ 47,400 2,254,462
Weatherford International,
Inc.*......................... 45,400 1,452,800
Williams Cos., Inc.............. 49,300 1,845,668
------------
62,361,659
------------
TOTAL COMMON STOCK
(Cost: $123,858,196)......................... 135,902,088
------------
- --------------------------------------------------------------
PREFERRED STOCK -- 0.5%
- --------------------------------------------------------------
GERMANY -- 0.5%
SAP AG
(Cost: $779,034).............. 1,700 762,185
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
4
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCK (Continued)
- --------------------------------------------------------------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 2.6%
- --------------------------------------------------------------
Pitney Bowes, Inc.
5.683%, 10/01/99
(Cost: $3,577,443)............ $ 3,578,000 $ 3,577,443
------------
- --------------------------------------------------------------
REPURCHASE AGREEMENTS -- 0.5%
- --------------------------------------------------------------
J.P. Morgan & Co., Inc. $765,000
at 5.310%, (Agreement dated
09/30/99; to be repurchased at
$765,111 on 10/01/99;
collateralized by $760,000
FNMA Notes, 5.970% due
10/02/00 (Value $780,300))
(Cost: $765,000).............. 765,000 765,000
------------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 100.3%
(Cost: $128,979,673)........................ 141,006,716
LIABILITIES IN EXCESS OF OTHER ASSETS --
(0.3%)........................................ (469,920)
------------
NET ASSETS -- 100.0%.......................... $140,536,796
------------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
5
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
WORLDWIDE GROWTH FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Airlines........................ 0.4%
Apparel......................... 1.5
Audio/Video Products............ 2.9
Auto Manufacturers.............. 0.6
Auto Parts & Equipment.......... 0.3
Biotechnology................... 3.3
Broadcasting.................... 3.2
Building Materials.............. 1.7
Chemicals....................... 1.7
Computer Services............... 0.7
Computer Software............... 3.6
Computers....................... 5.1
Cosmetics & Personal Products... 0.7
Diversified Financial
Services...................... 6.1
Diversified Manufacturing....... 3.3
Drugs/Pharmaceuticals........... 0.6
Electronic
Components/Semiconductors..... 7.0
Electronics..................... 0.8
Entertainment Software.......... 0.5
Food............................ 1.0
Insurance....................... 0.5
Internet Software............... 1.7
Investment Companies............ 1.2
Leisure/Gaming.................. 1.7
Machinery....................... 0.8
Medical Products................ 1.9
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Metal Fabrication & Hardware.... 0.5%
Metals.......................... 0.5
Mining.......................... 0.2
Miscellaneous Manufacturing..... 0.4
Money Center Banks.............. 3.2
Networking Products............. 1.6
Oil & Gas Producers............. 3.9
Oil & Gas Services.............. 2.7
Paper & Related Products........ 2.6
Pipelines....................... 1.3
Publishing...................... 0.4
Regional Commercial Banks....... 0.5
Retail - Convenience Stores..... 0.8
Retail - Discount............... 1.6
Retail - Miscellaneous.......... 0.9
Steel........................... 1.8
Telecommunications.............. 11.8
Telecommunications Equipment.... 8.8
Television...................... 3.0
Tires........................... 0.5
Toys/Games/Hobbies.............. 0.3
Water........................... 0.2
Liabilities in Excess of Other
Assets........................ (0.3)
-----
NET ASSETS...................... 100.0%
=====
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
6
<PAGE>
GLOBAL BLUE CHIP FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
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, Partner,
Portfolio Manager; RANDALL S. KAHN, CFA, Portfolio Manager; MELISA GRIGOLITE,
Portfolio Manager.
GOAL: The Global Blue Chip Fund seeks to maximize long-term capital
appreciation by investing globally in blue chip companies with large stock
market capitalizations.
MARKET OVERVIEW: A number of factors contributed to a positive backdrop for
global investing during the six-month period ended September 30, 1999 and
large-cap, blue chip stocks performed particularly well.
In the United States, optimism about the robust economy, strong corporate
earnings reports and low inflation contributed to large-cap indices reaching
record highs during the period.
European economies showed signs of recovery during the period with prospects
for strong growth displayed in Germany, France, and Italy. Equity markets were
boosted in these regions with the following factors contributing to brighter
prospects for Europe:
- rising consumer and business confidence
- low inflation
- continued trends of consolidation, restructuring and deregulation
In Japan, corporate restructuring, continued rising mergers and acquisition
activity, strength in the yen, and optimism about economic recovery all
contributed to better-than-expected stock market performance, following six
months of negative growth.
PERFORMANCE: For the six-month period ending September 30, 1999, the fund
gained 22.9% versus 3.2% for its benchmark, the MSCI World Index.
PORTFOLIO SPECIFICS: As of September 30, 1999, the fund's holdings were
concentrated in the United States and Japan, where stock selection contributed
to outstanding gains. During the period we significantly reduced our holdings
throughout Europe on a stock-by-stock basis and increased our weighting in
Japan.
Technology holdings were among the fund's strongest performers. In Japan,
semiconductor manufacturer Advantest and software and peripheral distributor
Softbank were among the fund's top performers.
In the United States, among the fund's strongest performers were: Exodus
Communications, a provider of outsourcing solutions for Internet operations; JDS
Uniphase, a developer of laser subsystem and fiber-optic telecommunications
equipment products; and Sprint, a wireless telecommunication provider.
MARKET OUTLOOK: Our outlook for the world's developed markets remains
optimistic amid a host of positive economic conditions, business trends, and
consumer activity. Within such a positive economic backdrop we continue to find
a myriad of stock opportunities that continue to post attractive earnings for
the Global Blue Chip Fund.
- --------------------------------------------------------------------------------
7
<PAGE>
GLOBAL BLUE CHIP FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN GLOBAL BLUE CHIP FUND
INSTITUTIONAL SHARES WITH THE MSCI WORLD INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
77.05% As of 09/30/99 42.59%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GLOBAL BLUE CHIP FUND INSTITUTIONAL SHARES MSCI WORLD INDEX
<S> <C> <C>
9/30/97 250,000.00 250,000.00
10/97 235,000.00 236,800.00
11/97 236,200.00 240,944.00
12/97 247,000.00 243,835.33
01/98 255,800.00 250,589.57
02/98 275,000.00 267,499.35
03/98 296,200.00 278,761.07
04/98 310,400.00 281,442.75
05/98 311,200.00 277,874.06
06/98 325,800.00 284,431.89
07/98 334,000.00 283,919.91
08/98 277,000.00 246,016.60
09/98 286,800.00 250,321.89
10/98 298,200.00 272,900.93
11/98 319,686.98 289,083.95
12/98 361,060.62 303,162.34
01/99 397,186.86 309,771.28
02/99 377,610.07 301,500.39
03/99 413,332.67 314,012.65
04/99 428,469.36 326,353.35
05/99 414,745.42 314,382.71
06/99 463,384.67 329,001.51
07/99 473,677.62 327,981.60
08/99 491,841.65 327,358.44
9/30/99 507,785.64 324,128.80
</TABLE>
This graph compares a $250,000 investment in the Global Blue Chip Fund
Institutional Shares with the 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 Fund.
The total returns reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Morgan Stanley Capital International ("MSCI") World Index consists of more
than 1,400 securities listed on exchanges in the United States, Europe, Canada,
Australia, New Zealand, and the Far East. The Index is a market-value weighted
combination of countries and is unmanaged.
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.
Investments in overseas markets pose special risks, including currency
fluctuation and political risks, and the Fund's share price is expected to be
more volatile than that of a United States only fund.
- --------------------------------------------------------------------------------
8
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
GLOBAL BLUE CHIP FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------
COMMON STOCK & OTHER INVESTMENTS -- 101.2%
- ---------------------------------------------------------------
AUSTRALIA -- 0.8%
Rio Tinto, Ltd...................... 6,000 $ 101,751
-----------
CANADA -- 1.7%
Nortel Networks Corp................ 4,400 224,400
-----------
FINLAND -- 1.3%
Nokia OYJ -- ADR.................... 1,900 170,644
-----------
FRANCE -- 5.1%
Alcatel............................. 800 110,244
AXA -- ADR.......................... 1,000 126,516
Carrefour S.A....................... 800 128,050
Michelin (CGDE) Cl. B............... 2,500 117,996
Total Fina S.A...................... 1,500 188,496
-----------
671,302
-----------
GERMANY -- 3.6%
BASF AG............................. 3,000 127,794
Mannesmann AG....................... 1,300 207,665
SAP AG Pfd.......................... 300 134,503
-----------
469,962
-----------
INDIA -- 0.4%
ICICI, Ltd. -- ADR*................. 4,100 49,200
-----------
ITALY -- 0.8%
Mediaset SpA........................ 10,100 103,150
-----------
JAPAN -- 26.9%
Advantest Corp...................... 1,700 245,891
Bank of Tokyo-Mitsubishi, Ltd....... 5,000 76,782
Dai-Ichi Kangyo Bank, Ltd........... 11,000 137,203
Fast Retailing Co., Ltd............. 1,000 198,178
Fujitsu, Ltd........................ 5,800 180,858
Hitachi, Ltd........................ 1,400 152,775
Internet Initiative Japan........... 3,000 192,000
KDD Corp............................ 700 72,387
Keyence Corp........................ 700 187,377
Murata Manufacturing Co., Ltd....... 1,000 100,498
Nomura Securities Co., Ltd.......... 11,000 170,471
NTT Corp............................ 10 123,039
NTT Data Corp....................... 6 67,625
NTT Mobile Communications........... 9 177,515
Ryohin Keikaku Co., Ltd............. 300 60,580
Ryohin Keikaku Co., Ltd. (99
Shares)*.......................... 800 160,796
Seven-Eleven Japan Co., Ltd. (99
Shares)*.......................... 2,000 176,576
Shohkoh Fund & Co., Ltd............. 240 179,205
Softbank Corp....................... 600 228,233
Sony Corp........................... 1,000 149,432
Sony Corp. -- ADR................... 600 90,038
Takefuji Corp....................... 1,000 166,526
World Co., Ltd...................... 2,000 215,648
-----------
3,509,633
-----------
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
NETHERLANDS -- 4.1%
Baan Co., N.V.*..................... 7,000 $ 101,500
DSM N.V............................. 3,000 119,008
Equant N.V.*........................ 1,000 81,375
Koninklijke Philips Electronics
N.V............................... 1,100 111,100
Royal Dutch Petroleum Co............ 2,000 118,125
-----------
531,108
-----------
SOUTH KOREA -- 1.7%
Korea Telecom Corp. -- ADR*......... 3,200 118,400
Pohang Iron & Steel Co., Ltd. --
ADR............................... 3,500 109,594
-----------
227,994
-----------
SPAIN -- 0.0%
Telefonica S.A. -- ADR.............. 60 2,880
-----------
SWEDEN -- 1.1%
LM Ericsson Telephone Co. -- ADR.... 4,500 140,625
-----------
TAIWAN -- 1.0%
Taiwan Semiconductor Manufacturing
Co., Ltd. -- ADR.................. 4,300 126,850
-----------
UNITED KINGDOM -- 4.5%
Colt Telecom Group PLC*............. 4,500 107,012
Corus Group PLC..................... 25,400 64,523
Orange PLC*......................... 3,900 76,687
Unilever PLC........................ 14,000 131,764
Vodafone AirTouch PLC............... 8,541 202,265
-----------
582,251
-----------
UNITED STATES -- 48.2%
AES Corp.*.......................... 3,000 177,000
Allergan, Inc.*..................... 1,000 110,000
America Online, Inc................. 1,500 156,000
Amgen, Inc.*........................ 1,500 122,250
Amkor Technology, Inc.*............. 8,000 129,000
Apache Corp......................... 5,000 215,937
Applied Materials, Inc.*............ 1,500 116,813
Broadcom Corp. Cl. A................ 1,000 109,000
Cisco Systems, Inc.*................ 3,000 205,687
Computer Sciences Corp.*............ 2,000 140,625
Conexant Systems, Inc.*............. 3,000 217,968
Corning, Inc........................ 2,000 137,125
Covad Communications Group, Inc.*... 2,000 87,188
Cypress Semiconductor Corp.*........ 5,000 107,500
Electronic Arts, Inc.*.............. 1,000 72,375
Electronic Data Systems Corp........ 2,800 148,225
EMC Corp.*.......................... 2,000 142,875
Enron Corp.......................... 4,000 165,000
EOG Resources, Inc.................. 6,000 127,500
Exodus Communications, Inc.*........ 3,200 230,600
Freeport-McMoran Copper & Gold, Inc.
Cl. B............................. 11,000 171,187
Halliburton Co...................... 5,000 205,000
Home Depot, Inc..................... 2,000 137,250
Internet Capital Group, Inc.*....... 3,000 263,625
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
9
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
GLOBAL BLUE CHIP FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCK & OTHER INVESTMENTS (Continued)
- ---------------------------------------------------------------
UNITED STATES (CONTINUED)
JDS Uniphase Corp.*................. 2,000 $ 227,625
Metro-Goldwyn-Mayer, Inc.*.......... 6,000 105,000
Microsoft Corp.*.................... 1,500 135,844
Phone.com, Inc.*.................... 1,500 227,250
Qualcomm, Inc.*..................... 600 113,512
Smurfit-Stone Container Corp.*...... 7,000 151,375
Sprint Corp. -- PCS Group........... 3,500 260,969
Sun Microsystems, Inc.*............. 2,000 186,000
Texas Instuments, Inc............... 1,000 82,250
Tiffany & Co........................ 3,000 179,813
Unisys Corp......................... 5,000 225,625
Verticalnet, Inc.*.................. 4,000 148,000
Viacom Inc. Cl. A................... 2,500 108,125
Wal-Mart Stores, Inc................ 3,000 142,688
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
UNITED STATES (CONTINUED)
Weatherford International, Inc.*.... 4,000 $ 128,000
Yahoo!, Inc.*....................... 1,000 179,500
-----------
6,297,306
-----------
TOTAL COMMON STOCK & OTHER INVESTMENTS
(Cost: $10,942,399)............................ 13,209,056
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 101.2%
(Cost: $10,942,399).......................... 13,209,056
LIABILITIES IN EXCESS OF OTHER ASSETS --
(1.2%)......................................... (152,769)
-----------
NET ASSETS -- 100.0%........................... $13,056,287
-----------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
10
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
GLOBAL BLUE CHIP FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Apparel......................... 1.7%
Audio/Video Products............ 1.8
Biotechnology................... 0.9
Chemicals....................... 1.9
Computer Services............... 2.2
Computer Software............... 2.8
Computers....................... 6.3
Diversified Financial
Services...................... 4.9
Electric........................ 1.4
Electronic
Components/Semiconductors..... 12.5
Electronics..................... 1.2
Entertainment................... 1.6
Entertainment Software.......... 0.6
Food............................ 2.0
Insurance....................... 1.0
Internet Content................ 4.5
Internet Software............... 6.8
Investment Companies............ 1.7
Machinery....................... 2.5
Metals.......................... 2.1
Miscellaneous Manufacturing..... 1.1
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Money Center Banks.............. 1.1%
Networking Products............. 1.6
Oil & Gas Producers............. 6.2
Oil & Gas Services.............. 2.6
Optical Supplies................ 0.8
Packaging & Containers.......... 1.2
Retail - Apparel................ 1.5
Retail - Building Products...... 1.1
Retail - Convenience Stores..... 1.4
Retail - Discount............... 1.1
Retail - Jewelry................ 1.4
Retail - Miscellaneous.......... 1.7
Steel........................... 1.3
Telecommunications.............. 10.0
Telecommunications Equipment.... 5.0
Television...................... 0.8
Tires........................... 0.9
Liabilities in Excess of Other
Assets........................ (1.2)
-----
NET ASSETS...................... 100.0%
=====
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
11
<PAGE>
GLOBAL GROWTH & INCOME FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; LAWRENCE S. SPEIDELL, CFA, Partner, Director of
Global/Systematic Portfolio Management and Research; RANDALL S. KAHN, CFA,
Portfolio Manager; LORETTA J. MORRIS, Partner, Portfolio Manager; MELISA
GRIGOLITE, Portfolio Manager.
GOAL: The Global Growth & Income Fund seeks to deliver total return consisting
of long-term capital appreciation and current income from a diversified
portfolio of stocks and fixed income securities of companies located throughout
the world.
MARKET OVERVIEW: A number of factors contributed to a positive backdrop for
global investing during the six-month period ended September 30, 1999.
In the United States, optimism about the robust economy, strong corporate
earnings reports and low inflation contributed to large-cap indices reaching
record highs during the period.
European economies showed signs of recovery during the period with prospects
for strong growth displayed in Germany, France, the United Kingdom and Italy.
Equity markets were boosted in these regions with the following factors
contributing to brighter prospects for Europe:
- rising consumer and business confidence
- low inflation
- continued trends of consolidation, restructuring and deregulation
In Japan, corporate restructuring, continued rising mergers and acquisition
activity, strength in the yen, and optimism about economic recovery all
contributed to better-than-expected stock market performance following six
months of negative growth.
PERFORMANCE: For the six-month period ending September 30, 1999, the Global
Growth & Income Fund posted an increase of 10.9% versus 3.2% for its benchmark,
the MSCI World Index.
PORTFOLIO SPECIFICS: Stock selection and overweighting in both Japan and the
United States versus the benchmark contributed to the fund's outperformance in
the period. We increased our exposure in Japan to more than 27%, up from 8% on
March 31. While still overweighted versus the benchmark, we reduced our exposure
in the United States from 59% to 50%. We also decreased our weighting in Europe
on a stock-by-stock basis to 18% from 27%.
Stock selection and our overweighting among technology stocks versus the
benchmark positively affected returns. We held stocks such as Internet leader
America Online and wireless communications supplier Qualcomm in the United
States and Internet/software company Softbank in Japan.
MARKET OUTLOOK: We remain optimistic in our outlook for global investing as we
continue to unearth exciting opportunities on a stock-by-stock basis. Favorable
themes such as increased international trade, deregulation, restructuring and
consolidation among companies worldwide all bode well for the Global Growth &
Income Fund.
- --------------------------------------------------------------------------------
12
<PAGE>
GLOBAL GROWTH & INCOME FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN GLOBAL GROWTH & INCOME
FUND INSTITUTIONAL SHARES WITH THE MSCI WORLD INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
37.44% As of 09/30/99 26.97%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GLOBAL GROWTH & MSCI WORLD INDEX
INCOME FUND
INSTITUTIONAL SHARES
<S> <C> <C>
6/30/97 250,000.00 250,000.00
7/97 286,200.00 261,475.00
8/97 285,000.00 243,930.03
9/97 318,200.00 257,151.03
10/97 298,200.00 243,573.46
11/97 304,209.44 247,836.00
12/97 311,683.44 250,810.03
1/98 314,057.27 257,757.47
2/98 325,926.40 275,150.94
3/98 340,620.39 286,734.79
4/98 346,830.86 289,493.18
5/98 344,394.44 285,822.41
6/98 354,921.78 292,567.82
7/98 361,302.73 292,041.20
8/98 303,343.75 253,053.70
9/98 311,071.61 257,482.14
10/98 319,880.28 280,707.02
11/98 335,735.87 297,352.95
12/98 355,716.41 311,834.04
1/99 370,874.78 318,632.02
2/99 359,506.00 310,124.55
3/99 385,350.69 322,994.72
4/99 397,004.95 335,688.41
5/99 384,337.28 323,375.36
6/99 408,979.74 338,412.31
7/99 411,265.97 337,363.23
8/99 417,362.56 336,722.24
9/30/99 427,523.55 333,399.71
</TABLE>
This graph compares a $250,000 investment in the Global Growth & Income Fund
Institutional Shares with the 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 Fund.
The total returns reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Morgan Stanley Capital International ("MSCI") World Index consists of more
than 1,400 securities listed on exchanges in the United States, Europe, Canada,
Australia, New Zealand, and the Far East. The Index is a market-value weighted
combination of countries and is unmanaged.
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.
Investments in overseas markets pose special risks, including currency
fluctuation and political risks, and the Fund's share price is expected to be
more volatile than that of a United States only fund.
- --------------------------------------------------------------------------------
13
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
GLOBAL GROWTH & INCOME FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------
COMMON STOCK -- 82.3%
- ---------------------------------------------------------------
CANADA -- 1.4%
Nortel Networks Corp................. 1,700 $ 86,700
----------
DENMARK -- 1.0%
Tele Danmark AS Cl. B*............... 1,000 59,597
----------
FINLAND -- 2.4%
Nokia OYJ -- ADR..................... 800 71,850
Stora Enso OYJ Cl. R................. 5,500 72,922
----------
144,772
----------
FRANCE -- 2.9%
AXA.................................. 400 50,606
Bouygues............................. 218 69,137
Societe Television Francaise 1....... 200 55,953
----------
175,696
----------
GERMANY -- 1.1%
Veba AG.............................. 1,200 65,750
----------
INDIA -- 0.5%
ICICI, Ltd. -- ADR*.................. 2,500 30,000
----------
ITALY -- 0.8%
Mediaset SpA......................... 4,600 46,979
----------
JAPAN -- 23.1%
Bank of Tokyo-Mitsubishi, Ltd........ 4,000 61,426
Dai-Ichi Kangyo Bank, Ltd............ 4,000 49,892
Fast Retailing Co., Ltd.............. 600 118,907
Fujitsu, Ltd......................... 2,400 74,838
Hitachi, Ltd. -- ADR................. 1,000 109,125
KAO Corp............................. 2,000 56,542
Keyence Corp......................... 400 107,072
Murata Manufacturing Co., Ltd........ 1,000 100,498
Ryohin Keikaku Co., Ltd.............. 200 40,387
Ryohin Keikaku Co., Ltd. (99
Shares)*........................... 300 60,298
Seven-Eleven Japan Co., Ltd. (99
Shares)*........................... 1,000 88,288
Shin-Etsu Chemical Co................ 2,000 83,404
Shohkoh Fund & Co., Ltd.............. 110 82,136
Softbank Corp........................ 300 114,116
Sony Corp. -- ADR.................... 600 90,038
Takefuji Corp........................ 400 66,610
World Co., Ltd....................... 1,000 107,824
----------
1,411,401
----------
NETHERLANDS -- 3.4%
Baan Co., N.V.*...................... 5,000 72,500
DSM N.V.*............................ 1,200 47,603
Equant N.V.*......................... 500 40,688
Royal Dutch Petroleum Co............. 800 47,250
----------
208,041
----------
NEW ZEALAND -- 0.7%
Sky City, Ltd........................ 22,500 44,385
----------
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
SINGAPORE -- 3.2%
Elec & Eltek International Co.,
Ltd................................ 27,000 $ 104,760
Singapore Telecommunications, Ltd.... 51,000 92,973
----------
197,733
----------
SOUTH KOREA -- 0.8%
Korea Telecom Corp. -- ADR*.......... 1,400 51,800
----------
SPAIN -- 0.0%
Telefonica S.A. -- ADR............... 30 1,440
----------
SWEDEN -- 1.5%
LM Ericsson Telephone Co. -- ADR..... 3,000 93,750
----------
TAIWAN -- 0.9%
Taiwan Semiconductor Manufacturing
Co., Ltd. -- ADR*.................. 1,820 53,690
----------
UNITED KINGDOM -- 2.8%
Corus Group PLC*..................... 10,900 27,689
Unilever PLC......................... 5,700 53,647
Vodafone AirTouch PLC................ 3,906 92,501
----------
173,837
----------
UNITED STATES -- 35.8%
AES Corp.*........................... 1,500 88,500
America Online, Inc.................. 1,000 104,000
Amgen, Inc.*......................... 1,000 81,500
Atlantic Richfield Co................ 700 62,037
Chevron Corp......................... 600 53,250
Corning, Inc......................... 1,500 102,844
Electronic Arts, Inc.*............... 1,300 94,087
Electronic Data Systems Corp......... 1,600 84,700
EMC Corp.*........................... 1,000 71,437
Enron Corp........................... 2,000 82,500
EOG Resources, Inc................... 3,700 78,625
Exodus Communications, Inc.*......... 1,000 72,063
Halliburton Co....................... 1,500 61,500
Internet Capital Group, Inc.*........ 1,000 87,875
Johnson & Johnson.................... 1,000 91,875
Metro-Goldwyn-Mayer, Inc.*........... 4,000 70,000
Microsoft Corp.*..................... 1,000 90,563
Phone.com, Inc.*..................... 600 90,900
Qualcomm, Inc.*...................... 300 56,756
Smurfit-Stone Container Corp.*....... 4,000 86,500
Tiffany & Co......................... 1,500 89,906
TJX Cos., Inc........................ 1,800 50,513
Unisys Corp.......................... 2,200 99,275
Viacom, Inc. Cl A.................... 2,000 86,500
Wal-Mart Stores, Inc................. 2,000 95,125
Weatherford International, Inc.*..... 2,000 64,000
Yahoo!, Inc.*........................ 500 89,750
----------
2,186,581
----------
TOTAL COMMON STOCK
(Cost: $4,517,304).............................. 5,032,152
----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
14
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
CONVERTIBLE PREFERRED STOCK -- 1.8%
- ---------------------------------------------------------------
UNITED STATES -- 1.8%
Houston Industries, Inc.
(convertible) 7.000% (ACES)........ 450 $ 45,900
Morgan Stanley Dean Witter -- Co.
(convertible) 6.000% (PERQS)....... 500 63,188
----------
TOTAL CONVERTIBLE PREFERRED STOCK
(Cost: $73,358)................................. 109,088
----------
<CAPTION>
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS -- 6.2%
- ---------------------------------------------------------------
UNITED STATES -- 6.2%
Ameritech Capital Funding
6.150%, 01/15/08................... $100,000 94,250
Costco Cos., Inc.
0.000%, 08/19/17................... 110,000 97,075
GE Global Insurance Holding
6.450%, 03/01/19................... 130,000 115,761
US West Capital Funding, Inc.
6.375%, 07/15/08................... 75,000 69,656
----------
TOTAL CORPORATE BONDS
(Cost: $384,819)................................ 376,742
----------
- ---------------------------------------------------------------
AGENCY OBLIGATIONS -- 2.4%
- ---------------------------------------------------------------
UNITED STATES -- 2.4%
Federal National Mortgage Association
6.000%, 05/15/08................... 100,000 95,777
Federal National Mortgage Association
7.250%, 06/20/02................... 100,000 52,148
----------
TOTAL AGENCY OBLIGATIONS
(Cost: $155,260)................................ 147,925
----------
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCK -- 0.7%
- ---------------------------------------------------------------
GERMANY -- 0.7%
SAP AG
(Cost: $46,576).................... 100 $ 44,834
----------
<CAPTION>
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------
<S> <C> <C>
CONVERTIBLE CORPORATE BONDS -- 1.5%
- ---------------------------------------------------------------
UNITED STATES -- 1.5%
Home Depot, Inc. (convertible)
3.250%, 10/01/01
(Cost: $43,500).................... $ 30,000 88,912
----------
- ---------------------------------------------------------------
FOREIGN CORPORATE BOND -- 1.4%
- ---------------------------------------------------------------
UNITED KINGDOM -- 1.4%
KFW International Finance, Inc.
7.250%, 07/23/07
(Cost: $92,680).................... 50,000 85,142
----------
- ---------------------------------------------------------------
US TREASURY OBLIGATIONS -- 1.3%
- ---------------------------------------------------------------
UNITED STATES -- 1.3%
6.500%, 10/15/06
(Cost: $87,400).................... 80,000 81,802
----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 97.6%
(Cost: $5,400,897)............................ 5,966,597
OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.4%... 148,418
----------
NET ASSETS -- 100.0%............................ $6,115,015
----------
- ---------------
</TABLE>
<TABLE>
<C> <S>
* Non-income producing securities.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
15
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
GLOBAL GROWTH & INCOME FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Apparel......................... 1.8%
Audio/Video Products............ 1.5
Biotechnology................... 1.3
Casino Hotels................... 0.7
Chemicals....................... 2.1
Computer Services............... 1.4
Computer Software............... 3.4
Computers....................... 4.7
Cosmetics & Personal Products... 0.9
Diversified Financial
Services...................... 11.4
Electric........................ 1.4
Electronic
Components/Semiconductors..... 6.0
Electronics..................... 1.8
Engineering & Construction...... 1.1
Entertainment................... 2.5
Entertainment Software.......... 1.5
Food............................ 0.9
Insurance....................... 2.7
Internet Content................ 2.9
Internet Software............... 4.4
Investment Companies............ 1.9
Medical Products................ 1.5
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Miscellaneous Manufacturing..... 2.8%
Money Center Banks.............. 0.8
Oil & Gas Producers............. 5.3
Oil & Gas Services.............. 2.1
Packaging & Containers.......... 1.4
Paper & Related Products........ 1.2
Publishing...................... 0.8
Retail - Apparel................ 1.9
Retail - Building Products...... 1.5
Retail - Convenience Stores..... 1.4
Retail - Discount Stores........ 4.0
Retail - Jewelry................ 1.5
Retail - Miscellaneous.......... 1.6
Steel........................... 0.5
Telecommunications.............. 4.9
Telecommunications Equipment.... 5.1
Television...................... 1.7
US Treasury Bonds............... 1.3
Other Assets in Excess of
Liabilities................... 2.4
-----
NET ASSETS...................... 100.0%
=====
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
16
<PAGE>
GLOBAL TECHNOLOGY FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; AARON HARRIS, Portfolio Manager; LORETTA J. MORRIS, Partner,
Portfolio Manager; RANDALL S. KAHN, CFA, Portfolio Manager;
CHRISTOPHER ANGIOLETTI, Investment Analyst.
GOAL: The Global Technology Fund seeks to maximize long-term capital
appreciation by investing primarily in common and preferred stocks, warrants and
convertible securities of companies with business operations in technology and
technology-related industries worldwide.
MARKET OVERVIEW: For much of the six-month period ending September 30, 1999,
technology stocks worldwide posted significant gains amid increasing investor
recognition of the powerful long-term growth potential inherent within the
sector. While gains in technology stocks worldwide were impressive, they varied
among industries within the technology sector.
In the period, accelerating earnings growth and solid price appreciation were
particularly evident among telecommunication equipment companies as well as
companies providing Internet software, IT services and business-to-business
Internet-related solutions.
PERFORMANCE: For the six-month period ending September 30, 1999, the fund
gained 52.8% versus 30.8% for the Merrill Lynch Global Technology 100 Index.
PORTFOLIO SPECIFICS: The fund's outstanding gains were attributable to stock
selection, especially in Japan and the United States. During the period, we
increased our exposure to Japan on a stock-by-stock basis to nearly 15%, up from
3% on March 31, 1999.
One of the fund's best-performing holdings was Qualcomm, a developer of
digital wireless communications, infrastructure and subscriber products. Exodus
Communications, a provider of Internet and network management solutions, was
also a top performer for the period. In Japan, Matsushita, a producer of
electronic products, Hikari Tsushin, a wireless Internet access handset company
and Softbank, a software and peripheral distributor, all posted strong returns
for the fund.
Since inception, gains from IPOs accounted for approximately half of the
fund's total return. Among the strongest performers were Critical Path, The
Globe.com, Market Watch and Eye Village. While IPOs had a strong influence on
results, their impact on performance will likely diminish as the fund's assets
grow. In addition, we cannot guarantee that the fund will have continued access
to top-performing IPOs.
MARKET OUTLOOK: A number of factors inspire optimism for the technology sector
including: projected robust spending for information technology; the brisk pace
of merger and acquisition activities, which will spur increased competition; and
exciting growth opportunities created by the Internet around the globe.
At the same time, uncertainties exist within the sector:
- the impact of Y2K, especially on corporate spending patterns;
- the repercussions of the earthquake in Taiwan, a leading area of the world's
semiconductor production;
- the impact on PC-related industries of corporate migration to Windows 2000.
Given these variables, we believe individual security selection will remain
critical.
- --------------------------------------------------------------------------------
17
<PAGE>
GLOBAL TECHNOLOGY FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN GLOBAL TECHNOLOGY FUND
INSTITUTIONAL SHARES WITH THE MERRILL LYNCH GLOBAL TECHNOLOGY 100 INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
478.31% As of 09/30/99 329.87%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GLOBAL TECHNOLO- MERRILL LYNCH
GY GLOBAL TECHNOLOGY
FUND INSTITUTIONAL 100 INDEX
SHARES
<S> <C> <C>
7/31/98 250,000.00 250,000.00
08/98 205,800.00 193,380.00
09/98 236,000.00 225,106.12
10/98 244,000.00 248,224.29
11/98 361,400.00 281,915.52
12/98 454,200.00 333,884.40
01/99 638,200.00 379,446.26
02/99 668,000.00 335,658.16
03/99 893,000.00 371,607.15
04/99 980,800.00 388,325.38
05/99 940,000.00 397,027.76
06/99 1,097,800.00 459,104.24
07/99 1,154,200.00 448,503.06
08/99 1,292,000.00 472,907.46
9/30/99 1,364,800.00 486,011.25
</TABLE>
This graph compares a $250,000 investment in the Global Technology Fund
Institutional Shares with the Merrill Lynch Global Technology 100 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 Fund.
The total return data presented may be affected by special market factors,
including the Fund's investments in IPOs, which had a material impact on the
Fund's performance. There is no guarantee that, as the Fund's assets grow, it
will continue to experience substantially similar performance.
The total returns reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Merrill Lynch Global Technology 100 Index is an equally weighted unmanaged
Index containing the 100 largest market capitalizations in the global technology
sector.
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.
Investments in overseas markets pose special risks, including currency
fluctuation and political risks, and the Fund's share price is expected to be
more volatile than that of a United States only fund.
- --------------------------------------------------------------------------------
18
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
GLOBAL TECHNOLOGY FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCK -- 98.0%
- --------------------------------------------------------------
AUSTRALIA -- 0.6%
Protel International, Ltd.*...... 176,200 $ 394,409
-----------
BRITISH VIRGIN ISLANDS -- 0.8%
Gemstar International Group,
Ltd.*.......................... 6,500 507,813
-----------
CANADA -- 0.7%
Nortel Networks Corp............. 8,400 428,400
-----------
FINLAND -- 1.0%
Nokia OYJ -- ADR................. 7,100 637,669
-----------
FRANCE -- 2.2%
Alcatel.......................... 4,300 592,559
Alcatel Alsthom -- ADR........... 16,900 468,975
Atos S.A......................... 2,600 333,372
-----------
1,394,906
-----------
GERMANY -- 1.5%
Aixtron AG....................... 3,150 305,267
SAP AG Pfd....................... 1,400 627,682
-----------
932,949
-----------
JAPAN -- 15.1%
Advantest Corp................... 3,000 433,925
Fujitsu, Ltd..................... 18,000 561,285
Hikari Tsushin, Inc.............. 1,800 1,098,900
Hirose Electric Co., Ltd......... 3,100 487,696
Hitachi Ltd. -- ADR.............. 4,000 436,500
Internet Initiative Japan*....... 5,700 364,800
Matsushita Communications
Industrial Co., Ltd............ 8,400 934,910
Murata Manufacturing Co., Ltd.... 7,000 703,485
Nitto Denko Corp................. 20,000 634,921
Seven-Eleven Japan Co., Ltd...... 5,000 439,091
Seven-Eleven Japan Co., Ltd. (99
Shares)........................ 5,000 441,439
Shin-Etsu Chemical Co., Ltd...... 11,000 458,721
Softbank Corp.................... 2,800 1,065,089
Sony Corp........................ 3,900 582,784
Sony Corp -- ADR................. 4,000 600,250
Sumitomo Bakelite Co., Ltd....... 24,000 248,183
-----------
9,491,979
-----------
NETHERLANDS -- 1.6%
Koninklijke Philips Electronics
N.V. -- ADR.................... 4,400 444,400
STMicroelectronics N.V........... 7,400 547,600
-----------
992,000
-----------
SINGAPORE -- 1.5%
Datacraft Asia, Ltd.............. 110,000 484,000
JIT Holdings, Ltd................ 240,000 443,164
-----------
927,164
-----------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
SOUTH KOREA -- 1.3%
Samsung Electronics.............. 4,620 $ 748,163
Trigem Computer, Inc............. 432 29,652
-----------
777,815
-----------
UNITED KINGDOM -- 4.0%
Colt Telecom Group PLC 144A*..... 14,500 344,817
Kingston Communication Hull
PLC*........................... 96,000 652,153
Photo-Me International PLC....... 18,300 397,813
Vodafone AirTouch PLC............ 17,364 411,209
Vodafone AirTouch PLC -- ADR..... 2,900 689,475
-----------
2,495,467
-----------
UNITED STATES -- 67.7%
Adaptive Broadband Corp.*........ 21,100 706,850
Aironet Wireless Communications,
Inc.*.......................... 17,500 367,500
Alpha Industries, Inc............ 4,650 262,289
Amazon.com, Inc.*................ 21,100 1,686,681
America Online, Inc.............. 21,000 2,184,000
Antec Corp.*..................... 12,000 637,500
Appnet Systems, Inc.*............ 19,700 539,288
Atmel Corp.*..................... 17,100 578,194
BMC Software, Inc.*.............. 5,000 357,813
Broadcom Corp.*.................. 2,900 316,100
Cheap Tickets, Inc.*............. 10,300 333,463
Chemdex Corp.*................... 10,000 308,125
Cisco Systems, Inc.*............. 26,900 1,844,330
Clarify, Inc.*................... 7,300 367,281
CMGI, Inc.*...................... 8,100 830,250
Computer Sciences Corp.*......... 7,800 548,438
Comverse Technology, Inc.*....... 3,900 367,819
Conexant Systems, Inc.*.......... 7,800 566,718
Corning, Inc..................... 8,900 610,206
Covad Communications Group,
Inc.*.......................... 14,150 616,852
Cypress Semiconductor Corp.*..... 33,800 726,700
Ditech Communications Corp.*..... 6,000 315,000
E.Piphany, Inc.*................. 2,550 124,313
Ebay Inc.*....................... 6,400 902,800
Efficient Networks, Inc.*........ 11,400 414,675
Electronic Arts, Inc.*........... 4,000 289,500
Emulex Corp.*.................... 10,000 858,750
Exodus Communications, Inc.*..... 15,300 1,102,555
Fairchild Semiconductor
International Cl. A*........... 27,300 641,550
General Instrument Corp.*........ 11,000 529,375
Harmonic, Inc.*.................. 4,600 601,738
Inktomi Corp.*................... 4,700 564,147
Integrated Device Technology,
Inc.*.......................... 28,200 521,700
Intel Corp....................... 11,700 869,456
Intercap Network Services
Corp.*......................... 1,300 58,013
Internet Capital Group, Inc.*.... 10,000 878,750
IXL Enterprises, Inc.*........... 10,600 375,638
J D Edwards & Company*........... 30,900 640,211
Lam Research Corp.*.............. 13,300 811,300
Legato Systems, Inc.*............ 14,400 627,751
Loislaw.com*..................... 4,500 65,250
LSI Logic Corp.*................. 10,000 515,000
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
19
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
GLOBAL TECHNOLOGY FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- --------------------------------------------------------------
UNITED STATES (CONTINUED)
McLeodUSA Inc. Cl. A*............ 8,900 $ 378,806
Medimmune, Inc.*................. 5,800 578,006
Micron Technology, Inc........... 8,400 559,125
Microsoft Corp.*................. 13,500 1,222,593
Motorola, Inc.................... 7,400 651,200
Netopia, Inc.*................... 24,100 960,988
Network Solutions Inc.*.......... 8,600 790,125
Packeteer Inc.*.................. 3,400 115,813
Phone.com, Inc.*................. 4,800 727,200
Powerwave Technologies, Inc.*.... 18,100 872,760
Proxim, Inc.*.................... 8,200 377,200
Qlogic Corp.*.................... 3,900 272,513
Qualcomm, Inc.*.................. 15,400 2,913,486
RF Micro Devices, Inc.*.......... 10,500 480,375
Safeguard Scientifics, Inc.*..... 10,000 680,000
SDL, Inc.*....................... 6,900 526,556
Silicon Storage Technology,
Inc.*.......................... 25,000 353,125
Software.com, Inc.*.............. 12,000 514,500
Spectrian Corp.*................. 13,600 295,800
Sprint Corp...................... 7,400 551,763
Stamps.com, Inc.*................ 2,000 69,500
Terayon, Corp.*.................. 8,600 420,325
Triquint Semiconductor, Inc.*.... 4,800 274,500
USWeb Corp.*..................... 10,300 353,419
Verity, Inc.*.................... 11,200 770,700
Vishay Intertechnology, Inc.*.... 11,300 268,375
-----------
42,442,622
-----------
TOTAL COMMON STOCK
(Cost: $48,506,832)........................... 61,423,193
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 5.0%
- --------------------------------------------------------------
Kellogg Co.
5.623%, 10/01/99............... $ 1,623,000 $ 1,622,750
Pitney Bowes, Inc.
5.697%, 10/01/99............... 1,538,000 1,537,760
-----------
TOTAL COMMERCIAL PAPER
(Cost: $3,160,510)............................ 3,160,510
-----------
- --------------------------------------------------------------
REPURCHASE AGREEMENTS -- 1.3%
- --------------------------------------------------------------
J.P. Morgan & Co., Inc. $823,000
at 5.310% (Agreement dated
09/30/99 to be repurchased at
$866,701 on 10/01/99;
collateralized by $820,000 FNMA
Notes, 5.970% due on 10/02/00
(Value $839,459))
(Cost: $823,000)............... 823,000 823,000
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 104.3%
(Cost: $52,490,342).......................... 65,406,703
LIABILITIES IN EXCESS OF OTHER ASSETS --
(4.3%)....................................... (2,707,492)
-----------
NET ASSETS -- 100.0%........................... $62,699,211
-----------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
20
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
GLOBAL TECHNOLOGY FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Audio/Video Products............ 1.9%
Biotechnology................... 0.9
Chemicals....................... 1.1
Computer Services............... 2.4
Computer Software............... 6.0
Computers....................... 2.1
Diversified Financial
Services...................... 6.4
Electronic
Components/Semiconductors..... 19.2
Electronics..................... 3.5
Entertainment Software.......... 0.5
Internet Content................ 6.9
Internet Software............... 12.5
Investment Companies............ 1.7
Miscellaneous Manufacturing..... 1.0
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Networking Products............. 5.5%
Networking Software............. 1.2
Other Commercial Services....... 0.6
Photo Equipment & Supplies...... 0.6
Retail - Convenience Stores..... 1.4
Retail - Diversified............ 0.5
Retail - Internet............... 2.7
Telecommunications.............. 9.1
Telecommunications Equipment.... 15.0
Telecommunications Services..... 1.6
Liabilities in Excess of Other
Assets........................ (4.3)
-----
NET ASSETS...................... 100.0%
=====
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
21
<PAGE>
GLOBAL HEALTH CARE FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; TRISHA C. SCHUSTER, CFA,Portfolio Manager; MELISA A.
GRIGOLITE, Portfolio Manager; PAUL E. CLUSKEY, Portfolio Manager.
GOAL: The Global Health Care Fund seeks to maximize long-term capital
appreciation by investing primarily in the equity securities of companies with
business operations in health care and health care-related industries worldwide.
MARKET OVERVIEW: Growing demand for healthcare worldwide continues to drive
exciting technological innovation in the healthcare sector. Among developed
countries, spending for health care continues to accelerate at an unprecedented
pace.
In the United States, although the environment for health care stocks has been
mixed recently, companies in biotechnology, pharmaceuticals and medical devices
have shown strong fundamentals. However, as concerns on proposed health care
reform measures in the US regulatory front increase, hospitals, nursing homes
and other health care service providers have not fared as well.
The healthcare sector has experienced increased consolidation as many
companies are focused on increasing the robustness of their product pipelines in
a bid to become more competitive. In Europe, the brisk pace of mergers and
acquisitions sweeping through the region has impacted European health care
companies positively. In Japan, the corporate sector is starting to open up to
competition and consolidation, showing promise for growth.
PERFORMANCE: Since its inception on September 1, 1999, the Nicholas-Applegate
Global Health Care Fund declined 1.6% versus a 7.9% decline for the Russell 3000
Healthcare Index.
PORTFOLIO SPECIFICS: The Nicholas-Applegate Global Health Care Fund was
launched on September 1, 1999. Our exposure to the pharmaceutical and managed
care industries hurt returns. Despite the difficult environment for health care
stocks, we were able to uncover opportunities on a company-by-company basis. The
fund's best performers were located in the United States, Japan and Europe.
One of the fund's top contributors was Shire Pharmaceuticals Group, a British
drug maker with a drug that treats attention deficit hyperactivity in children.
The drug maker also focuses on medicines that treat osteoporosis and other bone
diseases as well as Alzheimer's and chronic fatigue syndrome. US-based
Affymetrix, was also among the fund's top performers. Affymetrix's "GeneChip"
technology provides efficient access to genetic information to provide
researchers with insight into complex genetic data. Additionally, PE Biosystems,
developer of medical research equipment that identifies genes and helps develop
therapeutics, posted strong results for the fund.
MARKET OUTLOOK: With the growing demand for health care worldwide driving
technological innovation at an accelerated pace, our outlook for the fund
remains optimistic. Amid this environment, we continue to invest in health care
stocks around the world that display strong earnings and potential for growth.
- --------------------------------------------------------------------------------
22
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
GLOBAL HEALTH CARE FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------
COMMON STOCK -- 93.9%
- ---------------------------------------------------------------
CANADA -- 1.5%
Biovail Corp. International*........ 3,500 $ 177,625
-----------
GERMANY -- 1.7%
Fresenius Medical Care AG........... 3,000 198,720
-----------
JAPAN -- 3.7%
Benesse Corp........................ 1,100 218,926
Takeda Chemical Industries, Ltd..... 4,000 216,023
-----------
434,949
-----------
SWITZERLAND -- 1.5%
Straumann AG........................ 400 178,595
-----------
UNITED KINGDOM -- 4.1%
Celltech Chiroscience PLC*.......... 16,600 125,753
Powderject Pharmaceuticals PLC*..... 9,100 111,498
Shire Pharmaceuticals Group PLC --
ADR*.............................. 8,200 236,263
-----------
473,514
-----------
UNITED STATES -- 81.4%
Abgenix, Inc.*...................... 3,100 121,481
Affymetrix, Inc.*................... 3,000 295,313
Allergan, Inc....................... 3,300 363,000
American Home Products Corp......... 16,100 668,149
Amgen, Inc.*........................ 7,400 603,099
Aurora Biosciences Corp.*........... 24,400 332,450
Bausch & Lomb, Inc.................. 5,200 342,875
Biogen, Inc.*....................... 4,100 323,131
Bristol-Myers Squibb Co............. 7,500 506,250
Cephalon, Inc.*..................... 9,400 168,907
Eli Lilly & Co...................... 9,200 588,800
First Health Group Corp.*........... 15,600 350,025
Genentech, Inc.*.................... 3,100 453,569
Guidant Corp........................ 4,700 252,038
Immunex Corp.*...................... 4,100 177,838
Lifecore Biomedical, Inc.*.......... 19,600 269,500
Medimmune, Inc.*.................... 5,200 518,212
Medtronic, Inc...................... 10,000 355,000
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
Merck & Co., Inc.................... 7,100 $ 460,169
Millennium Pharmaceuticals, Inc.*... 3,500 227,500
Minimed, Inc.*...................... 5,100 501,075
PE Corp. -- PE Biosystems Group..... 5,100 368,475
Pharmacia & Upjohn, Inc............. 10,000 496,250
PolyMedica Corp.*................... 4,600 106,950
Triangle Pharmaceuticals, Inc.*..... 19,000 365,750
Trimeris, Inc.*..................... 6,000 100,125
Vertex Pharmaceuticals, Inc.*....... 7,000 217,438
-----------
9,533,369
-----------
TOTAL COMMON STOCK
(Cost: $11,190,481)............................ 10,996,772
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 5.0%
- ---------------------------------------------------------------
Kellogg Company
5.650%, 10/01/99
(Cost: $581,910).................. $582,000 581,910
-----------
- ---------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.2%
- ---------------------------------------------------------------
J.P. Morgan & Co., Inc. $139,000 at
5.310% (Agreement dated 09/30/99;
to be repurchased at $139,020 on
10/01/99; collateralized by
$145,000 FNMA Notes, 6.240% due
07/29/02 (Value $141,780))
(Cost: $139,000).................. 139,000 139,000
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 100.1%
(Cost: $11,911,391).......................... 11,717,682
LIABILITIES IN EXCESS OF OTHER ASSETS --
(0.1%)....................................... (8,379)
-----------
NET ASSETS -- 100.0%........................... $11,709,303
-----------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
23
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
GLOBAL HEALTH CARE FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Biotechnology................... 25.5%
Contract Research &
Development................... 2.8
Diversified Financial
Services...................... 6.2
Drugs/Pharmaceuticals........... 35.7
Health Care..................... 3.0
Medical Products................ 12.6
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Medical Supplies/Equipment...... 6.4%
Optical Supplies................ 6.0
Other Commercial Services....... 1.9
Liabilities in Excess of Other
Assets........................ (0.1)
-----
NET ASSETS...................... 100.0%
=====
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
24
<PAGE>
INTERNATIONAL CORE GROWTH FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; LARRY SPEIDELL, CFA, Partner, Director of Global/Systematic
Portfolio Management and Research; PEDRO V. MARCAL, Partner, Portfolio Manager;
LORETTA J. MORRIS, Partner, Portfolio Manager; RANDALL S. KAHN, CFA, Portfolio
Manager; ERNESTO RAMOS, PH.D., Portfolio Manager; MELISA A. GRIGOLITE, Portfolio
Manager; CHRISTOPHER V. ANGIOLETTI, Investment Analyst; JON BORCHARDT,
Investment Analyst; DAVID LOPEZ, Investment Analyst; ROLF SCHILD, Investment
Analyst.
GOAL: The International Core Growth Fund seeks to maximize long-term capital
appreciation through investments primarily in companies located outside the
United States with market capitalizations corresponding to the top 75% of
publicly traded companies as measured by stock market capitalizations within
each country.
MARKET OVERVIEW: During the six-month period ending September 30, 1999,
developed non-US markets posted gains amid signs of economic recovery in many
countries. Brighter economic prospects for Europe, including Germany, France and
Italy, boosted equity market returns in the region. The following themes inspire
optimism for countries in the region:
- resurgence in consumer and business confidence
- low inflation environment
- continued trends of consolidation, restructuring and deregulation
- record pace of merger and acquisition activities
In Japan, the resumption of economic growth beginning in the first quarter of
this year -- which ended six quarters of negative growth -- pushed the equity
market higher. The positive themes of corporate restructuring and the rise in
merger and acquisition activities contributed to gains.
PERFORMANCE: For the six-month period ended September 30, 1999, the fund
returned 14.5% versus 7.0% for the MSCI EAFE Index.
PORTFOLIO SPECIFICS: Stock selection, especially among Japanese technology
companies contributed to outperformance during the period. Some of the fund's
top performers were electronics manufacturers Sony Corp. and Matsushita, as well
as software and peripheral distributor Softbank.
In Germany, we own Mannesmann AG, another strong contributor to gains. The
company thrives from the improvement in consumer and business demand in the
country. Mannesmann is one of Germany's largest conglomerates and is among the
country's leading providers of telecommunications and engineering products and
services. The company is expected to benefit from the robust growth in
telecommunications worldwide.
MARKET OUTLOOK: We remain optimistic in our outlook for equity markets in the
world's developed markets amid positive economic conditions, business trends and
consumer activity. We are confident that the application of our strict
investment philosophy will lead us to find exciting growth opportunities in the
world's developed markets.
- --------------------------------------------------------------------------------
25
<PAGE>
INTERNATIONAL CORE GROWTH FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN INTERNATIONAL CORE
GROWTH FUND INSTITUTIONAL SHARES WITH THE MSCI EAFE INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
34.01% As of 09/30/99 25.85%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
12/27/96 INTERNATIONAL CORE GROWTH MSCI EAFE INDEX
FUND INSTITUTIONAL SHARES $250,000.00
$250,000.00
<S> <C> <C>
12/96 $252,400.00 $249,475.00
1/97 $274,600.00 $240,743.38
2/97 $277,200.00 $244,691.57
3/97 $282,600.00 $245,572.46
4/97 $286,600.00 $246,873.99
5/97 $313,200.00 $262,945.49
6/97 $331,200.00 $277,433.78
7/97 $352,400.00 $281,928.21
8/97 $334,000.00 $260,868.17
9/97 $358,600.00 $275,476.79
10/97 $328,800.00 $254,292.63
11/97 $325,131.31 $251,698.84
12/97 $329,722.39 $253,888.62
1/98 $341,826.12 $265,491.33
2/98 $365,198.85 $282,527.91
3/98 $386,902.09 $291,229.77
4/98 $398,171.08 $293,536.31
5/98 $407,979.28 $292,112.66
6/98 $412,779.04 $294,332.71
7/98 $431,143.32 $297,305.47
8/98 $369,372.55 $260,469.33
9/98 $351,843.00 $252,472.92
10/98 $358,312.24 $278,780.60
11/98 $379,862.12 $293,054.16
12/98 $400,733.67 $304,600.50
1/99 $416,178.61 $303,686.69
2/99 $399,063.94 $296,458.95
3/99 $411,795.59 $308,821.29
4/99 $426,823.10 $321,328.55
5/99 $410,334.58 $303,559.08
6/99 $442,685.47 $315,394.85
7/99 $457,295.55 $324,762.08
8/99 $464,391.88 $325,963.70
9/30/99 $471,488.20 $330,554.12
</TABLE>
This graph compares a $250,000 investment in the International Core Growth Fund
Institutional Shares with the MSCI EAFE 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 Fund.
The total returns reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Morgan Stanley Capital International ("MSCI") Europe, Australia, Far East
("EAFE") Index is an unmanaged index that is a generally accepted benchmark for
major overseas markets. The Index weightings represent the relative
capitalizations of the major overseas markets included in the index on a
US dollar-adjusted basis.
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.
Investments in overseas markets pose special risks, including currency
fluctuation and political risks, and the Fund's share price is expected to be
more volatile than that of a United States only fund.
- --------------------------------------------------------------------------------
26
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
INTERNATIONAL CORE GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCK -- 93.0%
- --------------------------------------------------------------
AUSTRALIA -- 0.8%
Rio Tinto, Ltd.................. 73,700 $ 1,249,839
------------
BELGIUM -- 0.8%
Fortis (B)...................... 41,400 1,349,121
------------
BRAZIL -- 1.0%
Aracruz Celulose S.A. -- ADR.... 18,500 386,188
CIA Siderurgica Nacional........ 22,996,000 580,888
Petroleo Brasileiro S.A......... 36,500 562,717
------------
1,529,793
------------
CANADA -- 3.8%
Anderson Exploration Ltd.*...... 94,900 1,252,848
Barrick Gold Corp............... 32,700 711,225
Biovail Corp. International*.... 20,700 1,050,525
Nortel Networks................. 32,600 1,662,600
Talisman Energy................. 47,300 1,416,044
------------
6,093,242
------------
DENMARK -- 1.3%
Tele Denmark AS................. 34,000 2,026,303
------------
FINLAND -- 3.1%
Nokia OYJ -- ADR................ 21,000 1,886,063
Sonera Group OYJ................ 39,800 1,152,872
Stora Enso OYJ.................. 147,700 1,958,299
------------
4,997,234
------------
FRANCE -- 12.5%
Alcatel......................... 9,300 1,281,582
Axa............................. 11,200 1,416,980
Cap Gemini S.A.*................ 8,600 1,355,468
Carrefour S.A................... 8,800 1,408,545
Coflexip S.A.................... 14,000 668,500
Credit Lyonnais*................ 29,500 867,396
Elf Aquitaine................... 5,900 1,030,446
Lafarge S.A..................... 15,100 1,669,182
Michelin (CGDE) Cl. B........... 28,000 1,321,560
Pechiney S.A.*.................. 29,000 1,605,945
Societe Television Francaise
1............................. 8,300 2,322,028
St Gobain....................... 8,000 1,490,930
Suez Lyonnaise des Eaux......... 9,000 1,456,852
Total Fina S.A.................. 16,400 2,060,891
------------
19,956,305
------------
GERMANY -- 10.3%
BASF AG*........................ 36,000 1,533,528
Bayerische Motoren Werk AG...... 57,200 1,614,251
Deutsche Bank AG................ 36,200 2,422,942
Deutsche Telekom AG*............ 33,500 1,373,519
Edel Music AG*.................. 12,000 479,228
Fresenius Medical Care AG....... 22,500 1,490,398
Mannesmann AG................... 15,300 2,444,060
SAP AG.......................... 4,800 2,152,051
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
GERMANY (CONTINUED)
Thyssen Krupp AG................ 50,200 $ 1,007,730
Veba AG......................... 35,300 1,934,146
------------
16,451,853
------------
GREECE -- 0.6%
Titan Cement S.A................ 8,400 979,891
------------
HONG KONG -- 1.5%
Cathay Pacific Airways.......... 728,000 1,312,082
HSBC Holdings PLC............... 92,400 1,055,704
------------
2,367,786
------------
HUNGARY -- 0.4%
Magyar Tavkoziesi -- ADR........ 26,300 716,675
------------
INDONESIA -- 0.0%
Sampoerna International......... 100 177
------------
IRELAND -- 0.5%
CRH PLC......................... 39,100 748,679
------------
ITALY -- 1.8%
Bipop-Carire SpA................ 17,700 757,755
Mediaset SpA.................... 100,400 1,025,372
Seat-Pagine Gialle Spa.......... 793,700 1,159,684
------------
2,942,811
------------
JAPAN -- 29.6%
Advantest Corp.................. 8,100 1,171,598
Asahi Chemical Industry Co.,
Ltd........................... 123,000 685,066
Bank Of Tokyo-Mitsubishi,
Ltd........................... 99,000 1,520,287
Dai-Ichi Kangyo Bank, Ltd....... 241,000 3,005,992
Fuji Soft ABC, Inc.............. 21,000 1,788,955
Fujitsu, Ltd.................... 64,800 2,020,626
Hitachi, Ltd.................... 136,000 1,507,279
KAO Corp........................ 73,000 2,063,774
KDD Corp........................ 10,900 1,127,163
Keyence Corp.................... 3,000 803,043
Matsushita Communication
Industrial Co................. 20,000 2,225,979
Murata Manufacturing Co.,
Ltd........................... 18,000 1,808,960
Nintendo Co., Ltd............... 4,900 781,460
Nippon Steel Corp............... 770,000 2,090,072
Nippon Telegraph and Telephone
Corp.......................... 170 2,091,669
Nomura Securities Co., Ltd...... 96,000 1,487,743
NTT Data Corp................... 114 1,284,869
NTT Mobile Communications....... 144 2,840,237
Orix Corp. -- ADR............... 11,500 698,625
Rengo Co., Ltd.................. 178,000 1,151,893
Ryohin Keikaku Co., Ltd......... 3,700 747,159
Ryohin Keikaku Co., Ltd. (99
Shares)*...................... 8,700 1,748,661
Seven-Eleven Japan Co., Ltd..... 12,100 1,062,600
Seven Eleven Japan Co., Ltd. (99
Shares)*...................... 12,100 1,068,282
Shin-Etsu Chemical Co., Ltd..... 33,000 1,376,161
Shohkoh Fund & Co., Ltd......... 3,510 2,620,879
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
27
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
INTERNATIONAL CORE GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- --------------------------------------------------------------
JAPAN (CONTINUED)
Softbank Corp................... 7,000 $ 2,662,722
Sony Corp....................... 16,200 2,420,795
Takefuji Corp................... 9,400 1,565,342
------------
47,427,891
------------
MEXICO -- 0.7%
Telefonos de Mexico S.A. --
ADR........................... 16,000 1,140,000
------------
NETHERLANDS -- 5.3%
ASM Lithography Holding N.V. --
ADR*.......................... 28,100 1,884,456
DSM N.V.*....................... 33,600 1,332,891
Equant N.V.*.................... 13,800 1,122,975
Koninklijke Philips Electronics
N.V. -- ADR*.................. 14,200 1,434,200
Royal Dutch Petroleum Co........ 11,400 673,313
STMicroelectronics N.V.......... 28,200 2,086,800
------------
8,534,635
------------
NETHERLANDS ANTILLES -- 0.8%
Schlumberger Ltd................ 20,600 1,283,638
------------
SINGAPORE -- 1.2%
DBS Group Holdings, Ltd......... 43,031 480,793
Flextronics International
Ltd.*......................... 13,000 756,438
Natsteel Electronics, Ltd....... 174,000 649,750
------------
1,886,981
------------
SOUTH KOREA -- 1.5%
Korea Telecom Corp. -- ADR*..... 20,600 762,200
Pohang Iron & Steel Co. --
ADR........................... 28,500 892,406
Samsung Electronics............. 4,600 744,924
------------
2,399,530
------------
SWEDEN -- 1.3%
LM Ericsson Telephone Co. --
ADR........................... 64,100 2,003,125
------------
SWITZERLAND -- 0.4%
Julius Baer Holdings AG Cl. B... 200 593,096
------------
TAIWAN -- 0.7%
Taiwan Semiconductor -- ADR*.... 40,282 1,188,319
------------
UNITED KINGDOM -- 13.1%
ARM Holdings PLC -- ADR*........ 95,900 1,496,414
Barclays PLC.................... 41,400 1,215,642
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
British Telecom PLC -- ADR...... 51,900 $ 785,911
CMG PLC*........................ 35,100 1,196,552
Colt Telecom Group PLC*......... 56,900 1,353,111
Corus Group PLC*................ 607,500 1,543,212
Eidos PLC*...................... 21,800 1,385,432
General Electric Co. PLC........ 118,700 1,139,655
GKN PLC......................... 71,100 1,135,198
Morgan Crucible Co. PLC*........ 326,600 1,393,062
Orange PLC*..................... 71,400 1,403,967
Shell Transport & Trading Co.... 133,200 995,896
Shire Pharmaceuticals PLC --
ADR*.......................... 58,200 1,676,888
Smith & Nephew PLC*............. 206,600 650,707
Standard Chartered PLC.......... 58,800 850,209
Unilever PLC*................... 162,200 1,526,584
Vodafone Airtouch PLC........... 50,726 1,201,278
------------
20,949,718
------------
TOTAL COMMON STOCK
(Cost: $133,125,964)......................... 148,816,642
------------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 5.0%
- --------------------------------------------------------------
Pitney Bowes
5.600%, 10/01/99
(Cost $7,919,768)............. $ 7,921,000 7,919,768
------------
- --------------------------------------------------------------
REPURCHASE AGREEMENTS -- 7.3%
- --------------------------------------------------------------
J.P. Morgan & Co., Inc.
$11,639,000 at 5.310%
(Agreement dated 09/30/99 to
be repurchased at $11,640,693
on 10/01/99; collateralized by
$11,555,000 FNMA Notes, 5.970%
due 10/02/99 (Value
$11,871,723))
(Cost: $11,639,000)........... 11,639,000 11,639,000
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 105.3%
(Cost: $152,684,732)........................ 168,375,410
LIABILITIES IN EXCESS OF OTHER ASSETS --
(5.3%)........................................ (8,406,660)
------------
NET ASSETS -- 100.0%.......................... $159,968,750
------------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
28
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
INTERNATIONAL CORE GROWTH FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Airlines........................ 0.8%
Audio/Video Products............ 1.8
Auto Manufacturers.............. 1.0
Auto Parts & Equipment.......... 0.7
Building Materials.............. 3.1
Chemicals....................... 3.1
Computer Services............... 1.6
Computer Software............... 2.5
Computers....................... 3.1
Cosmetics & Personal Products... 1.3
Diversified Financial
Services...................... 17.6
Diversified Manufacturing....... 2.6
Drugs/Pharmaceuticals........... 2.1
Electronic
Components/Semiconductors..... 7.1
Electronics..................... 1.4
Entertainment Software.......... 0.9
Food............................ 1.8
Insurance....................... 0.9
Investment Companies............ 2.1
Machinery....................... 1.5
Medical Products................ 0.9
Metal Fabrication & Hardware.... 1.0
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Metals.......................... 0.8%
Mining.......................... 0.4
Miscellaneous Manufacturing..... 0.9
Money Center Banks.............. 6.2
Oil & Gas Producers............. 5.0
Oil & Gas Services.............. 1.2
Paper & Related Products........ 2.2
Publishing...................... 0.7
Regional Commercial Banks....... 0.8
Retail - Convenience Stores..... 1.4
Retail - Miscellaneous.......... 1.6
Steel........................... 3.2
Telecommunications.............. 12.8
Telecommunications Equipment.... 4.9
Television...................... 2.1
Tires........................... 0.8
Toys/Games/Hobbies.............. 0.5
Water........................... 0.9
Liabilities in Excess of Other
Assets........................ (5.3)
-----
NET ASSETS...................... 100.0%
=====
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
29
<PAGE>
INTERNATIONAL SMALL CAP GROWTH FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; LARRY SPEIDELL, CFA, Partner, Director of Global/Systematic
Portfolio Management and Research; PEDRO V. MARCAL, Partner, Portfolio Manager;
LORETTA J. MORRIS, Partner, Portfolio Manager; RANDALL S. KAHN, CFA, Portfolio
Manager; ERNESTO RAMOS, PH.D., Senior Portfolio Manager; MELISA GRIGOLITE,
Portfolio Manager; CHRISTOPHER V. ANGIOLETTI, Investment Analyst; JON BORCHARDT,
Investment Analyst; DAVID LOPEZ, Investment Analyst; ROLF SCHILD, Investment
Analyst.
GOAL: The Small Cap Growth Fund seeks to maximize long-term capital
appreciation through investments primarily in companies located outside the
United States with market capitalizations corresponding to the bottom 25% of
publicly traded companies as measured by such market capitalization in each
country.
MARKET OVERVIEW: During the six-month period ending September 30, 1999,
developed non-US markets posted gains amid signs of economic recovery in many
countries. Brighter economic prospects for Europe, including Germany, France and
Italy, boosted equity market returns in the region. The following themes inspire
optimism for countries in the region:
- resurgence in consumer and business confidence
- low inflation environment
- continued trends of consolidation, restructuring and deregulation
- record pace of merger and acquisition activities
In Japan, the resumption of economic growth beginning in the first quarter of
this year -- which ended six quarters of negative growth -- pushed the equity
market higher. The positive themes of corporate restructuring and the rise in
merger and acquisition activities contributed to gains.
Among smaller-cap companies in Japan, management teams have embraced
restructuring programs more quickly than those at more established large-cap
firms, thus resulting in increased recognition for the small-cap segment.
PERFORMANCE: For the six-month period ended September 30, 1999, the fund
easily outdistanced its benchmark, the Salomon EPAC/EMI Index. The fund returned
34.8% versus 11.2% for the Index.
PORTFOLIO SPECIFICS: Stock selection, especially among Japanese technology
companies contributed to outperformance during the period. Some of the fund's
top performers were telephone subscriptions and communications reseller Hikari
Tshushin, Japan's leading Internet access and Internet-related service provider
Internet Initiative, and semiconductor manufacturer Nitto Denko Corp. Another
top performer was Infosys Technologies, a software programmer based in India
that recently expanded operations into Europe and Japan.
MARKET OUTLOOK: We remain optimistic in our outlook for the world's developed
markets amid positive economic conditions, business trends and consumer
activity. We believe that the application of our strict investment philosophy
will lead us to exciting growth opportunities. Tighter regulations and better
listing standards on national exchanges, such as the NOUVEAU MARCHE in France
and the NEUER MARKT in Germany, have created ideal situations for investing in
small-cap stocks internationally.
- --------------------------------------------------------------------------------
30
<PAGE>
INTERNATIONAL SMALL CAP GROWTH FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN INTERNATIONAL SMALL
CAP GROWTH FUND INSTITUTIONAL SHARES WITH THE SALOMON EPAC EMI INDEX.
<TABLE>
<S> <C> <C>
ANNUALIZED TOTAL RETURNS
As of 09/30/99 SINCE
1 YEAR 5 YEARS INCEPTION
73.24% 22.25% 13.11%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
INTERNATIONAL SMALL CAP SALOMON EPAC
GROWTH FUND INSTITUTIONAL SHARES EMI INDEX
<S> <C> <C>
6/7/90 $250,000.00 $250,000.00
12/31/90 $206,310.17 $207,595.54
12/31/91 $230,619.37 $221,428.65
12/31/92 $202,112.08 $187,284.92
12/31/93 $254,717.12 $244,111.79
12/31/94 $276,653.41 $267,145.81
12/31/95 $293,256.86 $279,947.91
12/31/96 $346,834.50 $298,064.13
12/31/97 $395,704.11 $267,439.98
12/31/98 $539,503.77 $305,264.25
9/30/99 $787,371.83 $343,681.95
</TABLE>
This graph compares a $250,000 investment in the International Small Cap Growth
Fund Institutional Shares with 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 Fund's registration statement on
12/31/93. Limited partnership returns are restated to reflect all fees and
expenses applicable to the Fund. 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 reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
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 US $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.
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.
Investments in overseas markets pose special risks, including currency
fluctuation and political risks, and the Fund's share price is expected to be
more volatile than that of a United States only fund.
- --------------------------------------------------------------------------------
31
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
INTERNATIONAL SMALL CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCK -- 95.6%
- --------------------------------------------------------------
AUSTRALIA -- 1.9%
AAPT, Ltd.*...................... 143,100 $ 457,316
Austar United Communications*.... 60,400 185,260
Pacifica Group, Ltd.............. 89,400 372,225
Solution 6 Holdings, Ltd......... 250,000 893,083
------------
1,907,884
------------
BRAZIL -- 0.4%
CIA Siderurgica Nacional......... 15,818,516 399,582
Telec do Rio Janeiro S.A......... 1,000 10
------------
399,592
------------
CANADA -- 3.8%
Anderson Exploration Ltd.*....... 58,900 777,584
Celestica, Inc.*................. 10,700 526,808
Clearnet Communications, Inc. Cl.
A*............................. 31,500 568,969
Encal Energy, Ltd.*.............. 167,800 902,089
Research In Motion, Ltd.*........ 29,800 924,723
------------
3,700,173
------------
DENMARK -- 1.6%
ISS International Service System
Cl. B*......................... 12,300 688,992
Vestas Wind Systems AS*.......... 6,300 875,476
------------
1,564,468
------------
FRANCE -- 15.1%
Altran Technologies S.A.......... 5,300 1,594,496
Atos S.A......................... 6,400 820,608
Bouygues......................... 3,272 1,037,689
Business Objects S.A. -- ADR*.... 22,800 1,345,200
Ciments Francais................. 13,700 1,006,697
Coflexip S.A. -- ADR............. 12,300 587,325
Galeries Lafayette............... 7,000 1,064,524
Havas Advertising................ 5,400 1,293,914
Hermes International............. 11,100 1,211,647
Infogrames Entertainment......... 14,500 1,199,826
Metropole Television -M6......... 3,500 872,194
Neopost S.A...................... 34,100 1,013,183
Pechiney S.A. Cl. A*............. 18,500 1,024,483
Usinor S.A....................... 50,000 705,529
------------
14,777,315
------------
GERMANY -- 9.4%
Aixtron.......................... 12,000 1,162,925
Constantin Film AG............... 16,000 684,976
Edel Music AG.................... 7,000 279,549
EM. TV & Merchandising AG........ 27,500 1,186,088
FAG Kugelfischer George
Schaefer....................... 39,200 371,540
Heidelberg Zement................ 8,600 734,517
Kinowelt Medien AG............... 29,900 1,655,784
Marschollek, Lautenschlaeger &
Partner AG..................... 2,500 433,435
Primacom AG*..................... 17,300 958,029
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
GERMANY (CONTINUED)
SGL Carbon AG*................... 14,500 $ 995,995
Telegate AG*..................... 24,700 760,193
------------
9,223,031
------------
GREECE -- 0.4%
Titan Cement Co.................. 3,600 419,953
------------
HONG KONG -- 3.9%
Beijing Enterprises Holdings,
Ltd............................ 113,000 189,114
China Merchants Holdings
International Co., Ltd......... 658,000 529,429
DAH Sing Financial............... 159,000 636,590
Dickson Concept International,
Ltd............................ 609,000 474,323
Johnson Electric Holdings........ 214,000 1,033,111
Legend Holdings, Ltd............. 918,000 874,534
------------
3,737,101
------------
INDIA -- 1.5%
Infosys Technologies, Ltd........ 9,000 1,476,087
------------
INDONESIA -- 0.1%
Lippo Bank....................... 3,673,500 76,943
------------
ITALY -- 0.3%
Acea SpA*........................ 28,200 332,149
------------
JAPAN -- 31.5%
Aiful Corp....................... 10,300 1,755,847
Aucnet, Inc...................... 6,000 507,185
Bellsystem 24, Inc............... 2,000 1,343,101
Benesse Corp..................... 6,600 1,313,553
Fancl Corp....................... 5,000 1,460,505
Fast Retailing Co., Ltd.......... 8,000 1,585,423
Hikari Tsushin, Inc.............. 3,600 2,197,802
Hirose Electric Co., Ltd......... 4,900 770,874
Hitachi Construction Machinery
Co., Ltd....................... 14,000 71,663
Homac Corp....................... 32,100 768,808
Internet Initiative Japan,
Inc.*.......................... 27,000 1,728,000
Japan Business Computer Co.,
Ltd............................ 37,200 1,118,061
Kojima Co., Ltd.................. 31,000 1,677,092
Kuraya Corp...................... 43,000 581,572
Kuroda Electric Co., Ltd......... 14,000 900,723
Nichii Gakkan Co................. 5,700 1,060,017
Nippon System Development........ 14,000 1,071,663
Nitto Denko Corp................. 50,000 1,587,302
Otsuka Kagu, Ltd................. 4,500 1,310,228
Ryohin Keikaku Co., Ltd.......... 3,400 686,578
Ryohin Keikaku Co., Ltd. (99
Shares)*....................... 5,500 1,105,476
Sony Chemicals Corp.............. 13,800 1,154,862
Sumitomo Bakelite Co., Ltd....... 66,000 682,502
Sunkus & Associates, Inc......... 2,000 82,652
Toyo Information Systems Co.,
Ltd............................ 15,000 714,286
Trans Cosmos..................... 16,300 2,036,161
World Co., Ltd................... 14,900 1,606,576
------------
30,878,512
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
32
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- --------------------------------------------------------------
MEXICO -- 0.6%
Corporacion Interamericana de
Entretenimiento S.A. Cl. B*.... 137,000 $ 329,802
Corporacion Interamericana de
Entretenimiento S.A. Cl. L*.... 115,000 270,690
------------
600,492
------------
NETHERLANDS -- 1.5%
Endemol Entertainment Holding.... 11,900 370,049
Unique International N.V......... 22,300 515,340
Versatel Telecom International
N.V.*.......................... 49,600 538,780
------------
1,424,169
------------
NEW ZEALAND -- 0.3%
Sky City, Ltd.................... 148,900 293,727
------------
NORWAY -- 1.6%
Elkjop ASA....................... 55,400 843,238
Norsk Hydro ASA.................. 17,500 740,406
------------
1,583,644
------------
SINGAPORE -- 2.2%
Datacraft Asia, Ltd.............. 289,100 1,272,040
Jit Holdings, Ltd................ 210,000 387,768
Venture Manufacturing, Ltd....... 55,000 478,683
------------
2,138,491
------------
SPAIN -- 2.1%
Baron de Ley*.................... 17,400 590,185
NH Hoteles S.A.*................. 58,200 681,781
Sogecable S.A.*.................. 17,600 480,386
Telefonica Publicidad e
Informacion S.A.*.............. 12,000 277,313
------------
2,029,665
------------
SWEDEN -- 1.6%
Modern Times Group Cl. B*........ 42,100 1,283,850
Ortivus AB Cl. B*................ 61,500 277,568
------------
1,561,418
------------
SWITZERLAND -- 3.2%
Fantastic Corp................... 7,800 431,944
Julius Baer Holdings AG Cl. B*... 100 296,548
Kudelski S.A.*................... 200 747,701
Straumann Holding AG............. 2,260 1,009,063
Synthes-Stratec, Inc.*........... 1,800 669,332
------------
3,154,588
------------
UNITED KINGDOM -- 12.6%
ARM Holdings PLC*................ 30,300 472,798
ARM Holdings PLC -- ADR*......... 12,200 573,400
BBA Group PLC*................... 105,400 754,196
Capital Radio PLC................ 30,000 437,239
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
Celltech Chiroscience PLC........ 69,700 $ 528,013
CMG PLC.......................... 23,800 811,337
Cookson Group PLC................ 116,400 392,971
Eidos PLC*....................... 14,200 902,438
Enterprise Oil PLC*.............. 113,700 775,202
FKI PLC.......................... 176,500 552,998
Future Network PLC*.............. 103,300 1,070,052
Go Ahead Group PLC............... 46,200 654,326
Kingston Communication (Hull)
PLC*........................... 179,100 1,216,672
Morgan Crucible PLC.............. 149,100 635,962
Photo-Me International PLC....... 35,000 760,845
Powderject Pharmaceuticals*...... 53,100 650,611
Shire Pharmaceuticals PLC --
ADR*........................... 38,200 1,100,639
------------
12,289,699
------------
TOTAL COMMON STOCK
(Cost: $72,436,940).......................... 93,569,101
------------
- --------------------------------------------------------------
PREFERRED STOCK -- 0.9%
- --------------------------------------------------------------
GERMANY -- 0.9%
Fielmann AG
(Cost: $927,744)............... 21,500 870,064
------------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
FOREIGN CORPORATE BONDS -- 1.3%
- --------------------------------------------------------------
SINGAPORE -- 0.6%
Natsteel 144A (Convertible)
1.500% 06/30/04................ $ 630 624,488
------------
TAIWAN -- 0.7%
ASE Test Ltd. 144A (Convertible)
1.000% 07/01/04................ 600 649,500
------------
TOTAL FOREIGN CORPORATE BONDS
(Cost: $1,230,000)........................... 1,273,988
------------
- --------------------------------------------------------------
COMMERCIAL PAPER -- 2.6%
- --------------------------------------------------------------
Kellogg Co.
5.634% 10/01/99
(Cost: $2,591,600)............. 2,592,000 2,591,600
------------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 100.4%
(Cost: $77,186,284)......................... 98,304,753
LIABILITIES IN EXCESS OF OTHER ASSETS --
(0.4%) ....................................... (385,715)
------------
NET ASSETS -- 100.0%.......................... $ 97,919,038
------------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
33
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
INTERNATIONAL SMALL CAP GROWTH FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Advertising..................... 1.6%
Apparel......................... 2.9
Audio/Video Products............ 1.5
Beverages - Alcoholic........... 0.6
Broadcasting.................... 4.2
Building Materials.............. 2.2
Casino Hotels................... 0.3
Chemicals....................... 1.7
Computer Services............... 1.7
Computer Software............... 7.9
Computers....................... 2.0
Cosmetics & Personal Products... 1.5
Distribution/Wholesale.......... 0.5
Diversified Financial
Services...................... 3.1
Diversified Operations.......... 0.2
Drugs/Pharmaceuticals........... 2.3
Electric........................ 0.3
Electronic
Components/Semiconductors..... 9.4
Engineering & Construction...... 2.7
Entertainment................... 1.0
Entertainment Software.......... 2.1
Home Furnishings................ 1.3
Human Resources................. 0.5
Internet Software............... 2.2
Investment Companies............ 0.7
Machinery....................... 1.1
Medical Products................ 2.6
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Metal Fabrication & Hardware.... 1.0%
Metals.......................... 0.7
Miscellaneous Manufacturing..... 4.4
Oil & Gas Producers............. 2.5
Oil & Gas Services.............. 0.6
Other Commercial Services....... 5.3
Photo Equipment & Supplies...... 0.8
Power Equipment & Supplies...... 0.9
Publishing...................... 1.1
Regional Commercial Banks....... 1.0
Retail - Apparel................ 1.6
Retail - Automobiles............ 0.5
Retail - Consumer Electronics... 2.6
Retail - Convenience Stores..... 0.1
Retail - Department Stores...... 1.1
Retail - Miscellaneous.......... 2.6
Retail - Vision Service
Center........................ 0.9
Savings & Loans................. 1.8
Steel........................... 0.4
Telecommunications.............. 5.2
Telecommunications Equipment.... 2.2
Telecommunications Services..... 0.6
Television...................... 3.7
Transportation - Other.......... 0.7
Liabilities in Excess of Other
Assets........................ (0.4)
-----
NET ASSETS...................... 100.0%
=====
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
34
<PAGE>
EMERGING COUNTRIES FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
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, Partner,
Portfolio Manager; ERNESTO RAMOS, PH.D., Portfolio Manager; JESSICA GONCALVES,
Portfolio Manager; JASON CAMPBELL, Portfolio Manager; THEODORA JAMISON,
Investment Analyst; JOHN MAZUR, Investment Analyst; ANDREW PARMET, Investment
Analyst.
GOAL: The Emerging Countries Fund seeks to maximize long-term capital
appreciation through investments in companies located in developing countries
around the world.
MARKET OVERVIEW: During the six-month period ended September 30, 1999, many
emerging countries in Asia, Latin America, as well as those in the Europe,
Middle East and Africa (EMEA) region showed signs of economic recovery following
the lingering effects of 1997's financial crisis. In Asia, the following factors
contribute to brighter economic prospects:
- banking system reforms
- resurgent consumer demand
- rising export growth
During the period, economic recovery was also evidenced in Latin America as
commodity prices, including oil, a strong US economy, as well as low inflation
in the region have all contributed to a boost in equity markets. In Mexico,
favorable trends such as strengthening commodity prices and a strong US economy
bode well for the country.
PERFORMANCE: The fund gained 20.4% in the six-month period ending
September 30, 1999 versus 18.0% for the MSCI Emerging Markets Free Index.
PORTFOLIO SPECIFICS: Our bottom-up stock selection helped us uncover promising
investments during the period. For example, the rise in oil prices led Petroleo
Brasileiro to be one of the top performers for the fund. In South Korea, Pohang
Iron & Steel posted strong returns. We also own Datacraft Asia, maker of
high-tech digital systems for specialist software with locations throughout
Asia. Additionally, in India, Hindustan Lever, India's leader in home and
personal care products as well as food and beverages, was another top performer
for the fund.
MARKET OUTLOOK: We continue to find attractive opportunities throughout
emerging markets. Although uncertainties remain -- such as political and
regulatory issues -- we believe long-term prospects overshadow these worries.
Emerging countries continue to exhibit an important share of the world's GDP
and population, strong growth in consumption, competitive labor costs, and
rising productivity.
In light of the reforms and the recent return of investor confidence,
countries such as South Korea, the Philippines, Thailand and Indonesia are
expected to post significant economic recoveries both this year and into 2000.
- --------------------------------------------------------------------------------
35
<PAGE>
EMERGING COUNTRIES FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN EMERGING COUNTRIES
FUND INSTITUTIONAL SHARES WITH THE MSCI EMERGING MARKETS FREE INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
48.67% As of 09/30/99 8.12%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
11/28/1994 EMERGING COUNTRIES MSCI EMF
FUND INSTITUTIONAL SHARES INDEX
$250,000.00 $250,000.00
<S> <C> <C>
11/31/1994 $251,800.00 $254,738.25
12/1/1994 $237,014.39 $234,359.19
1/1/1995 $217,797.00 $209,517.12
2/1/1995 $215,595.01 $204,069.67
3/1/1995 $218,397.55 $205,294.09
4/1/1995 $231,008.95 $214,511.79
5/1/1995 $248,825.07 $225,923.82
6/1/1995 $251,427.42 $226,601.59
7/1/1995 $268,242.63 $231,677.47
8/1/1995 $266,841.37 $226,209.88
9/1/1995 $267,041.55 $225,146.69
10/1/1995 $254,229.96 $216,523.57
11/1/1995 $248,624.89 $212,669.46
12/1/1995 $253,510.75 $222,111.98
1/1/1996 $276,630.29 $237,904.14
2/1/1996 $280,651.07 $234,121.47
3/1/1996 $281,857.31 $235,947.61
4/1/1996 $299,950.86 $245,385.52
5/1/1996 $310,203.87 $244,281.28
6/1/1996 $310,806.99 $245,795.83
7/1/1996 $298,945.66 $229,007.97
8/1/1996 $311,812.19 $234,870.58
9/1/1996 $317,441.29 $236,913.95
10/1/1996 $309,198.68 $230,588.35
11/1/1996 $321,453.08 $234,462.23
12/1/1996 $324,695.98 $235,517.31
1/1/1997 $348,815.10 $251,579.59
2/1/1997 $359,557.22 $262,347.20
3/1/1997 $353,679.46 $255,447.47
4/1/1997 $356,719.68 $255,907.27
5/1/1997 $378,001.25 $263,226.22
6/1/1997 $406,782.05 $277,308.82
7/1/1997 $426,442.16 $281,440.72
8/1/1997 $393,810.42 $245,641.46
9/1/1997 $421,983.17 $252,445.73
10/1/1997 $354,692.87 $211,019.39
11/1/1997 $344,552.30 $203,317.18
12/1/1997 $357,562.74 $208,217.12
1/1/1998 $336,925.49 $191,886.66
2/1/1998 $363,843.64 $211,915.78
3/1/1998 $384,705.20 $221,112.93
4/1/1998 $397,042.69 $218,705.01
5/1/1998 $355,768.19 $188,733.68
6/1/1998 $331,317.54 $168,935.51
7/1/1998 $346,571.30 $174,290.77
8/1/1998 $245,168.77 $123,903.31
9/1/1998 $245,394.11 $131,762.49
10/1/1998 $265,899.96 $145,637.08
11/1/1998 $279,645.63 $157,749.72
12/1/1998 $281,673.68 $155,462.35
1/1/1999 $290,236.56 $152,954.74
2/1/1999 $284,377.75 $154,442.99
3/1/1999 $303,080.88 $174,798.58
4/1/1999 $337,557.74 $196,424.66
5/1/1999 $335,755.03 $194,362.20
6/1/1999 $378,794.77 $216,420.37
7/1/1999 $370,457.23 $210,533.73
8/1/1999 $370,231.89 $212,449.59
9/30/1999 $346,824.00 $206,240.79
</TABLE>
This graph compares a $250,000 investment in the Emerging Countries Fund
Institutional Shares with 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 Fund.
The total returns reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
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.
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.
Investments in overseas markets pose special risks, including currency
fluctuation and political risks, and the Fund's share price is expected to be
more volatile than that of a United States only fund. These risks are generally
intensified for investments in emerging markets.
- --------------------------------------------------------------------------------
36
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
EMERGING COUNTRIES FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCK -- 99.2%
- --------------------------------------------------------------
BRAZIL -- 9.1%
Aracruz Celulose S.A. -- ADR.... 88,700 $ 1,851,613
CIA Siderurgica Nacional........ 40,746,000 1,029,261
CIA Siderurgica Nacional --
ADR........................... 13,000 334,750
CIA Vale do Rio Doce -- ADR..... 59,000 1,244,552
CIA Vale do Rio Doce A.......... 117,700 2,507,255
Electropaulo
Metropolitana-Electricidad
de Sao Paulo S.A.............. 58,625,000 2,778,581
Petroleo Brasileiro S.A......... 33,082,600 4,945,159
Tele Centro Sul Participacoes
S.A. -- ADR*.................. 41,400 2,297,700
------------
16,988,871
------------
BRITISH VIRGIN ISLANDS -- 0.9%
Del Monte Pacific, Ltd.*........ 835,400 388,461
MIH, Ltd.*...................... 42,100 1,215,638
------------
1,604,099
------------
CROATIA -- 0.4%
Pliva D.D. -- GDR 144A.......... 79,100 806,820
------------
CZECH REPUBLIC -- 1.7%
Ceske Radiokomunikace -- GDR
144A*......................... 39,700 1,434,163
Komercni Banka AS -- ADR*....... 195,600 1,677,270
------------
3,111,433
------------
EGYPT -- 1.3%
Al-Ahram Beverages Co. -- GDR
144A*......................... 36,500 1,090,438
Mobinil-Egyptian Mobile Phone
Services*..................... 52,700 1,235,385
Orascom Hotel Holdings*......... 4,818 15,530
------------
2,341,353
------------
GREECE -- 6.3%
Alpha Credit Bank S.A.*......... 33,800 2,711,494
Commercial Bank Of Greece
S.A.*......................... 15,150 1,399,504
Hellenic Telecommunications Co.
S.A. -- GDR*.................. 85,600 957,650
Intracom S.A.................... 16,680 1,416,492
National Bank of Greece S.A..... 18,910 1,513,927
Titan Cement Co. AS............. 32,200 3,756,249
------------
11,755,316
------------
HONG KONG -- 3.6%
Beijing Enterprises Holdings,
Ltd.
Cl. H*........................ 226,000 378,228
Cathay Pacific Airways.......... 618,000 1,113,829
China Telecom (Hong Kong), Ltd.
Cl. H*........................ 760,000 2,338,371
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
HONG KONG (CONTINUED)
HSBC Holdings PLC*.............. 164,400 $ 1,878,331
Pacific Century Cyberworks...... 1,139,000 960,433
------------
6,669,192
------------
HUNGARY -- 2.0%
Magyar Tavkozliesi -- ADR....... 64,900 1,768,525
Tiszai Vegyi Kombinat........... 122,900 1,882,017
------------
3,650,542
------------
INDIA -- 12.2%
Hindalco Industries, Ltd........ 88,100 1,806,661
Hindalco Industries, Ltd. -- GDR
144A*......................... 67,400 1,841,705
Hindustan Lever, Ltd.*.......... 79,900 4,682,750
ICICI, Ltd. -- ADR*............. 87,500 1,050,000
Infosys Technologies, Ltd....... 46,700 7,659,250
NIIT, Ltd....................... 1,000 65,007
Ranbaxy Laboratories, Ltd --
GDR*.......................... 82,100 1,980,663
Reliance Industries, Ltd.*...... 683,100 3,726,142
------------
22,812,178
------------
INDONESIA -- 0.5%
Gulf Indonesia Resources,
Ltd........................... 100,900 1,015,306
------------
ISRAEL -- 2.3%
Bank Hapoalim, Ltd.............. 751,800 1,849,897
Leumi Bank Le Israel............ 807,500 1,405,775
Matav-Cable Systems Media
Ltd........................... 50,100 1,054,823
------------
4,310,495
------------
MEXICO -- 12.4%
Alfa, S.A.*..................... 623,000 2,636,244
Carso Global Telecom S.A........ 394,000 2,183,620
Cemex S.A. -- ADR*.............. 135,400 3,266,525
Corporacion Interamericana de
Entretenimiento S.A. Cl. B*... 928,000 2,233,991
Corporacion Interamericana de
Entretenimiento S.A. Cl. L*... 294,000 692,024
Grupo Carso S.A................. 497,000 2,073,824
Grupo Televisa S.A.............. 5,000 99,289
Grupo Televisa S.A. -- GDR
144A*......................... 104,500 4,173,468
Telefonos de Mexico S.A. Cl.
L -- ADR*..................... 81,300 5,792,625
------------
23,151,610
------------
PHILIPPINES -- 0.5%
Philippine Long Distance
Telephone Co. -- ADR.......... 29,800 648,150
SM Prime Holdings, Inc.......... 1,978,000 333,697
------------
981,847
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
37
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
EMERGING COUNTRIES FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- --------------------------------------------------------------
POLAND -- 0.9%
Elektrim S.A.................... 119,900 $ 1,106,094
Softbank S.A. -- GDR............ 25,900 653,975
------------
1,760,069
------------
SINGAPORE -- 5.8%
Datacraft Asia, Ltd............. 1,003,000 4,413,200
DBS Group Holdings, Ltd.*....... 88,388 987,575
Elec & Eltek International
Co............................ 264,000 1,024,320
Natsteel Electronics, Ltd....... 305,000 1,138,930
Pacific Century Regional*....... 171,000 1,086,034
Venture Manufacturing, Ltd...... 252,000 2,193,237
------------
10,843,296
------------
SOUTH KOREA -- 16.0%
Housing & Commercial Bank....... 73,690 1,423,522
Hyundai Motor Co., Ltd.......... 115,490 2,387,648
Hyundai Motor Co., Ltd. --
GDR*.......................... 43,000 424,625
Korea Telecom Corp.............. 24,180 1,492,740
Korea Telecom Corp. -- ADR*..... 59,049 2,184,813
L.G. Chemicals, Ltd............. 105,010 3,047,146
LG Electronics Co............... 106,380 3,567,862
Pohang Iron & Steel Co.,
Ltd. -- ADR................... 140,000 4,383,750
Samsung Corp.................... 186,210 2,724,651
Samsung Electronics............. 31,997 5,181,594
Shinhan Bank.................... 145,150 1,348,290
Shinhan Bank -- GDR*............ 91,500 1,674,450
------------
29,841,091
------------
SOUTH AFRICA -- 4.1%
Anglo American Corp. PLC........ 36,400 2,039,613
De Beers Centenary Link Units... 113,200 3,113,000
Investec Group, Ltd............. 35,600 1,157,000
Nedcor, Ltd.*................... 66,100 1,295,560
------------
7,605,173
------------
TAIWAN -- 11.1%
ASE Test, Ltd.*................. 81,900 1,986,075
Asustek Computer, Inc........... 176,800 1,757,710
Cathay Life Insurance Co........ 16,200 41,793
China Steel Corp................ 1,200,000 974,044
China Steel Corp. -- GDR........ 67,300 1,340,953
Hon Hai Precision Industry Co.,
Ltd........................... 610,800 3,997,055
Taiwan Semiconductor -- ADR..... 1,615,000 6,783,152
United World Chinese Commercial
Bank.......................... 1,378,000 1,669,121
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
TAIWAN (CONTINUED)
Windbond Electronics Corp. --
GDR 144A*..................... 113,500 $ 2,082,725
------------
20,632,628
------------
TURKEY -- 3.9%
Adana Cimento A................. 24,854,000 495,561
Akbank TAS...................... 500 7
Eregli Demir Ve Celik
Fabrikalari TAS............... 112,640,000 2,563,273
Haci Omer Sabanci Holding AS.... 35,870,000 932,880
Migros Turk TAS................. 3,878,000 1,680,935
Turk Sise Ve Cam Fabrikalari
AS............................ 97,322,000 1,033,523
Yapi ve Kredi Bankasi........... 44,432,000 606,666
------------
7,312,845
------------
UNITED KINGDOM -- 3.3%
Antofagasta Holdings PLC*....... 339,400 2,213,406
Billiton PLC*................... 956,000 4,006,819
------------
6,220,225
------------
UNITED STATES -- 0.9%
Freeport-McMoran Copper & Gold,
Inc. Cl. B.................... 96,300 1,498,669
Starmedia Network, Inc.*........ 10,000 367,188
------------
1,865,857
------------
TOTAL COMMON STOCK
(Cost: $171,328,302)......................... 185,280,246
------------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 1.6%
- --------------------------------------------------------------
Kellogg Co.
5.622%, 10/01/99
(Cost: $2,986,540)............ $ 2,987,000 2,986,540
------------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 100.8%
(Cost: $174,314,842)........................ 188,266,786
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.8%).............................. (1,563,251)
------------
NET ASSETS -- 100.0%.......................... $186,703,535
------------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
38
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
EMERGING COUNTRIES FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Airlines........................ 0.6%
Auto Manufacturers.............. 1.5
Beverages - Alcoholic........... 0.6
Broadcasting.................... 2.3
Building Materials.............. 2.3
Building Products............... 1.7
Chemicals....................... 4.6
Computer Software............... 4.1
Cosmetics & Personal Products... 2.5
Distribution/Wholesale.......... 1.5
Diversified Financial
Services...................... 2.2
Diversified Operations.......... 2.1
Drugs/Pharmaceuticals........... 0.4
Electric........................ 2.1
Electronic
Components/Semiconductors..... 11.0
Electronics..................... 4.9
Entertainment................... 1.6
Food............................ 1.1
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Housewares...................... 0.6%
Information Technology.......... 0.2
Medical Products................ 1.1
Metals.......................... 2.8
Mining.......................... 8.1
Miscellaneous Manufacturing..... 1.1
Money Center Banks.............. 12.9
Oil & Gas Producers............. 3.2
Paper & Related Products........ 1.0
Real Estate..................... 0.2
Steel........................... 5.7
Telecommunications.............. 14.8
Telecommunications Equipment.... 0.8
Television...................... 1.2
Liabilities in Excess of Other
Assets........................ (0.8)
-----
NET ASSETS...................... 100.0%
=====
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
39
<PAGE>
PACIFIC RIM FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
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 MARCAL, Partner,
Portfolio Manager; THEODORA JAMISON, Investment Analyst; ANDREW PARMET,
Investment Analyst.
GOAL: The Pacific Rim Fund seeks to maximize total return through investments
in stocks of companies located within the Pacific Rim region including
Australia, China, Japan, India, Indonesia, South Korea, Malaysia, New Zealand,
the Philippines, Singapore and Taiwan.
MARKET OVERVIEW: The economic crisis of 1997 helped accelerate reform in the
Pacific Rim during the six-month period ended September 30, 1999. Positive
factors driving economic growth in a number of emerging Asian countries include:
government reform of the banking system; resurgent consumer demand; and rising
export growth.
For example, in Thailand, the government has embarked upon a program to
recapitalize its troubled banks. In South Korea, large conglomerates have spun
off unrelated businesses in an attempt to encourage competition among industries
and increase efficiencies.
In Japan, corporate restructuring, continued rising mergers and acquisitions
activity, strength in the yen, as well as optimism about economic recovery all
contributed to better-than-expected stock market performance following six
months of negative GDP growth. The Japanese economy's strong performance bodes
well for neighboring Asian nations exporting to Japan.
PERFORMANCE: The fund gained 64.4% in the period versus 22.4% for its
benchmark, the MSCI Pacific Index.
PORTFOLIO SPECIFICS: Our investment in stocks with strong earnings growth and
attractive valuations, particularly in Japanese technology companies, helped the
fund deliver strong returns for the period. Among the top-performing holdings
were: circuit board maker Murata Manufacturing; electronic device manufacturer
Fujitsu; and software and peripheral distributor Softbank. During the period, we
significantly increased our exposure to Japan on a stock-by-stock basis from 26%
at the beginning of the period to 42% as of September 30.
Other top performers for the period included Reliance Industries Ltd. Based in
India, the firm is a manufacturer of textiles, raw materials and petrochemicals.
In Australia, circuit board maker Protel was also a top performer.
MARKET OUTLOOK: The changing landscape among Pacific Rim markets creates new
investment opportunities. Countries that are on the path of reform are coming
out ahead of those that are delaying moves to implement much-needed changes. The
following are positive factors in the Pacific Rim:
- interest rates have come down significantly from their peaks
- most Asian economies are forecast to continue their economic recovery in
2000
- corporate restructuring is positively impacting companies in Japan
Amid this positive economic backdrop, we are optimistic about the outlook for
the Pacific Rim Fund.
- --------------------------------------------------------------------------------
40
<PAGE>
PACIFIC RIM FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN PACIFIC RIM FUND
INSTITUTIONAL SHARES WITH THE MSCI PACIFIC INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
110.72% As of 09/30/99 31.78%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PACIFIC RIM FUND INSTITUTIONAL SHARES MSCI PACIFIC INDEX
<S> <C> <C>
12/31/97 $250,000.00 $250,000.00
01/98 $252,000.00 $261,601.25
02/98 $258,600.00 $274,525.92
03/98 $253,200.00 $260,654.95
04/98 $241,200.00 $253,590.16
05/98 $207,400.00 $233,540.05
06/98 $193,600.00 $232,816.08
07/98 $197,400.00 $229,653.27
08/98 $178,200.00 $201,018.26
09/98 $192,200.00 $201,782.74
10/98 $208,200.00 $235,362.41
11/98 $225,600.00 $247,782.49
12/98 $233,600.00 $254,632.18
01/99 $238,200.00 $256,358.59
02/99 $229,400.00 $251,617.50
03/99 $246,400.00 $281,969.61
04/99 $285,400.00 $303,653.07
05/99 $293,800.00 $285,616.08
06/99 $355,200.00 $312,920.98
07/99 $384,400.00 $329,224.16
08/99 $396,600.00 $329,783.84
9/30/99 $405,000.00 $345,052.83
</TABLE>
This graph compares a $250,000 investment in the Pacific Rim Fund Institutional
Shares with the MSCI Pacific 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 reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Morgan Stanley Capital International Pacific Index ("MSCI Pacific") is a
market capitalization-weighted index composed of companies representative of the
market structure of 6 developed market countries in the Pacific Basin,
including, Australia, Hong Kong, Japan, Malaysia, New Zealand, and Singapore.
Stock selection takes into consideration the trading capabilities of foreigners
in emerging market countries. The index is calculated without dividends or with
gross dividends reinvested, in both US dollars and local currency.
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.
Investments in overseas markets pose special risks, including currency
fluctuation and political risks, and the Fund's share price is expected to be
more volatile than that of a United States only fund. These risks are generally
intensified for investments in emerging markets.
- --------------------------------------------------------------------------------
41
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
PACIFIC RIM FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- -------------------------------------------------------------
COMMON STOCK -- 98.7%
- -------------------------------------------------------------
AUSTRALIA -- 5.5%
AAPT, Ltd.*....................... 3,592 $ 11,479
Austar United Communications,
Ltd.*........................... 3,700 11,349
Foster's Brewing Group, Ltd....... 6,700 18,889
Protel International, Ltd.*....... 45,600 102,072
Solution 6 Holdings, Ltd.......... 5,000 17,862
----------
161,651
----------
BRITISH VIRGIN ISLANDS -- 0.9%
Del Monte Pacific, Ltd.*.......... 58,000 26,970
----------
CHINA -- 2.4%
Beijing Yanshua Petrochemical Co.,
Ltd............................. 208,000 41,237
Shandong International Power
Development Co., Ltd. Cl. H*.... 198,000 31,352
----------
72,589
----------
HONG KONG -- 5.0%
Beijing Enterprises Holdings, Ltd.
Cl. H........................... 22,000 36,819
China Telecom (Hong Kong), Ltd.
Cl. H*.......................... 12,000 36,922
Hong Kong Land Holdings, Ltd...... 25,000 32,750
HSBC Holdings PLC................. 3,600 41,131
----------
147,622
----------
INDIA -- 8.8%
Hindustan Lever, Ltd.............. 400 23,443
ICICI, Ltd. -- ADR*............... 800 9,600
Larsen & Toubro, Ltd.............. 5,350 45,106
NIIT, Ltd......................... 1,200 78,009
Ranbaxy Laboratories, Ltd. -- GDR
144A............................ 800 19,300
Reliance Industries, Ltd. --
GDR............................. 5,100 53,550
Wipro Corp., Ltd.................. 1,000 30,967
----------
259,975
----------
INDONESIA -- 3.0%
Gulf Indonesia Resources, Ltd..... 5,100 51,319
PT Bank Pan Indonesia TBK -- FR... 287,300 36,965
----------
88,284
----------
JAPAN -- 41.9%
Advantest Corp.................... 400 57,857
Aiful Corp........................ 300 51,141
Bellsystem 24, Inc................ 100 67,155
Fujitsu, Ltd...................... 3,000 93,547
Hirose Electric Co., Ltd.......... 100 15,732
Hitachi, Ltd...................... 5,000 55,415
Hitachi, Ltd. -- ADR.............. 500 54,563
Japan Business Computer Co.,
Ltd............................. 2,400 72,133
KAO Corp.......................... 1,000 28,271
Kojima Co., Ltd................... 1,000 54,100
Kuraya Corp....................... 1,000 13,525
Murata Manufacturing Co., Ltd..... 1,000 100,498
<CAPTION>
NUMBER
OF SHARES VALUE
- -------------------------------------------------------------
<S> <C> <C>
JAPAN (CONTINUED)
Nippon Steel Corp................. 11,000 $ 29,858
Nitto Denko Corp.................. 2,000 63,492
Ryohin Keikaku Co., Ltd........... 100 20,193
Ryohin Keikaku Co., Ltd. (99
Shares)*........................ 100 20,100
Seven-Eleven Japan Co., Ltd....... 1,000 87,818
Seven-Eleven Japan Co., Ltd. (99
Shares)*........................ 1,000 88,288
Shohkoh Fund & Co., Ltd........... 40 29,868
Softbank Corp..................... 200 76,078
Sumitomo Bakelite Co., Ltd........ 6,000 62,046
Takefuji Corp..................... 300 49,957
Toyo Information Systems Co.,
Ltd............................. 1,000 47,618
----------
1,239,253
----------
MALAYSIA -- 1.7%
Unisem (M) Berhad................. 12,000 48,947
----------
PHILIPPINES -- 1.3%
Philippine Long Distance Telephone
Co. -- ADR...................... 1,700 36,974
----------
SINGAPORE -- 7.8%
Datacraft Asia, Ltd............... 6,200 27,280
Datapulse Technology, Ltd......... 46,000 27,862
Elec & Eltek International Co.,
Ltd............................. 17,000 65,960
JIT Holdings, Ltd................. 28,000 51,703
Natsteel Electronics, Ltd......... 11,000 41,076
Venture Manufacturing (Singapore),
Ltd............................. 2,000 17,407
----------
231,288
----------
SOUTH KOREA -- 9.2%
Housing & Commercial Bank,
Korea........................... 1,200 23,181
Korea Electric Power Corp......... 950 31,237
Korea Telecom Corp................ 520 32,102
Korea Telecom Corp. -- ADR*....... 400 14,800
LG Chemical, Ltd.................. 1,030 29,888
LG Electronics.................... 1,470 49,302
Samsung Corp...................... 2,400 35,117
Samsung Electronics Co............ 332 53,764
SK Telecom Co., Ltd. -- ADR....... 4 41
Trigem Computer, Inc.............. 59 4,051
----------
273,483
----------
TAIWAN -- 11.2%
Asia Cement Corp.................. 39,000 35,092
Asustek Computer, Inc............. 1,400 13,919
Bank Sinopac...................... 69,000 36,687
Cathay Life Insurance Co., Ltd.... 450 1,161
Hon Hai Precision Industry Co.,
Ltd............................. 8,000 52,352
Siliconware Precision Industries
Co.............................. 9,840 16,408
Ta Ya Electric Wire & Cable Co.,
Ltd............................. 163,000 50,256
Taishin International Bank........ 66,000 36,546
Taiwan Semiconductor Manufacturing
Co.............................. 6,150 25,830
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
42
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- -------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- -------------------------------------------------------------
TAIWAN (CONTINUED)
Windbond Electronics Corp. -- GDR
144A*........................... 3,400 $ 62,390
----------
330,641
----------
TOTAL COMMON STOCK
(Cost: $2,302,861)............................ 2,917,677
----------
<CAPTION>
NUMBER
OF UNITS
- -------------------------------------------------------------
<S> <C> <C>
UNITS -- 0.9%
- -------------------------------------------------------------
INDIA -- 0.9%
ITC, Ltd. -- GDR (One unit = one
share and 1/3 warrant)
(Cost: $21,750)................. 1,000 25,375
----------
<CAPTION>
NUMBER
OF WARRANTS VALUE
- --------------------------------------------------------------
<S> <C> <C>
WARRANTS -- 0.0%
- --------------------------------------------------------------
INDONESIA -- 0.0%
PT Bank Pan Indonesia TBK 07/08/02
(Cost: $0)...................... 25,350 $ 789
----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 99.6%
(Cost: $2,324,611)............................ 2,943,841
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.4%... 12,973
----------
NET ASSETS -- 100.0%............................ $2,956,814
----------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
43
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
PACIFIC RIM FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Beverages - Alcoholic........... 0.6%
Broadcasting.................... 0.4
Building Materials.............. 1.2
Chemicals....................... 6.3
Computer Software............... 6.7
Computers....................... 7.8
Cosmetics & Personal Products... 1.7
Distribution/Wholesale.......... 1.2
Diversified Financial
Services...................... 3.0
Diversified Operations.......... 1.2
Drugs/Pharmaceuticals........... 0.5
Electric........................ 2.1
Electronic
Components/Semiconductors..... 21.4
Electronics..................... 9.0
Food............................ 0.9
Investment Companies............ 2.6
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Machinery....................... 1.5%
Medical Products................ 0.7
Money Center Banks.............. 5.9
Oil & Gas Producers............. 1.7
Other Commercial Services....... 3.9
Real Estate..................... 1.1
Retail - Consumer Electronics... 1.8
Retail - Convenience Stores..... 6.0
Retail - Miscellaneous.......... 1.4
Savings and Loans............... 1.7
Steel........................... 1.0
Telecommunications.............. 5.4
Tobacco......................... 0.9
Other Assets in Excess of
Liabilities................... 0.4
-----
NET ASSETS...................... 100.0%
=====
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
44
<PAGE>
LATIN AMERICA FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; LAWRENCE S. SPEIDELL, CFA, Partner, Director of Global
Systematic Portfolio Management and Research; ERNESTO RAMOS, PH.D., Portfolio
Manager; JASON CAMPBELL, Portfolio Manager.
GOAL: The Latin America Fund seeks to provide long-term capital appreciation
primarily through investment in the securities of companies located in the Latin
American countries of South America, Central America and Mexico.
MARKET OVERVIEW: In the beginning of the six-month period ended September 30,
1999, many emerging countries in Latin America showed signs of accelerated
reform following the lingering effects of 1997's financial crisis. Economic
recovery was evidenced in Latin America as commodity prices, including oil; a
strong US economy; devaluation of the Brazilian real, as well as low inflation
in the region, all contributed to a boost in equity markets. In Brazil, the
decision to cut interest rates, along with a rise in oil prices, resulted in a
boost for the heavily dependent oil-exporting country. In Mexico, favorable
trends such as strengthening commodity prices and a strong US economy bode well
for the country.
In the third quarter of the year however, Latin American markets suffered
declines amid uncertainties over higher interest rates in the United States.
Fiscal and political worries dragged Latin American equity markets lower, with
presidential elections scheduled in Argentina and for next year in Mexico and
Chile.
PERFORMANCE: During the six-month period ended September 30, 1999, the Latin
America Fund posted a decline of 0.8% versus a 4.3% gain for the MSCI EMF Latin
America Index.
PORTFOLIO SPECIFICS: Despite the region's downturn in the third quarter, we
continued to find stocks that benefited from change and posted favorable
earnings in Latin America. For example, in Mexico, strengthening commodity
prices and a strong US economy led us to invest in Alfa. One of the top
performers during the period, Alfa has operations in petrochemicals, steel, car
parts and food.
Another top performer for the period was Aracruz Celulose, the world's largest
producer of hardwood craft market pulp used in a wide range of paper products.
Exporting more than 90% of its pulp to North America, Europe, and Asia, the firm
has remained resilient in a traditionally volatile industry.
Disappointing returns among holdings in Mexico negatively affected the fund's
relative returns.
MARKET OUTLOOK: Long-term trends in Latin America remain solid. Favorable
factors such as privatization, restructuring, declining inflation and improving
economic conditions all bode well for countries in the region. The recent
recovery in commodity prices, including oil, is also very positive for the
economic and fiscal health of the region. We expect the region's largest
economies -- Mexico and Brazil -- to surmount political and economic
difficulties in the years ahead. Although uncertainties remain, we believe the
long-term prospects are compelling. We are optimistic in our outlook for the
Latin America Fund.
- --------------------------------------------------------------------------------
45
<PAGE>
LATIN AMERICA FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN LATIN AMERICA FUND
INSTITUTIONAL SHARES WITH THE MSCI EMF LATIN AMERICA INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
35.01% As of 09/30/99 -3.70%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LATIN AMERICA FUND MSCI EMF LATIN AMERICA INDEX
INSTITUTIONAL SHARES
<S> <C> <C>
11/30/97 $250,000.00 $250,000.00
12/97 $268,400.00 $266,600.00
01/98 $241,600.00 $236,986.07
02/98 $255,800.00 $249,434.95
03/98 $279,200.00 $267,119.89
04/98 $283,200.00 $261,000.17
05/98 $247,400.00 $227,242.41
06/98 $239,000.00 $213,812.38
07/98 $257,400.00 $224,391.82
08/98 $163,400.00 $146,554.79
09/98 $172,800.00 $161,560.53
10/98 $189,400.00 $174,049.16
11/98 $204,800.00 $187,485.75
12/98 $192,012.73 $172,993.11
01/99 $175,130.25 $152,510.72
02/99 $187,537.86 $162,240.91
03/99 $235,134.23 $195,224.48
04/99 $273,984.27 $223,346.57
05/99 $258,118.81 $213,541.65
06/99 $265,644.73 $223,712.64
07/99 $232,489.99 $206,486.77
08/99 $223,540.24 $200,271.52
9/30/99 $233,303.60 $203,535.94
</TABLE>
This graph compares a $250,000 investment in the Latin America Fund
Institutional Shares with the MSCI EMF Latin America 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 reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Morgan Stanley Capital International Latin America Index ("MSCI EMF Latin
America") is a market capitalization-weighted index composed of companies
representative of the market structure of 7 emerging market countries in Latin
America, including, Argentina, Chile, Columbia, Brazil, Mexico Free, Peru and
Venezuela. Stock selection takes into consideration the trading capabilities of
foreigners in emerging market countries. The index is calculated without
dividends or with gross dividends reinvested, in both US dollars and local
currency.
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.
Investments in overseas markets pose special risks, including currency
fluctuation and political risks, and the Fund's share price is expected to be
more volatile than that of a United States only fund. These risks are generally
intensified for investments in emerging markets.
- --------------------------------------------------------------------------------
46
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
LATIN AMERICA FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCK -- 69.2%
- --------------------------------------------------------------
BRAZIL -- 18.1%
Aracruz Celulose S.A. -- ADR........ 6,800 $ 141,950
CIA Vale do Rio Doce -- ADR......... 4,000 84,376
Eletropaulo S.A..................... 3,900,000 184,844
Tele Centro Sul Participacoes --
ADR............................... 1,800 99,900
----------
511,070
----------
MEXICO -- 43.0%
Alfa, S.A.*......................... 47,100 199,305
Carso Global Telecom S.A............ 38,000 210,603
Cemex S.A. -- ADR................... 8,307 200,406
Corporacion Interamericana de
Entretenimiento S.A. Cl. B........ 1,247 3,002
Corporacion Interamericana de
Entretenimiento S.A. Cl. L*....... 37,000 87,091
Grupo Telavisa S.A. -- GDR*......... 7,800 311,513
Telefonos de Mexico -- ADR.......... 2,900 206,625
----------
1,218,545
----------
UNITED KINGDOM -- 8.1%
Antofagasta Holdings PLC............ 35,200 229,558
----------
TOTAL COMMON STOCK
(Cost: $1,833,083)............................. 1,959,173
----------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCK -- 22.2%
- --------------------------------------------------------------
BRAZIL -- 22.2%
CIA Vale do Rio Doce................ 5,500 $ 117,162
Empresa Brasileira de Aeronautica
S.A............................... 99,000 278,438
Gerdau S.A.......................... 9,198,000 143,719
Petroleo Brasileiro S.A............. 596,200 89,119
----------
TOTAL PREFERRED STOCK
(Cost: $622,206)............................... 628,438
----------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 7.7%
- --------------------------------------------------------------
Kellogg Co.
5.522%, 10/01/99.................. $ 119,000 118,982
Pitney Bowes, Inc.
5.841%, 10/01/99.................. 100,000 99,984
----------
TOTAL COMMERCIAL PAPER
(Cost: $218,966)............................... 218,966
----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 99.1%
(Cost: $2,674,255)............................ 2,806,577
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.9%... 24,646
----------
NET ASSETS -- 100.0%............................ $2,831,223
----------
----------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
47
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
LATIN AMERICA FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Aerospace/Defense............... 9.8%
Broadcasting.................... 11.0
Building Materials.............. 7.1
Diversified Financial
Services...................... 7.7
Diversified Operations.......... 7.0
Electric........................ 6.5
Entertainment................... 3.2
Mining.......................... 15.3
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Oil & Gas Producers............. 3.1%
Paper & Related Products........ 5.0
Steel........................... 5.1
Telecommunications.............. 18.3
Other Assets in Excess of
Liabilities................... 0.9
-----
NET ASSETS...................... 100.0%
=====
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
48
<PAGE>
LARGE CAP GROWTH FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; ANDREW B. GALLAGHER, Partner, Portfolio Manager; WILLIAM H.
CHENOWETH, CFA, Partner, Portfolio Manager; KENNETH H. LEE, Portfolio Manager;
TRISHA C. SCHUSTER, CFA, Portfolio Manager; THOMAS J. SULLIVAN, Portfolio
Manager; THOMAS J. SMITH, CFA, Investment Analyst.
GOAL: The Large Cap Growth Fund seeks to maximize long-term capital
appreciation by investing primarily in stocks from a universe of large US
companies with market capitalizations corresponding to the upper 90% of the
Russell 1000 Growth Index at time of purchase.
MARKET OVERVIEW: Optimism about the robust US economy, strong corporate
profits and low inflation contributed to gains among US large-cap stocks. During
the period, large-cap indices reached record highs, with the Dow Jones
Industrial Average (DJIA) surpassing 11,000 for the first time on May 3.
The six-month period was characterized by volatility, with market highs often
followed by investor uncertainty over potential interest-rate hikes. Technology
stocks were favorites in all capitalization segments during the period as the
powerful long-term growth potential in the sector attracted investors into
various technology industries.
Following a brief period of underperformance in April and May, growth stocks
outperformed value stocks throughout much of the period.
PERFORMANCE: For the six-month period ending September 30, 1999, the fund
gained 10.4% versus 0.0% for the Russell 1000 Growth Index.
PORTFOLIO SPECIFICS: Stocks with strong earnings visibility and solid
fundamentals, particularly within the technology sector, were strong
contributors to the fund's outperformance relative to its benchmark during the
period.
Among the top-performing holdings were technology companies including Sprint
PCS, Sun Microsystems, Cisco Systems, Sony and Qualcomm. By the end of the
period we had increased our weighting in the technology sector on a
stock-by-stock basis to 38.7% -- up from 20.3% at the beginning of the period.
Due to eroding earnings projections, we continued to reduce our exposure on a
stock-specific basis among retail stocks, including Dayton Hudson. In addition,
as a result of our bottom-up process, we trimmed exposure to consumer services
and utilities and increased our exposure in oil-related industries.
MARKET OUTLOOK: In an environment with subdued inflation, low interest rates,
and global economic recovery, we continue to find promising companies with
exceptional earnings growth in the large-cap segment. We expect stocks with the
strongest earnings growth rates to continue attracting investor attention.
- --------------------------------------------------------------------------------
49
<PAGE>
LARGE CAP GROWTH FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN LARGE CAP GROWTH FUND
INSTITUTIONAL SHARES WITH THE RUSSELL 1000 GROWTH INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
83.32% As of 09/30/99 50.34%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
<S> <C> <C>
LARGE CAP GROWTH FUND INSTITUTIONAL SHARES RUSSELL 1000 GROWTH INDEX
12/27/96 $250,000.00 $250,000.00
12/96 $247,200.00 $246,184.68
1/97 $272,400.00 $263,452.07
2/97 $267,800.00 $261,660.59
3/97 $260,000.00 $247,499.52
4/97 $270,000.00 $263,933.49
5/97 $300,200.00 $282,981.57
6/97 $311,400.00 $294,300.83
7/97 $350,200.00 $320,317.03
8/97 $342,200.00 $301,578.48
9/97 $359,600.00 $316,419.16
10/97 $359,200.00 $304,711.65
11/97 $354,896.62 $317,652.75
12/97 $361,073.21 $321,210.46
1/98 $366,477.73 $330,814.66
2/98 $400,191.62 $355,698.54
3/98 $424,640.63 $369,876.68
4/98 $438,280.60 $374,995.77
5/98 $427,214.20 $364,353.39
6/98 $458,097.16 $386,670.04
7/98 $448,284.00 $384,110.28
8/98 $373,570.00 $326,455.33
9/98 $420,006.82 $351,533.63
10/98 $451,656.50 $379,796.93
11/98 $494,720.82 $408,699.48
12/98 $580,590.04 $445,564.17
1/99 $645,964.79 $471,718.79
2/99 $632,474.76 $450,161.24
3/99 $697,590.09 $473,884.74
4/99 $730,134.16 $474,500.79
5/99 $735,294.12 $459,933.61
6/99 $770,228.70 $492,128.96
7/99 $760,111.18 $476,479.26
8/99 $755,700.97 $484,245.88
9/30/99 $769,969.27 $474,077.71
</TABLE>
This graph compares a $250,000 investment in the Large Cap Growth Fund
Institutional Shares with the Russell 1000 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 applicable to the Fund.
The total returns reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Russell 1000 Growth Index is an unmanaged index containing those companies
among the Russell 1000 Index securities with higher than average price-to-book
ratios and forecasted growth. The Russell 1000 Index contains the top 1,000
securities of the Russell 3000 Index, which comprises the 3,000 largest U.S.
securities as determined by total market capitalization. The Russell 1000 Growth
Index is considered generally representative of the U.S. market for large cap
stocks.
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.
- --------------------------------------------------------------------------------
50
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
LARGE CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCK -- 97.7%
- --------------------------------------------------------------
APPAREL -- 3.0%
Nike, Inc. Cl. B.................. 17,700 $ 1,006,688
-----------
AUDIO/VIDEO PRODUCTS -- 3.4%
Sony Corp......................... 7,600 1,140,475
-----------
BIOTECHNOLOGY -- 6.3%
Amgen, Inc.*...................... 13,300 1,083,950
Genentech, Inc.*.................. 6,800 994,925
-----------
2,078,875
-----------
BROADCASTING -- 10.0%
AT&T Corp. -- Liberty Media Group
Cl. A*.......................... 30,700 1,139,738
CBS Corp.......................... 20,500 948,125
Comcast Corp. -- Special Cl. A*... 30,200 1,204,225
-----------
3,292,088
-----------
COMPUTER SOFTWARE -- 7.6%
Microsoft Corp.*.................. 10,300 932,794
Oracle Corp.*..................... 23,900 1,087,450
SAP AG............................ 13,200 498,300
-----------
2,518,544
-----------
COMPUTERS -- 6.2%
Dell Computer Corp.*.............. 20,900 873,881
Sun Microsystems, Inc.*........... 12,600 1,171,800
-----------
2,045,681
-----------
ELECTRONIC COMPONENTS/SEMICONDUCTORS -- 4.6%
Intel Corp........................ 6,500 483,031
Texas Instuments, Inc............. 12,700 1,044,575
-----------
1,527,606
-----------
ELECTRONICS -- 3.0%
Solectron Corp.*.................. 14,000 1,005,375
-----------
INTERNET SOFTWARE -- 3.5%
America Online, Inc.*............. 11,000 1,144,000
-----------
LEISURE/GAMING -- 3.5%
MGM Grand, Inc.*.................. 22,600 1,156,838
-----------
MEDICAL PRODUCTS & SUPPLIES -- 2.9%
Johnson & Johnson................. 10,600 973,875
-----------
MISCELLANEOUS MANUFACTURING -- 3.0%
Tyco International Ltd............ 9,500 980,875
-----------
NETWORKING PRODUCTS -- 3.2%
Cisco Systems, Inc.*.............. 15,600 1,069,575
-----------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
OIL & GAS PRODUCERS -- 2.7%
EOG Resources, Inc................ 42,100 $ 894,625
-----------
OIL FIELD SERVICES -- 4.7%
Halliburton Co.................... 20,500 840,500
Weatherford International,
Inc.*........................... 22,000 704,000
-----------
1,544,500
-----------
PAPER & RELATED PRODUCTS -- 2.1%
International Paper Co............ 14,300 687,294
-----------
PIPELINES -- 2.5%
Williams Cos., Inc................ 22,200 831,112
-----------
RETAIL-DISCOUNT -- 3.3%
Wal-Mart Stores, Inc.............. 22,800 1,084,424
-----------
RETAIL-BUILDING PRODUCTS -- 1.5%
Home Depot, Inc................... 7,400 507,824
-----------
TELECOMMUNICATIONS -- 8.3%
ALLtel Corp....................... 9,700 682,638
MCI WorldCom, Inc.*............... 12,200 876,875
Sprint Corp. -- PCS Group......... 15,900 1,185,544
-----------
2,745,057
-----------
TELECOMMUNICATIONS EQUIPMENT -- 12.4%
Lucent Technologies, Inc.......... 15,015 974,098
Motorola, Inc..................... 9,900 871,200
Nokia OYJ -- ADR.................. 12,800 1,149,600
Qualcomm, Inc.*................... 5,900 1,116,206
-----------
4,111,104
-----------
TOTAL COMMON STOCK
(Cost: $30,222,003)........................... 32,346,435
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 3.0%
- --------------------------------------------------------------
Kellogg Co.
5.616% 10/01/99
(Cost: $987,848)................ $ 988,000 987,848
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 100.7%
(Cost: $31,209,851).......................... 33,334,283
LIABILITIES IN EXCESS OF OTHER ASSETS --
(0.7%)......................................... (241,766)
-----------
NET ASSETS -- 100.0%........................... $33,092,517
-----------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
51
<PAGE>
MID CAP GROWTH FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; WILLIAM H. CHENOWETH, CFA, Partner, Portfolio Manager; ANDREW
B. GALLAGHER, Partner, Portfolio Manager; TRISHA C. SCHUSTER, CFA, Portfolio
Manager; THOMAS J. SULLIVAN, Portfolio Manager; THOMAS J. SMITH, CFA, Investment
Analyst.
GOAL: The Mid Cap Growth Fund seeks to maximize long-term capital appreciation
through investments in US securities with market capitalizations corresponding
to the middle 90% of the Russell Midcap Growth Index at the time of purchase.
MARKET OVERVIEW: Optimism about the robust US economy, strong corporate
profits and low inflation levels contributed to US indices reaching record highs
during the six-month period ended September 30, 1999. During the period,
investors recognized the strong earnings growth rates within the mid-cap
segment, spurring gains.
The period was characterized by volatility, with market highs often followed
by sharp declines amid investor uncertainty over potential interest-rate hikes.
Technology stocks were favorites in all capitalization segments during the
period as the powerful long-term growth potential in the sector attracted
investors into various technology industries.
With the exception of a brief period in April and May, growth stocks
outperformed value stocks. While many value-oriented companies assumed market
leadership after being hard-hit by the Asian economic crisis in 1997,
growth-oriented companies returned to favor for the remainder of the period.
PERFORMANCE: For the six-month period ending September 30, 1999, the fund
gained 7.2% versus 4.9% for the Russell Midcap Growth Index.
PORTFOLIO SPECIFICS: Stock selection, especially in the technology sector, was
responsible for much of the fund's outperformance relative to its benchmark. For
example, among the best-performing holdings during the period were wireless
technology companies Voicestream Wireless and Sprint PCS; software company
Veritas Software; internet company RealNetworks Inc; communications
semiconductor chip makers Applied Micro Circuits, Conexant Systems, and LSI
Logic; as well as fiber optics technology company JDS Uniphase Corp.
During the period, we increased exposure to the technology sector on
stock-by-stock basis to more than 40% from 24% on March 31.
During the period, we significantly reduced our exposure on a
company-by-company basis in the financial services and retail trade industries
due to concerns over the sustainability of earnings growth.
MARKET OUTLOOK: The fundamental strengths within the mid-cap segment of the
market continue to inspire optimism. Earnings growth remains strong and
valuations, relative to large-cap stocks are near historic lows. We expect
stocks with the strongest earnings growth rates will continue to attract
investor recognition.
- --------------------------------------------------------------------------------
52
<PAGE>
MID CAP GROWTH FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN MID CAP GROWTH FUND
INSTITUTIONAL SHARES WITH THE RUSSELL MID CAP GROWTH INDEX.
<TABLE>
<S> <C> <C>
ANNUALIZED TOTAL RETURNS
As of 09/30/99
1 YEAR 5 YEARS 10 YEARS
52.67% 20.68% 17.67%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MID CAP GROWTH RUSSELL MID
FUND INSTITUTIONAL CAP GROWTH
SHARES INDEX
<S> <C> <C>
9/30/85 250,000.00 250,000.00
12/31/85 311,844.68 250,000.00
12/31/86 414,298.40 293,875.99
12/31/87 429,183.67 301,984.30
12/31/88 483,551.39 341,012.60
12/31/89 647,588.43 448,379.58
12/31/90 652,316.35 425,364.42
12/31/91 1,014,497.89 625,418.63
12/31/92 1,151,984.48 679,904.76
12/31/93 1,379,769.31 756,008.21
12/31/94 1,234,649.94 739,632.42
12/31/95 1,710,915.34 991,040.20
12/31/96 1,992,539.17 1,164,278.99
12/31/97 2,324,431.52 1,426,667.47
12/31/98 2,665,064.26 1,681,523.82
9/30/99 3,246,427.93 1,824,121.47
</TABLE>
This graph compares a $250,000 investment in Mid Cap Growth Fund Institutional
Shares with the Russell Mid Cap 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 managed by Nicholas-Applegate Capital Management prior to the
effective date of the Fund's registration statement which was 4/19/93. Limited
partnership returns are restated to reflect all fees and expenses applicable to
the Fund. 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 reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Russell Mid Cap Growth Index measures the performance of those companies
among the 800 smallest companies in the Russell 1000 Index with higher than
average price-to-book ratios and forecasted growth. The average market
capitalization is $4 billion. The Russell Mid Cap Growth Index is considered
generally representative of the U.S. market for mid cap stocks. The index
incepted on 12/31/85.
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.
- --------------------------------------------------------------------------------
53
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
MID CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCK -- 97.6%
- --------------------------------------------------------------
ADVERTISING -- 1.0%
Omnicom Group, Inc............... 16,200 $ 1,282,838
------------
AUTO EQUIPMENT -- 0.4%
Gentex Corp.*.................... 26,700 551,521
------------
APPLICATIONS SOFTWARE -- 1.3%
BroadVision, Inc.*............... 5,600 745,150
Peregrine Systems, Inc.*......... 23,100 941,325
------------
1,686,475
------------
BIOTECHNOLOGY -- 6.0%
Biogen, Inc.*.................... 13,100 1,032,444
Genentech, Inc.*................. 11,500 1,682,594
Genzyme Corp. -- General
Division*...................... 17,700 797,606
Gilead Sciences, Inc.*........... 18,800 1,206,725
Immunex Corp.*................... 12,400 537,850
Medimmune, Inc.*................. 26,700 2,660,821
------------
7,918,040
------------
BROADCASTING -- 5.0%
Hispanic Broadcasting Corp.*..... 12,900 982,012
Insight Communications Co.,
Inc.*.......................... 32,700 936,037
Univision Communications, Inc.
Cl. A*......................... 17,200 1,399,650
USA Networks, Inc.*.............. 53,700 2,080,875
Westwood One, Inc................ 28,100 1,268,012
------------
6,666,586
------------
COMPUTERS -- 1.1%
Apple Computer, Inc.............. 22,200 1,405,538
------------
COMPUTER SERVICES -- 2.0%
Computer Sciences Corp.*......... 24,800 1,743,750
Qlogic Corp.*.................... 13,000 907,562
------------
2,651,312
------------
COMPUTER SOFTWARE -- 6.2%
BMC Software, Inc.*.............. 25,400 1,817,688
Mercury Interactive Corp.*....... 19,700 1,271,881
VeriSign, Inc.*.................. 18,200 1,938,300
Veritas Software Corp.*.......... 42,300 3,212,156
------------
8,240,025
------------
CONTRACT DRILLING -- 1.3%
Global Marine, Inc.*............. 102,400 1,683,200
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.7%
Concord EFS, Inc.*............... 42,300 872,438
------------
DRUGS/PHARMACEUTICALS -- 0.9%
Forest Laboratories, Inc. Cl.
A*............................. 29,800 1,255,325
------------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
ELECTRIC -- 1.9%
AES Corp......................... 31,300 $ 1,846,700
Calpine Corp.*................... 7,700 654,981
------------
2,501,681
------------
ELECTRONIC COMPONENTS/SEMICONDUCTORS -- 10.4%
Applied Micro Circuits Corp.*.... 28,800 1,641,600
Broadcom Corp.*.................. 11,100 1,209,900
Conexant Systems, Inc.*.......... 30,100 2,186,951
Lam Research Corp.*.............. 16,300 994,300
LSI Logic Corp.*................. 45,100 2,322,650
PMC-Sierra, Inc.*................ 17,800 1,646,500
Vitesse Semiconductor Corp.*..... 18,000 1,536,750
Xilinx, Inc.*.................... 33,400 2,188,742
------------
13,727,393
------------
ELECTRONICS -- 1.7%
General Instruments Corp.*....... 30,100 1,448,563
Teradyne, Inc.*.................. 24,600 867,150
------------
2,315,713
------------
ENTERTAINMENT -- 0.5%
SFX Entertainment, Inc. Cl. A*... 23,600 719,800
------------
INTERNET CONTENT -- 4.9%
CMGI, Inc.*...................... 16,200 1,660,500
Doubleclick, Inc.*............... 6,500 774,312
Inktomi Corp.*................... 8,300 996,259
Internet Capital Group, Inc.*.... 11,500 1,010,562
Network Solutions, Inc. Cl. A*... 21,900 2,012,063
------------
6,453,696
------------
INTERNET SOFTWARE -- 7.1%
At Home Corp. Series A*.......... 26,000 1,077,375
Covad Communications Group,
Inc.*.......................... 19,600 854,438
Exodus Communications, Inc.*..... 22,200 1,599,788
Internap Network Services
Corp.*......................... 11,000 490,875
Phone.com, Inc.*................. 5,100 772,650
PSINet, Inc.*.................... 22,200 798,507
RealNetworks, Inc.*.............. 23,200 2,425,850
Vignette Corp.*.................. 16,100 1,457,050
------------
9,476,533
------------
LEISURE/GAMING -- 0.9%
Royal Caribbean Cruises, Ltd..... 25,900 1,165,500
------------
MEDICAL INFORMATION SYSTEMS -- 0.5%
IMS Health, Inc.................. 31,200 711,750
------------
MEDICAL SUPPLIES/EQUIPMENT -- 3.1%
Medical Manager Corp.*........... 19,200 955,200
MiniMed, Inc.*................... 12,600 1,237,950
Visx, Inc.*...................... 24,000 1,898,251
------------
4,091,401
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
54
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- --------------------------------------------------------------
NETWORKING PRODUCTS -- 3.1%
Extreme Networks, Inc.*.......... 22,500 $ 1,424,531
Foundry Networks, Inc.*.......... 1,500 189,000
Network Appliance, Inc.*......... 35,000 2,506,875
------------
4,120,406
------------
OIL & GAS PRODUCERS -- 1.8%
Apache Corp...................... 42,700 1,844,106
EOG Resources, Inc............... 26,700 567,375
------------
2,411,481
------------
OIL & GAS SERVICES -- 5.2%
BJ Services Co.*................. 41,300 1,313,856
ENSCO International, Inc......... 78,900 1,425,131
Global Industries, Ltd.*......... 2,900 23,563
Rowan Companies, Inc............. 71,500 1,161,875
Smith International, Inc......... 47,400 1,919,700
Weatherford International,
Inc.*.......................... 34,700 1,110,400
------------
6,954,525
------------
OPTICAL SUPPLIES -- 2.2%
Allergan, Inc.................... 12,400 1,364,000
Bausch & Lomb, Inc............... 24,500 1,615,469
------------
2,979,469
------------
PACKAGING & CONTAINERS -- 0.9%
Smurfit-Stone Container Corp.*... 55,200 1,193,700
------------
PRINTERS & RELATED PRODUCTS -- 1.3%
Lexmark International Group, Inc.
Cl. A*......................... 21,800 1,754,900
------------
RETAIL-APPAREL -- 2.6%
Abercrombie & Fitch Co. Cl. A*... 20,200 688,062
American Eagle Outfitters,
Inc.*.......................... 15,100 731,406
Childrens Place, Inc.*........... 21,900 583,088
Pacific Sunwear California,
Inc.*.......................... 50,200 1,407,166
------------
3,409,722
------------
RETAIL-CONSUMER ELECTRONICS -- 3.1%
Best Buy, Inc.*.................. 32,800 2,035,650
Circuit City Stores.............. 48,900 2,062,969
------------
4,098,619
------------
RETAIL-DEPARTMENT STORE -- 0.7%
Kohls Corp....................... 13,500 892,688
------------
RETAIL-OFFICE SUPPLIES -- 0.6%
Avery Dennison Corp.............. 14,800 780,700
------------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
SEMICONDUCTORS -- 4.4%
Analog Devices, Inc.*............ 30,900 $ 1,583,625
JDS Uniphase Corp.*.............. 20,900 2,378,681
Maxim Integrated Products,
Inc.*.......................... 13,600 858,076
Sanmina Corp.*................... 12,400 959,450
------------
5,779,832
------------
TELECOMMUNICATIONS -- 11.7%
CIENA Corp.*..................... 65,800 2,401,700
Crown Castle International
Corp.*......................... 60,400 1,130,616
Metromedia Fiber Network, Inc.
Cl. A*......................... 25,600 627,200
Nextel Communications, Inc. Cl.
A*............................. 17,500 1,186,719
NEXTLINK Communications, Inc.
Cl. A*......................... 20,600 1,067,982
McLeodUSA, Inc.*................. 30,400 1,293,900
Sprint Corp. -- PCS Group........ 17,000 1,267,563
Voicestream Wireless Corp.*...... 68,800 4,246,253
Winstar Communications, Inc.*.... 58,600 2,289,062
------------
15,510,995
------------
TELECOMMUNICATIONS EQUIPMENT -- 2.5%
Comverse Technology, Inc.*....... 12,900 1,216,631
Qualcomm, Inc.*.................. 3,600 681,075
RF Micro Devices, Inc.*.......... 30,400 1,390,800
------------
3,288,506
------------
TELECOMMUNICATIONS SERVICES -- 0.6%
Time Warner Telecom, Inc. Cl.
A*............................. 36,300 757,763
------------
TOTAL COMMON STOCK
(Cost: $111,066,696)......................... 129,310,071
------------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 3.1%
- --------------------------------------------------------------
Pitney Bowes, Inc.
5.676%, 10/01/99
(Cost: $4,128,358)............. $4,129,000 4,128,358
------------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 100.7%
(Cost: $115,195,054)........................ 133,438,429
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.7%).............................. (891,513)
------------
NET ASSETS -- 100.0%.......................... $132,546,916
------------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
55
<PAGE>
SMALL CAP GROWTH FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; THOMAS BLEAKLEY, Partner, Portfolio Manager; JOHN C. MCCRAW,
Portfolio Manager; AARON HARRIS, Portfolio Manager; PAUL E. CLUSKEY, Portfolio
Manager; TRAVIS PRENTICE, Investment Analyst.
GOAL: The Small Cap Growth Fund seeks to maximize long-term capital
appreciation through investments primarily in US companies with market
capitalizations corresponding to the middle 90% of the Russell 2000 Growth Index
at time of purchase.
MARKET OVERVIEW: Optimism about the robust US economy, strong corporate
profits and low inflation contributed to US indices reaching record highs during
the six-month period ended September 30, 1999.
During the period, the strong earnings growth rates among small caps earned
increasing investor recognition. Growth stocks outperformed value stocks across
all market capitalization segments.
Spurred by gains among technology stocks, smaller caps outperformed large caps
during the period and significantly narrowed their year-to-date relative
underperformance gap.
On March 31, the Russell 2000 Index's year-to-date return of -5.4% trailed the
S&P 500's gain of 5.0% by 1,041 basis points. As of September 30, the difference
in year-to-date returns between the two indices was trimmed to 299 basis points.
PERFORMANCE: For the six-month period ending September 30, 1999, the fund
gained 17.3% versus 9.1% for the Russell 2000 Growth Index.
PORTFOLIO SPECIFICS: Stock selection, especially within the technology sector,
helped the fund outperform its benchmark during the period. Among the strongest
performers were technology companies such as Qlogic, Applied Micro Circuits and
Mercury Interactive.
Another top performer for the fund was Minimed Inc., a medical device company
whose technologies are projected to revolutionize the treatment of diabetes.
During the period, we slightly increased our weighting in the technology
sector on a stock-by-stock basis to 42% from 38% on March 31.
During the period, we decreased our weightings in the financial services
industry, as well as in the healthcare services industry.
MARKET OUTLOOK: The fundamental strengths within the small-cap segment of the
market and small caps' outperformance versus large caps during the period
inspire optimism. Moderate economic growth, low inflation and low interest rates
also bode well for smaller caps.
Our bottom-up stock selection continues to uncover promising opportunities
with strong earnings growth. We believe our approach will continue to deliver
exceptional long-term appreciation.
- --------------------------------------------------------------------------------
56
<PAGE>
SMALL CAP GROWTH FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN SMALL CAP GROWTH FUND
INSTITUTIONAL SHARES WITH THE RUSSELL 2000 GROWTH INDEX.
<TABLE>
<S> <C> <C>
ANNUALIZED TOTAL RETURNS
As of 09/30/99 SINCE
1 YEAR 5 YEARS INCEPTION
62.04% 19.31% 15.11%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SMALL CAP RUSSELL 2000
GROWTH FUND INSTITUTIONAL SHARES GROWTH INDEX
<S> <C> <C>
10/1/1993 250,000.00 250,000.00
12/31/1993 249,920.00 256,564.76
12/31/1994 241,146.93 250,325.46
12/31/1995 327,708.03 328,077.75
12/31/1996 389,595.30 365,029.54
12/31/1997 436,748.43 411,914.01
12/31/1998 455,853.84 417,053.11
9/30/1999 581,644.57 447,392.48
</TABLE>
This graph compares a $250,000 investment in the Small Cap Growth Fund
Institutional Shares 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 reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
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.
- --------------------------------------------------------------------------------
57
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
SMALL CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON AND PREFERRED STOCKS -- 93.0%
- --------------------------------------------------------------
ADVERTISING -- 0.5%
Flycast Communications Corp.... 11,000 $ 500,500
Getty Images, Inc.*............ 17,400 419,775
------------
920,275
------------
AEROSPACE/DEFENSE -- 0.3%
Aeroflex, Inc.................. 6,600 80,438
L-3 Communications Holdings,
Inc.*........................ 12,100 456,775
------------
537,213
------------
AIRLINES -- 0.1%
Mesaba Holdings, Inc.*......... 6,100 71,675
Skywest, Inc................... 7,300 160,144
------------
231,819
------------
APPAREL -- 1.5%
Cutter & Buck, Inc.*........... 1,050 16,341
Fossil, Inc.*.................. 15,600 422,175
K-Swiss, Inc. Cl. A............ 25,200 795,375
Quiksilver, Inc.*.............. 6,100 111,325
Timberland Co. Cl. A........... 26,200 1,023,438
Urban Outfitters, Inc.*........ 13,200 292,050
------------
2,660,704
------------
APPLICATIONS SOFTWARE -- 2.2%
Clarify, Inc.*................. 19,500 981,094
Exchange Applications, Inc.*... 4,100 119,156
Genesys Telecommunications
Laboratories*................ 28,800 1,315,800
National Instruments Corp.*.... 16,650 588,474
Peregrine Systems, Inc.*....... 21,900 892,425
Persistence Software, Inc.*.... 3,500 99,969
------------
3,996,918
------------
AUCTIONS -- 0.2%
Sothebys Holding, Inc. Cl. A... 15,800 407,838
------------
AUTO-TRUCKS -- 0.1%
Oshkosh Truck Co. Cl. B........ 8,100 215,663
------------
BEVERAGES-ALCOHOLIC -- 0.4%
Canandaigua Brands, Inc. Cl.
A*........................... 12,800 764,800
------------
BIOTECHNOLOGY -- 2.8%
Affymetrix, Inc.*.............. 5,400 531,563
Cephalon, Inc.*................ 39,100 702,580
COR Therapeutics, Inc.*........ 20,900 397,100
Gilead Sciences, Inc.*......... 20,292 1,302,493
Imclone Systems, Inc.*......... 20,900 694,925
Millennium Pharmaceuticals,
Inc.*........................ 17,900 1,163,500
Trimeris, Inc.*................ 11,000 183,563
------------
4,975,724
------------
BROADCASTING -- 3.4%
Citadel Communications
Corp.*....................... 25,500 870,188
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
BROADCASTING (CONTINUED)
Cumulus Media, Inc. Cl. A*..... 13,900 $ 454,356
Entercom Communications
Corp.*....................... 18,500 666,000
Emmis Communications Corp. Cl.
A*........................... 21,300 1,407,131
Pegasus Communications Corp.
Cl. A*....................... 15,500 699,438
Price Communications Corp.*.... 21,100 528,819
Radio One, Inc................. 3,000 124,500
Saga Communications, Inc. Cl.
A*........................... 22,300 512,900
Salem Communication, Inc. Cl.
A*........................... 10,800 275,400
SBS Broadcasting S.A.*......... 15,700 608,375
------------
6,147,107
------------
BUILDING-RESIDENTIAL/COMMERCIAL -- 0.5%
Crossmann Communities, Inc.*... 11,400 185,963
MDC Holdings, Inc.............. 13,300 215,294
MI Schottenstein Homes, Inc.... 15,000 247,500
Ryland Group, Inc.............. 10,500 238,875
------------
887,632
------------
CHEMICALS -- 0.3%
MacDermid, Inc................. 10,300 350,844
Spartech Corp.................. 8,600 252,088
------------
602,932
------------
COMMUNICATIONS SOFTWARE -- 0.3%
AVT Corp.*..................... 16,800 514,500
------------
COMPUTER SOFTWARE -- 5.7%
Advantage Learning Systems,
Inc.*........................ 12,700 236,538
BindView Development Corp.*.... 22,000 433,125
Broadbase Software, Inc.*...... 3,000 47,813
Business Objects S.A. --
ADR*......................... 17,900 1,056,100
CBT Group Public Ltd., Co.*.... 34,600 852,025
E.Piphany, Inc.*............... 2,500 121,875
Gadzoox Networks, Inc.*........ 8,800 474,100
Harbinger Corp.*............... 37,000 624,375
ISS Group, Inc.*............... 35,400 964,650
Kana Communications, Inc.*..... 4,000 199,500
Macromedia, Inc.*.............. 20,900 854,288
Mercury Interactive Corp.*..... 62,500 4,035,156
Proxicom, Inc.*................ 5,500 321,750
Quest Software, Inc.*.......... 1,000 46,500
Scient Corp.*.................. 1,300 83,200
------------
10,350,995
------------
COMPUTERS -- 2.3%
Affiliated Computer Services,
Inc.
Cl. A*....................... 18,100 735,313
Globix Corp.*.................. 3,900 182,325
IXL Enterprises, Inc.*......... 12,100 428,794
Network Appliance, Inc.*....... 10,800 773,550
Visual Networks, Inc.*......... 22,800 967,575
Xircom, Inc.................... 24,400 1,041,575
------------
4,129,132
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
58
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS (Continued)
- --------------------------------------------------------------
CONSUMER SERVICES -- 0.3%
Forrester Research, Inc........ 6,700 $ 261,300
Western Resources Corp......... 10,800 201,825
------------
463,125
------------
CRUISE LINES -- 0.1%
American Classic Voyages Co.... 11,600 266,075
------------
DATA PROCESSING/MANAGEMENT SOFTWARE -- 1.7%
Advanced Digital Information... 10,400 289,250
Factset Research Systems,
Inc.......................... 7,000 398,125
Fundtech, Ltd.*................ 20,100 448,481
Polycom, Inc.*................. 12,900 614,765
Reynolds & Reynolds Co. Cl.
A............................ 30,200 615,325
Sandisk Corp.*................. 4,900 319,419
TSI International Software,
Ltd.......................... 15,200 412,300
------------
3,097,665
------------
DIVERSIFIED FINANCIAL SERVICES -- 1.9%
Affiliated Managers Group*..... 9,100 247,975
Century Business Services*..... 40,300 468,488
City National Corp............. 10,600 355,763
E-Loan, Inc.*.................. 800 17,250
Hambrecht & Quist, Inc.*....... 16,400 802,575
Metris Cos., Inc............... 18,300 538,706
NCO Group, Inc.*............... 19,600 921,200
------------
3,351,957
------------
DRILLING -- 1.1%
Atwood Oceanics, Inc.*......... 6,500 198,656
Marine Drilling, Co.*.......... 43,100 681,519
Nabors Industries*............. 18,400 460,000
Precision Drilling Corp.*...... 13,200 306,075
Unit Corp...................... 11,000 83,188
UTI Energy Corp.*.............. 10,600 206,038
------------
1,935,476
------------
DRUGS/PHARMACEUTICALS -- 3.8%
Advance Paradigm, Inc.*........ 6,600 361,350
Alkermes, Inc.*................ 17,300 498,456
Alpharma, Inc. Cl. A........... 19,800 699,188
Andrx Corp.*................... 10,300 602,871
Chirex, Inc.*.................. 2,600 67,113
IDEC Pharmaceuticals Corp.*.... 8,200 771,056
Jones Medical Industries,
Inc.......................... 49,900 1,645,143
Medicis Pharmaceutical Corp.
Cl. A*....................... 33,700 960,450
Medimmune, Inc.*............... 8,600 857,043
NBTY, Inc.*.................... 17,900 136,488
Triangle Pharmaceuticals,
Inc.*........................ 10,500 202,125
------------
6,801,283
------------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
ELECTRICAL COMPONENTS & EQUIPMENT -- 0.9%
C-Cube Microsystems, Inc.*..... 22,700 $ 987,450
SLI, Inc.*..................... 30,100 641,506
------------
1,628,956
------------
ELECTRONIC COMPONENTS/SEMICONDUCTORS -- 10.4%
Alpha Industries, Inc.......... 19,500 1,099,921
Applied Micro Circuits
Corp.*....................... 17,600 1,003,200
Burr Brown Corp.*.............. 13,000 513,500
Cypress Semiconductor Corp.*... 40,900 879,350
Electronic Scientific
Industries, Inc.*............ 16,100 857,827
ETEC Systems, Inc.*............ 15,800 594,475
Fairchild Semiconductor
International Cl. A.......... 13,000 305,500
Genesis Microchip, Inc.*....... 1,600 28,300
Globespan, Inc.*............... 1,400 88,375
Hi/Fn, Inc.*................... 10,300 1,135,575
Integrated Device Technology,
Inc.*........................ 25,500 471,750
Integrated Silicon Solution*... 2,800 27,475
International Rectifier*....... 21,100 321,775
Kopin Corp.*................... 10,500 291,375
LAM Research Corp.*............ 16,400 1,000,400
MEMC Electronic Materials,
Inc.*........................ 15,800 217,250
Micrel, Inc.*.................. 22,600 980,275
MIPS Technologies, Inc.*....... 12,900 410,381
Photronics, Inc.*.............. 15,400 345,538
Power Integrations, Inc.*...... 17,000 1,177,250
Qlogic Corp.*.................. 26,200 1,830,725
Rambus, Inc.*.................. 7,500 496,875
S3, Inc.*...................... 27,600 288,075
SDL, Inc.*..................... 14,900 1,137,056
Semtech Corp.*................. 14,200 520,075
Transwitch Corp................ 24,550 1,399,350
Triquint Semiconductor,
Inc.*........................ 11,400 651,938
Varian Semiconductor Equipment
Association, Inc.*........... 28,900 608,706
------------
18,682,292
------------
ELECTRONICS -- 3.7%
Credence Systems Corp.*........ 23,200 1,041,100
CTS Corp....................... 15,300 879,750
Cymer, Inc.*................... 21,800 756,188
DII Group, Inc.*............... 38,000 1,337,125
Flextronics International,
Ltd.*........................ 10,800 628,425
Harmonic Lightwaves, Inc.*..... 2,600 340,113
Northeast Optic Network,
Inc.*........................ 5,600 211,400
Optical Coating Lab, Inc.*..... 10,000 920,625
Power One, Inc.*............... 18,900 481,950
------------
6,596,676
------------
ENGINEERING & CONSTRUCTION -- 0.4%
Dycom Industries, Inc.*........ 13,400 565,313
Elcor Corp..................... 4,900 122,500
------------
687,813
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
59
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS (Continued)
- --------------------------------------------------------------
ENTERTAINMENT -- 1.1%
Cinar Corp. Cl. B*............. 15,800 $ 477,950
Macrovision Corp.*............. 19,300 856,438
SFX Entertainment, Inc. Cl.
A*........................... 19,900 606,950
------------
1,941,338
------------
ENTERTAINMENT SOFTWARE -- 0.1%
Acclaim Entertainment, Inc.*... 22,200 168,582
------------
ENVIRONMENTAL CONTROL -- 0.1%
Casella Waste Systems, Inc. Cl.
A*........................... 11,100 185,231
------------
FOOD -- 0.3%
Hain Food Group, Inc.*......... 15,400 381,150
Michael Foods, Inc............. 8,200 215,506
------------
596,656
------------
HEALTH CARE -- 0.7%
Hooper Holmes, Inc............. 8,800 225,500
Medquist, Inc.*................ 17,300 578,469
Oxford Health Plans, Inc.*..... 29,900 373,750
------------
1,177,719
------------
HOME FURNISHINGS -- 1.0%
Ethan Allen Interiors, Inc..... 28,750 914,609
Williams Sonoma*............... 18,400 893,550
------------
1,808,159
------------
INFORMATION TECHNOLOGY -- 0.8%
Starmedia Network, Inc.*....... 1,000 36,719
Sykes Enterprises, Inc.*....... 18,400 454,250
Whittman Hart, Inc.*........... 25,600 992,799
------------
1,483,768
------------
INSTRUMENTS -- 0.5%
Microchip Technology, Inc.*.... 14,600 750,075
MOOG, Inc. Cl. A............... 7,900 228,113
------------
978,188
------------
INSURANCE -- 0.0%
Quotesmith.com, Inc.*.......... 5,000 35,625
------------
INTERNET SOFTWARE -- 7.2%
Agile Software Corp.*.......... 1,800 115,200
Allaire Corp................... 5,200 291,200
Alteon Websystems, Inc......... 1,500 141,000
Applied Theory Corp.*.......... 2,700 32,063
Appnet Systems, Inc.*.......... 7,200 197,100
Art Technology Group, Inc.*.... 8,100 308,306
Backweb Technologies, Ltd.*.... 3,200 54,400
Clarent Corp.*................. 15,100 769,156
Commerce One, Inc.*............ 1,000 97,719
Concentric Network Corp.*...... 18,700 379,844
Earthweb, Inc.*................ 4,700 185,650
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
INTERNET SOFTWARE (CONTINUED)
Exodus Communications, Inc.*... 6,000 $ 432,375
F5 Networks, Inc.*............. 11,500 782,000
Infospace.com, Inc.*........... 20,900 859,513
Interliant, Inc.*.............. 4,200 50,138
InterVU, Inc.*................. 12,900 478,913
ITXC Corp...................... 11,800 375,388
JFAX.com, Inc.*................ 8,900 44,222
Keynote Systems, Inc........... 7,800 195,000
Liberate Technologies, Inc.*... 4,500 189,563
Liquid Audio*.................. 15,500 573,500
Lycos, Inc..................... 6,800 340,850
Mail.com, Inc.*................ 5,100 73,313
Mapquest.com, Inc.*............ 9,100 108,063
National Information
Consortium, Inc.*............ 4,700 116,031
Netobjects, Inc.*.............. 5,600 31,500
Netopia, Inc.*................. 19,800 789,525
Netsolve, Inc.................. 2,600 46,150
Radware, Ltd................... 3,600 99,000
Razorfish, Inc. Cl. A*......... 11,800 513,300
Security First Technologies
Co.*......................... 33,600 1,306,200
Shopnow.com, Inc............... 7,500 87,188
Software.com, Inc.*............ 11,300 484,488
Stamps.com, Inc.*.............. 4,900 170,275
Symantec Corp.*................ 20,600 740,957
Talk.com, Inc.*................ 31,900 411,708
Tivo, Inc...................... 1,800 53,888
Verio, Inc.*................... 16,400 508,400
Verity, Inc.*.................. 7,200 495,450
Vitria Technology, Inc.*....... 3,100 113,925
------------
13,042,461
------------
INVESTMENT COMPANIES -- 0.4%
American Capital Strategies.... 10,900 201,650
SEI Investment Co.*............ 5,400 482,118
------------
683,768
------------
LODGING -- 0.2%
Sunterra Corp.*................ 23,800 282,625
------------
MACHINERY-CONSTRUCTION & MINING -- 0.7%
Terex Corp..................... 41,100 1,294,650
------------
MACHINERY-DIVERSIFIED -- 0.3%
Kulicke & Soffa Industries..... 21,700 527,581
------------
MEDICAL INFORMATION SYSTEMS -- 0.4%
Cerner Corp.*.................. 10,200 155,550
Infocure Corp.*................ 30,800 581,350
------------
736,900
------------
MEDICAL SUPPLIES/EQUIPMENT -- 1.9%
Minimed, Inc.*................. 19,400 1,906,050
Molecular Devices Corp.*....... 19,200 528,000
Resmed, Inc.................... 10,200 337,875
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
60
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS (Continued)
- --------------------------------------------------------------
MEDICAL SUPPLIES/EQUIPMENT (CONTINUED)
Varian, Inc.................... 26,100 $ 463,275
Zoll Medical Corp.............. 5,200 157,300
------------
3,392,500
------------
METAL FABRICATION/HARDWARE -- 0.3%
Mueller Industries, Inc.*...... 17,400 516,563
------------
MISCELLANEOUS MANUFACTURING -- 0.1%
Simpson Manufacturing, Inc.*... 5,400 253,125
------------
NETWORK SOFTWARE -- 1.1%
Concur Technologies, Inc.*..... 5,100 145,350
Legato Systems, Inc.*.......... 42,000 1,830,940
------------
1,976,290
------------
NETWORKING PRODUCTS -- 2.1%
Ancor Communications, Inc.*.... 41,900 1,016,075
Black Box Corp.*............... 10,700 561,750
Elbit, Ltd..................... 18,900 243,338
Emulex Corp.*.................. 6,200 532,425
Excel Switching Corp.*......... 7,600 272,650
Extreme Networks, Inc.*........ 10,900 690,106
MMC Networks, Inc.*............ 15,200 474,050
------------
3,790,394
------------
OILFIELD SERVICES/EQUIPMENT -- 0.7%
Maverick Tube Corp.*........... 2,900 48,213
Pride International, Inc.*..... 55,600 788,825
Smith International, Inc.*..... 11,800 477,900
------------
1,314,938
------------
OIL & GAS PRODUCERS -- 0.9%
Barrett Resources Corp.*....... 22,700 838,481
Chieftain International,
Inc.......................... 5,300 100,700
Forest Oil Corp................ 13,200 225,225
Louis Dreyfus Natural Gas
Corp.*....................... 10,600 227,238
Stone Energy Corp.*............ 6,000 305,250
------------
1,696,894
------------
OIL & GAS SERVICES -- 1.3%
BJ Services, Co.*.............. 23,700 753,956
CAL Dive International,
Inc.*........................ 15,400 527,450
Global Industries, Ltd.*....... 48,800 396,500
Pool Energy Services, Co....... 2,500 61,563
Seitel, Inc.*.................. 10,500 102,375
Tuboscope, Inc.*............... 28,000 348,250
Varco International, Inc....... 11,900 145,031
------------
2,335,125
------------
OPTICAL RECOGNITION SOFTWARE -- 0.0%
Optimal Robotics Corp. Cl.
A*........................... 3,300 59,400
------------
OTHER COMMERCIAL SERVICES -- 2.9%
Korn-Ferry International*...... 22,600 521,213
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
OTHER COMMERCIAL SERVICES (CONTINUED)
Lason, Inc.*................... 19,900 $ 886,171
Luminant Worldwide Corp.*...... 2,500 76,875
National Equipment Services,
Inc.......................... 8,000 81,500
Newgen Results Corp.*.......... 1,300 14,138
NOVA Corp.*.................... 33,700 842,500
On Assignment, Inc.*........... 10,300 247,200
Personnel Group Of America,
Inc.*........................ 3,500 21,875
Prepaid Legal Services,
Inc.*........................ 14,800 582,750
Probusiness Service, Inc.*..... 10,300 276,813
Profit Recovery Group
International, Inc.*......... 11,300 504,263
USWeb Corp.*................... 32,500 1,115,156
------------
5,170,454
------------
PRINTING-COMMERCIAL -- 1.6%
Consolidated Graphics, Inc.*... 22,900 964,663
Electronics For Imaging,
Inc.*........................ 19,000 976,718
Mail-Well, Inc.*............... 63,600 882,450
------------
2,823,831
------------
PROFESSIONAL SPORTS -- 0.1%
Championship Auto Racing Teams,
Inc.*........................ 5,500 143,000
------------
PUBLISHING-PERIODICALS -- 0.2%
Playboy Enterprises Cl. B*..... 15,200 405,650
------------
RECREATIONAL CENTERS -- 0.2%
Bally Total Fitness
Holdings*.................... 13,900 424,819
------------
RECREATIONAL PRODUCTS -- 0.5%
Monaco Coach Corp.*............ 9,300 226,688
National R.V. Holding, Inc.*... 13,300 262,675
Winnebago Industries, Inc...... 18,700 447,631
------------
936,994
------------
REGIONAL/COMMERCIAL BANKS -- 0.4%
Peoples Heritage Financial
Group........................ 17,100 284,288
Provident Bankshares Corp...... 18,400 391,574
------------
675,862
------------
REITS -- 0.3%
Kilroy Realty Corp............. 24,200 511,225
------------
RETAIL-APPAREL -- 1.9%
AnnTaylor Stores Corp.*........ 25,600 1,046,400
Bebe Stores, Inc.*............. 9,400 226,775
Buckle, Inc.*.................. 10,200 175,950
Genesco, Inc.*................. 15,600 195,000
Kenneth Cole Productions, Inc.
Cl. A*....................... 10,500 392,438
Pacific Sunwear Of
California*.................. 27,300 765,252
The Men's Wearhouse, Inc.*..... 26,100 561,150
------------
3,362,965
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
61
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS (Continued)
- --------------------------------------------------------------
RETAIL-AUTOMOBILE -- 0.6%
O'Reilly Automotive, Inc.*..... 18,400 $ 876,874
Sonic Automotive, Inc.*........ 13,300 172,900
------------
1,049,774
------------
RETAIL-BEDDING -- 0.3%
Linens 'N Things, Inc.*........ 17,000 573,750
------------
RETAIL-BUILDING PRODUCTS -- 0.1%
DAL Tile International,
Inc.*........................ 20,200 160,338
------------
RETAIL-COMPUTER EQUIPMENT -- 0.8%
CDW Computer Centers, Inc.*.... 13,300 650,038
Creative Computers, Inc.*...... 22,000 140,250
Insight Enterprises, Inc.*..... 19,400 630,500
------------
1,420,788
------------
RETAIL-DISCOUNT -- 0.5%
Ames Department Stores,
Inc.*........................ 22,300 710,813
Factory 2-U Stores, Inc.*...... 5,100 152,363
------------
863,176
------------
RETAIL-DIVERSIFIED -- 0.3%
Cheap Tickets, Inc.*........... 17,800 576,275
------------
RETAIL-INTERNET -- 0.3%
Fatbrain.com, Inc.*............ 3,300 49,294
Ubid, Inc...................... 15,331 404,355
------------
453,649
------------
RETAIL-MAIL ORDER -- 0.4%
Rowecom, Inc.*................. 7,800 216,450
Valuevision International Inc.
Cl. A*....................... 20,400 530,400
------------
746,850
------------
RETAIL-RESTAURANTS -- 0.8%
Foodmaker, Inc.*............... 21,500 536,156
Sonic Corp.*................... 29,300 891,819
------------
1,427,975
------------
RETAIL-SUNGLASSES -- 0.1%
Sunglass Hut International,
Inc.*........................ 24,500 258,781
------------
RETAIL-VIDEO RENTAL -- 0.1%
Hollywood Entertainment
Corp.*....................... 17,400 261,000
------------
SAVINGS & LOANS -- 0.3%
First Washington Bancorp,
Inc.......................... 10,600 185,500
MAF Bancorp, Inc............... 14,700 292,163
------------
477,663
------------
TECHNICAL SERVICES -- 0.2%
Tetra Tech, Inc.*.............. 18,975 316,645
------------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS -- 4.2%
Adaptive Broadband Corp.*...... 10,500 $ 351,750
Aironet Wireless
Communications, Inc.......... 5,200 109,200
Caprock Communications
Corp.*....................... 17,000 395,250
Digital Microwave Corp.*....... 25,800 404,738
DSP Communication, Inc......... 20,600 391,400
Focal Communications Corp.*.... 21,800 558,624
Intermedia Communications,
Inc.*........................ 8,000 173,999
Pinnacle Holdings, Inc.*....... 25,100 655,737
Startek, Inc.*................. 10,400 571,999
US LEC Corp. Cl. A*............ 12,700 312,737
Viatel, Inc.*.................. 29,000 857,312
Voicestream Wireless Corp.*.... 24,000 1,481,250
Western Bancorp................ 3,500 135,187
Western Wireless Corp. Cl. A... 16,400 735,437
Winstar Communications,
Inc.*........................ 13,400 523,437
------------
7,658,057
------------
TELECOMMUNICATIONS EQUIPMENT -- 5.3%
American Tower Systems Cl. A... 26,600 520,362
Antec Corp.*................... 15,400 818,124
Audiocodes, Ltd.*.............. 4,600 173,074
Aware, Inc.*................... 8,400 240,974
Commscope, Inc.*............... 21,000 682,499
Efficient Networks, Inc.*...... 7,500 272,812
Ditech Communications Corp.*... 4,600 241,499
DSP Group, Inc.*............... 15,700 626,037
Orckit Communications, Ltd.*... 17,900 633,212
Pairgain Technologies, Inc.*... 30,600 390,149
Paradyne Networks, Inc.*....... 4,900 137,199
Pinnacle Systems, Inc.......... 27,700 1,173,787
Powerwave Technologies, Inc.... 27,300 1,316,372
Proxim, Inc.*.................. 20,600 947,599
RF Micro Devices, Inc.*........ 20,000 914,999
TUT Systems, Inc.*............. 15,400 397,512
------------
9,486,210
------------
TELECOMMUNICATIONS SERVICES -- 1.4%
Clearnet Communications, Inc.
Cl. A*....................... 31,500 568,968
Comverse Technology, Inc.*..... 4,400 414,974
GST Telecommunications,
Inc.*........................ 45,000 316,403
Hyperion Telecommunications,
Inc.
Cl. A*....................... 15,700 389,555
ICG Communications, Inc.*...... 10,200 158,737
INET Technologies, Inc.*....... 15,200 606,573
------------
2,455,210
------------
TOYS/GAMES/HOBBIES -- 0.5%
Action Performance Cos.,
Inc.*........................ 27,600 581,325
WMS Industries, Inc............ 25,400 295,275
------------
876,600
------------
TRANSPORTATION-AIR FREIGHT -- 0.4%
Expeditors International,
Inc.......................... 21,600 693,226
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
62
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS (Continued)
- --------------------------------------------------------------
TRANSPORTATION-OTHER -- 0.2%
Transportation Technologies*... 23,900 $ 413,769
------------
TRANSPORTATION-TRUCKS -- 1.0%
American Freightways Corp.*.... 18,300 332,831
Forward Air Corp.*............. 7,900 186,638
Swift Transportation Co.,
Inc.......................... 18,200 358,313
USFreightways Corp............. 21,100 999,613
------------
1,877,395
------------
TOTAL COMMON STOCKS
(Cost: $145,770,018)......................... 167,634,981
------------
<CAPTION>
NUMBER
OF WARRANTS
- --------------------------------------------------------------
<S> <C> <C>
WARRANTS -- 0.0%
- --------------------------------------------------------------
Iwerks Entertainment, Inc.
(Cost: $0)................... 1,100 1,100
------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 4.9%
- --------------------------------------------------------------
Pitney Bowes, Inc.
5.680%, 10/01/99
(Cost: $8,732,641)........... $8,734,000 $ 8,732,641
------------
REPURCHASE AGREEMENTS -- 2.4%
- --------------------------------------------------------------
J.P. Morgan & Co., Inc.
$4,354,000 at 5.310%,
(Agreement dated 09/30/99; to
be repurchased at $4,354,633
on 10/01/99; collateralized
by $4,325,000 FNMA, 5.970%
due 10/02/00 (Value
$4,441,083))
(Cost: $4,354,000)........... 4,354,000 4,354,000
------------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 100.3%
(COST: $158,856,659)........................ 180,722,722
LIABILITIES IN EXCESS OF OTHER ASSETS (0.3%).. (488,124)
------------
NET ASSETS -- 100.0%.......................... $180,234,598
------------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
63
<PAGE>
MINI CAP GROWTH FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; THOMAS BLEAKLEY, Partner, Portfolio Manager; JOHN C. MCCRAW,
Portfolio Manager; AARON HARRIS, Portfolio Manager; PAUL E. CLUSKEY, Portfolio
Manager; TRAVIS PRENTICE, Investment Analyst.
GOAL: The Mini Cap Growth Fund seeks to maximize long-term capital
appreciation by investing primarily in US companies with market capitalizations
corresponding to the bottom 5% of the Russell 2000 Growth Index at time of
purchase.
MARKET OVERVIEW: Optimism about the robust US economy, strong corporate
profits and low inflation contributed to US indices reaching record highs during
the six-month period ended September 30, 1999.
During the period, the strong earnings growth rates among small caps earned
increasing investor recognition. Growth stocks outperformed value stocks across
all market capitalization segments.
Spurred by gains among technology stocks, smaller caps outperformed large caps
during the period and significantly narrowed their year-to-date relative
underperformance gap.
On March 31, the Russell 2000 Index's year-to-date return of -5.4% trailed the
S&P 500's gain of 5.0% by 1,041 basis points. As of September 30, the difference
in year-to-date returns between the two indices was trimmed to 299 basis points.
PERFORMANCE: For the six-month period ending September 30, 1999, the fund
gained 20.1% while the Russell 2000 Growth Index gained 9.1%.
PORTFOLIO SPECIFICS: Stock selection, especially within the technology sector,
helped the fund outperform its benchmark during the period. Among the strongest
performers were Clarify Inc., a provider of office solutions for the telecom
industry and Northeast Optics Network, provider of fiber-optic transmission
services. Another top performer for the period was Jakks Pacific Inc., producer
of WWF action figure toys. During the period, we increased our exposure to the
technology sector on a stock-by-stock basis to 43% from 36% on March 31.
During the period, we reduced our exposure to the financial services industry.
MARKET OUTLOOK: The fundamental strengths within the small-cap segment of the
market and small caps' outperformance versus large caps during the period
inspire optimism. Moderate economic growth, low inflation and low interest rates
also bode well for smaller caps.
Our bottom-up stock selection continues to uncover promising opportunities
with strong earnings growth. We believe our approach will continue to deliver
exceptional long-term appreciation.
- --------------------------------------------------------------------------------
64
<PAGE>
MINI CAP GROWTH FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN MINI CAP GROWTH FUND
INSTITUTIONAL SHARES WITH THE RUSSELL 2000 GROWTH INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
41.02% As of 09/30/99 21.47%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MINI CAP GROWTH RUSSELL 2000
FUND INSTITUTIONAL GROWTH
SHARES INDEX
<S> <C> <C>
7/12/95 $250,000.00 $250,000.00
7/31/95 $261,400.00 $259,625.00
8/95 $266,200.00 $262,828.77
9/95 $275,600.00 $268,240.42
10/95 $270,200.00 $255,045.67
11/95 $278,200.00 $266,344.19
12/95 $287,000.00 $272,246.38
1/96 $284,600.00 $269,992.18
2/96 $301,400.00 $282,303.82
3/96 $317,000.00 $287,884.97
4/96 $365,200.00 $309,985.90
5/96 $408,800.00 $325,888.18
6/96 $371,600.00 $304,705.45
7/96 $319,000.00 $267,500.91
8/96 $340,600.00 $287,304.00
9/96 $359,600.00 $302,100.16
10/96 $349,200.00 $289,079.64
11/96 $361,192.85 $297,116.06
12/96 $369,458.13 $302,909.82
1/97 $384,748.90 $310,240.24
2/97 $358,919.90 $291,501.73
3/97 $329,371.51 $270,930.45
4/97 $319,659.80 $267,787.66
5/97 $374,830.57 $308,036.14
6/97 $408,924.86 $318,478.57
7/97 $444,878.84 $334,784.67
8/97 $477,320.07 $344,828.21
9/97 $522,779.12 $372,345.50
10/97 $488,271.57 $349,967.54
11/97 $483,440.44 $341,624.31
12/97 $480,997.70 $341,815.62
1/98 $473,447.41 $337,269.47
2/98 $510,088.51 $367,046.99
3/98 $556,278.50 $382,444.62
4/98 $565,605.32 $384,789.00
5/98 $533,405.57 $356,834.08
6/98 $542,066.19 $360,580.92
7/98 $498,760.72 $330,380.77
8/98 $371,076.17 $254,128.89
9/98 $402,940.81 $279,895.01
10/98 $416,726.22 $294,505.53
11/98 $459,693.80 $317,359.16
12/98 $521,539.20 $346,080.17
1/99 $536,704.36 $361,653.77
2/99 $472,963.31 $328,562.45
3/99 $479,598.07 $340,259.28
4/99 $516,563.13 $370,304.17
5/99 $495,237.13 $370,896.66
6/99 $544,523.89 $390,442.91
7/99 $539,784.78 $378,378.23
8/99 $560,873.82 $364,226.88
9/30/99 $582,436.78 $371,256.46
</TABLE>
This graph compares a $250,000 investment in the Mini Cap Growth Fund
Institutional Shares 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 reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
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.
- --------------------------------------------------------------------------------
65
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
MINI CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------
COMMON STOCK -- 99.4%
- ---------------------------------------------------------------
AEROSPACE/DEFENSE -- 2.1%
Aeroflex, Inc.*..................... 32,900 $ 400,968
Newport Corp........................ 10,600 176,224
OYO Geospace Corp.*................. 21,900 238,163
Photon Dynamics, Inc.*.............. 21,200 445,200
-----------
1,260,555
-----------
AIRLINES -- 0.8%
Frontier Airlines, Inc.*............ 25,400 241,300
Mesaba Holdings, Inc................ 20,300 238,525
-----------
479,825
-----------
APPAREL -- 1.8%
Cutter & Buck, Inc.*................ 15,800 245,888
Gildan Activewear, Inc. Cl. A*...... 11,700 201,825
K-Swiss, Inc. Cl. A................. 6,400 202,000
Quiksilver, Inc.*................... 8,200 149,650
Steven Madden, Ltd.*................ 23,400 302,738
-----------
1,102,101
-----------
APPLICATIONS SOFTWARE -- 2.1%
Omega Research, Inc.*............... 38,000 147,250
Project Software & Development,
Inc.*............................. 11,100 593,850
Timberline Software Corp............ 24,000 447,000
Webhire, Inc.*...................... 10,400 112,450
-----------
1,300,550
-----------
BROADCASTING -- 2.0%
Universal Electronics, Inc.*........ 24,100 557,313
Valuevision International, Inc. Cl.
A*................................ 24,600 639,600
-----------
1,196,913
-----------
BIOTECHNOLOGY -- 2.0%
Abgenix, Inc.*...................... 11,300 442,819
Invitrogen Corp.*................... 11,400 383,325
Trimeris, Inc.*..................... 22,900 382,143
-----------
1,208,287
-----------
CHEMICALS -- 0.7%
US Plastic Lumber Corp.*............ 37,000 457,874
-----------
COMMUNICATIONS SOFTWARE -- 0.9%
AVT Corp.*.......................... 17,800 545,124
-----------
COMPUTER SERVICES -- 1.7%
Showcase Corp.*..................... 19,000 190,000
Silicon Storage Technology, Inc.*... 28,400 401,150
Tanning Technology Corp.*........... 17,200 451,500
-----------
1,042,650
-----------
COMPUTER SOFTWARE -- 10.8%
Accrue Software, Inc.*.............. 5,400 121,500
Ardent Software, Inc.*.............. 18,200 490,262
BE, Inc.*........................... 23,000 162,437
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE (CONTINUED)
Bluestone Software, Inc.*........... 4,400 $ 101,750
Braun Consulting, Inc.*............. 21,300 354,112
Brio Technology, Inc.*.............. 29,900 665,275
Clarify, Inc.*...................... 20,900 1,051,531
Clickaction, Inc.*.................. 21,400 325,013
Cybear, Inc.*....................... 8,100 67,585
ESPS, Inc.*......................... 28,500 244,031
Informatica Corp.*.................. 3,400 172,550
Mission Critical Software, Inc.*.... 10,500 467,250
Pervasive Software, Inc.*........... 23,300 803,850
Pivotal Corp.*...................... 14,600 261,888
Ravisent Technologies, Inc.*........ 8,900 127,938
Scientific Learning Corp.*.......... 12,600 211,049
Verity, Inc.*....................... 14,600 1,004,663
-----------
6,632,684
-----------
COMPUTERS -- 3.5%
Brooktrout Technology, Inc.*........ 20,100 278,888
Cybex Computer Products Corp.*...... 33,250 1,109,719
Echelon Corp.*...................... 17,200 131,150
Globix Corp.*....................... 8,100 378,675
Netsolve, Inc.*..................... 15,400 273,350
-----------
2,171,782
-----------
DATA PROCESSING/MANAGEMENT SOFTWARE -- 0.8%
Best Software, Inc.*................ 9,900 195,525
Fundtech, Ltd.*..................... 13,900 310,144
-----------
505,669
-----------
DISTRIBUTION/WHOLESALE -- 1.5%
Scansource, Inc.*................... 18,100 504,538
SCP Pool Corp.*..................... 13,100 307,850
Tech Squared, Inc.*................. 37,200 120,900
-----------
933,288
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.4%
Creditrust Corp.*................... 10,100 226,618
-----------
DRILLING -- 2.3%
Patterson Energy, Inc.*............. 37,100 563,456
Unit Corp.*......................... 49,400 373,588
UTI Energy Corp.*................... 24,000 466,500
-----------
1,403,544
-----------
DRUGS/PHARMACEUTICALS -- 3.7%
Biocryst Pharmaceuticals, Inc.*..... 31,200 756,599
Chirex, Inc.*....................... 17,400 449,137
Leukosite, Inc.*.................... 20,700 416,588
United Therapeutics Corp.*.......... 21,800 629,475
-----------
2,251,799
-----------
ELECTRONIC COMPONENTS/SEMICONDUCTORS -- 2.2%
ACT Manufacturing, Inc.*............ 26,000 651,624
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
66
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- ---------------------------------------------------------------
ELECTRONIC COMPONENTS/SEMICONDUCTORS (CONTINUED)
Ortel Corp.*........................ 21,700 $ 336,349
Pericom Semiconductor Corp.*........ 22,900 340,637
-----------
1,328,610
-----------
ELECTRONICS -- 1.9%
Genesis Microchip, Inc.*............ 4,900 86,668
Integrated Silicon Solution,
Inc.*............................. 41,000 402,312
PLX Technology, Inc.*............... 10,400 250,900
Zoran Corp.*........................ 15,900 431,288
-----------
1,171,168
-----------
ENTERTAINMENT -- 2.7%
Cinar Corp. Cl. B*.................. 15,000 453,750
Macrovision Corp.*.................. 27,000 1,198,125
-----------
1,651,875
-----------
FOOD -- 0.8%
Hain Food Group, Inc.*.............. 19,600 485,100
-----------
HOME FURNISHINGS -- 0.8%
American Woodmark Corp.............. 17,500 470,312
-----------
HUMAN RESOURCES -- 0.8%
Heidrick & Struggles International,
Inc.*............................. 24,000 457,500
-----------
INTERNET SOFTWARE -- 8.9%
Appliedtheory Corp.*................ 6,700 79,562
Audible, Inc.*...................... 8,600 90,300
CAIS Internet, Inc.*................ 14,100 170,081
Careerbuilder, Inc.*................ 19,400 136,405
Commtouch Software, Ltd.*........... 6,800 101,150
Cybersource Corp.*.................. 15,700 869,388
Hotjobs.com, Ltd.*.................. 22,300 565,863
Interactive Pictures Corp.*......... 10,500 225,750
InterVU, Inc.*...................... 10,700 397,238
Intranet Solutions, Inc.*........... 16,400 141,450
Liquid Audio, Inc.*................. 4,300 159,100
N2H2, Inc.*......................... 11,000 107,938
Netegrity, Inc.*.................... 12,000 292,500
Netiq Corp.*........................ 11,300 334,763
Netopia, Inc.*...................... 21,000 837,375
Persistence Software, Inc.*......... 11,400 325,613
Ramp Networks, Inc.*................ 14,900 327,800
Telemate.Net Software, Inc.*........ 1,600 22,400
Watchguard Technologies, Inc.*...... 14,600 219,000
Webstakes.com, Inc.*................ 6,600 58,575
-----------
5,462,251
-----------
MACHINERY-DIVERSIFIED -- 1.0%
Applied Science & Technology,
Inc.*............................. 14,700 303,187
Brooks Automation, Inc.*............ 18,400 323,150
-----------
626,337
-----------
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
MEDICAL PRODUCTS -- 4.0%
Arthrocare Corp.*................... 9,800 $ 535,325
Colorado MEDtech, Inc.*............. 10,000 144,375
Cyberonics, Inc.*................... 31,900 570,213
Lifecore Biomedical, Inc.*.......... 12,700 174,625
Polymedica Corp.*................... 16,700 388,275
Zoll Medical Corp.*................. 21,200 641,300
-----------
2,454,113
-----------
MEDICAL SUPPLIES -- 1.8%
Accredo Health, Inc.*............... 24,100 759,150
Allscripts, Inc.*................... 21,200 336,550
-----------
1,095,700
-----------
MISCELLANEOUS MANUFACTURING -- 0.2%
Simpson Manufacturing Co., Inc.*.... 3,100 145,313
-----------
NETWORK SOFTWARE -- 1.7%
Concur Technologies, Inc.*.......... 14,600 416,100
Information Resource Engineering,
Inc.*............................. 8,100 169,593
Packeteer, Inc.*.................... 13,400 456,438
-----------
1,042,131
-----------
OIL & GAS PRODUCERS -- 2.1%
Basin Exploration, Inc.*............ 39,300 943,200
Swift Energy Co.*................... 24,600 310,575
-----------
1,253,775
-----------
OIL FIELD SERVICES -- 0.6%
Maverick Tube Corp.*................ 20,900 347,463
-----------
OPTICAL RECOGNITION SOFTWARE -- 0.5%
Optimal Robotics Corp.*............. 17,000 306,000
-----------
OTHER COMMERCIAL SERVICES -- 3.9%
Albany Molecular Research, Inc.*.... 5,100 128,137
Corporate Executive Board Co.*...... 15,300 623,475
Costar Group, Inc.*................. 13,100 312,763
Hooper Holmes, Inc.................. 29,200 748,250
Intelligent Life Corp.*............. 22,100 116,025
Xceed, Inc.*........................ 21,400 458,763
-----------
2,387,413
-----------
PRINTING-COMMERCIAL -- 0.4%
Creo Products Inc.*................. 9,500 233,344
-----------
RECREATIONAL PRODUCTS -- 1.8%
Monaco Coach Corp.*................. 34,525 841,547
The First Years, Inc................ 11,900 121,975
Travis Boats & Motors, Inc.*........ 17,400 167,475
-----------
1,130,997
-----------
REGIONAL/COMMERCIAL BANKS -- 0.4%
Sterling Bancorp -- NY.............. 15,800 272,550
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
67
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
MINI CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- ---------------------------------------------------------------
RENTAL AUTO/EQUIPMENT -- 1.1%
Rent-Way, Inc.*..................... 36,100 $ 685,900
-----------
RETAIL-APPAREL -- 1.3%
Catherines Stores Corp.*............ 27,200 357,000
Gadzooks, Inc.*..................... 24,600 162,975
J. Jill Group, Inc.*................ 12,700 59,531
Shoe Carnival, Inc.*................ 22,000 243,375
-----------
822,881
-----------
RETAIL-AUTOMOBILE -- 1.5%
Lithia Motors, Inc. Cl. A*.......... 12,400 284,425
Sonic Automotive, Inc.*............. 48,600 631,800
-----------
916,225
-----------
RETAIL-CONSUMER ELECTRONICS -- 2.1%
Tweeter Home Entertainment Group,
Inc.*............................. 26,000 971,750
Ultimate Electronics, Inc.*......... 19,500 304,688
-----------
1,276,438
-----------
RETAIL-DISCOUNT -- 1.4%
Factory 2-U Stores, Inc.*........... 29,100 869,363
-----------
RETAIL-INTERNET -- 1.7%
Fatbrain.com, Inc.*................. 23,300 348,044
Freeshop.com, Inc.*................. 4,300 49,450
FTD.com, Inc.*...................... 17,500 141,094
Rowecom, Inc.*...................... 17,200 477,300
-----------
1,015,888
-----------
RETAIL-JEWELRY -- 0.8%
Whitehall Jewellers, Inc.*.......... 16,600 477,250
-----------
RETAIL-RESTAURANTS -- 0.6%
Taco Cabana Cl. A*.................. 39,700 384,594
-----------
TELECOMMUNICATIONS EQUIPMENT -- 11.1%
Adaptive Broadband Corp.*........... 30,000 1,005,000
Advanced Communications Group,
Inc.*............................. 23,900 191,200
AirGate PCS, Inc.*.................. 5,800 144,275
Aironet Wireless Communications,
Inc.*............................. 19,800 415,800
Convergent Communications, Inc.*.... 14,100 146,288
CTC Communications Group, Inc.*..... 16,200 266,288
Davox Corp.*........................ 3,800 49,638
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS EQUIPMENT (CONTINUED)
Ditech Communications Corp.*........ 13,400 $ 703,500
Metro One Telecommunications,
Inc.*............................. 14,300 274,381
Microwave Power Devices, Inc.*...... 31,000 424,313
Netro Corp.*........................ 10,300 281,963
Northeast Optic Network, Inc.*...... 20,500 773,874
P-Com, Inc.*........................ 50,900 356,300
Periphonics Corp.*.................. 36,000 1,129,500
Rural Cellular Corp. Cl. A*......... 7,500 344,063
Spectrian Corp.*.................... 14,900 324,075
-----------
6,830,458
-----------
TOYS/GAMES/HOBBIES -- 1.3%
Jakks Pacific, Inc.*................ 21,900 821,250
-----------
TRANSPORTATION-TRUCKS -- 1.9%
Arkansas Best Corp.................. 26,800 331,650
Forward Air Corp.*.................. 24,400 576,450
Transportation Technologies
Industries, Inc.*................. 16,400 283,925
-----------
1,192,025
-----------
WASTE DISPOSAL -- 1.0%
Casella Waste Systems, Inc. Cl.
A*................................ 7,900 131,831
Waste Connections, Inc.*............ 22,000 452,375
-----------
584,206
-----------
TOTAL COMMON STOCK
(Cost: $45,078,978)............................ 60,917,693
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 1.0%
- ---------------------------------------------------------------
Kellogg Co.
5.598%, 10/1/99
(Cost: $612,905).................. $613,000 612,905
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 100.4%
(Cost: $45,691,883).......................... 61,530,598
LIABILITIES IN EXCESS OF OTHER ASSETS --
(0.4%)......................................... (221,095)
-----------
NET ASSETS -- 100.0%........................... $61,309,503
-----------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
68
<PAGE>
VALUE FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; JOHN J. KANE, Partner, Portfolio Manager; LARRY SPEIDELL,
CFA, Partner, Director of Global/Systematic Portfolio Management and Research;
MARK STUCKELMAN, Portfolio Manager.
GOAL: The Value Fund seeks long-term capital appreciation through investments
in a diversified portfolio comprised predominantly of US companies with larger
market capitalizations.
MARKET OVERVIEW: During the second quarter, value stocks rallied sharply,
driven by better-than-expected earnings, extremely attractive valuations and
improving economies worldwide. However, this period of strong performance proved
short lived and value stocks declined in the third quarter in the face of rising
interest rates and commodity prices.
Reflecting the difficult environment for value investing in the second half of
the period, the Russell 1000 Value Index fell 9.8% versus a decline of 3.7% for
the Russell 1000 Growth Index in the third quarter.
PERFORMANCE: For the six-month period ending September 30, 1999, the fund
declined 1.0% versus a gain of 0.4% for the S&P 500 Index and 0.4% for the
Russell 1000 Value Index.
PORTFOLIO SPECIFICS: During the period, we reduced our exposure to utility
companies on a stock-by-stock basis. We increased our weightings among
producer/manufacturing and energy companies.
Among the fund's top performers for the period was GTE. Strong demand for the
company's long distance services and a successful merger with Bell Atlantic
helped the company post strong returns. IBM was another top performer based on
steps the company took to build the competitiveness of its technology segment,
which strengthened its overall business.
Boeing also delivered strong results for the fund as the company's management
implemented a successful program to develop a company-wide culture to
continuously improve financial performance and growth.
Disappointing returns among the fund's technology holdings adversely affected
relative performance. For example, Seagate Technology declined due to
overcapacity issues among disk drive manufacturers that resulted in price
competition and lower margins. We sold this holding.
MARKET OUTLOOK: Given expectations for continued robust corporate
profitability, valuations may play a greater role in dictating investor
preference. In such an environment, value stocks could recapture investor favor.
We continue to identify stocks meeting our investment criteria of attractive
valuations, fundamental strengths and evidence of positive change.
We retain optimism based on the fundamental strengths of the fund's holdings
and believe continued adherence to our philosophy will reward shareholders with
long-term appreciation.
- --------------------------------------------------------------------------------
69
<PAGE>
VALUE FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN VALUE FUND
INSTITUTIONAL SHARES WITH THE S&P 500 INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
15.32% As of 09/30/99 23.68%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE FUND INSTITUTIONAL S&P 500 INDEX
SHARES
<S> <C> <C>
04/30/96 $250,000.00 $250,000.00
05/31/96 $256,600.00 $256,450.00
06/30/96 $263,800.00 $257,424.51
07/31/96 $257,600.00 $246,046.35
08/31/96 $264,800.00 $251,235.46
09/30/96 $278,800.00 $265,375.00
10/31/96 $288,600.00 $272,694.04
11/30/96 $311,580.76 $293,306.98
12/31/96 $310,622.05 $287,496.57
1/31/997 $327,247.49 $305,459.36
02/28/97 $331,246.01 $307,854.16
03/31/97 $316,935.51 $295,204.43
04/30/97 $333,350.49 $312,828.13
05/31/97 $358,183.42 $331,873.11
06/30/97 $369,758.09 $346,741.03
07/31/97 $412,900.04 $374,331.21
08/31/97 $403,429.86 $353,361.17
09/30/97 $428,683.68 $372,714.77
10/31/97 $412,268.70 $360,266.09
11/30/97 $425,854.22 $376,942.81
12/31/97 $436,586.20 $373,414.92
01/31/98 $434,531.14 $387,655.49
02/28/98 $469,923.85 $415,613.20
03/31/98 $500,064.74 $436,896.75
04/30/98 $502,804.82 $441,291.93
05/31/98 $500,749.76 $433,706.13
06/30/98 $511,938.43 $451,323.27
07/31/98 $501,864.37 $446,516.68
08/31/98 $424,288.37 $381,959.30
09/30/98 $448,322.65 $406,427.61
10/31/98 $479,971.75 $439,502.95
11/30/98 $502,997.40 $466,141.22
12/31/98 $524,486.61 $493,000.28
01/31/99 $530,983.34 $513,617.55
02/28/99 $512,742.51 $497,654.32
03/31/99 $522,237.74 $517,565.47
04/30/99 $563,217.16 $537,595.25
05/31/99 $554,471.55 $524,902.63
06/30/99 $570,213.64 $554,034.73
07/31/99 $558,969.29 $536,748.84
08/31/99 $538,979.33 $534,065.10
09/30/99 $516,990.37 $519,426.37
</TABLE>
This graph compares a $250,000 investment in the Value Fund Institutional Shares
with the S&P 500 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
Fund.
The total returns reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The S&P 500 Index contains 500 industrial, transportation, utility and financial
companies and is considered to be generally representative of the U.S. stock
market.
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.
- --------------------------------------------------------------------------------
70
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
VALUE FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------
COMMON STOCK -- 98.1%
- ---------------------------------------------------------------
AEROSPACE/DEFENSE -- 3.8%
Boeing Co........................... 16,700 $ 711,838
Northrop Grumman Corp............... 3,700 235,181
United Technologies Corp............ 7,600 450,775
-----------
1,397,794
-----------
AIRLINES -- 2.5%
Delta Air Lines, Inc................ 13,900 674,150
UAL Corp............................ 3,900 254,719
-----------
928,869
-----------
AUTO MANUFACTURER -- 4.0%
Ford Motor Co....................... 22,800 1,144,275
General Motors Corp................. 5,500 346,156
-----------
1,490,431
-----------
AUTO RENTAL -- 0.3%
Hertz Corp. Cl. A................... 2,100 92,400
-----------
BEVERAGES-ALCOHOLIC -- 1.0%
Anheuser-Busch Cos., Inc............ 5,400 378,338
-----------
CHEMICALS -- 1.8%
Great Lakes Chemical Corp........... 7,100 270,244
Hercules, Inc....................... 14,400 412,200
-----------
682,444
-----------
COMPUTERS -- 2.8%
International Business Machines
Corp.............................. 8,600 1,043,825
-----------
COSMETICS & TOILETRIES -- 1.5%
Kimberly-Clark Corp................. 10,900 572,250
-----------
DIVERSIFIED FINANCIAL SERVICES -- 10.2%
Ambac Financial Group, Inc.......... 11,000 521,125
Citigroup, Inc...................... 26,700 1,174,800
Countrywide Credit Industries,
Inc............................... 8,300 267,675
Fannie Mae.......................... 6,000 376,125
Freddie Mac......................... 10,400 540,800
J.P. Morgan & Co., Inc.............. 7,300 834,025
Nationwide Financial Services, Inc.
Cl. A............................. 2,500 88,438
-----------
3,802,988
-----------
DIVERSIFIED MANUFACTURING -- 2.7%
Textron, Inc........................ 8,600 665,425
Tyco International, Ltd............. 3,300 340,725
-----------
1,006,150
-----------
ELECTRIC -- 6.2%
Allegheny Energy, Inc............... 15,900 505,819
Energy East Corp.................... 17,400 413,250
Entergy Corp........................ 5,900 170,731
PECO Energy Co...................... 12,100 453,750
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
ELECTRIC (CONTINUED)
Texas Utilities Co.................. 6,900 $ 257,456
Unicom Corp......................... 13,900 513,432
-----------
2,314,438
-----------
HEALTH CARE -- 1.9%
United Healthcare Corp.............. 14,200 691,363
-----------
HOTELS & CASINOS -- 0.8%
Harrahs Entertainment, Inc.......... 10,800 299,700
-----------
INDUSTRIAL PRODUCTS -- 2.0%
Rockwell International Corp......... 13,900 729,750
-----------
INSTRUMENTS-CONTROLS -- 1.6%
Johnson Controls, Inc............... 9,100 603,444
-----------
INSURANCE -- 6.0%
American International Group,
Inc............................... 6,375 554,226
Hartford Life, Inc. Cl. A........... 1,900 93,575
Lincoln National Corp............... 11,400 428,212
MGIC Investment Corp................ 15,900 759,225
St. Paul Cos., Inc.................. 13,900 382,251
-----------
2,217,489
-----------
MACHINERY-DIVERSIFIED -- 1.5%
Ingersoll-Rand Co................... 10,200 560,362
-----------
MEDIA -- 1.9%
CBS Corp............................ 15,500 716,874
-----------
MONEY CENTER BANKS -- 3.2%
Chase Manhattan Corp................ 6,300 474,863
Firstar Corp........................ 21,000 538,125
Golden West Financial Corp.......... 1,700 167,025
-----------
1,180,013
-----------
OIL & GAS PRODUCERS -- 9.2%
Chevron Corp........................ 5,000 443,750
Exxon Corp.......................... 8,100 615,094
Mobil Corp.......................... 12,200 1,229,150
Occidental Petroleum Corp........... 17,000 393,125
Phillips Petroleum Co............... 9,000 438,750
Texaco, Inc......................... 4,700 296,687
-----------
3,416,556
-----------
OIL & GAS SERVICES -- 1.3%
ENSCO International, Inc............ 14,200 256,488
Noble Drilling Corp.*............... 9,800 214,375
-----------
470,863
-----------
PAPER & RELATED PRODUCTS -- 2.7%
Georgia-Pacific Group............... 9,400 380,700
Weyerhaeuser Co..................... 10,700 616,588
-----------
997,288
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
71
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
VALUE FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- ---------------------------------------------------------------
REGIONAL/COMMERICAL BANKS -- 9.6%
Bank One Corp....................... 9,200 $ 320,275
Bank United Corp. Cl. A............. 2,300 74,463
Charter One Financial, Inc.......... 12,495 288,947
Fleet Financial Group, Inc.......... 19,000 695,875
M & T Bank Corp..................... 900 413,100
SouthTrust Corp..................... 22,100 792,838
UnionBanCal Corp.................... 8,700 315,374
Wells Fargo Co...................... 17,200 681,550
-----------
3,582,422
-----------
RETAIL-DEPARTMENT STORES -- 2.2%
Federated Department Stores,
Inc.*............................. 18,500 808,218
-----------
STEEL -- 0.6%
USX -- U.S. Steel Group............. 9,300 239,474
-----------
TELECOMMUNICATIONS -- 13.0%
Ameritech Corp...................... 18,600 1,249,688
AT&T Corp........................... 14,100 613,350
BellSouth Corp...................... 23,600 1,062,000
GTE Corp............................ 12,400 953,250
MCI WorldCom, Inc.*................. 10,100 725,938
SBC Communications, Inc............. 4,700 239,993
-----------
4,844,219
-----------
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
TOYS/GAMES/HOBBIES -- 1.6%
Hasbro, Inc......................... 27,600 $ 591,674
-----------
TRANSPORTATION-TRAINS -- 2.2%
Union Pacific Corp.................. 16,800 807,450
-----------
TOTAL COMMON STOCK
(Cost: $40,040,378)............................ 36,467,086
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 1.7%
- ---------------------------------------------------------------
Kellogg Co.
5.603%, 10/01/99
(Cost: $644,901).................. $645,000 644,901
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 99.8%
(Cost: $40,685,279).......................... 37,111,987
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2%.. 55,702
-----------
NET ASSETS -- 100.0%........................... $37,167,689
-----------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
72
<PAGE>
CONVERTIBLE FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; DOUGLAS FORSYTH, CFA, Portfolio Manager; WILLIAM STICKNEY,
Portfolio Manager; MICHAEL P. CARROLL, Portfolio Manager; MICHAEL E. YEE,
Portfolio Manager.
GOAL: The Convertible Fund seeks to maximize total return consisting of
capital appreciation and current income by investing primarily in convertible
and equity securities of US companies with market capitalizations generally
above $500 million.
MARKET OVERVIEW: The six-month period ended September 30, 1999 was
characterized by volatility, with market highs often followed by sharp declines
amid investor uncertainty over potential interest-rate hikes. Strength in the
stock market and narrowing credit spreads helped convertible bonds in the second
quarter.
In the third quarter, rising long-term interest rates and fears of inflation
weighed on the asset class. Additionally, news of the US trade deficit reaching
a record high in August did not bode well for convertible bonds. At one point in
August, the yield on the 30-year US Treasury Bond climbed to 6.24%, its highest
level since November 1997.
Technology issues were favorites during the period. The powerful long-term
growth potential in the sector attracted investors into various technology
industries.
PERFORMANCE: The fund posted a gain for the six-month period ending
September 30, 1999 of 4.4% versus 6.7% for the First Boston Convertible Index.
PORTFOLIO SPECIFICS: The fund was heavily weighted in technology issues during
the period as we increased our exposure to the sector, particularly among
semiconductor companies. Among the fund's top performers were semiconductor
companies LSI Logic and Atmel Corp. Also among the fund's top performers were
Veritas Software and Exodus Communications.
During the period, we decreased our exposure to the consumer services, retail
trade and financial services industries, based on declining relative
attractiveness of individual issues within these sectors.
The fund underperformed in April and May when value-oriented issues briefly
outperformed growth-oriented issues and in July when nervous investors booked
profits on a number of the year's best performers.
MARKET OUTLOOK: Applying our bottom-up approach, we continue to uncover
attractive convertible issues with the potential to deliver strong gains with
limited downside exposure, dampening volatility.
Still exhibiting the effects of the liquidity crisis in the third quarter of
1998, convertible bonds continue to trade at discounts from what we believe to
be their fair values. The environment remains positive given:
- solid corporate profits
- long-term interest rates near 30-year lows
- benign inflation
- --------------------------------------------------------------------------------
73
<PAGE>
CONVERTIBLE FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN CONVERTIBLE FUND
INSTITUTIONAL SHARES WITH THE CS FIRST BOSTON CONVERTIBLE INDEX.
<TABLE>
<S> <C> <C>
ANNUALIZED TOTAL RETURNS
As of 09/30/99
1 YEAR 5 YEARS 10 YEARS
33.94% 19.18% 16.52%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
30315 CONVERTIBLE FUND FIRST BOSTON
INSTITUTIONAL SHARES CONVERTIBLE INDEX
250000 250000
<S> <C> <C>
30680 242192.10 249438.54
31046 290338.44 282892.46
31411 372774.09 321822.20
31776 379632.61 299660.78
32141 525252.06 386904.65
32507 576918.91 454915.53
32872 733163.96 539287.59
33237 677511.21 513857.47
33602 828291.41 635736.19
33968 1002375.72 723744.87
34333 1235942.36 846216.97
34698 1502171.25 901614.86
34971 1677947.42 999584.77
</TABLE>
This graph compares a $250,000 investment in Convertible Fund Institutional
Shares 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 Fund's registration
statement which was 4/19/93. Limited partnership returns are restated to reflect
all fees and expenses applicable to the Fund. 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 Fund reflect the fact that the Investment Adviser has
agreed to waive or defer its management fees and to pay other operating expenses
otherwise payable by the Fund through fiscal year ending March 31, 2000, subject
to possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
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.
- --------------------------------------------------------------------------------
74
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
CONVERTIBLE FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
CONVERTIBLE PREFERRED STOCK -- 30.9%
- --------------------------------------------------------------
ADVERTISING -- 0.4%
Lamar Advertising Co............. 123,000 $ 155,441
------------
BIOTECHNOLOGY -- 1.2%
Cephalon, Inc. 7.250% 144A....... 9,000 504,000
------------
BROADCASTING -- 5.4%
Cox Communications Inc.
0.2500%........................ 9,800 477,750
CSC Holdings, Inc. I 8.500%...... 5,170 560,299
Mediaone Group, Inc. D 4.500%.... 5,600 756,000
Unitedglobalcom, Inc. 144A
7.000%......................... 7,445 383,418
------------
2,177,467
------------
DIVERSIFIED FINANCIAL SERVICES -- 3.9%
CVS Automatic Commercial Trust
6.000%......................... 6,970 527,542
Morgan Stanley Dean Witter 6.000%
(PERQS)........................ 4,000 505,500
Morgan Stanley Dean Witter WCOM
Reset (PERQS).................. 76,700 575,250
------------
1,608,292
------------
INSURANCE -- 1.2%
American General Corp. A 6.000%
(MIPS)......................... 6,125 490,000
------------
INTERNET SERVICES -- 1.2%
PSInet Inc. C 6.750%............. 12,230 492,258
------------
MISCELLANEOUS MANUFACTURING -- 1.0%
Sealed Air Corp. 2.000%.......... 8,195 415,896
------------
OIL & GAS PRODUCERS -- 5.0%
Apache Corp. 6.500%.............. 17,510 700,400
Coastal Corp. 5.580%............. 7,570 166,540
Coastal Corp. 6.625%............. 21,425 558,389
Enron Corp. 7.000%............... 27,130 600,251
------------
2,025,580
------------
OIL & GAS SERVICES -- 1.2%
EVI, Inc. 5.000%................. 12,800 473,600
------------
PIPELINES -- 1.2%
Williams Cos., Inc. $3.50........ 2,890 502,499
------------
PUBLISHING -- 0.4%
Houston Industries, Inc.
(ACES)......................... 1,430 145,860
------------
RENTAL AUTO/EQUIPMENT -- 1.0%
United Rentals Trust I 6.500%
(QUIPS)........................ 1,720 64,500
United Rentals Trust I 6.500%
(QUIPS) 144A................... 9,500 356,250
------------
420,750
------------
SOAPS/COSMETICS -- 1.1%
Estee Lauder Aces Trust II
6.250%......................... 5,810 453,180
------------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS -- 2.5%
Global Telesystems Group,
Inc.144A 7.250%................ 9,600 $ 396,000
Omnipoint Corp. 7.000%........... 2,900 265,713
Winstar Communications, Inc. A
6.000%......................... 985 41,986
Winstar Communications, Inc. D
7.000%......................... 7,115 332,626
------------
1,036,325
------------
TELECOMMUNICATIONS EQUIPMENT -- 1.9%
Qualcomm Financial Trust
5.750%......................... 2,875 765,469
------------
TELECOMMUNICATIONS SERVICES -- 2.3%
Crown Castle Decs Trust V
7.250%......................... 19,550 359,231
Qwest Trends Trust 144A 5.750%... 11,135 570,669
------------
929,900
------------
TOTAL CONVERTIBLE PREFERRED STOCK
(Cost: $7,758,940)........................... 12,596,517
------------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
CONVERTIBLE CORPORATE BONDS -- 62.8%
- --------------------------------------------------------------
ADVERTISING -- 4.6%
Doubleclick, Inc. 144A
4.750%, 03/15/06............... $ 305,000 473,131
Interpublic Group Co., Inc. 144A
1.870%, 06/01/06............... 565,000 520,506
Omnicom Group, Inc.
2.250%, 01/06/13............... 525,000 880,031
------------
1,873,668
------------
APPLICATIONS SOFTWARE -- 2.1%
Citrix Systems, Inc. 144A
0.000%, 03/22/19............... 1,750,000 844,375
------------
BIOTECHNOLOGY -- 2.9%
Centocor, Inc.
4.750%, 02/15/05............... 530,000 698,275
Genzyme Corp.-General Division
5.250%, 06/01/05............... 370,000 499,963
------------
1,198,238
------------
BROADCASTING -- 2.0%
Clear Channel Communications
2.625%, 04/01/03............... 600,000 836,250
------------
COMPUTER SOFTWARE -- 3.0%
Siebel Systems, Inc. 144A
5.500%, 09/15/06............... 330,000 324,225
Veritas Software Corp. 144A
5.250%, 11/01/04............... 240,000 880,800
------------
1,205,025
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
75
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
CONVERTIBLE FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
CONVERTIBLE CORPORATE BONDS (Continued)
- --------------------------------------------------------------
COMPUTERS -- 4.1%
Converse Technology, Inc. 144A
4.500%, 07/01/05............... $ 432,000 $ 977,940
Comverse Technology, Inc.
4.500%, 07/01/05............... 10,000 22,638
EMC Corp. 144A
3.250%, 03/15/02............... 110,000 683,375
------------
1,683,953
------------
CONTRACT DRILLING -- 2.0%
Diamond Offshore Drilling
3.750%, 02/15/07............... 760,000 819,850
------------
DATA PROCESSING/MANAGEMENT SOFTWARE-- 2.9%
Affiliated Computer Services,
Inc.
4.000%, 03/15/05............... 75,000 85,500
Affiliated Computer Services,
Inc. 144A
4.000%, 03/15/05............... 330,000 376,200
Automatic Data Processing
0.000%, 02/20/12............... 610,000 704,550
------------
1,166,250
------------
DIVERSIFIED FINANCIAL SERVICES -- 2.2%
American Express Credit
1.125%, 02/19/03............... 445,000 537,894
Merrill Lynch & Co.
1.000%, 02/08/06............... 450,000 363,937
------------
901,831
------------
DRUGS/PHARMACEUTICALS -- 1.6%
Alpharma Inc.
5.750%, 04/01/05............... 159,000 213,458
Alpharma, Inc. 144A
5.750%, 04/01/05............... 320,000 429,600
------------
643,058
------------
ELECTRIC -- 1.5%
AES Corp.
4.500%, 08/15/05............... 485,000 624,438
------------
ELECTRONIC COMPONENTS/SEMICONDUCTORS -- 10.7%
Atmel Corp.144A
0.000%, 04/21/18............... 1,260,000 678,825
Conexant Systems, Inc.
4.250%, 05/01/06............... 8,000 13,820
Conexant Systems, Inc. 144A
4.250%, 05/01/06............... 425,000 734,188
Cypress Semiconductor
6.000%, 10/01/02............... 605,000 726,756
Intel Corp.
4.000%, 9/1/04................. 153,000 380,588
LAM Research Corp.
5.000%, 09/01/02............... 200,000 198,500
LSI Logic Corp.
4.250%, 03/15/04............... 65,000 119,275
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
ELECTRONIC COMPONENTS/SEMICONDUCTORS (CONTINUED)
LSI Logic Corp. 144A
4.250%, 03/15/04............... $ 400,000 $ 734,000
Simicroelectronics N.V.
0.000%, 09/22/09............... 366,000 292,343
Simicroelectronics N.V.
0.000%, 06/10/08............... 350,000 492,625
------------
4,370,920
------------
ELECTRONICS -- 2.1%
Solectron Corp. 144A
0.000%, 01/27/19............... 1,380,000 846,975
------------
ENTERTAINMENT -- 0.6%
Action Performance
4.750%, 04/01/05............... 361,000 251,346
------------
HEALTHCARE -- 1.3%
Wellpoint Health Network
0.000%, 07/02/19............... 876,000 513,012
------------
INTERNET SOFTWARE -- 3.2%
America Online, Inc.
4.000%, 11/15/02............... 67,000 534,158
Exodus Communications, Inc. 144A
5.000%, 03/15/06............... 240,000 778,200
------------
1,312,358
------------
MISCELLANEOUS MANUFACTURING -- 2.8%
ADT Operations
0.000%, 07/06/10............... 270,000 758,025
Sanmina Corp. 144A
4.250%, 05/01/04............... 330,000 367,125
------------
1,125,150
------------
OIL & GAS PRODUCERS -- 1.3%
Devon Energy Corp.
4.900%, 08/15/08............... 525,000 520,406
------------
PRINTING-COMMERCIAL -- 2.0%
Mail-Well, Inc.
5.000%, 11/01/20............... 230,000 223,100
World Color Press, Inc.
6.000%, 10/01/07............... 550,000 582,313
------------
805,413
------------
RETAIL-APPAREL -- 1.2%
AnnTaylor Stores Corp.
0.550%, 06/18/19............... 890,000 502,850
------------
RETAIL-BUILDING PRODUCTS -- 1.7%
Home Depot, Inc.
3.250%, 10/01/01............... 240,000 712,500
------------
RETAIL-DISCOUNT STORES -- 1.9%
Costco Cos., Inc.
0.000%, 08/19/17............... 880,000 776,600
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
76
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
CONVERTIBLE CORPORATE BONDS (Continued)
- --------------------------------------------------------------
TELECOMMUNICATIONS -- 3.4%
Global Telesystems Group, Inc.
5.750%, 07/01/10............... $ 150,000 $ 133,500
Nextel Communications Conv. 144A
4.750%, 07/01/07............... 320,000 510,000
International Cabletelnote, Inc.
144A
7.000%, 12/15/08............... 430,000 732,075
------------
1,375,575
------------
TELECOMMUNICATIONS SERVICES -- 1.7%
Antec Corp.
4.500%, 05/15/03............... 310,000 711,450
------------
TOTAL CONVERTIBLE CORPORATE BONDS
(Cost: $28,913,485).......................... 25,621,491
------------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON STOCK -- 2.3%
- --------------------------------------------------------------
BROADCASTING -- 0.6%
AMFM, Inc........................ 3,700 225,005
------------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS -- 1.7%
Vodafone Airtouch PLC -- ADR..... 2,918 $ 693,753
Winstar Communications, Inc...... 116 4,530
------------
698,283
------------
TOTAL COMMON STOCK
(Cost: $711,906)............................. 923,288
------------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 2.4%
- --------------------------------------------------------------
Kellogg Co.
5.642%, 10/01/99
(Cost: $989,847)............... $ 990,000 989,847
------------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 98.4%
(Cost: $38,374,178)......................... 40,131,143
OTHER ASSETS IN EXCESS OF LIABILITIES --
1.6%.......................................... 662,112
------------
NET ASSETS -- 100.0%.......................... $ 40,793,255
------------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
77
<PAGE>
SHORT INTERMEDIATE FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
SUB ADVISORY MANAGEMENT TEAM: FRED S. ROBERTSON, III, Chief Investment
Officer, Fixed Income; JAMES E. KELLERMAN, Portfolio Manager; SUSAN MALONE,
Portfolio Manager.
GOAL: The Short Intermediate Fund seeks to preserve principal and provide
liquidity while seeking a relatively high level of current income. The fund
invests primarily in a portfolio of short-to-intermediate-term investment-grade,
fixed-income securities. The duration of the fund will be between one and four
years.
MARKET OVERVIEW: During the first half of the six-month period ending
September 30, 1999, the US fixed income market was influenced by:
- a robust economy
- tight labor markets
- recovery in investor confidence from 1998's liquidity crisis
As a result of these factors, interest rates rose and investors' expectations
for additional interest-rate reductions by the Federal Reserve Board diminished.
Most sectors of the bond market posted declines.
Despite 25-basis point increases in short-term interest rates in late
June and August, the US fixed income market spent much of the second half of the
period in a trading range.
PERFORMANCE: During the six-month period ending September 30, 1999, the fund
gained 1.6% versus a 1.8% gain for the Merrill Lynch 1-3 Year Government Index.
PORTFOLIO SPECIFICS: Fund returns were affected by two primary factors --
interest rate sensitivity and sector selection. In anticipation of somewhat
slower levels of economic growth and because long-term factors such as
conservative fiscal policy, secular disinflation and increasing global
competition remained positive for bonds, we maintained a level of interest rate
sensitivity modestly higher than the index. As interest rates increased, this
adversely affected performance.
Later in the period, amid evidence of economic strength and further tightening
in labor markets, we reduced the interest-rate sensitivity to neutral.
MARKET OUTLOOK: We maintain a neutral position on the direction of interest
rates. Near term, the US economy remains strong and labor markets remain tight,
though signs of more moderate economic growth have appeared. If the economy does
not show signs of slowing enough to stabilize imbalances in the labor market,
the Federal Reserve may raise short-term interest rates further.
However, we believe the next significant move will be back to slower economic
growth and lower yield levels.
Long-term factors remain positive for the bond market:
- US fiscal policy remains conservative
- global competition and technological advances are keeping downward pressure
on inflation
- interest rates remain well above inflation rates
- --------------------------------------------------------------------------------
78
<PAGE>
SHORT INTERMEDIATE FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN SHORT INTERMEDIATE
FUND INSTITUTIONAL SHARES WITH THE MERRILL LYNCH 1-3 YEAR TREASURY INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
3.13% As of 09/30/99 6.31%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SHORT INTERMEDIATE MERRILL LYNCH 1-3 YEAR
FUND
<S> <C> <C>
Institutional Shares Treasury Index
8/31/95 $250,000.00 $250,000.00
9/95 $255,700.00 $251,200.00
10/95 $258,313.29 $253,310.08
11/95 $260,323.51 $255,539.21
12/95 $262,368.17 $257,506.86
1/96 $264,601.96 $259,695.67
2/96 $263,383.53 $258,604.95
3/96 $263,322.61 $258,372.20
4/96 $263,322.61 $258,578.90
5/96 $263,734.37 $259,121.92
6/96 $265,628.48 $260,987.59
7/96 $266,673.44 $262,005.45
8/96 $267,718.40 $262,896.26
9/96 $270,100.91 $265,288.62
10/96 $273,073.72 $268,286.38
11/96 $274,984.81 $270,352.19
12/96 $275,090.98 $270,352.19
1/97 $276,598.92 $271,622.84
2/97 $277,460.60 $272,247.57
3/97 $277,288.26 $272,138.68
4/97 $279,478.53 $274,370.21
5/97 $281,449.77 $276,235.93
6/97 $283,596.24 $278,141.96
7/97 $286,271.67 $281,201.52
8/97 $286,494.63 $281,454.60
9/97 $288,701.86 $283,593.66
10/97 $290,285.65 $285,692.25
11/97 $291,190.67 $286,377.91
12/97 $293,441.74 $288,325.28
1/98 $296,592.33 $291,122.04
2/98 $296,985.32 $291,384.05
3/98 $298,077.52 $292,578.72
4/98 $299,666.02 $293,953.84
5/98 $301,474.35 $295,511.79
6/98 $303,315.78 $297,048.46
7/98 $304,805.84 $298,444.58
8/98 $307,737.12 $302,204.99
9/98 $311,275.02 $306,194.09
10/98 $311,489.77 $307,694.44
11/98 $311,654.87 $307,417.52
12/98 $313,549.43 $308,493.48
1/99 $315,144.12 $309,727.45
2/99 $314,156.69 $308,209.79
3/99 $316,010.88 $310,367.26
4/99 $317,795.12 $311,360.43
5/99 $317,296.22 $311,173.62
6/99 $317,468.35 $312,138.25
7/99 $317,972.67 $313,137.10
8/99 $318,476.99 $314,045.19
9/30/99 $321,018.30 $316,086.49
</TABLE>
This graph compares a $250,000 investment in the Short Intermediate Fund
Institutional Shares 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 Fund.
The total returns reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Merrill Lynch 1-3 Year Treasury is an index consisting of all public
US 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.
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.
- --------------------------------------------------------------------------------
79
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
SHORT INTERMEDIATE FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- --------------------------------------------------------------
CORPORATE BONDS -- 31.2%
- --------------------------------------------------------------
AEROSPACE/DEFENSE -- 2.8%
Lockheed Martin Corp.
6.850%, 05/15/01............... $ 500,000 $ 500,520
-----------
AIRLINES -- 1.2%
Continental Airlines, Inc.
6.465%, 10/15/04............... 229,316 222,088
-----------
DIVERSIFIED FINANCIAL SERVICES -- 14.9%
AT&T Capital Corp.
6.250%, 05/15/01............... 135,000 133,677
First Union Corp.
5.309%, 10/10/00............... 475,000 477,223
Goldman Sachs Group A (float)
5.5175%, 01/27/00.............. 665,000 665,100
Heller Financial, Inc.
5.875%, 11/01/00............... 250,000 248,290
International Lease Finance Corp.
5.950%, 06/01/01............... 500,000 496,730
Lehman Brothers Holdings, Inc.
6.625%, 12/27/02............... 200,000 197,384
MBNA Corp. (float)
5.8625%, 12/20/99.............. 500,000 500,190
-----------
2,718,594
-----------
FINANCIAL SERVICES -- 2.6%
Key Bank NA (float)
5.428%, 07/23/01............... 300,000 300,459
Union Acceptance Corp. 1997 D A5
6.410%, 05/10/05............... 180,000 178,629
-----------
479,088
-----------
OTHER COMMERCIAL SERVICES -- 1.1%
Cendant Corp.
7.750%, 12/01/03............... 200,000 199,806
-----------
PIPELINES -- 4.4%
Enron Corp.
9.500%, 06/15/01............... 500,000 522,285
KN Energy Inc.
6.300%, 03/01/01............... 135,000 133,580
KN Energy Inc.
6.450%, 11/30/01............... 150,000 147,684
-----------
803,549
-----------
RENTAL AUTO/EQUIPMENT -- 4.2%
Hertz Corp.
7.000%, 04/15/01............... 750,000 754,178
-----------
TOTAL CORPORATE BONDS
(Cost: $5,688,135)............................ 5,677,823
-----------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
FOREIGN CORPORATE BONDS -- 1.8%
- --------------------------------------------------------------
CHILE -- 0.3%
Celulosa Arauco y Constitucion,
S.A.
6.450%, 02/15/04............... $ 60,000 $ 55,198
-----------
MEXICO -- 0.4%
Pemex Finance, Ltd. 144A
6.125%, 11/15/03............... 70,000 68,530
-----------
VENEZUELA -- 1.1%
PDVSA Finance, Ltd.
6.450%, 02/15/04............... 225,000 203,265
-----------
TOTAL FOREIGN CORPORATE BONDS
(Cost: $342,039).............................. 326,993
-----------
- --------------------------------------------------------------
AGENCY OBLIGATIONS -- 16.1%
- --------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. -- 10.4%
Pool # 2127 TD
6.000%, 01/15/11............... 370,000 363,988
Pool # 380032
10.000%, 10/01/03.............. 37,478 38,298
Pool # 380062
9.500%, 11/01/04............... 101,012 103,936
Pool # 380078
9.000%, 04/01/05............... 208,460 213,847
Pool # 504019
9.000%, 03/01/06............... 93,584 94,795
Pool # 504132
9.000%, 07/01/06............... 141,944 144,696
Pool # 555287
9.750%, 05/01/11............... 162,648 172,206
Pool # 800455
9.000%, 12/01/03............... 217,690 221,876
Pool # B00511
9.500%, 05/01/06............... 136,739 141,156
Pool # B00623
9.000%, 06/01/06............... 215,381 220,888
Pool # G10453
9.000%, 06/01/07............... 181,501 187,514
-----------
1,903,200
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 2.5%
Pool # 200112
9.500%, 11/01/05............... 51,040 52,518
Pool # 2454
14.750%, 10/01/12.............. 3,067 3,574
Pool # 303758
9.500%, 07/01/06............... 123,404 128,526
Pool # 303920
9.500%, 10/01/03............... 118,046 122,078
Pool # 50155
10.000%, 12/01/03.............. 3,117 3,267
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
80
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
Pool # 70722
9.000%, 01/01/06............... $ 139,573 $ 144,003
-----------
453,966
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 3.2%
Pool # 200947
9.500%, 12/15/17............... 4,132 4,392
Pool # 59779
11.500%, 03/15/13.............. 1,723 1,927
Pool # 64054
11.500%, 02/15/13.............. 944 1,007
Pool # 780179
12.000%, 10/15/15.............. 27,806 31,488
Pool # 780182
9.000%, 01/15/08............... 205,824 212,531
Pool # 780306
9.000%, 11/15/06............... 138,341 142,850
Pool # 780328
10.000%, 10/15/06.............. 181,508 189,464
-----------
583,659
-----------
TOTAL AGENCY OBLIGATIONS
(Cost: $2,943,748)............................ 2,940,825
-----------
- --------------------------------------------------------------
FOREIGN GOVERNMENT BONDS -- 5.1%
- --------------------------------------------------------------
GERMANY -- 5.1%
Federal Republic Of Germany Unity
Bond
8.000%, 01/21/02
(Cost: $920,996)............... 800,000 927,358
-----------
- --------------------------------------------------------------
CMO'S AND ASSET-BACKED SECURITIES -- 39.5%
- --------------------------------------------------------------
AUTO -- 4.5%
Carco Auto Loan Master Trust 1999
1 A1
5.650%, 03/15/03............... 370,000 366,994
Ford Credit Auto Owner Trust 1999
A B
5.790%, 06/16/03............... 230,000 224,464
Hyundai Auto Receivables Trust
1998 A A2
6.050%, 07/15/04............... 235,000 233,639
-----------
825,097
-----------
BOATS -- 2.5%
BankBoston Marine Asset Backed
Trust 1997 2 A6
6.640% 08/15/10................ 290,000 290,136
Distribution Financial Services
Trust 1999 2 A4
6.480%, 10/15/13............... 170,000 167,184
-----------
457,320
-----------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
CMO'S AND ASSET-BACKED SECURITIES (Continued)
- --------------------------------------------------------------
MORTGAGE-COMMERCIAL -- 7.4%
Allied Capital Commercial
Mortgage 1998 1 A
6.310% 09/25/03................ $ 113,979 $ 113,231
DLJ Commercial Mortgage Corp.
1998 CF1 CP
.906%, 04/15/05................ 3,000,000 119,063
DLJ Mortgage Acceptance Corp.
144A 1996 CF1 S
.609%, 03/12/06................ 4,340,687 92,240
Enterprise Mortgage Acceptance
Company 1998 1 A1
6.110%, 07/15/03............... 222,677 218,989
Federal National Mortgage
Association Aces 1996 M5 Class
XS
.538%, 01/25/13................ 5,186,791 136,153
Federal National Mortgage
Association Aces 1997 M8 Cl X1
.653%, 10/25/02................ 16,870,000 297,861
Federal National Mortgage
Association Aces 1998 M7 Cl A
6.170%, 05/25/14............... 179,749 176,435
Morgan Stanley Capital I 1997 C1
A1A
6.850%, 02/15/20............... 185,197 185,776
-----------
1,339,748
-----------
MORTGAGE-RESIDENTIAL -- 19.5%
Advanta Mortgage Loan Trust
1997 4 A4
6.660%, 03/25/22............... 210,000 209,147
BancOne Home Equity Trust 1999 2
A5
7.310%, 06/25/29............... 160,000 158,550
BankBoston Home Equity Loan Trust
1998 2 A4
6.110%, 09/25/13............... 365,000 350,970
Centex Home Equity Trust 1999 2
A8
6.040%, 06/25/30............... 410,000 402,184
GE Capital Mortgage Services 1999
HE 1 A5
6.285%, 08/25/26............... 420,000 397,261
Residential Asset Securities
Corp. 1999 KS1 AI3
6.110%, 05/25/25............... 190,000 185,250
Residential Funding Mortgage
Security I 1993 S47 A8
5.650%, 12/25/23............... 83,055 82,379
Saxon Asset Securities Trust 1999
1 AF3
6.170%, 08/25/21............... 420,000 414,356
Saxon Asset Securities Trust 1999
2 AF4
6.445%, 08/25/26............... 310,000 297,988
Sunlife Commercial Mortgage Trust
1997 C1 A
6.875%, 07/25/04............... 181,837 180,473
The Money Store Home Equity Trust
1996 C A14
7.785%, 12/15/22............... 340,000 345,897
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
81
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
SHORT INTERMEDIATE FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
MORTGAGE-RESIDENTIAL (CONTINUED)
UCFC Home Equity Loan Services
1997 D A3
6.510%, 01/15/16............... $ 400,000 $ 398,375
WMH Huntoon Paige
5.140%, 01/01/07............... 132,065 127,360
-----------
3,550,190
-----------
RECEIVABLES -- 5.6%
Discover Card Master Trust I 1998
6 A
5.850%, 01/17/06............... 270,000 263,039
Fingerhut Master Trust 1998 2 A
6.230%, 02/15/07............... 205,000 199,747
Green Tree Recreational,
Equipment & Consumer Trust 1999
A A6
6.840%, 03/15/10............... 380,000 378,293
Heller Equipment Asset
Receivables Trust 1999 1 A3
5.500%, 07/13/03............... 190,000 186,972
-----------
1,028,051
-----------
TOTAL CMO'S AND ASSET-BACKED SECURITIES
(Cost: $7,382,501)............................ 7,200,406
-----------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 5.2%
- --------------------------------------------------------------
Federal National Mortgage
Association 5.240%, 10/01/99
(Cost: $952,863)............... $ 953,000 $ 952,863
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 98.9%
(Cost: $18,230,282).......................... 18,026,268
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.1%.. 203,276
-----------
NET ASSETS -- 100.0%........................... $18,229,544
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
82
<PAGE>
HIGH QUALITY BOND FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
SUB ADVISORY MANAGEMENT TEAM: FRED S. ROBERTSON, III, Chief Investment
Officer, Fixed Income; JAMES E. KELLERMAN, Portfolio Manager; MALCOM S. DAY,
CFA, Portfolio Manager; SUSAN MALONE, Portfolio Manager.
GOAL: The High Quality Bond Fund seeks to maximize long-term total return from
a portfolio utilizing multiple sectors of the bond market including a broad
range of investment-grade issues, as well as, on an opportunistic basis,
developed international bonds and below-investment grade corporate issues. The
dollar-weighted average portfolio duration of the fund will range from two to
eight years.
MARKET OVERVIEW: During the first half of the six-month period ending
September 30, 1999, the US fixed income market was influenced by: a robust
economy; tight labor markets; and a recovery in investor confidence from 1998's
liquidity crisis.
As a result of these factors, interest rates rose and investors' expectations
for additional interest-rate reductions by the Federal Reserve Board diminished.
Most sectors of the bond market posted declines.
Despite 25-basis point increases in short-term interest rates in late
June and August, the US fixed income market spent much of the second half of the
period in a trading range.
PERFORMANCE: During the period, the fund declined 0.8% versus a decline of
0.2% for the Lehman Aggregate Bond Index.
PORTFOLIO SPECIFICS: Fund returns were affected by two primary factors --
interest rate sensitivity and sector selection. In anticipation of somewhat
slower levels of economic growth and because long-term factors such as
conservative fiscal policy, secular disinflation and increasing global
competition remained positive for bonds, we maintained a level of interest-rate
sensitivity modestly higher than the index. As interest rates increased, this
adversely affected performance. The fund also had a modest allocation to the
international developed market, which slightly detracted from performance and a
modest allocation to high yield bonds, which slightly enhanced performance.
Later in the period, amid evidence of economic strength and further tightening
in labor markets, we reduced the interest-rate sensitivity to neutral.
MARKET OUTLOOK: We maintain a neutral position on the direction of interest
rates. Near term, the US economy remains strong and labor markets remain tight,
though signs of more moderate economic growth have appeared. If the economy does
not show signs of slowing enough to stabilize imbalances in the labor market,
the Federal Reserve may raise short-term interest rates further. However, we
believe the next significant move will be back to slower economic growth and
lower yield levels.
Long-term factors remain positive for the bond market: US fiscal policy
remains conservative; global competition and technological advances are keeping
downward pressure on inflation; and interest rates remain well above inflation
rates.
- --------------------------------------------------------------------------------
83
<PAGE>
HIGH QUALITY BOND FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN HIGH QUALITY BOND FUND
INSTITUTIONAL SHARES WITH THE LEHMAN AGGREGATE BOND INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
0.49% As of 09/30/99 6.88%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
HIGH QUALITY BOND FUND INSTITUTIONAL SHARES LEHMAN AGGREGATE BOND INDEX
<S> <C> <C>
08/95 $250,000.00 $250,000.00
9/95 $257,840.00 $252,425.00
10/95 $262,060.30 $255,706.53
11/95 $267,084.46 $259,542.12
12/95 $272,016.18 $263,175.71
1/96 $271,811.19 $264,912.67
02/96 $265,456.63 $260,303.19
3/96 $263,734.75 $258,481.07
04/96 $262,283.38 $257,033.58
5/96 $261,661.36 $256,519.51
06/96 $264,958.05 $259,956.87
7/96 $265,800.52 $260,658.75
08/96 $264,747.43 $260,215.63
9/96 $269,991.83 $264,743.39
10/96 $275,786.57 $270,620.69
11/96 $280,722.82 $275,248.30
12/96 $278,233.23 $272,688.49
1/97 $278,233.23 $273,533.83
02/97 $280,200.32 $274,217.66
3/97 $276,856.27 $271,173.85
04/97 $280,609.51 $275,241.45
5/97 $283,479.63 $277,856.25
06/97 $287,277.02 $281,162.74
7/97 $294,700.78 $288,754.13
08/97 $291,551.31 $286,299.72
9/97 $296,747.94 $290,536.96
10/97 $300,397.41 $294,749.74
11/97 $302,031.29 $296,105.59
12/97 $304,716.75 $299,096.26
1/98 $309,330.83 $302,924.69
02/98 $310,084.72 $302,682.35
3/98 $311,741.66 $303,711.47
04/98 $312,907.72 $305,290.77
5/98 $315,754.51 $308,191.03
06/98 $317,198.51 $310,810.66
7/98 $318,039.46 $311,463.36
08/98 $319,869.55 $316,540.21
9/98 $326,463.44 $323,947.25
10/98 $322,323.23 $322,230.33
11/98 $328,623.41 $324,067.04
12/98 $330,743.30 $325,039.25
1/99 $334,219.82 $327,347.02
02/99 $328,273.47 $321,618.45
3/99 $330,864.70 $323,387.35
04/99 $333,284.98 $324,422.19
5/99 $329,616.75 $321,567.28
06/99 $327,584.62 $320,538.26
7/99 $325,469.46 $319,192.00
08/99 $323,883.09 $319,032.40
9/99 $328,073.25 $322,733.18
</TABLE>
This graph compares a $250,000 investment in the High Quality Bond Fund
Institutional Shares with the Lehman Aggregate 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.
The total returns reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Lehman Brothers Aggregate Bond Index is composed of securities from Lehman
Brothers Government/Corporate Bond Index, Mortgage-Backed Securities Index, and
Asset-Backed Securities Index.
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.
- --------------------------------------------------------------------------------
84
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
HIGH QUALITY BOND FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- --------------------------------------------------------------
CORPORATE BONDS -- 26.3%
- --------------------------------------------------------------
AEROSPACE/DEFENSE -- 0.6%
Rockwell International Corp.
5.200%, 01/15/2098.............. $ 210,000 $ 137,655
-----------
AIRLINES -- 3.4%
Atlas Air, Inc. 1991 A A1
7.200%, 01/02/19................ 250,000 225,880
Continental Airlines, Inc. 991A
6.545%, 02/02/19................ 270,000 249,064
Northwest Airlines Corp. 1992 A
7.575%, 03/01/19................ 250,000 244,728
-----------
719,672
-----------
AUTO MANUFACTURERS -- 0.5%
DaimlerChrysler NA Holding
7.200%, 09/01/09................ 75,000 75,363
Ford Motor Co.
7.450%, 07/16/31................ 50,000 49,298
-----------
124,661
-----------
BEVERAGES-ALCOHOLIC -- 0.4%
J Seagram & Sons
6.800%, 12/15/08................ 90,000 85,163
-----------
BROADCASTING -- 0.6%
CD Radio Inc. 0.000% (until
12/01/02, thereafter 15.000% to
maturity), 12/01/07............. 50,000 24,438
News America Holdings
8.875%, 04/26/23................ 100,000 105,672
-----------
130,110
-----------
COMPUTER SOFTWARE -- 0.7%
Computer Associates International
6.375%, 04/15/05................ 160,000 150,000
-----------
COMPUTERS -- 1.3%
Apple Computer, Inc.
6.500%, 02/15/04................ 50,000 46,625
Sun Microsystems, Inc.
7.650%, 08/15/09................ 150,000 151,926
Unisys Corp.
12.000%, 04/15/03............... 70,000 76,125
-----------
274,676
-----------
DISTRIBUTION/WHOLESALE -- 0.2%
United Stationer Supply
12.750%, 05/01/05............... 50,000 54,125
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.8%
Countrywide Capital III
8.050%, 06/15/27................ 50,000 48,276
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
DIVERSIFIED FINANCIAL SERVICES (CONTINUED)
GS Escrow Corp.
6.750%, 08/01/01................ $ 120,000 $ 117,750
-----------
166,026
-----------
ELECTRIC -- 0.8%
Calpine Corp.
10.500%, 05/15/06............... 170,000 176,375
-----------
ENGINEERING & CONSTRUCTION -- 0.7%
McDermott, Inc.
9.375%, 03/15/02................ 140,000 144,375
-----------
ENTERTAINMENT -- 0.3%
Ascent Entertainment Group 0.000%
(until 12/01/02, thereafter
11.875% to maturity),
12/15/04........................ 100,000 72,125
-----------
HEALTHCARE -- 0.6%
Abbey Health Care Group
9.500%, 11/01/02................ 120,000 119,850
-----------
HOME BUILDING -- 0.5%
Lennar Corp.
7.625%, 03/01/09................ 110,000 99,933
-----------
INSURANCE -- 0.7%
Florida Windstorm Under
7.125%, 02/25/19................ 100,000 94,919
Lumbermens Mutual Casualty
8.300%, 12/01/37................ 60,000 52,186
-----------
147,105
-----------
INVESTMENT COMPANIES -- 1.7%
Dryden Investor Trust
7.157%, 7/23/08................. 183,740 172,256
Fidelity Investments
7.57%, 06/15/29................. 200,000 195,386
-----------
367,642
-----------
MEDICAL SUPPLIES/EQUIPMENT -- 0.8%
Guidant Corp.
6.150%, 02/15/06................ 180,000 167,778
-----------
METALS-DIVERSIFIED -- 0.8%
Scotia Pacific Co. LLC
6.550%, 01/20/07................ 180,322 162,290
-----------
OIL & GAS PRODUCERS -- 1.3%
Deeptech International, Inc.
12.000%, 12/15/00............... 100,000 106,250
Murphy Oil Corp.
7.050%, 05/01/29................ 175,000 160,221
-----------
266,471
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
85
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
HIGH QUALITY BOND FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS (Continued)
- --------------------------------------------------------------
OIL FIELD MACHINERY & EQUIPMENT -- 1.9%
Halliburton Company
8.750%, 02/15/21................ $ 350,000 $ 399,000
-----------
OTHER COMMERCIAL SERVICES -- 0.5%
Cendant Corp.
7.750%, 12/01/03................ 100,000 99,903
-----------
PACKAGING & CONTAINERS -- 0.7%
Stone Container Corp.
9.875%, 02/01/00................ 150,000 150,375
-----------
PUBLISHING -- 0.1%
American Lawyer Media
9.750%, 12/15/07................ 20,000 19,600
-----------
REAL ESTATE OPERATIONS -- 0.2%
Equity Office Properties LP
7.500%, 04/19/29................ 50,000 44,700
-----------
RECREATIONAL CENTERS -- 0.2%
Bally Total Fitness Holdings
9.875%, 10/15/07................ 40,000 37,800
-----------
RENTAL AUTO/EQUIPMENT -- 0.1%
United Rentals, Inc.
9.500%, 06/01/08................ 20,000 19,750
-----------
RETAIL-DISCOUNT -- 0.4%
Wal-Mart Stores
6.875%, 08/10/09................ 95,000 95,176
-----------
RETAIL-FOOD -- 0.7%
Kroger Co.
8.000%, 09/15/29................ 150,000 149,063
-----------
RETAIL-MUSIC STORE -- 0.2%
Musicland Stores Corp.
9.875%, 03/15/08................ 50,000 46,250
-----------
TELECOMMUNICATIONS -- 2.0%
Crown Castle International Corp.
10.625%, 11/15/07............... 100,000 70,375
Global Telesystems Group
9.875%, 02/15/05................ 100,000 95,750
Nextel Communications
9.750%, 08/15/04................ 150,000 151,125
Pacific West Telecommunications,
Inc.
13.500%, 02/01/09............... 100,000 101,625
-----------
418,875
-----------
TELECOMMUNICATIONS EQUIPMENT -- 0.7%
Covad Communications Group 0.000%
(until 3/15/03, thereafter
13.500% to maturity),
03/15/08........................ 60,000 30,675
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS EQUIPMENT (CONTINUED)
Motorola Inc.
6.500%, 11/15/28................ $ 130,000 $ 112,954
-----------
143,629
-----------
TELEPHONE -- 1.1%
Sprint Capital Corp.
6.875%, 11/15/28................ 130,000 118,788
WorldCom Inc.
6.950%, 08/15/28................ 120,000 111,810
-----------
230,598
-----------
TELEVISION -- 0.5%
Frontiervision LP
11.000%, 10/15/06............... 100,000 107,000
-----------
TRANSPORTATION - AIR FREIGHT -- 0.3%
Federal Express Corp.
7.600%, 07/01/2097.............. 70,000 62,650
-----------
TOTAL CORPORATE BONDS
(Cost: $5,789,833)............................ 5,590,401
-----------
- --------------------------------------------------------------
FOREIGN CORPORATE BONDS -- 7.1%
- --------------------------------------------------------------
BERMUDA -- 0.6%
Sea Containers
12.500%, 12/01/04............... 110,000 117,700
-----------
CANADA -- 0.5%
Teleglobe Inc.
7.200%, 07/20/09................ 130,000 122,903
-----------
CHILE -- 0.8%
Celulosa Arauco
7.500%, 09/15/17................ 70,000 57,359
Empresa Nacional de Electricidad
8.125%, 02/01/49................ 120,000 90,788
Enersis S.A.
6.600%, 12/01/26................ 35,000 33,031
-----------
181,178
-----------
DENMARK -- 1.1%
NYKREDIT
6.000%, 10/01/29................ 1,744,000 227,738
-----------
LUXEMBOURG -- 0.5%
Tyco International Group S.A.
7.000%, 06/15/28................ 110,000 100,067
-----------
MEXICO -- 1.9%
Pemex Finance, Ltd.
6.300%, 05/15/10................ 170,000 156,703
Pemex Finance, Ltd.
9.69%, 08/15/09................. 140,000 141,137
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
86
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
FOREIGN CORPORATE BONDS (Continued)
- --------------------------------------------------------------
MEXICO (CONTINUED)
Petroleos Mexicanos
9.150%, 11/15/18................ $ 105,000 $ 98,052
-----------
395,892
-----------
UNITED KINGDOM -- 0.6%
National Westminster Bank
7.375%, 10/01/09................ 60,000 59,892
United Utilities PLC
6.875%, 08/15/28................ 90,000 76,185
-----------
136,077
-----------
VENEZUELA -- 1.1%
Cerro Negro Finance, Ltd.
7.330%, 12/01/09................ 50,000 36,514
PDVSA Finance Ltd.
6.800%, 11/15/08................ 180,000 142,362
PDVSA Finance Ltd.
7.500%, 11/15/28................ 70,000 47,921
-----------
226,797
-----------
TOTAL FOREIGN CORPORATE BONDS
(Cost: $1,565,569)............................ 1,508,352
-----------
- --------------------------------------------------------------
US TREASURY OBLIGATIONS -- 5.7%
- --------------------------------------------------------------
US TREASURY BONDS -- 5.7%
11.625%, 11/15/04................. 120,000 149,231
8.875%, 08/15/17.................. 850,000 1,064,761
-----------
TOTAL US TREASURY OBLIGATIONS
(Cost: $1,214,438)............................ 1,213,992
-----------
- --------------------------------------------------------------
AGENCY OBLIGATIONS -- 15.6%
- --------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. -- 7.6%
Gold Pool # E74572
5.500%, 01/01/14................ 181,522 171,026
Gold Pool #B00632
9.000%, 06/01/06................ 19,004 19,490
Gold Pool #E00719
5.500%, 07/01/14................ 1,484,257 1,398,438
Pool # 380032
10.000%, 10/01/03............... 20,569 21,019
-----------
1,609,973
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 1.6%
Pool # 200112
9.500%, 11/01/05................ 54,373 55,947
Pool # 273114
6.500%, 02/01/09................ 90,361 89,233
Pool # 303262
9.500%, 05/01/07................ 28,854 29,840
Pool # 303481
10.000%, 10/01/05............... 22,804 23,711
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
Pool # 303758
9.500%, 07/01/06................ $ 22,217 $ 23,139
Pool # 363503
9.500%, 06/01/05................ 27,840 28,791
Pool # E74614
5.500%, 02/01/14................ 85,466 80,524
-----------
331,185
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 6.4%
30YR To Be Announced
6.500%, 03/16/27................ 100,000 95,781
Pool # 064054
11.500%, 02/15/13............... 476 508
Pool # 299705
8.500%, 02/15/21................ 4,265 4,442
Pool # 481520
6.000%, 09/15/28................ 825,761 766,149
Pool # 497386
6.500%, 12/15/28................ 542,250 501,110
Pool # 50700
11.500%, 02/15/12............... 1,315 1,470
Pool# 68958
11.500%, 07/15/13............... 1,659 1,855
-----------
1,371,315
-----------
TOTAL AGENCY OBLIGATIONS
(Cost: $3,333,853)............................ 3,312,473
-----------
- --------------------------------------------------------------
FOREIGN GOVERNMENT BONDS -- 4.4%
- --------------------------------------------------------------
GERMANY -- 4.4%
Federal Republic Of Germany Unity
Bond
8.000%, 02/21/02................ 190,000 220,247
Federal Republic Of Germany
7.375%, 01/03/05................ 600,000 717,672
-----------
TOTAL FOREIGN GOVERNMENT BONDS
(Cost: $950,157).............................. 937,919
-----------
- --------------------------------------------------------------
CMO'S AND ASSET-BACKED SECURITIES -- 28.3%
- --------------------------------------------------------------
FINANCIAL SERVICES -- 1.1%
Captiva CBO 1997 1 144A
6.860%, 11/30/09................ 250,000 233,490
-----------
MORTGAGE-COMMERCIAL -- 22.5%
Allied Capital Commercial
Mortgage 1998 1 144A
6.710%, 12/25/04................ 190,000 181,116
ARG Funding Corp. 1999 1A A3
6.020%, 05/20/05................ 370,000 353,350
Asset Securitization Corp. 1996 D2
A1
6.920%, 02/14/29................ 185,756 183,100
Comed Transitional Funding
Trust 1998 1 A6
5.630%, 06/25/09................ 150,000 139,529
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
87
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
HIGH QUALITY BOND FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
CMO'S AND ASSET-BACKED SECURITIES (Continued)
- --------------------------------------------------------------
MORTGAGE-COMMERCIAL (CONTINUED)
Comed Transitional Funding
Trust 1998 1 A7
5.740%, 12/25/10................ $ 250,000 $ 230,900
Commercial Mortgage Acceptance
Corp. 99 C1 A2
7.030%, 05/15/09................ 450,000 443,320
Commercial Mortgage Assets 99 C1
A2
6.585%, 07/17/08................ 240,000 230,928
CRIIMI MAE Commercial Mortgage
Trust 1998 C1 A2 144A
7.000%, 03/02/11................ 180,000 153,260
DLJ Commercial Mortgage
Corp. 1998 CF1 CP
.9064%, 04/15/05................ 3,360,000 133,350
DLJ Commercial Mortgage
Corp. 1998 CFS
6.240%, 11/12/31................ 360,000 339,525
DLJ Mortgage Acceptance
Corp. 144A 1996 CF1 S
.6097%, 03/12/06................ 4,072,876 86,549
DLJ Mortgage Acceptance
Corp. 1998 A A2
6.418%, 05/28/28................ 98,935 93,648
Federal National Mortgage
Association Aces 1996 M5 Class
Xs
.5382%, 01/25/13................ 5,946,056 156,084
Federal National Mortgage
Association Aces 1997 M8 Cl X1
.6535%, 10/25/02................ 8,630,000 152,373
Global Franchise Trust 1998 A1
6.349%, 04/10/04................ 366,157 359,635
GMAC Commercial Mortgage
Securities, Inc. 1998 C2 A2
6.420%, 08/15/08................ 120,000 112,275
GS Mortgage Securities Corp. 1998
C1 A1
6.060%, 10/18/30................ 167,841 162,170
GS Mortgage Securities Corp. GLII
A2
6.562%, 04/13/31................ 230,000 221,998
JP Morgan Commercial Mortgage
Finance Corp. 1998 C6 A2
6.533%, 01/15/30................ 330,000 320,732
JP Morgan Commercial Mortgage
Finance Corp. 1999 C7 A2
6.507%, 10/15/35................ 110,000 104,410
Morgan Stanley Capital 1 1998 CF1
D
6.710%, 12/15/31................ 90,000 87,173
Morgan Stanley Capital 1 1998 XL2
A2
6.170%, 10/03/08................ 200,000 186,406
Mortgage Capital Funding,
Inc. 1998 MC3
6.001%, 11/18/31................ 134,230 128,672
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
MORTGAGE-COMMERCIAL (CONTINUED)
Nomura Asset Securities
Corp. 1998 D6 A1
6.590%, 03/17/28................ $ 140,000 $ 134,138
PP&L Transition Bond
Co. LLC 1998 1 A8
7.150%, 06/25/09................ 100,000 100,939
-----------
4,795,580
-----------
MORTGAGE-RESIDENTIAL -- 4.7%
Amresco Residential Securities
1997 3 A9
6.960%, 03/25/27................ 200,000 198,438
BankBoston Home Equity
Loan Trust 1998 A4
6.110%, 09/25/13................ 400,000 384,625
Residential Asset Securitization
Trust 1998 A5
6.750%, 06/25/28................ 330,000 316,284
Saxon Asset Securities Trust 1999
1 AF3
6.170%, 08/25/21................ 100,000 98,656
-----------
998,003
-----------
TOTAL CMO'S AND ASSET-BACKED SECURITIES
(Cost: $6,178,084)............................ 6,027,073
-----------
<CAPTION>
NUMBER
OF SHARES
- --------------------------------------------------------------
<S> <C> <C>
MUTUAL FUNDS -- 5.8%
- --------------------------------------------------------------
INVESTMENT COMPANIES -- 5.8%
Blackrock 2001 Term Trust......... 68,200 613,800
Blackrock Strategic Term Trust.... 69,000 612,375
-----------
TOTAL MUTUAL FUNDS
(Cost: $1,256,263)............................ 1,226,175
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 5.2%
- --------------------------------------------------------------
Federal National Mortgage
Association 5.262%, 10/01/99
(Cost: $1,116,839).............. $ 117,000 1,116,839
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 98.4%
(COST: $21,405,036).......................... 20,933,224
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.6%.. 341,661
-----------
NET ASSETS -- 100.0%........................... $21,274,885
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
88
<PAGE>
HIGH YIELD BOND FUND INSTITUTIONAL SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; DOUGLAS G. FORSYTH, CFA, Portfolio Manager; WILLIAM STICKNEY,
Portfolio Manager; MICHAEL P. CARROLL, Portfolio Manager; MICHAEL E. YEE,
Portfolio Manager.
GOAL: The High Yield Bond Fund seeks to deliver total return via high current
income and long-term capital appreciation from a diversified portfolio
consisting primarily of lower-rated US corporate fixed income securities
commonly referred to as "high risk bonds".
MARKET OVERVIEW: Throughout much of the six-month period ending September 30,
1999, rising long-term interest rates and the Federal Reserve Board's decisions
to raise short-term rates by 25 basis points in June and August created a
difficult environment for high yield bonds. At one point in August, the yield on
the 30-year US Treasury Bond climbed to 6.24%, its highest level since
November 1997.
Although largely unfounded, investor fears of increasing inflation also
weighed on the high yield market.
The Federal Reserve rate-hike decisions and its adoption of a tightening bias
during the period negatively affected the new issue market. In addition,
outflows from high yield mutual funds totaled close to $2 billion in the third
quarter, putting further pressure on high yield bond prices, especially
lower-quality issues.
PERFORMANCE: Despite the difficult environment, the fund posted a 2.2% gain
during the six-month period ending September 30, 1999 versus a 0.5% decline for
the CS First Boston High Yield Index.
PORTFOLIO SPECIFICS: Issue selection, especially within the technology sector,
was primarily responsible for the fund's outperformance during the period. A
lack of credit downgrades among holdings also contributed to gains.
Late in the period, holdings such as Omnipoint and Nextel benefited from
increased merger and acquisition activity within the wireless communications
industry.
Nextel provides a wide array of digital and analog wireless communications
services throughout the United States. Through wholly owned subsidiaries,
Omnipoint markets wireless communication services and is a leading developer and
supplier of wireless communication technologies, products and services.
Increasing oil prices during the period also contributed to gains among
holdings in the energy sector.
MARKET OUTLOOK: The environment for high yield bonds remains attractive given:
- robust US economic growth
- low inflation
- solid corporate earnings
Following the liquidity crisis that developed in 1998, high yield bonds
continue to trade at discounts from what we believe to be their fair values.
We continue to identify credit-worthy, growing companies with attractive high
yield issues that we believe offer significant long-term total return potential.
- --------------------------------------------------------------------------------
89
<PAGE>
HIGH YIELD BOND FUND INSTITUTIONAL SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $250,000 INVESTMENT IN HIGH YIELD BOND FUND
INSTITUTIONAL SHARES WITH THE CS FIRST BOSTON HIGH YIELD INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
9.83% As of 09/30/99 13.31%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
HIGH YIELD BOND FUND INSTITUTIONAL SHARES CS FIRST BOSTON HIGH YIELD INDEX
<S> <C> <C>
7/31/96 $250,000.00 $250,000.00
8/96 $256,780.00 $252,725.00
9/96 $265,701.85 $257,071.87
10/96 $268,926.78 $259,231.27
11/96 $273,926.48 $263,275.28
12/96 $278,313.50 $268,409.15
1/97 $283,685.20 $270,368.54
2/97 $289,776.34 $275,451.46
3/97 $284,739.55 $272,366.41
4/97 $285,969.10 $274,790.47
5/97 $298,355.30 $280,313.76
6/97 $305,704.82 $284,126.03
7/97 $315,197.53 $290,149.50
8/97 $318,278.57 $291,716.30
9/97 $331,437.95 $297,492.29
10/97 $332,536.76 $297,462.54
11/97 $336,208.54 $299,574.52
12/97 $337,881.57 $302,300.65
1/98 $349,161.58 $307,439.76
2/98 $353,473.83 $309,837.79
3/98 $357,326.30 $311,386.98
4/98 $360,502.68 $313,722.38
5/98 $361,563.77 $314,663.55
6/98 $363,444.19 $315,324.34
7/98 $366,798.21 $317,531.61
8/98 $346,503.88 $295,971.22
9/98 $338,199.43 $295,941.62
10/98 $329,808.97 $290,052.38
11/98 $349,777.75 $304,758.04
12/98 $353,159.03 $304,057.09
1/99 $361,234.10 $306,915.23
2/99 $360,705.26 $306,270.71
3/99 $363,377.04 $309,057.77
4/99 $374,002.22 $315,887.95
5/99 $369,987.45 $312,476.36
6/99 $372,229.78 $312,632.60
7/99 $374,482.50 $312,788.91
8/99 $372,185.91 $310,005.09
9/30/99 $371,448.65 $307,618.05
</TABLE>
This graph compares a $250,000 investment in the High Yield Bond Fund
Institutional Shares with the CS First Boston High Yield 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 Fund.
The total returns reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The CS First Boston High Yield Index includes over 180 US 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.
- --------------------------------------------------------------------------------
90
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
HIGH YIELD BOND FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- --------------------------------------------------------------
CORPORATE BONDS -- 83.7%
- --------------------------------------------------------------
AIRLINES -- 1.4%
Atlas Air, Inc.
9.375%, 11/15/06................ $ 60,000 $ 58,050
Trans World Airlines
11.500%, 12/15/04............... 110,000 95,425
-----------
153,475
-----------
APPAREL -- 1.6%
Perry Ellis International, Inc.
12.250%, 04/01/06............... 190,000 180,025
-----------
BEVERAGES-NON-ALCOHOLIC -- 1.6%
Triarc Consumer Beverage 144A
10.250%, 02/15/09............... 190,000 179,550
-----------
BROADCASTING -- 2.8%
CD Radio, Inc.
0.000% (until 12/01/02,
thereafter 15.000% to maturity),
12/01/07........................ 220,000 107,525
Echostar DBS Corp. 144A
9.375%, 02/01/09................ 50,000 49,313
United International Holdings
0.000% (until 02/15/03,
thereafter 10.75% to maturity),
02/15/08........................ 260,000 157,300
-----------
314,138
-----------
CASINOS/HOTELS -- 2.0%
Venetian Casino
0.000% (until 11/15/01,
thereafter 10.00% to maturity),
11/15/05........................ 100,000 76,750
Venetian Casino
12.250%, 11/15/04............... 185,000 151,238
-----------
227,988
-----------
CIRCUITS -- 1.5%
Hadco Corp.
9.500%, 05/15/08................ 175,000 166,250
-----------
COMPUTER SERVICES -- 0.6%
Globix Corp.
13.000%, 05/01/05............... 75,000 66,188
-----------
COMPUTERS -- 4.6%
Apple Computer, Inc.
6.500%, 02/15/04................ 220,000 205,150
Unisys Corp.
11.750%, 10/15/04............... 170,000 189,550
Unisys Corp.
12.000%, 04/15/03............... 110,000 119,625
-----------
514,325
-----------
DIVERSIFIED FINANCIAL SERVICES -- 4.7%
ACME Intermediate Holdings B
0.000% (until 09/30/01,
thereafter 12.000% to maturity),
09/30/05........................ 250,000 176,875
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
DIVERSIFIED FINANCIAL SERVICES (CONTINUED)
GS Escrow Corp.
6.750%, 08/01/01................ $ 110,000 $ 107,938
Resource America, Inc.
12.000%, 08/01/04............... 280,000 251,300
-----------
536,113
-----------
DRUGS/PHARMACEUTICALS -- 0.4%
Twin Laboratories, Inc.
10.250%, 05/15/06............... 40,000 42,350
-----------
ELECTRIC -- 1.3%
AES Corp.
4.500%, 08/15/05................ 150,000 150,375
-----------
ENGINEERING & CONSTRUCTION -- 0.9%
McDermott, Inc.
9.375%, 03/15/02................ 60,000 61,875
URS Corp.
12.250%, 05/01/09............... 40,000 40,050
-----------
101,925
-----------
ENTERTAINMENT -- 2.9%
Ascent Entertainment Group
0.000% (until 12/01/02,
thereafter 11.875% to maturity),
12/15/04........................ 230,000 165,888
SFX Entertainment, Inc.
9.125%, 02/01/08................ 180,000 165,150
-----------
331,038
-----------
HEALTH CARE -- 1.9%
Abbey Healthcare Group
9.500%, 11/01/02................ 220,000 219,725
-----------
INTERNET SOFTWARE -- 2.3%
Exodus Communications
11.250%, 07/01/08............... 175,000 177,625
PSInet, Inc.
10.000%, 02/15/05............... 90,000 86,175
-----------
263,800
-----------
MEDICAL SERVICES -- 1.1%
Express Scripts, Inc.
9.625% 06/15/09................. 125,000 126,563
-----------
OIL & GAS PRODUCTION -- 4.6%
Lomak Petroleum Inc.
8.750%, 01/15/07................ 250,000 230,000
Parker Drilling Co.
9.750%, 11/15/06................ 100,000 96,500
Stone Energy Corp.
8.750%, 09/15/07................ 200,000 196,500
-----------
523,000
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
91
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
HIGH YIELD BOND FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS (Continued)
- --------------------------------------------------------------
PUBLISHING -- 0.7%
American Lawyer Media
9.750%, 12/15/07................ $ 75,000 $ 73,500
-----------
REAL ESTATE -- 1.5%
Bluegreen Corp.
10.500%, 04/01/08............... 190,000 164,824
-----------
RECREATIONAL CENTERS -- 1.3%
Bally Total Fitness Holdings
9.875%, 10/15/07................ 160,000 151,200
-----------
RENTAL AUTO/EQUIPMENT -- 1.2%
United Rentals, Inc.
9.500%, 06/01/08................ 140,000 138,250
-----------
RESORTS/THEME PARKS -- 2.1%
Premier Parks, Inc.
9.750%, 06/15/07................ 250,000 241,874
-----------
RETAIL-ARTS & CRAFTS -- 1.3%
Michaels Stores, Inc.
10.875%, 06/15/06............... 140,000 147,350
-----------
RETAIL-DISCOUNT -- 1.0%
Tuesday Morning Corp.
11.000%, 12/15/07............... 104,000 107,120
-----------
RETAIL-INTERNET -- 1.3%
Amazon.com, Inc.
0.000% (until 05/01/03,
thereafter 10.000% to maturity),
05/01/08........................ 220,000 148,774
-----------
RETAIL-MUSIC STORES -- 1.6%
Musicland Stores Corp.
9.000%, 06/15/03................ 80,000 78,400
Musicland Stores Corp.
9.875%, 03/15/08................ 110,000 101,750
-----------
180,150
-----------
RETAIL-RESTAURANTS -- 1.6%
Foodmaker, Inc.
8.375%, 04/15/08................ 190,000 182,874
-----------
TELECOMMUNICATIONS EQUIPMENT -- 5.9%
Covad Communications Group
0.000% (until 03/15/03,
thereafter 13.500% to maturity),
03/15/08........................ 240,000 122,700
Global Telesystems Group, Inc.
9.875%, 02/15/05................ 190,000 181,925
Metromedia Fiber Network, Inc.
10.000%, 11/15/08............... 250,000 241,250
Northeast Optic Network
12.750%, 08/15/08............... 120,000 122,700
-----------
668,575
-----------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS -- 17.3%
Airgate PCS, Inc.
0.000% (until 10/01/04,
thereafter 13.500% to maturity),
10/01/09........................ $ 200 $ 108,500
Caprock Communications
12.000%, 07/15/08............... 80,000 79,000
Crown Castle International Corp.
0.000% (until 11/15/02,
thereafter 10.625% to maturity),
11/15/07........................ 200,000 140,750
ICG Holdings, Inc.
13.500%, 09/15/05............... 110,000 96,663
Intercel, Inc.
0.000% (until 02/01/01,
thereafter 12.00% to maturity),
02/01/06........................ 140,000 121,275
ITC Deltacom, Inc.
9.750%, 11/15/08................ 150,000 150,750
International Cabletelnote, Inc.
0.000% (until 04/15/00,
thereafter 12.750% to maturity),
04/15/05........................ 150,000 146,063
Omnipoint Corp. 144A
11.500%, 09/15/09............... 250,000 256,875
Omnipoint Corp.
11.625%, 08/15/06............... 100,000 103,250
Orbcomm Global LP
14.000%, 08/15/04............... 220,000 193,600
Pac-West Telecomm, Inc.
13.500%, 02/01/09............... 240,000 243,900
Winstar Communications, Inc.
15.000%, 03/01/07............... 270,000 320,624
-----------
1,961,250
-----------
TELEPHONE -- 5.0%
Nextlink Communications
0.000% (until 06/01/04,
thereafter 12.250% to maturity),
06/01/09........................ 150,000 86,438
Nextlink Communications
10.750%, 06/01/09............... 250,000 250,625
Viatel, Inc.
11.250%, 04/15/08............... 240,000 228,000
-----------
565,063
-----------
TELEVISION -- 3.3%
ACME Television
0.000% (until 09/30/01,
thereafter 10.875% to maturity),
09/30/04........................ 150,000 131,438
Frontiervision LP
11.000%, 10/15/06............... 100,000 107,000
Pegasus Communications Corp.
9.625%, 10/15/05................ 140,000 134,400
-----------
372,838
-----------
WIRELESS EQUIPMENT -- 2.4%
Nextel Communications
0.000% (until 09/15/02,
thereafter 10.650% to maturity),
09/15/07........................ 160,000 118,200
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
92
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS (Continued)
- --------------------------------------------------------------
WIRELESS EQUIPMENT (CONTINUED)
Nextel Communications
9.750%, 08/15/04................ $ 150,000 $ 151,125
-----------
269,325
-----------
TOTAL CORPORATE BONDS
(Cost: $9,790,185)............................ 9,469,795
-----------
- --------------------------------------------------------------
FOREIGN CORPORATE BONDS -- 8.4%
- --------------------------------------------------------------
AUSTRALIA -- 1.6%
Bulong Operations 144A
12.500%, 12/15/08............... 180,000 182,250
-----------
BERMUDA -- 1.7%
Sea Containers
12.500%, 12/01/04............... 180,000 192,600
-----------
NETHERLANDS -- 2.1%
Versatel Telecommunications
11.875%, 07/15/09............... 250,000 236,250
-----------
UNITED KINGDOM -- 3.0%
Colt Telecom Group PLC
0.000%, 12/15/06................ 230,000 190,613
Telewest Communications PLC
0.000% (until 10/01/00,
thereafter 11.000% to maturity),
10/01/07........................ 160,000 143,000
-----------
333,613
-----------
TOTAL FOREIGN CORPORATE BONDS
(Cost: $978,644).............................. 944,713
-----------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
PREFERRED STOCK -- 3.3%
- --------------------------------------------------------------
BROADCASTING -- 1.6%
Capstar Broadcasting*............. 1,590 $ 187,223
-----------
INTERNET SOFTWARE -- 1.7%
Concentric Network Corp........... 2,064 187,823
-----------
TOTAL PREFERRED STOCK
(Cost: $377,595).............................. 375,046
-----------
<CAPTION>
NUMBER
OF
WARRANTS
- --------------------------------------------------------------
<S> <C> <C>
WARRANTS -- 0.1%
- --------------------------------------------------------------
BELL Technology*
(Cost: $1,000).................. 100 12,000
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 2.4%
- --------------------------------------------------------------
Kellogg Co.
5.658%, 10/01/99
(Cost: $270,958)................ $ 271,000 270,958
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 97.9%
(Cost: $11,418,382).......................... 11,072,512
OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.1%.. 240,182
-----------
NET ASSETS -- 100.0%........................... $11,312,694
-----------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
93
<PAGE>
Nicholas-Applegate Institutional Funds
Financial Highlights
For a share outstanding during the period indicated
<TABLE>
<CAPTION>
DISTRIBUTIONS FROM:
-------------------------
NET ASSET NET NET REALIZED NET NET NET ASSET
VALUE, INVESTMENT AND UNREALIZED INVESTMENT REALIZED VALUE,
BEGINNING INCOME (LOSS) GAINS (LOSSES) INCOME CAPITAL GAINS ENDING
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
GLOBAL EQUITY FUNDS
WORLDWIDE GROWTH
For the period 5/8/99
through 9/30/99 $23.77 $(0.03) $ 1.45 $ -- $ -- $25.19
For the period 4/1/99
through 5/7/99 22.26 (0.02) 1.53 -- -- 23.77
For the year ended
3/31/99 17.90 0.67 5.16 (0.64) (0.83) 22.26
For the year ended
3/31/98 14.21 0.25 4.56 -- (1.12) 17.90
For the year ended
3/31/97 15.42 (0.12) 2.08 -- (3.17) 14.21
For the year ended
3/31/96 13.06 0.06 2.58 (0.28) -- 15.42
For the year ended
3/31/95 13.15 (0.01) (0.04) (0.04) -- 13.06
GLOBAL BLUE CHIP
For the period ended
9/30/99 $20.48 $(0.06) $ 4.74 $ -- $ -- $25.16
For the year ended
3/31/99 14.81 (0.05) 5.86 -- (0.14) 20.48
9/30/97 (commenced) to
3/31/98 12.50 -- 2.31 -- -- 14.81
GLOBAL GROWTH & INCOME
For the period ended
9/30/99 $15.21 $ 0.07 $ 1.59 $(0.04) $ -- $16.83
For the year ended
3/31/99 14.25 0.22 1.55 (0.13) (0.68) 15.21
6/30/97 (commenced) to
3/31/98 12.50 0.34 3.86 (0.34) (2.11) 14.25
GLOBAL TECHNOLOGY
For the period ended
9/30/99 $44.64 $(0.32) $23.92 $ -- $ -- $68.24
7/31/98 (commenced) to
3/31/99 12.50 (0.05) 32.19 -- -- 44.64
GLOBAL HEALTHCARE
9/1/99 (commenced) to
9/30/99 $12.50 $ -- $(0.20) $ -- $ -- $12.30
INTERNATIONAL EQUITY FUNDS
INTERNATIONAL CORE GROWTH
For the period 5/8/99
through 9/30/99 $20.61 $ 0.01 $ 1.97 $ -- $ -- $22.59
For the period 4/1/99
through 5/7/99 19.73 (0.02) 0.90 -- -- 20.61
For the year ended
3/31/99 18.55 -- 1.18 -- -- 19.73
For the year ended
3/31/98 14.13 (0.02) 5.12 -- (0.68) 18.55
12/27/96 (commenced) to
3/31/97 12.50 -- 1.63 -- -- 14.13
INTERNATIONAL SMALL CAP
GROWTH
For the period 5/8/99
through 9/30/99 $22.38 $(0.05) $ 6.13 $ -- $ -- $28.46
For the period 4/1/99
through 5/7/99 21.12 (0.01) 1.27 -- -- 22.38
For the year ended
3/31/99 18.45 0.03 3.22 -- (0.58) 21.12
For the year ended
3/31/98 17.02 (0.13) 5.50 -- (3.94) 18.45
For the year ended
3/31/97 15.05 -- 2.28 (0.08) (0.23) 17.02
For the year ended
3/31/96 13.09 0.06 2.02 (0.12) -- 15.05
For the year ended
3/31/95 13.47 0.02 (0.22) (0.06) (0.12) 13.09
EMERGING COUNTRIES
For the period 5/8/99
through 9/30/99 $15.88 $(0.03) $ 0.34 $ -- $ -- $16.19
For the period 4/1/99
through 5/7/99 13.44 (0.02) 2.46 -- -- 15.88
For the year ended
3/31/99 17.15 (0.01) (3.63) -- (0.07) 13.44
For the year ended
3/31/98 17.45 0.09 1.23 -- (1.62) 17.15
For the year ended
3/31/97 14.02 (0.06) 3.67 (0.05) (0.13) 17.45
For the year ended
3/31/96 10.91 -- 3.16 (0.05) -- 14.02
11/28/94 (commenced) to
3/31/95 12.50 0.08 (1.66) (0.01) -- 10.91
PACIFIC RIM
For the period ended
9/30/99 $12.33 $(0.06) $ 7.98 $ -- $ -- $20.25
For the year ended
3/31/99 12.66 (0.07) (0.26) -- -- 12.33
12/31/97 (commenced) to
3/31/98 12.50 0.02 0.14 -- -- 12.66
LATIN AMERICA
For the period ended
9/30/99 $11.56 $ 0.03 $(0.12) $ -- $ -- $11.47
For the year ended
3/31/99 13.92 0.06 (2.27) (0.15) -- 11.56
11/28/97 (commenced) to
3/31/98 12.50 0.15 1.27 -- -- 13.92
</TABLE>
- ----------------------------------
(1) Total returns are not annualized for periods less than one year.
(2) Ratios are annualized for periods of less than one year. Expense
reimbursements reflect voluntary reductions to total expenses, as discussed
in the notes to financial statements. Such amounts would decrease net
investment income (loss) ratios had such reductions not occurred.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
94
<PAGE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS (2)
--------------------------------------------------- FUND'S
NET PORTFOLIO NET ASSETS,
TOTAL INVESTMENT TOTAL EXPENSE NET TURNOVER ENDING
RETURN (1) INCOME (LOSS) EXPENSES REIMBURSEMENTS EXPENSES RATE (IN 000'S)
<S> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
GLOBAL EQUITY FUNDS
WORLDWIDE GROWTH
For the period 5/8/99
through 9/30/99 5.97% (0.35%) 1.38% (0.03%) 1.35% 57% $140,537
For the period 4/1/99
through 5/7/99 6.78% (0.84%) 1.29% (0.00%) 1.29% 21% 108,457
For the year ended
3/31/99 34.28% 0.19% 1.51% (0.17%) 1.34% 247% 74,523
For the year ended
3/31/98 35.08% (0.31%) 1.87% (0.51%) 1.36% 202% 11,686
For the year ended
3/31/97 13.18% (0.43%) 3.05% (1.70%) 1.35% 182% 2,656
For the year ended
3/31/96 20.37% 0.20% 2.60% (1.25%) 1.35% 132% 3,613
For the year ended
3/31/95 (0.34%) 0.05% 2.50% (1.15%) 1.35% 99% 4,087
GLOBAL BLUE CHIP
For the period ended
9/30/99 22.85% (0.54%) 1.68% (0.48%) 1.20% 170% $ 13,056
For the year ended
3/31/99 39.55% (0.31%) 3.14% (1.81%) 1.33% 419% 10,414
9/30/97 (commenced) to
3/31/98 18.48% (0.06%) 2.14% (0.94%) 1.20% 238% 7,320
GLOBAL GROWTH & INCOME
For the period ended
9/30/99 10.94% 0.87% 2.19% (0.84%) 1.35% 148% $ 6,115
For the year ended
3/31/99 13.13% 1.64% 4.37% (2.96%) 1.41% 328% 5,589
6/30/97 (commenced) to
3/31/98 36.25% 7.13% 2.45% (1.09%) 1.36% 413% 6,065
GLOBAL TECHNOLOGY
For the period ended
9/30/99 52.83% (1.19%) 1.39% 0.01% 1.40% 189% $ 62,699
7/31/98 (commenced) to
3/31/99 257.20% (0.84%) 4.12% (2.69%) 1.43% 254% 24,094
GLOBAL HEALTHCARE
9/1/99 (commenced) to
9/30/99 (1.60%) (0.35%) 2.11% (0.60%) 1.51% 64% $ 11,709
INTERNATIONAL EQUITY FUNDS
INTERNATIONAL CORE GROWTH
For the period 5/8/99
through 9/30/99 9.61% 0.10% 1.44% (0.04%) 1.40% 78% $156,866
For the period 4/1/99
through 5/7/99 4.46% (0.97%) 1.39% (0.00%) 1.39% 30% 117,365
For the year ended
3/31/99 6.43% (0.01%) 1.59% (0.24%) 1.35% 214% 107,890
For the year ended
3/31/98 36.91% (0.12%) 1.92% (0.51%) 1.41% 274% 32,305
12/27/96 (commenced) to
3/31/97 13.04% 0.43% 3.14% (1.74%) 1.40% 76% 4,593
INTERNATIONAL SMALL CAP
GROWTH
For the period 5/8/99
through 9/30/99 27.17% (0.46%) 1.53% (0.13%) 1.40% 52% $ 97,919
For the period 4/1/99
through 5/7/99 5.97% (0.37%) 1.39% (0.00%) 1.39% 23% 71,738
For the year ended
3/31/99 17.97% (0.30%) 1.53% (0.15%) 1.38% 146% 69,077
For the year ended
3/31/98 37.02% (0.91%) 1.94% (0.53%) 1.41% 198% 42,851
For the year ended
3/31/97 15.25% (0.38%) 1.68% (0.28%) 1.40% 206% 48,505
For the year ended
3/31/96 15.99% 0.34% 2.44% (1.04%) 1.40% 141% 20,245
For the year ended
3/31/95 (1.54%) 0.19% 1.92% (0.52%) 1.40% 75% 16,924
EMERGING COUNTRIES
For the period 5/8/99
through 9/30/99 1.95% 0.45% 1.87% (0.22%) 1.65% 69% $186,703
For the period 4/1/99
through 5/7/99 18.07% (1.22%) 1.64% (0.00%) 1.64% 34% 178,902
For the year ended
3/31/99 (21.22%) 0.11% 1.97% (0.30%) 1.67% 213% 140,318
For the year ended
3/31/98 8.77% 1.15% 2.02% (0.36%) 1.66% 243% 88,063
For the year ended
3/31/97 25.48% (0.52%) 1.87% (0.22%) 1.65% 176% 56,918
For the year ended
3/31/96 29.06% 0.29% 3.59% (1.94%) 1.65% 118% 6,878
11/28/94 (commenced) to
3/31/95 (12.64%) 1.73% 2.14% (0.49%) 1.65% 61% 2,021
PACIFIC RIM
For the period ended
9/30/99 (64.37%) (0.72%) 5.26% (3.86%) 1.40% 111% $ 2,957
For the year ended
3/31/99 (2.69%) (0.67%) 14.68% (13.11%) 1.57% 450% 1,099
12/31/97 (commenced) to
3/31/98 1.28% 0.74% 4.50% (3.10%) 1.40% 86% 1,197
LATIN AMERICA
For the period ended
9/30/99 (0.78%) 0.45% 3.45% (1.80%) 1.65% 221% $ 2,831
For the year ended
3/31/99 (15.78%) 0.95% 14.61% (12.97%) 1.64% 575% 1,774
11/28/97 (commenced) to
3/31/98 11.14% 3.33% 5.20% (3.55%) 1.65% 188% 1,184
</TABLE>
- ----------------------------------
(1) Total returns are not annualized for periods less than one year.
(2) Ratios are annualized for periods of less than one year. Expense
reimbursements reflect voluntary reductions to total expenses, as discussed
in the notes to financial statements. Such amounts would decrease net
investment income (loss) ratios had such reductions not occurred.
- --------------------------------------------------------------------------------
95
<PAGE>
Nicholas-Applegate Institutional Funds
Financial Highlights -- Continued
For a share outstanding during the period indicated
<TABLE>
<CAPTION>
DISTRIBUTIONS FROM:
-------------------------
NET ASSET NET NET REALIZED NET NET NET ASSET
VALUE, INVESTMENT AND UNREALIZED INVESTMENT REALIZED VALUE,
BEGINNING INCOME (LOSS) GAINS (LOSSES) INCOME CAPITAL GAINS ENDING
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
U.S. EQUITY FUNDS
LARGE CAP GROWTH
For the period 5/8/99
through 9/30/99 $29.18 $(0.04) $ 0.54 $ -- $ -- $29.68
For the period 4/1/99
through 5/7/99 26.89 (0.01) 2.30 -- -- 29.18
For the year ended
3/31/99 16.50 0.01 10.53 -- (0.15) 26.89
For the year ended
3/31/98 13.00 (0.02) 7.55 -- (4.03) 16.50
12/27/96 (commenced) to
3/31/97 12.50 -- 0.50 -- -- 13.00
MID CAP GROWTH
For the period 5/8/99
through 9/30/99 $19.44 $(0.04) $ 1.15 $ -- $ -- $20.55
For the period 4/1/99
through 5/7/99 19.17 (0.01) 0.28 -- -- 19.44
For the year ended
3/31/99 17.16 (0.10) 2.76 -- (0.65) 19.17
For the year ended
3/31/98 15.39 (0.07) 6.00 -- (4.16) 17.16
For the year ended
3/31/97 16.26 (0.08) 0.49 -- (1.28) 15.39
For the year ended
3/31/96 12.62 (0.03) 4.47 -- (0.80) 16.26
For the year ended
3/31/95 12.68 (0.01) 0.38 -- (0.43) 12.62
SMALL CAP GROWTH
For the period 5/8/99
through 9/30/99 $14.02 $(0.05) $ 1.89 $ -- $ -- $15.86
For the period 4/1/99
through 5/7/99 13.53 (0.01) 0.50 -- -- 14.02
For the year ended
3/31/99 14.17 (0.14) 0.17 -- (0.67) 13.53
For the year ended
3/31/98 11.06 (0.03) 5.10 -- (1.96) 14.17
For the year ended
3/31/97 15.10 (0.08) (0.31) -- (3.65) 11.06
For the year ended
3/31/96 11.58 (0.11) 4.45 -- (0.82) 15.10
For the year ended
3/31/95 11.38 (0.05) 0.95 -- (0.70) 11.58
MINI CAP GROWTH
For the period ended
9/30/99 $20.24 $(0.19) $ 4.53 $ -- $ -- $24.58
For the year ended
3/31/99 25.05 (0.42) (3.05) -- (1.34) 20.24
For the year ended
3/31/98 15.94 (0.17) 10.93 -- (1.65) 25.05
For the year ended
3/31/97 15.85 (0.17) 0.84 -- (0.58) 15.94
7/12/95 (commenced) to
3/31/96 12.50 (0.05) 3.40 -- -- 15.85
VALUE
For the period 5/8/99
through 9/30/99 $22.99 $ 0.01 $(2.31) $ -- $ -- $20.69
For the period 4/1/99
through 5/7/99 20.90 (0.01) 2.10 -- -- 22.99
For the year ended
3/31/99 21.90 0.13 0.80 (0.12) (1.81) 20.90
For the year ended
3/31/98 15.06 -- 8.27 -- (1.43) 21.90
4/30/96 (commenced) to
3/31/97 12.50 1.50 3.11 (1.44) (0.61) 15.06
CONVERTIBLE
For the period 5/8/99
through 9/30/99 $22.21 $ 0.20 $ 0.06 $(0.19) $ -- $22.28
For the period 4/1/99
through 5/7/99 21.53 0.05 0.63 -- -- 22.21
For the year ended
3/31/99 18.64 0.50 3.11 (0.54) (0.18) 21.53
For the year ended
3/31/98 14.97 0.47 4.20 (0.47) (0.53) 18.64
For the year ended
3/31/97 14.45 0.51 1.51 (0.52) (0.98) 14.97
For the year ended
3/31/96 11.86 0.53 2.59 (0.53) -- 14.45
For the year ended
3/31/95 13.39 0.54 (0.85) (0.54) (0.68) 11.86
U.S. FIXED INCOME FUNDS
SHORT INTERMEDIATE
For the period ended
9/30/99 $12.72 $ 0.40 $(0.20) $(0.41) $ -- $12.51
For the year ended
3/31/99 12.76 0.79 (0.04) (0.79) -- 12.72
For the year ended
3/31/98 12.66 0.83 0.10 (0.83) -- 12.76
For the year ended
3/31/97 12.79 0.79 (0.13) (0.79) -- 12.66
8/31/95 (commenced) to
3/31/96 12.50 0.37 0.29 (0.37) -- 12.79
HIGH QUALITY BOND
For the period 5/8/99
through 9/30/99 $12.66 $ 0.32 $(0.46) $(0.32) $ -- $12.20
For the period 4/1/99
through 5/7/99 12.71 0.08 (0.05) (0.08) -- 12.66
For the year ended
3/31/99 13.10 0.83 (0.05) (0.78) (0.39) 12.71
For the year ended
3/31/98 12.54 0.84 0.70 (0.84) (0.14) 13.10
For the year ended
3/31/97 12.72 0.79 (0.17) (0.80) -- 12.54
8/31/95 (commenced) to
3/31/96 12.50 0.45 0.47 (0.44) (0.26) 12.72
HIGH YIELD BOND
For the period 5/8/99
through 9/30/99 $12.58 $ 0.49 $ 0.03 $(1.05) $ -- $12.05
For the period 4/1/99
through 5/7/99 12.37 0.13 0.18 (0.10) -- 12.58
For the year ended
3/31/99 13.46 1.25 (1.06) (1.28) -- 12.37
For the year ended
3/31/98 13.20 1.11 2.02 (1.15) (1.72) 13.46
7/31/96 (commenced) to
3/31/97 12.50 0.74 0.95 (0.73) (0.26) 13.20
</TABLE>
- ----------------------------------------
(1) Total returns are not annualized for periods less than one year.
(2) Ratios are annualized for periods of less than one year. Expense
reimbursements reflect voluntary reductions to total expenses, as discussed
in the notes to financial statements. Such amounts would decrease net
investment income (loss) ratios had such reductions not occurred.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
96
<PAGE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS (2)
--------------------------------------------------- FUND'S
NET PORTFOLIO NET ASSETS,
TOTAL INVESTMENT TOTAL EXPENSE NET TURNOVER ENDING
RETURN (1) INCOME (LOSS) EXPENSES REIMBURSEMENTS EXPENSES RATE (IN 000'S)
<S> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
U.S. EQUITY FUNDS
LARGE CAP GROWTH
For the period 5/8/99
through 9/30/99 1.71% (0.36%) 1.18% (0.18%) 1.00% 59% $ 9,469
For the period 4/1/99
through 5/7/99 8.52% (0.40%) 0.98% (0.00%) 0.98% 18% 6,043
For the year ended
3/31/99 64.28% (0.01%) 1.63% (0.65%) 0.98% 253% 5,940
For the year ended
3/31/98 63.32% (0.17%) 3.67% (2.66%) 1.01% 306% 2,556
12/27/96 (commenced) to
3/31/97 4.00% (0.06%) 4.99% (3.99%) 1.00% 321% 1,293
MID CAP GROWTH
For the period 5/8/99
through 9/30/99 5.71% (0.52%) 1.16% (0.16%) 1.00% 46% $132,546
For the period 4/1/99
through 5/7/99 1.41% (0.70%) 0.99% (0.00%) 0.99% 25% 128,710
For the year ended
3/31/99 16.09% (0.44%) 1.04% (0.08%) 0.96% 154% 165,014
For the year ended
3/31/98 42.49% (0.72%) 1.19% (0.22%) 0.97% 200% 169,412
For the year ended
3/31/97 1.74% (0.45%) 1.02% (0.02%) 1.00% 153% 156,443
For the year ended
3/31/96 35.81% (0.32%) 1.06% (0.08%) 0.98% 114% 149,969
For the year ended
3/31/95 3.30% (0.06%) 1.07% (0.08%) 0.99% 98% 72,826
SMALL CAP GROWTH
For the period 5/8/99
through 9/30/99 13.12% (0.78%) 1.36% (0.19%) 1.17% 22% $177,735
For the period 4/1/99
through 5/7/99 3.70% (0.87%) 1.17% (0.00%) 1.17% 18% 197,120
For the year ended
3/31/99 1.03% (0.71%) 1.35% (0.10%) 1.25% 90% 213,149
For the year ended
3/31/98 47.38% (1.16%) 1.44% (0.25%) 1.19% 92% 257,599
For the year ended
3/31/97 (5.66%) (0.72%) 1.26% (0.09%) 1.17% 113% 167,230
For the year ended
3/31/96 38.27% (0.62%) 1.20% (0.04%) 1.16% 130% 224,077
For the year ended
3/31/95 8.69% (0.58%) 1.24% (0.06%) 1.18% 100% 206,696
MINI CAP GROWTH
For the period ended
9/30/99 20.14% (1.29%) 1.65% (0.09%) 1.56% 68% $ 61,310
For the year ended
3/31/99 (13.78%) (1.18%) 1.70% (0.11%) 1.59% 115% 53,593
For the year ended
3/31/98 68.89% (2.51%) 1.83% (0.26%) 1.57% 113% 82,122
For the year ended
3/31/97 3.90% (1.08%) 1.99% (0.43%) 1.56% 164% 28,712
7/12/95 (commenced) to
3/31/96 26.80% (0.98%) 2.46% (0.91%) 1.55% 107% 25,237
VALUE
For the period 5/8/99
through 9/30/99 (10.00%) 0.92% 1.10% (0.10%) 1.00% 46% $ 29,177
For the period 4/1/99
through 5/7/99 10.00% 0.45% 2.48% (1.50%) 0.98% 7% 27,818
For the year ended
3/31/99 4.43% 0.87% 2.11% (1.12%) 0.99% 147% 15,322
For the year ended
3/31/98 57.78% 2.33% 2.46% (1.45%) 1.01% 55% 10,260
4/30/96 (commenced) to
3/31/97 26.77% 1.64% 3.34% (2.34%) 1.00% 139% 3,062
CONVERTIBLE
For the period 5/8/99
through 9/30/99 1.23% 2.14% 1.26% (0.26%) 1.00% 27% $ 40,793
For the period 4/1/99
through 5/7/99 3.16% 2.15% 0.99% (0.00%) 0.99% 11% 90,843
For the year ended
3/31/99 19.93% 2.67% 1.07% (0.11%) 0.96% 138% 88,590
For the year ended
3/31/98 31.78% 6.25% 1.20% (0.23%) 0.97% 160% 80,084
For the year ended
3/31/97 14.37% 3.43% 1.37% (0.37%) 1.00% 167% 18,344
For the year ended
3/31/96 26.69% 3.88% 1.53% (0.53%) 1.00% 145% 17,239
For the year ended
3/31/95 (2.02%) 4.28% 1.48% (0.48%) 1.00% 126% 12,506
U.S. FIXED INCOME FUNDS
SHORT INTERMEDIATE
For the period ended
9/30/99 1.58% 6.12% 0.75% (0.40%) 0.35% 70% $ 18,230
For the year ended
3/31/99 6.02% 6.11% 1.34% (1.00%) 0.34% 104% 18,467
For the year ended
3/31/98 7.50% 13.03% 1.51% (1.15%) 0.36% 197% 13,535
For the year ended
3/31/97 5.30% 6.18% 2.86% (2.51%) 0.35% 132% 5,364
8/31/95 (commenced) to
3/31/96 5.33% 5.81% 3.17% (2.82%) 0.35% 114% 4,726
HIGH QUALITY BOND
For the period 5/8/99
through 9/30/99 (1.10%) 6.54% 1.00% (0.55%) 0.45% 83% $ 18,523
For the period 4/1/99
through 5/7/99 0.26% 6.45% 0.39% (0.00%) 0.39% 22% 18,187
For the year ended
3/31/99 6.14% 6.41% 1.15% (0.72%) 0.43% 274% 15,735
For the year ended
3/31/98 12.60% 12.80% 1.64% (1.18%) 0.46% 407% 15,759
For the year ended
3/31/97 4.98% 6.12% 3.74% (3.29%) 0.45% 190% 15,865
8/31/95 (commenced) to
3/31/96 5.49% 6.39% 6.45% (6.00%) 0.45% 60% 4,413
HIGH YIELD BOND
For the period 5/8/99
through 9/30/99 (0.52%) 9.96% 1.13% (0.38%) 0.75% 32% $ 11,313
For the period 4/1/99
through 5/7/99 2.75% 10.66% 0.58% (0.02%) 0.56% 25% 11,412
For the year ended
3/31/99 1.69% 9.79% 1.09% (0.41%) 0.68% 242% 11,319
For the year ended
3/31/98 25.49% 8.28% 2.66% (1.90%) 0.76% 484% 10,771
7/31/96 (commenced) to
3/31/97 13.90% 8.47% 1.95% (1.20%) 0.75% 465% 4,608
</TABLE>
- ----------------------------------------
(1) Total returns are not annualized for periods less than one year.
(2) Ratios are annualized for periods of less than one year. Expense
reimbursements reflect voluntary reductions to total expenses, as discussed
in the notes to financial statements. Such amounts would decrease net
investment income (loss) ratios had such reductions not occurred.
- --------------------------------------------------------------------------------
97
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
GLOBAL
WORLDWIDE GLOBAL GROWTH & GLOBAL
GROWTH BLUE CHIP INCOME TECHNOLOGY
<S> <C> <C> <C> <C>
ASSETS
Investments, at value* $141,006,716 $13,209,056 $5,966,597 $65,406,703
Foreign currencies, at
value** 154,388 -- -- --
Cash 224 -- 25,027 357,358
Receivables:
Investment securities
sold 10,418,272 1,216,788 529,107 7,147,846
Capital shares sold 1,528 28,210 553 24,311
Dividends 120,568 14,217 9,915 11,545
Interest -- -- 10,457 --
Securities lending -- -- -- --
From investment advisor 5,410 -- 70,753 --
Unrealized gain on
forward currency
contracts -- -- -- --
Other assets 803 183 -- 217
------------ ----------- ---------- -----------
Total Assets 151,707,909 14,468,454 6,612,409 72,947,980
------------ ----------- ---------- -----------
LIABILITIES
Payables:
Bank overdraft $ -- $ 6,162 $ -- $ --
Investments purchased 10,891,881 1,382,057 443,293 10,144,181
Capital shares
purchased 19,624 16,310 -- --
Dividends -- -- -- --
To investment advisor -- 335 -- 12,384
Unrealized loss on
forward currency
contracts -- -- 2,924 --
Other liabilities 259,608 7,303 51,177 92,204
------------ ----------- ---------- -----------
Total Liabilities 11,171,113 1,412,167 497,394 10,248,769
------------ ----------- ---------- -----------
NET ASSETS $140,536,796 $13,056,287 $6,115,015 $62,699,211
------------ ----------- ---------- -----------
------------ ----------- ---------- -----------
* Investments, at cost $128,979,673 $10,942,399 $5,400,897 $52,490,342
------------ ----------- ---------- -----------
------------ ----------- ---------- -----------
** Foreign currencies,
at cost $ 153,650 $ -- $ (5) $ --
------------ ----------- ---------- -----------
------------ ----------- ---------- -----------
NET ASSETS CONSIST OF:
Paid-in capital $133,417,061 $ 6,898,950 $4,695,781 $36,207,881
Undistributed net
investment income
(loss) (177,786) (58,175) 42,640 (275,691)
Accumulated net realized
gain (loss) on
investments and foreign
currencies (4,740,164) 3,949,844 813,644 13,850,398
Net unrealized
appreciation
(depreciation) of
investments and of
other assets and
liabilities denominated
in foreign currencies 12,037,685 2,265,668 562,950 12,916,623
------------ ----------- ---------- -----------
Net assets applicable to
all shares outstanding $140,536,796 $13,056,287 $6,115,015 $62,699,211
------------ ----------- ---------- -----------
------------ ----------- ---------- -----------
Net Assets of
Institutional Shares $140,536,796 $13,056,287 $6,115,015 $62,699,211
Net Assets of Retirement
Shares NA NA NA NA
------------ ----------- ---------- -----------
------------ ----------- ---------- -----------
Institutional Shares
outstanding 5,579,474 518,974 363,301 918,848
Retirement Shares
outstanding NA NA NA NA
------------ ----------- ---------- -----------
------------ ----------- ---------- -----------
Net Asset Value --
Institutional Share $ 25.19 $ 25.16 $ 16.83 $ 68.24
Net Asset Value --
Retirement Share NA NA NA NA
------------ ----------- ---------- -----------
------------ ----------- ---------- -----------
</TABLE>
- ----------------------------------
(1) Commenced operations on 9/1/99.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
98
<PAGE>
<TABLE>
<CAPTION>
INTERNATIONAL
GLOBAL INTERNATIONAL SMALL CAP EMERGING PACIFIC
HEALTH CARE(1) CORE GROWTH GROWTH COUNTRIES RIM
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value* $11,717,682 $168,375,410 $98,304,753 $188,266,786 $2,943,841
Foreign currencies, at
value** -- 825,782 -- 3,364,588 12,837
Cash 755 8,650 -- -- 41,755
Receivables:
Investment securities
sold 957,093 32,359,794 9,970,482 9,346,425 65,073
Capital shares sold 1,670 313,698 304,557 77,585 15,756
Dividends 2,217 208,675 92,042 304,532 3,618
Interest -- -- 3,679 185 --
Securities lending -- -- -- -- --
From investment advisor 5,144 2,356 9,446 30,556 12,063
Unrealized gain on
forward currency
contracts -- -- -- -- --
Other assets 173 668 280 723 2,561
----------- ------------ ----------- ------------ ----------
Total Assets 12,684,734 202,095,033 108,685,239 201,391,380 3,097,504
----------- ------------ ----------- ------------ ----------
LIABILITIES
Payables:
Bank overdraft $ -- $ -- $ 103,618 $ 2,078,302 $ --
Investments purchased 958,535 41,582,539 10,416,054 11,994,447 132,515
Capital shares
purchased -- 236,619 9,283 27,367 6,994
Dividends -- -- -- -- --
To investment advisor -- -- -- -- --
Unrealized loss on
forward currency
contracts -- -- -- -- --
Other liabilities 16,896 307,125 237,246 587,729 1,181
----------- ------------ ----------- ------------ ----------
Total Liabilities 975,431 42,126,283 10,766,201 14,687,845 140,690
----------- ------------ ----------- ------------ ----------
NET ASSETS $11,709,303 $159,968,750 $97,919,038 $186,703,535 $2,956,814
----------- ------------ ----------- ------------ ----------
----------- ------------ ----------- ------------ ----------
* Investments, at cost $11,911,391 $152,684,732 $77,186,284 $174,314,842 $2,324,611
----------- ------------ ----------- ------------ ----------
----------- ------------ ----------- ------------ ----------
** Foreign currencies,
at cost $ -- $ 823,154 $ (101,613) $ 3,314,419 $ 12,446
----------- ------------ ----------- ------------ ----------
----------- ------------ ----------- ------------ ----------
NET ASSETS CONSIST OF:
Paid-in capital $12,016,740 $148,527,962 $77,305,441 $183,392,544 $2,118,731
Undistributed net
investment income
(loss) (2,958) 48,922 (156,361) (336,425) (12,234)
Accumulated net realized
gain (loss) on
investments and foreign
currencies (110,769) (4,269,638) (321,906) (10,367,109) 230,236
Net unrealized
appreciation
(depreciation) of
investments and of
other assets and
liabilities denominated
in foreign currencies (193,710) 15,661,504 21,091,864 14,014,525 620,081
----------- ------------ ----------- ------------ ----------
Net assets applicable to
all shares outstanding $11,709,303 $159,968,750 $97,919,038 $186,703,535 $2,956,814
----------- ------------ ----------- ------------ ----------
----------- ------------ ----------- ------------ ----------
Net Assets of
Institutional Shares $11,709,303 $156,865,545 $97,919,038 $186,703,077 $2,956,814
Net Assets of Retirement
Shares NA $ 3,103,205 NA $ 458 NA
----------- ------------ ----------- ------------ ----------
----------- ------------ ----------- ------------ ----------
Institutional Shares
outstanding 951,964 6,944,859 3,440,045 11,532,263 145,981
Retirement Shares
outstanding NA 137,488 NA 28 NA
----------- ------------ ----------- ------------ ----------
----------- ------------ ----------- ------------ ----------
Net Asset Value --
Institutional Share $ 12.30 $ 22.59 $ 28.46 $ 16.19 $ 20.25
Net Asset Value --
Retirement Share NA $ 22.57 NA $ 16.20 NA
----------- ------------ ----------- ------------ ----------
----------- ------------ ----------- ------------ ----------
</TABLE>
- ----------------------------------
(1) Commenced operations on 9/1/99.
- --------------------------------------------------------------------------------
99
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
STATEMENT OF ASSETS AND LIABILITIES -- CONTINUED
SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
LATIN LARGE CAP MID CAP SMALL CAP MINI CAP
AMERICA GROWTH GROWTH GROWTH GROWTH
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value* $2,806,577 $33,334,283 $133,438,429 $180,722,722 $61,530,598
Foreign currencies, at
value** -- -- -- -- --
Cash -- 860 758 129,544 1,553,405
Receivables:
Investment securities
sold 218,032 1,689,911 4,265,333 14,259,142 650,087
Capital shares sold -- 81,985 23,935 25,922 81,536
Dividends 10,293 9,414 21,087 40,009 2,924
Interest -- -- -- -- 208
Securities lending -- -- -- -- --
From investment advisor 22,892 4,240 17,897 34,398 9,959
Unrealized gain on
forward currency
contracts -- -- -- -- --
Other assets 2,786 80 487 742 8,644
---------- ----------- ------------ ------------ -----------
Total Assets 3,060,580 35,120,773 137,767,926 195,212,479 63,837,361
---------- ----------- ------------ ------------ -----------
LIABILITIES
Payables:
Bank overdraft $ 1,475 $ -- $ -- $ -- $ --
Investments purchased 218,966 1,974,322 4,949,572 14,615,541 1,928,547
Capital shares
purchased 10 -- 26,392 4,379 443,600
Dividends -- -- -- -- --
To investment advisor -- -- -- -- --
Unrealized loss on
forward currency
contracts -- -- -- -- --
Other liabilities 8,906 53,934 245,046 357,961 155,711
---------- ----------- ------------ ------------ -----------
Total Liabilities 229,357 2,028,256 5,221,010 14,977,881 2,527,858
---------- ----------- ------------ ------------ -----------
NET ASSETS $2,831,223 $33,092,517 $132,546,916 $180,234,598 $61,309,503
---------- ----------- ------------ ------------ -----------
---------- ----------- ------------ ------------ -----------
* Investments, at cost $2,674,255 $31,209,851 $115,195,054 $158,856,659 $45,691,883
---------- ----------- ------------ ------------ -----------
---------- ----------- ------------ ------------ -----------
** Foreign currencies,
at cost $ (7) $ -- $ -- $ -- $ --
---------- ----------- ------------ ------------ -----------
---------- ----------- ------------ ------------ -----------
NET ASSETS CONSIST OF:
Paid-in capital $3,064,687 $31,971,803 $125,153,432 $154,077,801 $34,478,914
Undistributed net
investment income
(loss) 16,215 (60,535) (275,529) (601,634) (2,541,023)
Accumulated net realized
gain (loss) on
investments and foreign
currencies (381,143) (943,184) (10,574,363) 4,892,368 13,532,896
Net unrealized
appreciation
(depreciation) of
investments and of
other assets and
liabilities denominated
in foreign currencies 131,464 2,124,433 18,243,376 21,866,063 15,838,716
---------- ----------- ------------ ------------ -----------
Net assets applicable to
all shares outstanding $2,831,223 $33,092,517 $132,546,916 $180,234,598 $61,309,503
---------- ----------- ------------ ------------ -----------
---------- ----------- ------------ ------------ -----------
Net Assets of
Institutional Shares $2,831,223 $ 9,469,313 $132,546,447 $177,734,778 $61,309,503
Net Assets of Retirement
Shares NA $23,623,204 $ 469 $ 2,499,820 NA
---------- ----------- ------------ ------------ -----------
---------- ----------- ------------ ------------ -----------
Institutional Shares
outstanding 246,753 319,024 6,450,051 11,207,487 2,493,812
Retirement Shares
outstanding NA 796,177 23 157,771 NA
---------- ----------- ------------ ------------ -----------
---------- ----------- ------------ ------------ -----------
Net Asset Value --
Institutional Share $ 11.47 $ 29.68 $ 20.55 $ 15.86 $ 24.58
Net Asset Value --
Retirement Share NA $ 29.67 $ 20.55 $ 15.84 NA
---------- ----------- ------------ ------------ -----------
---------- ----------- ------------ ------------ -----------
</TABLE>
- ----------------------------------
(1) Commenced operations on 9/1/99.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
100
<PAGE>
<TABLE>
<CAPTION>
SHORT HIGH QUALITY HIGH YIELD
VALUE CONVERTIBLE INTERMEDIATE BOND BOND
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value* $37,111,987 $40,131,143 $18,026,268 $20,933,224 $11,072,512
Foreign currencies, at
value** -- -- -- -- --
Cash 40,758 1,128,000 -- -- --
Receivables:
Investment securities
sold 595,089 668,206 951,000 1,862,156 1,248,168
Capital shares sold 37,986 4,177 -- 25,993 376
Dividends 81,343 8,375 5,461 5,002 --
Interest -- 162,687 208,631 263,142 258,919
Securities lending -- -- -- -- --
From investment advisor 5,242 10,854 12,507 9,897 4,644
Unrealized gain on
forward currency
contracts -- -- -- 3,193 --
Other assets 69 6,459 3,941 1,538 41
----------- ----------- ----------- ----------- -----------
Total Assets 37,872,474 42,119,901 19,207,808 23,104,145 12,584,660
----------- ----------- ----------- ----------- -----------
LIABILITIES
Payables:
Bank overdraft $ -- $ 45,998 $ 3,523 $ 1,795 $ 2,181
Investments purchased 644,901 1,142,021 952,862 1,770,744 1,202,109
Capital shares
purchased 2,233 8,368 -- 12,138 379
Dividends -- 24,028 -- 131 42,887
To investment advisor -- -- -- -- --
Unrealized loss on
forward currency
contracts -- -- 4,138 -- --
Other liabilities 57,651 106,231 17,741 44,452 24,410
----------- ----------- ----------- ----------- -----------
Total Liabilities 704,785 1,326,646 978,264 1,829,260 1,271,966
----------- ----------- ----------- ----------- -----------
NET ASSETS $37,167,689 $40,793,255 $18,229,544 $21,274,885 $11,312,694
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
* Investments, at cost $40,685,279 $38,374,178 $18,230,282 $21,405,036 $11,418,382
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
** Foreign currencies,
at cost $ -- $ -- $ 1 $ (32) $ --
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
NET ASSETS CONSIST OF:
Paid-in capital $40,891,945 $39,976,397 $18,602,550 $22,016,130 $11,794,088
Undistributed net
investment income
(loss) 124,319 27,342 1,424 (8,261) 22,895
Accumulated net realized
gain (loss) on
investments and foreign
currencies (275,283) (967,485) (166,691) (264,942) (158,419)
Net unrealized
appreciation
(depreciation) of
investments and of
other assets and
liabilities denominated
in foreign currencies (3,573,292) 1,757,001 (207,739) (468,042) (345,870)
----------- ----------- ----------- ----------- -----------
Net assets applicable to
all shares outstanding $37,167,689 $40,793,255 $18,229,544 $21,274,885 $11,312,694
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
Net Assets of
Institutional Shares $29,177,489 $40,793,255 $18,229,544 $18,522,799 $11,312,694
Net Assets of Retirement
Shares $ 7,990,200 NA NA $ 2,752,086 NA
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
Institutional Shares
outstanding 1,410,020 1,831,294 1,457,564 1,517,836 938,834
Retirement Shares
outstanding 386,337 NA NA 225,357 NA
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
Net Asset Value --
Institutional Share $ 20.69 $ 22.28 $ 12.51 $ 12.20 $ 12.05
Net Asset Value --
Retirement Share $ 20.68 NA NA $ 12.21 NA
----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- -----------
</TABLE>
- ----------------------------------
(1) Commenced operations on 9/1/99.
- --------------------------------------------------------------------------------
101
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
STATEMENT OF OPERATIONS
PERIOD ENDED SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
GLOBAL
WORLDWIDE GLOBAL GROWTH & GLOBAL GLOBAL
GROWTH BLUE CHIP INCOME TECHNOLOGY HEALTH CARE(1)
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign
taxes $ 382,409 $ 53,434 $ 31,935 $ 21,191 $ 2,218
Interest 106,178 (15,633) 32,780 23,912 7,743
Securities lending 16,586 1,269 238 -- --
----------- ---------- --------- ----------- ---------
Total Income 505,173 39,070 64,953 45,103 9,961
----------- ---------- --------- ----------- ---------
EXPENSES
Advisory fee 506,048 47,115 24,117 211,756 8,582
Accounting and
administration fees 33,068 6,610 10,311 21,771 479
Custodian fees 64,561 19,791 17,722 16,107 4,930
Transfer agent fees and
expenses 10,587 10,633 5,557 8,704 1,933
Distribution and
shareholder servicing
fees -- -- -- -- --
Administrative services 50,605 4,766 2,351 18,207 855
Professional fees 18,068 2,416 1,305 6,712 244
Shareholder reporting 2,990 452 275 1,138 44
Registration fees 3,582 3,351 693 3,244 --
Trustees' fees and
expenses 2,728 374 217 1,022 38
Interest and credit
facility fee -- -- -- -- --
Insurance -- -- 28 16 --
Miscellaneous 4,504 2,931 1,270 5,050 958
----------- ---------- --------- ----------- ---------
Total Expenses 696,741 98,439 63,846 293,727 18,063
Expenses reimbursed (13,782) (27,805) (24,223) 1,978 (5,144)
----------- ---------- --------- ----------- ---------
Net Expenses 682,959 70,634 39,623 295,705 12,919
----------- ---------- --------- ----------- ---------
NET INVESTMENT INCOME
(LOSS) (177,786) (31,564) 25,330 (250,602) (2,958)
----------- ---------- --------- ----------- ---------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized gain (loss)
from:
Securities (4,655,139) 1,730,370 725,020 10,254,492 (112,948)
Foreign currency
transactions (85,025) (40,496) (13,253) (48,888) 2,179
----------- ---------- --------- ----------- ---------
Net realized gain
(loss) (4,740,164) 1,689,874 711,767 10,205,604 (110,769)
----------- ---------- --------- ----------- ---------
Change in unrealized
appreciation
(depreciation) of:
Investments 12,038,461 713,753 (130,687) 8,558,075 (193,710)
Other assets and
liabilities
denominated in
foreign currencies (776) 143 (2,518) 1,103 --
----------- ---------- --------- ----------- ---------
Net unrealized
appreciation
(depreciation) 12,037,685 713,896 (133,205) 8,559,178 (193,710)
----------- ---------- --------- ----------- ---------
NET GAIN (LOSS) ON
INVESTMENTS 7,297,521 2,403,770 578,562 18,764,782 (304,479)
----------- ---------- --------- ----------- ---------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS $ 7,119,735 $2,372,206 $ 603,892 $18,514,180 $(307,437)
----------- ---------- --------- ----------- ---------
----------- ---------- --------- ----------- ---------
</TABLE>
- ------------------------------
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SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
102
<PAGE>
<TABLE>
<CAPTION>
INTERNATIONAL INTERNATIONAL EMERGING PACIFIC LATIN LARGE CAP MID CAP
CORE GROWTH SMALL CAP GROWTH COUNTRIES RIM AMERICA GROWTH GROWTH
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign
taxes $ 611,482 $ 208,551 $ 817,132 $ 5,722 $ 32,658 $ 35,168 $ 91,118
Interest 150,239 87,542 44,992 1,348 1,930 23,102 78,053
Securities lending 22,492 24,737 23,354 98 470 5,374 89,451
----------- ----------- ------------ -------- --------- ---------- ------------
Total Income 784,213 320,830 885,478 7,168 35,058 63,644 258,622
----------- ----------- ------------ -------- --------- ---------- ------------
EXPENSES
Advisory fee 524,339 340,161 928,603 10,499 20,697 79,025 399,315
Accounting and
administration fees 44,929 26,933 59,135 8,517 8,809 5,420 62,687
Custodian fees 75,264 86,581 252,887 25,164 16,808 6,325 23,170
Transfer agent fees and
expenses 17,004 9,897 19,806 5,004 5,008 10,253 20,119
Distribution and
shareholder servicing
fees 1,217 -- -- -- 251 18,588 --
Administrative services 52,434 34,016 74,288 928 1,408 10,537 53,242
Professional fees 24,636 14,742 32,419 312 434 2,940 34,516
Shareholder reporting 4,058 2,434 4,954 64 79 491 5,654
Registration fees 4,893 2,926 6,033 3,496 2,685 580 6,871
Trustees' fees and
expenses 3,712 2,224 4,886 51 62 446 5,188
Interest and credit
facility fee -- -- -- -- -- -- --
Insurance -- -- -- -- -- -- --
Miscellaneous 3,476 2,504 5,391 1,175 1,084 1,374 4,340
----------- ----------- ------------ -------- --------- ---------- ------------
Total Expenses 755,962 522,418 1,388,402 55,210 57,325 135,979 615,102
Expenses reimbursed (20,671) (45,227) (166,499) (40,468) (29,763) (11,800) (80,951)
----------- ----------- ------------ -------- --------- ---------- ------------
Net Expenses 735,291 477,191 1,221,903 14,742 27,562 124,179 534,151
----------- ----------- ------------ -------- --------- ---------- ------------
NET INVESTMENT INCOME
(LOSS) 48,922 (156,361) (336,425) (7,574) 7,496 (60,535) (275,529)
----------- ----------- ------------ -------- --------- ---------- ------------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized gain (loss)
from:
Securities (4,004,547) (187,612) (9,632,403) 405,180 (102,504) (943,184) (10,574,363)
Foreign currency
transactions (265,091) (134,294) (734,706) (14,892) (10,854) -- --
----------- ----------- ------------ -------- --------- ---------- ------------
Net realized gain
(loss) (4,269,638) (321,906) (10,367,109) 390,288 (113,358) (943,184) (10,574,363)
----------- ----------- ------------ -------- --------- ---------- ------------
Change in unrealized
appreciation
(depreciation) of:
Investments 15,659,490 21,091,090 14,011,735 476,246 (153,252) 2,124,433 18,243,376
Other assets and
liabilities
denominated in
foreign currencies 2,014 774 2,790 60 (857) -- --
----------- ----------- ------------ -------- --------- ---------- ------------
Net unrealized
appreciation
(depreciation) 15,661,504 21,091,864 14,014,525 476,306 (154,109) 2,124,433 18,243,376
----------- ----------- ------------ -------- --------- ---------- ------------
NET GAIN (LOSS) ON
INVESTMENTS 11,391,866 20,769,958 3,647,416 866,594 (267,467) 1,181,249 7,669,013
----------- ----------- ------------ -------- --------- ---------- ------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS $11,440,788 $20,613,597 $ 3,310,991 $859,020 $(259,971) $1,120,714 $ 7,393,484
----------- ----------- ------------ -------- --------- ---------- ------------
----------- ----------- ------------ -------- --------- ---------- ------------
<CAPTION>
SMALL CAP
GROWTH
<S> <C>
INVESTMENT INCOME
Dividends, net of foreign
taxes $ 104,504
Interest 131,702
Securities lending 65,299
-----------
Total Income 301,505
-----------
EXPENSES
Advisory fee 769,119
Accounting and
administration fees 78,790
Custodian fees 28,870
Transfer agent fees and
expenses 22,853
Distribution and
shareholder servicing
fees 1,901
Administrative services 76,932
Professional fees 43,341
Shareholder reporting 7,109
Registration fees 8,625
Trustees' fees and
expenses 6,518
Interest and credit
facility fee --
Insurance --
Miscellaneous 6,866
-----------
Total Expenses 1,050,924
Expenses reimbursed (147,785)
-----------
Net Expenses 903,139
-----------
NET INVESTMENT INCOME
(LOSS) (601,634)
-----------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized gain (loss)
from:
Securities 4,892,368
Foreign currency
transactions --
-----------
Net realized gain
(loss) 4,892,368
-----------
Change in unrealized
appreciation
(depreciation) of:
Investments 21,866,063
Other assets and
liabilities
denominated in
foreign currencies --
-----------
Net unrealized
appreciation
(depreciation) 21,866,063
-----------
NET GAIN (LOSS) ON
INVESTMENTS 26,758,431
-----------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS $26,156,797
-----------
-----------
</TABLE>
- ------------------------------
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103
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
STATEMENT OF OPERATIONS -- CONTINUED
PERIOD ENDED SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
MINI CAP SHORT HIGH QUALITY HIGH YIELD
GROWTH VALUE CONVERTIBLE INTERMEDIATE BOND BOND
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign
taxes $ 12,519 $ 258,479 $ 88,612 $ 32,767 $ 25,011 $ --
Interest 39,802 17,400 518,693 608,301 543,515 478,407
Securities lending 29,822 -- 1,783 -- -- --
----------- ----------- ---------- --------- --------- ---------
Total Income 82,143 275,879 609,088 641,068 568,526 478,407
----------- ----------- ---------- --------- --------- ---------
EXPENSES
Advisory fee 380,943 108,446 145,737 29,357 36,702 26,540
Accounting and
administration fees 31,713 9,217 30,369 16,256 8,686 3,932
Custodian fees 25,480 5,752 10,878 4,634 8,488 5,417
Transfer agent fees and
expenses 13,250 10,922 10,458 6,885 10,182 5,360
Distribution and
shareholder servicing
fees -- 6,542 -- -- 2,346 --
Administrative services 24,780 14,459 19,431 7,766 8,156 4,423
Professional fees 13,891 5,035 16,756 4,605 4,777 2,158
Shareholder reporting 3,116 833 2,738 920 784 356
Registration fees 2,745 997 3,340 1,042 950 429
Trustees' fees and
expenses 2,326 761 2,515 728 727 326
Interest and credit
facility fee 105 -- -- 21 -- --
Insurance 362 57 -- 23 -- --
Miscellaneous 3,411 1,523 2,608 1,908 1,572 1,265
----------- ----------- ---------- --------- --------- ---------
Total Expenses 502,122 164,544 244,830 74,145 83,370 50,206
Expenses reimbursed (26,976) (12,984) (50,516) (39,778) (44,877) (17,247)
----------- ----------- ---------- --------- --------- ---------
Net Expenses 475,146 151,560 194,314 34,367 38,493 32,959
----------- ----------- ---------- --------- --------- ---------
NET INVESTMENT INCOME
(LOSS) (393,003) 124,319 414,774 606,701 530,033 445,448
----------- ----------- ---------- --------- --------- ---------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized gain (loss)
from:
Securities 10,648,593 (275,283) (962,545) (30,599) (231,085) (158,419)
Foreign currency
transactions -- -- (4,940) (2,517) (33,857) --
----------- ----------- ---------- --------- --------- ---------
Net realized gain
(loss) 10,648,593 (275,283) (967,485) (33,116) (264,942) (158,419)
----------- ----------- ---------- --------- --------- ---------
Change in unrealized
appreciation
(depreciation) of:
Investments 1,553,048 (3,573,292) 1,756,965 (287,994) (471,036) (345,870)
Other assets and
liabilities
denominated in
foreign currencies 421 -- 36 (3,727) 2,994 --
----------- ----------- ---------- --------- --------- ---------
Net unrealized
appreciation
(depreciation) 1,553,469 (3,573,292) 1,757,001 (291,721) (468,042) (345,870)
----------- ----------- ---------- --------- --------- ---------
NET GAIN (LOSS) ON
INVESTMENTS 12,202,062 (3,848,575) 789,516 (324,837) (732,984) (504,289)
----------- ----------- ---------- --------- --------- ---------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS $11,809,059 $(3,724,256) $1,204,290 $ 281,864 $(202,951) $ (58,841)
----------- ----------- ---------- --------- --------- ---------
----------- ----------- ---------- --------- --------- ---------
</TABLE>
- ------------------------------
(1) Commenced operations on 9/1/99.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
104
<PAGE>
(This page intentionally left blank)
- --------------------------------------------------------------------------------
105
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED)
PERIODS ENDED SEPTEMBER 30, AND MARCH 31, 1999
<TABLE>
<CAPTION>
WORLDWIDE GROWTH GLOBAL BLUE CHIP
--------------------------------------------------------------
FOR THE FOR THE
PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1999 1999
--------------------- --------------------- ----------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) $ (177,786) $ (31,564) $ (25,030)
Net realized gain
(loss) (4,740,164) 1,689,874 2,439,966
Net unrealized
appreciation
(depreciation) 12,037,685 713,896 383,318
------------ ----------- -----------
Net increase
(decrease) in net
assets from
investment
operations 7,119,735 2,372,206 2,798,254
------------ ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income
Institutional Class -- -- --
Retirement Class -- -- --
From net realized gains
Institutional Class -- -- (69,327)
Retirement Class -- -- --
------------ ----------- -----------
Total distributions -- -- (69,327)
------------ ----------- -----------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold
Institutional Class 134,201,873 2,613,825 3,234,669
Retirement Class -- -- --
Distributions
reinvested
Institutional Class -- -- 69,075
Retirement Class -- -- --
Cost of shares redeemed
Institutional Class (784,812) (2,343,316) (2,938,697)
Retirement Class -- -- --
------------ ----------- -----------
Net increase
(decrease) in net
assets from share
transactions 133,417,061 270,509 365,047
------------ ----------- -----------
Net Increase
(Decrease) in Net
Assets 140,536,796 2,642,715 3,093,974
NET ASSETS
Beginning -- 10,413,572 7,319,598
------------ ----------- -----------
Ending $140,536,796 $13,056,287 $10,413,572
------------ ----------- -----------
------------ ----------- -----------
Undistributed net
investment income
(loss), ending $ (177,786) $ (58,175) $ (26,611)
------------ ----------- -----------
------------ ----------- -----------
INSTITUTIONAL CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 5,611,667 61,770 194,931
Distributions
reinvested -- -- 4,408
Shares redeemed (32,193) (51,291) (184,922)
------------ ----------- -----------
Net Institutional
Share Activity 5,579,474 10,479 14,417
------------ ----------- -----------
------------ ----------- -----------
RETIREMENT CLASS --
CAPITAL SHARE ACTIVITY
Shares sold -- -- --
Distributions
reinvested -- -- --
Shares redeemed -- -- --
------------ ----------- -----------
Net Retirement Share
Activity -- -- --
------------ ----------- -----------
------------ ----------- -----------
</TABLE>
- ------------------------------
(1) Commenced operations 7/31/98.
(2) Commenced operations 9/1/99.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
106
<PAGE>
<TABLE>
<CAPTION>
GLOBAL GROWTH & INCOME GLOBAL TECHNOLOGY GLOBAL HEALTH CARE
---------------------------------------------------------------------------------------------------------
FOR THE FOR THE FOR THE
PERIOD ENDED PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, 1999 1999 SEPTEMBER 30, 1999 1999(1) SEPTEMBER 30, 1999(2)
--------------------- --------------- --------------------- ---------------- ------------------------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) $ 25,330 $ 89,397 $ (250,602) $ (25,089) $ (2,958)
Net realized gain
(loss) 711,767 270,179 10,205,604 3,644,794 (110,769)
Net unrealized
appreciation
(depreciation) (133,205) 247,919 8,559,178 4,357,445 (193,710)
---------- ----------- ----------- ----------- -----------
Net increase
(decrease) in net
assets from
investment
operations 603,892 607,495 18,514,180 7,977,150 (307,437)
---------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income
Institutional Class (15,299) (56,460) -- -- --
Retirement Class -- -- -- -- --
From net realized gains
Institutional Class -- (270,030) -- -- --
Retirement Class -- -- -- -- --
---------- ----------- ----------- ----------- -----------
Total distributions (15,299) (326,490) -- -- --
---------- ----------- ----------- ----------- -----------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold
Institutional Class 107,555 174,943 27,343,401 17,468,706 12,088,700
Retirement Class -- -- -- -- --
Distributions
reinvested
Institutional Class -- 324,756 -- -- --
Retirement Class -- -- -- -- --
Cost of shares redeemed
Institutional Class (170,591) (1,256,256) (7,252,778) (1,351,448) (71,960)
Retirement Class -- -- -- -- --
---------- ----------- ----------- ----------- -----------
Net increase
(decrease) in net
assets from share
transactions (63,036) (756,557) 20,090,623 16,117,258 12,016,740
---------- ----------- ----------- ----------- -----------
Net Increase
(Decrease) in Net
Assets 525,557 (475,552) 38,604,803 24,094,408 11,709,303
NET ASSETS
Beginning 5,589,458 6,065,010 24,094,408 -- --
---------- ----------- ----------- ----------- -----------
Ending $6,115,015 $ 5,589,458 $62,699,211 $24,094,408 $11,709,303
---------- ----------- ----------- ----------- -----------
---------- ----------- ----------- ----------- -----------
Undistributed net
investment income
(loss), ending $ 42,640 $ 32,609 $ (275,691) $ (25,089) $ (2,958)
---------- ----------- ----------- ----------- -----------
---------- ----------- ----------- ----------- -----------
INSTITUTIONAL CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 2,064 12,201 437,537 600,526 957,653
Distributions
reinvested 956 23,627 -- -- --
Shares redeemed (7,174) (93,861) (58,277) (60,837) (5,689)
---------- ----------- ----------- ----------- -----------
Net Institutional
Share Activity (4,154) (58,033) 379,260 539,689 951,964
---------- ----------- ----------- ----------- -----------
---------- ----------- ----------- ----------- -----------
RETIREMENT CLASS --
CAPITAL SHARE ACTIVITY
Shares sold -- -- -- -- --
Distributions
reinvested -- -- -- -- --
Shares redeemed -- -- -- -- --
---------- ----------- ----------- ----------- -----------
Net Retirement Share
Activity -- -- -- -- --
---------- ----------- ----------- ----------- -----------
---------- ----------- ----------- ----------- -----------
</TABLE>
- ------------------------------
(1) Commenced operations 7/31/98.
(2) Commenced operations 9/1/99.
- --------------------------------------------------------------------------------
107
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED) -- CONTINUED
PERIODS ENDED SEPTEMBER 30, AND MARCH 31, 1999
<TABLE>
<CAPTION>
INTERNATIONAL CORE GROWTH INTERNATIONAL SMALL CAP GROWTH
---------------------------------------------------------
FOR THE FOR THE
PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1999
------------------------- ------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) $ 48,922 $ (156,361)
Net realized gain
(loss) (4,269,638) (321,906)
Net unrealized
appreciation
(depreciation) 15,661,504 21,091,864
------------ -----------
Net increase
(decrease) in net
assets from
investment
operations 11,440,788 20,613,597
------------ -----------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income
Institutional Class -- --
Retirement Class -- --
From net realized gains
Institutional Class -- --
Retirement Class -- --
------------ -----------
Total distributions -- --
------------ -----------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold
Institutional Class 155,230,568 84,412,289
Retirement Class 4,809,042 --
Distributions
reinvested
Institutional Class -- --
Retirement Class -- --
Cost of shares redeemed
Institutional Class (9,484,944) (7,106,848)
Retirement Class (2,026,704) --
------------ -----------
Net increase
(decrease) in net
assets from share
transactions 148,527,962 77,305,441
------------ -----------
Net Increase
(Decrease) in Net
Assets 159,968,750 97,919,038
NET ASSETS
Beginning -- --
------------ -----------
Ending $159,968,750 $97,919,038
------------ -----------
------------ -----------
Undistributed net
investment income
(loss), ending $ 48,922 $ (156,361)
------------ -----------
------------ -----------
INSTITUTIONAL CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 7,417,704 3,704,021
Distributions
reinvested -- --
Shares redeemed (461,821) (263,976)
------------ -----------
Net Institutional
Share Activity 6,955,883 3,440,045
------------ -----------
------------ -----------
RETIREMENT CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 2,980,077 --
Distributions
reinvested -- --
Shares redeemed (552,831) --
------------ -----------
Net Retirement Share
Activity 2,427,246 --
------------ -----------
------------ -----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
108
<PAGE>
<TABLE>
<CAPTION>
EMERGING COUNTRIES PACIFIC RIM LATIN AMERICA
-----------------------------------------------------------------------------------------------------
FOR THE FOR THE FOR THE
PERIOD ENDED PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1999 1999 SEPTEMBER 30, 1999 1999
--------------------- --------------------- --------------- --------------------- ---------------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) $ (336,425) $ (7,574) $ (6,756) $ 7,496 $ 9,173
Net realized gain
(loss) (10,367,109) 390,288 (111,135) (113,358) (261,412)
Net unrealized
appreciation
(depreciation) 14,014,525 476,306 83,997 (154,109) 173,802
------------ ---------- ---------- ----------- ----------
Net increase
(decrease) in net
assets from
investment
operations 3,310,991 859,020 (33,894) (259,971) (78,437)
------------ ---------- ---------- ----------- ----------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income
Institutional Class -- -- -- -- (13,199)
Retirement Class -- -- -- -- --
From net realized gains
Institutional Class -- -- -- -- --
Retirement Class -- -- -- -- --
------------ ---------- ---------- ----------- ----------
Total distributions -- -- -- -- (13,199)
------------ ---------- ---------- ----------- ----------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold
Institutional Class 185,723,902 1,356,282 122,463 2,717,240 746,937
Retirement Class 465 -- -- -- --
Distributions
reinvested
Institutional Class -- -- -- -- 13,198
Retirement Class -- -- -- -- --
Cost of shares redeemed
Institutional Class (2,331,823) (357,352) (186,769) (1,400,375) (78,001)
Retirement Class -- -- -- -- --
------------ ---------- ---------- ----------- ----------
Net increase
(decrease) in net
assets from share
transactions 183,392,544 998,930 (64,306) 1,316,865 682,134
------------ ---------- ---------- ----------- ----------
Net Increase
(Decrease) in Net
Assets 186,703,535 1,857,950 (98,200) 1,056,894 590,498
NET ASSETS
Beginning -- 1,098,864 1,197,064 1,774,329 1,183,831
------------ ---------- ---------- ----------- ----------
Ending $186,703,535 $2,956,814 $1,098,864 $ 2,831,223 $1,774,329
------------ ---------- ---------- ----------- ----------
------------ ---------- ---------- ----------- ----------
Undistributed net
investment income
(loss), ending $ (336,425) $ (12,234) $ (4,660) $ 16,215 $ 8,719
------------ ---------- ---------- ----------- ----------
------------ ---------- ---------- ----------- ----------
INSTITUTIONAL CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 11,674,140 19,764 11,462 197,179 75,004
Distributions
reinvested -- -- -- -- 1,459
Shares redeemed (141,877) (17,558) (16,908) (103,862) (8,069)
------------ ---------- ---------- ----------- ----------
Net Institutional
Share Activity 11,532,263 2,206 (5,446) 93,317 68,394
------------ ---------- ---------- ----------- ----------
------------ ---------- ---------- ----------- ----------
RETIREMENT CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 28 -- -- -- --
Distributions
reinvested -- -- -- -- --
Shares redeemed -- -- -- -- --
------------ ---------- ---------- ----------- ----------
Net Retirement Share
Activity 28 -- -- -- --
------------ ---------- ---------- ----------- ----------
------------ ---------- ---------- ----------- ----------
<CAPTION>
LARGE CAP GROWTH
---------------------
FOR THE
PERIOD ENDED
SEPTEMBER 30, 1999
---------------------
<S> <C>
INCREASE (DECREASE) IN
NET ASSETS
FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) $ (60,535)
Net realized gain
(loss) (943,184)
Net unrealized
appreciation
(depreciation) 2,124,433
-----------
Net increase
(decrease) in net
assets from
investment
operations 1,120,714
-----------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income
Institutional Class --
Retirement Class --
From net realized gains
Institutional Class --
Retirement Class --
-----------
Total distributions --
-----------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold
Institutional Class 23,616,876
Retirement Class 10,851,295
Distributions
reinvested
Institutional Class --
Retirement Class --
Cost of shares redeemed
Institutional Class (1,040,507)
Retirement Class (1,455,861)
-----------
Net increase
(decrease) in net
assets from share
transactions 31,971,803
-----------
Net Increase
(Decrease) in Net
Assets 33,092,517
NET ASSETS
Beginning --
-----------
Ending $33,092,517
-----------
-----------
Undistributed net
investment income
(loss), ending $ (60,535)
-----------
-----------
INSTITUTIONAL CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 377,427
Distributions
reinvested --
Shares redeemed (58,403)
-----------
Net Institutional
Share Activity 319,024
-----------
-----------
RETIREMENT CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 828,873
Distributions
reinvested --
Shares redeemed (32,696)
-----------
Net Retirement Share
Activity 796,177
-----------
-----------
</TABLE>
- ------------------------------
(1) Commenced operations 7/31/98.
(2) Commenced operations 9/1/99.
- --------------------------------------------------------------------------------
109
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED) -- CONTINUED
PERIODS ENDED SEPTEMBER 30, AND MARCH 31, 1999
<TABLE>
<CAPTION>
MID CAP GROWTH SMALL CAP GROWTH
--------------------------------------------
FOR THE FOR THE
PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1999
--------------------- ---------------------
<S> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) $ (275,529) $ (601,634)
Net realized gain
(loss) (10,574,363) 4,892,368
Net unrealized
appreciation
(depreciation) 18,243,376 21,866,063
------------ ------------
Net increase
(decrease) in net
assets from
investment
operations 7,393,484 26,156,797
------------ ------------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income
Institutional Class -- --
Retirement Class -- --
From net realized gains
Institutional Class -- --
Retirement Class -- --
------------ ------------
Total distributions -- --
------------ ------------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold
Institutional Class 135,122,782 199,180,086
Retirement Class 448 2,797,535
Distributions
reinvested
Institutional Class -- --
Retirement Class -- --
Cost of shares redeemed
Institutional Class (9,969,798) (47,405,854)
Retirement Class -- (493,966)
------------ ------------
Net increase
(decrease) in net
assets from share
transactions 125,153,432 154,077,801
------------ ------------
Net Increase
(Decrease) in Net
Assets 132,546,916 180,234,598
NET ASSETS
Beginning -- --
------------ ------------
Ending $132,546,916 $180,234,598
------------ ------------
------------ ------------
Undistributed net
investment income
(loss), ending $ (275,529) $ (601,634)
------------ ------------
------------ ------------
INSTITUTIONAL CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 6,943,371 14,204,633
Distributions
reinvested -- --
Shares redeemed (493,320) (2,997,146)
------------ ------------
Net Institutional
Share Activity 6,450,051 11,207,487
------------ ------------
------------ ------------
RETIREMENT CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 23 197,011
Distributions
reinvested -- --
Shares redeemed -- (39,240)
------------ ------------
Net Retirement Share
Activity 23 157,771
------------ ------------
------------ ------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
110
<PAGE>
<TABLE>
<CAPTION>
MINI CAP GROWTH VALUE CONVERTIBLE
-------------------------------------------------------------------------------------
FOR THE FOR THE FOR THE
PERIOD ENDED PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, 1999 1999 SEPTEMBER 30, 1999 SEPTEMBER 30, 1999
--------------------- ---------------- --------------------- ---------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) $ (393,003) $ (867,250) $ 124,319 $ 414,774
Net realized gain
(loss) 10,648,593 5,442,273 (275,283) (967,485)
Net unrealized
appreciation
(depreciation) 1,553,469 (12,989,539) (3,573,292) 1,757,001
------------ ------------ ----------- ------------
Net increase
(decrease) in net
assets from
investment
operations 11,809,059 (8,414,516) (3,724,256) 1,204,290
------------ ------------ ----------- ------------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income
Institutional Class -- -- -- (387,432)
Retirement Class -- -- -- --
From net realized gains
Institutional Class -- (4,923,430) -- --
Retirement Class -- -- -- --
------------ ------------ ----------- ------------
Total distributions -- (4,923,430) -- (387,432)
------------ ------------ ----------- ------------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold
Institutional Class 9,771,835 42,216,905 33,956,891 89,389,557
Retirement Class -- -- 9,107,666 --
Distributions
reinvested
Institutional Class -- 4,872,195 -- --
Retirement Class -- -- -- --
Cost of shares redeemed
Institutional Class (13,864,431) (62,280,044) (1,610,612) (49,413,160)
Retirement Class -- -- (562,000) --
------------ ------------ ----------- ------------
Net increase
(decrease) in net
assets from share
transactions (4,092,596) (15,190,944) 40,891,945 39,976,397
------------ ------------ ----------- ------------
Net Increase
(Decrease) in Net
Assets 7,716,463 (28,528,890) 37,167,689 40,793,255
NET ASSETS
Beginning 53,593,040 82,121,930 -- --
------------ ------------ ----------- ------------
Ending $ 61,309,503 $ 53,593,040 $37,167,689 $ 40,793,255
------------ ------------ ----------- ------------
------------ ------------ ----------- ------------
Undistributed net
investment income
(loss), ending $ (2,541,023) $ (2,148,020) $ 124,319 $ 27,342
------------ ------------ ----------- ------------
------------ ------------ ----------- ------------
INSTITUTIONAL CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 320,048 2,151,115 1,481,585 4,007,389
Distributions
reinvested -- 244,133 -- 15,807
Shares redeemed (474,760) (3,025,658) (71,565) (2,191,902)
------------ ------------ ----------- ------------
Net Institutional
Share Activity (154,712) (630,410) 1,410,020 1,831,294
------------ ------------ ----------- ------------
------------ ------------ ----------- ------------
RETIREMENT CLASS --
CAPITAL SHARE ACTIVITY
Shares sold -- -- 411,817 --
Distributions
reinvested -- -- -- --
Shares redeemed -- -- (25,480) --
------------ ------------ ----------- ------------
Net Retirement Share
Activity -- -- 386,337 --
------------ ------------ ----------- ------------
------------ ------------ ----------- ------------
<CAPTION>
SHORT INTERMEDIATE
---------------------------------------
FOR THE
PERIOD ENDED
SEPTEMBER 30, 1999 1999
--------------------- ----------------
<S> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) $ 606,701 $ 904,872
Net realized gain
(loss) (33,116) (39,072)
Net unrealized
appreciation
(depreciation) (291,721) (23,068)
----------- -----------
Net increase
(decrease) in net
assets from
investment
operations 281,864 842,732
----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income
Institutional Class (602,408) (907,270)
Retirement Class -- --
From net realized gains
Institutional Class -- --
Retirement Class -- --
----------- -----------
Total distributions (602,408) (907,270)
----------- -----------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold
Institutional Class 2,942,230 6,153,060
Retirement Class -- --
Distributions
reinvested
Institutional Class 543,414 907,267
Retirement Class -- --
Cost of shares redeemed
Institutional Class (3,402,849) (2,063,058)
Retirement Class -- --
----------- -----------
Net increase
(decrease) in net
assets from share
transactions 82,795 4,997,269
----------- -----------
Net Increase
(Decrease) in Net
Assets (237,749) 4,932,731
NET ASSETS
Beginning 18,467,293 13,534,562
----------- -----------
Ending $18,229,544 $18,467,293
----------- -----------
----------- -----------
Undistributed net
investment income
(loss), ending $ 1,424 $ (2,869)
----------- -----------
----------- -----------
INSTITUTIONAL CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 226,027 481,478
Distributions
reinvested 41,400 70,965
Shares redeemed (261,294) (161,326)
----------- -----------
Net Institutional
Share Activity 6,133 391,117
----------- -----------
----------- -----------
RETIREMENT CLASS --
CAPITAL SHARE ACTIVITY
Shares sold -- --
Distributions
reinvested -- --
Shares redeemed -- --
----------- -----------
Net Retirement Share
Activity -- --
----------- -----------
----------- -----------
</TABLE>
- ------------------------------
- --------------------------------------------------------------------------------
111
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED) -- CONTINUED
PERIODS ENDED SEPTEMBER 30, AND MARCH 31, 1999
<TABLE>
<CAPTION>
HIGH QUALITY BOND HIGH YIELD BOND
--------------------------------------------
FOR THE FOR THE
PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1999
--------------------- ---------------------
<S> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) $ 530,033 $ 445,448
Net realized gain (264,942) (158,419)
Net unrealized
appreciation
(depreciation) (468,042) (345,870)
----------- -----------
Net increase
(decrease) in net
assets from
investment
operations (202,951) (58,841)
----------- -----------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income
Institutional Class (473,641) (422,553)
Retirement Class (64,653) --
From net realized gains
Institutional Class -- --
Retirement Class -- --
----------- -----------
Total distributions (538,294) (422,553)
----------- -----------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold
Institutional Class 19,344,295 12,089,223
Retirement Class 3,048,890 --
Distributions
reinvested
Institutional Class 473,511 236,368
Retirement Class 64,652 --
Cost of shares redeemed
Institutional Class (620,650) (531,503)
Retirement Class (294,568) --
----------- -----------
Net increase
(decrease) in net
assets from share
transactions 22,016,130 11,794,088
----------- -----------
Net Increase
(Decrease) in Net
Assets 21,274,885 11,312,694
NET ASSETS
Beginning -- --
----------- -----------
Ending $21,274,885 $11,312,694
----------- -----------
----------- -----------
Undistributed net
investment income
(loss), ending $ (8,261) $ 22,895
----------- -----------
----------- -----------
INSTITUTIONAL CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 1,529,181 963,252
Distributions
reinvested 38,775 18,983
Shares redeemed (50,120) (43,401)
----------- -----------
Net Institutional
Share Activity 1,517,836 938,834
----------- -----------
----------- -----------
RETIREMENT CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 245,920 --
Distributions
reinvested 5,291 --
Shares redeemed (25,854) --
----------- -----------
Net Retirement Share
Activity 225,357 --
----------- -----------
----------- -----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
112
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
- ------------------------------------------------------------------------
NOTE A -- ORGANIZATION
Nicholas-Applegate Institutional Funds (the "Trust") is an open-end management
investment company. The Trust was established as a Delaware business trust on
December 17, 1992 and consists of nineteen separate portfolios (collectively the
"Funds" and each a "Fund"). Each Fund's investment objectives, strategies and
risks are discussed in the prospectus dated July 9, 1999. All of the Funds offer
Institutional shares ("Class I") and seven Funds offer Retirement shares ("Class
R"). The Class R shares have no sales charge and distribution fees but have a
shareholder servicing fee. The nineteen Funds offering Class I shares are
covered in this report with each Fund's operations accounted for separately.
REORGANIZATION
Prior to July 24, 1998, the Nicholas-Applegate mutual fund complex was
organized in a "master-feeder" investment structure. Under that structure, the
Nicholas-Applegate Mutual Funds invested all of their assets in corresponding
portfolios, or series, of the Nicholas-Applegate Investment Trust (the "Trust").
On July 24, 1998, the shareholders of the Nicholas-Applegate Mutual Funds
approved a plan that reorganized the "master-feeder" arrangement into a
multi-class structure in which the Nicholas-Applegate Mutual Funds invested in
securities directly and offered various classes of shares through multiple
distribution channels. At the same time the Trust was liquidated.
In May 1999, the Trust was reactivated and renamed Nicholas-Applegate
Institutional Funds to be the successor entity to the assets of the
"Institutional" series and the Class I shares of the Nicholas-Applegate Mutual
Funds (renamed Pilgrim Mutual Funds). On May 7, 1999, substantially all of those
"Institutional" assets transferred to the Trust. The investment objectives,
policies and limitations of the Funds of the Trust are identical in every
respect to the corresponding portfolios of the Nicholas-Applegate Mutual Funds.
The investment management fees and expenses limitations are also identical.
Since both the Trust and the Nicholas-Applegate Mutual Funds are organized as
Delaware business trusts under substantially similar trust instruments,
shareholder rights in the two funds are substantially identical. Both funds are
authorized to issue an unlimited number of shares.
NOTE B -- SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies consistently followed by the Funds in
preparing these financial statements are described below. The policies conform
with generally accepted accounting principles.
SECURITY VALUATIONS
The Funds value equity securities traded on national or international
exchanges and market systems at the last sales price reported by the security's
primary market at the time of daily valuation. If a last sales price is not
available, these securities are valued at the mean between last reported bid and
ask prices. Debt securities are valued at bid prices obtained from independent
pricing services or from one or more dealers making markets in the securities.
Security prices quoted in a foreign currency are translated using the current
U.S. dollar exchange rate. Short-term securities maturing within 60 days are
valued at amortized cost which approximates market value. When market quotations
for securities are not readily available, a fair value is determined under the
direction of the Board of Trustees.
SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for on trade date. Realized gains and
losses from security transactions are determined on an identified-cost basis.
Dividend income is recorded on the ex-dividend date or, for certain foreign
securities, when the information becomes available to the Funds. Interest income
is recorded on an accrual basis. Discounts
- --------------------------------------------------------------------------------
113
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) -- CONTINUED
- --------------------------------------------------------------------------------
and premiums on debt securities are accreted and amortized on the same basis as
used for federal tax reporting.
FOREIGN CURRENCY TRANSACTIONS
At each net asset valuation date, the value of assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using the
current exchange rate. Security transactions, income and expenses are converted
at the prevailing exchange rate on the day of the event. The effect of changes
in exchange rates on securities denominated in a foreign currency is included
with the net realized and unrealized gain or loss of the associated security.
Other foreign currency gains or losses are reported separately.
Certain Funds may use forward foreign currency contracts to reduce their
exposure to currency fluctuations of their foreign securities. These contracts
are commitments to purchase or sell a foreign currency at a specified rate on a
future date. When the contract is fulfilled or closed, gains or losses are
realized. Until then, the gain or loss is included in unrealized appreciation or
depreciation of investments. The contract commitment is fully collateralized by
cash or securities of the Fund. Foreign denominated assets and forward currency
contracts may involve more risks than domestic transactions, including currency
risk, political and economic risk, regulatory and market risk. Evaluating and
monitoring such risk exposure is a part of the Funds' management strategy.
FUTURES CONTRACTS
Each Fund may enter into futures contracts involving foreign currency,
interest rates, securities, and securities indices, for hedging purposes only. A
futures contract obligates the seller of the contract to deliver and the
purchaser of the contract to take delivery of the type of foreign currency,
financial instrument or security called for in the contract at a specified
future time for a specified price. Upon entering into such a contract, a Fund is
required to deposit and maintain as collateral such initial margin as required
by the exchange on which the contract is traded. Pursuant to the contract, a
Fund agrees to receive from or pay to the broker an amount equal to the daily
fluctuations in the value of the contract. Such receipts or payments are known
as variation margin and are recorded as unrealized gains or losses by the Fund.
When the contract is closed, the Fund records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed.
FUND EXPENSES AND MULTI-CLASS ALLOCATIONS
Each Fund bears expenses incurred specifically on its behalf plus an
allocation of its share of Trust level expenses. Each share offered by a Fund
has equal rights to assets but incurs certain Class specific expenses. The Fund
allocates income, gains and losses, both realized and unrealized and expenses,
except for Class specific expenses, based on the relative net assets of each
Class.
SECURITIES LENDING
Each Fund may temporarily loan securities up to 30% of its total assets to
brokers, dealers or other financial institutions in exchange for a negotiated
lender's fee. The borrower fully collateralizes the loans with cash.
The market value of securities on loan and the related collateral at
September 30, 1999 were:
<TABLE>
<CAPTION>
MARKET VALUE COLLATERAL
FUND (IN 000'S) (IN 000'S)
- ---- ------------ -----------
<S> <C> <C>
Worldwide Growth.......................... $ 6,700 $ 6,954
Global Blue Chip.......................... 771 802
Global Growth & Income.................... 175 183
International Core Growth................. 16,930 17,766
International Small Cap Growth............ 10,310 10,949
Emerging Countries........................ 15,244 16,175
Pacific Rim............................... 74 83
Large Cap Growth.......................... 1,432 1,476
Mid Cap Growth............................ 28,139 28,952
Small Cap Growth.......................... 14,828 15,358
Mini Cap Growth........................... 6,189 6,476
Convertible............................... 1,167 1,256
</TABLE>
- --------------------------------------------------------------------------------
114
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) -- CONTINUED
- --------------------------------------------------------------------------------
FEDERAL INCOME TAXES
The Funds intend 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 shareholders. Accordingly, no provision for federal
income taxes is required. A Fund investing in foreign securities records any
foreign taxes on income and gains on such investments in accordance with the
applicable tax rules. The Funds' tax accounting treatment of loss deferrals,
passive foreign investment companies and expiration of capital loss
carryforwards are different from the financial statement recognition of income
and gains.
Capital loss carryforwards may be used to offset current or future capital
gains until expiration. The following table reflects the capital loss
carryforwards as of March 31, 1999.
<TABLE>
<CAPTION>
CAPITAL LOSS
CARRYFORWARDS EXPIRATION
FUND (IN 000'S) DATE
- ---- ------------- ----------
<S> <C> <C>
Short Intermediate....................... $ 39 3/31/2007
52 3/31/2006
48 3/31/2005
Latin America............................ 216 3/31/2007
.4 3/31/2006
Pacific Rim.............................. 30 3/31/2007
99 3/31/2006
</TABLE>
DISTRIBUTIONS TO SHAREHOLDERS
The Funds record distributions to shareholders on the ex-dividend date.
Distributions are determined in accordance with income tax regulations that may
differ from generally accepted accounting principles. Accordingly, the Funds'
capital accounts are periodically reclassified to reflect income and gains
available for distribution under income tax regulations. The Funds make income
and capital gain distributions at least annually. Funds with income objectives
make distributions either quarterly or monthly in accordance with the
prospectuses.
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 these estimates.
NOTE C -- TRANSACTIONS WITH AFFILIATES
Nicholas-Applegate Capital Management, as the Investment Advisor of the Funds,
receives the following annual fees payable monthly based on the average daily
net assets of each Fund.
<TABLE>
<S> <C>
Mini Cap Growth, Emerging Countries
and Latin America................. 1.25%
Small Cap Growth, International Core
Growth, International Small Cap
Growth, Pacific Rim, Worldwide
Growth, Global Technology and
Global Healthcare................. 1.00%
Global Growth & Income.............. 0.85%
Global Blue Chip.................... 0.80%
Large Cap Growth, Value, Mid Cap
Growth, and Convertible........... 0.75%
High Yield Bond..................... 0.60%
High Quality Bond................... 0.45%
Short Intermediate.................. 0.30%
</TABLE>
The fees are reduced on Mid Cap Growth, Convertible, High Quality Bond, Short
Intermediate, International Core Growth, International Small Cap Growth and
Worldwide Growth when the average net assets exceed $500 million ($250 million
for Short Intermediate).
Under an Administrative Services agreement the Investment Advisor provides
operational support services to the Funds at an annual fee on average daily net
assets of 0.10%.
The Investment Advisor has agreed to limit the Fund's expenses to certain
levels through March 31, 2000. Expenses reimbursed by the Investment Advisor
through May 6, 1999 may be recouped from the
- --------------------------------------------------------------------------------
115
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) -- CONTINUED
- --------------------------------------------------------------------------------
Funds within five years after the year in which they are reimbursed.
Any expenses reimbursed after May 6, 1999 may be recouped within three years
after the year in which they are reimbursed. The Investment Advisor will recover
such reimbursements to the extent of the differences between a Fund's actual
expenses (exclusive of interest expenses, taxes, brokerage and the costs of
establishing and maintaining the Mauritius investment company) when they fall
below the limit, and the voluntary limit.
<TABLE>
<CAPTION>
INSTITUTIONAL RETIREMENT UNREIMBURSED
FUND CLASS CLASS AMOUNTS
- ----------------------------- ------------- ---------- -------------
<S> <C> <C> <C>
Worldwide Growth............. 1.35% -- $1,618,843
Global Blue Chip............. 1.20% -- 198,884
Global Growth & Income....... 1.35% -- 224,036
Global Technology............ 1.40% -- 78,175
Global Healthcare............ 1.40% --
International Core Growth.... 1.40% 1.65% 516,550
International Small Cap
Growth...................... 1.40% 1,454,155
Emerging Countries........... 1.65% 1.90% 2,422,618
Pacific Rim.................. 1.40% -- 181,941
Latin America................ 1.65% -- 168,184
Large Cap Growth............. 1.00% 1.25% 311,916
Mid Cap Growth............... 1.00% 1.25% 1,628,180
Small Cap Growth............. 1.17% 1.42% 1,801,169
Mini Cap Growth.............. 1.56% -- 486,627
Value........................ 1.00% 1.25% 285,287
Convertible.................. 1.00% -- 1,464,490
Short Intermediate........... 0.35% -- 532,706
High Quality Bond............ 0.45% 0.70% 1,949,059
High Yield Bond.............. 0.75% -- 466,231
</TABLE>
The Retirement Class has a shareholder servicing agreement. The shareholder
servicing plan is a compensation plan, which compensates the Distributor for
expenses in connection with non-distribution shareholder services provided by
the Distributor to other financial institutions. The Retirement Class pays an
annual fee on its average daily net assets of up to 0.25% under the shareholder
servicing agreement.
Certain officers of the Trust are also officers of the Investment Advisor and
Distributor. The Trustees who are not affiliated with the Investment Advisor
receive annual compensation of approximately $18,000 each from the Trust.
NOTE D -- INVESTMENT TRANSACTIONS
The following table presents purchases and sales of securities, excluding
short-term investments, during the six months ended September 30, 1999 to
indicate the volume of transactions in each Fund. The tax cost of securities
held at September 30, 1999, and the related gross and net unrealized
appreciation and depreciation, provides aggregate information on a tax basis
against which future gains and losses on these investments are measured for
distribution purposes.
<TABLE>
<CAPTION>
NET
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
PURCHASES SALES TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
FUND (IN 000'S) (IN 000'S) (IN 000'S) (IN 000'S) (IN 000'S) (IN 000'S)
- ---- ---------- ---------- ---------- ------------ ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
Worldwide Growth...... $196,463 $139,535 $128,980 $15,805 $ 3,767 $12,038
Global Blue Chip...... 21,000 20,241 10,942 2,524 258 2,266
Global Growth &
Income............... 8,337 8,394 5,401 735 170 565
Global Technology..... 97,385 79,095 52,490 13,584 667 12,917
Global Healthcare..... 18,607 6,983 11,911 335 529 (194)
International Core
Growth............... 185,133 155,012 152,685 18,947 3,288 15,659
International Small
Cap Growth........... 86,662 84,690 77,186 23,955 2,864 21,091
Emerging Countries.... 264,086 245,243 174,315 23,157 9,145 14,012
Pacific Rim........... 3,307 2,252 2,325 756 136 620
Latin America......... 7,620 6,406 2,674 210 78 132
Large Cap Growth...... 57,910 27,051 31,210 3,159 1,035 2,124
Mid Cap Growth........ 186,196 238,532 115,195 24,639 6,396 18,243
Small Cap Growth...... 159,881 256,773 158,857 31,976 10,110 21,866
Mini Cap Growth....... 40,336 40,662 45,692 18,785 2,946 15,839
Value................. 40,375 16,701 40,685 573 4,146 (3,573)
Convertible........... 54,957 99,012 38,374 3,976 2,219 1,757
Short Intermediate.... 13,420 11,258 18,230 40 244 (204)
High Quality Bond..... 31,449 26,222 21,405 52 523 (471)
High Yield Bond....... 35,024 33,005 11,418 83 429 (346)
</TABLE>
NOTE E -- FINANCIAL INSTRUMENTS
During the period, several of the Funds have been party to financial
instruments with off-balance sheet risks, including forward foreign currency
contracts and futures contracts, primarily in an attempt to minimize the risk to
the Fund, in respect of its portfolio transactions. These instruments involve
market and/or credit risk in excess of the amount recognized in the Statement of
Assets and Liabilities.
- --------------------------------------------------------------------------------
116
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) -- CONTINUED
- --------------------------------------------------------------------------------
Risks arise from the possible inability of counterparties to meet the terms of
their contracts and from unexpected movement in currencies, securities values
and interest rates. The contract amounts indicate the extent of the Funds'
involvement in such contracts.
Forwards: When entering a forward currency contract, the Fund agrees to
receive or deliver a fixed quantity of foreign currency for an agreed upon price
on an agreed upon future date.
At September 30, 1999, Global Growth & Income, Short Intermediate and High
Quality Fund had outstanding forward contracts for the purchase and sale of
currencies as set out below. The contracts are reported in the financial
statements each Fund's net equity, as measured by the difference between the
forward foreign exchange rates at the dates of entry into the contracts and the
forward rates at the reporting date, or the date an offsetting position, if any,
has been entered into.
<TABLE>
<CAPTION>
NET
UNREALIZED
LOCAL SETTLEMENT MARKET APPRECIATION/
CURRENCY DATE VALUE (DEPRECIATION)
-------- --------------- -------- --------------
US$ US$
<S> <C> <C> <C> <C>
GLOBAL GROWTH & INCOME
To Sell:
British Pound........................... 60,000 October 7, 1999 (98,812) (4,241)
New Zealand Dollar...................... 80,000 October 7, 1999 (41,315) 1,317
------
Net equity in foreign currency exchange
contracts.............................. (2,924)
======
</TABLE>
<TABLE>
<CAPTION>
NET
UNREALIZED
LOCAL SETTLEMENT MARKET APPRECIATION/
CURRENCY DATE VALUE (DEPRECIATION)
-------- --------------- -------- --------------
US$ US$
<S> <C> <C> <C> <C>
SHORT INTERMEDIATE
To Sell:
European Euro.......................... 917,000 October 7, 1999 (976,819) (4,138)
------
Net equity in foreign currency exchange
contracts............................ (4,138)
======
</TABLE>
<TABLE>
<CAPTION>
NET
UNREALIZED
LOCAL SETTLEMENT MARKET APPRECIATION/
CURRENCY DATE VALUE (DEPRECIATION)
--------- ---------------- -------- --------------
US$ US$
<S> <C> <C> <C> <C>
HIGH QUALITY BOND
To Buy:
Australian Dollar.................... 160,000 November 9, 1999 104,478 (946)
European Euro........................ 100,000 October 7, 1999 106,523 2,243
European Euro........................ 125,000 October 7, 1999 133,154 967
European Euro........................ 100,000 October 7, 1999 106,523 303
European Euro........................ 75,000 October 7, 1999 79,892 264
European Euro*....................... 20,000 October 7, 1999 21,305 430
European Euro*....................... 100,000 October 7, 1999 106,523 123
European Euro*....................... 80,000 October 7, 1999 85,219 1,721
New Zealand Dollar................... 25,000 October 7, 1999 12,911 (312)
New Zealand Dollar*.................. 470,000 October 7, 1999 242,723 (751)
New Zealand Dollar*.................. 125,000 October 7, 1999 64,554 (200)
To Sell:
Danish Krona......................... 1,350,000 October 7, 1999 (193,446) (4,737)
European Euro........................ 130,000 October 7, 1999 (138,480) (4,775)
European Euro........................ 590,000 October 7, 1999 (628,487) 5,320
European Euro*....................... 20,000 October 7, 1999 (21,305) (506)
European Euro*....................... 100,000 October 7, 1999 (106,523) (2,528)
European Euro*....................... 80,000 October 7, 1999 (85,219) (2,939)
New Zealand Dollar................... 25,000 October 7, 1999 (12,911) 297
New Zealand Dollar*.................. 470,000 October 7, 1999 (242,723) 7,735
New Zealand Dollar*.................. 125,000 October 7, 1999 (64,554) 1,484
------
Net equity in foreign currency
exchange contracts................. 3,193
======
</TABLE>
* The Fund has entered into offsetting forward currency contracts.
NOTE F -- CAPITAL ACTIVITY
The Trust has unlimited shares of no par value beneficial interest authorized.
The following table shows the net assets of the Funds immediately before and
after the reorganization described in Note A. The reorganization, which
- --------------------------------------------------------------------------------
117
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) -- CONTINUED
- --------------------------------------------------------------------------------
represented a change in corporate form, is accounted for by pooling the net
assets and results of operations of the combined Funds.
<TABLE>
<CAPTION>
NET ASSETS
-----------------------
BEFORE AFTER
FUND (IN 000'S) (IN 000'S)
- ---- ---------- ----------
<S> <C> <C>
Global Blue Chip............................. $ 11,337 $ 11,337
Global Growth & Income....................... 5,688 5,688
Global Technology............................ 29,025 29,025
Pacific Rim.................................. 1,382 1,382
Latin America................................ 4,914 4,914
Mini Cap Growth Fund......................... 57,541 57,541
Short Intermediate........................... 20,667 20,667
</TABLE>
SPECIAL MEETINGS OF SHAREHOLDERS
1. A special meeting of shareholders of the Trust was held at the offices of
the Trust on July 15, 1999. Shareholders of the Trust were asked to approve
a new Subadvisory Agreement between Nicholas-Applegate Capital Management
and Criterion Investment Management LLC (the "Subadvisory Agreement") for
each of the Short Intermediate and High Quality Bond Funds. In the matter
of approving the new Subadvisory Agreement, 1,414,700 shares of the High
Quality Bond Fund voted in favor, 0 shares voted against and 716 shares
abstained from voting. For the Short Intermediate Fund 1,056,667 shares
voted to approve, 0 shares voted against and 0 shares abstained from
voting.
2. On May 7, 1999 a special meeting of the shareholders of the Mini Cap
Growth, Global Technology, Global Blue Chip, Global Growth & Income,
Pacific Rim, Greater China, Latin America and Short Intermediate Funds (the
"Funds") was held at the offices of the Trust. Shareholders of the Funds
were asked to approve an Agreement and Plan of Reorganization whereby all
of the assets of each of the Funds would transfer to an identically-managed
series of Nicholas-Applegate Institutional Funds. In the matter of
approving the Agreement and Plan of Reorganization there were the following
votes:
<TABLE>
<CAPTION>
VOTES VOTES
FUND VOTES FOR AGAINST ABSTAINING
- ---- --------- -------- ----------
<S> <C> <C> <C>
Mini Cap Growth...................... 2,408,149 5,986 40,505
Global Technology.................... 212,183 0 0
Global Blue Chip..................... 448,627 39 0
Global Growth & Income............... 356,987 3,156 809
Pacific Rim.......................... 92,665 0 0
Greater China........................ 85,746 0 0
Latin America........................ 98,144 0 0
Short Intermediate................... 991,175 0 0
</TABLE>
- --------------------------------------------------------------------------------
118
<PAGE>
TRUSTEES OF NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
Arthur E. Nicholas
Walter E. Auch
Darlene T. DeRemer
George F. Keane
OFFICERS
John J.P. McDonnell, PRESIDENT
E. Blake Moore, Jr., SECRETARY
C. William Maher, TREASURER
INVESTMENT ADVISER
Nicholas-Applegate Capital Management
DISTRIBUTOR
Nicholas-Applegate Securities
CUSTODIAN
Brown Brothers Harriman & Co., Private Bankers
TRANSFER AGENT
State Street Bank & Trust Company
<PAGE>
NICHOLAS-APPLEGATE-Registered
Trademark-
MUTUAL FUNDS
600 West Broadway
San Diego, California 92101
800 - 551 - 8643
Nicholas-Applegate Securities, Distributor
SEMI99INST
<PAGE>
NICHOLAS-APPLEGATE-Registered
Trademark-
INSTITUTIONAL FUNDS
Semi-Annual Report
Retirement Shares
September 30, 1999
<PAGE>
LETTER TO SHAREHOLDERS
- ------------------------------------------------------------------------
DEAR FELLOW SHAREHOLDER:
During the six-month period ended September 30, 1999, global equity markets
surged to record highs and suffered sharp declines. Amid these changing market
conditions, the Nicholas-Applegate mutual funds largely outperformed their
benchmarks as a result of the consistent application of our proven investment
philosophy.
In the United States, stocks benefited from solid corporate profits, low
inflation and continued economic strength during much of the period. While the
specter of higher interest rates contributed to a pullback during the third
quarter, we continued to find stocks exhibiting the three elements of our
investment philosophy: evidence of positive change; sustainability of that
change; and timeliness of investment. The strong gains among US technology
stocks across all market cap segments lifted the market to record highs during
the period and helped small and mid caps narrow their underperformance gap
versus large-cap stocks.
Overseas, signs of economic recovery, corporate restructuring and increased
merger and acquisition activity boosted returns for stocks in Japan. Similar
themes, and a continued focus on enhancing shareholder value and improving
corporate efficiency, characterized developed markets in Europe and contributed
to gains. In emerging markets, two years after a devastating economic and
currency crisis, many countries are demonstrating significant recoveries. The
following factors boosted returns among emerging market stocks: improvement in
economic conditions, declining interest rates, government efforts to implement
reforms, corporate restructuring and a recovery in commodity prices.
Fixed income markets were negatively affected by rising long-term interest
rates during much of the period and the Federal Reserve Board's decision to
increase short-term interest rates twice. At the same time, inflation remains
benign -- despite investor worries. Economic growth is solid and the Fed is
committed to fighting inflation -- all positive signs for bonds.
Over the last six months, we further strengthened our investment and client
service teams by hiring a number of talented professionals. We hired several
investment professionals for our Global Equity Management Team who intensify our
research and analysis capabilities in the United States and among developed and
emerging markets. These additions fortify the depth of talent firmwide and
enhance our ability to deliver superior investment results and excellent client
service.
As we continue to sharpen our competitive advantages, I believe
Nicholas-Applegate is better positioned now to deliver superior long-term
performance results and responsive client service than we have been at any point
in our 15-year history. We appreciate your confidence and look forward to
extending our relationship with you in the years to come.
Best Regards,
/S/ ART NICHOLAS
Art Nicholas
Managing Partner
Nicholas-Applegate Capital Management
- --------------------------------------------------------------------------------
<PAGE>
TABLE OF CONTENTS
- ------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAGE
<S> <C>
The Funds' Review and Outlook, Performance and Schedule of
Investments
International Core Growth................................. 1
Emerging Countries........................................ 6
Large Cap Growth.......................................... 11
Mid Cap Growth............................................ 14
Small Cap Growth.......................................... 18
Value..................................................... 26
High Quality Bond......................................... 30
The Funds'
Financial Highlights...................................... 36
Statements of Assets and Liabilities...................... 38
Statements of Operations.................................. 40
Statements of Changes in Net Assets....................... 42
Notes to the Financial Statements......................... 44
</TABLE>
- ------------------------
This report is authorized for distribution to shareholders and to others only
when preceded or accompanied by a currently effective prospectus for
Nicholas-Applegate Institutional Funds Retirement Shares. Distributor: Nicholas-
Applegate Securities.
<PAGE>
INTERNATIONAL CORE GROWTH FUND RETIREMENT SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; LARRY SPEIDELL, CFA, Partner, Director of Global/Systematic
Portfolio Management and Research; PEDRO V. MARCAL, Partner, Portfolio Manager;
LORETTA J. MORRIS, Partner, Portfolio Manager; RANDALL S. KAHN, CFA, Portfolio
Manager; ERNESTO RAMOS, PH.D., Portfolio Manager; MELISA A. GRIGOLITE, Portfolio
Manager; CHRISTOPHER V. ANGIOLETTI, Investment Analyst; JON BORCHARDT,
Investment Analyst; DAVID LOPEZ, Investment Analyst; ROLF SCHILD, Investment
Analyst.
GOAL: The Nicholas-Applegate International Core Growth Fund seeks to maximize
long-term capital appreciation through investments primarily in companies
located outside the United States with market capitalizations corresponding to
the top 75% of publicly traded companies as measured by stock market
capitalizations within each country.
MARKET OVERVIEW: During the six-month period ending September 30, 1999,
developed non-US markets posted gains amid signs of economic recovery in many
countries. Brighter economic prospects for Europe, including Germany, France and
Italy, boosted equity market returns in the region. The following themes inspire
optimism for countries in the region:
- resurgence in consumer and business confidence
- low inflation environment
- continued trends of consolidation, restructuring and deregulation
- record pace of merger and acquisition activities
In Japan, the resumption of economic growth beginning in the first quarter of
this year -- which ended six quarters of negative growth -- pushed the equity
market higher. The positive themes of corporate restructuring and the rise in
merger and acquisition activities contributed to gains.
PERFORMANCE: For the six-month period ended September 30, 1999, the fund
returned 14.3% versus 7.0% for the MSCI EAFE Index.
PORTFOLIO SPECIFICS: Stock selection, especially among Japanese technology
companies contributed to outperformance during the period. Some of the fund's
top performers were electronics manufacturers Sony Corp. and Matsushita, as well
as software and peripheral distributor Softbank.
In Germany, we own Mannesmann AG, another strong contributor to gains. The
company thrives from the improvement in consumer and business demand in the
country. Mannesmann is one of Germany's largest conglomerates and is among the
country's leading providers of telecommunications and engineering products and
services. The company is expected to benefit from the robust growth in
telecommunications worldwide.
MARKET OUTLOOK: We remain optimistic in our outlook for equity markets in the
world's developed markets amid positive economic conditions, business trends and
consumer activity. We are confident that the application of our strict
investment philosophy will lead us to find exciting growth opportunities in the
world's developed markets.
- --------------------------------------------------------------------------------
1
<PAGE>
INTERNATIONAL CORE GROWTH FUND RETIREMENT SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN INTERNATIONAL CORE
GROWTH FUND RETIREMENT SHARES WITH THE MSCI EAFE INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
33.71% As of 09/30/99 25.54%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
INTERNATIONAL CORE MSCI EAFE INDEX
GROWTH FUND
RETIREMENT SHARES
<S> <C> <C>
Date
27-Dec-96 10,000.00 10,000.00
31-Dec-96 10,099.59 9,979.00
31-Jan-97 10,979.25 9,629.74
28-Feb-97 11,087.14 9,787.66
31-Mar-97 11,294.61 9,822.90
30-Apr-97 11,452.28 9,874.96
31-May-97 12,514.52 10,517.82
30-Jun-97 13,228.22 11,097.35
31-Jul-97 14,074.69 11,277.13
31-Aug-97 13,336.10 10,434.73
30-Sep-97 14,315.35 11,019.07
31-Oct-97 13,128.63 10,171.71
30-Nov-97 12,979.25 10,067.95
31-Dec-97 13,153.53 10,155.54
31-Jan-98 13,634.85 10,619.65
28-Feb-98 14,564.32 11,301.12
31-Mar-98 15,427.39 11,649.19
30-Apr-98 15,875.52 11,741.45
31-May-98 16,265.56 11,684.51
30-Jun-98 16,448.13 11,773.31
31-Jul-98 17,178.42 11,892.22
31-Aug-98 14,713.69 10,418.77
30-Sep-98 14,008.30 10,098.92
31-Oct-98 14,265.56 11,151.22
30-Nov-98 15,120.33 11,722.17
31-Dec-98 15,950.21 12,184.02
31-Jan-99 16,564.32 12,147.47
28-Feb-99 15,875.52 11,858.36
31-Mar-99 16,381.74 12,352.85
30-Apr-99 16,970.95 12,853.14
31-May-99 16,323.65 12,142.36
30-Jun-99 17,609.96 12,615.79
31-Jul-99 18,174.27 12,990.48
31-Aug-99 18,456.43 13,038.55
30-Sep-99 18,730.29 13,222.00
</TABLE>
This graph compares a $10,000 investment in the International Core Growth Fund
Retirement Shares with the MSCI EAFE Index, on a cumulative and average annual
total return basis. The Fund's Retirement Shares calculate their performance
based upon the historical performance of their corresponding series ("Fund") of
Pilgrim Mutual Funds (formerly Nicholas-Applegate Mutual Funds), adjusted to
reflect fees and operating expenses. The Fund's Retirement Shares were first
available on 5/21/99. 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 reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Morgan Stanley Capital International ("MSCI") Europe, Australia, Far East
("EAFE") Index is an unmanaged index that is a generally accepted benchmark for
major overseas markets included in the index on a U.S. dollar adjusted basis.
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.
Investments in overseas markets pose special risks, including currency
fluctuation and political risks, and the Fund's Share price is expected to be
more volatile than that of a U.S. only fund.
- --------------------------------------------------------------------------------
2
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
INTERNATIONAL CORE GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCK -- 93.0%
- --------------------------------------------------------------
AUSTRALIA -- 0.8%
Rio Tinto, Ltd.................. 73,700 $ 1,249,839
------------
BELGIUM -- 0.8%
Fortis (B)...................... 41,400 1,349,121
------------
BRAZIL -- 1.0%
Aracruz Celulose S.A. -- ADR.... 18,500 386,188
CIA Siderurgica Nacional........ 22,996,000 580,888
Petroleo Brasileiro S.A......... 36,500 562,717
------------
1,529,793
------------
CANADA -- 3.8%
Anderson Exploration Ltd.**..... 94,900 1,252,848
Barrick Gold Corp............... 32,700 711,225
Biovail Corp. International*.... 20,700 1,050,525
Nortel Networks................. 32,600 1,662,600
Talisman Energy................. 47,300 1,416,044
------------
6,093,242
------------
DENMARK -- 1.3%
Tele Denmark AS................. 34,000 2,026,303
------------
FINLAND -- 3.1%
Nokia OYJ -- ADR................ 21,000 1,886,063
Sonera Group OYJ................ 39,800 1,152,872
Stora Enso OYJ.................. 147,700 1,958,299
------------
4,997,234
------------
FRANCE -- 12.5%
Alcatel......................... 9,300 1,281,582
Axa............................. 11,200 1,416,980
Cap Gemini S.A.*................ 8,600 1,355,468
Carrefour S.A................... 8,800 1,408,545
Coflexip S.A.................... 14,000 668,500
Credit Lyonnais*................ 29,500 867,396
Elf Aquitaine................... 5,900 1,030,446
Lafarge S.A..................... 15,100 1,669,182
Michelin (CGDE) Cl. B........... 28,000 1,321,560
Pechiney S.A.*.................. 29,000 1,605,945
Societe Television Francaise
1............................. 8,300 2,322,028
St Gobain....................... 8,000 1,490,930
Suez Lyonnaise des Eaux......... 9,000 1,456,852
Total Fina S.A.................. 16,400 2,060,891
------------
19,956,305
------------
GERMANY -- 10.3%
BASF AG*........................ 36,000 1,533,528
Bayerische Motoren Werk AG...... 57,200 1,614,251
Deutsche Bank AG................ 36,200 2,422,942
Deutsche Telekom AG*............ 33,500 1,373,519
Edel Music AG*.................. 12,000 479,228
Fresenius Medical Care AG....... 22,500 1,490,398
Mannesmann AG................... 15,300 2,444,060
SAP AG.......................... 4,800 2,152,051
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
GERMANY (CONTINUED)
Thyssen Krupp AG................ 50,200 $ 1,007,730
Veba AG......................... 35,300 1,934,146
------------
16,451,853
------------
GREECE -- 0.6%
Titan Cement S.A................ 8,400 979,891
------------
HONG KONG -- 1.5%
Cathay Pacific Airways.......... 728,000 1,312,082
HSBC Holdings PLC............... 92,400 1,055,704
------------
2,367,786
------------
HUNGARY -- 0.4%
Magyar Tavkoziesi -- ADR........ 26,300 716,675
------------
INDONESIA -- 0.0%
Sampoerna International......... 100 177
------------
IRELAND -- 0.5%
CRH PLC......................... 39,100 748,679
------------
ITALY -- 1.8%
Bipop-Carire SpA................ 17,700 757,755
Mediaset SpA.................... 100,400 1,025,372
Seat-Pagine Gialle Spa.......... 793,700 1,159,684
------------
2,942,811
------------
JAPAN -- 29.6%
Advantest Corp.................. 8,100 1,171,598
Asahi Chemical Industry Co.,
Ltd........................... 123,000 685,066
Bank Of Tokyo-Mitsubishi,
Ltd........................... 99,000 1,520,287
Dai-Ichi Kangyo Bank, Ltd....... 241,000 3,005,992
Fuji Soft ABC, Inc.............. 21,000 1,788,955
Fujitsu, Ltd.................... 64,800 2,020,626
Hitachi, Ltd.................... 136,000 1,507,279
KAO Corp........................ 73,000 2,063,774
KDD Corp........................ 10,900 1,127,163
Keyence Corp.................... 3,000 803,043
Matsushita Communication
Industrial Co................. 20,000 2,225,979
Murata Manufacturing Co.,
Ltd........................... 18,000 1,808,960
Nintendo Co., Ltd............... 4,900 781,460
Nippon Steel Corp............... 770,000 2,090,072
Nippon Telegraph and Telephone
Corp.......................... 170 2,091,669
Nomura Securities Co., Ltd...... 96,000 1,487,743
NTT Data Corp................... 114 1,284,869
NTT Mobile Communications....... 144 2,840,237
Orix Corp. -- ADR............... 11,500 698,625
Rengo Co., Ltd.................. 178,000 1,151,893
Ryohin Keikaku Co., Ltd......... 3,700 747,159
Ryohin Keikaku Co., Ltd. (99
Shares)*...................... 8,700 1,748,661
Seven-Eleven Japan Co., Ltd..... 12,100 1,062,600
Seven Eleven Japan Co., Ltd. (99
Shares)*...................... 12,100 1,068,282
Shin-Etsu Chemical Co., Ltd..... 33,000 1,376,161
Shohkoh Fund & Co., Ltd......... 3,510 2,620,879
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
3
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
INTERNATIONAL CORE GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- --------------------------------------------------------------
JAPAN (CONTINUED)
Softbank Corp................... 7,000 $ 2,662,722
Sony Corp....................... 16,200 2,420,795
Takefuji Corp................... 9,400 1,565,342
------------
47,427,891
------------
MEXICO -- 0.7%
Telefonos de Mexico S.A. --
ADR........................... 16,000 1,140,000
------------
NETHERLANDS -- 5.3%
ASM Lithography Holding N.V. --
ADR*.......................... 28,100 1,884,456
DSM N.V.*....................... 33,600 1,332,891
Equant N.V.*.................... 13,800 1,122,975
Koninklijke Philips Electronics
N.V. -- ADR*.................. 14,200 1,434,200
Royal Dutch Petroleum Co........ 11,400 673,313
STMicroelectronics N.V.......... 28,200 2,086,800
------------
8,534,635
------------
NETHERLANDS ANTILLES -- 0.8%
Schlumberger Ltd................ 20,600 1,283,638
------------
SINGAPORE -- 1.2%
DBS Group Holdings, Ltd......... 43,031 480,793
Flextronics International
Ltd.*......................... 13,000 756,438
Natsteel Electronics, Ltd....... 174,000 649,750
------------
1,886,981
------------
SOUTH KOREA -- 1.5%
Korea Telecom Corp. -- ADR*..... 20,600 762,200
Pohang Iron & Steel Co. --
ADR........................... 28,500 892,406
Samsung Electronics............. 4,600 744,924
------------
2,399,530
------------
SWEDEN -- 1.3%
LM Ericsson Telephone Co. --
ADR........................... 64,100 2,003,125
------------
SWITZERLAND -- 0.4%
Julius Baer Holdings AG Cl. B... 200 593,096
------------
TAIWAN -- 0.7%
Taiwan Semiconductor -- ADR*.... 40,282 1,188,319
------------
UNITED KINGDOM -- 13.1%
ARM Holdings PLC -- ADR*........ 95,900 1,496,414
Barclays PLC.................... 41,400 1,215,642
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
UNITED KINGDOM (CONTINUED)
British Telecom PLC -- ADR...... 51,900 $ 785,911
CMG PLC*........................ 35,100 1,196,552
Colt Telecom Group PLC*......... 56,900 1,353,111
Corus Group PLC*................ 607,500 1,543,212
Eidos PLC*...................... 21,800 1,385,432
General Electric Co. PLC........ 118,700 1,139,655
GKN PLC......................... 71,100 1,135,198
Morgan Crucible Co. PLC*........ 326,600 1,393,062
Orange PLC*..................... 71,400 1,403,967
Shell Transport & Trading Co.... 133,200 995,896
Shire Pharmaceuticals PLC --
ADR*.......................... 58,200 1,676,888
Smith & Nephew PLC*............. 206,600 650,707
Standard Chartered PLC.......... 58,800 850,209
Unilever PLC*................... 162,200 1,526,584
Vodafone Airtouch PLC........... 50,726 1,201,278
------------
20,949,718
------------
TOTAL COMMON STOCK
(Cost: $133,125,964)......................... 148,816,642
------------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 5.0%
- --------------------------------------------------------------
Pitney Bowes
5.600%, 10/01/99
(Cost $7,919,768)............. $ 7,921,000 7,919,768
------------
- --------------------------------------------------------------
REPURCHASE AGREEMENTS -- 7.3%
- --------------------------------------------------------------
J.P. Morgan & Co., Inc.
$11,639,000 at 5.310%
(Agreement dated 09/30/99 to
be repurchased at $11,640,693
on 10/01/99; collateralized by
$11,555,000 FNMA Notes, 5.970%
due 10/02/99 (Value
$11,871,723))
(Cost: $11,639,000)........... 11,639,000 11,639,000
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 105.3%
(Cost: $152,684,732)........................ 168,375,410
LIABILITIES IN EXCESS OF OTHER ASSETS --
(5.3%)........................................ (8,406,660)
------------
NET ASSETS -- 100.0%.......................... $159,968,750
------------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
4
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
INTERNATIONAL CORE GROWTH FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Airlines........................ 0.8%
Audio/Video Products............ 1.8
Auto Manufacturers.............. 1.0
Auto Parts & Equipment.......... 0.7
Building Materials.............. 3.1
Chemicals....................... 3.1
Computer Services............... 1.6
Computer Software............... 2.5
Computers....................... 3.1
Cosmetics & Personal Products... 1.3
Diversified Financial
Services...................... 17.6
Diversified Manufacturing....... 2.6
Drugs/Pharmaceuticals........... 2.1
Electronic
Components/Semiconductors..... 7.1
Electronics..................... 1.4
Entertainment Software.......... 0.9
Food............................ 1.8
Insurance....................... 0.9
Investment Companies............ 2.1
Machinery....................... 1.5
Medical Products................ 0.9
Metal Fabrication & Hardware.... 1.0
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Metals.......................... 0.8%
Mining.......................... 0.4
Miscellaneous Manufacturing..... 0.9
Money Center Banks.............. 6.2
Oil & Gas Producers............. 5.0
Oil & Gas Services.............. 1.2
Paper & Related Products........ 2.2
Publishing...................... 0.7
Regional Commercial Banks....... 0.8
Retail - Convenience Stores..... 1.4
Retail - Miscellaneous.......... 1.6
Steel........................... 3.2
Telecommunications.............. 12.8
Telecommunications Equipment.... 4.9
Television...................... 2.1
Tires........................... 0.8
Toys/Games/Hobbies.............. 0.5
Water........................... 0.9
Liabilities in Excess of Other
Assets........................ (5.3)
-----
NET ASSETS...................... 100.0%
-----
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
5
<PAGE>
EMERGING COUNTRIES FUND RETIREMENT SHARES
- ------------------------------------------------------------------------
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, Partner,
Portfolio Manager; ERNESTO RAMOS, PH.D., Portfolio Manager; JESSICA GONCALVES,
Portfolio Manager; JASON CAMPBELL, Portfolio Manager; THEODORA JAMISON,
Investment Analyst; JOHN MAZUR, Investment Analyst; ANDREW PARMET, Investment
Analyst.
GOAL: The Emerging Countries Fund seeks to maximize long-term capital
appreciation through investments in companies located in developing countries
around the world.
MARKET OVERVIEW: During the six-month period ended September 30, 1999, many
emerging countries in Asia, Latin America, as well as those in the Europe,
Middle East and Africa (EMEA) region showed signs of economic recovery following
the lingering effects of 1997's financial crisis. In Asia, the following factors
contribute to brighter economic prospects:
- banking system reforms
- resurgent consumer demand
- rising export growth
During the period, economic recovery was also evidenced in Latin America as
commodity prices, including oil, a strong US economy, as well as low inflation
in the region have all contributed to a boost in equity markets. In Mexico,
favorable trends such as strengthening commodity prices and a strong US economy
bode well for the country.
PERFORMANCE: The fund gained 20.4% in the six-month period ending September
30, 1999 versus 18.0% for the MSCI Emerging Markets Free Index.
PORTFOLIO SPECIFICS: Our bottom-up stock selection helped us uncover promising
investments during the period. For example, the rise in oil prices led Petroleo
Brasileiro to be one of the top performers for the fund. In South Korea, Pohang
Iron & Steel posted strong returns. We also own Datacraft Asia, maker of
high-tech digital systems for specialist software with locations throughout
Asia. Additionally, in India, Hindustan Lever, India's leader in home and
personal care products as well as food and beverages, was another top performer
for the fund.
MARKET OUTLOOK: We continue to find attractive opportunities throughout
emerging markets. Although uncertainties remain -- such as political and
regulatory issues -- we believe long-term prospects overshadow these worries.
Emerging countries continue to exhibit an important share of the world's GDP
and population, strong growth in consumption, competitive labor costs, and
rising productivity.
In light of the reforms and the recent return of investor confidence,
countries such as South Korea, the Philippines, Thailand and Indonesia are
expected to post significant economic recoveries both this year and into 2000.
- --------------------------------------------------------------------------------
6
<PAGE>
EMERGING COUNTRIES FUND RETIREMENT SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN EMERGING COUNTRIES FUND
RETIREMENT SHARES WITH THE MSCI EMERGING MARKETS FREE INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
48.49% As of 09/30/99 7.88%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
EMERGING COUNTRIES FUND RETIREMENT SHARES
MSCI EMF INDEX
<S> <C> <C>
Date
28-Nov-94 10,000.00 10,000.00
30-Nov-94 10,071.30 10,189.53
31-Dec-94 9,474.15 9,374.37
31-Jan-95 8,707.66 8,380.68
28-Feb-95 8,618.54 8,162.79
31-Mar-95 8,725.49 8,211.76
30-Apr-95 9,233.51 8,580.47
31-May-95 9,937.61 9,036.95
30-Jun-95 10,044.56 9,064.06
31-Jul-95 10,713.01 9,267.10
31-Aug-95 10,650.62 9,048.40
30-Sep-95 10,659.54 9,005.87
31-Oct-95 10,142.60 8,660.94
30-Nov-95 9,919.79 8,506.78
31-Dec-95 10,115.86 8,884.48
31-Jan-96 11,033.87 9,516.17
29-Feb-96 11,194.30 9,364.86
31-Mar-96 11,238.86 9,437.90
30-Apr-96 11,951.87 9,815.42
31-May-96 12,361.85 9,771.25
30-Jun-96 12,379.68 9,831.83
31-Jul-96 11,907.31 9,160.32
31-Aug-96 12,415.33 9,394.82
30-Sep-96 12,638.15 9,476.56
31-Oct-96 12,308.38 9,223.53
30-Nov-96 12,789.66 9,378.49
31-Dec-96 12,923.35 9,420.69
31-Jan-97 13,877.01 10,063.18
28-Feb-97 14,304.81 10,493.89
31-Mar-97 14,064.17 10,217.90
30-Apr-97 14,180.04 10,236.29
31-May-97 15,026.74 10,529.05
30-Jun-97 16,167.56 11,092.35
31-Jul-97 16,942.96 11,257.63
31-Aug-97 15,641.71 9,825.66
30-Sep-97 16,755.79 10,097.83
31-Oct-97 14,082.00 8,440.78
30.Nov.97 13,680.93 8,132.69
31.Dec.97 14,188.95 8,328.68
31-Jan-98 13,368.98 7,675.47
28-Feb-98 14,438.50 8,476.63
31-Mar-98 15,258.47 8,844.52
30-Apr-98 15,748.66 8,748.20
31-May-98 14,108.73 7,549.35
30-Jun-98 13,137.25 6,757.42
31-Jul-98 13,734.40 6,971.63
31-Aug-98 9,714.80 4,956.13
30-Sep-98 9,723.71 5,270.50
31-Oct-98 10,534.76 5,825.48
30.Nov.98 11,078.43 6,309.99
31.Dec.98 11,149.73 6,218.49
31-Jan-99 11,488.41 6,118.19
28-Feb-99 11,256.68 6,177.72
31-Mar-99 11,996.43 6,991.94
30-Apr-99 13,351.16 7,856.99
31-May-99 13,288.77 7,774.49
30-Jun-99 14,991.09 8,656.81
31-Jul-99 14,661.32 8,421.35
31-Aug-99 14,652.41 8,497.98
30-Sep-99 14,438.50 8,250.00
</TABLE>
This graph compares a $10,000 investment in the Emerging Countries Fund
Retirement Shares with the MSCI Emerging Markets Free Index ("EMF"), on a
cumulative and average annual total return basis. The Fund's Retirement Shares
calculate their performance based upon the historical performance of their
corresponding series ("Fund") of Pilgrim Mutual Funds (formerly
Nicholas-Applegate Mutual Funds), adjusted to reflect fees and operating
expenses. The Fund's Retirement Shares were first available on 5/21/99. 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 reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
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.
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.
Investments in overseas markets pose special risks, including currency
fluctuation and political risks, and the Fund's share price is expected to be
more volatile than that of a U.S. only fund. These risks are generally
intensified for investments in emerging markets.
- --------------------------------------------------------------------------------
7
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
EMERGING COUNTRIES FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCK -- 99.2%
- --------------------------------------------------------------
BRAZIL -- 9.1%
Aracruz Celulose S.A. -- ADR.... 88,700 $ 1,851,613
CIA Siderurgica Nacional........ 40,746,000 1,029,261
CIA Siderurgica Nacional --
ADR........................... 13,000 334,750
CIA Vale do Rio Doce -- ADR..... 59,000 1,244,552
CIA Vale do Rio Doce A.......... 117,700 2,507,255
Electropaulo
Metropolitana-Electricidad
de Sao Paulo S.A.............. 58,625,000 2,778,581
Petroleo Brasileiro S.A......... 33,082,600 4,945,159
Tele Centro Sul Participacoes
S.A. -- ADR*.................. 41,400 2,297,700
------------
16,988,871
------------
BRITISH VIRGIN ISLANDS -- 0.9%
Del Monte Pacific, Ltd.*........ 835,400 388,461
MIH, Ltd.*...................... 42,100 1,215,638
------------
1,604,099
------------
CROATIA -- 0.4%
Pliva D.D. -- GDR 144A.......... 79,100 806,820
------------
CZECH REPUBLIC -- 1.7%
Ceske Radiokomunikace -- GDR
144A*......................... 39,700 1,434,163
Komercni Banka AS -- ADR*....... 195,600 1,677,270
------------
3,111,433
------------
EGYPT -- 1.3%
Al-Ahram Beverages Co. -- GDR
144A*......................... 36,500 1,090,438
Mobinil-Egyptian Mobile Phone
Services*..................... 52,700 1,235,385
Orascom Hotel Holdings*......... 4,818 15,530
------------
2,341,353
------------
GREECE -- 6.3%
Alpha Credit Bank S.A.*......... 33,800 2,711,494
Commercial Bank Of Greece
S.A.*......................... 15,150 1,399,504
Hellenic Telecommunications Co.
S.A. -- GDR*.................. 85,600 957,650
Intracom S.A.................... 16,680 1,416,492
National Bank of Greece S.A..... 18,910 1,513,927
Titan Cement Co. AS............. 32,200 3,756,249
------------
11,755,316
------------
HONG KONG -- 3.6%
Beijing Enterprises Holdings,
Ltd.
Cl. H*........................ 226,000 378,228
Cathay Pacific Airways.......... 618,000 1,113,829
China Telecom (Hong Kong), Ltd.
Cl. H*........................ 760,000 2,338,371
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
HONG KONG (CONTINUED)
HSBC Holdings PLC*.............. 164,400 $ 1,878,331
Pacific Century Cyberworks...... 1,139,000 960,433
------------
6,669,192
------------
HUNGARY -- 2.0%
Magyar Tavkozliesi -- ADR....... 64,900 1,768,525
Tiszai Vegyi Kombinat........... 122,900 1,882,017
------------
3,650,542
------------
INDIA -- 12.2%
Hindalco Industries, Ltd........ 88,100 1,806,661
Hindalco Industries, Ltd. -- GDR
144A*......................... 67,400 1,841,705
Hindustan Lever, Ltd.*.......... 79,900 4,682,750
ICICI, Ltd. -- ADR*............. 87,500 1,050,000
Infosys Technologies, Ltd....... 46,700 7,659,250
NIIT, Ltd....................... 1,000 65,007
Ranbaxy Laboratories, Ltd --
GDR*.......................... 82,100 1,980,663
Reliance Industries, Ltd.*...... 683,100 3,726,142
------------
22,812,178
------------
INDONESIA -- 0.5%
Gulf Indonesia Resources,
Ltd........................... 100,900 1,015,306
------------
ISRAEL -- 2.3%
Bank Hapoalim, Ltd.............. 751,800 1,849,897
Leumi Bank Le Israel............ 807,500 1,405,775
Matav-Cable Systems Media
Ltd........................... 50,100 1,054,823
------------
4,310,495
------------
MEXICO -- 12.4%
Alfa, S.A.*..................... 623,000 2,636,244
Carso Global Telecom S.A........ 394,000 2,183,620
Cemex S.A. -- ADR*.............. 135,400 3,266,525
Corporacion Interamericana de
Entretenimiento S.A. Cl. B*... 928,000 2,233,991
Corporacion Interamericana de
Entretenimiento S.A. Cl. L*... 294,000 692,024
Grupo Carso S.A................. 497,000 2,073,824
Grupo Televisa S.A.............. 5,000 99,289
Grupo Televisa S.A. -- GDR
144A*......................... 104,500 4,173,468
Telefonos de Mexico S.A. Cl.
L -- ADR*..................... 81,300 5,792,625
------------
23,151,610
------------
PHILIPPINES -- 0.5%
Philippine Long Distance
Telephone Co. -- ADR.......... 29,800 648,150
SM Prime Holdings, Inc.......... 1,978,000 333,697
------------
981,847
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
8
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- --------------------------------------------------------------
POLAND -- 0.9%
Elektrim S.A.................... 119,900 $ 1,106,094
Softbank S.A. -- GDR............ 25,900 653,975
------------
1,760,069
------------
SINGAPORE -- 5.8%
Datacraft Asia, Ltd............. 1,003,000 4,413,200
DBS Group Holdings, Ltd.*....... 88,388 987,575
Elec & Eltek International
Co............................ 264,000 1,024,320
Natsteel Electronics, Ltd....... 305,000 1,138,930
Pacific Century Regional*....... 171,000 1,086,034
Venture Manufacturing, Ltd...... 252,000 2,193,237
------------
10,843,296
------------
SOUTH KOREA -- 16.0%
Housing & Commercial Bank....... 73,690 1,423,522
Hyundai Motor Co., Ltd.......... 115,490 2,387,648
Hyundai Motor Co., Ltd. --
GDR*.......................... 43,000 424,625
Korea Telecom Corp.............. 24,180 1,492,740
Korea Telecom Corp. -- ADR*..... 59,049 2,184,813
L.G. Chemicals, Ltd............. 105,010 3,047,146
LG Electronics Co............... 106,380 3,567,862
Pohang Iron & Steel Co.,
Ltd. -- ADR................... 140,000 4,383,750
Samsung Corp.................... 186,210 2,724,651
Samsung Electronics............. 31,997 5,181,594
Shinhan Bank.................... 145,150 1,348,290
Shinhan Bank -- GDR*............ 91,500 1,674,450
------------
29,841,091
------------
SOUTH AFRICA -- 4.1%
Anglo American Corp. PLC........ 36,400 2,039,613
De Beers Centenary Link Units... 113,200 3,113,000
Investec Group, Ltd............. 35,600 1,157,000
Nedcor, Ltd.*................... 66,100 1,295,560
------------
7,605,173
------------
TAIWAN -- 11.1%
ASE Test, Ltd.*................. 81,900 1,986,075
Asustek Computer, Inc........... 176,800 1,757,710
Cathay Life Insurance Co........ 16,200 41,793
China Steel Corp................ 1,200,000 974,044
China Steel Corp. -- GDR........ 67,300 1,340,953
Hon Hai Precision Industry Co.,
Ltd........................... 610,800 3,997,055
Taiwan Semiconductor -- ADR..... 1,615,000 6,783,152
United World Chinese Commercial
Bank.......................... 1,378,000 1,669,121
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
TAIWAN (CONTINUED)
Windbond Electronics Corp. --
GDR 144A*..................... 113,500 $ 2,082,725
------------
20,632,628
------------
TURKEY -- 3.9%
Adana Cimento A................. 24,854,000 495,561
Akbank TAS...................... 500 7
Eregli Demir Ve Celik
Fabrikalari TAS............... 112,640,000 2,563,273
Haci Omer Sabanci Holding AS.... 35,870,000 932,880
Migros Turk TAS................. 3,878,000 1,680,935
Turk Sise Ve Cam Fabrikalari
AS............................ 97,322,000 1,033,523
Yapi ve Kredi Bankasi........... 44,432,000 606,666
------------
7,312,845
------------
UNITED KINGDOM -- 3.3%
Antofagasta Holdings PLC*....... 339,400 2,213,406
Billiton PLC*................... 956,000 4,006,819
------------
6,220,225
------------
UNITED STATES -- 0.9%
Freeport-McMoran Copper & Gold,
Inc. Cl. B.................... 96,300 1,498,669
Starmedia Network, Inc.*........ 10,000 367,188
------------
1,865,857
------------
TOTAL COMMON STOCK
(Cost: $171,328,302)......................... 185,280,246
------------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 1.6%
- --------------------------------------------------------------
Kellogg Co.
5.622%, 10/01/99
(Cost: $2,986,540)............ $ 2,987,000 2,986,540
------------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 100.8%
(Cost: $174,314,842)........................ 188,266,786
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.8%).............................. (1,563,251)
------------
NET ASSETS -- 100.0%.......................... $186,703,535
------------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
9
<PAGE>
SCHEDULE OF INVESTMENTS BY INDUSTRY AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
EMERGING COUNTRIES FUND
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Airlines........................ 0.6%
Auto Manufacturers.............. 1.5
Beverages - Alcoholic........... 0.6
Broadcasting.................... 2.3
Building Materials.............. 2.3
Building Products............... 1.7
Chemicals....................... 4.6
Computer Software............... 4.1
Cosmetics & Personal Products... 2.5
Distribution/Wholesale.......... 1.5
Diversified Financial
Services...................... 2.2
Diversified Operations.......... 2.1
Drugs/Pharmaceuticals........... 0.4
Electric........................ 2.1
Electronic
Components/Semiconductors..... 11.0
Electronics..................... 4.9
Entertainment................... 1.6
Food............................ 1.1
</TABLE>
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
- -------- -------------
<S> <C>
Housewares...................... 0.6%
Information Technology.......... 0.2
Medical Products................ 1.1
Metals.......................... 2.8
Mining.......................... 8.1
Miscellaneous Manufacturing..... 1.1
Money Center Banks.............. 12.9
Oil & Gas Producers............. 3.2
Paper & Related Products........ 1.0
Real Estate..................... 0.2
Steel........................... 5.7
Telecommunications.............. 14.8
Telecommunications Equipment.... 0.8
Television...................... 1.2
Liabilities in Excess of Other
Assets........................ (0.8)
-----
NET ASSETS...................... 100.0%
-----
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
10
<PAGE>
LARGE CAP GROWTH FUND RETIREMENT SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; ANDREW B. GALLAGHER, Partner, Portfolio Manager; WILLIAM H.
CHENOWETH, CFA, Partner, Portfolio Manager; KENNETH H. LEE, Portfolio Manager;
TRISHA C. SCHUSTER, CFA, Portfolio Manager; THOMAS J. SULLIVAN, Portfolio
Manager; THOMAS J. SMITH, CFA, Investment Analyst.
GOAL: The Large Cap Growth Fund seeks to maximize long-term capital
appreciation by investing primarily in stocks from a universe of large US
companies with market capitalizations corresponding to the upper 90% of the
Russell 1000 Growth Index at time of purchase.
MARKET OVERVIEW: Optimism about the robust US economy, strong corporate
profits and low inflation contributed to gains among US large-cap stocks. During
the period, large-cap indices reached record highs, with the Dow Jones
Industrial Average (DJIA) surpassing 11,000 for the first time on May 3.
The six-month period was characterized by volatility, with market highs often
followed by investor uncertainty over potential interest-rate hikes. Technology
stocks were favorites in all capitalization segments during the period as the
powerful long-term growth potential in the sector attracted investors into
various technology industries.
Following a brief period of underperformance in April and May, growth stocks
outperformed value stocks throughout much of the period.
PERFORMANCE: For the six-month period ending September 30, 1999, the fund
gained 10.3% versus 0.0% for the Russell 1000 Growth Index.
PORTFOLIO SPECIFICS: Stocks with strong earnings visibility and solid
fundamentals, particularly within the technology sector, were strong
contributors to the fund's outperformance relative to its benchmark during the
period.
Among the top-performing holdings were technology companies including Sprint
PCS, Sun Microsystems, Cisco Systems, Sony and Qualcomm. By the end of the
period we had increased our weighting in the technology sector on a
stock-by-stock basis to 38.7% -- up from 20.3% at the beginning of the period.
Due to eroding earnings projections, we continued to reduce our exposure on a
stock-specific basis among retail stocks, including Dayton Hudson. In addition,
as a result of our bottom-up process, we trimmed exposure to consumer services
and utilities and increased our exposure in oil-related industries.
MARKET OUTLOOK: In an environment with subdued inflation, low interest rates,
and global economic recovery, we continue to find promising companies with
exceptional earnings growth in the large-cap segment. We expect stocks with the
strongest earnings growth rates to continue attracting investor attention.
- --------------------------------------------------------------------------------
11
<PAGE>
LARGE CAP GROWTH FUND RETIREMENT SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN LARGE CAP GROWTH FUND
RETIREMENT SHARES WITH THE RUSSELL 1000 GROWTH INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
82.92% As of 09/30/99 50.02%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND RETIREMENT SHARES
<S> <C> <C>
Russell 1000 Growth Index
Date
27-Dec-96 10,000.00 10,000.00
31-Dec-96 9,896.80 9,847.39
31-Jan-97 10,897.83 10,538.08
28-Feb-97 10,712.07 10,466.42
31-Mar-97 10,402.48 9,899.98
30-Apr-97 10,794.63 10,557.34
31-May-97 12,002.06 11,319.26
30-Jun-97 12,445.82 11,772.03
31-Jul-97 13,993.81 12,812.68
31-Aug-97 13,673.89 12,063.14
30-Sep-97 14,365.33 12,656.77
31-Oct-97 14,344.69 12,188.47
30-Nov-97 14,169.25 12,706.11
31-Dec-97 14,416.92 12,848.42
31-Jan-98 14,623.32 13,232.59
28-Feb-98 15,964.91 14,227.94
31-Mar-98 16,945.30 14,795.07
30-Apr-98 17,481.94 14,999.83
31-May-98 17,038.18 14,574.14
30-Jun-98 18,266.25 15,466.80
31-Jul-98 17,874.10 15,364.41
31-Aug-98 14,891.64 13,058.21
30-Sep-98 16,738.91 14,061.35
31-Oct-98 17,987.62 15,191.88
30-Nov-98 19,700.72 16,347.98
31-Dec-98 23,116.62 17,822.57
31-Jan-99 25,717.23 18,868.75
28-Feb-99 25,170.28 18,006.45
31-Mar-99 27,760.58 18,955.39
30-Apr-99 29,205.37 18,980.03
31-May-99 29,411.76 18,397.34
30-Jun-99 30,650.15 19,685.16
31-Jul-99 30,237.36 19,059.17
31-Aug-99 30,051.60 19,369.84
30-Sep-99 30,619.20 18,963.07
</TABLE>
This graph compares a $10,000 investment in the Large Cap Growth Fund Retirement
Shares with the Russell 1000 Growth Index, on a cumulative and average annual
total return basis. The Retirement Shares calculate their performance based upon
the historical performance of their corresponding series ("Fund") of Pilgrim
Mutual Funds (formerly Nicholas-Applegate Mutual Funds), adjusted to reflect
fees and operating expenses. The Fund's Retirement Shares were first available
on 5/21/99. 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 reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Russell 1000 Growth Index is an unmanaged index containing those companies
among the Russell 1000 Index securities with higher than average price-to-book
ratios and forecasted growth. The Russell 1000 Index contains the top 1,000
securities of the Russell 3000 Index, which comprises the 3,000 largest U.S.
securities as determined by total market capitalization. The Russell 1000 Growth
Index is considered generally representative of the U.S. market for large cap
stocks.
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.
- --------------------------------------------------------------------------------
12
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
LARGE CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCK -- 97.7%
- --------------------------------------------------------------
APPAREL -- 3.0%
Nike, Inc. Cl. B.................. 17,700 $ 1,006,688
-----------
AUDIO/VIDEO PRODUCTS -- 3.4%
Sony Corp......................... 7,600 1,140,475
-----------
BIOTECHNOLOGY -- 6.3%
Amgen, Inc.*...................... 13,300 1,083,950
Genentech, Inc.*.................. 6,800 994,925
-----------
2,078,875
-----------
BROADCASTING -- 10.0%
AT&T Corp. -- Liberty Media Group
Cl. A*.......................... 30,700 1,139,738
CBS Corp.......................... 20,500 948,125
Comcast Corp. -- Special Cl. A*... 30,200 1,204,225
-----------
3,292,088
-----------
COMPUTER SOFTWARE -- 7.6%
Microsoft Corp.*.................. 10,300 932,794
Oracle Corp.*..................... 23,900 1,087,450
SAP AG............................ 13,200 498,300
-----------
2,518,544
-----------
COMPUTERS -- 6.2%
Dell Computer Corp.*.............. 20,900 873,881
Sun Microsystems, Inc.*........... 12,600 1,171,800
-----------
2,045,681
-----------
ELECTRONIC COMPONENTS/SEMICONDUCTORS -- 4.6%
Intel Corp........................ 6,500 483,031
Texas Instuments, Inc............. 12,700 1,044,575
-----------
1,527,606
-----------
ELECTRONICS -- 3.0%
Solectron Corp.*.................. 14,000 1,005,375
-----------
INTERNET SOFTWARE -- 3.5%
America Online, Inc.*............. 11,000 1,144,000
-----------
LEISURE/GAMING -- 3.5%
MGM Grand, Inc.*.................. 22,600 1,156,838
-----------
MEDICAL PRODUCTS & SUPPLIES -- 2.9%
Johnson & Johnson................. 10,600 973,875
-----------
MISCELLANEOUS MANUFACTURING -- 3.0%
Tyco International Ltd............ 9,500 980,875
-----------
NETWORKING PRODUCTS -- 3.2%
Cisco Systems, Inc.*.............. 15,600 1,069,575
-----------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
OIL & GAS PRODUCERS -- 2.7%
EOG Resources, Inc................ 42,100 $ 894,625
-----------
OIL FIELD SERVICES -- 4.7%
Halliburton Co.................... 20,500 840,500
Weatherford International,
Inc.*........................... 22,000 704,000
-----------
1,544,500
-----------
PAPER & RELATED PRODUCTS -- 2.1%
International Paper Co............ 14,300 687,294
-----------
PIPELINES -- 2.5%
Williams Cos., Inc................ 22,200 831,112
-----------
RETAIL-BUILDING PRODUCTS -- 1.5%
Home Depot, Inc................... 7,400 507,824
-----------
RETAIL-DISCOUNT -- 3.3%
Wal-Mart Stores, Inc.............. 22,800 1,084,424
-----------
TELECOMMUNICATIONS -- 8.3%
ALLtel Corp....................... 9,700 682,638
MCI WorldCom, Inc.*............... 12,200 876,875
Sprint Corp. -- PCS Group......... 15,900 1,185,544
-----------
2,745,057
-----------
TELECOMMUNICATIONS EQUIPMENT -- 12.4%
Lucent Technologies, Inc.......... 15,015 974,098
Motorola, Inc..................... 9,900 871,200
Nokia OYJ -- ADR.................. 12,800 1,149,600
Qualcomm, Inc.*................... 5,900 1,116,206
-----------
4,111,104
-----------
TOTAL COMMON STOCK
(Cost: $30,222,003)........................... 32,346,435
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 3.0%
- --------------------------------------------------------------
Kellogg Co.
5.616% 10/01/99
(Cost: $987,848)................ $ 988,000 987,848
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 100.7%
(Cost: $31,209,851).......................... 33,334,283
LIABILITIES IN EXCESS OF OTHER ASSETS --
(0.7%)......................................... (241,766)
-----------
NET ASSETS -- 100.0%........................... $33,092,517
-----------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
13
<PAGE>
MID CAP GROWTH FUND RETIREMENT SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; WILLIAM H. CHENOWETH, CFA, Partner, Portfolio Manager; ANDREW
B. GALLAGHER, Partner, Portfolio Manager; TRISHA C. SCHUSTER, CFA, Portfolio
Manager; THOMAS J. SULLIVAN, Portfolio Manager; THOMAS J. SMITH, CFA, Investment
Analyst.
GOAL: The Mid Cap Growth Fund seeks to maximize long-term capital appreciation
through investments in US securities with market capitalizations corresponding
to the middle 90% of the Russell Midcap Growth Index at the time of purchase.
MARKET OVERVIEW: Optimism about the robust US economy, strong corporate
profits and low inflation levels contributed to US indices reaching record highs
during the six-month period ended September 30, 1999. During the period,
investors recognized the strong earnings growth rates within the mid-cap
segment, spurring gains.
The period was characterized by volatility, with market highs often followed
by sharp declines amid investor uncertainty over potential interest-rate hikes.
Technology stocks were favorites in all capitalization segments during the
period as the powerful long-term growth potential in the sector attracted
investors into various technology industries.
With the exception of a brief period in April and May, growth stocks
outperformed value stocks. While many value-oriented companies assumed market
leadership after being hard-hit by the Asian economic crisis in 1997,
growth-oriented companies returned to favor for the remainder of the period.
PERFORMANCE: For the six-month period ending September 30, 1999, the fund
gained 7.5% versus 4.9% for the Russell Midcap Growth Index.
PORTFOLIO SPECIFICS: Stock selection, especially in the technology sector, was
responsible for much of the fund's outperformance relative to its benchmark. For
example, among the best-performing holdings during the period were wireless
technology companies Voicestream Wireless and Sprint PCS; software company
Veritas Software; internet company RealNetworks Inc; communications
semiconductor chip makers Applied Micro Circuits, Conexant Systems, and LSI
Logic; as well as fiber optics technology company JDS Uniphase.
During the period, we increased exposure to the technology sector on
stock-by-stock basis to more than 40% from 24% on March 31.
During the period, we significantly reduced our exposure on a
company-by-company basis in the financial services and retail trade industries
due to concerns over the sustainability of earnings growth.
MARKET OUTLOOK: The fundamental strengths within the mid-cap segment of the
market continue to inspire optimism. Earnings growth remains strong and
valuations, relative to large-cap stocks are near historic lows. We expect
stocks with the strongest earnings growth rates will continue to attract
investor recognition.
- --------------------------------------------------------------------------------
14
<PAGE>
MID CAP GROWTH FUND RETIREMENT SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN MID CAP GROWTH FUND
RETIREMENT SHARES WITH THE RUSSELL MID CAP GROWTH INDEX.
<TABLE>
<S> <C> <C>
ANNUALIZED TOTAL RETURNS
As of 09/30/99
1 YEAR 5 YEARS 10 YEARS
53.02% 20.50% 17.43%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MID CAP GROWTH FUND RETIREMENT SHARES= RUSSELL MID-CAP GROWTH INDEX
<S> <C> <C>
30-Sep-85 10,000.00
31-Dec-85 12,453.99 10,000.00
31-Dec-86 16,564.42 11,755.04
31-Dec-87 17,055.21 12,079.37
31-Dec-88 19,202.45 13,640.50
31-Dec-89 25,644.17 17,935.18
31-Dec-90 25,766.87 17,014.58
31-Dec-91 40,000.00 25,016.75
31-Dec-92 45,276.07 27,196.19
31-Dec-93 54,110.43 30,240.33
31-Dec-94 48,282.21 29,585.30
31-Dec-95 66,748.47 39,641.61
31-Dec-96 77,546.01 46,571.16
31-Dec-97 90,245.40 57,066.70
31-Dec-98 103,190.18 67,260.95
30-Sep-99 126,073.62 72,964.86
</TABLE>
This graph compares a $10,000 investment in Mid Cap Growth Fund Retirement
Shares with the Russell Mid Cap Growth Index, on a cumulative and average annual
total return basis. Performance results reflect the total returns of a
predecessor limited partnership managed by Nicholas-Applegate Capital Management
prior to the effective date of the Fund's registration statement on 4/19/93.
Limited partnership returns are restated to reflect all fees and expenses
applicable to the Fund. 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 Retirement shares calculate their
performance based upon the historical performance of their corresponding series
("Fund") of Pilgrim Mutual Funds (formerly Nicholas-Applegate Mutual Funds),
adjusted to reflect fees and operating expenses. The Fund's Retirement shares
were first available on 5/21/99. 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 reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Russell Mid Cap Growth Index measures the performance of those companies
among the 800 smallest companies in the Russell 1000 Index with higher than
average price-to-book ratios and forecasted growth. The average market
capitalization is $4 billion. The Russell Mid Cap Growth Index is considered
generally representative of the U.S. market for mid cap stocks. The index
incepted on 12/31/85.
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.
- --------------------------------------------------------------------------------
15
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
MID CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON STOCK -- 97.6%
- --------------------------------------------------------------
ADVERTISING -- 1.0%
Omnicom Group, Inc............... 16,200 $ 1,282,838
------------
AUTO EQUIPMENT -- 0.4%
Gentex Corp.*.................... 26,700 551,521
------------
APPLICATIONS SOFTWARE -- 1.3%
BroadVision, Inc.*............... 5,600 745,150
Peregrine Systems, Inc.*......... 23,100 941,325
------------
1,686,475
------------
BIOTECHNOLOGY -- 6.0%
Biogen, Inc.*.................... 13,100 1,032,444
Genentech, Inc.*................. 11,500 1,682,594
Genzyme Corp. -- General
Division*...................... 17,700 797,606
Gilead Sciences, Inc.*........... 18,800 1,206,725
Immunex Corp.*................... 12,400 537,850
Medimmune, Inc.*................. 26,700 2,660,821
------------
7,918,040
------------
BROADCASTING -- 5.0%
Hispanic Broadcasting Corp.*..... 12,900 982,012
Insight Communications Co.,
Inc.*.......................... 32,700 936,037
Univision Communications, Inc.
Cl. A*......................... 17,200 1,399,650
USA Networks, Inc.*.............. 53,700 2,080,875
Westwood One, Inc................ 28,100 1,268,012
------------
6,666,586
------------
COMPUTERS -- 1.1%
Apple Computer, Inc.............. 22,200 1,405,538
------------
COMPUTER SERVICES -- 2.0%
Computer Sciences Corp.*......... 24,800 1,743,750
Qlogic Corp.*.................... 13,000 907,562
------------
2,651,312
------------
COMPUTER SOFTWARE -- 6.2%
BMC Software, Inc.*.............. 25,400 1,817,688
Mercury Interactive Corp.*....... 19,700 1,271,881
VeriSign, Inc.*.................. 18,200 1,938,300
Veritas Software Corp.*.......... 42,300 3,212,156
------------
8,240,025
------------
CONTRACT DRILLING -- 1.3%
Global Marine, Inc.*............. 102,400 1,683,200
------------
DIVERSIFIED FINANCIAL SERVICES -- 0.7%
Concord EFS, Inc.*............... 42,300 872,438
------------
DRUGS/PHARMACEUTICALS -- 0.9%
Forest Laboratories, Inc. Cl.
A*............................. 29,800 1,255,325
------------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
ELECTRIC -- 1.9%
AES Corp......................... 31,300 $ 1,846,700
Calpine Corp.*................... 7,700 654,981
------------
2,501,681
------------
ELECTRONIC COMPONENTS/SEMICONDUCTORS -- 10.4%
Applied Micro Circuits Corp.*.... 28,800 1,641,600
Broadcom Corp.*.................. 11,100 1,209,900
Conexant Systems, Inc.*.......... 30,100 2,186,951
Lam Research Corp.*.............. 16,300 994,300
LSI Logic Corp.*................. 45,100 2,322,650
PMC-Sierra, Inc.*................ 17,800 1,646,500
Vitesse Semiconductor Corp.*..... 18,000 1,536,750
Xilinx, Inc.*.................... 33,400 2,188,742
------------
13,727,393
------------
ELECTRONICS -- 1.7%
General Instruments Corp.*....... 30,100 1,448,563
Teradyne, Inc.*.................. 24,600 867,150
------------
2,315,713
------------
ENTERTAINMENT -- 0.5%
SFX Entertainment, Inc. Cl. A*... 23,600 719,800
------------
INTERNET CONTENT -- 4.9%
CMGI, Inc.*...................... 16,200 1,660,500
Doubleclick, Inc.*............... 6,500 774,312
Inktomi Corp.*................... 8,300 996,259
Internet Capital Group, Inc.*.... 11,500 1,010,562
Network Solutions, Inc. Cl. A*... 21,900 2,012,063
------------
6,453,696
------------
INTERNET SOFTWARE -- 7.1%
At Home Corp. Series A*.......... 26,000 1,077,375
Covad Communications Group,
Inc.*.......................... 19,600 854,438
Exodus Communications, Inc.*..... 22,200 1,599,788
Internap Network Services
Corp.*......................... 11,000 490,875
Phone.com, Inc.*................. 5,100 772,650
PSINet, Inc.*.................... 22,200 798,507
RealNetworks, Inc.*.............. 23,200 2,425,850
Vignette Corp.*.................. 16,100 1,457,050
------------
9,476,533
------------
LEISURE/GAMING -- 0.9%
Royal Caribbean Cruises, Ltd..... 25,900 1,165,500
------------
MEDICAL INFORMATION SYSTEMS -- 0.5%
IMS Health, Inc.................. 31,200 711,750
------------
MEDICAL SUPPLIES/EQUIPMENT -- 3.1%
Medical Manager Corp.*........... 19,200 955,200
MiniMed, Inc.*................... 12,600 1,237,950
Visx, Inc.*...................... 24,000 1,898,251
------------
4,091,401
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
16
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- --------------------------------------------------------------
NETWORKING PRODUCTS -- 3.1%
Extreme Networks, Inc.*.......... 22,500 $ 1,424,531
Foundry Networks, Inc.*.......... 1,500 189,000
Network Appliance, Inc.*......... 35,000 2,506,875
------------
4,120,406
------------
OIL & GAS PRODUCERS -- 1.8%
Apache Corp...................... 42,700 1,844,106
EOG Resources, Inc............... 26,700 567,375
------------
2,411,481
------------
OIL & GAS SERVICES -- 5.2%
BJ Services Co.*................. 41,300 1,313,856
ENSCO International, Inc......... 78,900 1,425,131
Global Industries, Ltd.*......... 2,900 23,563
Rowan Companies, Inc............. 71,500 1,161,875
Smith International, Inc......... 47,400 1,919,700
Weatherford International,
Inc.*.......................... 34,700 1,110,400
------------
6,954,525
------------
OPTICAL SUPPLIES -- 2.2%
Allergan, Inc.................... 12,400 1,364,000
Bausch & Lomb, Inc............... 24,500 1,615,469
------------
2,979,469
------------
PACKAGING & CONTAINERS -- 0.9%
Smurfit-Stone Container Corp.*... 55,200 1,193,700
------------
PRINTERS & RELATED PRODUCTS -- 1.3%
Lexmark International Group, Inc.
Cl. A*......................... 21,800 1,754,900
------------
RETAIL-APPAREL -- 2.6%
Abercrombie & Fitch Co. Cl. A*... 20,200 688,062
American Eagle Outfitters,
Inc.*.......................... 15,100 731,406
Childrens Place, Inc.*........... 21,900 583,088
Pacific Sunwear California,
Inc.*.......................... 50,200 1,407,166
------------
3,409,722
------------
RETAIL-CONSUMER ELECTRONICS -- 3.1%
Best Buy, Inc.*.................. 32,800 2,035,650
Circuit City Stores.............. 48,900 2,062,969
------------
4,098,619
------------
RETAIL-DEPARTMENT STORE -- 0.7%
Kohls Corp....................... 13,500 892,688
------------
RETAIL-OFFICE SUPPLIES -- 0.6%
Avery Dennison Corp.............. 14,800 780,700
------------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
SEMICONDUCTORS -- 4.4%
Analog Devices, Inc.*............ 30,900 $ 1,583,625
JDS Uniphase Corp.*.............. 20,900 2,378,681
Maxim Integrated Products,
Inc.*.......................... 13,600 858,076
Sanmina Corp.*................... 12,400 959,450
------------
5,779,832
------------
TELECOMMUNICATIONS -- 11.7%
CIENA Corp.*..................... 65,800 2,401,700
Crown Castle International
Corp.*......................... 60,400 1,130,616
Metromedia Fiber Network, Inc.
Cl. A*......................... 25,600 627,200
Nextel Communications, Inc. Cl.
A*............................. 17,500 1,186,719
NEXTLINK Communications, Inc.
Cl. A*......................... 20,600 1,067,982
McLeodUSA, Inc.*................. 30,400 1,293,900
Sprint Corp. -- PCS Group........ 17,000 1,267,563
Voicestream Wireless Corp.*...... 68,800 4,246,253
Winstar Communications, Inc.*.... 58,600 2,289,062
------------
15,510,995
------------
TELECOMMUNICATIONS EQUIPMENT -- 2.5%
Comverse Technology, Inc.*....... 12,900 1,216,631
Qualcomm, Inc.*.................. 3,600 681,075
RF Micro Devices, Inc.*.......... 30,400 1,390,800
------------
3,288,506
------------
TELECOMMUNICATIONS SERVICES -- 0.6%
Time Warner Telecom, Inc. Cl.
A*............................. 36,300 757,763
------------
TOTAL COMMON STOCK
(Cost: $111,066,696)......................... 129,310,071
------------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 3.1%
- --------------------------------------------------------------
Pitney Bowes, Inc.
5.676%, 10/01/99
(Cost: $4,128,358)............. $4,129,000 4,128,358
------------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 100.7%
(Cost: $115,195,054)........................ 133,438,429
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.7%).............................. (891,513)
------------
NET ASSETS -- 100.0%.......................... $132,546,916
------------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
17
<PAGE>
SMALL CAP GROWTH FUND RETIREMENT SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; THOMAS BLEAKLEY, Partner, Portfolio Manager; JOHN C. MCCRAW,
Portfolio Manager; AARON HARRIS, Portfolio Manager; PAUL E. CLUSKEY, Portfolio
Manager; TRAVIS PRENTICE, Investment Analyst.
GOAL: The Small Cap Growth Fund seeks to maximize long-term capital
appreciation through investments primarily in US companies with market
capitalizations corresponding to the middle 90% of the Russell 2000 Growth Index
at time of purchase.
MARKET OVERVIEW: Optimism about the robust US economy, strong corporate
profits and low inflation contributed to US indices reaching record highs during
the six-month period ended September 30, 1999.
During the period, the strong earnings growth rates among small caps earned
increasing investor recognition. Growth stocks outperformed value stocks across
all market capitalization segments.
Spurred by gains among technology stocks, smaller caps outperformed large caps
during the period and significantly narrowed their year-to-date relative
underperformance gap.
On March 31, the Russell 2000 Index's year-to-date return of -5.4% trailed the
S&P 500's gain of 5.0% by 1,041 basis points. As of September 30, the difference
in year-to-date returns between the two indices was trimmed to 299 basis points.
PERFORMANCE: For the six-month period ending September 30, 1999, the fund
gained 17.1% versus 9.1% for the Russell 2000 Growth Index.
PORTFOLIO SPECIFICS: Stock selection, especially within the technology sector,
helped the fund outperform its benchmark during the period. Among the strongest
performers were technology companies such as Qlogic, Applied Micro Circuits and
Mercury Interactive.
Another top performer for the fund was Minimed Inc., a medical device company
whose technologies are projected to revolutionize the treatment of diabetes.
During the period, we slightly increased our weighting in the technology
sector on a stock-by-stock basis to 42% from 38% on March 31.
During the period, we decreased our weightings in the financial services
industry, as well as in the healthcare services industry.
MARKET OUTLOOK: The fundamental strengths within the small-cap segment of the
market and small caps' outperformance versus large caps during the period
inspire optimism. Moderate economic growth, low inflation and low interest rates
also bode well for smaller caps.
Our bottom-up stock selection continues to uncover promising opportunities
with strong earnings growth. We believe our approach will continue to deliver
exceptional long-term appreciation.
- --------------------------------------------------------------------------------
18
<PAGE>
SMALL CAP GROWTH FUND RETIREMENT SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN SMALL CAP GROWTH FUND
RETIREMENT SHARES WITH THE RUSSELL 2000 GROWTH INDEX.
<TABLE>
<S> <C> <C>
ANNUALIZED TOTAL RETURNS
As of 09/30/99 SINCE
1 YEAR 5 YEARS INCEPTION
61.47% 18.81% 14.63%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND RETIREMENT SHARES RUSSELL 2000 GROWTH INDEX
<S> <C> <C>
Date
1-Oct-93 10,000.00 10,000.00
31-Dec-93 9,985.67 10,262.59
30-Jun-94 8,667.62 9,227.27
31-Dec-94 9,598.85 10,013.02
30-Jun-95 11,303.72 11,609.85
31-Dec-95 12,979.94 13,123.11
30-Jun-96 15,272.21 14,687.74
31-Dec-96 15,372.49 14,601.18
30-Jun-97 16,045.85 15,351.64
31-Dec-97 17,163.32 16,476.56
30-Jun-98 18,395.42 17,376.29
31-Dec-98 17,836.68 16,682.12
30-Jun-99 22,163.32 18,820.54
30-Sep-99 22,693.41 17,895.70
</TABLE>
This graph compares a $10,000 investment in the Small Cap Growth Fund Retirement
Shares with the Russell 2000 Growth Index, on a cumulative and average annual
total return basis. The Retirement Shares calculate their performance based upon
the historical performance of their corresponding series ("Fund") of Pilgrim
Mutual Funds (formerly Nicholas-Applegate Mutual Funds), adjusted to reflect
fees and operating expenses. The Fund's Retirement Shares were first available
on 5/21/99. 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 reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Russell 2000 Growth Index contains 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 a widely regarded small-cap index of the 2,000 smaller 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.
- --------------------------------------------------------------------------------
19
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
SMALL CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- --------------------------------------------------------------
COMMON AND PREFERRED STOCKS -- 93.0%
- --------------------------------------------------------------
ADVERTISING -- 0.5%
Flycast Communications Corp.... 11,000 $ 500,500
Getty Images, Inc.*............ 17,400 419,775
------------
920,275
------------
AEROSPACE/DEFENSE -- 0.3%
Aeroflex, Inc.................. 6,600 80,438
L-3 Communications Holdings,
Inc.*........................ 12,100 456,775
------------
537,213
------------
AIRLINES -- 0.1%
Mesaba Holdings, Inc.*......... 6,100 71,675
Skywest, Inc................... 7,300 160,144
------------
231,819
------------
APPAREL -- 1.5%
Cutter & Buck, Inc.*........... 1,050 16,341
Fossil, Inc.*.................. 15,600 422,175
K-Swiss, Inc. Cl. A............ 25,200 795,375
Quiksilver, Inc.*.............. 6,100 111,325
Timberland Co. Cl. A........... 26,200 1,023,438
Urban Outfitters, Inc.*........ 13,200 292,050
------------
2,660,704
------------
APPLICATIONS SOFTWARE -- 2.2%
Clarify, Inc.*................. 19,500 981,094
Exchange Applications, Inc.*... 4,100 119,156
Genesys Telecommunications
Laboratories*................ 28,800 1,315,800
National Instruments Corp.*.... 16,650 588,474
Peregrine Systems, Inc.*....... 21,900 892,425
Persistence Software, Inc.*.... 3,500 99,969
------------
3,996,918
------------
AUCTIONS -- 0.2%
Sothebys Holding, Inc. Cl. A... 15,800 407,838
------------
AUTO-TRUCKS -- 0.1%
Oshkosh Truck Co. Cl. B........ 8,100 215,663
------------
BEVERAGES-ALCOHOLIC -- 0.4%
Canandaigua Brands, Inc. Cl.
A*........................... 12,800 764,800
------------
BIOTECHNOLOGY -- 2.8%
Affymetrix, Inc.*.............. 5,400 531,563
Cephalon, Inc.*................ 39,100 702,580
COR Therapeutics, Inc.*........ 20,900 397,100
Gilead Sciences, Inc.*......... 20,292 1,302,493
Imclone Systems, Inc.*......... 20,900 694,925
Millennium Pharmaceuticals,
Inc.*........................ 17,900 1,163,500
Trimeris, Inc.*................ 11,000 183,563
------------
4,975,724
------------
BROADCASTING -- 3.4%
Citadel Communications
Corp.*....................... 25,500 870,188
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
BROADCASTING (CONTINUED)
Cumulus Media, Inc. Cl. A*..... 13,900 $ 454,356
Entercom Communications
Corp.*....................... 18,500 666,000
Emmis Communications Corp. Cl.
A*........................... 21,300 1,407,131
Pegasus Communications Corp.
Cl. A*....................... 15,500 699,438
Price Communications Corp.*.... 21,100 528,819
Radio One, Inc................. 3,000 124,500
Saga Communications, Inc. Cl.
A*........................... 22,300 512,900
Salem Communication, Inc. Cl.
A*........................... 10,800 275,400
SBS Broadcasting S.A.*......... 15,700 608,375
------------
6,147,107
------------
BUILDING-RESIDENTIAL/COMMERCIAL -- 0.5%
Crossmann Communities, Inc.*... 11,400 185,963
MDC Holdings, Inc.............. 13,300 215,294
MI Schottenstein Homes, Inc.... 15,000 247,500
Ryland Group, Inc.............. 10,500 238,875
------------
887,632
------------
CHEMICALS -- 0.3%
MacDermid, Inc................. 10,300 350,844
Spartech Corp.................. 8,600 252,088
------------
602,932
------------
COMMUNICATIONS SOFTWARE -- 0.3%
AVT Corp.*..................... 16,800 514,500
------------
COMPUTER SOFTWARE -- 5.7%
Advantage Learning Systems,
Inc.*........................ 12,700 236,538
BindView Development Corp.*.... 22,000 433,125
Broadbase Software, Inc.*...... 3,000 47,813
Business Objects S.A. --
ADR*......................... 17,900 1,056,100
CBT Group Public Ltd., Co.*.... 34,600 852,025
E.Piphany, Inc.*............... 2,500 121,875
Gadzoox Networks, Inc.*........ 8,800 474,100
Harbinger Corp.*............... 37,000 624,375
ISS Group, Inc.*............... 35,400 964,650
Kana Communications, Inc.*..... 4,000 199,500
Macromedia, Inc.*.............. 20,900 854,288
Mercury Interactive Corp.*..... 62,500 4,035,156
Proxicom, Inc.*................ 5,500 321,750
Quest Software, Inc.*.......... 1,000 46,500
Scient Corp.*.................. 1,300 83,200
------------
10,350,995
------------
COMPUTERS -- 2.3%
Affiliated Computer Services,
Inc.
Cl. A*....................... 18,100 735,313
Globix Corp.*.................. 3,900 182,325
IXL Enterprises, Inc.*......... 12,100 428,794
Network Appliance, Inc.*....... 10,800 773,550
Visual Networks, Inc.*......... 22,800 967,575
Xircom, Inc.................... 24,400 1,041,575
------------
4,129,132
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
20
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS (Continued)
- --------------------------------------------------------------
CONSUMER SERVICES -- 0.3%
Forrester Research, Inc........ 6,700 $ 261,300
Western Resources Corp......... 10,800 201,825
------------
463,125
------------
CRUISE LINES -- 0.1%
American Classic Voyages Co.... 11,600 266,075
------------
DATA PROCESSING/MANAGEMENT SOFTWARE -- 1.7%
Advanced Digital Information... 10,400 289,250
Factset Research Systems,
Inc.......................... 7,000 398,125
Fundtech, Ltd.*................ 20,100 448,481
Polycom, Inc.*................. 12,900 614,765
Reynolds & Reynolds Co. Cl.
A............................ 30,200 615,325
Sandisk Corp.*................. 4,900 319,419
TSI International Software,
Ltd.......................... 15,200 412,300
------------
3,097,665
------------
DIVERSIFIED FINANCIAL SERVICES -- 1.9%
Affiliated Managers Group*..... 9,100 247,975
Century Business Services*..... 40,300 468,488
City National Corp............. 10,600 355,763
E-Loan, Inc.*.................. 800 17,250
Hambrecht & Quist, Inc.*....... 16,400 802,575
Metris Cos., Inc............... 18,300 538,706
NCO Group, Inc.*............... 19,600 921,200
------------
3,351,957
------------
DRILLING -- 1.1%
Atwood Oceanics, Inc.*......... 6,500 198,656
Marine Drilling, Co.*.......... 43,100 681,519
Nabors Industries*............. 18,400 460,000
Precision Drilling Corp.*...... 13,200 306,075
Unit Corp...................... 11,000 83,188
UTI Energy Corp.*.............. 10,600 206,038
------------
1,935,476
------------
DRUGS/PHARMACEUTICALS -- 3.8%
Advance Paradigm, Inc.*........ 6,600 361,350
Alkermes, Inc.*................ 17,300 498,456
Alpharma, Inc. Cl. A........... 19,800 699,188
Andrx Corp.*................... 10,300 602,871
Chirex, Inc.*.................. 2,600 67,113
IDEC Pharmaceuticals Corp.*.... 8,200 771,056
Jones Medical Industries,
Inc.......................... 49,900 1,645,143
Medicis Pharmaceutical Corp.
Cl. A*....................... 33,700 960,450
Medimmune, Inc.*............... 8,600 857,043
NBTY, Inc.*.................... 17,900 136,488
Triangle Pharmaceuticals,
Inc.*........................ 10,500 202,125
------------
6,801,283
------------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
ELECTRICAL COMPONENTS & EQUIPMENT -- 0.9%
C-Cube Microsystems, Inc.*..... 22,700 $ 987,450
SLI, Inc.*..................... 30,100 641,506
------------
1,628,956
------------
ELECTRONIC COMPONENTS/SEMICONDUCTORS -- 10.4%
Alpha Industries, Inc.......... 19,500 1,099,921
Applied Micro Circuits
Corp.*....................... 17,600 1,003,200
Burr Brown Corp.*.............. 13,000 513,500
Cypress Semiconductor Corp.*... 40,900 879,350
Electronic Scientific
Industries, Inc.*............ 16,100 857,827
ETEC Systems, Inc.*............ 15,800 594,475
Fairchild Semiconductor
International Cl. A.......... 13,000 305,500
Genesis Microchip, Inc.*....... 1,600 28,300
Globespan, Inc.*............... 1,400 88,375
Hi/Fn, Inc.*................... 10,300 1,135,575
Integrated Device Technology,
Inc.*........................ 25,500 471,750
Integrated Silicon Solution*... 2,800 27,475
International Rectifier*....... 21,100 321,775
Kopin Corp.*................... 10,500 291,375
LAM Research Corp.*............ 16,400 1,000,400
MEMC Electronic Materials,
Inc.*........................ 15,800 217,250
Micrel, Inc.*.................. 22,600 980,275
MIPS Technologies, Inc.*....... 12,900 410,381
Photronics, Inc.*.............. 15,400 345,538
Power Integrations, Inc.*...... 17,000 1,177,250
Qlogic Corp.*.................. 26,200 1,830,725
Rambus, Inc.*.................. 7,500 496,875
S3, Inc.*...................... 27,600 288,075
SDL, Inc.*..................... 14,900 1,137,056
Semtech Corp.*................. 14,200 520,075
Transwitch Corp................ 24,550 1,399,350
Triquint Semiconductor,
Inc.*........................ 11,400 651,938
Varian Semiconductor Equipment
Association, Inc.*........... 28,900 608,706
------------
18,682,292
------------
ELECTRONICS -- 3.7%
Credence Systems Corp.*........ 23,200 1,041,100
CTS Corp....................... 15,300 879,750
Cymer, Inc.*................... 21,800 756,188
DII Group, Inc.*............... 38,000 1,337,125
Flextronics International,
Ltd.*........................ 10,800 628,425
Harmonic Lightwaves, Inc.*..... 2,600 340,113
Northeast Optic Network,
Inc.*........................ 5,600 211,400
Optical Coating Lab, Inc.*..... 10,000 920,625
Power One, Inc.*............... 18,900 481,950
------------
6,596,676
------------
ENGINEERING & CONSTRUCTION -- 0.4%
Dycom Industries, Inc.*........ 13,400 565,313
Elcor Corp..................... 4,900 122,500
------------
687,813
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
21
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS (Continued)
- --------------------------------------------------------------
ENTERTAINMENT -- 1.1%
Cinar Corp. Cl. B*............. 15,800 $ 477,950
Macrovision Corp.*............. 19,300 856,438
SFX Entertainment, Inc. Cl.
A*........................... 19,900 606,950
------------
1,941,338
------------
ENTERTAINMENT SOFTWARE -- 0.1%
Acclaim Entertainment, Inc.*... 22,200 168,582
------------
ENVIRONMENTAL CONTROL -- 0.1%
Casella Waste Systems, Inc. Cl.
A*........................... 11,100 185,231
------------
FOOD -- 0.3%
Hain Food Group, Inc.*......... 15,400 381,150
Michael Foods, Inc............. 8,200 215,506
------------
596,656
------------
HEALTH CARE -- 0.7%
Hooper Holmes, Inc............. 8,800 225,500
Medquist, Inc.*................ 17,300 578,469
Oxford Health Plans, Inc.*..... 29,900 373,750
------------
1,177,719
------------
HOME FURNISHINGS -- 1.0%
Ethan Allen Interiors, Inc..... 28,750 914,609
Williams Sonoma*............... 18,400 893,550
------------
1,808,159
------------
INFORMATION TECHNOLOGY -- 0.8%
Starmedia Network, Inc.*....... 1,000 36,719
Sykes Enterprises, Inc.*....... 18,400 454,250
Whittman Hart, Inc.*........... 25,600 992,799
------------
1,483,768
------------
INSTRUMENTS -- 0.5%
Microchip Technology, Inc.*.... 14,600 750,075
MOOG, Inc. Cl. A............... 7,900 228,113
------------
978,188
------------
INSURANCE -- 0.0%
Quotesmith.com, Inc.*.......... 5,000 35,625
------------
INTERNET SOFTWARE -- 7.2%
Agile Software Corp.*.......... 1,800 115,200
Allaire Corp................... 5,200 291,200
Alteon Websystems, Inc......... 1,500 141,000
Applied Theory Corp.*.......... 2,700 32,063
Appnet Systems, Inc.*.......... 7,200 197,100
Art Technology Group, Inc.*.... 8,100 308,306
Backweb Technologies, Ltd.*.... 3,200 54,400
Clarent Corp.*................. 15,100 769,156
Commerce One, Inc.*............ 1,000 97,719
Concentric Network Corp.*...... 18,700 379,844
Earthweb, Inc.*................ 4,700 185,650
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
INTERNET SOFTWARE (CONTINUED)
Exodus Communications, Inc.*... 6,000 $ 432,375
F5 Networks, Inc.*............. 11,500 782,000
Infospace.com, Inc.*........... 20,900 859,513
Interliant, Inc.*.............. 4,200 50,138
InterVU, Inc.*................. 12,900 478,913
ITXC Corp...................... 11,800 375,388
JFAX.com, Inc.*................ 8,900 44,222
Keynote Systems, Inc........... 7,800 195,000
Liberate Technologies, Inc.*... 4,500 189,563
Liquid Audio*.................. 15,500 573,500
Lycos, Inc..................... 6,800 340,850
Mail.com, Inc.*................ 5,100 73,313
Mapquest.com, Inc.*............ 9,100 108,063
National Information
Consortium, Inc.*............ 4,700 116,031
Netobjects, Inc.*.............. 5,600 31,500
Netopia, Inc.*................. 19,800 789,525
Netsolve, Inc.................. 2,600 46,150
Radware, Ltd................... 3,600 99,000
Razorfish, Inc. Cl. A*......... 11,800 513,300
Security First Technologies
Co.*......................... 33,600 1,306,200
Shopnow.com, Inc............... 7,500 87,188
Software.com, Inc.*............ 11,300 484,488
Stamps.com, Inc.*.............. 4,900 170,275
Symantec Corp.*................ 20,600 740,957
Talk.com, Inc.*................ 31,900 411,708
Tivo, Inc...................... 1,800 53,888
Verio, Inc.*................... 16,400 508,400
Verity, Inc.*.................. 7,200 495,450
Vitria Technology, Inc.*....... 3,100 113,925
------------
13,042,461
------------
INVESTMENT COMPANIES -- 0.4%
American Capital Strategies.... 10,900 201,650
SEI Investment Co.*............ 5,400 482,118
------------
683,768
------------
LODGING -- 0.2%
Sunterra Corp.*................ 23,800 282,625
------------
MACHINERY-CONSTRUCTION & MINING -- 0.7%
Terex Corp..................... 41,100 1,294,650
------------
MACHINERY-DIVERSIFIED -- 0.3%
Kulicke & Soffa Industries..... 21,700 527,581
------------
MEDICAL INFORMATION SYSTEMS -- 0.4%
Cerner Corp.*.................. 10,200 155,550
Infocure Corp.*................ 30,800 581,350
------------
736,900
------------
MEDICAL SUPPLIES/EQUIPMENT -- 1.9%
Minimed, Inc.*................. 19,400 1,906,050
Molecular Devices Corp.*....... 19,200 528,000
Resmed, Inc.................... 10,200 337,875
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
22
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS (Continued)
- --------------------------------------------------------------
MEDICAL SUPPLIES/EQUIPMENT (CONTINUED)
Varian, Inc.................... 26,100 $ 463,275
Zoll Medical Corp.............. 5,200 157,300
------------
3,392,500
------------
METAL FABRICATION/HARDWARE -- 0.3%
Mueller Industries, Inc.*...... 17,400 516,563
------------
MISCELLANEOUS MANUFACTURING -- 0.1%
Simpson Manufacturing, Inc.*... 5,400 253,125
------------
NETWORK SOFTWARE -- 1.1%
Concur Technologies, Inc.*..... 5,100 145,350
Legato Systems, Inc.*.......... 42,000 1,830,940
------------
1,976,290
------------
NETWORKING PRODUCTS -- 2.1%
Ancor Communications, Inc.*.... 41,900 1,016,075
Black Box Corp.*............... 10,700 561,750
Elbit, Ltd..................... 18,900 243,338
Emulex Corp.*.................. 6,200 532,425
Excel Switching Corp.*......... 7,600 272,650
Extreme Networks, Inc.*........ 10,900 690,106
MMC Networks, Inc.*............ 15,200 474,050
------------
3,790,394
------------
OILFIELD SERVICES/EQUIPMENT -- 0.7%
Maverick Tube Corp.*........... 2,900 48,213
Pride International, Inc.*..... 55,600 788,825
Smith International, Inc.*..... 11,800 477,900
------------
1,314,938
------------
OIL & GAS PRODUCERS -- 0.9%
Barrett Resources Corp.*....... 22,700 838,481
Chieftain International,
Inc.......................... 5,300 100,700
Forest Oil Corp................ 13,200 225,225
Louis Dreyfus Natural Gas
Corp.*....................... 10,600 227,238
Stone Energy Corp.*............ 6,000 305,250
------------
1,696,894
------------
OIL & GAS SERVICES -- 1.3%
BJ Services, Co.*.............. 23,700 753,956
CAL Dive International,
Inc.*........................ 15,400 527,450
Global Industries, Ltd.*....... 48,800 396,500
Pool Energy Services, Co....... 2,500 61,563
Seitel, Inc.*.................. 10,500 102,375
Tuboscope, Inc.*............... 28,000 348,250
Varco International, Inc....... 11,900 145,031
------------
2,335,125
------------
OPTICAL RECOGNITION SOFTWARE -- 0.0%
Optimal Robotics Corp. Cl.
A*........................... 3,300 59,400
------------
OTHER COMMERCIAL SERVICES -- 2.9%
Korn-Ferry International*...... 22,600 521,213
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
OTHER COMMERCIAL SERVICES (CONTINUED)
Lason, Inc.*................... 19,900 $ 886,171
Luminant Worldwide Corp.*...... 2,500 76,875
National Equipment Services,
Inc.......................... 8,000 81,500
Newgen Results Corp.*.......... 1,300 14,138
NOVA Corp.*.................... 33,700 842,500
On Assignment, Inc.*........... 10,300 247,200
Personnel Group Of America,
Inc.*........................ 3,500 21,875
Prepaid Legal Services,
Inc.*........................ 14,800 582,750
Probusiness Service, Inc.*..... 10,300 276,813
Profit Recovery Group
International, Inc.*......... 11,300 504,263
USWeb Corp.*................... 32,500 1,115,156
------------
5,170,454
------------
PRINTING-COMMERCIAL -- 1.6%
Consolidated Graphics, Inc.*... 22,900 964,663
Electronics For Imaging,
Inc.*........................ 19,000 976,718
Mail-Well, Inc.*............... 63,600 882,450
------------
2,823,831
------------
PROFESSIONAL SPORTS -- 0.1%
Championship Auto Racing Teams,
Inc.*........................ 5,500 143,000
------------
PUBLISHING-PERIODICALS -- 0.2%
Playboy Enterprises Cl. B*..... 15,200 405,650
------------
RECREATIONAL CENTERS -- 0.2%
Bally Total Fitness
Holdings*.................... 13,900 424,819
------------
RECREATIONAL PRODUCTS -- 0.5%
Monaco Coach Corp.*............ 9,300 226,688
National R.V. Holding, Inc.*... 13,300 262,675
Winnebago Industries, Inc...... 18,700 447,631
------------
936,994
------------
REGIONAL/COMMERCIAL BANKS -- 0.4%
Peoples Heritage Financial
Group........................ 17,100 284,288
Provident Bankshares Corp...... 18,400 391,574
------------
675,862
------------
REITS -- 0.3%
Kilroy Realty Corp............. 24,200 511,225
------------
RETAIL-APPAREL -- 1.9%
AnnTaylor Stores Corp.*........ 25,600 1,046,400
Bebe Stores, Inc.*............. 9,400 226,775
Buckle, Inc.*.................. 10,200 175,950
Genesco, Inc.*................. 15,600 195,000
Kenneth Cole Productions, Inc.
Cl. A*....................... 10,500 392,438
Pacific Sunwear Of
California*.................. 27,300 765,252
The Men's Wearhouse, Inc.*..... 26,100 561,150
------------
3,362,965
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
23
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
SMALL CAP GROWTH FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS (Continued)
- --------------------------------------------------------------
RETAIL-AUTOMOBILE -- 0.6%
O'Reilly Automotive, Inc.*..... 18,400 $ 876,874
Sonic Automotive, Inc.*........ 13,300 172,900
------------
1,049,774
------------
RETAIL-BEDDING -- 0.3%
Linens 'N Things, Inc.*........ 17,000 573,750
------------
RETAIL-BUILDING PRODUCTS -- 0.1%
DAL Tile International,
Inc.*........................ 20,200 160,338
------------
RETAIL-COMPUTER EQUIPMENT -- 0.8%
CDW Computer Centers, Inc.*.... 13,300 650,038
Creative Computers, Inc.*...... 22,000 140,250
Insight Enterprises, Inc.*..... 19,400 630,500
------------
1,420,788
------------
RETAIL-DISCOUNT -- 0.5%
Ames Department Stores,
Inc.*........................ 22,300 710,813
Factory 2-U Stores, Inc.*...... 5,100 152,363
------------
863,176
------------
RETAIL-DIVERSIFIED -- 0.3%
Cheap Tickets, Inc.*........... 17,800 576,275
------------
RETAIL-INTERNET -- 0.3%
Fatbrain.com, Inc.*............ 3,300 49,294
Ubid, Inc...................... 15,331 404,355
------------
453,649
------------
RETAIL-MAIL ORDER -- 0.4%
Rowecom, Inc.*................. 7,800 216,450
Valuevision International Inc.
Cl. A*....................... 20,400 530,400
------------
746,850
------------
RETAIL-RESTAURANTS -- 0.8%
Foodmaker, Inc.*............... 21,500 536,156
Sonic Corp.*................... 29,300 891,819
------------
1,427,975
------------
RETAIL-SUNGLASSES -- 0.1%
Sunglass Hut International,
Inc.*........................ 24,500 258,781
------------
RETAIL-VIDEO RENTAL -- 0.1%
Hollywood Entertainment
Corp.*....................... 17,400 261,000
------------
SAVINGS & LOANS -- 0.3%
First Washington Bancorp,
Inc.......................... 10,600 185,500
MAF Bancorp, Inc............... 14,700 292,163
------------
477,663
------------
TECHNICAL SERVICES -- 0.2%
Tetra Tech, Inc.*.............. 18,975 316,645
------------
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS -- 4.2%
Adaptive Broadband Corp.*...... 10,500 $ 351,750
Aironet Wireless
Communications, Inc.......... 5,200 109,200
Caprock Communications
Corp.*....................... 17,000 395,250
Digital Microwave Corp.*....... 25,800 404,738
DSP Communication, Inc......... 20,600 391,400
Focal Communications Corp.*.... 21,800 558,624
Intermedia Communications,
Inc.*........................ 8,000 173,999
Pinnacle Holdings, Inc.*....... 25,100 655,737
Startek, Inc.*................. 10,400 571,999
US LEC Corp. Cl. A*............ 12,700 312,737
Viatel, Inc.*.................. 29,000 857,312
Voicestream Wireless Corp.*.... 24,000 1,481,250
Western Bancorp................ 3,500 135,187
Western Wireless Corp. Cl. A... 16,400 735,437
Winstar Communications,
Inc.*........................ 13,400 523,437
------------
7,658,057
------------
TELECOMMUNICATIONS EQUIPMENT -- 5.3%
American Tower Systems Cl. A... 26,600 520,362
Antec Corp.*................... 15,400 818,124
Audiocodes, Ltd.*.............. 4,600 173,074
Aware, Inc.*................... 8,400 240,974
Commscope, Inc.*............... 21,000 682,499
Efficient Networks, Inc.*...... 7,500 272,812
Ditech Communications Corp.*... 4,600 241,499
DSP Group, Inc.*............... 15,700 626,037
Orckit Communications, Ltd.*... 17,900 633,212
Pairgain Technologies, Inc.*... 30,600 390,149
Paradyne Networks, Inc.*....... 4,900 137,199
Pinnacle Systems, Inc.......... 27,700 1,173,787
Powerwave Technologies, Inc.... 27,300 1,316,372
Proxim, Inc.*.................. 20,600 947,599
RF Micro Devices, Inc.*........ 20,000 914,999
TUT Systems, Inc.*............. 15,400 397,512
------------
9,486,210
------------
TELECOMMUNICATIONS SERVICES -- 1.4%
Clearnet Communications, Inc.
Cl. A*....................... 31,500 568,968
Comverse Technology, Inc.*..... 4,400 414,974
GST Telecommunications,
Inc.*........................ 45,000 316,403
Hyperion Telecommunications,
Inc.
Cl. A*....................... 15,700 389,555
ICG Communications, Inc.*...... 10,200 158,737
INET Technologies, Inc.*....... 15,200 606,573
------------
2,455,210
------------
TOYS/GAMES/HOBBIES -- 0.5%
Action Performance Cos.,
Inc.*........................ 27,600 581,325
WMS Industries, Inc............ 25,400 295,275
------------
876,600
------------
TRANSPORTATION-AIR FREIGHT -- 0.4%
Expeditors International,
Inc.......................... 21,600 693,226
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
24
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON AND PREFERRED STOCKS (Continued)
- --------------------------------------------------------------
TRANSPORTATION-OTHER -- 0.2%
Transportation Technologies*... 23,900 $ 413,769
------------
TRANSPORTATION-TRUCKS -- 1.0%
American Freightways Corp.*.... 18,300 332,831
Forward Air Corp.*............. 7,900 186,638
Swift Transportation Co.,
Inc.......................... 18,200 358,313
USFreightways Corp............. 21,100 999,613
------------
1,877,395
------------
TOTAL COMMON STOCKS
(Cost: $145,770,018)......................... 167,634,981
------------
<CAPTION>
NUMBER
OF WARRANTS
- --------------------------------------------------------------
<S> <C> <C>
WARRANTS -- 0.0%
- --------------------------------------------------------------
Iwerks Entertainment, Inc.
(Cost: $0)................... 1,100 1,100
------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 4.9%
- --------------------------------------------------------------
Pitney Bowes, Inc.
5.680%, 10/01/99
(Cost: $8,732,641)........... $8,734,000 $ 8,732,641
------------
REPURCHASE AGREEMENTS -- 2.4%
- --------------------------------------------------------------
J.P. Morgan & Co., Inc.
$4,354,000 at 5.310%,
(Agreement dated 09/30/99; to
be repurchased at $4,354,633
on 10/01/99; collateralized
by $4,325,000 FNMA, 5.970%
due 10/02/00 (Value
$4,441,083))
(Cost: $4,354,000)........... 4,354,000 4,354,000
------------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 100.3%
(COST: $158,856,659)........................ 180,722,722
LIABILITIES IN EXCESS OF OTHER ASSETS (0.3%).. (488,124)
------------
NET ASSETS -- 100.0%.......................... $180,234,598
------------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
25
<PAGE>
VALUE FUND RETIREMENT SHARES
- ------------------------------------------------------------------------
MANAGEMENT TEAM: CATHERINE SOMHEGYI, Partner, Chief Investment Officer, Global
Equity Management; JOHN J. KANE, Partner, Portfolio Manager; LARRY SPEIDELL,
CFA, Partner, Director of Global/Systematic Portfolio Management and Research;
MARK STUCKELMAN, Portfolio Manager.
GOAL: The Value Fund seeks long-term capital appreciation through investments
in a diversified portfolio comprised predominantly of US companies with larger
market capitalizations.
MARKET OVERVIEW: During the second quarter, value stocks rallied sharply,
driven by better-than-expected earnings, extremely attractive valuations and
improving economies worldwide. However, this period of strong performance proved
short lived and value stocks declined in the third quarter in the face of rising
interest rates and commodity prices.
Reflecting the difficult environment for value investing in the second half of
the period, the Russell 1000 Value Index fell 9.8% versus a decline of 3.7% for
the Russell 1000 Growth Index in the third quarter.
PERFORMANCE: For the six-month period ending September 30, 1999, the fund
declined 1.1% versus a gain of 0.4% for the S&P 500 Index and 0.4% for the
Russell 1000 Value Index.
PORTFOLIO SPECIFICS: During the period, we reduced our exposure to utility
companies on a stock-by-stock basis. We increased our weightings among
producer/manufacturing and energy companies.
Among the fund's top performers for the period was GTE. Strong demand for the
company's long distance services and a successful merger with Bell Atlantic
helped the company post strong returns. IBM was another top performer based on
steps the company took to build the competitiveness of its technology segment,
which strengthened its overall business.
Boeing also delivered strong results for the fund as the company's management
implemented a successful program to develop a company-wide culture to
continuously improve financial performance and growth.
Disappointing returns among the fund's technology holdings adversely affected
relative performance. For example, Seagate Technology declined due to
overcapacity issues among disk drive manufacturers that resulted in price
competition and lower margins. We sold this holding.
MARKET OUTLOOK: Given expectations for continued robust corporate
profitability, valuations may play a greater role in dictating investor
preference. In such an environment, value stocks could recapture investor favor.
We continue to identify stocks meeting our investment criteria of attractive
valuations, fundamental strengths and evidence of positive change.
We retain optimism based on the fundamental strengths of the fund's holdings
and believe continued adherence to our philosophy will reward shareholders with
long-term appreciation.
- --------------------------------------------------------------------------------
26
<PAGE>
VALUE FUND RETIREMENT SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN VALUE FUND RETIREMENT
SHARES WITH THE S&P 500 INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
15.08% As of 09/30/99 23.39%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE FUND RETIREMENT SHARES S&P 500 INDEX
<S> <C> <C>
Date
30-Apr-96 10,000.00 10,000.00
31-May-96 10,267.86 10,258.00
30-Jun-96 10,545.63 10,296.98
31-Jul-96 10,297.62 9,841.85
31-Aug-96 10,585.32 10,049.42
30-Sep-96 11,140.87 10,615.00
31-Oct-96 11,527.78 10,907.76
30-Nov-96 12,450.40 11,732.28
31-Dec-96 12,410.71 11,499.86
31-Jan-97 13,065.48 12,218.37
28-Feb-97 13,224.21 12,314.17
31-Mar-97 12,648.81 11,808.18
30-Apr-97 13,303.57 12,513.13
31-May-97 14,295.63 13,274.92
30-Jun-97 14,751.98 13,869.64
31-Jul-97 16,468.25 14,973.25
31-Aug-97 16,081.35 14,134.45
30-Sep-97 17,093.25 14,908.59
31-Oct-97 16,428.57 14,410.64
30-Nov-97 16,974.21 15,077.71
31-Dec-97 17,390.87 15,336.60
31-Jan-98 17,311.51 15,506.22
28-Feb-98 18,710.32 16,624.53
31-Mar-98 19,910.71 17,475.87
30-Apr-98 20,019.84 17,651.68
31-May-98 19,930.56 17,348.25
30-Jun-98 20,367.06 18,052.93
31-Jul-98 19,970.24 17,860.67
31-Aug-98 16,875.00 15,278.37
30-Sep-98 17,827.38 16,257.10
31-Oct-98 19,087.30 17,580.12
30-Nov-98 19,990.08 18,645.65
31-Dec-98 20,843.25 19,720.01
31-Jan-99 21,101.19 20,544.70
28-Feb-99 20,367.06 19,906.17
31-Mar-99 20,744.05 20,702.62
30-Apr-99 22,361.11 21,503.81
31-May-99 22,023.81 20,996.11
30-Jun-99 22,638.89 22,161.39
31-Jul-99 22,182.54 21,469.95
31-Aug-99 21,388.89 21,362.60
30-Sep-99 20,515.87 20,777.05
</TABLE>
This graph compares a $10,000 investment in the Value Fund Retirement Shares
with the S&P 500 Index, on a cumulative return basis. The Fund's Retirement
Shares calculate their performance based upon the historical performance of
their corresponding series ("Fund") of Pilgrim Mutual Funds (formerly Nicholas-
Applegate Mutual Funds), adjusted to reflect fees and operating expenses. The
Fund's Retirement Shares were first available on 5/21/99. All return
calculations reflect the reinvestment of income dividends and capital gains
distributions, if any, as well as all fees and expenses.
Total returns reflect the fact that the Investment Adviser has agreed to waive
or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The S&P 500 Index contains 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.
- --------------------------------------------------------------------------------
27
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
VALUE FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
<S> <C> <C>
- ---------------------------------------------------------------
COMMON STOCK -- 98.1%
- ---------------------------------------------------------------
AEROSPACE/DEFENSE -- 3.8%
Boeing Co........................... 16,700 $ 711,838
Northrop Grumman Corp............... 3,700 235,181
United Technologies Corp............ 7,600 450,775
-----------
1,397,794
-----------
AIRLINES -- 2.5%
Delta Air Lines, Inc................ 13,900 674,150
UAL Corp............................ 3,900 254,719
-----------
928,869
-----------
AUTO MANUFACTURER -- 4.0%
Ford Motor Co....................... 22,800 1,144,275
General Motors Corp................. 5,500 346,156
-----------
1,490,431
-----------
AUTO RENTAL -- 0.3%
Hertz Corp. Cl. A................... 2,100 92,400
-----------
BEVERAGES-ALCOHOLIC -- 1.0%
Anheuser-Busch Cos., Inc............ 5,400 378,338
-----------
CHEMICALS -- 1.8%
Great Lakes Chemical Corp........... 7,100 270,244
Hercules, Inc....................... 14,400 412,200
-----------
682,444
-----------
COMPUTERS -- 2.8%
International Business Machines
Corp.............................. 8,600 1,043,825
-----------
COSMETICS & TOILETRIES -- 1.5%
Kimberly-Clark Corp................. 10,900 572,250
-----------
DIVERSIFIED FINANCIAL SERVICES -- 10.2%
Ambac Financial Group, Inc.......... 11,000 521,125
Citigroup, Inc...................... 26,700 1,174,800
Countrywide Credit Industries,
Inc............................... 8,300 267,675
Fannie Mae.......................... 6,000 376,125
Freddie Mac......................... 10,400 540,800
J.P. Morgan & Co., Inc.............. 7,300 834,025
Nationwide Financial Services, Inc.
Cl. A............................. 2,500 88,438
-----------
3,802,988
-----------
DIVERSIFIED MANUFACTURING -- 2.7%
Textron, Inc........................ 8,600 665,425
Tyco International, Ltd............. 3,300 340,725
-----------
1,006,150
-----------
ELECTRIC -- 6.2%
Allegheny Energy, Inc............... 15,900 505,819
Energy East Corp.................... 17,400 413,250
Entergy Corp........................ 5,900 170,731
PECO Energy Co...................... 12,100 453,750
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
ELECTRIC (CONTINUED)
Texas Utilities Co.................. 6,900 $ 257,456
Unicom Corp......................... 13,900 513,432
-----------
2,314,438
-----------
HEALTH CARE -- 1.9%
United Healthcare Corp.............. 14,200 691,363
-----------
HOTELS & CASINOS -- 0.8%
Harrahs Entertainment, Inc.......... 10,800 299,700
-----------
INDUSTRIAL PRODUCTS -- 2.0%
Rockwell International Corp......... 13,900 729,750
-----------
INSTRUMENTS-CONTROLS -- 1.6%
Johnson Controls, Inc............... 9,100 603,444
-----------
INSURANCE -- 6.0%
American International Group,
Inc............................... 6,375 554,226
Hartford Life, Inc. Cl. A........... 1,900 93,575
Lincoln National Corp............... 11,400 428,212
MGIC Investment Corp................ 15,900 759,225
St. Paul Cos., Inc.................. 13,900 382,251
-----------
2,217,489
-----------
MACHINERY-DIVERSIFIED -- 1.5%
Ingersoll-Rand Co................... 10,200 560,362
-----------
MEDIA -- 1.9%
CBS Corp............................ 15,500 716,874
-----------
MONEY CENTER BANKS -- 3.2%
Chase Manhattan Corp................ 6,300 474,863
Firstar Corp........................ 21,000 538,125
Golden West Financial Corp.......... 1,700 167,025
-----------
1,180,013
-----------
OIL & GAS PRODUCERS -- 9.2%
Chevron Corp........................ 5,000 443,750
Exxon Corp.......................... 8,100 615,094
Mobil Corp.......................... 12,200 1,229,150
Occidental Petroleum Corp........... 17,000 393,125
Phillips Petroleum Co............... 9,000 438,750
Texaco, Inc......................... 4,700 296,687
-----------
3,416,556
-----------
OIL & GAS SERVICES -- 1.3%
ENSCO International, Inc............ 14,200 256,488
Noble Drilling Corp.*............... 9,800 214,375
-----------
470,863
-----------
PAPER & RELATED PRODUCTS -- 2.7%
Georgia-Pacific Group............... 9,400 380,700
Weyerhaeuser Co..................... 10,700 616,588
-----------
997,288
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
28
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
COMMON STOCK (Continued)
- ---------------------------------------------------------------
REGIONAL/COMMERICAL BANKS -- 9.6%
Bank One Corp....................... 9,200 $ 320,275
Bank United Corp. Cl. A............. 2,300 74,463
Charter One Financial, Inc.......... 12,495 288,947
Fleet Financial Group, Inc.......... 19,000 695,875
M & T Bank Corp..................... 900 413,100
SouthTrust Corp..................... 22,100 792,838
UnionBanCal Corp.................... 8,700 315,374
Wells Fargo Co...................... 17,200 681,550
-----------
3,582,422
-----------
RETAIL-DEPARTMENT STORES -- 2.2%
Federated Department Stores,
Inc.*............................. 18,500 808,218
-----------
STEEL -- 0.6%
USX -- U.S. Steel Group............. 9,300 239,474
-----------
TELECOMMUNICATIONS -- 13.0%
Ameritech Corp...................... 18,600 1,249,688
AT&T Corp........................... 14,100 613,350
BellSouth Corp...................... 23,600 1,062,000
GTE Corp............................ 12,400 953,250
MCI WorldCom, Inc.*................. 10,100 725,938
SBC Communications, Inc............. 4,700 239,993
-----------
4,844,219
-----------
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
TOYS/GAMES/HOBBIES -- 1.6%
Hasbro, Inc......................... 27,600 $ 591,674
-----------
TRANSPORTATION-TRAINS -- 2.2%
Union Pacific Corp.................. 16,800 807,450
-----------
TOTAL COMMON STOCK
(Cost: $40,040,378)............................ 36,467,086
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- ---------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 1.7%
- ---------------------------------------------------------------
Kellogg Co.
5.603%, 10/01/99
(Cost: $644,901).................. $645,000 644,901
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 99.8%
(Cost: $40,685,279).......................... 37,111,987
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2%.. 55,702
-----------
NET ASSETS -- 100.0%........................... $37,167,689
-----------
- ---------------
</TABLE>
* Non-income producing securities.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
29
<PAGE>
HIGH QUALITY BOND FUND RETIREMENT SHARES
- ------------------------------------------------------------------------
SUB ADVISORY MANAGEMENT TEAM: FRED S. ROBERTSON, III, Chief Investment
Officer, Fixed Income; JAMES E. KELLERMAN, Portfolio Manager; MALCOM S. DAY,
CFA, Portfolio Manager; SUSAN MALONE, Portfolio Manager.
GOAL: The High Quality Bond Fund seeks to maximize long-term total return from
a portfolio utilizing multiple sectors of the bond market including a broad
range of investment-grade issues, as well as, on an opportunistic basis,
developed international bonds and below-investment grade corporate issues. The
dollar-weighted average portfolio duration of the fund will range from two to
eight years.
MARKET OVERVIEW: During the first half of the six-month period ending
September 30, 1999, the US fixed income market was influenced by: a robust
economy; tight labor markets; and a recovery in investor confidence from 1998's
liquidity crisis.
As a result of these factors, interest rates rose and investors' expectations
for additional interest-rate reductions by the Federal Reserve Board diminished.
Most sectors of the bond market posted declines.
Despite 25-basis point increases in short-term interest rates in late June and
August, the US fixed income market spent much of the second half of the period
in a trading range.
PERFORMANCE: During the period, the fund declined 0.8% versus a decline of
0.2% for the Lehman Aggregate Bond Index.
PORTFOLIO SPECIFICS: Fund returns were affected by two primary factors --
interest rate sensitivity and sector selection. In anticipation of somewhat
slower levels of economic growth and because long-term factors such as
conservative fiscal policy, secular disinflation and increasing global
competition remained positive for bonds, we maintained a level of interest-rate
sensitivity modestly higher than the index. As interest rates increased, this
adversely affected performance. The fund also had a modest allocation to the
international developed market, which slightly detracted from performance and a
modest allocation to high yield bonds, which slightly enhanced performance.
Later in the period, amid evidence of economic strength and further tightening
in labor markets, we we reduced the interest-rate sensitivity to neutral.
MARKET OUTLOOK: We maintain a neutral position on the direction of interest
rates. Near term, the US economy remains strong and labor markets remain tight,
though signs of more moderate economic growth have appeared. If the economy does
not show signs of slowing enough to stabilize imbalances in the labor market,
the Federal Reserve may raise short-term interest rates further. However, we
believe the next significant move will be back to slower economic growth and
lower yield levels.
Long-term factors remain positive for the bond market: US fiscal policy
remains conservative; global competition and technological advances are keeping
downward pressure on inflation; and interest rates remain well above inflation
rates.
- --------------------------------------------------------------------------------
30
<PAGE>
HIGH QUALITY BOND FUND RETIREMENT SHARES - UNAUDITED
- ------------------------------------------------------------------------
COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN HIGH QUALITY BOND FUND
RETIREMENT SHARES WITH THE LEHMAN AGGREGATE BOND INDEX.
<TABLE>
<S> <C> <C>
SINCE
1 YEAR ANNUALIZED TOTAL RETURNS INCEPTION
0.63% As of 09/30/99 7.15%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
HIGH QUALITY BOND FUND RETIREMENT SHARES LEHMAN AGGREGATE
BOND INDEX
<S> <C> <C>
Date
31-Aug-95 10,000.00 10,000.00
30-Sep-95 10,317.80 10,097.00
31-Oct-95 10,487.29 10,228.26
30-Nov-95 10,688.56 10,381.68
31-Dec-95 10,889.83 10,527.03
31-Jan-96 10,879.24 10,596.51
29-Feb-96 10,635.59 10,412.13
31-Mar-96 10,561.44 10,339.24
30-Apr-96 10,508.47 10,281.34
31-May-96 10,487.29 10,260.78
30-Jun-96 10,625.00 10,398.27
31-Jul-96 10,656.78 10,426.35
31-Aug-96 10,614.41 10,408.63
30-Sep-96 10,836.86 10,589.74
31-Oct-96 11,069.92 10,824.83
30-Nov-96 11,271.19 11,009.93
31-Dec-96 11,175.85 10,907.54
31-Jan-97 11,175.85 10,941.35
28-Feb-97 11,260.59 10,968.71
31-Mar-97 11,122.88 10,846.95
30-Apr-97 11,281.78 11,009.66
31-May-97 11,398.31 11,114.25
30-Jun-97 11,546.61 11,246.51
31-Jul-97 11,853.81 11,550.17
31-Aug-97 11,726.69 11,451.99
30-Sep-97 11,938.56 11,621.48
31-Oct-97 12,086.86 11,789.99
30-Nov-97 12,161.02 11,844.22
31-Dec-97 12,266.95 11,963.85
31-Jan-98 12,457.63 12,116.99
28-Feb-98 12,489.41 12,107.29
31-Mar-98 12,563.56 12,148.46
30-Apr-98 12,616.53 12,211.63
31-May-98 12,733.05 12,327.64
30-Jun-98 12,786.02 12,432.43
31-Jul-98 12,828.39 12,458.53
31-Aug-98 12,902.54 12,661.61
30-Sep-98 13,177.97 12,957.89
31-Oct-98 13,008.47 12,889.21
30-Nov-98 13,262.71 12,962.68
31-Dec-98 13,358.05 13,001.57
31-Jan-99 13,495.76 13,093.88
28-Feb-99 13,262.71 12,864.74
31-Mar-99 13,368.64 12,935.49
30-Apr-99 13,474.58 12,976.89
31-May-99 13,336.86 12,862.69
30-Jun-99 13,241.57 12,821.53
31-Jul-99 13,166.76 12,767.68
31-Aug-99 13,102.64 12,761.30
30-Sep-99 13,260.44 12,909.33
</TABLE>
This graph compares a $10,000 investment in the High Quality Bond Fund
Retirement Shares with the Lehman Aggregate Bond Index, on a cumulative and
average annual total return basis. The Fund's Retirement Shares calculate their
performance based on the historical performance of their corresponding series
("Fund") of Pilgrim Mutual Funds (formerly Nicholas-Applegate Mutual Funds),
adjusted to reflect fees and operating expenses. The Fund's Retirement Shares
were first available on 5/21/99. 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 reflect the fact that the Investment Adviser has agreed to
waive or defer its management fees and to pay other operating expenses otherwise
payable by the Fund through fiscal year ending March 31, 2000, subject to
possible later reimbursement during a three-year period. Total return results
may have been lower had there been no waiver or deferral.
The Lehman Brothers Aggregate Bond Index is composed of securities from Lehman
Brothers Government/Corporate Bond Index. Mortgage-Backed Securities Index, and
Asset-Backed Securities Index.
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.
- --------------------------------------------------------------------------------
31
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------
HIGH QUALITY BOND FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
- --------------------------------------------------------------
CORPORATE BONDS -- 26.3%
- --------------------------------------------------------------
AEROSPACE/DEFENSE -- 0.6%
Rockwell International Corp.
5.200%, 01/15/2098.............. $ 210,000 $ 137,655
-----------
AIRLINES -- 3.4%
Atlas Air, Inc. 1991 A A1
7.200%, 01/02/19................ 250,000 225,880
Continental Airlines, Inc. 991A
6.545%, 02/02/19................ 270,000 249,064
Northwest Airlines Corp. 1992 A
7.575%, 03/01/19................ 250,000 244,728
-----------
719,672
-----------
AUTO MANUFACTURERS -- 0.5%
DaimlerChrysler NA Holding
7.200%, 09/01/09................ 75,000 75,363
Ford Motor Co.
7.450%, 07/16/31................ 50,000 49,298
-----------
124,661
-----------
BEVERAGES-ALCOHOLIC -- 0.4%
J Seagram & Sons
6.800%, 12/15/08................ 90,000 85,163
-----------
BROADCASTING -- 0.6%
CD Radio Inc. 0.000% (until
12/01/02, thereafter 15.000% to
maturity), 12/01/07............. 50,000 24,438
News America Holdings
8.875%, 04/26/23................ 100,000 105,672
-----------
130,110
-----------
COMPUTER SOFTWARE -- 0.7%
Computer Associates International
6.375%, 04/15/05................ 160,000 150,000
-----------
COMPUTERS -- 1.3%
Apple Computer, Inc.
6.500%, 02/15/04................ 50,000 46,625
Sun Microsystems, Inc.
7.650%, 08/15/09................ 150,000 151,926
Unisys Corp.
12.000%, 04/15/03............... 70,000 76,125
-----------
274,676
-----------
DISTRIBUTION/WHOLESALE -- 0.2%
United Stationer Supply
12.750%, 05/01/05............... 50,000 54,125
-----------
DIVERSIFIED FINANCIAL SERVICES -- 0.8%
Countrywide Capital III
8.050%, 06/15/27................ 50,000 48,276
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
DIVERSIFIED FINANCIAL SERVICES (CONTINUED)
GS Escrow Corp.
6.750%, 08/01/01................ $ 120,000 $ 117,750
-----------
166,026
-----------
ELECTRIC -- 0.8%
Calpine Corp.
10.500%, 05/15/06............... 170,000 176,375
-----------
ENGINEERING & CONSTRUCTION -- 0.7%
McDermott, Inc.
9.375%, 03/15/02................ 140,000 144,375
-----------
ENTERTAINMENT -- 0.3%
Ascent Entertainment Group 0.000%
(until 12/01/02, thereafter
11.875% to maturity),
12/15/04........................ 100,000 72,125
-----------
HEALTHCARE -- 0.6%
Abbey Health Care Group
9.500%, 11/01/02................ 120,000 119,850
-----------
HOME BUILDING -- 0.5%
Lennar Corp.
7.625%, 03/01/09................ 110,000 99,933
-----------
INSURANCE -- 0.7%
Florida Windstorm Under
7.125%, 02/25/19................ 100,000 94,919
Lumbermens Mutual Casualty
8.300%, 12/01/37................ 60,000 52,186
-----------
147,105
-----------
INVESTMENT COMPANIES -- 1.7%
Dryden Investor Trust
7.157%, 7/23/08................. 183,740 172,256
Fidelity Investments
7.57%, 06/15/29................. 200,000 195,386
-----------
367,642
-----------
MEDICAL SUPPLIES/EQUIPMENT -- 0.8%
Guidant Corp.
6.150%, 02/15/06................ 180,000 167,778
-----------
METALS-DIVERSIFIED -- 0.8%
Scotia Pacific Co. LLC
6.550%, 01/20/07................ 180,322 162,290
-----------
OIL & GAS PRODUCERS -- 1.3%
Deeptech International, Inc.
12.000%, 12/15/00............... 100,000 106,250
Murphy Oil Corp.
7.050%, 05/01/29................ 175,000 160,221
-----------
266,471
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
32
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS (Continued)
- --------------------------------------------------------------
OIL FIELD MACHINERY & EQUIPMENT -- 1.9%
Halliburton Company
8.750%, 02/15/21................ $ 350,000 $ 399,000
-----------
OTHER COMMERCIAL SERVICES -- 0.5%
Cendant Corp.
7.750%, 12/01/03................ 100,000 99,903
-----------
PACKAGING & CONTAINERS -- 0.7%
Stone Container Corp.
9.875%, 02/01/00................ 150,000 150,375
-----------
PUBLISHING -- 0.1%
American Lawyer Media
9.750%, 12/15/07................ 20,000 19,600
-----------
REAL ESTATE OPERATIONS -- 0.2%
Equity Office Properties LP
7.500%, 04/19/29................ 50,000 44,700
-----------
RECREATIONAL CENTERS -- 0.2%
Bally Total Fitness Holdings
9.875%, 10/15/07................ 40,000 37,800
-----------
RENTAL AUTO/EQUIPMENT -- 0.1%
United Rentals, Inc.
9.500%, 06/01/08................ 20,000 19,750
-----------
RETAIL-DISCOUNT -- 0.4%
Wal-Mart Stores
6.875%, 08/10/09................ 95,000 95,176
-----------
RETAIL-FOOD -- 0.7%
Kroger Co.
8.000%, 09/15/29................ 150,000 149,063
-----------
RETAIL-MUSIC STORE -- 0.2%
Musicland Stores Corp.
9.875%, 03/15/08................ 50,000 46,250
-----------
TELECOMMUNICATIONS -- 2.0%
Crown Castle International Corp.
10.625%, 11/15/07............... 100,000 70,375
Global Telesystems Group
9.875%, 02/15/05................ 100,000 95,750
Nextel Communications
9.750%, 08/15/04................ 150,000 151,125
Pacific West Telecommunications,
Inc.
13.500%, 02/01/09............... 100,000 101,625
-----------
418,875
-----------
TELECOMMUNICATIONS EQUIPMENT -- 0.7%
Covad Communications Group 0.000%
(until 3/15/03, thereafter
13.500% to maturity),
03/15/08........................ 60,000 30,675
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS EQUIPMENT (CONTINUED)
Motorola Inc.
6.500%, 11/15/28................ $ 130,000 $ 112,954
-----------
143,629
-----------
TELEPHONE -- 1.1%
Sprint Capital Corp.
6.875%, 11/15/28................ 130,000 118,788
WorldCom Inc.
6.950%, 08/15/28................ 120,000 111,810
-----------
230,598
-----------
TELEVISION -- 0.5%
Frontiervision LP
11.000%, 10/15/06............... 100,000 107,000
-----------
TRANSPORTATION - AIR FREIGHT -- 0.3%
Federal Express Corp.
7.600%, 07/01/2097.............. 70,000 62,650
-----------
TOTAL CORPORATE BONDS
(Cost: $5,789,833)............................ 5,590,401
-----------
- --------------------------------------------------------------
FOREIGN CORPORATE BONDS -- 7.1%
- --------------------------------------------------------------
BERMUDA -- 0.6%
Sea Containers
12.500%, 12/01/04............... 110,000 117,700
-----------
CANADA -- 0.5%
Teleglobe Inc.
7.200%, 07/20/09................ 130,000 122,903
-----------
CHILE -- 0.8%
Celulosa Arauco
7.500%, 09/15/17................ 70,000 57,359
Empresa Nacional de Electricidad
8.125%, 02/01/49................ 120,000 90,788
Enersis S.A.
6.600%, 12/01/26................ 35,000 33,031
-----------
181,178
-----------
DENMARK -- 1.1%
NYKREDIT
6.000%, 10/01/29................ 1,744,000 227,738
-----------
LUXEMBOURG -- 0.5%
Tyco International Group S.A.
7.000%, 06/15/28................ 110,000 100,067
-----------
MEXICO -- 1.9%
Pemex Finance, Ltd.
6.300%, 05/15/10................ 170,000 156,703
Pemex Finance, Ltd.
9.69%, 08/15/09................. 140,000 141,137
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
33
<PAGE>
SCHEDULE OF INVESTMENTS AS OF SEPTEMBER 30, 1999 -- CONTINUED
- --------------------------------------------------------------------------------
HIGH QUALITY BOND FUND
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
FOREIGN CORPORATE BONDS (Continued)
- --------------------------------------------------------------
MEXICO (CONTINUED)
Petroleos Mexicanos
9.150%, 11/15/18................ $ 105,000 $ 98,052
-----------
395,892
-----------
UNITED KINGDOM -- 0.6%
National Westminster Bank
7.375%, 10/01/09................ 60,000 59,892
United Utilities PLC
6.875%, 08/15/28................ 90,000 76,185
-----------
136,077
-----------
VENEZUELA -- 1.1%
Cerro Negro Finance, Ltd.
7.330%, 12/01/09................ 50,000 36,514
PDVSA Finance Ltd.
6.800%, 11/15/08................ 180,000 142,362
PDVSA Finance Ltd.
7.500%, 11/15/28................ 70,000 47,921
-----------
226,797
-----------
TOTAL FOREIGN CORPORATE BONDS
(Cost: $1,565,569)............................ 1,508,352
-----------
- --------------------------------------------------------------
US TREASURY OBLIGATIONS -- 5.7%
- --------------------------------------------------------------
US TREASURY BONDS -- 5.7%
11.625%, 11/15/04................. 120,000 149,231
8.875%, 08/15/17.................. 850,000 1,064,761
-----------
TOTAL US TREASURY OBLIGATIONS
(Cost: $1,214,438)............................ 1,213,992
-----------
- --------------------------------------------------------------
AGENCY OBLIGATIONS -- 15.6%
- --------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP. -- 7.6%
Gold Pool # E74572
5.500%, 01/01/14................ 181,522 171,026
Gold Pool #B00632
9.000%, 06/01/06................ 19,004 19,490
Gold Pool #E00719
5.500%, 07/01/14................ 1,484,257 1,398,438
Pool # 380032
10.000%, 10/01/03............... 20,569 21,019
-----------
1,609,973
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 1.6%
Pool # 200112
9.500%, 11/01/05................ 54,373 55,947
Pool # 273114
6.500%, 02/01/09................ 90,361 89,233
Pool # 303262
9.500%, 05/01/07................ 28,854 29,840
Pool # 303481
10.000%, 10/01/05............... 22,804 23,711
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION (CONTINUED)
Pool # 303758
9.500%, 07/01/06................ $ 22,217 $ 23,139
Pool # 363503
9.500%, 06/01/05................ 27,840 28,791
Pool # E74614
5.500%, 02/01/14................ 85,466 80,524
-----------
331,185
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION -- 6.4%
30YR To Be Announced
6.500%, 03/16/27................ 100,000 95,781
Pool # 064054
11.500%, 02/15/13............... 476 508
Pool # 299705
8.500%, 02/15/21................ 4,265 4,442
Pool # 481520
6.000%, 09/15/28................ 825,761 766,149
Pool # 497386
6.500%, 12/15/28................ 542,250 501,110
Pool # 50700
11.500%, 02/15/12............... 1,315 1,470
Pool# 68958
11.500%, 07/15/13............... 1,659 1,855
-----------
1,371,315
-----------
TOTAL AGENCY OBLIGATIONS
(Cost: $3,333,853)............................ 3,312,473
-----------
- --------------------------------------------------------------
FOREIGN GOVERNMENT BONDS -- 4.4%
- --------------------------------------------------------------
GERMANY -- 4.4%
Federal Republic Of Germany Unity
Bond
8.000%, 02/21/02................ 190,000 220,247
Federal Republic Of Germany
7.375%, 01/03/05................ 600,000 717,672
-----------
TOTAL FOREIGN GOVERNMENT BONDS
(Cost: $950,157).............................. 937,919
-----------
- --------------------------------------------------------------
CMO'S AND ASSET-BACKED SECURITIES -- 28.3%
- --------------------------------------------------------------
FINANCIAL SERVICES -- 1.1%
Captiva CBO 1997 1 144A
6.860%, 11/30/09................ 250,000 233,490
-----------
MORTGAGE-COMMERCIAL -- 22.5%
Allied Capital Commercial
Mortgage 1998 1 144A
6.710%, 12/25/04................ 190,000 181,116
ARG Funding Corp. 1999 1A A3
6.020%, 05/20/05................ 370,000 353,350
Asset Securitization Corp. 1996 D2
A1
6.920%, 02/14/29................ 185,756 183,100
Comed Transitional Funding
Trust 1998 1 A6
5.630%, 06/25/09................ 150,000 139,529
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
34
<PAGE>
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
CMO'S AND ASSET-BACKED SECURITIES (Continued)
- --------------------------------------------------------------
MORTGAGE-COMMERCIAL (CONTINUED)
Comed Transitional Funding
Trust 1998 1 A7
5.740%, 12/25/10................ $ 250,000 $ 230,900
Commercial Mortgage Acceptance
Corp. 99 C1 A2
7.030%, 05/15/09................ 450,000 443,320
Commercial Mortgage Assets 99 C1
A2
6.585%, 07/17/08................ 240,000 230,928
CRIIMI MAE Commercial Mortgage
Trust
1998 C1 A2 144A
7.000%, 03/02/11................ 180,000 153,260
DLJ Commercial Mortgage
Corp. 1998 CF1 CP
.9064%, 04/15/05................ 3,360,000 133,350
DLJ Commercial Mortgage
Corp. 1998 CFS
6.240%, 11/12/31................ 360,000 339,525
DLJ Mortgage Acceptance
Corp. 144A 1996 CF1 S
.6097%, 03/12/06................ 4,072,876 86,549
DLJ Mortgage Acceptance
Corp. 1998 A A2
6.418%, 05/28/28................ 98,935 93,648
Federal National Mortgage
Association Aces 1996 M5 Class
Xs
.5382%, 01/25/13................ 5,946,056 156,084
Federal National Mortgage
Association Aces 1997 M8 Cl X1
.6535%, 10/25/02................ 8,630,000 152,373
Global Franchise Trust 1998 A1
6.349%, 04/10/04................ 366,157 359,635
GMAC Commercial Mortgage
Securities, Inc. 1998 C2 A2
6.420%, 08/15/08................ 120,000 112,275
GS Mortgage Securities Corp. 1998
C1 A1
6.060%, 10/18/30................ 167,841 162,170
GS Mortgage Securities Corp. GLII
A2
6.562%, 04/13/31................ 230,000 221,998
JP Morgan Commercial Mortgage
Finance Corp. 1998 C6 A2
6.533%, 01/15/30................ 330,000 320,732
JP Morgan Commercial Mortgage
Finance Corp. 1999 C7 A2
6.507%, 10/15/35................ 110,000 104,410
Morgan Stanley Capital 1 1998 CF1
D
6.710%, 12/15/31................ 90,000 87,173
Morgan Stanley Capital 1 1998 XL2
A2
6.170%, 10/03/08................ 200,000 186,406
Mortgage Capital Funding,
Inc. 1998 MC3
6.001%, 11/18/31................ 134,230 128,672
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- --------------------------------------------------------------
<S> <C> <C>
MORTGAGE-COMMERCIAL (CONTINUED)
Nomura Asset Securities
Corp. 1998 D6 A1
6.590%, 03/17/28................ $ 140,000 $ 134,138
PP&L Transition Bond
Co. LLC 1998 1 A8
7.150%, 06/25/09................ 100,000 100,939
-----------
4,795,580
-----------
MORTGAGE-RESIDENTIAL -- 4.7%
Amresco Residential Securities
1997 3 A9
6.960%, 03/25/27................ 200,000 198,438
BankBoston Home Equity
Loan Trust 1998 A4
6.110%, 09/25/13................ 400,000 384,625
Residential Asset Securitization
Trust 1998 A5
6.750%, 06/25/28................ 330,000 316,284
Saxon Asset Securities Trust 1999
1 AF3
6.170%, 08/25/21................ 100,000 98,656
-----------
998,003
-----------
TOTAL CMO'S AND ASSET-BACKED SECURITIES
(Cost: $6,178,084)............................ 6,027,073
-----------
<CAPTION>
NUMBER
OF SHARES
- --------------------------------------------------------------
<S> <C> <C>
MUTUAL FUNDS -- 5.8%
- --------------------------------------------------------------
INVESTMENT COMPANIES -- 5.8%
Blackrock 2001 Term Trust......... 68,200 613,800
Blackrock Strategic Term Trust.... 69,000 612,375
-----------
TOTAL MUTUAL FUNDS
(Cost: $1,256,263)............................ 1,226,175
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- --------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER -- 5.2%
- --------------------------------------------------------------
Federal National Mortgage
Association 5.262%, 10/01/99
(Cost: $1,116,839).............. $ 117,000 1,116,839
-----------
</TABLE>
<TABLE>
<S> <C>
TOTAL INVESTMENTS -- 98.4%
(COST: $21,405,036).......................... 20,933,224
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.6%.. 341,661
-----------
NET ASSETS -- 100.0%........................... $21,274,885
-----------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
35
<PAGE>
Nicholas-Applegate Institutional Funds
Financial Highlights
For a share outstanding during the period indicated
<TABLE>
<CAPTION>
DISTRIBUTIONS FROM:
-------------------------
NET ASSET NET NET REALIZED NET NET NET ASSET
VALUE, INVESTMENT AND UNREALIZED INVESTMENT REALIZED VALUE,
BEGINNING INCOME (LOSS) GAINS (LOSSES) INCOME CAPITAL GAINS ENDING
<S> <C> <C> <C> <C> <C> <C>
- ---------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUNDS
INTERNATIONAL CORE GROWTH
5/24/99 (commenced) to
9/30/99 $20.01 ($0.04) $ 2.60 $ -- $ -- $22.57
EMERGING COUNTRIES
5/24/99 (commenced) to
9/30/99 $15.26 ($0.04) $ 0.98 $ -- $ -- $16.20
U.S. EQUITY FUNDS
LARGE CAP GROWTH
5/24/99 (commenced) to
9/30/99 $28.61 ($0.06) $ 1.12 $ -- $ -- $29.67
MID CAP GROWTH
5/24/99 (commenced) to
9/30/99 $18.94 ($0.03) $ 1.64 $ -- $ -- $20.55
SMALL CAP GROWTH
5/24/99 (commenced) to
9/30/99 $13.86 ($0.04) $ 2.02 $ -- $ -- $15.84
VALUE
5/24/99 (commenced) to
9/30/99 $22.33 $ 0.04 ($1.69) $ -- $ -- $20.68
U.S. FIXED INCOME FUNDS
HIGH QUALITY BOND
5/24/99 (commenced) to
9/30/99 $12.66 $ 0.25 ($0.39) ($0.31) $ -- $12.21
</TABLE>
- ----------------------------------------
(1) Total returns are not annualized for periods less than one year.
(2) The total returns reflect the six month period. The Fund's Retirement
Shares calculate their performance based upon the historical performance of
their corresponding series (Fund) of Pilgrim Mutual Funds, adjusted to
reflect fees and operating expenses. The total returns since inception of
the Funds at 5/24/99 are: International Core Growth 12.79%, Emerging
Countries 6.16%, Large Cap Growth 3.70%, Mid Cap Growth 8.50%, Small Cap
Growth 14.29%, Value (7.39%), and High Quality Bond (1.12%).
(3) Ratios are annualized for periods of less than one year. Expense
reimbursements reflect voluntary reductions to total expenses, as discussed
in the notes to financial statements. Such amounts would decrease net
investment income (loss) ratios had such reductions not occurred.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
36
<PAGE>
<TABLE>
<CAPTION>
RATIOS TO AVERAGE NET ASSETS (3)
------------------------------------------------- FUND'S
NET PORTFOLIO NET ASSETS,
TOTAL INVESTMENT TOTAL EXPENSE NET TURNOVER ENDING
RETURN (1,2) INCOME (LOSS) EXPENSES REIMBURSEMENTS EXPENSES RATE (IN 000'S)
<S> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUNDS
INTERNATIONAL CORE GROWTH
5/24/99 (commenced) to
9/30/99 14.34% (0.69%) 1.71% (0.06%) 1.65% 66% $ 3,103
EMERGING COUNTRIES
5/24/99 (commenced) to
9/30/99 20.36% (0.69%) 2.02% (0.12%) 1.90% 67% $ 0.5
U.S. EQUITY FUNDS
LARGE CAP GROWTH
5/24/99 (commenced) to
9/30/99 10.30% (0.67%) 1.34% (0.09%) 1.25% 69% $23,623
MID CAP GROWTH
5/24/99 (commenced) to
9/30/99 7.54% (0.41%) 1.25% (0.00%) 1.25% 51% $ 0.5
SMALL CAP GROWTH
5/24/99 (commenced) to
9/30/99 17.07% (0.92%) 1.64% (0.22%) 1.42% 33% $ 2,500
VALUE
5/24/99 (commenced) to
9/30/99 (1.10%) 0.61% 1.36% (0.11%) 1.25% 44% $ 7,990
U.S. FIXED INCOME FUNDS
HIGH QUALITY BOND
5/24/99 (commenced) to
9/30/99 (0.81%) 6.43% 1.28% (0.58%) 0.70% 85% $ 2,752
</TABLE>
- ----------------------------------------
(1) Total returns are not annualized for periods less than one year.
(2) The total returns reflect the six month period. The Fund's Retirement
Shares calculate their performance based upon the historical performance of
their corresponding series (Fund) of Pilgrim Mutual Funds, adjusted to
reflect fees and operating expenses. The total returns since inception of
the Funds at 5/24/99 are: International Core Growth 12.79%, Emerging
Countries 6.16%, Large Cap Growth 3.70%, Mid Cap Growth 8.50%, Small Cap
Growth 14.29%, Value (7.39%), and High Quality Bond (1.12%).
(3) Ratios are annualized for periods of less than one year. Expense
reimbursements reflect voluntary reductions to total expenses, as discussed
in the notes to financial statements. Such amounts would decrease net
investment income (loss) ratios had such reductions not occurred.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
37
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
INTERNATIONAL EMERGING
CORE GROWTH COUNTRIES
<S> <C> <C>
ASSETS
Investments, at value* $168,375,410 $188,266,786
Foreign currencies, at
value** 825,782 3,364,588
Cash 8,650 --
Receivables:
Investment securities
sold 32,359,794 9,346,425
Capital shares sold 313,698 77,585
Dividends 208,675 304,532
Interest -- 185
Securities lending -- --
From investment advisor 2,356 30,556
Unrealized gain on
forward currency
contracts -- --
Other assets 668 723
------------ ------------
Total Assets 202,095,033 201,391,380
------------ ------------
LIABILITIES
Payables:
Bank overdraft $ -- $ 2,078,302
Investments purchased 41,582,539 11,994,447
Capital shares
purchased 236,619 27,367
Dividends -- --
To investment advisor -- --
Unrealized loss on
forward currency
contracts -- --
Other liabilities 307,125 587,729
------------ ------------
Total Liabilities 42,126,283 14,687,845
------------ ------------
NET ASSETS $159,968,750 $186,703,535
------------ ------------
------------ ------------
* Investments, at cost $152,684,732 $174,314,842
------------ ------------
------------ ------------
** Foreign currencies,
at cost $ 823,154 $ 3,314,419
------------ ------------
------------ ------------
NET ASSETS CONSIST OF:
Paid-in capital $148,527,962 $183,392,544
Undistributed net
investment income
(loss) 48,922 (336,425)
Accumulated net realized
gain (loss) on
investments and foreign
currencies (4,269,638) (10,367,109)
Net unrealized
appreciation
(depreciation) of
investments and of
other assets and
liabilities denominated
in foreign currencies 15,661,504 14,014,525
------------ ------------
Net assets applicable to
all shares outstanding $159,968,750 $186,703,535
------------ ------------
------------ ------------
Net Assets of Retirement
Shares $ 3,103,205 $ 458
Net Assets of
Institutional Shares $156,865,545 $186,703,077
------------ ------------
------------ ------------
Retirement Shares
outstanding 137,488 28
Institutional Shares
outstanding 6,944,859 11,532,263
------------ ------------
------------ ------------
Net Asset Value --
Retirement Share $ 22.57 $ 16.20
Net Asset Value --
Institutional Share $ 22.59 $ 16.19
------------ ------------
------------ ------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
38
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP MID CAP SMALL CAP HIGH QUALITY
GROWTH GROWTH GROWTH VALUE BOND
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value* $33,334,283 $133,438,429 $180,722,722 $37,111,987 $20,933,224
Foreign currencies, at
value** -- -- -- -- --
Cash 860 758 129,544 40,758 --
Receivables:
Investment securities
sold 1,689,911 4,265,333 14,259,142 595,089 1,862,156
Capital shares sold 81,985 23,935 25,922 37,986 25,993
Dividends 9,414 21,087 40,009 81,343 5,002
Interest -- -- -- -- 263,142
Securities lending -- -- -- -- --
From investment advisor 4,240 17,897 34,398 5,242 9,897
Unrealized gain on
forward currency
contracts -- -- -- -- 3,193
Other assets 80 487 742 69 1,538
----------- ------------ ------------ ----------- -----------
Total Assets 35,120,773 137,767,926 195,212,479 37,872,474 23,104,145
----------- ------------ ------------ ----------- -----------
LIABILITIES
Payables:
Bank overdraft $ -- $ -- $ -- $ -- $ 1,795
Investments purchased 1,974,322 4,949,572 14,615,541 644,901 1,770,744
Capital shares
purchased -- 26,392 4,379 2,233 12,138
Dividends -- -- -- -- 131
To investment advisor -- -- -- -- --
Unrealized loss on
forward currency
contracts -- -- -- -- --
Other liabilities 53,934 245,046 357,961 57,651 44,452
----------- ------------ ------------ ----------- -----------
Total Liabilities 2,028,256 5,221,010 14,977,881 704,785 1,829,260
----------- ------------ ------------ ----------- -----------
NET ASSETS $33,092,517 $132,546,916 $180,234,598 $37,167,689 $21,274,885
----------- ------------ ------------ ----------- -----------
----------- ------------ ------------ ----------- -----------
* Investments, at cost $31,209,851 $115,195,054 $158,856,659 $40,685,279 $21,405,036
----------- ------------ ------------ ----------- -----------
----------- ------------ ------------ ----------- -----------
** Foreign currencies,
at cost $ -- $ -- $ -- $ -- $ (32)
----------- ------------ ------------ ----------- -----------
----------- ------------ ------------ ----------- -----------
NET ASSETS CONSIST OF:
Paid-in capital $31,971,803 $125,153,432 $154,077,801 $40,891,945 $22,016,130
Undistributed net
investment income
(loss) (60,535) (275,529) (601,634) 124,319 (8,261)
Accumulated net realized
gain (loss) on
investments and foreign
currencies (943,184) (10,574,363) 4,892,368 (275,283) (264,942)
Net unrealized
appreciation
(depreciation) of
investments and of
other assets and
liabilities denominated
in foreign currencies 2,124,433 18,243,376 21,866,063 (3,573,292) (468,042)
----------- ------------ ------------ ----------- -----------
Net assets applicable to
all shares outstanding $33,092,517 $132,546,916 $180,234,598 $37,167,689 $21,274,885
----------- ------------ ------------ ----------- -----------
----------- ------------ ------------ ----------- -----------
Net Assets of Retirement
Shares $23,623,204 $ 469 $ 2,499,820 $ 7,990,200 $ 2,752,086
Net Assets of
Institutional Shares $ 9,469,313 $132,546,447 $177,734,778 $29,177,489 $18,522,799
----------- ------------ ------------ ----------- -----------
----------- ------------ ------------ ----------- -----------
Retirement Shares
outstanding 796,177 23 157,771 386,337 225,357
Institutional Shares
outstanding 319,024 6,450,051 11,207,487 1,410,020 1,517,836
----------- ------------ ------------ ----------- -----------
----------- ------------ ------------ ----------- -----------
Net Asset Value --
Retirement Share $ 29.67 $ 20.55 $ 15.84 $ 20.68 $ 12.21
Net Asset Value --
Institutional Share $ 29.68 $ 20.55 $ 15.86 $ 20.69 $ 12.20
----------- ------------ ------------ ----------- -----------
----------- ------------ ------------ ----------- -----------
</TABLE>
- --------------------------------------------------------------------------------
39
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
STATEMENT OF OPERATIONS
PERIOD ENDED SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
INTERNATIONAL EMERGING
CORE GROWTH COUNTRIES
<S> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign
taxes $ 611,482 $ 817,132
Interest 150,239 44,992
Securities lending 22,492 23,354
----------- ------------
Total Income 784,213 885,478
----------- ------------
EXPENSES
Advisory fee 524,339 928,603
Accounting and
administration fees 44,929 59,135
Custodian fees 75,264 252,887
Transfer agent fees and
expenses 17,004 19,806
Distribution and
shareholder servicing
fees 1,217 --
Administrative services 52,434 74,288
Professional fees 24,636 32,419
Shareholder reporting 4,058 4,954
Registration fees 4,893 6,033
Trustees' fees and
expenses 3,712 4,886
Interest and credit
facility fee -- --
Insurance -- --
Miscellaneous 3,476 5,391
----------- ------------
Total Expenses 755,962 1,388,402
Expenses reimbursed (20,671) (166,499)
----------- ------------
Net Expenses 735,291 1,221,903
----------- ------------
NET INVESTMENT INCOME
(LOSS) 48,922 (336,425)
----------- ------------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized gain (loss)
from:
Securities (4,004,547) (9,632,403)
Foreign currency
transactions (265,091) (734,706)
----------- ------------
Net realized gain
(loss) (4,269,638) (10,367,109)
----------- ------------
Change in unrealized
appreciation
(depreciation) of:
Investments 15,659,490 14,011,735
Other assets and
liabilities
denominated in
foreign currencies 2,014 2,790
----------- ------------
Net unrealized
appreciation
(depreciation) 15,661,504 14,014,525
----------- ------------
NET GAIN (LOSS) ON
INVESTMENTS 11,391,866 3,647,416
----------- ------------
NET INCREASE (DECREASE)
IN NET
ASSETS RESULTING FROM
OPERATIONS $11,440,788 $ 3,310,991
----------- ------------
----------- ------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
40
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP MID CAP SMALL CAP HIGH QUALITY
GROWTH GROWTH GROWTH VALUE BOND
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign
taxes $ 35,168 $ 91,118 $ 104,504 $ 258,479 $ 25,011
Interest 23,102 78,053 131,702 17,400 543,515
Securities lending 5,374 89,451 65,299 -- --
---------- ------------ ----------- ----------- ---------
Total Income 63,644 258,622 301,505 275,879 568,526
---------- ------------ ----------- ----------- ---------
EXPENSES
Advisory fee 79,025 399,315 769,119 108,446 36,702
Accounting and
administration fees 5,420 62,687 78,790 9,217 8,686
Custodian fees 6,325 23,170 28,870 5,752 8,488
Transfer agent fees and
expenses 10,253 20,119 22,853 10,922 10,182
Distribution and
shareholder servicing
fees 18,588 -- 1,901 6,542 2,346
Administrative services 10,537 53,242 76,932 14,459 8,156
Professional fees 2,940 34,516 43,341 5,035 4,777
Shareholder reporting 491 5,654 7,109 833 784
Registration fees 580 6,871 8,625 997 950
Trustees' fees and
expenses 446 5,188 6,518 761 727
Interest and credit
facility fee -- -- -- -- --
Insurance -- -- -- 57 --
Miscellaneous 1,374 4,340 6,866 1,523 1,572
---------- ------------ ----------- ----------- ---------
Total Expenses 135,979 615,102 1,050,924 164,544 83,370
Expenses reimbursed (11,800) (80,951) (147,785) (12,984) (44,877)
---------- ------------ ----------- ----------- ---------
Net Expenses 124,179 534,151 903,139 151,560 38,493
---------- ------------ ----------- ----------- ---------
NET INVESTMENT INCOME
(LOSS) (60,535) (275,529) (601,634) 124,319 530,033
---------- ------------ ----------- ----------- ---------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON INVESTMENTS
Realized gain (loss)
from:
Securities (943,184) (10,574,363) 4,892,368 (275,283) (231,085)
Foreign currency
transactions -- -- -- -- (33,857)
---------- ------------ ----------- ----------- ---------
Net realized gain
(loss) (943,184) (10,574,363) 4,892,368 (275,283) (264,942)
---------- ------------ ----------- ----------- ---------
Change in unrealized
appreciation
(depreciation) of:
Investments 2,124,433 18,243,376 21,866,063 (3,573,292) (471,036)
Other assets and
liabilities
denominated in
foreign currencies -- -- -- -- 2,994
---------- ------------ ----------- ----------- ---------
Net unrealized
appreciation
(depreciation) 2,124,433 18,243,376 21,866,063 (3,573,292) (468,042)
---------- ------------ ----------- ----------- ---------
NET GAIN (LOSS) ON
INVESTMENTS 1,181,249 7,669,013 26,758,431 (3,848,575) (732,984)
---------- ------------ ----------- ----------- ---------
NET INCREASE (DECREASE)
IN NET
ASSETS RESULTING FROM
OPERATIONS $1,120,714 $ 7,393,484 $26,156,797 $(3,724,256) $(202,951)
---------- ------------ ----------- ----------- ---------
---------- ------------ ----------- ----------- ---------
</TABLE>
- --------------------------------------------------------------------------------
41
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED)
PERIOD ENDED SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
INTERNATIONAL CORE GROWTH EMERGING COUNTRIES
------------------------------------------------
FOR THE FOR THE
PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1999
------------------------- ---------------------
<S> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) $ 48,922 $ (336,425)
Net realized gain
(loss) (4,269,638) (10,367,109)
Net unrealized
appreciation
(depreciation) 15,661,504 14,014,525
------------ ------------
Net increase
(decrease) in net
assets from
investment
operations 11,440,788 3,310,991
------------ ------------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income
Retirement Class -- --
Institutional Class -- --
From net realized gains
Retirement Class -- --
Institutional Class -- --
------------ ------------
Total distributions -- --
------------ ------------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold
Retirement Class 4,809,042 465
Institutional Class 155,230,568 185,723,902
Distributions
reinvested
Retirement Class -- --
Institutional Class -- --
Cost of shares redeemed
Retirement Class (2,026,704) --
Institutional Class (9,484,944) (2,331,823)
------------ ------------
Net increase
(decrease) in net
assets from share
transactions 148,527,962 183,392,544
------------ ------------
Net Increase
(Decrease) in Net
Assets 159,968,750 186,703,535
NET ASSETS
Beginning -- --
------------ ------------
Ending $159,968,750 $186,703,535
------------ ------------
------------ ------------
Undistributed net
investment income
(loss), ending $ 48,922 $ (336,425)
------------ ------------
------------ ------------
RETIREMENT CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 2,980,077 28
Distributions
reinvested -- --
Shares redeemed (552,831) --
------------ ------------
Net Retirement Share
Activity 2,427,246 28
------------ ------------
------------ ------------
INSTITUTIONAL CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 7,417,704 11,674,140
Distributions
reinvested -- --
Shares redeemed (461,821) (141,877)
------------ ------------
Net Institutional
Share Activity 6,955,883 11,532,263
------------ ------------
------------ ------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
42
<PAGE>
<TABLE>
<CAPTION>
LARGE CAP GROWTH MID CAP GROWTH SMALL CAP GROWTH VALUE
------------------------------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE
PERIOD ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, 1999 SEPTEMBER 30, 1999 SEPTEMBER 30, 1999 SEPTEMBER 30, 1999
--------------------- --------------------- --------------------- ---------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) $ (60,535) $ (275,529) $ (601,634) $ 124,319
Net realized gain
(loss) (943,184) (10,574,363) 4,892,368 (275,283)
Net unrealized
appreciation
(depreciation) 2,124,433 18,243,376 21,866,063 (3,573,292)
----------- ------------ ------------ -----------
Net increase
(decrease) in net
assets from
investment
operations 1,120,714 7,393,484 26,156,797 (3,724,256)
----------- ------------ ------------ -----------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income
Retirement Class -- -- -- --
Institutional Class -- -- -- --
From net realized gains
Retirement Class -- -- -- --
Institutional Class -- -- -- --
----------- ------------ ------------ -----------
Total distributions -- -- -- --
----------- ------------ ------------ -----------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold
Retirement Class 10,851,295 448 2,797,535 9,107,666
Institutional Class 23,616,876 135,122,782 199,180,086 33,956,891
Distributions
reinvested
Retirement Class -- -- -- --
Institutional Class -- -- -- --
Cost of shares redeemed
Retirement Class (1,455,861) -- (493,966) (562,000)
Institutional Class (1,040,507) (9,969,798) (47,405,854) (1,610,612)
----------- ------------ ------------ -----------
Net increase
(decrease) in net
assets from share
transactions 31,971,803 125,153,432 154,077,801 40,891,945
----------- ------------ ------------ -----------
Net Increase
(Decrease) in Net
Assets 33,092,517 132,546,916 180,234,598 37,167,689
NET ASSETS
Beginning -- -- -- --
----------- ------------ ------------ -----------
Ending $33,092,517 $132,546,916 $180,234,598 $37,167,689
----------- ------------ ------------ -----------
----------- ------------ ------------ -----------
Undistributed net
investment income
(loss), ending $ (60,535) $ (275,529) $ (601,634) $ 124,319
----------- ------------ ------------ -----------
----------- ------------ ------------ -----------
RETIREMENT CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 828,873 23 197,011 411,817
Distributions
reinvested -- -- -- --
Shares redeemed (32,696) -- (39,240) (25,480)
----------- ------------ ------------ -----------
Net Retirement Share
Activity 796,177 23 157,771 386,337
----------- ------------ ------------ -----------
----------- ------------ ------------ -----------
INSTITUTIONAL CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 377,427 6,943,371 14,204,633 1,481,585
Distributions
reinvested -- -- -- --
Shares redeemed (58,403) (493,320) (2,997,146) (71,565)
----------- ------------ ------------ -----------
Net Institutional
Share Activity 319,024 6,450,051 11,207,487 1,410,020
----------- ------------ ------------ -----------
----------- ------------ ------------ -----------
<CAPTION>
HIGH QUALITY BOND
---------------------
FOR THE
PERIOD ENDED
SEPTEMBER 30, 1999
---------------------
<S> <C>
INCREASE (DECREASE) IN
NET ASSETS
FROM INVESTMENT
OPERATIONS:
Net investment income
(loss) $ 530,033
Net realized gain
(loss) (264,942)
Net unrealized
appreciation
(depreciation) (468,042)
-----------
Net increase
(decrease) in net
assets from
investment
operations (202,951)
-----------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income
Retirement Class (64,653)
Institutional Class (473,641)
From net realized gains
Retirement Class --
Institutional Class --
-----------
Total distributions (538,294)
-----------
FROM CAPITAL SHARE
TRANSACTIONS:
Proceeds from shares
sold
Retirement Class 3,048,890
Institutional Class 19,344,295
Distributions
reinvested
Retirement Class 64,652
Institutional Class 473,511
Cost of shares redeemed
Retirement Class (294,568)
Institutional Class (620,650)
-----------
Net increase
(decrease) in net
assets from share
transactions 22,016,130
-----------
Net Increase
(Decrease) in Net
Assets 21,274,885
NET ASSETS
Beginning --
-----------
Ending $21,274,885
-----------
-----------
Undistributed net
investment income
(loss), ending $ (8,261)
-----------
-----------
RETIREMENT CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 245,920
Distributions
reinvested 5,291
Shares redeemed (25,854)
-----------
Net Retirement Share
Activity 225,357
-----------
-----------
INSTITUTIONAL CLASS --
CAPITAL SHARE ACTIVITY
Shares sold 1,529,181
Distributions
reinvested 38,775
Shares redeemed (50,120)
-----------
Net Institutional
Share Activity 1,517,836
-----------
-----------
</TABLE>
- --------------------------------------------------------------------------------
43
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
- ------------------------------------------------------------------------
NOTE A -- ORGANIZATION
Nicholas-Applegate Institutional Funds (the "Trust") is an open-end management
investment company. The Trust was established as a Delaware business trust on
December 17, 1992 and consists of nineteen separate portfolios (collectively the
"Funds" and each a "Fund"). Each Fund's investment objectives, strategies and
risks are discussed in the prospectus dated July 9, 1999. All of the Funds offer
Institutional shares ("Class I") and seven Funds offer Retirement shares
("Class R"). The Class R shares have no sales charge and distribution fees but
have a shareholder servicing fee. The seven Funds offering Class R shares are
covered in this report with each Fund's operations accounted for separately.
REORGANIZATION
Prior to July 24, 1998, the Nicholas-Applegate mutual fund complex was
organized in a "master-feeder" investment structure. Under that structure, the
Nicholas-Applegate Mutual Funds invested all of their assets in corresponding
portfolios, or series, of the Nicholas-Applegate Investment Trust (the "Trust").
On July 24, 1998, the shareholders of the Nicholas-Applegate Mutual Funds
approved a plan that reorganized the "master-feeder" arrangement into a
multi-class structure in which the Nicholas-Applegate Mutual Funds invested in
securities directly and offered various classes of shares through multiple
distribution channels. At the same time, the Trust was liquidated.
In May 1999, the Trust was reactivated and renamed Nicholas-Applegate
Institutional Funds to be the successor entity to the assets of the
"Institutional" series and the Class I shares of the Nicholas-Applegate Mutual
Funds (renamed Pilgrim Mutual Funds). On May 7, 1999, substantially all of those
"Institutional" assets transferred to the Trust. The investment objectives,
policies and limitations of the Funds of the Trust are identical in every
respect to the corresponding portfolios of the Nicholas-Applegate Mutual Funds.
The investment management fees and expenses limitations are also identical.
Since both the Trust and the Nicholas-Applegate Mutual Funds are organized as
Delaware business trusts under substantially similar trust instruments,
shareholder rights in the two funds are substantially identical. Both funds are
authorized to issue an unlimited number of shares.
NOTE B -- SIGNIFICANT ACCOUNTING POLICIES
Significant accounting policies consistently followed by the Funds in
preparing these financial statements are described below. The policies conform
with generally accepted accounting principles
SECURITY VALUATIONS
The Funds value equity securities traded on national or international
exchanges and market systems at the last sales price reported by the security's
primary market at the time of daily valuation. If a last sales price is not
available, these securities are valued at the mean between last reported bid and
ask prices. Debt securities are valued at bid prices obtained from independent
pricing services or from one or more dealers making markets in the securities.
Security prices quoted in a foreign currency are translated using the current
U.S. dollar exchange rate. Short-term securities maturing within 60 days are
valued at amortized cost which approximates market value. When market quotations
for securities are not readily available, a fair value is determined under the
direction of the Board of Trustees.
SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are accounted for as of trade date. Realized gains and
losses from security transactions are determined on an identified-cost basis.
- --------------------------------------------------------------------------------
44
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) -- CONTINUED
- --------------------------------------------------------------------------------
Dividend income is recorded on the ex-dividend date or, for certain foreign
securities, when the information becomes available to the Funds. Interest income
is recorded on an accrual basis. Discounts and premiums on debt securities are
accreted and amortized on the same basis as used for federal tax reporting.
FOREIGN CURRENCY TRANSACTIONS
At each net asset valuation date, the value of assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using the
current exchange rate. Security transactions, income and expenses are converted
at the prevailing exchange rate on the day of the event. The effect of changes
in exchange rates on securities denominated in a foreign currency is included
with the net realized and unrealized gain or loss of the associated security.
Other foreign currency gains or losses are reported separately.
Certain Funds may use forward foreign currency contracts to reduce their
exposure to currency fluctuations of their foreign securities. These contracts
are commitments to purchase or sell a foreign currency at a specified rate on a
future date. When the contract is fulfilled or closed, gains or losses are
realized. Until then, the gain or loss is included in unrealized appreciation or
depreciation of investments. The contract commitment is fully collateralized by
cash or securities of the Fund. Foreign denominated assets and forward currency
contracts may involve more risks than domestic transactions, including currency
risk, political and economic risk, regulatory and market risk. Evaluating and
monitoring such risk exposure is a part of the Funds' management strategy.
FUTURES CONTRACTS
Each Fund may enter into futures contracts involving foreign currency,
interest rates, securities, and securities indices, for hedging purposes only. A
futures contract obligates the seller of the contract to deliver and the
purchaser of the contract to take delivery of the type of foreign currency,
financial instrument or security called for in the contract at a specified
future time for a specified price. Upon entering into such a contract, a Fund is
required to deposit and maintain as collateral such initial margin as required
by the exchange on which the contract is traded. Pursuant to the contract, a
Fund agrees to receive from or pay to the broker an amount equal to the daily
fluctuations in the value of the contract. Such receipts or payments are known
as variation margin and are recorded as unrealized gains or losses by the Fund.
When the contract is closed, the Fund records a realized gain or loss equal to
the difference between the value of the contract at the time it was opened and
the value at the time it was closed.
FUND EXPENSES AND MULTI-CLASS ALLOCATIONS
Each Fund bears expenses incurred specifically on its behalf plus an
allocation of its share of Trust level expenses. Each share offered by a Fund
has equal rights to assets but incurs certain Class specific expenses. The Fund
allocates income, gains and losses, both realized and unrealized and expenses,
except for Class specific expenses, based on the relative net assets of each
Class.
SECURITIES LENDING
Each Fund may temporarily loan securities up to 30% of its total assets to
brokers, dealers or other financial institutions in exchange for a negotiated
lender's fee. The borrower fully collateralizes the loans with cash.
- --------------------------------------------------------------------------------
45
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) -- CONTINUED
- --------------------------------------------------------------------------------
The market value of securities on loan and the related collateral at September
30, 1999 were:
<TABLE>
<CAPTION>
MARKET VALUE COLLATERAL
FUND (IN 000'S) (IN 000'S)
- ---- ------------ -----------
<S> <C> <C>
International Core Growth................. $ 16,930 $ 17,766
Emerging Countries........................ 15,244 16,175
Large Cap Growth.......................... 1,432 1,476
Mid Cap Growth............................ 28,139 28,952
Small Cap Growth.......................... 14,828 15,358
</TABLE>
FEDERAL INCOME TAXES
The Funds intend 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 shareholders. Accordingly, no provision for federal
income taxes is required. A Fund investing in foreign securities records any
foreign taxes on income and gains on such investments in accordance with the
applicable tax rules. The Funds' tax accounting treatment of loss deferrals,
passive foreign investment companies and expiration of capital loss
carryforwards are different from the financial statement recognition of income
and gains.
Capital loss carryforwards may be used to offset current or future capital
gains until expiration. There are no capital loss carryforwards as of March 31,
1999 affecting the seven "R" class Funds.
DISTRIBUTIONS TO SHAREHOLDERS
The Funds record distributions to shareholders on the ex-dividend date.
Distributions are determined in accordance with income tax regulations that may
differ from generally accepted accounting principles. Accordingly, the Funds'
capital accounts are periodically reclassified to reflect income and gains
available for distribution under income tax regulations. The Funds make income
and capital gain distributions at least annually. Funds with income objectives
make distributions either quarterly or monthly in accordance with the
prospectus.
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 these estimates.
NOTE C -- TRANSACTIONS WITH AFFILIATES
Nicholas-Applegate Capital Management, as the Investment Advisor of the Funds,
receives the following annual fees payable monthly based on the average daily
net assets of each Fund.
<TABLE>
<S> <C>
Emerging Countries.................. 1.25%
Small Cap Growth and International
Core Growth....................... 1.00%
Large Cap Growth, Value and Mid Cap
Growth............................ 0.75%
High Quality Bond................... 0.45%
</TABLE>
The fees are reduced on Mid Cap Growth, High Quality Bond and International
Core Growth when the average net assets exceed $500 million.
Under an Administrative Services agreement the Investment Advisor provides
operational support services to the Funds at an annual fee on average daily net
assets of 0.10%.
The Investment Advisor has agreed to limit the Fund's expenses to certain
levels through March 31, 2000. Expenses reimbursed by the Investment Advisor
through May 6, 1999 may be recouped from the Funds within five years after the
year in which they are reimbursed. Any expenses reimbursed after May 6, 1999 may
be recouped within three years after the year in which they are reimbursed. The
Investment Advisor will recover such reimbursements to the extent of the
differences between a Fund's actual expenses (exclusive of interest expense,
taxes,
- --------------------------------------------------------------------------------
46
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) -- CONTINUED
- --------------------------------------------------------------------------------
brokerage and the costs of establishing and maintaining the Mauritius investment
company) when they fall below the limit, and the voluntary limit.
<TABLE>
<CAPTION>
INSTITUTIONAL RETIREMENT UNREIMBURSED
FUND CLASS CLASS AMOUNTS
- ----------------------------- ------------- ---------- -------------
<S> <C> <C> <C>
International Core Growth.... 1.40% 1.65% $ 516,550
Emerging Countries........... 1.65% 1.90% 2,422,618
Large Cap Growth............. 1.00% 1.25% 311,916
Mid Cap Growth............... 1.00% 1.25% 1,628,180
Small Cap Growth............. 1.17% 1.42% 1,801,169
Value........................ 1.00% 1.25% 285,287
High Quality Bond............ 0.45% 0.70% 1,949,059
</TABLE>
The Retirement Class has a shareholder servicing agreement with the
Distributor. The shareholder servicing plan is a compensation plan, which
compensates the Distributor for expenses in connection with non-distribution
shareholder services provided by the Distributor to other financial
institutions. The Retirement Class pays an annual fee on its average daily net
assets of up to 0.25% under the shareholder servicing agreement.
Certain officers of the Trust are also officers of the Investment Advisor and
Distributor. The Trustees who are not affiliated with the Investment Advisor
receive annual compensation of approximately $18,000 each from the Trust.
NOTE D -- INVESTMENT TRANSACTIONS
The following table presents purchases and sales of securities, excluding
short-term investments, during the period ended September 30, 1999 to indicate
the volume of transactions in each Fund. The tax cost of securities held at
September 30, 1999, and the related gross and net unrealized appreciation and
depreciation, provides aggregate information on a tax basis against which future
gains and losses on these investments are measured for distribution purposes.
<TABLE>
<CAPTION>
NET
GROSS GROSS UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
PURCHASES SALES TAX COST APPRECIATION DEPRECIATION (DEPRECIATION)
FUND (IN 000'S) (IN 000'S) (IN 000'S) (IN 000'S) (IN 000'S) (IN 000'S)
- ---- ---------- ---------- ---------- ------------ ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
International Core
Growth............... $185,133 $155,012 $152,685 $18,947 $ 3,288 $15,659
Emerging Countries.... 264,086 245,243 174,315 23,157 9,145 14,012
Large Cap Growth...... 57,910 27,051 31,210 3,159 1,035 2,124
Mid Cap Growth........ 186,196 238,532 115,195 24,639 6,396 18,243
Small Cap Growth...... 159,881 256,773 158,857 31,976 10,110 21,866
Value................. 40,375 16,701 40,685 573 4,146 (3,573)
High Quality Bond..... 31,449 26,222 21,405 52 523 (471)
</TABLE>
NOTE E -- FINANCIAL INSTRUMENTS
During the period, several of the Funds have been party to financial
instruments with off-balance sheet risks, including forward foreign currency
contracts and futures contracts, primarily in an attempt to minimize the risk to
the Fund, in respect of its portfolio transactions. These instruments involve
market and/or credit risk in excess of the amount recognized in the Statement of
Assets and Liabilities. Risks arise from the possible inability of
counterparties to meet the terms of their contracts and from unexpected movement
in currencies, securities values and interest rates. The contract amounts
indicate the extent of the Funds' involvement in such contracts. Forwards: When
entering a forward currency contract, the Fund agrees to receive or deliver a
fixed quantity of foreign currency for an agreed upon price on an agreed upon
future date.
At September 30, 1999, High Quality Fund had outstanding forward contracts for
the purchase and sale of currencies as set out below. The contracts are reported
in the financial statements at the Fund's net equity, as measured by the
difference between the forward foreign exchange rates at the dates of entry
- --------------------------------------------------------------------------------
47
<PAGE>
NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED) -- CONTINUED
- --------------------------------------------------------------------------------
into the contracts and the forward rates at the reporting date, or the date an
offsetting position, if any, has been entered into.
<TABLE>
<CAPTION>
NET
UNREALIZED
LOCAL SETTLEMENT MARKET APPRECIATION/
CURRENCY DATE VALUE (DEPRECIATION)
--------- ---------------- -------- --------------
US$ US$
<S> <C> <C> <C> <C>
HIGH QUALITY BOND
To Buy:
Australian Dollar.................... 160,000 November 9, 1999 104,478 (946)
European Euro........................ 100,000 October 7, 1999 106,523 2,243
European Euro........................ 125,000 October 7, 1999 133,154 967
European Euro........................ 100,000 October 7, 1999 106,523 303
European Euro........................ 75,000 October 7, 1999 79,892 264
European Euro*....................... 20,000 October 7, 1999 21,305 430
European Euro*....................... 100,000 October 7, 1999 106,523 123
European Euro*....................... 80,000 October 7, 1999 85,219 1,721
New Zealand Dollar................... 25,000 October 7, 1999 12,911 (312)
New Zealand Dollar*.................. 470,000 October 7, 1999 242,723 (751)
New Zealand Dollar*.................. 125,000 October 7, 1999 64,554 (200)
To Sell:
Danish Krona......................... 1,350,000 October 7, 1999 (193,446) (4,737)
European Euro........................ 130,000 October 7, 1999 (138,480) (4,775)
European Euro........................ 590,000 October 7, 1999 (628,487) 5,320
European Euro*....................... 20,000 October 7, 1999 (21,305) (506)
European Euro*....................... 100,000 October 7, 1999 (106,523) (2,528)
European Euro*....................... 80,000 October 7, 1999 (85,219) (2,939)
New Zealand Dollar................... 25,000 October 7, 1999 (12,911) 297
New Zealand Dollar*.................. 470,000 October 7, 1999 (242,723) 7,735
New Zealand Dollar*.................. 125,000 October 7, 1999 (64,554) 1,484
------
Net equity in foreign currency
exchange contracts.................. 3,193
======
</TABLE>
* The Fund has entered into offsetting forward currency contracts.
SPECIAL MEETINGS OF SHAREHOLDERS
A special meeting of shareholders of the Trust was held at the offices of the
Trust on July 15, 1999. Shareholders of the Trust were asked to approve a new
Subadvisory Agreement between Nicholas-Applegate Capital Management and
Criterion Investment Management LLC (the "Subadvisory Agreement") for High
Quality Bond Fund. In the matter of approving the new Subadvisory Agreement,
1,414,700 shares of the High Quality Bond Fund voted in favor, 0 shares voted
against and 716 shares abstained from voting.
- --------------------------------------------------------------------------------
48
<PAGE>
TRUSTEES OF NICHOLAS-APPLEGATE INSTITUTIONAL FUNDS
Arthur E. Nicholas
Walter E. Auch
Darlene T. DeRemer
George F. Keane
OFFICERS
John J.P. McDonnell, PRESIDENT
E. Blake Moore, Jr., SECRETARY
C. William Maher, TREASURER
INVESTMENT ADVISER
Nicholas-Applegate Capital Management
DISTRIBUTOR
Nicholas-Applegate Securities
CUSTODIAN
Brown Brothers Harriman & Co., Private Bankers
TRANSFER AGENT
State Street Bank & Trust Company
<PAGE>
NICHOLAS-APPLEGATE-Registered
Trademark-
MUTUAL FUNDS
600 West Broadway
San Diego, California 92101
800 - 551 - 8643
Nicholas-Applegate Securities, Distributor
SEMI99RET
