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LORD ABBETT INVESTMENT TRUST
o U.S. Government Securities Series
o Limited Duration U.S. Government Securities Series
o Balanced Series
o High Yield Fund
SEMI-ANNUAL REPORT FOR THE SIX MONTHS ENDED MAY 31, 2000
[LOGO]
Four portfolios to help
you meet your goals
[LOGO]
<PAGE>
REPORT TO SHAREHOLDERS
For the Six Months Ended May 31, 2000
[PHOTO OF
ROBERT S. DOW]
/s/ Robert S. Dow
Robert S. Dow
Chairman
June 12, 2000
Table of Contents
U.S. Government Securities Series
---------------------------------------------------
About the Series 2
Statement of Net Assets 5
Limited Duration U.S. Government Securities Series
---------------------------------------------------
About the Series 4
Statement of Net Assets 10
Balanced Series
---------------------------------------------------
About the Series 4
Statement of Net Assets 13
High Yield Fund
---------------------------------------------------
Statement of Net Assets 13
Data On All Series
---------------------------------------------------
Statements of Operations 17
Statements of Changes in
Net Assets 18
Financial Highlights 19
Notes to Financial Statements 23
Lord Abbett Investment Trust completed the first six months of its fiscal year
on May 31, 2000, with combined net assets of approximately $1.5 billion. We are
pleased to present you with this performance overview.
<TABLE>
<CAPTION>
Balanced Series U.S. Government Securities Series
Six Months Ended 5/31/00 Six Months Ended 5/31/00
------------------------------------------------------------------------ -----------------------------------
Class A Class B Class C Class A Class B Class C
------------------------------------------------------------------------ -----------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value $11.65 $11.63 $11.62 $2.40 $2.40 $2.40
Dividends $ .31 $ .27 $ .27 $ .08 $ .07 $ .07
Capital gains distributions $ .67 $ .67 $ .67 $ -- $ -- $ --
Total return* 2.5% 2.1% 2.1% 0.8% 0.9% 0.9%
Limited Duration
U.S. Government Securities Series High Yield Fund
Six Months Ended 5/31/00 Six Months Ended 5/31/00
------------------------------------------------------ --------------------------------------------------
Class A Class C Class A Class B Class C Class Y
------------------------------------------------------ --------------------------------------------------
Net asset value $4.32 $4.32 $ 9.12 $ 9.09 $ 9.10 $ 9.11
Dividends $ .12 $ .10 $ .47 $ .45 $ .45 $ .50
Total return* 2.4% 2.1% -1.4% -1.8% -1.7% -1.3%
</TABLE>
*Total return, which is not annualized, is the percent change in net asset value
assuming the reinvestment of all distributions for the six months ending
5/31/00.
The U.S. Government Securities Series and the Limited Duration U.S. Government
Securities Series continued to emphasize non-Treasury government securities to
take advantage of their significantly higher yields relative to Treasurys --
without incurring a proportionate increase in credit risk.(1) This substantially
added to the portfolios' income. If market conditions and valuations remain the
same, we expect to continue this focus. If non-Treasurys start to outperform, we
would likely increase our exposure to Treasury securities accordingly. The
portfolios' holdings of GNMA securities ("Ginnie Maes") added to the Funds'
overall performance, since GNMAs dramatically outperformed other similar U.S.
government agency securities during the period. In general, while changes in
interest rates have a short-term impact on these portfolios, they do not change
our long-term investment strategy, which is to seek out undervalued securities
across various maturities to maximize the Funds' total return (price
appreciation plus coupon yield) potential.
The Balanced Series uses a "fund of funds" approach which currently divides
assets approximately 50%-50% between Lord Abbett Affiliated Fund (equity) and
Lord Abbett
-------------------------------------------------------------------------------
| DALBAR Lord, Abbett & Co. is proud to |
| HONORS COMMITMENT TO announce we have received a DALBAR |
| INVESTORS award for providing consistently |
| 1999 good service to shareholders, the |
| 1999 Key Honors Award for Mutual |
| Fund Service. DALBAR, Inc., an |
| independent research firm and |
| evaluator of mutual fund service, |
| presents the award to financial |
| services firms that provide |
| consistently solid service to |
| clients. |
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<PAGE>
REPORT TO SHAREHOLDERS
Bond-Debenture Fund (fixed income), respectively.(2) Affiliated Fund's
performance was again boosted by its exposure to a handful of carefully selected
stocks of technology companies, not the technology sector as a whole. The
portfolio's large exposure to energy companies also positively contributed to
performance. Currently, Bond-Debenture Fund's focus is to emphasize companies
with visible earnings growth, good management and strong underlying assets. For
example, we increased the percentage of holdings in equity-related securities
such as convertible bonds, particularly those issued by select technology and
wireless-telecommunications companies that we believe offer the most potential
for rapid earnings growth. While Bond-Debenture Fund continues to emphasize high
yield securities(3), we sought to improve the credit quality of the portfolio by
culling out some of the portfolio's weaker, or underperforming, credits and
increasing our exposure to the holdings that we favor, including certain oil and
gas companies.
Lord Abbett High Yield Fund weathered a challenging period as fragile market
conditions, low new issuance and heavy outflows from high yield bond mutual
funds generally resulted in lackluster performance for these funds. In general,
these factors resulted in significantly wider credit spreads. While high yield
bonds remained the primary focus of the portfolio (due to their attractive
yields(3)), we made some opportunistic purchases in convertible bonds,
emphasizing select bonds issued by broadcasting, cable, media, technology and
tele- communications companies. We remain cautious of consumer products, retail
and other industry sectors that have been struggling with excessive price
competition.
Thank you for making Lord Abbett Investment Trust a part of your investment
portfolio. We value the trust you place in us and remain committed to helping
you achieve your financial goals in the years ahead.
(1) Unlike an investment in U.S. Treasury securities, an investment in the
Series is neither insured nor guaranteed by the U.S. Government.
(2) The Series is actively managed and, as a result, its asset allocation may
change from time to time.
(3) High yield, lower-rated bonds are considered to be speculative with respect
to the payment of interest and the return of principal and involve greater
risks than higher-grade issues, in that they are especially subject to
adverse changes in general market conditions and in the financial condition
of the issuers, as well as price fluctuations in response to changes in
interest rates.
1
<PAGE>
ABOUT THE U.S. GOVERNMENT SECURITIES SERIES
TOTAL RETURN IS IMPORTANT TO FIXED-INCOME INVESTORS
Over the last 10 years, an investment in the Series return provided relatively
stable dividend income and, assuming the reinvestment of all distributions, grew
by over 96%. The Series' return surpassed the increase in inflation (as measured
by the Consumer Price Index), and the Lipper General U.S. Government Average
over the same 10-year period.
Lord Abbett U.S. Government Securities Series Versus Inflation and the Lipper
General U.S. Government Average(1)(2) Growth of $100,000: 5/31/90 - 5/31/00. All
periods end 5/31. Returns at NAV, Class A shares.
The U.S. Government Securities Series'
Class A Shares Distribution Rate on
5/31/00 was 6.19%(3)
[Graphic Omitted]
The content of the graphic omitted is:
Line Graph Chart showing return on a
$100,000 investment from 5/31/99 to
5/31/2000
--------------------------------------------------------------------------------
Lord Abbett U.S. Government Securities Series
$100,000 initial investment valued at $196,878 at 5/31/2000 (10 years)
--------------------------------------------------------------------------------
Inflation (Consumer Price Index)
$100,000 initial investment valued at $132,558 at 5/31/2000 (10 years)
--------------------------------------------------------------------------------
Lipper General U.S. Government Average
$100,000 initial investment valued at $191,845 at 5/31/2000 (10 years)
--------------------------------------------------------------------------------
LA U.S. Inflation Lipper Gen'l
Gov't Consumer Gen'l U.S.
Securities Price Index Gov't Index
5/31/90 100,000 100,000 100,000
1990 108,698 103,560 107,590
1991 127,071 106,729 123,352
1992 136,094 109,824 131,222
1993 148,658 112,844 143,491
1994 142,342 115,857 136,977
1995 164,613 118,880 161,564
1996 167,330 122,744 164,472
1997 182,651 124,841 179,242
1998 197,084 126,841 193,921
1999 192,992 130,240 188,065
5/31/00 196,878 132,558 191,845
-------------------------------------------------------------------------------
SEC-REQUIRED AVERAGE ANNUAL RETURNS
Average annual compound returns for the periods ended June 30, 2000 at the
respective Class A share maximum sales charges(4) , with all distributions
reinvested:
<TABLE>
<CAPTION>
Limited Duration
U.S. Government U.S. Government Balanced High Yield
Securities Series(2) Securities Series(5) Series(5) Fund(5)
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
1 year: -1.40% 1.80% -4.00% -2.50%
5 years: 4.38% 4.31% 9.62% --
10 years or Life of Series: 6.52% 3.68% 10.96% 0.53%
SEC yield for the 30 days
ended 6/30/00: 5.21% 5.15% 4.75% 9.97%
</TABLE>
The results quoted herein represent past performance which is no indication of
future results. The investment return and principal value of an investment in
any Series of the Trust will fluctuate so that shares, on any given day or when
redeemed, may be worth more or less than their original cost. Each Series issues
separate classes of shares, with distinct pricing options. For a full discussion
of the differences in pricing alternatives, see the Trust's current prospectus.
(1) Total return is the percent change in net asset value, assuming the
reinvestment of both dividends and capital gains distributions.
(2) Lord Abbett Investment Trust-U.S. Government Securities Series, Class A,
was established 1/1/82.
(3) Based on the Class A share maximum offering price.
(4) The Class A share maximum sales charge is 5.75% for the Balanced Series,
4.75% for the U.S. Government Securities Series and High Yield Fund, and
3.25% for the Limited Duration U.S. Government Securities Series.
(5) Limited Duration U.S. Government Securities Series commenced operations
11/4/93; Balanced Series commenced operations 12/27/94; High Yield Fund
commenced operations 12/31/98.
2
<PAGE>
ABOUT THE U.S. GOVERNMENT SECURITIES SERIES
ANNUAL TOTAL RETURNS BASED ON CALENDAR YEAR(1)
<TABLE>
<CAPTION>
1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000
(Through
5/31/00)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Annual Total Return(1) +9.3% +16.9% +7.1% +9.2% -4.3% +15.7% +1.7% +9.2% +7.9% -1.6% +1.5%
</TABLE>
(1) Total return reflects the percent change in value with both dividends and
capital gains distributions reinvested. Results shown are at net asset
value for Class A shares. For performance at the maximum Class A share
sales charge, see page 2. See Important Information on page 5. All periods
begin on 1/1 and end on 12/31.
A Portfolio of High-Quality Securities(1)
Conservative shareholders gain the comfort of owning U.S. Government securities,
which have the top investment grade and carry the least credit risk among
fixed-income securities.
Lord Abbett's Focus on Quality:
-------------------------------------------------------------------------------
[PIE CHART GRAPHIC OMITTED]
The Pie Chart Graphic shows the following percentages
U.S. Treasury Notes and Bonds 7%(2)
FHLMC 46%(2)
IO/PO 2%
FNMA 10%(2)
GNMA 13%(2)
CMBS 14%(2)
Agency Debentures 8%(2)
-------------------------------------------------------------------------------
Representative Structure as of 5/31/00(1)
(1) The portfolio is actively managed and, therefore, asset allocation is
subject to change.
(2) Each percentage amount shown is calculated based on the Fund's holdings of
Long-Term Investments only. A security subject to principal paydowns over
time (as is the case with most mortgage-related investments) is classified
as long-term if the expected average time until principal payments are
received, weighted by dollar amount, is greater than one year. All
short-term assets, including cash and cash equivalents, are excluded from
the calculation for purposes of this chart.
Who Owns the Series?
<TABLE>
<CAPTION>
Investor Profile of Lord Abbett U.S. Government Securities Series
----------------------------------------------------------------------------------------
<S> <C> <C>
Fiduciaries Pension, profit-sharing & 401(k) retirement accounts 2,507
Trusts 2,496
Custodians for minors 1,288
457 & 403(b) accounts 824
Estates 91
----------------------------------------------------------------------------------------
Institutions Broker-held accounts 14,209
Corporate organizations 217
Religious, charitable & welfare organizations 177
Financial institutions 118
Clubs & fraternal organizations 71
Cemeteries 39
Government agencies 23
Colleges & universities 9
---------------------------------------------------------------------------------------
Single & joint accounts & IRAs 48,164
Total Accounts in the Series on 5/31/00
</TABLE>
3
<PAGE>
ABOUT THE LIMITED DURATION U.S. GOVERNMENT SECURITIES SERIES
The Series invests in intermediate-term U.S. Government securities. As of May
31, 2000, the Series' distribution rate was competitive with the yield for
10-year Treasurys, with less price volatility than the Treasurys.(1)
Lord Abbett Limited Duration U.S. Government Securities Series(2) Growth of
$100,000 (as of 5/31/00)
-------------------------------------------------------------------------------
[BAR CHART GRAPHIC OMITTED]
Bar chart Statistics: 3 Years Growth = $114,935
Life of Series Growth = $126,531
-------------------------------------------------------------------------------
The Limited Duration
U.S. Government
Securities Series'
Class A Shares
Distribution Rate on
5/31/00 was 5.36%(3)
Total return shown, above and below, reflects the percent change in value for
Class A shares with both dividends and capital gains reinvested.
ABOUT THE BALANCED SERIES
The Series allocates its assets between fixed-income securities and equity
holdings, based on our economic outlook. This strategy has provided investors
with strong total returns, while generating monthly income.
Lord Abbett Balanced Series(4)
Growth of $100,000 (as of 5/31/00)
-------------------------------------------------------------------------------
[BAR CHART GRAPHIC OMITTED]
Bar chart Statistics: 3 Years Growth = $126,533
Life of Series Growth = $181,192
-------------------------------------------------------------------------------
The Balanced Series'
Average Annual Rate
of Total Return
Since Inception:
11.17%(3)
(1) Unlike Treasury securities, an investment in the Series is neither insured
nor guaranteed by the U.S. government.
(2) The Limited Duration U.S. Government Securities Series commenced operations
on 11/4/93. Results reflect the deduction of the reduced 2.50% sales charge
applicable to Class A share investments of $100,000.
(3) Based on the Class A share maximum offering price.
(4) The Balanced Series commenced operations on 12/27/94. Results reflect the
deduction of the reduced 3.95% sales charge applicable to Class A share
investments of $100,000. For Series' performance at the respective maximum
Class A share sales charges, see page 2.
4
<PAGE>
IMPORTANT INFORMATION
Each Series' respective SEC yield is calculated on its maximum offering price on
6/30/2000, using a standard method which does not take into account certain
portfolio strategies. Series' distribution rates may differ from SEC yields if
the Series purchases securities at a premium and distributes to shareholders
interest income that has not been reduced for amortization of premiums on those
securities. This practice is consistent with applicable tax elections made by
each Series, but may result in a decrease in the net asset values of shares of
the Series if the market values of the premium securities decrease over time.
Dividends paid from this interest income are taxable to shareholders as ordinary
income. Neither the U.S. Government Securities Series nor the Limited Duration
U.S. Government Securities Series is insured or guaranteed by the U.S.
Government.
Results quoted herein represent past performance based on the current sales
charge schedules and reflect appropriate Rule 12b-1 Plan expenses. Tax
consequences are not reflected. The U.S. Government Securities Series' sales
charge structure has changed from the past. If interest rates rise, the value of
bonds purchased by the Series would decrease, causing a decrease in the Series'
share values. If used as sales material after 9/30/2000, this report must be
accompanied by Lord Abbett's Performance Quarterly for the most recently
completed calendar quarter.
STATEMENT OF NET ASSETS (UNAUDITED)
U.S. GOVERNMENT SECURITIES SERIES MAY 31, 2000
<TABLE>
<CAPTION>
Principal
Amount
Investments (000) Value
--------------------------------------------------------------------------------------------------------------------------------
Long-Term Investments 106.46%
--------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
U.S. Treasury Obligations 6.72% U.S. Treasury Bond 83/4% due 5/15/2017 $ 10,406 $ 12,875,760
U.S. Treasury Note 57/8% due 11/15/2004 5,587 5,431,626
U.S. Treasury Note 6% due 8/15/2009 8,831 8,606,074
U.S. Treasury Note 65/8% due 5/15/2007+ 984 989,688
U.S. Treasury Note Inflation Indexed 37/8% due 1/15/2009 8,939 9,113,244
U.S. Treasury Strip Zero Coupon due 11/15/2009+ 21,477 11,693,797
U.S. Treasury Strip Zero Coupon due 8/15/2020 134,663 38,377,608
Total 87,087,797
--------------------------------------------------------------------------------------------------------------------------------
U.S. Government Agency
Debentures 6.97% Federal National Mortgage Association 65/8% due 9/15/2009+ 95,939 90,227,751
--------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan 6% due 2029 107,923 97,117,158
Mortgage Corporation 6% due on an announced basis 9,370 8,427,190
Pass-Through Securities 43.57% 61/2% due 2001 to 2029 127,579 118,427,175
7% due 2029 to 2030 5,304 5,040,726
71/2% due 2029 to 2030 140,115 136,428,440
8% due on an announced basis 200,547 198,980,728
Total 564,421,417
--------------------------------------------------------------------------------------------------------------------------------
Federal National 51/2% due 2001 to 2025 9,856 9,343,832
Mortgage Association 6% due 2001 to 2028 52,770 47,570,694
Pass-Through Securities 6.40% 6.52% due 2/1/2019 1,578 1,553,072
71/2% due 11/1/2023 6,059 5,897,969
8% due on an announced basis 18,740 18,593,641
Total 82,959,208
--------------------------------------------------------------------------------------------------------------------------------
Government National 61/2% due 2028 5,844 5,469,655
Mortgage Association 7% due 2028 22,146 21,257,775
Pass-Through Securities 13.21% 71/2% due 2026 to 2028 62,731 61,685,337
8% due 2028 to 2030 77,311 77,497,384
9% due 2018 to 2020 2,606 2,701,402
10% due 2018 to 2019 2,339 2,491,341
Total 171,102,894
--------------------------------------------------------------------------------------------------------------------------------
</TABLE>
5
<PAGE>
STATEMENT OF NET ASSETS (UNAUDITED)
U.S. GOVERNMENT SECURITIES SERIES MAY 31, 2000
<TABLE>
<CAPTION>
Principal
Amount
Investments (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Collateralized Mortgage Federal Home Loan Mortgage Corp. 73 G IO 1,095.35% due 10/15/2020 $ 7 $ 160,955
Obligations 16.52% Federal Home Loan Mortgage Corp. 181 F IO 494.14% due 8/15/2021 66 1,010,673
Federal Home Loan Mortgage Corp. 1020 S IO 900.95% due 12/15/2020 7 148,209
Federal Home Loan Mortgage Corp. 1032 IO 544.71% due 12/15/2020 11 165,558
Federal Home Loan Mortgage Corp. 1046 I IO 1,009% due 2/15/2021 5 120,447
Federal Home Loan Mortgage Corp. 1049 N IO 1,0101/2% due 2/15/2021 16 399,643
Federal Home Loan Mortgage Corp. 1058 I IO 1,0081/2% due 4/15/2021 4 120,210
Federal Home Loan Mortgage Corp. 1059 U IO 409% due 4/15/2021 11 132,827
Federal Home Loan Mortgage Corp. 1066 S IO 1,195.60% due 4/15/2021 16 591,107
Federal Home Loan Mortgage Corp. 1082 D IO 1,007.80% due 5/15/2021 24 610,494
Federal Home Loan Mortgage Corp. 1137 M IO 1,185.50% due 9/15/2021 7 227,797
Federal Home Loan Mortgage Corp. 1180 G IO 1,008.40% due 11/15/2021 4 110,989
Federal Home Loan Mortgage Corp. 1200 IB IO 1,007% due 2/15/2022 1 35,436
Federal Home Loan Mortgage Corp. 1241 X IO 982.65% due 4/15/2022 3 85,875
Federal Home Loan Mortgage Corp. 1095 A PO due 6/15/2021 624 466,663
Federal Home Loan Mortgage Corp. 1148 F PO due 10/15/2021 1,582 1,212,674
Federal Home Loan Mortgage Corp. 1363 B PO due 8/15/2022 1,923 1,376,027
Federal Home Loan Mortgage Corp. 1372 C PO due 9/15/2022 1,210 878,254
Federal Home Loan Mortgage Corp. 141 A PO due 7/1/2022 647 494,039
Federal Home Loan Mortgage Corp. 177 PO due 7/1/2026 4,804 3,023,313
Federal Home Loan Mortgage Corp. 192 PO due 2/1/2028 4,285 2,600,251
Federal Home Loan Mortgage Corp. 204 PO due 5/15/2029 14,846 8,462,038
Federal Home Loan Mortgage Corp. 13 PG 6% due 7/25/2016 1,399 1,390,610
Federal Home Loan Mortgage Corp. 1334 VB 7% due 4/15/2001 132 131,644
Federal Home Loan Mortgage Corp. 1364 A 7.14% due 9/15/2007 130 131,682
Federal Home Loan Mortgage Corp. 1417 G 61/2% due 7/15/2006 5,619 5,594,174
Federal Home Loan Mortgage Corp. 1476 G 6% due 4/15/2006 396 392,409
Federal Home Loan Mortgage Corp. 1484 G 6% due 6/15/2019 260 258,533
Federal Home Loan Mortgage Corp. 1489 G 5.85% due 10/15/2006 183 181,166
Federal Home Loan Mortgage Corp. 1491 F 5% due 8/15/2019 1,208 1,185,883
Federal Home Loan Mortgage Corp. 1526 E 53/4% due 3/15/2016 213 212,508
Federal Home Loan Mortgage Corp. 1534 E 6% due 12/15/2017 182 181,729
Federal Home Loan Mortgage Corp. 1540 C 6.05% due 2/15/2011 438 435,810
Federal Home Loan Mortgage Corp. 1543 UB 7.16% due 3/15/2019 413 414,356
Federal Home Loan Mortgage Corp. 1544 E 61/4% due 6/15/2008 136 135,778
Federal Home Loan Mortgage Corp. 1547 PE 6% due 3/15/2017 46 45,638
Federal Home Loan Mortgage Corp. 1558 F 6.96% due 5/15/2022 5,017 5,025,894
Federal Home Loan Mortgage Corp. 1560 PW 7% due 11/15/2016 273 272,071
Federal Home Loan Mortgage Corp. 1561 M 6% due 3/15/2007 431 429,922
Federal Home Loan Mortgage Corp. 1561 ZB 6% due 8/15/2006 3,425 3,410,907
Federal Home Loan Mortgage Corp. 1566 FC 5.60% due 9/15/2000 328 327,571
Federal Home Loan Mortgage Corp. 1577 PG 51/2% due 3/15/2021 4,000 3,926,240
Federal Home Loan Mortgage Corp. 1578 E 6% due 11/15/2017 280 278,926
Federal Home Loan Mortgage Corp. 1592 EF 51/2% due 9/15/2016 1,018 1,014,889
Federal Home Loan Mortgage Corp. 16 PE 6% due 8/25/2015 437 434,628
Federal Home Loan Mortgage Corp. 1605 A 51/8% due 8/15/2006 306 304,017
Federal Home Loan Mortgage Corp. 1609 E 53/4% due 12/15/2016 1,888 1,879,633
Federal Home Loan Mortgage Corp. 1611 E 51/2% due 12/15/2018 57 56,984
Federal Home Loan Mortgage Corp. 1612 PD 53/4% due 5/15/2006 709 705,656
Federal Home Loan Mortgage Corp. 1616 A 51/8% due 9/15/2006 906 899,721
Federal Home Loan Mortgage Corp. 1617 PE 5.70% due 6/15/2018 2,071 2,058,439
6
<PAGE>
STATEMENT OF NET ASSETS (UNAUDITED)
U.S. GOVERNMENT SECURITIES SERIES MAY 31, 2000
Principal
Amount
Investments (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Mortgage Corp. 1624 EA 51/2% due 1/15/2007 $ 130 $ 129,431
Federal Home Loan Mortgage Corp. 1625 EA 53/4% due 3/15/2007 347 345,123
Federal Home Loan Mortgage Corp. 1628 E 51/2% due 1/15/2017 108 107,520
Federal Home Loan Mortgage Corp. 1637 E 53/4% due 2/15/2019 1,328 1,321,266
Federal Home Loan Mortgage Corp. 1638 A 51/4% due 1/15/2019 1,566 1,556,305
Federal Home Loan Mortgage Corp. 1659 PE 53/4% due 5/15/2007 629 625,146
Federal Home Loan Mortgage Corp. 1675 E 5.85% due 9/15/2017 3,621 3,600,190
Federal Home Loan Mortgage Corp. 1678 PE 5.60% due 7/15/2007 532 527,761
Federal Home Loan Mortgage Corp. 1693 E 53/4% due 2/15/2006 321 318,827
Federal Home Loan Mortgage Corp. 1697 PG 5.80% due 4/15/2006 405 402,697
Federal Home Loan Mortgage Corp. 1697 PR 6% due 4/15/2006 1,054 1,048,004
Federal Home Loan Mortgage Corp. 1702-A PL 5% due 10/15/2016 908 902,839
Federal Home Loan Mortgage Corp. 1703 E 6.10% due 11/15/2006 914 908,699
Federal Home Loan Mortgage Corp. 1704 PE 6% due 7/15/2007 607 603,392
Federal Home Loan Mortgage Corp. 1708 B 6% due 4/15/2006 604 600,799
Federal Home Loan Mortgage Corp. 1709 B 51/2% due 4/15/2019 93 92,397
Federal Home Loan Mortgage Corp. 1710 C 6.10% due 2/15/2024 651 646,151
Federal Home Loan Mortgage Corp. 1737 E 6% due 12/15/2017 7,578 7,523,908
Federal Home Loan Mortgage Corp. 1791 A 7% due 12/15/2023 683 681,242
Federal Home Loan Mortgage Corp. 1849 VA 6% due 12/15/2010 1,887 1,862,563
Federal Home Loan Mortgage Corp. 1871 A 7% due 6/15/2016 321 320,319
Federal Home Loan Mortgage Corp. 1991 PA 6% due 3/15/2014 1,747 1,741,129
Federal Home Loan Mortgage Corp. 2082 PB 53/4% due 1/15/2009 400 396,372
Federal Home Loan Mortgage Corp. 2132 JD 61/2% due 3/15/2001 642 640,058
Federal Home Loan Mortgage Corp. 2155 A 6% due 5/15/2029 8,949 8,896,319
Federal Home Loan Mortgage Corp. 2203 PK 5.70% due 2/15/2025 5,640 5,578,205
Federal Home Loan Mortgage Corp. 29 D 61/4% due 2/25/2018 837 830,285
Federal Home Loan Mortgage Corp. 29 P 7% due 2/25/2018 3,555 3,542,050
Federal National Mortgage Association 1991-158 E IO 1,008% due 12/25/2021 6 190,604
Federal National Mortgage Association 94 2 IO 91/2% due 8/1/2021 273 82,981
Federal National Mortgage Association 133 1 PO due 4/25/2022 140 104,001
Federal National Mortgage Association 1523 PE 6% due 10/15/2015 35 35,345
Federal National Mortgage Association 1992-153 L 7% due 11/25/2005 2,161 2,153,420
Federal National Mortgage Association 1992-164 PH 61/2% due 1/25/2006 361 358,871
Federal National Mortgage Association 1992-182 PG 61/2% due 5/25/2018 62 61,822
Federal National Mortgage Association 1993-118 G 61/2% due 11/25/2006 9,219 9,146,809
Federal National Mortgage Association 1993-119 E 5.85% due 5/25/2019 384 381,918
Federal National Mortgage Association 1993-129 D 6.10% due 6/25/2005 144 143,097
Federal National Mortgage Association 1993-134 D 5.90% due 11/25/2005 54 53,888
Federal National Mortgage Association 1993-139 E 5.85% due 1/25/2017 87 86,805
Federal National Mortgage Association 1993-141 PE 53/4% due 5/25/2017 112 111,743
Federal National Mortgage Association 1993-145 A 6% due 8/25/2017 462 455,464
Federal National Mortgage Association 1993-147 FG 7.18% due 8/25/2023 924 920,646
Federal National Mortgage Association 1993-160 AE 6% due 4/25/2018 445 443,099
Federal National Mortgage Association 1993-160 PE 6% due 5/25/2016 994 989,226
Federal National Mortgage Association 1993-173 E 6% due 2/25/2005 660 656,605
Federal National Mortgage Association 1993-174 Z 6% due 7/25/2006 99 98,888
Federal National Mortgage Association 1993-18 PH 61/2% due 4/25/2006 4,939 4,904,792
Federal National Mortgage Association 1993-187 SE 5.98% due 11/25/2016 2,084 1,980,113
Federal National Mortgage Association 1993-191 PE 5.80% due 9/25/2006 186 184,658
7
<PAGE>
STATEMENT OF NET ASSETS (UNAUDITED)
U.S. GOVERNMENT SECURITIES SERIES MAY 31, 2000
Principal
Amount
Investments (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Federal National Mortgage Association 1993-192 Z 53/4% due 8/25/2006 $ 1,013 $ 1,007,545
Federal National Mortgage Association 1993-194 PG 5.65% due 4/25/2005 41 40,461
Federal National Mortgage Association 1993-196 E 51/2% due 2/25/2007 1,296 1,285,862
Federal National Mortgage Association 1993-206 5.65% due 5/25/2017 1,555 1,543,125
Federal National Mortgage Association 1993-208 E 53/4% due 4/25/2018 3,550 3,522,999
Federal National Mortgage Association 1993-212 C 6% due 11/25/2000 963 957,245
Federal National Mortgage Association 1993-221 A 6% due 11/25/2006 89 88,278
Federal National Mortgage Association 1993-221 B 51/2% due 11/25/2006 1,373 1,358,597
Federal National Mortgage Association 1993-223 PD 5.65% due 7/25/2019 369 366,543
Federal National Mortgage Association 1993-225 OE 5.80% due 11/25/2017 3,939 3,915,186
Federal National Mortgage Association 1993-229 PD 5.60% due 7/25/2006 221 219,105
Federal National Mortgage Association 1993-66 A 61/2% due 11/25/2019 217 215,878
Federal National Mortgage Association 1993-69 K 6% due 3/25/2002 2,193 2,169,887
Federal National Mortgage Association 1993-71 PG 61/4% due 7/25/2007 650 644,917
Federal National Mortgage Association 1994-12 PE 53/4% due 4/25/2007 603 597,641
Federal National Mortgage Association 1994-13 PE 5.80% due 12/25/2006 723 718,071
Federal National Mortgage Association 1994-17 E 6% due 2/25/2007 7,541 7,475,303
Federal National Mortgage Association 1994-19 A 5% due 1/25/2024 6,956 6,871,108
Federal National Mortgage Association 1994-22 A 5% due 3/25/2022 1,062 1,048,337
Federal National Mortgage Association 1994-23 PC 6% due 7/25/2017 2,549 2,531,052
Federal National Mortgage Association 1994-23 PT 51/8% due 7/25/2017 279 276,142
Federal National Mortgage Association 1994-28 A 51/4% due 8/25/2018 962 951,671
Federal National Mortgage Association 1994-30 E 53/4% due 11/25/2017 247 245,198
Federal National Mortgage Association 1994-32 PD 53/4% due 1/25/2007 611 606,253
Federal National Mortgage Association 1994-36 E 5.85% due 3/25/2018 5,324 5,278,854
Federal National Mortgage Association 1994-36 EB 61/4% due 3/25/2018 1,024 1,017,079
Federal National Mortgage Association 1994-39 A 61/2% due 3/25/2024 268 266,601
Federal National Mortgage Association 1994-42 E 53/4% due 9/25/2018 243 241,173
Federal National Mortgage Association 1994-56 E 61/4% due 4/25/2017 3,815 3,792,130
Federal National Mortgage Association 1994-61 C 6.10% due 2/25/2024 592 587,592
Federal National Mortgage Association 1994-73 F 71/8% due 12/25/2020 99 99,550
Federal National Mortgage Association 1994-75 E 6.60% due 9/25/2018 1,071 1,065,585
Federal National Mortgage Association 1994-85 E 6% due 11/25/2006 3,067 3,037,748
Federal National Mortgage Association 19943-43 PE 6% due 12/25/2019 1,131 1,122,524
Federal National Mortgage Association 1996-53 FA 6.98% due 12/25/2003 9,786 9,770,608
Federal National Mortgage Association 1997-40 PE 63/4% due 7/18/2019 11,146 11,100,235
Federal National Mortgage Association 1997-70 7.04% due 7/18/2020 587 587,523
Federal National Mortgage Association 1998-36 PA 61/4% due 7/18/2013 300 297,468
Federal National Mortgage Association 1998-6 PB 6% due 3/18/2013 3,189 3,172,002
Federal National Mortgage Association 1999-54 LA 61/2% due 8/25/2010 684 679,506
Federal National Mortgage Association 93-214 E 51/2% due 3/25/2007 169 167,682
Federal National Mortgage Association 93-94 E 6% due 3/25/2019 237 235,883
Federal National Mortgage Association G92-65 LB 7% due 3/25/2019 130 129,471
Federal National Mortgage Association G93-19 K 61/2% due 6/25/2019 203 201,597
Federal National Mortgage Association G93-27 AE 6% due 11/25/2019 300 296,904
Federal National Mortgage Association G93-29 E 5.80% due 8/25/2000 186 184,623
Federal National Mortgage Association G94-1 F 7.08% due 1/25/2024 6,003 5,965,886
Federal National Mortgage Association G94-5 PE 7% due 10/17/2015 2,533 2,528,089
Government National Mortgage Association 1996-6 PC 61/2% due 5/16/2012 135 134,942
Total 214,062,348
------------------------------------------------------------------------------------------------------------------------============
8
<PAGE>
STATEMENT OF NET ASSETS (UNAUDITED)
U.S. GOVERNMENT SECURITIES SERIES MAY 31, 2000
Principal
Amount
Investments (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Agency Commercial Federal National Mortgage Association
Mortgage-Backed Securities 5.90% due 12/1/2008 $ 7,429 $ 6,627,413
13.07% 6.05% due 4/1/2009 5,977 5,372,936
6.08% due 10/1/2008 25,858 23,369,116
6.09% due 7/1/2008 3,928 3,556,749
6.29% due 6/1/2008 4,734 4,318,952
6.31% due 6/1/2008 6,300 5,736,326
6.32% due 6/1/2008 8,962 8,193,127
6.46% due 4/1/2006 12,404 11,670,990
6.55% due 11/1/2007 5,695 5,297,728
6.63% due 10/1/2007 9,544 8,908,871
6.72% due 10/1/2005 2,764 2,637,891
6.77% due 5/1/2007 4,857 4,620,442
6.79% due 11/1/2007 8,455 8,051,622
6.80% due 3/1/2007 5,745 5,477,384
6.81% due 2007 5,895 5,622,590
6.90% due 6/1/2007 18,042 17,302,892
6.91% due 3/1/2007 4,853 4,653,953
6.99% due 7/1/2009 4,879 4,637,543
7.01% due 12/1/2006 11,140 10,751,701
7.20% due 7/1/2006 2,242 2,183,762
7.21% due 6/1/2006 15,099 14,708,039
7.31% due 7/1/2003 358 351,828
7.43% due 6/1/2007 5,365 5,287,222
Total 169,339,077
---------------------------------------------------------------------------------------------===========
Total Long-Term Investments (Cost $1,429,385,664) 1,379,200,492
===================================================================================================================================
Short-Term Investment 9.30%
===================================================================================================================================
Federal Home Loan Bank Discount Note 6.30% due 6/1/2000 (Cost $120,535,000) 120,535 120,535,000
---------------------------------------------------------------------------------------------===========
Total Investments 115.76% (Cost $1,549,920,664) 1,499,735,492
===================================================================================================================================
Other Assets, Less Liabilities (15.76)%
-----------------------------------------------------------------------------------------------------------------------------------
Other (See Note 5) 29,998,330
-------------------------------------------------------------------------------------------------------------------------==========
Cash 51,709
-------------------------------------------------------------------------------------------------------------------------==========
Receivables for: Securities sold 429,118,173
Interest 7,008,336
Capital shares sold 97,816
Total Other Assets 466,274,364
------------------------------------------------------------------------------------------------------------------------===========
Payables for: Securities purchased 627,106,242
Collateral on securities loaned 29,998,330
Dividends 6,726,160
Capital shares reacquired 4,324,743
Other 2,282,336
Total Liabilities 670,437,811
---------------------------------------------------------------------------------------------===========
Total Other Assets, Less Liabilities (204,163,447)
===================================================================================================================================
Net Assets 100.00% $1,295,572,045
===================================================================================================================================
Class A Shares-Net asset value ($1,167,330,714 /487,225,381 shares outstanding) $2.40
Maximum offering price (net asset value plus sales charge
of 4.75% of the offering price) $2.52
Class B Shares-Net asset value ($27,879,036 / 11,619,364 shares outstanding) $2.40
Class C Shares-Net asset value ($100,362,295 / 41,784,554 shares outstanding) $2.40
+Securities (or a portion of securities) on loan. See Note 5. See Notes to Financial Statements.
9
<PAGE>
STATEMENT OF NET ASSETS (UNAUDITED)
LIMITED DURATION U.S. GOVERNMENT SECURITIES SERIES MAY 31, 2000
Principal
Amount
Investments (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Long-Term Investments 125.86%
-----------------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Obligations .35% U.S. Treasury Note Inflation Indexed 37/8% due 1/15/2009 $ 49 $ 49,955
-------------------------------------------------------------------------------------------------------------------------==========
U.S. Government Agency
Debentures 2.52% FNMA 51/8% due 2/13/2004 387 358,579
-------------------------------------------------------------------------------------------------------------------------==========
Federal Home Loan 5% due 2000 to 2001 284 272,736
Mortgage Corporation 51/2% due 2000 to 2001 227 225,760
Pass-Through Securities 50.79% 6% due 2000 to 2001 1,015 1,004,699
61/2% due 2000 to 2001 486 483,558
7% due 11/1/2000 29 28,457
71/2% due on an announced basis 2,275 2,213,871
8% due on an announced basis 2,963 2,939,859
81/2% due 12/1/2002 66 66,184
Total 7,235,124
--------------------------------------------------------------------------------------------------------------------------=========
Federal National 5% due 2000 to 2001 166 160,948
Mortgage Association 51/2% due 2000 to 2001 450 446,034
Pass-Through Securities 13.31% 6% due 2000 to 2008 903 882,962
61/2% due 2000 to 2011 396 382,815
71/2% due 2001 to 2002 23 23,064
Total 1,895,823
--------------------------------------------------------------------------------------------------------------------------=========
Government National 61/2% due 2001 to 2002 25 24,492
Mortgage Association 7% due 4/15/2028 223 213,780
Pass-Through Securities 5.48% 8% due 2027 to 2028 356 356,827
10% due 6/15/2019 18 19,118
101/2% due 2016 to 2020 155 167,224
Total 781,441
--------------------------------------------------------------------------------------------------------------------------=========
Collateralized Mortgage Federal Home Loan Mortgage Corp. 1218 H 61/2% due 4/15/2016 5 4,784
Obligations 50.63% Federal Home Loan Mortgage Corp. 1219 H 71/2% due 8/15/2006 39 38,740
Federal Home Loan Mortgage Corp. 1318 JB 71/2% due 11/15/2001 46 46,586
Federal Home Loan Mortgage Corp. 1324 VD 7% due 6/15/2005 71 71,058
Federal Home Loan Mortgage Corp. 1332 I 71/2% due 1/15/2021 12 11,631
Federal Home Loan Mortgage Corp. 1377 G 6% due 4/15/2006 31 30,646
Federal Home Loan Mortgage Corp. 1382 H 7% due 11/15/2020 23 22,880
Federal Home Loan Mortgage Corp. 1417 G 61/2% due 7/15/2006 234 232,534
Federal Home Loan Mortgage Corp. 1432 G 71/4% due 12/15/2006 48 48,469
Federal Home Loan Mortgage Corp. 1476 G 6% due 4/15/2006 103 102,026
Federal Home Loan Mortgage Corp. 1479 G 6.65% due 10/15/2017 25 25,314
Federal Home Loan Mortgage Corp. 1491 F 5% due 8/15/2019 8 8,301
Federal Home Loan Mortgage Corp. 1506 PE 5.65% due 7/15/2005 62 61,450
Federal Home Loan Mortgage Corp. 1533 A 61/2% due 4/15/2020 65 64,426
Federal Home Loan Mortgage Corp. 1538 E 6% due 3/15/2005 90 89,924
Federal Home Loan Mortgage Corp. 1540 C 6.05% due 2/15/2011 36 35,869
Federal Home Loan Mortgage Corp. 1547 PE 6% due 3/15/2017 14 14,043
Federal Home Loan Mortgage Corp. 1558 F 6.96% due 5/15/2022 88 88,436
Federal Home Loan Mortgage Corp. 1561 ZB 6% due 8/15/2006 114 113,629
Federal Home Loan Mortgage Corp. 1575 PE 6% due 3/15/2007 28 27,855
Federal Home Loan Mortgage Corp. 1584E 53/4% due 10/15/2016 205 203,850
Federal Home Loan Mortgage Corp. 1591 PE 51/2% due 11/15/2016 65 64,695
Federal Home Loan Mortgage Corp. 16 PE 6% due 8/25/2015 64 63,881
Federal Home Loan Mortgage Corp. 1601 PE 53/4% due 1/15/2006 13 13,281
10
<PAGE>
STATEMENT OF NET ASSETS (UNAUDITED)
LIMITED DURATION U.S. GOVERNMENT SECURITIES SERIES MAY 31, 2000
Principal
Amount
Investments (000) Value
===================================================================================================================================
Federal Home Loan Mortgage Corp. 1604 E 51/2% due 3/15/2007 $ 105 $ 104,477
Federal Home Loan Mortgage Corp. 1605 BD 6% due 4/15/2007 270 268,007
Federal Home Loan Mortgage Corp. 1611 E 51/2% due 12/15/2018 23 22,794
Federal Home Loan Mortgage Corp. 1614 G 5.80% due 2/15/2019 26 26,057
Federal Home Loan Mortgage Corp. 1618 E 51/2% due 8/15/2005 32 32,163
Federal Home Loan Mortgage Corp. 1633 PW 53/4% due 10/15/2017 10 10,219
Federal Home Loan Mortgage Corp. 1638 A 51/4% due 1/15/2019 39 39,070
Federal Home Loan Mortgage Corp. 1658 AC 6% due 10/15/2019 20 19,698
Federal Home Loan Mortgage Corp. 1659 PE 53/4% due 5/15/2007 79 78,143
Federal Home Loan Mortgage Corp. 1693 K 6% due 3/15/2001 192 190,651
Federal Home Loan Mortgage Corp. 1697 PR 6% due 4/15/2006 193 191,462
Federal Home Loan Mortgage Corp. 1702-A PL 5% due 10/15/2016 23 22,571
Federal Home Loan Mortgage Corp. 1714 E 61/4% due 9/15/2018 101 100,752
Federal Home Loan Mortgage Corp. 1752 Z 8% due 9/15/2024 73 73,059
Federal Home Loan Mortgage Corp. 1822 C 61/2% due 4/15/2020 45 45,154
Federal Home Loan Mortgage Corp. 1895 B 71/2% due 12/15/2023 26 26,068
Federal Home Loan Mortgage Corp. 1993-170 E 53/4% due 8/25/2006 34 33,670
Federal Home Loan Mortgage Corp. 1995 EM 63/8% due 8/15/2011 46 45,422
Federal Home Loan Mortgage Corp. 2047 PH 6% due 9/15/2013 129 128,046
Federal Home Loan Mortgage Corp. 2055 OA 6% due 12/15/2005 32 31,405
Federal Home Loan Mortgage Corp. 2121 MA 6% due 3/15/2008 85 83,990
Federal National Mortgage Association 1990-14 H 7.95% due 8/25/2019 38 37,989
Federal National Mortgage Association 1990-140 H 8.95% due 4/25/2020 12 11,908
Federal National Mortgage Association 1991-134 KE 7% due 5/25/2008 52 52,048
Federal National Mortgage Association 1992-131 H 71/2% due 6/25/2021 35 35,307
Federal National Mortgage Association 1992-14 H 6% due 3/25/2016 29 29,105
Federal National Mortgage Association 1992-153 L 7% due 11/25/2005 27 26,585
Federal National Mortgage Association 1993-26 LC 71/2% due 11/25/2001 130 129,146
Federal National Mortgage Association 1993-117 G 61/2% due 10/25/2006 30 29,765
Federal National Mortgage Association 1993-120 E 6% due 11/25/2016 19 18,884
Federal National Mortgage Association 1993-129 D 6.10% due 6/25/2005 7 6,527
Federal National Mortgage Association 1993-131 D 6% due 6/25/2007 150 148,265
Federal National Mortgage Association 1993-134 D 5.90% due 11/25/2005 27 26,944
Federal National Mortgage Association 1993-135 PD 5.85% due 7/25/2005 413 410,777
Federal National Mortgage Association 1993-139 KB 7% due 11/25/2000 42 41,770
Federal National Mortgage Association 1993-141 PE 53/4% due 5/25/2017 62 62,080
Federal National Mortgage Association 1993-145 A 6% due 8/25/2017 95 93,370
Federal National Mortgage Association 1993-147 E 53/4% due 11/25/2016 10 9,694
Federal National Mortgage Association 1993-147 FG 7.18% due 8/25/2023 16 15,604
Federal National Mortgage Association 1993-155 E 5.85% due 7/25/2017 16 15,980
Federal National Mortgage Association 1993-165 AG 5.65% due 10/25/2021 10 9,884
Federal National Mortgage Association 1993-167 EA 53/4% due 2/25/2017 31 30,757
Federal National Mortgage Association 1993-187 SE 5.98% due 11/25/2016 34 32,197
Federal National Mortgage Association 1993-194 PG 5.65% due 4/25/2005 105 104,041
Federal National Mortgage Association 1993-196 E 51/2% due 2/25/2007 162 160,733
Federal National Mortgage Association 1993-206 5.65% due 5/25/2017 185 183,083
Federal National Mortgage Association 1993-212 C 6% due 11/25/2000 41 41,025
Federal National Mortgage Association 1993-221 B 51/2% due 11/25/2006 81 79,842
Federal National Mortgage Association 1993-227 E 51/2% due 12/25/2000 160 158,454
Federal National Mortgage Association 1993-248 PA 41/2% due 4/25/2023 87 85,589
11
<PAGE>
STATEMENT OF NET ASSETS (UNAUDITED)
LIMITED DURATION U.S. GOVERNMENT SECURITIES SERIES MAY 31, 2000
Principal
Amount
Investments (000) Value
===================================================================================================================================
Federal National Mortgage Association 1993-25 D 7% due 10/25/2018 $ 6 $ 6,187
Federal National Mortgage Association 1993-85 PG 61/4% due 5/25/2007 163 161,048
Federal National Mortgage Association 1993-87 N 51/4% due 11/25/2016 5 5,085
Federal National Mortgage Association 1993-9 PG 7% due 12/25/2019 112 111,782
Federal National Mortgage Association 1993-97 E 5% due 5/25/2023 40 39,894
Federal National Mortgage Association 1994-120 PD 5.85% due 12/25/2006 119 118,463
Federal National Mortgage Association 1994-13 PE 5.80% due 12/25/2006 129 127,765
Federal National Mortgage Association 1994-23 PT 51/8% due 7/25/2017 73 72,605
Federal National Mortgage Association 1994-28 A 51/4% due 8/25/2018 47 46,651
Federal National Mortgage Association 1994-32 PD 53/4% due 1/25/2007 43 42,694
Federal National Mortgage Association 1994-33 E 51/2% due 11/25/2007 66 65,797
Federal National Mortgage Association 1994-38 PE 5.90% due 10/25/2019 160 158,824
Federal National Mortgage Association 1994-51 PT 53/4% due 4/25/2018 119 118,227
Federal National Mortgage Association 1994-56 E 61/4% due 4/25/2017 147 145,851
Federal National Mortgage Association 1996-22 C 71/4% due 2/25/2024 25 24,735
Federal National Mortgage Association 1996-53 FA 6.98% due 12/25/2003 59 58,978
Federal National Mortgage Association 1997-30 PA 7% due 7/18/2017 8 7,719
Federal National Mortgage Association 1999-54 PA 61/2% due 11/18/2010 90 89,521
Federal National Mortgage Association 93-214 E 51/2% due 3/25/2007 28 27,489
Federal National Mortgage Association G 92-8 K 71/2% due 3/25/2021 59 58,371
Federal National Mortgage Association G-93-11 C 6% due 1/25/2007 9 8,548
Federal National Mortgage Association G92-41 K 71/2% due 1/25/2021 94 94,362
Federal National Mortgage Association G92-53 A 7% due 9/25/2002 67 66,610
Federal National Mortgage Association G92-53 F 6.91% due 4/25/2022 52 52,815
Federal National Mortgage Association G93-14 G 6% due 6/25/2019 57 56,530
Federal National Mortgage Association G93-32 PE 5% due 9/25/2023 34 34,113
Federal National Mortgage Association G94-1 F 7.08% due 1/25/2024 90 89,346
Government National Mortgage Association 1995-7 E 71/2% due 11/16/2019 127 126,428
Government National Mortgage Association 1996-26 B 7% due 12/16/2020 52 52,116
Total 7,213,093
--------------------------------------------------------------------------------------------------------------------------=========
Agency Commercial Federal National Mortgage Association
Mortgage-Backed Securities 61/2% due 4/1/2003 187 180,176
2.78% 6.78% due 4/1/2004 63 60,821
7.25% due 9/1/2003 33 32,508
7.28% due 10/1/2003 57 55,925
7.31% due 7/1/2003 68 66,383
Total 395,813
------------------------------------------------------------------------------------------==========
Total Long-Term Investments (Cost $18,065,857) 17,929,828
-------------------------------------------------------------------------------------------------------------------------==========
Short-Term Investment 12.04%
-----------------------------------------------------------------------------------------------------------------------------------
Federal Home Loan Bank Discount Note 6.30% due 6/1/2000 (Cost $1,715,000) 1,715 1,715,000
------------------------------------------------------------------------------------------==========
Total Investments 137.90% (Cost $19,780,857) 19,644,828
===================================================================================================================================
Other Assets, Less Liabilities (37.90)%
===================================================================================================================================
Cash 16,700
-------------------------------------------------------------------------------------------------------------------------==========
Receivables for: Securities sold 4,724,412
Interest 135,752
Capital shares sold 23,912
Other 104,294
Total Other Assets 5,005,070
-------------------------------------------------------------------------------------------------------------------------==========
12
<PAGE>
STATEMENT OF NET ASSETS (UNAUDITED)
LIMITED DURATION U.S. GOVERNMENT SECURITIES SERIES MAY 31, 2000
-----------------------------------------------------------------------------------------------------------------------------------
Payables for: Securities purchased $10,173,209
Capital shares reacquired 99,798
Dividends 16,574
Other 114,249
Total Liabilities 10,403,830
------------------------------------------------------------------------------------------------------------------------===========
Total Other Assets, Less Liabilities (5,398,760)
===================================================================================================================================
Net Assets 100.00% $14,246,068
------------------------------------------------------------------------------------------------------------------------===========
Class A Shares-Net asset value ($9,692,048 /
2,241,148 shares outstanding) $4.32 Maximum
offering price (net asset value plus sales charge
of 3.25% of the offering price) $4.47
Class C Shares-Net asset value ($4,554,020 / 1,055,077 shares outstanding) $4.32
See Notes to Financial Statements.
STATEMENT OF NET ASSETS (UNAUDITED)
BALANCED SERIES MAY 31, 2000
Investments Shares Value
===================================================================================================================================
Investments in Mutual Funds 99.24%
===================================================================================================================================
Lord Abbett Affiliated Fund, Inc.-Class Y 3,483,318 $ 53,503,766
Lord Abbett Bond-Debenture Fund, Inc.-Class Y 5,880,445 50,160,195
Total Investments in Mutual Funds (Cost $107,418,374) 103,663,961
-----------------------------------------------------------------------------------------------------------------------============
Cash and Receivables, Net of Liabilities .76% 797,582
===================================================================================================================================
Net Assets 100.00% $104,461,543
-----------------------------------------------------------------------------------------------------------------------============
Class A Shares-Net asset value ($74,397,421 / 6,387,740 shares outstanding) $11.65
Maximum offering price (net asset value plus sales charge of 5.75% of the offering price) $12.36
Class B Shares-Net asset value ($14,660,134 / 1,260,516 shares outstanding) $11.63
Class C Shares-Net asset value ($15,403,988 / 1,325,545 shares outstanding) $11.62
See Notes to Financial Statements.
STATEMENT OF NET ASSETS (UNAUDITED)
HIGH YIELD FUND MAY 31, 2000
Principal
Amount
Investments (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Long-Term Investments 91.18%
-----------------------------------------------------------------------------------------------------------------------------------
Investment Grade Corporate Bonds 3.01%
-----------------------------------------------------------------------------------------------------------------------------------
Broadcasters 1.21% Fox/Liberty Networks LLC Zero Coupon due 2007* $ 485 $ 384,362
-------------------------------------------------------------------------------------------------------------------------==========
Cable TV .33% Fundy Cable Ltd. 11% due 2005 (F) 100 106,625
-------------------------------------------------------------------------------------------------------------------------==========
Energy 1.47% Gulf Canada Resources Ltd. 8.35% due 2006 (F) 478 466,686
-------------------------------------------------------------------------------------------------------------------------==========
Total Investment Grade Corporate Bonds (Cost $969,744) 957,673
===================================================================================================================================
High-Yield Corporate Debt 84.11%
-----------------------------------------------------------------------------------------------------------------------------------
Airlines 1.31% America West Airlines Inc. 103/4% due 2005 450 416,250
--------------------------------------------------------------------------------------------------------------------------=========
Automotive 4.76% Accuride Corp. 91/4% due 2008 500 427,500
Collins & Aikman Products Co. 111/2% due 2006 250 238,750
Dura Operating Corp. 9% due 2009 350 306,250
13
<PAGE>
STATEMENT OF NET ASSETS (UNAUDITED)
HIGH YIELD FUND MAY 31, 2000
Principal
Amount
Investments (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Oshkosh Truck Corp. 83/4% due 2008 $ 325 $ 303,063
Tenneco Automotive, Inc. 115/8% due 2009 250 236,250
Total 1,511,813
-------------------------------------------------------------------------------------------------------------------------==========
Broadcasters 4.90% Allbritton Communications Co. 93/4% due 2007 500 465,000
Interep National Radio Sales, Inc. 10% due 2008 250 226,250
Sinclair Broadcasting Group, Inc. 10% due 2005 700 651,000
TV Azteca SA de CV 101/2% due 2007 (F) 250 215,000
Total 1,557,250
-------------------------------------------------------------------------------------------------------------------------==========
Building Materials .73% Nortek, Inc. 91/8% due 2007 250 230,625
-------------------------------------------------------------------------------------------------------------------------==========
Cable TV 12.62% CSC Holdings, Inc. 91/4% due 2005 250 246,250
Charter Communications Holdings 10% due 2009+ 350 320,250
Charter Communications LLC Zero Coupon due 2011* 500 261,250
EchoStar DBS Corp. 93/8% due 2009 500 472,500
FrontierVision Holdings Capital Zero Coupon due 2007* 500 425,000
Globo Communicacoes Participacos Ltd. 105/8% due 2008+ (F) 250 191,250
NTL Communications Corp. Zero Coupon due 2008* (F) 500 323,750
NTL Communications Corp. 10% due 2007 (F) 500 482,500
Telewest Communications plc Zero Coupon due 2009* (F) 500 277,500
Telewest Communications plc 97/8% due 2010+ (F) 450 434,250
United Pan-Europe Communications NV Zero Coupon due 2009* (F) 700 318,500
United Pan-Europe Communications NV 111/4% due 2009+ (F) 300 256,500
Total 4,009,500
--------------------------------------------------------------------------------------------------------------------------=========
Chemicals 3.54% Huntsman Corp. 91/2% due 2007+ 250 225,000
Huntsman ICI Chemicals LLC 101/8% due 2009 (F) 250 248,750
Lyondell Chemical Co. 95/8% due 2007 250 243,438
NL Industries, Inc. 113/4% due 2003 150 154,687
Sovereign Specialty Chemicals, Inc. 117/8% due 2010+ 250 252,500
Total 1,124,375
--------------------------------------------------------------------------------------------------------------------------=========
Consumer Products .78% Rayovac Corp. 101/4% due 2006 107 110,210
Riddell Sports, Inc. 101/2% due 2007 175 137,375
Total 247,585
--------------------------------------------------------------------------------------------------------------------------=========
Containers 2.56% Portola Packaging, Inc. 103/4% due 2005 100 86,000
Stone Container Corp. 103/4% due 2002 250 256,875
US Can Corp. 101/8% due 2006 450 469,688
Total 812,563
--------------------------------------------------------------------------------------------------------------------------=========
Diversified Media 2.04% Ackerley Group, Inc. 9% due 2009 500 452,500
Lamar Media Corp. 95/8% due 2006 200 198,000
Total 650,500
--------------------------------------------------------------------------------------------------------------------------=========
Electric Utilities .11% AEI Holding Co. 101/2% due 2005+ 250 36,250
--------------------------------------------------------------------------------------------------------------------------=========
Energy 2.59% Chesapeake Energy Corp. 95/8% due 2005 350 337,750
Cross Timbers Oil Co. 91/4% due 2007 250 237,500
HS Resources, Inc. 97/8% due 2003 250 247,500
Total 822,750
--------------------------------------------------------------------------------------------------------------------------=========
Food 3.97% Del Monte Foods Co. Zero Coupon due 2007* 1,000 762,500
Doane Pet Care Co. 93/4% due 2007 245 214,375
Leiner Health Products, Inc. 95/8% due 2007 225 168,188
Twin Laboratories, Inc. 101/4% due 2006 119 115,430
Total 1,260,493
--------------------------------------------------------------------------------------------------------------------------=========
14
<PAGE>
STATEMENT OF NET ASSETS (UNAUDITED)
HIGH YIELD FUND MAY 31, 2000
Principal
Amount
Investments (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Gaming 2.98% Aztar Corp. 87/8% due 2007 $ 250 $ 231,250
Mohegan Tribal Gaming Authority 83/4% due 2009 500 473,125
Park Place Entertainment Corp. 93/8% due 2007+ 250 243,125
Total 947,500
-------------------------------------------------------------------------------------------------------------------------==========
Healthcare .74% Tenet Healthcare Corp. 85/8% due 2007 250 235,625
-------------------------------------------------------------------------------------------------------------------------==========
Homebuilders 1.08% D. R. Horton, Inc. 10% due 2006 350 344,750
-------------------------------------------------------------------------------------------------------------------------==========
Paper 3.44% Indah Kiat International Finance Co. 121/2% due 2006 (F) 150 97,500
Packaging Corp. 95/8% due 2009 500 492,500
Tembec Finance Corp. 97/8% due 2005 (F) 500 503,750
Total 1,093,750
--------------------------------------------------------------------------------------------------------------------------=========
Publishing/Printing 1.45% R.H. Donnelly, Inc. 91/8% due 2008 500 462,500
--------------------------------------------------------------------------------------------------------------------------=========
Retail .45% Amazon.Com, Inc. Zero Coupon due 2008* 250 143,750
--------------------------------------------------------------------------------------------------------------------------=========
Services 2.74% Avis Group Holdings, Inc. 11% due 2009 250 255,625
Iron Mountain, Inc. 101/8% due 2006 630 614,250
Total 869,875
--------------------------------------------------------------------------------------------------------------------------=========
Steel/Metals 2.03% Armco, Inc. 9% due 2007 400 378,000
Republic Technologies International, LLC 133/4% due 2009 200 25,250
WCI Steel, Inc. 10% due 2004 250 241,250
Total 644,500
--------------------------------------------------------------------------------------------------------------------------=========
Technology 6.85% Exodus Communications, Inc. 103/4% due 2009 400 396,000
Fisher Scientific International, Inc. 9% due 2008 250 225,000
Globix Corp. 121/2% due 2010+ 250 217,500
L-3 Communications Corp. 103/8% due 2007 500 503,750
Verio, Inc. 105/8% due 2009+ 250 276,250
Verio, Inc. 111/4% due 2008 500 557,500
Total 2,176,000
--------------------------------------------------------------------------------------------------------------------------=========
Telecommunications 22.20% AMSC Acquisition Co., Inc. 121/4% due 2008 150 94,125
Clearnet Communications, Inc. Zero Coupon due 2009* (F) 500 290,000
GST Network Funding, Inc. Zero Coupon due 2008 150 66,375
Global Crossing Holdings Ltd. 91/8% due 2006+ (F) 500 472,500
ICG Holdings, Inc. Zero Coupon due 2005* 500 477,500
Intermedia Communications, Inc. Zero Coupon due 2007* 250 186,250
Intermedia Communications, Inc. Zero Coupon due 2009* 200 112,500
KPNQwest BV 81/8% due 2009 (F) 250 228,750
Level 3 Communications, Inc. 11% due 2008+ 500 478,750
Logix Communications Enterprises, Inc. 121/4% due 2008 250 100,625
McLeod USA, Inc. 91/2% due 2008 250 233,750
Metromedia Fiber Network, Inc. 10% due 2009 300 286,500
Nextel Communications, Inc. 93/8% due 2009 250 237,500
Nextel Communications, Inc. Zero Coupon due 2008* 500 353,750
Nextlink Communications, Inc. Zero Coupon due 2009* 300 172,500
Nextlink Communications, Inc. 103/4% due 2008 300 288,750
RSL Communications plc 12% due 2008 (F) 300 223,500
SBA Communications Corp. Zero Coupon due 2008* 250 170,625
Slovak Wireless Finance Co. 111/4% due 2007+ (F) EUR 150 139,122
Teligent, Inc. 111/2% due 2007 250 192,500
Versatel Telecommunications 117/8% due 2009 (F) 250 222,500
Viatel, Inc. 111/4% due 2008 500 390,000
15
<PAGE>
STATEMENT OF NET ASSETS (UNAUDITED)
HIGH YIELD FUND MAY 31, 2000
Principal
Amount
Investments (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Voicestream Wire Co. 103/8% due 2009+ $ 300 $ 305,250
Western Wireless Corp. 101/2% due 2006 500 512,500
Williams Communications Group, Inc. 107/8% due 2009 350 352,625
Winstar Communications, Inc. 121/2% due 2008+ 500 467,500
Total 7,056,247
-------------------------------------------------------------------------------------------------------------------------==========
Textiles .24% Levi Strauss & Co. 6.80% due 2003+ 100 75,500
-------------------------------------------------------------------------------------------------------------------------==========
Total High-Yield Corporate Debt (Cost $29,427,107) 26,729,951
===================================================================================================================================
Convertible Debt 3.13%
===================================================================================================================================
Cable TV .50% EchoStar Communications Corp. 47/8% due 2007+ 150 158,835
-------------------------------------------------------------------------------------------------------------------------==========
Energy 1.01% Kerr-McGee Corp. 51/4% due 2010 175 204,750
Parker Drilling Co. 51/2% due 2004 150 114,750
Total 319,500
-------------------------------------------------------------------------------------------------------------------------==========
Technology .74% Cypress Semiconductor Corp. 4% due 2005 100 116,226
Exodus Communications Inc. 43/4% due 2008 100 117,477
Total 233,703
-------------------------------------------------------------------------------------------------------------------------==========
Telecommunications .88% Colt Telecom Group plc 2% due 2007+ (F) EUR150 115,584
Versatel Telecom BV 4% due 2005 (F) EUR200 166,291
Total 281,875
-------------------------------------------------------------------------------------------------------------------------==========
Total Convertible Debt (Cost $1,054,825) 993,913
===================================================================================================================================
Convertible-Preferred Stocks and Warrants .93% Shares
===================================================================================================================================
Cable TV .40% UnitedGlobalCom 7% Conv. Pfd. (F) 2,000 129,000
-----------------------------------------------------------------------------------------------------------------------------------
Steel/Metals .00% Republic Technology Warrants expiring 2009** 200 1
-----------------------------------------------------------------------------------------------------------------------------------
Telecommunications .53% Motient Corp. Warrants expiring 2008**+ 150 3,787
Alliant Energy Resources 71/4%*** Conv. Pfd.+ 2,400 164,090
Total 167,877
-----------------------------------------------------------------------------------------------------------------------------------
Total Convertible-Preferred Stocks and Warrants (Cost $170,202) 296,878
===================================================================================================================================
Total Long-Term Investments (Cost $31,621,878) 28,978,415
===================================================================================================================================
Principal Amount
Short-Term Investments 6.14% (000)
-----------------------------------------------------------------------------------------------------------------------------------
Associates Corp. 6.77% due 6/1/2000 $1,420 1,420,000
Prudential Funding Corp. 6.75% due 6/1/2000 530 530,000
Total Short-Term Investments (Cost $1,950,000) 1,950,000
-------------------------------------------------------------------------------------------------------------------------==========
Total Investments 97.32% (Cost $33,571,878) 30,928,415
===================================================================================================================================
Cash 132,342
-------------------------------------------------------------------------------------------------------------------------==========
Receivables for: Securities sold 2,002,856
Interest 663,300
Capital shares sold 80,069
Unrealized appreciation on foreign currency contracts 5,925
Other 77,343
Total Other Assets 2,961,835
-------------------------------------------------------------------------------------------------------------------------==========
Payables for: Securities purchased 1,993,798
Capital shares reacquired 115,796
Total Liabilities 2,109,594
-------------------------------------------------------------------------------------------------------------------------==========
Total Other Assets, Less Liabilities 852,241
-------------------------------------------------------------------------------------------------------------------------==========
16
<PAGE>
STATEMENT OF NET ASSETS (UNAUDITED)
HIGH YIELD FUND MAY 31, 2000
Principal
Amount
Investments (000) Value
-----------------------------------------------------------------------------------------------------------------------------------
Net Assets 100.00% $31,780,656
-----------------------------------------------------------------------------------------------------------------------------------
Class A Shares-Net asset value ($16,951,539 / 1,859,581 shares outstanding) $9.12
Maximum offering price (net asset value plus sales charge of 4.75% of the offering price) $9.57
Class B Shares-Net asset value ($8,447,479 / 928,816 shares outstanding) $9.09
Class C Shares-Net asset value ($6,380,535 / 701,292 shares outstanding) $9.10
Class Y Shares-Net asset value ($1,103 / 121.073 shares outstanding) $9.11
*Deferred interest debentures pay no interest for a stipulated number of years,
after which they pay a predetermined coupon rate.
**Non-income producing security.
***Represents current coupon rate. Coupon rate decreases over time.
+Restricted security under Rule 144A.
(F)Foreign issuer.
See Notes to Financial Statements.
</TABLE>
STATEMENTS OF OPERATIONS (UNAUDITED)
<TABLE>
<CAPTION>
Six Months Ended May 31, 2000
-----------------------------------------------------------------------------------------------------------------------------------
Limited Duration
U.S. Government U.S. Government Balanced High Yield
Investment Income Securities Series Securities Series Series Fund
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Income Interest $ 49,382,619 $ 485,576 $ 1,088 $ 1,544,771
Dividends - - 2,769,464 11,225
Total income 49,382,619 485,576 2,770,552 1,555,996
-----------------------------------------------------------------------------------------------------------------------------------
Expenses Management fee 3,491,392 38,541 389,405 94,552
Management fee waived - (38,541) (389,405) (94,552)
12b-1 distribution plan-Class A 2,248,603 - 134,882 34,334
12b-1 distribution plan-Class B 151,715 - 69,333 43,222
12b-1 distribution plan-Class C 519,925 23,588 78,783 33,250
Shareholder servicing 1,106,140 9,571 121,688 16,168
Reports to shareholders 148,074 1,856 10,094 4,141
Professional 77,612 5,969 9,617 3,200
Trustees' fees 29,816 206 1,738 145
Registration 30,082 12,276 30,167 14,545
Other 143,615 2,459 10 1,228
Total expenses before reductions
and reimbursements 7,946,974 55,925 456,312 150,233
-----------------------------------------------------------------------------------------------------------------------------------
Expenses assumed by Lord Abbett - (12,276) - (39,427)
Expenses assumed by Underlying Funds - - (170,898) -
Expenses reductions (163,792) (5,664) (2,416) -
-----------------------------------------------------------------------------------------------------------------------------------
Net expenses 7,783,182 37,985 282,998 110,806
-----------------------------------------------------------------------------------------------------------------------------------
Net investment income 41,599,437 447,591 2,487,554 1,445,190
-----------------------------------------------------------------------------------------------------------------------------------
Realized and Unrealized Gain (Loss) on Investments and
Foreign Currency Transactions
-----------------------------------------------------------------------------------------------------------------------------------
Net realized loss from investment and foreign
currency transactions (19,529,281) (199,990) (190,038) (173,355)
-----------------------------------------------------------------------------------------------------------------------------------
Net change in unrealized appreciation/depreciation
of investments and foreign currency holdings (8,011,391) 58,206 129,338 (1,825,924)
-----------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized loss on investments and
foreign currency transactions (27,540,672) (141,784) (60,700) (1,999,279)
-----------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets
Resulting from Operations $ 14,058,765 $ 305,807 $2,426,854 $ (554,089)
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
12/31/1998*
through
Six Months Ended May 31, 2000 (unaudited) Year Ended November 30, 1999 11/30/1999
--------------------------------------------------------------------------- -----------------------------------------------------
Limited Limited
U.S. Duration U.S. Duration
Government U.S. Government Government U.S. Government
Increase (Decrease) Securities Securities Balanced High Yield Securities Securities Balanced High Yield
in Net Assets Series Series Series Fund Series Series Series Fund
--------------------------------------------------------------------------- -----------------------------------------------------
Operations
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net investment income $ 41,599,437 $ 447,591 $ 2,487,554 $ 1,445,190 $ 102,421,267 $ 847,235 $ 3,574,568 $ 1,688,286
Capital gains received
from Underlying Funds -- -- -- -- -- -- 5,313,805 --
Net realized gain (loss)
from investment and
foreign currency
transactions (19,529,281) (199,990) (190,038) (173,355) (42,249,816) (240,747) 302,422 (301,197)
Net change in
unrealized
appreciation/
depreciation
of investments
and foreign
currency holdings (8,011,391) 58,206 129,338 (1,825,924) (83,086,441) (289,099) (2,306,194) (811,614)
Net increase (decrease)
in net assets resulting
from operations 14,058,765 305,807 2,426,854 (554,089) (22,914,990) 317,389 6,884,601 575,475
-----------------------------------------------------------------------------------------------------------------------------------
Distributions to
shareholders from net
investment income:
Class A (40,924,716) (259,751) (1,955,407) (788,823) (97,345,650) (472,868) (2,628,685) (876,233)
Class B (880,565) - (313,369) (401,828) (1,803,475) - (356,628) (430,430)
Class C (3,175,498) (102,333) (355,334) (308,556) (7,819,153) (260,051) (401,107) (348,682)
Class Y - - - (59) - - - (61)
Total (44,980,779) (362,084) (2,624,110) (1,499,266) (106,968,278) (732,919) (3,386,420) (1,655,406)
-----------------------------------------------------------------------------------------------------------------------------------
Distributions to
shareholders from
net realized gain
from investment
transactions:
Class A - - (3,953,078) - - - (4,050,949) -
Class B - - (723,062) - - - (489,278) -
Class C - - (840,055) - - - (712,935) -
Class Y - - - - - - - -
Total - - (5,516,195) - - - (5,253,162) -
-----------------------------------------------------------------------------------------------------------------------------------
Total distributions (44,980,779) (362,084) (8,140,305) (1,499,266) (106,968,278) (732,919) (8,639,582) (1,655,406)
-----------------------------------------------------------------------------------------------------------------------------------
Capital share
transactions:
Net proceeds
from sales
of shares 28,038,632 3,931,411 16,067,066 8,639,821 172,166,389 17,365,011 48,045,051 34,490,372
Net asset value of
shares issued in
reinvestment of
dividends and
distributions 25,353,860 195,738 7,902,239 995,027 60,370,240 408,519 8,333,627 1,171,760
Total 53,392,492 4,127,149 23,969,305 9,634,848 232,536,629 17,773,530 56,378,678 35,662,132
-----------------------------------------------------------------------------------------------------------------------------------
Cost of
shares reacquired (232,488,505) (6,073,831) (13,924,778) (4,489,808) (499,467,543) (12,108,778) (12,167,934) (5,893,230)
-----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease)
in net assets derived
from capital share
transactions (179,096,013) (1,946,682) 10,044,527 5,145,040 (266,930,914) 5,664,752 44,210,744 29,768,902
-----------------------------------------------------------------------------------------------------------------------------------
Increase (decrease)
in net assets (210,018,027) (2,002,959) 4,331,076 3,091,685 (396,814,182) 5,249,922 42,455,763 28,688,971
-----------------------------------------------------------------------------------------------------------------------------------
Net Assets
Beginning of period 1,505,590,072 16,249,027 100,130,467 28,688,971 1,902,404,254 10,999,805 57,674,704 -
-----------------------------------------------------------------------------------------------------------------------------------
End of period+ $1,295,572,045 $14,246,068 $104,461,543 $31,780,656 $1,505,590,072 $16,249,027 $100,130,467 $28,688,971
====================================================================================================================================
</TABLE>
* Commencement of operations.
+ Including undistributed (overdistributed) net investment income of
$(10,320,273), $251,743, $91,647 and $(21,196), respectively, as of
May 31, 2000 and $(6,938,931), $166,236, $228,203 and $32,880,
respectively, as of November 30, 1999.
See Notes to Financial Statements.
18
<PAGE>
FINANCIAL HIGHLIGHTS
U.S. GOVERNMENT SECURITIES SERIES
<TABLE>
<CAPTION>
Class A Shares
-----------------------------------------------------------------------------------------------------------------------------------
Six Months
Ended
May 31, 2000 Year Ended November 30,
Per Share Operating Performance: (unaudited) 1999 1998 1997 1996 1995
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $2.45 $2.64 $2.59 $2.63 $2.73 $2.59
-----------------------------------------------------------------------------------------------------------------------------------
Income from investment operations
Net investment income .07(d) .15(d) .17(d) .20(d) .215 .235
Net realized and unrealized gain
(loss) on investments (.04) (.18) .05 (.03) (.105) .136
Total from investment operations .03 (.03) .22 .17 .11 .371
-----------------------------------------------------------------------------------------------------------------------------------
Distributions
Dividends from net investment income (.08) (.16) (.17) (.21) (.210) (.231)
Distribution from net realized gain -- -- -- -- -- --
Total distributions (.08) (.16) (.17) (.21) (.210) (.231)
-----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $2.40 $2.45 $2.64 $2.59 $2.63 $2.73
-----------------------------------------------------------------------------------------------------------------------------------
Total Return(b) .79%(c) (.72)%(c) 8.86% 6.67% 4.41% 14.89%
-----------------------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses .54%(c)(e) 1.02%(e) 0.96%(e) 0.92%(e) 0.88% 0.90%
Net investment income 3.02%(c) 6.07%(c) 6.36% 7.82% 8.12% 8.85%
-----------------------------------------------------------------------------------------------------------------------------------
Class B Shares Class C Shares
--------------------------------------------------------- --------------------------------------------------
Six Months Year Six Months Year
Per Share Ended Ended 8/1/1996(a) Ended Ended 7/15/1996(a)
Operating May 31, 2000 November 30, to May 31, 2000 November 30, to
Performance: (unaudited) 1999 1998 1997 11/30/1996 (unaudited) 1999 1998 1997 11/30/1996
-----------------------------------------------------------------------------------------------------------------------------------
Net asset value,
beginning of period $2.45 $2.64 $2.58 $2.63 $2.57 $2.45 $2.65 $2.59 $2.63 $2.55
-----------------------------------------------------------------------------------------------------------------------------------
Income from
investment operations
Net investment income .07(d) .14(d) .14 .18(d) .063 .07(d) .14(d) .15(d) .18(d) .066
Net realized
and unrealized
gain (loss)
on investments (.05) (.19) .07 (.04) .060 (.05) (.20) .06 (.03) .085
Total from
investment
operations .02 (.05) .21 .14 .123 .02 (.06) .21 .15 .151
-----------------------------------------------------------------------------------------------------------------------------------
Distributions
Dividends from net
investment income (.07) (.14) (.15) (.19) (.063) (.07) (.14) (.15) (.19) (.071)
-----------------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $2.40 $2.45 $2.64 $2.58 $2.63 $2.40 $2.45 $2.65 $2.59 $2.63
-----------------------------------------------------------------------------------------------------------------------------------
Total Return(b) .86%(c) (1.43)% 8.49% 5.47% 5.45%(c) .85%(c) (1.80)% 8.47% 5.86% 6.49%(c)
-----------------------------------------------------------------------------------------------------------------------------------
Ratios to Average
Net Assets:
Expenses .86%(c)(e) 1.69%(e) 1.66%(e) 1.64%(e) 0.48%(c) .84%(c)(e) 1.64%(e) 1.62%(e) 1.55%(e) 0.60%(c)
Net investment
income 2.70%(c) 5.33%(c) 5.36% 6.77% 2.21%(c) 2.73%(c) 5.46%(c) 5.69% 7.25% 2.60%(c)
-----------------------------------------------------------------------------------------------------------------------------------
Six Months
Ended
May 31, 2000 Year Ended November 30,
Supplemental Data for All Classes: (unaudited) 1999 1998 1997 1996 1995
------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $1,295,572 $1,505,590 $1,902,404 $2,286,412 $2,907,291 $3,272,865
Portfolio turnover rate 198.84% 396.37% 399.64% 712.82% 820.59% 544.31%
-----------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commencement of offering respective class shares.
(b) Total return does not consider the effects of sales loads and assumes
the reinvestment of all distributions.
(c) Not annualized.
(d) Calculated using average shares outstanding during the period.
(e) The ratio includes expenses paid through an expense offset arrangement.
See Notes to Financial Statements.
19
<PAGE>
FINANCIAL HIGHLIGHTS
U.S. GOVERNMENT SECURITIES SERIES
<TABLE>
<CAPTION>
Class B Shares Class C Shares
------------------------------------------------------------------------------ ---------------------------------------------------
Six Months Year Six Months Year
Ended Ended 8/1/1996(a) Ended Ended 7/15/1996(a)
Per Share May 31, 2000 November 30, to May 31, 2000 November 30, to
Operating Performance: (unaudited) 1999 1998 1997 11/30/1996 (unaudited) 1999 1998 1997 11/30/1996
------------------------------------------------------------------------------ ---------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $2.45 $2.64 $2.58 $2.63 $2.57 $2.45 $2.65 $2.59 $2.63 $2.55
------------------------------------------------------------------------------ ---------------------------------------------------
Income from
investment
operations
Net investment
income .07(d) .14(d) .14(d) .18(d) .063 .07(d) .14(d) .15(d) .18(d) .066
Net realized
and unrealized
gain (loss)
on investments (.05) (.19) .07 (.04) .060 (.05) (.20) .06 (.03) .085
Total from
investment operations .02 (.05) .21 .14 .123 .02 (.06) .21 .15 .151
------------------------------------------------------------------------------ ---------------------------------------------------
Distributions
Dividends from net
investment income (.07) (.14) (.15) (.19) (.063) (.07) (.14) (.15) (.19) (.071)
------------------------------------------------------------------------------ ---------------------------------------------------
Net asset value,
end of period $2.40 $2.45 $2.64 $2.58 $2.63 $2.40 $2.45 $2.65 $2.59 $2.63
------------------------------------------------------------------------------ ---------------------------------------------------
Total Return(b) .86%(c) (1.43)% 8.49% 5.47% 5.45%(c) .85%(c) (1.80)% 8.47% 5.86% 6.49%(c)
------------------------------------------------------------------------------ ----------------------------------------------------
Ratios to Average
Net Assets:
Expenses .86%(c)(e) 1.69%(e) 1.66%(e) 1.64%(e) 0.48%(c) .84%(c)(e) 1.64%(e) 1.62%(e) 1.55%(e) 0.60%(c)
Net investment
income 2.70%(c) 5.33%(c) 5.36% 6.77% 2.21%(c) 2.73%(c) 5.46%(c) 5.69% 7.25% 2.60%(c)
------------------------------------------------------------------------------ ----------------------------------------------------
Six Months
Ended
May 31, 2000 Year Ended November 30,
Supplemental Data for All Classes: (unaudited) 1999 1998 1997 1996 1995
------------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $1,295,572 $1,505,590 $1,902,404 $2,286,412 $2,907,291 $3,272,865
Portfolio turnover rate 198.84% 396.37% 399.64% 712.82% 820.59% 544.31%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commencement of offering respective class shares.
(b) Total return does not consider the effects of sales loads and assumes
the reinvestment of all distributions.
(c) Not annualized.
(d) Calculated using average shares outstanding during the period.
(e) The ratio includes expenses paid through an expense offset arrangement.
See Notes to Financial Statements.
19
<PAGE>
FINANCIAL HIGHLIGHTS
LIMITED DURATION U.S. GOVERNMENT SECURITIES SERIES
<TABLE>
<CAPTION>
Class A Shares
------------------------------------------------------------------------------------------------------------------------------------
Six Months Year One
Ended Ended Month
May 31, 2000 November 30, Ended Year Ended
Per Share Operating Performance: (unaudited) 1999 1998 1997 11/30/1996 10/31/1996 10/31/1995
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $4.34 $4.46 $4.40 $4.42 $4.39 $4.53 $4.44
------------------------------------------------------------------------------------------------------------------------------------
Income from
investment operations
Net investment income .13(e) .27(e) .26(e) .25(e) .0174 .1912 .2316
Net realized and unrealized gain
(loss) on investments (.03) (.15) .04 (.02) .0333 (.0751 .1017
Total from investment operations .10 .12 .30 .23 .0507 .1161 .3333
------------------------------------------------------------------------------------------------------------------------------------
Distributions
Dividends from net investment income (.12) (.24) (.24) (.25) (.0207) (.2561 (.2433)
------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.32 $4.34 $4.46 $4.40 $4.42 $4.39 $4.53
------------------------------------------------------------------------------------------------------------------------------------
Total Return(b) 2.36%(c) 3.05% 7.06% 5.46% 1.15%(c) 2.67% 8.16%
------------------------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, including waiver
and reimbursements .13%(c)(d) .32%(d) 0.47%(d) 0.51%(d) 0.11%(c) 1.81% 1.40%
Expenses, excluding waiver
and reimbursements .46%(c)(d) 1.00%(d) 1.38%(d) 1.40%(d) 0.13%(c) 2.73% 1.71%
Net investment income 3.06%(c) 6.21%(c) 5.86% 5.81% 0.41%(c) 4.58% 5.62%
------------------------------------------------------------------------------------------------------------------------------------
Class C Shares
------------------------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Ended One Month 7/15/1996(a)
May 31, 2000 November 30, Ended to
Per Share Operating Performance: (unaudited) 1999 1998 1997 11/30/1996 10/31/1996
------------------------------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $4.33 $4.47 $4.40 $4.42 $4.39 $4.34
------------------------------------------------------------------------------------------------------------------------------------
Income from investment operations
Net investment income .11(e) .23(e) .22(e) .21(e) .0138 .0667
Net realized and unrealized gain
(loss) on investments (.02) (.17) .05 (.02) .0342 .0515
Total from investment operations .09 .06 .27 .19 .0480 .1182
------------------------------------------------------------------------------------------------------------------------------------
Distributions
Dividends from net investment income (.10) (.20) (.20) (.21) (.0180) (.0682)
------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $4.32 $4.33 $4.47 $4.40 $4.42 $4.39
------------------------------------------------------------------------------------------------------------------------------------
Total Return(b) 2.07%(c) 1.33%(c) 6.23% 4.45% 1.09%(c) 2.98%(c)
------------------------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, including waiver
and reimbursements .59%(c)(d) 1.29%(d) 1.35%(d) 1.44%(d) 0.19%(c) 0.69%(c)
Expenses, excluding waiver
and reimbursements .92%(c)(d) 1.97%(d) 2.26%(d) 2.32%(d) 0.21%(c) 0.77%(c)
Net investment income 2.61%(c) 5.30%(c) 4.94% 4.84% 0.33%(c) 1.26%(c)
------------------------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Ended One
May 31, 2000 November 30, Month Ended Year Ended
Supplemental Data for AllClasses: (unaudited) 1999 1998 1997 11/30/1996 10/31/1996 10/31/1995
-----------------------------------------------------------------------------------------------------------------------------------
Net assets, end of period (000) $14,246 $16,249 $11,000 $10,276 $12,696 $12,735 $8,922
Portfolio turnover rate 191.84% 310.16% 346.67% 343.53% 175.98% 340.62% 222.00%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commencement of offering respective class shares.
(b) Total return does not consider the effects of sales loads and assumes
the reinvestment of all distributions.
(c) Not annualized.
(d) The ratio includes expenses paid through an expense offset arrangement.
(e) Calculated using average shares outstanding during the period.
See Notes to Financial Statements.
20
<PAGE>
FINANCIAL HIGHLIGHTS
BALANCED SERIES
<TABLE>
<CAPTION>
Class A Shares
------------------------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Ended One Month
May 31, 2000 November 30, Ended Year Ended 12/27/1994(a)
Per Share Operating Performance: (unaudited) 1999 1998 1997 11/30/1996 10/31/1996 to 10/31/1995
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $12.34 $12.87 $12.80 $11.81 $11.30 $10.71 $9.52
-----------------------------------------------------------------------------------------------------------------------------------
Income from investment operations
Net investment income .29(e) .54(e) .54(e) .47(e) .0312 .472 .365
Net realized and unrealized
gain on investments -- .61 .40 1.15 .5208 .732 1.185
Total from investment operations .29 1.15 .94 1.62 .552 1.204 1.55
-----------------------------------------------------------------------------------------------------------------------------------
Distributions
Dividends from net investment income (.31) (.54) (.52) (.46) (.0420) (.462) (.36)
Distributions from net realized gain (.67) (1.14) (.35) (.17) -- (.152) --
Total distributions (.98) (1.68) (.87) (.63) (.0420) (.614) (.36)
-----------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $11.65 $12.34 $12.87 $12.80 $11.81 $11.30 $10.71
-----------------------------------------------------------------------------------------------------------------------------------
Total Return(b) 2.45%(c) 10.01%(c) 7.69% 14.24% 4.89%(c) 11.55% 16.32%(c)
-----------------------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Expenses, including waiver
and reimbursements .18%(c)(f) .25%(f) 0.27%(f) 1.10%(f) 0.07%(c) 0.93% 0.37%(c)
Expenses, excluding waiver
and reimbursements .72%(c)(f) 1.30%(f)(g) 1.13%(f)(g) .53%(f) 0.11%(c) 1.59% 1.26%(c)
Net investment income 2.48%(c) 4.41%(c) 4.28% 3.89% 0.26%(c) 4.18% 4.39%(c)
-----------------------------------------------------------------------------------------------------------------------------------
Class B Shares
------------------------------------------------------------------------
Six Months
Ended 5/1/1998(d)
Per Share May 31, 2000 to
Operating Performance: (unaudited) 1999 11/30/1998
------------------------------------------------------------------------
Net asset value,
<S> <C> <C> <C>
beginning of period $12.32 $12.86 $13.14
------------------------------------------------------------------------
Income from investment
operations
Net investment income .25(e) .52(e) .25(e)
Net realized
and unrealized
gain on investments -- .52 (.28)
Total from investment
operations .25 1.04 (.03)
------------------------------------------------------------------------
Distributions
Dividends from net
investment income (.27) (.44) (.25)
Distributions from
net realized gain (.67) (1.14) --
Total distributions (.94) (1.58) (.25)
------------------------------------------------------------------------
Net asset value,
end of period $11.63 $12.32 $12.86
------------------------------------------------------------------------
Total Return(b) 2.07%(c) 9.03% (0.16)%(c)
------------------------------------------------------------------------
Ratios to Average
Net Assets:
Expenses, including
waiver and
reimbursements .50%(c)(f) 1.00%(f) (0.61%(c)(f)
Expenses, excluding
waiver and
reimbursements 1.04%(c)(f) 2.05%(f)(g) 1.37%(c)(f)(g)
Net investment income 2.18%(c) 4.28% 1.98%(c)
--------------------------------------------------------------------------------
Class C Shares
---------------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Ended One Month 7/15/1996(d)
Per Share May 31, 2000 November 30, Ended to
Operating Performance: (unaudited) 1999 1998 1997 11/30/1996 10/31/1996
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $12.31 $12.85 $12.78 $11.79 $11.29 $10.73
---------------------------------------------------------------------------------------------------------------------------
Income from investment
operations
Net investment income .25(e) .52(e) .41(e) .35(e) .0067 .0349
Net realized
and unrealized
gain on investments -- .52 .40 1.15 .5298 .6346
Total from investment
operations .25 1.04 .81 1.50 .5365 .6695
---------------------------------------------------------------------------------------------------------------------------
Distributions
Dividends from net
investment income (.27) (.44) (.39) (.34) (.0365) (.0730)
Distributions from
net realized gain (.67) (1.14) (.35) (.17) -- (.0365)
Total distributions (.94) (1.58) (.74) (.51) (.0365) (.1095)
---------------------------------------------------------------------------------------------------------------------------
Net asset value,
end of period $11.62 $12.31 $12.85 $12.78 $11.79 $11.29
---------------------------------------------------------------------------------------------------------------------------
Total Return(b) 2.06%(c) 9.03% 6.62% 13.14% 4.76%(c) 7.78%(c)
---------------------------------------------------------------------------------------------------------------------------
Ratios to Average
Net Assets:
Expenses, including
waiver and
reimbursements .50%(c)(f) 1.00%(f) 1.26%(f) 2.08%(f) 0.16%(c) 0.62%(c)
Expenses, excluding
waiver and
reimbursements 1.04%(c)(f) 2.05%(f)(g) (2.12%(f)(g) 2.51%(f) 0.20%(c) 0.77%(c)
Net investment income 2.16%(c) 4.28%(c) 3.24% 2.88% 0.17%(c) 0.70%(c)
---------------------------------------------------------------------------------------------------------------------------
Six Months
Ended Year Ended One
May 31, 2000 November 30, Month Ended Year Ended 12/27/1994(a)
Supplemental Data for AllClasses: (unaudited) 1999 1998 1997 11/30/1996 10/31/1996 to 10/31/1995
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net assets, end of period (000) $104,462 $100,130 $57,675 $20,340 $11,406 $10,988 $5,713
Portfolio turnover rate 3.29% 8.30% 131.36% 216.07% 10.05% 187.78% 131.80%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commencement of operations.
(b) Total return does not consider the effects of sales loads and assumes
the reinvestment of all distributions.
(c) Not annualized.
(d) Commencement of offering respective class shares.
(e) Calculated using average shares outstanding during the period.
(f) The ratio includes expenses paid through an expense offset
arrangement.
(g) Prior year ratios have been restated to reflect the reimbursment of
certain other expenses by the Underlying Funds. See Note 2 to the
Financial Statements.
See Notes to Financial Statements.
21
<PAGE>
FINANCIAL HIGHLIGHTS
HIGH YIELD FUND
<TABLE>
<CAPTION>
Class A Shares Class B Shares Class C Shares Class Y Shares
------------------------------------------------------------------------------------------------------------------------------------
Six Months Six Months Six Months Six Months
Ended12/31/1998(a) Ended12/31/1998(a) Ended12/31/1998(a) Ended
Per Share May 31, 2000 to May 31, 2000 to May 31, 2000 to May 31, 2000 5/4/1999(d)
Operating Performance: (unaudited) 11/30/1999 (unaudited) 11/30/1999 (unaudited) 11/30/1999 (unaudited) to 11/30/1999
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $9.72 $10.08 $9.70 $10.08 $9.70 $10.08 $9.73 $10.36
------------------------------------------------------------------------------------------------------------------------------------
Income from
nvestment operations
Net investment income(e) .45 .83 .42 .78 .42 .78 .47 .55
Net realized and
unrealized loss
on investments and
foreign currency holdings (.58) (.34) (.58) (.37) (.57) (.37) (.59) (.62)
Total from
investment operations (.13) .49 (.16) .41 (.15) .41 (.12) (.07)
------------------------------------------------------------------------------------------------------------------------------------
Distributions
Dividends from net
investment income (.47) (.85) (.45) (.79) (.45) (.79) (.50) (.56)
------------------------------------------------------------------------------------------------------------------------------------
Net asset value, end of period $9.12 $9.72 $9.09 $9.70 $9.10 $9.70 $9.11 $9.73
------------------------------------------------------------------------------------------------------------------------------------
Total Return(b)(c) 1.43)%(c) 4.99% (1.80)%(c) 4.22% (1.70)%(c) 4.21% (1.31)%(c) (.59)%
------------------------------------------------------------------------------------------------------------------------------------
Ratios to Average
Net Assets(c):
Expenses, including waiver
and reimbursements .21% 0.46%(c) .50% 0.90%(c) .50% 0.90%(c) -- --
Expenses, excluding waiver
and reimbursements .64% 1.25%(c) .93% 1.45%(c) .93% 1.45%(c .43% .51%
Net investment income 4.73% 8.44% 4.43% 7.92% 4.44% 7.92% 4.91% 5.59%(c)
------------------------------------------------------------------------------------------------------------------------------------
Six Months
Ended
May 31, 2000 12/31/1998(a)
Supplemental Data for All Classes: (unaudited) to 11/30/1999
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Net assets, end of period (000) $31,781 $28,689
Portfolio turnover rate 41.81% 109.57%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commencement of operations.
(b) Total return does not consider the effects of sales loads and
assumes the reinvestment of all distributions.
(c) Not annualized.
(d) Commencement of offering respective class shares.
(e) Calculated using average shares outstanding during the period.
See Notes to Financial Statements.
22
<PAGE>
Notes to Financial Statements (unaudited)
1. Significant Accounting Policies Lord Abbett Investment Trust (the "Trust") is
an open-end management investment company organized as a Delaware business trust
on August 16, 1993. The Trust consists of six separate portfolios. This report
covers four of the portfolios ("Series")-Lord Abbett U.S. Government Securities
Series ("U.S. Government Series"), Lord Abbett Limited Duration U.S. Government
Securities Series ("Limited Duration Series"), Lord Abbett Balanced Series
("Balanced Series") and Lord Abbett High Yield Fund ("High Yield Fund"). The
Balanced Series invests in other funds ("Underlying Funds") managed by Lord,
Abbett & Co. ("Lord Abbett"). Each Series is diversified as defined under the
Investment Company Act of 1940. The financial statements have been prepared in
conformity with accounting principles generally accepted in the United States of
America which permit management to make certain estimates and assumptions at the
date of the financial statements. The following summarizes the significant
account ing policies of the Trust: (a) Securities are valued as follows:
Portfolio securities listed or admitted to trading privileges on any securities
exchange are valued at the last sales price on the exchange on which such
securities are traded as of the close of business on the day the securities are
being valued or, lacking any sales, at the latest price on the basis of current
quotations from dealers (as in the case of bonds), from valuations furnished by
an independent pricing s ervice or, in their absence, fair value as determined
under procedures approved by the Board of Trustees. Securities traded only in
the over-the-counter market are valued at the mean between the bid and asked
prices, except that securities admitted to trading on the NASDAQ National Market
System are valued at the last sales price if it is determined that such price
more accurately reflects the value of such securities. Investments in the
Underlying Funds are valued at the closing net asset value per share of each
Under lying Fund on the day of valuation. Short-term securities maturing in 60
days or less are valued at amortized cost which approximates market value. (b)
It is the policy of the Trust to meet the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute all of its
taxable income. Therefore, no federal income tax provision is required. (c)
Security transactions are accounted for on the date that the securities are
purchased or sold (trade date). Realized gains and losses from investment
transactions are determined on the identified cost basis. Dividend income and
distributions to shareholders are recorded on the ex-dividend date and interest
income is recorded on the accrual basis. Net investment income (other than
distribution and service fees) and realized and unrealized gains or losses are
allocated to each class of shares based upon the relative proportion of net
assets at the beginning of the day. The Trust has elected not to amortize
premiums on taxable bonds, which is consistent with the treatment for federal
income tax purposes. (d) Transactions denominated in foreign currencies are
recorded in the Trust's records at the rate prevailing when earned or incurred.
Asset and liability accounts that are denominated in foreign currencies are
adjusted to reflect current exchange rates. (e) The High Yield Fund may use
forward currency contracts to hedge the risk to the portfolios of unfavorable
movements in foreign exchange rates. A forward foreign currency contract is a
commitment to purchase or sell a foreign currency at a future date (usually the
security transaction settlement date) at a negotiated forward rate. The
contracts are valued daily at forward exchange rates and any unrealized gain or
loss is included in net unrealized appreciation or depreciation of investment
and foreign currency holdings. The gain or loss, if any, arising from the
difference between the settlement value of the forward contract and the closing
of such contracts, is included as net realized gain or loss from investment and
foreign currency transactions. Risks may arise due to a change in the value of
the foreign currency and as a result of the potential inability of the
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to High Yield Fund's
portfolio of investments and the U.S. dollar. (f) Net realized gains and losses
from foreign currency transactions represent net gains and losses from sales and
maturities of forward currency contracts, disposition of foreign currencies,
currency gains and losses realized between the trade and settlement dates on
securities transactions, and the differences between the amount of net
investment income accrued and the U.S. dollar amount actually received. The
effect of changes in foreign currency exchange rates on investments in
securities is not segregated from the effect of changes in market prices of
those securities in the Statements of Operations.
2. Management Fee and Other Transactions with Affiliates The Trust has a
management agreement with Lord Abbett pursuant to which Lord Abbett supplies the
Trust with investment management, research, statistical and advisory services
and pays officers' remuneration and certain other expenses of the Trust. The
management fee is based on average daily net assets for each month at the annual
rate of 0.50% for U.S. Government Series and Limited Duration Series, 0.75% for
Balanced Series and 0.60% for High Yield Fund. The management fee for U.S.
Govern ment Series is reduced to 0.45% for average daily net assets in excess of
$3 billion. Lord Abbett waived its management fee for Limited Duration Series,
Balanced Series and High Yield Fund during the period ended May 31, 2000. At May
31, 2000, the management fee payable was $551,758 for U.S. Government Series.
Each Series of the Trust has Rule 12b-1 plans and agreements with respect to one
or more classes of shares as described below (the "Class A, Class B and Class C
Plans") with Lord Abbett Distributor llc("Distributor"), an affiliate of Lord
Abbett. Each Series makes payments to Distributor which uses or passes on such
payments to authorized institutions. Pursuant to the Class A Plan, the Series
pay Distributor (1) an annual service fee of (a) 0.15% of the average daily net
asset value of shares sold prior to September 1, 1985 and 0.25% of the average
daily net asset value of shares sold on or after that date for U.S. Government
Series and (b) 0.25% of the average daily net asset value of Class A shares of
Limited Duration Series, Balanced Series and High Yield Fund, (2) a one-time
distribution fee of up to 1% on certain qualifying purchases and (3) an annual
distribution fee of 0.10% of the average daily net asset value of Class A
shares. The Class A Plan of Limited Duration Series will not become operative
until the first day of the calendar quarter subsequent to the Series' net assets
reaching $100 million. Pursuant to the Class B Plan of U.S. Government Series,
Balanced Series and High Yield Fund and the Class C Plan of High Yield Fund,
each Series pays Distributor an annual service and distribution fee of 0.25% and
0.75%, respectively, of the average daily net asset value of the shares
outstanding for the class. Pursuant to the Class C Plan of U.S. Government,
Limited Duration and Balanced Series, each Series pays Distributor (1)a service
fee and a distribution fee, at the time such shares are sold, not to exceed
0.25% and 0.75%, respectively, of the net asset value of such shares sold and
(2) at each quarter-end after the first anniversary of the sale of such shares,
a service fee and a distribution fee at an annual rate not to exceed 0.25% and
0.75%, respectively, of the average annual net asset value of such shares
outstanding. Class Y does not have a Rule 12b-1 Plan. At May 31, 2000, the 12b-1
fees payable were $456,996 for U.S. Government Series, $1,600 for Limited
Duration Series, $40,755 for Balanced Series and $17,607 for High Yield Fund.
The Balanced Series has entered into a Servicing Arrangement with each
Underlying Fund pursuant to which each Underlying Fund will pay a portion of the
expenses (excluding management fee, distribution and service fees) of the
Balanced Series in proportion to the average daily value of shares owned by the
Balanced Series.
Distributor received the following commissions on sales of shares of the Trust
after concessions were paid to authorized dealers:
Distributor Dealers'
Series Commissions Concessions
--------------------------------------------------------------------------------
U.S. Government Series-Class A $22,125 $117,283
--------------------------------------------------------------------------------
Limited Duration Series-Class A $ 8,493 $ 36,870
--------------------------------------------------------------------------------
Balanced Series-Class A $47,691 $261,290
--------------------------------------------------------------------------------
High Yield Fund-Class A $14,675 $ 76,484
--------------------------------------------------------------------------------
3. Distributions Dividends from net investment income are declared daily and
paid monthly with respect to U.S. Government Series and Limited Duration Series
and declared and paid monthly with respect to Balanced Series and High Yield
Fund. Taxable net realized gains from investment transactions in excess of any
capital loss carryforward are distributed to shareholders annually. Income and
capital gains distributions are determined in accordance with income tax
regulations which may differ from methods used to determine the corresponding
income and capital gain amounts in accordance with accounting principles
generally accepted in the United States of America.
23
<PAGE>
At May 31, 2000, accumulated net realized loss for financial reporting purposes
was as follows:
--------------------------------------------------------------------------------
U.S. Government Series $634,399,072
--------------------------------------------------------------------------------
Limited Duration Series 2,130,998
--------------------------------------------------------------------------------
Balanced Series 109,524
--------------------------------------------------------------------------------
High Yield Fund 474,552
--------------------------------------------------------------------------------
At May 31, 2000, the capital loss carryforwards were as follows:
Expiration Date
--------------------------------------------------------------------------------
2002 2003 2004 2005 2007
--------------------------------------------------------------------------------
U.S.
Government
Series $344,134,995 $38,717,115 $146,737,465 $43,030,400 $42,249,816
--------------------------------------------------------------------------------
Limited
Duration
Series 1,197,523 142,293 350,445 -- 240,747
--------------------------------------------------------------------------------
High Yield Fund -- -- -- -- 301,197
--------------------------------------------------------------------------------
4. Capital Transactions in shares of beneficial interest (both shares and
dollar amounts) were as follows:
<TABLE>
<CAPTION>
Six Months Ended May 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
U.S. Government Series Limited Duration Series Balanced Series High Yield Fund
Class A Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sales of shares 9,286,049 $ 22,465,804 802,981 $ 3,472,002 891,063 $10,416,240 574,961 $ 5,505,843
Shares issued to
shareholders in
reinvestment of
dividends and
distributions 9,795,016 23,770,026 36,118 156,629 488,766 5,757,214 59,096 561,366
Total 19,081,065 46,235,830 839,099 3,628,631 1,379,829 16,173,454 634,057 6,067,209
------------------------------------------------------------------------------------------------------------------------------------
Shares reacquired (84,706,073) (205,041,947) (974,145) (4,222,903) (832,588) (9,761,309) (228,638) (2,177,788)
Increase (decrease) (65,625,008) $(158,806,117) (135,046) $ (594,272) 547,241 $ 6,412,145) 405,419 $ 3,889,421
------------------------------------------------------------------------------------------------------------------------------------
December 31, 1998*
Year Ended November 30, 1999 to November 30, 1999
------------------------------------------------------------------------------------------------------------------------------------
U.S. Government Series Limited Duration Series Balanced Series High Yield Fund
Class A Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------------------------------------------------------------------------------------------
Sales of shares 57,845,002 $ 147,028,495 2,793,591 $12,299,280 2,552,160 $31,273,012 1,773,480 $17,848,000
Shares issued to
shareholders in
reinvestment of
dividends and
distributions 21,818,128 55,558,445 63,392 279,103 546,253 6,475,063 69,775 688,298
Total 79,663,130 202,586,940 2,856,983 12,578,383 3,098,413 37,748,075 1,843,255 18,536,298
------------------------------------------------------------------------------------------------------------------------------------
Shares reacquired (174,961,950) (443,626,921) (1,759,526) (7,734,753) (729,757) (8,931,216) (389,093) (3,820,793)
Increase (decrease) (95,298,820) $(241,039,981) 1,097,457 $ 4,843,630) 2,368,656 $28,816,859) 1,454,162 $14,715,505
------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended May 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
U.S. Government Series Balanced Series High Yield Fund
Class B Shares Amount Shares Amount Shares Amount
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Sales of shares 1,052,766 $ 2,561,225 240,078 $ 2,803,306 184,312 $ 1,750,889
Shares issued to shareholders in
reinvestment of dividends and distributions 142,889 346,731 83,782 985,467 24,558 233,091
Total 1,195,655 2,907,956 323,860 3,788,773 208,870 1,983,980
----------------------------------------------------------------------------------------------------------------------------------
Shares reacquired (3,108,085) (7,533,712) (130,968) (1,528,701) (167,494) (1,595,663)
Increase (decrease) (1,912,430) $(4,625,756) 192,892 $ 2,260,072) 41,376 $ 388,317
----------------------------------------------------------------------------------------------------------------------------------
December 31, 1998*
Year Ended November 30, 1999 to November 30, 1999
------------------------------------------------------------------------------------------------------------------------------------
U.S. Government Series Balanced Series High Yield Fund
Class B Shares Amount Shares Amount Shares Amount
------------------------------------------------------------------------------------------------------------------------------------
Sales of shares 6,206,611 $ 15,835,695 696,037 $ 8,488,941 1,021,780 $10,214,135
Shares issued to shareholders in
reinvestment of dividends and distributions 343,631 875,956 66,423 788,288 27,138 266,803
Total 6,550,242 16,711,651 762,460 9,277,229 1,048,918 10,480,938
------------------------------------------------------------------------------------------------------------------------------------
Shares reacquired (4,118,711) (10,483,992) (91,703) (1,130,578) (161,478) (1,603,737)
Increase 2,431,531 $ 6,227,659) 670,757 $ 8,146,651) 887,440 $ 8,877,201
------------------------------------------------------------------------------------------------------------------------------------
Six Months Ended May 31, 2000
------------------------------------------------------------------------------------------------------------------------------------
U.S. Government Series Limited Duration Series Balanced Series High Yield Fund
Class C Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------------------------------------------------------------------------------------------
Sales of shares 1,239,622 $ 3,011,603 106,357 $ 459,409 241,964 $ 2,847,520 143,200 $1,383,089
Shares issued to
shareholders in
reinvestment of
dividends and
distributions 508,792 1,237,103 9,047 39,109 98,667 1,159,558 21,125
200,513
Total 1,748,414 4,248,706 115,404 498,518 340,631 4,007,078 164,325 1,583,602
------------------------------------------------------------------------------------------------------------------------------------
Shares reacquired (8,202,729) (19,912,846) (429,670) (1,850,928) (226,470) (2,634,768) (75,671) (716,357)
Increase (decrease) (6,454,315) $(15,664,140) (314,266) $(1,352,410) 114,161 $ 1,372,310) 88,654 $ 867,245
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
24
<PAGE>
<TABLE>
<CAPTION>
December 31, 1998*
Year Ended November 30, 1999 to November 30, 1999
------------------------------------------------------------------------------------------------------------------------------------
U.S. Government Series Limited Duration Series Balanced Series High Yield Fund
Class C Shares Amount Shares Amount Shares Amount Shares Amount
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sales of shares 3,744,749 $ 9,302,199 1,153,772 $ 5,065,731 679,267 $ 8,283,098 638,634 $6,427,103
Shares issued
to shareholders in
reinvestment of
dividends and
distributions 1,538,413 3,935,839 29,408 129,416 90,448 1,070,276 22,025 216,609
Total 5,283,162 13,238,038 1,183,180 5,195,147 769,715 9,353,374 660,659 6,643,712
------------------------------------------------------------------------------------------------------------------------------------
Shares reacquired (17,811,371) (45,356,630) (999,252) (4,374,025) (173,289) (2,106,140) (48,021) (468,700)
Increase (decrease) (12,528,209) $(32,118,592) 183,928 $ 821,122) 596,426 $ 7,247,234) 612,638 $6,175,012
------------------------------------------------------------------------------------------------------------------------------------
May 4, 1999**
Six Months Ended May 31, 2000 to November 30, 1999
------------------------------------------------------------------------------------------------------------------------------------
High Yield Fund
Class Y Shares Amount Shares Amount
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sales of shares - $ - 110 $1,134
Shares issued to shareholders in
reinvestment of dividends and distributions 6 57 5 50
Increase 6 $ 57 115 $1,184
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
There was no capital stock activity for Class P shares during the period.
* Commencement of Operations.
** Commencement of offering respective class shares.
At May 31, 2000, paid in capital aggregated $1,990,476,562 for U.S. Govern ment
Series, $16,261,352 for Limited Duration Series, $108,233,833 for Balanced
Series and $34,913,942 for High Yield Fund.
5. Portfolio Securities Purchases and sales of investment securities (other than
short-term investments) were as follows:
Series Purchases Sales
--------------------------------------------------------------------------------
U.S. Government Series $3,132,847,541 $3,547,963,154
--------------------------------------------------------------------------------
Limited Duration Series $ 35,841,820 $ 36,566,412
--------------------------------------------------------------------------------
Balanced Series $ 7,391,662 $ 3,402,900
--------------------------------------------------------------------------------
High Yield Fund $ 16,059,067 $ 12,318,121
--------------------------------------------------------------------------------
As of May 31, 2000, net unrealized appreciation, unrealized appreciation and
unrealized depreciation of invest ments based on cost for federal income tax
purposes were as follows:
Net Unrealized Unrealized Unrealized
Series Depreciation Appreciation Depreciation
--------------------------------------------------------------------------------
U.S. Government Series $(50,185,172) $2,872,908 $(53,058,080)
--------------------------------------------------------------------------------
Limited Duration Series $ (136,029) $ 57,464 $ (193,493)
--------------------------------------------------------------------------------
Balanced Series $ (3,754,413) $1,170,877 $ (4,925,290)
--------------------------------------------------------------------------------
High Yield Fund $ (2,643,463) $ 233,002 $ (2,876,465)
--------------------------------------------------------------------------------
The cost of investments for federal income tax purposes is substantially the
same as that used for financial reporting purposes.
At May 31, 2000, High Yield Fund had the following outstanding forward foreign
currency contract:
Value at
Settlement Date
Foreign ------------------------------
Currency Current Unrealized
Contract Type Local Currency U.S. Dollars Value Appreciation
--------------------------------------------------------------------------------
Euro,
expiring
9/25/2000 Sell (150,000) $(147,570) $(141,645) $5,925
--------------------------------------------------------------------------------
The Trust may lend its securities to member banks of the Federal Reserve System
and to registered broker-dealers approved by the Trust. The loans are
collateralized at all times by cash and/or U.S. Treasury securities in an amount
at least equal to the market value of the securities loaned.
As of May 31, 2000, the value of securities loaned for U.S. Government Series
was $29,821,305. These loans were collateralized by cash of $29,998,330. Income
from securities lending of $38,466 is included in interest income on the
Statement of Operations. The interest income earned on the securities loaned is
accounted for in the same manner as other interest income.
6. Trustees' Remuneration The Trustees of the Trust associated with Lord Abbett
and all officers of the Trust receive no compensation from the Trust for acting
as such. Outside Trustees' fees and retirement costs are allocated among all
funds in the Lord Abbett group based on the net assets of each fund. Trustees'
fees payable at May 31, 2000, under a deferred compensation plan, were $815,552.
7. Expense Reduction The Trust has entered into an arrangement with its transfer
agent whereby credits realized as a result of uninvested cash balances were used
to reduce a portion of each Series' expenses.
Copyright (C) 2000 by Lord Abbett Investment Trust, 90 Hudson Street, Jersey
City, NJ 07302-3973 This publication, when not used for the general information
of shareholders of Lord Abbett Investment Trust, is to be distributed only if
preceded or accompanied by a current prospectus which includes information
concerning each Series' investment objective and policies, sales charges and
other matters. There is no guarantee that the forecasts contained within this
publication will come to pass. All rights reserved. Printed in the U.S.A.
<PAGE>
INVESTING IN THE
LORD ABBETT
FAMILY OF FUNDS
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
GROWTH
---------------------------------------------------------------------------------------------------------------------------
INCOME
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Aggressive Growth Funds Growth & Balanced Fund Income Funds Tax-Free Money
Growth Fund Income Funds Income Funds Market Fund
Growth Large-Cap Research Fund - Balanced World Bond- National U. S. Government
Opportunities Growth Fund Large-Cap Series** Debenture Series California Securities Money
Fund Research Fund- Series Global Fund - Connecticut Market Fund + ++
Small-Cap Value Growth & Income Series Florida
Series Income Series High Yield Fund Georgia
Alpha Series* Affiliated Fund Bond-Debenture Hawaii
Developing International Fund Michigan
Growth Fund Series Limited Duration Minnesota
Lord Abbett Mid-Cap U. S. Government Missouri
Developing Value Fund Securities Series+ New Jersey
Growth Fund Global Fund- U. S. Government) New York
is closed to Equity Series Securities Series+ Pennsylvania
new investors. Texas
Washington
</TABLE>
Finding the right mutual fund can be confusing. At Lord, Abbett & Co., we
believe your investment professional provides value in helping you identify and
under stand your investment objectives and, ultimately, offering fund recom
mendations suitable for your individual needs.
This publication, when used as sales literature, is to be distributed only if
preceded or accompanied by a current prospectus for the fund(s) covered by this
report.
For more complete information about any Lord Abbett fund, in cluding risks,
charges and ongoing expenses, call your investment professional or Lord Abbett
Distributor LLC at 800-874-3733 for a prospectus. Read it carefully before
investing.
The Lord Abbett Family of Funds lets you access more than 30 portfolios designed
to meet a variety of investment needs.
Diversification. You and your investment professional can diversify your
investments between equity and income funds.
Flexibility. As your investment goals change, your investment professional
can help you reallocate your portfolio.
You may reallocate assets among our funds at any time. Speak with your
investment professional to help you customize your investment plan.
Numbers to Keep Handy
For Shareholder Account or Statement Inquiries: 800-821-5129
For Literature Only: 800-874-3733
24-Hour Automated Shareholder
Service Line: 800-865-7582
Visit Our Web Site:
www.lordabbett.com
** Lord Abbett Securities Trust - Alpha Series is a fund of funds investing in
shares of Lord Abbett Developing Growth Fund, Lord Abbett Research Fund -
Small-Cap Value Series and Lord Abbett Securities Trust - International
Series.
** Lord Abbett Balanced Series is a fund of funds investing in shares of
certain other Lord Abbett funds.
+ An investment in this Fund is neither insured nor guaranteed by the U.S.
Government.
++ An investment in this Fund is not insured or guaranteed by the Federal
Deposit Insurance Corporation or any other government agency. Although the
Fund seeks to preserve the value of your investment at $1.00 per share, it
is possible to lose money by investing in the Fund. This Fund is managed to
maintain and has maintained its stable $1.00 price per share.
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Lord Abbett mutual fund shares are distributed by:
LORD ABBETT DISTRIBUTOR LLC
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90 Hudson Street o Jersey City, New Jersey 07302-3973
LAIT-3-500
(7/00)
