<PAGE> 1
[AMERICAN ODYSSEY(R) FUNDS LOGO]
SEMI-ANNUAL REPORT
JUNE 30, 1996
- --------------------------------------------------------------------------------
AMERICAN ODYSSEY INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AMERICAN ODYSSEY EMERGING OPPORTUNITIES FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AMERICAN ODYSSEY CORE EQUITY FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AMERICAN ODYSSEY LONG-TERM BOND FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AMERICAN ODYSSEY INTERMEDIATE-TERM BOND FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AMERICAN ODYSSEY SHORT-TERM BOND FUND
- --------------------------------------------------------------------------------
<PAGE> 2
June 30, 1996
Dear American Odyssey Funds Participant:
We are pleased to provide you with the American Odyssey Funds Semi-Annual
Report. As you may know, the American Odyssey Funds were created to provide a
range of investment options, each seeking maximum long-term total return in a
particular asset class. Consistent with this objective, each fund is advised on
a day-to-day basis by a carefully selected portfolio manager, chosen for its
expertise in managing investments ranging from domestic equity and fixed income
to international equity.
The first six months of 1996 have brought dramatic changes in capital
markets. The benchmarks we use to measure the performance of American Odyssey
Funds indicate that the strong investment returns realized in 1995 may be more
difficult to achieve in 1996. If we compare market performance for the six month
period ended June 30, 1995 to the six month period ended June 30, 1996, we get a
sense of the difference a year can make. In 1995, the S&P 500 was up 20.21% at
the end of June. As of June 1996 the same S&P 500 index was up 6.91% year to
date. Fixed income markets have also struggled. The Lehman Brothers Government
Corporate Intermediate Index was up 9.59% for the six months ended June 30, 1995
but down 1.01% for the comparable period in 1996.
These statistics confirm what we have always believed, that to be a long
term investor one must accept short term volatility. The American Odyssey Funds
are managed with long term investment objectives. And the long term performances
of the Funds are very close to their established performance benchmarks.
Following this letter you will find a performance summary from each
portfolio manager for their respective Fund as well as their view of the future.
Following their analyses are financial statements for the Funds and a listing of
the individual securities held by each fund. It is my hope that this Semi-Annual
Report will give you a complete understanding of how your retirement savings is
being managed.
Thank you for participating in the American Odyssey Funds. We look forward
to a long partnership in helping you achieve your financial objectives.
Very truly yours,
AMERICAN ODYSSEY FUNDS MANAGEMENT, INC.
/s/ George Vlaisavljevich
GEORGE VLAISAVLJEVICH
President
<PAGE> 3
AMERICAN ODYSSEY INTERNATIONAL EQUITY FUND
The American Odyssey International Equity Fund returned 8.20% for the six
months ended June 30, 1996. The MSCI EAFE Index returned 4.67% for the same
period.
International equity markets were mixed during the first six months of the
year. In general, all major continental European markets were in positive
territory, whereas the Pacific Rim area had mixed returns.
As in 1995, international markets looked to the U.S. for any indicators of
impending inflation. Price pressures failed to materialize while corporate
earnings remained buoyant thanks to continuing corporate restructuring. The low
cost of borrowing put a ceiling on the cost of labor and capital goods ensuring
the economic cycle was productivity driven rather than price driven. Strong
inflows of cash into global markets provided further support.
The U.K. market was up just under 3%. While corporate earnings were strong
and takeover activity remained buoyant, the market remains preoccupied by
political uncertainty. In Continental Europe, returns were strong across the
board. Italy and Spain rallied in the 2nd quarter as political stability was
restored following the favorable outcome of their elections. Other European
markets showed solid returns, helped by the interest rate cuts initiated by the
Bundesbank and followed by other European Central Banks. However, the strength
of the U.S. Dollar diluted the returns somewhat.
In the Pacific Basin, the Japanese market and currency continued on a
volatile path, up just over 1% in U.S. dollar terms. With the exception of
Singapore and Thailand, which were down 3% and 0.5% respectively, other Far
Eastern markets performed well, buoyed by the strong economic growth and also
strong liquidity flowing into the region. In Thailand, property and financial
companies were hit by the continued tight monetary policy, while measures to
check property speculation in Singapore negatively impacted this market.
Australia was up 7%. This market was helped by the strength of the
Australian Dollar resulting from an improvement in its current account deficit
and from better prospects for world economic growth. However, towards the latter
part of the period, the resource sector of the market was negatively impacted by
the Sumitomo scandal in which a trader lost $1.8 billion in unauthorized copper
transactions.
FUND REVIEW
The strong performance of the Fund during 1995 continued into the first
half of 1996. The global economic environment was generally positive for
companies and during the six months, the earnings announced by the majority of
the Fund's holdings were strong and ahead of market expectations.
Takeover and merger activity was again a major feature of the markets. This
activity helped the performance of a number of individual stocks, primarily in
the healthcare and financial sectors.
While the healthcare and financial themes did perform strongly, there was
some profit taking in some of these companies, following their impressive rise
in 1995. The cyclical recovery in Paper/Print
2
<PAGE> 4
Industries theme rallied following a disappointing performance in 1995. Other
cyclical companies within the global cyclical recovery theme recovered over the
period but to a lesser extent than the paper/print companies. Themes directed at
the growth in the Far East were mixed. Financial companies within the Expanding
Financial Services in Developing Markets performed strongly on the back of
increased lending growth and expansion of margins.
OUTLOOK
It is our view that all relevant evidence points to inflation remaining
subdued for the foreseeable future. However, European markets will continue to
be influenced by the direction of interest rates in the U.S. In addition, the
political concerns in the U.K. will also serve to complicate matters. On a more
positive note, the weakness of the core currencies has benefited exports and
also gives further incentive to companies to cut costs more aggressively.
While the Japanese economy is showing signs of recovery, we believe
activity is still not strong enough to justify departing from the current low
interest rate policy. Although the markets reacted calmly to the news of the
Sumitomo losses, it is still not good for Japan. This is the second time in
which a Japanese trader appears to have been in a position to falsify the
records of his own trading to such a large extent and over such a long period.
It underscores that the financial discipline in Japan continues to rely on the
values of social cohesion and corporate loyalty rather than on watertight
controls.
In the Far Eastern markets, we have not yet seen the kind of liquidity
surge (and resulting increase in share values) that has been expected since
early 1996. As a result, valuation levels are not excessive, given the rate of
economic growth. We believe that this region will provide further attractive
investment opportunities and we will continue to direct funds selectively as
opportunities arise.
BANK OF IRELAND ASSET MANAGEMENT (U.S.) LIMITED
INVESTMENT SUBADVISER TO THE AMERICAN ODYSSEY INTERNATIONAL EQUITY FUND
3
<PAGE> 5
AMERICAN ODYSSEY EMERGING OPPORTUNITIES FUND
The six months ended June 30, 1996 marked the continuation of a trend
established in recent quarters. The American Odyssey Emerging Opportunities Fund
begins a quarter in strong fashion, only to see its performance overtaken by the
Russell 2500(TM) Index in the last month of the quarter. Although the Fund has
generated solid absolute performance numbers for the first half of the year, it
trails its respective index on a relative basis.
A number of factors contributed to the relative under-performance of the
Fund. Healthcare and technology issues, two areas in which the Fund has
significant exposure, under-performed the overall market. Meanwhile, financial
companies and utilities, two areas in which the Fund does not fundamentally
invest, performed well. Furthermore, small cap issues generally under-performed
their large cap counterparts. In addition to these general factors, there have
been a few companies in the portfolio that have experienced relatively
insignificant operating issues that were greeted with a severe correction in
their stock price.
The under performance of the Fund for the second quarter versus the Russell
2500(TM) Index is primarily attributable to three sectors: multimedia/content
software, distribution, and electronics. The common thread that ties these three
sectors together is that they are personal computer related. Two stocks in
particular, Micro Warehouse and Macromedia, suffered large losses as investors
overreacted to disappointing short-term issues and sold off these positions.
Although the personal computer area may continue to come under pressure
short-term, we will continue with our exposure to this area as the long-term
fundamentals remain strong.
Fear of earnings disappointments precipitated the selling of growth
companies in June who had been expected to report strong earnings gains. This
occurred as certain companies pre-announced their earnings late in the quarter,
in which typically only earnings disappointments are pre-released as opposed to
positive earnings surprises. Investors extrapolated this disappointment over an
entire earnings shortfall for the quarter and investors sold off other software
companies out of the fear of a shortfall. This overreaction by Wall Street is
the result of focusing on short-term factors and failing to consider the overall
fundamental quality of individual companies.
Looking ahead to the rest of 1996, we see several events that could shape
the overall market. Many expect the Federal Reserve to raise interest rates in a
preemptive strike against inflation and a robust economy. The presidential
election will also occur later in the year, which has historically been a
positive occurrence for Wall Street. Overall, we expect the second half of the
year to be much like the first half in which we see excess volatility and
overreactions by short-term oriented investors. While there may be short-term
price volatility in the market as well as the Fund, the long-term fundamentals
of our companies remain unchanged.
WILKE/THOMPSON CAPITAL MANAGEMENT, INC.
INVESTMENT SUBADVISER TO THE AMERICAN ODYSSEY EMERGING OPPORTUNITIES FUND
Russell 2500 is a registered trademark of Frank Russell Company.
4
<PAGE> 6
AMERICAN ODYSSEY CORE EQUITY FUND
The rocketing returns to the market in 1995 slowed considerably as we
entered 1996. For the six months ended June 30, 1996, the S&P 500 Index returned
10.1%, while the Russell 1000 Value Index style of investing lagged overall
market performance with returns approximating 7.6%. During this same period, the
American Odyssey Core Equity Fund returned 8.6%. Though the overall trend in the
market was up, the first half of 1996 was characterized by great uncertainty,
which led to a substantial amount of fluctuation in returns and a large
divergence in results across economic sectors.
The big surprise was the strength of the economy as reflected in the
employment figures, GDP growth rates, and levels of consumer spending for cars,
apparel, etc. This led to rising expectations that the Federal Reserve Board
would need to increase interest rates to "cool" a runaway economy. Simultaneous
with reports of a strong economy, however, there was also evidence of a slowdown
in growth as producer prices spiraled downward, exports weakened, and wage
growth and consumer inflation remained tamed. These ongoing contrary indicators
confused market participants and, consequently, resulted in much rotation across
sectors during the first six months as investors attempted to position their
portfolios according to the latest twist in economic news.
The better performing sectors were mostly those that had higher than
expected growth rates or greater stability in earnings. Technology performed
well in the first half as investors continued to believe that demand would be
driven by our insatiable appetite for access to the information super-highway.
Consumer staples also performed well due to their perceived relative safety
stemming from steady growth in earnings.
Interest sensitive stocks turned in mixed results as utilities were
underperformers, but financials exhibited good returns. Telephones, in
particular, came under pressure due to the uncertainties surrounding
deregulation of the telecommunications industry. Banks, which were strong during
the first half, continued to report progress in the bottom line results driven
mostly by ongoing cost cutting.
In general, the worst performing groups were clustered in the
economy-sensitive areas. Industrial commodities suffered as prices plummeted and
demand faltered due to customers working down previously built-up inventories.
Retailers, however, were a major exception. This sector was by far the strongest
during the past six months due to a revival in sales, especially by apparel
sellers.
The performance of the Fund fell short of the broad market by 1.5%, but
outperformed the Russell 1000 Value Index by one percent. Against the S&P, the
relatively unfavorable performance was largely due to our sector weightings
which are more skewed to the value sectors, i.e., utilities; however, against
the Russell 1000 Value Index, the outperformance was driven by favorable stock
selection, e.g., American Stores, Intel, and Dayton Hudson.
We look for a slowing of economic growth, moderate rates of inflation, and
stability in interest levels. While this is a benign economic outlook, we do
believe that near-term the market is likely to correct further due to a
combination of high valuation and downward revisions in earnings expectations.
Thereafter, the market should resume modest gains driven, in part, by lower
interest rates and an improved economic forecast as we move into 1997 and
beyond.
EQUINOX CAPITAL MANAGEMENT, INC.
INVESTMENT SUBADVISER TO THE AMERICAN ODYSSEY CORE EQUITY FUND
S&P 500 is a registered trademark of Standard & Poor's Corporation.
The Russell 1000 Value Index is a registered trademark of the Frank Russell
Company.
5
<PAGE> 7
AMERICAN ODYSSEY LONG-TERM BOND FUND
The American Odyssey Long-Term Bond Fund underperformed its benchmark
return during the six months ended June 30, 1996, registering a total return of
- -4.5% vs. -2.1% for the Salomon Brothers Core +5 Bond Index. The portfolio's
long duration posture throughout the period was the principal factor detracting
from performance, since interest rates rose sharply. Most other strategies
helped offset the negative effects of rising rates. Yield curve exposure was the
principal contributor, since the portfolio was positioned for a flattening of
the yield curve, and thus benefited as short- and intermediate-term rates rose
more than long-term rates in the latter half of the period. Sector exposure had
little impact on returns, but a modest underweighting to corporate bonds
detracted somewhat from returns early in the year as corporate spreads narrowed.
Both our economic outlook and market conditions changed significantly over
the course of the period. Although the economic data confirm that the economy
has strengthened this year, it is far from clear that it is on a path to
overheating. For the past six months housing starts and auto sales have reached
a plateau. More recently, the growth rates of retail sales, consumer credit and
the monetary aggregates have slowed. To be sure, employment growth has picked up
moderately, as have wages. Yet capacity utilization is below critical levels,
and worldwide manufacturing activity is less than robust. For its part, fiscal
policy continues to be restrictive, since spending growth has been restrained
and tax burdens have reached post-war highs.
If these trends continue, the Fed will have little reason to tighten. If
the economy responds to this year's higher rates by slowing -- as it did in 1990
and 1995 -- the Fed may even consider easing monetary conditions before the year
is out.
Our view -- that sound monetary fundamentals are still in place, and that
higher interest rates are beginning to slow the economy -- contrasts
significantly with market expectations. Forward interest rates currently assume
the economy will grow fast enough (3% or more ) to cause the Fed to raise
short-term rates 50-75 basis points by the end of the year. If moderate growth
and subdued inflation prevail as we expect, then Fed tightening expectations
will fade, and short-and intermediate-term interest rates should decline more
than long term rates. Consequently, we are maintaining a long duration position,
and have moved recently to restructure our yield curve exposure in anticipation
of a steepening curve. We are now emphasizing bonds of intermediate maturities
and have reduced holdings of long-term and zero-coupon issues.
Spreads on corporate bonds are generally low historically, and our outlook
does not call for unexpected economic strength. Therefore, we continue to hold
only a modest underweighting to the sector. Corporates should do well in a
relatively unchanged interest rate environment, but a significant move up or
down would likely cause spreads to widen. Lower rates would likely be associated
with a weakening economic environment which would undermine credit quality,
while higher rates would create yield competition for corporates. Our holdings
are concentrated in a diversified range of issues at the lower end of the
investment quality scale with improving credit prospects and attractive yields.
Mortgage spreads, on the other hand, are relatively attractive
historically, especially since prepayment risk has dropped as market yields have
risen. This argues for maintaining a modest exposure and for using commercial
mortgages-where credit quality is high, spreads are wide, and prepayment risk is
relatively low -- to boost exposure opportunistically.
WESTERN ASSET MANAGEMENT COMPANY AND WLO GLOBAL MANAGEMENT
INVESTMENT SUBADVISERS TO THE AMERICAN ODYSSEY LONG-TERM BOND FUND
6
<PAGE> 8
AMERICAN ODYSSEY INTERMEDIATE-TERM BOND FUND
Interest rates continued higher in the quarter but most indices posted
positive returns as price declines were not large enough to offset income. The
Lehman Brothers Government/Corporate Intermediate Bond Index is down -0.21% for
the six months ended June 30, 1996. The American Odyssey Intermediate Bond Fund
is down -0.03% for the year to date.
Surprisingly strong consumer spending and employment growth continued in
the second quarter of 1996, further erasing the recessionary fears that were
dominant in the bond market at the turn of the year. The consumer has led the
way despite high debt levels with spending up 8% in the six months ended June
30, 1996. The housing and auto sectors have continued strong in the second
quarter. Furthermore, inventories were down for the last four quarters, leaving
some firepower for future growth. The sources of growth are more typical of
early, rather than late, in the cycle.
Our performance was hurt by Moody's downgrade of AT&T Capital Corporation
to Baa3 from A3 on news of its spin-off to a management led group. Neither the
downgrade nor the spin-off surprised us, but the magnitude of the ratings cut
did. The spread on this issue widened from +40 to +60. Our view of the downgrade
is that it was a bit conservative and that the current pricing of this issue
presents good value.
We increased our percentage holdings of corporate bonds from 59% to 69%
over the quarter. We continue to believe that strong earnings and improving
credit trends will keep spreads stable over the near term.
TRAVELERS ASSET MANAGEMENT INTERNATIONAL CORPORATION
INVESTMENT SUBADVISER TO THE AMERICAN ODYSSEY INTERMEDIATE-TERM BOND FUND
7
<PAGE> 9
AMERICAN ODYSSEY SHORT-TERM BOND FUND
During the first half of 1996, interest rates rose nearly a full percentage
point across the yield curve. Accordingly, most bond funds lost value during the
six months ended June 30, 1996. Generally shorter-term bond funds, such as the
American Odyssey Short-Term Bond Fund, though, fared better. The American
Odyssey Short-Term Bond Fund had a total return of +0.6% for the six months
ended June 30, 1996.
The year has been a surprise to most economists. The U.S. economy has been
stronger than most analysts predicted. Housing and auto sales both continued to
show strong results. And employment growth was impressive, as both the number of
new jobs grew and the unemployment rate declined to near record levels. So while
most economists had projected a slowing economy for 1996, the numbers have
demonstrated the opposite to be the case.
As the economy's strength persisted, the markets began to fear that the
Federal Reserve would act to push interest rates higher in an effort to slow the
rapid pace of economic growth. The Fed reasons that a rapidly growing economy
eventually leads to higher inflation -- inflation being 'public enemy number
one' for the Fed. Current theory holds that the economy can expand at an annual
rate of 2 to 2.5% without triggering excessive inflation. Already GDP growth has
exceeded that level in the first half of 1996. Should that level of growth
continue, it is expected the Fed will push rates higher.
Smith, Graham & Company remains cautious of the market as we enter the
second half of the year. We do not think that the bond market decline will
continue through the entire second half of 1996, but we do think interest rates
will rise further before declining later in the year. Consequently, we have
over-weighted the portfolio in high grade mortgage securities to provide
additional cash flow and maintain a relatively defensive position.
The Fund continues to provide a safe haven for investors desiring a degree
of safety during periods of volatile interest rates.
SMITH GRAHAM & COMPANY ASSET MANAGERS, L.P.
INVESTMENT SUBADVISERS TO THE AMERICAN ODYSSEY SHORT-TERM BOND FUND
8
<PAGE> 10
(This page intentionally left blank)
9
<PAGE> 11
Statements of Assets and Liabilities
American Odyssey Funds, Inc. / June 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Emerging Intermediate-
International Opportunities Core Equity Long-Term Term Short-Term
Equity Fund Fund Fund Bond Fund Bond Fund Bond Fund
------------- ------------- ------------- ------------- ------------- -----------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at
cost.............................. $ 103,406,510 $168,210,705 $ 189,547,561 $ 136,078,216 $90,341,415 $28,674,322
- ---------------------------------------------------------------------------------------------------------------------------------
Investments in securities, at value
(see accompanying Portfolio of
Investments)...................... $ 117,426,627 $201,732,491 $ 234,100,156 $ 131,691,207 $88,974,636 $28,495,534
Cash................................ 5,199,896 6,081,093 9,009,392 6,629,128 48,704 106,091
Cash, denominated in foreign
currency (cost $2,390,390)........ 2,415,094 -- -- -- -- --
Receivables for:
Capital stock subscriptions....... 461,289 525,757 467,990 1,330,329 710,078 150,454
Investment securities sold........ 1,575 -- 1,554,279 6,683,703 -- --
Interest.......................... 18,606 32,097 26,502 1,605,820 1,089,993 360,473
Dividends......................... 462,503 34,993 653,197 -- -- --
Foreign tax reclaims.............. 102,015 -- 1,698 -- -- --
Variation margin on open futures
contracts (Note 6).............. -- -- -- 160,827 -- --
Miscellaneous..................... -- -- -- -- 4,113 --
Prepaid organization expense........ 9,409 9,243 9,144 9,223 9,283 9,399
------------- ------------- ------------- ------------- ------------- -----------
Total assets...................... 126,097,014 208,415,674 245,822,358 148,110,237 90,836,807 29,121,951
------------- ------------- ------------- ------------- ------------- -----------
LIABILITIES
Payables for:
Capital stock redemptions......... 123,839 1,193,022 911,759 124,271 167,909 75,667
Investment securities purchased... 3,806,761 -- 6,412,331 4,711,719 -- --
Unrealized loss on forward foreign
currency contracts (Note 8)..... 132,817 -- -- -- -- --
Options written (premiums received
$113,743) (Note 7).............. -- -- -- 170,063 -- --
Payable to Advisor.................. 243,585 390,314 420,061 216,872 139,987 48,421
Accrued expenses.................... 45,121 52,820 41,133 41,759 37,081 21,650
------------- ------------- ------------- ------------- ------------- -----------
Total liabilities................. 4,352,123 1,636,156 7,785,284 5,264,684 344,977 145,738
------------- ------------- ------------- ------------- ------------- -----------
NET ASSETS.......................... $ 121,744,891 $206,779,518 $ 238,037,074 $ 142,845,553 $90,491,830 $28,976,213
============ ============= ============ ============ ============ ===========
Capital shares outstanding.......... 8,874,158 12,932,831 16,444,575 14,195,648 8,746,050 2,817,788
============ ============= ============ ============ ============ ===========
Net asset value per share........... $13.72 $15.99 $14.48 $10.06 $10.35 $10.28
===== ====== ===== ===== ===== =====
- ---------------------------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
Capital shares at par............... $ 88,742 $ 129,328 $ 164,446 $ 141,956 $ 87,461 $ 28,178
Additional paid-in-capital.......... 104,068,329 159,915,896 185,074,601 144,540,144 89,251,494 28,463,008
Undistributed net investment
income............................ 1,180,346 (278,808 ) 2,246,126 5,329,849 2,376,010 780,699
Accumulated net realized gain....... 2,515,036 13,491,316 5,999,306 (3,044,088) 143,644 (116,885)
Net unrealized appreciation on
investments, translation of assets
and liabilities in foreign
currencies, futures contracts and
option contracts.................. 13,892,438 33,521,786 44,552,595 (4,122,308) (1,366,779) (178,787)
------------- ------------- ------------- ------------- ------------- -----------
$ 121,744,891 $206,779,518 $ 238,037,074 $ 142,845,553 $90,491,830 $28,976,213
============ ============= ============ ============ ============ ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE> 12
Statements of Operations
American Odyssey Funds, Inc. / For the six months ended June 30, 1996
(unaudited)
<TABLE>
<CAPTION>
Emerging Intermediate-
International Opportunities Core Equity Long-Term Term Short-Term
Equity Fund Fund Fund Bond Fund Bond Fund Bond Fund
------------- ------------- ------------- ------------- ------------- ----------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest........................... $ 85,887 $ 262,989 $ 114,152 $ 4,183,835 $ 2,648,058 $ 864,994
Dividends.......................... 1,495,611 122,643 2,756,326 -- -- --
------------- ------------- ------------- ------------- ------------- ----------
Total income..................... 1,581,498 385,632 2,870,478 4,183,835 2,648,058 864,994
------------- ------------- ------------- ------------- ------------- ----------
EXPENSES
Management fees.................... 353,348 552,808 609,646 320,743 205,891 68,258
Accounting fees.................... 14,859 17,910 15,954 15,981 13,539 11,229
Director's fees.................... 7,059 12,189 14,655 9,576 5,958 1,992
Custodian fees..................... 75,099 62,171 63,937 43,993 35,973 9,132
Amortization of organization
expense.......................... 2,453 2,423 2,390 2,414 2,426 2,464
Legal fees......................... 2,688 4,557 5,550 3,690 2,337 831
Printing expense................... 7,080 8,076 7,128 6,900 5,772 1,722
Miscellaneous...................... 2,513 4,306 5,149 3,479 2,277 842
------------- ------------- ------------- ------------- ------------- ----------
Total expenses before
reimbursement.................. 465,099 664,440 724,409 406,776 274,173 96,470
------------- ------------- ------------- ------------- ------------- ----------
Reimbursement repaid to
Management Company............. -- -- -- -- -- 6,199
Less:
Expenses Paid under Directed
Brokerage Arrangements......... (15,827) -- (15,548) -- -- --
------------- ------------- ------------- ------------- ------------- ----------
Net expenses..................... 449,272 664,440 708,861 406,776 274,173 102,669
------------- ------------- ------------- ------------- ------------- ----------
Net investment income (loss)... 1,132,226 (278,808) 2,161,617 3,777,059 2,373,885 762,325
------------- ------------- ------------- ------------- ------------- ----------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS
Net realized gain (loss) on
security transactions, futures
contracts and option contracts... 961,773 14,016,018 6,004,135 (2,013,424) 514,029 96,179
Net realized gain on foreign
currency transactions............ 1,894,330 -- -- -- -- --
Net increase (decrease) in
unrealized appreciation of
investments, futures contracts
and option contracts............. 4,395,668 (2,717,999) 9,138,983 (7,384,091) (3,114,315) (674,567 )
Net unrealized depreciation from
translation of assets and
liabilities in foreign
currencies....................... (275,880) -- -- -- -- --
------------- ------------- ------------- ------------- ------------- ----------
Net realized and unrealized gain/
(loss) on investments.......... 6,975,891 11,298,019 15,143,118 (9,397,515) (2,600,286) (578,388 )
------------- ------------- ------------- ------------- ------------- ----------
Net increase (decrease) in net
assets from Operations........... $ 8,108,117 $11,019,211 $ 17,304,735 $ (5,620,456) $ (226,401) $ 183,937
============ ============= ============ =========== ============ ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE> 13
Statements of Changes in Net Assets
American Odyssey Funds, Inc.
<TABLE>
<CAPTION>
International Equity Fund Emerging Opportunities Fund
---------------------------- -----------------------------
Period ended Period ended
June 30, Year ended June 30, Year ended
1996 December 31, 1996 December 31,
unaudited 1995 unaudited 1995
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income (loss)................................... $ 1,132,226 $1,150,558 $ (278,808) $ (331,697)
Net realized gain (loss) on security transactions, futures
contracts and option contracts................................ 961,773 (89,338) 14,016,018 5,474,396
Net realized gain (loss) on foreign currency transactions...... 1,894,330 51,021 -- --
Net increase (decrease) in unrealized appreciation
(depreciation) of investments, translation of assets and
liabilities in foreign currencies, futures contracts and
option contracts.............................................. 4,119,788 11,300,527 (2,717,999) 28,661,663
------------ ----------- ------------ ------------
Net increase (decrease) in net assets from operations......... 8,108,117 12,412,768 11,019,211 33,804,362
------------ ----------- ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Net investment income.......................................... -- 896,810 -- --
Net realized gain from investment transactions................. -- -- -- 6,102,584
Distribution in excess of net investment income or realized
gains......................................................... -- -- -- 524,702
------------ ----------- ------------ ------------
Net decrease from distributions............................... -- 896,810 -- 6,627,286
------------ ----------- ------------ ------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sales of shares.................................. 30,188,673 40,065,473 54,073,577 71,673,203
Dividends reinvested........................................... 896,810 1,844,203 6,627,286 1,184,820
Cost of shares repurchased..................................... 9,563,254 13,023,416 22,133,440 31,518,544
------------ ----------- ------------ ------------
Net increase from capital share transactions................ 21,522,229 28,886,260 38,567,423 41,339,479
------------ ----------- ------------ ------------
Net increase in net assets..................................... 29,630,346 40,402,218 49,586,634 68,516,555
NET ASSETS
Beginning of period............................................ 92,114,545 51,712,327 157,192,884 88,676,329
------------ ----------- ------------ ------------
End of period.................................................. 121,744,891 92,114,545 206,779,518 157,192,884
=============== ============== =============== ===============
Undistributed (excess distribution) net investment income...... $ 1,180,346 $ 48,120 $ (278,808) $ --
=============== ============== =============== ===============
CAPITAL SHARES
Capital Shares Outstanding, beginning of period................ 7,264,073 4,805,255 10,462,738 7,487,091
Capital Shares Issued.......................................... 2,254,785 3,411,396 3,449,873 5,090,663
Dividends Reinvested........................................... 70,284 171,394 443,001 101,180
Capital Shares Redeemed........................................ (714,984) (1,123,972) (1,422,781) (2,216,196)
------------ ----------- ------------ ------------
Capital Shares Outstanding, end of period...................... 8,874,158 7,264,073 12,932,831 10,462,738
=============== ============== =============== ===============
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE> 14
<TABLE>
<CAPTION>
Short-Term
Core Equity Fund Long-Term Bond Fund Intermediate-Term Bond Fund Bond Fund
----------------------------- ----------------------------- ----------------------------- ------------
Period ended Period ended Period ended Period ended
June 30, Year ended June 30, Year ended June 30, Year ended June 30,
1996 December 31, 1996 December 31, 1996 December 31, 1996
unaudited 1995 unaudited 1995 unaudited 1995 unaudited
------------ ------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 2,161,617 $ 3,394,959 $ 3,777,059 $ 6,402,080 $ 2,373,885 $ 3,851,775 $ 762,325
6,004,135 5,743,147 (2,013,424) 5,267,011 514,029 1,006,551 96,179
-- -- -- -- -- -- --
9,138,983 37,716,285 (7,384,091) 7,628,153 (3,114,315) 3,848,473 (674,567)
------------ ------------ ------------ ------------ ------------ ------------ ------------
17,304,735 46,854,391 (5,620,456) 19,297,244 (226,401) 8,706,799 183,937
------------ ------------ ------------ ------------ ------------ ------------ ------------
-- 3,323,421 -- 6,255,797 -- 3,883,129 --
-- 5,188,093 -- 2,903,213 -- 496,399 --
-- 4,829 -- 1,077,489 -- 370,385 --
------------ ------------ ------------ ------------ ------------ ------------ ------------
-- 8,516,343 -- 10,236,499 -- 4,749,913 --
------------ ------------ ------------ ------------ ------------ ------------ ------------
47,893,130 64,224,865 33,506,358 46,464,747 19,486,442 29,022,622 5,596,831
8,516,343 1,667,504 10,236,499 1,892,963 4,749,913 1,903,243 1,291,083
19,411,943 22,087,221 9,889,270 13,165,269 6,998,606 9,973,176 3,950,951
------------ ------------ ------------ ------------ ------------ ------------ ------------
36,997,530 43,805,148 33,853,587 35,192,441 17,237,749 20,952,689 2,936,963
------------ ------------ ------------ ------------ ------------ ------------ ------------
54,302,265 82,143,196 28,233,131 44,253,186 17,011,348 24,909,575 3,120,900
183,734,809 101,591,613 114,612,422 70,359,236 73,480,482 48,570,907 25,855,313
------------ ------------ ------------ ------------ ------------ ------------ ------------
238,037,074 183,734,809 142,845,553 114,612,422 90,491,830 73,480,482 28,976,213
=============== =============== =============== =============== =============== =============== ===============
$ 2,246,126 $ 84,510 $ 5,329,849 $ 1,552,790 $ 2,376,010 $ 2,125 $ 780,699
=============== =============== =============== =============== =============== =============== ===============
13,795,844 10,093,660 10,887,947 7,508,227 7,081,020 5,054,210 2,530,211
3,393,623 5,359,111 3,312,147 4,434,521 1,884,377 2,790,359 547,212
634,128 165,756 973,051 202,456 457,603 198,255 126,329
(1,379,020) (1,822,683) (977,496) (1,257,257) (676,950) (961,804) (385,964)
------------ ------------ ------------ ------------ ------------ ------------ ------------
16,444,575 13,795,844 14,195,649 10,887,947 8,746,050 7,081,020 2,817,788
=============== =============== =============== =============== =============== =============== ===============
<CAPTION>
Short-Term
Bond Fund
------------
Year ended
December 31,
1995
------------
<S> <C>
$ 1,302,998
124,873
--
860,681
------------
2,288,552
------------
1,291,083
--
--
------------
1,291,083
------------
12,788,292
684,280
6,243,719
------------
7,228,853
------------
8,226,322
17,628,991
------------
25,855,313
===============
$ 18,374
===============
1,821,850
1,246,378
70,763
(608,780)
------------
2,530,211
===============
</TABLE>
13
<PAGE> 15
- --------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
International Equity Fund
-------------------------------------------------------------------
Period ended May 17, 1993(1)
June 30, Year ended Year ended to
1996 December 31, December 31, December 31,
unaudited 1995 1994 1993
------------ ------------ ------------ ---------------
<S> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period...................................... $ 12.68 $ 10.76 $ 11.98 $ 10.00
------------ ----------- ----------- -----------
OPERATIONS
Net investment income (loss) (2)......................... 0.12 0.17 (0.05) 0.03
Net realized and unrealized gain (loss) on investments... 0.92 1.87 (0.78) 1.95
------------ ----------- ----------- -----------
Total from investment operations......................... 1.04 2.04 (0.83) 1.98
------------ ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends................................................ -- 0.12 0.03 --
Distributions............................................ -- -- 0.26 --
Distributions in excess of net investment income or
realized gains......................................... -- -- 0.10 --
------------ ----------- ----------- -----------
Total distributions...................................... -- 0.12 0.39 --
------------ ----------- ----------- -----------
NET ASSET VALUE
End of period............................................ $ 13.72 $ 12.68 $ 10.76 $ 11.98
============ =========== =========== ===========
TOTAL RETURN (3).......................................... 8.20% 19.00% (6.98%) 19.80%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period.............................. $121,744,891 $92,114,545 $51,712,327 $19,978,108
Ratios of expenses to average net assets:
Before repayments and directed brokerage
arrangements......................................... 0.88%(4) 1.00% 1.36% 1.76%(4)
After repayments and directed brokerage
arrangements(6)...................................... 0.85%(4) 1.08% 1.25% 1.25%(4)
Ratios of net investment income (loss) to average net
assets:
Before repayments and directed brokerage
arrangements......................................... 2.10%(4) 1.70% 0.83% 0.34%(4)
After repayments and directed brokerage arrangements... 2.13%(4) 1.62% 0.94% 0.85%(4)
Portfolio turnover rate.................................. 17.76% 31.40% 50.25% 9.20%
Average commission rate paid............................. $ 0.0221(7) -- -- --
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Commencement of operations.
(2) Net of expense reimbursement, repayments and directed brokerage
arrangements.
(3) Total return is calculated assuming an initial investment made at net asset
value at the beginning of the period, all dividends and distributions are
reinvested and redemption on the last day of the period.
(4) Annualized
(5) The Long-Term Bond Fund did not qualify in 1993 as a regulated investment
company for federal income tax purposes because it had substantial
short-term capital gains during this period and was not able to meet the
requirement that no more than 30% of the Fund's investment income may be
from realized capital gains on the sale of securities held for less than
three months. While the Fund incurred a federal income tax of approximately
$155,000, the investment adviser to the Long-Term Bond Fund reimbursed the
Fund for the taxes and related legal expenses, so no shareholder of the Fund
was affected. The ratio of expenses to average net assets would have been
2.58% had the adviser not agreed to reimburse the Fund for these expenses.
The fund qualified in 1994 and 1995 as a regulated investment company and
intends to do so in future years as well.
(6) The After repayments and directed brokerage arrangements figure may be
greater than the Before repayments and directed brokerage arrangements
figure because of repayments by the Fund to the Manager once the fund is
operating below the expense limitation.
(7) Average commission rate paid is computed by dividing the total dollar amount
of commissions paid during the period by the total number of shares
purchased and sold during the period for which commissions were charged.
The accompanying notes are an integral part of the financial statements.
14
<PAGE> 16
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Emerging Opportunities Fund Core Equity Fund
------------------------------------------------------------------- -----------------------------------------------
Period ended May 17, 1993(1) Period ended
June 30, Year ended Year ended to June 30, Year ended Year ended
1996 December 31, December 31, December 31, 1996 December 31, December 31,
unaudited 1995 1994 1993 unaudited 1995 1994
------------ ------------ ------------ --------------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 15.02 $ 11.84 $ 10.94 $ 10.00 $ 13.32 $ 10.06 $ 10.33
------------ ------------ ----------- ----------- ------------ ------------ ------------
(0.02) -- -- (0.01) 0.13 0.25 0.16
0.99 3.81 1.06 0.95 1.02 3.63 (0.26)
------------ ------------ ----------- ----------- ------------ ------------ ------------
0.97 3.81 1.06 0.94 1.15 3.88 (0.10)
------------ ------------ ----------- ----------- ------------ ------------ ------------
-- -- -- -- -- 0.24 0.17
-- 0.58 0.16 -- -- 0.37 --
-- 0.05 -- -- -- 0.01 --
------------ ------------ ----------- ----------- ------------ ------------ ------------
-- 0.63 0.16 -- -- 0.62 0.17
------------ ------------ ----------- ----------- ------------ ------------ ------------
$ 15.99 $ 15.02 $ 11.84 $ 10.94 $ 14.47 $ 13.32 $ 10.06
============ ============ =========== =========== ============ ============ ============
6.46% 32.23% 9.69% 9.40% 8.63% 38.56% (1.01%)
$206,779,518 $157,192,884 $88,676,329 $29,112,652 $238,037,074 $183,734,809 $101,591,613
0.73%(4) 0.77% 0.91% 1.23%(4) 0.68%(4) 0.72% 0.84%
0.73%(4) 0.77% 0.92% 1.00%(4) 0.67%(4) 0.70% 0.85%
(0.30%)(4) (0.26%) (0.31%) (0.60%)(4) 2.02%(4) 2.32% 2.27%
(0.30%)(4) (0.26%) (0.32%) (0.38%)(4) 2.03%(4) 2.33% 2.27%
17.43% 36.02% 27.40% 8.70% 21.23% 38.44% 48.16%
$ 0.0559(7) -- -- -- $ 0.0596(7) -- --
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
Core Equity Fund
----------------
May 17, 1993(1)
to
December 31,
1993
----------------
<S> <C>
$ 10.00
-----------
0.06
0.33
-----------
0.39
-----------
0.06
--
--
-----------
0.06
-----------
$ 10.33
===========
3.90%
$37,355,875
1.12%(4)
1.00%(4)
1.84%(4)
1.96%(4)
48.00%
--
- ----
</TABLE>
15
<PAGE> 17
- --------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Long-Term Bond Fund
--------------------------------------------------------------------
Period ended May 17, 1993(1)
June 30, Year ended Year ended to
1996 December 31, December 31, December 31,
unaudited 1995 1994 1993
------------- ------------ ------------ ---------------
<S> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period................................. $ 10.53 $ 9.37 $ 10.33 $ 10.00
------------ ------------ ----------- -----------
OPERATIONS
Net investment income (loss) (2).................... 0.24 0.53 0.37 0.62
Net realized and unrealized gain (loss) on
investments....................................... (0.71) 1.57 (0.97) 0.45
------------ ------------ ----------- -----------
Total from investment operations.................... (0.47) 2.10 (0.60) 1.07
------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends........................................... -- 0.57 0.34 0.18
Distributions....................................... -- 0.27 0.02 0.56
Distributions in excess of net investment income or
realized gains.................................... -- 0.10 -- --
------------ ------------ ----------- -----------
Total distributions................................. -- 0.94 0.36 0.74
------------ ------------ ----------- -----------
NET ASSET VALUE
End of period....................................... $ 10.06 $ 10.53 $ 9.37 $ 10.33
============ ============ =========== ===========
TOTAL RETURN (3)..................................... (4.46%) 22.44% (5.79%) 10.70%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period......................... $ 142,845,553 $114,612,422 $70,359,236 $25,771,838
Ratios of expenses to average net assets:
Before repayments and directed brokerage
arrangements.................................... 0.63%(4) 0.66% 0.73% 1.30%(4)(5)
After repayments and directed brokerage
arrangements (6)................................ 0.63%(4) 0.70% 0.75% 0.75%(4)
Ratios of net investment income (loss) to average
net assets:
Before repayments and directed brokerage
arrangements.................................... 5.89%(4) 6.67% 7.08% 15.19%(4)
After repayments and directed brokerage
arrangements.................................... 5.89%(4) 6.63% 7.05% 15.73%(4)
Portfolio turnover rate............................. 117.97% 381.53% 152.91% 589.40%
Average commission rate paid........................ -- -- -- --
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Commencement of operations.
(2) Net of expense reimbursement, repayments and directed brokerage
arrangements.
(3) Total return is calculated assuming an initial investment made at net asset
value at the beginning of the period, all dividends and distributions are
reinvested and redemption on the last day of the period.
(4) Annualized
(5) The Long-Term Bond Fund did not qualify in 1993 as a regulated investment
company for federal income tax purposes because it had substantial
short-term capital gains during this period and was not able to meet the
requirement that no more than 30% of the Fund's investment income may be
from realized capital gains on the sale of securities held for less than
three months. While the Fund incurred a federal income tax of approximately
$155,000, the investment adviser to the Long-Term Bond Fund reimbursed the
Fund for the taxes and related legal expenses, so no shareholder of the Fund
was affected. The ratio of expenses to average net assets would have been
2.58% had the adviser not agreed to reimburse the Fund for these expenses.
The fund qualified in 1994 and 1995 as a regulated investment company and
intends to do so in future years as well.
(6) The After repayments and directed brokerage arrangements figure may be
greater than the Before repayments and directed brokerage arrangements
figure because of repayments by the Fund to the Manager once the fund is
operating below the expense limitation.
(7) Average commission rate paid is computed by dividing the total dollar amount
of commissions paid during the period by the total number of shares
purchased and sold during the period for which commissions were charged.
The accompanying notes are an integral part of the financial statements.
16
<PAGE> 18
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Intermediate-Term Bond Fund Short-Term Bond Fund
-------------------------------------------------------------------- -----------------------------------------------
Period ended May 17, 1993(1) Period ended
June 30, Year ended Year ended to June 30, Year ended Year ended
1996 December 31, December 31, December 31, 1996 December 31, December 31,
unaudited 1995 1994 1993 unaudited 1995 1994
------------ ------------ ------------ ---------------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 10.38 $ 9.61 $ 10.28 $ 10.00 $ 10.22 $ 9.68 $ 10.07
----------- ----------- ----------- ----------- ----------- ----------- -----------
0.27 0.54 0.38 0.17 0.27 0.51 0.45
(0.30) 0.90 (0.67) 0.28 (0.21) 0.54 (0.46)
----------- ----------- ----------- ----------- ----------- ----------- -----------
(0.03) 1.44 (0.29) 0.45 0.06 1.05 (0.01)
----------- ----------- ----------- ----------- ----------- ----------- -----------
-- 0.55 0.38 0.17 -- 0.51 0.38
-- 0.07 -- -- -- -- --
-- 0.05 -- -- -- -- --
----------- ----------- ----------- ----------- ----------- ----------- -----------
-- 0.67 0.38 0.17 -- 0.51 0.38
----------- ----------- ----------- ----------- ----------- ----------- -----------
$ 10.35 $ 10.38 $ 9.61 $ 10.28 $ 10.28 $ 10.22 $ 9.68
=========== =========== =========== =========== =========== =========== ===========
(0.29%) 15.01% (2.85%) 4.50% 0.59% 10.86% (0.14%)
$90,491,830 $73,480,482 $48,570,907 $ 19,897,257 $28,976,213 $25,855,313 $17,628,991
0.67%(4) 0.68% 0.75% 1.37%(4) 0.71%(4) 0.76% 1.02%
0.67%(4) 0.75% 0.75% 0.75%(4) 0.75%(4) 0.77% 0.75%
5.76%(4) 6.19% 5.35% 3.73%(4) 5.63%(4) 5.77% 4.99%
5.76%(4) 6.11% 5.35% 4.35%(4) 5.58%(4) 5.76% 5.25%
90.38% 137.14% 22.72% -- 56.65% 93.37% 233.25%
-- -- -- -- -- -- --
--------------------------------------------------------------------------------------------------------------------
<CAPTION>
Short-Term
Bond Fund
---------------
May 17, 1993(1)
to
December 31,
1993
---------------
<S> <C>
$ 10.00
-----------
0.19
0.08
-----------
0.27
-----------
0.14
0.01
0.05
-----------
0.20
-----------
$ 10.07
===========
2.70%
$ 8,181,243
1.72%(4)
0.75%(4)
3.52%(4)
4.49%(4)
144.30%
--
</TABLE>
17
<PAGE> 19
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / International Equity Fund / June 30, 1996
(unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------------------------------------------------
<S> <C>
COMMON STOCKS -- 96.5%
AUTOMOTIVE -- 0.7%
18,275 Michelin B................... $ 893,145
---------------
BANKING -- 16.7%
45,644 ABN Amro Holdings............ 2,449,353
104,850 Allied Irish Banks........... 549,026
19,465 Banco De Santander........... 907,883
144,200 Bangkok Bank................. 1,953,002
225,400 Barclays..................... 2,707,234
353,000 DCB Holdings................. 1,209,555
216,250 Development Bank of
Singapore.................... 2,696,529
475,510 Grupo Financiero Banamex *... 991,201
354,824 Lloyds TSB Group............. 1,736,651
377,550 National Australia Bank...... 3,491,507
140,000 Thai Farmers Bank............ 1,532,328
---------------
20,224,269
---------------
BEVERAGES, FOOD & TOBACCO -- 11.7%
409,560 B.A.T. Industries............ 3,188,220
215,080 Cadbury Schweppes............ 1,701,025
188,800 Fraser & Neave............... 1,952,947
185,351 Grand Metropolitan........... 1,229,748
364,000 Gudang Garam................. 1,560,050
605,000 Mayora Indah................. 337,927
10,980 Nutricia Verenidge
Bedrijven.................... 1,161,053
253,000 PT Hm Sampoerna.............. 2,880,651
66,000 San Miguel Corp -- Class B... 227,984
---------------
14,239,605
---------------
BUILDING MATERIALS -- 1.0%
243,000 Hume Industries.............. 1,188,100
---------------
CHEMICALS -- 2.5%
8,450 DSM.......................... 839,071
66,530 Hoechst...................... 2,255,340
---------------
3,094,411
---------------
<CAPTION>
Shares Value
- ------------------------------------------------------
<S> <C>
COMMUNICATIONS -- 3.9%
106,000 Cable & Wireless............. $ 703,278
21,850 Royal PTT Nederland.......... 826,905
511,550 STET......................... 1,728,579
357,000 Telekomunikasi............... 540,694
265,000 Vodafone Group............... 986,145
---------------
4,785,601
---------------
CONGLOMERATES -- 5.6%
2,714 Alusuisse Lonza Holdings..... 2,239,909
360,961 BTR.......................... 1,421,753
188,000 PT Indocement Tunggal........ 646,208
514,000 Sime-Darby Berhad............ 1,421,313
161,000 United Engineers
(Malaysia)................... 1,116,245
---------------
6,845,428
---------------
ELECTRIC UTILITIES -- 2.4%
93,200 Iberdrola.................... 955,906
243,990 Scottish Power............... 1,152,487
16,100 Veba......................... 855,696
---------------
2,964,089
---------------
ELECTRICAL EQUIPMENT -- 5.3%
205,080 General Electric............. 1,105,709
46,300 Philips Electronics.......... 1,505,380
193,220 Siebe........................ 2,744,052
20,800 Siemens...................... 1,114,788
---------------
6,469,929
---------------
ELECTRONICS -- 1.8%
122,390 Chubb Security............... 614,239
149,350 Farnell Electronic........... 1,571,043
---------------
2,185,282
---------------
ENTERTAINMENT & LEISURE -- 3.9%
140,700 Granada Group................ 1,880,118
275,950 Ladbroke Group............... 771,777
75,750 Thorn EMI.................... 2,111,539
---------------
4,763,434
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE> 20
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / International Equity Fund / June 30, 1996
(unaudited) (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- ------------------------------------------------------
<S> <C>
FOOD RETAILERS -- 1.4%
233,000 PT Hero Supermarket.......... $ 230,254
183,500 TI Group Plc................. 1,528,243
---------------
1,758,497
---------------
FOREST PRODUCTS & PAPER -- 3.3%
24,500 Assidoman.................... 570,450
694,600 Smurfit (Jefferson) Group.... 1,864,237
19,500 Stora Kopparbergs............ 257,139
63,200 UPM-Kymmeme.................. 1,307,286
---------------
3,999,112
---------------
HEAVY MACHINERY -- 1.4%
4,939 Mannesmann................... 1,700,262
---------------
INSURANCE -- 5.7%
151,650 General Accident............. 1,538,686
72,300 International Nederlanden
Groep........................ 2,155,899
220,180 Prudential Corporation....... 1,388,984
1,804 Schw Ruckversicherungs....... 1,852,080
---------------
6,935,649
---------------
MEDIA -- BROADCASTING &
PUBLISHING -- 7.5%
195,350 Elsevier..................... 2,964,046
104,200 News Corporation -- Preferred
Shares....................... 508,465
472,700 News Corporation............. 2,682,383
149,800 Singapore Press Holdings..... 2,939,870
---------------
9,094,764
---------------
METALS -- 3.7%
182,600 Broken Hill Proprietary
Company...................... 2,525,084
271,950 Western Mining Corporation
Holding...................... 1,947,733
---------------
4,472,817
---------------
MINING -- 0.3%
250,000 Mim Holdings................. 322,675
---------------
<CAPTION>
Shares Value
- ------------------------------------------------------
<S> <C>
OFFICE EQUIPMENT -- 2.0%
115,000 Canon........................ $ 2,390,551
---------------
OIL & GAS -- 4.5%
17,360 ELF Aquitaine................ 1,276,686
34,400 Repsol....................... 1,195,311
7,625 Royal Dutch Petroleum
Company...................... 1,177,491
122,000 Shell Transport & Trading.... 1,789,472
---------------
5,438,960
---------------
PHARMACEUTICALS -- 8.0%
3,208 Ciba Geigy................... 3,908,628
127,000 Kalbe Farma.................. 283,747
25,900 Medeva -- Rights *........... 101,411
155,400 Medeva....................... 606,060
256 Roche Holding................ 1,952,253
1,053 Sandoz....................... 1,203,894
77,350 Zeneca Group................. 1,710,247
---------------
9,766,240
---------------
REAL ESTATE -- 1.7%
263,000 City Developments............ 2,049,664
---------------
RETAILERS -- 1.1%
243,400 Argyll Group................. 1,312,315
---------------
TEXTILES, CLOTHING & FABRICS -- 0.4%
199,000 Coats Viyella................ 531,828
---------------
TOTAL INVESTMENTS -- 96.5%
(Cost $103,406,510) 117,426,627
Other Assets and Liabilities
(net) -- 3.5% .......................... 4,318,264
---------------
TOTAL NET ASSETS -- 100.0% $ 121,744,891
===============
NOTES TO THE PORTFOLIO OF INVESTMENTS:
* Non-income producing security.
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE> 21
- --------------------------------------------------------------------------------
Investments By Country
American Odyssey Funds, Inc. / International Equity Fund / June 30, 1996
(unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Percentage of
COUNTRY Net Assets
- -------------------------------------------------------------
<S> <C>
Great Britain 29.6
Netherlands 10.7
Australia 9.4
Switzerland 9.2
Singapore 7.9
Indonesia 5.3
Germany 4.9
Malaysia 4.1
Thailand 2.9
Spain 2.5
Japan 2.0
Ireland 2.0
France 1.8
Italy 1.4
Finland 1.1
Mexico 0.8
Sweden 0.7
Phillipines 0.2
------
96.5%
==========
</TABLE>
The accompanying notes are an integral part of the financial statements.
20
<PAGE> 22
Portfolio of Investments
American Odyssey Funds, Inc. / Emerging Opportunities Fund / June 30, 1996
(unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------------------------------------------------------
<S> <C>
COMMON STOCKS -- 97.6%
BEVERAGES, FOOD & TOBACCO -- 1.5%
101,050 Dreyers Grand Ice Cream,
Inc. .......................... $ 3,183,075
------------
COMMERCIAL SERVICES -- 7.4%
92,300 Alternative Resources
Corp.* ........................ 3,392,025
100,000 Meta Group Inc.*............... 2,450,000
66,900 On Assignment, Inc.*........... 2,492,025
165,700 Sitel Corp.*................... 6,959,400
------------
15,293,450
------------
COMPUTER SOFTWARE & PROCESSING -- 20.1%
85,800 Astea International, Inc.*..... 2,080,650
102,300 BISYS Group, Inc.*............. 3,861,825
97,980 Boole & Babbage, Inc.*......... 2,351,520
123,200 Broderbund Software, Inc.*..... 3,973,200
144,300 Datalogix International,
Inc.*.......................... 1,046,175
165,700 Electronic Arts*............... 4,432,475
96,800 Expert Software, Inc.*......... 750,200
229,000 Fiserv, Inc.*.................. 6,870,000
70,000 Gensym Corp.*.................. 1,540,000
139,700 Manugistics Group Inc.*........ 2,374,900
96,100 Maxis, Inc.*................... 1,897,975
82,400 Prism Solutions, Inc.*......... 1,936,400
88,800 Progress Software Corp.*....... 1,454,100
32,000 Project Software &
Development*................... 1,500,000
38,750 Transaction Systems*........... 2,596,250
156,200 Wonderware Corp.*.............. 2,948,275
------------
41,613,945
------------
COMPUTERS & INFORMATION -- 13.9%
153,200 3D Systems Corporation*........ 3,370,400
90,300 CDW Computer Centers Inc.*..... 6,275,850
144,600 Fair Issac & Co., Inc. ........ 6,398,550
98,400 Pinnacle Systems, Inc.*........ 2,041,800
129,600 Quick Response Services,
Inc.*.......................... 3,726,000
171,800 Sungard Data Systems, Inc.*.... 6,893,472
------------
28,706,072
------------
ELECTRICAL EQUIPMENT -- 2.8%
95,300 Itron, Inc.*................... 2,704,138
158,400 Unitrode Corp.*................ 3,069,000
------------
5,773,138
------------
<CAPTION>
Shares Value
- ------------------------------------------------------
<S> <C>
ELECTRONICS -- 6.1%
114,900 Avid Technology, Inc.*......... $ 2,125,650
39,660 BGS Systems, Inc. ............. 1,546,740
96,100 ITI Technologies, Inc.*........ 3,171,300
119,100 Macromedia, Inc.*.............. 2,605,313
131,465 Zilog, Inc.*................... 3,155,160
------------
12,604,163
------------
FOOD RETAILERS -- 1.1%
91,690 Quality Food Centers, Inc.*.... 2,361,018
------------
MEDIA -- BROADCASTING & PUBLISHING -- 1.6%
68,900 Edmark Corp.*.................. $ 1,378,000
29,800 Scholastic Corp.*.............. 1,847,600
------------
3,225,600
------------
MEDICAL SUPPLIES -- 4.9%
101,300 Protocol Systems, Inc.*........ 2,329,900
91,900 Steris Corp.*.................. 2,940,800
165,000 Tecnol Medical Products,
Inc.*.......................... 3,176,250
96,300 Vitalcom Inc.*................. 1,661,175
------------
10,108,125
------------
MEDICAL & BIO-TECHNOLOGY -- 3.7%
196,540 Idexx Labs Corporation*........ 7,714,195
------------
PHARMACEUTICALS -- 3.6%
219,000 Perrigo Company*............... 2,463,750
109,500 R. P. Scherer Corporation*..... 4,968,563
------------
7,432,313
------------
RESTAURANTS -- 6.3%
105,200 Applebee's International,
Inc. .......................... 3,379,550
305,010 Buffetts, Inc.*................ 3,736,373
235,500 Landry's Seafood
Restaurants*................... 5,828,625
------------
12,944,548
------------
RETAILERS -- 19.3%
184,650 Best Buy Company Inc.*......... 4,223,869
107,900 Corporate Express, Inc.*....... 4,316,000
134,800 Department 56 Inc.*............ 3,049,850
193,280 Fastenal Company............... 8,407,680
230,800 Grossmans, Inc.*............... 375,050
97,600 Micro Warehouse, Inc.*......... 1,952,000
303,000 Tech Data Corp.*............... 6,590,250
</TABLE>
The accompanying notes are an integral part of the financial statements.
21
<PAGE> 23
Portfolio of Investments
American Odyssey Funds, Inc. / Emerging Opportunities Fund / June 30, 1996
(unaudited) (continued)
<TABLE>
<CAPTION>
Shares Value
- ------------------------------------------------------
<S> <C>
130,400 The Sports Authority, Inc.*.... $ 4,270,600
91,000 Tiffany & Co................... 6,643,000
------------
39,828,299
------------
TEXTILES, CLOTHING & FABRICS -- 5.3%
85,100 Gymboree Corp.*................ 2,595,550
124,800 Talbots, Inc................... 4,040,400
133,600 The Men's Wearhouse, Inc.*..... 4,308,600
------------
10,944,550
------------
TOTAL INVESTMENTS -- 97.6%
(Cost $168,210,705) 201,732,491
Other Assets and Liabilities
(net) -- 2.4%......................... $ 5,047,027
----------------
TOTAL NET ASSETS -- 100.0% $ 206,779,518
============
</TABLE>
NOTES TO THE PORTFOLIO OF INVESTMENTS:
* Non-income producing security.
The accompanying notes are an integral part of the financial statements.
22
<PAGE> 24
Portfolio of Investments
American Odyssey Funds, Inc. / Core Equity Fund / June 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------------------------------------------------------
<S> <C>
COMMON STOCKS -- 98.4%
AEROSPACE & DEFENSE -- 3.6%
68,200 Boeing Co. .................. $ 5,941,925
50,700 Raytheon Co. ................ 2,617,388
---------------
8,559,313
---------------
AIRLINES -- 2.1%
55,100 AMR Corp.*................... 5,014,100
---------------
AUTOMOTIVE -- 1.9%
87,700 General Motors Corp. ........ 4,593,288
---------------
BANKING -- 10.4%
135,710 Banc One Corp. .............. 4,614,140
62,900 BankAmerica Corp. ........... 4,764,675
36,400 Barnett Banks, Inc. ......... 2,220,400
92,028 Chase Manhattan Corp. ....... 6,499,478
53,503 First Chicago NBD Corp. ..... 2,093,305
57,900 Nationsbank Corp. ........... 4,783,988
---------------
24,975,986
---------------
BEVERAGES, FOOD & TOBACCO -- 6.8%
33,200 Anheuser-Busch Co., Inc. .... 2,490,000
233,600 Archer-Daniels-Midland, Co... 4,467,600
57,000 Philip Morris Co., Inc. ..... 5,928,000
99,000 Sara Lee Corp. .............. 3,205,125
---------------
16,090,725
---------------
CHEMICALS -- 4.9%
92,800 B.F. Goodrich Co. ........... 3,468,400
57,500 Dow Chemical Co. ............ 4,370,000
59,800 Great Lakes Chemical Corp. .. 3,722,550
---------------
11,560,950
---------------
COMMUNICATIONS -- 4.1%
170,500 MCI Communications Inc. ..... 4,369,063
127,500 Sprint Corp. ................ 5,355,000
---------------
9,724,063
---------------
COMPUTERS & INFORMATION -- 4.1%
35,000 Hewlett Packard Co. ......... 3,486,875
53,900 IBM Corp. ................... 5,336,100
21,300 Seagate Technology, Inc.*.... 958,493
---------------
9,781,468
---------------
<CAPTION>
Shares Value
- ------------------------------------------------------
<S> <C>
CONSUMER SERVICES -- 1.3%
110,800 Dial Corporation............. $ 3,171,650
---------------
ELECTRIC UTILITIES -- 6.6%
54,500 FPL Group, Inc. ............. 2,507,000
179,000 Potomac Electric Power....... 4,743,500
104,200 Texas Utilities Company...... 4,454,550
142,800 Unicom Corp. ................ 3,980,550
---------------
15,685,600
---------------
ELECTRONICS -- 5.9%
59,500 General Electric Co. ........ 5,146,750
73,200 Intel Corporation............ 5,375,625
54,700 Motorola, Inc. .............. 3,439,263
---------------
13,961,638
---------------
FINANCIAL SERVICES -- 4.6%
90,112 Dean Witter Discover & Co. .. 5,158,912
171,000 Federal National Mortgage
Association.................. 5,728,500
---------------
10,887,412
---------------
FOOD RETAILERS -- 1.2%
67,000 American Stores Co. ......... 2,763,750
---------------
FOREST PRODUCTS & PAPER -- 1.7%
154,600 James River Corp.
of Virginia.................. 4,077,575
---------------
HEALTH CARE PROVIDERS -- 1.7%
74,700 Columbia/HCA Healthcare
Corp. ....................... 3,987,113
---------------
HOME CONSTRUCTION, FURNISHINGS &
APPLIANCES -- 1.7%
82,600 Whirlpool Corp. ............. 4,099,025
---------------
INSURANCE -- 4.3%
111,583 Allstate Corp. .............. 5,090,974
102,500 Chubb Corp. ................. 5,112,188
---------------
10,203,162
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
23
<PAGE> 25
Portfolio of Investments
American Odyssey Funds, Inc. / Core Equity Fund / June 30, 1996 (unaudited)
(continued)
<TABLE>
<CAPTION>
Shares Value
- ------------------------------------------------------
<S> <C>
MEDIA -- BROADCASTING &
PUBLISHING -- 1.6%
52,100 Tribune Co. ................. $ 3,783,763
---------------
MEDICAL SUPPLIES -- 1.6%
78,600 Baxter International,
Inc. ........................ 3,713,850
---------------
METALS -- 1.1%
47,100 Aluminum Company of
America...................... 2,702,363
---------------
OIL & GAS -- 10.8%
68,100 Amoco Corp. ................. 4,928,738
36,456 British Petroleum Plc........ 3,896,235
29,800 Mobil Corp. ................. 3,341,325
33,000 Royal Dutch Petroleum, Plc... 5,073,750
77,600 Tenneco, Inc................. 3,967,300
56,500 Texaco Inc. ................. 4,738,938
---------------
25,946,286
---------------
PHARMACEUTICALS -- 4.6%
66,100 Bristol Myers Squibb Co. .... 5,949,000
79,100 Schering Plough Corp. ....... 4,963,525
---------------
10,912,525
---------------
RESTAURANTS -- 0.9%
140,300 Brinker International
Inc.*........................ 2,104,500
---------------
<CAPTION>
Shares Value
- ------------------------------------------------------
<S> <C>
RETAILERS -- 5.8%
34,300 Dayton-Hudson Corp. ......... $ 3,537,188
103,000 Federated Department
Stores*...................... 3,514,875
55,800 F. W. Woolworth Co.*......... 1,255,500
63,800 Sears Roebuck & Co. ......... 3,102,275
80,100 Toys "R" Us, Inc. Holding
Co.*......................... 2,282,850
---------------
13,692,688
---------------
TELEPHONE SYSTEMS -- 3.0%
94,100 BellSouth Corp. ............. 3,987,488
70,800 GTE Corp. ................... 3,168,300
---------------
7,155,788
---------------
TRANSPORTATION -- 2.1%
74,600 Conrail, Inc. ............... 4,951,575
---------------
TOTAL INVESTMENTS -- 98.4%
(Cost $189,547,561).................... 234,100,156
Other Assets and Liabilities
(net) -- 1.7%.......................... 3,936,918
---------------
TOTAL NET ASSETS -- 100.0%............... $ 238,037,074
============
NOTES TO THE PORTFOLIO OF INVESTMENTS:
* Non-income producing security.
</TABLE>
The accompanying notes are an integral part of the financial statements.
24
<PAGE> 26
Portfolio of Investments
American Odyssey Funds, Inc. / Long-Term Bond Fund / June 30, 1996 (unaudited)
<TABLE>
<CAPTION>
Principal Amount Value
- ------------------------------------------------------
<S> <C>
CORPORATE BONDS and NOTES -- 12.2%
$ 500,000 Banque Paribas
6.875% 03/01/09........... $ 460,580
284,929 Citicorp Mortgage Trust
Series 3-A3
9.000% 12/25/17........... 287,394
500,000 Commonwealth Edison Co.
8.625% 02/01/22........... 508,860
1,350,000 Commonwealth Edison Co.
8.375% 02/15/23........... 1,328,805
400,000 Dean Witter Discover & Co.
6.250% 03/15/00........... 392,360
2,000,000 General Electric Capital
Corp.
8.500% 07/24/08........... 2,203,640
350,000 General Motors Acceptance
Corp.
9.625% 12/15/01........... 390,086
394,130 GG1B Funding Corp.
7.430% 01/15/11........... 375,200
600,000 Loews Corp.
7.625% 06/01/23........... 568,290
2,000,000 Nabisco, Inc.
6.850% 06/15/05........... 1,911,480
700,000 NBD Bank N.A.
8.250% 11/01/24........... 764,834
400,000 News America Holdings
8.450% 08/01/34........... 424,528
500,000 Niagara Mohawk Power
7.750% 05/15/06........... 442,690
1,020,000 Nomura Assets Securities
Corp.
7.120% 04/13/36........... 994,498
850,000 Paine Webber Group
7.625% 02/15/14........... 799,051
580,000 RJR Nabisco, Inc.
8.750% 08/15/05........... 573,910
1,000,000 Sears Overseas Finance
0.000% 07/12/98........... 876,780
400,000 Southern Union Company
7.600% 02/01/24........... 377,732
2,450,000 TCI Communications
8.750% 08/01/15........... 2,408,056
<CAPTION>
Principal Amount Value
- ------------------------------------------------------
<S> <C>
$ 800,000 Telecommunications, Inc.
7.875% 08/01/13........... $ 728,864
500,000 Unisys Corp.
8.875% 07/15/97........... 500,000
--------------
TOTAL CORPORATE BONDS AND NOTES
(Amortized Cost $17,614,908) 17,317,638
---------------
U.S. GOVERNMENT and AGENCIES -- 76.9%
Asset-Backed Securities -- 6.0%
20,000,000 Resolution Funding Corp.
0.000% 01/15/11........... 7,101,800
15,000,000 Resolution Funding Corp.
0.000% 01/15/30........... 1,468,650
Mortgage Backed Securities -- 37.5%
3,000,000 Federal Home Loan Bank
6.285% 07/28/00........... 2,966,250
3,000,000 Federal Home Loan Bank
5.920% 06/29/00........... 2,930,610
3,000,000 Federal Home Loan Mortgage
Corp
6.783% 08/18/05........... 2,957,340
2,500,000 Federal Home Loan Mortgage
Corp -- Gold
7.000% 07/01/26........... 2,408,975
2,500,000 Federal Home Loan Mortgage
Corp -- Gold
6.500% 07/01/26........... 2,343,750
10,035,227 Federal Home Loan Mortgage
Corp -- Gold 30 Year
7.000% 01/01/26........... 9,674,501
3,000,000 Federal National Mortgage
Association
6.140% 11/25/05........... 2,780,310
3,375,783 Federal National Mortgage
Association
7.000% 02/01/24........... 3,254,997
4,002,668 Federal National Mortgage
Association
7.000% 01/01/26........... 3,851,928
1,007,738 Federal National Mortgage
Association
7.000% 04/01/26........... 969,787
</TABLE>
The accompanying notes are an integral part of the financial statements.
25
<PAGE> 27
Portfolio of Investments
American Odyssey Funds, Inc. / Long-Term Bond Fund / June 30, 1996 (unaudited)
(continued)
<TABLE>
<CAPTION>
Principal Amount Value
- ----------------------------------------------------------
<S> <C>
$ 6,246,990 Federal National Mortgage
Association
7.000% 12/01/24........... $ 6,023,472
2,514,984 Government National
Mortgage Association
8.500% 01/15/25........... 2,589,327
9,713,608 Government National
Mortgage Association
7.500% 07/15/25........... 9,582,669
994,166 Government National
Mortgage Association
8.500% 06/15/25........... 1,023,554
196,846 Government National
Mortgage Association
9.500% 09/15/30........... 206,626
U.S. Treasury Bonds -- 11.8%
4,850,000 U.S. Treasury Bond
6.250% 08/15/23........... 4,396,816
11,600,000 U.S. Treasury Bond
7.625% 02/15/25........... 12,499,000
U.S. Treasury Notes -- 20.3%
4,280,000 U.S. Treasury Note
6.375% 05/15/99........... 4,289,373
23,700,000 U.S. Treasury Note
6.500% 05/31/01........... 23,711,139
960,000 U.S. Treasury Note
0.000% 03/31/00........... 973,949
U.S. Treasury Strips -- 1.3%
4,800,000 U.S. Treasury Strip
0.000% 08/15/20........... 865,248
5,000,000 U.S. Treasury Strip
0.000% 02/15/19........... 1,002,600
--------------
TOTAL U.S. GOVERNMENT AND AGENCIES
(Amortized Cost $113,894,660) 109,872,671
--------------
<CAPTION>
Principal Amount Value
- ----------------------------------------------------------
<S> <C>
FOREIGN GOVERNMENT BONDS -- 1.6%
$ 400,000 Quebec Province
7.500% 07/15/23........... $ 382,824
2,000,000 Quebec Province
5.670% 02/27/26........... 1,925,000
--------------
TOTAL FOREIGN GOVERNMENT BONDS
(Amortized Cost $2,367,925) 2,307,824
--------------
SHORT TERM INVESTMENTS -- 1.5%
2,200,000 U.S. Treasury Bill
4.865% 07/11/96........... 2,147,674
--------------
TOTAL SHORT TERM INVESTMENTS
(Amortized Cost $2,147,674) 2,147,674
--------------
PURCHASED OPTIONS -- 0.0%
480,000 90 Day Euro$ Call Option
expires 09/16/96, strike
price $94.50.............. 14,400
77,500 90 Day Euro$ Call Option
expires 12/16/96, strike
price $93.75.............. 31,000
--------------
TOTAL PURCHASED OPTIONS
(Amortized Cost $53,048) 45,400
--------------
TOTAL INVESTMENTS -- 92.2%
(Amortized Cost $136,078,216) 131,691,207
Other Assets and Liabilities
(net) -- 7.8%.......................... 11,154,346
--------------
TOTAL NET ASSETS -- 100.0% $142,845,553
==============
</TABLE>
The accompanying notes are an integral part of the financial statements.
26
<PAGE> 28
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Intermediate-Term Bond Fund / June 30, 1996
(unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
- ----------------------------------------------------------
<S> <C>
CORPORATE BONDS and NOTES -- 58.3%
$2,800,000 AT&T Capital Corp.
6.100% 08/31/98............. $ 2,776,704
1,000,000 Bacardi Martini
5.750% 07/23/98............. 983,125
4,000,000 Bankamerica Corp
6.625% 05/30/01............. 3,960,356
2,000,000 Boise Cascade Co.
9.450% 04/01/97............. 2,044,060
3,000,000 Carolina Power & Light
5.375% 07/01/98............. 2,938,980
2,000,000 Crane Co.
7.250% 06/15/99............. 2,004,360
3,500,000 DQU II Funding
7.230% 12/01/99............. 3,535,350
3,000,000 Equitable Cos, Inc.
7.300% 12/01/03............. 2,971,050
3,000,000 Exxon Capital Corp
7.875% 08/15/97............. 3,056,250
500,000 Florida Gas Transmission
7.750% 11/01/97............. 508,695
1,500,000 General Motors
Acceptance Corp.
6.625% 10/01/02............. 1,464,615
4,000,000 Grand Metropolitan Inv Corp
0.000% 01/06/04............. 2,323,400
550,000 Houston Power & Lighting
5.250% 01/01/97............. 546,821
3,000,000 Hydro-Quebec
7.375% 02/01/03............. 3,038,070
3,000,000 Illinois Power
6.500% 09/01/99............. 2,922,150
4,200,000 Phillip Morris, Inc.
6.950% 06/01/06............. 4,206,531
3,800,000 RJR Nabisco, Inc.
8.300% 04/15/99............. 3,927,756
4,900,000 Six Flags Ent
0.000% 12/15/99............. 3,822,000
1,500,000 System Energy Resources
6.000% 04/01/98............. 1,480,260
1,690,000 Transco Energy, Inc.
9.125% 05/01/98............. 1,756,231
1,000,000 United Illuminating
7.000% 01/15/97............. 1,002,640
<CAPTION>
Principal Amount Value
- ----------------------------------------------------------
<S> <C>
$1,500,000 United Illuminating
7.375% 01/15/98............. $ 1,506,105
-------------
TOTAL CORPORATE BONDS AND NOTES
(Amortized Cost $53,425,408) 52,775,509
-------------
ASSET-BACKED SECURITIES -- 7.3%
1,000,000 Bomt 1995-A A
6.150% 07/15/02............. 980,620
1,000,000 Carco 1991-3 A
7.875% 03/15/98............. 1,002,500
1,079,625 Cfat 1995-A CTFS
6.450% 08/25/01............. 1,075,220
1,500,000 House Hold Private Label
Credit Card Master Trust II
8.000% 09/20/03............. 1,533,750
510,238 IBM Credit Receivables Lease
Asset Mst
6.550% 07/16/01............. 511,232
500,000 Premier Auto Trust
6.850% 03/02/99............. 504,060
1,000,000 Signet Credit Card Master
Trust
7.350% 09/15/02............. 1,014,680
-------------
TOTAL ASSET-BACKED SECURITIES
(Amortized Cost $6,569,223) 6,622,062
-------------
U.S. GOVERNMENT and AGENCIES -- 20.2%
Mortgage Backed Securities -- 8.0%
246,944 American Southwest Financial
9.000% 03/01/18............. 254,506
1,016,664 Federal Home Loan
Mortgage Corp. -- Gold
6.500% 01/01/26............. 953,750
4,027,919 Federal Home Loan
Mortgage Corp. -- Gold
6.500% 12/01/25............. 3,778,659
2,283,945 FHLMC-GNMA
5.150% 08/25/12............. 2,213,280
U.S. Treasury Bonds -- 4.4%
4,000,000 U.S. Treasury Bond
6.250% 04/30/01............. 3,961,880
</TABLE>
The accompanying notes are an integral part of the financial statements.
27
<PAGE> 29
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Intermediate-Term Bond Fund / June 30, 1996
(unaudited) (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
- ------------------------------------------------------
<S> <C>
U.S. Treasury Notes -- 7.8%
$2,000,000 U.S. Treasury Note
6.250% 02/15/03............. $ 1,964,680
2,000,000 U.S. Treasury Note
7.750% 12/31/99............. 2,083,740
3,000,000 U.S. Treasury Note
6.875% 05/15/06............. 3,033,270
--------------
TOTAL U.S. GOVERNMENT AND AGENCIES
(Amortized Cost $18,661,015) 18,243,765
--------------
FOREIGN GOVERNMENT BONDS -- 10.0%
5,000,000 Kingdom of Sweden
0.000% 07/31/00............. 3,800,000
7,000,000 Republic of Austria
0.000% 11/25/00............. 5,235,300
--------------
TOTAL FOREIGN GOVERNMENT BONDS
(Amortized Cost $9,387,769) 9,035,300
--------------
<CAPTION>
Principal Amount Value
- ------------------------------------------------------
<S> <C>
REPURCHASE AGREEMENT -- 2.5%
$2,298,000 Repurchase Agreement with
Morgan Stanley, dated
06/28/96, 5.25%, due
07/01/96, proceeds at
maturity of $2,299,005
(collateralized by
$2,230,000 U.S. Treasury
Note, 7.50%, due 11/15/01,
with a market value of
$2,330,300) (cost
$2,298,000)................. $ 2,298,000
--------------
TOTAL INVESTMENTS -- 98.3%
(Amortized Cost $90,341,415) 88,974,636
Other Assets and Liabilities
(net) -- 1.7%........................... 1,517,194
--------------
TOTAL NET ASSETS -- 100.0% $ 90,491,830
===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
28
<PAGE> 30
Portfolio of Investments
American Odyssey Funds, Inc. / Short-Term Bond Fund / June 30, 1996
(unaudited)
<TABLE>
<CAPTION>
Principal Amount Value
- ----------------------------------------------------------
<S> <C>
CORPORATE BONDS and NOTES -- 20.6%
$ 800,000 American General
8.500% 06/15/99............ $ 832,408
300,000 Arizona Public Service
7.625% 06/15/99............ 302,280
500,000 Associates Corp. N.A.
8.250% 12/01/99............ 522,485
200,000 Carolina Power & Light
5.375% 07/01/98............ 195,932
917,806 Collateralized Securities
Mortgage Corp. 1990
10.000% 04/20/20........... 969,433
500,000 Conagra, Inc.
9.750% 11/01/97............ 519,280
650,000 Ford Motor Credit Corp.
8.000% 01/15/99............ 670,196
317,000 Nations Bank
7.000% 05/15/03............ 315,247
395,000 Norwest Corp.
8.150% 11/01/01............ 415,627
500,000 Tenneco, Inc.
10.000% 08/01/98........... 532,905
375,000 Texas Utilities
5.750% 07/01/98............ 370,170
300,000 WMX Technologies
6.650% 05/15/05............ 298,731
-------------
TOTAL CORPORATE BONDS AND NOTES
(Amortized Cost $5,943,770)............ 5,944,694
-------------
U.S. GOVERNMENT and AGENCIES -- 72.6%
Asset-Backed Securities -- 3.6%
1,020,000 Student Loan Marketing
Association
7.500% 03/08/00............ 1,050,763
-------------
Mortgage Backed Securities -- 37.2%
2,755,000 Farmer Mac
6.800% 05/27/97............ 2,776,517
425,000 Federal Home Loan Bank
5.870% 11/21/00............ 412,913
1,300,000 Federal Home Loan Mortgage
Corp.
6.395% 05/16/00............ 1,290,861
<CAPTION>
Principal Amount Value
- ----------------------------------------------------------
<S> <C>
$ 458,078 Federal Home Loan Mortgage
Corp.
9.500% 01/15/19............ $ 469,095
1,262,611 Federal Home Loan Mortgage
Corp.
6.000% 08/15/20............ 1,255,894
2,500,000 Federal National Mortgage
Association
6.770% 04/14/97............ 2,509,650
1,523,000 Federal National Mortgage
Association
7.000% 06/01/03............ 1,518,717
580,000 Federal National Mortgage
Association
6.270% 10/26/00............ 570,123
-------------
U.S. Treasury Bonds -- 6.2%
1,800,000 U.S. Treasury Bond
6.250% 04/30/01............ 1,782,846
-------------
U.S. Treasury Notes -- 25.6%
921,000 U.S. Treasury Note
6.500% 04/30/99............ 925,891
1,025,000 U.S. Treasury Note
7.875% 01/15/98............ 1,052,542
383,000 U.S. Treasury Note
5.375% 05/31/98............ 377,914
423,000 U.S. Treasury Note
5.750% 08/15/03............ 402,840
2,125,000 U.S. Treasury Note
7.125% 09/30/99............ 2,171,474
1,964,000 U.S. Treasury Note
6.750% 04/30/00............ 1,984,563
500,000 U.S. Treasury Note
6.125% 07/31/00............ 494,455
-------------
TOTAL U.S. GOVERNMENT AND AGENCIES
(Amortized cost $21,231,471)........... 21,047,058
-------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
29
<PAGE> 31
Portfolio of Investments
American Odyssey Funds, Inc. / Short-Term Bond Fund / June 30, 1996
(unaudited) (continued)
<TABLE>
<CAPTION>
Principal Amount Value
------------------------------------------------------
<S> <C>
FOREIGN GOVERNMENT BONDS -- 0.5%
$ 150,000 Republic of Ireland
7.875% 12/01/01............ $ 157,010
-------------
TOTAL FOREIGN GOVERNMENT BONDS
(Amortized Cost $151,143) 157,010
-------------
ASSET-BACKED SECURITIES -- 4.6%
600,000 Contimortgage Hel Trust
6.860% 07/15/10............ 598,875
750,000 Equicredit Home Equity
Trust
6.450% 11/15/08............ 747,897
-------------
TOTAL ASSET-BACKED SECURITIES
(Amortized Cost $1,347,938) 1,346,772
-------------
TOTAL INVESTMENTS -- 98.3%
(Amortized Cost $28,674,322) 28,495,534
Other Assets and Liabilities
(net) -- 1.7% 480,679
-------------
TOTAL NET ASSETS -- 100.0% $ 28,976,213
=============
</TABLE>
The accompanying notes are an integral part of the financial statements.
30
<PAGE> 32
- --------------------------------------------------------------------------------
Notes to Financial Statements
American Odyssey Funds, Inc. / June 30, 1996 (unaudited)
- --------------------------------------------------------------------------------
NOTE 1. ORGANIZATION
American Odyssey Funds, Inc., (the "Company"), was organized as a Maryland
corporation in December 1992. It is registered under the Investment Company Act
of 1940 as an open-end diversified management investment company. It consists of
six separate funds (the "Fund(s)"): International Equity Fund, Emerging
Opportunities Fund, Core Equity Fund, Long-Term Bond Fund, Intermediate-Term
Bond Fund, and Short-Term Bond Fund. Shares of the Funds are offered only to
life insurance companies and their affiliates for their separate and general
accounts, and to qualified retirement plans.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of income and expenses
during the reporting period. Actual results could differ from those estimates.
a) SECURITIES VALUATION
Securities traded on a national exchange and those traded on
over-the-counter markets are valued at the last sales price; if there was no
sale on such day, the securities are valued at the mean between the most
recently quoted bid and asked prices. Securities for which market quotations are
not readily available are valued in good faith at fair value using methods
determined by the Board of Directors. Securities which mature in 60 days or less
are valued at amortized cost, which approximates market value, unless this
method does not represent fair market value, at which time the security will be
valued at its fair value as determined in good faith by the Board of Directors.
Futures contracts and options are valued based upon their quoted daily
settlement prices.
b) OFF BALANCE SHEET RISK
The Funds may utilize futures contracts, options, and forward foreign
currency contracts for hedging purposes. The primary risks associated with the
use of these financial instruments for hedging purposes are (a) an imperfect
correlation between the change in market value of the other securities held by
the Funds and the change in market value of these financial instruments, and (b)
the possibility of an illiquid market. As a result, the use of these financial
instruments may involve, to a varying degree, elements of market risk in excess
of the amount recognized in the Statement of Assets and Liabilities.
c) FUTURES CONTRACTS
Initial margin deposits made upon entering into futures contracts are
recognized as assets due from the broker. During the period the futures contract
is open, changes in the value of the contract are recognized as unrealized gains
or losses by "marking to market" on a daily basis to reflect the value of the
contract at the end of each day's trading. Variation margin payments are made or
received and recognized as assets due from or liabilities to the broker
depending upon whether unrealized gains or losses are incurred. When the
contract is closed, the Fund records a realized gain or loss equal to the
difference between the proceeds from (or
31
<PAGE> 33
cost of) the closing transaction and its basis in the contract.
d) OPTIONS
The premium paid by the Fund for the purchase of a call or put option is
included in the Fund's Statement of Assets and Liabilities as an investment and
subsequently "marked to market" to reflect the current market value of the
option purchased. The current market value of a purchased option is the last
reported sale price on the principal exchange on which such option is traded. If
an option which the Fund has purchased expires on its stipulated expiration
date, the Fund realizes a loss in the amount of the cost of the option. If the
Fund enters into a closing transaction, it realizes a gain or loss, depending on
whether the proceeds from the sale are greater or less than the cost of the
option. If the Fund exercises a put option, it realizes a gain or loss from the
sale of the underlying security and the proceeds from such sale will be
decreased by the premium originally paid. If the Fund exercises a call option,
the cost of the security which the Fund purchases upon exercise will be
increased by the premium originally paid.
The premium received for a written option is recorded as an asset with an
equivalent liability. The liability is marked-to-market based on the option's
quoted daily settlement price. When an option expires or the Fund enters into a
closing purchase transaction, the Fund realizes a gain (or loss if the cost of
the closing purchase transaction exceeds the premium received when the option
was sold) without regard to any unrealized gain or loss on the underlying
security and the liability related to such option is eliminated. When a written
call option is exercised, the Fund realizes a gain or loss from the sale of the
underlying security and the proceeds from such sale are increased by the premium
originally received. If a written put option is exercised, the amount of the
premium originally received will reduce the cost of the security which the Fund
purchased.
e) FORWARD FOREIGN CURRENCY CONTRACTS
The International Equity Fund may enter into forward foreign currency
contracts to hedge future movements in certain foreign currency exchange rates.
A forward currency contract is a commitment to purchase or sell a foreign
currency at a future date at a set price. The forward currency contracts are
valued at the forward rate and are marked-to-market daily. The change in market
value is recorded by the Fund as a unrealized gain or loss. 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. Risks arise from the possible inability of counterparties to meet
the terms of their contracts and from movements in currency values and interest
rates.
f) REPURCHASE AGREEMENTS
The Funds may enter into repurchase agreements (on an individual Fund basis
or in conjunction with the other Funds) with the seller wherein the seller and
the buyer agree at the time of sale to a repurchase of the security at a
mutually agreed upon time and price. The Funds will not enter into repurchase
agreements unless the agreement is fully collateralized. Securities purchased
subject to the repurchase agreement are deposited with a custodian and, pursuant
to the terms of the repurchase agreement, must have an aggregate market value at
least equal to the repurchase price plus accrued interest. If the value of the
underlying securities falls below the value of the repurchase price plus accrued
interest, the seller is required to deposit additional collateral by the next
business day. If the request for additional collateral is not met, or the seller
defaults on its repurchase obliga-
32
<PAGE> 34
tion, the Funds maintain the right to sell the underlying securities at market
value and may claim any resulting loss against the seller. Repurchase agreements
could involve certain risks in the event of default or insolvency of the other
party, including possible delays or restrictions upon the Fund's ability to
dispose of the underlying securities.
g) CURRENCY TRANSLATION
Assets and liabilities denominated in foreign currencies are translated
into U.S. dollars at the rate of exchange at the end of the period. Purchases
and sales of securities are translated at the rates of exchange prevailing when
such securities were acquired or sold. Income is translated at rates of exchange
prevailing when accrued.
The Fund does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from the
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain or loss from
investments.
Reported net realized foreign exchange gains or losses arise from sales and
maturities of short-term securities, sales of foreign currencies, currency gains
or losses realized between the trade and settlement dates on securities
transactions, the difference between the amounts of dividends, interest, and
foreign withholding taxes recorded on the Fund's books, and the U.S. dollar
equivalent of the amounts actually received or paid. Net unrealized foreign
exchange gains and losses arise from changes in the value of assets and
liabilities other than investments in securities at fiscal year end, resulting
from changes in the exchange rate.
h) ORGANIZATION EXPENSES
Organization expenses totaling $147,450 have been deferred and are being
amortized on a straight-line basis through May 1998. If any of the initial
shares of the Company are redeemed by any shareholder during the period of
amortization of organization expenses, the redemption proceeds will be reduced
by the pro rata amount of unamortized organization expenses based on the number
of initial shares being redeemed to the number of initial shares outstanding at
the time of redemption.
i) TAXES
It is the Company's policy to comply with the provisions of the Internal
Revenue Code applicable to a regulated investment company. Under such
provisions, the Company will not be subject to federal income tax as the Company
intends to distribute as dividends substantially all of the net investment
income, if any, of each Fund. The Company also intends to distribute annually
all of its net realized capital gains. Such dividends and distributions are
automatically reinvested in additional shares of the Funds.
j) SECURITIES TRANSACTIONS
Securities transactions are accounted for on the date the securities are
purchased or sold. Realized gains and losses are determined on the identified
cost basis. Dividend income is recorded on the ex-dividend date. Interest income
is accrued daily as earned.
NOTE 3. MANAGEMENT, TRANSFER AGENCY AND SUBADVISORY AGREEMENTS AND
TRANSACTIONS WITH AFFILIATES
The Company has entered into a management agreement with American Odyssey
Funds Management, Inc. (AOFM), pursuant to which AOFM manages the investment
operations of the Company and administers the Company's affairs. AOFM has
entered into subadvisory agreements for investment advisory services in
connection with the management of each of the
33
<PAGE> 35
Funds. AOFM supervises the subadvisers' performance of advisory services and
will make recommendations to the Company's Board of Directors with respect to
the retention or renewal of the subadvisory agreements. AOFM pays for the costs
pursuant to the subadvisory agreements, the cost of compensating officers of the
Company, occupancy, and certain clerical and accounting costs of the Company.
The Company bears all other costs and expenses.
Under the terms of the management agreement, the Funds pay AOFM a
management fee based on average daily net assets as follows: International
Equity Fund, .70% for the first $50 million in assets, .65% for the next $50
million in assets, and .55% for the assets over $100 million; Emerging
Opportunities Fund, .65% for the first $100 million in assets and .55% for the
assets over $100 million; Core Equity Fund, .60% for the first $100 million in
assets and .55% for the assets over $100 million; Long-Term Bond Fund, .50% and
.70% for the first $250 million in U.S. and non-U.S. assets, respectively, and
.40% and .60% for U.S. and non-U.S. assets, respectively, over $250 million;
Intermediate-Term Bond Fund, .50% for the first $100 million in assets, .45% for
the next $100 million in assets, and .40% for assets over $200 million;
Short-Term Bond Fund, .50% for the first $100 million in assets and .40% for
assets over $100 million.
AOFM has agreed to limit the expenses for each Fund and reimburse expenses
to the extent that each Fund's aggregate expenses (excluding interest, taxes,
brokerage commissions and extraordinary expenses) exceeds the expense limitation
for that Fund. The expense limitations for the Funds, as a percentage of the
average daily net assets, are as follows: International Equity Fund, 1.25%;
Emerging Opportunities Fund, 1.00%; Core Equity Fund, 1.00%; Long-Term Bond
Fund, .75%; Intermediate-Term Bond Fund, .75%; and Short-Term Bond Fund, .75%.
Each Fund is required to reimburse AOFM for any fees it waived or expenses it
reimbursed pursuant to these expense limitations, provided that such
reimbursement would not cause the total expense ratio to exceed the expense
limitations set forth above. AOFM's management fees for 1995 were $3,073,603. An
additional $158,170 was paid to AOFM for reimbursement of previous fees waived
and expenses reimbursed. AOFM's management fees for the six months ended June
30, 1996 were $2,110,694. An additional $6,199 was paid to AOFM for
reimbursement of previous fees waived and expenses reimbursed. As of December
31, 1995, the International Equity Fund, Emerging Opportunities Fund, Core
Equity Fund, Long-Term Bond Fund and Intermediate-Term Bond Fund had reimbursed
AOFM for all fees it waived and expenses it reimbursed. The Short-Term Bond Fund
is currently reimbursing AOFM and has a potential future liability to reimburse
AOFM amounting to $57,891, at June 30, 1996. AOFM has acknowledged that upon
termination of the Investment Management Agreement between AOFM and the Funds,
the portfolio's would not be liable for any waived or reimbursed fees which have
not been repaid.
The Company has entered into a transfer agency agreement with AOFM pursuant
to which AOFM is responsible for shareholders' record keeping and
communications. AOFM does not currently charge any additional fees for these
services.
Under the subadvisory agreements, AOFM pays each subadviser a fee that is
computed daily and paid monthly at the annual rates based on the value of the
Fund's average daily net assets as follows: International Equity Fund, .45% for
the first $50 million in assets, .40% for the next $50 million in assets, and
.30% for assets over $100 million; Emerging Opportunities Fund, .40% for the
first $100 million in assets and .30% for assets over $100 million;
34
<PAGE> 36
Core Equity Fund, .35% for the first $100 million in assets and .30% for assets
over $100 million; Long-Term Bond Fund, .25% and .45% for the first $250 million
in U.S. and non-U.S. assets, respectively, and .15% and .35% for U.S. and
non-U.S. assets, respectively, over $250 million: Intermediate-Term Bond Fund,
.25% for the first $100 million in assets, .20% for the next $100 million in
assets, and .15% for assets over $200 million; and Short-Term Bond Fund, .25%
for the first $100 million in assets and .15% for assets over $100 million.
Travelers Asset Management International Corporation, an affiliate of AOFM,
serves as subadviser for the Intermediate-Term Bond Fund.
NOTE 4. DIRECTED BROKERAGE
ARRANGEMENTS
The International Equity Fund and Core Equity Fund have entered into
brokerage service arrangements with certain broker-dealers. The broker-dealers
have agreed to pay certain Fund expenses in exchange for the Fund directing a
portion of the fund brokerage to these broker-dealers. In no event would the
Fund pay additional brokerage or receive inferior execution of transactions for
fund brokerage so allocated.
Under these arrangements for the six months ended June 30, 1996,
broker-dealers paid custodian expenses for the International Equity Fund and the
Core Equity Fund of $15,827 and $15,548, respectfully.
NOTE 5. SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales of investment securities
(excluding short-term investments and repurchase agreements), for the six months
ended June 30, 1996 were:
<TABLE>
<CAPTION>
Emerging Intermediate-
International Opportunities Core Equity Long-Term Term Short-Term
Equity Fund Fund Fund Bond Fund Bond Fund Bond Fund
-------------- -------------- ------------ ------------ -------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Purchases:
Government............. $ -- $ -- $ -- $153,191,947 $ 30,064,330 $15,666,698
Non-Government......... 39,841,743 67,954,689 74,335,921 11,492,660 55,260,016 3,217,980
-------------- -------------- ------------ ------------ -------------- -----------
Total.................. $ 39,841,743 $ 67,954,689 $ 74,335,921 $164,684,607 $ 85,324,346 $18,884,678
=========== ============ =========== ============ ============ ===========
Sales:
Government............. $ -- $ -- $ -- $137,634,017 $ 29,701,325 $14,520,769
Non-Government......... 18,523,796 31,084,381 45,156,536 3,948,765 42,870,072 731,446
-------------- -------------- ------------ ------------ -------------- -----------
Total.................. $ 18,523,796 $ 31,084,381 $ 45,156,536 $141,582,782 $ 72,571,397 $15,252,215
=========== ============ =========== ============ ============ ===========
</TABLE>
At June 30, 1996, the cost of securities for federal income tax purposes
and the unrealized appreciation (depreciation) of investments for federal income
tax purposes for each Fund was as follows:
<TABLE>
<CAPTION>
Emerging Intermediate-
International Opportunities Core Equity Long-Term Term Short-Term
Equity Fund Fund Fund Bond Fund Bond Fund Bond Fund
-------------- -------------- ------------ ------------ -------------- -----------
<S> <C> <C> <C> <C> <C> <C>
Federal Income Tax
Cost................... $ 103,406,510 $ 168,210,705 $189,547,561 $136,078,216 $ 90,341,415 $28,674,322
Gross Unrealized
Appreciation........... 16,173,117 44,851,121 45,407,098 446,895 179,659 121,469
Gross Unrealized
(Depreciation)......... (2,153,000) (11,329,335) (854,503) (4,833,904) (1,546,438) (300,257)
</TABLE>
35
<PAGE> 37
NOTE 6. FUTURES CONTRACTS
At June 30, 1996, the Long-Term Bond Fund had entered into the following
futures contracts:
<TABLE>
<CAPTION>
Unrealized
Number Underlying Expiration Nominal Nominal Appreciation/
of Contracts Face Value Security Date Cost Value (Depreciation)
--------------- ---------- ------------------------------------ ---------- ----------- ----------- --------------
<C> <C> <S> <C> <C> <C> <C>
Long Position
------------
325 400,000 5 Year U.S. Treasury Note 09/03/96 $34,031,189 $34,368,750 $337,561
Short Position
-------------
6 100,000 U.S. Long Term Treasury Bonds 09/03/96 673,733 657,188 (16,545)
----------- ----------- --------------
Total $34,704,922 $35,025,938 $321,016
=========== =========== ============
</TABLE>
NOTE 7. WRITTEN OPTIONS
The Long Term Bond Fund's activity in written options during the six months
ended June 30, 1996 was as follows:
<TABLE>
<CAPTION>
Number of
Options Premiums
--------- ---------
<S> <C> <C>
Options Outstanding at December 31, 1995................................................... 100 $ 206,422
Options Written........................................................................ 587 312,268
Options Cancelled in Closing Transactions.............................................. (434) (366,124)
Options Exercised...................................................................... (75) (38,823)
--------- ---------
Options Outstanding at June 30, 1996....................................................... 178 $ 113,743
========= ========
</TABLE>
NOTE 8. FORWARD FOREIGN CURRENCY CONTRACTS
The International Equity Fund had forward foreign currency contracts which
contractually obligates the Fund to deliver or receive currencies at specified
future dates. The following contracts were open at June 30, 1996:
<TABLE>
<CAPTION>
Foreign Unrealized
Contract Settlement Appreciation/
Purchases Value Date Value Depreciation
- ----------------------------------------------------------- --------------- ----------- ----------- --------------
<S> <C> <C> <C> <C>
Japanese Yen............................................... $ 170,133 07/01/96 $ 169,308 $ (824)
British Pound.............................................. 1,478,509 07/01/96 1,486,141 7,632
Netherlands Guilder........................................ 11,395,362 07/01/96 11,429,341 33,979
Philippine Peso............................................ 100,494 07/01/96 100,228 (265)
----------- --------------
Total Purchases........................................ $13,185,018 $ 40,522
=========== ============
<CAPTION>
Sales
- -----------------------------------------------------------
<S> <C> <C> <C> <C>
Swiss Franc................................................ $ 5,340,560 08/19/96 $ 5,360,000 $ (19,440)
Netherlands Guilder........................................ 11,308,506 07/01/96 11,429,341 (120,835)
11,566,491 09/16/96 11,579,979 (13,488)
German Deutsche Mark....................................... 3,646,608 08/27/96 3,666,184 (19,576)
----------- --------------
Total Sales............................................ $32,035,504 $ (173,339)
=========== ============
</TABLE>
36
<PAGE> 38
[AMERICAN ODYSSEY FUNDS LOGO]
American Odyssey Funds Management, Inc.
Two Tower Center
East Brunswick, NJ 08816
1-800-242-7884
AMERICAN ODYSSEY and the Sailing Ship Logo are
registered trademarks of American Odyssey Funds Management, Inc.
(c) Copyright 1996 American Odyssey Funds Management, Inc.
