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[LOGO OF AMERICAN ODYSSEY(R) FUNDS APPEARS HERE]
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
Semi-Annual
Report
June 30, 1997
<PAGE>
June 30, 1997
Dear American Odyssey Fund Participants:
I am pleased to present you with the American Odyssey Funds Semi-Annual
Report. This report marks the fourth anniversary of the establishment of the
American Odyssey Funds and we take great pride in what the Funds have achieved.
The Funds, representing six diverse asset classes, now have over $1 billion in
assets from the retirement savings of over 70,000 participants. We believe that
this success can be attributed to care taken in selecting and supervising our
subadvisers and the active role American Odyssey Funds Management, Inc. takes to
see that each fund's investment objective is being met.
One of the more significant highlights in the first half of 1997 was the
addition of Cowen Asset Management as a second subadviser to the Emerging
Opportunities Fund. Cowen was added to supplement the efforts of Wilke Thompson
Capital Management and increase the asset capacity of the fund. Cowen's
investment style should prove highly complementary to Wilke Thompson and add to
the performance of the fund in the future. In addition to the activity in the
Emerging Opportunities Fund, the first half of 1997 has brought performance from
the Intermediate Term Bond Fund that has exceeded its benchmark for the first
half of the year. Additionally, the Core Equity and International Equity Funds
continue to build solid long-term track records with both funds ranked in the
top quartile of their respective Morningstar peer groups for one and three year
periods ending June 30, 1997.
You will find complete performance information, including an investment
summary from each portfolio manager and financial highlights for the six months
ending June 30, 1997, in the report that follows. We hope that you find the data
helpful in understanding how your retirement savings are being managed.
Thank you once again for your continued participation in the American
Odyssey Funds. We look forward to continuing to serve your investment needs.
Very truly yours,
ROBERT C. DUGHI
Chairman of the Board and President
American Odyssey Funds Management, Inc.
<PAGE>
AMERICAN ODYSSEY INTERNATIONAL EQUITY FUND
The American Odyssey International Equity Fund returned 8.95% for the six
months ended June 30, 1997. The MSCI EAFE Index returned 11.36% for the same
period.
During the early part of the year no individual theme made a significant
contribution--either positive or negative--to overall performance although there
were a number of good individual stock performances which helped the portfolio,
particularly in the Healthcare Needs and Positive Banking Environment themes. In
Healthcare, Roche, Zeneca, Glaxo-Wellcome and Novartis did well during the first
quarter and continued to improve during the second quarter.
In April of 1997, Novartis purchased Merck's agribusiness division and in
May it released its first-quarter sales figures which revealed an increase of
8%, considerably ahead of expectations. This was seen as evidence that the
benefits of the merger were having a quicker-than-expected impact on the
company's performance. The market received this news very well and Novartis'
share price rose by 29% over the second quarter. Both Zeneca and Glaxo-Wellcome
continued to prosper, also based on optimism for prospective sales growth from
new drugs.
Positive Banking Environment stocks Lloyds TSB, ABN-Amro and National
Australia Bank reported profit increases ranging from 14% to 52% during the
first quarter. This strong performance continued into the second three months of
1997, with Banco de Santander posting good first quarter results and HSBC
Holdings gaining 29% over the quarter assisted by the strong performance of the
Hong Kong market in general.
Themes directed at the developing markets in the Far East have
disappointed throughout 1997. Increased consumer spending in the Pacific Basin
and infrastructural development have had a negative impact on the Fund. This has
taken place for a variety of reasons ranging from poor company results--as was
the case with HM Sampoerna which announced poor sales forecasts--to the knock-on
effect of financial crises which caused poor performance by Bangkok Bank.
The hedging program in place again added value over the period. At the end
of June hedges were in place against the British Pound, the Deutchemark, the
Swiss Franc and the Dutch Guilder. Approximately 15% of the portfolio was hedged
at June 30, 1997.
With the notable exception of the developing markets in the Pacific Basin,
equity markets worldwide have thus far done well during 1997. The ongoing U.S.
bull market continues to boost international markets, and with American
inflation apparently under control and no sign of imminent interest-rate
increases, European stock markets have been hitting all-time-highs over the last
six months.
In the U.K. strong corporate earnings, particularly from the
financial-services sector, and the expectation of even more corporate
restructuring by major companies have been underpinning valuations. The initial
actions of the country's new Labour government have been a source of
encouragement to the market, although the administration's first budget will be
analyzed very closely.
2
<PAGE>
The weakness of the Deutschemark stimulated a recovery in Germany's
export-oriented manufacturing sector in the early part of the year, and during
the second quarter, foreign orders have increased at a steady pace. The domestic
economy remains in the doldrums, however, and unemployment remains at, or close
to, record levels.
Far Eastern markets performed poorly during the first three months due to
fears about the upward direction of U.S. interest rates and continued net
outflows by foreign investors. During the second quarter in Malaysia, concern
about strong consumer spending, a rising level of imports, high labor costs and
a possible oversupply of property all contributed to drive the market downwards.
The ongoing financial crisis in Thailand resulted in 25% decline in the market
over the most recent three months.
The Japanese market, on the other hand, gained 22% during the second
quarter. Despite continued speculation that interest rates are set to rise,
coupled with a mixed picture on the domestic economy's future growth prospects,
foreigners continue to increase their investments in Japan.
Our outlook for the remainder of the year remains the same. The
low-growth, low-inflationary environment which obtains globally will continue to
provide a favorable backdrop for equity investments. Nevertheless, the upward
movement of most markets has driven up valuations relative to earnings growth
and this fact remains uppermost in our minds.
The July budget in the U.K. will be a key determining factor on how that
market fares for the remainder of the year. To date analysts have been
pleasantly surprised by the policies of the Labour government but all that could
quickly change. The ongoing uncertainty regarding European Monetary Union will
affect the performance of European markets over the coming months as bond yields
are likely to move based on the prevailing consensus as to which countries are
likely to be founding members of the new single currency.
We will continue to have a very selective approach to investments in the
Far East although we feel that the bear market in the region, which commenced in
1993, is closer to the end than the beginning. We remain convinced that the
Japanese market is overvalued, though we continue to monitor companies there in
search of worthwhile investment opportunities. We do not believe any significant
change has taken place in the underlying fundamentals of the portfolio and
accordingly our strategy remains unaltered.
Bank of Ireland Asset Management (U.S.) Limited
Investment Subadviser to the American Odyssey International Equity Fund
3
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AMERICAN ODYSSEY EMERGING OPPORTUNITIES FUND
The American Odyssey Emerging Opportunities Fund returned 0.82% for the
six months ended June 30, 1997. The Russell 2500 Index returned 11.25% for the
same period.
The following commentary has been provided by Wilke/Thompson Capital
Management, Inc., co-investment subadviser to the American Odyssey Emerging
Opportunities Fund. Wilke/Thompson managed 62.9% of the Fund's portfolio as of
June 30, 1997.
The year began exactly how 1996 left off -- a few larger cap names
captured investors' capital and the smaller cap companies were virtually
ignored. Investors were attracted to these names as they possessed liquidity and
perceived safety. Macro-economic factors including a strong global economy, low
levels of inflation and declining interest rates also fueled the run-up in the
larger cap names while causing the smaller cap issues to lag. It was very
encouraging to see a "broadening-out" of the market in the month of May where
more than just a select group of stocks performed well. In the latter part of
1996 and the beginning of 1997, the market's upward move was driven by only a
handful of large cap names. Other, non-large cap issues were ignored by
investors who were searching primarily for liquidity regardless of the stock's
price or valuation. Valuation parameters are once again becoming the focus of
investors and some of the neglected, smaller stocks are getting noticed. The
psyche of the market still remains volatile as minor economic concerns often
sway the market significantly. The portfolio remains fundamentally sound with
companies that are growing their sales and earnings at above average rates.
Looking ahead to the rest of 1997, several macro-economic variables
suggest that the overall market will remain strong and that smaller company
stocks, in particular, will fare better relative to the first half of the year.
The economy continues to grow at a healthy pace with little evidence of
inflationary pressure. Future interest rate hikes are not necessarily imminent
and appear to be modest at best. An encouraging sign from the portfolio's
perspective is that investors are beginning to invest in some of the high
quality, fast growing companies in which we invest that have not had the
significant price appreciation that some of the larger companies have enjoyed.
Although we will probably see a continuation of the "flight to liquidity", the
market is showing signs of broader participation as opposed to the past 12
months where only a handful of large companies received investors' capital.
The following commentary has been provided by Cowen Asset Management,
co-investment subadviser to the American Odyssey Emerging Opportunities Fund
since May 1, 1997. Cowen managed 37.1% of the Fund's portfolio as of June 30,
1997.
The portfolio continues to be weighted about 30% in energy stocks
comprising about 15% in small domestic exploration and production companies, and
15% in service and drillers. Health care represents approximately 17% of the
portfolio. ICN Pharmaceuticals and KOS Pharmaceuticals have both performed well.
Generic pharmaceuticals, including Mylan Labs and Alpharma, as well as companies
focusing on women's healthcare needs, such as Neopath, offer good potential.
4
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There have been 350 new public technology companies in the last three
years compared to 200 in the decade of the 1980's. This plethora of freshly
minted tech companies met with slowing orders as technology purchasing managers
were more focused on coding problems raised by the year 2000. Also, there has
been a slowdown in telecommunication orders resulting from legislative and
industry consolidation issues. However, our analytical process is beginning to
find attractive opportunities in technology and telecommunications. Finally,
special situation stock specific ideas like Williams Sonoma, Lojack, and Wet
Seal performed well in the period and the portfolio abounds with many similar
stock specific companies for which we have great enthusiasm.
During the last few quarters the S&P 500 Index has been the best
performing index as profit growth of the major companies has been better than
that of smaller companies. Large corporate downsizing, outsourcing, and
write-offs from previously bloated conditions, as well as stock buybacks, helped
these companies produce profits at an even better rate than would be expected
from analyzing revenue growth only. However, the market is now placing a premium
on these earnings growth rates which include "transitional earnings kickers,"
such that the price/earnings multiple on the S&P 500 Index is now over 20X, a
rate that is at an historically high level. At the same time, small cap stocks
have lagged behind creating a huge disparity in performance, valuation, and in
our opinion - opportunity.
Analysis shows that many large cap managers are sector or industry
rotators. However, profit growth of the large, sector independent companies,
drove these stocks so fast that industry rotators could not keep up. In fact,
over 90% of large cap managers underperformed the S&P 500 this quarter. As a
result, many of these funds have become "closet" indexers in order to stay close
to their index performance. This increasing swell of money to these stocks
compounded the public's flow toward indexing, lifting valuations to lofty levels
compared to growth rates, book value, and yields. Counterintuitively, short
sellers have also added to momentum by needing to cover (buyback) their
positions at even higher levels after momentum investors have taken stocks up.
At the same time momentum investors and sector rotators have avoided small caps
because of liquidity, leading to extraordinary value in the small cap sector.
We believe this momentum-driven, large cap cycle is reaching its peak.
Analysis shows that many of the top weighted stocks in the S&P 500 will show
slowing rates of earnings growth in coming quarters as the effects of downsizing
and outsourcing are behind them. This slowing of profit growth combined with
high valuation should point investors toward the sector of the market that we
believe to be most undervalued: "mainstream small cap".
Valuations in the small cap sector are at 1990 levels, and the majority of
stocks in our portfolio are even more attractively priced. This coupled with a
prospective capital gains tax cut, that in the past has been positive for small
caps, makes us optimistic that small caps will soon begin to outperform.
Russell 2500 is a registered trademark of Frank Russell Company
5
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AMERICAN ODYSSEY CORE EQUITY FUND
The American Odyssey Core Equity Fund returned 16.66% for the six months
ended June 30, 1997. The S&P 500 Index returned 20.61% for the same period.
A less-than-market exposure in the more traditional growth sectors of
consumer and technology detracted from the Fund's performance relative to the
S&P 500. This shortfall was partly offset by higher relative weightings,
combined with good stock selections, in the financial sector. Individual stocks
that had a particularly large positive impact on overall portfolio results
year-to-date included Bristol Myers Squibb, Schering Plough, General Electric,
BankAmerica and HF Ahmanson.
After a mixed performance by the financial markets during the first
quarter of 1997 stocks came roaring back with very strong returns in the second
quarter. There are a number of factors that contributed to this result. When the
Federal Reserve raised interest rates late in the first quarter, investors
initially anticipated that the increase was the first of several to come.
However, as the second quarter progressed, more evidence indicated that the
economy was, in fact, slowing to a moderate pace of growth. Simultaneously,
inflation levels remained in check and interest rates traded within a modest
band. This good news afforded investors greater confidence in the stability of
the current environment leading to the surge in returns.
The favorable news on the economic front also has led many to believe that
the Fed's first quarter move had the desired impact, thus lowering the necessity
of another rate increase. With the growing expectation of stable interest rates
investors have been increasingly willing to add additional funds to domestic
equities. This, no doubt, has further buoyed stock prices; however, the gains
have been quite narrow and confined largely to a small group of very large
stocks primarily in the growth sectors.
Over the past six months stocks in the technology, medical, and financial
sectors were the most robust. Technology companies continued to exhibit rising
earnings as order flows from both businesses and consumers remained strong.
Medical stocks showed steady earnings improvement, but also benefited from
investors' desire for stocks with more predictable profit and growth patterns.
The financial sector was a significant beneficiary of the economic environment,
particularly stable interest rates, but also was bolstered by the favorable
trends in deregulation and industry consolidation.
Our investment strategy continues to emphasize an overweighting in
financial stocks. We believe this sector is benefiting from a secular uptrend
that is heavily influenced by the aging population. The remainder of the
portfolio is broadly diversified across other sectors and stresses high cash
flow, plus low price-to-earnings and price-to-book. Our strategy remains to seek
out individual stocks where the market has underestimated the upside potential,
and to sell holdings that have reached our expectation of full valuation or have
violated the original investment thesis.
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.
6
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AMERICAN ODYSSEY LONG-TERM BOND FUND
The American Odyssey Long-Term Bond Fund returned 3.05% for the six months
ended June 30, 1997. The Salomon Core +5 Index returned 3.17% for the same
period.
The portfolio's long duration posture throughout the period proved to be a
drag on performance, since interest rates ended the period somewhat higher.
Yield curve exposure helped to offset the negative impact of higher rates; the
portfolio's barbell exposure to maturities benefited from a flattening of the
yield curve in the first half of the period, and this was followed by a bulleted
exposure to maturities in the second half which benefited from a modest
steepening of the yield curve.
For the past three years, a growth paradigm has best described the bond
market's roller coaster ride, with interest rates rising as the economy gains
strength, and falling on signs of weakness. Underlying the ups and downs is a
feedback effect: a stronger economy causes interest rates to rise, then higher
rates dampen demand and cause the economy to soften; a softer economy leads
rates back down, and lower rates then stimulate demand and cause the economy to
strengthen, etc. Apparently, since the ups and downs have become more muted of
late, the market has come to understand this.
Currently, we are seeing the most benign inflation the economy has had
since the mid-1950s and mid-1960s, when bond yields were 4% and mortgages were
5%. Not only is measured inflation falling, but lots of prices are actually
falling. Moreover, since the dollar is up 10% against most major currencies over
the past year, the price of everything outside our borders has dropped 10%.
Finally, key money supply measures have registered a substantial slowdown from
the first quarter, rounding out a picture of generally tight monetary
conditions.
Against this super-disinflationary (and almost deflationary) backdrop, the
Fed tightened monetary policy earlier this year, and the bond market has
effectively tightened things even more. With inflation collapsing and interest
rates unchanged to higher on the year, real interest rates have risen
significantly. High real interest rates should help keep the economy from
"overheating," and create a bias toward lower, rather than higher, inflation.
This view of the world leads to the conclusion that interest rates are
still attractive relative to inflation, but it does not suggest an obvious
direction for the shape of the yield curve. Stronger-than-expected growth would
almost certainly result in a flatter curve, but high real rates mitigate against
that. Weaker-than-expected growth would lead to a much steeper yield curve, but
the salutary effects of lower interest rates mitigate against that. Consequently
we are in the process of shifting to a more neutral posture, with a bias toward
returning to a bulleted exposure given the steepness in the long end of the
yield curve.
Western Asset Management Company
Investment Subadviser to the American Odyssey Long-Term Bond Fund
7
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AMERICAN ODYSSEY INTERMEDIATE-TERM BOND FUND
The American Odyssey Intermediate-Term Bond Fund returned 3.04% for the
six months ended June 30, 1997. The Lehman Government/Corporate Intermediate
Bond Index returned 2.83% for the same period.
Strong early year economic growth caused rates to rise to near the peak
levels seen last summer. Economic growth has been led by strong job creation and
strong retail sales. In response, the Federal Reserve Board raised the Federal
Funds target rate 25 basis points to 5.50%, the first increase since January
1995. Inflation has remained well contained with oil prices falling, the dollar
very strong, and most commodity prices showing little change. Average hourly
earning increases have notched up to a 4% annual growth rate but the better
measure of wage inflation, the employment cost index, has not risen much despite
continued low levels of unemployment.
Clearly the Fed felt they could wait no longer at their March 25th
meeting. While there is still debate about how low unemployment can go before
upward wage pressures begin, the Federal Reserve felt it was prudent, given the
strength in the consumer sector, to act preemptively against inflation.
The second quarter began with weak financial markets. They bottomed in
April and roared in May and June as investor fears of further Federal Reserve
tightening subsided with a much lower than expected employment cost index
increase, three consecutive months of negative retail sales growth, and five
consecutive months of negative producer price inflation reports. Investors seem
to have a growing conviction that we are in a new era where inflation can stay
low despite low levels of unemployment last seen in 1973. In addition to less
inflation, the drop in the size of the Federal government's budget deficit has
been a major surprise. This has led to a sharp drop in Treasury bill rates. The
surprise was generated by higher than expected tax receipts due to stock market
capital gains, option exercises, and strong corporate profits.
Second quarter GDP growth has slowed to 2-3% from a 5.9% pace in the first
quarter. Factors such as warm weather and the timing of refunds vs. tax payments
were responsible for the fast pace of first quarter growth, stealing from growth
in the second quarter. Going forward, the bullish case for bonds is because of
technological improvements and global competition, low levels of unemployment
won't lead to product inflation. The bearish case is that economic growth above
3% is likely to lead to expectations of further Federal Reserve tightening. The
second opinion expresses our bias.
Travelers Asset Management International Corporation
Investment Subadviser to the American Odyssey Intermediate-Term Bond Fund
8
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AMERICAN ODYSSEY SHORT-TERM BOND FUND
The American Odyssey Short-Term Bond Fund returned 2.34% for the six
months ended June 30, 1997. The Lehman Government/Corporate 1-5 Year Bond Index
returned 2.86% for the same period.
During the first half of 1997, interest rates rose a slight 20 basis
points across the yield curve. Since interest rate movements caused little price
change in bond investments, most bond fund returns approximated the yield to
maturity of the underlying investments held.
Despite the modest range in interest rates this year, there was a fair
amount of volatility in interest rate movement. In the first quarter of 1997
interest rates rose by 50 basis points in response to increasing signs of above
trend economic growth and a tightening of monetary policy on the part of the
Federal Reserve. Real GDP registered a 5.9% annualized rate of growth during the
first quarter, far exceeding market forecasts. In sharp contrast to the first
quarter, the second quarter witnessed a deceleration in economic growth to the
point where most market participants sharply revised their Real GDP estimates
downward to 2%. In response to reduced growth estimates and continued benign
inflation news, interest rates retraced a large portion of the first quarter's
increase and consequently fell by roughly 35 basis points across the yield
curve.
Underlying the seemingly stop and go pattern of economic growth this year,
the economy remains fundamentally sound. Consumer fundamentals remain very
healthy, consumer confidence is now at a record high, the outlook for foreign
economies has brightened and the equity market is discounting solid economic
fundamentals over the intermediate term. Since the Federal Reserve increased the
Fed Funds rate in March of this year, they have shown a remarkable degree of
patience based largely on their belief that productivity growth is effectively
allowing the economy to grow at a faster pace than normal without causing
inflation to increase.
Going forward, we anticipate a resumption in the above trend of economic
growth to lead to further pressures on the Federal Reserve to raise the Fed
Funds rate again. However, interest rate increases will likely be limited by the
continued strong inflow of foreign capital to the U.S. bond market and an
absence of inflation psychology among investors. Thus, we continue to recommend
a portfolio strategy that calls for an overweighted position in non-treasury
investments such as mortgage-backed securities, high quality corporate bonds,
FNMA bonds and asset-backed securities.
Smith Graham & Company Asset Managers, L.P.
Investment Subadviser to the American Odyssey Short-Term Bond Fund
9
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- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
American Odyssey Funds, Inc. / June 30, 1997 (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 ..... $ 171,498,435 $ 179,879,926 $ 253,620,699 $180,146,163 $ 96,891,697 $52,862,902
===================================================================================================================================
Investments in securities, at value
(see accompanying Portfolio of
Investments) (Note 2) ................ $ 213,019,950 $ 204,079,019 $ 353,012,561 $180,144,033 $ 96,982,856 $52,976,856
Cash ................................... 11,330,860 12,897,580 4,988,222 6,069,845 75,778 713,478
Cash, denominated in foreign currency
(cost, $3,238,426) ................... 3,226,123 -- -- -- -- --
Receivables for:
Capital stock subscriptions ......... 15,324 12,556 54,504 2,311 445 410
Investment securities sold .......... -- 4,137,087 1,057,712 210,688 -- --
Unrealized appreciation on forward
foreign currency contracts
(Note 8)........................... 538,262 -- -- -- -- --
Interest ............................ 54,235 77,612 22,455 2,332,815 1,098,886 708,520
Dividends ........................... 802,194 69,861 598,900 -- -- --
Foreign tax reclaims ................ 212,942 -- -- -- -- --
Variation margin on open futures
contracts (Note 6) ................ -- -- -- 6,188 -- --
Prepaid expense ........................ 67,748 60,813 65,876 46,528 31,297 56,251
Prepaid organization expense ........... 4,406 4,303 4,271 4,302 4,336 4,374
------------- ------------- ------------- ------------ ------------ -----------
Total assets ........................ 229,272,044 221,338,831 359,804,501 188,816,710 98,193,598 54,459,889
------------- ------------- ------------- ------------ ------------ -----------
LIABILITIES
Payables for:
Investment securities purchased ..... 3,507,904 2,592,385 1,547,487 234,148 -- --
Delayed delivery transactions
(Note 9)............................. -- -- -- 2,377,344 -- --
Capital stock redemptions ........... -- -- -- 19 13,805 20,561
Unrealized depreciation on forward
foreign currency contracts
(Note 8)........................... 213,510 -- -- -- -- --
Options written (premiums received
$67,778) (Note 7) ................. -- -- -- 30,078 -- --
Payable to Adviser ..................... 114,092 117,737 170,714 78,260 41,263 31,305
Accrued expenses ....................... 41,901 11,540 23,109 15,397 9,802 8,980
------------- ------------- ------------- ------------ ------------ -----------
Total liabilities ................... 3,877,407 2,721,662 1,741,310 2,735,246 64,870 60,846
------------- ------------- ------------- ------------ ------------ -----------
NET ASSETS ............................. $ 225,394,637 $ 218,617,169 $ 358,063,191 $186,081,464 $ 98,128,728 $54,399,043
============= ============= ============= ============ ============ ===========
Capital shares outstanding ............. 13,716,459 16,161,736 19,818,308 17,795,258 9,332,617 5,191,230
============= ============= ============= ============ ============ ===========
Net asset value per share .............. $16.43 $13.53 $18.07 $10.46 $10.51 $10.48
============= ============= ============= ============ ============ ===========
===================================================================================================================================
COMPOSITION OF NET ASSETS
Capital shares at par .................. $ 137,165 $ 161,617 $ 198,183 $ 177,953 $ 93,326 $ 51,912
Additional paid-in-capital ............. 174,164,021 199,723,847 237,273,166 180,897,643 94,668,573 53,245,750
Undistributed net investment income
(distributions in excess of net
investment income) ................... 2,558,738 (119,794) 2,395,934 5,923,248 2,987,146 1,474,872
Accumulated net realized gain (loss) on
investments, futures contracts,
option contracts and foreign currency
transactions ......................... 6,673,521 (5,347,594) 18,804,046 (952,179) 288,524 (487,445)
Net unrealized appreciation on
investments, translation of assets
and liabilities in foreign
currencies, futures contracts and
option contracts ..................... 41,861,192 24,199,093 99,391,862 34,799 91,159 113,954
------------- ------------- ------------- ------------ ------------ -----------
$ 225,394,637 $ 218,617,169 $ 358,063,191 $186,081,464 $ 98,128,728 $54,399,043
============= ============= ============= ============ ============ ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
- -------------------------------------------------------------------------------
Statements of Operations
American Odyssey Funds, Inc. / For the six months ended June 30, 1997
(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
Dividends ............................. $ 3,085,317(1)$ 155,182 $ 3,226,747 $ -- $ -- $ --
Interest .............................. 287,444 405,734 146,822 6,202,451 3,096,194 1,625,600
------------- ------------- -------------- ------------- -------------- -------------
Total income ....................... 3,372,761 560,916 3,373,569 6,202,451 3,096,194 1,625,600
------------- ------------- -------------- ------------- -------------- -------------
EXPENSES
Management fees (Note 3) .............. 622,744 577,841 902,017 436,673 234,617 130,297
Audit fees ............................ 2,482 3,071 5,071 3,516 139 --
Director's fees & expenses ............ 10,705 10,845 16,211 8,125 5,194 2,694
Custodian fees ........................ 148,718 63,093 98,777 53,071 20,472 16,554
Legal fees ............................ 4,520 4,907 5,686 3,473 2,422 729
Printing expense ...................... 15,534 15,205 19,584 12,499 7,635 5,168
Amortization of organization expense .. 2,467 2,436 2,404 2,427 2,440 2,478
Miscellaneous expense ................. 2,654 3,312 7,308 2,154 1,824 879
------------- ------------- -------------- ------------- -------------- -------------
Total expenses before reimbursement 809,824 680,710 1,057,058 521,938 274,743 158,799
------------- ------------- -------------- ------------- -------------- -------------
Reimbursement repaid to Management
Company (Note 3) ................. -- -- -- -- -- 37,416
Less:
Expenses paid under directed
brokerage arrangements (Note 4) .. (15,203) -- (31,527) -- -- --
------------- ------------- -------------- ------------- -------------- -------------
Net expenses ....................... 794,621 680,710 1,025,531 521,938 274,743 196,215
------------- ------------- -------------- ------------- -------------- -------------
Net investment income (loss) ..... 2,578,140 (119,794) 2,348,038 5,680,513 2,821,451 1,429,385
------------- ------------- -------------- ------------- -------------- -------------
REALIZED and UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on security
transactions ....................... 1,891,481 230,125 14,505,974 (1,032,694) (187,352) (383,848)
Net realized loss on futures contracts -- -- -- (829,471) -- --
Net realized gain on option contracts . -- -- -- 702,450 -- --
------------- ------------- -------------- ------------- -------------- -------------
Net realized gain (loss) on
security transactions, futures
contracts and option contracts ... 1,891,481 230,125 14,505,974 (1,159,715) (187,352) (383,848)
Net realized gain on foreign currency
transactions ....................... 3,920,026 -- -- -- -- --
Net increase in unrealized
appreciation of investments,
futures contracts and option
contracts .......................... 10,583,263 4,037,923 33,497,479 928,168 289,245 203,270
Net unrealized depreciation from
translation of assets and
liabilities in foreign currencies .. (567,187) -- -- -- -- --
------------- ------------- -------------- ------------- -------------- -------------
Net realized and unrealized gain
(loss) on investments ............ 15,827,583 4,268,048 48,003,453 (231,547) 101,893 (180,578)
------------- ------------- -------------- ------------- -------------- -------------
Net increase in net assets from
operations ......................... $ 18,405,723 $ 4,148,254 $ 50,351,491 $ 5,448,966 $ 2,923,344 $ 1,248,807
============= ============= ============== ============= ============== =============
(1) Net of withholding taxes of $394,362.
</TABLE>
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
- -------------------------------------------------------------------------------
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
1997 December 31, 1997 December 31,
unaudited 1996 unaudited 1996
------------ ------------ ------------- ------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income (loss) ................................... $ 2,578,140 $ 1,951,989 $ (119,794) $ (661,610)
Net realized gain (loss) on security transactions, futures
contracts and option contracts ............................... 1,891,481 1,855,312 230,125 9,311,902
Net realized gain (loss) on foreign currency transactions ...... 3,920,026 1,968,421 -- --
Net increase (decrease) in unrealized appreciation
(depreciation) of investments, translation of assets and
liabilities in foreign currencies, futures contracts and
option contracts ............................................. 10,016,076 22,072,465 4,037,923 (16,078,616)
------------- ------------- -------------- -------------
Net increase (decrease) in net assets resulting from
operations ................................................ 18,405,723 27,848,187 4,148,254 (7,428,324)
------------- ------------- -------------- -------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ..................................... -- (3,751,066) -- --
From net realized gains on investment transactions ............. -- (903,958) -- (14,364,919)
------------- ------------- -------------- -------------
Total distributions to shareholders ......................... -- (4,655,024) -- (14,364,919)
------------- ------------- -------------- -------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sales of shares .................................. 20,255,818 89,218,342 34,950,708 103,366,353
Distributions reinvested ....................................... 4,655,024 896,810 14,364,919 6,627,286
Cost of shares repurchased ..................................... (5,031,176) (18,313,612) (6,124,928) (74,115,064)
------------- ------------- -------------- -------------
Net increase from capital share transactions ................ 19,879,666 71,801,540 43,190,699 35,878,575
------------- ------------- -------------- -------------
Net increase in net assets ..................................... 38,285,389 94,994,703 47,338,953 14,085,332
NET ASSETS
Beginning of period ............................................ 187,109,248 92,114,545 171,278,216 157,192,884
------------- ------------- -------------- -------------
End of period .................................................. 225,394,637 187,109,248 218,617,169 171,278,216
============= ============= ============== =============
Undistributed (excess distribution) net investment income ...... $ 2,558,738 $ (19,402) $ (119,794) $ --
============= ============= ============== =============
CAPITAL SHARES
Capital shares outstanding, beginning of period ................ 12,410,280 7,264,073 12,764,369 10,462,738
Capital shares issued .......................................... 1,320,155 6,422,181 2,792,108 6,669,075
Capital shares from distributions reinvested ................... 312,627 70,283 1,087,428 443,000
Capital shares redeemed ........................................ (326,603) (1,346,257) (482,169) (4,810,444)
------------- ------------- -------------- -------------
Capital shares outstanding, end of period ...................... 13,716,459 12,410,280 16,161,736 12,764,369
============= ============= ============== =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
- -------------------------------------------------------------------------------
Statements of Changes in Net Assets
American Odyssey Funds, Inc.
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Core Equity Fund Long-Term Bond Fund
------------------------------ -----------------------------
Period ended Period ended
June 30, Year ended June 30, Year ended
1997 December 31, 1997 December 31,
unaudited 1996 unaudited 1996
------------- -------------- -------------- -------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income (loss) ................................... $ 2,348,038 $ 4,660,486 $ 5,680,513 $ 8,450,174
Net realized gain (loss) on security transactions, futures
contracts and option contracts ............................... 14,505,974 15,834,337 (1,159,715) (650,445)
Net realized gain (loss) on foreign currency transactions ......
Net increase (decrease) in unrealized appreciation
(depreciation) of investments, translation of assets and
liabilities in foreign currencies, futures contracts and
option contracts ............................................. 33,497,479 30,480,771 928,168 (4,201,977)
------------- -------------- -------------- -------------
Net increase (decrease) in net assets resulting from
operations ................................................ 50,351,491 50,975,594 5,448,966 3,597,752
------------- -------------- -------------- -------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ..................................... -- (4,697,100) -- (8,175,364)
From net realized gains on investment transactions ............. -- (11,536,265) -- --
------------- -------------- -------------- -------------
Total distributions to shareholders ......................... -- (16,233,365) -- (8,175,364)
------------- -------------- -------------- -------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sales of shares .................................. 30,413,773 89,834,796 13,622,544 64,001,096
Distributions reinvested ....................................... 16,148,854 8,600,854 8,175,364 10,236,499
Cost of shares repurchased ..................................... (12,622,453) (43,141,162) (1,859,926) (23,577,889)
------------- -------------- -------------- -------------
Net increase from capital share transactions ................ 33,940,174 55,294,488 19,937,982 50,659,706
------------- -------------- -------------- -------------
Net increase in net assets ..................................... 84,291,665 90,036,717 25,386,948 46,082,094
NET ASSETS
Beginning of period ............................................ 273,771,526 183,734,809 160,694,516 114,612,422
------------- -------------- -------------- -------------
End of period .................................................. 358,063,191 273,771,526 186,081,464 160,694,516
============= ============== ============== =============
Undistributed (excess distribution) net investment income ...... $ 2,395,934 $ 47,896 $ 5,923,248 $ 242,735
============= ============== ============== =============
CAPITAL SHARES
Capital shares outstanding, beginning of period ................ 17,673,755 13,795,844 15,828,492 10,887,947
Capital shares issued .......................................... 1,843,106 6,205,107 1,336,777 6,272,737
Capital shares from distributions reinvested ................... 1,049,308 639,225 811,853 973,051
Capital shares redeemed ........................................ (747,861) (2,966,421) (181,864) (2,305,243)
============= ============== ============== =============
Capital shares outstanding, end of period ...................... 19,818,308 17,673,755 17,795,258 15,828,492
============= ============== ============== =============
<CAPTION>
Intermediate-Term Bond Fund Short-Term Bond Fund
----------------------------- -----------------------------
Period ended Period ended
June 30, Year ended June 30, Year ended
1997 December 31, 1997 December 31,
unaudited 1996 unaudited 1996
------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income (loss) ................................... $ 2,821,451 $ 5,111,303 $ 1,429,385 $ 1,767,705
Net realized gain (loss) on security transactions, futures
contracts and option contracts ............................... (187,352) 488,591 (383,848) 75,014
Net realized gain (loss) on foreign currency transactions ......
Net increase (decrease) in unrealized appreciation
(depreciation) of investments, translation of assets and
liabilities in foreign currencies, futures contracts and
option contracts ............................................. 289,245 (1,945,622) 203,270 (585,095)
------------- ------------- ------------- ------------
Net increase (decrease) in net assets resulting from
operations ................................................ 2,923,344 3,654,272 1,248,807 1,257,624
------------- ------------- ------------- ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
From net investment income ..................................... -- (4,980,334) -- (1,745,696)
From net realized gains on investment transactions ............. -- -- -- --
------------- ------------- ------------- ------------
Total distributions to shareholders ......................... -- (4,980,334) -- (1,745,696)
------------- ------------- ------------- ------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sales of shares .................................. 5,749,903 34,374,279 4,610,392 29,548,991
Distributions reinvested ....................................... 4,980,334 4,749,913 1,745,696 1,291,083
Cost of shares repurchased ..................................... (1,909,927) (24,893,538) (1,878,768) (7,534,399)
------------- ------------- ------------- ------------
Net increase from capital share transactions ................ 8,820,310 14,230,654 4,477,320 23,305,675
------------- ------------- ------------- ------------
Net increase in net assets ..................................... 11,743,654 12,904,592 5,726,127 22,817,603
NET ASSETS
Beginning of period ............................................ 86,385,074 73,480,482 48,672,916 25,855,313
------------- ------------- ------------- ------------
End of period .................................................. 98,128,728 86,385,074 54,399,043 48,672,916
============= ============= ============= ============
Undistributed (excess distribution) net investment income ...... $ 2,987,146 $ 165,695 $ 1,474,872 $ 45,487
============= ============= ============= ============
CAPITAL SHARES
Capital shares outstanding, beginning of period ................ 8,470,117 7,081,020 4,754,313 2,530,211
Capital shares issued .......................................... 558,239 3,298,559 447,638 2,826,896
Capital shares from distributions reinvested ................... 489,227 457,603 170,812 126,329
Capital shares redeemed ........................................ (184,966) (2,367,065) (181,533) (729,123)
============= ============= ============= ============
Capital shares outstanding, end of period ...................... 9,332,617 8,470,117 5,191,230 4,754,313
============= ============= ============= ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
- ------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
International Equity Fund
-----------------------------------------------------------------------------
May 17,
Period ended 1993(1)
June 30, Year ended Year ended Year ended to
1997 December 31, December 31, December 31, December 31,
unaudited 1996 1995 1994 1993
------------- ------------- -------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period ...................... $ 15.08 $ 12.68 $ 10.76 $ 11.98 $ 10.00
------------ ------------ ----------- ------------ -----------
OPERATIONS
Net investment income (loss)(2)........... 0.19 0.29 0.17 (0.05) 0.03
Net realized and unrealized gain (loss)
on investments ......................... 1.16 2.48 1.87 (0.78) 1.95
------------ ------------ ----------- ------------ -----------
Total from investment operations ......... 1.35 2.77 2.04 (0.83) 1.98
------------ ------------ ----------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income ..... -- (0.30) (0.12) (0.03) --
Distributions from net realized gains on
investments ........................... -- (0.07) -- (0.26) --
Distributions in excess of net investment
income or realized gains ............... -- -- -- (0.10) --
------------ ------------ ----------- ------------ -----------
Total distributions ...................... -- (0.37) (0.12) (0.39) --
------------ ------------ ----------- ------------ -----------
NET ASSET VALUE
End of period ............................ $ 16.43 $ 15.08 $ 12.68 $ 10.76 $ 11.98
============ ============ =========== ============ ===========
TOTAL RETURN(3).............................. 8.95% 21.93% 19.00% (6.98)% 19.80%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period .............. $225,394,637 $187,109,248 $92,114,545 $ 51,712,327 $19,978,108
Ratios of expenses to average net assets:
Before repayments and directed
brokerage arrangements ............... 0.79%(4) 0.86% 1.00% 1.36% 1.76%(4)
After repayments and directed brokerage
arrangements(5)....................... 0.78%(4) 0.83% 1.08% 1.25% 1.25%(4)
Ratios of net investment income (loss) to
average net assets:
Before repayments and directed
brokerage arrangements ............... 2.52%(4) 1.51% 1.70% 0.83% 0.34%(4)
After repayments and directed brokerage
arrangements ......................... 2.53%(4) 1.54% 1.62% 0.94% 0.85%(4)
Portfolio turnover rate .................. 6.76% 21.54% 31.40% 50.25% 9.20%
Average commission rate paid(6)........... $ 0.0191 $ 0.0219 -- -- --
</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. Total Returns do
not reflect charges attributable to separate account expenses deducted by
the insurance company for variable annuity contract shareholders. Inclusion
of these charges would reduce the total return shown.
(4) Annualized.
(5) 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.
(6) 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>
- -------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Emerging Opportunities Fund
--------------------------------------------------------------------------------
May 17,
Period ended 1993 (1)
June 30, Year ended Year ended Year ended to
1997 December 31, December 31, December 31, December 31,
unaudited 1996 1995 1994 1993
------------- --------------- -------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period .................... $ 13.42 $ 15.02 $ 11.84 $ 10.94 $ 10.00
------------- ------------- ------------- -------------- -------------
OPERATIONS
Net investment loss (2)................. (0.01) -- -- -- (0.01)
Net realized and unrealized gain (loss)
on investments ....................... 0.12 (0.47) 3.81 1.06 0.95
------------- ------------- ------------- -------------- -------------
Total from investment operations ....... 0.11 (0.47) 3.81 1.06 0.94
------------- ------------- ------------- -------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income ... -- -- -- -- --
Distributions from net realized gains
on investments ....................... -- (1.13) (0.58) (0.16) --
Distributions in excess of net
investment income or realized gains .. -- -- (0.05) -- --
------------- ------------- ------------- -------------- -------------
Total distributions .................... -- (1.13) (0.63) (0.16) --
------------- ------------- ------------- -------------- -------------
NET ASSET VALUE
End of period .......................... $ 13.53 $ 13.42 $ 15.02 $ 11.84 $ 10.94
============= ============= ============= ============== =============
TOTAL RETURN (3)........................... 0.82% (3.03)% 32.23% 9.69% 9.40%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period ............ $218,617,169 $171,278,216 $157,192,884 $ 88,676,329 $ 29,112,652
Ratios of expenses to average net
assets:
Before repayments and directed
brokerage arrangements ............. 0.73%(4) 0.72% 0.77% 0.91% 1.23%(4)
After repayments and directed
brokerage arrangements (5).......... 0.73%(4) 0.72% 0.77% 0.92% 1.00%(4)
Ratios of net investment income (loss)
to average net assets:
Before repayments and directed
brokerage arrangements ............. (0.13)%(4) (0.34)% (0.26)% (0.31)% (0.60)%(4)
After repayments and directed
brokerage arrangements ............. (0.13)%(4) (0.34)% (0.26)% (0.32)% (0.38)%(4)
Portfolio turnover rate ................ 41.82% 43.00% 36.02% 27.40% 8.70%
Average commission rate paid (6)........ $ 0.0550 $ 0.0505 -- -- --
</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. Total Returns do
not reflect charges attributable to separate account expenses deducted by
the insurance company for variable annuity contract shareholders. Inclusion
of these charges would reduce the total return shown.
(4) Annualized.
(5) 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.
(6) 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.
15
<PAGE>
- -------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Core Equity Fund
-------------------------------------------------------------------------------
May 17,
Period ended 1993 (1)
June 30, Year ended Year ended Year ended to
1997 December 31, December 31, December 31, December 31,
unaudited 1996 1995 1994 1993
------------- ------------- ------------- -------------- -------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period .................... $ 15.49 $ 13.32 $ 10.06 $ 10.33 $ 10.00
------------- ------------- ------------- -------------- -------------
OPERATIONS
Net investment income (2)............... 0.12 0.26 0.25 0.16 0.06
Net realized and unrealized gain (loss)
on investments ....................... 2.46 2.83 3.63 (0.26) 0.33
------------- ------------- ------------- -------------- -------------
Total from investment operations ....... 2.58 3.09 3.88 (0.10) 0.39
------------- ------------- ------------- -------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income ... -- (0.27) (0.24) (0.17) (0.06)
Distributions from net realized gains
on investments ....................... -- (0.65) (0.37) -- --
Distributions in excess of net
investment income or realized gains .. -- -- (0.01) -- --
------------- ------------- ------------- -------------- -------------
Total distributions .................... -- (0.92) (0.62) (0.17) (0.06)
------------- ------------- ------------- -------------- -------------
NET ASSET VALUE
End of period .......................... $ 18.07 $ 15.49 $ 13.32 $ 10.06 $ 10.33
============= ============= ============= ============== =============
TOTAL RETURN (3)........................... 16.66% 23.20% 38.56% (1.01)% 3.90%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period ............ $358,063,191 $273,771,526 $183,734,809 $ 101,591,613 $ 37,355,875
Ratios of expenses to average net
assets:
Before repayments and directed
brokerage arrangements ............. 0.66%(4) 0.68% 0.72% 0.84% 1.12%(4)
After repayments and directed
brokerage arrangements (5).......... 0.64%(4) 0.66% 0.70% 0.85% 1.00%(4)
Ratios of net investment income (loss)
to average net assets:
Before repayments and directed
brokerage arrangements ............. 1.45%(4) 1.93% 2.32% 2.27% 1.84%(4)
After repayments and directed
brokerage arrangements ............. 1.47%(4) 1.95% 2.33% 2.27% 1.96%(4)
Portfolio turnover rate ................ 19.74% 45.73% 38.44% 48.16% 48.00%
Average commission rate paid (6)........ $ 0.0597 $ 0.0594 -- -- --
</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. Total Returns do
not reflect charges attributable to separate account expenses deducted by
the insurance company for variable annuity contract shareholders. Inclusion
of these charges would reduce the total return shown.
(4) Annualized.
(5) 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.
(6) 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>
- -------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Long-Term Bond Fund
-----------------------------------------------------------------------------
May 17,
Period ended 1993 (1)
June 30, Year ended Year ended Year ended to
1997 December 31, December 31, December 31, December 31,
unaudited 1996 1995 1994 1993
------------- ------------- -------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period ..................... $ 10.15 $ 10.53 $ 9.37 $ 10.33 $ 10.00
-------------- ------------- ------------- ------------- ------------
OPERATIONS
Net investment income (2)................ 0.32 0.50 0.53 0.37 0.62
Net realized and unrealized gain (loss)
on investments ........................ (0.01) (0.36) 1.57 (0.97) 0.45
-------------- ------------- ------------- ------------- ------------
Total from investment operations ........ 0.31 0.14 2.10 (0.60) 1.07
-------------- ------------- ------------- ------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income .... -- (0.52) (0.57) (0.34) (0.18)
Distributions from net realized gains on
investments ........................... -- -- (0.27) (0.02) (0.56)
Distributions in excess of net
investment income or realized gains ... -- -- (0.10) -- --
-------------- ------------- ------------- ------------- ------------
Total distributions ..................... -- (0.52) (0.94) (0.36) (0.74)
-------------- ------------- ------------- ------------- ------------
NET ASSET VALUE
End of period ........................... $ 10.46 $ 10.15 $ 10.53 $ 9.37 $ 10.33
============== ============= ============= ============= ============
TOTAL RETURN (3)............................ 3.05% 1.34% 22.44% (5.79)% 10.70%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period ............. $ 186,081,464 $160,694,516 $114,612,422 $ 70,359,236 $25,771,838
Ratios of expenses to average net assets:
Before repayments and directed
brokerage arrangements .............. 0.60%(4) 0.63% 0.66% 0.73% 1.30%(4)(5)
After repayments and directed
brokerage arrangements (6)........... 0.60%(4) 0.63% 0.70% 0.75% 0.75%(4)
Ratios of net investment income (loss)
to average net assets:
Before repayments and directed
brokerage arrangements .............. 6.50%(4) 5.88% 6.67% 7.08% 15.19%(4)
After repayments and directed
brokerage arrangements .............. 6.50%(4) 5.88% 6.63% 7.05% 15.73%(4)
Portfolio turnover rate ................. 207.81% 369.32% 381.53% 152.91% 589.40%
</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. Total Returns do
not reflect charges attributable to separate account expenses deducted by
the insurance company for variable annuity contract shareholders. Inclusion
of these charges would reduce the total return shown.
(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, 1995 and 1996 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.
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
- -------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Intermediate-Term Bond Fund
-------------------------------------------------------------------------------
May 17,
Period ended 1993 (1)
June 30, Year ended Year ended Year ended to
1997 December 31, December 31, December 31, December 31,
unaudited 1996 1995 1994 1993
------------- ------------- -------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period .................... $ 10.20 $ 10.38 $ 9.61 $ 10.28 $ 10.00
------------- ------------- ------------- -------------- -------------
OPERATIONS
Net investment income (2)............... 0.30 0.61 0.54 0.38 0.17
Net realized and unrealized gain (loss)
on investments ....................... 0.01 (0.20) 0.90 (0.67) 0.28
------------- ------------- ------------- -------------- -------------
Total from investment operations ....... 0.31 0.41 1.44 (0.29) 0.45
------------- ------------- ------------- -------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income ... -- (0.59) (0.55) (0.38) (0.17)
Distributions from net realized gains
on investments ....................... -- -- (0.07) -- --
Distributions in excess of net
investment income or realized gains .. -- -- (0.05) -- --
------------- ------------- ------------- -------------- -------------
Total distributions .................... -- (0.59) (0.67) (0.38) (0.17)
------------- ------------- ------------- -------------- -------------
NET ASSET VALUE
End of period .......................... $ 10.51 $ 10.20 $ 10.38 $ 9.61 $ 10.28
============= ============= ============= ============== =============
TOTAL RETURN (3)........................... 3.04% 3.95% 15.01% (2.85)% 4.50%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period ............ $ 98,128,728 $ 86,385,074 $ 73,480,482 $ 48,570,907 $ 19,897,257
Ratios of expenses to average net
assets:
Before repayments and directed
brokerage arrangements ............. 0.59%(4) 0.66% 0.68% 0.75% 1.37%(4)
After repayments and directed
brokerage arrangements (5).......... 0.59%(4) 0.66% 0.75% 0.75% 0.75%(4)
Ratios of net investment income (loss)
to average net assets:
Before repayments and directed
brokerage arrangements ............. 6.01%(4) 5.77% 6.19% 5.35% 3.73%(4)
After repayments and directed
brokerage arrangements ............. 6.01%(4) 5.77% 6.11% 5.35% 4.35%(4)
Portfolio turnover rate ................ 52.76% 191.20% 137.14% 22.72% --
</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. Total Returns do
not reflect charges attributable to separate account expenses deducted by
the insurance company for variable annuity contract shareholders. Inclusion
of these charges would reduce the total return shown.
(4) Annualized.
(5) 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.
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
- -------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Short-Term Bond Fund
-------------------------------------------------------------------------------
May 17,
Period ended 1993 (1)
June 30, Year ended Year ended Year ended to
1997 December 31, December 31, December 31, December 31,
unaudited 1996 1995 1994 1993
------------- ------------- -------------- -------------- -------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period .................... $ 10.24 $ 10.22 $ 9.68 $ 10.07 $ 10.00
------------- ------------- ------------- -------------- -------------
OPERATIONS
Net investment income (2)............... 0.27 0.37 0.51 0.45 0.19
Net realized and unrealized gain (loss)
on investments ....................... (0.03) 0.02 0.54 (0.46) 0.08
------------- ------------- ------------- -------------- -------------
Total from investment operations ....... 0.24 0.39 1.05 (0.01) 0.27
------------- ------------- ------------- -------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income ... -- (0.37) (0.51) (0.38) (0.14)
Distributions from net realized gains
on investments ....................... -- -- -- -- (0.01)
Distributions in excess of net
investment income or realized gains .. -- -- -- -- (0.05)
------------- ------------- ------------- -------------- -------------
Total distributions .................... -- (0.37) (0.51) (0.38) (0.20)
------------- ------------- ------------- -------------- -------------
NET ASSET VALUE
End of period .......................... $ 10.48 $ 10.24 $ 10.22 $ 9.68 $ 10.07
============= ============= ============= ============== =============
TOTAL RETURN (3)........................... 2.34% 3.80% 10.86% (0.14)% 2.70%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period ............ $ 54,399,043 $ 48,672,916 $ 25,855,313 $ 17,628,991 $ 8,181,243
Ratios of expenses to average net
assets:
Before repayments and directed
brokerage arrangements ............. 0.61%(4) 0.68% 0.76% 1.02% 1.72%(4)
After repayments and directed
brokerage arrangements (5).......... 0.75%(4) 0.75% 0.75% 0.75% 0.75%(4)
Ratios of net investment income (loss)
to average net assets:
Before repayments and directed
brokerage arrangements ............. 5.63%(4) 5.54% 5.77% 4.99% 3.52%(4)
After repayments and directed
brokerage arrangements ............. 5.49%(4) 5.47% 5.78% 5.25% 4.49%(4)
Portfolio turnover rate ................ 130.47% 154.51% 93.37% 233.25% 144.30%
</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. Total Returns do
not reflect charges attributable to separate account expenses deducted by
the insurance company for variable annuity contract shareholders. Inclusion
of these charges would reduce the total return shown.
(4) Annualized.
(5) 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.
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / International Equity Fund / June 30, 1997
(unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- --------------------------------------------------------------------------------
<S> <C>
COMMON STOCKS -- 94.3%
AUTOMOTIVE -- 1.0%
36,615 Michelin B......................................... $ 2,200,913
---------------
BANKING -- 15.5%
267,776 ABN Amro Holdings.................................. 5,002,028
191,650 Allied Irish Banks Plc............................. 1,465,624
78,635 Banco de Santander................................. 2,427,431
240,200 Bangkok Bank Co. Ltd............................... 1,650,462
295,200 Barclay's Plc...................................... 5,856,295
453,000 DCB Holdings....................................... 1,435,784
332,250 Development Bank of Singapore...................... 4,182,596
526,524 Lloyds TSB Group Plc............................... 5,397,923
524,550 National Australia Bank Ltd........................ 7,454,484
---------------
34,872,627
---------------
BEVERAGES, FOOD & TOBACCO -- 11.7%
661,560 B.A.T. Industries.................................. 5,918,050
336,480 Cadbury Schweppes Plc.............................. 2,998,811
260,800 Fraser & Neave Ltd................................. 1,860,443
372,151 Grand Metropolitan Plc............................. 3,601,640
601,000 Gudang Garam....................................... 2,521,135
656,000 HM Sampoerna....................................... 2,502,312
2,630 Nestle............................................. 3,474,555
14,801 Nutricia Verenidge Bedrijven....................... 2,341,783
430,650 San Miguel Corp. B................................. 1,134,720
---------------
26,353,449
---------------
BUILDING MATERIALS -- 2.4%
419,000 City Developments.................................. 4,102,513
278,000 Hume Industries.................................... 1,277,632
---------------
5,380,145
---------------
CHEMICALS -- 0.6%
13,060 DSM................................................ 1,301,786
---------------
COMMUNICATIONS -- 5.0%
249,500 Cable & Wireless................................... 2,283,823
65,050 Royal PTT Nederland NV............................. 2,556,419
474,520 STET............................................... 2,760,900
886,000 Telekomunikasi..................................... 1,448,433
471,700 Vodafone Group Plc................................. 2,296,236
---------------
11,345,811
---------------
CONGLOMERATES -- 5.7%
4,342 Alusuisse Lonza Holdings........................... 4,503,278
811,611 BTR Ltd............................................ 2,775,791
549,000 Indocement Tunggal................................. 852,323
757,000 Sime-Darby Berhad.................................. 2,519,296
305,000 United Engineers................................... 2,199,264
---------------
12,849,952
---------------
ELECTRIC UTILITIES -- 2.6%
343,990 Scottish Power Plc................................. 2,238,481
64,210 Veba AG............................................ 3,629,586
---------------
5,868,067
---------------
ELECTRICAL EQUIPMENT -- 4.1%
538,080 General Electric Plc............................... 3,214,920
224,770 Siebe Plc.......................................... 3,804,435
36,910 Siemens............................................ 2,212,437
---------------
9,231,792
---------------
ELECTRONICS -- 0.8%
227,150 Farnell Electronic................................. 1,765,455
---------------
ENTERTAINMENT & LEISURE -- 3.4%
142,700 EMI Group Plc...................................... 2,559,011
274,050 Granada Group Plc.................................. 3,603,182
394,450 Ladbroke Group..................................... 1,542,733
---------------
7,704,926
---------------
FINANCIAL SERVICES -- 2.2%
595,510 Grupo Financiero Banamex*.......................... 1,557,140
113,400 HSBC Holdings Plc.................................. 3,410,505
---------------
4,967,645
---------------
FOOD RETAILERS -- 1.2%
327,150 TI Group Plc....................................... 2,850,327
---------------
FOREST PRODUCTS & PAPER -- 1.5%
694,600 Jefferson Smurfit Group............................ 2,011,909
63,200 UPM-Kymmene........................................ 1,460,094
---------------
3,472,003
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / International Equity Fund / June 30, 1997
(unaudited) (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- --------------------------------------------------------------------------------
<S> <C>
HEAVY MACHINERY -- 2.1%
10,434 Mannesmann AG...................................... $ 4,664,519
---------------
INSURANCE -- 6.3%
117,850 International Nederlanden Groep.................... 5,443,420
334,180 Prudential Corp.................................... 3,234,161
3,905 Schw Ruckversicher................................. 5,531,312
---------------
14,208,893
---------------
MEDIA - BROADCASTING
& PUBLISHING -- 5.1%
236,100 Elsevier NV........................................ 3,952,408
687,000 News Corp Ltd...................................... 3,268,059
210,800 Singapore Press Holdings Ltd....................... 4,245,913
---------------
11,466,380
---------------
METALS -- 0.9%
331,950 Western Mining Corp. Ltd........................... 2,076,447
---------------
MINING -- 1.6%
248,100 Broken Hill Proprietary Co......................... 3,621,144
---------------
OFFICE EQUIPMENT -- 2.6%
217,000 Canon.............................................. 5,916,613
---------------
OIL & GAS -- 4.1%
10,300 ELF Aquitaine...................................... 1,112,292
44,920 Royal Dutch Petroleum.............................. 2,340,781
668,250 Shell Transport & Trading.......................... 4,559,871
11,570 Total S.A. - Series B.............................. 1,170,610
---------------
9,183,554
---------------
PHARMACEUTICALS -- 12.2%
194,680 Glaxo Wellcome Plc................................. 4,025,768
80,330 Hoechst AG......................................... 3,406,747
6,997 Novartis........................................... 11,202,109
34,125 Pharmacia & Upjohn................................. 1,151,859
383 Roche Holding AG................................... 3,469,160
129,950 Zeneca Group....................................... 4,295,224
---------------
27,550,867
---------------
RETAILERS -- 1.7%
413,400 Argyll Group....................................... 2,390,858
120,550 Kingfisher......................................... 1,368,303
---------------
3,759,161
---------------
Total Common Stocks
(Cost $171,100,631) ........................................ 212,612,476
---------------
PREFERRED STOCKS -- 0.2%
MEDIA - BROADCASTING & PUBLISHING
104,200 News Corp Ltd.
(Cost $397,804) ................................... 407,474
---------------
Total Investments -- 94.5%
(Cost $171,498,435) 213,019,950
Other assets in excess of liabilities -- 5.5% 12,374,687
===============
Total Net Assets-- 100.0% $ 225,394,637
===============
</TABLE>
Notes to the Portfolio of Investments:
* Non-income producing security.
The accompanying notes are an integral part of the financial statements.
21
<PAGE>
- -------------------------------------------------------------------------------
Investments by Country
American Odyssey Funds, Inc./International Equity Fund/June 30, 1997 (unaudited)
(continued)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Percentage of
COUNTRY Net Assets
-----------------------------------------------------
<S> <C>
Great Britain 32.2
Switzerland 12.5
Netherlands 10.2
Australia 7.5
Singapore 6.4
Germany 6.2
Indonesia 3.3
Malaysia 3.3
Japan 2.6
France 2.0
Ireland 1.5
Hong Kong 1.5
Italy 1.2
Spain 1.1
Thailand 0.7
Mexico 0.7
Finland 0.6
Sweden 0.5
Philippines 0.5
======
Total 94.5%
======
</TABLE>
The accompanying notes are an integral part of the financial statements.
22
<PAGE>
- -------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Emerging Opportunities Fund / June 30, 1997
(unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- --------------------------------------------------------------------------------
<S> <C>
COMMON STOCKS -- 93.3%
ADVERTISING -- 1.3%
59,100 Catalina Marketing Corp............................ $ 2,844,187
---------------
AEROSPACE & DEFENSE -- 0.2%
15,700 BE Aerospace, Inc.*................................ 496,513
---------------
APPAREL RETAILERS -- 4.6%
259,600 Sunglass Hut, Inc.*................................ 1,638,725
76,800 Talbots, Inc....................................... 2,611,199
95,200 The Men's Wearhouse, Inc.*......................... 2,998,799
141,800 The Sports Authority, Inc.......................... 2,756,237
---------------
10,004,960
---------------
AUTOMOTIVE -- 0.3%
7,600 Keystone Automotive Industries, Inc.*.............. 129,200
16,600 Wabash National Corp............................... 462,725
---------------
591,925
---------------
BANKING -- 0.7%
14,200 Alliance Bancorp, Inc.............................. 427,775
6,800 Community Capital Corp.*........................... 82,025
7,500 First Commerce Corp................................ 330,000
18,400 IBS Financial Corp................................. 333,500
7,800 Union Planters Corp................................ 404,625
---------------
1,577,925
---------------
BEVERAGES, FOOD & TOBACCO -- 2.1%
87,250 Dreyers Grand Ice Cream, Inc....................... 3,446,374
25,450 Flowers Industries, Inc............................ 427,878
21,900 Hudson Foods....................................... 357,244
9,600 Morrison Health Care, Inc.......................... 153,000
16,400 Tasty Baking....................................... 287,000
---------------
4,671,496
---------------
BUILDING MATERIALS -- 0.5%
9,800 BMC West Corp.*.................................... 120,050
74,700 Dravo Corp.*....................................... 812,363
5,400 USG Corp.*......................................... 197,100
---------------
1,129,513
---------------
BUSINESS SERVICES -- 2.3%
113,800 Fair Issac & Co., Inc.............................. 5,071,212
---------------
CHEMICALS -- 0.2%
8,800 Agrium, Inc........................................ 101,200
28,100 Calgon Carbon Corp................................. 389,888
---------------
491,088
---------------
COMMERCIAL SERVICES -- 7.0%
39,200 American Banknote Corp.*........................... 181,300
5,600 First USA Paymentech, Inc.*........................ 162,050
115,000 ICF International Inc., Class A*................... 316,250
73,400 Laidlaw Environmental Services*.................... 220,200
72,900 Lo-Jack Corp.*..................................... 1,047,938
67,500 On Assignment, Inc.*............................... 2,632,499
94,450 Precision Response Corp.*.......................... 1,558,425
99,900 Quick Response Services, Inc.*..................... 3,621,374
197,400 Sitel Corp......................................... 4,071,374
55,300 Sothebys, Inc...................................... 933,188
10,500 Stewart Enterprises, Inc........................... 441,000
---------------
15,185,598
---------------
COMMUNICATIONS -- 0.2%
41,700 DSP Communications, Inc............................ 458,700
3,500 Harmonic Lightwaves, Inc.*......................... 59,938
---------------
518,638
---------------
COMPUTER HARDWARE -- 0.1%
4,300 Larson Davis, Inc.*................................ 37,625
51,600 Visioneer, Inc.*................................... 187,050
---------------
224,675
---------------
COMPUTER SERVICES -- 4.4%
75,100 BISYS Group, Inc.*................................. 3,135,424
121,200 Fiserv, Inc.*...................................... 5,408,549
29,300 Gerber Scientific, Inc............................. 578,675
57,400 Intergraph Corp.*.................................. 487,900
---------------
9,610,548
---------------
COMPUTER SOFTWARE -- 14.3%
7,000 Acxiom Corp........................................ 143,500
20,900 Barra, Inc.*....................................... 689,700
</TABLE>
The accompanying notes are an integral part of the financial statements.
23
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Emerging Opportunities Fund / June 30, 1997
(unaudited) (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- --------------------------------------------------------------------------------
<S> <C> <C>
77,320 BGS Systems, Inc................................... $ 2,126,300
130,150 Boole & Babbage, Inc............................... 2,765,687
87,800 Broderbund Software, Inc.*......................... 2,167,563
15,100 Cellular Technical Services Co.*................... 137,788
93,000 Data Processing Resources Corp.*................... 2,173,875
116,300 Electronic Arts*................................... 3,910,587
14,500 Information Resources, Inc.*....................... 204,813
92,600 Manugistics Group, Inc............................. 4,120,699
45,000 Maxis, Inc.*....................................... 540,000
68,200 Novell, Inc.*...................................... 473,138
102,000 Pinnacle Systems, Inc.*............................ 1,740,375
44,500 Platinum Software Corp.*........................... 461,688
15,100 Platinum Technology, Inc.*......................... 200,075
95,500 Sungard Data Systems, Inc.*........................ 4,440,749
49,000 Sykes Enterprises, Inc............................. 1,274,000
104,900 Transaction Systems................................ 3,619,049
12,000 Walker Interactive Systems*........................ 168,000
---------------
31,357,586
---------------
CONGLOMERATES -- 0.2%
25,500 York Group, Inc.................................... 478,125
---------------
ELECTRIC UTILITIES -- 0.1%
7,400 Central Hudson Gas & Electric...................... 254,838
---------------
ELECTRICAL EQUIPMENT -- 0.3%
21,800 Evans & Sutherland Computer Co.*................... 607,675
---------------
ELECTRONICS -- 3.2%
66,900 Itron, Inc.*....................................... 1,731,038
68,400 Unitrode Corp.*.................................... 3,445,649
95,400 Zilog, Inc.*....................................... 1,812,600
---------------
6,989,287
---------------
FINANCIAL SERVICES -- 0.3%
29,700 Standard Financial, Inc............................ 727,650
---------------
FOOD RETAILERS -- 1.7%
96,600 Quality Food Centers, Inc.*........................ 3,670,799
---------------
FOREST PRODUCTS & PAPER -- 0.7%
9,800 Bowater, Inc....................................... 453,250
3,900 Chesapeake Corp............................... .... 131,625
12,200 Pope & Talbot, Inc................................. 200,538
46,900 Stone Container Corp............................... 671,256
---------------
1,456,669
---------------
HEALTH CARE PROVIDERS -- 3.2%
115,500 Healthplan Services Corp........................... 2,180,063
32,100 Humana, Inc.*...................................... 742,313
16,400 Magellan Health Services, Inc.*.................... 483,800
6,600 Maxicare Health Plans, Inc.*....................... 147,675
126,700 Mid Atlantic Medical Services*..................... 1,971,769
24,500 Novacare, Inc.*.................................... 339,938
19,400 Physician Reliance Network, Inc.*.................. 181,875
15,200 Rehabcare Corp.*................................... 562,400
13,000 Sierra Health Services, Inc.*...................... 406,250
---------------
7,016,083
---------------
HEAVY MACHINERY -- 4.6%
39,200 AGCO Corp.......................................... 1,408,750
30,400 Bucyrus International, Inc.*....................... 323,000
16,000 Dreco Energy Services, Ltd.*....................... 840,000
107,100 Fastenal Co........................................ 5,247,899
60,400 JLK Direct Distribution, Inc.*..................... 1,547,750
20,900 Varco International, Inc.*......................... 674,025
---------------
10,041,424
---------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES -- 0.2%
40,100 Zenith Electronics Corp.*.......................... 473,681
---------------
HOUSEHOLD PRODUCTS -- 0.1%
7,700 American Safety Razor Co.*......................... 139,563
---------------
INSURANCE -- 0.1%
6,900 United Wisconsin Services.......................... 232,444
---------------
MEDIA - BROADCASTING
& PUBLISHING -- 2.0%
10,300 Cablevision Systems Corp.*......................... 551,050
</TABLE>
The accompanying notes are an integral part of the financial statements.
24
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Emerging Opportunities Fund / June 30, 1997
(unaudited) (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- --------------------------------------------------------------------------------
<S> <C>
12,200 Central European Media Enterprises Ltd.*........... $ 317,200
52,500 Comcast Corp....................................... 1,122,188
93,500 Meta Group, Inc.*.................................. 2,033,625
10,500 TCA Cable TV, Inc.................................. 395,063
---------------
4,419,126
---------------
MEDICAL & BIO-TECHNOLOGY -- 0.9%
20,000 CN Biosciences, Inc.*.............................. 380,000
108,100 Idexx Labs Corp.*.................................. 1,344,494
10,200 NeoPath, Inc.*..................................... 193,800
---------------
1,918,294
---------------
MEDICAL SUPPLIES -- 4.5%
51,600 Henry Schein, Inc.*................................ 1,612,500
7,000 Hologic, Inc.*..................................... 186,375
48,100 Patterson Dental Co.*.............................. 1,650,431
95,700 Physician Sales & Service, Inc.*................... 1,818,300
97,800 Protocol Systems, Inc.*............................ 782,400
92,900 Steris Corp.*...................................... 3,472,137
16,600 Universal Hospital Services*....................... 257,300
---------------
9,779,443
---------------
METALS -- 2.8%
59,200 Amax Gold, Inc.*................................... 362,600
53,900 Armco, Inc.*....................................... 208,863
46,000 Battle Mountain Gold Co............................ 261,625
20,100 Bema Gold Corp.*................................... 120,600
36,700 Cambior, Inc.*..................................... 415,169
37,300 Canyon Resources Corp.*............................ 90,919
40,400 Cyprus Amax Minerals Co............................ 989,800
54,700 Echo Bay Mines Ltd................................. 314,525
3,200 Getchell Gold Corp.*............................... 112,400
27,300 Hecla Mining*...................................... 146,738
34,600 Kaiser Aluminum Corp.*............................. 423,850
58,700 LTV Corp........................................... 836,475
21,100 Oregon Steel Mills, Inc............................ 420,681
66,300 Pegasus Gold*...................................... 406,088
106,300 TVX Gold, Inc.*.................................... 564,719
20,400 Worthington Industries, Inc........................ 373,575
---------------
6,048,627
---------------
OIL & GAS EXPLORATION -- 5.5%
11,400 Barrett Resources Corp.*........................... 341,288
12,800 Benton Oil & Gas Co.*.............................. 192,000
24,100 Devon Energy Corp.................................. 885,675
147,300 Enserch Exploration, Inc.*......................... 1,611,094
61,800 HS Resources, Inc.*................................ 872,925
20,100 Louisiana Land & Exploration Co.................... 1,148,213
115,200 Oryx Energy Co.*................................... 2,433,599
38,800 Parker & Parsley Petroleum Co...................... 1,372,550
96,000 Santa Fe Energy Resources, Inc.*................... 1,410,000
25,100 Titan Exploration, Inc.*........................... 304,338
49,100 United Meridian Corp.*............................. 1,473,000
---------------
12,044,682
---------------
OIL & GAS FIELD SERVICES -- 4.3%
14,900 BJ Services Co.*................................... 799,013
30,700 Global Marine, Inc.*............................... 713,775
28,200 Nabors Industries, Inc*............................ 705,000
88,200 Oceaneering International, Inc.*................... 1,631,700
36,300 Parker Drilling Co.*............................... 403,838
15,100 Petroleum Geo-Services ADR*........................ 738,013
12,100 Pogo Producing Co.................................. 468,119
13,100 Pool Energy Services Co.*.......................... 237,438
48,400 Pride Petroleum Services, Inc.*.................... 1,161,600
22,200 Reading & Bates Corp.*............................. 593,850
29,000 Rowan Co., Inc.*................................... 817,438
31,100 Weatherford Enterra, Inc.*......................... 1,197,350
---------------
9,467,134
---------------
PHARMACEUTICALS -- 3.8%
28,200 Alpharma, Inc...................................... 449,438
18,900 Ascent Pediatrics, Inc.*........................... 170,100
25,700 Carter-Wallace..................................... 459,388
12,800 Genzyme Corp-General Division...................... 355,200
</TABLE>
The accompanying notes are an integral part of the financial statements.
25
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Emerging Opportunities Fund / June 30, 1997
(unaudited) (continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- --------------------------------------------------------------------------------
<S> <C>
21,300 ICN Pharmaceuticals, Inc........................... $ 611,044
7,400 Kos Pharmaceuticals*............................... 205,350
133,700 Mylan Labs, Inc.................................... 1,972,075
11,900 Onyx Pharmaceuticals, Inc.*........................ 121,975
77,800 R. P. Scherer Corp.*............................... 4,016,424
---------------
8,360,994
---------------
REAL ESTATE -- 0.5%
40,900 Atlantic Gulf Communities*......................... 260,738
3,700 Getty Petroleum Corp............................... 65,213
14,700 Heartland Partners LP.............................. 171,806
5,400 Storage USA, Inc. REIT............................. 206,550
19,300 Trizec Hahn Corp................................... 412,538
---------------
1,116,845
---------------
RESTAURANTS -- 3.0%
20,100 Brinker International, Inc.*....................... 286,425
269,600 Buffetts, Inc.*.................................... 2,274,750
171,300 Landry's Seafood Restaurants*...................... 3,939,899
---------------
6,501,074
---------------
RETAILERS -- 11.1%
136,600 Best Buy Co., Inc.*................................ 2,031,925
72,740 CDW Computer Centers, Inc.......................... 3,859,765
81,000 Eagle Hardware & Garden, Inc.*..................... 1,852,875
4,700 Getty Petroleum Marketing, Inc.*................... 23,500
17,800 Michaels Stores*................................... 377,138
214,700 Micro Warehouse, Inc.*............................. 3,676,737
68,100 MSC Industrial Direct Co., Inc.*................... 2,732,512
149,300 Tech Data Corp.*................................... 4,693,618
66,200 Tiffany & Co....................................... 3,057,612
17,800 Wet Seal, Inc., Class A*........................... 561,813
32,900 Williams-Sonoma, Inc.*............................. 1,406,475
---------------
24,273,970
---------------
TELEPHONE SYSTEMS -- 0.2%
21,100 Lightbridge, Inc.*................................. 160,888
11,700 Vanguard Cellular Systems, Inc. Class A*........... 159,413
---------------
320,301
---------------
TEXTILES, CLOTHING & FABRICS -- 0.3%
9,600 Albany International Corp.......................... 216,000
18,100 Osh Kosh B Gosh.................................... 393,675
---------------
609,675
---------------
TRANSPORTATION -- 1.5%
6,600 Caliber Systems, Inc............................... 245,850
5,400 CNF Transportation, Inc............................ 174,150
14,500 Covenant Transport, Inc.*.......................... 237,438
9,100 Halter Marine Group, Inc.*......................... 218,400
9,100 Kirby Corp.*....................................... 166,075
52,300 Offshore Logistics, Inc.*.......................... 987,163
25,800 Simon Transportion Services*....................... 512,775
11,800 Smithway Motor Express*............................ 134,225
30,300 Transport Corporation of America, Inc.*............ 409,050
4,100 Werner Enterprises, Inc............................ 79,438
8,500 Yellow Corp.*...................................... 190,188
---------------
3,354,752
---------------
Total Investments -- 93.3%
(Cost $179,879,926) 204,079,019
Other assets in excess of liabilities -- 6.7% 14,538,150
---------------
Total Net Assets -- 100.0% $ 218,617,169
===============
</TABLE>
Notes to the Portfolio of Investments:
* Non-income producing security.
ADR - American Depository Receipt
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
26
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc./Core Equity Fund/June 30, 1997 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- --------------------------------------------------------------------------------
<S> <C>
COMMON STOCKS -- 98.6%
AEROSPACE & DEFENSE -- 0.9%
62,600 Boeing Co.......................................... $ 3,321,713
---------------
AIRLINES -- 1.6%
61,700 AMR Corp.*......................................... 5,707,250
---------------
AUTOMOTIVE -- 2.6%
246,500 Ford Motor Co...................................... 9,305,374
---------------
BANKING -- 10.7%
111,310 Banc One Corp...................................... 5,391,578
132,200 BankAmerica Corp................................... 8,535,162
50,000 Barnett Banks, Inc................................. 2,625,000
63,028 Chase Manhattan Corp............................... 6,117,655
59,403 First Chicago NBD Corp............................. 3,593,882
148,000 H.F. Ahmanson & Co................................. 6,364,000
86,900 Nationsbank Corp................................... 5,605,050
---------------
38,232,327
---------------
BEVERAGES, FOOD & TOBACCO -- 5.5%
203,980 Archer-Daniels-Midland Co.......................... 4,793,530
173,000 Pepsico, Inc....................................... 6,498,313
82,400 Philip Morris Co., Inc............................. 3,656,500
110,000 Sara Lee Corp...................................... 4,578,750
---------------
19,527,093
---------------
COMMUNICATIONS -- 3.5%
182,600 MCI Communications, Inc............................ 6,990,147
87,900 SBC Communications, Inc............................ 5,438,813
---------------
12,428,960
---------------
COMPUTERS & INFORMATION -- 6.6%
64,100 Compaq Computer*................................... 6,361,925
88,000 Hewlett Packard Co................................. 4,928,000
99,600 IBM Corp........................................... 8,982,674
100,600 Seagate Technology, Inc.*.......................... 3,539,863
---------------
23,812,462
---------------
ELECTRIC UTILITIES -- 3.7%
204,800 Edison International............................... 5,094,400
172,100 Entergy Corp....................................... 4,711,238
155,800 Potomac Electric Power............................. 3,602,875
---------------
13,408,513
---------------
ELECTRICAL EQUIPMENT -- 2.2%
122,400 General Electric Co................................ 8,001,900
---------------
ELECTRONICS -- 2.1%
52,900 Intel Corp......................................... 7,501,881
---------------
ENTERTAINMENT & LEISURE -- 1.6%
142,600 Carnival Corp. A................................... 5,882,250
---------------
FINANCIAL SERVICES -- 6.3%
190,100 Federal National Mortgage Association.............. 8,293,112
190,824 Morgan Stanley, Dean Witter, Discover and Co....... 8,217,359
111,800 Salomon, Inc....................................... 6,218,875
---------------
22,729,346
---------------
FOREST PRODUCTS & PAPER -- 2.8%
173,300 James River Corp. of Virginia...................... 6,412,100
57,200 Mead Corp.......................................... 3,560,700
---------------
9,972,800
---------------
HEALTH CARE PROVIDERS -- 1.7%
150,550 Columbia/HCA Healthcare Corp....................... 5,918,497
---------------
HEAVY CONSTRUCTION -- 1.4%
119,900 Foster Wheeler Corp................................ 4,855,950
---------------
HEAVY MACHINERY -- 1.8%
60,500 Caterpiller Tractor, Inc........................... 6,496,188
---------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES -- 1.9%
125,300 Whirlpool Corp..................................... 6,836,681
---------------
INSURANCE -- 7.9%
75,600 Aetna, Inc......................................... 7,739,550
125,083 Allstate Corp...................................... 9,131,058
114,900 Chubb Corp......................................... 7,683,938
38,900 TransAmerica Corp.................................. 3,639,581
---------------
28,194,127
---------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
27
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Core Equity Fund / June 30, 1997 (unaudited)
(continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
- --------------------------------------------------------------------------------
<S> <C>
MEDIA - BROADCASTING & PUBLISHING -- 1.7%
126,800 Tribune Co......................................... $ 6,094,325
---------------
MEDICAL SUPPLIES -- 1.6%
108,400 Baxter International, Inc.......................... 5,663,900
---------------
METALS -- 1.5%
76,500 Reynolds Metals Co................................. 5,450,625
---------------
OIL & GAS -- 12.1%
119,400 Amerada Hess Corp.................................. 6,634,163
59,300 Amoco Corp......................................... 5,155,394
19,200 Ashland, Inc....................................... 890,400
90,200 Atlantic Richfield Co.............................. 6,359,100
81,112 British Petroleum ADR.............................. 6,073,261
120,900 Exxon Corp......................................... 7,435,350
66,200 Mobil Corp......................................... 4,625,725
57,300 Texaco, Inc........................................ 6,231,375
---------------
43,404,768
---------------
PHARMACEUTICALS -- 5.1%
140,400 Bristol Myers Squibb Co............................ 11,372,399
140,800 Schering Plough Corp............................... 6,740,800
---------------
18,113,199
---------------
RESTAURANTS -- 0.5%
127,800 Brinker International, Inc.*....................... 1,821,150
---------------
RETAILERS -- 4.9%
133,000 Dayton-Hudson Corp................................. 7,073,938
70,900 Sears Roebuck & Co................................. 3,810,875
195,700 Wal-Mart Stores, Inc............................... 6,617,106
---------------
17,501,919
---------------
TELEPHONE SYSTEMS -- 5.2%
154,000 AT&T Corp.......................................... 5,399,625
72,500 Bell Atlantic Corp................................. 5,500,938
28,800 BellSouth Corp..................................... 1,335,600
201,100 Worldcom, Inc...................................... 6,435,200
---------------
18,671,363
---------------
TRANSPORTATION -- 1.2%
126,000 Ryder System....................................... 4,158,000
---------------
Total Investments -- 98.6%
(Cost $253,620,699) 353,012,561
Other assets in excess of liabilities -- 1.4% 5,050,630
===============
Total Net Assets-- 100.0% $ 358,063,191
===============
</TABLE>
Notes to the Portfolio of Investments:
ADR -- American Depository Receipt
* Non-income producing security.
The accompanying notes are an integral part of the financial statements.
28
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc./Long-Term Bond Fund/June 30, 1997 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
- --------------------------------------------------------------------------------
<S> <C>
FOREIGN OBLIGATIONS -- 4.9%
Government Obligations
$ 1,300,000 Mexico Global Bond
11.500%, 05/15/26............................. $ 1,488,500
2,000,000 Quebec Province, Yankee-Dollar 5.670%,
02/27/26...................................... 1,990,780
1,455,000 Republic of Argentina 6.750%, 03/31/05........ 1,368,617
850,000 Republic of Argentina 11.375%, 01/30/17....... 949,449
---------------
5,797,346
---------------
Corporate Debt
1,000,000 Sears Overseas Finance Euro-Dollar 0.000%,
07/12/98...................................... 946,370
2,407,655 YPF Sociedad Anonima, Yankee-Dollar 7.000%,
10/26/02...................................... 2,386,588
---------------
3,332,958
---------------
Total Foreign Obligations
(Cost $9,082,704) ......................................... 9,130,304
---------------
U.S. CORPORATE OBLIGATIONS -- 23.7%
Asset Backed and Mortgage Backed
1,020,000 Nomura Assets Securities Corp., REMIC 7.120%,
04/13/36...................................... 1,025,896
---------------
Corporate Bonds & Notes
2,000,000 Associates Corp. of North America 8.150%,
08/01/09...................................... 2,130,940
1,000,000 Cit Group Holdings 8.375%, 11/01/01........... 1,058,490
1,500,000 Citicorp Capital I 7.933%, 02/15/27........... 1,501,980
1,350,000 Commonwealth Edison Co. 8.375%, 02/15/23...... 1,368,171
500,000 Commonwealth Edison Co. 8.625%, 02/01/22...... 508,080
400,000 Dean Witter Discover & Co. 6.250%, 03/15/00... 396,856
2,500,000 Ford Motor Co. 7.700%, 05/15/69............... 2,519,600
2,000,000 Ford Motor Credit Corp. 5.750%, 01/25/01...... 1,940,320
350,000 General Motors Acceptance Corp. 9.625%,
12/15/01...................................... 387,198
4,700,000 General Motors Acceptance Corp. (Units)
0.000%, 06/15/15.............................. 1,330,100
382,666 GG1B Funding Corp 7.430%, 01/15/11............ 370,930
2,000,000 International Paper Co. 7.000%, 06/01/01...... 2,019,580
2,000,000 JP Morgan Co. 4.000%, 02/15/12................ 1,954,680
1,500,000 JPM Capital Trust I 7.540%, 01/15/27.......... 1,435,155
2,000,000 Lockheed Martin 6.850%, 05/15/01.............. 2,008,100
600,000 Loews Corp. 7.625%, 06/01/23.................. 570,936
700,000 NBD Bank N.A. 8.250%, 11/01/24................ 777,896
2,000,000 News America Holdings 8.250%, 10/17/46........ 1,980,360
400,000 News America Holdings 8.450%, 08/01/34........ 434,292
2,000,000 Niagara Mohawk Power 7.750%, 05/15/06......... 1,977,260
2,000,000 RJR Nabisco, Inc. 6.850%, 06/15/05............ 1,957,060
200,000 RJR Nabisco, Inc. 8.500%, 07/01/07............ 199,468
380,000 RJR Nabisco, Inc. 8.750%, 08/15/05............ 385,681
</TABLE>
The accompanying notes are an integral part of the financial statements.
29
<PAGE>
- -------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc./Long-Term Bond Fund/June 30, 1997 (unaudited)
(continued)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
- -------------------------------------------------------------------------------
<S> <C>
$ 2,000,000 Southern Cal Edison 6.500%, 06/01/01.......... $ 1,985,220
400,000 Southern Union Co. 7.600%, 02/01/24........... 391,040
950,000 TCI Communications 8.750%, 08/01/15........... 995,695
1,860,000 TCI Communications 9.650%, 03/31/27........... 1,966,039
800,000 Telecommunications, Inc. 7.875%, 08/01/13..... 781,080
2,000,000 Time Warner Entertainment 8.375%, 03/15/23.... 2,053,980
1,000,000 Time Warner Entertainment 8.875%, 07/15/33.... 1,021,110
1,600,000 US West Capital Funding, Inc. 7.900%, 02/01/27 1,616,320
3,000,000 US West Capital Funding, Inc. 7.950%, 02/01/57 3,022,410
--------------
43,046,027
--------------
Total U.S. Corporate Obligations
(Cost $43,282,146) ........................................ 44,071,923
--------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS--66.9%
U.S. Government Agency Mortgage Backed Obligations
9,438,758 Federal Home Loan Mortgage Corp., 7.000%,
01/01/26...................................... 9,276,543
2,500,000 Federal Home Loan Mortgage Corp., TBA 6.500%,
07/01/27...................................... 2,394,525
13,580,019 Federal National Mortgage Association 7.000%,
with dates from 02/01/24 to 04/01/26.......... 13,367,373
17,650,244 Government National Mortgage Association
7.000%, with dates from 12/15/23 to 08/15/24.. 17,420,789
9,057,836 Government National Mortgage Association
7.500%, 07/15/25.............................. 9,098,506
3,176,220 Government National Mortgage Association
8.500%, with dates from 01/15/25 to 06/15/25.. 3,306,159
196,060 Government National Mortgage Association
9.500%, 09/15/30.............................. 207,640
--------------
55,071,535
--------------
U.S. Government Agency Obligations
3,000,000 Federal Home Loan Bank 5.920%, 06/29/00....... 2,963,910
3,000,000 Federal Home Loan Bank 6.285%, 07/28/00....... 2,992,020
3,000,000 Federal Home Loan Mortgage Corp. 6.783%,
08/18/05...................................... 2,997,660
3,000,000 Federal National Mortgage Association 6.140%,
11/25/05...................................... 2,837,760
15,000,000 Resolution Funding Corp. 0.000%, 01/15/30..... 1,662,900
20,000,000 Resolution Funding Corp. 0.000%, 01/15/11..... 7,848,200
--------------
21,302,450
--------------
U.S. Treasury Bonds
10,300,000 6.000%, 02/15/26.............................. 9,218,500
1,750,000 6.625%, 02/15/27.............................. 1,712,270
7,200,000 6.500%, 11/15/26.............................. 6,905,232
--------------
17,836,002
--------------
U.S. Treasury Notes
100,000 5.625%, 11/30/00.............................. 97,953
5,000,000 6.250%, 02/28/02(a)........................... 4,971,850
</TABLE>
The accompanying notes are an integral part of the financial statements.
30
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Long-Term Bond Fund / June 30, 1997 (unaudited)
(continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
- --------------------------------------------------------------------------------
<S> <C>
$ 1,300,000 6.625%, 07/31/01.............................. $ 1,312,181
5,500,000 6.625%, 03/31/02.............................. 5,549,830
10,311,894 3.375%, 01/15/07.............................. 10,175,498
---------------
22,107,312
---------------
U.S. Treasury Principal Strip
5,000,000 0.000%, 02/15/19.............................. 1,122,250
35,400,000 0.000%, 08/15/20.............................. 7,163,544
---------------
8,285,794
---------------
Total U.S. Government and Agency Obligations
(Cost $125,463,727) ....................................... 124,603,093
---------------
PURCHASED OPTIONS -- 0.1%
375,000 90 Day Euro$ Future Call Option expires
09/15/97, strike price $93.75................. 138,750
620,000 90 Day Euro$ Future Call Option expires
12/15/97, strike price $94.00................. 65,100
137,500 90 Day Euro$ Future Put Option expires
09/15/97, strike price $94.00................. 5,500
Total Purchased Options
---------------
(Cost $188,223) ........................................... 209,350
---------------
SHORT-TERM INVESTMENTS -- 1.2%
U.S. TREASURY BILLS
2,200,000 U.S. Treasury Bill 5.160%, 08/21/97(b)
(Cost $2,129,363) ........................... 2,129,363
---------------
Total Investments -- 96.8%
(Cost $180,146,163) $ 180,144,033
Other assets in excess of liabilities -- 3.2% 5,937,431
===============
Total Net Assets -- 100.0% $ 186,081,464
===============
</TABLE>
Notes to the Portfolio of Investments:
Euro-Dollar -- Bonds issued offshore that pay interest and principal in U.S.
Dollars.
REMIC -- Real Estate Mortgage Investment Conduit
TBA -- Delayed delivery transaction (Note 9)
Yankee-Dollar -- U.S. Dollar denominated bonds issued by non-U.S. companies in
the U.S.
(a) All or a portion of these securities have been segregated to cover delayed
delivery transactions.
(b) Security has been pledged to cover collateral requirements for open
futures.
The accompanying notes are an integral part of the financial statements.
31
<PAGE>
- -------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Intermediate-Term Bond Fund / June 30, 1997
(unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
- ------------------------------------------------------------------------------
<S> <C> <C>
U.S. CORPORATE OBLIGATIONS -- 75.1%
Asset Backed and Mortgage Backed
$2,512,000 DQU II Funding
7.230%, 12/01/99................................ $ 2,541,616
1,500,000 Household Private Label Credit
Card Master Trust II
8.000%, 09/20/03................................ 1,535,625
1,000,000 Signet Credit Card Master Trust
7.350%, 09/15/02................................ 1,014,060
--------------
5,091,301
--------------
Corporate Bonds & Notes
4,000,000 Alco Capital Resources
7.330%, 03/27/98................................ 4,035,960
50,000 Banponce Financial Corp.
6.750%, 08/09/01................................ 49,762
4,250,000 BellSouth
Capital Funding
6.040%, 11/15/26................................ 4,196,867
2,500,000 Continental Cablevision, Inc.
11.000%, 06/01/07............................... 2,811,125
2,000,000 Crane Co.
7.250%, 06/15/99................................ 2,029,560
3,000,000 CSX Corp.
6.950%, 05/01/27................................ 3,030,114
4,000,000 Grand Metropolitan Investment Corp.
0.000%, 01/06/04................................ 2,554,560
4,350,000 Hewlett-Packard
Finance Corp.
6.500%, 12/30/99................................ 4,369,031
3,000,000 Illinois Power
6.500%, 09/01/99................................ 2,987,160
4,500,000 James River Corp.
6.750%, 10/01/99................................ 4,528,710
4,500,000 MCI Communications Corp.
7.125%, 06/15/27................................ 4,656,195
4,500,000 McKesson Corp. 144A
6.875%, 03/01/02................................ 4,518,635
3,000,000 New Plan Realty, REIT
5.950%, 11/02/26................................ 2,998,803
4,200,000 Philip Morris Co., Inc.
6.950%, 06/01/06................................ 4,242,420
3,800,000 RJR Nabisco, Inc.
8.300%, 04/15/99................................ 3,899,104
4,000,000 Sears Roebuck
6.400%, 09/25/00................................ 3,969,440
4,900,000 Six Flags Entertainment
0.000%, 12/15/99................................ 4,174,359
4,000,000 Tele Communications, Inc.
9.650%, 10/01/03................................ 4,249,240
3,500,000 Texaco Capital
8.500%, 02/15/03................................ 3,775,380
1,500,000 United Illuminating
7.375%, 01/15/98................................ 1,511,655
--------------
68,588,080
--------------
Total U.S. Corporate Obligations
(Cost $73,700,810) ....................................... 73,679,381
--------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 12.5%
U.S. Government Agency Mortgage Backed Obligations
1,750,000 Federal National Mortgage
Association
8.550%, 12/10/04................................ 1,772,698
--------------
U.S. Government Agency Obligations
650,000 Federal Farm Credit
7.340%, 09/19/01................................ 650,813
550,000 Federal Home Loan Bank
7.300%, 10/18/01................................ 550,776
--------------
1,201,589
--------------
U.S. Treasury Notes
4,250,000 6.625% 04/30/02................................. 4,289,185
5,100,000 5.875% 11/15/99................................. 5,067,308
--------------
9,356,493
--------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
32
<PAGE>
- -------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Intermediate-Term Bond Fund / June 30, 1997
(unaudited) (continued)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
- -----------------------------------------------------------------------------
<S> <C>
Total U.S. Government and Agency Obligations
(Cost $12,319,244) ........................................ $ 12,330,780
-------------
FOREIGN OBLIGATIONS -- 4.2%
$ 4,000,000 Tenaga Nasional Yankee-Dollar
7.200%, 04/29/07
(Cost $3,994,428) ............................... 4,095,480
-------------
SHORT-TERM INVESTMENTS -- 7.0%
COMMERCIAL PAPER
4,000,000 Harvard University
5.520%, 07/02/97................................. 3,995,706
2,882,000 Household Finance Corp.
6.125%, 07/01/97................................. 2,881,509
Total Short-Term Investments
-------------
(Cost $6,877,215) ......................................... 6,877,215
-------------
Total Investments -- 98.8%
(Cost $96,891,697)......................................... 96,982,856
Other assets in excess of liabilities -- 1.2%................. 1,145,872
=============
Total Net Assets-- 100.0% $ 98,128,728
=============
</TABLE>
Notes to the Portfolio of Investments:
REIT -- Real Estate Investment Trust
144A -- Securities restricted for resale to Qualified Institutional Buyers
Yankee-Dollar -- U.S. Dollar denominated bonds issued by non-U.S. companies in
the U.S.
The accompanying notes are an integral part of the financial statements.
33
<PAGE>
- -------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Short-Term Bond Fund / June 30, 1997 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
- ------------------------------------------------------------------------------
<S> <C> <C>
U.S. CORPORATE OBLIGATIONS--25.4%
Asset Backed and Mortgage Backed
$ 530,000 Contimortgage Home Equity Trust
7.340%, 07/15/11................................... $ 536,954
359,944 Contimortgage Home Equity Trust, REMIC
6.860%, 07/15/10................................... 359,887
602,060 Equicredit Home Equity Trust, REMIC
6.450%, 11/15/08................................... 603,565
1,625,000 Equicredit Home Equity Trust, REMIC
6.840%, 11/15/08................................... 1,633,905
1,020,000 Student Loan Marketing Association
7.500%, 03/08/00................................... 1,048,213
1,250,000 The Money Store Home Equity Trust
6.520%, 04/15/12................................... 1,250,000
-----------
5,432,524
-----------
Corporate Bonds & Notes
800,000 American General 8.500%, 06/15/99.................. 830,216
500,000 Associates Corp. N.A. 8.250%, 12/01/99............. 519,360
215,000 BankAmerica Corp. 6.625%, 05/30/01................. 214,443
1,625,000 BankAmerica Corp. 8.125%, 02/01/02................. 1,706,526
475,000 Ford Motor Credit Corp. 7.000%, 09/25/01........... 479,009
650,000 Ford Motor Credit Corp. 8.000%, 01/15/99........... 666,198
317,000 Nationsbank Corp. 6.500%, 08/15/03................. 309,861
1,785,000 Norwest Corp. 8.150%, 11/01/01..................... 1,881,194
1,500,000 Salomon, Inc. 6.700%, 07/05/00..................... 1,498,770
300,000 Sears Roebuk Acceptance Corp.
6.950%, 05/15/02................................... 301,436
-----------
8,407,013
-----------
Total U.S. Corporate Obligations
(Cost $13,816,860) ............................................ 13,839,537
-----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS--72.0%
U.S. Government Agency Mortgage Backed Obligations
990,955 Federal Home Loan Mortgage Corp., REMIC
6.000%, 08/15/20................................... 987,546
4,495,393 Federal National Mortgage Association
6.470%, 12/01/01................................... 4,460,598
2,464,307 Federal National Mortgage Association
6.925%, 03/01/01................................... 2,485,870
1,594,677 Federal National Mortgage Association
8.500%, 03/01/25................................... 1,660,154
-----------
9,594,168
-----------
U.S. Government Agency Obligations
425,000 Federal Home Loan Bank 5.870%, 11/21/00............ 417,762
1,000,000 Federal Home Loan Bank 6.100%, 10/27/99............ 992,970
1,300,000 Federal Home Loan Mortgage Corp.
6.395%, 05/16/00................................... 1,300,806
3,105,000 Federal Home Loan Mortgage Corp.
7.125%, 07/21/99................................... 3,157,878
2,036,000 Federal Home Loan Mortgage Corp., REMIC
7.000%, 06/15/21................................... 2,044,999
</TABLE>
The accompanying notes are an integral part of the financial statements.
34
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Short-Term Bond Fund / June 30, 1997 (unaudited)
(continued)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Amount Value
- --------------------------------------------------------------------------------
<S> <C> <C>
$ 580,000 Federal National Mortgage
Association
6.270%, 10/26/00.................................... $ 574,200
------------
8,488,615
------------
U.S. Treasury Notes
4,994,000 4.750% 10/31/98..................................... 4,917,542
783,000 6.375% 01/15/99..................................... 787,526
300,000 6.750% 06/30/99..................................... 303,657
14,744,000 7.125% 09/30/99..................................... 15,045,811
------------
21,054,536
------------
Total U.S. Government and Agency Obligations
(Cost $39,046,042).............................................. 39,137,319
------------
Total Investments--97.4%
(Cost $52,862,902) 52,976,856
Other assets in excess of liabilities--2.6%....................... 1,422,187
============
Total Net Assets--100.0% $54,399,043
============
</TABLE>
Notes to the Portfolio of Investments:
REMIC -- Real Estate Mortgage Investment Conduit
The accompanying notes are an integral part of the financial statements.
35
<PAGE>
- -------------------------------------------------------------------------------
Notes to Financial Statements
American Odyssey Funds, Inc./June 30, 1997 (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 company separate accounts to serve as the underlying investment
vehicle for variable annuity and variable life insurance contracts; qualified
retirement plans, as permitted by Treasury regulations and insurance companies
and their affiliates.
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
36
<PAGE>
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 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
37
<PAGE>
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 obligation, 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) Distributions
Dividends from net investment income and capital gains distributions are
determined in accordance with U.S. federal income tax regulations which may
differ from generally accepted accounting principles. As a result, dividends and
distributions differ from net investment income and net realized capital gains
due to timing differences, primarily the
38
<PAGE>
deferral of losses due to wash sales and the deferral of net realized capital
losses recognized subsequent to October 31, 1996. Distributions which were the
result of permanent differences between book and tax rules, primarily due to the
differing treatment of foreign currency transactions and the inability to carry
net operating losses forward to future years, have been reclassified between
additional paid-in capital, undistributed net investment income and accumulated
net realized gain on investments.
k) 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 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, .75% for the first $50 million in assets allocated to Cowen
Asset Management ("Cowen"), .70% for the next $50 million in assets allocated to
Cowen, and .65% for assets over $100 million allocated to Cowen, .65% for the
first $100 million in assets allocated to Wilke/Thompson Capital Management,
Inc. ("Wilke/Thompson") and .55% for the assets over $100 million allocated to
Wilke/Thompson; Core Equity Fund, .60% for the first $100 million in assets and
.55% for the assets over $100 million; Long-Term Bond Fund, .50% for the first
$250 million in assets, and .40% for assets 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's management fees for the six months ended June 30, 1997 were $2,904,189.
AOFM previously agreed to waive fees or reimburse expenses for the
Short-Term Bond Fund to the extent the Fund's total expense ratio (excluding
interest, taxes, brokerage, other expenses which are capitalized in accordance
with generally accepted accounting principles, and extraordinary expenses, but
including the Manager's investment advisory fees), exceeded 0.75%. The
Short-Term Bond Fund is currently repaying the Manager for any fees the Manager
previously waived or expenses the Manager previously reimbursed pursuant to the
above expense limitation; however, no repayment will be made if it would result
in the Fund's total expense ratio in any year exceeding the expense limitation
set forth
39
<PAGE>
above. For the six months ended June 30, 1997, the Short-Term Bond Fund paid to
AOFM $37,416 for reimbursement of previous fees waived and expenses reimbursed.
At June 30, 1997, the Short-Term Bond Fund has a future liability to reimburse
AOFM of $5,376.
AOFM has acknowledged that upon termination of the Investment Management
Agreement between AOFM and the Funds, the portfolios 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, .50% for the
first $50 million in assets allocated to Cowen, .45% for the next $50 million in
assets allocated to Cowen, and .40% for assets over $100 million allocated to
Cowen, .40% for the first $100 million in assets allocated to Wilke/Thompson and
.30% for assets over $100 million allocated to Wilke/Thompson; Core Equity Fund,
.35% for the first $100 million in assets and .30% for assets over $100 million;
Long-Term Bond Fund, .25% for the first $250 million in assets and .15% for
assets 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, 1997,
broker-dealers paid custodian expenses for the International Equity Fund and the
Core Equity Fund of $15,203 and $31,527, 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, 1997 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...................... $ -- $ -- $ -- $ 338,587,912 $ 18,220,691 $ 62,794,659
Non-Government.................. 36,420,184 96,452,444 83,418,958 29,605,501 28,548,178 9,421,840
------------ ============ ============ ============= ============ ============
Total........................... $ 36,420,184 $ 96,452,444 $ 83,418,958 $ 368,193,413 $ 46,768,869 $ 72,216,499
============ ============ ============ ============= ============ ============
Sales:
Government...................... $ -- $ -- $ -- $ 341,851,047 $ 26,029,746 $ 61,705,258
Non-Government.................. 13,611,243 72,631,526 61,912,029 7,013,923 20,402,975 2,593,790
============ ============ ============ ============= ============ ============
Total........................... $ 13,611,243 $ 72,631,526 $ 61,912,029 $ 348,864,970 $ 46,432,721 $ 64,299,048
============ ============ ============ ============= ============ ============
</TABLE>
40
<PAGE>
At June 30, 1997, 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......... $ 171,498,435 $ 179,879,926 $ 253,620,699 $ 180,146,163 $ 96,891,697 $ 52,862,902
Gross Unrealized
Appreciation.................. 45,757,077 36,511,640 100,318,247 1,894,510 414,632 192,386
Gross Unrealized
(Depreciation)................ (4,235,562) (12,312,547) (926,385) (1,896,640) (323,473) (78,432)
</TABLE>
NOTE 6. Futures Contracts
At June 30, 1997, the Long-Term Bond Fund had entered into the following
futures contracts:
<TABLE>
<CAPTION>
Number Unrealized
of Contracts Underlying Expiration Nominal Nominal Appreciation/
Short Position Face Value Securities Date Cost Value (Depreciation)
- -------------- ------------ --------------------------------- ---------- ------------- ----------- -------------
<S> <C> <C> <C> <C> <C> <C>
11 $1,100,000 U.S. Long-Term Treasury Bonds 9/30/97 $1,220,917 $1,221,687 $(770)
</TABLE>
NOTE 7. Written Options
The Long Term Bond Fund's activity in written options during six months
ended June 30, 1997 was as follows:
<TABLE>
<CAPTION>
Number of
Options Premiums
---------- -----------
<S> <C> <C>
Options Outstanding at December 31, 1996..................... 213 $ 197,715
Options Written.......................................... 1,749 954,807
Options Canceled in Closing Transactions................. (1,538) (908,326)
Options Expired.......................................... (200) (107,094)
Options Exercised........................................ (111) (69,324)
---------- -----------
Options Outstanding at June 30, 1997......................... 113 $ 67,778
========== ===========
Cost of closing transactions................................. $ 700,450
</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, 1997:
<TABLE>
<CAPTION>
Foreign Unrealized
Contract Settlement Appreciation/
Purchases U.S. Value Date Value Depreciation
- ------------------------------------------------------------- ----------- ------------ ----------- ------------
<S> <C> <C> <C> <C>
Japanese .................................................... $ 460,663 07/01/97 $460,019 $(644)
German Deutsche Mark......................................... 198,279 07/02/97 198,340 61
-------- ------
Total Purchases........................................ $658,359 $(583)
======== ======
</TABLE>
41
<PAGE>
<TABLE>
<CAPTION>
Foreign Unrealized
Contract Settlement Appreciation/
Sales U.S. Value Date Value Depreciation
- ---------------------------------------------------------- ------------ ------------ ------------ ---------------
<S> <C> <C> <C> <C>
British Pound............................................. $10,089,260 09/23/97 $10,302,126 $(212,866)
German Deutsche Mark...................................... 4,743,017 09/12/97 4,593,323 149,694
Netherlands Guilder....................................... 2,824,300 07/16/97 2,771,398 52,902
Netherlands Guilder....................................... 3,000,853 08/20/97 2,913,366 87,487
Netherlands Guilder....................................... 4,714,707 09/05/97 4,663,403 51,304
Swiss Franc............................................... 4,746,389 07/23/97 4,671,594 74,795
Swiss Franc............................................... 4,725,965 08/13/97 4,603,946 122,019
=========== =========
Total Sales......................................... $34,519,156 $ 325,335
=========== =========
</TABLE>
NOTE 9. Delayed Delivery Transactions:
The Long-Term Bond Fund may purchase securities on a when-issued or
forward commitment basis. Payment and delivery may take place a month or more
after the date of the transactions. The price of the underlying securities and
the date when the securities will be delivered and paid for are fixed at the
time the transaction is negotiated. The Fund instructs its custodian to
segregate securities having a value at least equal to the net amount of the
purchase commitments.
At June 30, 1997, the Fund has entered into the following delayed delivery
transactions.
<TABLE>
<CAPTION>
Type Security Settlement Date Amount
- ------- ---------------------------------------------------------------------- ----------------- ---------
<S> <C> <C> <C>
Buy Federal Home Loan Mortgage Corp...................................... 07/14/97 $2,337,343
----------
</TABLE>
42
<PAGE>
[LOGO OF AMERICAN ODYSSEY(R) FUNDS APPEARS HERE]
American Odyssey Funds Management, Inc.
The 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.
