<PAGE>
[LOGO] ALLEGHANY FUNDS
-------
ANNUAL
- -------------------------------------------------------------------------------
REPORT
- -------------------------------------------------------------------------------
ALLEGHANY/MONTAG & CALDWELL GROWTH FUND
ALLEGHANY/CHICAGO TRUST GROWTH & INCOME FUND
ALLEGHANY/CHICAGO TRUST TALON FUND
ALLEGHANY/CHICAGO TRUST SMALL CAP VALUE FUND
ALLEGHANY/VEREDUS AGGRESSIVE GROWTH FUND
ALLEGHANY/BLAIRLOGIE INTERNATIONAL DEVELOPED FUND
ALLEGHANY/BLAIRLOGIE EMERGING MARKETS FUND
ALLEGHANY/MONTAG & CALDWELL BALANCED FUND
ALLEGHANY/CHICAGO TRUST BALANCED FUND
ALLEGHANY/CHICAGO TRUST BOND FUND
ALLEGHANY/CHICAGO TRUST MUNICIPAL BOND FUND
ALLEGHANY/CHICAGO TRUST MONEY MARKET FUND
OCTOBER 31, 1999
<PAGE>
[LOGO] ALLEGHANY FUNDS
Dear Fellow Shareholder,
As 1999 draws to a close, let me take this opportunity to thank you for
entrusting us to meet your investment needs.
This year has brought continued success to Alleghany Funds, both in our
investment returns and in our continuing evolution as a growing mutual fund
family. The addition of our two international funds, Alleghany/Blairlogie
International Developed Fund and Alleghany/Blairlogie Emerging Markets Fund, has
expanded our investment vistas into foreign lands, while Alleghany/Chicago Trust
Small Cap Value Fund and Alleghany/Veredus Aggressive Growth Fund have broadened
our investment options to include the full spectrum of small cap stocks.
In addition, we have completely revamped our Web site, www.AlleghanyFunds.com.
We view our Web site as an ideal way to share information with you, our
shareholders. On the new site, we have included educational resources and
planning tools to help you with your overall investment portfolio, as well as to
provide extensive details on our Funds. We have even included audio interviews
with our Fund managers as another way to provide you with essential information.
We will continue to explore additional ways in which the Internet and other
electronic communications can better serve your needs.
At the time of this writing, assets in Alleghany Funds have topped $5 billion
for the first time. While this landmark certainly owes a lot to the market
environment of the last few years, it also reflects the tremendous confidence
you have placed in us. We achieved this level of success by adhering to our
stated goal of disciplined, institutional investing, and you can be assured that
this goal has not and will not change going forward. Your trust is our most
important asset, and we will continue to strive to earn that trust as we move
forward into the new millennium.
Sincerely,
/s/ Kenneth C. Anderson
Kenneth C. Anderson
President
ALLEGHANY FUNDS ARE NO-LOAD MUTUAL FUNDS DISTRIBUTED BY PROVIDENT DISTRIBUTORS,
INC., WEST CONSHOHOCKEN, PA 19428-2901. THIS IS NOT AN OFFER TO SELL OR A
SOLICITATION OF AN OFFER TO BUY SHARES OF ANY OF THE FUNDS DESCRIBED. INVESTMENT
RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THIS
INFORMATION MUST BE ACCOMPANIED OR PRECEDED BY A PROSPECTUS.
Shareholder Services 800 992-8151 www.AlleghanyFunds.com
THE CHICAGO TRUST COMPANY - MONTAG & CALDWELL - VEREDUS ASSET MANAGEMENT -
BLAIRLOGIE CAPITAL MANAGEMENT
<PAGE>
CONTENTS
<TABLE>
<S> <C>
SUMMARY INFORMATION 2
-----------------------------------------------------------------
PORTFOLIO MANAGER COMMENTARY:
-----------------------------------------------------------------
ALLEGHANY/MONTAG & CALDWELL GROWTH FUND 5
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST GROWTH & INCOME FUND 6
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST TALON FUND 7
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST SMALL CAP VALUE FUND 8
-----------------------------------------------------------------
ALLEGHANY/VEREDUS AGGRESSIVE GROWTH FUND 9
-----------------------------------------------------------------
ALLEGHANY/BLAIRLOGIE INTERNATIONAL DEVELOPED FUND 10
-----------------------------------------------------------------
ALLEGHANY/BLAIRLOGIE EMERGING MARKETS FUND 11
-----------------------------------------------------------------
ALLEGHANY/MONTAG & CALDWELL BALANCED FUND 12
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST BALANCED FUND 13
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST BOND FUND 14
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST MUNICIPAL BOND FUND 15
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST MONEY MARKET FUND 16
-----------------------------------------------------------------
SCHEDULE OF INVESTMENTS:
-----------------------------------------------------------------
ALLEGHANY/MONTAG & CALDWELL GROWTH FUND 17
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST GROWTH & INCOME FUND 18
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST TALON FUND 19
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST SMALL CAP VALUE FUND 20
-----------------------------------------------------------------
ALLEGHANY/VEREDUS AGGRESSIVE GROWTH FUND 22
-----------------------------------------------------------------
ALLEGHANY/BLAIRLOGIE INTERNATIONAL DEVELOPED FUND 23
-----------------------------------------------------------------
ALLEGHANY/BLAIRLOGIE EMERGING MARKETS FUND 26
-----------------------------------------------------------------
ALLEGHANY/MONTAG & CALDWELL BALANCED FUND 30
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST BALANCED FUND 33
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST BOND FUND 36
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST MUNICIPAL BOND FUND 38
-----------------------------------------------------------------
ALLEGHANY/CHICAGO TRUST MONEY MARKET FUND 41
-----------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES 44
-----------------------------------------------------------------
STATEMENT OF OPERATIONS 48
-----------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS 52
-----------------------------------------------------------------
FINANCIAL HIGHLIGHTS 58
-----------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS 73
-----------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT 80
-----------------------------------------------------------------
</TABLE>
THE CHICAGO TRUST COMPANY
With roots going back to 1887, Chicago Trust
manages portfolios for mutual fund, institutional
and high net worth clients. The firm also provides
investment, trustee and administrative services for
pension, profit sharing and 401(k) plans.
MONTAG & CALDWELL, INC.
Founded in 1945 in Atlanta, Montag & Caldwell is
one of the oldest and most well-respected
investment counseling firms in the Southeast. The
firm manages investments for institutions and
retirement plans, as well as for individual
clients.
VEREDUS ASSET MANAGEMENT LLC
A specialist in small company growth stocks,
Veredus manages institutional accounts, individual
client accounts and mutual funds and is based in
Louisville, Kentucky. The firm was founded by
B. Anthony Weber, a former principal with Fred
Alger & Co., a well-known New York-based growth
stock research and investment firm.
BLAIRLOGIE CAPITAL MANAGEMENT
Based in Edinburgh, Scotland, Blairlogie
specializes in managing international and emerging
market portfolios for institutions and mutual
funds. The firm is a registered investment advisor
in the United States and the United Kingdom.
<PAGE>
ALLEGHANY FUNDS
- ------------------------------------
PERFORMANCE FOR THE FISCAL YEAR ENDED OCTOBER 31, 1999
SUMMARY INFORMATION
<TABLE>
<CAPTION>
ALLEGHANY/CHICAGO TRUST GROWTH &
ALLEGHANY/MONTAG & CALDWELL GROWTH FUND INCOME FUND
CLASS N CLASS I
<S> <C> <C> <C>
TOTAL RETURNS:
One Year................ 29.34% 29.78% 27.71%
Three Year
Average Annual........ 26.84% 27.24% 26.10%
Five Year
Average Annual........ N/A N/A 26.78%
Average Annual
Since Inception....... 28.48% 27.67% 22.71%
Date.................... 11/02/94 06/28/96 12/13/93
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<CAPTION>
as of October 31, 1999 as of October 31, 1999
<S> <C> <C> <C>
COMPANY AND % OF TOTAL NET ASSETS
Procter & Gamble Co............... 5.10% Sun Microsystems, Inc............. 4.73%
Pfizer, Inc....................... 4.77% Sysco Corp........................ 4.01%
MCI WorldCom, Inc................. 4.64% EMC Corp.......................... 3.82%
Coca-Cola Co...................... 4.55% Tellabs, Inc...................... 3.74%
Computer Associates International,
Johnson & Johnson................. 4.39% Inc............................... 3.52%
Bristol-Myers Squibb Co........... 4.12% Cisco Systems, Inc................ 3.48%
Home Depot, Inc................... 4.05% Paychex, Inc...................... 3.39%
Gillette Co....................... 3.91% Illinois Tool Works, Inc.......... 2.97%
McDonald's Corp................... 3.87% General Electric Co............... 2.95%
American International Group,
General Electric Co............... 3.64% Inc............................... 2.92%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALLEGHANY/CHICAGO TRUST TALON FUND ALLEGHANY/CHICAGO TRUST SMALL CAP VALUE FUND
<S> <C> <C>
TOTAL RETURNS:
One Year................ 2.32% N/A
Three Year
Average Annual........ 6.91% N/A
Five Year
Average Annual........ 12.95% N/A
Average Annual
Since Inception....... 13.18% N/A
Date.................... 09/19/94 11/10/98
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<CAPTION>
as of October 31, 1999 as of October 31, 1999
<S> <C> <C> <C>
COMPANY AND % OF TOTAL NET ASSETS
Manpower, Inc..................... 5.69% Gallagher (Arthur J.) & Co........ 3.55%
American Power Conversion Corp.... 5.61% Meredith Corp..................... 3.18%
True North Communications, Inc.... 5.27% Houghton Mifflin Co............... 3.18%
Sensormatic Electronics Corp...... 5.16% AGCO Corp......................... 2.91%
Mentor Graphics Corp.............. 4.22% Milacron, Inc..................... 2.62%
CNF Transportation, Inc........... 3.57% Newport News Shipbuilding, Inc.... 2.52%
Wallace Computer Services, Inc.... 3.52% Commercial Federal Corp........... 2.51%
Saks, Inc......................... 3.52% Cytec Industries, Inc............. 2.50%
Centex Construction Products,
ACNielsen Corp.................... 3.38% Inc............................... 2.50%
Walden Residential Properties,
Scholastic Corp................... 3.33% Inc............................... 2.48%
</TABLE>
- - 2
<PAGE>
<TABLE>
<CAPTION>
ALLEGHANY/BLAIRLOGIE INTERNATIONAL
ALLEGHANY/VEREDUS AGGRESSIVE GROWTH FUND (A) DEVELOPED FUND (B)
CLASS N CLASS I
<S> <C> <C> <C>
TOTAL RETURNS:
One Year................ 92.92% 16.66% 17.12%
Three Year
Average Annual........ N/A 11.21% 11.57%
Five Year
Average Annual........ N/A N/A 9.72%
Average Annual
Since Inception....... 46.29% 10.84% 10.62%
Date.................... 06/30/98 11/30/94 06/08/93
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<CAPTION>
as of October 31, 1999 as of October 31, 1999
<S> <C> <C> <C>
COMPANY AND % OF TOTAL NET ASSETS
JDS Uniphase Corp................. 5.24% WEBS Japan Index Series........... 4.42%
Electroglas, Inc.................. 3.82% Sweden Opal, 18.526%, 04/07/07.... 2.55%
Terayon Communication Systems,
Inc............................. 3.63% Roche Holding AG.................. 1.64%
LaserSight Inc.................... 3.24% Total Fina SA, Class B............ 1.64%
Varian Semiconductor Equipment France Telecom SA................. 1.64%
Associates, Inc................. 3.03% Deutsche Telekom AG............... 1.62%
TriQuint Semiconductor, Inc....... 2.97% Nokia Oyj......................... 1.59%
ANADIGICS, Inc.................... 2.89% Royal Dutch Petroleum Co.......... 1.52%
ANTEC Corp........................ 2.86% Novartis AG....................... 1.50%
Nippon Telegraph & Telephone
PRI Automation, Inc............... 2.72% Corp.............................. 1.39%
Powerwave Technologies, Inc....... 2.72%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALLEGHANY/BLAIRLOGIE EMERGING
MARKETS FUND (C) ALLEGHANY/MONTAG & CALDWELL BALANCED FUND
CLASS N CLASS I CLASS N CLASS I
<S> <C> <C> <C> <C>
TOTAL RETURNS:
One Year................ 32.68% 33.07% 17.83% N/A
Three Year
Average Annual........ (2.59)% (2.27)% 18.78% N/A
Five Year
Average Annual........ (7.11)% (6.85)% N/A N/A
Average Annual
Since Inception....... (7.54)% 2.89% 20.10% N/A
Date.................... 10/20/94 06/01/93 11/02/94 12/31/98
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<CAPTION>
as of October 31, 1999 as of October 31, 1999
<S> <C> <C> <C>
COMPANY AND % OF TOTAL NET ASSETS
Telefonos de Mexico SA, SP ADR.... 4.13% Procter & Gamble Co............... 3.26%
Magyar Tavkozlesi, Rights......... 2.86% Coca-Cola Co...................... 2.94%
Samsung Electronics............... 2.84% Pfizer, Inc....................... 2.83%
Taiwan Fund, Inc.................. 2.64% MCI WorldCom, Inc................. 2.76%
Telecomunicacoes Brasileiras SA, Bristol-Myers Squibb Co........... 2.70%
Pfd Block, SP ADR............... 2.18% Johnson & Johnson................. 2.67%
Winbond Electronic Corp., GDR..... 2.04% General Electric Co............... 2.67%
Compania Anonima Nacional
Telefonos McDonald's Corp................... 2.63%
de Venezuela, ADR............... 1.95% Home Depot, Inc................... 2.55%
Korea Electric Power Corp......... 1.90% U.S. Treasury Bond
Korea Fund........................ 1.73% 8.125%, 08/15/19.................. 2.46%
Turkiye Is Bankasi, Class C....... 1.61%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(a) Prior to December 7, 1999, the performance figures reflected
are those of a predecessor fund, Veredus Growth Fund.
(b) Prior to May 1, 1999, the performance figures reflected are
those of a predecessor fund, PIMCO International Developed
Fund.
(c) Prior to May 1, 1999, the performance figures reflected are
those of a predecessor fund, PIMCO Emerging Markets Fund.
</TABLE>
- 3
<PAGE>
ALLEGHANY FUNDS
- ------------------------------------
PERFORMANCE FOR THE FISCAL YEAR ENDED OCTOBER 31, 1999
SUMMARY INFORMATION -- CONTINUED
<TABLE>
<CAPTION>
ALLEGHANY/CHICAGO TRUST BALANCED FUND ALLEGHANY/CHICAGO TRUST BOND FUND
<S> <C> <C>
TOTAL RETURNS:
One Year................ 17.26% 1.02%
Three Year
Average Annual........ 18.62% 5.79%
Five Year
Average Annual........ N/A 7.54%
Average Annual
Since Inception....... 18.04% 5.78%
Date.................... 09/21/95 12/13/93
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<CAPTION>
as of October 31, 1999 as of October 31, 1999
<S> <C> <C> <C>
COMPANY AND % OF TOTAL NET ASSETS
U.S. Treasury Note, 6.125%,
EMC Corp.......................... 2.98% 08/15/07.......................... 2.98%
Sysco Corp........................ 2.61% Federal National Mortgage Assoc.
Cisco Systems, Inc................ 2.52% 5.625%, 03/15/01.................. 2.98%
U.S. Treasury Note, 5.750%,
Tellabs, Inc...................... 2.36% 08/15/03.......................... 2.97%
General Electric Co............... 2.30% Federal Home Loan Mortgage Corp.
Harley-Davidson, Inc.............. 1.81% 5.750%, 07/15/03.................. 2.94%
U.S. Treasury Bond, 6.000%,
Paychex, Inc...................... 1.81% 02/15/26.......................... 2.84%
U.S. Treasury Note, 6.375%,
Sun Microsystems, Inc............. 1.80% 08/15/02.......................... 2.66%
U.S. Treasury Bond, 6.250%,
Solectron Corp.................... 1.79% 08/15/23.......................... 2.20%
American International Group,
Inc............................. 1.75% Federal National Mortgage Assoc.
Pool# 442329, 6.500%,
10/01/28...................... 2.06%
Federal Home Loan Mortgage Corp.
Gold Pool# E00619, 6.500%,
01/01/14...................... 2.04%
Province of Mendoza
Collateral Oil Royalty Note
10.000%, 07/25/02............... 2.03%
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ALLEGHANY/CHICAGO TRUST MUNICIPAL BOND FUND
<S> <C> <C>
TOTAL RETURNS:
One Year................ (1.77)%
Three Year
Average Annual........ 3.11%
Five Year
Average Annual........ 4.42%
Average Annual
Since Inception....... 3.40%
Date.................... 12/13/93
</TABLE>
TOP TEN HOLDINGS
<TABLE>
<CAPTION>
as of October 31, 1999
<S> <C> <C> <C>
COMPANY AND % OF TOTAL NET ASSETS
Green Bay, Series A, G.O. Kentucky State Turnpike Authority
5.100%, 04/01/00................ 2.92% Economic Development Revenue
King County, Series A, G.O. 5.700%, 01/01/03................ 2.10%
5.800%, 01/01/04................ 2.87% State of New Jersey Transportation
Salt River Project Electric System Trust Fund Revenue, Series A
Revenue Refunding, Series A Escrowed to Maturity
5.500%, 01/01/05................ 2.70% 5.200%, 12/15/00.................. 2.06%
San Francisco City & County
Commonwealth of Puerto Rico Airports
Revenue Series A, G.O. Series 23-A
6.500%, 07/01/03................ 2.49% 5.500%, 05/01/10.................. 2.06%
Clark County, Nevada School Utah State Building Ownership
District, G.O. Authority
6.400%, 06/15/06................ 2.21% Lease Revenue, Series A, State
State of Mississippi, Series I Facilities Master Lease PG-C
5.750%, 11/01/09................ 2.12% 5.500%, 05/15/11.................. 2.05%
</TABLE>
- - 4
<PAGE>
ALLEGHANY FUNDS
- --------------------------------
ALLEGHANY/MONTAG & CALDWELL GROWTH FUND
PORTFOLIO MANAGER COMMENTARY OCTOBER 31, 1999
[PHOTO]
RONALD E. CANAKARIS, CFA
Q How has the Fund performed during the last year?
A Despite a volatile economy and rocky market, Alleghany/Montag & Caldwell
Growth Fund, Class N and Class I, showed increases of 29.34% and 29.78%,
respectively, for the 12 months ended October 31, 1999. During this same time
period, the Standard & Poor's-Registered Trademark- 500 Stock Index
(S&P-Registered Trademark- 500 Index) recorded investment returns of 25.67%.
We attribute the Fund's ability to outperform the benchmark to the strength
in the portfolio's technology stocks offsetting weakness in certain consumer
and health care issues.
Q How has the market and economy affected the Fund's performance?
A While the majority of stock prices have been down since the end of
March 1999, the large-cap segment of the stock market as measured by the
S&P-Registered Trademark- 500 Index has essentially fluctuated in a trading
range over the past six months. This trading range has been supported by
better than expected corporate profits but held back by higher interest
rates. Until it is evident to investors that the Federal Reserve has
succeeded in slowing the economy to a sustainable and more moderate rate of
growth with continued low inflation, it is likely that this trading range
will persist.
During the year, we continued to favor the shares of consumer global growth
companies, well-positioned pharmaceutical and medical device companies and
high-quality, high-growth technology enterprises that have staying power.
While some of the Fund's holdings in consumer global growth companies
remained weak, we believe a significant pick-up in earnings growth may occur
for these high-quality companies as we head into the new millennium.
Research-driven pharmaceutical and medical device companies should perform
better in the period ahead because they offer an attractive combination of
value and double-digit earnings growth prospects. Selected technology
holdings remain attractive as global industry conditions improve and the
build-out of the Internet further stimulates product demand.
Q What is your outlook?
A We believe the Federal Reserve will be successful in its efforts and that the
stock market will eventually exit the current period of consolidation and
move to higher levels. Meanwhile, we are maintaining some cash reserves and
using them to take advantage of attractive buying opportunities as they
present themselves.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PORTFOLIO ALLOCATION BY MARKET SECTOR
<S> <C>
Technology 18%
Other Common Stocks 19%
Consumer Non-Durables 15%
Health Care Services 9%
Finance 8%
Retail 8%
Telecommunications 7%
Cash and Other Net Assets 6%
Food and Beverage 5%
Medical Supplies 5%
</TABLE>
ALLEGHANY/MONTAG & CALDWELL
GROWTH FUND--CLASS N
GROWTH OF $10,000
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
S&P-REGISTERED TRADEMARK- 500 INDEX LIPPER GROWTH FUND INDEX ALLEGHANY/MONTAG & CALDWELL
GROWTH FUND CLASS N SHARES
<S> <C> <C> <C>
11/94 $10,000 $10,000 $10,000
4/95 $11,046 $10,699 $10,999
10/95 $12,641 $12,398 $13,187
4/96 $14,380 $13,789 $15,065
10/96 $15,685 $14,498 $17,131
4/97 $17,992 $15,733 $19,245
10/97 $20,720 $18,617 $22,925
4/98 $25,381 $21,995 $27,690
10/98 $25,277 $21,199 $27,027
4/99 $30,916 $26,225 $33,408
10/99 $31,761 $27,416 $34,958
</TABLE>
THIS CHART COMPARES A $10,000 INVESTMENT MADE IN CLASS N SHARES OF THE FUND ON
ITS INCEPTION DATE TO $10,000 INVESTMENTS MADE IN THE INDICES (S&P-REGISTERED
TRADEMARK- 500 INDEX AND LIPPER GROWTH FUND INDEX) ON THAT DATE. ALL DIVIDENDS
AND CAPITAL GAINS ARE REINVESTED. FURTHER INFORMATION RELATING TO THE FUND'S
PERFORMANCE, INCLUDING EXPENSE REIMBURSEMENTS, IS CONTAINED IN THE PROSPECTUS
AND ELSEWHERE IN THIS REPORT. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
PERFORMANCE. INDICES ARE UNMANAGED AND INVESTORS CANNOT INVEST IN THEM.
- 5
<PAGE>
ALLEGHANY FUNDS
- ------------------------------------
ALLEGHANY/CHICAGO TRUST GROWTH & INCOME FUND
PORTFOLIO MANAGER COMMENTARY OCTOBER 31, 1999
[PHOTO]
BERNARD F. MYSZKOWSKI, CFA
Q How has the Fund performed over the past year?
A For the fiscal year ended October 31, 1999, Alleghany/Chicago Trust Growth &
Income Fund produced a total return of 27.71%. In comparison, the benchmark
S&P-Registered Trademark- 500 Index returned 25.67%, while our peer group,
the Lipper Multi-Cap Growth Index, returned 39.77%.
Q What were the major influences on Fund performance over the past year?
A The Fund's emphasis on technology had a positive impact on performance during
much of the year. Despite the volatile market, the tech-heavy NASDAQ was a
bright spot. With a large percentage of the Fund in the technology sector, we
were able to offset the weakness in the market as a whole. Our positions in
Cisco Systems, Inc. (3.5% of net assets), EMC Corp. (3.8%), and Sun
Microsystems, Inc. (4.7%) were especially noteworthy.
Carnival Corp. (2.0%), the cruise line, was a new addition to the portfolio.
Our research indicated this was a well-run company with good potential for
growth. The strong economy should lead to increased spending on luxury items
and travel.
Q Were there any sectors that negatively influenced the Fund during the year?
A Because of concerns about the Industry's growth potential and an uncertain
regulatory landscape, the Fund reduced its exposure to the health care
industry. Health Management Associates, Inc. and Omnicare, Inc. were both
fully divested. We sold Omnicare as it came under pressure from all of the
questions in Washington regarding the HMO industry. It also fell below our
market limitation of $2 billion. With both holdings, we were able to divest
before any negative implications affected the Fund.
Q What is your outlook for the end of 1999 and the new millennium?
A As 1999 ends, we continue to be optimistic about the economic climate. We
anticipate S&P-Registered Trademark- 500 companies will post attractive
earnings, giving the market some positive news on which to focus. We believe
the portfolio is in excellent shape to carry us through the rest of this year
and into the 21st century.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PORTFOLIO ALLOCATION BY MARKET SECTOR
<S> <C>
Other Common Stocks 24%
Technology 23%
Finance 13%
Consumer Durables 8%
Cash and Other Net Assets 8%
Consumer Non-Durables 6%
Telecommunications 6%
Capital Goods 4%
Food and Beverage 4%
Health Care Services 4%
</TABLE>
ALLEGHANY/CHICAGO TRUST
GROWTH & INCOME FUND
GROWTH OF $10,000
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
S&P-REGISTERED TRADEMARK- 500 INDEX LIPPER MULTI-CAP GROWTH INDEX ALLEGHANY/CHICAGO TRUST
GROWTH & INCOME FUND
<S> <C> <C> <C>
12/93 $10,000 $10,000 $10,000
4/94 $9,745 $9,954 $9,797
10/94 $10,360 $10,365 $10,173
4/95 $11,444 $11,009 $11,231
10/95 $13,096 $13,041 $13,088
4/96 $14,898 $14,748 $14,983
10/96 $16,250 $15,253 $16,619
4/97 $18,641 $15,785 $18,258
10/97 $21,466 $19,178 $20,801
4/98 $26,293 $22,465 $25,536
10/98 $26,185 $20,456 $26,090
4/99 $32,026 $26,458 $32,936
10/99 $32,902 $28,592 $33,321
</TABLE>
THIS CHART COMPARES A $10,000 INVESTMENT MADE IN THE FUND ON ITS INCEPTION DATE
TO $10,000 INVESTMENTS MADE IN THE INDICES (S&P-REGISTERED TRADEMARK- 500 INDEX,
LIPPER MULTI-CAP GROWTH FUND INDEX) ON THAT DATE. ALL DIVIDENDS AND CAPITAL
GAINS ARE REINVESTED. FURTHER INFORMATION RELATING TO THE FUND'S PERFORMANCE,
INCLUDING EXPENSE REIMBURSEMENTS, IS CONTAINED IN THE PROSPECTUS AND ELSEWHERE
IN THIS REPORT. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE.
INDICES ARE UNMANAGED AND INVESTORS CANNOT INVEST IN THEM.
- - 6
<PAGE>
ALLEGHANY FUNDS
- --------------------------------
ALLEGHANY/CHICAGO TRUST TALON FUND
PORTFOLIO MANAGERS COMMENTARY OCTOBER 31, 1999
[PHOTO]
THYRA ZERHUSEN
[PHOTO]
TERRY D. DIAMOND
Q How did Alleghany/Chicago Trust Talon Fund perform during the fiscal year
ended October 31, 1999?
A The Fund produced a total return of 2.32% versus 21.07% for the Fund's
benchmark, the S&P-Registered Trademark- 400 Mid-Cap Index.
Q What factors affected your performance?
A After performing strongly from November 1, 1998 through June 30, 1999, the
stock market weakened considerably in the third calendar quarter in the midst
of rising interest rates, a weakening U.S. dollar and the approaching
uncertainty surrounding Year 2000. While the mid-cap sector benefited in the
second calendar quarter from investors seeking more reasonable valuations
than what were available in the large-cap area, that trend appeared to
diminish or even reverse in the third calendar quarter.
Given the stock market's negative performance in the third calendar quarter,
it is clear that many stocks in the portfolio declined in value. The retail
sector, for example, was particularly disappointing, as investors became
concerned about the slowing economy and the impact of the Internet on
traditional department stores.
Q What is your stock selection criteria, and what meaningful changes have you
made to the Portfolio over the past year?
A Our investment strategy is a bottom-up approach, looking for companies that
are undervalued and inefficiently priced. For example, we believe that
Newbridge Networks Corp. (2.8% of net assets), a maker of telecommunications
equipment, represents attractive value because of its superior technology for
transmitting voice and data at very high speeds over networks. Another
attractive stock is American Power Conversion Corp. (5.6%), a company that
protects computer users ranging from individuals to large corporations from
losing data due to power outages. Its superior product quality and low
production costs have helped the company to gain market share on a consistent
basis. The company also fits another important stock selection criteria in
that its earnings growth rate exceeds its price/ earnings multiple.
Outside of technology, Manpower, Inc. (5.7%), a stock we purchased in the
second calendar quarter, has excellent revenue growth and is expanding
internationally with a particularly strong foothold in Europe. Manpower
provides outsourcing employment services for large multinational companies,
and also provides consulting on local laws and customs regarding wages and
working conditions. True North Communications, Inc. (5.3%), a holding company
for several recently acquired advertising agencies, is another attractive
stock in the portfolio. The company's margins are improving, and it is
benefiting from the boom in Internet advertising.
Q What is your outlook?
A In general, we believe the recent additions to the portfolio possess the
combination of characteristics that we believe position the portfolio:
dedicated management, quality products or services, above-average revenue and
earnings growth, better-than-average balance sheet strength and favorable
industry trends. The portfolio's current price/earnings ratio is 15.5 times
the next four quarters' earnings, while the earnings growth rate is about
19%. The portfolio's debt as a percentage of total capitalization is 25%,
significantly below the average mid-cap stock and the S&P-Registered
Trademark- 500 Index. Consequently, we believe that the Fund contains an
attractively valued selection of stocks.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PORTFOLIO ALLOCATION BY MARKET SECTOR
<S> <C>
Other Common Stocks 26%
Technology 16%
Business Services 16%
Pharmaceuticals 8%
Retail 7%
Telecommunications 6%
Cash and Other Net Assets 6%
Advertising 5%
Electronics 5%
U.S. Government Obligation 3%
Preferred Stock 2%
</TABLE>
ALLEGHANY/CHICAGO TRUST
TALON FUND
GROWTH OF $10,000
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
S&P 400 MID-CAP INDEX ALLEGHANY/CHICAGO LIPPER MID-CAP VALUE FUND
TRUST TALON FUND
<S> <C> <C> <C>
9/94 $10,000 $10,000 $10,000
10/94 $9,921 $10,250 $9,968
4/95 $10,551 $10,766 $10,489
10/95 $12,025 $12,189 $11,451
4/96 $13,695 $14,580 $13,174
10/96 $14,111 $15,420 $13,733
4/97 $15,082 $16,935 $14,475
10/97 $18,721 $20,582 $17,579
4/98 $22,307 $21,320 $19,858
10/98 $19,974 $18,413 $16,281
4/99 $23,738 $19,624 $18,145
10/99 $24,180 $18,840 $17,782
</TABLE>
THIS CHART COMPARES A $10,000 INVESTMENT MADE IN THE FUND ON ITS INCEPTION DATE
TO $10,000 INVESTMENTS MADE IN THE INDICES (S&P-REGISTERED TRADEMARK- 400
MID-CAP INDEX, LIPPER MID-CAP VALUE INDEX) ON THAT DATE. ALL DIVIDENDS AND
CAPITAL GAINS ARE REINVESTED. FURTHER INFORMATION RELATING TO THE FUND'S
PERFORMANCE, INCLUDING EXPENSE REIMBURSEMENTS, IS CONTAINED IN THE PROSPECTUS
AND ELSEWHERE IN THIS REPORT. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
PERFORMANCE. INDICES ARE UNMANAGED AND INVESTORS CANNOT INVEST IN THEM.
- 7
<PAGE>
ALLEGHANY FUNDS
- ------------------------------------
ALLEGHANY/CHICAGO TRUST SMALL CAP VALUE FUND
PORTFOLIO MANAGER COMMENTARY OCTOBER 31, 1999
[PHOTO]
PATRICIA A. FALKOWSKI
Q How did Alleghany/Chicago Trust Small Cap Value Fund perform during the fiscal
year ended October 31, 1999?
A Because the Fund's inception date was slightly less than one year ago, we are
only able to provide return data on a year-to-date basis. Year-to-date, the
Fund produced a total return of --12.32%. In comparison for the same time
frame, the Russell 2000 Index and the Russell 2000 Value Index returned 2.79%
and --4.92%, respectively. While small-cap value as an investment style had
periods of strength during the fiscal year, it continued to lag the larger
market averages such as the S&P-Registered Trademark- 500 Index, which was up
12.03% on a year-to-date basis.
Q What factors affected your performance?
A The period has been markedly difficult for financial services companies
because of the rising interest rate environment. Banks, in particular, are
not able to increase their lending rates as fast as they must boost rates on
deposits. In addition, the interest rate environment suggests a slowdown in
consumer spending, which diminishes lending demand. However, financial
services companies showed some strength at the end of October as it appeared
that interest rates were easing. In addition, Congress passed banking
de-regulation legislation that would put an end to decades-old restrictions
on banking activities.
There were some bright spots in this environment. The portfolio's energy
component, particularly exploration and production companies, have benefited
from the rise in oil prices and the apparent rebound in global economies,
thus boosting potential demand for energy. The hurricanes and tornadoes of
the third quarter, while creating devastating losses, generated a new
business climate for the insurance industry. Currently, one of our favorite
holdings is A.J. Gallagher & Co. (3.5% of net assets), an insurance broker
that is likely to benefit from improved pricing on property and casualty
insurance policies. Another favorite is Houghton-Mifflin Co. (3.2%), a
textbook publisher that is benefiting from the booming population in
school-age children.
Q What is your investment process?
A We select stocks with value and growth in mind. To be considered, a stock has
to be "value" priced, but we are also looking for companies with accelerating
earnings potential. We look for economic and business cycles in which pricing
environments may be improving.
Typically, technology stocks do not fit within our valuation parameters and
they tend to be extremely volatile. They either sell at price/earnings
multiples that are much too high, or, in the case of many Internet companies,
they have not yet turned a profit. However, we did increase our technology
weighting during the quarter, purchasing a semiconductor company and a
manufacturer of computer peripheral equipment.
Q What is your outlook?
A In this segment of the market, investors are seeking companies with
predictable earnings, not just promises. For instance, our specialty chemical
stocks performed well during the first half of the year when the global
recovery became apparent. However, they were sold off in the third quarter
because companies were not receiving the orders as anticipated.
Because growth stock prices are still very high in relation to earnings, we
believe the market will continue to have no tolerance for earnings
disappointments. Because the price/earnings ratio of the Fund is defensive,
at a relatively modest 18 on 1999 earnings and just 12 on 2000 earnings, we
believe that our portfolio is defensive and is not as vulnerable to such
disappointments.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PORTFOLIO ALLOCATION BY MARKET SECTOR
<S> <C>
Other Common Stocks 30%
Finance 21%
Oil and Gas Extraction 11%
Industrial 9%
Electronics 7%
Printing and Publishing 6%
Capital Goods 5%
Retail 5%
Building and Construction 4%
Cash and Other Net Assets 2%
</TABLE>
ALLEGHANY/CHICAGO TRUST
SMALL CAP VALUE FUND
GROWTH OF $10,000
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
RUSSELL 2000 INDEX ALLEGHANY/CHICAGO TRUST LIPPER SMALL CAP VALUE INDEX
SMALL-CAP VALUE FUND
<S> <C> <C> <C>
Nov-98 $10,000 $10,000 $10,000
Jan-99 $11,324 $9,944 $10,458
Apr-99 $11,517 $9,854 $10,499
Jul-99 $11,878 $9,975 $11,247
Oct-99 $11,487 $9,193 $10,223
</TABLE>
THIS CHART COMPARES A $10,000 INVESTMENT MADE IN THE FUND ON ITS INCEPTION DATE
TO $10,000 INVESTMENTS MADE IN THE INDICES (RUSSELL 2000 INDEX, LIPPER SMALL-CAP
VALUE INDEX) ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAINS ARE REINVESTED.
FURTHER INFORMATION RELATING TO THE FUND'S PERFORMANCE, INCLUDING EXPENSE
REIMBURSEMENTS, IS CONTAINED IN THE PROSPECTUS AND ELSEWHERE IN THIS REPORT.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE. INDICES ARE UNMANAGED
AND INVESTORS CANNOT INVEST IN THEM.
- - 8
<PAGE>
ALLEGHANY FUNDS
- --------------------------------
ALLEGHANY/VEREDUS AGGRESSIVE GROWTH FUND
PORTFOLIO MANAGER COMMENTARY OCTOBER 31, 1999
[PHOTO]
B. ANTHONY WEBER
Q How did Alleghany/Veredus Aggressive Growth Fund perform during the fiscal
year ended October 31, 1999?
A The Fund produced a total return of 92.92%. In comparison, the benchmark
Russell 2000 Index returned 14.87% while our peer group, the Lipper Mid-Cap
Growth Index, produced a return of 55.15%.
Q What factors affected the Fund's performance?
A The main reason the Fund outperformed its benchmark and peer group was our
emphasis on technology, particularly what we call "Internet-enabling"
companies. These companies are businesses that can expand the bandwidth of
the Internet's infrastructure. Current modem capacity is wholly inadequate to
tap the unlimited potential of the Internet. As a result, we have been
focusing on fiber-optic components companies such as JDS Uniphase Corp. (5.2%
of net assets), Powerwave Technologies, Inc. (2.7%), TranSwitch Corp. (1.7%),
and E-Tek Dynamics, Inc. (2.0%) that are enabling that bandwidth to be
expanded. Such Internet enabling firms can do well, although e-commerce
companies themselves have been extremely volatile during the period.
Another strong area for the Fund was in specialty health care companies such
as Arthrocare Corp. (1.3%), an orthopedic device company, and CYTYC Corp.
(2.3%), which has developed a test for cervical cancer that is gaining
popularity with doctors across the country. Although large capitalization
health care companies have had a difficult time in 1999 because of concerns
about Medicare expansion, niche companies have done well. In general, we try
to find companies with large market shares and high barriers to entry.
In a period of rising interest rates, consumer stocks typically come under
pressure, and this year was no exception. Consequently, retailers such as
Ames Department Stores, Inc., Gadzooks, Inc. and Genesco, Inc. performed
poorly for us.
Q What percentage of the portfolio is invested in technology?
A Close to 50% at October 31, but that includes several unrelated segments
including semiconductors, semiconductor equipment companies, software, fiber
optics components companies, cable-related and another in miscellaneous
technology. We believe that the Internet is going to change the way we do
business in this country, and we have only begun to scratch the surface.
Recently, Cisco Systems, one of the world's best managed companies, indicated
that it saved $250 million in 1998 because of efficiencies achieved through
its e-commerce activities. That tells you that the Internet is a very
disinflationary force.
Q What is your outlook?
A Despite a drop in the overall market at the end of the Fund's fiscal year, we
are pleased with the portfolio's performance. Typically, small-cap growth
stocks lead the market up as well as down. That was certainly true during
1996-1998, when small-cap growth had some false starts but suffered very
large corrections when the overall market turned down. In contrast, our
portfolio reached new highs despite a 10% correction in the S&P-Registered
Trademark- 500 Index late in the summer. We remain optimistic about the
portfolio as long as the Federal Reserve refrains from aggressively raising
short-term interest rates over the next several months.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PORTFOLIO ALLOCATION BY MARKET SECTOR
<S> <C>
Technology 21%
Electronics 19%
Retail 15%
Computer Software 10%
Communications Equipment 9%
Medical Technologies 7%
Other Common Stocks 7%
Telecommunications 5%
Cash and Other Net Assets 4%
Automotive 3%
</TABLE>
ALLEGHANY/VEREDUS
AGGRESSIVE GROWTH FUND
GROWTH OF $10,000
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
RUSSELL 2000 INDEX ALLEGHANY/VEREDUS LIPPER MID-CAP
AGGRESSIVE GROWTH FUND GROWTH INDEX
<S> <C> <C> <C> <C>
Jun-98 $10,000 $10,000 $10,000
Jul-98 $9,190 $9,190 $9,334
Oct-98 $8,311 $8,620 $8,383
Jan-99 $9,411 $11,090 $10,689
Apr-99 $9,571 $12,710 $10,994
Jul-99 $9,871 $14,310 $11,669
Oct-99 $9,547 $16,630 $13,005
</TABLE>
THIS CHART COMPARES A $10,000 INVESTMENT MADE IN THE FUND ON ITS INCEPTION DATE
TO $10,000 INVESTMENTS MADE IN THE INDICES (RUSSELL 2000 INDEX, LIPPER MID-CAP
GROWTH INDEX) ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAINS ARE REINVESTED.
FURTHER INFORMATION RELATING TO THE FUND'S PERFORMANCE, INCLUDING EXPENSE
REIMBURSEMENTS, IS CONTAINED IN THE PROSPECTUS AND ELSEWHERE IN THIS REPORT.
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE. INDICES ARE UNMANAGED
AND INVESTORS CANNOT INVEST IN THEM.
- 9
<PAGE>
ALLEGHANY FUNDS
- ------------------------------------
ALLEGHANY/BLAIRLOGIE INTERNATIONAL DEVELOPED FUND
PORTFOLIO MANAGER COMMENTARY OCTOBER 31, 1999
[PHOTO]
JAMES SMITH
Q How did the Fund perform during the fiscal year ended October 31, 1999?
A Alleghany/Blairlogie International Developed Fund, Class N and Class I,
returned 16.66% and 17.12%, respectively. In comparison, the MSCI EAFE Index,
the Fund's benchmark, rose 23.03%. The underperformance was primarily due to
the portfolio's heavy weighting in poorly performing European markets.
As of October 31, 1999, about 66.40% of the portfolio was invested in
Continental Europe, versus 65.64% for the EAFE Index. The portfolio's major
overweights within Continental Europe include France, Germany, Norway and
Switzerland as well as the peripheral markets of Ireland and Portugal. While
France and Norway have performed well, Germany and Switzerland have lagged.
However, we believe that these markets will begin to benefit as Europe's
economic growth accelerates.
The peripheral markets such as Ireland and Portugal have been strong in terms
of economic growth and have made large gains from falling interest rates in
Europe as it headed towards the Euro last year. However, Portugal's stock
market, for instance, was negatively associated with Brazil's currency
devaluation. In addition, emerging market fund managers sold their holdings
in Portugal when the country joined the MSCI EAFE Index and was elevated to
developed country status. Yet, we expect gross domestic product growth in
Portugal to be 3% over the next 12 months, while we anticipate corporate
profits may advance by 10%.
Q Where were the bright spots for the portfolio?
A The big gainer was the Japanese stock market, much of which was explained by
the strengthening yen. However, the Japanese authorities are becoming quite
concerned about the rapid appreciation of the yen and have recently tried to
intervene to curb the yen's strength to prevent it from damaging the export
sector. In recent months, the portfolio's holdings increased from 21% to 24%
in Japan, making us slightly overweighted compared to MSCI EAFE. However, we
are concerned that the market may have gotten ahead of itself and are looking
to take some profits and trim our Japanese exposure.
Q Where has the portfolio been underweight?
A One major underweight was in the United Kingdom, where economic growth has
been sluggish. Since the UK has underperformed the rest of Europe, our
underweighting has been a positive for the portfolio.
Q What is the Fund's investment approach?
A The portfolio is highly diversified, holding between 200 and 225 stocks, and
we believe that most of the value that we add comes from being in the right
country, the right currencies and the right sectors. Once those parameters
are established, we will tend to buy the highest quality, most liquid stocks
in that category. Although the advent of Euroland was supposed to create a
focus on bottom-up stock picking, the divergence in returns between countries
such as France and Germany shows that the top down approach is still valid.
Q What is your outlook?
A We believe the international developed markets look quite attractive as the
year comes to an end. Although Europe's stock markets have lagged recently,
partly because investors have shifted their attention to Asia, we believe
that economic growth prospects in Europe are good while Asia has stabilized.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PORTFOLIO ALLOCATION BY MARKET SECTOR
<S> <C>
All Other Common Stocks 32%
Finance 21%
Telecommunications 9%
Electronics 6%
Medical Supplies 6%
Food and Beverage 6%
Utility 5%
Oil and Gas Extraction 5%
Cash and Cash Equivilants 5%
Foreign Index Securities 4%
Preferred Stock 1%
</TABLE>
ALLEGHANY/BLAIRLOGIE
INTERNATIONAL DEVELOPED FUND--CLASS I
GROWTH OF $1,000,000
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
ALLEGHANY/BLAIRLOGIE MSCI EAFE INDEX LIPPER INTERNATIONAL
INTERNATIONAL DEVELOPED FUND INDEX
FUND CLASS I SHARES
<S> <C> <C> <C>
6/93 $1,000,000 $1,000,000 $1,000,000
10/93 $1,074,047 $1,082,035 $1,127,417
4/94 $1,152,572 $1,142,259 $1,209,665
10/94 $1,199,764 $1,191,257 $1,257,133
4/95 $1,214,386 $1,206,077 $1,195,467
10/95 $1,245,267 $1,186,828 $1,251,259
4/96 $1,423,743 $1,343,626 $1,402,596
10/96 $1,373,453 $1,311,105 $1,409,239
4/97 $1,406,182 $1,331,686 $1,532,211
10/97 $1,424,994 $1,371,801 $1,597,597
4/98 $1,729,755 $1,583,573 $1,861,645
10/98 $1,628,811 $1,504,115 $1,671,815
4/99 $1,807,999 $1,733,935 $1,906,711
10/99 $1,907,653 $1,850,568 $2,057,129
</TABLE>
THIS CHART COMPARES A $1,000,000 INVESTMENT MADE IN CLASS I SHARES OF THE FUND
ON ITS INCEPTION DATE TO $1,000,000 INVESTMENTS MADE IN THE INDICES (MSCI EAFE
INDEX, LIPPER INTERNATIONAL FUND INDEX) ON THAT DATE. ALL DIVIDENDS AND CAPITAL
GAINS ARE REINVESTED. FURTHER INFORMATION RELATING TO THE FUND'S PERFORMANCE,
INCLUDING EXPENSE REIMBURSEMENTS, IS CONTAINED IN THE PROSPECTUS AND ELSEWHERE
IN THIS REPORT. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE.
INDICES ARE UNMANAGED AND INVESTORS CANNOT INVEST IN THEM.
- - 10
<PAGE>
ALLEGHANY FUNDS
- --------------------------------
ALLEGHANY/BLAIRLOGIE EMERGING MARKETS FUND
PORTFOLIO MANAGER COMMENTARY OCTOBER 31, 1999
[PHOTO]
JAMES SMITH
Q How did Alleghany/Blairlogie Emerging Markets Fund perform during the fiscal
year ended October 31, 1999?
A For much of 1999, emerging markets performed extremely well, but investors
began taking profits in the summer. In addition, the Federal Reserve raised
short-term interest rates in June and August, which adversely affected world
economies reliant on liquidity. For the 12-month period ended October 31,
1999, Alleghany/ Blairlogie Emerging Markets Fund, Class N and Class I,
produced total returns of 32.68% and 33.07%, respectively. In comparison, the
MSCI Emerging Markets Free Index, the Fund's benchmark, returned 44.63%.
Q How has your investment style performed in the current market?
A We take a top-down investment approach, analyzing the fundamentals of the
country before investing in a specific stock. Because of the tremendous
volatility in emerging markets, we tend to buy the largest, most proven
stocks within that market. However, markets do not always respond to
improving economic fundamentals, such as in Latin America, where the Fund was
overweighted. Although our investments in Mexico performed well, as that
country benefits from its trade relationship with the U.S., some of the
smaller Latin American markets struggled. Even with the sharp rebound in oil
prices, markets in Venezuela and Chile performed poorly. Both markets are now
selling at substantial discounts to the average emerging market.
Q Where have been some recent areas of strong performance?
A Despite a devastating earthquake, Turkey's stock market performed well during
the fiscal year, significantly benefiting the Fund. Investors looked past
this catastrophic event and toward the positive economic developments in the
country, including lower interest rates, the prospect of lower inflation and
government reforms. Greece proved to be another strong market with the
prospect of joining the European Monetary Union and the government's effort
to qualify in part by lowering interest rates.
Q Describe the Asian role in emerging market performance.
A In general, Asian markets rebounded strongly after 1998's Asian-contagion. A
strengthening Japanese yen has helped Asian exports, but the countries remain
volatile. For instance, Malaysia, which was taken out of the emerging markets
index when the government imposed capital controls, fell and then rebounded
sharply once those controls were loosened and MSCI announced that it planned
to reintroduce it to the index. We began to invest in Malaysia in
anticipation of MSCI's actions as well as the country's favorable economic
and stock market fundamentals. However, we are concerned about some of the
better performing Asian markets, not only because stocks have rebounded so
sharply but because last year's reductions in interest rates have bottomed,
suggesting that most of the good news may be behind us.
Q What is your outlook for the remainder of the year and the coming millennium?
A We continue to focus on Latin America, a market that has been out of favor in
1999 as investors rushed to invest in Asian emerging markets. In particular,
Mexico appears attractive, primarily due to its trade connection with the
U.S., as does Venezuela, which is benefiting from rebounding oil prices. In
addition, we believe that Chile is one of the best-run economies in the
region, with corporate profits growing about 20% per year. As a result, we
believe that the value has resurfaced in Latin America, and that the region's
economic troubles are largely behind it.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PORTFOLIO ALLOCATION BY MARKET SECTOR
<S> <C>
All Other Common Stocks 21%
Utility 16%
Finance 14%
Cash and Cash Equivalents 12%
Preferred Stocks 8%
Electronics 7%
Food and Beverages 6%
Metals and Mining 6%
Telecommunications 5%
Building and Construction 4%
Corporate Bonds 1%
</TABLE>
ALLEGHANY/BLAIRLOGIE
EMERGING MARKETS FUND--CLASS I
GROWTH OF $1,000,000
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
ALLEGHANY/BLAIRLOGIE MSCI EMERGING
EMERGING MARKETS MARKETS FREE
FUND CLASS I SHARES INDEX
<S> <C> <C>
6/93 $1,000,000 $1,000,000
10/93 $1,255,222 $1,294,605
4/94 $1,451,778 $1,404,253
10/94 $1,711,690 $1,674,685
4/95 $1,230,100 $1,336,756
10/95 $1,237,065 $1,349,324
4/96 $1,390,904 $1,528,995
10/96 $1,286,283 $1,436,827
4/97 $1,422,569 $1,594,613
10/97 $1,246,546 $1,314,946
4/98 $1,371,644 $1,362,837
10/98 $902,252 $907,486
4/99 $1,160,550 $1,223,940
10/99 $1,200,607 $1,312,393
</TABLE>
THIS CHART COMPARES A $1,000,000 INVESTMENT MADE IN CLASS I SHARES OF THE FUND
ON ITS INCEPTION DATE AND A $1,000,000 INVESTMENT MADE IN THE INDEX (MSCI
EMERGING MARKETS FREE INDEX) ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAINS ARE
REINVESTED. FURTHER INFORMATION RELATING TO THE FUND'S PERFORMANCE, INCLUDING
EXPENSE REIMBURSEMENTS, IS CONTAINED IN THE PROSPECTUS AND ELSEWHERE IN THIS
REPORT. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE. INDICES ARE
UNMANAGED AND INVESTORS CANNOT INVEST IN THEM.
- 11
<PAGE>
ALLEGHANY FUNDS
- ------------------------------------
ALLEGHANY/MONTAG & CALDWELL BALANCED FUND
PORTFOLIO MANAGER COMMENTARY OCTOBER 31, 1999
[PHOTO]
RONALD E. CANAKARIS, CFA
Q How did the Fund perform during the fiscal year, ended October 31, 1999?
A Alleghany/Montag & Caldwell Balanced Fund Class N showed an increase of 17.83%
for the 12 months ended October 31, 1999, and Class I showed an increase of
6.98% for the 10 months ended October 31, 1999. For the 12 months ended
October 31, 1999, the Fund's blended Benchmark (60% S&P-Registered Trademark-
500 Index/40% Lehman Brothers Government Corporate Index) recorded a return
of 14.64%. The Fund outperformed its benchmark index during the quarter
because both its bonds and stocks performed better than their comparative
indices.
Q What factors influenced the Fund's strong performance?
A While the majority of stocks prices have been down since the end of
March 1999, the large-cap segment of the stock market as measured by the
S&P-Registered Trademark- 500 Index has essentially fluctuated in a trading
range over the past six months. This trading range is a result of better than
expected corporate profits sending the market higher counterbalanced by
increasing interest rates reversing any market gains. Until it is evident to
investors that the Federal Reserve (the "Fed") has succeeded in slowing the
economy to a sustainable and more moderate rate of growth with continued low
inflation, it is likely that this trading range will persist.
Q What is your outlook for the near-term and into the millennium?
A In this environment, we continue to favor consumer global growth companies,
well-positioned pharmaceutical and medical device companies and high-quality,
high-growth technology enterprises that have staying power. We believe the
Fed will be successful in its efforts to control inflation and that the stock
market will eventually exit the current period of consolidation and move to
higher levels. Meanwhile, we are maintaining some cash reserves and will use
them to take advantage of attractive buying opportunities as they present
themselves.
As we head into the new millennium, we anticipate a significant pick-up in
earnings growth for several of the Fund's consumer global growth company
holdings that remained weak in the third quarter. Research-driven
pharmaceutical and medical device companies should perform better in the
period ahead because they offer an attractive combination of value and
double-digit earnings growth prospects. Selected technology holdings remain
attractive as global industry conditions improve and the build-out of the
Internet further stimulates product demand.
While we believe the yield on the 30-year Treasury bond will continue to be
around 6.00% over the near term, we believe that interest rates will trend
lower over the longer term. Accordingly, we anticipate taking advantage of
any peaks in interest rates to extend the Fund's duration, which is currently
slightly longer than its benchmark index. With the Fed having acted twice
during 1999 to raise short-term interest rates and the bond market doing part
of the Fed's job by raising long-term rates, we anticipate slower domestic
growth in 2000. This, in combination with low rates of inflation, should
allow interest rates to drift lower.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
<S> <C>
PORTFOLIO ALLOCATION BY MARKET SECTOR
Common Stocks 62%
U.S. Government and Agency Obligations 22%
Corporate Notes and Bonds 11%
Cash and Other Net Assets 3%
Asset-Backed Securities 2%
</TABLE>
ALLEGHANY/MONTAG & CALDWELL
BALANCED FUND--CLASS N
GROWTH OF $10,000
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
40% LEHMAN BROTHERS AGGREGATE LIPPER BALANCED 40% LEHMAN BROTHERS GOVERNMENT ALLEGHANY/MONTAG & CALDWELL
BOND INDEX/60% S&P 500 INDEX FUND INDEX CORPORATE INDEX/60% S&P 500 INDEX BALANCED FUND CLASS N SHARES
<S> <C> <C> <C> <C>
11/94 $10,000 $10,000 $10,000 $10,000
4/95 $10,891 $10,652 $10,909 $10,817
10/95 $12,539 $11,759 $12,229 $12,375
4/96 $13,141 $12,674 $13,228 $13,446
10/96 $14,881 $13,462 $14,238 $14,895
4/97 $15,498 $14,397 $15,561 $16,071
10/97 $17,894 $16,168 $17,469 $18,509
4/98 $21,919 $18,153 $20,055 $20,979
10/98 $21,830 $17,887 $20,519 $21,185
4/99 $24,769 $20,173 $23,209 $24,292
10/99 $25,159 $20,132 $23,537 $24,962
</TABLE>
THIS CHART COMPARES A $10,000 INVESTMENT MADE IN CLASS N SHARES OF THE FUND ON
ITS INCEPTION DATE TO $10,000 INVESTMENTS MADE IN THE INDICES (40% LEHMAN
BROTHERS AGGREGATE BOND INDEX/60% S&P-REGISTERED TRADEMARK- 500 INDEX, 40%
LEHMAN BROTHERS GOVERNMENT BOND INDEX/60% S&P-REGISTERED TRADEMARK- 500 INDEX,
LIPPER BALANCED FUND INDEX) ON THAT DATE. ALL DIVIDENDS AND CAPITAL GAINS ARE
REINVESTED. FURTHER INFORMATION RELATING TO THE FUND'S PERFORMANCE, INCLUDING
EXPENSE REIMBURSEMENTS, IS CONTAINED IN THE PROSPECTUS AND ELSEWHERE IN THIS
REPORT. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE PERFORMANCE. INDICES ARE
UNMANAGED AND INVESTORS CANNOT INVEST IN THEM.
THE BENCHMARK FOR ALLEGHANY/MONTAG & CALDWELL BALANCED FUND CHANGED FROM LEHMAN
BROTHERS AGGREGATE BOND INDEX/S&P-REGISTERED TRADEMARK- 500 INDEX TO LEHMAN
BROTHERS GOVERNMENT CORPORATE INDEX/ S&P-REGISTERED TRADEMARK-500 INDEX. THIS
CHANGE WAS MADE BECAUSE THE FUND INVESTS PRIMARILY IN U.S. GOVERNMENT SECURITIES
AND THIS PROVIDES A BETTER COMPARISON.
- - 12
<PAGE>
ALLEGHANY FUNDS
- --------------------------------
ALLEGHANY/CHICAGO TRUST BALANCED FUND
PORTFOLIO MANAGERS COMMENTARY OCTOBER 31, 1999
[PHOTO]
BERNARD F. MYSKKOWSI, CFA
[PHOTO]
THOMAS J. MARTHALER, CFA
Q How did Alleghany/Chicago Trust Balanced Fund perform during the fiscal year
ended October 31, 1999?
A Despite rocky markets during 1999, the Fund's emphasis on stable asset
allocation and prudent security selection produced a return of 17.26%,
besting its peers in the Lipper Balanced Fund Index which returned 12.56% for
the same period. Strong domestic growth, wage pressure concerns, two Federal
Reserve short-term interest rate increases, and uncertainty about Year 2000,
resulted in a very volatile stock and bond market for the much of the fiscal
year. The push earlier in 1999 towards more value-oriented small-cap stocks
fell out of favor as investors sought the stability of the larger well-known
names.
Q To what do you attribute this strong performance?
A For much of the year, our equity focus has been on consumer growth,
pharmaceutical and medical device companies, as well as the high-growth
technology enterprises that we believe have the potential to show strong
earnings growth despite the volatile market. As the Internet continues its
exponential growth, we see opportunities arising in areas of Internet support
and connectivity companies. Medical device and research-driven pharmaceutical
companies are also on our radar screen as we move into 2000.
Overweights in corporate and mortgage securities, which have outperformed
U.S. Treasury bonds for much of the year, has also benefited the portfolio.
These issues can offer substantially higher yields than Treasury bonds.
Corporate bonds and mortgage-backed securities tend to perform better than
Treasury bonds in a stable or improving economic climate.
Q What is your outlook for the remainder of 1999 and the early part of 2000?
A We believe a 60% equity and 40% fixed income asset allocation will provide
investors with attractive returns in the current market environment. We are
optimistic about the equity markets. Companies in the S&P-Registered
Trademark- 500 Index will likely continue to post attractive earnings,
offering positive news. In light of these expectations, we believe the equity
portion of the Fund is structured to carry us into the next century.
We expect the bellwether 30-year Treasury bond yield to hover around 6.00%
over the near term. The Federal Reserve raised short-term interest rates
twice in the past fiscal year. An additional rate increase in November erased
the liquidity boost that was given to the market in 1998. Although the bond
market has been volatile in 1999, we believe that bonds offer attractive
values at current yields and investors can receive a significant premium over
the rate of inflation.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PORTFOLIO ALLOCATION BY MARKET SECTOR
<S> <C>
Common Stocks 57%
U.S. Government and Agency Obligations 20%
Corporate Notes and Bonds 13%
Cash and Other Net Assets 7%
Asset-Backed Securities 1%
Yankee Bonds 1%
Non-Agency/CMO Mortgage Securities 1%
</TABLE>
ALLEGHANY/CHICAGO TRUST
BALANCED FUND
GROWTH OF $10,000
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
40% LEHMAN BROTHERS AGGREGATE LIPPER BALANCED ALLEGHANY/CHICAGO
BOND INDEX/60% S&P 500 INDEX FUND INDEX TRUST BALANCED FUND
<S> <C> <C> <C>
9/95 $10,000 $10,000 $10,000
4/96 $10,817 $10,751 $10,893
10/96 $11,625 $11,420 $11,847
4/97 $12,708 $12,213 $12,720
10/97 $14,237 $13,715 $14,229
4/98 $17,439 $15,399 $16,362
10/98 $17,368 $15,511 $16,862
4/99 $19,706 $17,494 $19,659
10/99 $20,016 $17,458 $19,772
</TABLE>
THIS CHART COMPARES A $10,000 INVESTMENT MADE IN THE FUND ON ITS INCEPTION DATE
TO $10,000 INVESTMENTS MADE IN THE INDICES (40% LEHMAN BROTHERS AGGREGATE BOND
INDEX/60% S&P-REGISTERED TRADEMARK- 500 INDEX, LIPPER BALANCED FUND INDEX) ON
THAT DATE. ALL DIVIDENDS AND CAPITAL GAINS ARE REINVESTED. FURTHER INFORMATION
RELATING TO THE FUND'S PERFORMANCE, INCLUDING EXPENSE REIMBURSEMENTS, IS
CONTAINED IN THE PROSPECTUS AND ELSEWHERE IN THIS REPORT. PAST PERFORMANCE IS
NOT INDICATIVE OF FUTURE PERFORMANCE. INDICES ARE UNMANAGED AND INVESTORS CANNOT
INVEST IN THEM.
- 13
<PAGE>
ALLEGHANY FUNDS
- ------------------------------------
ALLEGHANY/CHICAGO TRUST BOND FUND
PORTFOLIO MANAGER COMMENTARY OCTOBER 31, 1999
[PHOTO]
THOMAS J. MARTHALER, CFA
Q How did Alleghany/Chicago Trust Bond Fund perform during the fiscal year ended
October 31, 1999?
A For the past 12 months, the Fund's total return was 1.02%. In comparison, the
Lehman Brothers Aggregate Bond Index posted a return of 0.53% for the same
time period while the Fund's peer group, the Lipper Intermediate Investment
Grade Index, produced a total return of 0.29%.
Q To what do you attribute the outperformance during the fiscal year?
A The Fund benefited from having a slightly shorter duration than the benchmark,
which is advantageous in a rising interest rate environment. Since bond
prices move inversely to changes in interest rates, a shorter duration means
that the portfolio is less sensitive to rising interest rates.
In addition, the portfolio has benefited from an overweighting in corporate
and mortgage securities, which have outperformed U.S. Treasury bonds for much
of the fiscal year. Corporates and mortgages offer substantially higher
returns than Treasury bonds. Corporate bonds tend to perform better than U.S.
Treasury bonds in a stable or improving economic climate. In recent months,
which were characterized by mixed signals in the economy, higher quality
bonds such as Motorola, Inc. (1.3% of net assets) and Prudential Insurance
Co. of America (1.2%) performed well, while lower quality bonds such as Kmart
Corp. (1.6%) performed better earlier in 1999 when the economy was
accelerating.
Q What other influences affected the Fund's performance?
A The corporate market was expecting a major increase in issuance during
September in preparation for Year 2000 as companies attempted to get their
financing needs completed before year end. However, issuance was lower than
expected, perhaps because of higher borrowing costs. Mortgages have done well
in a rising interest rate environment because the risk that borrowers will
prepay has diminished.
During the fiscal year, the portfolio's allocation to corporate bonds and
U.S. Treasury bonds increased while mortgages were decreased.
Q What is your outlook?
A We are keenly following the Federal Reserve, which raised short-term interest
rates twice during the fiscal year to 5.25% in an attempt to slow the economy
and reduce inflationary pressures. One further increase in November erased
the liquidity boost that was given to the market in 1998 at the height of the
Asian economic crisis when the Federal Reserve reduced short-term rates three
times to 4.75%. We anticipate yields on the 30-year U.S. Treasury bond to
move in a trading range between 5.75% and 6.25% for the next several months.
Although the bond market was volatile over the last fiscal year, we believe
that bonds offer attractive values at current yields. With U.S. Treasury
bonds offering 6% and high quality corporate bonds and mortgages offering as
much as 7 to 7.5% yields, investors are receiving a significant premium over
the rate of inflation.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PORTFOLIO ALLOCATION BY MARKET SECTOR
<S> <C>
U.S. Government and Agency Obligations 54%
Corporate Notes and Bonds 32%
Cash and Other Net Assets 5%
Yankee Bonds 4%
Non-Agency/CMO Mortgage Securities 3%
Asset-Backed Securities 2%
</TABLE>
ALLEGHANY/CHICAGO TRUST
BOND FUND
GROWTH OF $10,000
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LEHMAN BROTHERS LIPPER INTERMEDIATE ALLEGHANY/CHICAGO
AGGREGATE BOND INDEX INVESTMENT GRADE INDEX TRUST BOND FUND
<S> <C> <C> <C>
12/93 $10,000 $10,000 $10,000
4/94 $9,507 $9,524 $9,682
10/94 $9,535 $9,537 $9,677
4/95 $10,203 $10,121 $10,307
10/95 $11,026 $10,885 $11,117
4/96 $11,085 $10,930 $11,169
10/96 $11,671 $11,465 $11,758
4/97 $11,870 $11,641 $11,972
10/97 $12,709 $12,388 $12,797
4/98 $13,164 $12,771 $13,211
10/98 $13,895 $13,378 $13,778
4/99 $13,990 $13,493 $13,985
10/99 $13,969 $13,416 $13,919
</TABLE>
THIS CHART COMPARES A $10,000 INVESTMENT MADE IN THE FUND ON ITS INCEPTION DATE
TO A $10,000 INVESTMENT MADE IN THE INDICES (LIPPER INTERMEDIATE INVESTMENT
GRADE INDEX, LEHMAN BROTHERS AGGREGATE BOND INDEX) ON THAT DATE. ALL DIVIDENDS
AND CAPITAL GAINS ARE REINVESTED. FURTHER INFORMATION RELATING TO THE FUND'S
PERFORMANCE, INCLUDING EXPENSE REIMBURSEMENTS, IS CONTAINED IN THE PROSPECTUS
AND ELSEWHERE IN THIS REPORT. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE
PERFORMANCE. INDICES ARE UNMANAGED AND INVESTORS CANNOT INVEST IN THEM.
<TABLE>
<CAPTION>
LEHMAN BROTHERS AGGREGATE BOND INDEX
RETURNS
10/31/98 - 10/31/99
- -------------------------------------------------------
<S> <C>
U.S. Government.............................. -1.21%
Corporate.................................... 0.61%
High Yield................................... 4.34%
Mortgage-Backed.............................. 2.99%
Asset-Backed................................. 2.94%
Emerging Markets............................. 21.89%
</TABLE>
- - 14
<PAGE>
ALLEGHANY FUNDS
- --------------------------------
ALLEGHANY/CHICAGO TRUST MUNICIPAL BOND FUND
PORTFOLIO MANAGER COMMENTARY OCTOBER 31, 1999
[PHOTO]
LOIS A. PASQUALE, CFA
Q How did Alleghany/Chicago Trust Municipal Bond Fund perform during the fiscal
year ended October 31, 1999?
A Alleghany/Chicago Trust Municipal Bond Fund's total return was -1.77%. In
comparison, the Lehman Five-Year General Obligation Index, the Fund's
unmanaged benchmark, produced returns of 1.09% while the Fund's peer group,
the Lipper Intermediate Municipal Fund Index, produced a total return
of -1.23%.
On the plus side, the Fund's 12-month dividend yield continues to be strong.
Currently, municipal bonds are yielding up to 90% of comparable taxable U.S.
Treasury bonds, which is relatively attractive on a historical basis.
Q What factors affected your performance?
A The interest rate environment continues to be unfavorable for bonds. When
interest rates rise, bond prices fall, a situation that has dominated
throughout the year. The municipal market experienced further deterioration
as many individual municipal bond prices fell to discounts (less than par,
$1000/bond). For buyers of market discount bonds, the difference between par
and the discount is taxable at ordinary tax rates. To offset this additional
expense, and because this tax liability makes market discount municipal bonds
less attractive, their prices move lower than one would initially expect to
afford additional yield to attract buyers.
Over the fiscal year, we had been extending the Fund's duration to match our
Lipper peer group. That has been a disadvantage in a rising interest rate
environment, since a longer duration portfolio is more sensitive to changes
in interest rates. To some extent, we have compensated by holding a larger
than average percentage in cash equivalents.
With yields on 10-year AA general obligation bonds exceeding 5%, municipal
bonds are attractive, particularly for high-income taxpayers. However, a
major player in the municipal market, the property and casualty insurance
industry, has sustained poor earnings. Therefore, these insurance companies
have not been as active in the market, reducing demand particularly in the
area of the market that we have emphasized - the 8- to 12-year maturity
sector.
While demand is down, so is supply. In a rising interest rate environment,
issuers are reluctant to borrow. With the economy strong and state government
budgets in surplus, they do not need to issue debt. As a result, a light
supply of bonds keeps municipal bond prices firmer than they otherwise would
be.
Q What is your current strategy?
A With the sharp increase in interest rates in the past year, we are paying
particular attention to ensure that the portfolio has good call protection.
Almost all of the securities are either noncallable or possess a 10-year call
feature.
In addition, the portfolio's credit quality is very high at AA1, the second
highest rating given by Moody's Investor Service. Many of the bonds that are
insured to AAA even have underlying A ratings. In this environment, we do not
believe that lower-rated bonds offer sufficient extra yield to compensate for
the additional credit risk.
Q What is your outlook?
A We believe the portfolio's duration, structure, credit quality and sector
diversification is appropriate given current market conditions. Therefore,
our strategy is to hold steady with our current portfolio and to maintain
extra liquidity.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PORTFOLIO ALLOCATION BY QUALITY RATING
<S> <C>
Aaa 43%
Aa 44%
A 7%
Baa 2%
Not Rated 4%
</TABLE>
ALLEGHANY/CHICAGO TRUST
MUNICIPAL BOND FUND
GROWTH OF $10,000
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
LEHMAN BROTHERS FIVE-YEAR ALLEGHANY/CHICAGO LIPPER INTERMEDIATE
GENERAL OBLIGATIONS INDEX TRUST MUNICIPAL BOND FUND MUNICIPAL FUNDS INDEX
<S> <C> <C> <C>
12/93 $10,000 $10,000 $10,000
4/94 $9,782 $9,803 $9,810
10/94 $9,838 $9,808 $9,808
4/95 $10,288 $10,218 $10,316
10/95 $10,855 $10,719 $10,880
4/96 $11,025 $10,811 $10,987
10/96 $11,368 $11,103 $11,369
4/97 $11,548 $11,201 $11,564
10/97 $12,107 $11,673 $12,155
4/98 $12,339 $11,871 $12,419
10/98 $12,897 $12,393 $12,983
4/99 $13,144 $12,561 $13,162
10/99 $13,040 $12,173 $12,823
</TABLE>
THIS CHART COMPARES A $10,000 INVESTMENT MADE IN THE FUND ON ITS INCEPTION DATE
TO $10,000 INVESTMENTS MADE IN THE INDICES (LEHMAN BROTHERS FIVE-YEAR GENERAL
OBLIGATIONS INDEX, LIPPER INTERMEDIATE MUNICIPAL FUNDS INDEX) ON THAT DATE. ALL
DIVIDENDS AND CAPITAL GAINS ARE REINVESTED. FURTHER INFORMATION RELATING TO THE
FUND'S PERFORMANCE, INCLUDING EXPENSE REIMBURSEMENTS, IS CONTAINED IN THE
PROSPECTUS AND ELSEWHERE IN THIS REPORT. PAST PERFORMANCE IS NOT INDICATIVE OF
FUTURE PERFORMANCE. INDICES ARE UNMANAGED AND INVESTORS CANNOT INVEST IN THEM.
- 15
<PAGE>
ALLEGHANY FUNDS
- ------------------------------------
ALLEGHANY/CHICAGO TRUST MONEY MARKET FUND
PORTFOLIO MANAGER COMMENTARY OCTOBER 31, 1999
[PHOTO]
FRED H. SENFT, JR., CFA
Q How did Alleghany/Chicago Trust Money Market Fund perform during the fiscal
year ended October 31, 1999?
A The Fund generated a 4.76% annual yield for the year, slightly outperforming
its benchmark, IBC Donoghue's First Tier Index, which yielded 4.41%.
Q What factors contributed to the Fund's performance?
A First, we maintained a relatively short average maturity, which allowed us to
quickly reinvest when short-term interest rates rose, which occurred three
times this fiscal year. The Federal Reserve, after lowering interest rates a
total of .75% in 1998 to stimulate the U.S. economy, stayed on the sidelines
while the Asian economy recovered. It was not until June 30, 1999 that the
Fed began increasing short-term interest rates and completely reversed the
decreases of 1998 in an effort to stave off inflation.
Second, the Fund invests primarily in commercial paper issued by blue-chip
corporations such as American Express Credit Corp. (4.5% of net assets), Ford
Motor Credit Corp. (5.2%), and General Electric Capital Corp. (4.8%).
Commercial paper generally offers about a quarter percent more in yield
compared with Treasury bills.
Third, our strategy was to use split-rated securities, securities in which
one credit rating agency assigns the issuer its highest short-term debt rate
while other rating agencies assign their second highest rating. While we
believe that the credit risk is minimal, we pick up another 0.17 percentage
points in yield by doing so. In order to qualify for top-tier status, two of
the four national credit rating services must rank a security at their
highest level.
Q Besides commercial paper, what other securities are in the Fund?
A We have Time Deposits, Funding Agreements, Bank Certificates of Deposit and
Repurchase Agreements.
Q How would you assess the Fund's credit quality?
A We are very confident that the securities that we select pose minimal credit
risk. The portfolio draws from an internal list of approved short-term
issuers from which we purchase securities. Each issuer is thoroughly
researched and analyzed by our experienced investment professionals before
being placed on the approved list. In addition, the portfolio is highly
diversified representing a broad range of financial and industrial companies.
Q What is your current outlook?
A At the fiscal year end, investors were concerned that the Fed would continue
to raise short-term interest rates. Although stock and bond markets are
generally adversely affected by rising interest rates, our portfolio is able
to take advantage of rising interest rates by quickly reinvesting in
securities offering these new higher yields if the Fed were to continue the
pattern of increasing short-term rates to battle inflationary pressures.
As the end of the year approaches, the much-anticipated Year 2000 computer
transition from 1999 to 2000 will take place. While we do not expect the
transition to be a major problem, we are managing the Fund for maximum
liquidity as the year draws to a close.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
PORTFOLIO ALLOCATION BY MARKET SECTOR
<S> <C> <C>
Commercial Paper 85 %
Certificate of Deposits 8 %
GIC Within Funding Agreement 3 %
U.S. Government Obligations 3 %
Cash and Other Net Assets 1 %
</TABLE>
- - 16
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/MONTAG & CALDWELL GROWTH FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
COMMON STOCKS - 94.50%
COMPUTER SOFTWARE - 3.58%
2,241,600 Oracle Corp.*........................... $ 106,686,150
--------------
CONSUMER NON-DURABLES - 15.20%
1,300,000 Bestfoods............................... 76,375,000
3,223,000 Gillette Co............................. 116,632,312
1,400,000 Interpublic Group of Companies, Inc..... 56,875,000
1,484,300 Newell Rubbermaid, Inc.................. 51,393,888
1,450,000 Procter & Gamble Co..................... 152,068,750
--------------
453,344,950
--------------
ELECTRICAL - 3.64%
800,000 General Electric Co..................... 108,450,000
--------------
ENTERTAINMENT AND LEISURE - 2.12%
867,200 Carnival Corp........................... 38,590,400
933,500 The Walt Disney Co.*.................... 24,621,062
--------------
63,211,462
--------------
FINANCE - 8.40%
591,900 American Express Co..................... 91,152,600
875,000 American International Group, Inc....... 90,070,313
1,450,000 Wells Fargo Co.......................... 69,418,750
--------------
250,641,663
--------------
FOOD AND BEVERAGE - 4.55%
2,300,000 Coca-Cola Co............................ 135,700,000
--------------
HEALTH CARE SERVICES - 9.16%
1,250,000 Johnson & Johnson....................... 130,937,500
3,600,000 Pfizer, Inc............................. 142,200,000
--------------
273,137,500
--------------
LODGING - 1.92%
1,700,000 Marriott International, Inc.,
Class A............................... 57,268,750
--------------
MEDICAL SUPPLIES - 4.91%
3,068,300 Boston Scientific Corp.*................ 61,749,537
2,448,400 Medtronic, Inc.......................... 84,775,850
--------------
146,525,387
--------------
PHARMACEUTICALS - 4.12%
1,600,000 Bristol-Myers Squibb Co................. 122,900,000
--------------
RESTAURANTS - 3.87%
2,800,000 McDonald's Corp......................... 115,500,000
--------------
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
RETAIL - 8.07%
868,800 Costco Wholesale Corp.*................. $ 69,748,350
1,350,900 Gap, Inc................................ 50,152,162
1,600,000 Home Depot, Inc......................... 120,800,000
--------------
240,700,512
--------------
TECHNOLOGY - 18.20%
900,000 Electronic Arts, Inc.*.................. 72,703,125
1,750,000 Electronic Data Systems Corp............ 102,375,000
858,700 EMC Corp.*.............................. 62,685,100
1,104,500 Hewlett-Packard Co...................... 81,802,031
1,005,700 Intel Corp.............................. 77,847,466
918,800 Microsoft Corp.*........................ 85,046,425
801,000 Solectron Corp.*........................ 60,275,250
--------------
542,734,397
--------------
TELECOMMUNICATIONS - 6.76%
1,613,300 MCI WorldCom, Inc.*..................... 138,390,891
1,000,000 Tellabs, Inc.*.......................... 63,218,750
--------------
201,609,641
--------------
TOTAL COMMON STOCKS..................... 2,818,410,412
--------------
(Cost $2,145,907,426)
INVESTMENT COMPANIES - 4.09%
122,091,658 Bankers Trust Institutional Cash
Management Fund....................... 122,091,658
54,453 Bankers Trust Institutional Treasury
Money Fund............................ 54,453
--------------
TOTAL INVESTMENT COMPANIES.............. 122,146,111
--------------
(Cost $122,146,111)
TOTAL INVESTMENTS - 98.59%........................... 2,940,556,523
--------------
(Cost $2,268,053,537)**
NET OTHER ASSETS AND LIABILITIES - 1.41%............. 41,912,054
--------------
NET ASSETS - 100.00%................................. $2,982,468,577
==============
</TABLE>
- -----------------------------------------------
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is $2,268,053,537.
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $757,875,044
Gross unrealized depreciation.......... (85,372,058)
------------
Net unrealized appreciation............ $672,502,986
============
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 17
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/CHICAGO TRUST GROWTH & INCOME FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
COMMON STOCKS - 92.10%
ADVERTISING - 2.78%
154,737 Omnicom Group, Inc...................... $ 13,616,856
------------
BUSINESS SERVICES - 3.39%
421,768 Paychex, Inc............................ 16,620,295
------------
CAPITAL GOODS - 4.16%
247,000 Pitney Bowes, Inc....................... 11,253,938
228,674 Tyco International Ltd.................. 9,132,668
------------
20,386,606
------------
CHEMICALS - 1.86%
194,527 Praxair, Inc............................ 9,094,137
------------
COMMERCIAL SERVICE - 2.03%
294,147 Ecolab, Inc............................. 9,945,845
------------
CONSUMER DURABLES - 7.60%
213,095 Harley-Davidson, Inc.................... 12,639,197
198,948 Illinois Tool Works, Inc................ 14,572,941
165,316 Johnson Controls, Inc................... 10,042,947
------------
37,255,085
------------
CONSUMER NON-DURABLES - 6.29%
222,822 Cintas Corp............................. 13,418,062
221,142 Newell Rubbermaid, Inc.................. 7,657,042
92,842 Procter & Gamble Co..................... 9,736,805
------------
30,811,909
------------
ELECTRICAL - 2.95%
106,813 General Electric Co..................... 14,479,837
------------
ENTERTAINMENT AND LEISURE - 2.01%
222,000 Carnival Corp........................... 9,879,000
------------
FINANCE - 12.80%
203,368 AFLAC Inc............................... 10,397,189
139,221 American International Group, Inc....... 14,331,062
235,200 Associates First Capital Corp.,
Class A............................... 8,584,800
245,811 Federal Home Loan Mortgage Corp......... 13,289,157
272,276 MBNA Corp............................... 7,521,625
221,054 Schwab (Charles) Corp................... 8,607,290
------------
62,731,123
------------
FOOD AND BEVERAGE - 4.01%
511,073 Sysco Corp.............................. 19,644,368
------------
HEALTH CARE SERVICES - 4.02%
229,895 Cardinal Health, Inc.................... 9,914,222
248,287 Pfizer, Inc............................. 9,807,337
------------
19,721,559
------------
MEDICAL SUPPLIES - 2.11%
434,242 Sybron International Corp. *............ 10,340,388
------------
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
OIL AND GAS EXTRACTION - 1.64%
132,601 Schlumberger Ltd........................ $ 8,030,648
------------
PHARMACEUTICALS - 1.60%
98,502 Merck & Co., Inc........................ 7,837,065
------------
RETAIL - 3.97%
114,948 Kohl's Corp. *.......................... 8,599,547
431,495 Walgreen Co............................. 10,868,280
------------
19,467,827
------------
TECHNOLOGY - 22.72%
230,603 Cisco Systems, Inc. *................... 17,071,828
305,053 Computer Associates
International, Inc.................... 17,235,495
163,580 Computer Sciences Corp.*................ 11,235,901
256,422 EMC Corp. *............................. 18,718,806
114,594 Microsoft Corp. *....................... 10,607,107
176,843 Solectron Corp. *....................... 13,307,436
219,284 Sun Microsystems, Inc. *................ 23,196,136
------------
111,372,709
------------
TELECOMMUNICATIONS - 6.16%
210,443 AES Corp. *............................. 11,876,877
290,021 Tellabs, Inc. *......................... 18,334,765
------------
30,211,642
------------
TOTAL COMMON STOCKS..................... 451,446,899
------------
(Cost $257,704,050)
<CAPTION>
PAR VALUE
- ---------
<C> <S> <C>
REPURCHASE AGREEMENT - 7.72%
$37,861,000 Bank One 4.900%, dated 10/31/99 to be
repurchased on 11/01/99 at $37,876,460
(Collateralized by U.S. Treasury Note
5.375% due 02/15/01; Total Par
$38,379,000).......................... 37,861,000
------------
TOTAL REPURCHASE AGREEMENT.............. 37,861,000
------------
(Cost $37,861,000)
TOTAL INVESTMENTS - 99.82%........................... 489,307,899
------------
(Cost $295,565,050)**
NET OTHER ASSETS AND LIABILITIES - 0.18%............. 880,883
------------
NET ASSETS - 100.00%................................. $490,188,782
============
</TABLE>
- ------------------------------------------------
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is $295,565,050.
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation.......... $202,994,166
Gross unrealized depreciation.......... (9,251,317)
------------
Net unrealized appreciation............ $193,742,849
============
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 18
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/CHICAGO TRUST TALON FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
COMMON STOCKS - 89.26%
ADVERTISING - 5.27%
23,000 True North Communications, Inc.......... $ 927,187
-----------
AUTOMOTIVE - 2.83%
11,000 Magna International, Inc., Class A...... 498,437
-----------
BUILDING AND CONSTRUCTION - 2.59%
50,000 Champion Enterprises, Inc.*............. 456,250
-----------
BUSINESS SERVICES - 15.52%
27,000 ACNielsen Corp.*........................ 594,000
49,000 Information Resources, Inc.*............ 514,500
28,500 Manpower, Inc........................... 1,001,062
28,000 Wallace Computer Services, Inc.......... 619,500
-----------
2,729,062
-----------
CHEMICALS - 1.62%
10,000 Sigma-Aldrich Corp...................... 284,687
-----------
CONSUMER DURABLE GOODS - 4.26%
5,000 Corning, Inc............................ 393,125
32,000 Ingram Micro, Inc.*..................... 356,000
-----------
749,125
-----------
CONSUMER SERVICES - 1.69%
23,000 Sylvan Learning Systems, Inc.*.......... 296,844
-----------
ELECTRICAL - 2.17%
8,500 Thomas & Betts Corp..................... 381,437
-----------
ELECTRONICS - 5.16%
60,000 Sensormatic Electronics Corp.*.......... 907,500
-----------
FINANCE - 3.97%
66,500 Danielson Holdings Corp.*............... 374,063
9,000 Travelers Property Casualty Corp.,
Class A............................... 324,000
-----------
698,063
-----------
PHARMACEUTICALS - 7.57%
19,000 Elan Corp. plc, SP ADR*................. 489,250
24,000 Mylan Laboratories Inc.................. 430,500
8,500 Teva Pharmaceutical Industries Ltd.,
ADR................................... 410,922
-----------
1,330,672
-----------
PRINTING AND PUBLISHING - 4.14%
5,900 R.R. Donnelley & Sons Co................ 143,075
12,500 Scholastic Corp.*....................... 585,156
-----------
728,231
-----------
RETAIL - 6.07%
12,000 Boise Cascade Office Products Corp.*.... 123,000
25,000 Borders Group, Inc.*.................... 325,000
36,000 Saks, Inc.*............................. 618,750
-----------
1,066,750
-----------
TECHNOLOGY - 15.98%
44,000 American Power Conversion Corp.*........ 985,875
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
TECHNOLOGY (CONTINUED)
15,000 Comdisco, Inc........................... $ 302,813
16,000 Diebold, Inc............................ 420,000
92,500 Mentor Graphics Corp.*.................. 742,891
69,500 Robotic Vision Systems, Inc.*........... 264,969
5,000 Tech Data Corp.*........................ 93,906
-----------
2,810,454
-----------
TELECOMMUNICATIONS - 6.85%
24,500 Andrew Corp.*........................... 314,672
10,000 AT&T Corp. - Liberty Media Group,
Class A*.............................. 396,875
25,000 Newbridge Networks Corp.*............... 493,750
-----------
1,205,297
-----------
TRANSPORTATION - 3.57%
19,000 CNF Transportation, Inc................. 628,188
-----------
TOTAL COMMON STOCKS..................... 15,698,184
-----------
(Cost $14,266,328)
PREFFERED STOCK - 2.14%
TELECOMMUNICATIONS - 2.14%
25,000 Loral Space & Communications Ltd........ 376,563
-----------
TOTAL PREFERRED STOCK................... 376,563
-----------
(Cost $353,375)
<CAPTION>
PAR VALUE
- ---------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATION - 2.84%
U.S. TREASURY BILL - 2.84%
$500,000 4.320%, 11/12/99 (A).................... 499,340
-----------
TOTAL U.S. GOVERNMENT OBLIGATION........ 499,340
-----------
(Cost $499,340)
<CAPTION>
SHARES
- ------
<C> <S> <C>
INVESTMENT COMPANY - 3.99%
701,228 Bankers Trust Institutional Cash
Management Fund....................... 701,228
-----------
TOTAL INVESTMENT COMPANY................ 701,228
-----------
(Cost $701,228)
TOTAL INVESTMENTS - 98.23%......................... 17,275,315
-----------
(Cost $15,820,271)**
OTHER NET ASSETS AND LIABILITIES - 1.77%........... 310,723
-----------
NET ASSETS - 100.00%............................... $17,586,038
===========
</TABLE>
- -------------------------------------------------
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is $15,820,271.
(A) Annualized yield at time of purchase.
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation....... $2,509,422
Gross unrealized depreciation....... (1,054,378)
----------
Net unrealized appreciation......... $1,455,044
==========
</TABLE>
ADR American Depositary Receipt
SP Sponsored American Depositary Receipt
ADR
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 19
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/CHICAGO TRUST SMALL CAP VALUE FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
COMMON STOCKS - 98.27%
AEROSPACE AND DEFENSE - 2.52%
35,300 Newport News Shipbuilding, Inc.......... $ 1,072,237
-----------
AUTOMOTIVE - 1.91%
37,600 Hayes Lemmerz International, Inc.*...... 813,100
-----------
BUILDING AND CONSTRUCTION - 4.41%
29,900 Centex Construction Products, Inc....... 1,063,319
24,000 Florida Rock Industries, Inc............ 810,000
-----------
1,873,319
-----------
CAPITAL GOODS - 5.02%
114,900 AGCO Corp............................... 1,235,175
33,900 Terex Corp.*............................ 896,231
-----------
2,131,406
-----------
CHEMICALS - 4.24%
66,100 Olin Corp............................... 913,006
57,100 Schulman (A.), Inc...................... 888,619
-----------
1,801,625
-----------
COMMERCIAL SERVICES - 1.76%
26,600 Bell & Howell Co.*...................... 748,125
-----------
CONSUMER DURABLE GOODS - 2.44%
28,900 The Toro Co............................. 1,036,788
-----------
CONSUMER NON-DURABLES - 4.12%
36,500 Church & Dwight Co., Inc................ 951,281
22,800 Dexter Corp............................. 799,425
-----------
1,750,706
-----------
CONTAINERS AND PACKAGING - 2.14%
46,600 U.S. Can Corp.*......................... 908,700
-----------
ELECTRONICS - 6.70%
16,500 C-Cube Microsystems, Inc.*.............. 735,281
13,100 DuPont Photomasks, Inc.*................ 651,725
21,200 KEMET Corp.*............................ 677,738
19,000 Oak Industries, Inc.*................... 779,000
-----------
2,843,744
-----------
FINANCE - 21.34%
39,000 AMCORE Financial, Inc................... 922,594
54,300 Commercial Federal Corp................. 1,065,637
42,800 Eldorado Bancshares, Inc.*.............. 452,075
51,900 Fidelity National Corp.................. 410,334
43,600 First Charter Corp...................... 831,125
50,200 First Financial Holdings, Inc........... 917,719
29,100 Gallagher (Arthur J.) & Co.............. 1,505,925
23,200 Horrace Mann Educators Corp............. 653,950
31,700 National City Bancorp................... 575,553
84,500 Republic Security Financial Corp........ 710,328
49,200 United Asset Management Corp............ 1,020,900
-----------
9,066,140
-----------
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
FOOD AND BEVERAGE - 3.31%
53,000 Ruddick Corp............................ $ 904,313
29,900 Smucker (J.M.) Co., Class B............. 502,694
-----------
1,407,007
-----------
HEALTH CARE SERVICES - 0.95%
71,000 Coventry Health Care, Inc.*............. 403,812
-----------
INDUSTRIAL - 9.01%
41,200 Cytec Industries, Inc.*................. 1,063,475
67,800 Milacron, Inc........................... 1,114,462
39,700 Regal-Beloit Corp....................... 863,475
48,400 Robbins & Myers, Inc.................... 783,475
-----------
3,824,887
-----------
OIL AND GAS EXTRACTION - 11.28%
28,200 Cal Dive International, Inc.*........... 941,175
60,800 Marine Drilling Cos., Inc.*............. 984,200
41,500 Rowan Cos., Inc.*....................... 645,844
95,100 Santa Fe Snyder Corp.*.................. 820,238
47,900 Valero Energy Corp...................... 880,163
37,000 Veritas DGC, Inc.*...................... 520,313
-----------
4,791,933
-----------
PRINTING AND PUBLISHING - 6.37%
31,900 Houghton Mifflin Co..................... 1,351,763
37,900 Meredith Corp........................... 1,352,556
-----------
2,704,319
-----------
REAL ESTATE INVESTMENT TRUST (REIT) - 2.48%
49,100 Walden Residential Properties, Inc...... 1,052,581
-----------
RETAIL - 4.94%
22,000 AnnTaylor Stores Corp.*................. 936,375
42,800 Casey's General Stores, Inc............. 549,712
18,300 Michaels Stores, Inc.*.................. 611,334
-----------
2,097,421
-----------
TECHNOLOGY - 1.98%
25,100 Graco, Inc.............................. 840,850
-----------
TRANSPORTATION - 0.35%
16,000 Offshore Logistics, Inc.*............... 148,000
-----------
UTILITY - 1.00%
11,200 Peoples Energy Corp..................... 425,600
-----------
TOTAL COMMON STOCKS..................... 41,742,300
-----------
(Cost $43,590,064)
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 20
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/CHICAGO TRUST SMALL CAP VALUE FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
REPURCHASE AGREEMENT - 0.38%
$ 162,000 Bank One 4.900%, dated 10/29/99 to be
repurchased on 11/01/99 at $162,066
(Collateralized by U.S. Treasury Note
5.625%, due 12/31/02; Total Par
$164,000)............................. $ 162,000
-----------
TOTAL REPURCHASE AGREEMENT.............. 162,000
-----------
(Cost $162,000)
TOTAL INVESTMENTS - 98.65%........................... 41,904,300
-----------
(Cost $43,752,064)**
NET OTHER ASSETS AND LIABILITIES - 1.35%............. 573,964
-----------
NET ASSETS - 100.00%................................. $42,478,264
===========
</TABLE>
- -------------------------------------------------
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is $43,764,134.
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation............ $ 1,338,012
Gross unrealized depreciation............ (3,197,846)
-----------
Net unrealized appreciation.............. $(1,859,834)
===========
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 21
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/VEREDUS AGGRESSIVE GROWTH FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
COMMON STOCKS - 95.95%
AIRLINES - 1.29%
161,800 AirTran Holdings, Inc.*................. $ 740,741
-----------
AUTOMOTIVE - 2.61%
35,900 Navistar International Corp.*........... 1,496,581
-----------
COMMUNICATION SERVICES - 2.23%
53,900 Insight Communications Co., Inc.*....... 1,275,072
-----------
COMMUNICATIONS EQUIPMENT - 8.74%
33,900 Antec Corp.*............................ 1,640,972
35,400 DSET Corp.*............................. 621,712
23,750 Polycom, Inc.*.......................... 1,186,016
24,100 Powerwave Technologies, Inc.*........... 1,558,216
-----------
5,006,916
-----------
COMPUTER SOFTWARE - 9.60%
97,300 Acclaim Entertainment, Inc.*............ 690,222
16,600 Business Objects, S.A., SP-ADR*......... 1,194,162
21,300 Concentric Network Corp.*............... 546,478
23,600 Daleen Technologies, Inc.*.............. 691,775
73,100 FileNET Corp.*.......................... 1,208,434
126,500 The 3DO Co.*............................ 952,703
12,200 Timberline Software Corp................ 215,787
-----------
5,499,561
-----------
ELECTRONICS - 19.47%
43,200 ANADIGICS, Inc.*........................ 1,656,450
79,200 Electroglas, Inc.*...................... 2,185,425
11,800 Optical Coating Laboratory, Inc......... 1,267,763
23,100 Sawtek, Inc.*........................... 952,875
21,100 TranSwitch Corp.*....................... 992,359
21,300 TriQuint Semiconductor, Inc.*........... 1,699,341
76,800 Varian Semiconductor Equipment
Associates, Inc.*..................... 1,735,200
109,400 Xicor, Inc.*............................ 663,238
-----------
11,152,651
-----------
INDUSTRIAL - 1.35%
26,400 Kulicke & Soffa Industries, Inc.*....... 775,500
-----------
MEDICAL SOFTWARE - 0.80%
29,100 InfoCure Corp.*......................... 461,053
-----------
MEDICAL SUPPLIES - 0.66%
96,200 Isolyser Co., Inc.*..................... 375,781
-----------
MEDICAL TECHNOLOGIES - 6.81%
10,400 AnthroCare Corp.*....................... 748,800
32,400 Cytyc Corp.*............................ 1,293,975
134,800 LaserSight Inc.*........................ 1,857,712
-----------
3,900,487
-----------
RESTAURANTS - 1.33%
35,500 P.F. Chang's China Bistro, Inc.*........ 762,141
-----------
RETAIL - 14.99%
35,800 American Eagle Outfitters, Inc.*........ 1,533,806
38,100 Ames Department Stores, Inc.*........... 1,208,484
28,000 AnnTaylor Stores Corp.*................. 1,191,750
10,000 BEBE Stores, Inc.*...................... 263,438
63,800 Catherines Stores Corp.*................ 837,375
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
RETAIL (CONTINUED)
27,700 Charlotte Russe Holding, Inc.*.......... $ 388,666
46,700 Charming Shoppes, Inc.*................. 234,230
61,350 Cutter & Buck, Inc.*.................... 1,004,606
115,200 Genesco Inc.*........................... 1,526,400
23,600 Ultimate Electronics, Inc.*............. 396,775
-----------
8,585,530
-----------
TECHNOLOGY - 20.80%
33,200 Asyst Technologies, Inc.*............... 1,282,350
38,900 Ciena Corp.*............................ 1,370,009
94,500 Concurrent Computer Corp.*.............. 1,083,797
14,800 Cymer, Inc.*............................ 546,675
16,800 E-Tek Dynamics, Inc.*................... 1,120,350
14,900 Ibis Technology Corp.*.................. 682,141
18,000 JDS Uniphase Corp.*..................... 3,003,188
6,200 MTI Technology Corp.*................... 105,206
38,800 PRI Automation, Inc.*................... 1,559,275
61,600 Varian, Inc.*........................... 1,158,850
-----------
11,911,841
-----------
TELECOMMUNICATIONS - 5.27%
47,600 Terayon Communication Systems, Inc.*.... 2,079,525
12,800 Tut Systems, Inc.*...................... 427,600
13,800 Verio, Inc.*............................ 512,756
-----------
3,019,881
-----------
TOTAL COMMON STOCKS..................... 54,963,736
-----------
(Cost $44,518,433)
<CAPTION>
PAR VALUE
- ---------
<C> <S> <C>
REPURCHASE AGREEMENT - 5.45%
$3,120,553 Morgan Stanley, Bank of New York
Tri-Party 5.050%, dated 10/29/99 to be
repurchased on 11/01/99 at $3,121,867
(Collateralized by U.S. Treasury Note
4.625%, due 12/31/00; Total Par
$3,149,775)........................... 3,120,553
-----------
TOTAL REPURCHASE AGREEMENT.............. 3,120,553
-----------
(Cost $3,120,553)
TOTAL INVESTMENTS - 101.40%......................... 58,084,289
-----------
(Cost $47,638,986)**
LIABILITIES NET OF CASH AND OTHER ASSETS - (1.40)%.. (802,715)
-----------
NET ASSETS - 100.00%................................ $57,281,574
===========
</TABLE>
- -------------------------------------------------
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is $47,638,986.
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation...... $11,699,771
Gross unrealized depreciation...... (1,254,468)
-----------
Net unrealized appreciation........ $10,445,303
===========
</TABLE>
SP-ADR Sponsored American Depositary Receipt
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 22
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/BLAIRLOGIE INTERNATIONAL DEVELOPED FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
COMMON STOCKS - 90.60%
AUSTRALIA - 5.40%
60,956 Amcor Ltd............................... $ 266,429
74,310 Broken Hill Proprietary Co. Ltd......... 768,129
117,800 Foster's Brewing Group Ltd.............. 313,154
72,054 Leighton Holdings Ltd................... 261,949
57,400 National Australia Bank Ltd............. 885,955
92,584 News Corp. Ltd.......................... 669,628
28,100 Rio Tinto Ltd........................... 451,764
112,500 Southcorp Ltd........................... 391,051
44,051 TABCORP Holdings Ltd.................... 279,272
139,100 Telstra Corp. Ltd....................... 707,703
101,597 Westpac Banking Corp.................... 652,003
------------
5,647,037
------------
FINLAND - 2.19%
5,900 JOT Automation Group Oyj................ 30,406
15,800 Kemira Oyj.............................. 97,546
14,508 Nokia Oyj............................... 1,660,309
1,928 Okobank, Class A........................ 17,946
3,620 Oy Hartwall AB.......................... 46,411
6,398 Rautaruukki Oyj......................... 41,048
1,540 Sanoma WSOY Oyj, Class B*............... 70,619
4,230 Sonera Group Oyj........................ 127,016
2,663 UPM-Kymmene Oyj......................... 84,024
1,500 Viking Line Oyj......................... 64,683
4,880 YIT-Yhtyma Oyj.......................... 46,706
------------
2,286,714
------------
FRANCE - 12.61%
2,060 Alcatel................................. 321,741
7,190 Axa..................................... 1,014,075
10,560 Banque Nationale de Paris............... 927,391
6,320 Carrefour SA............................ 1,169,883
1,210 Castorama Dubois........................ 362,442
2,700 Compagnie de Saint Gobain............... 468,555
2,800 Compagnie Gen Des Eaux, Warrant* expires
05/02/2001............................ 6,331
8,300 Credit Lyonnais*........................ 250,974
1,610 Danone.................................. 410,630
17,706 France Telecom SA....................... 1,710,457
2,370 Groupe GTM.............................. 259,235
4,470 Hermes International.................... 488,938
1,020 L'OREAL................................. 680,682
2,656 Lafarge SA.............................. 255,601
1,600 Legrand................................. 382,837
2,900 Pinault-Printemps-Redoute SA............ 552,979
7,440 Renault SA.............................. 384,991
10,600 Sanofi-Synthelabo SA*................... 467,682
6,300 Societe BIC SA.......................... 308,110
1,600 Sodexho Alliance........................ 262,517
12,698 Total Fina SA, Class B.................. 1,716,134
10,421 Vivendi................................. 789,689
------------
13,191,874
------------
GERMANY - 10.31%
3,217 Allianz AG.............................. 981,209
13,454 BASF AG................................. 607,753
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
GERMANY (CONTINUED)
19,591 Bayer AG................................ $ 801,528
9,100 Bayerische Motoren Werke (BMW) AG....... 289,999
12,084 DaimlerChrysler AG...................... 941,763
13,585 Deutsche Bank AG........................ 974,444
36,720 Deutsche Telekom AG..................... 1,693,499
10,253 Dresdner Bank AG........................ 526,239
7,940 HypoVereinsbank......................... 517,756
6,355 Mannesmann AG........................... 999,239
5,160 Metro AG................................ 272,708
2,420 Muenchener Rueckversicherungs-
Gesellschaft AG....................... 546,462
9,246 Siemens AG.............................. 829,985
9,010 Veba AG................................. 492,292
16,380 Viag AG................................. 302,346
------------
10,777,222
------------
IRELAND - 2.18%
59,300 Allied Irish Banks Plc.................. 742,189
7,100 Bank of Ireland......................... 55,409
28,400 CRH Plc................................. 536,161
24,000 eircom Plc*............................. 99,895
29,459 Irish Life & Permanent Plc.............. 300,540
27,000 Kerry Group Plc, Class A................ 333,668
80,800 Smurfit (Jefferson) Group Plc........... 209,904
------------
2,277,766
------------
ITALY - 2.34%
7,475 Assicurazioni Generali.................. 239,786
14,495 Banca Commerciale Italiana.............. 87,202
23,916 Banca Intesa SpA........................ 102,124
16,600 Banca Popolare di Milano................ 111,563
65,400 Benetton Group SpA...................... 144,448
13,100 Burgo (Cartiere) SpA.................... 96,446
80,315 ENI SpA................................. 469,661
5,655 Fiat SpA*............................... 179,024
46,600 Istituto Nazionale delle Assicurazioni
SpA................................... 141,398
83,784 Montedison SpA.......................... 90,675
14,980 San Paolo-IMI SpA....................... 194,104
56,500 Telecom Italia Mobile SpA............... 352,978
27,520 Telecom Italia SpA...................... 237,632
------------
2,447,041
------------
JAPAN - 17.42%
15,800 Aoyamma Trading Co., Ltd................ 483,380
98,000 Asahi Chemical Industry Co., Ltd........ 592,117
73,000 Bank of Tokyo-Mitsubishi, Ltd........... 1,209,782
19,000 Bridgestone Corp........................ 522,969
15,000 Canon, Inc.............................. 424,379
13,700 Fanuc, Ltd.............................. 1,064,256
14,000 Fuji Photo Film......................... 449,794
27,000 Fujisawa Pharmaceutical Co., Ltd........ 675,842
42,000 Hitachi, Ltd............................ 453,956
64,000 Kirin Brewery Co., Ltd.................. 732,867
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 23
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/BLAIRLOGIE INTERNATIONAL DEVELOPED FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
JAPAN (CONTINUED)
29,000 Matsushita Electric Industrial Co.,
Ltd................................... $ 610,482
166,000 Mitsubishi Heavy Industries, Ltd........ 651,136
9,000 Murata Manufacturing Co., Ltd........... 1,152,297
21,000 NEC Corp................................ 424,954
182,000 Nippon Light Metal Co., Ltd............. 268,802
140,000 Nippon Steel Corp....................... 355,807
95 Nippon Telegraph & Telephone Corp....... 1,457,754
23,000 Sankyo Co., Ltd......................... 655,126
84,000 Sekisui Chemical Co., Ltd............... 413,273
43,000 Sharp Corp.............................. 684,569
35,000 Shiseido Co., Ltd....................... 533,711
4,900 SONY CORP............................... 764,112
31,000 Sumitomo Bank, Ltd...................... 498,878
49,000 Sumitomo Electric Industries............ 658,377
59,000 Tokio Marine & Fire Insurance Co.,
Ltd................................... 772,370
26,700 Tokyo Electric Power Co................. 596,634
32,000 Toyota Motor Corp....................... 1,107,893
------------
18,215,517
------------
NETHERLANDS - 5.24%
14,699 ABN AMRO Holding NV..................... 355,418
4,200 AEGON NV................................ 387,622
4,304 Akzo Nobel NV........................... 185,324
13,150 Elsevier NV............................. 124,890
8,108 Fortis (NL) NV.......................... 279,108
3,400 Heineken NV............................. 173,398
10,911 ING Groep NV............................ 643,554
4,300 Koninklijke Ahold NV.................... 132,058
3,664 Koninklijke (Royal) Philips Electronics
NV.................................... 375,727
5,461 KPN NV.................................. 280,231
26,557 Royal Dutch Petroleum Co................ 1,587,338
5,961 TNT Post Group NV....................... 151,722
8,147 Unilever NV............................. 539,822
4,459 VNU NV.................................. 150,776
3,300 Wolters Kluwer NV....................... 110,266
------------
5,477,254
------------
NEW ZEALAND - 0.90%
419,700 Brierley Investments Ltd.*.............. 95,736
109,400 Carter Holt Harvey Ltd.................. 138,637
15,700 Fisher & Paykel Industries Ltd.......... 47,750
39,200 Fletcher Challenge Energy*.............. 90,411
44,200 Lion Nathan Ltd......................... 95,221
118,000 Telecom Corp. of New Zealand Ltd........ 474,924
------------
942,679
------------
NORWAY - 2.71%
45,820 Christiana Bank Og Kreditkasse.......... 222,957
71,050 Den Norske Bank ASA..................... 275,132
16,800 Hafslund ASA, Class B................... 62,060
11,820 Merkantildata ASA....................... 100,125
26,610 Norsk Hydro ASA......................... 1,060,943
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
NORWAY (CONTINUED)
5,230 Norske Skogindustrier ASA............... $ 171,213
18,920 Orkla ASA, Class B...................... 262,694
11,510 Petroleum Geo-Services*................. 171,539
32,500 Storebrand ASA*......................... 225,623
11,200 Tandberg Television ASA*................ 132,679
2,920 Tomra Systems ASA....................... 111,585
6,270 Unitor ASA.............................. 39,135
------------
2,835,685
------------
PORTUGAL - 2.42%
12,313 Banco Comercial Portugues, SA,
Class R............................... 346,806
7,910 Banco Espirito Santo e Comercial de
Lisboa, SA............................ 205,654
28,045 BPI-SGPS, SA............................ 112,086
4,231 Brisa-Auto Estradas de Portugal, SA..... 166,651
7,132 Cimpor-Cimentos de Portugal SGPS, SA.... 118,292
41,627 EDP-Electricidade de Portugal, SA....... 647,086
6,944 Jeronimo Martins, SGPS, SA.............. 193,831
14,775 Portugal Telecom SA..................... 658,880
2,418 Sonae Investimentos SPGS, SA............ 80,770
------------
2,530,056
------------
SINGAPORE - 2.07%
29,000 City Developments Ltd................... 149,997
38,379 DBS Group Holdings Ltd.................. 433,948
30,800 Keppel Corp. Ltd........................ 83,729
45,150 Oversea-Chinese Banking Corp. Ltd....... 339,433
23,445 Overseas Union Bank Ltd................. 101,524
22,000 Singapore Airlines Ltd.................. 232,874
19,300 Singapore Press Holdings Ltd............ 330,817
89,000 Singapore Technologies Engineering
Ltd................................... 129,001
94,000 Singapore Telecommunications Ltd........ 178,649
24,200 United Overseas Bank Ltd................ 183,389
------------
2,163,361
------------
SWITZERLAND - 7.51%
4,846 ABB AG.................................. 488,130
6 Ciba Specialty Chemicals AG*............ 446
315 Clariant AG............................. 137,873
4,996 Credit Suisse Group..................... 960,580
192 Holderbank Financiere Glarus AG......... 236,488
480 Nestle SA............................... 926,045
1,045 Novartis AG............................. 1,563,489
143 Roche Holding AG........................ 1,717,239
132 Schindler Holding AG.................... 210,486
1,030 Swisscom AG............................. 313,954
3,150 UBS AG.................................. 916,743
680 Zurich Allied AG........................ 385,091
------------
7,856,564
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 24
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/BLAIRLOGIE INTERNATIONAL DEVELOPED FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
UNITED KINGDOM - 12.88%
30,422 Abbey National Plc...................... $ 594,410
20,596 AstraZeneca Group Plc................... 928,379
8,900 Barclays Plc............................ 273,055
37,560 Boots Co. Plc........................... 386,382
113,806 BP Amoco Plc............................ 1,105,272
53,100 British Telecommunications Plc.......... 963,778
21,900 Cable & Wireless Plc.................... 256,056
54,300 Cadbury Schweppes Plc................... 354,248
32,934 CGU Plc................................. 480,589
32,300 Diageo Plc.............................. 328,025
27,115 Glaxo Wellcome Plc...................... 800,263
64,816 HSBC Holdings Plc....................... 799,373
31,229 IMI Plc................................. 122,138
69,020 Lloyds TSB Group Plc.................... 953,866
24,400 Marks & Spencer Plc..................... 112,370
37,700 National Power Plc...................... 254,934
41,931 Prudential Corp. Plc.................... 657,700
37,977 Scottish & Newcastle Plc................ 353,539
42,758 ScottishPower Plc....................... 396,290
45,937 Shell Transport & Trading Plc........... 352,152
70,452 SmithKline Beecham Plc.................. 907,666
180,245 Tesco Plc............................... 534,635
56,407 Unilever Plc............................ 523,255
167,500 Vodafone Group Plc...................... 781,717
36,974 Wolsely Plc............................. 251,392
------------
13,471,484
------------
UNITED STATES - 4.42%
311,000 WEBS Japan Index Series................. 4,626,125
------------
TOTAL COMMON STOCKS..................... 94,746,379
------------
(Cost $80,886,194)
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
FOREIGN INDEX SECURITIES - 3.53%
5,500 MSCI Canadian Opal
0.000%, 04/07/17...................... $ 1,027,895
9,900 Sweden Opal
18.526%, 04/07/07..................... $ 2,666,961
------------
TOTAL FOREIGN INDEX SECURITIES.......... 3,694,856
------------
(Cost $3,172,804)
PREFERRED STOCK - 0.54%
GERMANY - 0.54%
1,305 SAP AG.................................. 563,014
------------
TOTAL PREFERRED STOCK................... 563,014
------------
(Cost $627,042)
<CAPTION>
PAR VALUE
- ---------
<C> <S> <C>
TIME DEPOSIT - 0.93%
$ 973,000 Euro Time Deposit
3.000%, 11/01/99...................... 973,000
------------
TOTAL TIME DEPOSIT...................... 973,000
------------
(Cost $973,000)
TOTAL INVESTMENTS - 95.60%........................... 99,977,249
------------
(Cost $85,659,040)**
NET OTHER ASSETS AND LIABILITIES - 4.40%............. 4,606,117
------------
NET ASSETS - 100.00%................................. $104,583,366
============
</TABLE>
- ------------------------------------------------
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is $85,744,589.
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation........... $17,883,054
Gross unrealized depreciation........... (3,650,394)
-----------
Net unrealized appreciation............. $14,232,660
===========
</TABLE>
As of October 31, 1999, the Fund has entered into the following forward foreign
currency contracts:
FORWARD FOREIGN CURRENCY CONTRACTS SOLD:
<TABLE>
<CAPTION>
CURRENCY SETTLEMENT CONTRACTS AT IN EXCHANGE UNREALIZED
VALUE CONTRACTS TO DELIVER DATES VALUE FOR U.S. $ DEPRECIATION
----- -------------------- ----- ----- ---------- ------------
<S> <C> <C> <C> <C> <C>
22,374.. EU 11/01/99 $23,534 $23,529 $ (5)
8,697.. EU 11/02/99 9,148 9,084 (64)
------- ------- ----
$32,682 $32,613 $(69)
======= ======= ====
</TABLE>
FORWARD FOREIGN CURRENCY CONTRACTS PURCHASED:
<TABLE>
<CAPTION>
CURRENCY SETTLEMENT CONTRACTS AT IN EXCHANGE UNREALIZED
VALUE CONTRACTS TO RECEIVE DATES VALUE FOR U.S. $ DEPRECIATION
----- -------------------- ----- ----- ---------- ------------
<S> <C> <C> <C> <C> <C>
39,424.. NZ 11/01/99 $19,984 $20,106 $(122)
======= ======= =====
</TABLE>
- ------------------------------------------------
EU European Monetary Unit
NZ New Zealand Dollars
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 25
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/BLAIRLOGIE EMERGING MARKETS FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
COMMON STOCKS - 79.12%
ARGENTINA - 2.43%
8,389 Banco de Galicia y Buenos Aires SA,
Class B............................... $ 44,399
6,420 Banco Frances SA........................ 46,888
729 IRSA Inversiones y Representaciones SA,
SP GDR................................ 22,007
3,876 Molinos Rio de la Plata SA*............. 7,949
4,900 Perez Companc SA, Class B............... 29,757
4,512 Perez Companc SA, SP ADR................ 54,803
11,160 Renault Argentina SA.................... 14,403
1,488 Siderar S.A.I.C., Class A............... 5,597
23,816 Siderca SA.............................. 46,225
5,433 Telefonica de Argentina, SP ADR......... 139,221
19,900 Transportadora de Gas del Sur SA,
Class B............................... 33,846
-----------
445,095
-----------
BRAZIL - 1.37%
547,900 Companhia Paulista de Forca e Luz....... 34,412
3,322,000 Companhia Siderurgica Nacional.......... 88,326
7,500 Souza Cruz SA........................... 42,841
1,634,000 Telecomunicacoes Brasileiras SA
Class A............................... 84,881
-----------
250,460
-----------
CHILE - 5.00%
7,900 Banco Santander Chile, SP ADR........... 129,363
9,851 Cia. Telecomunicaciones de Chile SA, SP
ADR................................... 164,389
3,100 Compania Cervecerias Unidas SA, SP
ADR................................... 67,619
11,272 Empresa Nacional de Electricidad SA, SP
ADR................................... 143,718
5,502 Enersis SA, SP ADR...................... 123,795
5,328 Gener SA, SP ADR........................ 79,254
4,957 Madeco SA, SP ADR....................... 48,950
5,290 Maderas y Sinteticos SA, SP ADR......... 56,206
3,330 Sociedad Quimica y Minera de Chile SA,
SP ADR................................ 96,778
192 Sociedad Quimica y Minera de Chile SA,
SP ADR, Class A....................... 5,304
-----------
915,376
-----------
CHINA - 1.38%
182,000 Beijing Datang Power Generation Co. Ltd.
Class H*.............................. 37,952
50,000 China Southern Airlines Co. Ltd.,
Class H*.............................. 9,976
34,000 Guangdong Kelon Electrical Holdings Co.
Ltd. Class H*......................... 30,198
150,000 Guangshen Railway Co. Ltd., Class H*.... 17,184
122,000 Huaneng Power International, Inc.,
Class H............................... 36,512
164,000 Jiangsu Express Co. Ltd., Class H....... 25,121
92,000 Qingling Motors Co. Ltd., Class H....... 15,040
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
CHINA (CONTINUED)
140,000 Shanghai Petrochemical Co. Ltd.,
Class H*.............................. $ 28,654
104,000 Shenzhen Expressway Co. Ltd.,
Class H*.............................. 15,529
38,000 Yizheng Chemical Fibre Co. Ltd.,
Class H*.............................. 10,394
174,000 Zhejiang Expressway Co. Ltd.,
Class H............................... 26,429
-----------
252,989
-----------
COLUMBIA - 1.42%
1,000 Banco Ganadero SA, SP ADR............... 15,202
5,200 Banco Ganadero SA, SP ADR, Class C...... 33,991
20,100 Bancolombia, SP ADR..................... 87,309
61,400 Cadenalco SA, SP ADR.................... 122,800
-----------
259,302
-----------
HUNGARY - 5.52%
1,210 Danubius Hotel and Spa, Rights*......... 20,895
1,975 Gedeon Richter, Rights.................. 90,138
89,850 Magyar Tavkozlesi, Rights............... 522,749
10,430 MOL Magyar Olaj-es Gazipari, Rights..... 210,135
3,340 OTP Bank, Rights........................ 151,338
460 Pick Szeged, Rights..................... 15,793
-----------
1,011,048
-----------
INDIA - 2.38%
1,500 Bajaj Auto Ltd., SP GDR................. 16,200
1,700 BSES Ltd., GDR.......................... 20,400
3,380 EIH Ltd., SP GDR........................ 16,055
1,267 Grasim Industries Ltd., SP GDR.......... 16,471
1,800 Gujarat Ambuja Cement Ltd., SP GDR...... 22,095
1,610 Hindalco Industries Ltd., SP GDR........ 34,011
3,530 Indian Hotels Co., Ltd, SP GDR.......... 37,241
4,225 Indian Rayon & Industries Ltd., SP
GDR................................... 6,866
1,180 Larsen & Tourbo Ltd., GDR............... 25,547
6,900 Mahanagar Telephone Nigam Ltd., GDR..... 56,925
4,200 Reliance Industries Ltd., SP GDR (A).... 51,765
3,300 State Bank of India, GDR................ 43,931
4,124 Tata Engineering & Locomotive Co., Ltd.
SP GDR................................ 26,394
3,900 Videsh Sanchar Nigam Ltd., GDR.......... 62,205
-----------
436,106
-----------
INDONESIA - 2.23%
73,000 PT Astra International Tbk*............. 35,941
20,000 PT Gudang Garam Tbk..................... 51,349
150,000 PT Indah Kiat Pulp & Paper Corp. Tbk*... 64,551
60,000 PT Indofood Sukses Makmur Tbk*.......... 70,897
19,000 PT Semen Gresik (Persero) Tbk........... 33,815
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 26
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/BLAIRLOGIE EMERGING MARKETS FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
INDONESIA (CONTINUED)
17,000 PT Tambang Timah Tbk.................... $ 13,392
293,720 PT Telekomunikasi Indonesia............. 139,255
-----------
409,200
-----------
ISRAEL - 1.42%
13,100 Bank Hapoalim........................... 31,153
13,500 Bank Leumi Le-Israel.................... 23,808
5,500 Bezeq Israeli Telecommunications Corp.
Ltd.*................................. 22,417
1,520 Blue Square Chain Investments and
Properties Ltd........................ 20,865
1,370 ECI Telecom Ltd......................... 39,901
290 Elite Industries Ltd.................... 13,657
590 Formula Systems (1985) Ltd.*............ 14,753
16,500 Israel Chemicals Ltd.................... 15,268
290 Koor Industries Ltd..................... 23,967
7,200 Makhteshim-Agan Industries Ltd.*........ 12,528
850 Teva Pharmaceuticals Industries Ltd..... 41,228
-----------
259,545
-----------
MALAYSIA - 2.08%
9,000 Commerce Asset-Holding Berhad........... 19,895
22,000 Malayan Banking Berhad.................. 74,684
25,000 Malaysia International Shipping Corp.
Berhad................................ 37,500
21,000 Malaysian Airline System Berhad......... 19,784
15,000 Petronas Gas Berhad..................... 31,776
48,000 Public Bank Berhad...................... 50,779
9,000 Resorts World Berhad.................... 25,816
17,000 Telekom Malaysia Berhad................. 52,342
30,000 Tenaga Nasional Berhad.................. 69,079
-----------
381,655
-----------
MEXICO - 13.45%
19,400 Alfa SA de CV........................... 74,072
3 Cemex SA de CV.......................... 13
6,604 Cemex SA de CV, SP ADR*................. 148,590
145,837 Cifra SA de CV, Series V*............... 228,193
46,400 Desc SA de CV, Series B................. 37,943
3,100 Fomento Economico Mexicano, SP ADR...... 101,719
33,900 Grupo Carso SA de CV, Series A1*........ 141,779
40,000 Grupo Financiero Banamex Accival, SA de
CV, Class O*.......................... 99,667
54,673 Grupo Industrial Bimbo SA de CV,
Series A.............................. 100,222
27,110 Grupo Mexico SA, Series B............... 98,574
95,100 Grupo Modelo SA de CV, Series C......... 232,506
4,240 Grupo Televisa SA, SP GDR*.............. 180,200
19,100 Industrias Penoles SA................... 60,209
37,800 Kimberley-Clark de Mexico SA,
Class A............................... 119,551
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
MEXICO (CONTINUED)
15,500 Savia SA de CV*......................... $ 82,886
8,840 Telefonos de Mexico SA, SP ADR.......... 755,820
-----------
2,461,944
-----------
PERU - 0.88%
9,200 Banco Wiese, SP ADR*.................... 13,225
6,865 Cementos Lima SA........................ 7,951
1,847 Compania de Minas Buenaventura,
Class A............................... 14,948
474 Compania de Minas Buenaventura,
Class B............................... 3,877
2,116 Credicorp Ltd........................... 22,482
6,301 Ferreyros SA............................ 3,424
821 Minsur SA*.............................. 1,740
400 Southern Peru Copper Corp............... 1,945
63,738 Telefonica del Peru SAA, Class B........ 74,734
45,076 Union de Cervecerias Backus y Johnston
SAA................................... 16,629
-----------
160,955
-----------
PHILLIPINES - 1.88%
109,000 Ayala Land, Inc......................... 27,862
11,000 Manila Electric Co., Class B............ 30,174
9,680 Metropolitan Bank & Trust Co............ 72,419
312,000 Petron Corp............................. 26,065
4,400 Phillipine Long Distance Telephone
Co.................................... 91,621
28,000 San Miguel Corp., Class B............... 40,499
312,000 SM Prime Holdings....................... 55,242
-----------
343,882
-----------
POLAND - 1.93%
1,700 Bank Handlowy w Warszawie............... 23,972
1,115 Bank Rozwoju Eksportu SA................ 30,389
510 Bank Slaski SA w Katowicach............. 27,799
7,800 BIG Bank Gdanski SA..................... 15,529
2,130 Debica SA............................... 19,182
3,971 Elektrim Spolka Akcyjna SA*............. 34,350
1,200 Prokom.................................. 25,880
480 Softbank SA............................. 13,537
5,240 Stomil Olsztyn SA....................... 24,464
23,000 Telekomunikacja Polska SA, GDR.......... 117,300
3,558 Wielkopolski Bank Kredytowy SA.......... 20,912
-----------
353,314
-----------
SOUTH AFRICA - 6.62%
5,780 ABSA Group Ltd.......................... 23,572
4,440 Anglo American Platinum Corp. Ltd....... 127,941
910 Anglo American Plc...................... 48,444
1,100 AngloGold Ltd........................... 62,141
13,270 Barlow Ltd.............................. 64,703
9,430 C.G. Smith Ltd.......................... 30,551
5,520 De Beers................................ 150,795
452 Edgars Consolidated Stores Ltd.......... 4,415
63,100 FirstRand Ltd........................... 72,936
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 27
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/BLAIRLOGIE EMERGING MARKETS FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
SOUTH AFRICA (CONTINUED)
5,100 Gold Fields Ltd......................... $ 24,410
2,832 Imperial Holdings Ltd.*................. 26,280
1,841 Liberty International Plc*.............. 15,345
3,420 Liberty Life Association of Africa
Ltd................................... 31,736
5,700 Naspers Ltd., Class N................... 35,495
4,900 Nedcor Ltd., GDR, Class S............... 95,550
13,640 Rembrandt Group Ltd..................... 102,036
40,900 Sanlam Ltd.............................. 46,943
3,900 Sappi Ltd............................... 32,317
9,200 Sasol Ltd............................... 62,906
12,680 South African Breweries Plc*............ 111,060
3,700 Standard Bank Investment Corp. Ltd...... 12,645
4,300 Woolworths Holdings Ltd., GDR........... 30,100
-----------
1,212,321
-----------
SOUTH KOREA - 9.70%
3,900 Hyundai Motor Co. Ltd.*................. 68,604
8,800 Kookmin Bank............................ 137,191
11,900 Korea Electric Power Corp............... 348,220
2,500 Korea Telecom Corp...................... 168,195
2,983 L.G. Chemical Ltd....................... 90,273
3,100 Pohang Iron & Steel Ltd., SP ADR........ 103,463
1,700 Samsung Display Devices Co.............. 89,287
1,000 Samsung Electro-Mechanics Co............ 48,353
3,119 Samsung Electronics..................... 520,050
5,800 Shinhan Bank............................ 61,409
3,100 SK Corp................................. 59,441
71 SK Telecom Co. Ltd...................... 81,980
-----------
1,776,466
-----------
TAIWAN - 7.98%
8,856 Advanced Semiconductor
Engineering, Inc., GDR*............... 177,120
19,459 Asia Cement Corp., SP GDR............... 174,647
18,900 Asustek Computer, Inc., GDR............. 266,490
13,975 China Steel Corp., SP GDR............... 237,924
14,580 Evergreen Marine Corp., SP GDR.......... 158,193
14,000 Standard Foods Taiwan Ltd., GDR*........ 73,150
20,386 Winbond Electronic Corp., GDR*.......... 374,083
-----------
1,461,607
-----------
THAILAND - 1.87%
3,300 Advanced Info Service Public Co.
Ltd.*................................. 38,467
28,500 Bangkok Bank Public Co. Ltd.*........... 66,442
8,900 Electricity Generating Public Co.
Ltd.*................................. 11,758
8,800 PTT Exploration & Production Public Co.
Ltd.*................................. 64,282
2,000 Siam Cement Public Co. Ltd.*............ 51,807
55,000 TelecomAsia Corp. Public Co. Ltd.*...... 42,384
47,000 Thai Farmers Bank Public Co. Ltd.*...... 66,351
-----------
341,491
-----------
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
TURKEY - 6.76%
2,216,618 Adana Cimento Sanayii Turk Anomin
Sirketi, Class A...................... $ 46,106
1,977,377 Akbank TAS.............................. 30,847
1,920,000 Arcelik AS.............................. 70,886
431,000 Aygaz AS................................ 41,238
718,000 Brisa Bridgestone Sabanci Lastik San. ve
Tic AS................................ 17,921
5,411,000 Dogan Sirketler Grubu Holdings AS*...... 60,776
1,284,000 Ege Biracilik ve Malt Sanayii AS........ 43,399
2,788,000 Eregli Demir ve Celik Fabrikalari
TAS*.................................. 69,588
1,471,500 Haci Omer Sabanci Holding AS............ 43,615
260,200 Migros Turk TAS......................... 112,302
662,600 Netas Northern Electric Telekomunikasyon
AS.................................... 24,808
4,416,000 Trakya Cam Sanayii AS*.................. 58,786
17,068,700 Turkiye Garanti Bankasi AS*............. 145,562
14,914,900 Turkiye Is Bankasi, Class C............. 294,718
237,000 Vestel Elektronik Sanayi ve Ticaret
AS*................................... 29,085
10,129,479 Yapi ve Kredi Bankasi SA................ 147,485
-----------
1,237,122
-----------
VENEZUELA - 2.82%
6,965 C.A. La Electricidad de Caracas, ADR.... 131,356
13,800 Compania Anonima Nacional Telefonos de
Venezuela, ADR........................ 356,213
8,850 Mavesa SA, SP ADR....................... 28,209
-----------
515,778
-----------
TOTAL COMMON STOCKS..................... 14,485,656
-----------
(Cost $13,609,506)
PREFERRED STOCKS - 7.79%
BRAZIL - 7.79%
23,400 Aracruz Celulose SA, Class B............ 45,913
14,494,507 Banco Bradesco SA....................... 70,913
2,177,000 Banco Itau SA........................... 124,910
13,563,620 Centrais Electricas Brasileiras SA,
Class B............................... 241,115
105,300 Companhia Cervejaria Brahma............. 67,161
3,621,255 Companhia Energetica de Minas Geraus.... 51,573
9,662 Companhia Vale do Rio Doce, Class A*.... 188,439
971,000 Petroleo Brasleiro SA................... 154,454
5,130 Telecomunicacoes Brasileiras SA, Pfd
Block, SP ADR......................... 399,499
3,730 Telecomunicacoes Brasileiras SA, SP
ADR*.................................. 175
22,219 Usinas Siderurgicas de Minas Gerais,
Class A............................... 80,931
-----------
TOTAL PREFERRED STOCKS.................. 1,425,083
-----------
(Cost $1,575,598)
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 28
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/BLAIRLOGIE EMERGING MARKETS FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
INVESTMENT COMPANIES - 4.36%
24,800 Korea Fund*............................. $ 316,200
27,000 Taiwan Fund, Inc........................ 482,625
-----------
TOTAL INVESTMENT COMPANIES.............. 798,825
-----------
(Cost $572,054)
<CAPTION>
PAR
VALUE
- -----
<C> <S> <C>
CORPORATE NOTES AND BONDS - 0.91%
INDUSTRIAL - 0.91%
$ 36,000 Far East Department Stores 3.000%,
07/06/2001............................ 33,210
52,000 Formosa Chemical & Fibre Corp. 1.750%,
07/19/2001............................ 59,930
57,000 Nan Ya Plastics Corp. Conv 1.750%,
07/19/2001............................ 73,245
-----------
TOTAL CORPORATE NOTES AND BONDS......... 166,385
-----------
(Cost $157,918)
<CAPTION>
PAR MARKET
VALUE VALUE
- ----- -----
<C> <S> <C>
TIME DEPOSIT - 3.14%
$ 575,000 Euro Time Deposit 3.000%, 11/01/99...... $ 575,000
-----------
TOTAL TIME DEPOSIT...................... 575,000
-----------
(Cost $575,000)
TOTAL INVESTMENTS - 95.32%.......................... 17,450,949
-----------
(Cost $16,490,076)**
NET OTHER ASSETS AND LIABILITIES - 4.68%............ 857,223
-----------
NET ASSETS - 100.00%................................ $18,308,172
===========
</TABLE>
- -------------------------------------------------
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is $16,882,360.
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation...... $ 2,955,914
Gross unrealized depreciation...... (2,387,325)
------------
Net unrealized appreciation........ $ 568,589
============
</TABLE>
(A) Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may only be resold, in transactions exempt from
registration, to qualified institutional buyers. At October 31, 1999, this
security amounted to $51,765 or 0.28% of net assets.
ADR American Depositary Receipt
GDR Global Depositary Receipt
SP Sponsored American Depositary Receipt
ADR
SP Sponsored Global Depositary Receipt
GDR
As of October 31, 1999, the Fund has entered into the following forward foreign
currency contracts:
FORWARD FOREIGN CURRENCY CONTRACTS PURCHASED:
<TABLE>
<CAPTION>
UNREALIZED
CURRENCY CONTRACTS TO SETTLEMENT CONTRACTS AT IN EXCHANGE APPRECIATION
VALUE RECEIVE DATES VALUE FOR U.S. $ (DEPRECIATION)
----- ------- ----- ----- ---------- --------------
<S> <C> <C> <C> <C> <C>
757,582....... HK 11/01/99 $ 97,515 $ 97,498 $ 17
75,108,670.... KR 11/02/99 62,617 62,863 (246)
74,816........ SA 11/02/99 12,176 12,170 6
33,720,188,650.. TU 11/01/99 70,114 70,428 (314)
-------- -------- -----
$242,422 $242,959 $(537)
======== ======== =====
</TABLE>
- -------------------------------------------------
HK Hong Kong Dollars
KR Korean Won
SA South African Rand
TU Turkey Lira
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 29
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/MONTAG & CALDWELL BALANCED FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
COMMON STOCKS - 61.81%
CONSUMER NON-DURABLES - 10.25%
90,000 Bestfoods............................... $ 5,287,500
167,100 Gillette Co............................. 6,046,931
90,400 Interpublic Group of Companies, Inc..... 3,672,500
73,800 Newell Rubbermaid, Inc.................. 2,555,325
78,000 Procter & Gamble Co..................... 8,180,250
------------
25,742,506
------------
ELECTRICAL - 2.67%
49,400 General Electric Co..................... 6,696,788
------------
ENTERTAINMENT AND LEISURE - 1.74%
60,000 Carnival Corp........................... 2,670,000
65,000 The Walt Disney Co...................... 1,714,375
------------
4,384,375
------------
FINANCE - 5.49%
29,600 American Express Co..................... 4,558,400
52,500 American International Group, Inc....... 5,404,218
80,000 Wells Fargo Co.......................... 3,830,000
------------
13,792,618
------------
FOOD AND BEVERAGE - 2.94%
125,000 Coca-Cola Co............................ 7,375,000
------------
HEALTH CARE SERVICES - 5.50%
64,000 Johnson & Johnson....................... 6,704,000
180,000 Pfizer, Inc............................. 7,110,000
------------
13,814,000
------------
LODGING - 1.41%
105,000 Marriott International, Inc., Class A.. 3,537,188
------------
MEDICAL SUPPLIES - 3.29%
180,000 Boston Scientific Corp. *............... 3,622,500
134,400 Medtronic, Inc.......................... 4,653,600
------------
8,276,100
------------
PHARMACEUTICALS - 2.70%
88,200 Bristol-Myers Squibb Co................. 6,774,863
------------
RESTAURANTS - 2.63%
160,000 McDonald's Corp......................... 6,600,000
------------
RETAIL - 4.96%
43,800 Costco Wholesale Corp. *................ 3,516,318
68,250 Gap, Inc................................ 2,533,781
85,000 Home Depot, Inc......................... 6,417,500
------------
12,467,599
------------
TECHNOLOGY - 14.17%
50,000 EMC Corp. *............................. 3,650,000
65,000 Electronic Arts, Inc. *................. 5,250,781
100,000 Electronic Data Systems Corp............ 5,850,000
51,400 Hewlett-Packard Co...................... 3,806,813
52,500 Intel Corp.............................. 4,063,828
47,100 Microsoft Corp. *....................... 4,359,694
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
TECHNOLOGY (CONTINUED)
115,000 Oracle Systems.......................... $ 5,473,281
41,800 Solectron Corp. *....................... 3,145,450
------------
35,599,847
------------
TELECOMMUNICATIONS - 4.06%
80,700 MCI WorldCom, Inc....................... 6,922,547
52,000 Tellabs, Inc. *......................... 3,287,375
------------
10,209,922
------------
TOTAL COMMON STOCKS..................... 155,270,806
------------
(Cost $119,416,883)
<CAPTION>
PAR VALUE
- ---------
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS - 21.56%
FEDERAL HOME LOAN BANK - 0.37%
$1,000,000 5.890%, 06/30/08........................ 944,190
------------
FEDERAL HOME LOAN
MORTGAGE CORPORATION - 2.82%
750,000 6.400%, 12/13/06, Debenture............. 739,853
1,750,000 6.700%, 01/05/07, Global Bond........... 1,753,710
600,000 7.500%, 03/15/07, CMO, Class J.......... 600,324
175,000 6.000%, 04/15/08, CMO, Class K.......... 173,372
3,250,000 5.125%, 10/15/08........................ 2,911,318
500,000 6.500%, 07/15/20, CMO, Class F.......... 498,025
400,000 6.500%, 11/15/20, CMO, Class H.......... 395,708
------------
7,072,310
------------
FEDERAL NATIONAL
MORTGAGE ASSOCIATION - 3.37%
2,500,000 6.250%, 03/20/00, MTN................... 2,505,375
4,000,000 5.750%, 04/15/03........................ 3,928,840
2,000,000 7.250%, 01/17/21, CMO, REMIC,
Class P............................... 2,021,680
------------
8,455,895
------------
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION - 0.00% (A)
1,403 8.500%, 06/15/01........................ 1,457
1,805 9.000%, 09/15/08........................ 1,899
------------
3,356
------------
U.S. TREASURY BONDS - 9.10%
4,175,000 7.250%, 05/15/16........................ 4,498,103
5,250,000 8.125%, 08/15/19........................ 6,184,972
3,550,000 8.000%, 11/15/21........................ 4,168,978
4,400,000 6.250%, 08/15/23........................ 4,303,596
3,500,000 6.875%, 08/15/25........................ 3,694,390
------------
22,850,039
------------
U.S. TREASURY NOTES - 5.90%
5,700,000 6.625%, 04/30/02........................ 5,801,232
2,725,000 5.750%, 08/15/03........................ 2,704,644
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 30
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/MONTAG & CALDWELL BALANCED FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
U.S. TREASURY NOTES (CONTINUED)
$3,650,000 7.875%, 11/15/04........................ $ 3,933,787
2,300,000 6.875%, 05/15/06........................ 2,388,573
------------
14,828,236
------------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS............................. 54,154,026
------------
(Cost $55,932,475)
CORPORATE NOTES AND BONDS - 11.47%
CONSUMER NON-DURABLES - 1.76%
2,000,000 NIKE, Inc.
6.375%, 12/01/03...................... 1,970,000
2,500,000 Warner Lambert Co.
5.750%, 01/15/03...................... 2,450,000
------------
4,420,000
------------
ENERGY - 1.05%
2,750,000 Conoco, Inc.
5.900%, 04/15/04...................... 2,646,875
------------
FINANCE - 5.54%
1,500,000 American Express Co., Senior Notes
6.750%, 06/23/04...................... 1,486,875
2,500,000 Bank of America Corp., Subordinated
Notes
6.875%, 02/15/05...................... 2,481,250
2,500,000 Citicorp, Subordinated Notes
7.125%, 05/15/06...................... 2,490,625
3,000,000 Ford Motor Credit Corp. 7.000%,
09/25/01.............................. 3,022,500
1,350,000 Household Finance Corp., MTN Senior
Notes
7.300%, 07/30/12...................... 1,299,375
3,300,000 National Rural Utilities, Collateral
Trust
6.200%, 02/01/08...................... 3,122,625
------------
13,903,250
------------
MEDICAL PRODUCTS - 0.81%
2,100,000 Amgen, Inc.
6.500%, 12/01/07...................... 2,031,750
------------
RETAIL - 2.11%
500,000 Penney (J.C.) & Co., Debenture
9.750%, 06/15/21...................... 528,125
2,750,000 Sears Roebuck Acceptance Corp.
6.700%, 11/15/06...................... 2,660,625
2,100,000 Wal-Mart Stores, Senior Notes
6.875%, 08/10/09...................... 2,110,500
------------
5,299,250
------------
SECURITY AND COMMODITY BROKERS - 0.20%
500,000 Salomon, Inc.
7.300%, 05/15/02...................... 505,000
------------
TOTAL CORPORATE NOTES AND BONDS......... 28,806,125
------------
(Cost $29,725,624)
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
ASSET-BACKED SECURITIES - 2.03%
$1,750,000 Discover Card Master Trust 1
Series 1998-7, Class A
5.600%, 05/15/06...................... $ 1,681,969
1,750,000 First USA Credit Card Master Trust
Series 1997-6, Class A
6.420%, 03/17/05...................... 1,746,273
1,750,000 PECO Energy Transition Trust
Series 1999-A, Class A6
6.050%, 03/01/09...................... 1,655,833
------------
TOTAL ASSET-BACKED SECURITIES........... 5,084,075
------------
(Cost $5,180,930)
REPURCHASE AGREEMENT - 2.60%
6,533,000 Bankers Trust 4.880%, dated 10/29/99 to
be repurchased on 11/01/99 at
$6,535,657 (Collateralized by U.S.
Treasury Bill 4.86% due 12/02/99;
Total Par $6,698,000)................. 6,533,000
------------
TOTAL REPURCHASE AGREEMENT.............. 6,533,000
------------
(Cost $6,533,000)
<CAPTION>
SHARES
- ------
<C> <S> <C>
INVESTMENT COMPANIES - 0.04%
90,839 Bankers Trust Institutional Cash
Management Fund....................... 90,839
20,666 Bankers Trust Institutional Treasury
Money Fund............................ 20,666
------------
TOTAL INVESTMENT COMPANIES.............. 111,505
------------
(Cost $111,505)
TOTAL INVESTMENTS - 99.51%.......................... 249,959,537
------------
(Cost $216,900,417)**
NET OTHER ASSETS AND LIABILITIES - 0.49%............ 1,232,512
------------
NET ASSETS - 100.00%................................ $251,192,049
============
</TABLE>
- ------------------------------------------------
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is $217,040,040.
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation....... $40,535,537
Gross unrealized depreciation....... (7,616,040)
-----------
Net unrealized appreciation......... $32,919,497
===========
</TABLE>
(A) Amount represents less than 0.01%
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
REMIC Real Estate Mortgage Investment Conduit
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 31
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/MONTAG & CALDWELL BALANCED FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
PORTFOLIO COMPOSITION (MOODY'S RATINGS)
<S> <C>
Common Stocks..................................... 62%
U.S. Government Obligations....................... 15%
U.S. Government Agency Obligations................ 7%
Repurchase Agreement.............................. 3%
Corporate Notes and Bonds:
Aaa............................................... 2%
Aa................................................ 4%
A................................................. 7%
---
100%
===
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 32
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/CHICAGO TRUST BALANCED FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
COMMON STOCKS - 57.07%
ADVERTISING - 1.49%
50,000 Omnicom Group, Inc...................... $ 4,400,000
------------
BUSINESS SERVICES - 1.81%
135,000 Paychex, Inc............................ 5,319,844
------------
CAPITAL GOODS - 2.25%
75,000 Pitney Bowes, Inc....................... 3,417,188
80,000 Tyco International Ltd.................. 3,195,000
------------
6,612,188
------------
CHEMICALS - 0.87%
55,000 Praxair, Inc............................ 2,571,250
------------
COMMERCIAL SERVICES - 1.15%
100,000 Ecolab, Inc............................. 3,381,250
------------
CONSUMER DURABLES - 4.67%
90,000 Harley-Davidson, Inc.................... 5,338,125
65,000 Illinois Tool Works, Inc................ 4,761,250
60,000 Johnson Controls, Inc................... 3,645,000
------------
13,744,375
------------
CONSUMER NON-DURABLES - 3.66%
70,000 Cintas Corp............................. 4,215,313
80,000 Newell Rubbermaid, Inc.................. 2,770,000
36,000 Procter & Gamble Co..................... 3,775,500
------------
10,760,813
------------
ELECTRICAL - 2.30%
50,000 General Electric Co..................... 6,778,125
------------
ENTERTAINMENT AND LEISURE - 1.28%
85,000 Carnival Corp........................... 3,782,500
------------
FINANCE - 8.71%
80,000 AFLAC Inc............................... 4,090,000
50,000 American International Group, Inc....... 5,146,875
100,000 Associates First Capital Corp.,
Class A............................... 3,650,000
90,000 Federal Home Loan Mortgage Corp......... 4,865,625
145,000 MBNA Corp............................... 4,005,625
100,000 Schwab (Charles) Corp................... 3,893,750
------------
25,651,875
------------
FOOD AND BEVERAGE - 2.61%
200,000 Sysco Corp.............................. 7,687,500
------------
HEALTH CARE SERVICES - 2.16%
65,000 Cardinal Health, Inc.................... 2,803,125
90,000 Pfizer, Inc............................. 3,555,000
------------
6,358,125
------------
MEDICAL SUPPLIES - 1.62%
200,000 Sybron International Corp. *............ 4,762,500
------------
OIL AND GAS EXTRACTION - 1.44%
70,000 Schlumberger Ltd........................ 4,239,375
------------
<CAPTION>
MARKET
SHARES VALUE
- ------ -----
<C> <S> <C>
PHARMACEUTICALS - 0.97%
36,000 Merck & Co., Inc........................ $ 2,864,250
------------
RETAIL - 2.64%
50,000 Kohl's Corp. *.......................... 3,740,625
160,000 Walgreen Co............................. 4,030,000
------------
7,770,625
------------
TECHNOLOGY - 13.54%
100,000 Cisco Systems, Inc. *................... 7,403,125
90,000 Computer Associates
International, Inc.................... 5,085,000
50,000 Computer Sciences Corp. *............... 3,434,375
120,000 EMC Corp. *............................. 8,760,000
50,000 Microsoft Corp. *....................... 4,628,125
70,000 Solectron Corp. *....................... 5,267,500
50,000 Sun Microsystems, Inc. *................ 5,289,062
------------
39,867,187
------------
TELECOMMUNICATIONS - 3.90%
80,000 AES Corp. *............................. 4,515,000
110,000 Tellabs, Inc. *......................... 6,954,062
------------
11,469,062
------------
TOTAL COMMON STOCKS..................... 168,020,844
------------
(Cost $89,664,891)
<CAPTION>
PAR VALUE
- ---------
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY
OBLIGATIONS - 19.86%
FEDERAL HOME LOAN BANK - 0.67%
$ 2,000,000 6.000%, 08/15/02........................ 1,983,640
------------
FEDERAL HOME LOAN
MORTGAGE CORPORATION - 2.87%
3,500,000 5.750%, 07/15/03........................ 3,428,950
1,000,000 5.850%, 02/21/06, Debenture............. 961,730
605,347 7.500%, 04/01/08, Debenture, Gold
Pool # E46250......................... 613,289
639,697 6.500%, 06/01/09, Gold
Pool # E59122......................... 627,703
3,600,000 6.000%, 10/15/11, CMO, Interest Only,
Series 2102, Class TY................. 546,188
2,315,907 6.500%, 01/01/14,
Gold Pool # E00619.................... 2,272,484
------------
8,450,344
------------
FEDERAL NATIONAL
MORTGAGE ASSOCIATION - 4.93%
3,500,000 5.625%, 03/15/01........................ 3,479,945
575,388 6.900%, 12/25/03, CMO,
Pool # 093-70, REMIC.................. 575,630
965,495 7.000%, 01/01/13, Pool # 313966......... 964,588
725,231 7.000%, 03/01/13, Pool # 251572......... 724,549
1,487,883 6.000%, 08/01/13, Pool # 323250......... 1,430,689
265,386 7.000%, 07/25/17, CMO, REMIC,
Pool # 001993, Interest Only.......... 7,800
587,420 7.500%, 02/01/23, Pool # 050706......... 588,889
181,851 9.000%, 05/01/25, Pool # 250239......... 190,375
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 33
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/CHICAGO TRUST BALANCED FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
FEDERAL NATIONAL
MORTGAGE ASSOCIATION (CONTINUED)
$ 1,306,068 6.500%, 12/01/27, Pool # 402846......... $ 1,252,192
592,479 6.500%, 02/01/28, Pool # 398205......... 568,039
2,220,393 7.000%, 08/01/28, Pool # 437140......... 2,181,536
1,185,296 6.500%, 09/01/28, Pool # 430877......... 1,136,403
1,464,195 6.500%, 03/01/29, Pool # 489367......... 1,403,797
------------
14,504,432
------------
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION - 4.76%
263,994 7.000%, 06/15/08, Pool # 348818......... 263,994
1,783,404 7.000%, 12/15/11, Pool # 781011......... 1,784,510
430,935 8.000%, 03/15/17, Pool # 207880......... 440,630
538,307 8.000%, 06/15/17, Pool # 191897......... 550,419
1,100,518 7.000%, 09/15/23, Pool # 361807......... 1,079,883
546,991 7.000%, 10/15/23, Pool # 345894......... 536,735
731,582 7.000%, 10/15/23, Pool # 370850......... 717,865
2,875,655 7.500%, 07/15/25, Pool # 409561......... 2,884,627
1,156,402 6.500%, 03/15/26, Pool # 422527......... 1,105,439
263,303 7.500%, 06/15/27, Pool # 446811......... 264,124
1,289,750 7.500%, 06/15/27, Pool # 447652......... 1,293,774
804,712 6.500%, 08/15/27, Pool # 780615......... 769,755
400,367 7.500%, 07/15/28, Pool # 464709......... 401,616
1,954,933 7.000%, 03/15/29, Pool # 505567......... 1,918,278
------------
14,011,649
------------
U.S. TREASURY BONDS - 1.89%
1,500,000 7.125%, 02/15/23........................ 1,617,165
2,100,000 6.250%, 08/15/23........................ 2,053,989
2,000,000 6.000%, 02/15/26........................ 1,896,200
------------
5,567,354
------------
U.S. TREASURY NOTES - 4.74%
3,000,000 6.375%, 08/15/02........................ 3,038,100
5,000,000 5.750%, 08/15/03........................ 4,962,650
2,400,000 5.875%, 02/15/04........................ 2,393,904
3,500,000 6.500%, 08/15/05........................ 3,565,275
------------
13,959,929
------------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS............................. 58,477,348
------------
(Cost $59,138,870)
CORPORATE NOTES AND BONDS - 13.21%
ENERGY - 1.43%
2,000,000 Ashland, Inc., Senior Notes 6.625%,
02/15/08.............................. 1,902,500
1,100,000 CMS Energy Corp 7.625%, 11/15/04........ 1,062,875
1,250,000 Williams Co., Inc. 5.950%, 02/15/00
(A)................................... 1,250,000
------------
4,215,375
------------
FINANCE - 4.28%
1,500,000 Advanta Corp., MTN 7.000%, 05/01/01..... 1,406,250
1,250,000 Chelsea GCA Realty Partnership, REIT
7.250%, 10/21/07...................... 1,159,375
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
FINANCE (CONTINUED)
$ 1,000,000 Continental Corp. 7.250%, 03/01/03...... $ 990,000
625,000 Duke Capital Corp. 7.250%, 10/01/04..... 629,688
1,000,000 DVI, Inc., Senior Notes 9.875%,
02/01/04.............................. 975,000
2,000,000 HSBC America Capital II 8.380%, 05/15/27
(A)................................... 1,932,500
2,000,000 Metropolitan Life Insurance Co. 6.300%,
11/01/03 (A).......................... 1,930,000
1,000,000 Pacific Mutual Life Insurance Co.
7.900%, 12/30/23 (A).................. 1,021,250
1,500,000 Prudential Insurance Co. of America
7.650%, 07/01/07 (A).................. 1,507,500
1,000,000 Prudential Insurance Co. of America
8.300%, 07/01/25 (A).................. 1,041,140
------------
12,592,703
------------
FOOD AND BEVERAGE - 0.58%
1,000,000 Nabisco, Inc. 6.700%, 06/15/02.......... 987,500
750,000 Nabisco, Inc. 6.850%, 06/15/05.......... 724,688
------------
1,712,188
------------
HEALTH CARE SERVICES - 1.47%
1,500,000 HealthSouth Corp., Senior Notes 6.875%,
06/15/05.............................. 1,325,625
1,100,000 Hospital Corp. of America, Debenture
6.049%, 06/01/00 (B).................. 1,044,651
1,800,000 Omnicare, Inc. 5.000%. 12/01/07......... 1,147,500
1,000,000 Tenet Healthcare Corp. Subordinated
Notes 6.000%, 12/01/05................ 798,750
------------
4,316,526
------------
METALS & MINING - 0.59%
1,800,000 Lukens, Inc. 7.625%, 08/01/04........... 1,737,000
------------
PRINTING AND PUBLISHING - 0.64%
2,000,000 News America Holdings Inc. Senior
Debenture 7.750%, 02/01/24............ 1,887,500
------------
RETAIL - 1.15%
2,000,000 Kmart Corp., Debenture 7.950%,
02/01/23.............................. 1,787,500
2,975,000 Pep Boys - Manny, Moe & Jack 3.031%,
09/20/11 (B).......................... 1,595,344
------------
3,382,844
------------
TECHNOLOGY - 1.02%
1,500,000 Motorola, Inc. 6.500%, 11/15/28......... 1,318,125
2,000,000 Thermo Electron Corp. Subordinated
Debenture 4.250%, 01/01/03 (A)........ 1,680,000
------------
2,998,125
------------
TELECOMMUNICATIONS - 0.63%
2,000,000 AT&T Corp. 6.000%, 03/15/09............. 1,852,500
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 34
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/CHICAGO TRUST BALANCED FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
TRANSPORTATION - 0.70%
$ 1,675,000 American Airlines, Inc. 6.855%,
04/15/09.............................. $ 1,662,588
391,034 Delta Air Lines Equipment Trust
Series 1992-A 8.540%, 01/02/07........ 402,100
------------
2,064,688
------------
UTILITIES - 0.72%
1,000,000 Gulf States Utilities, First Mortgage
Series A 8.250%, 04/01/04............. 1,031,250
1,500,000 Niagara Mohawk Power Corp. Series F,
Senior Notes 8.500%, 07/01/10......... 1,096,875
------------
2,128,125
------------
TOTAL CORPORATE NOTES AND BONDS......... 38,887,574
------------
(Cost $40,989,671)
YANKEE BONDS - 1.38%
750,000 Chilgener S.A. (Chile) 6.500%,
01/15/06.............................. 658,125
1,000,000 Petroliam Nasional Berhad 7.625%,
10/15/26 (A).......................... 855,000
1,332,833 Province of Mendoza Collateral Oil
Royalty Note 10.000%, 07/25/02 (A).... 1,322,837
1,250,000 Skandinaviska Enskilda Subordinated
Notes 5.656%, 03/29/49 (A)............ 1,225,000
------------
TOTAL YANKEE BONDS...................... 4,060,962
------------
(Cost $3,915,458)
NON-AGENCY/CMO MORTGAGE SECURITIES - 1.19%
1,500,000 GE Capital Mortgage Services, Inc., CMO,
REMIC Series 1998-9, Class A15
6.500%, 06/25/28 (C).................. 1,489,350
600,000 Midland Realty Acceptance Corp., CMO
Series 1996-C001, Class A2 7.475%,
08/25/28 (C).......................... 608,391
1,000,000 Morgan (J.P.) Commercial Mortgage
Finance Corp. Series 1997-C7,
Class A2, CMO 6.507%, 10/15/35 (C).... 950,469
487,851 Nomura Asset Securities Corp.
Series 1998-D6, Class A1A 6.280%,
03/17/28.............................. 469,630
------------
TOTAL NON-AGENCY/CMO MORTGAGE
SECURITIES.............................. 3,517,840
------------
(Cost $3,603,337)
ASSET-BACKED SECURITIES - 1.12%
2,000,000 Chemical Master Credit Card Trust I
Series 1996-1, Class A 5.550%,
09/15/03.............................. 1,987,660
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
$ 1,335,538 DVI Receivables Corp. Series 1998-1,
Class A2 6.035%, 04/10/06 (A)......... $ 1,328,860
------------
TOTAL ASSET-BACKED SECURITIES........... 3,316,520
------------
(Cost $3,316,769)
REPURCHASE AGREEMENT - 5.41%
15,920,000 Bank One 4.900%, dated 10/29/99 to be
repurchased on 11/01/99 at $15,926,501
(Collateralized by U.S. Treasury Note
5.625% due 12/31/02; Total Par
$16,081,000).......................... 15,920,000
------------
TOTAL REPURCHASE AGREEMENT.............. 15,920,000
------------
(Cost $15,920,000)
TOTAL INVESTMENTS - 99.24%........................... 292,201,088
------------
(Cost $216,548,996)**
NET OTHER ASSETS AND LIABILITIES - 0.76%............. 2,224,929
------------
NET ASSETS - 100.00%................................. $294,426,017
============
</TABLE>
- ------------------------------------------------
* Non-income producing security.
** Aggregate cost for Federal income tax purposes is $216,548,996.
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation...... $ 81,190,552
Gross unrealized depreciation...... (5,538,460)
------------
Net unrealized appreciation........ $ 75,652,092
============
</TABLE>
(A) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold, in transactions exempt from
registration, to qualified institutional buyers. At October 31, 1999, these
securities amounted to $15,094,087 or 5.13% of net assets.
(B) Zero Coupon Bond. Rate shown reflects effective yield to maturity at time
of purchase.
(C) Standard & Poor's-Registered Trademark- (S&P-Registered Trademark-) credit
ratings are used in the absense of a rating by Moody's Investors, Inc.
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
REIT Real Estate Investment Trust
REMIC Real Estate Mortgage Investment Conduit
<TABLE>
<CAPTION>
PORTFOLIO COMPOSITION (MOODY'S RATINGS)
<S> <C>
Common Stocks..................................... 58%
Repurchase Agreement.............................. 5%
U.S. Government Obligations....................... 7%
U.S. Government Agency Obligations................ 13%
Corporate Notes and Bonds:
Aaa............................................... 2%
Aa................................................ 1%
A................................................. 4%
Baa............................................... 6%
Ba................................................ 3%
NR................................................ 1%
---
100%
===
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 35
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/CHICAGO TRUST BOND FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 54.32%
FEDERAL HOME LOAN BANK - 1.86%
$ 2,500,000 6.000%, 08/15/02........................ $ 2,479,550
------------
FEDERAL HOME LOAN
MORTGAGE CORPORATION - 8.78%
4,000,000 5.750%, 07/15/03........................ 3,918,800
2,500,000 5.850%, 02/21/06, Debenture............. 2,404,325
5,500,000 6.000%, 11/15/10, CMO,
Pool # 002115......................... 646,250
1,065,754 6.500%, 01/01/11, Gold
Pool # E00413......................... 1,045,772
984,449 6.500%, 11/01/11, Gold
Pool # G10607......................... 965,990
2,779,089 6.500%, 01/01/14, Gold
Pool # E00619......................... 2,726,981
------------
11,708,118
------------
FEDERAL NATIONAL
MORTGAGE ASSOCIATION - 15.92%
4,000,000 5.625%, 03/15/01........................ 3,977,080
1,609,159 7.000%, 01/01/13, Pool # 313966......... 1,607,646
1,232,892 7.000%, 03/01/13, Pool # 251572......... 1,231,734
2,689,631 6.000%, 06/01/13, Pool # 429584......... 2,586,241
2,275,586 6.000%, 08/01/13, Pool # 323250......... 2,188,113
1,092,781 7.500%, 07/01/23, Pool # 226065......... 1,095,513
1,365,170 7.500%, 11/01/27, Pool # 402193......... 1,368,583
1,896,474 6.500%, 09/01/28, Pool # 430877......... 1,818,245
2,864,458 6.500%, 10/01/28, Pool # 442329......... 2,746,299
2,616,855 7.500%, 10/01/29, Pool # 252874......... 2,621,762
------------
21,241,216
------------
GOVERNMENT NATIONAL
MORTGAGE ASSOCIATION - 5.74%
957,234 7.000%, 10/15/23, Pool # 345894......... 939,286
1,156,402 6.500%, 03/15/26, Pool # 422527......... 1,105,440
1,085,958 7.000%, 06/15/27, Pool # 780584......... 1,066,270
1,670,413 6.500%, 09/20/27, Pool # 002482......... 1,589,498
1,040,954 7.500%, 07/15/28, Pool # 464709......... 1,044,201
1,954,933 7.000%, 03/15/29, Pool # 505567......... 1,918,278
------------
7,662,973
------------
U.S. TREASURY BONDS - 8.62%
2,000,000 7.500%, 05/15/02........................ 2,075,280
2,500,000 7.125%, 02/15/23........................ 2,695,275
3,000,000 6.250%, 08/15/23........................ 2,934,270
,000,000 6.000%, 02/15/26........................ 3,792,400
------------
11,497,225
------------
U.S. TREASURY NOTES - 13.40%
2,500,000 7.125%, 02/29/00........................ 2,515,650
3,500,000 6.375%, 08/15/02........................ 3,544,450
4,000,000 5.750%, 08/15/03........................ 3,970,120
1,750,000 7.250%, 05/15/04........................ 1,833,598
2,000,000 6.500%, 05/15/05........................ 2,037,040
4,000,000 6.125%, 08/15/07........................ 3,983,640
------------
17,884,498
------------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS............................. 72,473,580
------------
(Cost $75,274,581)
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
CORPORATE NOTES AND BONDS - 31.58%
ENERGY - 3.13%
$ 1,500,000 Ashland, Inc. 6.625%, 02/15/08.......... $ 1,426,875
1,300,000 CMS Energy Corp 7.625%, 11/15/04........ 1,256,125
1,500,000 Williams Co., Inc. 5.950%, 02/15/00
(A)................................... 1,500,000
------------
4,183,000
------------
FINANCE - 9.85%
2,000,000 Advanta Corp., MTN 7.000%, 05/01/01..... 1,875,000
1,700,000 Chelsea GCA Realty Partnership, REIT
7.250%, 10/21/07...................... 1,576,750
1,000,000 Continental Corp. 7.250%, 03/01/03...... 990,000
1,250,000 Duke Capital Corp. 7.250%, 10/01/04..... 1,259,375
500,000 DVI, Inc., Senior Notes 9.875%,
02/01/04.............................. 487,500
500,000 HSBC America Capital I 7.808%, 12/15/26
(A)................................... 458,750
2,000,000 HSBC America Capital II 8.380%, 05/15/27
(A)................................... 1,932,500
1,500,000 Metropolitan Life Insurance Co. 6.300%,
11/01/03 (A).......................... 1,447,500
1,520,000 Pacific Mutual Life Insurance Co.
7.900%, 12/30/23 (A).................. 1,552,300
1,500,000 Prudential Insurance Co. of America
8.300%, 07/01/25 (A).................. 1,561,710
------------
13,141,385
------------
FOOD AND BEVERAGE - 1.63%
2,250,000 Nabisco, Inc. 6.850%, 06/15/05.......... 2,174,062
------------
HEALTHCARE SERVICES - 3.84%
1,000,000 Columbia Healthcare Corp. 6.125%,
12/15/00.............................. 973,750
2,000,000 HealthSouth Corp., Senior Notes 6.875%,
06/15/05.............................. 1,767,500
1,850,000 Omnicare, Inc. 5.000, 12/01/07.......... 1,179,375
1,500,000 Tenet Healthcare Corp. 6.000%,
12/01/05.............................. 1,198,125
------------
5,118,750
------------
METALS & MINING - 1.59%
2,200,000 Lukens, Inc. 7.625%, 08/01/04........... 2,123,000
------------
PRINTING AND PUBLISHING - 0.71%
1,000,000 News America Holdings 7.750%,
01/20/24.............................. 942,500
------------
RETAIL - 2.39%
2,375,000 Kmart Corp., Debenture 7.950%,
02/01/23.............................. 2,122,656
2,000,000 Pep Boys - Manny, Moe & Jack 3.031%,
09/20/11 (B).......................... 1,072,500
------------
3,195,156
------------
TECHNOLOGY - 2.89%
2,000,000 Motorola, Inc. 6.500%, 11/15/28......... 1,757,500
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 36
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/CHICAGO TRUST BOND FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
TECHNOLOGY (CONTINUED)
$ 2,500,000 Thermo Electron Corp. Subordinated
Debenture 4.250%, 01/01/03 (A)........ $ 2,100,000
------------
3,857,500
------------
TELECOMMUNICATIONS - 1.91%
2,750,000 AT&T Corp. 6.000%, 03/15/09............. 2,547,187
------------
TRANSPORTATION - 1.49%
2,000,000 American Airlines, Inc. 6.855%,
04/15/09.............................. 1,985,180
------------
UTILITIES - 2.15%
1,500,000 Gulf States Utilities, First Mortgage,
Series A 8.250%, 04/01/04............. 1,546,875
1,800,000 Niagara Mohawk Power Series F, Senior
Notes 8.500%, 07/01/10................ 1,316,250
------------
2,863,125
------------
TOTAL CORPORATE NOTES AND BONDS......... 42,130,845
------------
(Cost $43,343,556)
YANKEE BONDS - 4.11%
500,000 Chilgener S.A. Yankee (Chile) 6.500%,
01/15/06.............................. 438,750
1,000,000 Petroliam Nasional Berhad 7.625%,
10/15/26 (A).......................... 855,000
2,734,415 Province of Mendoza Collateral Oil
Royalty Note 10.000%, 07/25/02 (A).... 2,713,908
1,500,000 Skandinaviska Enskilda, Subordinated
Notes 5.656%, 03/29/49 (A)............ 1,470,000
------------
TOTAL YANKEE BONDS...................... 5,477,658
------------
(Cost $5,304,588)
NON-AGENCY/CMO MORTGAGE SECURITIES - 3.41%
1,000,000 First Union - Lehnman Brothers, CMO
Series 1997-C2, Class A2 6.600%,
05/18/07.............................. 978,750
1,500,000 GE Capital Mortgage Services, Inc., CMO,
REMIC Series 1998-9, Class A15
6.500%, 06/25/28 (C).................. 1,489,350
875,000 Midland Realty Acceptance Corp., CMO
Series 1996-C001, Class A2 7.475%,
08/25/28 (C).......................... 887,236
,250,000 Morgan (J.P.) Commercial Mortgage
Finance Corp. Series 1997-C7,
Class A2, CMO 6.507%, 10/15/35 (C).... 1,188,086
------------
TOTAL NON-AGENCY/CMO MORTGAGE
SECURITIES.............................. 4,543,422
------------
(Cost $4,641,307)
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
ASSET-BACKED SECURITIES - 1.86%
$ 2,500,000 Chemical Master Credit Card Trust I
Series 1996-1, Class A 5.550%,
09/15/03.............................. $ 2,484,575
------------
TOTAL ASSET-BACKED SECURITIES........... 2,484,575
------------
(Cost $2,455,286)
REPURCHASE AGREEMENT - 2.41%
3,217,000 Bank One 4.900%, dated 10/29/99 to be
repurchased on 11/01/99 at $3,218,314
(Collateralized by U.S. Treasury Note
5.625% due 12/31/02; Total Par
$3,261,000)........................... 3,217,000
------------
TOTAL REPURCHASE AGREEMENT.............. 3,217,000
------------
(Cost 3,217,000)
TOTAL INVESTMENTS - 97.69%........................... 130,327,080
------------
(Cost $134,236,318)*
NET OTHER ASSETS AND LIABILITIES - 2.31%............. 3,081,075
------------
NET ASSETS - 100.00%................................. $133,408,155
============
</TABLE>
- ------------------------------------------------
* Aggregate cost for Federal income tax purposes is $134,302,975.
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation..................... $ 661,492
Gross unrealized depreciation..................... (4,637,387)
-----------
Net unrealized appreciation....................... $(3,975,895)
===========
</TABLE>
(A) Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold, in transactions exempt from
registration, to qualified institutional buyers. At October 31, 1999, these
securities amounted to $15,591,668 or 11.69% of net assets.
(B) Zero Coupon Bond. Rate shown reflects effective yield to maturity at time
of purchase.
(C) Standard & Poor's (S&P) credit ratings are used in the absense of a rating
by Moody's Investors, Inc.
CMO Collateralized Mortgage Obligation
MTN Medium Term Note
REIT Real Estate Investment Trust
REMIC Real Estate Mortgage Investment Conduit
<TABLE>
<CAPTION>
PORTFOLIO COMPOSITION (MOODY'S RATINGS)
<S> <C>
Repurchase Agreement................................... 2%
U.S. Government Obligations............................ 33%
U.S. Government Agency Obligations..................... 22%
Corporate Notes and Bonds:
Aaa.................................................... 5%
Aa..................................................... 2%
A...................................................... 10%
Baa.................................................... 15%
Ba..................................................... 7%
B...................................................... 2%
NR..................................................... 2%
---
100%
===
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 37
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/CHICAGO TRUST MUNICIPAL BOND FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
MUNICIPAL SECURITIES - 96.76%
ALASKA - 1.53%
$280,000 Anchorage, Alaska, G.O. 5.000%,
07/01/13.............................. $ 262,676
-----------
ARIZONA - 5.62%
300,000 Phoenix, Series 1999, G.O. 5.250%,
07/01/12.............................. 296,292
450,000 Salt River Project Electric System
Revenue Refunding, Series A 5.500%,
01/01/05.............................. 464,765
200,000 Tucson, Arizona Water Revenue 5.400%,
07/01/05.............................. 205,932
-----------
966,989
-----------
CALIFORNIA - 2.06%
350,000 San Francisco City & County Airports
Revenue Series-23A 5.500%, 05/01/10
Insured: FGIC......................... 355,159
-----------
FLORIDA - 5.30%
265,000 Dade County, Florida State School
District, G.O. 5.000%, 07/15/02
Insured: MBIA......................... 269,378
250,000 Hillsborough County, G.O. 5.000%,
07/01/11 Insured: MBIA................ 242,775
200,000 Manatee County Pollution Control Revenue
Florida Power & Light Co. Project
3.500%, 09/01/24 (A).................. 200,000
200,000 St. Lucie County Pollution Control
Revenue Florida Power & Light Co.
Project 3.500%, 01/01/26 (A).......... 200,000
-----------
912,153
-----------
GEORGIA - 4.74%
330,000 Atlanta Water and Waste Revenue
Series A 5.000%, 11/01/09 Insured:
FGIC.................................. 325,281
250,000 State of Georgia, Series A, G.O. 6.100%,
03/01/05.............................. 266,472
200,000 State of Georgia, Series D, G.O. 6.700%,
08/01/09.............................. 225,236
-----------
816,989
-----------
ILLINOIS - 4.43%
200,000 Chicago Emergency Telephone System, G.O.
5.250%, 01/01/12 Insured: FGIC........ 193,000
250,000 Cook County, Illinois, Series A, G.O.
5.000%, 11/15/15 Insured: FGIC........ 224,107
350,000 State of Illinois, G.O. 5.000%,
03/01/08.............................. 345,870
-----------
762,977
-----------
KENTUCKY - 2.10%
350,000 Kentucky State Turnpike Authority
Economic Development Revenue 5.700%,
01/01/03.............................. 360,853
-----------
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
MICHIGAN - 4.71%
$300,000 Clarkston Community Schools 5.000%,
05/01/06 Insured: AMBAC............... $ 301,404
250,000 Michigan State Trunk Line, Series A
5.500%, 11/01/16...................... 242,353
260,000 Utica Community Schools 5.375%, 05/01/04
Insured: FGIC......................... 267,103
-----------
810,860
-----------
MINNESOTA - 3.87%
245,000 Minneapolis & St. Paul Housing Finance
Board Revenue 5.050%, 11/01/07 (B).... 240,389
250,000 Minneapolis & St. Paul Metropolitan
Airport Revenue, Series B 5.250%,
01/01/15 Insured: AMBAC............... 231,825
200,000 Shakopee Independent School District,
G.O. 4.500%, 02/01/06................. 194,828
-----------
667,042
-----------
MISSISSIPPI - 2.12%
350,000 State of Mississippi, Series I 5.750%,
11/01/09 (B).......................... 365,285
-----------
NEBRASKA - 3.69%
200,000 American Public Energy Agency Revenue,
Series A 4.250%, 06/01/06 Insured:
AMBAC................................. 188,600
250,000 American Public Energy Agency Revenue,
Series C 4.300%, 03/01/11 Insured:
AMBAC................................. 219,995
250,000 Nebraska Public Power District Revenue,
Series A 5.000%, 01/01/15 Insured:
MBIA.................................. 227,277
-----------
635,872
-----------
NEVADA - 3.80%
350,000 Clark County, Nevada School District,
G.O. 6.400%, 06/15/06 Insured: FGIC... 380,485
300,000 State of Nevada, G.O. Real Property
Corp. Certificates 4.375%, 07/01/09... 273,975
-----------
654,460
-----------
NEW HAMPSHIRE - 1.39%
250,000 New Hampshire State Housing Finance
Authority Single Family Revenue,
Series B 4.850%, 07/01/08............. 238,975
-----------
NEW JERSEY - 3.53%
250,000 State of New Jersey, G.O. 5.000%,
02/01/06.............................. 252,722
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 38
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/CHICAGO TRUST MUNICIPAL BOND FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
NEW JERSEY (CONTINUED)
$350,000 State of New Jersey Transportation Trust
Fund Revenue, Series A Escrowed to
Maturity 5.200%, 12/15/00 Insured:
AMBAC................................. $ 355,289
-----------
608,011
-----------
NEW YORK - 5.79%
300,000 Municipal Assistance Corporation for NYC
Revenue, Series O 5.250%, 07/01/08.... 302,787
250,000 New York, Series F, G.O. 4.300%,
08/01/08.............................. 227,195
250,000 New York City Municipal Water Finance
Authority Revenue, Series A 5.000%,
06/15/27.............................. 212,383
250,000 New York State Dormitory Authority
Revenue, Series C 5.100%, 05/15/03.... 253,835
-----------
996,200
-----------
NORTH CAROLINA - 1.57%
300,000 Durham, G.O. 4.700%, 04/01/14........... 270,948
-----------
OHIO - 2.64%
250,000 Ohio State Highway Capital Improvement,
Series C, G.O. 5.000%, 05/01/07....... 251,320
200,000 Ohio State Public Facilities Commission
(Higher Education), Series II-A
5.200%, 05/01/01 Insured: AMBAC....... 202,902
-----------
454,222
-----------
PENNSYLVANIA - 1.21%
215,000 Pennsylvania Housing Finance Agency
Single Family Mortgage, Series 47
5.000%, 10/01/09...................... 208,692
-----------
PUERTO RICO - 2.49%
400,000 Commonwealth of Puerto Rico Series A,
G.O. 6.500%, 07/01/03 Insured: MBIA... 428,376
-----------
TENNESSEE - 3.02%
270,000 Johnson City Water and Sewer, G.O.
5.250%, 06/01/10 Insured: FGIC........ 269,879
250,000 Memphis, G.O. General Improvement,
Series B 5.250%, 10/01/10............. 250,092
-----------
519,971
-----------
TEXAS - 6.70%
245,000 Denton Independent School District
Refunding, G.O. 5.000%, 02/15/12...... 233,191
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
TEXAS (CONTINUED)
$200,000 Humble Independent School District
Refunding, G.O. 5.500%, 02/15/10...... $ 203,046
250,000 Lubbock, G.O. 4.550%, 02/15/12.......... 224,427
280,000 Lubbock Independent School District
Refunding, G.O. 5.000%, 02/15/09...... 277,009
210,000 Tarrant County Health Facilities
Development Corp. Health System
Revenue, Series A 5.500%, 02/15/05
Insured: MBIA......................... 215,158
-----------
1,152,831
-----------
UTAH - 5.69%
300,000 Intermountain Power Agency Power Supply
Revenue 6.250%, 07/01/07 Insured:
FSA................................... 322,344
350,000 Tooele County, Utah Hazardous Waste
Treatment Revenue 5.700%, 11/01/26.... 305,204
350,000 Utah State Building Ownership Authority
Lease Revenue, Series A State
Facilities Master Lease PG-C 5.500%,
05/15/11 Insured: FSA................. 352,520
-----------
980,068
-----------
VIRGINIA - 4.56%
300,000 Newport News, Series B, G.O. 4.750%,
03/01/11.............................. 282,510
250,000 Virginia State Housing Development
Authority Commonwealth Mortgage
Series H 4.750%, 07/01/07............. 241,253
250,000 Virginia State Public School Authority
Revenue 5.500%, 08/01/03.............. 261,780
-----------
785,543
-----------
WASHINGTON - 6.81%
475,000 King County, Series A, G.O. 5.800%,
01/01/04.............................. 494,641
350,000 Seattle, Series B, G.O. 5.000%,
12/01/06.............................. 351,330
320,000 State of Washington, G.O. Motor Vehicle
Fuel, Series R-93C 5.375%,
09/01/07.............................. 326,954
-----------
1,172,925
-----------
WISCONSIN - 7.39%
250,000 Fond Du Lac School District, G.O.
4.500%, 04/01/08 Insured: FGIC........ 234,842
500,000 Green Bay, Series A, G.O. 5.100%,
04/01/00.............................. 502,660
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 39
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/CHICAGO TRUST MUNICIPAL BOND FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
MARKET
PAR VALUE VALUE
- --------- -----
<C> <S> <C>
WISCONSIN (CONTINUED)
$250,000 State of Wisconsin, Series A, G.O.
5.750%, 05/01/04...................... $ 260,908
300,000 Wisconsin Housing & Economic Development
Authority Home Ownership Revenue
Series A 5.375%, 09/01/17............. 274,332
-----------
1,272,742
-----------
TOTAL MUNICIPAL SECURITIES.............. 16,660,819
-----------
(Cost $17,258,888)
<CAPTION>
SHARES
- ------
<C> <S> <C>
INVESTMENT COMPANIES - 3.94%
272,001 Goldman Sachs Tax Exempt Fund........... 272,001
407,766 Provident Money Market.................. 407,766
-----------
TOTAL INVESTMENT COMPANIES.............. 679,767
-----------
(Cost $679,767)
TOTAL INVESTMENTS - 100.70%........................ 17,340,586
-----------
(Cost $17,938,655)*
LIABILITIES NET OF CASH AND OTHER ASSETS
- - (0.70)%.......................................... (121,291)
-----------
NET ASSETS - 100.00%............................... $17,219,295
===========
</TABLE>
- -------------------------------------------------
* Aggregate cost for Federal income tax purposes is $17,938,655.
<TABLE>
<CAPTION>
<S> <C>
Gross unrealized appreciation..................... $ 125,279
Gross unrealized depreciation..................... (723,348)
------------
Net unrealized depreciation....................... $ (598,069)
============
</TABLE>
(A) Variable rate bond. The interest rate shown reflects the rate in effect at
October 31, 1999.
(B) Standard & Poor's (S&P) credit ratings are used in the absence of a rating
by Moody's Investors, Inc.
AMBAC American Municipal Board Assurance Corp.
FGIC Federal Guaranty Insurance Corp.
FSA Fund Services Associates
G.O. General Obligation
MBIA Municipal Bond Insurance Corporation
<TABLE>
<CAPTION>
PORTFOLIO COMPOSITION (MOODY'S RATINGS)
<S> <C>
Investment Companies.............................. 4%
Corporate Notes and Bonds:
Aaa............................................... 43%
Aa................................................ 44%
A................................................. 7%
Baa............................................... 2%
---
100%
===
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 40
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/CHICAGO TRUST MONEY MARKET FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS
<TABLE>
<CAPTION>
AMORTIZED
PAR VALUE COST
- --------- ----
<C> <S> <C>
COMMERCIAL PAPER - 85.03%
$ 5,600,000 AON Corp. 5.420%, 11/01/99 (A).......... $ 5,600,000
7,000,000 Sears Roebuck Acceptance Corp. 5.352%,
11/01/99.............................. 7,000,000
4,000,000 Toyota Motor Credit Corp. 5.280%,
11/01/99 (A).......................... 4,000,000
6,000,000 American Express Credit Corp. 5.313%,
11/02/99.............................. 6,000,000
11,584,000 AON Corp. 5.400%, 11/02/99 (A).......... 11,582,262
5,000,000 Chevron USA, Inc. 5.321%, 11/02/99...... 5,000,000
6,000,000 CIT Group Holdings 5.311%, 11/03/99..... 6,000,000
5,000,000 Exxon Credit Corp. 5.284%, 11/03/99..... 5,000,000
5,000,000 Toyota Motor Credit Corp. 5.280%,
11/03/99 (A).......................... 4,998,533
7,000,000 Albertson, Inc. 5.290%, 11/04/99 (A).... 6,996,914
5,000,000 Associates First Capital Corp. 5.344%,
11/04/99.............................. 5,000,000
5,800,000 Hertz Corp. 5.332%, 11/04/99............ 5,800,000
4,000,000 American Express Credit Corp. 5.275%,
11/05/99.............................. 4,000,000
6,300,000 Heller Financial, Inc. 5.395%,
11/05/99.............................. 6,300,000
6,800,000 Hertz Corp. 5.294%, 11/05/99............ 6,800,000
7,500,000 Associates First Capital Corp. 5.336%,
11/08/99.............................. 7,500,000
5,000,000 Norwest Financial, Inc. 5.278%,
11/08/99.............................. 5,000,000
9,000,000 Eaton Corp. 5.370%, 11/09/99 (A)........ 8,989,260
6,000,000 Norwest Financial, Inc. 5.317%,
11/09/99.............................. 6,000,000
4,900,000 American Express Credit Corp. 5.251%,
11/10/99.............................. 4,900,000
7,500,000 Daimler Chrysler North American Holdings
5.327%, 11/12/99...................... 7,500,000
8,000,000 Eaton Corp. 5.370%, 11/12/99 (A)........ 7,986,873
6,100,000 Heller Financial, Inc. 5.422%,
11/15/99.............................. 6,100,000
7,000,000 Toyota Motor Credit Corp. 5.280%,
11/15/99 (A).......................... 6,985,627
7,000,000 American General Finance 5.331%,
11/16/99.............................. 7,000,000
4,900,000 Associates Corp. of North America
5.256%, 11/16/99...................... 4,900,000
5,400,000 GTE Corp. 5.330%, 11/17/99 (A).......... 5,387,208
5,000,000 Norwest Financial, Inc. 5.285%,
11/17/99.............................. 5,000,000
7,000,000 General Electric Capital Corp. 5.356%,
11/18/99.............................. 7,000,000
5,200,000 GTE Corp. 5.350%, 11/18/99 (A).......... 5,186,863
4,000,000 Baxter International, Inc. 5.330%,
11/19/99 (A).......................... 3,989,340
5,200,000 Hertz Corp. 5.335%, 11/19/99............ 5,200,000
<CAPTION>
AMORTIZED
PAR VALUE COST
- --------- ----
<C> <S> <C>
$ 6,000,000 Baxter International, Inc. 5.320%,
11/22/99 (A).......................... $ 5,981,380
8,000,000 Sears Roebuck Acceptance Corp. 5.356%,
11/23/99.............................. 8,000,000
6,900,000 CIT Group Holdings 5.303%, 11/24/99..... 6,900,000
6,600,000 General Motors Acceptance Corp. 5.360%,
11/24/99.............................. 6,600,000
6,000,000 General Motors Acceptance Corp. 5.318%,
12/01/99.............................. 6,000,000
6,000,000 American General Finance 5.329%,
12/02/99.............................. 6,000,000
10,000,000 Household Finance Corp. 5.415%,
01/04/00.............................. 10,000,000
6,000,000 Ford Motor Credit Corp. 5.416%,
01/05/00.............................. 6,000,000
5,500,000 Ford Motor Credit Corp. 5.995%,
01/06/00.............................. 5,500,000
6,000,000 Ford Motor Credit Corp. 5.988%,
01/07/00.............................. 6,000,000
4,400,000 Prudential Funding Corp. 5.937%,
01/10/00.............................. 4,400,000
9,000,000 General Electric Capital Corp. 5.924%,
01/18/00.............................. 9,000,000
5,300,000 Daimler Chrysler North American Holdings
6.049%, 01/19/00...................... 5,300,000
4,600,000 Heller Financial, Inc. 6.100%,
01/19/00.............................. 4,600,000
------------
TOTAL COMMERCIAL PAPER.................. 284,984,260
------------
(Cost $284,984,260)
CERTIFICATES OF DEPOSITS - 8.06%
7,000,000 Canadian Imperial Bank 5.310%,
11/10/99.............................. 7,000,000
5,000,000 Toronto Dominion Bank, Yankee 5.330%,
12/27/99.............................. 5,000,000
5,000,000 Toronto Dominion Bank, Yankee 5.330%,
12/28/99.............................. 5,000,000
4,000,000 Canadian Imperial Bank 5.400%,
12/29/99.............................. 4,000,000
6,000,000 Canadian Imperial Bank 5.390%,
12/30/99.............................. 6,000,000
------------
TOTAL CERTIFICATES OF DEPOSITS.......... 27,000,000
------------
(Cost $27,000,000)
GIC WITHIN FUNDING AGREEMENT - 2.98%
10,000,000 Allstate Life Funding Agreement GIC
5.451%, 12/01/99...................... 10,000,000
------------
TOTAL GIC WITHIN FUNDING AGREEMENT...... 10,000,000
------------
(Cost $10,000,000)
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 41
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/CHICAGO TRUST MONEY MARKET FUND OCTOBER 31, 1999
SCHEDULE OF INVESTMENTS -- CONTINUED
<TABLE>
<CAPTION>
AMORTIZED
PAR VALUE COST
- --------- ----
<C> <S> <C>
U.S. GOVERNMENT OBLIGATIONS - 2.96% (A)
U.S. TREASURY BILLS - 2.96%
$ 5,000,000 4.720%, 01/06/00........................ $ 4,956,825
5,000,000 4.710%, 01/13/00........................ 4,952,145
------------
TOTAL U.S. GOVERNMENT OBLIGATIONS....... 9,908,970
------------
(Cost $9,908,970)
REPURCHASE AGREEMENT - 0.36%
1,196,000 Bank One 5.050%, dated 10/29/99 to be
repurchased on 11/01/99 at $1,196,503
(Collateralized by U.S. Treasury Note
5.625%, due 04/30/99; Total Par
$1,186,000)........................... 1,196,000
------------
TOTAL REPURCHASE AGREEMENT.............. 1,196,000
------------
(Cost $1,196,000)
TOTAL INVESTMENTS - 99.39%........................... 333,089,230
------------
(Cost $333,089,230)*
NET OTHER ASSETS AND LIABILITIES - 0.61%............. 2,050,985
------------
NET ASSETS - 100.00%................................. $335,140,215
============
</TABLE>
- ------------------------------------------------
(A) Annualized yield at time of purchase.
* At October 31, 1999, cost is identical for book and Federal income tax
purposes.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 42
<PAGE>
This page intentionally left blank.
- 43
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
OCTOBER 31, 1999
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
ALLEGHANY/MONTAG ALLEGHANY/CHICAGO
& CALDWELL GROWTH TRUST GROWTH & ALLEGHANY/CHICAGO
FUND INCOME FUND TRUST TALON FUND
-------------------- ----------------- -----------------
<S> <C> <C> <C>
ASSETS:
Investments:
Investments at
cost............. $ 2,268,053,537 $ 257,704,050 $ 15,820,271
Repurchase
agreements....... -- 37,861,000 --
Net unrealized
appreciation
(depreciation)... 672,502,986 193,742,849 1,455,044
---------------- -------------- -------------
Total investments
at value......... 2,940,556,523 489,307,899 17,275,315
Cash..................... -- 633 --
Foreign currency (cost
$65,793 and
$147,204).............. -- -- --
Receivables:
Dividends and
interest......... 1,964,940 101,275 2,354
Dividends
reclaim.......... -- -- --
Fund shares sold... 4,211,445 1,567,681 169,120
Investments and
foreign currency
sold............. 44,691,489 -- 1,142,174
Deferred organization
costs.................. -- -- --
Other assets............. 4,034 36,796 25
---------------- -------------- -------------
Total assets..... 2,991,428,431 491,014,284 18,588,988
---------------- -------------- -------------
LIABILITIES:
Payables:
Bank overdraft..... -- -- --
Investments and
foreign currency
purchased........ 3,686,384 -- 940,552
Fund shares
redeemed......... 3,058,945 457,514 --
Due to Adviser,
net.............. 1,571,830 278,293 8,796
Distribution fee... 1,039 -- 24,885
Trustees fees...... 10,830 1,609 60
Accrued expenses and
other payables......... 630,826 88,086 28,657
Forward currency
contracts.............. -- -- --
---------------- -------------- -------------
Total
liabilities.... 8,959,854 825,502 1,002,950
---------------- -------------- -------------
NET ASSETS............... $ 2,982,468,577 $ 490,188,782 $ 17,586,038
================ ============== =============
NET ASSETS CONSIST OF:
Capital paid-in........ $ 2,161,208,216 $ 260,397,998 $ 15,935,746
Accumulated
undistributed net
investment income.... -- -- --
Accumulated net
realized gain (loss)
on investments and
foreign currency
transactions......... 148,757,375 36,047,935 195,248
Net unrealized
appreciation
(depreciation) on
investments and
translation of assets
and liabilities in
foreign currency..... 672,502,986 193,742,849 1,455,044
---------------- -------------- -------------
TOTAL NET ASSETS..... $ 2,982,468,577 $ 490,188,782 $ 17,586,038
================ ============== =============
CLASS N:
Net Assets............. $ 1,612,795,648 $ 490,188,782 $ 17,586,038
Shares of beneficial
interest
outstanding.......... 48,657,984 17,687,623 1,307,041
NET ASSET VALUE
Offering and
redemption price per
share
(Net Assets/Shares
Outstanding)......... $ 33.15 $ 27.71 $ 13.45
================ ============== =============
CLASS I:
Net Assets............. $ 1,369,672,929 N/A N/A
Shares of beneficial
interest
outstanding.......... 40,935,807 N/A N/A
NET ASSET VALUE
Offering and
redemption price per
share
(Net Assets/Shares
Outstanding)......... $ 33.46 N/A N/A
================ ============== =============
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 44
<PAGE>
<TABLE>
<CAPTION>
ALLEGHANY/CHICAGO ALLEGHANY/BLAIRLOGIE ALLEGHANY/BLAIRLOGIE
TRUST SMALL CAP ALLEGHANY/VEREDUS INTERNATIONAL EMERGING MARKETS
VALUE FUND AGGRESSIVE GROWTH FUND DEVELOPED FUND FUND
----------------- ---------------------- -------------------- --------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments:
Investments at
cost............. $ 43,590,064 $ 44,518,433 $ 85,659,040 $ 16,490,076
Repurchase
agreements....... 162,000 3,120,553 -- --
Net unrealized
appreciation
(depreciation)... (1,847,764) 10,445,303 14,318,209 960,873
------------- ------------- -------------- --------------
Total investments
at value......... 41,904,300 58,084,289 99,977,249 17,450,949
Cash..................... 258 340,988 926,305 --
Foreign currency (cost
$65,793 and
$147,204).............. -- -- 65,427 147,200
Receivables:
Dividends and
interest......... 12,019 1,801 149,607 19,115
Dividends
reclaim.......... -- -- 119,703 --
Fund shares sold... 436,451 303,902 4,757,202 1,028,034
Investments and
foreign currency
sold............. 312,536 859,987 473,917 101,607
Deferred organization
costs.................. -- 17,635 -- --
Other assets............. 34,599 12,234 -- 883
------------- ------------- -------------- --------------
Total assets..... 42,700,163 59,620,836 106,469,410 18,747,788
------------- ------------- -------------- --------------
LIABILITIES:
Payables:
Bank overdraft..... -- -- -- 59,290
Investments and
foreign currency
purchased........ 87,650 2,194,626 1,717,381 347,455
Fund shares
redeemed......... 81,154 88,277 46,915 63
Due to Adviser,
net.............. 30,530 35,390 68,664 3,793
Distribution fee... 1,866 5,012 1,325 341
Trustees fees...... 155 225 363 60
Accrued expenses and
other payables......... 20,544 15,732 51,205 28,077
Forward currency
contracts.............. -- -- 191 537
------------- ------------- -------------- --------------
Total
liabilities.... 221,899 2,339,262 1,886,044 439,616
------------- ------------- -------------- --------------
NET ASSETS............... $ 42,478,264 $ 57,281,574 $ 104,583,366 $ 18,308,172
============= ============= ============== ==============
NET ASSETS CONSIST OF:
Capital paid-in........ $ 45,463,872 $ 38,858,914 $ 80,998,994 $ 34,859,992
Accumulated
undistributed net
investment income.... 146,540 -- 717,458 45,132
Accumulated net
realized gain (loss)
on investments and
foreign currency
transactions......... (1,284,384) 7,977,357 8,545,089 (17,546,101)
Net unrealized
appreciation
(depreciation) on
investments and
translation of assets
and liabilities in
foreign currency..... (1,847,764) 10,445,303 14,321,825 949,149
------------- ------------- -------------- --------------
TOTAL NET ASSETS..... $ 42,478,264 $ 57,281,574 $ 104,583,366 $ 18,308,172
============= ============= ============== ==============
CLASS N:
Net Assets............. $ 42,478,264 $ 57,281,574 $ 7,516,003 $ 1,728,989
Shares of beneficial
interest
outstanding.......... 4,624,913 3,449,915 562,018 160,832
NET ASSET VALUE
Offering and
redemption price per
share
(Net Assets/Shares
Outstanding)......... $ 9.18 $ 16.60 $ 13.37 $ 10.75
============= ============= ============== ==============
CLASS I:
Net Assets............. N/A N/A $ 97,067,363 $ 16,579,183
Shares of beneficial
interest
outstanding.......... N/A N/A 7,242,933 1,536,876
NET ASSET VALUE
Offering and
redemption price per
share
(Net Assets/Shares
Outstanding)......... N/A N/A $ 13.40 $ 10.79
============= ============= ============== ==============
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 45
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
OCTOBER 31, 1999
STATEMENT OF ASSETS AND LIABILITIES -- CONTINUED
<TABLE>
<CAPTION>
ALLEGHANY/MONTAG
& CALDWELL BALANCED ALLEGHANY/CHICAGO
FUND TRUST BALANCED FUND
---------------------- -------------------
<S> <C> <C>
ASSETS:
Investments:
Investments at
cost............. $ 210,367,417 $ 200,628,996
Repurchase
agreements....... 6,533,000 15,920,000
Net unrealized
appreciation
(depreciation)... 33,059,120 75,652,092
-------------- --------------
Total investments
at value......... 249,959,537 292,201,088
Cash..................... -- 70
Receivables:
Dividends and
interest......... 1,746,104 1,459,404
Fund shares sold... 163,190 282,448
Investments and
foreign currency
sold............. 2,865,918 919,859
Due from Adviser,
net.............. -- --
Deferred organization
costs.................. -- 1,232
Other assets............. 335 12,676
-------------- --------------
Total assets..... 254,735,084 294,876,777
-------------- --------------
LIABILITIES:
Payables:
Bank overdraft..... 105 --
Dividend
distribution..... -- --
Investments and
foreign currency
purchased........ 2,572,986 --
Fund shares
redeemed......... 734,016 87,240
Due to Adviser,
net.............. 152,920 171,540
Distribution fee... 268 111,323
Trustees fees...... 921 1,088
Accrued expenses and
other payables......... 81,819 79,569
-------------- --------------
Total
liabilities.... 3,543,035 450,760
-------------- --------------
NET ASSETS............... $ 251,192,049 $ 294,426,017
============== ==============
NET ASSETS CONSIST OF:
Capital paid-in........ $ 205,520,227 $ 209,582,560
Accumulated
undistributed net
investment income
(loss)............... 660,478 976,162
Accumulated net
realized gain (loss)
on investments....... 11,952,224 8,215,203
Net unrealized
appreciation
(depreciation) on
investments.......... 33,059,120 75,652,092
-------------- --------------
TOTAL NET ASSETS..... $ 251,192,049 $ 294,426,017
============== ==============
CLASS N:
Net Assets............. $ 160,285,898 $ 294,426,017
Shares of beneficial
interest
outstanding.......... 8,256,854 22,580,601
NET ASSET VALUE
Offering and
redemption price per
share
(Net Assets/Shares
Outstanding)......... $ 19.41 $ 13.04
============== ==============
CLASS I:
Net Assets............. $ 90,906,151 N/A
Shares of beneficial
interest
outstanding.......... 4,681,242 N/A
NET ASSET VALUE
Offering and
redemption price per
share
(Net Assets/Shares
Outstanding)......... $ 19.42 N/A
============== ==============
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 46
<PAGE>
<TABLE>
<CAPTION>
ALLEGHANY/CHICAGO ALLEGHANY/CHICAGO
ALLEGHANY/CHICAGO TRUST MUNICIPAL TRUST MONEY MARKET
TRUST BOND FUND BOND FUND FUND
----------------- ----------------- ------------------
<S> <C> <C> <C>
ASSETS:
Investments:
Investments at
cost............. $ 131,019,318 $ 17,938,655 $ 331,893,230
Repurchase
agreements....... 3,217,000 -- 1,196,000
Net unrealized
appreciation
(depreciation)... (3,909,238) (598,069) --
-------------- ------------- --------------
Total investments
at value......... 130,327,080 17,340,586 333,089,230
Cash..................... 9 218 --
Receivables:
Dividends and
interest......... 1,800,576 268,851 802,732
Fund shares sold... 337,936 -- 2,740,828
Investments and
foreign currency
sold............. 1,137,894 -- --
Due from Adviser,
net.............. -- 6,615 --
Deferred organization
costs.................. -- -- --
Other assets............. 4,081 1,207 486
-------------- ------------- --------------
Total assets..... 133,607,576 17,617,477 336,633,276
-------------- ------------- --------------
LIABILITIES:
Payables:
Bank overdraft..... -- -- 1,594
Dividend
distribution..... -- -- 1,233,893
Investments and
foreign currency
purchased........ -- 365,985 --
Fund shares
redeemed......... 75,592 -- 71,831
Due to Adviser,
net.............. 46,104 -- 116,442
Distribution fee... 51,867 10,027 --
Trustees fees...... 419 66 1,386
Accrued expenses and
other payables......... 25,439 22,104 67,915
-------------- ------------- --------------
Total
liabilities.... 199,421 398,182 1,493,061
-------------- ------------- --------------
NET ASSETS............... $ 133,408,155 $ 17,219,295 $ 335,140,215
============== ============= ==============
NET ASSETS CONSIST OF:
Capital paid-in........ $ 137,342,122 $ 17,789,668 $ 335,140,215
Accumulated
undistributed net
investment income
(loss)............... 426,916 37,926 --
Accumulated net
realized gain (loss)
on investments....... (451,645) (10,230) --
Net unrealized
appreciation
(depreciation) on
investments.......... (3,909,238) (598,069) --
-------------- ------------- --------------
TOTAL NET ASSETS..... $ 133,408,155 $ 17,219,295 $ 335,140,215
============== ============= ==============
CLASS N:
Net Assets............. $ 133,408,155 $ 17,219,295 $ 335,140,215
Shares of beneficial
interest
outstanding.......... 13,736,815 1,769,602 335,140,215
NET ASSET VALUE
Offering and
redemption price per
share
(Net Assets/Shares
Outstanding)......... $ 9.71 $ 9.73 $ 1.00
============== ============= ==============
CLASS I:
Net Assets............. N/A N/A N/A
Shares of beneficial
interest
outstanding.......... N/A N/A N/A
NET ASSET VALUE
Offering and
redemption price per
share
(Net Assets/Shares
Outstanding)......... N/A N/A N/A
============== ============= ==============
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 47
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
FOR THE YEAR ENDED OCTOBER 31, 1999
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
ALLEGHANY/MONTAG ALLEGHANY/CHICAGO ALLEGHANY/CHICAGO
& CALDWELL GROWTH TRUST GROWTH & ALLEGHANY/CHICAGO TRUST SMALL CAP
FUND INCOME FUND TRUST TALON FUND VALUE FUND(A)
----------------- ----------------- ----------------- -----------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends............ $ 21,191,768 $ 2,764,146 $ 151,058 $ 537,235
Less foreign taxes... -- -- -- --
Interest............. 951,078 991,694 54,238 147,182
-------------- -------------- ---------- -------------
Total investment
income........... 22,142,846 3,755,840 205,296 684,417
-------------- -------------- ---------- -------------
EXPENSES:
Investment advisory
fees............... 16,451,953 3,230,163 164,312 358,830
Distribution
expenses........... 3,422,774 1,153,630 51,347 89,624
Transfer agent
fees............... 807,503 134,004 28,606 21,807
Administration
fees............... 1,357,663 254,852 13,011 22,122
Registration
expenses........... 272,249 32,220 12,589 25,944
Custodian fees....... 26,479 20,599 13,613 15,544
Professional fees.... 58,465 23,363 16,108 15,310
Amortization of
organization
costs.............. 3,338 577 2,944 --
Reports to
shareholder
expense............ 179,369 32,811 2,092 2,921
Trustees fees........ 72,973 12,729 665 998
Other expenses....... 129,543 2,704 2,461 1,465
-------------- -------------- ---------- -------------
Total operating
expenses......... 22,782,309 4,897,652 307,748 554,565
-------------- -------------- ---------- -------------
Expenses
waived/reimbursed... -- -- (40,814) (52,755)
-------------- -------------- ---------- -------------
Net operating
expenses......... 22,782,309 4,897,652 266,934 501,810
-------------- -------------- ---------- -------------
Bank charges......... -- -- -- --
-------------- -------------- ---------- -------------
Net expenses....... 22,782,309 4,897,652 266,934 501,810
-------------- -------------- ---------- -------------
NET INVESTMENT INCOME
(LOSS)................. (639,463) (1,141,812) (61,638) 182,607
-------------- -------------- ---------- -------------
NET REALIZED AND
UNREALIZED
GAIN (LOSS) ON
INVESTMENTS:
Net realized gain
(loss) on
investments........ 148,878,688 36,048,190 567,265 (1,284,384)
Net realized gain on
futures
contracts.......... -- -- -- --
Net realized gain
(loss) on foreign
currency
transactions....... -- -- -- --
Net change in
unrealized
appreciation
(depreciation) on
investments........ 416,154,751 69,358,356 187,313 (1,847,764)
Net change in
unrealized
appreciation
(depreciation) on
futures
contracts.......... -- -- -- --
Net change in
unrealized
appreciation on
translation of
assets and
liabilities
denominated in
foreign currency... -- -- -- --
-------------- -------------- ---------- -------------
NET REALIZED AND
UNREALIZED
GAIN (LOSS) ON
INVESTMENTS........ 565,033,439 105,406,546 754,578 (3,132,148)
-------------- -------------- ---------- -------------
NET INCREASE
(DECREASE) IN
NET ASSETS FROM
OPERATIONS......... $ 564,393,976 $ 104,264,734 $ 692,940 $ (2,949,541)
============== ============== ========== =============
</TABLE>
- ---------------------------------------------------------
(a) Alleghany/Chicago Trust Small Cap Value Fund commenced investment
operations on November 10, 1998.
(b) Blairlogie International Developed Fund and Blairlogie Emerging Markets
Fund commenced operations on June 8, 1993 and June 1, 1993, respectively,
as separate investment portfolios (the "Predecessor Funds") of PIMCO Funds.
Effective April 30, 1999, the Predecessor Funds were reorganized as new
portfolios of the Alleghany Funds. (See Note A)
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 48
<PAGE>
<TABLE>
<CAPTION>
ALLEGHANY/BLAIRLOGIE ALLEGHANY/BLAIRLOGIE ALLEGHANY/BLAIRLOGIE
INTERNATIONAL INTERNATIONAL EMERGING MARKETS
DEVELOPED FUND DEVELOPED FUND FUND
ALLEGHANY/VEREDUS SIX MONTHS ENDED TEN MONTHS ENDED SIX MONTHS ENDED
AGGRESSIVE GROWTH FUND OCTOBER 31, 1999(B) APRIL 30, 1999(B) OCTOBER 31, 1999(B)
---------------------- -------------------- -------------------- --------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends............ $ 17,042 $ 1,394,237 $ 1,181,911 $ 233,553
Less foreign taxes... -- (165,999) (150,859) (11,120)
Interest............. 146,038 17,573 187,723 12,597
------------- ------------ ------------ ----------
Total investment
income........... 163,080 1,245,811 1,218,775 235,030
------------- ------------ ------------ ----------
EXPENSES:
Investment advisory
fees............... 312,271 439,792 611,052 78,010
Distribution
expenses........... 73,576 9,005 82,795 2,233
Transfer agent
fees............... 21,538 9,648 -- 4,248
Administration
fees............... 18,568 40,755 522,631 17,137
Registration
expenses........... 19,838 12,500 -- 11,000
Custodian fees....... 12,778 64,399 -- 38,819
Professional fees.... 15,160 16,884 -- 16,157
Amortization of
organization
costs.............. 5,108 -- -- --
Reports to
shareholder
expense............ 2,458 5,170 -- 917
Trustees fees........ 3,889 1,748 9,489 309
Other expenses....... 1,327 7,827 46,231 829
------------- ------------ ------------ ----------
Total operating
expenses......... 486,511 607,728 1,272,198 169,659
------------- ------------ ------------ ----------
Expenses
waived/reimbursed... (52,934) (29,647) -- (43,536)
------------- ------------ ------------ ----------
Net operating
expenses......... 433,577 578,081 1,272,198 126,123
------------- ------------ ------------ ----------
Bank charges......... -- 27,103 -- 7,229
------------- ------------ ------------ ----------
Net expenses....... 433,577 605,184 1,272,198 133,352
------------- ------------ ------------ ----------
NET INVESTMENT INCOME
(LOSS)................. (270,497) 640,627 (53,423) 101,678
------------- ------------ ------------ ----------
NET REALIZED AND
UNREALIZED
GAIN (LOSS) ON
INVESTMENTS:
Net realized gain
(loss) on
investments........ 9,807,382 8,564,739 14,045,047 430,553
Net realized gain on
futures
contracts.......... -- -- 311,306 --
Net realized gain
(loss) on foreign
currency
transactions....... -- 81,307 (1,149,976) (55,545)
Net change in
unrealized
appreciation
(depreciation) on
investments........ 10,248,334 (3,669,570) (9,468,547) 71,758
Net change in
unrealized
appreciation
(depreciation) on
futures
contracts.......... -- -- (117,229) --
Net change in
unrealized
appreciation on
translation of
assets and
liabilities
denominated in
foreign currency... -- 13,316 324,491 9,196
------------- ------------ ------------ ----------
NET REALIZED AND
UNREALIZED
GAIN (LOSS) ON
INVESTMENTS........ 20,055,716 4,989,792 3,945,092 455,962
------------- ------------ ------------ ----------
NET INCREASE
(DECREASE) IN
NET ASSETS FROM
OPERATIONS......... $ 19,785,219 $ 5,630,419 $ 3,891,669 $ 557,640
============= ============ ============ ==========
<CAPTION>
ALLEGHANY/BLAIRLOGIE
EMERGING MARKETS
FUND
TEN MONTHS ENDED
APRIL 30, 1999(B)
--------------------
<S> <C>
INVESTMENT INCOME:
Dividends............ $ 436,911
Less foreign taxes... (48,876)
Interest............. 34,267
-----------
Total investment
income........... 422,302
-----------
EXPENSES:
Investment advisory
fees............... 151,716
Distribution
expenses........... 11,205
Transfer agent
fees............... --
Administration
fees............... 91,107
Registration
expenses........... --
Custodian fees....... --
Professional fees.... --
Amortization of
organization
costs.............. --
Reports to
shareholder
expense............ --
Trustees fees........ 1,739
Other expenses....... 12,773
-----------
Total operating
expenses......... 268,540
-----------
Expenses
waived/reimbursed... --
-----------
Net operating
expenses......... 268,540
-----------
Bank charges......... --
-----------
Net expenses....... 268,540
-----------
NET INVESTMENT INCOME
(LOSS)................. 153,762
-----------
NET REALIZED AND
UNREALIZED
GAIN (LOSS) ON
INVESTMENTS:
Net realized gain
(loss) on
investments........ (4,719,790)
Net realized gain on
futures
contracts.......... --
Net realized gain
(loss) on foreign
currency
transactions....... (68,780)
Net change in
unrealized
appreciation
(depreciation) on
investments........ 3,734,773
Net change in
unrealized
appreciation
(depreciation) on
futures
contracts.......... --
Net change in
unrealized
appreciation on
translation of
assets and
liabilities
denominated in
foreign currency... 392
-----------
NET REALIZED AND
UNREALIZED
GAIN (LOSS) ON
INVESTMENTS........ (1,053,405)
-----------
NET INCREASE
(DECREASE) IN
NET ASSETS FROM
OPERATIONS......... $ (899,643)
===========
</TABLE>
- ---------------------------------------------------------
(a) Alleghany/Chicago Trust Small Cap Value Fund commenced investment
operations on November 10, 1998.
(b) Blairlogie International Developed Fund and Blairlogie Emerging Markets
Fund commenced operations on June 8, 1993 and June 1, 1993, respectively,
as separate investment portfolios (the "Predecessor Funds") of PIMCO Funds.
Effective April 30, 1999, the Predecessor Funds were reorganized as new
portfolios of the Alleghany Funds. (See Note A)
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 49
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
FOR THE YEAR ENDED OCTOBER 31, 1999
STATEMENT OF OPERATIONS -- CONTINUED
<TABLE>
<CAPTION>
ALLEGHANY/MONTAG &
CALDWELL BALANCED ALLEGHANY/CHICAGO
FUND TRUST BALANCED FUND
------------------ -------------------
<S> <C> <C>
INVESTMENT INCOME:
Dividends............ $ 1,086,711 $ 978,084
Interest............. 4,570,459 7,507,338
------------- -------------
Total investment
income........... 5,657,170 8,485,422
------------- -------------
EXPENSES:
Investment advisory
fees............... 1,585,840 1,861,258
Distribution
expenses........... 390,864 664,735
Transfer agent
fees............... 61,360 24,096
Administration
fees............... 122,384 157,773
Registration
expenses........... 47,617 30,011
Custodian fees....... 22,132 24,116
Professional fees.... 20,566 20,385
Amortization of
organization
costs.............. 3,337 1,402
Reports to
shareholder
expense............ 12,703 13,654
Trustees fees........ 5,526 7,107
Other expenses....... 4,866 6,233
------------- -------------
Total expenses..... 2,277,195 2,810,770
------------- -------------
Expenses
waived/reimbursed... -- --
------------- -------------
Net expenses....... 2,277,195 2,810,770
------------- -------------
NET INVESTMENT INCOME
(LOSS)................. 3,379,975 5,674,652
------------- -------------
NET REALIZED AND
UNREALIZED
GAIN (LOSS) ON
INVESTMENTS:
Net realized gain
(loss) on
investments........ 12,323,201 8,203,023
Net change in
unrealized
appreciation
(depreciation) on
investments........ 15,541,127 25,535,665
------------- -------------
NET REALIZED AND
UNREALIZED
GAIN (LOSS) ON
INVESTMENTS........ 27,864,328 33,738,688
------------- -------------
NET INCREASE
(DECREASE) IN
NET ASSETS FROM
OPERATIONS......... $ 31,244,303 $ 39,413,340
============= =============
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 50
<PAGE>
<TABLE>
<CAPTION>
ALLEGHANY/CHICAGO ALLEGHANY/CHICAGO
ALLEGHANY/CHICAGO TRUST MUNICIPAL TRUST MONEY MARKET
TRUST BOND FUND BOND FUND FUND
----------------- ----------------- ------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends............ $ -- $ -- $ --
Interest............. 10,459,376 738,625 15,623,979
------------- ------------- -------------
Total investment
income........... 10,459,376 738,625 15,623,979
------------- ------------- -------------
EXPENSES:
Investment advisory
fees............... 840,813 95,352 1,215,190
Distribution
expenses........... 382,188 15,892 --
Transfer agent
fees............... 25,314 17,875 38,908
Administration
fees............... 93,681 15,839 167,945
Registration
expenses........... 19,628 12,340 31,259
Custodian fees....... 22,849 10,894 22,680
Professional fees.... 19,037 16,418 21,180
Amortization of
organization
costs.............. 577 577 577
Reports to
shareholder
expense............ 6,990 860 15,659
Trustees fees........ 3,699 502 8,441
Other expenses....... 8,305 4,023 21,311
------------- ------------- -------------
Total expenses..... 1,423,081 190,572 1,543,150
------------- ------------- -------------
Expenses
waived/reimbursed... (199,795) (174,679) --
------------- ------------- -------------
Net expenses....... 1,223,286 15,893 1,543,150
------------- ------------- -------------
NET INVESTMENT INCOME
(LOSS)................. 9,236,090 722,732 14,080,829
------------- ------------- -------------
NET REALIZED AND
UNREALIZED
GAIN (LOSS) ON
INVESTMENTS:
Net realized gain
(loss) on
investments........ (446,987) 24,495 --
Net change in
unrealized
appreciation
(depreciation) on
investments........ (7,370,531) (1,093,220) --
------------- ------------- -------------
NET REALIZED AND
UNREALIZED
GAIN (LOSS) ON
INVESTMENTS........ (7,817,518) (1,068,725) --
------------- ------------- -------------
NET INCREASE
(DECREASE) IN
NET ASSETS FROM
OPERATIONS......... $ 1,418,572 $ (345,993) $ 14,080,829
============= ============= =============
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 51
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
ALLEGHANY/MONTAG ALLEGHANY/CHICAGO
& CALDWELL GROWTH TRUST GROWTH &
FUND INCOME FUND
---------------------------------- ------------------------------
YEARS ENDED OCTOBER 31, YEARS ENDED OCTOBER 31,
1999 1998 1999 1998
---------------- ---------------- -------------- --------------
<S> <C> <C> <C> <C>
NET ASSETS AT BEGINNING
OF PERIOD.............. $ 1,742,778,507 $ 748,418,166 $ 367,666,442 $ 274,607,907
---------------- ---------------- -------------- --------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS:
Net investment income
(loss)............... (639,463) (1,422,104) (1,141,812) (347,447)
Net realized gain
(loss) on investments
sold................. 148,878,688 63,978,484 36,048,190 23,413,427
Net change in
unrealized
appreciation
(depreciation) on
investments and
assets and
liabilities.......... 416,154,751 109,207,399 69,358,356 47,348,240
---------------- ---------------- -------------- --------------
Net increase (decrease)
in net assets from
operations........... 564,393,976 171,763,779 104,264,734 70,414,220
---------------- ---------------- -------------- --------------
DISTRIBUTIONS TO
SHAREOWNERS FROM:
Net investment income:
Class N.............. -- -- -- (23,963)
Net realized gain on
investments:
Class N.............. (35,583,495) (4,750,066) (23,278,710) (19,283,609)
Class I.............. (28,418,102) (2,772,360) -- --
Return of Capital
Class N.............. -- -- -- (30,652)
---------------- ---------------- -------------- --------------
Total
distributions...... (64,001,597) (7,522,426) (23,278,710) (19,338,224)
---------------- ---------------- -------------- --------------
CAPITAL SHARE
TRANSACTIONS:
Net proceeds from sales
of shares:
Class N.............. 1,051,011,357 735,037,158 184,622,120 84,420,291
Class I.............. 953,960,617 510,661,778 -- --
Issued to shareowners
in reinvestment of
distributions:
Class N.............. 33,017,124 4,476,035 22,904,776 19,000,003
Class I.............. 25,234,975 2,260,596 -- --
Cost of shares
repurchased:
Class N.............. (751,465,775) (318,089,688) (165,990,580) (61,437,755)
Class I.............. (572,460,607) (104,226,891) -- --
---------------- ---------------- -------------- --------------
Net increase
(decrease) from
capital share
transactions..... 739,297,691 830,118,988 41,536,316 41,982,539
---------------- ---------------- -------------- --------------
Total increase
(decrease) in net
assets........... 1,239,690,070 994,360,341 122,522,340 93,058,535
---------------- ---------------- -------------- --------------
NET ASSETS AT END OF
PERIOD (INCLUDING LINE
A)..................... $ 2,982,468,577 $ 1,742,778,507 $ 490,188,782 $ 367,666,442
================ ================ ============== ==============
(A) Undistributed net
investment income...... $ -- $ -- $ -- $ --
================ ================ ============== ==============
OTHER INFORMATION:
SHARE TRANSACTIONS:
Class N:
Sold................. 33,562,499 28,902,833 7,050,057 3,911,120
Issued to
shareholders in
reinvestment of
distributions...... 1,195,841 198,582 1,005,045 1,006,991
Repurchased.......... (24,010,343) (12,333,539) (6,314,269) (2,888,977)
Class I:
Sold................. 30,617,406 19,881,332 -- --
Issued to
shareholders in
reinvestment of
distributions...... 903,059 99,938 -- --
Repurchased.......... (18,295,778) (4,087,111) -- --
---------------- ---------------- -------------- --------------
Net increase
(decrease) in
shares
outstanding...... 23,972,684 32,662,035 1,740,833 2,029,134
================ ================ ============== ==============
</TABLE>
- ---------------------------------------------------------
(a) Alleghany/Chicago Trust Small Cap Value Fund commenced operations on
November 10, 1998.
(b) Alleghany/Veredus Aggressive Growth Fund commenced operations on June 30,
1998.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 52
<PAGE>
<TABLE>
<CAPTION>
ALLEGHANY/CHICAGO
ALLEGHANY/CHICAGO TRUST SMALL CAP ALLEGHANY/VEREDUS
TRUST TALON FUND VALUE FUND(A) AGGRESSIVE GROWTH FUND(B)
---------------------------- ----------------- ----------------------------
YEARS ENDED OCTOBER 31, PERIOD ENDED YEARS ENDED OCTOBER 31,
1999 1998 OCTOBER 31, 1999 1999 1998
------------- ------------- ----------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
NET ASSETS AT BEGINNING
OF PERIOD.............. $ 22,727,692 $ 28,459,583 $ 10 $ 12,673,539 $ --
------------- ------------- ------------- ------------- -------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS:
Net investment income
(loss)............... (61,638) 129,406 182,607 (270,497) (483)
Net realized gain
(loss) on investments
sold................. 567,265 (152,152) (1,284,384) 9,807,382 (1,575,341)
Net change in
unrealized
appreciation
(depreciation) on
investments and
assets and
liabilities.......... 187,313 (2,860,775) (1,847,764) 10,248,334 196,969
------------- ------------- ------------- ------------- -------------
Net increase (decrease)
in net assets from
operations........... 692,940 (2,883,521) (2,949,541) 19,785,219 (1,378,855)
------------- ------------- ------------- ------------- -------------
DISTRIBUTIONS TO
SHAREOWNERS FROM:
Net investment income:
Class N.............. (8,361) (163,813) (36,178) -- --
Net realized gain on
investments:
Class N.............. -- (4,653,292) -- -- --
Class I.............. -- -- -- -- --
Return of Capital
Class N.............. -- -- -- -- --
------------- ------------- ------------- ------------- -------------
Total
distributions...... (8,361) (4,817,105) (36,178) -- --
------------- ------------- ------------- ------------- -------------
CAPITAL SHARE
TRANSACTIONS:
Net proceeds from sales
of shares:
Class N.............. 2,333,613 6,908,329 52,641,474 34,532,762 14,223,208
Class I.............. -- -- -- --
Issued to shareowners
in reinvestment of
distributions:
Class N.............. 8,053 4,757,368 36,171 -- --
Class I.............. -- -- -- -- --
Cost of shares
repurchased:
Class N.............. (8,167,899) (9,696,962) (7,213,672) (9,709,946) (170,814)
Class I.............. -- -- -- --
------------- ------------- ------------- ------------- -------------
Net increase
(decrease) from
capital share
transactions..... (5,826,233) 1,968,735 45,463,973 24,822,816 14,052,394
------------- ------------- ------------- ------------- -------------
Total increase
(decrease) in net
assets........... (5,141,654) (5,731,891) 42,478,254 44,608,035 12,673,539
------------- ------------- ------------- ------------- -------------
NET ASSETS AT END OF
PERIOD (INCLUDING LINE
A)..................... $ 17,586,038 $ 22,727,692 $ 42,478,264 $ 57,281,574 $ 12,673,539
============= ============= ============= ============= =============
(A) Undistributed net
investment income...... $ -- $ 3,805 $ 146,540 $ -- $ --
============= ============= ============= ============= =============
OTHER INFORMATION:
SHARE TRANSACTIONS:
Class N:
Sold................. 166,866 451,934 5,361,902 2,693,561 1,490,149
Issued to
shareholders in
reinvestment of
distributions...... 603 318,839 3,661 -- --
Repurchased.......... (587,080) (661,255) (740,651) (713,478) (20,317)
Class I:
Sold................. -- -- -- -- --
Issued to
shareholders in
reinvestment of
distributions...... -- -- -- -- --
Repurchased.......... -- -- -- -- --
------------- ------------- ------------- ------------- -------------
Net increase
(decrease) in
shares
outstanding...... (419,611) 109,518 4,624,912 1,980,083 1,469,832
============= ============= ============= ============= =============
</TABLE>
- ---------------------------------------------------------
(a) Alleghany/Chicago Trust Small Cap Value Fund commenced operations on
November 10, 1998.
(b) Alleghany/Veredus Aggressive Growth Fund commenced operations on June 30,
1998.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 53
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
STATEMENT OF CHANGES IN NET ASSETS -- CONTINUED
<TABLE>
<CAPTION>
ALLEGHANY/
BLAIRLOGIE INTERNATIONAL
DEVELOPED FUND
-----------------------------------------------------------------
TEN MONTHS
SIX MONTHS ENDED ENDED YEAR ENDED
OCTOBER 31, 1999 APRIL 30, 1999(A) JUNE 30, 1998
----------------- ---------------------------- ----------------
<S> <C> <C> <C>
NET ASSETS AT BEGINNING
OF PERIOD.............. $ 106,362,307 $ 138,750,570 $ 100,313,146
-------------- -------------- --------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS:
Net investment income
(loss)................. 640,627 (53,423) 1,253,862
Net realized gain
(loss) on investments
sold and foreign
currency
transactions......... 8,646,046 13,206,377 1,677,879
Net change in
unrealized
appreciation
(depreciation) on
investments and
translation of assets
and liabilities
denominated in
foreign currency..... (3,656,254) (9,261,285) 16,311,500
-------------- -------------- --------------
Net increase (decrease)
in net assets from
operations........... 5,630,419 3,891,669 19,243,241
-------------- -------------- --------------
DISTRIBUTIONS TO
SHAREOWNERS FROM:
Net investment income:
Class N.............. -- -- (37,910)
Class I.............. -- (461,778) (833,712)
Net realized gain on
investments:
Class N.............. -- (948,765) (384,865)
Class I.............. -- (12,721,855) (4,187,682)
Return of Capital
Class N.............. -- -- --
Class I.............. -- -- --
-------------- -------------- --------------
Total
distributions...... -- (14,132,398) (5,444,169)
-------------- -------------- --------------
CAPITAL SHARE
TRANSACTIONS:
Net proceeds from sales
of shares:
Class N.............. 4,019,607 112,028,851 72,268,195
Class I.............. 59,579,527 88,175,722 66,711,810
Issued to shareowners
in reinvestment of
distributions:
Class N.............. -- 808,014 382,709
Class I.............. -- 12,916,908 4,241,759
Cost of shares
repurchased:
Class N.............. (2,225,372) (123,609,614) (64,166,601)
Class I.............. (68,783,122) (112,467,415) (54,799,520)
-------------- -------------- --------------
Net increase
(decrease) from
capital share
transactions..... (7,409,360) (22,147,534) 24,638,352
-------------- -------------- --------------
Total increase
(decrease) in net
assets........... (1,778,941) (32,388,263) 38,437,424
-------------- -------------- --------------
NET ASSETS AT END OF
PERIOD (INCLUDING LINE
A)..................... $ 104,583,366 $ 106,362,307 $ 138,750,570
============== ============== ==============
(A) Undistributed
(distribution in excess
of) net investment
income (loss).......... $ 717,458 $ (4,476) $ 456,779
============== ============== ==============
OTHER INFORMATION:
SHARE TRANSACTIONS:
Class N:
Sold................. 322,638 8,379,342 5,291,704
Issued to
shareholders in
reinvestment of
distributions...... -- 62,711 32,851
Repurchased.......... (176,179) (9,182,886) (4,642,525)
Class I:
Sold................. 4,694,010 6,455,344 5,096,974
Issued to
shareholders in
reinvestment of
distributions...... -- 1,009,365 366,765
Repurchased.......... (5,409,299) (8,037,843) (4,102,996)
-------------- -------------- --------------
Net increase
(decrease) in
shares
outstanding...... (568,830) (1,313,967) 2,042,773
============== ============== ==============
</TABLE>
- ---------------------------------------------------------
(a) Alleghany/Blairlogie International Developed Fund and Alleghany/Blairlogie
Emerging Markets Fund stub audits for the period July 1, 1998 through
April 30, 1999. Share transactions restated to reflect share conversion on
April 30, 1999. (See Note A)
(b) Montag & Caldwell Balanced Fund-Class I commenced investment operations on
December 31, 1998.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 54
<PAGE>
<TABLE>
<CAPTION>
ALLEGHANY/ ALLEGHANY/
BLAIRLOGIE EMERGING MONTAG & CALDWELL
MARKETS FUND BALANCED FUND(B)
------------------------------------------------------- ------------------------------
SIX MONTHS ENDED TEN MONTHS ENDED YEAR ENDED YEARS ENDED OCTOBER 31,
OCTOBER 31, 1999 APRIL 30, 1999(A) JUNE 30, 1998 1999 1998
----------------- ------------------ ---------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
NET ASSETS AT BEGINNING
OF PERIOD.............. $ 19,004,118 $ 27,569,318 $ 55,175,256 $ 158,398,348 $ 82,719,053
------------- ------------- ------------- -------------- --------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS:
Net investment income
(loss)................. 101,678 153,762 195,456 3,379,975 2,167,560
Net realized gain
(loss) on investments
sold and foreign
currency
transactions......... 375,008 (4,788,570) (3,044,479) 12,323,201 8,565,876
Net change in
unrealized
appreciation
(depreciation) on
investments and
translation of assets
and liabilities
denominated in
foreign currency..... 80,954 3,735,165 (10,784,766) 15,541,127 5,973,930
------------- ------------- ------------- -------------- --------------
Net increase (decrease)
in net assets from
operations........... 557,640 (899,643) (13,633,789) 31,244,303 16,707,366
------------- ------------- ------------- -------------- --------------
DISTRIBUTIONS TO
SHAREOWNERS FROM:
Net investment income:
Class N.............. -- (1,704) -- (2,253,523) (2,001,366)
Class I.............. -- (81,016) -- (817,375) --
Net realized gain on
investments:
Class N.............. -- -- -- (8,904,043) (2,095,351)
Class I.............. -- -- -- -- --
Return of Capital
Class N.............. -- (549) -- -- --
Class I.............. -- (26,128) -- -- --
------------- ------------- ------------- -------------- --------------
Total
distributions...... -- (109,397) -- (11,974,941) (4,096,717)
------------- ------------- ------------- -------------- --------------
CAPITAL SHARE
TRANSACTIONS:
Net proceeds from sales
of shares:
Class N.............. 1,167,427 4,825,690 5,950,664 76,418,226 101,273,482
Class I.............. 4,964,104 23,834,837 23,186,970 97,458,628 --
Issued to shareowners
in reinvestment of
distributions:
Class N.............. -- 4,501 -- 11,005,944 3,950,066
Class I.............. -- 93,520 -- 817,440 --
Cost of shares
repurchased:
Class N.............. (421,986) (6,805,094) (4,095,422) (101,572,790) (42,154,902)
Class I.............. (6,963,131) (29,509,614) (39,014,361) (10,603,109) --
------------- ------------- ------------- -------------- --------------
Net increase
(decrease) from
capital share
transactions..... (1,253,586) (7,556,160) (13,972,149) 73,524,339 63,068,646
------------- ------------- ------------- -------------- --------------
Total increase
(decrease) in net
assets........... (695,946) (8,565,200) (27,605,938) 92,793,701 75,679,295
------------- ------------- ------------- -------------- --------------
NET ASSETS AT END OF
PERIOD (INCLUDING LINE
A)..................... $ 18,308,172 $ 19,004,118 $ 27,569,318 $ 251,192,049 $ 158,398,348
============= ============= ============= ============== ==============
(A) Undistributed
(distribution in excess
of) net investment
income (loss).......... $ 45,132 $ (1,001) $ (3,263) $ 660,478 $ 351,445
============= ============= ============= ============== ==============
OTHER INFORMATION:
SHARE TRANSACTIONS:
Class N:
Sold................. 108,246 561,023 497,628 4,064,233 6,029,088
Issued to
shareholders in
reinvestment of
distributions...... -- 159 -- 621,725 244,553
Repurchased.......... (39,603) (795,208) (346,442) (5,426,672) (2,443,871)
Class I:
Sold................. 454,687 2,801,577 1,946,376 5,199,224 --
Issued to
shareholders in
reinvestment of
distributions...... -- 10,113 -- 43,055 --
Repurchased.......... (647,362) (3,463,865) (3,340,803) (561,037) --
------------- ------------- ------------- -------------- --------------
Net increase
(decrease) in
shares
outstanding...... (124,032) (886,201) (1,243,241) 3,940,528 3,829,770
============= ============= ============= ============== ==============
</TABLE>
- ---------------------------------------------------------
(a) Alleghany/Blairlogie International Developed Fund and Alleghany/Blairlogie
Emerging Markets Fund stub audits for the period July 1, 1998 through
April 30, 1999. Share transactions restated to reflect share conversion on
April 30, 1999. (See Note A)
(b) Montag & Caldwell Balanced Fund-Class I commenced investment operations on
December 31, 1998.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 55
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
STATEMENT OF CHANGES IN NET ASSETS -- CONTINUED
<TABLE>
<CAPTION>
ALLEGHANY/ ALLEGHANY/
CHICAGO TRUST CHICAGO TRUST
BALANCED FUND BOND FUND
------------------------------------------------------- --------------------------------------------
YEARS ENDED OCTOBER 31, YEARS ENDED OCTOBER 31,
1999 1998 1999 1998
-------------------------------- --------------------- --------------------- ---------------------
<S> <C> <C> <C> <C>
NET ASSETS AT BEGINNING
OF PERIOD.............. $ 219,361,542 $ 187,993,337 $ 160,561,220 $ 120,532,177
-------------- -------------- -------------- --------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS:
Net investment income
(loss)............... 5,674,652 4,770,524 9,236,090 8,011,478
Net realized gain
(loss) on investments
sold................. 8,203,023 13,005,184 (446,987) 720,844
Net change in
unrealized
appreciation
(depreciation) in
investments and
assets and
liabilities.......... 25,535,665 16,518,248 (7,370,531) 629,065
-------------- -------------- -------------- --------------
Net increase (decrease)
in net assets from
operations........... 39,413,340 34,293,956 1,418,572 9,361,387
-------------- -------------- -------------- --------------
DISTRIBUTIONS TO
SHAREOWNERS FROM:
Net investment income:
Class N.............. (5,364,029) (4,710,584) (9,226,493) (8,038,190)
Net realized gain on
investments:
Class N.............. (13,010,618) (11,401,639) (708,779) --
-------------- -------------- -------------- --------------
Total
distributions...... (18,374,647) (16,112,223) (9,935,272) (8,038,190)
-------------- -------------- -------------- --------------
CAPITAL SHARE
TRANSACTIONS:
Net proceeds from sales
of shares:
Class N.............. 100,719,712 36,882,800 46,629,918 75,297,016
Issued to shareowners
in reinvestment of
distributions:
Class N.............. 18,361,299 16,106,383 8,833,465 6,689,047
Cost of shares
repurchased:
Class N.............. (65,055,229) (39,802,711) (74,099,748) (43,280,217)
-------------- -------------- -------------- --------------
Net increase
(decrease) from
capital share
transactions..... 54,025,782 13,186,472 (18,636,365) 38,705,846
-------------- -------------- -------------- --------------
Total increase
(decrease) in net
assets........... 75,064,475 31,368,205 (27,153,065) 40,029,043
-------------- -------------- -------------- --------------
NET ASSETS AT END OF
PERIOD (INCLUDING
LINE A)................ $ 294,426,017 $ 219,361,542 $ 133,408,155 $ 160,561,220
============== ============== ============== ==============
(A) Undistributed net
investment income...... $ 976,162 $ 693,191 $ 426,916 $ 412,661
============== ============== ============== ==============
OTHER INFORMATION:
SHARE TRANSACTIONS:
Class N:
Sold................. 7,946,222 3,317,900 4,672,863 7,333,221
Issued to
shareholders in
reinvestment of
distributions...... 1,540,005 1,398,337 869,864 656,919
Repurchased.......... (5,135,906) (3,485,565) (7,442,578) (4,247,776)
-------------- -------------- -------------- --------------
Net increase
(decrease) in
shares
outstanding...... 4,350,321 1,230,672 (1,899,851) 3,742,364
============== ============== ============== ==============
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 56
<PAGE>
<TABLE>
<CAPTION>
ALLEGHANY/ ALLEGHANY/
CHICAGO TRUST CHICAGO TRUST
MUNICIPAL BOND FUND MONEY MARKET FUND
------------------------------------------------------- ----------------------------------------------
YEARS ENDED OCTOBER 31, YEARS ENDED OCTOBER 31,
1999 1998 1999 1998
-------------------------------- --------------------- ---------------------- ----------------------
<S> <C> <C> <C> <C>
NET ASSETS AT BEGINNING
OF PERIOD.............. $ 13,209,908 $ 12,379,208 $ 281,389,294 $ 238,551,474
------------- ------------- -------------- --------------
INCREASE (DECREASE) IN
NET ASSETS FROM
OPERATIONS:
Net investment income
(loss)............... 722,732 560,590 14,080,829 13,160,425
Net realized gain
(loss) on investments
sold................. 24,495 56,385 -- --
Net change in
unrealized
appreciation
(depreciation) in
investments and
assets and
liabilities.......... (1,093,220) 175,662 -- --
------------- ------------- -------------- --------------
Net increase (decrease)
in net assets from
operations........... (345,993) 792,637 14,080,829 13,160,425
------------- ------------- -------------- --------------
DISTRIBUTIONS TO
SHAREOWNERS FROM:
Net investment income:
Class N.............. (711,409) (561,443) (14,080,829) (13,160,425)
Net realized gain on
investments:
Class N.............. -- -- -- --
------------- ------------- -------------- --------------
Total
distributions...... (711,409) (561,443) (14,080,829) (13,160,425)
------------- ------------- -------------- --------------
CAPITAL SHARE
TRANSACTIONS:
Net proceeds from sales
of shares:
Class N.............. 7,470,973 10,749,139 1,295,225,039 720,702,583
Issued to shareowners
in reinvestment of
distributions:
Class N.............. 126,534 42,390 1,813,603 816,231
Cost of shares
repurchased:
Class N.............. (2,530,718) (10,192,023) (1,243,287,721) (678,680,994)
------------- ------------- -------------- --------------
Net increase
(decrease) from
capital share
transactions..... 5,066,789 599,506 53,750,921 42,837,820
------------- ------------- -------------- --------------
Total increase
(decrease) in net
assets........... 4,009,387 830,700 53,750,921 42,837,820
------------- ------------- -------------- --------------
NET ASSETS AT END OF
PERIOD (INCLUDING
LINE A)................ $ 17,219,295 $ 13,209,908 $ 335,140,215 $ 281,389,294
============= ============= ============== ==============
(A) Undistributed net
investment income...... $ 37,926 $ 26,603 $ -- $ --
============= ============= ============== ==============
OTHER INFORMATION:
SHARE TRANSACTIONS:
Class N:
Sold................. 731,430 1,049,531 1,295,225,039 720,702,583
Issued to
shareholders in
reinvestment of
distributions...... 12,464 4,135 1,813,603 816,231
Repurchased.......... (249,136) (994,156) (1,243,287,721) (678,680,994)
------------- ------------- -------------- --------------
Net increase
(decrease) in
shares
outstanding...... 494,758 59,510 53,750,921 42,837,820
============= ============= ============== ==============
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 57
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/MONTAG & CALDWELL GROWTH FUND -- CLASS N OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/MONTAG & CALDWELL GROWTH FUND -- CLASS N
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
10/31/99 10/31/98 10/31/97 10/31/96 10/31/95(A)
---------- ---------- --------- --------- -----------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................. $ 26.49 $ 22.68 $ 17.08 $ 13.16 $ 10.00
---------- ---------- -------- -------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)..... (0.04) (0.05) (0.05) -- 0.02
Net realized and unrealized gain
on investments................. 7.64 4.07 5.79 3.93 3.16
---------- ---------- -------- -------- -------
Total from investment
operations................... 7.60 4.02 5.74 3.93 3.18
---------- ---------- -------- -------- -------
LESS DISTRIBUTIONS:
Distributions from and in excess
of net investment income....... -- -- -- (0.01) (0.02)
Distributions from net realized
gain on investments............ (0.94) (0.21) (0.14) -- --
---------- ---------- -------- -------- -------
Total distributions............ (0.94) (0.21) (0.14) (0.01) (0.02)
---------- ---------- -------- -------- -------
Net increase in net asset value...... 6.66 3.81 5.60 3.92 3.16
---------- ---------- -------- -------- -------
Net Asset Value, End of Period....... $ 33.15 $ 26.49 $ 22.68 $ 17.08 $ 13.16
========== ========== ======== ======== =======
TOTAL RETURN(1)...................... 29.34% 17.90% 33.82% 29.91% 31.87%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in
000's)........................... $1,612,796 $1,004,356 $479,557 $166,243 $40,355
Ratios of expenses to average net
assets:
Before reimbursement of expenses
by Adviser(2).................. 1.05% 1.12% 1.24% 1.32% 1.87%
After reimbursement of expenses
by Adviser(2).................. 1.05% 1.12% 1.23% 1.28% 1.30%
Ratios of net investment income
(loss) to average net assets:
Before reimbursement of expenses
by Adviser(2).................. (0.16)% (0.22)% (0.38)% (0.10)% (0.36)%
After reimbursement of expenses
by Adviser(2).................. (0.16)% (0.22)% (0.37)% (0.06)% 0.20%
Portfolio Turnover(1).............. 31.59% 29.81% 18.65% 26.36% 34.46%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Not Annualized.
(2) Annualized.
(a) Alleghany/Montag & Caldwell Growth Fund - Class N commenced
investment operations on November 2, 1994.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 58
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
MONTAG & CALDWELL GROWTH FUND -- CLASS I OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
MONTAG & CALDWELL GROWTH FUND -- CLASS I
<TABLE>
<CAPTION>
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED
10/31/99 10/31/98 10/31/97 10/31/96(A)
---------- -------- -------- -------------------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period...................... $ 26.65 $ 22.75 $ 17.08 $ 15.59
---------- -------- -------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income..... 0.04 0.01 --(b) 0.02
Net realized and
unrealized gain on
investments............. 7.71 4.10 5.81 1.49
---------- -------- -------- -------
Total from investment
operations............ 7.75 4.11 5.81 1.51
---------- -------- -------- -------
LESS DISTRIBUTIONS:
Distributions from and in
excess of net investment
income.................. -- -- -- (0.02)
Distributions from net
realized gain on
investments............. (0.94) (0.21) (0.14) --
---------- -------- -------- -------
Total distributions..... (0.94) (0.21) (0.14) (0.02)
---------- -------- -------- -------
Net increase in net asset
value....................... 6.81 3.90 5.67 1.49
---------- -------- -------- -------
Net Asset Value, End of
Period...................... $ 33.46 $ 26.65 $ 22.75 $ 17.08
========== ======== ======== =======
TOTAL RETURN(1)............... 29.78% 18.24% 34.26% 9.67%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period
(in 000's)................ $1,369,673 $738,423 $268,861 $52,407
Ratios of expenses to
average net assets:
Before reimbursement of
expenses by
Adviser(2).............. 0.76% 0.85% 0.93% 0.98%
After reimbursement of
expenses by
Adviser(2).............. 0.76% 0.85% 0.93% 0.98%
Ratios of net investment
income (loss) to average
net assets:
Before reimbursement of
expenses by
Adviser(2).............. 0.14% 0.05% (0.07)% 0.17%
After reimbursement of
expenses by
Adviser(2).............. 0.14% 0.05% (0.06)% 0.17%
Portfolio Turnover(1)....... 31.59% 29.81% 18.65% 26.36%
</TABLE>
- ---------------------------------------------------------
(1) Not Annualized.
(2) Annualized.
(a) Montag & Caldwell Growth Fund - Class I commenced investment operations on
June 28, 1996.
(b) Represents less than $.01 per share.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 59
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/CHICAGO TRUST GROWTH & INCOME FUND OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/CHICAGO TRUST GROWTH & INCOME FUND
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
10/31/99 10/31/98 10/31/97 10/31/96 10/31/95
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period..... $ 23.06 $ 19.73 $ 16.17 $ 12.90 $ 10.11
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)......... (0.06) (0.02) 0.08 0.11 0.09
Net realized and unrealized gain on
investments........................ 6.14 4.73 3.91 3.34 2.79
-------- -------- -------- -------- --------
Total from investment operations... 6.08 4.71 3.99 3.45 2.88
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Distributions from and in excess of
net investment income.............. -- (0.01) (0.09) (0.11) (0.09)
Distributions from net realized gain
on investments..................... (1.43) (1.37) (0.34) (0.07) --
-------- -------- -------- -------- --------
Total distributions................ (1.43) (1.38) (0.43) (0.18) (0.09)
-------- -------- -------- -------- --------
Net increase in net asset value.......... 4.65 3.33 3.56 3.27 2.79
-------- -------- -------- -------- --------
Net Asset Value, End of Period........... $ 27.71 $ 23.06 $ 19.73 $ 16.17 $ 12.90
======== ======== ======== ======== ========
TOTAL RETURN............................. 27.71% 25.43% 25.16% 26.98% 28.66%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's)... $490,189 $367,666 $274,608 $205,133 $172,296
Ratios of expenses to average net
assets:
Before reimbursement of expenses by
Adviser(1)......................... 1.06% 1.08% 1.12% 1.15% 1.50%
After reimbursement of expenses by
Adviser(1)......................... 1.06% 1.08% 1.07%(2) 1.00% 1.09%(3)
Ratios of net investment income (loss)
to average net assets:
Before reimbursement of expenses by
Adviser(1)......................... (0.25)% (0.11)% 0.36% 0.62% 0.33%
After reimbursement of expenses by
Adviser(1)......................... (0.25)% (0.11)% 0.41% 0.77% 0.74%
Portfolio Turnover..................... 28.93% 34.21% 30.58% 25.48% 9.00%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Annualized.
(2) The Adviser's expense reimbursement level, which affects the
net expense ratio, changed from 1.00% to 1.10% on
February 28, 1997.
(3) The Adviser's expense reimbursement level, which affects the
net expense ratio, changed from 1.20% to 1.00% on
September 21, 1995.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 60
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/CHICAGO TRUST TALON FUND OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/CHICAGO TRUST TALON FUND
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
10/31/99 10/31/98 10/31/97 10/31/96 10/31/95
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period......... $ 13.16 $ 17.60 $ 14.39 $ 12.07 $ 10.25
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)............. (0.05) 0.07 0.11 0.04 0.09
Net realized and unrealized gain (loss)
on investments......................... 0.34 (1.59) 4.38 3.01 1.84
------- ------- ------- ------- -------
Total from investment operations....... 0.29 (1.52) 4.49 3.05 1.93
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Distributions from and in excess of net
investment income...................... --(a) (0.09) (0.09) (0.03) (0.11)
Distributions from net realized gain on
investments............................ -- (2.83) (1.19) (0.70) --
------- ------- ------- ------- -------
Total distributions.................... -- (2.92) (1.28) (0.73) (0.11)
------- ------- ------- ------- -------
Net increase (decrease) in net asset value... 0.29 (4.44) 3.21 2.32 1.82
------- ------- ------- ------- -------
Net Asset Value, End of Period............... $ 13.45 $ 13.16 $ 17.60 $ 14.39 $ 12.07
======= ======= ======= ======= =======
TOTAL RETURN................................. 2.32% (10.54)% 33.47% 26.51% 18.92%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's)....... $17,586 $22,728 $28,460 $17,418 $10,538
Ratios of expenses to average net assets:
Before reimbursement of expenses by
Adviser(1)............................. 1.50% 1.46% 1.67% 1.98% 3.04%
After reimbursement of expenses by
Adviser(1)............................. 1.30% 1.30% 1.30% 1.30% 1.30%
Ratios of net investment income (loss) to
average net assets:
Before reimbursement of expenses by
Adviser(1)............................. (0.50)% 0.30% 0.34% (0.38)% (0.97)%
After reimbursement of expenses by
Adviser(1)............................. (0.30)% 0.46% 0.71% 0.30% 0.77%
Portfolio Turnover......................... 101.44% 78.33% 112.72% 126.83% 229.43%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Annualized.
(a) Represents less than $.01 per share.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 61
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/CHICAGO TRUST SMALL CAP VALUE FUND OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/CHICAGO TRUST SMALL CAP VALUE FUND
<TABLE>
<CAPTION>
PERIOD
ENDED
10/31/99(A)
-----------
<S> <C>
Net Asset Value, Beginning of Period........................ $ 10.00
-------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................................... 0.04
Net realized and unrealized loss on investments......... (0.85)
-------
Total from investment operations...................... (0.81)
-------
LESS DISTRIBUTIONS:
Distributions from and in excess of net investment
income................................................. (0.01)
-------
Total distributions................................... (0.01)
-------
Net decrease in net asset value............................. (0.82)
-------
Net Asset Value, End of Period.............................. $ 9.18
=======
TOTAL RETURN(1)............................................. (8.07)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's)...................... $42,478
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser(2).......... 1.55%
After reimbursement of expenses by Adviser(2)........... 1.40%
Ratios of net investment income to average net assets:
Before reimbursement of expenses by Adviser(2).......... 0.36%
After reimbursement of expenses by Adviser(2)........... 0.51%
Portfolio Turnover(1)..................................... 156.55%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Not Annualized.
(2) Annualized.
(a) Alleghany/Chicago Trust Small Cap Value Fund commenced
investment operations on November 10, 1998.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 62
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/VEREDUS AGGRESSIVE GROWTH FUND OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/VEREDUS AGGRESSIVE GROWTH FUND
<TABLE>
<CAPTION>
YEAR PERIOD
ENDED ENDED
10/31/99 10/31/98(A)
-------- -----------
<S> <C> <C>
Net Asset Value, Beginning of Period........................ $ 8.62 $ 10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss)............................ (0.08) --(b)
Net realized and unrealized gain (loss) on
investments........................................... 8.06 (1.38)
------- -------
Total from investment operations...................... 7.98 (1.38)
------- -------
Net Asset Value, End of Period.............................. $ 16.60 $ 8.62
======= =======
TOTAL RETURN(1)............................................. 92.92% (13.80)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's)...................... $57,282 $12,674
Ratios of expenses to average net assets:
Before reimbursement of expenses by Adviser(2).......... 1.58% 1.54%
After reimbursement of expenses by Adviser(2)........... 1.41%(3) 1.50%
Ratios of net investment loss to average net assets:
Before reimbursement of expenses by Adviser(2).......... (1.05)% (0.06)%
After reimbursement of expenses by Adviser(2)........... (0.88)% (0.02)%
Portfolio Turnover(1)..................................... 204.26% 111.52%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Not Annualized.
(2) Annualized.
(3) The Adviser fee, which affects the net expense ratio,
changed from 1.50% to 1.00% on December 4, 1998.
(a) Alleghany/Veredus Aggressive Growth Fund commenced
investment operations on June 30, 1998.
(b) Represents less than $0.01 per share.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 63
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/BLAIRLOGIE INTERNATIONAL DEVELOPED FUND -- CLASS N OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/BLAIRLOGIE INTERNATIONAL DEVELOPED FUND -- CLASS N
<TABLE>
<CAPTION>
SIX TEN EIGHT ELEVEN
MONTHS MONTHS YEAR YEAR MONTHS MONTHS
ENDED ENDED ENDED ENDED ENDED ENDED
10/31/99 04/30/99 06/30/98 06/30/97 06/30/96 10/31/95(A)
-------- -------- -------- -------- -------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period............................ $12.70 $14.30 $13.05 $12.51 $11.73 $11.21
------ ------ ------ ------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss).... 0.06 (0.02) 0.17 0.06 0.69 0.02
Net realized and unrealized gain
on investments................ 0.61 0.16 1.69 1.09 0.72 1.01
------ ------ ------ ------ ------ ------
Total from investment
operations.................. 0.67 0.14 1.86 1.15 1.41 1.03
------ ------ ------ ------ ------ ------
LESS DISTRIBUTIONS:
Distributions from and in excess
of net investment income...... -- -- (0.03) -- (0.42) (0.08)
Distributions from net realized
gain on investments........... -- (1.74) (0.58) (0.61) (0.21) (0.43)
------ ------ ------ ------ ------ ------
Total distributions........... -- (1.74) (0.61) (0.61) (0.63) (0.51)
------ ------ ------ ------ ------ ------
Net increase (decrease) in net asset
value............................. 0.67 (1.60) 1.25 0.54 0.78 0.52
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period...... $13.37 $12.70 $14.30 $13.05 $12.51 $11.73
====== ====== ====== ====== ====== ======
TOTAL RETURN(1)..................... 5.35% 1.05% 15.33% 9.77% 12.33% 9.61%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in
000's).......................... $7,516 $5,278(3) $6,299 $2,302 $5,624 $ 675
Ratios of expenses to average net
assets:
Before reimbursement of expenses
by Adviser(2)................. 1.41% 1.41% 1.36% 1.38% 1.35% 1.34%
After reimbursement of expenses
by Adviser(2)................. 1.35% 1.41% 1.36% 1.38% 1.35% 1.34%
Ratios of net investment income
(loss) to average net assets:
Before reimbursement of expenses
by Adviser(2)................. 0.95% (0.21)% 1.31% 0.52% 1.04% 0.50%
After reimbursement of expenses
by Adviser(2)................. 1.01% (0.21)% 1.31% 0.52% 1.04% 0.50%
Portfolio Turnover(1)............. 28.91% 36.00% 60.00% 77.00% 60.00% 58.00%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Not Annualized.
(2) Annualized.
(3) Net Assets at end of period do not reflect Class A, B, or C
net assets prior to April 30, 1999.
(a) Alleghany/Blairlogie International Developed Fund - Class N
commenced investment operations on November 30, 1994.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 64
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/BLAIRLOGIE INTERNATIONAL DEVELOPED FUND -- CLASS I OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/BLAIRLOGIE INTERNATIONAL DEVELOPED FUND -- CLASS I
<TABLE>
<CAPTION>
SIX TEN EIGHT
MONTHS MONTHS YEAR YEAR MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
10/31/99 04/30/99 06/30/98 06/30/97 06/30/96 10/31/95
-------- --------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 12.70 $ 14.32 $ 13.12 $ 12.54 $ 11.74 $ 11.86
------- -------- -------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income.......... 0.08 -- 0.16 0.10 0.72 0.10
Net realized and unrealized
gain on investments.......... 0.62 0.17 1.73 1.09 0.72 0.30
------- -------- -------- ------- ------- -------
Total from investment
operations................. 0.70 0.17 1.89 1.19 1.44 0.40
------- -------- -------- ------- ------- -------
LESS DISTRIBUTIONS:
Distributions from and in
excess of net investment
income....................... -- (0.05) (0.11) -- (0.43) (0.09)
Distributions from net realized
gain on investments.......... -- (1.74) (0.58) (0.61) (0.21) (0.43)
------- -------- -------- ------- ------- -------
Total distributions.......... -- (1.79) (0.69) (0.61) (0.64) (0.52)
------- -------- -------- ------- ------- -------
Net increase (decrease) in net
asset value...................... 0.70 (1.62) 1.20 0.58 0.80 (0.12)
------- -------- -------- ------- ------- -------
Net Asset Value, End of Period..... $ 13.40 $ 12.70 $ 14.32 $ 13.12 $ 12.54 $ 11.74
======= ======== ======== ======= ======= =======
TOTAL RETURN(1).................... 5.51% 1.31% 15.69% 10.07% 12.54% 3.83%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in
000's)......................... $97,067 $101,084 $122,126 $94,044 $70,207 $63,607
Ratios of expenses to average net
assets:
Before reimbursement of
expenses by Adviser(2)....... 1.16% 1.16% 1.11% 1.13% 1.10% 1.10%
After reimbursement of expenses
by Adviser(2)................ 1.10% 1.16% 1.11% 1.13% 1.10% 1.10%
Ratios of net investment income
to average net assets:
Before reimbursement of
expenses by Adviser(2)....... 1.20% 0.04% 1.20% 0.85% 0.81% 1.10%
After reimbursement of expenses
by Adviser(2)................ 1.26% 0.04% 1.20% 0.85% 0.81% 1.10%
Portfolio Turnover(1)............ 28.91% 36.00% 60.00% 77.00% 60.00% 63.00%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Not Annualized.
(2) Annualized.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 65
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/BLAIRLOGIE EMERGING MARKETS FUND -- CLASS N OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/BLAIRLOGIE EMERGING MARKETS FUND -- CLASS N
<TABLE>
<CAPTION>
SIX TEN EIGHT
MONTHS MONTHS YEAR YEAR MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
10/31/99 04/30/99 06/30/98 06/30/97 06/30/96 10/31/95
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $10.42 $10.14 $ 13.95 $12.63 $11.24 $ 16.95
------ ------ ------- ------ ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income.......... 0.05 0.05 0.09 -- 0.02 --
Net realized and unrealized
gain (loss) on investments... 0.28 0.23 (3.90) 1.32 1.40 (4.95)
------ ------ ------- ------ ------ -------
Total from investment
operations................. 0.33 0.28 (3.81) 1.32 1.42 (4.95)
------ ------ ------- ------ ------ -------
LESS DISTRIBUTIONS:
Distributions from and in
excess of net investment
income....................... -- -- -- -- (0.03) (0.05)
Distributions from net realized
gain on investments.......... -- -- -- -- -- (0.71)
------ ------ ------- ------ ------ -------
Total distributions.......... -- -- -- -- (0.03) (0.76)
------ ------ ------- ------ ------ -------
Net increase (decrease) in net
asset value...................... 0.33 0.28 (3.81) 1.32 1.39 (5.71)
------ ------ ------- ------ ------ -------
Net Asset Value, End of Period..... $10.75 $10.42 $ 10.14 $13.95 $12.63 $ 11.24
====== ====== ======= ====== ====== =======
TOTAL RETURN(1).................... 3.26% 2.76% (27.31)% 10.45% 12.70% (27.96)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in
000's)......................... $1,729 $ 961(3) $ 1,339 $ 117 $ 368 $ 830
Ratios of expenses to average net
assets:
Before reimbursement of
expenses by Adviser(2)....... 2.07% 1.68% 1.65% 1.69% 1.61% 1.62%
After reimbursement of expenses
by Adviser(2)................ 1.60% 1.68% 1.65% 1.69% 1.61% 1.62%
Ratios of net investment income
to average net assets:
Before reimbursement of
expenses by Adviser(2)....... 0.41% 0.69% 0.81% 0.02% 0.18% 0.02%
After reimbursement of expenses
by Adviser(2)................ 0.88% 0.69% 0.81% 0.02% 0.18% 0.02%
Portfolio Turnover(1)............ 46.93% 38.00% 52.00% 74.00% 74.00% 118.00%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Not Annualized.
(2) Annualized.
(3) Net Assets at end of period do not reflect Class A, B, or C
net assets prior to April 30, 1999.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 66
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/BLAIRLOGIE EMERGING MARKETS FUND -- CLASS I OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/BLAIRLOGIE EMERGING MARKETS FUND -- CLASS I
<TABLE>
<CAPTION>
SIX TEN EIGHT
MONTHS MONTHS YEAR YEAR MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
10/31/99 04/30/99 06/30/98 06/30/97 06/30/96 10/31/95
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of
Period........................... $ 10.43 $ 10.18 $ 13.96 $ 12.66 $ 11.27 $ 16.53
------- ------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income.......... 0.06 0.06 0.06 0.06 0.03 0.07
Net realized and unrealized
gain (loss).................. 0.30 0.23 (3.84) 1.30 1.40 (4.55)
------- ------- ------- ------- ------- -------
Total from investment
operations................. 0.36 0.29 (3.78) 1.36 1.43 (4.48)
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Distributions from and in
excess of net investment
income....................... -- (0.03) -- (0.06) (0.04) (0.06)
Distributions from net realized
gain on investments.......... -- -- -- -- -- (0.72)
Return of capital
distributions................ -- (0.01) -- -- -- --
------- ------- ------- ------- ------- -------
Total distributions.......... -- (0.04) -- (0.06) (0.04) (0.78)
------- ------- ------- ------- ------- -------
Net increase (decrease) in net
asset value...................... 0.36 0.25 (3.78) 1.30 1.39 (5.26)
------- ------- ------- ------- ------- -------
Net Asset Value, End of Period..... $ 10.79 $ 10.43 $ 10.18 $ 13.96 $ 12.66 $ 11.27
======= ======= ======= ======= ======= =======
TOTAL RETURN(1).................... 3.45% 2.98% (27.08)% 10.85% 12.70% (27.70)%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in
000's)......................... $16,579 $18,043 $24,251 $52,703 $80,545 $73,539
Ratios of expenses to average net
assets:
Before reimbursement of
expenses by Adviser(2)....... 1.82% 1.43% 1.39% 1.45% 1.35% 1.35%
After reimbursement of expenses
by Adviser(2)................ 1.35% 1.43% 1.39% 1.45% 1.35% 1.35%
Ratios of net investment income
to average net assets:
Before reimbursement of expenses
by Adviser(2).................. 0.66% 0.94% 0.52% 0.45% 0.84% 0.57%
After reimbursement of expenses
by Adviser(2).................. 1.13% 0.94% 0.52% 0.45% 0.84% 0.57%
Portfolio Turnover(1).............. 46.93% 38.00% 52.00% 74.00% 74.00% 118.00%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Not Annualized.
(2) Annualized.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 67
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/MONTAG & CALDWELL BALANCED FUND OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/MONTAG & CALDWELL BALANCED FUND
<TABLE>
<CAPTION>
CLASS N CLASS I
--------------------------------------------------------- -----------
YEAR YEAR YEAR YEAR PERIOD PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
10/31/99 10/31/98 10/31/97 10/31/96 10/31/95(A) 10/31/99(B)
--------- --------- -------- -------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period..... $ 17.60 $ 16.01 $ 14.29 $ 12.12 $ 10.00 $ 18.36
-------- -------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income................ 0.29 0.27 0.25 0.27 0.26 0.25
Net realized and unrealized gain on
investments........................ 2.73 1.97 2.93 2.17 2.09 1.03
-------- -------- ------- ------- ------- -------
Total from investment operations... 3.02 2.24 3.18 2.44 2.35 1.28
-------- -------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Distributions from and in excess of
net investment income.............. (0.27) (0.27) (0.25) (0.27) (0.23) (0.22)
Distributions from net realized gain
on investments..................... (0.94) (0.38) (1.21) -- -- --
-------- -------- ------- ------- ------- -------
Total distributions.................. (1.21) (0.65) (1.46) (0.27) (0.23) (0.22)
-------- -------- ------- ------- ------- -------
Net increase in net asset value.......... 1.81 1.59 1.72 2.17 2.12 1.06
-------- -------- ------- ------- ------- -------
Net Asset Value, End of Period........... $ 19.41 $ 17.60 $ 16.01 $ 14.29 $ 12.12 $ 19.42
======== ======== ======= ======= ======= =======
TOTAL RETURN(1).......................... 17.83% 14.46% 24.26% 20.37% 23.75% 6.98%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's)... $160,286 $158,398 $82,719 $31,473 $21,908 $90,906
Ratios of expenses to average net
assets:
Before reimbursement of expenses by
Adviser(2)......................... 1.14% 1.18% 1.33% 1.58% 2.50% 0.91%
After reimbursement of expenses by
Adviser(2)......................... 1.14% 1.18% 1.25% 1.25% 1.25% 0.91%
Ratios of net investment income to
average net assets:
Before reimbursement of expenses by
Adviser(2)......................... 1.54% 1.67% 1.70% 1.83% 1.38% 1.77%
After reimbursement of expenses by
Adviser(2)......................... 1.54% 1.67% 1.78% 2.16% 2.63% 1.77%
Portfolio Turnover(1).................. 34.79% 59.02% 28.13% 43.58% 27.33% 34.79%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Not Annualized.
(2) Annualized.
(a) Alleghany/Montag & Caldwell Balanced Fund - Class N
commenced investment operations on November 2, 1994.
(b) Montag & Caldwell Balanced Fund - Class I commenced
investment operations on December 31, 1998.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 68
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/CHICAGO TRUST BALANCED FUND OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/CHICAGO TRUST BALANCED FUND
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
10/31/99 10/31/98 10/31/97 10/31/96 10/31/95(A)
-------- -------- -------- -------- -------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of Period.... $ 12.03 $ 11.06 $ 9.60 $ 8.43 $ 8.34
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment
income............. 0.27 0.27 0.28 0.27 0.03
Net realized and
unrealized gain on
investments........ 1.71 1.65 1.60 1.16 0.06
-------- -------- -------- -------- --------
Total from
investment
operations....... 1.98 1.92 1.88 1.43 0.09
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS:
Distributions from
and in excess of
net investment
income............. (0.26) (0.27) (0.28) (0.26) --
Distributions from
net realized gain
on investments..... (0.71) (0.68) (0.14) --
-------- -------- -------- -------- --------
Total
distributions.... (0.97) (0.95) (0.42) (0.26) --
-------- -------- -------- -------- --------
Net increase in net asset
value.................. 1.01 0.97 1.46 1.17 0.09
-------- -------- -------- -------- --------
Net Asset Value, End of
Period................. $ 13.04 $ 12.03 $ 11.06 $ 9.60 $ 8.43
======== ======== ======== ======== ========
TOTAL RETURN(1).......... 17.26% 18.50% 20.10% 17.21% 1.08%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of
Period (in 000's).... $294,426 $219,362 $187,993 $156,703 $152,820
Ratios of expenses to
average net assets:
Before reimbursement
of expenses by
Adviser(2)......... 1.06% 1.08% 1.13% 1.17% 1.19%
After reimbursement
of expenses by
Adviser(2)......... 1.06% 1.08% 1.07%(3) 1.00% 1.00%
Ratios of net
investment income to
average net assets:
Before reimbursement
of expenses by
Adviser(2)......... 2.13% 2.30% 2.70% 2.79% 2.56%
After reimbursement
of expenses by
Adviser(2)......... 2.13% 2.30% 2.76% 2.96% 2.73%
Portfolio
Turnover(1).......... 25.05% 40.28% 34.69% 34.29% 0.72%
</TABLE>
- ---------------------------------------------------------
(1) Not Annualized.
(2) Annualized.
(3) The Adviser's expense reimbursement level, which affects the net expense
ratio, changed from 1.00% to 1.10% on February 28, 1997.
(a) Alleghany/Chicago Trust Balanced Fund (formerly the Chicago Trust Asset
Allocation Fund)-Class N commenced investment operations on September 21,
1995.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 69
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/CHICAGO TRUST BOND FUND OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/CHICAGO TRUST BOND FUND
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
10/31/99 10/31/98 10/31/97 10/31/96 10/31/95
--------- --------- --------- -------- --------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period......... $ 10.27 $ 10.13 $ 9.89 $ 9.94 $ 9.21
-------- -------- -------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................... 0.61 0.60 0.61 0.60 0.60
Net realized and unrealized gain (loss)
on investments......................... (0.51) 0.15 0.23 (0.05) 0.73
-------- -------- -------- ------- -------
Total from investment operations....... 0.10 0.75 0.84 0.55 1.33
-------- -------- -------- ------- -------
LESS DISTRIBUTIONS:
Distributions from and in excess of net
investment income...................... (0.61) (0.61) (0.60) (0.60) (0.60)
Distributions from net realized gain on
investments............................ (0.05) -- -- -- --
-------- -------- -------- ------- -------
Total distributions.................... (0.66) (0.61) (0.60) (0.60) (0.60)
-------- -------- -------- ------- -------
Net increase (decrease) in net asset value... (0.56) 0.14 0.24 (0.05) 0.73
-------- -------- -------- ------- -------
Net Asset Value, End of Period............... $ 9.71 $ 10.27 $ 10.13 $ 9.89 $ 9.94
======== ======== ======== ======= =======
TOTAL RETURN................................. 1.02% 7.66% 8.84% 5.76% 14.89%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's)....... $133,408 $160,561 $120,532 $79,211 $70,490
Ratios of expenses to average net assets:
Before reimbursement of expenses by
Adviser(1)............................. 0.93% 0.96% 1.02% 1.10% 1.54%
After reimbursement of expenses by
Adviser(1)............................. 0.80% 0.80% 0.80% 0.80% 0.80%
Ratios of net investment income to average
net assets:
Before reimbursement of expenses by
Adviser(1)............................. 5.91% 5.79% 6.02% 5.89% 5.78%
After reimbursement of expenses by
Adviser(1)............................. 6.04% 5.95% 6.24% 6.19% 6.52%
Portfolio Turnover......................... 49.83% 45.29% 17.76% 41.75% 68.24%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Annualized.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 70
<PAGE>
ALLEGHANY FUNDS
- ------------------------------
ALLEGHANY/CHICAGO TRUST MUNICIPAL BOND FUND OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/CHICAGO TRUST MUNICIPAL BOND FUND
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
10/31/99 10/31/98 10/31/97 10/31/96 10/31/95
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period........... $ 10.36 $ 10.19 $ 10.06 $ 10.08 $ 9.56
------- ------- ------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income...................... 0.46 0.44 0.38 0.38 0.35
Net realized and unrealized gain (loss) on
investments.............................. (0.63) 0.17 0.12 (0.02) 0.52
------- ------- ------- ------- -------
Total from investment operations......... (0.17) 0.61 0.50 0.36 0.87
------- ------- ------- ------- -------
LESS DISTRIBUTIONS:
Distributions from and in excess of net
investment income........................ (0.46) (0.44) (0.37) (0.38) (0.35)
------- ------- ------- ------- -------
Total distributions...................... (0.46) (0.44) (0.37) (0.38) (0.35)
------- ------- ------- ------- -------
Net increase (decrease) in net asset value..... (0.63) 0.17 0.13 (0.02) 0.52
------- ------- ------- ------- -------
Net Asset Value, End of Period................. $ 9.73 $ 10.36 $ 10.19 $ 10.06 $ 10.08
======= ======= ======= ======= =======
TOTAL RETURN................................... (1.77)% 6.17% 5.13% 3.59% 9.29%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's)......... $17,219 $13,210 $12,379 $11,186 $11,679
Ratios of expenses to average net assets:
Before reimbursement of expenses by
Adviser(1)............................... 1.20% 1.41% 1.64% 1.53% 2.16%
After reimbursement of expenses by
Adviser(1)............................... 0.10% 0.35%(2) 0.90% 0.90% 0.90%
Ratios of net investment income to average
net assets:
Before reimbursement of expenses by
Adviser(1)............................... 3.45% 3.22% 3.00% 3.11% 2.37%
After reimbursement of expenses by
Adviser(1)............................... 4.55% 4.28% 3.74% 3.74% 3.63%
Portfolio Turnover........................... 22.83% 34.33% 16.19% 27.47% 42.81%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Annualized.
(2) The Adviser's expense reimbursement level, which affects the
net expense ratio, changed from 0.90% to 0.10% on
February 27, 1998.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- 71
<PAGE>
ALLEGHANY FUNDS
- ----------------------------------
ALLEGHANY/CHICAGO TRUST MONEY MARKET FUND OCTOBER 31, 1999
FINANCIAL HIGHLIGHTS
ALLEGHANY/CHICAGO TRUST MONEY MARKET FUND
<TABLE>
<CAPTION>
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
10/31/99 10/31/98 10/31/97 10/31/96 10/31/95
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period....... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income.................. 0.05 0.05 0.05 0.05 0.03
-------- -------- -------- -------- --------
Less distributions from net investment
income............................... (0.05) (0.05) (0.05) (0.05) (0.03)
-------- -------- -------- -------- --------
Net Asset Value, End of Period............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ========
TOTAL RETURN............................... 4.76% 5.24% 5.15% 5.14% 5.56%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in 000's)..... $335,140 $281,389 $238,551 $225,536 $206,075
Ratios of expenses to average net assets:
Before reimbursement of expenses by
Adviser(1)........................... 0.51% 0.52% 0.56% 0.59% 0.63%
After reimbursement of expenses by
Adviser(1)........................... 0.51% 0.51%(3) 0.50% 0.50% 0.43%(2)
Ratios of net investment income to
average net assets:
Before reimbursement of expenses by
Adviser(1)........................... 4.63% 5.13% 5.00% 4.93% 5.24%
After reimbursement of expenses by
Adviser(1)........................... 4.63% 5.14% 5.06% 5.02% 5.44%
</TABLE>
- ---------------------------------------------------------
<TABLE>
<C> <S>
(1) Annualized.
(2) The Advisor's expense reimbursement level, which affects the
net expense ratio, changed from 0.40% to 0.50% on July 12,
1995.
(3) As of February 27, 1998, the Adviser no longer waived fees
or reimbursed expenses.
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
- - 72
<PAGE>
ALLEGHANY FUNDS
- --------------------------------
OCTOBER 31, 1999
NOTES TO FINANCIAL STATEMENTS
NOTE (A) SIGNIFICANT ACCOUNTING POLICIES: Alleghany Funds (the "Company")
operates as a series company, twelve series of which are covered by these
financial statements: Alleghany/ Montag & Caldwell Growth Fund (the "Growth
Fund"), Alleghany/Chicago Trust Growth & Income Fund (the "Growth & Income
Fund"), Alleghany/Chicago Trust Talon Fund (the "Talon Fund"), Alleghany/Chicago
Trust Small Cap Value Fund (the "Small Cap Value Fund"), Alleghany/Veredus
Aggressive Growth Fund (the "Aggressive Growth Fund"), Alleghany/ Blairlogie
International Developed Fund (the "International Developed Fund"),
Alleghany/Blairlogie Emerging Markets Fund (the "Emerging Markets Fund"),
Alleghany/Montag & Caldwell Balanced Fund (the "M&C Balanced Fund"),
Alleghany/Chicago Trust Balanced Fund (the "CT Balanced Fund"),
Alleghany/Chicago Trust Bond Fund (the "Bond Fund"), Alleghany/Chicago Trust
Municipal Bond Fund (the "Municipal Bond Fund") and Alleghany/Chicago Trust
Money Market Fund (the "Money Market Fund") (each a "Fund" and collectively, the
"Funds"). The Company is an open-end management investment company registered
under the Investment Company Act of 1940, as amended (the "Act"). The Company
was organized as a Delaware business trust on September 10, 1993.
After the close of business on April 30, 1999, pursuant to an agreement and plan
of reorganization in a tax-free business combination, the assets and liabilities
of PIMCO Emerging Markets Fund and PIMCO International Developed Fund (the
"Acquired Funds") were transferred to the newly formed series of the Company,
Alleghany/Blairlogie Emerging Markets Fund and Alleghany/Blairlogie
International Developed Fund (the "Acquiring Funds"), in exchange for shares of
the Acquiring Funds. Holders of the Institutional class of shares of the
Acquired Funds received Class I Shares of the corresponding Acquiring Fund and
holders of the Administrative Class of the Acquired Fund received Class N Shares
of the corresponding Acquiring Fund. In addition, at the date of transfer for
Alleghany/ Blairlogie Emerging Markets Fund, 39,668 Class A Shares, 21,554
Class B Shares and 31,837 Class C Shares converted to 39,559, 21,149 and 31,255
Class N Shares of the Acquiring Fund at conversion rates of 0.99724, 0.98121 and
0.98170, respectively. At the date of transfer for Alleghany/Blairlogie
International Developed Fund, 75,505 Class A Shares, 122,227 Class B Shares and
221,270 Class C Shares converted to 75,200, 119,741 and 216,942 Class N Shares
of the Acquiring Fund at conversion rates of 0.99597, 0.97966 and 0.98044,
respectively. Prior year share information has been restated to reflect the
share conversions at April 30, 1999.
The Growth Fund seeks long-term capital appreciation consistent with investments
primarily in a combination of equity and convertible securities. Capital
appreciation is emphasized, and generation of income is secondary. Montag &
Caldwell, Inc. ("Montag & Caldwell") is the Adviser for the Fund, which
commenced investment operations on November 2, 1994. Effective June 28, 1996,
the Fund offers two classes of shares: Class I (Institutional) Shares and
Class N (Retail) Shares.
The Growth & Income Fund seeks long-term total return through a combination of
capital appreciation and current income. In seeking to achieve its investment
objective, the Fund invests primarily in common stocks, preferred stocks and
convertible securities. The Chicago Trust Company ("Chicago Trust") is the
Adviser for the Fund, which commenced investment operations on December 13,
1993.
The Talon Fund seeks long-term total return through capital appreciation. The
Fund invests primarily in stocks of companies believed by Talon Asset
Management, Inc. ("Talon") to have prospects for long-term growth. The Fund,
which commenced investment operations on September 19, 1994, may also invest in
preferred stock and debt securities, including those which may be convertible
into common stock. Chicago Trust is the Adviser for the Fund and Talon is the
Sub-Adviser.
The Small Cap Value Fund seeks long-term total return by investing primarily in
common stocks of small U.S. companies and/or real estate investment trusts
(REITs). Chicago Trust is the Adviser for the Fund, which commenced investment
operations on November 10, 1998.
The Aggressive Growth Fund seeks to provide capital appreciation by investing
primarily in equity securities of companies with accelerating earnings. Veredus
Asset Management LLC is the Adviser for the Fund, which commenced investment
operations on June 30, 1998.
The International Developed Fund seeks long-term growth of capital through
investment primarily in a diversified portfolio of international equity
securities. Blairlogie Capital Management ("Blairlogie") is the Adviser for the
Fund, which commenced investment operations on June 8, 1993. The Fund offers two
classes of shares: Class I (Institutional) Shares and Class N (Retail) Shares.
The Emerging Markets Fund seeks long-term growth of capital with investments
primarily in common stocks of companies located in emerging market countries.
Blairlogie is the Adviser for the Fund, which commenced investment operations on
June 1, 1993. The Fund offers two classes of shares: Class I (Institutional)
Shares and Class N (Retail) Shares.
The M&C Balanced Fund seeks long-term total return through investment primarily
in a combination of equity, fixed income and short-term securities. The
allocation between asset classes
- 73
<PAGE>
ALLEGHANY FUNDS
OCTOBER 31, 1999
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
may vary in accordance with the expected rates of return of each asset class;
however, primary emphasis is placed upon selection of particular investments as
opposed to allocation of assets. Montag & Caldwell is the Adviser for the Fund,
which commenced investment operations on November 2, 1994. Effective
December 31, 1998, the Fund offers two classes of shares: Class I
(Institutional) Shares and Class N (Retail) Shares.
The CT Balanced Fund seeks growth of capital with current income. The Fund seeks
to achieve this objective by holding a combination of equity and fixed income
securities, including common stocks (both dividend and non-dividend paying),
preferred stocks, convertible preferred stocks, fixed income securities,
including bonds and bonds convertible into common stocks, and short-term
interest-bearing obligations. Chicago Trust is the Adviser for the Fund, which
commenced investment operations on September 21, 1995.
The Bond Fund seeks high current income consistent with prudent risk of capital.
The Fund primarily invests in a broad range of bonds and other fixed income
securities (bonds and debentures) with an average weighted portfolio maturity
between three and ten years. Chicago Trust is the Adviser for the Fund, which
commenced investment operations on December 13, 1993.
The Municipal Bond Fund seeks a high level of current interest income exempt
from Federal income taxes consistent with the conservation of capital. The Fund
seeks to achieve its objective by investing substantially all of its assets in a
diversified portfolio of municipal debt obligations. Chicago Trust is the
Adviser for the Fund, which commenced investment operations on December 13,
1993.
The Money Market Fund seeks to provide as high a level of current interest
income as is consistent with maintaining liquidity and stability of principal.
The Fund seeks to achieve its objective by investing in short-term, high
quality, U.S. dollar-denominated money market instruments. Chicago Trust is the
Adviser for the Fund, which commenced investment operations on December 14,
1993.
The following is a summary of the significant accounting policies consistently
followed by each Fund in the preparation of its financial statements. These
policies are in conformity with generally accepted accounting principles.
(1) SECURITY VALUATION: For the Growth Fund, the Growth & Income Fund, the
Talon Fund, the Small Cap Value Fund, the Aggressive Growth Fund, the
International Developed Fund, the Emerging Markets Fund, the M&C Balanced Fund
and the CT Balanced Fund, equity securities and index options traded on a
national exchange and over-the-counter securities listed on the NASDAQ National
Market System are valued at the last reported sales price at the close of the
respective exchange. Securities for which there have been no sales on the
valuation date are valued at the mean of the last reported bid and asked prices
on their principal exchange. Over-the-counter securities not listed on the
NASDAQ National Market System are valued at the mean of the current bid and
asked prices. For the M&C Balanced Fund, the CT Balanced Fund, the Bond Fund and
the Municipal Bond Fund, fixed income securities, except short-term investments,
are valued on the basis of prices provided by a pricing service when such prices
are believed by the Adviser to reflect the fair market value of such securities.
When fair market value quotations are not readily available, securities and
other assets are valued at fair value in accordance with guidelines adopted by
the Board of Trustees. For all Funds, short-term investments, that is, those
with a remaining maturity of 60 days or less, are valued at amortized cost,
which approximates market value. Foreign securities are converted to United
States dollars using exchange rates at the close of the New York Stock Exchange.
For the Money Market Fund, all securities are valued at amortized cost, which
approximates market value. Under the amortized cost method, discounts and
premiums are accreted and amortized ratably to maturity and are included in
interest income.
(2) REPURCHASE AGREEMENTS: Each Fund may enter into repurchase agreements with
financial institutions deemed to be creditworthy by the Fund's Adviser, subject
to the seller's agreement to repurchase and the Fund's agreement to resell such
securities at a mutually agreed upon price. Securities purchased subject to
repurchase agreements are deposited with the Fund's custodian and, pursuant to
the terms of the repurchase agreement, must have an aggregate market value
greater than or equal to the repurchase price plus accrued interest at all
times. If the value of the underlying securities falls below the value of the
repurchase price plus accrued interest, the Fund will require the seller to
deposit additional collateral by the next business day. If the request for
additional collateral is not met, or the seller defaults on its repurchase
obligation, the Fund has the right to sell the underlying securities at market
value and may claim any resulting loss against the seller.
(3) DERIVATIVE FINANCIAL INSTRUMENTS: The Growth Fund, the Growth & Income
Fund, the Talon Fund, the Aggressive Growth Fund, the International Developed
Fund, the Emerging Markets Fund, the M&C Balanced Fund, the CT Balanced Fund,
the Bond Fund and the Municipal Bond Fund are authorized to utilize derivative
financial instruments. A derivative financial instrument in very general terms
refers to a security whose value is "derived" from the value of an underlying
asset, reference rate or index. A Fund has a variety of reasons to use
derivative instruments, such as to attempt to protect the Fund against possible
changes in the market value of its portfolio and to
- - 74
<PAGE>
ALLEGHANY FUNDS
OCTOBER 31, 1999
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
manage the portfolio's effective yield, maturity and duration. All of a Fund's
portfolio holdings, including derivative instruments, are marked to market each
day with the change in value reflected in the unrealized
appreciation/depreciation on investments. Upon disposition, a realized gain or
loss is recognized accordingly, except for exercised option contracts where the
recognition of gain or loss is postponed until the disposal of the security
underlying the option contract. Summarized in 4 and 5 below are specific
derivative financial instruments used by the Funds listed above.
(4) FUTURES AND OPTIONS: A Fund may use futures contracts to manage its
exposure to the markets or to movements in interest rates and currency values.
The primary risks associated with the use of futures contracts and options are
imperfect correlation between the change in market value of the securities held
by a Fund and the prices of futures contracts and options, the possibility of an
illiquid market and the inability of the counterparty to meet the terms of the
contract. Futures contracts and purchased options are valued based upon their
quoted daily settlement prices. The premium received for a written option is
recorded as an asset with an equal liability which is marked to market based on
the option's quoted daily settlement price. Fluctuations in the value of such
instruments are recorded as unrealized appreciation (depreciation) until
terminated, at which time realized gains and losses are recognized.
(5) FORWARD CURRENCY TRANSACTIONS: Forward foreign exchange contracts are used
to hedge against foreign exchange risk arising from the Fund's investment or
anticipated investment in securities denominated in foreign currencies. A Fund
may also enter into these contracts for purposes of increasing exposure to a
foreign currency or to shift exposure to foreign currency fluctuations from one
country to another. All commitments are marked to market daily at the applicable
translation rates and any resulting unrealized gains or losses are recorded.
Realized gains or losses are recorded at the time the forward contract matures
or by delivery of the currency. Risks may arise upon entering these contracts
from the potential inability of counterparties to meet the terms of their
contracts and from unanticipated movements in the value of a foreign currency
relative to the U.S. dollar.
(6) MORTGAGE BACKED SECURITIES: The Growth & Income Fund, the International
Developed Fund, the Emerging Markets Fund, the M&C Balanced Fund, the CT
Balanced Fund, the Bond Fund and the Municipal Bond Fund may invest in mortgage
backed securities (MBS), representing interests in pools of mortgage loans.
These securities provide shareholders with payments consisting of both principal
and interest as the mortgages in the underlying mortgage pools are paid. Most of
the securities are guaranteed by federally sponsored agencies such as Government
National Mortgage Association (GNMA), Federal National Mortgage Association
(FNMA) or Federal Home Loan Mortgage Corporation (FHLMC). However, some
securities may be issued by private, non-government corporations. MBS issued by
private agencies are not government securities and are not directly guaranteed
by any government agency. They are secured by the underlying collateral of the
private issuer. Yields on privately issued MBS tend to be higher than those of
government backed issues. However, risk of loss due to default and sensitivity
to interest rate fluctuations are also higher.
The Growth & Income Fund, the Aggressive Growth Fund, the International
Developed Fund, the Emerging Markets Fund, the M&C Balanced Fund, the CT
Balanced Fund, the Bond Fund and the Municipal Bond Fund may also invest in
Collateralized Mortgage Obligations (CMOs) and Real Estate Mortgage Investment
Conduits (REMICs). A CMO is a bond which is collateralized by a pool of MBS, and
a REMIC is similar in form to a CMO. These MBS pools are divided into classes or
tranches with each class having its own characteristics. The different classes
are retired in sequence as the underlying mortgages are repaid. A Planned
Amortization Class (PAC) is a specific class of mortgages, which over its life
will generally have the most stable cash flows and the lowest prepayment risk.
Prepayment may shorten the stated maturity of the CMO and can result in a loss
of premium, if any has been paid.
The CT Balanced Fund and the Bond Fund may utilize Interest Only (IO) securities
to increase the diversification of the portfolio and manage risk. An IO security
is a class of MBS representing ownership in the cash flows of the interest
payments made from a specified pool of MBS. The cash flow on this instrument
decreases as the mortgage principal balance is repaid by the borrower.
(7) INVESTMENT INCOME AND SECURITIES TRANSACTIONS: Dividend income is recorded
on the ex-dividend date, except for certain dividends from foreign securities
where the ex-dividend date may have passed, which are recorded as soon as a Fund
is informed of the ex-dividend date. Interest income is accrued daily.
Securities transactions are accounted for on the date securities are purchased
or sold. The cost of securities sold is primarily determined using the first-in,
first-out method.
(8) FOREIGN CURRENCY: Foreign currencies, investments and other assets and
liabilities are translated into U.S. dollars at the exchange rates prevailing at
the end of the period. Fluctuations in the value of these assets and liabilities
resulting from changes in exchange rates are recorded as unrealized foreign
currency gains (losses). Realized gains (losses) and unrealized appreciation
(depreciation) on investment securities and income and
- 75
<PAGE>
ALLEGHANY FUNDS
OCTOBER 31, 1999
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
expenses are translated on the respective dates of such transactions. The effect
of changes in foreign currency exchange rates on investments in securities are
not segregated in the statement of operations from the effects of changes in
market prices of those securities, but are included with the net realized and
unrealized gain or loss on investment securities.
(9) FEDERAL INCOME TAXES: The Funds have elected to be treated as "regulated
investment companies" under Sub-chapter M of the Internal Revenue Code and to
distribute substantially all of their respective net taxable income.
Accordingly, no provisions for federal income taxes have been made in the
accompanying financial statements. The Funds intend to utilize provisions of the
federal income tax laws which allow them to carry a realized capital loss
forward for eight years following the year of the loss and offset such losses
against any future realized capital gains. At October 31, 1999, the losses
amounted to $1,272,314 for the Small Cap Value Fund, which will expire October
31, 2007, $791,465 for the Aggressive Growth Fund, which will expire
October 31, 2006, $17,153,823 for the Emerging Markets Fund, which will expire
between October 31, 2002 and October 31, 2006, $384,988 for the Bond Fund, which
will expire October 31, 2007 and $10,230 for the Municipal Bond Fund, which will
expire October 31, 2003.
Net realized gains or losses may differ for financial and tax reporting purposes
for the Small Cap Value Fund, the Aggressive Growth Fund, the International
Developed Fund, the Emerging Markets Fund, the M&C Balanced Fund and the Bond
Fund, primarily as a result of losses from wash sales which are not recognized
for tax purposes until the corresponding shares are sold.
(10) DIVIDENDS AND DISTRIBUTIONS: Dividends and distributions to shareholders
are recorded on the ex-dividend date.
(11) MULTICLASS OPERATIONS: With respect to the Growth Fund, the International
Developed Fund, the Emerging Markets Fund and the M&C Balanced Fund, each class
offered by these funds has equal rights as to assets. Income, non-class specific
expenses and realized and unrealized capital gains and losses are allocated to
each class of shares based on the relative net assets of each class.
(12) ORGANIZATION COSTS: The Funds have reimbursed the Advisers for certain
costs incurred in connection with the Funds' and the Company's organization. The
costs were being amortized on a straight-line basis over five years, commencing
on December 13, 1993 for the Growth & Income Fund, Bond Fund and the Municipal
Bond Fund; December 14, 1993 for the Money Market Fund; September 19, 1994 for
the Talon Fund; November 2, 1994 for the Growth Fund and the M&C Balanced Fund;
September 21, 1995 for the CT Balanced Fund; and June 30, 1998 for the
Aggressive Growth Fund.
(13) USE OF ESTIMATES: The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenues and expenses
during the reporting period. Actual results could differ from those estimates.
NOTE (B) DIVIDENDS FROM NET INVESTMENT INCOME AND DISTRIBUTIONS OF CAPITAL
GAINS: With respect to the Growth Fund, the Growth & Income Fund, the Talon
Fund, the Small Cap Value Fund, the Aggressive Growth Fund, the M&C Balanced
Fund and the CT Balanced Fund, dividends from net investment income are
distributed quarterly and net realized gains from investment transactions, if
any, are distributed to shareholders annually. With respect to the International
Developed Fund and the Emerging Markets Fund, dividends from net investment
income and net realized gains from investment transactions, if any, are declared
and paid at least annually to shareholders of record. The Bond Fund and the
Municipal Bond Fund distribute their respective net investment income to
shareholders monthly and capital gains, if any, are distributed annually. The
Money Market Fund declares dividends daily from its net investment income. The
Money Market Fund's dividends are payable monthly and are automatically
reinvested in additional Fund shares, at the month-end net asset value, for
those shareholders that have elected the reinvestment option. Differences in
dividends per share between classes of the Growth Fund, the Growth & Income
Fund, the International Developed Fund, the Emerging Markets Fund and the M&C
Balanced Fund are due to class specific expenses.
Net investment income and realized gains and losses for federal income tax
purposes may differ from that reported on the financial statements because of
permanent book and tax basis differences. Permanent book and tax differences of
$44, $27,652 and $4,658 were reclassified at October 31, 1999 between
accumulated net realized gain on investments and undistributed net investment
income in the M&C Balanced Fund, the CT Balanced Fund and the Bond Fund,
respectively, due to gains and losses on paydown adjustments from
mortgage-backed securities. In addition, permanent book and tax differences in
the Small Cap Value Fund relating to the recognition of expenses which are not
deductible for tax purposes totaling $111 were reclassified between
undistributed net investment income and capital paid-in. Also, in the Talon
Fund, permanent book and tax differences relating to the sale of real estate
investment trusts totaling
- - 76
<PAGE>
ALLEGHANY FUNDS
OCTOBER 31, 1999
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
$5,135 were reclassified between accumulated net realized gain and undistributed
net investment income and permanent book and tax differences relating to return
of capital distributions for the fiscal year October 31, 1998 totaling $1,339
were reclassified between undistributed net investment income and capital paid-
in. For the International Developed Fund and the Emerging Markets Fund,
permanent book and tax differences relating to net currency gains and losses
totaling $81,307 and $55,545, respectively, were reclassified between
accumulated net realized gain and undistributed net investment income. Also, for
the International Developed Fund, permanent book and tax differences relating to
equalization debits in the amount of $166,524 and corporate actions in the
amount of $75,000 were reclassified between accumulated net realized gain and
capital paid-in.
The Growth Fund and the Growth & Income Fund had net operating losses for tax
purposes, net of short-term gains of $639,463 and $1,141,812, respectively, for
the year ended October 31, 1999 which were reclassified between undistributed
net investment income and capital paid-in as permanent differences. The Talon
Fund and the Aggressive Growth Fund had net operating losses for tax purposes of
$62,169 and $254,684, respectively, which were offset by short-term capital
gains and were reclassified between undistributed net investment income and
accumulated net realized gain.
Distributions from net realized gains for book purposes may include short-term
capital gains, which are included as ordinary income for tax purposes.
For the year ended October 31, 1999, 100% of the income distributions made by
the Municipal Bond Fund were exempt from federal income taxes. Additionally,
during the year, the Growth Fund, the Growth & Income Fund, the M&C Balanced
Fund, the CT Balanced Fund and the Bond Fund paid long term capital gain
distributions of $64,001,597, $23,278,710, $8,904,043, $13,010,618 and $708,951,
respectively. In January 2000, the Funds will provide tax information to
shareholders for the 1999 calendar year.
All of the income dividends paid by each Fund were ordinary income for federal
income tax purposes. The percentage of income dividends that were qualifying
dividends for the corporate dividends received deductions were 100%, 31.53% and
17.11% for the Talon Fund, the M&C Balanced Fund and the CT Balanced Fund,
respectively.
NOTE (C) SHARES OF BENEFICIAL INTEREST: Each Fund is authorized to issue an
unlimited number of shares of beneficial interest with no par value. At October
31, 1999, Alleghany Asset Management, Inc. owned one share of the Small Cap
Value Fund, one share of the Aggressive Growth Fund and 152 shares of the CT
Balanced Fund.
NOTE (D) INVESTMENT TRANSACTIONS: Aggregate purchases and proceeds from sales
of investment securities (other than short-term investments) for the period
ended October 31, 1999 were:
<TABLE>
<CAPTION>
AGGREGATE PURCHASES PROCEEDS FROM SALES
------------------- -------------------
U.S. GOVERNMENT OTHER U.S. GOVERNMENT OTHER
--------------- ----- --------------- -----
<S> <C> <C> <C> <C>
Growth Fund.......... $ -- $1,305,997,104 $ -- $736,042,970
Growth & Income
Fund............. -- 127,891,040 -- 128,269,317
Talon Fund........... -- 19,775,222 -- 25,016,861
Small Cap Value
Fund............. -- 95,302,097 -- 50,427,649
Aggressive Growth
Fund............. -- 81,366,876 -- 58,458,722
International
Developed Fund... -- 29,193,128 -- 42,445,081
Emerging Markets
Fund............. -- 8,127,846 -- 9,524,176
M&C Balanced Fund.... 29,281,332 99,936,682 13,416,867 55,748,697
CT Balanced Fund..... 11,976,178 83,500,353 6,738,070 56,464,362
Bond Fund............ 15,254,512 57,019,811 28,425,823 57,004,009
Municipal Bond
Fund............. -- 8,127,938 -- 3,508,386
</TABLE>
NOTE (E) ADVISORY, ADMINISTRATION AND DISTRIBUTION SERVICES AGREEMENTS: Under
various Advisory Agreements with the Funds, each Adviser provides investment
advisory services to the Funds. The Funds pay advisory fees at the following
annual percentage rates of the average daily net assets of each Fund: 0.80% on
the first $800,000,000 of average daily net assets and 0.60% of average daily
net assets over $800,000,000 for the Growth Fund; 0.70% for the Growth & Income
Fund; 0.80% for the Talon Fund; 1.00% for the Small Cap Value Fund; 1.00% for
the Aggressive Growth Fund; 0.85% for the International Developed Fund; 0.85%
for the Emerging Markets Fund; 0.75% for the M&C Balanced Fund; 0.70% for the CT
Balanced Fund; 0.55% for the Bond Fund; 0.60% for the Municipal Bond Fund; and
0.40% for the Money Market Fund. These fees are accrued daily and paid monthly.
For the period ended October 31, 1999, the Advisers contractually undertook to
reimburse the Talon Fund, the Small Cap Value Fund, the Aggressive Growth Fund,
the International Developed Fund (Class I and Class N), the Emerging Markets
Fund (Class I and Class N) and the Bond Fund for operating expenses which caused
total expenses to exceed 1.30%, 1.40%, 1.40%, 1.10%, 1.35%, 1.35%, 1.60%, and
0.80%, respectively. The Advisers voluntarily undertook to reimburse the Growth
Fund (Class I and Class N), the Growth & Income Fund, the M&C Balanced Fund
(Class I and Class N), the CT Balanced Fund and the Municipal Bond Fund for
operating expenses which caused total expenses to exceed 0.98%, 1.30%, 1.10%,
1.00%, 1.25%, 1.10%, and 0.10% respectively. The voluntary expense
reimbursements may be terminated at the discretion of the Advisers.
- 77
<PAGE>
ALLEGHANY FUNDS
OCTOBER 31, 1999
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
For the period ended October 31, 1999, the Advisers waived/ reimbursed expenses
of $40,814 for the Talon Fund, $52,755 for the Small Cap Value Fund, $52,934 for
the Aggressive Growth Fund, $29,647 for the International Developed Fund,
$43,536 for the Emerging Markets Fund, $199,795 for the Bond Fund and $174,679
for the Municipal Bond Fund.
Chicago Trust serves as Administrator of the Funds. Prior to December 17, 1998,
Chicago Trust received fees equivalent to the sub-administration fee schedule.
Effective December 17, 1998, the administration fee schedule is as follows:
<TABLE>
<CAPTION>
ADMINISTRATION FEES
-------------------
FEE (% OF FUNDS' AGGREGATE DAILY NET ASSETS) AVERAGE DAILY NET ASSETS
- -------------------------------------------- ------------------------
<S> <C>
0.060.................................................. up to $2 billion
0.050.................................................. $2 billion to $7 billion
0.045.................................................. over $7 billion
</TABLE>
First Data Investor Services Group, Inc. (now known as PFPC Inc.) serves as
Sub-Administrator of the Funds and receives the following fees, which are paid
to the Sub-Administrator by the Administrator.
<TABLE>
<CAPTION>
SUB-ADMINISTRATION FEES CUSTODY LIAISON FEES
----------------------- --------------------
AVERAGE
FEE (% OF FUNDS' AGGREGATE DAILY NET ANNUAL FEE AVERAGE DAILY NET ASSETS
DAILY NET ASSETS) ASSETS (PER FUND) (PER FUND)
----------------- ------ ---------- ----------
<S> <C> <C> <C>
up to $2
0.060 billion $10,000 up to $100 million
$2 billion
to $3.5
0.045 billion $15,000 $100 million to $500 million
over $3.5
0.040 billion $20,000 over $500 million
</TABLE>
First Data Distributors, Inc. served as principal underwriter and distributor of
the Funds' shares until December 1, 1999. Pursuant to a Rule 12b-1 distribution
plan (the "Plan") adopted by the Funds with respect to Class N Shares, the
Growth Fund, the Growth & Income Fund, the Talon Fund, the Small Cap Value Fund,
the Aggressive Growth Fund, the International Developed Fund, the Emerging
Markets Fund, the M&C Balanced Fund, the CT Balanced Fund, the Bond Fund and the
Municipal Bond Fund pay certain expenses associated with the distribution of
their shares. Under the Plan, each Fund may pay actual expenses not exceeding,
on an annual basis, 0.25% (currently, the Municipal Bond Fund's Rule 12b-1 fee
is reduced to 0.10%) of each participating Fund's average daily net assets. The
Class I Shares of the Growth Fund, the International Developed Fund, the
Emerging Markets Fund and the M&C Balanced Fund and the Class N Shares of the
Money Market Fund do not have distribution plans.
For the year ended October 31, 1999, the class specific expenses were:
<TABLE>
<CAPTION>
REPORTS TO
TRANSFER AGENT FEES SHAREHOLDER EXPENSE
------------------- -------------------
CLASS N CLASS I CLASS N CLASS I
------- ------- ------- -------
<S> <C> <C> <C> <C>
Growth Fund....................... $407,092 $ -- $131,598 $47,771
International Developed Fund...... -- -- 357 4,813
Emerging Markets Fund............. -- -- 89 828
M&C Balanced Fund................. 7,520 -- 9,959 2,744
</TABLE>
Certain officers and Trustees of the Company are also officers and directors of
Chicago Trust. The Company does not compensate its officers or affiliated
Trustees. Effective January 1, 1999, the Company pays each unaffiliated Trustee
$3,000 per Board of Trustees' meeting attended and an annual retainer of $3,000
and reimburses each unaffiliated Trustee for out-of-pocket expenses.
NOTE (F) YEAR 2000 COMPLIANCE (UNAUDITED): The Company utilizes a number of
computer programs across its entire operation relying on both internal software
systems as well as external software systems provided by third parties. Like
other businesses around the world, the Company could be adversely affected if
these or other systems are unable to perform their intended functions
effectively after 1999 because of the systems' inability to distinguish the year
2000 from the year 1900. This is commonly known as the "Year 2000 problem." The
Company has completed its assessment of all mission critical systems. All
mission critical hardware and software systems utilized by the Company in its
business have been certified as Year 2000 compliant by the appropriate vendor.
The Company has completed validation testing and has not detected any Year 2000
compatibility issues in the hardware and software systems under their control.
There can be no assurance, however, that these steps will be sufficient to avoid
any adverse impact on the Funds' from this problem, but we do not anticipate
that the move to Year 2000 will have a material impact on the Funds.
NOTE (G) SUBSEQUENT EVENTS (UNAUDITED): The Company anticipates offering
Class I shares of the CT Bond Fund to the public in the first quarter 2000.
On December 1, 1999, Provident Distributors, Inc. became the Distributor of the
shares of the Funds.
On December 1, 1999, PFPC Trust Company, a wholly-owned subsidiary of PFPC
Worldwide Inc. and an indirect wholly-owned subsidiary of PNC Bank Corp.,
acquired all of the outstanding shares of First Data Investor Services Group,
Inc.,
- - 78
<PAGE>
ALLEGHANY FUNDS
OCTOBER 31, 1999
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
the Funds' sub-administrator and transfer agent. As a result, First Data
Investor Services Group, Inc. changed its name to PFPC Inc.
SHAREHOLDER VOTING RESULTS (UNAUDITED): At a Special Meeting of the
Shareholders held on June 17, 1999:
(i) Four additional Trustees (three non-affiliated and one affiliated) were
elected, with each receiving at least 97% of the shares voting.
<TABLE>
<CAPTION>
AFFIRMATIVE WITHHOLD TOTAL
----------- -------- -----
<S> <C> <C> <C>
Dorethea C. Gilliam........................ 362,001,955 1,799,393 363,801,348
Robert Kushner............................. 362,196,970 1,604,378 363,801,348
Robert Scherer............................. 361,951,668 1,849,680 363,801,348
Denis Springer............................. 361,940,022 1,861,326 363,801,348
</TABLE>
Stuart D. Bilton, Leonard F. Amari, Gregory T. Mutz, and Nathan Shapiro are also
Trustees of the Company.
(ii) Amendments to the investment objectives for the Small Cap Value Fund, the
Aggressive Growth Fund, the M&C Balanced Fund and the Bond Fund were approved by
the Shareholders as follows:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAINED TOTAL
--- ------- --------- -----
<S> <C> <C> <C> <C>
Small Cap Value Fund.................. 3,185,094 15,863 103 3,201,060
Aggressive Growth Fund................ 1,423,479 -- 57,716 1,481,195
M&C Balanced Fund..................... 5,519,458 946,192 105,659 6,571,309
Bond Fund............................. 8,427,257 17,947 3,380,490 11,825,694
</TABLE>
(iii) Investment advisory contracts, with respect to an Amended and Restated
Guaranty Agreement, between the Chicago Trust Company and the Growth & Income
Fund, the CT Balanced Fund, the Bond Fund, the Municipal Bond Fund and the Money
Market Fund were approved as follows:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAINED TOTAL
--- ------- --------- -----
<S> <C> <C> <C> <C>
Growth & Income Fund............... 15,683,221 376,319 115,114 16,174,654
CT Balanced Fund................... 10,276,799 150,644 167,285 10,594,728
Bond Fund.......................... 11,852,316 9,928 88,278 11,950,522
Municipal Bond Fund................ 1,310,473 -- -- 1,310,473
Money Market Fund.................. 261,743,645 294,639 450,153 262,488,437
</TABLE>
- 79
<PAGE>
ALLEGHANY FUNDS
- ------------------------------------
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders of Alleghany Funds:
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of Alleghany Funds (comprising, respectively,
Alleghany/Montag & Caldwell Growth Fund, Alleghany/Chicago Trust Growth & Income
Fund, Alleghany/Chicago Trust Talon Fund, Alleghany/Chicago Trust Small Cap
Value Fund, Alleghany/Veredus Aggressive Growth Fund, Alleghany/Montag &
Caldwell Balanced Fund, Alleghany/Chicago Trust Balanced Fund, Alleghany/Chicago
Trust Bond Fund, Alleghany/Chicago Trust Municipal Bond Fund, and
Alleghany/Chicago Trust Money Market Fund) as of October 31, 1999, and the
related statements of operations for each of the periods presented in the year
then ended, the statements of changes in net assets for each of the periods
presented in the two-year period then ended, and the financial highlights for
each of the periods presented. We have also audited the accompanying statements
of assets and liabilities, including the schedules of investments, of
Alleghany/Blairlogie International Developed Fund and Alleghany/Blairlogie
Emerging Markets Fund of Alleghany Funds as of October 31, 1999, and the related
statements of operations, statements of changes in net assets and financial
highlights for the six-month period then ended and the ten-month period ended
April 30, 1999. These financial statements and financial highlights are the
responsibility of Alleghany Funds' management. Our responsibility is to express
an opinion on these financial statements and financial highlights based on our
audits. The accompanying Alleghany/Blairlogie International Developed Fund and
Alleghany/Blairlogie Emerging Markets Fund statement of changes in net assets
for the year ended June 30, 1998, and financial highlights for each of the
periods presented through June 30, 1998 were audited by other auditors whose
report thereon, dated August 17, 1998, expressed an unqualified opinion.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
October 31, 1999, by correspondence with the custodian and brokers and by the
application of alternative auditing procedures where broker replies were not
received. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Funds constituting the Alleghany Funds as of October 31, 1999,
the results of their operations for each of the periods presented in the year
then ended, the changes in their net assets for each of the periods presented in
the two-year period then ended, and the financial highlights for each of the
periods presented, in conformity with generally accepted accounting principles.
[LOGO]
Chicago, Illinois
December 16, 1999
- - 80
<PAGE>
GUIDE TO SHAREHOLDER BENEFITS
We're delighted to offer all Alleghany Funds shareholders a variety of
services and convenient options. To receive more information about any of
these benefits, simply call a Shareholder Services Representative Monday
through Friday, 9 a.m. - 7 p.m. ET.
THE EASY WAY TO GROW YOUR ACCOUNT: START AN AUTOMATIC INVESTMENT PLAN(1)
Systematic investing is an easy, effortless way to help reach any investment
goal. Just choose a fixed amount, and we'll automatically deduct it from your
checking or savings account on a regular schedule and invest it in your
Alleghany Funds account. The service is free, and the minimum monthly
investment is $50.
COMPOUND YOUR EARNINGS WITH AUTOMATIC DIVIDEND REINVESTMENT
By automatically reinvesting dividends into your Alleghany Funds account, your
profits can mount. Monthly and quarterly dividends and annual capital gain
distributions are reinvested at no charge.
FREE, FLEXIBLE EXCHANGE PRIVILEGES
As your personal needs change, so can your Alleghany Funds investment.
Transfers between our funds are free of charge, and it only takes a telephone
call.
LOW MINIMUM INITIAL INVESTMENTS
The minimum initial investment for all Alleghany Funds is just $2,500 ($500
for IRAs). And subsequent investments can be as low as $50.
FREE CHECK WRITING SERVICES AVAILABLE
If you are an investor in Alleghany/Chicago Trust Money Market Fund, you can
take advantage of free check writing privileges. Checks must be written for
$500 or more.
ACCESS INFORMATION AND MAKE TRANSACTIONS ONLINE AT OUR WEB SITE
You can access account balances, obtain fund information and make transactions
online 24 hours a day, 7 days a week -- in complete security. Alleghany Funds
was among the first mutual fund companies to provide these capabilities.
(1) Periodic investment plans involve continuous investments in securities
regardless of price. You should consider your financial ability to continue to
purchase shares through periods of both high and low price levels.
www.AlleghanyFunds.com
Our Shareholder Services Line is at Your Service 24 Hours a Day
- ---------------
800 992-8151
Shareholder Services Representatives are available to assist you Monday -
Friday 9 a.m. to 7 p.m., ET. Or, call any time, day or night, for automated
account information to make exchanges or check fund performance.
<PAGE>
[LOGO] ALLEGHANY FUNDS
- -----------------------------
TRUSTEES
- -----------------------------------------
Leonard F. Amari*
Stuart D. Bilton, Chairman
Dorothea C. Gilliam
Robert Kushner*
Gregory T. Mutz*
Robert Scherer*
Nathan Shapiro*
Denis Springer*
*Unaffiliated Trustee
- -----------------------------
ADVISERS
- -----------------------------------------
The Chicago Trust Company
171 North Clark Street
Chicago, IL 60601
Montag & Caldwell, Inc.
3455 Peachtree Road, NE, Suite 1200
Atlanta, GA 30326
Veredus Asset Management LLC
6900 Bowling Boulevard, Suite 250
Louisville, KY 40207
Blairlogie Capital Management
125 Princes Street
Edinburgh EH2 4AD
Scotland
- -----------------------------
SHAREHOLDER SERVICES
- ------------------------------------------------
PFPC Inc.
4400 Computer Drive
Westborough, MA 01581
- -----------------------------
DISTRIBUTOR
- ------------------------------------------------
Provident Distributors, Inc.
Four Falls Corporate Center
Suite 600
West Conshohocken, PA 19428-2961
- -----------------------------
OFFICERS
- ------------------------------------------------
Kenneth C. Anderson, President
Debra Bunde Comsudes, Vice President
Gerald F. Dillenburg, Vice President,
Secretary and Treasurer
Laura M. Hlade, Assistant Treasurer
- -----------------------------
CUSTODIAN
- ------------------------------------------------
Bankers Trust
One Bankers Trust Place
New York, NY 10001
Investors Fiduciary Trust Co.
801 Pennsylvania Avenue
Kansas City, MO 64105
- -----------------------------
LEGAL COUNSEL
- ------------------------------------------------
Sonnenschein Noth & Rosenthal
8000 Sears Tower
Chicago, IL 60606
- -----------------------------
AUDITOR
- ------------------------------------------------
KPMG LLP
303 East Wacker Drive
Chicago, IL 60601
THIS REPORT IS SUBMITTED FOR GENERAL INFORMATION TO THE SHAREHOLDERS OF THE
FUNDS. IT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE
FUNDS UNLESS PRECEDED OR ACCOMPANIED BY AN EFFECTIVE PROSPECTUS WHICH INCLUDES
DETAILS REGARDING THE FUNDS' OBJECTIVES, POLICIES, EXPENSES AND OTHER
INFORMATION.
AG07 12/31/99
