PILGRIM(R)
---------------------------
FUNDS FOR SERIOUS INVESTORS
Semi-Annual Report
Class Q
April 30, 2000
U.S. EQUITY FUND
Pilgrim Research Enhanced Index
INTERNATIONAL EQUITY FUND
Pilgrim International Value
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Pilgrim
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TABLE OF CONTENTS
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Chairman's Message........................................................... 1
Portfolio Managers' Reports:
U.S. Equity Fund........................................................... 2
International Equity Fund.................................................. 4
Index Descriptions........................................................... 6
Statements of Assets and Liabilities......................................... 7
Statements of Operations..................................................... 9
Statements of Changes in Net Assets.......................................... 10
Financial Highlights......................................................... 12
Notes to Financial Statements................................................ 14
Portfolios of Investments.................................................... 20
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Pilgrim
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CHAIRMAN'S MESSAGE
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Dear Shareholder:
We are pleased to present the Semi-Annual Report for the Pilgrim Funds which
offered Q classes as of April 30, 2000(1). On October 29, 1999, ReliaStar
Financial Corp., the indirect parent company of Northstar Investment Management
Corporation ("Northstar"), acquired Pilgrim Capital Corporation and its
subsidiaries. The Advisor to the Funds Pilgrim Advisors, Inc., merged into
Pilgrim Investments, Inc. on April 30, 2000.
Our fund family now has 28 funds of varying types which provide core investment
choices for the serious investor. There is one U.S. Equity Fund and one
International Equity Fund included in this Semi-Annual Report.
At Pilgrim, we are dedicated to providing core investments for the serious
investor. We believe that the key to success is matching quality core
investments to the individual needs of investors. Core investments are the
foundation of every portfolio and the basis of other important investment
decisions. Pilgrim prides itself on providing a family of core investments
designed to help you reach your financial goals. Our goal is for every investor
to have a successful investment experience.(SM)
Sincerely,
/s/ Robert W. Stallings
Robert W. Stallings
Chairman
Pilgrim Investments, Inc.
May 23, 2000
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(1) The Semi-Annual Report for other Pilgrim Fund classes has been issued
separately.
1
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U.S. Equity
Fund
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Portfolio
PILGRIM RESEARCH ENHANCED INDEX FUND Manager's Report
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PORTFOLIO MANAGEMENT TEAM: Timothy Devlin, Vice President, J.P. Morgan
Investment Management Inc. and Portfolio Manager; Bernard Kroll, Managing
Director of J.P. Morgan Investment Management Inc. and Portfolio Manager.
GOAL: The Research Enhanced Index Fund seeks to earn a total return modestly in
excess of the S&P 500 Index while maintaining a return volatility similar to the
S&P 500 Index.
MARKET OVERVIEW: Technology and growth continued to be favored by investors and
positive price momentum remained an indicator of short-term success throughout
the greater part of the six-month period ending April 30, 2000. Specific risk or
individual stock volatility has remained at historical proportions and has
clearly been evident in the magnitude with which stock prices have moved around
any specific company or market news. Technology has been the greatest
contributor to index results, with two stocks in particular, Intel and Cisco,
accounting almost entirely for the gains. However, several previously bullish
industry pundits admonished that valuations among technology stocks were
unjustifiably extended, triggering a sharp rotation out of technology and into
more value-oriented sectors in March. While we are not underweight technology,
sector neutral as always, the modest rotation had a positive effect on the Fund
as we posted positive returns over the benchmark in March. The market then
experienced an about-face in April as value decidedly outperformed growth by a
meaningful amount for the first time since the spring of 1999. The S&P Value
Index fell 0.67% while the S&P Growth Index fell 4.95%. The technology,
telecommunications, & media sectors that had led the market over the last few
years were all stifled in April. In particular, the software & services sector
was down 21.3% due to the bleak performance of Microsoft (-34.3%), the Fund's
fourth largest holding. Utilities (+10.9%) and consumer cyclicals (+11.7%)
became the best performing sectors in April. Investors returned to the security
of low price-to-earnings ratios found in these groups. Stock prices have become
very depressed in these interest-sensitive sectors because of the Federal
Reserve's tight monetary policy.
PERFORMANCE: For the period April 4, 2000 (the class inception date), through
April 30, 2000, the Fund's Class Q shares, excluding sales charges, declined
3.19% versus -2.76% for the S&P 500 Index.
PORTFOLIO SPECIFICS: Although the market broadened during the latter part of the
reporting period, the large-cap U.S. equity market continued to tout a very
narrow group of mega-cap stocks, and investors tended to focus on short-term
earnings, projecting them forward indefinitely. This behavior, which was present
for the majority of the period, presented a challenge to the Fund, which focuses
on normalized earnings and intermediate-term growth rates. The Fund is
well-diversified and its risk controls are robust, nevertheless, during times of
extreme internal market divergence, even the modest exposures to common risk
factors, such as price momentum, can result in out-of-scale performance results.
Stock selection within the Drugs, Services and Chemicals sectors were the
strongest contributors to performance despite biotechnology stocks trading lower
in response to President Clinton's comments on the viability of patents in
genomic research. Within the drug sector, the Fund benefited from an overweight
position in Monsanto and an underweight position in Johnson & Johnson. Monsanto
recently released financial details concerning its proposed merger with
Pharmacia & Upjohn. They estimate near-term growth of 15% and 20% EPS growth
after 2002. Johnson & Johnson lost momentum stemming from its decision to cease
marketing Propulsid, a popular heartburn medicine, after receiving reports of
severe side effects. Within the technology sector, Cisco Systems, the leader in
network equipment, contributed to performance as it has benefited from a
build-out in networking stemming from the explosion in its B2B and B2C
businesses.
Stock selection within the Consumer Stable and Finance sectors detracted from
performance. Shares of Consumer Stable stock, Procter and Gamble, lost more than
a third of their value after the company announced its third-quarter earnings
would fall well below year-ago levels because of higher raw materials costs and
aggressive pricing by competitors. We continue to hold finance stocks in the
Fund that have been deemed undervalued relative to their longer-term earnings
potential. However, in the short term, many of these savings & loan and
miscellaneous financial services stocks continue to underperform because of the
rising interest rate environment. Nevertheless, since most investors expect
rates to increase, the stocks' prices should already reflect this information.
MARKET OUTLOOK: We remain confident in our investment process and risk controls,
and expect that the historically wide spread between the most and least
attractive names in our universe suggests opportunities ahead. We expect the
market to continue to broaden. Most of the positive performance over the last
few years has come from the "Nifty Fifty" & mega-cap growth stocks. We believe
that a return of global growth will cause investors to look beyond these
over-priced stocks to companies that trade at much lower multiples.
2
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Portfolio
Manager's Report PILGRIM RESEARCH ENHANCED INDEX FUND
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Total Returns for the Periods
Ended April 30, 2000
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Since Inception
4/4/00
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Class Q -3.19%
S&P 500 Index -2.76%
Based on a $10,000 initial investment, the table above illustrates the total
return of Pilgrim Research Enhanced Index Fund against the S&P 500 Index. The
Index has an inherent performance advantage over the Fund since it has no cash
in its portfolio, imposes no sales charges and incurs no operating expenses. An
investor cannot invest directly in an index. The Fund's performance is shown
both with and without the imposition of sales charges.
Total returns reflect the fact that the Investment Manager has waived certain
fees and expenses otherwise payable by the Fund. Total returns would have been
lower had there been no waiver to the Fund.
PERFORMANCE DATA REPRESENTS PAST PERFORMANCE AND IS NO ASSURANCE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL
FLUCTUATE. SHARES, WHEN SOLD, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
This report contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
PRINCIPAL RISK FACTOR(S): Exposure to financial and market risks that accompany
investments in equities.
See accompanying index descriptions on page 6.
3
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International
Equity Fund
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Portfolio
PILGRIM INTERNATIONAL VALUE FUND Manager's Report
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PORTFOLIO MANAGEMENT TEAM: Managed by Multi-Member Investment Committee of
Brandes Investment Partners, L.P.
GOAL: The International Value Fund seeks to maximize long-term capital
appreciation by investing primarily in non-U.S. companies with market
capitalizations greater than $1 billion. The Fund may hold up to 25% of its
assets in companies with smaller market capitalizations.
MARKET OVERVIEW: The period was characterized by international stock markets
climbing to record highs and suffering sharp declines. For much of the six-month
period, technology stocks were among the best-performing non-U.S. stocks.
However, most of these companies did not meet our strict value investment
criteria. A lack of exposure to this sector adversely affected the Fund's
relative returns.
The fundamental strengths and attractive valuations of our holdings in
industries such as food & household products and automobiles went largely
unnoticed. Stocks in these industries were among the worst performers in the
period.
While technology stocks soared throughout much of the period, investors
reassessed opportunities outside the technology sector in March and April. They
shifted their focus away from high P/E stocks to more undervalued securities.
The apparent reevaluation of fundamental strengths accompanied a return to favor
for value stocks.
PERFORMANCE: For the period January 25, 2000 (the class inception date), through
April 30, 2000, the Fund's Class Q shares, excluding sales charges, declined
0.63% versus -0.01% for the MSCI EAFE Index.
PORTFOLIO SPECIFICS: Strong returns among telecommunications holdings were
primarily responsible for the Fund's outperformance during the period. Among the
best-performing telecom holdings were Deutsche Telekom (Germany), Telecom Italia
(Italy), and Telefonos de Mexico (Mexico).
Holdings in the industrial components and electrical & electronics industries
also were positive influences on returns during the period.
On a country basis, holdings in Germany and Japan were among the better
performers. While Kyocera (Japan -- industrial components) was one of the
best-performing holdings, we completely eliminated our exposure in this company
in March. Following significant gains, we sold it to pursue other, more
attractive opportunities exhibiting more favorable risk/reward profiles.
The greatest detriment to returns during the period was the Fund's significant
exposure to underperforming holdings in the United Kingdom, including Unilever
(food & household products) and National Power (utilities). We viewed the
declines as temporary setbacks and a good opportunity to add to selective
positions and make new purchases in the United Kingdom.
MARKET OUTLOOK: While value investing appeared to recapture investor favor later
in the period, it remains to be seen whether it can continue.
Regardless of short-term market fluctuations, we retain strict adherence to our
investment process, seeking companies with solid traits that are currently out
of favor. We believe this approach may continue to reward long-term investors
with favorable gains and a margin of safety.
4
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Portfolio
Manager's Report PILGRIM INTERNATIONAL VALUE FUND
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Total Returns for the
Periods Ended April 30, 2000
----------------------------
Since Inception
4/4/00
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Class Q -0.63%
MSCI EAFE Index -0.01%
Based on a $10,000 initial investment, the table above illustrates the total
return of Pilgrim International Value Fund against the MSCI EAFE Index. The
Index has an inherent performance advantage over the Fund since it has no cash
in its portfolio, imposes no sales charges and incurs no operating expenses. An
investor cannot invest directly in an index. The Fund's performance is shown
both with and without the imposition of sales charges.
PERFORMANCE DATA REPRESENTS PAST PERFORMANCE AND IS NO ASSURANCE OF FUTURE
RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL
FLUCTUATE. SHARES, WHEN SOLD, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST.
This report contains statements that may be "forward-looking" statements. Actual
results may differ materially from those projected in the "forward-looking"
statements.
The views expressed in this report reflect those of the portfolio manager, only
through the end of the period as stated on the cover. The manager's views are
subject to change at any time based on market and other conditions.
Portfolio holdings are subject to change daily.
PRINCIPAL RISK FACTOR(S): International investing does pose special risks,
including currency fluctuation and political risks not found in investments that
are solely domestic. Risks of foreign investing are generally intensified for
investments in emerging markets. In exchange for higher growth potential,
investing in stocks of small and medium sized companies may entail greater price
variability than investing in stocks of larger companies.
See accompanying index descriptions on page 6.
5
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Equity & International
Equity Funds
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Portfolio
INDEX DESCRIPTIONS Managers' Report
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The S&P 500 INDEX is a widely recognized unmanaged index of 500 common stocks.
The S&P BARRA VALUE INDEX is an unmanaged capitalization-weighted index of all
of the stocks in the S&P 500 that have low price-to-book ratios.
The S&P BARRA GROWTH INDEX is an unmanaged capitalization-weighted index of all
of the stocks in the S&P 500 that have high price-to-book ratios.
The MSCI EAFE Index is an unmanaged index consisting of more than 1,400
securities in the U.S., Europe, Canada, Australia, New Zealand, and the Far
East. It is a generally accepted index for major overseas markets.
An investor cannot invest directly in an index.
6
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Pilgrim
Funds
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STATEMENTS OF ASSETS AND LIABILITIES as of April 30, 2000 (Unaudited)
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<TABLE>
<CAPTION>
Pilgrim Research Pilgrim
Enhanced International
Index Fund Value Fund
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<S> <C> <C>
ASSETS:
Investments in securities, at market value
(cost $234,023,174 and $1,459,873,161, respectively) $ 247,864,484 $1,533,770,976
Repurchase agreements 4,151,000 65,313,000
Cash 2,945 922
Foreign cash, at value (cost $0 and $496,535, respectively) -- 326,539
Receivable for investments sold 936,281 --
Receivable for shares of beneficial interest sold 1,913,674 16,235,455
Dividends and interest receivable 229,107 9,976,743
Prepaid expenses 12,541 71,070
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Total Assets 255,110,032 1,625,694,705
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LIABILITIES:
Payable for investments purchased 908,614 45,593,256
Investment advisory fee payable 146,497 1,281,411
Payable for shares of beneficial interest reacquired 1,699,424 15,198,059
Distribution fees payable 167,184 881,913
Administrative service fees payable 13,449 108,117
Transfer agent fees payable 42,031 260,028
Payable for future variation margin 23,725 --
Accrued expenses 172,664 520,036
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Total Liabilities 3,173,588 63,842,820
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NET ASSETS $ 251,936,444 $1,561,851,885
============== ==============
NET ASSETS CONSIST OF:
Paid in capital for shares of beneficial interest, $0.01 par
value outstanding (unlimited shares authorized) $ 236,397,021 $1,329,731,888
Undistributed (overdistributed) net investment income (540,494) 3,176,997
Accumulated net realized gain on investments, foreign
currency and futures contracts 2,122,624 155,215,181
Net unrealized appreciation of investments, foreign
currency and futures contracts 13,957,293 73,727,819
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Net Assets $ 251,936,444 $1,561,851,885
============== ==============
</TABLE>
See Accompanying Notes to Financial Statements
7
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Pilgrim
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STATEMENTS OF ASSETS AND LIABILITIES as of April 30, 2000 (Unaudited)
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<TABLE>
<CAPTION>
Pilgrim Research Pilgrim
Enhanced International
Index Fund Value Fund
------------ ------------
<S> <C> <C>
Class A:
Net Assets $ 28,344,606 $683,359,075
Shares outstanding 2,456,443 43,230,595
Net asset value and redemption value per share
(net assets/shares outstanding) $ 11.54 $ 15.81
Maximum offering price per share (net asset value plus
sales charge of 5.75% of offering price) $ 12.24 $ 16.77
Class B
Net Assets $102,836,594 $381,398,569
Shares outstanding 8,983,456 24,407,682
Net asset value and offering price per share(1)
(net assets/shares outstanding) $ 11.45 $ 15.63
Class C:
Net Assets $ 91,265,018 $482,686,165
Shares outstanding 7,969,681 30,933,465
Net asset value and offering price per share(1)
(net assets/shares outstanding) $ 11.45 $ 15.60
Class I:
Net Assets $ 29,362,305 N/A
Shares outstanding 2,531,789 N/A
Net asset value, offering price and redemption
price per share (net assets/shares outstanding) $ 11.60 N/A
Class Q:
Net Assets $ 127,921 $ 14,408,076
Shares outstanding 11,082 911,968
Net asset value, offering price and redemption
price per share (net assets/shares outstanding) $ 11.54 $ 15.80
</TABLE>
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(1) Redemption price per share varies with length of time Class B and C shares
are held.
See Accompanying Notes to Financial Statements
8
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Pilgrim
Funds
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STATEMENTS OF OPERATIONS for the six months ended April 30, 2000 (Unaudited)
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<TABLE>
<CAPTION>
Pilgrim Research Pilgrim
Enhanced International
Index Fund Value Fund
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<S> <C> <C>
INVESTMENT INCOME:
Dividends, (net of withholding tax
of $0 and $1,839,639, respectively) $ 1,627,546 $ 16,815,825
Interest 151,538 1,793,576
Other -- 1,229
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Total investment income 1,779,084 18,610,630
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EXPENSES:
Investment advisory fees 874,925 6,779,707
Distribution fees:
Class A 44,609 892,818
Class B 524,000 1,724,063
Class C 433,569 2,045,903
Class Q 18 10,105
Transfer agent fees and expenses 114,934 677,970
Administrative service fees 124,989 677,971
Accounting and custodian fees 106,241 576,275
Printing and postage 12,499 67,797
Registration fees 50,621 155,091
Professional fees 19,910 62,439
Trustee fees 5,460 36,460
Miscellaneous 7,803 33,538
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Total expenses 2,319,578 13,740,137
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Net investment income (loss) (540,494) 4,870,493
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REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain on investments and options 2,706,368 155,583,743
Net realized loss on foreign currency -- (470,449)
Net change in unrealized appreciation (depreciation)
of investments, foreign currency, futures and options 8,512,632 (30,562,001)
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Net realized and unrealized gain from investments,
foreign currency, futures and options 11,219,000 124,551,293
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NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 10,678,506 $ 129,421,786
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</TABLE>
See Accompanying Notes to Financial Statements
9
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Pilgrim
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STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
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<TABLE>
<CAPTION>
Pilgrim Research Enhanced Index Fund
-------------------------------------------
For the six months For the period
ended April 30, 2000 December 30, 1998(1)
(Unaudited) to October 31, 1999
------------- -------------
<S> <C> <C>
FROM OPERATIONS:
Net investment loss $ (540,494) $ (160,475)
Net realized gain on investments
and options 2,706,368 2,844,931
Net change in unrealized appreciation
of investments, futures and options 8,512,632 5,444,661
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Net increase in net assets resulting
from operations 10,678,506 8,129,117
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FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A -- --
Class B -- --
Class C -- --
Net realized gain from investments (3,268,200) --
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Total distributions (3,268,200) --
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FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 53,741,337 231,460,935
Net asset value of shares resulting
from dividend reinvestment 1,891,832 --
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55,633,169 231,460,935
Cost of shares redeemed (41,313,688) (9,383,395)
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Net increase in net assets resulting
from capital share transactions 14,319,481 222,077,540
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Net increase in net assets 21,729,787 230,206,657
NET ASSETS:
Beginning of year 230,206,657 --
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End of year $ 251,936,444 $ 230,206,657
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Overdistributed net investment income $ (540,494) --
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</TABLE>
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(1) Commencement of operations.
See Accompanying Notes to Financial Statements
10
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Pilgrim
Funds
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STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
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<TABLE>
<CAPTION>
Pilgrim International Value Fund
------------------------------------
For the six months Year Ended
ended April 30, 2000 October 31,
(Unaudited) 1999
--------------- ---------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income $ 4,870,493 $ 3,580,736
Net realized gain on investments 155,583,743 49,724,160
Net realized gain (loss) on foreign currency (470,449) 3,476,523
Net change in unrealized appreciation
(depreciation) of investments and
foreign currency (30,562,001) 128,073,707
--------------- ---------------
Net increase in net assets resulting
from operations 129,421,786 184,855,126
--------------- ---------------
FROM DISTRIBUTIONS TO SHAREHOLDERS:
Class A (3,809,622) (2,447,955)
Class B (593,914) (638,225)
Class C (828,109) (652,956)
Net realized gain from investments (53,012,740) (28,295,922)
--------------- ---------------
Total distributions (58,244,385) (32,035,058)
--------------- ---------------
FROM CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 920,654,014 765,122,980
Net asset value of shares resulting
from dividend reinvestment 44,145,054 25,417,235
--------------- ---------------
964,799,068 790,540,215
Cost of shares redeemed (515,037,681) (397,092,669)
--------------- ---------------
Net increase in net assets resulting
from capital share transactions 449,761,387 393,447,546
--------------- ---------------
Net increase in net assets 520,938,788 546,267,614
NET ASSETS:
Beginning of year 1,040,913,097 494,645,483
--------------- ---------------
End of year $ 1,561,851,885 $ 1,040,913,097
=============== ===============
Undistributed net investment income $ 3,176,997 $ 3,538,149
=============== ===============
</TABLE>
See Accompanying Notes to Financial Statements
11
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Financial
PILGRIM RESEARCH ENHANCED INDEX FUND (UNAUDITED) Highlights
--------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
Class Q
------------
Period ended
April 30,
2000(1)
(Unaudited)
------------
Operating performance:
Net asset value, beginning of the period $ 11.84
Net investment income (loss) $ --
Net realized and unrealized loss on investments $ (0.30)
Total from investment operations $ (0.30)
Distributions from net realized gain $ --
Total distributions $ --
Net asset value, end of the period $ 11.54
Total return(2) % (3.19)
Ratios and supplemental data:
Net assets, end of the period (000's) $ 128
Ratio of expenses to average net assets % 1.31 (3)
Ratio of net investment loss to average net assets % (0.28)(3)
Portfolio turnover % 27
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(1) Class Q commenced operations on April 4, 2000.
(2) Assumes dividends have been reinvested and does not reflect the effect of
sales charges.
(3) Annualized
See Accompanying Notes to Financial Statements
12
<PAGE>
Financial
Highlights
PILGRIM INTERNATIONAL VALUE FUND (UNAUDITED)
--------------------------------------------------------------------------------
Selected data for a share of beneficial interest outstanding throughout each
period.
Class Q
-----------------
Period Ended
April 30, 2000(1)
(Unaudited)
-----------------
Operating performance:
Net asset value, beginning of the period $ 15.90
Net investment income $ 0.08
Net realized and unrealized loss on investments $ (0.18)
Total from investment operations $ (0.10)
Distributions from net realized gain $ --
Total distributions $ --
Net asset value, end of the period $ 15.80
Total return(2) % (0.63)
Ratios and supplemental data:
Net assets, end of the period (000's) $ 14,408
Ratio of expenses to average net assets % 1.58 (3)
Ratio of net investment income to average net assets % 2.01 (3)
Portfolio turnover % 20
----------
(1) Class Q commenced operations on January 25, 2000.
(2) Assumes dividends have been reinvested and does not reflect the effects of
sales charges.
(3) Annualized.
See Accompanying Notes to Financial Statements
13
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Pilgrim
Funds
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NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited)
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NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION. The Pilgrim Mayflower Trust (the "Trust") comprising Pilgrim
Growth + Value Fund, Pilgrim Research Enhanced Index Fund, Pilgrim International
Value Fund, Pilgrim Emerging Markets Value Fund, Pilgrim High Total Return Fund
and Pilgrim High Total Return Fund II (collectively, the "Funds") were organized
under the laws of the Commonwealth of Massachusetts and registered under the
Investment Company Act of 1940 as diversified open-end management investment
companies.
PILGRIM GROWTH + VALUE FUND is a diversified portfolio with the investment
objective of capital appreciation by investing in equity securities. The Fund
seeks to achieve its objective through investments in companies the portfolio
manager identifies as either growth or value through quantitative analysis.
PILGRIM INTERNATIONAL VALUE FUND is a diversified portfolio with the investment
objective of long-term capital appreciation. The Fund invests primarily in
foreign companies with a market valuation of greater than $1 billion, but may
hold up to 25% of its assets in companies with smaller market capitalization.
Portfolio managers apply the technique of "value investing".
PILGRIM EMERGING MARKETS VALUE FUND is a diversified portfolio with the
investment objective of long-term capital appreciation. The Fund invests
primarily in foreign companies located in countries with emerging markets.
Portfolio managers apply the technique of "value investing".
PILGRIM RESEARCH ENHANCED INDEX FUND is a diversified portfolio with the
investment objective of capital appreciation. The Fund seeks to achieve its
objective by owning a large number of stocks within the S&P 500 with an emphasis
on those that appear undervalued or fairly valued, and by tracking the industry
weightings and other data characteristic of the S&P 500.
PILGRIM HIGH TOTAL RETURN FUND is a diversified portfolio with the investment
objective of high income and capital appreciation. The Fund invests primarily in
a diversified group of fixed income securities which are selected for high
current income and the potential for capital growth, including lower-rated fixed
income securities, convertible securities, securities issued by U.S. companies
in foreign currencies, and securities issued by foreign governments and
companies.
PILGRIM HIGH TOTAL RETURN FUND II is a diversified portfolio with the investment
objective of high income and capital appreciation. The Fund invests primarily in
a diversified group of fixed income securities which are selected for high
current income and the potential for capital growth, including lower-rated fixed
income securities, convertible securities, securities issued by U.S companies in
foreign currencies, and securities issued by foreign governments and companies.
Each Fund offers at least three of the following classes of shares: Class A,
Class B, Class C, Class I and Class Q. This report only covers the Funds that
had Class Q shares at April 30, 2000. The separate classes of shares differ
principally in the applicable sales charges (if any), distribution fees and
shareholder servicing fees. Shareholders of each class also bear certain
expenses that pertain to that particular class. All shareholders bear the common
expenses of the Fund and earn income from the portfolio pro rata based on the
average daily net assets of each class, without distinction between share
classes. Dividends are determined separately for each class based on income and
expenses allocable to each class. Realized gains are allocated to each class pro
rata based on the net assets of each class on the date of distribution. No class
has preferential dividend rights. Differences in per share dividend rates result
from differences in separate class expenses, including distribution and
shareholder servicing fees. Class B shares, along with their reinvested dividend
shares, automatically convert to Class A shares approximately eight years after
purchase.
On October 29, 1999 ReliaStar Financial Corp., the indirect parent company of
Northstar Investment Management Corporation ("Northstar") the investment adviser
to the Funds, acquired Pilgrim Capital Corporation and its subsidiaries. In
conjunction with the acquisition, Northstar changed its name to Pilgrim
Advisors, Inc. On April 30, 2000 Pilgrim Advisors, Inc. merged into Pilgrim
Investments, Inc.
14
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
SECURITY VALUATION. Equity securities are valued daily at the closing sale
prices reported on recognized securities exchanges or lacking any sales, at the
last available bid price. Prices of long-term debt securities are valued on the
basis of last reported sales price, or if no sales are reported, the value is
determined based upon the mean of representative quoted bid and asked prices for
such securities, or, if such prices are not available, at prices provided by
market makers, or at prices for securities of comparable maturity, quality and
type. Short-term debt instruments with remaining maturities of less than 60 days
are valued at amortized cost, unless the Trustees determine that amortized cost
does not reflect the fair value of such obligations. Securities for which market
quotations are not readily available are valued at fair value determined in good
faith by or under direction of the Trustees of the Funds. The books and records
of the Funds are maintained in U.S. dollars. Securities quoted in foreign
currencies are translated into U.S. dollars based on the prevailing exchange
rates on that day. The Adviser uses independent pricing services to price the
Funds' securities.
SECURITY TRANSACTIONS, INVESTMENT INCOME, EXPENSES. Security transactions are
recorded on the trade date. Realized gains or losses on sales of investments are
calculated on the identified cost basis. Interest income is recorded on the
accrual basis except when collection is not expected; discounts are accreted,
and premiums amortized to par at maturity; dividend income is recorded on the
ex-dividend dates. Income, expenses (except class specific expenses), and
realized/unrealized gains/losses, are allocated proportionately to each Fund or
class of shares based upon the relative daily net asset value.
DISTRIBUTIONS TO SHAREHOLDERS. Dividends from net investment income are declared
and paid annually by the Research Enhanced Index Fund and International Value
Fund. Distributions of net realized capital gains, if any, are declared
annually;however, to the extent that a net realized capital gain can be reduced
by a capital loss carryover, such gain will not be distributed.
The Funds may periodically make reclassifications among certain of their capital
accounts as a result of the timing and characterization of certain income and
capital gains distributions determined annually in accordance with federal tax
regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments of net operating
losses and foreign currency transactions.
FOREIGN CURRENCY. The Funds 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.
Net realized gain (loss) on foreign currency transactions represents the foreign
exchange: (1) gains and losses from the sale of holdings of foreign currencies,
(2) gains and losses between trade date and settlement date on investment
securities transactions and forward exchange contracts, and (3) gains and losses
from the difference between amounts of interest and dividends recorded and the
amounts actually received. Net change in unrealized appreciation (depreciation)
of investment and foreign currency arise from changes in the value of assets and
liabilities including investment in securities at fiscal year end, resulting
from changes in the exchange rates.
FORWARD FOREIGN CURRENCY CONTRACTS. The Funds may enter into forward foreign
currency contracts primarily to hedge against foreign currency exchange rate
risks on their non-U.S. dollar denominated investment securities. When entering
into a currency forward contract, the Funds agree to receive or deliver a fixed
quantity of foreign currency for an agreed-upon price on an agreed future date.
These contracts are valued daily and the funds' net equity therein, representing
unrealized gain or loss on the contracts as measured by the difference between
the forward foreign exchange rates at the dates of entry into the contracts and
the forward rates at the reporting date, is included in the statement of assets
and liabilities. Realized and unrealized gains and losses are included in the
statement of operations. These instruments involve market and/or credit risk in
excess of the amount recognized in the statement of assets and liabilities.
Risks arise from the possible inability of counterparties to meet the terms of
their contracts and from movement in currency and securities values and interest
rates.
15
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
OPTIONS. The Funds may write (sell) and purchase put and call options. The
premium collected or paid by a Fund for the sale or purchase of a call or put
option is recorded as an investment and subsequently "marked to market" to
reflect the current market value of the option. If an option which a Fund has
sold or purchased expires on the stipulated expiration date, the Fund realizes a
gain or loss in the amount of the premium received or paid for the option.
For written options, the Fund's obligation may be discharged in three ways: (1)
the option expires on the stipulated expiration date; (2) the option holder
exercises the right to call (buy) or put (sell) the securitiy; or (3) the Fund
enters into a closing transaction. If the option is held until expiration, the
Fund recognizes a gain equal to the amount of premium received. If the written
call option is exercised by the counterparty, the premium is added to the
proceeds from the sale of the underlying security or currency in determining
whether the Fund has realized a gain or loss. If the written put option is
exercised by the counterparty, the premium reduces the cost basis of the
securities purchased by the Fund. If the Fund enters into a closing transaction,
a gain or loss is recognized equal to the difference between the premium
received by the Fund from the counterparty and the amount paid by the Fund on
effecting a closing purchase transaction, including brokerage commissions. As
the writer of options, the Fund bears the market risk of an unfavorable change
in the price of the security underlying the written option.
FUTURES CONTRACTS. The Funds may invest in futures contracts solely for the
purpose of hedging its existing portfolio securities, or securities that the
Funds intend to purchase, against fluctuations in fair value caused by changes
in prevailing market or interest rates.
Initial margin deposits made upon entering into futures contracts are recognized
as assets due from the broker (the Funds' agent in acquiring the futures
position). 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 daily market value of the contract.
Variation margin payments are received or made by the Funds each day, depending
upon the daily fluctuations in the fair value of the underlying instrument. The
Funds recognize a gain or loss equal to the daily variation margin. When the
contract is closed, the Funds record a realized gain or loss equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Funds' basis in the contract.
Should market conditions move unexpectedly, the Funds may not achieve the
anticipated benefits of the financial futures contracts and may realize a loss.
The use of futures transactions involve the risk of imperfect correlation in
movements in the price of futures contracts, interest rates, and the underlying
hedged assets.
REPURCHASE AGREEMENTS. The Funds' Custodian takes possession of collateral
pledged for investments in repurchase agreements. The underlying collateral is
valued daily on a mark-to-market basis to assure that the value, including
accrued interest, is at least equal to the repurchase price. In the event of
default of the obligation to repurchase, the Funds have the right to liquidate
the collateral and apply the proceeds in satisfaction of the obligation. If the
seller defaults and the value of the collateral declines or if bankruptcy
proceedings are commenced with respect to the seller of the security,
realization of the collateral by the Funds may be delayed or limited.
FEDERAL INCOME TAXES. The Funds intend to comply with the special provisions of
the Internal Revenue Code available to investment companies and to distribute
all of the taxable net income to their respective shareholders. Therefore, no
federal income tax provision or excise tax provision is required.
MANAGEMENT'S USE OF ESTIMATES. The preparation of financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of financial statements and the reported amounts of
income and expenses during the reporting period. Actual results could differ
from those estimates.
ORGANIZATION COSTS. Costs incurred by the Trust in connection with its
organization of each Fund have been deferred and are being amortized over a
period of five years from the date the funds commenced operations.
16
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
NOTE 2. INVESTMENT ADVISER, ADMINISTRATOR AND DISTRIBUTOR
Pilgrim Investments, Inc. (the "Adviser"), serves as each Fund's investment
adviser.
Pilgrim Group, Inc. (the "Administrator") serves as administator to each Fund.
Northstar Administrators Corp., the former Administrator, merged into the
Administrator on October 29, 1999. The Funds paid the Administrator a fee
calculated at an annual rate of 0.10% of each Fund's average daily net assets,
and an annual shareholder account servicing fee of $5.00, payable semi-annually,
for each account of beneficial owners of shares. For the six months ended the
Administrator earned $802,960 in administrative and account servicing fees from
Research Enhanced Index Fund and International Value Fund.
Pilgrim Securities, Inc. (the "Distributor") is the distributor of each Fund's
shares. The former distributor, Northstar Distributors, Inc. merged into the
Distributor on November 16, 1999. Under separate Plans of Distribution
pertaining to Class A, Class B, Class C, and Class Q, the Funds pay the
Distributor monthly service fees at an annual rate of 0.25% of the average daily
net assets in the case of Class A, Class B, Class C, and Class Q shares, and
monthly distribution fees at the annual rate of 0.05% of the average daily net
assets of Class A shares and 0.75% of the average daily net assets of Class B
and Class C shares for all Funds. Class I shares do not pay distribution or
service fees. For the six months ended the Distributor earned $5,675,085 in
service and distribution fees from Research Enhanced Index Fund and
International Value Fund.
The International Value Fund pays the Advisor an investment advisory fee
calculated at an annual rate of 1.00% of average daily net assets. The Research
Enhanced Index Fund pays the Advisor an investment advisory fee calculated at an
annual rate of 0.70% of average daily net assets. For the six months ended April
30, 2000, the Advisor earned $7,654,632 in investment advisory fees from
Research Enhanced Index Fund and International Value Fund. Brandes Investment
Partners, L.P. ("Brandes"), a registered investment advisor, as subadvisor to
the International Value Fund pursuant to Subadvisory Agreements dated January
23, 1997 between the Advisor and Brandes. For its services, Brandes receives
from the Advisor an annual fee equal to 50% of the management fee that the Funds
it subadvises pays the Advisor. (currently 0.50% of the average daily net assets
of each Fund). For the six months ended April 30, 2000, Brandes received
$2,749,148 in subadvisory fees from the Advisor for the International Value
Fund. J.P. Morgan Investment Management, Inc. ("J.P. Morgan"), a registered
investment advisor, serves as subadvisor to the Research Enhanced Index Fund
pursuant to a Subadvisory Agreement dated December 21, 1998, between the Advisor
and J.P. Morgan. For its services, J.P. Morgan receives from the Advisor, a fee
equal to 0.20% of the average daily net assets of the Fund. For the six months
ended April 30, 2000, J.P. Morgan received $208,381 in subadvisory fees from the
Advisor.
NOTE 3. FUTURES CONTRACTS
On April 30, 2000, the Research Enhanced Index Fund had $500,000 principal
amount of U.S. Treasury obligations pledged as collateral to cover margin
requirements for open futures contracts.
Open futures contracts at April 30, 2000, were as follows:
Number
of Commit- Unrealized
Contract Contracts Month ment Appreciation
-------- --------- ----- ---- ------------
S&P 500
Index 13 June Buy $115,983
17
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
NOTE 4 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments
(excluding short-term investments) for the six months ended April 30, 2000, were
as follows:
Research Enhanced International
Index Fund Value Fund
----------------- -------------
Aggregate purchases $80,907,002 $666,672,075
Aggregate sales $65,561,180 $252,288,377
U.S. Government Securities not included above were as follows:
Research Enhanced International
Index Fund Value Fund
----------------- -------------
Aggregate purchases $495,977 $ --
Aggregate sales $ -- $ --
NOTE 5. CAPITAL SHARE TRANSACTIONS
Transactions in capital shares of each Fund for the six months ended April 30,
2000, were as follows:
<TABLE>
<CAPTION>
Research Enhanced Index Fund
------------------------------------------------------------------------------------------------------------------
Class A Class B Class C Class I Class Q
--------------------- ------------------------ ------------------------ ----------------- -----------------
Shares Amount Shares Amount Shares Amount Shares Amount Shares Amount
-------- ---------- ---------- ----------- ---------- ----------- ------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold 751,709 $8,552,483 1,649,231 $18,721,291 2,329,974 $26,336,859 -- -- 11,082 $130,704
Shares issued as
reinvestment
of dividends 14,183 165,239 52,875 612,296 64,089 742,796 31,779 $371,501 -- --
Shares redeemed (742,214) (8,433,642) (1,671,583) (18,725,195) (1,272,044) (14,154,851) -- -- -- --
-------- ---------- ---------- ----------- ---------- ----------- ------- -------- ------- --------
Net increase 23,678 $ 284,080 30,523 $ 608,392 1,122,019 $12,924,804 31,779 $371,501 11,082 $130,704
======== ========== ========== =========== ========== =========== ======= ======== ======= ========
International Value Fund
---------------------------------------------------------------------------------------------------------------
Class A Class B Class C Class Q
--------------------------- ------------------------- --------------------------- -----------------------
Shares Amount Shares Amount Shares Amount Shares Amount
----------- ------------- ---------- ------------ ----------- ------------- -------- ------------
Shares sold 39,894,461 $ 632,005,345 6,247,864 $ 98,154,493 11,270,191 $ 176,504,408 913,289 $ 13,989,768
Shares issued as
reinvestment
of dividends 1,325,339 21,933,745 622,329 10,212,412 732,533 11,998,897 -- --
Shares redeemed (28,622,468) (452,811,096) (1,603,522) (25,083,404) (2,384,059) (37,122,055) (1,321) (21,126)
----------- ------------- ---------- ------------ ----------- ------------- -------- ------------
Net increase 12,597,332 $ 201,127,994 5,266,671 $ 83,283,501 9,618,665 $ 151,381,250 911,968 $ 13,968,642
=========== ============= ========== ============ =========== ============= ======== ============
</TABLE>
18
<PAGE>
-------
Pilgrim
Funds
-------
NOTES TO FINANCIAL STATEMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
Transactions in capital shares of each Fund for the year ended October 31, 1999,
were as follows:
<TABLE>
<CAPTION>
Research Enhanced Index Fund
----------------------------------------------------------------------------------------------------------------
Class A Class B Class C Class I
-------------------------- -------------------------- -------------------------- -------------------------
Shares Amount Shares Amount Shares Amount Shares Amount
----------- ------------ ----------- ------------ ----------- ------------ ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Shares sold 2,723,102 $ 29,720,302 9,270,282 $100,006,579 7,106,428 $ 76,733,954 2,500,010 $ 25,000,100
Shares redeemed (290,337) (3,146,624) (317,349) (3,429,082) (258,766) (2,807,689) -- --
----------- ------------ ----------- ------------ ----------- ------------ ----------- ------------
Net increase 2,432,765 $ 26,573,678 8,952,933 $ 96,577,497 6,847,662 $ 73,926,265 2,500,010 $ 25,000,100
=========== ============ =========== ============ =========== ============ =========== ============
International Value Fund
--------------------------------------------------------------------------------------------------
Class A Class B Class C
------------------------------ ------------------------------ ------------------------------
Shares Amount Shares Amount Shares Amount
------------- ------------- ------------- ------------- ------------- -------------
Shares sold 37,389,180 $ 491,487,619 8,274,008 $ 111,215,626 12,104,834 $ 162,419,735
Shares issued as
reinvestment
of dividends 1,139,195 13,398,457 520,861 6,044,049 515,060 5,974,729
Shares redeemed (25,654,229) (331,576,463) (2,066,590) (26,329,963) (3,018,495) (39,186,243)
------------- ------------- ------------- ------------- ------------- -------------
Net increase 12,874,146 $ 173,309,613 6,728,279 $ 90,929,712 9,601,399 $ 129,208,221
============= ============= ============= ============= ============= =============
</TABLE>
NOTE 7. FORWARD FOREIGN CURRENCY CONTRACTS AS OF APRIL 30, 2000 FOR THE PILGRIM
INTERNATIONAL VALUE FUND.
Currency In Net
To Settlement Exchange Unrealized
Purchase Date For Value $ Depreciation
-------- ---- --- ------- ------------
British Pound USD
GBP 13,068,401 5/2/00 20,648,466 20,347,113 (301,353)
Eurodollar USD
EURO 6,066,669 5/3/00 5,586,553 5,516,377 (70,176)
Eurodollar USD
EURO 10,355,995 5/5/00 9,433,793 9,417,957 (15,836)
Eurodollar USD
EURO 10,908,380 5/8/00 9,924,444 9,922,410 (2,034)
--------
(389,399)
========
NOTE 8. SECURITY LOANS
Each Fund may lend its securities to brokers, dealers and other financial
institutions in amounts up to one third of the value of its total assets. The
loans are fully collateralized at all times by cash or liquid high grade
securities. As with other extensions of credit, each Fund may bear risk of delay
in recovery or even loss of rights in the collateral should the borrower of the
securities fail financially. The Funds receive compensation for lending their
securities in the form of fees or all or a portion of the income from
investments of the collateral. The Funds also continue to earn income on the
securities loaned. At April 30, 2000, the Funds did not have any securities on
loan.
NOTE 9. LETTER OF CREDIT
The Pilgrim Funds, Pilgrim Equity Trust, Pilgrim Variable Products Trust
(formerly Northstar Galaxy Trust) and Pilgrim Mayflower Trust (collectively, the
"Funds") have entered into an unsecured committed revolving line of credit
agreement (the "Credit Agreement") with State Street Bank and Trust Company for
an aggregate amount of $50,000,000. The proceeds may be used only to (1)
temporarily finance the purchase and sale of securities; (2) finance the
redemption of shares of an investor in the Funds; and (3) enable the Funds to
meet other emergency expenses as defined in the Credit Agreement. The Funds pay
a commitment fee equal to 0.08% per annum on the daily unused portion of the
committed line amount payable quarterly in arrears. During the six months ended
April 30, 2000, the Funds did not have any loans outstanding.
19
<PAGE>
-----------------
Pilgrim
Research Enhanced
Index Fund
-----------------
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Shares Value
--------------------------------------------------------------------------------
COMMON STOCK: 98.19%
Aerospace/Defense: 0.64%
16,400 Boeing Co. $ 650,874
21,500 Lockheed Martin Corp. 534,813
11,200 Raytheon Co. -- CL A 256,900
7,900 Raytheon Co. -- CL B 175,281
------------
1,617,868
------------
Aerospace/Defense-
Equipment: 0.27%
7,900 Goodrich (B.F.) Co. 251,812
6,900 United Technologies Corp. 429,094
------------
680,906
------------
Agricultural Biotech: 0.62%
31,107 Pharmacia Corp. 1,553,406
------------
Airlines: 0.05%
1,500 @ Northwest Airlines Corp. 37,030
3,500 Southwest Airlines 75,906
900 @ US Airways Group, Inc. 25,031
------------
137,967
------------
Apparel Manufacturers: 0.08%
6,800 @ Jones Apparel Group, Inc. 201,875
------------
Appliances: 0.09%
1,100 Maytag Corp. 37,881
2,900 Whirlpool Corp. 188,861
------------
226,742
------------
Applications Software: 3.79%
5,500 @ Citrix Systems, Inc. 335,843
122,400 @ Microsoft Corp. 8,537,399
8,100 @ Parametric Technology Corp. 66,066
5,000 @ Siebel Systems, Inc. 614,375
------------
9,553,683
------------
Athletic Footwear: 0.06%
3,600 Nike, Inc. 156,375
------------
Auto/Truck Parts &
Equipment-Original: 0.29%
6,700 Dana Corp. 203,512
23,900 Delphi Automotive Systems 457,087
2,600 @ Lear Corp. 77,838
------------
738,437
------------
Auto-Cars/Light Trucks: 1.78%
50,100 Ford Motor Co. 2,739,843
18,800 General Motors Corp. 1,760,150
------------
4,499,993
------------
Auto-Medium & Heavy
Duty Trucks: 0.06%
3,200 Paccar, Inc. 152,200
------------
Beverages-Non-Alcoholic: 0.79%
42,400 Coca-Cola Co. 1,995,450
------------
Building & Construction
Production-Miscellaneous: 0.18%
17,100 Masco Corp. 383,680
1,900 USG Corp. 79,325
------------
463,005
------------
Broadcast Service/Program: 0.25%
8,200 @ AT&T -- Liberty Media Group 409,487
8,900 @ Fox Entertainment Group, Inc. 229,175
------------
638,662
------------
Cable TV: 1.52%
34,100 @ Comcast Corp. 1,366,131
32,400 @ MediaOne Group, Inc. 2,450,249
------------
3,816,380
------------
Casino Hotels: 0.11%
3,600 @ Mandalay Resort Group 67,950
10,500 @ Mirage Resorts, Inc. 213,936
------------
281,886
------------
Cellular Telecom: 0.18%
8,200 @ Sprint Corp. (PCS Group) 451,000
------------
Chemicals-Diversified: 0.63%
13,700 Air Products & Chemicals, Inc. 425,556
5,500 Dow Chemical Co. 621,500
13,000 Rohm & Haas Co. 463,125
6,300 Solutia, Inc. 85,837
------------
1,596,018
------------
Chemicals-Specialty: 0.17%
9,800 Praxair, Inc. 435,488
------------
Commercial Banks-
Central U.S.: 0.16%
1,800 Associated Bank Corp. 46,012
1,800 Commerce Bankshares, Inc. 55,575
2,800 FirstMerit Corp. 45,850
3,700 Marshall & Ilsley Corp. 171,819
1,000 Old Kent Financial Corp. 30,125
2,500 TCF Financial Corp. 58,437
------------
407,818
------------
Commercial Banks-
Eastern U.S.: 0.19%
300 M&T Bank Corp. $ 131,775
2,300 Mercantile Bankshares Corp. 65,550
5,400 North Fork Bancorp. 87,413
2,400 Peoples Heritage Financial Group 31,350
6,000 Summit Bancorp 152,250
400 Wilmington Trust Corp. 18,450
------------
486,788
------------
Commercial Banks-
Southern U.S.: 0.31%
13,000 Amsouth Bancorp. 189,312
700 CCB Financial Corp. 27,694
3,400 Compass Bankshares, Inc. 62,900
4,400 First Tennessee National Corp. 83,600
1,100 First Virginia Banks, Inc. 40,150
4,500 Hibernia Corp. 47,813
3,700 National Commerce Bancorp 60,819
6,400 Regions Financial Corp. 130,800
5,600 SouthTrust Corp. 133,700
------------
776,788
------------
Commercial Banks-
Western U.S.: 0.01%
800 Bancwest Corp. 14,650
400 Pacific Century
Financial Corp. 8,224
------------
22,874
------------
Commercial Services: 0.24%
39,000 @ Cendant Corp. 602,063
------------
Computer Services: 0.31%
11,400 Electronic Data Systems 783,750
------------
Computers-Memory Devices: 2.03%
31,200 @ EMC Corp-Mass 4,334,850
4,500 @ Quantum Corp. -- DLT & Storage 52,874
6,300 @ Seagate Technology, Inc. 320,119
3,900 @ Veritas Software Corp. 418,336
------------
5,126,179
------------
See Accompanying Notes to Financial Statements
20
<PAGE>
-----------------
Pilgrim
Research Enhanced
Index Fund
-----------------
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
Shares Value
--------------------------------------------------------------------------------
Computers-Micro: 4.85%
4,800 @ Apple Computer, Inc. $ 595,500
49,300 Compaq Computer Corp. 1,442,024
21,400 @ Dell Computer Corp. 1,072,675
14,800 Hewlett-Packard Co 1,998,000
26,200 International Business Machines 2,924,575
45,600 Sun Microsystems, Inc. 4,192,350
------------
12,225,124
------------
Consumer Products-
Miscellaneous: 0.13%
9,000 Clorox Co. 330,750
------------
Containers-Paper/Plastic: 0.05%
8,500 @ Smurfit-Stone
Container Corp. 129,625
------------
Cosmetics & Toiletries: 1.74%
40,200 Gillette Company 1,487,400
7,400 Kimberly-Clark Corp. 429,663
41,300 Procter & Gamble Co. 2,462,513
------------
4,379,576
------------
Data Processing/Mgmt: 0.11%
4,200 Automatic DatacProcessing 226,013
1,200 First Data Corp. 58,425
------------
284,438
------------
Distribution/Wholesale: 0.07%
6,800 Genuine Parts Co. 178,500
------------
Diversified Financial Service: 2.14%
23,800 Associates First Capital Corp. 528,062
63,100 Citigroup, Inc. 3,750,506
16,000 Household Int'l, Inc. 668,000
5,700 Morgan Stanley Dean Witter & Co. 437,475
------------
5,384,043
------------
Diversified Manufacturing
Operations: 6.66%
3,800 Cooper Industries, Inc. 130,387
3,000 Eaton Corp. 252,001
65,600 General Electric Co. 10,315,601
41,800 Honeywell Int'l, Inc. 2,340,800
9,800 ITT Industries, Inc. 309,313
10,500 PPG Industries, Inc. 570,937
62,500 Tyco International, Ltd. 2,871,094
------------
16,790,133
------------
Drug Delivery Systems: 0.04%
2,500 @ Alza Corp. 110,155
------------
Electric Products-Miscellaneous: 0.33%
15,000 Emerson Electric Co. 823,125
------------
Electric-Integrated: 1.68%
1,500 Allegheny Energy, Inc. 45,563
7,100 CMS Energy Corp. 134,900
15,900 Carolina Power & Light 581,344
23,700 Central & South West Corp. 513,994
7,800 Cinergy Corp. 208,650
8,400 DTE Energy Co. 274,050
10,099 Dominion Resources, Inc. 454,455
11,800 Entergy Corp. 300,163
400 FPL Group, Inc. 18,075
5,900 GPU, Inc. 165,569
4,900 NiSource, Inc. 90,650
3,800 Northern States Power 82,888
13,500 PG&E Corp. 350,156
7,800 PPL Co. 186,225
4,600 Pinnacle West Capital Corp. 161,575
1,000 Potomac Electric Power 23,438
1,300 Public Service Enterprise Group 46,637
13,500 Texas Utilities Co. 454,781
6,400 Wisconsin Energy Corp. 136,800
------------
4,229,913
------------
Electronic Component-
Semiconductor: 6.50%
20,600 @ Applied Materials, Inc. 2,097,338
78,200 Intel Corp. 9,916,738
1,400 @ Lattice Semiconductor Corp. 94,325
5,200 @ National Semiconductor Corp. 315,900
24,300 Texas Instruments, Inc. 3,957,863
------------
16,382,164
------------
Electronic Forms: 0.18%
3,700 Adobe Systems, Inc. 447,469
------------
Enterprise Software/Service: 1.93%
7,200 @ BMC Software, Inc. 337,049
16,900 Computer Associates Int'l 943,231
10,000 @ Novell, Inc. 196,250
40,900 @ Oracle Corp. 3,269,446
300 @ Peoplesoft, Inc. 4,181
1,800 @ Symantec Corp. 112,387
------------
4,862,544
------------
Fertilizers: 0.03%
4,500 IMC Global, Inc. 69,469
------------
Fiber Optics: 0.01%
200 @ JDS Uniphase Corp. 20,737
------------
Finance-Credit Card: 0.13%
7,400 Capital One Financial Corp. 323,750
------------
Finance-Investment Banker/
Broker 2.17%
9,300 @ Ameritrade Holding Corp. 155,775
7,400 Bear Stearns Companies, Inc. 317,275
7,800 @ E*trade Group, Inc. 167,700
1,400 Edwards (A.G.), Inc. 52,675
12,200 Goldman Sachs Group, Inc. 1,137,650
3,300 Lehman Brothers Holdings, Inc. 270,806
19,100 Merrill Lynch & Co. 1,947,007
9,600 Paine Webber Group, Inc. 421,200
14,100 Schwab (Charles) Corp. 627,450
18,800 @ TD Waterhouse Group 377,175
------------
5,474,713
------------
Finance-Mortgage Loan/Banker: 1.17%
3,800 Countrywide Credit
Industries, Inc. 104,975
23,100 Freddie Mac 1,061,156
29,400 Fannie Mae 1,773,188
------------
2,939,319
------------
Finance-Other Services: 0.07%
9,600 The CIT Group, Inc. 162,600
1,900 Finova Group, Inc. 24,344
------------
186,944
------------
Financial Guarantee Insurance: 0.18%
3,800 AMBAC Financial
Group, Inc. 182,400
5,300 MBIA, Inc. 262,019
------------
444,419
------------
Food-Confectionery: 0.01%
400 Hershey Foods Corp. 18,150
------------
Food-Miscellaneous/Diversified: 1.39%
11,300 Bestfoods 567,825
10,900 Campbell Soup Co. 283,400
11,800 General Mills, Inc. 429,225
15,200 Heinz (H.J.) Co. 516,800
15,800 Kellogg Co. 386,113
1,300 Nabisco Holdings Corp. 48,831
20,600 Unilever N.V. 938,588
5,200 Quaker Oats Co. 338,975
------------
3,509,757
------------
See Accompanying Notes to Financial Statements
21
<PAGE>
-----------------
Pilgrim
Research Enhanced
Index Fund
-----------------
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
Shares Value
--------------------------------------------------------------------------------
Food-Retail: 0.62%
4,200 Albertson's, Inc. $ 136,763
37,600 @ Kroger Co. 697,950
16,700 @ Safeway, Inc. 736,887
------------
1,571,600
------------
Hotels & Motels: 0.14%
9,400 Hilton Hotels Corp. 79,900
2,000 Marriott Int'l, Inc. 64,000
7,300 Starwood Hotels & Resorts World 207,594
------------
351,494
------------
Industrial Automat/Robot: 0.04%
2,600 Rockwell Int'l Corp 102,375
------------
Instruments-Controls: 0.02%
800 Johnson Controls, Inc. 50,650
------------
Instruments-Scientific: 0.02%
700 PE Corp.-PE Biosystems Group 42,000
------------
Insurance Brokers: 0.14%
13,200 AON Corp. 357,225
------------
Internet Content: 0.46%
3,200 @ DoubleClick, Inc. 242,800
7,100 @ Yahoo, Inc. 924,775
------------
1,167,575
------------
Internet Software: 1.46%
58,100 America Online, Inc. 3,475,106
1,100 Exodus Communications, Inc. 97,281
1,100 Tibco Software, Inc 97,969
------------
3,670,356
------------
Investment Management/Adviser
Service: 0.06%
4,500 Franklin Resources, Inc 145,125
------------
Life/Health Insurance: 1.26%
10,000 AXA Financial, Inc. 326,250
8,500 Aetna, Inc. 491,938
8,000 American General Corp. 448,000
8,800 Cigna Corp. 701,800
14,900 @ John Hancock Financial Services 271,925
9,400 @ Lincoln National Corp. 327,238
17,200 Metlife, Inc 284,875
6,700 Torchmark Corp. 167,919
9,000 UnumProvident Corp. 153,000
------------
3,172,945
------------
Machinery-Construction
& Mining: 0.19%
12,000 Caterpillar, Inc. 473,250
------------
Machinery-General Industry: 0.12%
6,400 Ingersoll-Rand Co. 300,400
------------
Medical Instruments: 0.66%
19,500 @ Boston Scientific Corp. 516,750
1,900 @ Guidant Corp. 109,013
17,700 Medtronic, Inc. 919,294
3,600 @ ST Jude Medical, Inc. 112,275
------------
1,657,332
------------
Medical Products: 0.74%
800 Baxter Int'l, Inc. 52,100
2,300 Becton Dickinson & Co. 58,937
21,100 Johnson & Johnson 1,740,750
------------
1,851,787
------------
Medical-Biomedical/Gene: 0.06%
300 @ Genzyme Corp-General Division 14,643
1,100 @ Human Genome Sciences, Inc. 84,219
1,000 @ Idec Pharmaceuticals Corp. 64,000
------------
162,862
------------
Medical-Drugs: 7.02%
35,900 Abbott Laboratories 1,379,906
30,100 American Home Products Corp. 1,691,244
57,000 Bristol-Myers Squibb Co. 2,988,938
400 @ Forest Laboratories--CL A 33,625
32,400 Eli Lilly & Co. 2,504,925
49,000 Merck & Co., Inc. 3,405,500
31,300 Pfizer, Inc. 1,318,513
41,400 Schering-Plough Corp. 1,668,938
23,500 Warner-Lambert Co. 2,674,594
------------
17,666,183
------------
Medical-Generic Drugs: 0.04%
2,100 @ Watson Pharmaceutical, Inc. 94,369
------------
Medical-HMO: 0.30%
8,100 @ UnitedHealth Group, Inc. 540,169
3,000 @ Wellpoint Health Networks 221,250
------------
761,419
------------
Medical-Hospitals: 0.46%
24,300 Columbia HCA Healthcare Corp. 691,031
18,700 Tenet Healthcare Corp. 476,850
------------
1,167,881
------------
Metal-Aluminum: 0.48%
11,500 Alcoa Inc. 746,062
7,000 Reynolds Metals Co. 465,500
------------
1,211,562
------------
Metal-Copper: 0.05%
2,900 Phelps Dodge Corp. 134,125
------------
Metal-Diversified: 0.04%
1,600 @ Freeport-McMoran Copper & Gold-CL A 14,800
7,800 @ Freeport-McMoran Copper & Gold-CL B 75,075
------------
89,875
------------
Money Center Banks: 0.97%
49,400 Bank of America Corp. 2,420,600
400 Chase Manhattan Corp. 28,825
------------
2,449,425
------------
Multi-line Insurance: 1.51%
41,200 Allstate Corp. 973,350
17,600 American Int'l Group 1,930,500
11,200 Hartford Financial Services 584,500
400 Safeco Corp. 8,850
8,700 St. Paul Companies 309,937
------------
3,807,137
------------
Multimedia: 2.42%
7,900 Disney (Walt) Co. 342,169
14,400 Gannett Co., Inc. 919,800
29,200 Seagram Co., Ltd. 1,576,800
32,200 Time Warner, Inc. 2,895,987
6,600 @ Viacom, Inc. 358,876
------------
6,093,632
------------
Networking Products: 4.40%
158,300 @ Cisco Systems, Inc. 10,974,642
2,500 @ 3com Corp. 98,594
------------
11,073,236
------------
Non-hazardous Waste Disposal: 0.21%
33,100 Waste Management, Inc. 525,462
------------
See Accompanying Notes to Financial Statements
22
<PAGE>
-----------------
Pilgrim
Research Enhanced
Index Fund
-----------------
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
Shares Value
--------------------------------------------------------------------------------
Oil Companies-Exploration &
Production: 0.16%
100 Anadarko Petroleum Corp. $ 4,343
3,200 Apache Corp. 155,000
12,900 Union Pacific Resources Group 247,519
------------
406,862
------------
Oil Companies-Integrated: 5.18%
18,900 Chevron Corp. 1,608,862
17,100 Conoco, Inc. 425,363
86,000 Exxon Mobil Corp. 6,681,125
800 Occidental Petroleum Corp. 17,150
5,300 Phillips Petroleum Co. 251,419
14,500 Texaco, Inc. 717,751
58,200 Royal Dutch Petroleum Co. 3,339,225
300 Unocal Corp. 9,694
------------
13,050,589
------------
Oil Field Machinery
& Equipment: 0.04%
1,300 @ Cooper Cameron Corp. 97,500
------------
Oil Refining & Marketing: 0.08%
4,300 Tosco Corp. 137,869
2,400 Ultramar Diamond Shamrock Corp. 59,400
------------
197,269
------------
Oil & Gas Drilling: 0.09%
1,800 Diamond Offshore Drilling 72,562
4,900 @ Global Marine, Inc. 117,600
1,600 @ R & B Falcon Corp. 33,200
------------
223,362
------------
Oil-Field Services: 0.11%
8,800 Baker Hughes, Inc. 279,950
------------
Paper & Related Products: 0.48%
1,900 Bowater, Inc. 104,500
8,500 Fort James Corp. 203,469
5,500 Georgia-Pacific 202,125
15,300 International Paper Co. 562,275
2,400 Louisiana-Pacific Corp. 32,100
2,200 Temple-Inland, Inc. 110,275
------------
1,214,744
------------
Photo Equipment & Supplies: 0.39%
17,600 Eastman Kodak Co. 984,500
------------
Pipelines: 0.40%
2,000 Columbia Energy Group 125,500
3,600 Dynegy, Inc. 235,575
5,500 EL Paso Energy Corp. 233,750
10,700 Williams Cos., Inc. 399,244
------------
994,069
------------
Power Conservation/Supply
Equipment: 0.02%
2,200 Hubbell, Inc. 57,337
------------
Printers & Related Products: 0.17%
3,500 @ Lexmark Int'l Group, Inc. 413,000
------------
Property/Casualty Insurance: 0.01%
1,000 Mercury General Corp. 27,375
------------
Publishing-Newspapers: 0.15%
4,300 Knight Ridder, Inc. 210,968
4,100 New York Times Co. 168,869
------------
379,837
------------
Respiratory Products: 0.00%
160 @ Edwards Lifesciences Corp 2,400
------------
Retail-Apparel/Shoes: 0.64%
5,300 Abercrombie & Fitch Co. 58,300
38,200 Gap, Inc. 1,403,850
1,000 Limited, Inc. 45,188
3,500 Nordstrom, Inc. 97,344
------------
1,604,682
------------
Retail-Building Products: 1.07%
35,600 Home Depot, Inc. 1,995,825
14,100 Lowe's Cos. 697,950
------------
2,693,775
------------
Retail-Consumer Electron: 0.20%
8,500 Circuit City
Stores-Circuit 499,906
------------
Retail-Discount: 2.29%
22,300 @ K Mart Corp. 181,188
16,200 TJX Companies, Inc. 310,838
95,300 Wal-Mart Stores, Inc. 5,277,238
------------
5,769,264
------------
Retail-Major Department
Stores: 0.80%
16,300 MAY Department Stores Co. 448,250
7,300 Penney (J.C.) Co. 100,831
4,100 Sears, Roebuck And Co. 150,162
19,800 Target Corp. 1,317,938
------------
2,017,181
------------
Detail-Regional Department
Stores: 0.15%
10,700 @ Federated Department Stores 363,800
------------
Retail-Restaurants: 0.14%
9,400 McDonald's Corp. 358,375
------------
Rubber-Tires: 0.08%
6,700 Goodyear Tire & Rubber Co. 185,088
------------
Savings & Loans/Thrifts-Central
U.S.: 0.05%
6,000 Charter One Financial, Inc. 121,875
------------
Savings & Loans/Thrifts-
Eastern U.S.: 0.09%
900 Astoria Financial Corp. 24,806
6,200 Dime Bancorp, Inc. 116,250
3,700 Greenpoint Financial Corp. 68,913
3,800 Sovereign Bancorp, Inc. 26,125
------------
236,094
------------
Savings & Loans/Thrifts-
Western U.S.: 0.24%
5,600 Golden West Financial Corp. 191,100
16,500 Washington Mutual, Inc. 421,781
------------
612,881
------------
Software Tools: 0.02%
1,300 Autodesk, Inc. 49,887
------------
Steel-Producers: 0.04%
3,800 USX-U.S. Steel Group, Inc. 95,238
------------
Steel-Specialty: 0.04%
3,900 Allegheny Technologies, Inc. 94,331
------------
See Accompanying Notes to Financial Statements
23
<PAGE>
-----------------
Pilgrim
Research Enhanced
Index Fund
-----------------
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited) (Continued)
--------------------------------------------------------------------------------
Shares Value
--------------------------------------------------------------------------------
Super-Regional Banks-U.S.: 2.36%
32,000 Bank One Corp. $ 976,000
5,000 Comerica, Inc. 211,875
36,000 First Union Corp. 1,147,500
27,000 Firstar Corporation 671,625
25,100 Fleet Boston Financial Corp. 889,481
600 Huntington Bancshares 10,950
16,500 Keycorp 305,250
8,300 Mellon Financial Corp. 266,638
6,500 National City Corp. 110,500
10,200 PNC Financial Services Group 444,975
4,600 Suntrust Banks, Inc. 233,450
24,800 U.S. Bancorp 503,750
3,100 Union Planters Corp. 87,769
1,700 Wells Fargo & Co. 69,806
------------
5,929,569
------------
Telecomunication Services: 0.51%
2,800 @ Allegiance Telecom, Inc. 198,100
34,400 @ Global Crossing, Ltd. 1,083,600
------------
1,281,700
------------
Telecommunication Equipment: 3.50%
53,200 Lucent Technologies, Inc. 3,308,375
39,100 Nortel Networks Corp. 4,428,075
9,600 @ Qualcomm, Inc. 1,041,000
700 @ Tellabs, Inc. 38,369
------------
8,815,819
------------
Telephone-Integrated: 4.90%
59,200 AT&T Corp. 2,763,900
32,200 GTE Corp. 2,181,550
75,700 MCI Worldcom, Inc. 3,439,619
90,500 SBC Communications, Inc. 3,965,031
------------
12,350,100
------------
Telephone-Local: 1.13%
8,000 Alltel Corp. 533,000
29,900 Bell Atlantic Corp. 1,771,575
11,300 Bellsouth Corp. 550,169
------------
2,854,744
------------
Tobacco: 0.81%
93,600 Philip Morris Co., Inc. 2,047,500
------------
Toys: 0.13%
7,400 Hasbro, Inc. 117,938
17,500 Mattel, Inc. 214,375
------------
332,313
------------
Transportation-Rail: 0.36%
11,900 Burlington Northern Santa Fe Co 287,088
5,900 CSX Corp. 123,531
9,400 Norfolk Southern Corp. 165,675
7,500 Union Pacific Corp. 315,938
------------
892,232
------------
Transportation-Services: 0.04%
2,400 @ FedEx Corp. 90,450
------------
Transportation-Truck: 0.01%
1,100 CNF Transportation, Inc. 30,731
------------
Travel Services: 0.00%
46 Sabre Holdings Corp. 1,607
------------
Trucking & Leasing: 0.01%
1,000 Ryder System, Inc. 22,188
------------
Wireless Equipment: 1.03%
21,600 Motorola, Inc. 2,571,750
600 @ Palm, Inc 16,350
------------
2,588,100
------------
Total Common Stocks
(Cost $233,526,304) 247,367,924
------------
Principal
Amount
--------------------------------------------------------------------------------
US. GOVERNMENT SECURITIES: 0.19%
$ 500,000 U.S. Treasury Note, 5.625%,
due 02/28/01 496,560
------------
Total U.S. Government
Securities
(Cost $496,870) 496,560
------------
SHORT TERM INVESTMENTS: 1.65%
Repurchase Agreeement: 1.65%
4,151,000 State Street Bank & Trust
Repurchase Agreement
5.680%, Due 05/01/00
(Collateralized by
$3,760,000 U.S. Treasury
Bonds, 7.250% Market
Value $4,237,084, Due
05/15/22) 4,151,000
------------
Total Short-Term Investments
(Cost $4,151,000) 4,151,000
------------
Total
Investments
(Cost
$ 238,174,174)* 100.03% $252,015,484
Other Assets
and
Liabilities-Net -0.03% (79,040)
------- ------------
Net Assets 100.00% $251,936,444
======= ============
@ Non-income producing security
* The cost for federal income tax purposes and the aggregate appreciation and
depreciation of securities was as follows:
Gross Unrealized
Appreciation $ 35,531,484
Gross Unrealized
Depreciation (22,053,003)
------------
Net Unrealized
Appreciation $ 13,478,481
============
See Accompanying Notes to Financial Statements
24
<PAGE>
-------------
Pilgrim
International
Value Fund
-------------
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Shares Value
--------------------------------------------------------------------------------
COMMON STOCKS: 98.20%
BRAZIL: 6.29%
2,002,000 Banco Bradesco S.A. ADR $ 14,774,760
2,299,900 Centrais Eletricas
Brasileiras S.A. ADR 17,079,286
53,730 @ Centrais Geradoras do
Sul do Brasil S.A. ADR 233,746
1,224,200 Compania Cervejaria
Brahma S.A. ADR 18,975,100
1,472,300 Petroleo Brasileiro S.A. ADR 34,880,848
3,994 Tele Celular Sul
Participacoes S.A. ADR 154,268
13,313 Tele Centro Oeste
Celular Participacoes
S.A. ADR 153,100
7,988 Tele Centro Sul
Participacoes S.A. ADR 509,235
798 Tele Leste Celular
Participacoes S.A. ADR 32,718
1,997 Tele Nordeste Celular
Participacoes S.A. ADR 103,844
798 Tele Norte Celular
Participacoes S.A. ADR 36,459
532,786 Tele Norte Leste
Participacoes S.A. ADR 9,490,257
39,940 Telecomunicacoes de
Sao Paulo S.A. ADR 1,008,485
1,997 Telemig Celular
Participacoes S.A. ADR 116,825
15,976 Telesp Celular
Participacoes S.A. ADR 704,941
------------
Total Brazil 98,253,872
------------
CANADA: 2.46%
3,189,000 @ Sun Life Financial Services 38,467,313
------------
Total Canada 38,467,313
------------
CHINA: 1.10%
110,680,000 @ PetroChina Co., Ltd. 17,193,396
------------
Total China 17,193,396
------------
DENMARK: 1.80%
282,180 Den Danske Bank 28,068,534
------------
Total Denmark 28,068,534
------------
FRANCE: 9.16%
225,900 Alcatel Alsthom S.A. 52,368,251
225,800 Eridania Beghin-Say S.A. 18,649,213
784,100 Compagnie Generale des
Etablissements Michelin 26,018,124
303,492 Total Fina S.A. 46,048,474
------------
Total France 143,084,062
------------
GERMANY: 5.93%
656,500 BASF AG 28,701,273
1,133,300 Bayerische Motoren Werke AG 30,496,378
309,300 Deutsche Telekom AG 20,073,771
45,500 Muenchener
Rueckversicheruns-
Gesellschaft AG 13,339,906
------------
Total Germany 92,611,328
------------
HONG KONG: 2.22%
6,146,000 Swire Pacific, Ltd. 34,717,814
------------
Total Hong Kong 34,717,814
------------
IRELAND: 2.17%
1,458,000 Allied Irish Banks PLC 14,513,872
2,866,500 Bank of Ireland 19,336,039
------------
Total Ireland 33,849,911
------------
ITALY: 3.83%
7,733,800 ENI SpA 38,458,462
1,529,200 Telecom Italia SpA 21,381,210
------------
Total Italy 59,839,672
------------
JAPAN: 13.09%
253,000 Canon, Inc. 11,570,801
654,000 Daiichi Pharmaceutical Co., Ltd. 11,249,660
2,307,000 Daiwa House Industry 15,377,864
1,878,900 Hitachi, Ltd. 22,439,300
3,249,000 Komatsu, Ltd. 15,641,161
875,000 Matsushita Electric
Industrial Co. Ltd. 23,168,079
10,636,000 Mitsubishi Heavy
Industries Ltd. 33,085,183
7,603,000 Nippon Mitsubishi Oil Corp. 26,325,251
4,674,400 Tokio Marine & Fire Insurance Co. 45,612,348
------------
Total Japan 204,469,647
------------
MEXICO: 2.04%
541,060 Telefonos de Mexico
S.A. ADR 31,821,091
------------
Total Mexico 31,821,091
------------
NETHERLANDS: 2.75%
788,386 ING Group N.V. 43,017,637
------------
Total Netherlands 43,017,637
------------
NEW ZEALAND: 1.83%
6,751,466 Telecom Corp. of New
Zealand, Ltd. 28,523,054
------------
Total New Zealand 28,523,054
------------
PORTUGAL: 1.02%
1,428,316 Portugal Telecom S.A. 15,932,375
------------
Total Portugal 15,932,375
------------
SINGAPORE: 2.75%
2,285,191 DBS Group Holdings, Ltd. 31,469,082
2,872,626 Jardine Matheson
Holdings, Ltd. 11,490,504
------------
Total Singapore 42,959,586
------------
SOUTH AFRICA: 1.93%
765,000 De Beers Consolidated Mines 15,682,472
449,105 Iscor, Ltd. 993,522
1,835,400 South African Breweries PLC 13,545,155
------------
Total South Africa 30,221,149
------------
SOUTH KOREA: 1.37%
1,055,000 Korea Electric Power Corp. ADR 17,275,625
120,000 @ Korea Telecom Corp. ADR 4,140,000
------------
Total Korea 21,415,625
------------
SPAIN: 1.64%
1,462,533 Banco Bilbao Vizcaya Argentaria 19,943,831
294,000 Union Electrica Fenosa S.A. 5,663,566
------------
Total Spain 25,607,397
------------
SWITZERLAND: 6.04%
4,703,700 Allied Zurich PLC 46,796,718
17,900 Nestle S.A. 31,553,739
45,200 @ Swisscom AG 15,935,520
------------
Total Switzerland 94,285,977
------------
See Accompanying Notes to Financial Statements
25
<PAGE>
-------------
Pilgrim
International
Value Fund
-------------
PORTFOLIO OF INVESTMENTS as of April 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Shares Value
--------------------------------------------------------------------------------
UNITED KINGDOM: 27.37%
980,000 Allied Domecq PLC $ 4,798,678
415,000 BOC Group PLC 6,829,643
4,880,000 British Aerospace PLC 30,011,786
9,121,200 British American
Tobacco PLC 56,805,043
1,168,000 British Telecom PLC 20,912,965
2,436,507 Cadbury Schweppes
PLC 16,691,496
5,955,000 Corus Group PLC 8,019,971
5,491,012 Diageo PLC 44,285,044
2,945,600 HSBC Holdings PLC 32,994,865
2,612,800 Imperial Chemical
Industries PLC 22,374,008
5,610,898 Invensys PLC 27,081,268
8,351,750 Marks & Spencer PLC 30,915,262
5,429,000 National Power PLC 24,702,977
1,633,500 Reckitt Benckiser PLC 16,804,718
1,330,000 Rolls-Royce PLC 5,073,325
2,824,809 Royal & Sun Alliance
Insurance Group
PLC 15,833,120
6,267,100 Safeway PLC 21,125,133
7,012,000 Unilever PLC 42,140,934
--------------
Total United Kingdom 427,400,236
--------------
VENEZUELA: 1.41%
759,700 Compania Anonima
Nacional Telefonos
de Venezuela ADR 22,031,300
--------------
Total Venezuela 22,031,300
--------------
Total Common Stock
(Cost $1,459,873,161) 1,533,770,976
--------------
Principal
Amount Value
--------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS: 4.18%
Repurchase Agreement: 4.18%
$65,313,000 State Street Bank &
Trust Repurchase
Agreement, 5.680%
due 05/01/00
(Collateralized by
$15,565,000 U.S.
Treasury Notes,
4.625% Market Value
$15,623,369, Due
12/31/00,
$24,935,000 U.S.
Treasury Notes,
5.750% Market Value
$25,503,094, Due
11/15/00,
$25,285,000 U.S.
Treasury Notes,
4.000% Market Value
$25,500,681, Due
10/31/00) 65,313,000
--------------
Total Short-Term
Investments
(Cost $65,313,000) $ 65,313,000
--------------
Total
Investments
(Cost
$1,525,186,161)* 102.38% $1,599,083,976
Other
Assets
and
Liabilities
-Net -2.38% (37,232,091)
------- --------------
Net Assets 100.00% $1,561,851,885
======= ==============
@ Non-income producing security
ADR -- American Depository Receipt
* The cost for federal income tax purposes and the aggregate appreciation and
depreciation of securities was as follows:
Gross
Unrealized
Appreciation $ 198,683,714
Gross
Unrealized
Depreciation (124,804,972)
--------------
Net
Unrealized
Appreciation $ 73,881,742
==============
Percentage
Industry of Net Assets
-------- -------------
Aerospace/Defense 2.25%
Agricultural Operations 1.19%
Audio/Video Products 1.48%
Auto-Cars/Light Trucks 1.95%
Beverages-Wine/Spirits 3.14%
Building-
Residential/Commer 0.98%
Brewery 2.08%
Cellular
Telecommunications 0.08%
Chemicals-Diversified 3.71%
Commercial Banks-Europe 3.96%
Commercial Banks-Latin
America 0.95%
Diamonds/Precious Stones 1.00%
Diversified Manufacturing
Operations 3.85%
Diversified Operations 2.22%
Electric Products-
Miscellaneous 1.44%
Electric-Generation 1.60%
Electric-Integrated 2.56%
Food-
Miscellaneous/Diversified 5.79%
Food-Retail 1.35%
Life/Health Insurance 2.46%
Machinery-Construction &
Mining 1.00%
Medical-Drugs 0.72%
Money Center Banks 8.16%
Multi-line Insurance 4.01%
Office Automation &
Equipment 0.74%
Oil Companies-Integrated 8.74%
Oil Refining & Marketing 1.69%
Property/Casualty
Insurance 2.92%
Reinsurance 0.85%
Retail-Major Department
Stores 1.98%
Retail-Misc/Diversified 0.74%
Rubber-Tires 1.67%
Soap & Cleaning
Preparation 1.08%
Steel-Producers 0.58%
Telecom Services 2.09%
Telecommunication
Equipment 3.35%
Telephone-Integrated 9.48%
Telephone-Local 0.70%
Tobacco 3.64%
Short-term Investments 4.18%
Other Assets and
Liabilities, Net (2.38)%
-------
NET ASSETS 100.00%
=======
See Accompanying Notes to Financial Statements
26
<PAGE>
Investment Manager
Pilgrim Investments, Inc.
40 North Central Avenue, Suite 1200
Phoenix, Arizona 85004-4408
Distributor
Pilgrim Securities, Inc.
40 North Central Avenue, Suite 1200
Phoenix, Arizona 85004-4408
Administrator
Pilgrim Group, Inc.
40 North Central Avenue, Suite 1200
Phoenix, Arizona 85004-4408
Transfer Agent
DST Systems, Inc.
P.O. Box 419368
Kansas City, Missouri 64141-6368
Custodian
State Street Bank and Trust
1 Heritage Place
North Quincy, MA 02171
Legal Counsel
Dechert Price & Rhoads
1775 Eye Street, N.W.
Washington, D.C. 20006
Prospectus containing more complete information regarding the Funds, including
charges and expenses, may be obtained by calling Pilgrim Securities, Inc.
Distributor at 1-800-334-3444. Please read the prospectus carefully before you
invest or send money.
MAYSEM10400
