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SEMI-ANNUAL REPORT
June 30, 1999
A M E R I C A N
Global High-Yield Bond Fund
International Equity Fund
Emerging Opportunities Fund
Core Equity Fund
Long-Term Bond Fund
Intermediate-Term Bond Fund
AMERICAN
[LOGO] ODYSSEY(R)
F U N D S
<PAGE>
Dear American Odyssey Fund Participants:
It is my pleasure to present you with the 1999 semi-annual report for the
American Odyssey Funds. This report is intended to provide you with up-to-date
information about the American Odyssey Funds, their performance, investments and
summaries of the various capital markets they represent.
For the six months ending June 30, 1999, four of our six funds were ahead of
their benchmarks. Of particular note are the Emerging Opportunities Fund, our
small cap offering, posted a 13.82% return, nearly 3.00% ahead of the Russell
2500 Index. Also, the Global High-Yield Fund was up 5.93% versus a blended
benchmark (75% CS First Boston High-Yield Bond Index/25% J.P. Morgan EMBI Plus
Index) return of 3.92% for the same period. This following on the heels of the
Russian Bond Default last summer. We hope you find this and all the other
information contained herein interesting and useful.
As always, we appreciate your continued participation in the American Odyssey
Funds. We look forward to serving your investment needs now and in the future.
Very truly yours,
/s/ Robert C. Dughi
ROBERT C. DUGHI
Chairman of the Board and President
American Odyssey Funds Management, Inc.
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AMERICAN ODYSSEY GLOBAL HIGH-YIELD BOND FUND
The American Odyssey Global High-Yield Bond Fund returned 5.93% for the six
months ended June 30, 1999. The blended benchmark (75% CS First Boston High-
Yield Bond Index/25% J.P. Morgan EMBI Plus Index) returned 3.92% for the same
period.
Returns were relatively strong both in domestic high yield and emerging
market debt. Within high yield, our decisions on how to weight certain industry
sectors (compared to the benchmark) were most effective, specifically our
overweights in telecommunications, cable/media and gaming, all of which
performed better than the broad high yield market; and our underweights in
energy and health care, both of which lost ground.
Returns in our emerging markets holdings were strongest during the second
quarter. Noteworthy country allocations included a brief overweighting in
Russia, which was the best-performing debt market in the entire world; an
overweighting in Venezuela, which was the quarter's second-strongest market
after Russia; and an underweighting in Argentina, which barely generated a
positive return.
Our positive outlook for high yield is largely unchanged, based on the
strong U.S. economy; minimal U.S. inflation; the recent shift in the Federal
Reserve's official view on interest rates; and signs of improvement in
economically sensitive industries. Yield spreads relative to comparable-
maturity U.S. Treasury bonds should continue to narrow, which should push bond
prices higher. We're also optimistic about emerging debt markets because their
valuations are roughly unchanged from their levels at the beginning of 1999,
while their overall risk has declined.
Our core approach to the Fund's high yield portion continues to emphasize
telecommunications, cable/media and gaming. We are also selectively adding to
positions in economically sensitive industries such as paper and energy, whose
underlying fundamentals are starting to get better. In emerging markets, we
have reduced overall risk and continue to favor two general types of markets.
These are commodity-linked nations such as Mexico, Venezuela and Indonesia; and
stronger sovereign credits that offer the best value, including Mexico, Panama
and the Philippines.
We are maintaining exposure to high yield and emerging market debt in line
with the Fund's blended benchmark, which allocates 75% to high yield and the
remaining 25% to emerging markets. This balance reflects our view that both
markets currently offer attractive value.
Credit Suisse Asset Management
Investment Subadviser to the American Odyssey Global High-Yield Bond Fund
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AMERICAN ODYSSEY INTERNATIONAL EQUITY FUND
The American Odyssey International Equity Fund returned 7.13% for the six
months ended June 30, 1999. The MSCI EAFE Index returned 4.11% for the same
period.
European telecom stocks began 1999 as they ended 1998 -- driving the
portfolio forward. The strong performance of telecom stocks has been driven
primarily by the explosive growth in the use of mobile phones across the globe.
Indeed most analysts have consistently underestimated the rate of this growth in
recent years and there is little reason to believe that the pace is likely to
slow in the near future.
Vodafone had a dramatic start to the year when in the first week of January
it announced an unsolicited bid to purchase AirTouch, the largest independent US
wireless phone company. The proposal, which was quickly accepted by AirTouch,
was loudly cheered by investors and resulted in Vodafone's shares racing ahead
during the year. In February Olivetti shook up corporate Italy with an
audacious bid for its much larger rival, Telecom Italia. Mannesmann made the
largest single contribution to performance within the portfolio. The German-
quoted company saw its shares rise steadily as it made a string of acquisitions
that increased the value of its telecommunications network in Europe. NTT
DoCoMo, the Japanese mobile phone company, was also a strong performer during
the year in which it released full-year results that were considerably ahead of
both management projections and analyst expectations. It also announced global
alliances that will enable its mobile subscribers to connect to the Internet.
The recovery of bank stocks from their lows in 1998, continued into the new
year. This had a positive impact on the portfolio where UK-quoted Barclays Bank
was a standout performer. The company's new management team said it believes it
has opportunities to increase its revenues over the coming years.
On the negative side, a number of stocks in the Healthcare Needs theme did
not fare well over the quarter, as many investors decided shares in cyclical
companies represented better value than pharmaceutical and other traditional
growth-type stocks. UK-quoted Glaxo Wellcome suffered after reporting increased
competition for some of its key drugs during the first four months of the year.
One encouraging performer in this theme was Japanese-quoted Takeda Chemical
which was one of the portfolio's strongest stocks over the year following the
release of better than expected profits and the sale of its less profitable
agri-chemicals business to BASF.
Insurance companies generally were underperformers during the year because
of concern about rising US interest rates and the negative impact this would
have on their bond portfolios. Swiss Re, the world's second-largest reinsurer
also declined on concern that the non-life reinsurance market will suffer as
natural catastrophes increase. The company's second-half profit fell by 20%
last year, hurt by rising claims from catastrophes.
As of June 30, 1999 a portion of the portfolio's Japanese exposure was
hedged.
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OUTLOOK
In recent months much investor focus has been on the rally in cyclical
stocks and there has been a lot of talk about whether this represents a
departure from the trend established in recent years. Some of this rally has
been because of improving expectations for sales, albeit from disastrously low
levels. The marginal increase in interest rates in the US has also had an
impact because it has hurt the outlook for growth stocks by reducing the present
value of their future earnings. More significantly, in the aftermath of the
economic crises of recent years, the pace of consolidation in many commodity-
based industries, which tend to be cyclical in nature, has accelerated
considerably. It is hoped that this will have a more durable impact on cyclical
industries by bringing both cost savings and more effective capacity control.
The jury is still out on whether this is a long-term effect or whether the rally
is temporary. As investors we remain focused on identifying companies which we
believe are capable of delivering above average earnings growth on a stock-by-
stock basis rather than across-the-board sector allocations.
There is no doubt that the period of acute crisis in Southeast Asia is over
and liquidity flows have restored many markets in the region to levels they were
at before the summer of 1997. Nevertheless we do not believe that the structural
weakness which was exposed by the crisis has been fully corrected and
consequently we remain extremely cautious about investing in the region. Major
progress has been made on the paydown of foreign debt and corporate
restructuring is certainly underway with significant consolidation in some
industries and a number of cross-border mergers. But, there still remains
significant overcapacity in various sectors and significant improvement in the
regulatory environment could take years. These developments should over time
lead to investment opportunities on a very selective basis.
Although the Japanese figures for the first quarter were very strong,
historically these numbers have been very volatile and subject to extensive
revision. Other economic data released after the headline-grabbing GDP numbers
were very mixed and consequently the second quarter numbers are being eagerly
awaited to determine if a definite positive trend is emerging. While there is
some evidence of economic recovery in Japan, the country's corporate culture is
very definitely being challenged by events such as Cable & Wireless' purchase of
IDC (a Japanese long-distance telephone carrier), which was the first hostile
takeover of a Japanese company by a foreign corporation. Positive earnings news
from a number of Japanese companies this year does not mean that economic growth
prospects have materially improved, but rather the better quality companies have
started to rebuild margins from very depressed levels.
On the corporate level most Japanese companies still need to restructure in
order to become competitive on a global basis, but only some need to restructure
in order to survive. This fact may
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delay any across the board reform of corporate Japan. Labor downsizing will be
a feature of any restructuring, but simply cutting jobs is not the route to real
restructuring. Asset shrinkage will also be required and companies will need to
focus on the areas in which they excel. In this environment we believe Japan
truly is a stock-picker's market because not all companies will deliver on the
promises they are currently making to investors.
In Europe, after the initial excitement following its introduction in
January, the new euro currency has received a lot of negative press as it has
steadily declined against the US dollar and other major currencies. Focusing on
the decline this year neglects the sharp rise the European currencies
experienced at the end of 1998 in anticipation of its launch. On a trade-
weighted basis the euro's fall is less dramatic and mostly reflects cyclical
differences and interest-rate movements. The euro is acting as a catalyst for
change in corporate Europe and the high level of mergers and acquisitions
activity this year reflects this. Already the new currency is increasing
competition across Europe and is enabling companies to address Europe's
structural rigidities.
As equity investors, we continue to attempt to identify companies that are
at the forefront of this change and which can significantly grow their earnings
in the single currency environment. The restructuring that is underway in
Europe is leading to huge equity issuance -- some $220bn is expected in 1999 --
and is creating investment opportunities. We continue to believe that companies
in the telecom, pharmaceutical and financial service sectors are most likely to
be the main beneficiaries of the single currency and we have positioned the
portfolio accordingly.
Bank of Ireland Asset Management (US) Limited
Investment Subadviser to the American Odyssey International Equity Fund
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AMERICAN ODYSSEY EMERGING OPPORTUNITIES FUND
The American Odyssey Emerging Opportunities Fund returned 13.82% for the
six months ended June 30, 1999. The Russell 2500 Index returned 10.88% for the
same period. The following commentary has been provided by Chartwell Investment
Partners, co-investment subadviser to the American Odyssey Emerging
Opportunities Fund. Chartwell managed 53% of the portfolio as of June 30, 1999.
Value vs. Growth, large vs. small, companies with earnings vs. companies
without. No matter what market index you analyze or investment style you study,
the market returns have been narrow and selective. In fact, the best
performance in the market has been concentrated in companies larger than
smaller, growth oriented vs. value stocks and companies that don't make a profit
vs. those that are profitable. Oh, by the way, if a stock has all three of
these characteristics and is in some way involved with an Internet strategy,
you've now defined nirvana. With a 4D analysis of the market there is no
comfort in the fact that nearly 100% of the market's return is contained in only
1 of 16 sectors of the market as defined by the attributes just outlined. So
far in 1999: 1) 18 of the top 20 performing stocks in the Russell 2000 have
market caps greater than $1.5 billion and are not profitable; 2) only 40% of
companies in the Russell 2000 have experienced positive returns in 1999; 3) the
average performance of all companies with a market cap of less than 1 billion is
negative for 1999. Such a high degree of performance concentration is a classic
red flag to investors.
Fundamental investing, discounted cash flow and dividend discount models
are all ancient techniques that have no place in today's market. No doubt the
implication of the Internet on today and tomorrow's economy will be profound.
All the projections of marketplace domination and transformation will be lost
amongst the speculating day trader if the ultimate valuations can't be
justified. Business models without a near-term profit objective or defensible
competitive strategy that don't rely on more than a "first mover advantage", are
usually the domain of the venture capitalist. Before judgment day (when the
company exhausts its capital or when the company is self-financing), all early
stage investments have unlimited opportunities to provide returns to their
investors. However, when the risks of early stage investing are ignored, we
witness the narrow speculative markets like we've experienced in the last six
months. Suffice it to say, this narrow march cannot continue. For the market
to continue to provide investors with positive returns, a broadening of the
market must materialize. The stable domestic economy and recent rebound in
large cap cyclicals shows promise for the small cap investor. Don't be
captivated by the allure of the returns being afforded to the Internet traders.
Rationalization and justification will soon prevail.
The following commentary has been provided by SG Cowen Asset Management,
co-investment subadviser to the American Odyssey Emerging Opportunities Fund.
SG Cowen Asset Management managed 47% of the portfolio as of June 30, 1999.
6
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After a number of years of underperformance, small cap stocks staged an
impressive comeback during the six-month period ended June 30, 1999. The
disparity in valuation between small cap value and large cap growth had grown to
epic proportions. Midway through the period, the relative and absolute strength
of small cap value stocks started to improve as energy and other economically
sensitive stocks performed well.
During the first half of 1999 a substantial change in investor philosophy
took place in which money shifted from growth to value and from large cap to mid
cap and small cap stocks. As the Asian economic crisis receded and the U.S.
economy continued to post impressive growth, investors felt comfortable reaching
for stocks that were undervalued and perhaps less liquid.
Strong performers during the period included Allegiance Telecommunications,
Coventry Healthcare, and Smith International. Our purchase of Allegiance
Telecommunications took advantage of the selloff of telecommunication and
technology stocks in late 1998. In the first half of the year, the stock
climbed from $13 to $50. Coventry Healthcare, a regional HMO serving the
Midwest, MidAtlantic, and Southeast United States, gained 95% in the period as
investors recognized management's efforts to reduce costs, increase membership
rolls, and gain pricing strength with rising premiums.
The portfolio's overweighting in energy, service and equipment companies,
and drillers was a significant boost to performance in a period in which the
price of oil rose from about $11 to $18 per barrel. For example, our investment
in Smith International, a market leader in the energy, service and equipment
area produced an 80% return during the period. In addition, BJ services, which
provides pressure pumping and stimulation services for new oil and gas wells
rose over 50%.
Another area of strong performance was economically cyclical sectors such
as paper and forest products. Our investment in Georgia Pacific produced a 65%
return. Certain investments have yet to pay off, such as Calgon Carbon in the
chemicals sector, a manufacturer and marketer of separation and purification
technologies. Although the stock has not performed well, due to increased Asian
demand, we believe the valuation remains very attractive as insiders continue to
purchase shares in the open market.
Our current strategy is to remain overweighted in energy and basic industry
stocks, although we are taking selected profits. While we continue to be
underweighted in financial services, we are actively searching for companies
with attractive valuations and some type of growth catalysts, particularly in
insurance and, to some degree, real estate investment trusts.
Our strategy is to seek companies that have fallen out of favor and are
selling at attractive valuations. We then look for potential catalysts that can
bring companies to life, such as new management, products, or technology. Our
research team analyzes a company's fundamental
7
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strength, preferring those with improving balance sheets and cash flows, growing
market share, and experienced management with significant stock ownership.
An excellent example of the rewards of our adherence to our long held and
time-tested discipline was our emphasis on energy stocks last fall during a
period when most investors shunned them. We had conviction that the $11 per
barrel oil prices were unsustainable and that recessions in oil-producing
countries such as Saudi Arabia and Venezuela would force them to cut back
production in order to boost prices. In addition, the largest international oil
companies were stepping back from expensive exploration and production projects
and merging to cut costs. We also believed that Asia's economic problems were
temporary and that the Federal Reserve Board and other major central banks would
be successful in creating new liquidity. Year-to-date energy has been one of
the best performing sectors in the Russell 2000 Index, with an average return of
more than 20%.
One group that has become attractively valued is the small cap financial
services sector. We are employing our analytics and looking for growth
catalysts that may make individual stock's value be recognized. We have been
selectively increasing our weighting in this sector adding multi-line insurance
names such as St. Paul Companies and Horace Mann Educators. Both of these
companies are attractively valued, have specific market niches, and have a
potential near-term catalyst. Other new stock specific names added include Zoll
Medical in health care, Calgon Carbon in water purification, and Mentor Graphics
and Santa Cruz Operations in technology.
Our disciplined value approach has been successful when viewed over a long-
term horizon, and we believe the last few months suggests that our methodology
is poised to rebound again. In the past, when a shift to small cap returns has
occurred, it has lasted for several years -- nine consecutive years after 1974
and four consecutive years after 1990. With the current level of attractive
valuations and the return of investor confidence, we believe small caps should
begin another period of very strong performance.
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AMERICAN ODYSSEY CORE EQUITY FUND
The American Odyssey Core Equity Fund returned 8.07% for the six months
ended June 30, 1999. The S&P 500 Index returned 12.38% for the same period.
During the first six months of 1999, the value style of equity management
showed a marked improvement following the previous two years when returns for
the value approach were distinctly lower than the growth-oriented styles,
especially those styles with a large capitalization bias. Strategically, we
positioned the portfolio well with regard to sector weights, average
capitalization of holdings, and valuation of the portfolio. During the first
half we restructured the portfolio by increasing cyclical exposure, especially
in the commodity and capital goods, and reduced the market capitalization size
of the average stock. In the process the portfolio became even more value-
oriented in terms of factors such as price-to-earnings, price-to-cash-flow, and
price-to-book. In combination, these shifts were beneficial as the overall
market took a more value-oriented bias over the course of the second half.
Negatively impacting the portfolio were stock specific issues in certain
sectors including the technology and commodity categories. In each of these
areas our returns were positive, but trailed the comparable return in the
benchmark. This occurred, in part, because of strong performance by smaller
companies to which our large capitalization approach has little exposure. We
also had underperformance for several of our holdings and these have been
carefully reviewed. In those instances where we believe underperformance is
likely to continue, we eliminated or reduced the position. Examples of these
include Philip Morris, Lockheed Martin, PacifiCorp, and Compaq Computer. In
those instances where we believe there is substantial upside, as short-term
difficulties are overcome, we have maintained the position in the portfolio.
This would include Intel, McKesson/HBOC, and Columbia/HCA Healthcare. We
believe there are a number of holdings in the portfolio, including these three,
which have enormous upside as the momentum of their business returns.
Benefiting the portfolio was a stronger and broader based economy aided by
strength in the United States and improvement in Asia, Europe, and Latin
America. This better growth is leading to greater pricing flexibility and
improved profitability for companies that have struggled to raise profits in the
previous period of slower growth. This trend will continue to support the
performance of value style investing.
We believe the outlook continues to be favorable for U.S. equities. We
foresee low inflation, improving corporate profits, and continued cost cutting
and technological innovations by the average American company. The portfolio
continues to emphasize stocks with low valuations versus the overall market and
is overweighted in the industrial and cyclical sectors.
Equinox Capital Management, L.L.C.
Investment Subadviser to the American Odyssey Core Equity Fund
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AMERICAN ODYSSEY LONG-TERM BOND FUND
The American Odyssey Long-Term Bond Fund returned 3.25% for the six months
ended June 30, 1999. The Salomon Core+5 Index returned 1.96% for the same
period.
Long duration exposure throughout the period had a substantially negative
impact on returns as interest rates rose across the curve. Yield curve exposure,
on the other hand, made a small positive contribution to returns, as we shifted
over the period from a modest bullet to a barbelled exposure in a flattening
yield curve environment. Exposure to inflation-indexed bonds also contributed to
performance, for while real yields rose modestly, they did not rise as much as
nominal rates. Spread products generated modestly positive returns for the
quarter with yield spreads on corporate and mortgage securities ending the
period at levels slightly tighter than those at which they had begun the year.
Our corporate exposure was moderately over-weight exposure with an emphasis on
longer duration issues. In the mortgage sector, we were also over-weight
relative to the benchmark and emphasized lower coupon issues to minimize
prepayment exposure. Emerging market securities contributed positively to
returns as spreads stabilized at relatively wide levels.
At the June Federal Open Market Committee Meeting (FOMC), the Federal
Reserve tightened monetary policy with the express purpose of retarding the pace
of economic growth. To date there are no signs, in our view, of rising
inflation pressures accompanying economic strength, so we believe the tightening
was purely preemptive and not a precursor of more to come. This will depend,
however, on whether the economy is able to continue growing at a pace that makes
the Fed uncomfortable. We believe that the seeds of a slowdown have been sown,
in the form of sharply higher interest rates as the result of the bond market's
selloff and the Fed's actions. The evidence is beginning to show in the form of
sharply lower refinancing rates, a slowdown in construction spending, and a
slowdown in the pace of job creation. As the evidence of a moderating economy
builds over the course of the summer we expect that interest rates will begin to
subside, and the market will adjust its expectations of future Fed tightening
downwards. In the meantime, sensitive leading indicators of inflation remain
remarkably quiescent, suggesting that even the continued presence of strong
growth is not a fundamental inflation problem.
Western Asset Management Company
Investment Subadviser to the American Odyssey Long-Term Bond Fund
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AMERICAN ODYSSEY INTERMEDIATE-TERM BOND FUND
The American Odyssey Intermediate-Term Bond Fund returned 0.33% for the six
months ended June 30, 1999. The Lehman Government/Corporate Intermediate Bond
Index returned 0.59% for the same period.
During the first half of 1999 the Lehman Bond Index tightened 8 basis
points. Treasury prices declined as yields rose 30 to 110 basis points with the
5-year Treasury ending at 5.65% up from 4.54% at the beginning of the year. The
current economic statistics indicate continued economic growth. We are still
looking for further signs of possible inflation in the price indices and there
remains an embedded fear of the need for the Fed to take more drastic action.
Interest rates continued to reflect the markets mounting concern over the
strong US economic growth. In June the Fed raised rates 25 basis points. The
market continues to price in the possibility of an additional 25 basis point
increase. Further rate increases are possible if the Fed senses continued
robust growth and exuberant stock prices. Strong corporate issuance has
resulted in wider spreads. We continue to like spread product and believe this
is a good buying opportunity for the long-term, but we will closely watch for
signs of credit deterioration.
We believe that the best strategy is to be overweight in corporates. Some
of our favorite industries are energy and cyclical bonds. New issues provide
more attractive pricing then secondary offerings and we try to add these to the
portfolio when possible. We are duration neutral and do not see any compelling
curve bets or duration bets.
Travelers Asset Management International Corporation
Investment Subadviser to the American Odyssey Intermediate-Term Bond Fund
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- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
American Odyssey Funds, Inc. / June 30, 1999 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Global Emerging Intermediate-
High-Yield International Opportunities Core Equity Long-Term Term
Bond Fund Equity Fund Fund Fund Bond Fund Bond Fund
----------- ------------- ------------- ------------- ------------ --------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities, at cost ....... $89,658,345 $231,614,809 $290,989,522 $382,934,300 $249,576,056 $130,656,900
==================================================================================================================================
Investments in securities, at value (see
accompanying Portfolio of Investments)
(Note 2) ................................. $86,360,952 $308,885,455 $305,083,883 $497,413,681 $242,977,866 $129,232,070
Cash ........................................ 242,766 5,848,015 13,621,783 -- 1,867,532 43,025
Cash, denominated in foreign currency
(cost, $2,351,422) ....................... -- 2,400,118 -- -- -- --
Receivables for:
Investment securities sold ............... -- 508,496 1,923,232 6,007,405 -- --
Unrealized appreciation on forward
foreign currency contracts (Note 8) .... -- 504,858 -- -- -- --
Interest ................................. 1,883,134 22,428 36,758 6,173 2,756,314 1,869,531
Dividends ................................ -- 453,813 97,379 864,845 -- --
Foreign tax reclaims ..................... -- 418,983 4,817 -- -- --
Variation margin on open futures
contracts (Note 6) ..................... -- -- -- -- 210,063 --
Prepaid expense ............................. -- -- 22,022 -- -- --
------------ ------------- ------------- ------------- ------------- -------------
Total assets ............................. 88,486,852 319,042,166 320,789,874 504,292,104 247,811,775 131,144,626
------------ ------------- ------------- ------------- ------------- -------------
LIABILITIES
Payables for:
Due to bank .............................. -- -- -- 185,664 -- --
Investment securities purchased .......... -- 1,236,692 4,933,347 1,495,113 -- 5,973,120
Delayed delivery transactions (Note 9) ... -- -- -- -- 4,775,812 --
Unrealized depreciation on forward
foreign currency contracts (Note 8) .... 14,359 73,044 -- -- -- --
Options written (premiums received
$62,206) (Note 7) ...................... -- -- -- -- 47,016 --
Payable to Adviser .......................... 53,322 168,819 204,685 250,775 108,183 55,212
Accrued expenses ............................ 24,957 41,068 15,671 48,583 35,985 24,552
------------ ------------- ------------- ------------- ------------- -------------
Total liabilities ........................ 92,638 1,519,623 5,153,703 1,980,135 4,966,996 6,052,884
------------ ------------- ------------- ------------- ------------- -------------
NET ASSETS .................................. $88,394,214 $317,522,543 $315,636,171 $502,311,969 $242,844,779 $125,091,742
============ ============= ============= ============= ============= =============
Capital shares outstanding .................. 8,968,393 17,590,080 23,085,191 26,311,660 23,974,467 12,216,194
============ ============= ============= ============= ============= =============
Net asset value per share ................... $9.86 $18.05 $13.67 $19.09 $10.13 $10.24
============ ============= ============= ============= ============= =============
- ----------------------------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS
Capital shares at par ....................... $ 89,684 $ 175,901 $ 230,852 $ 263,117 $ 239,745 $ 122,162
Additional paid-in-capital .................. 92,600,483 235,644,020 290,875,173 359,888,938 246,144,207 124,540,897
Undistributed net investment income
(distributions in excess of net
investment income) ....................... 4,299,529 2,734,894 (334,222) 2,865,320 8,283,989 3,526,447
Accumulated net realized gain (loss) on
investments, futures contracts, option
contracts and foreign currency
transactions ............................. (5,283,730) 1,234,527 10,770,007 24,815,213 (5,378,417) (1,672,934)
Net unrealized appreciation (depreciation)
on investments, translation of assets and
liabilities in foreign currencies,
futures contracts and option contracts ... (3,311,752) 77,733,201 14,094,361 114,479,381 (6,444,745) (1,424,830)
============ ============= ============= ============= ============= =============
$88,394,214 $317,522,543 $315,636,171 $502,311,969 $242,844,779 $125,091,742
============ ============= ============= ============= ============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
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- --------------------------------------------------------------------------------
Statements of Operations
American Odyssey Funds, Inc./For the six months ended June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Global Emerging Intermediate-
High-Yield International Opportunities Core Equity Long-Term Term
Bond Fund Equity Fund Fund Fund Bond Fund Bond Fund
---------- ------------- ------------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends ....................................... $ -- $ 2,909,366(1) $ 559,384(2) $ 4,306,783 $ -- $ --
Interest ........................................ 4,648,183 127,701 234,044 67,475 9,026,914 3,897,320
----------- ------------ ------------ ------------ ------------- ------------
Total income ................................. 4,648,183 3,037,067 793,428 4,374,258 9,026,914 3,897,320
----------- ------------ ------------ ------------ ------------- ------------
EXPENSES
Management fees (Note 3) ........................ 287,669 908,977 1,042,514 1,354,921 618,727 306,750
Audit fees ...................................... 8,332 8,331 7,289 7,289 7,537 7,537
Director's fees & expenses ...................... 3,828 11,837 11,660 19,135 9,986 5,044
Custodian fees .................................. 39,110 153,288 93,665 130,456 81,776 39,912
Legal fees ...................................... 4,056 7,499 5,709 9,457 4,976 2,386
Printing expense ................................ 4,293 15,761 20,958 26,189 13,823 6,894
Miscellaneous expense ........................... 1,727 5,235 5,109 8,917 4,653 2,317
----------- ------------ ------------ ------------ ------------- ------------
Total expenses before directed brokerage
arrangements ................................. 349,015 1,110,928 1,186,904 1,556,364 741,478 370,840
----------- ------------ ------------ ------------ ------------- ------------
Less:
Expenses paid under directed brokerage
arrangements (Note 4) ........................ -- (10,834) (59,254) (48,623) -- --
----------- ------------ ------------ ------------ ------------- ------------
Total expense reductions ....................... -- (10,834) (59,254) (48,623) -- --
----------- ------------ ------------ ------------ ------------- ------------
Net expenses ................................... 349,015 1,100,094 1,127,650 1,507,741 741,478 370,840
----------- ------------ ------------ ------------ ------------- ------------
Net investment income (loss) ................. 4,299,168 1,936,973 (334,222) 2,866,517 8,285,436 3,526,480
----------- ------------ ------------ ------------ ------------- ------------
REALIZED and UNREALIZED
GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on security
transactions ............................... (202,336) 6,206,185 12,855,600 25,304,517 (2,877,874) (1,672,237)
Net realized loss on futures contracts ....... -- -- -- -- (2,906,906) --
Net realized gain on option contracts ........ -- -- -- -- 22,253 --
----------- ------------ ------------ ------------ ------------- ------------
Net realized gain (loss) on security
transactions, futures contracts and
option contracts ........................ (202,336) 6,206,185 12,855,600 25,304,517 (5,762,527) (1,672,237)
Net realized gain on foreign currency
transactions ............................... 35,866 1,282,193 -- -- -- --
Net increase (decrease) in unrealized
appreciation of investments, futures
contracts and option contracts ............. 786,881 10,539,625 26,012,178 10,217,516 (10,588,703) (1,403,173)
Net change in unrealized appreciation
(depreciation) of translation of assets and
liabilities in foreign currencies .......... (13,611) 1,454,212 -- -- -- --
----------- ------------ ------------ ------------ ------------- ------------
Net realized and unrealized gain (loss) on
investments ............................. 606,800 19,482,215 38,867,778 35,522,033 (16,351,230) (3,075,410)
----------- ------------ ------------ ------------ ------------- ------------
Net increase (decrease) in net assets from
operations ................................. $4,905,968 $21,419,188 $38,533,556 $38,388,550 $ (8,065,794) $ 451,070
=========== ============ ============ ============ ============= ============
</TABLE>
(1) Net of withholding taxes of $444,194.
(2) Net of withholding taxes of $8,381.
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Statements of Changes in Net Assets
American Odyssey Funds, Inc.
- ------------------------------------------------------------------------------------------------------------------------------------
Global High-Yield Bond Fund International Equity Fund
---------------------------- ----------------------------
Period ended Year ended Period ended Year ended
June 30, 1999 December 31, June 30, 1999 December 31,
(Unaudited) 1998 (Unaudited) 1998
------------- ------------ ------------- -------------
<S> <C> <C> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income (loss)..................................... $ 4,299,168 $ 5,449,397 $ 1,936,973 $ 3,398,408
Net realized gain (loss) on security transactions, futures
contracts and option contracts................................. (202,336) (4,429,264) 6,206,185 (6,948,336)
Net realized gain (loss) on foreign currency transactions........ 35,866 (1,325) 1,282,199 (2,350,236)
Net increase (decrease) in unrealized appreciation
(depreciation) of investments, translation of assets and
liabilities in foreign currencies, futures contracts and
option contracts.............................................. 773,270 (4,468,929) 11,993,637 41,686,674
------------- ------------ ------------- ------------
Net increase (decrease) in net assets resulting from
operations..................................................... 4,906,958 (3,460,121) 21,419,188 96,985,311
------------- ------------ ------------- ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
From net investment income....................................... (5,442,107) (20,259) _ (5,154,657)
From net realized gains on investments transactions.............. _ _ _ (10,221,210)
------------- ------------ ------------- ------------
Total distributions to shareholders............................ (5,442,107) (20,259) _ (15,375,867)
------------- ------------ ------------- ------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sales of shares.................................... 4,727,307 30,761,702 15,769,284 44,196,631
Distributions reinvested......................................... 5,442,107 20,259 _ 16,375,887
Cost of shares repurchased....................................... (3,347,133) (4,124,056) (10,727,670) (17,661,458)
------------- ------------ ------------- ------------
Net increase (decrease) from capital share transactions........ 6,822,251 26,657,908 (3,968,986) 41,911,040
------------- ------------ ------------- ------------
Net increase (decrease) in net assets............................ 6,386,142 23,187,626 17,450,802 63,600,684
NET ASSETS
Beginning of period.............................................. 82,008,072 58,820,346 300,071,741 236,671,057
------------- ------------ ------------- ------------
End of period.................................................... $ 88,394,214 $ 82,008,072 $ 317,522,543 $ 300,071,741
============= ============ ============= =============
Undistributed net investment income (distributed in excess
of net investment income....................................... $ 4,299,529 $ 5,442,468 $ 2,734,894 $ 797,921
============= ============ ============= =============
CAPITAL SHARES
Capital shares outstanding, beginning of year.................... 8,255,528 6,704,494 17,809,092 16,277,557
Capital shares issued............................................ 461,069 2,964,963 997,467 2,696,337
Capital shares from distributions reinvested..................... 554,751 1,925 _ 918,510
Capital shares redeemed.......................................... (312,955) (405,864) (1,116,499) (1,082,312)
------------- ------------ ------------- ------------
Capital shares outstanding, end of year.......................... 8,968,393 5,265,528 17,590,080 17,809,092
============= ============ ============= =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Emerging Opportunities Fund Core Equity Fund Long-Term Bond Fund Intermediate-Term Bond Fund
- ------------------------------ ---------------------------- ------------------------------ -------------------------------
Period ended Year ended Period ended Year ended Period ended Year ended Period ended Year ended
June 30, 1999 December 31, June 30, 1999 December 31, June 30, 1999 December 31, June 30, 1999 December 31,
(Unaudited) 1998 (Unaudited) 1998 (Unaudited) 1998 (Unaudited) 1998
- ------------- --------------- ------------- ------------- ------------- -------------- ---------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ (334,222) $ (559,128) $ 2,866,517 $ 6,077,410 $ 8,285,436 $ 14,292,425 $ 3,526,480 $ 6,595,258
12,855,600 24,973,514 25,304,517 64,714,251 (5,762,527) 7,398,857 (1,672,237) 3,745,609
-- -- -- -- -- -- -- --
26,012,178 (45,105,846) 10,217,516 (4,421,205) (10,588,703) (853,133) (1,403,173) (608,893)
- ------------- --------------- ------------- ------------- ------------- -------------- -------------- -------------
38,533,556 (20,691,460) 38,388,550 66,370,456 (8,065,794) 20,838,149 451,070 9,731,974
- ------------- --------------- ------------- ------------- ------------- -------------- -------------- -------------
-- -- (6,078,603) (40,202) (14,567,381) (114,595) (6,579,835) (37,668)
(25,671,500) -- (65,203,555) (48,900,936) (6,872,189) (4,441,593) (3,746,307) (542,497)
- ------------- --------------- ------------- ------------- ------------- -------------- -------------- -------------
(25,671,500) -- (71,282,158) (48,941,138) (21,439,570) (4,556,188) (10,326,142) (580,165)
- ------------- --------------- ------------- ------------- ------------- -------------- -------------- -------------
23,225,006 49,422,449 16,956,912 58,159,646 11,631,503 31,060,308 5,531,343 17,626,605
25,671,500 -- 71,282,158 48,941,138 21,439,570 4,556,188 10,326,142 580,165
(14,452,196) (19,287,612) (25,986,755) (66,274,935) (15,085,746) (16,387,992) (7,249,194) (9,595,690)
- ------------- --------------- ------------- ------------- ------------- -------------- -------------- -------------
34,444,310 30,134,837 62,252,315 40,825,849 17,985,327 19,228,504 8,608,291 8,611,080
- ------------- --------------- ------------- ------------- ------------- -------------- -------------- -------------
47,306,366 9,443,377 29,358,707 58,255,167 (11,520,037) 35,510,465 (1,266,781) 17,762,889
268,329,805 258,886,428 472,953,262 414,698,095 254,364,816 218,854,351 126,358,523 108,595,634
- ------------- --------------- ------------- ------------- ------------- -------------- -------------- -------------
$315,636,171 $ 268,329,805 $502,311,969 $472,953,262 $242,844,779 $ 254,364,816 $ 125,091,742 $126,358,523
============= =============== ============= ============= ============= ============== ============== =============
$ (334,222) -- $ 2,865,320 $ 6,077,406 $ 8,283,989 $ 14,565,934 $ 3,526,447 $ 6,579,802
============= =============== ============= ============= ============= ============== ============== =============
20,493,456 18,071,430 22,953,325 20,812,710 22,145,289 20,383,564 11,356,645 10,531,347
1,769,048 3,809,758 790,440 2,836,416 1,026,367 2,806,155 495,535 1,650,973
1,903,002 -- 3,765,566 2,387,373 2,133,291 414,953 1,012,367 54,629
(1,080,315) (1,387,732) (1,197,671) (3,083,174) (1,330,480) (1,459,383) (648,353) (880,304)
- ------------- --------------- ------------- ------------- ------------- -------------- -------------- -------------
23,085,191 20,493,456 26,311,660 22,953,325 23,974,467 22,145,289 12,216,194 11,356,645
============= =============== ============= ============= ============= ============== ============== =============
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Global High-Yield Bond Fund
----------------------------------------------------------------------
Year ended December 31,
-------------------------------------------------------
Period ended
June 30,1999
(Unaudited) 1998(1) 1997 1996 1995 1994
------------ ------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period ..................................... $ 9.92 $ 10.31 $ 10.24 $ 10.22 $ 9.68 $ 10.07
-------- -------- -------- -------- -------- --------
OPERATIONS
Net investment income (2)................................ 0.47 0.66 0.55 0.37 0.51 0.45
Net realized and unrealized gain (loss) on investments .. 0.12 (1.05) 0.08 0.02 0.54 (0.46)
-------- -------- -------- -------- -------- --------
Total from investment operations ........................ 0.59 (0.39) 0.63 0.39 1.05 (0.01)
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income .................... (0.65) (0.00)(3) (0.56) (0.37) (0.51) (0.38)
-------- -------- -------- -------- -------- --------
Total distributions ..................................... (0.65) (0.00) (0.56) (0.37) (0.51) (0.38)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE
End of period ........................................... $ 9.86 $ 9.92 $ 10.31 $ 10.24 $ 10.22 $ 9.68
======== ======== ======== ======== ======== ========
TOTAL RETURN (4)............................................ 5.93% (3.76)% 6.11% 3.80% 10.86% (0.14)%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period (000's omitted) ............. $88,394 $82,008 $58,821 $48,673 $25,855 $17,629
Ratios of expenses to average net assets:
Before repayments/reimbursements and directed brokerage
arrangements ....................................... 0.82%(5) 0.78% 0.66% 0.68% 0.76% 1.02%
After repayments/reimbursements and directed brokerage
arrangements (6).................................... 0.82%(5) 0.78% 0.74% 0.75% 0.75% 0.75%
Ratios of net investment income to average net assets:
Before repayments/reimbursements and directed brokerage
arrangements ....................................... 10.08%(5) 7.56% 5.53% 5.54% 5.77% 4.99%
After repayments/reimbursements and directed brokerage
arrangements ....................................... 10.08%(5) 7.56% 5.45% 5.47% 5.78% 5.25%
Portfolio turnover rate ................................. 287.82% 193.04% 200.78% 154.51% 93.37% 233.25%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Prior to May 1, 1998, the Global High-Yield Bond Fund was named the
Short-Term Bond Fund and had a substantially different investment objective
and investment program.
(2) Net of expense reimbursements and repayments.
(3) Less than 0.01 per share.
(4) 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.
(5) Annualized.
(6) The after repayments/reimbursements and directed brokerage arrangements
figure may be greater than the before repayments/reimbursements 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.
16
<PAGE>
- --------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
International Equity Fund
------------------------------------------------------------------------------
Year ended December 31,
------------------------------------------------------------
Period ended
June 30, 1999
(Unaudited) 1998 1997 1996 1995 1994
---------------- ---------- ------------ ------------ ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period ..................................... $ 16.85 $ 15.48 $ 15.08 $ 12.68 $ 10.76 $ 11.98
--------- --------- --------- --------- -------- --------
OPERATIONS
Net investment income (loss) (1)......................... 0.11 0.09 0.57 0.29 0.17 (0.05)
Net realized and unrealized gain (loss) on investments .. 1.09 2.21 0.19 2.48 1.87 (0.78)
--------- --------- --------- --------- -------- --------
Total from investment operations ........................ 1.20 2.30 0.76 2.77 2.04 (0.83)
--------- --------- --------- --------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income .................... -- (0.31) (0.24) (0.30) (0.12) (0.03)
Distributions from net realized gains on
investments .......................................... -- (0.62) (0.06) (0.07) -- (0.26)
Distributions in excess of net investment income or
realized gains ........................................ -- -- (0.06) -- -- (0.10)
--------- --------- --------- --------- -------- --------
Total distributions ..................................... -- (0.93) (0.36) (0.37) (0.12) (0.39)
--------- --------- --------- --------- -------- --------
NET ASSET VALUE
End of period ........................................... $ 18.05 $ 16.85 $ 15.48 $ 15.08 $ 12.68 $ 10.76
========= ========= ========= ========= ======== ========
TOTAL RETURN (2)............................................ 7.13% 14.91% 5.04% 21.93% 19.00% (6.98)%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period (000's omitted) ............. $317,523 $300,072 $236,571 $187,109 $92,115 $51,712
Ratios of expenses to average net assets:
Before repayments/reimbursements and directed
brokerage arrangements ............................. 0.72%(3) 0.73% 0.79% 0.86% 1.00% 1.36%
After repayments/reimbursements and directed brokerage
arrangements (4).................................... 0.71%(3) 0.72% 0.77% 0.83% 1.08% 1.25%
Ratios of net investment income to average net assets:
Before repayments/reimbursements and directed
brokerage arrangements ............................. 1.25%(3) 1.22% 1.61% 1.51% 1.70% 0.83%
After repayments/reimbursements and directed brokerage
arrangements ....................................... 1.26%(3) 1.23% 1.63% 1.54% 1.62% 0.94%
Portfolio turnover rate ................................. 9.34% 20.65% 23.08% 21.54% 31.40% 50.25%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Net of expense reimbursements, repayments and directed brokerage
arrangements.
(2) 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.
(3) Annualized.
(4) The after repayments/reimbursements and directed brokerage arrangements
figure may be greater than the before repayments/reimbursements 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>
Emerging Opportunities Fund
-------------------------------------------------------------------------
Year ended December 31,
----------------------------------------------------------
Period ended
June 30, 1999
(Unaudited) 1998 1997 1996 1995 1994
--------- --------- --------- --------- --------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period ................................... $ 13.09 $ 14.33 $ 13.42 $ 15.02 $ 11.84 $ 10.94
--------- --------- --------- --------- --------- --------
OPERATIONS
Net investment loss (1)................................ (0.01) -- -- -- -- --
Net realized and unrealized gain (loss) on investments 1.80 (1.24) 0.91 (0.47) 3.81 1.06
--------- --------- --------- --------- --------- --------
Total from investment operations ...................... 1.79 (1.24) 0.91 (0.47) 3.81 1.06
--------- --------- --------- --------- --------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Distributions from net realized gains on investments .. (1.21) -- -- (1.13) (0.58) (0.16)
Distributions in excess of net investment income or
realized gains ...................................... -- -- -- -- (0.05) --
--------- --------- --------- --------- --------- --------
Total distributions ................................... (1.21) -- -- (1.13) (0.63) (0.16)
--------- --------- --------- --------- --------- --------
NET ASSET VALUE
End of period ......................................... $ 13.67 $ 13.09 $ 14.33 $ 13.42 $ 15.02 $ 11.84
========= ========= ========= ========= ========= ========
TOTAL RETURN (2).......................................... 13.82% (8.65)% 6.78% (3.03)% 32.23% 9.69%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period (000's omitted) ........... $315,636 $268,330 $258,886 $171,278 $157,193 $88,676
Ratios of expenses to average net assets:
Before repayments/reimbursements and directed
brokerage arrangements ........................... 0.86%(3) 0.87% 0.86% 0.72% 0.77% 0.91%
After repayments/reimbursements and directed
brokerage arrangements (4)........................ 0.82%(3) 0.86% 0.86% 0.72% 0.77% 0.92%
Ratios of net investment loss to average net assets:
Before repayments/reimbursements and directed
brokerage arrangements ........................... (0.29)%(3) (0.23)% (0.20)% (0.34)% (0.26)% (0.31)%
After repayments/reimbursements and directed
brokerage arrangements ........................... (0.25)%(3) (0.22)% (0.20)% (0.34)% (0.26)% (0.32)%
Portfolio turnover rate ............................... 53.20% 138.02% 80.36% 43.00% 36.02% 27.40%
====================================================================================================================================
</TABLE>
(1) Net of expense reimbursements, repayments and directed brokerage
arrangements.
(2) 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.
(3) Annualized.
(4) The after repayments/reimbursements and directed brokerage arrangements
figure may be greater than the before repayments/reimbursements 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>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- ------------------------------------------------------------------------------------------------------------------------------------
Core Equity Fund
---------------------------------------------------------------------------
Year ended December 31,
------------------------------------------------------------
Period ended
June 30, 1999
(Unaudited) 1998 1997 1996 1995 1994
------------- ----------- --------- -------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period .................................. $ 20.61 $ 19.93 $ 15.49 $ 13.32 $ 10.06 $ 10.33
--------- --------- --------- --------- --------- ---------
OPERATIONS
Net investment income (1)............................. 0.11 0.26 0.24 0.26 0.25 0.16
Net realized and unrealized gain (loss) on investments 1.53 2.82 4.65 2.83 3.63 (0.26)
--------- --------- --------- --------- --------- ---------
Total from investment operations ..................... 1.64 3.08 4.89 3.09 3.88 (0.10)
--------- --------- --------- --------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income ................. (0.27) (0.00)(2) (0.24) (0.27) (0.24) (0.17)
Distributions from net realized gains on investments . (2.89) (2.40) (0.21) (0.65) (0.37) --
Distributions in excess of net investment income or
realized gains ..................................... -- -- -- -- (0.01) --
--------- --------- --------- --------- --------- ---------
Total distributions .................................. (3.16) (2.40) (0.45) (0.92) (0.62) (0.17)
--------- --------- --------- --------- --------- ---------
NET ASSET VALUE
End of period ........................................ $ 19.09 $ 20.61 $ 19.93 $ 15.49 $ 13.32 $ 10.06
========= ========= ========= ========= ========= =========
TOTAL RETURN (3)......................................... 8.07% 15.54% 31.67% 23.20% 38.56% (1.01)%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period (000's omitted) .......... $502,312 $472,953 $414,698 $273,772 $183,735 $101,592
Ratios of expenses to average net assets:
Before repayments/reimbursements and directed
brokerage arrangements .......................... 0.64%(4) 0.65% 0.67% 0.68% 0.72% 0.84%
After repayments/reimbursements and directed
brokerage arrangements (5)....................... 0.62%(4) 0.61% 0.65% 0.66% 0.70% 0.85%
Ratios of net investment income to average net assets:
Before repayments/reimbursements and directed
brokerage arrangements .......................... 1.16%(4) 1.30% 1.36% 1.93% 2.32% 2.27%
After repayments/reimbursements and directed
brokerage arrangements .......................... 1.18%(4) 1.34% 1.38% 1.95% 2.33% 2.27%
Portfolio turnover rate .............................. 26.35% 51.52% 45.54% 45.73% 38.44% 48.16%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Net of expense reimbursements, repayments and directed brokerage
arrangements.
(2) Less than 0.01 per share.
(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/reimbursements and directed brokerage arrangements
figure may be greater than the before repayments/reimbursements 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>
- --------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Long-Term Bond Fund
---------------------------------------------------------------------------
Year ended December 31,
--------------------------------------------------------
Period ended
June 30, 1999
(Unaudited) 1998 1997 1996 1995 1994
------------------ ---------- ---------- ----------- ----------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period .................................. $ 11.49 $ 10.74 $ 10.15 $ 10.53 $ 9.37 $ 10.33
--------- --------- --------- --------- --------- --------
OPERATIONS
Net investment income (1)............................. 0.35 0.66 0.61 0.50 0.53 0.37
Net realized and unrealized gain (loss) on investments (0.73) 0.31 0.61 (0.36) 1.57 (0.97)
--------- --------- --------- --------- --------- --------
Total from investment operations ..................... (0.38) 0.97 1.22 0.14 2.10 (0.60)
--------- --------- --------- --------- --------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income ................. (0.67) (0.01) (0.62) (0.52) (0.57) (0.34)
Distributions from net realized gains on investments . (0.31) (0.21) (0.01) -- (0.27) (0.02)
Distributions in excess of net investment income or
realized gains ..................................... -- -- -- -- (0.10) --
--------- --------- --------- --------- --------- --------
Total distributions .................................. (0.98) (0.22) (0.63) (0.52) (0.94) (0.36)
--------- --------- --------- --------- --------- --------
NET ASSET VALUE
End of period ........................................ $ 10.13 $ 11.49 $ 10.74 $ 10.15 $ 10.53 $ 9.37
========= ========= ========= ========= ========= ========
TOTAL RETURN (2)......................................... (3.25)% 9.04% 12.01% 1.34% 22.44% (5.79)%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of year (000's omitted) ............ $242,845 $254,365 $218,854 $160,695 $114,612 $70,359
Ratios of expenses to average net assets:
Before repayments/reimbursements and directed
brokerage arrangements .......................... 0.60%(3) 0.60% 0.62% 0.63% 0.66% 0.73%
After repayments/reimbursements and directed
brokerage arrangements (4)....................... 0.60%(3) 0.60% 0.62% 0.63% 0.70% 0.75%
Ratios of net investment income to average net assets:
Before repayments/reimbursements and directed
brokerage arrangements .......................... 6.69%(3) 5.96% 6.22% 5.88% 6.67% 7.08%
After repayments/reimbursements and directed
brokerage arrangements .......................... 6.69%(3) 5.96% 6.22% 5.88% 6.63% 7.05%
Portfolio turnover rate .............................. 48.95% 224.48% 358.67% 369.32% 381.53% 152.91%
</TABLE>
(1) Net of expense reimbursements, repayments and directed brokerage
arrangements.
(2) 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.
(3) Annualized.
(4) The after repayments/reimbursements and directed brokerage arrangements
figure may be greater than the before repayments/reimbursements 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.
20
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Financial Highlights
American Odyssey Funds, Inc.
- ------------------------------------------------------------------------------------------------------------------------------------
Intermediate-Term Bond Fund
---------------------------------------------------------------------------
Year ended December 31,
-------------------------------------------------------
Period ended
June 30, 1999
(Unaudited) 1998 1997 1996 1995 1994
----------------- -------- ----------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE
Beginning of period ................................... $ 11.13 $ 10.31 $ 10.20 $ 10.38 $ 9.61 $ 10.28
--------- --------- --------- -------- -------- --------
OPERATIONS
Net investment income (1).............................. 0.30 0.58 0.59 0.61 0.54 0.38
Net realized and unrealized gain (loss) on investments (0.27) 0.29 0.17 (0.20) 0.90 (0.67)
--------- --------- --------- -------- -------- --------
Total from investment operations ...................... 0.03 0.87 0.76 0.41 1.44 (0.29)
--------- --------- --------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income .................. (0.59) (0.00)(2) (0.60) (0.59) (0.55) (0.38)
Distributions from net realized gains on investments .. (0.33) (0.05) (0.05) -- (0.07) --
Distributions in excess of net investment income or
realized gains ...................................... -- -- -- -- (0.05) --
--------- --------- --------- -------- -------- --------
Total distributions ................................... (0.92) (0.05) (0.65) (0.59) (0.67) (0.38)
--------- --------- --------- -------- -------- --------
NET ASSET VALUE
End of period ......................................... $ 10.24 $ 11.13 $ 10.31 $ 10.20 $ 10.38 $ 9.61
========= ========= ========= ======== ======== ========
TOTAL RETURN (3).......................................... 0.33% 8.48% 7.50% 3.95% 15.01% (2.85)%
RATIOS/SUPPLEMENTAL DATA
Net assets at end of period (000's omitted) ........... $125,092 $126,359 $108,596 $86,385 $73,480 $48,571
Ratios of expenses to average net assets:
Before repayments/reimbursements and directed
brokerage arrangements ........................... 0.59%(4) 0.60% 0.63% 0.66% 0.68% 0.75%
After repayments/reimbursements and directed
brokerage arrangements (5)........................ 0.59%(4) 0.60% 0.63% 0.66% 0.75% 0.75%
Ratios of net investment income to average net assets:
Before repayments/reimbursements and directed
brokerage arrangements ........................... 5.63%(4) 5.50% 5.90% 5.77% 6.19% 5.35%
After repayments/reimbursements and directed
brokerage arrangements ........................... 5.63%(4) 5.50% 5.90% 5.77% 6.11% 5.35%
Portfolio turnover rate ............................... 201.34% 407.24% 215.97% 191.20% 137.14% 22.72%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Net of expense reimbursements, repayments and directed brokerage
arrangements.
(2) Less than 0.01 per share.
(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/reimbursements and directed brokerage arrangements
figure may be greater than the before repayments/reimbursements 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.
21
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Global High-Yield Bond Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount (a) Value
- ------------------------------------------------------------------------
FOREIGN OBLIGATIONS -- 35.6%
Corporate Debt -- 11.4%
$ 400,000 Ainsworth Lumber Co.,
Yankee-Dollar (PIK)
12.500%, 07/15/07 ................ $ 444,000
250,000 Algoma Steel, Inc., Yankee-Dollar
12.375%, 07/15/05 ................ 242,500
1,000,000 Banco Nacional Comerico Exterior
SNC
7.250%, 02/02/04 ................. 902,500
350,000 Call-Net Enterprises, Inc.,
Yankee-Dollar
8.000%, 08/15/08 ................. 311,500
250,000 Call-Net Enterprises, Inc.,
Yankee-Dollar, Step Up
8.000%, 08/15/08 ................. 139,375
200,000 Canadian Airlines Corp.,
Yankee-Dollar
10.000%, 05/01/05 ................ 149,000
200,000 Canadian Airlines Corp.,
Yankee-Dollar
12.250%, 08/01/06 ................ 79,250
400,000 Cenargo International Plc,
Yankee-Dollar
9.750%, 06/15/08 ................. 371,000
400,000 Clearnet Communications, Inc.,
Yankee-Dollar, Step Up
14.750%, 12/15/05 ................ 364,000
500,000 Diamond Cable Communications Plc,
Yankee-Dollar, Step Up
10.750%, 02/15/07 ................ 388,125
500,000 Dolphin Telecom Plc,
Yankee-Dollar, Step Up
11.625%, 06/01/08 ................ 250,000
200,000 Energis Plc 144A
9.750%, 06/15/09 ................. 203,500
350,000 Hermes Euro Rail, Yankee-Dollar
11.500%, 08/15/07 ................ 367,500
50,000 Hidroelectricia Piedra del Aguila
SA, 144A
10.625%, 10/09/01 ................ 24,500
400,000 HMV Media Group Plc Series B,
Yankee-Dollar
10.250%, 05/15/08 ................ 404,000
300,000 Imax Corp., Yankee-Dollar
7.875%, 12/01/05 ................. 286,500
360,000 Indah Kiat Fin Mauritius,
Euro-Dollar
10.000%, 07/01/07 ................ 248,400
400,000 International Utility Structures,
Yankee-Dollar
10.750%, 02/01/08 ................ 403,000
250,000 Intrawest Corp., Yankee-Dollar
9.750%, 08/15/08 ................. 253,125
500,000 MetroNet Communications Corp.,
Yankee-Dollar, Step Up
9.950%, 06/15/08 ................. 370,000
500,000 Microcell Telecommunication,
Inc., Series B, Yankee-Dollar,
Step Up
14.000%, 06/01/06 ................ 405,000
400,000 Millar Western Forest Products,
Yankee-Dollar
9.875%, 05/15/08 ................. 387,500
400,000 Regional Independent Media,
Yankee-Dollar
10.500%, 07/01/08 ................ 402,000
300,000 Repap New Brunswick, Yankee-Dollar
10.625%, 04/15/05 ................ 229,500
The accompanying notes are an integral part of the financial statements.
22
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Global High-Yield Bond Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount (a) Value
- ------------------------------------------------------------------------
$ 250,000 RSL Communications Plc,
Yankee-Dollar
10.500%, 11/15/08 ................ $ 248,750
250,000 TeleWest Communications Plc,
Yankee-Dollar
9.625%, 10/01/06 ................. 257,500
400,000 TeleWest Communications Plc,
Yankee-Dollar, Step Up
11.000%, 10/01/07 ................ 356,000
1,230,000 Transportacion Ferroviaria
Mexicana SA,
Yankee-Dollar, Step Up
11.750%, 06/15/09 ................ 738,000
2,865,000 Vnesheconombank,
Variable Rate
6.063%, 12/15/15 ................. 441,081
350,000 ZSC Specialty Chemical Plc 144A
11.000%, 07/01/09 ................
354,813
----------------
10,021,919
----------------
Government Obligations -- 24.2%
310,000 Bulgaria Government Discount Note
Series A, Variable Rate
5.875%, 07/28/24 ................. 210,025
570,000 Bulgaria-FLIRB Series A, Variable
Rate
2.500%, 07/28/12 ................. 345,563
250,000 Central Bank of Nigeria Series
WW, Variable Rate
6.250%, 11/15/20 ................. 152,500
274,384 Croatia Government National
Series B (Brady), Variable Rate
5.813%, 07/31/06 ................. 227,679
799,924 Ecuador - PDI (Brady)
6.000%, 02/27/15 ................. 262,975
1,026 Ecuador Global Bond - PDI
3.813%, 12/29/49 ................. 337
132,362 Ecuador Global Bond - PDI,
Variable Rate
6.000%, 02/27/15 ................. 43,514
6,215 Ecuador Global Bond - PDI,
Variable Rate
6.625%, 02/27/15 ................. 2,043
825,000 Ministry of Finance Russia Global
Bond 10.000%, 06/26/07 ........... 405,075
175,000 Ministry of Finance Russia Global
Bond Series R
9.250%, 11/27/01 ................. 117,798
305,000 Ministry of Finance Russia Global
Bond, Series REGS, Euro-Dollar
8.750%, 07/24/05 ................. 149,450
780,000 Ministry of Finance Russia Global
Bond, Series REGS, Euro-Dollar
11.000%, 07/24/18 ................ 382,200
485,000 Ministry of Finance Russia, 144A
12.750%, 06/24/28 ................ 273,419
885,000 Peru-FLIRB - Series US,
Variable Rate
3.750%, 03/07/17 ................. 488,963
555,000 Peru-PDI - Series US,
Variable Rate
4.500%, 03/07/17 ................. 341,325
170,000 Poland - Bearer - PDI, Step Up
5.000%, 10/27/14 ................. 149,600
480,000 Poland Treasury Bill
(PLZ) Series 52
0.000%(b), 08/04/99 .............. 120,978
1,220,000 Poland Treasury Bill
(PLZ) Series 52
0.000%(b), 08/11/99 .............. 306,791
The accompanying notes are an integral part of the financial statements.
23
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Global High-Yield Bond Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount (a) Value
- ------------------------------------------------------------------------
$ 390,000 Republic of Argentina Global Bond
Series BGL
11.000%, 10/09/06 ................ $ 362,700
2,622,600 Republic of Argentina Series BB,
Variable Rate
5.938%, 03/31/05 ................. 2,241,011
1,550,000 Republic of Argentina Series
L-GP, Step Up
6.000%, 03/31/23 ................. 990,063
1,378,097 Republic of Argentina Series
(ARS) PRO1, Variable Rate
2.953%, 04/01/07 ................. 964,187
50,000 Republic of Brazil
10.125%, 05/15/27 ................ 37,500
2,498,144 Republic of Brazil - C Bond,
Variable Rate (PIK)
5.000%, 04/15/14 ................. 1,626,916
510,000 Republic of Brazil - NMB L
(Brady), Variable Rate
5.938%, 04/15/09 ................. 355,725
15,822 Republic of Brazil C Bond Series
L, Variable Rate
8.000%, 04/15/14 ................. 10,304
845,000 Republic of Brazil Discount Bond
Series ZL, Variable Rate
5.875%, 04/15/24 ................. 535,519
1,377,500 Republic of Brazil Series EI-L,
Variable Rate
6.125%, 04/15/06 ................. 1,084,781
1,102,000 Republic of Brazil Series EI-RG,
Variable Rate
6.125%, 04/15/06 ................. 867,825
295,000 Republic of Colombia, Variable
Rate, Yankee-Dollar
9.705%, 08/13/05 ................. 256,650
470,000 Republic of Panama
8.875%, 09/30/27 ................. 391,275
860,000 Republic of Philippines Global
Bond
9.875%, 01/15/19 ................. 842,800
2,035,000 Republic of Venezuela
9.250%, 09/15/27 ................. 1,363,450
1,499,996 Republic of Venezuela Series DL,
Variable Rate
6.313%, 12/18/07 ................. 1,159,684
107,017,700 Turkey Treasury Bill Series 6B
(TRL) 0.000%(b), 08/18/99 .............. 228,233
1,570,000 United Mexican States Global Bond
11.500%, 05/15/26 ................ 1,751,334
810,000 United Mexican States Global Bond
Series XW
10.375%, 02/17/09 ................ 820,125
320,000 United Mexican States Global
Bond, Series EMTN
9.750%, 04/06/05 ................. 323,200
750,000 United Mexican States Series W-A
6.250%, 12/31/19 ................. 556,875
750,000 United Mexican States
Series D, Variable Rate
6.068%, 12/31/19 ................. 630,000
----------------
21,380,392
----------------
Total Foreign Obligations
(Cost $30,850,382) ............................... 31,402,311
----------------
U.S. Corporate Obligations -- 61.7%
300,000 Ackerley Group, Inc. Series B
9.000%, 01/15/09 ................. 297,750
400,000 Adelphia Communications Corp.
Series B
8.375%, 02/01/08 ................. 384,000
The accompanying notes are an integral part of the financial statements.
24
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc./Global High-Yield Bond Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount (a) Value
- ------------------------------------------------------------------------
$ 250,000 Advance Stores Co., Inc. Series B
10.250%, 04/15/08 ................
$ 241,250
250,000 Advanced Glassfiber Yarns 144A
9.875%, 01/15/09 ................. 242,500
300,000 Aetna Industries, Inc.
11.875%, 10/01/06 ................ 321,750
300,000 Agrilink Foods, Inc.
11.875%, 11/01/08 ................ 310,500
400,000 Allied Holdings, Inc. Series B
8.625%, 10/01/07 ................. 378,000
350,000 Allied Waste North America Series
B 7.875%, 01/01/09 ............... 326,375
150,000 American Axle & Manufacturing
Holdings, Inc.
9.750%, 03/01/09 ................. 150,750
400,000 American Cellular Corp.
10.500%, 05/15/08 ................ 408,000
400,000 American Eco Corp. Series B
9.625%, 05/15/08 ................. 234,000
400,000 American Lawyer Media, Inc.
Series B
9.750%, 12/15/07 ................. 410,000
250,000 American Media Operation, Inc.,
144A 10.250%, 05/01/09 ........... 253,125
400,000 Ameristar Casinos, Inc.
Series B
10.500%, 08/01/04 ................ 410,000
200,000 Ampex Corp. Series B
12.000%, 03/15/03 ................ 208,500
300,000 Anthony Crane Rentals Series B
10.375%, 08/01/08 ................ 291,000
300,000 Applied Extrusion Technologies,
Inc. Series B
11.500%, 04/01/02 ................ 306,000
400,000 Archibald Candy Corp.
10.250%, 07/01/04 ................ 406,000
400,000 Aurora Foods, Inc. Series B
8.750%, 07/01/08 ................. 394,000
400,000 Avalon Cable Holdings LLC, 144A,
Step Up
11.875%, 12/01/08 ................ 267,000
400,000 Axia, Inc.
10.750%, 07/15/08 ................ 396,500
250,000 Aztar Corp. 144A
8.875%, 05/15/07 ................. 240,625
200,000 B&G Foods, Inc. 144A
9.625%, 08/01/07 ................. 189,250
250,000 Ball Corp.
8.250%, 08/01/08 ................. 243,750
400,000 Bayou Steel Corp.
9.500%, 05/15/08 ................. 390,000
200,000 Brand Scaffold Services, Inc.
10.250%, 02/15/08 ................ 196,000
400,000 Building Materials Corp. Series B
7.750%, 07/15/05 ................. 376,000
200,000 Caprock Communications Corp., 144A
11.500%, 05/01/09 ................ 202,000
400,000 CapStar Broadcasting, Step Up
12.750%, 02/01/09 ................ 338,000
250,000 Carrols Corp.
9.500%, 12/01/08 ................. 234,375
400,000 Casino Magic Corp. (Louisiana)
Series B
13.000%, 08/15/03 ................ 459,000
500,000 Century Communications Corp.
Series B
0.000%(b), 01/15/08 .............. 220,000
The accompanying notes are an integral part of the financial statements.
25
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc./Global High-Yield Bond Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount (a) Value
- ------------------------------------------------------------------------
$ 250,000 Charter Communications Holdings
LLC, 144A, Step Up
9.920%, 04/01/11 ................. $ 156,250
400,000 Classic Communications, Inc.,
144A, Step Up
13.250%, 08/01/09 ................ 264,000
400,000 Coaxial Communications, Inc.,
Series REGS
10.000%, 08/15/06 ................ 406,500
250,000 Coinstar, Inc., Step Up
13.000%, 10/01/06 ................ 256,250
200,000 Collins & Aikman Corp. Series B
10.000%, 01/15/07 ................ 199,000
400,000 Comcast Cellular Holdings Series B
9.500%, 05/01/07 ................. 446,000
200,000 Condor Systems, Inc., 144A
11.875%, 05/01/09 ................ 194,000
300,000 Continental Resources, Inc.
10.250%, 08/01/08 ................ 221,625
400,000 Cumulus Media, Inc.
10.375%, 07/01/08 ................ 426,000
400,000 Diamond Brands, Inc.
10.125%, 04/15/08 ................ 326,000
300,000 Diamond Triumph Autoglass 144A
9.250%, 04/01/08 ................. 292,500
500,000 DIVA Systems Corp. Series B, Step
Up 12.625%, 03/01/08 ............. 145,000
400,000 Dobson Communications Corp.
11.750%, 04/15/07 ................ 420,000
250,000 Dobson/Sygnet Communications Corp.
12.250%, 12/15/08 ................ 261,250
250,000 Dura Operating Corp., 144A
9.000%, 05/01/09 ................. 240,000
500,000 e. spire Communications, Inc.,
Step Up
13.000%, 11/01/05 ................ 265,000
400,000 e. spire Communications, Inc.,
Step Up
10.625%, 07/01/08 ................ 144,000
400,000 Eagle Family Foods Series B
8.750%, 01/15/08 ................. 356,000
400,000 Eagle Geophysical, Inc. Series B
10.750%, 07/15/08 ................ 210,000
400,000 Echostar DBS Corp., 144A
9.375%, 02/01/09 ................. 409,000
400,000 Empress Entertainment, Inc.
8.125%, 07/01/06 ................. 404,000
400,000 Exodus Communications, Inc.
11.250%, 07/01/08 ................ 422,000
250,000 Falcon Holding Group LP Series B
8.375%, 04/15/10 ................. 246,875
300,000 Fisher Scientific International,
Inc.
9.000%, 02/01/08 ................. 286,500
300,000 Fitzgerald Gaming Corp. Series B
12.250%, 12/15/04 ................ 166,500
400,000 Fleming Companies, Inc. Series B
10.500%, 12/01/04 ................ 380,000
500,000 Focal Communications Corp. Series
B, Step Up
12.125%, 02/15/08 ................ 275,000
300,000 Fountain View, Inc. Series B
11.250%, 04/15/08 ................ 253,500
250,000 Friendly Ice Cream Corp.
10.500%, 12/01/07 ................ 223,750
The accompanying notes are an integral part of the financial statements.
26
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc./Global High-Yield Bond Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount (a) Value
- ------------------------------------------------------------------------
$ 250,000 FrontierVision Operating Partners
LP Series B
11.875%, 09/15/07 ................ $ 214,375
400,000 Galey & Lord, Inc., 144A
9.125%, 03/01/08 ................. 264,000
350,000 Gaylord Container Corp. Series B
9.750%, 06/15/07 ................. 335,125
400,000 General Binding Corp.
9.375%, 06/01/08 ................. 376,000
300,000 Geo Specialty Chemicals
10.125%, 08/01/08 ................ 289,500
400,000 Globalstar L.P.
11.500%, 06/01/05 ................ 264,000
300,000 Globe Manufacturing Corp. Series B
10.000%, 08/01/08 ................ 226,500
250,000 Globix Corp.
13.000%, 05/01/05 ................ 240,000
300,000 Golden Sky DBS, Inc., 144A, Step
Up
13.500%, 03/01/07 ................ 180,000
400,000 Granite Broadcasting Corp.
8.875%, 05/15/08 ................. 383,000
400,000 Great Lakes Carbon Corp. Series B
(PIK)
10.250%, 05/15/08 ................ 392,000
400,000 GST USA, Inc., Step Up
13.875%, 12/15/05 ................ 326,000
200,000 Gulf States Steel-Alabama
13.500%, 04/15/03 ................ 49,250
400,000 Hard Rock Hotel, Inc.
Series B
9.250%, 04/01/05 ................. 376,000
350,000 Hayes Lemmerz International,
Inc., 144A
8.250%, 12/15/08 ................. 332,500
350,000 Helicon Group Ltd. Series B
11.000%, 11/01/03 ................ 367,500
400,000 HMH Properties Series B
7.875%, 08/01/08 ................. 371,000
450,000 Hollinger International
Publishing, Inc.
9.250%, 02/01/06 ................. 459,000
250,000 Hollywood Casino Corp., 144A
11.250%, 05/01/07 ................ 253,125
400,000 Hollywood Park, Inc. Series B
9.500%, 08/01/07 ................. 398,000
400,000 Home Products International, Inc.
9.625%, 05/15/08 ................. 367,000
350,000 Horseshoe Gaming LLC Series B
9.375%, 06/15/07 ................. 355,250
350,000 Huntsman Corp., 144A
9.500%, 07/01/07 ................. 332,500
400,000 Hyperion Telecommunications, Inc.
Series B, Step Up
13.000%, 04/15/03 ................ 330,000
400,000 ICN Pharmaceuticals, Inc. Series B
9.250%, 08/15/05 ................. 403,500
400,000 IMPAC Group, Inc. Series B
10.125%, 03/15/08 ................ 382,000
400,000 InSight Health Services Corp.
9.625%, 06/15/08 ................. 386,000
300,000 Interep National Radio Sales,
Inc. Series B
10.000%, 07/01/08 ................ 308,250
250,000 Intermedia Communication, Inc.
Series B
8.600%, 06/01/08 ................. 231,250
400,000 International Home Foods, Inc.
10.375%, 11/01/06 ................ 427,000
The accompanying notes are an integral part of the financial statements.
27
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc./Global High-Yield Bond Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount (a) Value
- ------------------------------------------------------------------------
$ 250,000 Isle of Capri Casinos, Inc., 144A
8.750%, 04/15/09 ................. $ 235,625
400,000 ITC/\DeltaCom, Inc.
8.875%, 03/01/08 ................. 397,500
400,000 IXC Communications, Inc.
9.000%, 04/15/08 ................. 384,000
335,000 Jackson Products, Inc.
9.500%, 04/15/05 ................. 323,275
400,000 James Cable Partners LP Series B
10.750%, 08/15/04 ................ 418,000
250,000 JL French Automotive Casting,
Inc., 144A
11.500%, 06/01/09 ................ 256,250
400,000 Jones Intercable, Inc.
8.875%, 04/01/07 ................. 436,000
400,000 Jordan Telecommunications
Products Series B
9.875%, 08/01/07 ................. 398,000
300,000 Kelley Oil & Gas Corp., 144A
14.000%, 04/15/03 ................ 306,750
150,000 Kelley Oil & Gas Corp.
Series B
10.375%, 10/15/06 ................ 82,500
250,000 Key Energy Services, Inc., Unit,
144A
14.000%, 01/15/09 ................ 260,000
400,000 Keystone Consolidated Industries,
Inc.
9.625%, 08/01/07 ................. 390,000
150,000 Knology Holdings, Inc., Step Up
11.875%, 10/15/07 ................ 90,188
50,000 Krystal Co.
10.250%, 10/01/07 ................ 52,625
400,000 L-3 Communications Corp.
8.500%, 05/15/08 ................. 392,000
300,000 Lady Luck Gaming Corp.
11.875%, 03/01/01 ................ 304,500
400,000 Laroche Industries, Inc. Series B
9.500%, 09/15/07 ................. 316,000
400,000 Level 3 Communications, Inc.
9.125%, 05/01/08 ................. 393,500
400,000 Lodestar Holdings, Inc.
11.500%, 05/15/05 ................ 306,000
400,000 Logix Communications Enterprise
12.250%, 06/15/08 ................ 362,000
200,000 Lyondell Chemical Co. 144A
9.875%, 05/01/07 ................. 203,750
400,000 Magellan Health Services, Inc.
9.000%, 02/15/08 ................. 344,000
250,000 Majestic Star Casino LLC 144A
10.875%, 07/01/06 ................ 248,750
400,000 Maxim Group, Inc. Series B
9.250%, 10/15/07 ................. 392,000
500,000 McLeodUSA, Inc., Step Up
10.500%, 03/01/07 ................ 383,750
200,000 Mediacom LLC, 144A
7.875%, 02/15/11 ................. 179,500
300,000 Motors and Gears, Inc.
Series D
10.750%, 11/15/06 ................ 304,875
200,000 Mrs. Fields Holding Co. - Unit,
Step Up
14.000%, 12/01/05 ................ 98,000
400,000 Mrs. Fields Original Cookies
Series D
10.125%, 12/01/04 ................ 354,000
400,000 NE Restaurant Company, Inc.
10.750%, 07/15/08 ................ 367,000
The accompanying notes are an integral part of the financial statements.
28
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Global High-Yield Bond Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount (a) Value
- ------------------------------------------------------------------------
$ 500,000 Nextel Communications, Inc., Step
Up
9.950%, 02/15/08 ................. $ 345,000
500,000 Nextel Partners, Inc., 144A, Step
Up
14.000%, 02/01/09 ................ 295,000
300,000 NEXTLINK Communications, Inc.
9.625%, 10/01/07 ................. 289,500
400,000 Northland Cable Television
10.250%, 11/15/07 ................ 419,000
500,000 NTL Communications Corp. Series B,
Step Up 12.375%, 10/01/08 ........ 343,750
500,000 NTL, Inc., Step Up
9.500%, 04/01/08 ................. 335,000
200,000 OpTel, Inc., Series B
13.000%, 02/15/05 ................ 156,000
250,000 Orion Network, Inc.
11.250%, 01/15/07 ................ 225,000
400,000 Outboard Marine Corp., Series B
10.750%, 06/01/08 ................ 270,000
250,000 Oxford Automotive, Inc. Series D
10.125%, 06/15/07 ................ 251,250
400,000 Oxford Health Plans, Inc., 144A
11.000%, 05/15/05 ................ 414,000
400,000 P & L Coal Holdings Corp. Series B
9.625%, 05/15/08 ................. 399,000
300,000 Packaged Ice, Inc. Series B
9.750%, 02/01/05 ................. 295,500
400,000 Pathmark Stores, Inc.
9.625%, 05/01/03 ................. 408,000
400,000 Philipp Brothers Chemicals, Inc.
9.875%, 06/01/08 ................. 366,000
300,000 Pioneer Americas Acquisition
Corp. Series B
9.250%, 06/15/07 ................. 247,500
200,000 Players International, Inc.
10.875%, 04/15/05 ................ 212,000
400,000 Price Communication Wireless,
Inc., Series B
9.125%, 12/15/06 ................. 406,000
318,000 Price Communications Cellular
Holdings (PIK)
11.250%, 08/15/08 ................ 335,490
400,000 Primus Telecomm Group, Inc.
Series B
9.875%, 05/15/08 ................. 380,000
250,000 PSINet, Inc.
11.500%, 11/01/08 ................ 265,000
500,000 Qwest Communications
International, Inc., Step Up
9.470%, 10/15/07 ................. 390,815
300,000 Randall's Food Markets, Inc.
Series B
9.375%, 07/01/07 ................. 321,750
400,000 Regal Cinemas, Inc.
9.500%, 06/01/08 ................. 376,000
400,000 Republic Engineered Steels, Inc.
9.875%, 12/15/01 ................. 401,000
300,000 Rhythms NetConnections, Inc., 144A
12.750%, 04/15/09 ................ 282,000
200,000 Rural Cellular Corp. Series B
9.625%, 05/15/08 ................. 202,000
350,000 Russell-Stanley Holdings, Inc.,
144A
10.875%, 02/15/09 ................ 348,250
350,000 S.D. Warren Co. Series B
12.000%, 12/15/04 ................ 378,000
The accompanying notes are an integral part of the financial statements.
29
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Global High-Yield Bond Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount (a) Value
- ------------------------------------------------------------------------
$ 400,000 Salem Communications
Corp. Series B 9.500%, 10/01/07 .. $ 416,000
600,000 Santa Fe Hotel, Inc.
11.000%, 12/15/00 ................ 570,000
139,050 SD Warren Co.
14.000%, 12/15/06 ................ 159,560
300,000 Sinclair Broadcast Group, Inc.
10.000%, 09/30/05 ................ 306,000
250,000 SITEL Corp.
9.250%, 03/15/06 ................. 211,250
400,000 Sprint Spectrum LP
11.000%, 08/15/06 ................ 458,000
300,000 Stanadyne Automotive Corp.
Series B 10.250%, 12/15/07 ....... 262,500
400,000 Startec Global Communications
Corp. 12.000%, 05/15/08 .......... 360,000
300,000 Station Casinos, Inc.
9.750%, 04/15/07 ................. 306,000
150,000 Sterling Chemicals, Inc.
11.750%, 08/15/06 ................ 114,750
300,000 Tenet Healthcare Corp.
Series B 8.125%, 12/01/08 ........ 285,000
400,000 Thermadyne Holdings Corp.
9.875%, 06/01/08 ................. 354,000
300,000 Time Warner Telecom LLC
9.750%, 07/15/08 ................. 307,500
400,000 Trans World Airlines, Inc.
11.375%, 03/01/06 ................ 204,000
250,000 Transportation Manufacturing
Operations, Inc. 144A
11.250%, 05/01/09 ................ 250,625
400,000 Tri-state Outdoor Media
11.000%, 05/15/08 ................ 409,000
400,000 Tropical Sportswear International
Corp. Series B 144A
11.000%, 06/15/08 ................ 417,000
500,000 United International Holdings,
Inc., Series B, Step Up
10.750%, 02/15/08 ................ 330,000
250,000 United Rentals, Inc. Series B
9.250%, 01/15/09 ................. 247,500
400,000 US Office Products Co. 144A
9.750%, 06/15/08 ................. 266,000
400,000 Vectura Group, Inc. Series B
10.250%, 06/30/08 ................ 402,000
300,000 Vencor Operating, Inc.
9.875%, 05/01/05 ................. 90,000
400,000 Waste Systems International,
Inc., Convertible 144A
7.000%, 05/13/05 ................. 364,000
400,000 WCI Steel, Inc. Series B
10.000%, 12/01/04 ................ 407,000
500,000 Winstar Communications, Inc.,
Step Up
14.000%, 10/15/05 ................ 438,750
300,000 Wiser Oil Co.
9.500%, 05/15/07 ................. 249,000
400,000 Young Broadcasting, Inc. Series B
8.750%, 06/15/07 ................. 388,000
Total U.S. Corporate Obligations
(Cost $58,408,959) ............................... 54,553,703
----------------
Shares Value
- ------------------------------------------------------------------------
Preferred Stocks -- 0.4%
200 Benedek Communications (PIK),
11.5% ............................ 158,500
The accompanying notes are an integral part of the financial statements.
30
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Global High-Yield Bond Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Shares Value
- ------------------------------------------------------------------------
221 Rural Cellular Corp. Series B
(PIK) ............................ $ 223,763
Total Preferred Stocks
(Cost $399,004) .................................. 382,263
----------------
Warrants-- 0.0%
250 Central Bank Of Nigeria .......... 0
1,200 Classic Communications, Inc. ..... 2,400
1,500 DIVA Systems Corp. ............... 18,000
250 Globix Corp. ..................... 1,875
400 Startec Global Communications
Corp. ............................ 400
1,153,000 United Mexican States ............ 0
Total Warrants
----------------
(Cost $0) ........................................ $ 22,675
----------------
Total Investments -- 97.7%
(Cost $89,658,345) 86,360,952
Other assets in excess of liabilities -- 2.3% 2,033,262
----------------
Total Net Assets-- 100.0% $ 88,394,214
================
Notes to the Portfolio of Investments:
Euro-Dollar -- Securities issued offshore that pay interest
and principal in U.S. Dollars.
FLIRB -- Front Loaded Interest Reduction Bond
PDI -- Past Due Interest
PIK -- Payment in Kind
Step Up -- Security is a "step up" bond where the coupon increases or
steps up on predetermined date(s).
Variable Rate -- The rates shown on variable rate securities reflect
the current interest rate at June 30, 1999, which are subject to
change based upon the terms of the security, including varying
reset dates.
Yankee-Dollar -- U.S. Dollar denominated bonds issued by non-U.S.
companies in the U.S.
144A -- Securities restricted for resale to Qualified Institutional Buyers
ARS -- Argentina Peso
PLZ -- Polish Zloty
TRL -- Turkish Lira
(a) The Principal Amount shown is expressed in United States Dollars unless
stated otherwise.
(b) Security is a zero coupon bond.
The accompanying notes are an integral part of the financial statements.
31
<PAGE>
- --------------------------------------------------------------------------------
Investments by Country
American Odyssey Funds, Inc. / Global High-Yield Bond Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Percentage of
COUNTRY Net Assets
- ------------------------------------------------------------------------
United States 62.1%
Mexico 6.5
Argentina 5.2
Brazil 5.1
Canada 4.6
Great Britain 3.8
Venezuela 2.8
Russia 2.0
Philippines 1.0
Peru 0.9
Poland 0.6
Bulgaria 0.6
Panama 0.4
Netherlands 0.4
Ecuador 0.3
Colombia 0.3
Indonesia 0.3
Turkey 0.3
Croatia 0.3
Nigeria 0.2
-----
Total 97.7%
=====
The accompanying notes are an integral part of the financial statements.
32
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc./International Equity Fund/June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Shares Value
- ------------------------------------------------------------------------
Common Stocks -- 97.3%
Advertising -- 0.1%
57,330 WPP Group Plc ........................ $ 484,828
------------------
Automotive -- 2.5%
4,864 Bayerische Motoren Werke AG ............ 3,345,745
63,000 Honda Motor Co., Ltd. .................. 2,670,192
44,345 Michelin - B ........................... 1,814,181
------------------
7,830,118
------------------
Banking -- 13.8%
126,346 ABN Amro Holdings ...................... 2,736,237
388,282 Banco De Santader* ..................... 4,044,307
288,100 Bangkok Bank Co., Ltd* ................. 1,078,214
246,980 Barclay's Plc .......................... 7,186,748
52,100 Bayerische Vereinsbank AG .............. 3,384,947
335,825 Development Bank of Singapore .......... 4,102,976
448,289 Lloyds TSB Group Plc ................... 6,077,095
292,200 National Australia Bank Ltd. ........... 4,835,326
141,285 National Westminster Bank Plc .......... 2,995,412
18,218 UBS AG - Registered .................... 5,437,545
279,445 Westpac Banking Corp. Ordinary Shares .. 1,812,704
------------------
43,691,511
------------------
Beverages, Food & Tobacco -- 5.6%
421,755 British American Tobacco ............... 3,965,594
438,260 Cadbury Schweppes Plc .................. 2,790,971
442,056 Diageo Plc ............................. 4,616,391
3,633 Nestle ................................. 6,545,799
------------------
17,918,755
------------------
Building Materials -- 0.1%
278,000 Hume Industries ...................... 309,636
------------------
Chemicals -- 1.0%
81,000 Fuji Photo Film ...................... 3,065,032
------------------
Commercial Services -- 3.0%
24,125 Brambles Industries Ltd. ............... 635,561
109,636 Vivendi ................................ 8,881,257
------------------
9,516,818
------------------
Communications -- 9.7%
27,055 Alcatel Alsthom ........................ $ 3,808,497
395,650 Cable & Wireless ....................... 5,042,322
85,500 Koninklijke - KPN NV ................... 4,011,908
659,348 Telecom Italia SpA ..................... 6,854,054
27,100 Telfonaktiebolaget LM Ericsson - B
Shares ................................. 868,615
514,625 Vodafone Group Plc ..................... 10,140,067
------------------
30,725,463
------------------
Conglomerates -- 0.9%
2,490 Alusuisse Lonza Holdings ............. 2,902,296
------------------
Electric Utilities -- 2.2%
53,475 EDP - Electricidade de
Portugal SA ............................ 962,871
63,015 National Power Plc ..................... 458,907
65,570 Veba AG ................................ 3,854,369
3,313 Viag AG ................................ 1,564,805
------------------
6,840,952
------------------
Electrical Equipment -- 1.6%
7,000 Keyence Corp. .......................... 1,224,923
834,380 Siebe Plc .............................. 3,948,954
------------------
5,173,877
------------------
Electronics -- 4.6%
63,000 Murata Manufacturing Co., Ltd. ......... 4,143,227
17,000 Rohm Co. Ltd. .......................... 2,661,602
72,350 Sony Corp. ............................. 7,800,705
------------------
14,605,534
------------------
Entertainment & Leisure -- 2.8%
124,217 EMI Group Plc .......................... 996,643
318,460 Granada Group Plc* ..................... 5,908,420
519,700 Ladbroke Group ......................... 2,060,299
------------------
8,965,362
------------------
Financial Services -- 0.6%
49,200 HSBC Holdings Plc* ................... 1,794,600
------------------
Food Retailers -- 1.9%
122,660 Koninklijke Ahold NV ................... 4,224,962
257,000 TI Group Plc ........................... 1,721,720
------------------
5,946,682
------------------
The accompanying notes are an integral part of the financial statements.
33
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc./International Equity Fund/June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Shares Value
- ------------------------------------------------------------------------
Heavy Machinery -- 4.2%
89,773 Mannesmann AG ........................ $ 13,396,384
------------------
Insurance -- 11.0%
421,755 Allied Zurich Plc ...................... 5,301,882
50,120 Axa .................................... 6,114,615
185,715 International Nederlanden Groep ........ 10,054,943
498,855 Prudential Corp. ....................... 7,344,443
3,193 Schweizerische
Ruckversicherungs-Gesellschaft ......... 6,079,597
------------------
34,895,480
------------------
Media - Broadcasting
& Publishing -- 3.5%
103,900 Elsevier NV ............................ 1,205,427
687,560 News Corp. Ltd. ........................ 5,866,399
76,350 Pearson Plc ............................ 1,551,317
144,000 Singapore Press Holdings Ltd. .......... 2,452,910
------------------
11,076,053
------------------
Medical Supplies -- 2.7%
185,000 Takeda Chemical Industries Ltd. ...... 8,574,712
------------------
Office Equipment -- 2.4%
266,000 Canon ................................ 7,647,952
------------------
Oil & Gas -- 5.7%
306,596 Ente Nazionale Idrocarburi SpA ......... 1,830,715
61,510 Royal Dutch Petroleum Co. .............. 3,603,028
872,272 Shell Transport & Trading .............. 6,541,342
47,760 Total SA - B* .......................... 6,161,623
------------------
18,136,708
------------------
Pharmaceuticals -- 8.7%
240,050 Glaxo Wellcome Plc ..................... 6,671,038
106,570 Hoechst AG ............................. 4,802,748
4,022 Novartis AG ............................ 5,872,893
1,030 Roche Holding AG ....................... 5,293,773
126,900 Zeneca Group ........................... 4,908,797
------------------
27,549,249
------------------
Retailers -- 2.7%
150,000 Kao Corp. .............................. $ 4,213,620
195,428 Kingfisher ............................. 2,248,790
81,177 Safeway Plc ............................ 325,333
122,000 Shiseido Co., Ltd. ..................... 1,828,451
------------------
8,616,194
------------------
Telephone Systems -- 5.1%
33,825 Korea Telecom Corp. ADR* ............... 1,259,136
910 NTT Mobile Communcations Network, Inc. . 1,233,047
3,640 NTT Mobile Communication Network, Inc.
New* ................................... 4,871,931
31,780 Tele Danmark A/S ....................... 1,564,304
145,555 Telecom Corp. of New Zealand Ltd. ...... 624,780
70,697 Telefonica SA* ......................... 3,405,537
568,850 Telstra Corp., Ltd. .................... 3,259,681
------------------
16,218,416
------------------
Transportation -- 0.9%
55,910 Railtrack Group Plc .................... 1,143,058
77,900 TNT Post Group NV ...................... 1,859,785
------------------
3,002,843
------------------
Total Common Stocks
(Cost $231,614,809) ............................. 308,885,455
------------------
Total Investments -- 97.3%
(Cost $231,614,809) 308,885,455
Other assets in excess of liabilities-- 2.7% 8,637,088
==================
Total Net Assets-- 100.0% $ 317,522,543
==================
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.
34
<PAGE>
- --------------------------------------------------------------------------------
Investments by Country
American Odyssey Funds, Inc./International Equity Fund/June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Percentage of
COUNTRY Net Assets
-------------------------------------------------------------------------
Great Britain 29.7%
Japan 15.7
Switzerland 10.1
Germany 9.6
Netherlands 8.7
France 8.4
Australia 5.2
Italy 2.7
Spain 2.4
Singapore 2.1
Hong Kong 0.6
Denmark 0.5
South Korea 0.4
Thailand 0.3
Portugal 0.3
Sweden 0.3
New Zealand 0.2
Malaysia 0.1
==========
Total 97.3%
==========
The accompanying notes are an integral part of the financial statements.
35
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Emerging Opportunities Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS -- 96.7%
ADVERTISING -- 0.9%
113,000 Penton Media, Inc. ................... $ 2,740,250
------------------
AEROSPACE & DEFENSE -- 0.8%
39,000 AAR Corp. ............................... 884,813
96,700 Kellstrom Industries, Inc.* ............. 1,764,775
------------------
2,649,588
------------------
APPAREL RETAILERS -- 2.0%
43,200 Childrens Place, Inc. (The)* ............ 1,749,600
61,600 Claire's Stores, Inc. ................... 1,578,500
181,800 Finish Line, Inc. (The) - Class A* ...... 2,045,250
82,500 Stage Stores, Inc.* ..................... 536,250
128,600 The Sports Authority, Inc.* ............. 570,663
------------------
6,480,263
------------------
AUTOMOTIVE -- 0.4%
66,395 AutoNation, Inc.* .................... 1,182,661
------------------
BANKING -- 0.7%
16,300 Advanta Corp. - Class A ................. 294,419
36,500 Alliance Bancorp, Inc. .................. 848,625
27,900 Bay Bancshares, Inc. .................... 432,450
20,600 Northrim Bank ........................... 226,600
22,700 Union Bancorp, Inc. ..................... 341,919
8,500 Wilshire State Bank* .................... 95,625
------------------
2,239,638
------------------
BEVERAGES, FOOD & TOBACCO -- 0.5%
18,650 Flowers Industries, Inc. ................ 404,472
25,000 Ravenswood Winery, Inc.* ................ 262,500
61,850 Tasty Baking ............................ 761,528
------------------
1,428,500
------------------
BUILDING MATERIALS -- 0.3%
16,100 Lone Star Industries, Inc. .............. 604,756
4,300 Southdown, Inc. ......................... 276,275
------------------
881,031
------------------
CHEMICALS -- 1.7%
52,800 Agrium, Inc. ............................ 465,300
364,300 Calgon Carbon Corp. ..................... 2,163,031
50,700 IMC Global, Inc. ........................ 893,588
57,600 Olin Corp. .............................. 759,600
20,400 Potash Corp. of Saskatchewan, Inc. ...... 1,055,700
------------------
5,337,219
------------------
COMMERCIAL SERVICES -- 8.1%
71,800 Corporate Executive Board Co. (The)* .... 2,553,388
147,600 Heidrick & Struggles
International, Inc.* .................... 2,804,400
49,900 Incyte Pharmaceuticals,
Inc.* ................................... 1,319,231
47,300 Lo-Jack Corp.* .......................... 396,138
76,600 MDC Communications
Corp.* .................................. 928,775
97,400 MedQuist, Inc.* ......................... 4,261,249
137,149 Rent-A-Center, Inc.* .................... 3,291,575
110,662 Rental Service Corp.* ................... 3,167,699
109,900 Republic Services, Inc.* ................ 2,720,025
129,500 Safety-Kleen Corp.* ..................... 2,347,188
20,200 St. Joseph Light & Power ................ 415,363
1,405 Student Advantage, Inc.* ................ 13,348
104,498 U.S. Oncology, Inc.* .................... 1,253,976
------------------
25,472,355
------------------
COMMUNICATIONS -- 0.6%
87,300 Crown Castle International Corp.* .... 1,816,931
------------------
COMPUTER HARDWARE -- 0.3%
36,100 Tektronix, Inc. ...................... 1,089,769
------------------
COMPUTER SERVICES -- 4.7%
40,100 BISYS Group, Inc.* ...................... 2,345,850
71,200 Com21, Inc.* ............................ 1,214,850
79,700 Electronics for Imaging* ................ 4,094,587
45,000 Extreme Networks, Inc.* ................. 2,612,813
38,600 International Telecommunications Data
Systems, Inc.* ..........................
617,600
82,400 Mentor Graphics Corp.* .................. 1,055,750
124,800 Sequent Computer Systems, Inc.* ......... 2,215,200
The accompanying notes are an integral part of the financial statements.
36
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Emerging Opportunities Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Shares Value
- ------------------------------------------------------------------------
154,428 SPR, Inc.* .............................. $ 820,399
------------------
14,977,049
------------------
COMPUTER SOFTWARE -- 9.1%
96,300 Best Software, Inc.* .................... 1,552,838
80,200 Concur Technologies, Inc.* .............. 2,255,625
25,300 Entrust Technologies, Inc.* ............. 841,225
55,900 Information Resources, Inc.* ............ 489,125
11,300 International Integration, Inc.* ........ 254,250
109,700 Mercury Interactive Corp.* .............. 3,880,637
66,500 Micromuse, Inc.* ........................ 3,316,687
40,600 Novell, Inc.* ........................... 1,075,900
58,533 PRI Automation, Inc.* ................... 2,121,821
38,300 Private Business, Inc.* ................. 387,788
54,500 PSINet, Inc.* ........................... 2,384,375
33,600 Rhythms NetConnections, Inc.* ........... 1,961,400
103,600 Santa Cruz Operation, Inc.* ............. 676,643
35,000 SCC Communications Corp.* ............... 153,125
149,200 SERENA Software, Inc.* .................. 2,004,875
45,200 TenFold Corp.* .......................... 1,435,100
99,500 Transaction Systems* .................... 3,880,499
------------------
28,671,913
------------------
EDUCATION -- 0.5%
56,800 Strayer Education, Inc. .............. 1,743,050
------------------
ELECTRIC UTILITIES -- 0.0%
12,000 Independent Energy Holdings ADR* .....
163,500
------------------
ELECTRONICS -- 3.5%
57,400 Dupont Photomasks, Inc.* ................ 2,748,025
18,000 LTX Corp.* .............................. 239,625
128,400 REMEC, Inc.* ............................ 2,070,450
92,520 Semtech Corp.* .......................... 4,822,604
116,300 VideoServer, Inc.* ...................... 1,104,850
------------------
10,985,554
------------------
ENTERTAINMENT & LEISURE -- 2.6%
77,000 Callaway Golf Co. ....................... 1,126,125
64,711 King World Productions,
Inc.* ................................... 2,252,752
21,500 Loews Cineplex Entertainment Corp.* ..... 233,813
124,398 Premier Parks, Inc.* .................... 4,571,626
------------------
8,184,316
------------------
FOREST PRODUCTS & PAPER -- 0.5%
24,500 Boise Cascade Corp. ..................... 1,053,500
9,900 Bowater, Inc. ........................... 467,775
------------------
1,521,275
------------------
HEALTH CARE PROVIDERS -- 6.6%
137,279 American Retirement Corp.* .............. 1,715,988
198,700 Coventry Health Care, Inc.* ............. 2,173,281
111,320 Eclipsys Corp.* ......................... 2,664,723
80,900 HealthCare Financial Partners, Inc.* .... 2,770,825
49,800 Matria Healthcare, Inc.* ................ 361,050
527,800 Mid Atlantic Medical Services* .......... 5,212,024
154,392 Province Healthcare Co.* ................ 3,010,644
86,154 Sunrise Assisted Living, Inc.* .......... 3,004,621
------------------
20,913,156
------------------
HEAVY MACHINERY -- 2.5%
33,300 Brooks Automation, Inc.* ................ 901,181
21,200 Case Corp. .............................. 1,020,250
82,300 New Holland NV .......................... 1,409,388
23,400 Stanley Works (The) ..................... 753,188
63,000 Stewart & Stevenson Services, Inc. ...... 960,750
109,800 Tokheim Corp.* .......................... 1,255,838
144,300 Varco International, Inc.* .............. 1,578,281
------------------
7,878,876
------------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES -- 1.1%
7,700 American Woodmark Corp. ................. 271,425
47,100 Gemstar International Group, Ltd.* ...... 3,073,274
------------------
3,344,699
------------------
Insurance -- 3.0%
17,900 Allmerica Financial Corp. ............... 1,088,544
The accompanying notes are an integral part of the financial statements.
37
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Emerging Opportunities Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Shares Value
- ------------------------------------------------------------------------
162,200 Annuity and Life Re (Holdings), Ltd. .... $ 3,639,362
114,000 Humana, Inc.* ........................... 1,474,875
35,200 Motor Club of America* .................. 459,800
48,800 St. Paul Companies, Inc. (The) .......... 1,552,450
37,600 Trigon Healthcare, Inc.* ................ 1,367,700
------------------
9,582,731
------------------
LODGING -- 2.2%
86,485 MGM Grand, Inc.* ........................ 4,237,764
60,768 Sun International Hotels, Ltd.* ......... 2,719,368
------------------
6,957,132
------------------
MEDIA - BROADCASTING
& PUBLISHING -- 4.8%
21,100 Adelphia Communications Corp.
- Class A*............................... 1,342,488
43,100 Allegiance Telecom, Inc.* ............... 2,365,113
82,200 Emmis Communications Corp. - Class A* ... 4,058,624
30,900 Jones Intercable, Inc. - Class A* ....... 1,514,100
144,000 Readers Digest Association, Inc. (The) -
Class A ................................. 5,723,999
------------------
15,004,324
------------------
MEDICAL SUPPLIES -- 2.4%
53,175 Henry Schein, Inc.* ..................... 1,684,983
66,400 Mentor Corp. ............................ 1,236,700
143,410 Mettler-Toledo International, Inc.* ..... 3,558,360
34,500 Orthofix International NV* .............. 513,188
47,800 Zoll Medical Corp.* ..................... 573,600
------------------
7,566,831
------------------
METALS -- 4.7%
39,600 Armco, Inc.* ............................ 262,350
397,000 Battle Mountain Gold Co. ................ 967,688
168,300 Birmingham Steel Corp. .................. 694,238
81,300 Cambior, Inc. ........................... 264,225
218,300 Cyprus Amax Minerals Co. ................ 3,315,430
106,300 Hecla Mining Co.* ....................... 219,244
164,900 Homestake Mining Co. .................... 1,350,119
39,400 Inco, Ltd. .............................. 709,200
174,900 Kaiser Aluminum Corp.* .................. 1,552,238
175,100 LTV Corp. ............................... 1,170,981
45,200 National Steel Corp. - Class B .......... 378,550
96,100 Newmont Mining Corp. .................... 1,909,988
11,100 Reynolds Metals Co. ..................... 654,900
63,500 Teck Corp. - Class B* ................... 544,881
16,800 Texas Industries, Inc. .................. 651,000
256,000 TVX Gold, Inc.* ......................... 256,000
------------------
14,901,032
------------------
OIL & GAS DISTRIBUTION -- 1.5%
26,600 Basin Exploration* ...................... 533,663
15,000 Hugoton Royalty Trust* .................. 152,813
76,100 MCN Energy Group, Inc. .................. 1,579,075
18,000 Washington Gas Light Co. ................ 468,000
135,300 Western Gas Resources, Inc. ............. 2,164,800
------------------
4,898,351
------------------
OIL & GAS EXPLORATION -- 6.6%
61,200 Barrett Resources Corp.* ................ 2,348,550
142,300 Bellwether Exploration Co.* ............. 782,650
17,900 Cabot Oil & Gas Corp. - Class A ......... 333,388
52,500 Canadian 88 Energy Corp.* ............... 147,656
13,800 Chieftain International, Inc.* .......... 241,500
49,300 Devon Energy Corp. ...................... 1,762,475
438,800 EEX Corp.* .............................. 3,044,175
99,700 Forest Oil Corp.* ....................... 1,252,481
113,900 HS Resources, Inc.* ..................... 1,680,025
123,100 Nuevo Energy Co.* ....................... 1,631,075
143,600 Pioneer Natural Resources Co. ........... 1,579,600
777,565 Santa Fe Snyder Corp.* .................. 5,928,932
------------------
20,732,507
------------------
Oil & Gas Field Services -- 9.7%
40,900 BJ Services Co.* ........................ 1,203,994
40,400 Global Industries, Ltd.* ................ 517,625
181,000 Global Marine, Inc.* .................... 2,794,188
16,300 Helmerich & Payne, Inc. ................. 388,144
The accompanying notes are an integral part of the financial statements.
38
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Emerging Opportunities Fund / June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Shares Value
- ------------------------------------------------------------------------
152,000 Marine Drilling Companies, Inc.* ........ $ 2,080,500
61,500 Nabors Industries, Inc.* ................ 1,502,906
86,900 Newpark Resources, Inc.* ................ 771,238
88,800 Noble Drilling Corp.* ................... 1,748,250
632,960 Ocean Energy, Inc.* ..................... 6,092,239
292,500 Oceaneering International, Inc.* ........ 4,716,562
62,200 Petroleum Geo-Services ADR* ............. 925,225
43,800 Precision Drilling Corp.* ............... 834,938
208,600 Pride International, Inc.* .............. 2,203,338
32,000 Rowan Co., Inc.* ........................ 590,000
55,100 Santa Fe International Corp. ............ 1,267,300
63,800 UTI Energy Corp.* ....................... 1,056,688
52,000 Weatherford International, Inc. ......... 1,904,500
------------------
30,597,635
------------------
PHARMACEUTICALS -- 1.6%
32,600 Carter-Wallace .......................... 592,913
77,100 Kos Pharmaceuticals, Inc.* .............. 390,319
39,800 Mylan Labs, Inc. ........................ 1,054,700
107,800 Pharmaceutical Product Development,
Inc.* ................................... 2,951,025
------------------
4,988,957
------------------
REAL ESTATE -- 0.7%
34,100 Felcor Lodging Trust, Inc. REIT ......... 707,575
18,300 Heartland Partners LP* .................. 279,075
17,900 Storage USA, Inc. REIT .................. 570,563
32,700 Washington Real Estate Investment Trust . 553,856
------------------
2,111,069
------------------
RESTAURANTS -- 3.5%
89,300 CKE Restaurants, Inc. ................... 1,451,125
91,404 Morton's Restaurant Group, Inc.* ........ 1,742,389
102,056 Outback Steakhouse, Inc.* ............... 4,012,076
86,600 Papa John's International, Inc.* ........ 3,869,937
------------------
11,075,527
------------------
RETAILERS -- 5.9%
47,300 Homebase, Inc.* ......................... 298,581
80,678 Linens 'n Things, Inc.* ................. 3,529,662
119,200 Michaels Stores* ........................ 3,650,499
150,300 Micro Warehouse, Inc.* .................. 2,686,613
183,400 School Specialty, Inc.* ................. 2,945,863
4,800 Stamps.com, Inc.* ....................... 84,000
186,240 Trans World Entertainment
Corp.* .................................. 2,095,200
84,600 Tweeter Home Entertainment Group, Inc.* . 3,320,549
------------------
18,610,967
------------------
TEXTILES, CLOTHING & FABRICS -- 0.4%
61,000 Osh Kosh B Gosh - Class A ............ 1,288,625
------------------
TRANSPORTATION -- 1.9%
41,900 Forward Air Corp.* ...................... 1,178,438
32,600 Kirby Corp.* ............................ 690,713
81,900 Newport News Shipbuilding, Inc. ......... 2,416,050
76,300 Offshore Logistics, Inc.* ............... 848,838
48,300 Transport Corporation of America, Inc.* . 621,863
8,000 Willis Lease Finance Corp.* ............. 130,500
------------------
5,886,402
------------------
WATER AND SEWER -- 0.4%
28,100 U.S. Internetworking, Inc.* .......... 1,180,200
------------------
Total Common Stocks
(Cost $290,989,522) ............................. 305,083,883
------------------
Total Investments -- 96.7%
(Cost $290,989,522) 305,083,883
Other assets in excess of liabilities-- 3.3% 10,552,288
------------------
Total Net Assets-- 100.0% $ 315,636,171
==================
Notes to the Portfolio of Investments:
REIT - Real Estate Investment Trust
ADR - American Depository Receipt
* Non-income producing security.
The accompanying notes are an integral part of the financial statements.
39
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Core Equity Fund / June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Shares Value
- ------------------------------------------------------------------------
COMMON STOCKS -- 99.0%
AEROSPACE & DEFENSE -- 2.2%
154,400 Lockheed Martin Corp. .................. $ 5,751,400
65,400 Textron, Inc. .......................... 5,383,238
------------------
11,134,638
------------------
AIRLINES -- 2.5%
84,100 AMR Corp.* ............................. 5,739,825
120,500 Delta Air Lines, Inc. .................. 6,943,813
------------------
12,683,638
------------------
AUTOMOTIVE -- 2.5%
112,600 Ford Motor Co. ......................... 6,354,863
96,300 General Motors Corp. ................... 6,355,800
------------------
12,710,663
------------------
BANKING -- 12.4%
62,762 Associates First
Capital Corp. .......................... 2,781,141
203,087 Bank Of America Corp. .................. 14,888,815
186,256 Chase Manhattan Corp. .................. 16,134,425
285,700 Fleet Financial Group, Inc. ............ 12,677,937
11,100 JP Morgan & Co., Inc. .................. 1,559,550
145,284 Washington Mutual, Inc. ................ 5,139,422
209,300 Wells Fargo Co. ........................ 8,947,575
------------------
62,128,865
------------------
BEVERAGES, FOOD & TOBACCO -- 1.8%
158,600 Conagra, Inc. .......................... 4,222,725
121,100 Pepsico, Inc. .......................... 4,685,056
------------------
8,907,781
------------------
CHEMICALS -- 3.2%
71,600 Dow Chemical Co. (The) ................. 9,084,250
103,400 Du Pont (E.I.) De Nemours & Co. ........
7,063,513
------------------
16,147,763
------------------
COMPUTER SOFTWARE
& Processing -- 2.3%
202,598 Electronic Data
Systems Corp. ........................ 11,459,448
------------------
COMPUTERS & INFORMATION -- 2.6%
102,700 IBM Corp. ............................ 13,273,974
------------------
ELECTRIC UTILITIES -- 4.0%
123,600 Consolidated Edison, Inc. .............. 5,592,900
71,500 FPL Group, Inc. ........................ 3,905,688
109,400 PECO Energy Co. ........................ 4,581,125
157,000 Unicom Corp. ........................... 6,054,313
------------------
20,134,026
------------------
ELECTRONICS -- 3.6%
159,622 Intel Corp. ............................ 9,497,509
146,800 Xerox Corp. ............................ 8,670,375
------------------
18,167,884
------------------
ENTERTAINMENT & LEISURE -- 2.2%
120,370 Eastman Kodak Co. ...................... 8,155,068
94,400 Hasbro, Inc. ........................... 2,637,300
------------------
10,792,368
------------------
FINANCIAL SERVICES -- 4.3%
151,800 Federal National
Mortgage Association ................... 10,379,325
107,224 Morgan Stanley, Dean Witter and Co. .... 10,990,460
------------------
21,369,785
------------------
FOOD RETAILERS -- 0.9%
91,728 Albertsons, Inc. ..................... 4,729,725
------------------
FOREST PRODUCTS & PAPER -- 3.9%
190,300 Fort James Corp. ....................... 7,207,613
246,800 International Paper Co. ................ 12,463,399
------------------
19,671,012
------------------
HEALTH CARE PROVIDERS -- 1.8%
406,600 Columbia/HCA
Healthcare Corp. ..................... 9,275,563
------------------
HEAVY MACHINERY -- 5.4%
182,600 Caterpillar Tractor, Inc. .............. 10,956,000
275,300 Deere & Co. ............................ 10,908,763
81,800 Ingersoll-Rand Co. ..................... 5,286,325
------------------
27,151,088
------------------
The accompanying notes are an integral part of the financial statements.
40
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Core Equity Fund / June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Shares Value
- ------------------------------------------------------------------------
HOME CONSTRUCTION, FURNISHINGS & APPLIANCES -- 1.5%
98,700 Whirlpool Corp. ...................... $ 7,303,800
------------------
INSURANCE -- 6.8%
88,900 Aetna, Inc. ............................ 7,950,994
255,066 Allstate Corp. ......................... 9,150,493
244,100 Conseco, Inc. .......................... 7,429,794
167,600 Hartford Financial Services Group, Inc.
(The) .................................. 9,773,175
------------------
34,304,456
------------------
MEDIA - BROADCASTING
& PUBLISHING -- 3.5%
95,800 MediaOne Group, Inc.* .................. 7,125,125
33,900 Time Warner, Inc. ...................... 2,491,650
89,000 Tribune Co. ............................ 7,754,125
------------------
17,370,900
------------------
MEDICAL SUPPLIES -- 1.6%
135,100 Baxter International, Inc. ........... 8,190,438
------------------
METALS -- 2.1%
77,400 Alcoa, Inc. ............................ 4,789,125
98,400 Reynolds Metals Co. .................... 5,805,600
------------------
10,594,725
------------------
OIL & GAS -- 10.8%
159,600 Amerada Hess Corp. ..................... 9,496,200
174,100 Coastal Corp. .......................... 6,964,000
321,000 Conoco, Inc. - Class A ................. 8,947,875
96,400 Exxon Corp. ............................ 7,434,850
65,800 Mobil Corp. ............................ 6,514,200
125,100 Texaco, Inc. ........................... 7,818,750
181,600 Unocal Corp. ........................... 7,195,900
------------------
54,371,775
------------------
PHARMACEUTICALS -- 2.4%
106,500 Bristol Myers Squibb Co. ............... 7,501,594
139,500 McKesson HBOC, Inc. .................... 4,481,438
------------------
11,983,032
------------------
RETAILERS -- 3.1%
481,800 K Mart Corp.* .......................... 7,919,588
170,900 Sears Roebuck & Co. .................... 7,615,731
------------------
15,535,319
------------------
TELEPHONE SYSTEMS -- 10.1%
244,800 AT&T Corp. ............................. 13,662,899
200,356 Bell Atlantic Corp. .................... 13,098,273
151,500 MCI Worldcom, Inc.* .................... 13,066,874
188,300 SBC Communications, Inc. ............... 10,921,400
------------------
50,749,446
------------------
TRANSPORTATION -- 1.5%
124,700 Union Pacific Corp. .................. 7,271,569
------------------
TOTAL Common Stocks
(Cost $382,934,300) ............................. 497,413,681
------------------
Total Investments -- 99.0%
(Cost $382,934,300) 497,413,681
Other assets in excess of liabilities -- 1.0% 4,898,288
------------------
Total Net Assets -- 100.0% $ 502,311,969
==================
Notes to the Portfolio of Investments:
* Non-income producing security.
The accompanying notes are an integral part of the financial statements.
41
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Long-Term Bond Fund / June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Value
- ------------------------------------------------------------------------
FOREIGN OBLIGATIONS -- 9.1%
Corporate Debt
$ 3,500,000 Petroleos Mexicanos,
Yankee-Dollar
8.850%, 09/15/07 .................. $ 3,119,200
2,300,000 Sumitomo Bank Treasury 144A,
Variable Rate
9.400%, 12/29/49 .................. 2,259,520
1,607,907 YPF Sociedad Anonima, Yankee-Dollar
7.000%, 10/26/02 ..................
1,581,039
-----------------
6,959,759
-----------------
Government Obligations
1,230,000 Manitoba (Province) - Series EE,
Yankee-Dollar
9.500%, 09/15/18 .................. 1,559,603
2,000,000 Quebec Province,
Yankee-Dollar
5.670%, 02/27/26 .................. 1,997,920
5,510,000 Republic of Argentina Global
Bond
11.750%, 04/07/09 ................. 4,972,775
2,083,200 Republic of Argentina Series
BB, Variable Rate
5.938%, 03/31/05 .................. 1,767,908
550,000 Republic of Panama Global
Bond
9.375%, 04/01/29 .................. 519,750
3,160,000 United Mexican States
Global Bond
11.500%, 05/15/26 ................. 3,483,900
860,000 United Mexican States
Global Bond Series XW
10.375%, 02/17/09 ................. 865,375
-----------------
15,167,231
-----------------
Total Foreign Obligations
(Cost $23,213,816) .............................. 22,126,990
-----------------
U.S. CORPORATE OBLIGATIONS -- 30.7%
Asset Backed and Mortgage Backed
5,000,000 Asset Securitization Corp.
6.660%, 02/14/41 .................. 4,939,375
1,020,000 Nomura Assets Securities
Corp., REMIC
7.120%, 04/13/36 .................. 1,030,226
-----------------
5,969,601
-----------------
Corporate Bonds & Notes
2,000,000 Associates Corporation of
North America
8.150%, 08/01/09 .................. 2,146,960
2,400,000 Bellsouth Telecommunication Corp.
7.000%, 10/01/25 .................. 2,320,344
390,000 Burlington North Santa Fe
6.375%, 12/15/05 .................. 380,449
66,000 Calpine Corp.
7.750%, 04/15/09 .................. 62,205
53,000 Century Communications
8.875%, 01/15/07 .................. 53,000
1,000,000 Cit Group Holdings
8.375%, 11/01/01 .................. 1,043,720
1,500,000 Citicorp Capital I(a)
7.933%, 02/15/27 .................. 1,507,800
1,350,000 Commonwealth Edison Co.
8.375%, 02/15/23 .................. 1,433,876
500,000 Commonwealth Edison Co.
8.625%, 02/01/22 .................. 531,895
29,000 Crown Castle International
Corp.
9.000%, 05/15/11 .................. 28,565
113,000 Crown Castle International
Corp., Step Up
10.375%, 05/15/11 ................. 66,105
760,000 CSX Corp.
7.450%, 05/01/07 .................. 773,558
400,000 Dean Witter
Discover & Co.
6.250%, 03/15/00 .................. 401,008
The accompanying notes are an integral part of the financial statements.
42
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Long-Term Bond Fund / June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Value
- ------------------------------------------------------------------------
$ 550,000 Dresdner Funding Trust I 144A
8.151%, 06/30/31 .................. $ 528,109
2,500,000 Ford Motor Co.
7.700%, 05/15/69 .................. 2,510,300
2,000,000 Ford Motor Credit Corp.
5.750%, 01/25/01 .................. 1,986,120
350,000 General Motors
Acceptance Corp.
9.625%, 12/15/01 .................. 375,400
4,700,000 General Motors
Acceptance Corp. - Units
0.000%(b), 06/15/15 ............... 1,493,425
344,857 GG1B Funding Corp.
7.430%, 01/15/11 .................. 336,236
2,400,000 GTE Corp.
6.940%, 04/15/28 .................. 2,271,816
93,000 Horseshoe Gaming LLC
144A
8.625%, 05/15/09 .................. 90,791
550,000 IBJ Preferred Cap LLC,
144A, Variable Rate, FLIRB
8.790%, 12/29/49 .................. 459,250
2,000,000 International Paper Co.
7.000%, 06/01/01 .................. 2,024,580
2,000,000 JP Morgan Co., Variable Rate
5.913%, 02/15/12 .................. 1,749,000
1,500,000 JPM Capital Trust I
7.540%, 01/15/27 .................. 1,433,580
360,000 Lear Corp. 144A
7.960%, 05/15/05 .................. 351,505
1,000,000 Lear Corp. 144A
8.110%, 05/15/09 .................. 964,541
2,000,000 Lockheed Martin
6.850%, 05/15/01 .................. 2,020,780
600,000 Loews Corp.
7.625%, 06/01/23 .................. 577,098
50,000 Lyondell Chemical Co. 144A
9.875%, 05/01/07 .................. 50,938
2,400,000 MCI Worldcom, Inc.
6.950%, 08/15/28 .................. 2,275,080
700,000 NBD Bank N.A.
8.250%, 11/01/24 .................. 774,704
600,000 News America Holdings
8.250%, 10/17/46 .................. 590,190
400,000 News America, Inc.
6.750%, 01/09/38 .................. 372,852
1,400,000 News America, Inc. 144A
7.625%, 11/30/28 .................. 1,360,814
2,000,000 Niagara Mohawk Power
Corp.
7.750%, 05/15/06 .................. 2,075,420
900,000 Niagara Mohawk Power
Series G
7.750%, 10/01/08 .................. 927,693
900,000 Niagara Mohawk Power
Series H, Step Up
0.000%, 07/01/10 .................. 666,378
2,700,000 Norfolk Southern Corp.
7.800%, 05/15/27 .................. 2,792,799
140,000 Nortek, Inc. 144A
8.875%, 08/01/08 .................. 137,900
970,000 Pepsi Bottling Group (The),
Inc. 144A
7.000%, 03/01/29 .................. 909,452
740,000 Philip Morris Co., Inc.
7.000%, 07/15/05 .................. 740,407
690,000 Raytheon Co.
6.750%, 08/15/07 .................. 682,976
1,600,000 Republic of New York Corp.
7.200%, 07/15/47 .................. 1,471,456
1,740,000 RJ Reynolds Tobacco
Holding 144A
7.750%, 05/15/06 .................. 1,671,963
1,170,000 RJ Reynolds Tobacco
Holding 144A
7.875%, 05/15/09 .................. 1,118,715
2,000,000 RJR Nabisco, Inc.
6.850%, 06/15/05 .................. 1,968,860
The accompanying notes are an integral part of the financial statements.
43
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Long-Term Bond Fund / June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Value
- ------------------------------------------------------------------------
$ 158,000 Safety-Kleen Corp. 144A
9.250%, 05/15/09 .................. $ 159,580
4,260,000 Seagram (Joseph) & Sons,
Inc.
7.600%, 12/15/28 .................. 4,101,358
2,000,000 Southern California Edison
6.500%, 06/01/01 .................. 2,012,480
2,400,000 TCI Communications, Inc.
7.875%, 02/15/26 .................. 2,529,216
950,000 TCI Communications, Inc.
8.750%, 08/01/15 .................. 1,076,284
1,860,000 TCI Communications, Inc.
9.650%, 03/31/27 .................. 2,104,813
800,000 Telecommunications, Inc.
7.875%, 08/01/13 .................. 843,464
50,000 Terex Corp. 144A
8.875%, 04/01/08 .................. 48,000
2,000,000 Time Warner
Entertainment
8.375%, 03/15/23 .................. 2,166,340
1,500,000 U.S. West Capital Funding,
Variable Rate
5.548%, 06/15/00 .................. 1,499,370
-----------------
67,051,518
-----------------
Municipal Obligations
3,150,000 Toll Road Inv Part II 144A
0.000%(b), 02/15/27 ............... 426,227
3,400,000 Toll Road Inv Part II 144A
0.000%(b), 02/15/28 ............... 428,026
2,880,000 Toll Road Inv Part II 144A
0.000%(b), 02/15/29 ............... 337,190
2,880,000 Toll Road Inv Part II 144A
0.000%(b), 02/15/30 ............... 313,805
-----------------
1,505,248
-----------------
Total U.S. Corporate Obligations
(Cost $75,705,740) .............................. 74,526,367
-----------------
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS -- 59.0%
U.S. Government Agency Mortgage Backed
Obligations
$ 17,165,795 Federal Home Loan
Mortgage Corp.
6.500%, 09/01/27 .................. $ 16,565,679
9,991,237 Federal Home Loan
Mortgage Corp.
6.500%, 05/01/29 .................. 9,648,137
9,093,016 Federal Home Loan
Mortgage Corp.
7.000%, 01/01/28 .................. 8,992,720
4,700,474 Federal Home Loan
Mortgage Corp.
7.000%, 04/01/29 .................. 4,665,221
1,600,000 Federal Home Loan
Mortgage Corp., 30 yr. Gold,
TBA
7.000%, 07/01/29 .................. 1,583,008
3,173,610 Federal National
Mortgage Association
6.125%, 02/13/04 .................. 3,042,699
906,235 Federal National
Mortgage Association
6.000%, 11/01/27 .................. 856,066
9,892,994 Federal National
Mortgage Association
6.500%, 03/01/28 .................. 9,581,186
9,981,541 Federal National
Mortgage Association
6.500%, 05/01/29 .................. 9,632,585
6,949,891 Federal National
Mortgage Association
7.000%, 03/01/28 .................. 6,873,234
900,264 Federal National
Mortgage Association
7.000%, 04/01/28 .................. 890,334
426,612 Federal National
Mortgage Association
8.500%, 12/01/26 .................. 445,869
The accompanying notes are an integral part of the financial statements.
44
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Long-Term Bond Fund / June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Value
- ------------------------------------------------------------------------
$ 1,113,735 Federal National
Mortgage Association
8.500%, 07/01/27 .................. $ 1,163,998
3,400,000 Federal National
Mortgage Association, TBA
6.000%, 07/01/29 .................. 3,193,892
39,837 Government National
Mortgage Association
7.000%, 01/15/23 .................. 39,485
4,942,435 Government National
Mortgage Association
7.000%, 04/15/23 .................. 4,898,793
53,401 Government National
Mortgage Association
7.000%, 05/15/23 .................. 52,930
577,841 Government National
Mortgage Association
7.000%, 07/15/23 .................. 572,738
667,155 Government National
Mortgage Association
7.000%, 08/15/23 .................. 661,264
368,388 Government National
Mortgage Association
7.500%, 10/15/22 .................. 373,089
123,218 Government National
Mortgage Association
7.500%, 01/15/23 .................. 124,714
835,307 Government National
Mortgage Association
7.500%, 04/15/23 .................. 845,448
58,082 Government National
Mortgage Association
7.500%, 05/15/23 .................. 58,787
564,552 Government National
Mortgage Association
7.500%, 06/15/23 .................. 571,406
235,625 Government National
Mortgage Association
7.500%, 07/15/23 .................. 238,485
790,738 Government National
Mortgage Association
7.500%, 08/15/23 .................. 800,338
836,336 Government National
Mortgage Association
7.500%, 10/15/23 .................. 846,490
89,900 Government National
Mortgage Association
7.500%, 11/15/23 .................. 90,992
1,566,595 Government National
Mortgage Association
7.500%, 07/15/28 .................. 1,584,643
194,239 Government National
Mortgage Association
9.500%, 09/15/30 .................. 212,425
-----------------
89,106,655
-----------------
U.S. Government Agency Obligations
3,000,000 Federal Home Loan Bank
5.920%, 06/29/00 .................. 3,011,730
3,000,000 Federal Home Loan
Mortgage Corp.
6.783%, 08/18/05 .................. 3,065,610
20,000,000 Resolution Funding Corp.,
TIGR Coupon Strip
0.000%(b), 01/15/11(c) ............ 9,678,799
15,000,000 Resolution Funding Corp.,
TIGR Principal Strip
0.000%(b), 01/15/30 ............... 2,104,800
-----------------
17,860,939
-----------------
U.S. Treasury Bonds
13,036,818 3.724%, 04/15/28II(c) ............. 12,301,410
----------------
12,301,410
-----------------
U.S. Treasury Notes
10,382,625 3.540%, 01/15/07II ................ 9,954,341
10,377,666 3.728%, 01/15/08II ................ 10,089,041
1,136,955 3.875%, 04/15/29 .................. 1,121,322
-----------------
21,164,704
-----------------
The accompaning notes are an integral part of the financial statements.
45
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc. / Long-Term Bond Fund / June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Value
- ------------------------------------------------------------------------
U.S. Treasury Principal Strip
$ 8,500,000 0.000%, 08/15/20(c) ............... 2,262,445
2,460,000 0.000%, 02/15/23(c) ............... 577,428
-----------------
2,839,873
-----------------
Total U.S. Government and Agency
Obligations
(Cost $147,584,592) ............................. 143,273,581
-----------------
Shares Value
- ------------------------------------------------------------------------
PREFERRED STOCKS -- 0.4%
MEDIA - BROADCASTING
& PUBLISHING -- 0.4%
14,000 News Corp., Ltd. .................. $ 893,102
----------------
Total Preferred Stocks
-----------------
(Cost $910,560) ................................. $ 893,102
-----------------
Principal
Amount Value
- ------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 0.9%
U.S. GOVERNMENT AGENCY
OBLIGATIONS -- 0.9%
$ 2,200,000 Federal Home Loan
Mortgage Corp.
4.720%(d), 11/12/99 ............. 2,157,826
-----------------
Total Short-Term Investments
(Cost $2,161,348) ............................... 2,157,826
-----------------
Total Investments -- 100.1%
(Cost $249,576,056) 242,977,866
Liabilities in excess of other assets--
(0.1)% (133,087)
==================
Total Net Assets -- 100.0% $ 242,844,779
==================
Notes to the Portfolio of Investments:
FLIRB -- Front Loaded Interest Reduction Bond
REMIC -- Real Estate Mortgage Investment Conduit
TBA -- Delayed Delivery Transaction (note 9)
TIGR -- Treasury Income Growth Receipts (a stripped U.S. Bond)
Yankee-Dollar -- U.S. Dollar denominated bonds issued by non-U.S.
companies in the U.S.
144A - Securities restricted for resale to Qualified Institutional
Buyers
II - Inflation Indexed
Variable rate -- The rates shown on variable rate securities reflect the current
interest rate at June 30, 1999, which are subject to change based upon the
terms of the security, including varying reset dates.
(a) An affiliate of American Odyssey Funds Management, Inc.
(b) Security is a zero coupon bond.
(c) Security has been pledged to cover collateral requirements for open futures.
(d) Rate noted reflects yield to maturity at issue.
The accompanying notes are an integral part of the financial statements.
46
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc./Intermediate-Term Bond Fund/June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Value
- -----------------------------------------------------------------
Foreign Obligations -- 9.3%
Corporate Debt
$6,000,000 HSBC Holdings Plc Global
7.500%, 07/15/09 ....................... $6,050,064
550,000 Nexfor, Inc., Yankee-Dollar
8.875%, 10/15/99 ....................... 553,493
5,000,000 Telecom Corporation of New
Zealand, Ltd., 144A
6.250%, 02/10/03 ....................... 4,959,920
------------
11,563,477
------------
Total Foreign Obligations
(Cost $11,530,309) ................................ 11,563,477
------------
U.S. Corporate Obligations -- 77.4%
Corporate Bonds & Notes
6,000,000 Appalachian Power Co.
6.600%, 05/01/09 ....................... 5,803,860
6,400,000 AT&T Cap Corp.
6.875%, 01/16/01 ....................... 6,402,688
4,500,000 Atlantic Richfield Co.
5.900%, 04/15/09 ....................... 4,212,900
6,300,000 Capital One Financial Corp.
6.570%, 01/27/03 ....................... 6,222,170
4,100,000 CarrAmerica Realty Corp.
6.625%, 10/01/00 ....................... 4,070,808
1,450,000 CMS Energy Corp.
7.625%, 11/15/04 ....................... 1,418,347
1,600,000 CMS Energy Corp. Series B
6.750%, 01/15/04 ....................... 1,530,672
1,000,000 Columbia/HCA Healthcare Corp.
6.630%, 07/15/45 ....................... 936,100
3,000,000 Columbia/HCA
Healthcare Corp.
6.870%, 09/15/03 ....................... 2,793,870
3,200,000 Comdisco, Inc., Variable
Rate 6.130%, 08/01/01 .................. 3,174,029
1,400,000 Dayton Hudson Co.
6.800%, 10/01/01 ....................... 1,416,170
$4,800,000 Federal National Mortgage
Association Global Bond
5.625%, 05/14/04 ....................... $4,651,488
6,000,000 Finova Capital Corp.
6.250%, 11/01/02 ....................... 5,943,660
3,000,000 General Motors Acceptance
Corp. Global
6.850%, 06/17/04 ....................... 3,023,910
6,000,000 Marlin Water, 144A
7.090%, 12/15/01 ....................... 6,028,890
1,300,000 MCI Worldcom, Inc.
6.400%, 08/15/05 ....................... 1,271,790
3,000,000 Nationwide Health Properties
6.900%, 10/01/37 ....................... 2,794,101
6,000,000 NorAm Energy Corp.
7.500%, 08/01/00 ....................... 6,065,220
5,400,000 Norfolk Southern Corp.
6.875%, 05/01/01 ....................... 5,453,244
4,000,000 Occidental Petroleum Corp.
7.650%, 02/15/06 ....................... 4,042,280
1,600,000 Orix Credit Alliance, Inc.
6.400%, 11/22/99 ....................... 1,600,891
4,600,000 Orix Credit Alliance, Inc.
MTN, 144A
6.780%, 05/15/01 ....................... 4,534,570
3,200,000 Popular North America,
Inc., MTN Series B
7.300%, 06/05/02 ....................... 3,214,656
5,000,000 RJR Nabisco, Inc.
6.700%, 06/15/02 ....................... 4,978,100
3,200,000 Saks, Inc.
7.250%, 12/01/04 ....................... 3,210,266
1,700,000 Saks, Inc.
7.500%, 12/01/10 ....................... 1,684,433
350,000 TCI Communications, Inc.
6.375%, 05/01/03 ....................... 348,326
------------
96,827,439
------------
Total U.S. Corporate Obligations
(Cost $98,243,841) ................................ 96,827,439
------------
The accompanying notes are an integral part of the financial statements.
47
<PAGE>
- --------------------------------------------------------------------------------
Portfolio of Investments
American Odyssey Funds, Inc./Intermediate-Term Bond Fund/June 30, 1999
(Unaudited)
- --------------------------------------------------------------------------------
Principal
Amount Value
- -----------------------------------------------------------------
U.S. Government and Agency Obligations -- 11.5%
U.S. Government Agency
$7,600,000 Federal Home Loan
Mortgage Corp.
6.300%, 06/01/04 ....................... $7,527,572
-----------
U.S. Treasury Notes
3,500,000 6.875%, 05/15/06 ....................... 3,684,835
3,000,000 7.250%, 08/15/04 ....................... 3,191,250
------------
6,876,085
------------
Total U.S. Government and Agency
Obligations
(Cost $14,445,253) ................................ 14,403,657
------------
Short-Term Investments -- 5.1%
Commercial Paper
3,040,000 Household Finance
5.750%(a), 07/01/99 .................... 3,040,000
3,400,000 Morgan Stanley, Dean Witter
and Co.
5.300%(a), 07/06/99 .................... 3,397,497
------------
6,437,497
------------
Total Short-Term Investments
(Cost $6,437,497) ................................. 6,437,497
------------
Total Investments -- 103.3%
(Cost $130,656,900) 129,232,070
Liabilities in excess of other assets --
(3.3)% (4,140,328)
-------------
Total Net Assets -- 100.0% $125,091,742
=============
Notes to the Portfolio of Investments:
Yankee Dollar -- U.S. Dollar denominated bonds issued
by non-U.S. companies in the U.S.
144A -- Securities restriced for resale to Qualified
Institutional Buyers
Variable Rate -- The rates shown on variable rate securities reflect the current
interest rate at June 30, 1999, which are subject to change based on the terms
of the security, including varying reset dates.
(a) Rate noted reflects yield to maturity at issue.
The accompanying notes are an integral part of the financial statements.
48
<PAGE>
- --------------------------------------------------------------------------------
Notes to Financial Statements
American Odyssey Funds, Inc. / June 30, 1999 (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)"): Global High-Yield Bond Fund, International
Equity Fund, Emerging Opportunities Fund, Core Equity Fund, Long-Term Bond Fund
and Intermediate-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, including (S) 403(b) arrangements, 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. Short-term 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 to manage their exposure to the stock and bond markets and to
fluctuations in interest rates and currency values and for investment purposes.
The primary risks associated with the use of these financial instruments 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, (b) the possibility of an illiquid market, and (c) the
non-performance of the counterparties under the terms of the contract. As a
result, the use of these financial instruments may involve, to a varying degree,
risk of loss in excess of the amount recognized in the Statement of Assets and
Liabilities.
49
<PAGE>
c) Futures Contracts
Initial margin deposits made upon entering into futures contracts are recognized
as assets due from the broker. During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market" on a daily basis to reflect the value of the
contract at the end of each day's trading. Variation margin payments are made or
received and recognized as assets due from or liabilities due to the broker
depending upon whether unrealized gains or losses are incurred. Gains and losses
are realized upon the expiration or closing of the futures 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 Funds may enter into forward foreign currency contracts to manage their
exposure to fluctuations in certain foreign currency values. The Global
High-Yield Bond Fund may enter into forward foreign currency contracts for
investment purposes as well. 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 an 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.
50
<PAGE>
f) Repurchase Agreements
The Funds may enter into repurchase agreements with the seller wherein the
seller and the buyer agree at the time of sale to a repurchase of the security
at a mutually agreed upon time and price. The Funds will not enter into
repurchase agreements unless the agreement is fully collateralized. Securities
purchased subject to the repurchase agreement are deposited with a custodian
and, pursuant to the terms of the repurchase agreement, must have an aggregate
market value at least equal to the repurchase price plus accrued interest. If
the value of the underlying securities falls below the value of the repurchase
price plus accrued interest, the seller is required to deposit additional
collateral by the next business day. If the request for additional collateral is
not met, or the seller defaults on its repurchase 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 foreign 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) Taxes
It is the Company's policy to comply with the provisions of the Internal Revenue
Code Subchapter M 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.
51
<PAGE>
i) 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 deferral of losses due to wash sales
and the deferral of net realized capital losses recognized subsequent to October
31, 1998. 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 to additional paid-in capital, undistributed net
investment income and accumulated net realized gain on investments, futures
contracts, option contracts and foreign currency transactions.
j) Securities Transactions
Securities transactions are accounted for on the date the securities are
purchased or sold. Realized gains and losses are determined on the identified
cost basis. Dividend income is recorded on the ex-dividend date.
Interest income is accrued daily as earned.
NOTE 3. Management, Subadvisory, and Transfer Agency 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
subadvisors' 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 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. Each Fund pays AOFM a fee for
its services that is computed daily and paid monthly at an annual rate of 0.25%
of the Fund's average net assets. Each Fund pays its respective subadvisor(s)
directly.
AOFM's management fees for the period January 1, 1999 to June 30, 1999 were
$1,906,283. During the period January 1, 1999 to June 30, 1999, the Funds also
paid $2,613,275 to the Subadvisors.
Each Fund pays its subadvisor (or, for any Fund with more than one subadvisor,
each of its subadvisors) a fee that is computed daily and paid monthly at the
annual rates specified below based upon the value of the Fund's average daily
net assets allocated to that subadvisor.
52
<PAGE>
<TABLE>
<CAPTION>
Fund & Subadvisor Subadvisor's Fee
- ------------------------------------------------------ ------------------------------------------------------
<S> <C>
Global High-Yield Bond Fund
- - Credit Suisse Asset Management . 0.425% of assets
(formerly BEA Associates)
International Equity Fund
- - Bank of Ireland Asset Management (U.S.) Limited . 0.45% for first $50 million in assets, plus
. 0.40% for next $50 million in assets, plus
. 0.30% for assets over $100 million
Emerging Opportunities Fund
- - Chartwell Investment Partners . 0.70% for the first $50 million in assets, plus
. 0.50% for the next $50 million in assets, plus
. 0.45% for assets over $100 million
- - SG Cowen Asset Management . 0.50% for the first $50 million in assets, plus
. 0.45% for the next $50 million in assets, plus
. 0.40% for assets over $100 million
Core Equity Fund
- - Equinox Capital Management, LLC . 0.35% for first $100 million in assets, plus
. 0.30% for assets over $100 million
Long-Term Bond Fund
- - Western Asset Management Company . 0.25% for the first $250 million in assets, plus
. 0.15% for assets over $250 million
Intermediate-Term Bond Fund
- - Travelers Asset Management
International Corporation . 0.25% for the first $100 million in assets, plus
. 0.20% for the next $100 million in assets, plus
. 0.15% for assets over $200 million
</TABLE>
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.
Travelers Asset Management International Corporation, an affiliate of AOFM,
serves as subadvisor for the Intermediate-Term Bond Fund.
53
<PAGE>
NOTE 4. Directed Brokerage Arrangements
The International Equity Fund, Emerging Opportunities 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 period ended June 30, 1999, broker-dealers paid
custodian expenses for the International Equity Fund, Emerging Opportunities
Fund and the Core Equity Fund of $10,834, $59,254 and $48,623, respectively.
NOTE 5. Securities Transactions
The cost of purchases and proceeds from sales of investment securities
(excluding short-term investments and repurchase agreements), for the period
ended June 30, 1999 were:
<TABLE>
<CAPTION>
Global Emerging Intermediate-
High-Yield International Opportunities Core Equity Long-Term Term
Bond Fund Equity Fund Fund Fund Bond Fund Bond Fund
------------ -------------- --------------- -------------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
Purchases:
U.S. Government ... $ -- $ -- $ -- $ -- $ 97,661,847 $115,346,258
Non-U.S. Government 248,495,250 27,822,342 153,296,150 126,615,627 25,216,804 133,336,660
============ ------------ ============ ============ ============ ============
Total ............. $248,495,250 $ 27,822,342 $153,296,150 $126,615,627 $122,878,651 $248,682,918
============ ============ ============ ============ ============ ============
Sales:
U.S. Government ... $ -- $ -- $ -- $ -- $ 93,474,220 $139,177,107
Non-U.S. Government 237,862,492 28,212,173 143,188,138 134,179,773 23,634,089 101,118,950
============ ============ ============ ============ ============ ============
Total ............. $237,862,492 $ 28,212,173 $143,188,138 $134,179,773 $117,108,309 $240,296,057
============ ============ ============ ============ ============ ============
<CAPTION>
At June 30, 1999, 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:
Global Emerging Intermediate-
High-Yield International Opportunities Core Equity Long-Term Term
Bond Fund Equity Fund Fund Fund Bond Fund Bond Fund
-------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Federal Income Tax Cost ... $ 89,658,345 $ 231,614,809 $ 290,989,522 $ 382,934,300 $ 249,576,056 $ 130,656,900
============= ============= ============= ============= ============= =============
Gross Unrealized
Appreciation ........... $ 2,041,580 $ 86,084,169 $ 45,239,620 $ 123,302,077 $ 1,752,186 $ 224,342
Gross Unrealized
Depreciation ........... (5,338,973) (8,813,523) (31,145,259) (8,822,696) (8,350,376) (1,649,172)
============= ============= ============= ============= ============= =============
Net Unrealized Appreciation
(Depreciation) ......... $ (3,297,393) $ 77,270,646 $ 14,094,361 $ 114,479,381 $ (6,598,190) $ (1,424,830)
============= ============= ============= ============= ============= =============
</TABLE>
54
<PAGE>
NOTE 6. Futures Contracts
At June 30, 1999, the Long-Term Bond Fund had entered into the following futures
contracts:
<TABLE>
<CAPTION>
Unrealized
Number Underlying Expiration Nominal Nominal Appreciation/
of Contracts Face Value Securities Date Cost Value (Depreciation)
- ---------------- ----------- ------------------------------- ------------ ---------- ---------- ---------------
Long Position
- ----------------
<S> <C> <C> <C> <C> <C> <C>
10 $ 1,000,000 10 Year U.S. Treasury Note 09/30/99 $ 1,100,231 $ 1,111,875 11,644
240 24,000,000 U.S. Long-Term Treasury Bond 09/30/99 27,682,131 27,817,502 135,371
---------------
Total: $ 147,015
===============
<CAPTION>
Unrealized
Number Underlying Expiration Nominal Nominal Appreciation/
of Contracts Face Value Securities Date Cost Value (Depreciation)
- ---------------- ----------- ------------------------------- ------------ ---------- ---------- ---------------
Short Position
- ----------------
<S> <C> <C> <C> <C> <C> <C>
12 1,200,000 5 Year U.S. Treasury Note 09/30/99 1,316,760 1,308,000 $ (8,760)
===============
</TABLE>
At June 30, 1999, the Fund had segregated sufficient cash and/or
securities to cover margin requirements on open future contracts.
NOTE 7. Written Options
The Long-Term Bond Fund's activity in written options during the period ended
June 30, 1999 was as follows:
Number of
Options Premiums
---------- -------------
Options Outstanding at December 31, 1998............ 119 $ 126,951
Options Written................................. 4,538 482,826
Options Canceled in Closing Transactions........ (351) (276,789)
Options Expired................................. (95) (37,663)
Options Exercised............................... (4,103) (233,119)
========== =============
Options Outstanding at June 30, 1999................ 108 $ 62,206
========== =============
Cost of closing transactions........................ $ 59,515
=============
55
<PAGE>
NOTE 8. Forward Foreign Currency Contracts
The Global High-Yield Bond Fund and the International Equity Fund had forward
foreign currency contracts which contractually obligate the Funds to deliver or
receive currencies at specified future dates. The following contracts were open
at June 30, 1999 for the Global High-Yield Bond Fund:
<TABLE>
<CAPTION>
Local Foreign Unrealized
Principal Contract Settlement Current Appreciation/
Sales Amount U.S. $ Value Date U.S.$ Value (Depreciation)
- ------------------------------------------------- ----------- ----------- ---------- ------------ ------------
<S> <C> <C> <C> <C> <C>
South African Rand 1,984,865 $ 318,087 08/18/99 $ 305,039 $ (13,048)
---------- ---------- ----------- ----------
Total Sales 1,984,865 $ 318,087 $ 305,039 $ (13,048)
========== ========== =========== ===========
<CAPTION>
Local Foreign Unrealized
Principal Contract Settlement Current Appreciation/
Buys Amount U.S. $ Value Date U.S.$ Value (Depreciation)
- ------------------------------------------------- ----------- ----------- ---------- ------------ ------------
<S> <C> <C> <C> <C> <C>
South African Rand 1,984,865 $ 303,728 08/18/99 $ 305,039 $ (1,311)
---------- ---------- ------------ -----------
Total Buys 1,984,865 $ 303,728 $ 305,039 $ (1,311)
========== ========== =========== ===========
</TABLE>
The following contracts were open at June 30, 1999 for the International Equity
Fund:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
Local Foreign Unrealized
Principal Contract Settlement Current Appreciation/
Sales Amount U.S. $ Value Date U.S.$ Value (Depreciation)
- ------------------------------------------------- ------------ ------------ ---------- ------------ ------------
<S> <C> <C> <C> <C> <C>
Japanese Yen 466,101,000 $ 3,962,433 07/02/99 $ 3,851,572 $ 110,861
Japanese Yen 778,513,000 6,652,252 07/21/99 6,443,478 208,774
Japanese Yen 447,814,000 3,728,521 08/18/99 3,719,365 9,156
Japanese Yen 414,346,000 3,379,657 08/24/99 3,444,368 (64,711)
Japanese Yen 312,085,000 2,594,223 08/31/99 2,597,000 (2,777)
Japanese Yen 352,049,000 2,928,251 09/09/99 2,933,807 (5,556)
Japanese Yen 660,333,000 5,655,473 09/16/99 5,509,110 146,363
------------ ----------- ------------ -----------
Total Sales 3,431,241,00 $28,900,810 $ 28,498,700 $ 402,110
============ =========== =========== ===========
<CAPTION>
Local Foreign Unrealized
Principal Contract Settlement Current Appreciation/
Buys Amount U.S. $ Value Date U.S.$ Value (Depreciation)
- ------------------------------------------------- ------------ ------------ ---------- ------------ -------------
<S> <C> <C> <C> <C> <C>
Japanese Yen 506,923,347 $ 4,159,198 07/02/99 $ 4,188,902 $ 29,704
=========== =========== =========== ===========
</TABLE>
56
<PAGE>
NOTE 9. Delayed Delivery Transactions:
The Long-Term Bond Fund may purchase and sell 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, 1999, the Fund has entered into the following delayed delivery
transactions:
<TABLE>
<CAPTION>
Payable
Type Security Settlement Date Amount
- ------------- ---------------------------------------------------------- ------------------- ------------
<S> <C> <C> <C>
Buy Federal National Mortgage Corporation, TBA, 6% 07/14/99 $3,201,312
Buy Federal National Mortgage Corporation, TBA, 7% 07/14/99 1,574,500
------------
$4,775,812
============
</TABLE>
NOTE 10. Federal Income Taxes:
For federal income tax purposes, the Funds indicated below have a capital
loss carryforward as of December 31, 1998 which is available to offset future
capital gains, if any.
Capital Loss Expiration
Carryforward Date
------------------- -------------
Global High-Yield Bond $ 85,972 12/31/2002
148,584 12/31/2005
4,479,269 12/31/2006
-------------------
$ 4,713,825
===================
International Equity $ 5,871,669 12/31/2006
===================
The International Equity Fund elected to defer to its fiscal year ending
December 31, 1999, $556,811 of losses recognized during the period November 1,
1998 to December 31, 1998.
57
<PAGE>
AMERICAN
[LOGO] ODYSSEY(R)
F U N D S
American Odyssey Funds Management, Inc.
Two Tower Center
East Brunswick, NJ 08816
1-800-242-7884
AMERICAN ODYSSEY and the Sailing Ship Logo are
registered trademarks of American Odyssey Funds Management, Inc.
(c) Copyright 1999 American Odyssey Funds Management, Inc.
