SEMI-ANNUAL REPORT
President's Message
Dear Shareholder:
I am pleased to present the Semi-Annual Report to Shareholders of Federated
Managed Aggressive Growth Fund for the six-month reporting period from
December 1, 1998 through May 31, 1999. Included in this report is our
investment review, followed by a complete listing of the fund's holdings
and financial statements.
In pursuit of its investment objective, the fund invests in a well-
diversified portfolio that focuses on stocks. At the end of the reporting
period, 83.4% of the fund's $153-million portfolio was invested across
stocks, including large-cap value, small-cap value, large-cap growth,
small cap growth, and foreign stocks. The rest of the portfolio consisted
of U.S. and foreign bonds. 1
During the first half of the fund's fiscal year, Institutional Shares
delivered a total return of 7.03% 2 through a share price increase of
$0.12, dividends totaling $0.10 per share, and capital gains totaling $0.72
per share. Select Shares produced a total return of 6.67%2 through a share
price increase of $0.12, dividends totaling $0.05 per share, and capital
gains totaling $0.72 per share.
Thank you for pursuing your long-term goals through the extremely high
diversification and professional management of Federated Managed
Aggressive Growth Fund. As always, we welcome your comments and
suggestions.
Sincerely,
[Graphic]
Glen R. Johnson
President
July 15, 1999
1 International investing involves special risks including currency risk,
increased volatility of foreign securities, and differences in auditing
and other financial standards.
2 Performance quoted represents past performance and is not indicative of
future results. Investment return and principal value will fluctuate, so
that an investor's shares, when redeemed, may be worth more or less than
their original cost.
Investment Review
PERFORMANCE FOR SIX-MONTH REPORTING PERIOD ENDED MAY 31, 1999
The six-month reporting period ended May 31, 1999 was a generally favorable
one for financial assets and Federated Managed Aggressive Growth Fund
participated in the advance. For the six-month reporting period ended
May 31, 1999, an investor in the Institutional Shares had a total return of
7.03%, 1 while an investor in the Select Shares had a total return of
6.67%.1 As usual, performance among asset classes showed wide variation. In
the U.S., large company stocks continued to outperform small company stocks
until April when returns for small company stocks improved in response to
stronger economic growth. As has been the recent pattern, U.S. large
company stocks also outperformed foreign stocks. Bonds performed poorly
during the period as interest rates rose on concerns that stronger economic
growth will bring higher inflation.
ASSET ALLOCATION AS OF MAY 31, 1999
Federated Managed Aggressive Growth Fund operates on an investment
philosophy that, over time, an investor with a diversified portfolio will
achieve better returns with the same risk, or the same returns with lower
risk, than an investor in a single asset category. Therefore, to ensure
proper diversification of its portfolio, the fund's investment policies
require management to allocate the portfolio among as many as eight asset
categories and limit the weight of each asset category. In allocating the
fund's portfolio among asset categories, fund management analyzes the
relative value offered by each category under prevailing market
conditions. Fund management seeks to improve the fund's performance by
weighting most heavily the asset categories that management believes will
provide the best relative value. The following table shows the allocation
of the portfolio among different asset categories as of May 31, 1999.
ASSET CATEGORIES AS A PERCENTAGE OF TOTAL ASSETS
<TABLE>
<CAPTION>
PERCENTAGE
PERMITTED AS OF
ASSET CATEGORY RANGE MAY 31, 1999
<S> <C> <C>
BONDS 2 10-30 13
U.S. Treasury Securities 0-20 6
Mortgage-Backed Securities 0-10 0
Investment Grade
Corporate Bonds 0-10 0
High Yield Corporate Bonds 0-10 4
Foreign Bonds 0-10 4
EQUITIES 2 70-90 83
Large Company Stocks 40-60 45
Small Company Stocks 10-20 10
Foreign Stocks 10-20 13
</TABLE>
1 Performance quoted represents past performance. Investment return and
principal value will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
2 Bonds convertible into equity securities at a price below the closing
price of the underlying equity securities on May 31, 1999 have been
included under the appropriate equity asset category.
The U.S. has enjoyed eight years of economic expansion which has driven
corporate profits strongly upward. The accompanying bull market in stocks
has pushed stock prices up even faster than earnings. However, this
favorable price movement in stocks has created a valuation problem for
U.S. stocks. Relative to historical measures of value, U.S. stocks are
richly priced. This implies that long-term returns from these price levels
are likely to be moderate. Offsetting the valuation factors, the
U.S. economy appears to be in solid shape with good growth and low
inflation. Moreover, U.S. monetary policy appears supportive of further
price gains in financial assets. Thus fund management moved equity exposure
up during the period to above normal levels in response to this favorable
near-term environment for equities.
STRUCTURE OF THE BOND PORTFOLIO
Within the range of four to six years, the fund's bond duration is set at
4.5 years. This duration is set at a somewhat below average level in
recognition that the current economic cycle is one of the longest in post-
war history and late stages of business cycles are often unfavorable
environments for bonds. Therefore, a somewhat conservative bond position
is appropriate due to cyclical concerns despite the favorable secular or
longer-term outlook for bonds. Within the bond portfolio, bond categories
were held near their normal positions after adjusting for the lower than
normal bond allocation.
STRUCTURE OF THE EQUITY PORTFOLIO
Equity exposure was increased in the portfolio, primarily in the large
company stock area. Other areas of the stock market such as small company
stocks and foreign stocks appear more reasonably valued than U.S. large
company stocks. However, the economic cycle appears to favor large company
stocks. This economic expansion has lasted eight years, substantially
longer than the average U.S. economic expansion. In the late stages of
economic expansions, investors usually begin to favor larger company
stocks for their perceived stability of earnings. Finally a rising dollar
creates a performance drag for U.S. investors in foreign stocks. Thus fund
management held weights in the other equity asset classes near neutral
levels despite their valuation advantages.
Portfolio of Investments
MAY 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-83.4% 1
LARGE-CAP VALUE STOCKS-23.0%
BASIC MATERIALS-1.2%
4,800 Air Products & Chemicals, Inc. $ 196,800
5,700 Alcoa, Inc. 313,500
21,735 Archer-Daniels-Midland Co. 326,025
3,400 Dow Chemical Co. 413,100
4,900 Du Pont (E.I.) de Nemours & Co. 320,644
3,400 International Paper Co. 170,000
3,500 Martin Marietta Materials 212,188
TOTAL 1,952,257
CAPITAL GOODS-1.3%
4,200 Caterpillar, Inc. 230,475
2,400 Cooper Industries, Inc. 118,950
2,300 Emerson Electric Co. 146,913
8,100 Ingersoll-Rand Co. 515,869
8,000 Johnson Controls, Inc. 504,500
2,600 Northrop Grumman, Corp. 175,500
5,900 Parker-Hannifin Corp. 257,756
1,047 Tyco International, Ltd. 91,482
TOTAL 2,041,445
COMMUNICATION SERVICES-3.8%
21,565 AT&T Corp. 1,196,857
5,000 Ameritech Corp. 329,063
17,200 Bell Atlantic Corp. 941,700
9,900 BellSouth Corp. 467,156
10,400 GTE Corp. 655,850
12,678 2 MCI Worldcom, Inc. 1,095,062
9,200 SBC Communications, Inc. 470,350
2,300 Sprint Corp. (FON Group) 259,325
11,800 U.S. West, Inc. 637,937
TOTAL 6,053,300
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE-CAP VALUE STOCKS-continued
CONSUMER CYCLICALS-1.1%
3,354 Delphi Auto Systems Corp. $ 65,822
8,500 Ford Motor Co. 485,031
4,800 General Motors Corp. 331,200
16,500 2 K Mart Corp. 253,687
5,700 Limited, Inc. 278,587
2,550 May Department Stores Co. 110,447
1,700 Penney (J.C.) Co., Inc. 87,869
3,100 Sears, Roebuck & Co. 148,219
TOTAL 1,760,862
CONSUMER STAPLES-0.9%
900 Anheuser-Busch Companies, Inc. 65,756
5,000 CBS Corp. 208,750
6,400 Kimberly-Clark Corp. 375,600
4,100 2 King World Productions, Inc. 136,837
600 2 MediaOne Group, Inc. 44,325
7,300 RJR Nabisco Holdings Corp. 225,844
11,800 UST, Inc. 359,900
TOTAL 1,417,012
ENERGY-2.4%
3,800 Atlantic Richfield Co. 318,013
7,800 2 BJ Services Co. 214,987
5,100 Chevron Corp. 472,706
16,500 Exxon Corp. 1,317,938
4,500 Mobil Corp. 455,625
10,000 Occidental Petroleum Corp. 211,250
3,200 Phillips Petroleum Co. 167,800
6,600 Sunoco, Inc. 200,887
2,000 Texaco, Inc. 131,000
12,800 USX-Marathon Group 383,200
TOTAL 3,873,406
FINANCIALS-6.9%
1,400 Allmerica Financial Corp. 81,987
12,400 Allstate Corp. 451,825
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE-CAP VALUE STOCKS-continued
FINANCIALS-CONTINUED
2,000 American General Corp. $ 144,500
8,901 American International Group, Inc. 1,017,496
10,000 Bank One Corp. 565,625
12,194 BankAmerica Corp. 788,799
3,400 BankBoston Corp. 161,075
2,730 Bear Stearns Cos., Inc. 121,144
9,600 CIGNA Corp. 895,200
5,300 Chase Manhattan Corp. 384,250
20,050 Citigroup, Inc. 1,328,313
8,200 Federal National Mortgage Association 557,600
11,800 First Union Corp. 543,538
5,100 Fleet Financial Group, Inc. 209,738
5,300 2 Golden State Bancorp, Inc. 130,181
2,800 Hartford Financial Services Group, Inc. 177,100
4,400 KeyCorp 152,900
3,000 Loews Corp. 243,938
4,200 MBIA, Inc. 286,913
8,250 Marsh & McLennan Cos., Inc. 600,188
7,600 Mellon Bank Corp. 271,225
1,000 Merrill Lynch & Co., Inc. 84,000
1,100 Morgan, J.P. & Co., Inc. 153,244
4,300 Morgan Stanley, Dean Witter, Discover & Co. 414,950
6,900 Old Republic International Corp. 125,494
2,800 PNC Bank Corp. 160,300
2,300 SunTrust Banks, Inc. 155,250
4,100 Torchmark Corp. 136,838
5,830 Washington Federal, Inc. 131,175
8,400 Washington Mutual, Inc. 320,775
5,100 Wells Fargo Co. 204,000
TOTAL 10,999,561
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE-CAP VALUE STOCKS-continued
HEALTH CARE-0.5%
14,800 Pharmacia & Upjohn, Inc. $ 820,475
TECHNOLOGY-2.3%
5,100 Eastman Kodak Co. 344,888
4,200 Electronic Data Systems Corp. 236,250
9,200 First Data Corp. 413,425
6,100 Hewlett-Packard Co. 575,306
2,800 International Business Machines Corp. 1,488,800
2,500 Motorola, Inc. 207,031
5,400 Raytheon Co., Class A 358,763
TOTAL 3,624,463
TRANSPORTATION-0.5%
2,900 2 AMR Corp. 188,681
9,600 Burlington Northern Santa Fe 297,600
1,800 2 FDX Corp. 99,113
8,700 Ryder Systems, Inc. 208,800
TOTAL 794,194
UTILITIES-2.1%
3,600 Allegheny Energy, Inc. 125,550
6,100 CMS Energy Corp. 283,650
7,300 Coastal Corp. 281,506
6,150 Columbia Energy Group 329,025
3,000 Consolidated Edison Co. 145,688
4,400 Constellation Energy Group 137,225
3,300 Dominion Resources, Inc. 142,519
8,700 Entergy Corp. 282,206
13,200 P G & E Corp. 445,500
8,300 Public Service Enterprises Group, Inc. 348,081
8,700 Reliant Energy, Inc. 265,350
8,400 Southern Co. 238,350
5,900 Texas Utilities Co. 265,500
TOTAL 3,290,150
TOTAL LARGE-CAP VALUE STOCKS 36,627,125
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
SMALL-CAP VALUE STOCKS-4.6%
BASIC MATERIALS-0.3%
1,400 Cambrex Corp. $ 31,500
1,100 ChemFirst, Inc. 26,194
2,100 Corn Products International, Inc. 61,950
1,100 Florida Rock Industries, Inc. 43,862
1,400 Geon Co. 42,175
2,300 Glamis Gold Ltd. 4,312
600 2 Hauser Inc. 1,462
1,600 Lone Star Industries, Inc. 57,000
900 2 Material Sciences Corp. 10,012
600 2 McWhorter Technologies, Inc. 8,325
1,400 OM Group, Inc. 52,325
400 Penford Corporation 5,262
4,410 Placer Dome, Inc. 49,061
500 Quaker Chemical Corp. 8,687
800 Quanex Corp. 20,900
700 Republic Group, Inc. 12,512
700 Steel Technologies, Inc. 6,300
1,200 Texas Industries, Inc. 43,650
1,000 2 WHX Corp. 7,500
TOTAL 492,989
CAPITAL GOODS-0.6%
1,600 AMCOL International Corp. 22,700
500 Amcast Industrial Corp. 8,406
1,000 2 Astec Industries, Inc. 37,375
1,200 Barnes Group, Inc. 27,675
700 2 Benchmark Electronics, Inc. 21,000
1,300 Brady (W.H.) Co. 32,581
800 CTS Corp. 44,800
1,800 2 Checkpoint System, Inc. 16,425
900 Commercial Metals Corp. 21,094
900 CustomTracks Corp. 54,000
1,000 Daniel Industries, Inc. 21,000
900 2 Flow International Corp. 8,887
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
SMALL-CAP VALUE STOCKS-continued
CAPITAL GOODS-CONTINUED
1,000 Imco Recycling, Inc. $ 16,750
1,500 2 Insituform Technologies, Inc., Class A 25,125
500 Insteel Industries, Inc. 4,312
700 2 Intermagnetics General Corp. 5,469
900 2 Ionics, Inc. 28,181
1,100 Juno Lighting, Inc. 25,231
1,400 Kaman Corp., Class A 18,550
2,300 2 Kemet Corp. 36,944
600 Lawson Products, Inc. 14,850
3,100 2 Morrison Knudsen Corp. 30,806
1,100 Myers Industries, Inc. 25,162
400 2 Nashua Corp. 4,550
900 O'Sullivan Corp. 7,987
600 Park Electrochemical Corp. 14,362
2,800 2 Paxar Corp. 25,375
1,200 RTI International Metals 15,975
1,100 Reliance Steel & Aluminum Co. 39,187
1,000 Scott Technologies, Inc. 18,875
1,400 Smith (A.O.) Corp. 34,125
700 Spartan Motors, Inc. 4,025
800 Standex International Corp. 20,900
800 Stone & Webster, Inc. 19,600
1,900 2 Superior Services, Inc. 40,731
800 2 Tetra Technologies, Inc. 6,800
900 Thomas Industries, Inc. 18,225
400 2 Three-Five Systems, Inc. 5,375
1,500 Valmont Industries, Inc. 24,797
1,300 Wabash National Corp. 24,781
1,400 Watsco, Inc. 27,037
800 2 Wolverine Tube, Inc. 19,050
TOTAL 919,080
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
SMALL-CAP VALUE STOCKS-continued
CONSUMER CYCLICALS-1.0%
500 Angelica Corp. $ 8,469
1,500 2 Ann Taylor Stores Corp. 64,781
1,600 Apogee Enterprises, Inc. 19,100
1,600 Arctic Cat, Inc. 13,300
1,300 Authentic Fitness Corp. 21,369
800 Baker (J.), Inc. 5,800
800 Bassett Furniture Industries, Inc. 19,200
1,100 Brown Group, Inc. 20,900
700 2 Building Materials Holding Corp. 8,050
600 CPI Corp. 18,900
3,100 Casey's General Stores, Inc. 41,656
1,600 Cato Corp., Class A 21,000
600 Chemed Corp. 19,462
1,500 2 Cone Mills Corp. 9,281
900 2 Cyrk International, Inc. 5,963
3,200 D. R. Horton, Inc. 54,400
1,400 Delta Woodside Industries, Inc. 9,887
700 Dixie Group, Inc. 6,387
1,300 2 Dress Barn, Inc. 19,094
1,500 2 Family Golf Centers, Inc. 13,641
2,200 Fedders Corp. 12,512
1,300 2 Franklin Covey Co. 12,675
700 2 Galey & Lord, Inc. 2,887
700 2 Gottschalks, Inc. 5,775
500 Haggar Corp. 6,312
1,200 Hancock Fabrics, Inc. 6,825
2,000 2 Hartmarx Corp. 9,875
700 Huffy Corp. 9,406
1,400 Hughes Supply, Inc. 37,713
700 2 Insurance Automotive Auctions, Inc. 9,013
3,100 Interface, Inc. 24,025
1,500 Intermet Corp. 20,812
1,600 2 Jan Bell Marketing, Inc. 4,900
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
SMALL-CAP VALUE STOCKS-continued
CONSUMER CYCLICALS-CONTINUED
1,100 Jo-Ann Stores, Inc. $ 18,494
600 Johnston Industries, Inc. 1,350
1,800 2 Just For Feet, Inc. 13,725
1,500 Justin Industries, Inc. 20,156
600 K Swiss, Inc., Class A 34,425
1,300 Kellwood Co. 30,875
3,100 La-Z Boy Chair Co. 61,612
500 Lillian Vernon Corp. 6,437
1,100 M.D.C. Holdings, Inc. 21,725
1,700 2 Michaels Stores, Inc. 45,475
900 Nelson, Thomas Inc. 8,831
2,700 Oakwood Homes Corp. 33,750
1,100 OshKosh B'Gosh, Inc., Class A 21,587
500 Oxford Industries, Inc. 13,875
1,600 Phillips Van Heusen Corp. 14,000
1,200 2 Primark Corp. 32,475
3,000 2 Prime Hospitality Corp. 31,312
1,300 Russ Berrie & Co., Inc. 33,394
900 Ryland Group, Inc. 25,031
1,100 2 Scotts Co. 48,400
1,500 Shopko Stores, Inc. 53,250
500 Skyline Corp. 15,594
700 2 Southern Energy Homes, Inc. 3,259
800 Standard Motor Products, In 19,050
1,700 Standard Pacific Corp. 22,312
900 Standard Products Co. 20,081
2,700 Stride Rite Corp. 28,181
500 2 Swiss Army Brands, Inc. 4,031
1,200 2 TBC Corp. 8,475
900 TJ International, Inc. 24,750
700 Thor Industries, Inc. 18,419
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
SMALL-CAP VALUE STOCKS-continued
CONSUMER CYCLICALS-CONTINUED
2,200 2 Toll Brothers, Inc. $ 47,987
800 2 U.S. Home Corp. 27,600
1,200 Universal Forest Products, Inc. 21,600
500 Walbro Corp. 9,781
1,300 Winnebago Industries, Inc. 21,450
1,100 Wynns International, Inc. 19,869
2,100 2 Zale Corp. 80,981
TOTAL 1,526,969
CONSUMER STAPLES-0.5%
1,200 ABM Industries, Inc. 32,775
1,700 Applebee's International, Inc. 50,150
1,300 Bindley Western Industries, Inc. 39,162
2,100 Bowne & Co., Inc. 35,175
1,000 2 Canandaigua Wine Co., Inc., Class A 49,750
700 2 Carmike Cinemas, Inc., Class A 12,294
1,200 2 Cheesecake Factory, Inc. 33,150
3,800 Chiquita Brands International 30,637
1,100 Dames & Moore, Inc. 17,325
2,500 Earthgrains Co. 58,594
1,800 Harland (John H.) Co. 32,175
1,200 2 IHOP Corp. 28,650
2,800 2 Interim Services, Inc. 61,075
500 2 J & J Snack Foods Corp. 10,375
1,800 2 Landrys Seafood Restaurants, Inc. 16,425
400 National Presto Industries, Inc. 14,925
1,600 Norrell Corp. 29,700
1,900 Ruby Tuesday, Inc. 35,269
2,300 2 Ryan's Family Steak Houses, Inc. 26,881
2,200 2 Smithfield Foods, Inc. 58,712
1,100 2 Sonic Corp. 30,284
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
SMALL-CAP VALUE STOCKS-continued
CONSUMER STAPLES-CONTINUED
1,300 TCBY Enterprises, Inc. $ 8,612
800 2 Taco Cabana, Inc., Class A 8,550
900 2 Volt Information Science, Inc. 15,525
2,200 2 World Color Press 56,100
TOTAL 792,270
ENERGY-0.1%
90 2 Eagle Geophysical, Inc. 304
1,100 2 HS Resources, Inc. 13,200
1,300 2 Oceaneering International, Inc. 20,069
1,200 2 Offshore Logistics, Inc. 13,575
1,200 2 Pool Energy Services Co. 20,250
2,900 2 Pride International, Inc. 30,269
3,895 2 Santa Fe Snyder Corp. 33,107
1,400 2 Seitel, Inc. 22,137
TOTAL 152,911
FINANCIALS-0.8%
2,600 2 Amresco, Inc. 17,875
1,000 Anchor Bancorp Wisconsin, Inc. 16,500
3,200 Astoria Financial Corp. 144,000
900 Banknorth Group, Inc. 24,019
1,900 Capital Re Corp. 30,994
1,300 Carolina First Corporation 35,669
3,500 Commercial Federal Corp. 79,844
1,600 Cullen Frost Bankers, Inc. 90,000
1,246 2 Delphi Financial Group, Inc., Class A 43,236
1,600 Downey Financial Corp. 35,200
2,200 Enhance Financial Services Group, Inc. 43,037
600 Executive Risk, Inc. 51,150
1,700 First Midwest Bancorp, Inc. 65,875
4,100 Fremont General Corp. 86,869
2,200 Frontier Insurance Group, Inc. 37,812
1,200 Investment Technology Group, Inc. 53,175
600 JSB Financial, Inc. 30,750
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
SMALL-CAP VALUE STOCKS-continued
FINANCIALS-CONTINUED
1,200 Jefferies Group, Inc. $ 29,475
1,300 MAF Bancorp, Inc. 29,981
1,100 NAC Re Corp. 60,019
1,600 Orion Capital Corp. 46,700
1,470 Provident Bankshares Corp. 33,994
1,800 Riggs National Corp. 30,262
1,600 Selective Insurance Group, Inc. 30,200
1,200 2 Silicon Valley Bancshares 23,100
2,400 St. Paul Bancorp, Inc. 62,250
2,100 Susquehanna Bankshares, Inc. 38,194
TOTAL 1,270,180
HEALTH CARE-0.3%
1,200 ADAC Laboratories 9,675
1,600 Alpharma, Inc., Class A 42,700
1,900 2 American Oncology Resources, Inc. 19,297
600 2 Compdent Corp. 8,700
900 2 Datascope Corp. 22,641
800 Diagnostic Products Corp. 18,200
2,100 2 Genesis Health Ventures, Inc. 9,319
3,100 Integrated Health Services, Inc. 18,212
1,200 2 NCS HealthCare, Inc., Class A 16,500
4,400 2 Phycor, Inc. 30,662
805 2 Priority HealthCare Corp., Class A 27,488
1,100 2 Protein Design Laboratories, Inc. 21,587
1,560 2 Quintiles Transnational Corp. 63,375
1,800 2 Regeneron Pharmaceuticals, Inc. 12,825
1,800 2 Roberts Pharmaceutical Corp. 34,200
800 2 Rural / Metro Corp. 6,050
1,600 2 Sierra Health Services, Inc. 24,400
1,800 2 Summit Technology, Inc. 35,550
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
SMALL-CAP VALUE STOCKS-continued
HEALTH CARE-CONTINUED
1,300 2 Sunrise Medical, Inc. $ 10,806
600 2 Syncor International Corp. 20,400
1,500 2 Vertex Pharmaceuticals, Inc. 30,094
700 Vital Signs, Inc. 13,431
TOTAL 496,112
TECHNOLOGY-0.3%
700 Analogic Corp. 22,794
2,400 2 Anixter International, Inc. 42,450
1,100 2 BancTec, Inc. 17,737
600 Bell Industries, Inc. 6,150
1,800 2 Cable Design Technologies, Class A 25,425
1,600 Dallas Semiconductor Corp. 69,600
800 2 Digi International, Inc. 6,700
3,600 2 Digtial Microwave Corp. 45,450
1,300 2 Exabyte Corp. 7,150
1,300 Gerber Scientific, Inc. 30,387
1,600 2 Intervoice, Inc. 17,800
1,400 2 Lattice Semiconductor Corp. 68,775
2,200 2 PictureTel Corp. 19,525
1,500 Pioneer Standard Electronics, Inc. 14,719
900 2 Standard Microsystems Corp. 6,862
2,800 System Software Association 5,687
2,700 2 VLSI Technology, Inc. 56,531
600 2 Wall Data, Inc. 6,112
1,300 2 Xircom, Inc. 32,825
TOTAL 502,679
TRANSPORTATION-0.3%
2,000 Air Express International Corp. 50,000
1,800 2 American Freightways Corp. 31,500
1,100 2 Arkansas Best Corp. 9,762
2,100 2 Fritz Companies, Inc. 22,575
1,000 Frozen Food Express Industries, Inc. 6,875
1,200 2 Kirby Corp. 22,650
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
SMALL-CAP VALUE STOCKS-continued
TRANSPORTATION-CONTINUED
600 2 Landstar System, Inc. $ 22,575
700 2 M.S. Carriers, Inc. 22,137
1,200 Pittston BAX Group 12,975
500 2 Railtex, Inc. 6,750
3,400 Rollins Truck Leasing Corp. 36,975
1,400 SkyWest, Inc. 32,550
1,500 USFreightways Corp. 59,062
2,800 Werner Enterprises, Inc. 54,075
1,500 2 Yellow Corp. 25,500
TOTAL 415,961
UTILITIES-0.4%
500 American States Water Co. 13,344
600 Aquarion Co. 18,637
1,800 Atmos Energy Corp. 46,125
400 2 Bangor Hydro Electric Co. 5,650
600 Cascade Natural Gas Corp. 10,087
800 Cilcorp, Inc. 48,750
1,300 Commonwealth Energy System 55,087
600 Connecticut Energy Corp. 22,537
1,700 Energen Corp. 32,513
1,000 New Jersey Resources Corp. 37,750
800 Orange & Rockland Utilities, Inc. 46,550
600 Pennsylvania Enterprises 17,400
2,316 Philadelphia Suburban Corp. 50,952
1,800 Piedmont Natural Gas, Inc. 60,862
1,800 Sierra Pacific Resources 65,475
1,800 Southwest Gas Corp. 50,850
1,500 Southwestern Energy Co. 14,156
800 TNP Enterprises, Inc. 29,850
800 United Illuminating Co. 35,050
2,200 United Water Resources, Inc. 47,850
TOTAL 709,475
TOTAL SMALL-CAP VALUE STOCKS 7,278,626
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE-CAP GROWTH STOCKS-21.7%
BASIC MATERIALS-0.3%
3,000 Bemis Co., Inc. $ 113,250
3,200 Hercules, Inc. 111,800
3,400 Monsanto Co. 141,100
1,900 PPG Industries, Inc. 115,306
TOTAL 481,456
CAPITAL GOODS-2.3%
4,600 Allied-Signal, Inc. 267,088
3,000 Avery Dennison Corp. 179,625
3,200 Crown Cork & Seal Co., Inc. 100,400
5,100 Dover Corp. 192,206
19,300 General Electric Co. 1,962,569
3,300 Hillenbrand Industries, Inc. 138,394
5,500 Miller Herman, Inc. 111,031
2,100 2 SCI Systems, Inc. 87,150
6,600 United Technologies Corp. 409,613
4,812 Waste Management, Inc. 254,435
TOTAL 3,702,511
COMMUNICATION SERVICES-0.6%
2,500 2 AT&T Corp. - Liberty Media Group, Inc., Class A 166,094
4,000 2 Airtouch Communications, Inc. 402,000
1,600 2 Chancellor Media Corp., Class A 81,300
3,500 Cincinnati Bell, Inc. 84,656
3,800 Comcast Corp., Class A 146,300
TOTAL 880,350
CONSUMER CYCLICALS-2.4%
2,600 2 Abercrombie & Fitch Co., Class A 218,725
3,400 Block (H&R), Inc. 163,837
1,800 2 Costco Cos., Inc. 130,500
2,900 Dayton-Hudson Corp. 182,700
2,900 Gannett Co., Inc. 209,525
3,150 Gap (The), Inc. 197,072
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CONSUMER CYCLICALS-CONTINUED
3,500 Harley Davidson, Inc. $ 178,719
9,300 Home Depot, Inc. 528,937
2,700 2 Jones Apparel Group, Inc. 83,025
3,688 Lowe's Cos., Inc. 191,546
7,400 Masco Corp. 211,363
2,100 Maytag Corp. 148,181
3,500 Nordstrom, Inc. 124,250
8,900 Service Corp. International 170,769
4,350 2 Staples, Inc. 125,062
10,200 TJX Cos., Inc. 306,000
17,200 Wal-Mart Stores, Inc. 733,150
TOTAL 3,903,361
CONSUMER STAPLES-4.2%
3,100 Avon Products, Inc. 153,256
6,400 Campbell Soup Co. 282,400
1,500 Cardinal Health, Inc. 90,563
13,000 Coca-Cola Co. 888,062
16,200 Dial Corp. 506,250
7,500 Disney (Walt) Co. 218,437
3,500 Dole Food, Inc. 107,406
4,200 Gillette Co. 214,200
3,000 Heinz (H.J.) Co. 144,937
5,400 McDonald's Corp. 207,900
5,106 McKesson HBOC, Inc. 173,923
9,200 PepsiCo, Inc. 329,475
18,000 Philip Morris Cos., Inc. 694,125
8,300 Procter & Gamble Co. 775,013
3,300 Quaker Oats Co. 218,006
8,700 2 Safeway, Inc. 404,550
7,400 Sara Lee Corp. 177,600
<CAPTION>
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LARGE-CAP GROWTH STOCKS-continued
CONSUMER STAPLES-CONTINUED
3,500 Sysco Corp. $ 103,906
5,100 2 Tricon Global Restaurants, Inc. 297,075
15,600 2 Viacom, Inc., Class A 601,575
1,500 Wrigley (Wm.), Jr. Co. 130,594
TOTAL 6,719,253
ENERGY-0.1%
3,300 Halliburton Co. 136,538
FINANCIALS-1.2%
4,400 American Express Co. 533,225
4,486 Associates First Capital Corp., Class A 183,926
3,600 Household International, Inc. 156,150
11,000 MBNA Corp. 303,875
2,000 MGIC Investment Corp. 96,250
5,250 Providian Financial Corp. 503,672
2,100 U.S. Bancorp 68,250
TOTAL 1,845,348
HEALTH CARE-3.9%
8,900 Abbott Laboratories 402,169
5,000 American Home Products Corp. 288,125
4,600 2 Amgen, Inc. 290,950
1,800 Baxter International, Inc. 116,213
19,500 2 Beverly Enterprises, Inc. 141,375
12,600 Bristol-Myers Squibb Co. 864,675
6,600 Guidant Corp. 330,000
7,700 2 HEALTHSOUTH, Corp. 102,988
7,200 Johnson & Johnson 666,900
4,000 Lilly (Eli) & Co. 285,750
16,000 Merck & Co., Inc. 1,080,000
4,300 Pfizer, Inc. 460,100
8,600 Schering Plough Corp. 387,538
3,100 United Healthcare Corp. 180,575
6,400 2 Universal Health Services, Inc., Class B 319,200
4,500 Warner-Lambert Co. 279,000
TOTAL 6,195,558
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TECHNOLOGY-6.7%
6,800 2 America Online, Inc. $ 811,750
4,300 2 Applied Materials, Inc. 236,231
2,000 2 Ascend Communications 185,375
6,112 2 BMC Software, Inc. 302,162
6,400 2 Cadence Design Systems, Inc. 82,400
12,625 2 Cisco Systems, Inc. 1,376,125
3,400 2 Compuware Corp. 105,613
3,500 2 Convergys Corp. 61,688
12,400 2 Dell Computer Corp. 427,025
8,400 2 EMC Corp. Mass 836,850
1,700 2 Gateway 2000, Inc. 103,381
18,200 Intel Corp. 983,938
2,400 2 Lexmark Intl. Group, Class A 326,700
16,200 Lucent Technologies, Inc. 921,375
26,000 2 Microsoft Corp. 2,097,875
7,950 2 Oracle Corp. 197,259
2,300 2 PanAmSat Corp. 74,750
4,600 2 Seagate Technology, Inc. 138,863
9,000 2 Sun Microsystems, Inc. 537,750
7,200 2 Tellabs, Inc. 421,200
4,400 Xerox Corp. 247,225
1,200 2 Yahoo, Inc. 177,600
TOTAL 10,653,135
TOTAL LARGE-CAP GROWTH STOCKS 34,517,510
SMALL-CAP GROWTH STOCKS-5.0%
BASIC MATERIALS-0.2%
1,900 2 Buckeye Technologies Inc. 30,994
1,300 Caraustar Industries, Inc. 34,288
600 LSB Industries, Inc. 1,125
1,200 Lilly Industries, Inc., Class A 22,875
1,300 MacDermid, Inc. 52,325
1,400 2 Shorewood Packaging Corp. 23,975
2,350 2 Stillwater Mining Co. 75,053
TOTAL 240,635
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CAPITAL GOODS-0.8%
1,500 AAR Corp. $ 29,625
600 2 Alliant Techsystems, Inc. 51,000
2,000 Applied Power, Inc., Class A 48,500
1,900 Aptargroup, Inc. 52,250
1,300 2 BE Aerospace, Inc. 23,238
1,900 Baldor Electric Co. 36,575
1,300 Belden, Inc. 30,631
2,000 Blount International, Inc., Class A 55,750
500 2 C-COR Electronics, Inc. 11,813
1,300 CLARCOR, Inc. 23,888
1,200 2 Dionex Corp. 49,125
1,200 2 Dycom Industries, Inc. 57,900
800 2 Gardner Denver, Inc. 13,700
1,100 Graco, Inc. 35,956
1,500 2 Halter Marine Group, Inc. 11,063
600 Harmon Industries, Inc. 12,525
2,300 JLG Industries, Inc. 44,419
900 Libbey, Inc. 26,944
1,350 Manitowoc, Inc. 45,900
1,900 2 Mueller Industries, Inc. 55,100
800 New England Business Service, Inc. 21,750
900 2 Oak Industries, Inc. 43,369
1,900 2 Orbital Sciences Corp. 42,988
800 2 Plexus Corp. 24,450
1,100 Regal Beloit Corp. 25,575
1,600 Roper Industries, Inc. 51,600
700 2 SPS Technologies, Inc. 29,663
2,600 2 Sanmina Corp. 194,959
900 2 Service Experts, Inc. 16,706
900 Technitrol, Inc. 26,775
1,900 Tredegar Industries, Inc. 40,731
1,300 2 Valence Technology, Inc. 9,669
1,600 2 Zebra Technologies Co., Class A 51,400
TOTAL 1,295,537
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CONSUMER CYCLICALS-1.0%
1,200 2 ADVO, Inc. $ 23,775
4,100 2 Acxiom Corp. 110,700
700 2 Ashworth, Inc. 3,413
1,000 2 Catalina Marketing Corp. 88,563
1,700 2 Cerner Corp. 34,213
2,500 2 Champion Enterprises, Inc. 51,094
3,600 DeVRY, Inc. 80,100
2,100 Ethan Allen Interiors, Inc. 66,938
1,300 2 Footstar, Inc. 50,456
1,100 G & K Services, Inc., Class A 51,975
3,800 2 Gentex Corp. 114,119
1,800 2 Goody's Family Clothing, Inc. 19,575
2,400 2 HA-LO Industries, Inc. 28,950
1,350 2 Insight Enterprises, Inc. 34,256
800 2 Lason Holdings, Inc. 30,650
2,000 2 Linens 'N Things, Inc. 79,750
1,700 2 Mens Wearhouse, Inc. 43,403
2,000 2 Midway Games, Inc. 21,250
3,000 2 Mohawk Industries, Inc. 87,375
1,100 2 NFO Worldwide, Inc. 15,606
2,000 2 Nautica Enterprise, Inc. 32,375
1,100 2 O'Reilly Automotive, Inc. 48,469
1,100 2 Pacific Sunwear of California 41,250
5,100 Pier 1 Imports, Inc. 56,419
700 Pillowtex Corp. 11,375
1,300 Polaris Industries, Inc. 55,981
1,200 2 Prepaid Legal Services, Inc. 31,875
1,950 Regis Corp. Minnesota 47,044
600 2 Timberland Co., Class A 38,850
2,400 True North Communications, Inc. 56,100
2,900 2 Williams-Sonoma, Inc. 86,456
2,300 Wolverine World Wide, Inc. 31,050
TOTAL 1,573,405
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CONSUMER STAPLES-0.4%
900 2 CEC Entertainment, Inc. $ 34,031
2,740 CKE Restaurants, Inc. 50,348
700 2 Consolidated Graphics, Inc. 32,288
1,675 2 Consolidated Products, Inc. 30,988
2,100 2 Foodmaker, Inc. 56,700
900 Merrill Corp. 13,613
3,600 2 NBTY, Inc. 22,613
1,000 Natures Sunshine Products, Inc. 12,188
1,700 Owens & Minor, Inc. 18,488
1,800 2 Patterson Dental Co. 65,925
2,500 Richfood Holdings, Inc. 32,031
1,500 2 Tetra Tech, Inc. 31,875
1,500 2 Triarc Companies, Inc., Class A 30,563
700 2 USA Detergents, Inc. 3,631
3,000 2 Valassis Communications, Inc. 104,438
1,400 2 Whole Foods Market, Inc. 58,100
TOTAL 597,820
ENERGY-0.0%
2,300 2 Tuboscope, Inc. 30,763
FINANCIALS-0.8%
3,300 2 Americredit Corp. 52,594
1,200 CMAC Investment Corp. 60,675
1,400 Centura Banks, Inc. 81,638
1,260 Commerce Bancorp, Inc. 50,715
1,900 Eaton Vance Corp. 58,188
1,530 Fidelity National Financial, Inc. 25,914
3,200 First American Financial Corp. 52,600
1,600 Firstbank Corp. 38,400
3,900 Firstmerit Corp. 106,519
900 Gallagher (Arthur J.) & Co. 43,819
600 Hilb Rogal & Hamilton Co. 12,225
2,300 Hudson United Bancorp 70,438
2,900 Legg Mason, Inc. 98,056
2,100 Mutual Risk Management Ltd. 76,650
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SMALL-CAP GROWTH STOCKS-continued
FINANCIALS-CONTINUED
1,300 Premier Bankshares, Inc. $ 27,056
1,150 Queens County Bancorp, Inc. 36,369
2,500 Raymond James Financial, Inc. 55,313
900 SEI Investments, Co. 91,800
1,380 Trustco Bank Corp. 37,778
1,000 U.S. Trust Corp. 87,688
2,300 United Bankshares, Inc. 61,381
TOTAL 1,225,816
HEALTH CARE-0.8%
680 2 Alza Corp. 24,268
1,600 Ballard Medical Products 38,000
1,200 2 Barr Laboratories, Inc. 39,525
2,600 2 Bio-Technology General Corp. 18,363
1,500 2 Cephalon, Inc. 20,250
800 Cooper Companies, Inc. 18,150
1,300 2 Cor Therapeutics, Inc. 18,444
3,100 2 Coventry Health Care Inc. 41,075
700 2 Curative Health Services, Inc. 4,769
1,300 2 Enzo Biochem, Inc. 13,975
1,800 2 Express Scripts, Inc., Class A 126,225
1,200 2 Immune Response Corp. 7,650
1,500 2 Incyte Pharmaceuticals, Inc. 39,000
1,600 Invacare Corp. 39,900
1,500 Jones Pharma, Inc. 53,344
2,000 2 Liposome Co., Inc. 28,625
4,100 2 Medimmune, Inc. 260,863
1,300 Mentor Corp. 20,719
1,000 2 Molecular Biosystems, Inc. 2,500
1,100 2 Noven Pharmaceuticals, Inc. 6,738
2,500 2 Orthodontic Centers of America, Inc. 30,156
1,300 2 Parexel International Corp. 31,119
800 2 Pediatrix Medical Group 18,050
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HEALTH CARE-CONTINUED
1,200 2 Pharmaceutical Product Development, Inc. $ 32,100
2,100 2 Renal Care Group, Inc. 58,275
2,900 2 Safeskin Corp. 36,250
1,300 2 Sola International, Inc. 21,694
1,300 2 U.S. Bioscience, Inc. 10,481
3,200 2 VISX, Inc. 166,200
292 2 Watson Pharmaceuticals, Inc. 11,187
TOTAL 1,237,895
SERVICES-0.0%
900 2 Metro Networks, Inc. 50,063
TECHNOLOGY-0.9%
2,200 2 American Management System, Inc 69,850
1,200 Analysts International Corp. 19,125
2,700 2 Aspect Telecommunications Corp. 22,950
1,300 2 Avid Technology, Inc. 21,125
1,900 2 Billing Concepts Corp. 23,750
1,400 2 Bisys Group, Inc. 76,869
2,800 2 Brightpoint, Inc. 15,925
2,000 2 C-Cube Microsystems, Inc. 50,125
2,800 2 Ciber, Inc. 60,025
2,600 2 CommScope, Inc. 68,250
1,100 Computer Task Group, Inc. 18,288
900 2 Dialogic Corp. 30,038
1,500 2 Epicor Software Corp. 10,594
1,200 Etec Systems, Inc. 32,175
700 Fair Isaac & Co., Inc. 22,925
1,900 2 General Semiconductor, Inc. 14,725
1,400 2 HNC Software 37,888
2,200 2 Harbinger Corp. 24,406
1,000 Henry Jack & Associates, Inc. 35,313
1,600 2 Hyperion Solutions, Corp. 24,900
1,400 Inter-Tel, Inc. 20,738
600 2 Kronos, Inc. 22,209
800 2 MICROS Systems Corp. 25,000
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continued
TECHNOLOGY-CONTINUED
2,100 2 Macromedia, Inc. $ 80,522
1,700 2 Medquist, Inc. 62,475
1,800 2 Mercury Interactive Corp. 59,175
1,000 2 Micrel, Inc. 56,000
1,600 National Computer Systems, Inc. 50,000
1,800 National Data Corp. 84,713
900 2 Progress Software Corp. 23,456
2,100 2 Technology Solutions Corp. 19,556
800 Telxon Corp. 8,300
1,400 2 Vantive Corp. 15,225
3,800 2 Vitesse Semiconductor Corp. 208,763
600 2 Whittaker Corp. 16,125
2,700 2 Whittman-Hart, Inc. 76,613
TOTAL 1,508,116
TRANSPORTATION-0.1%
5,100 Comair Holdings, Inc. 96,581
1,300 Expeditors International
Washington, Inc. 72,313
1,600 2 Heartland Express, Inc. 24,500
TOTAL 193,394
TOTAL SMALL-CAP GROWTH
STOCKS 7,953,444
FOREIGN EQUITY-12.6%
AUSTRALIA-0.3%
73,600 2 AAPT Ltd. 266,196
402,210 One. Tel Ltd. 280,964
TOTAL 547,160
BELGIUM-0.2%
3,400 2 Global TeleSystems Group, Inc. 258,400
FINLAND-0.5%
23,700 Merita A (unitas A) 140,337
12,000 Metra OY, Class B 267,088
3,000 Nokia Oyj 213,295
6,100 Sampo Insurance Co. Ltd.,
Class A 184,418
TOTAL 805,138
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FOREIGN EQUITY-continued
FRANCE-1.6%
2,628 Axa $ 302,736
1,000 Cap Gemini SA 143,969
3,140 Compagnie Financiere de
Paribas, Class A 340,439
3,872 Dassault Systemes SA 127,030
1,470 Elf Aquitaine SA 212,707
112,500 2 Eurotunnel (Paris) 172,403
3,700 Pechiney Ord A 143,335
8,800 2 Sanofi Synthelabo SA 370,629
2,500 Societe BIC SA 143,474
1,050 Societe Generale, Paris 190,684
800 Suez Lyonnaise des Eaux 132,523
2,880 Vivendi 213,170
2,880 Vivendi 3,002
TOTAL 2,496,101
GERMANY, FEDERAL REPUBLIC OF-0.8%
560 Bayerische Motoren Werke AG 358,453
1,670 DePfa Deutsche
Pfandbriefbank AG 144,501
3,600 Deutsche Bank, AG 187,650
3,890 Mannesmann AG 531,247
TOTAL 1,221,851
HONG KONG-0.5%
382,000 Cafe De Coral Holdings 114,528
386,400 China Everbright Limited 206,782
590,000 China Foods Holdings Ltd. 133,142
354,000 Sino Land Co. 190,584
68,000 Smartone Telecommunications 210,887
TOTAL 855,923
IRELAND-0.0%
2,200 2 Esat Telecom Group PLC, ADR 81,400
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FOREIGN EQUITY-continued
ITALY-1.1%
25,000 Arn Mondadori Edit $ 433,940
7,900 Assicurazioni Generali 280,839
64,818 Banca Intesa SPA 329,755
28,400 Mediolanum SPA 193,334
7,000 Rolo Banca 1473 SPA 165,288
20,500 SAI SPA 229,741
24,000 Telecom Italia Mobile 141,113
TOTAL 1,774,010
JAPAN-2.3%
38,000 Asahi Chemical Industry
Co. Ltd. 206,238
11,800 Capcom Co., Ltd. 181,584
32,000 Casio Computer Co. 218,946
34,000 Chugai Pharmaceutical Co.,
Ltd. 383,685
5,300 Circle K Japan Co. Ltd. 215,736
20,000 Fujitsu Ltd. 334,243
2,500 Hirose Electric Co 214,693
21,800 Minebea Co. 216,792
7,400 Mycal Card, Inc. 250,401
1,900 Nintendo Corp. Ltd. 223,215
360 Shokoh Fund & Co. 201,340
1,600 Softbank Corporation 183,999
1,500 Takefuji, Corp. 132,167
9,500 Tokyo Electric Power Co. 207,103
40,000 Toshiba Corp. 247,208
6,000 Yamada Denki 249,690
TOTAL 3,667,040
KOREA, REPUBLIC OF-0.2%
9,064 Samsung Securities Co.,
Ltd. 397,460
MALAYSIA-0.0%
1,000 Malayan United Industries
Bhd 184
NETHERLANDS-0.9%
4,500 2 ASM Lithography Holding
N.V. 198,205
1,200 Aegon N.V. 96,952
3,500 2 Equant N.V., ADR 290,281
<CAPTION>
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FOREIGN EQUITY-continued
NETHERLANDS-CONTINUED
3,800 Hoogovens (kon.) $ 146,972
3,100 ING Groep, N.V. 165,627
7,800 KPN N.V. 376,488
3,850 Unique International N.V. 87,898
TOTAL 1,362,423
NORWAY-0.1%
19,000 2 Storebrand ASA 127,399
PORTUGAL-0.4%
8,200 Banco Pinto & Sotto Mayor 162,421
10,000 Banco Portugues do
Atlantico 157,834
3,700 Estabelecimentos Jeronimo
Martins & Filho SGPS, S.A. 131,956
7,400 2 Seg Mundial Confianca 212,766
TOTAL 664,977
SINGAPORE-0.3%
152,700 Inchcape Motors Ltd. 244,604
24,700 Oversea-Chinese Banking
Corp. Ltd., Foreign Shares 193,529
TOTAL 438,133
SPAIN-0.6%
8,400 Argentaria 188,188
3,600 Banco Popular Espanol SA 263,085
9,225 Banco Santander 192,341
2,850 Baron de Ley, SA 98,047
90 Telefonica SA 4,314
4,510 Telefonica SA 216,183
TOTAL 962,158
SWEDEN-0.2%
7,300 Kinnevik AB 5,094
7,300 Kinnevik AB, Class B 151,974
5,950 Telefonaktiebolaget LM
Ericsson 158,815
TOTAL 315,883
<CAPTION>
SHARES OR
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
FOREIGN EQUITY-continued
SWITZERLAND-0.4%
38 2 Kudelski SA $ 142,974
165 Nestle SA 296,368
620 UBS AG-REG 179,316
TOTAL 618,658
UNITED KINGDOM-2.2%
14,200 2 Allied Zurich PLC 181,003
12,549 BP Amoco PLC 224,404
16,219 Barclays PLC 492,483
304 British Aerospace PLC 2,007
10,000 British Telecommunication
PLC 165,683
9,500 2 COLT Telecom Group PLC 200,630
12,400 Cable & Wireless 152,595
18,900 2 Cable & Wireless
Communications 179,587
15,126 Glaxo Wellcome PLC 424,393
19,600 3 Norwich Union PLC 138,972
13,714 Prudential Corp. PLC 180,192
33,000 Reed International PLC 241,386
19,090 Royal & Sun Alliance
Insurance Group PLC 155,606
18,600 Securicor PLC 166,901
13,539 Smithkline Beecham PLC 176,266
18,470 Vodafone Group PLC 351,002
TOTAL 3,433,110
TOTAL FOREIGN EQUITY 20,027,408
FUTURES CONTRACTS
COLLATERAL-16.5% 3
$ 26,300,000 United States Treasury
Bill, 6/17/1999 26,259,235
TOTAL STOCKS (IDENTIFIED
COST $84,894,916) 132,663,348
BONDS-12.8%
TREASURY AND GOVERNMENT
SECURITIES-5.5%
REPURCHASE AGREEMENT-2.4% 4
3,725,000 Societe Generale, New
York, 4.800%, dated
5/28/1999, due 6/1/1999
(at amortized cost) 3,725,000
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
UNITED STATES TREASURY
SECURITIES-3.1%
$ 2,550,000 United States Treasury
Bond, 8.125%, 5/15/2021 $ 3,157,079
1,375,000 United States Treasury
Note, 6.375%, 8/15/2002 1,405,553
405,000 United States Treasury
Note, 6.500%, 10/15/2006 421,565
TOTAL 4,984,197
TOTAL TREASURY AND
GOVERNMENT SECURITIES 8,709,197
HIGH YIELD BOND-3.7% 5
645,813 The High Yield Bond
Portfolio 5,967,315
FOREIGN BONDS-3.6%
AUSTRALIAN DOLLAR-0.2%
100,000 Queensland, State of,
8.000%, 9/14/2007 72,007
85,000 Queensland, State of,
Deb., 10.500%, 5/15/2003 64,371
260,000 West Australia, State of,
Local Gov't. Guarantee,
8.000%, 7/15/2003 182,073
TOTAL 318,451
CANADIAN DOLLAR-0.3%
204,000 Canada, Government, Deb.,
6.500%, 6/1/2004 144,913
405,000 Ontario Hydro, 9.000%,
6/24/2002 302,210
TOTAL 447,123
CZECH KORUNA-0.1%
4,000,000 Konsolidacni BKA, Foreign
Gov't. Guarantee, 10.875%,
4/15/2004 125,000
DANISH KRONE-0.2%
500,000 Denmark, Government of,
8.000%, 5/15/2003 81,117
1,927,000 Denmark, Government of,
Bullet, 8.000%, 3/15/2006 329,682
TOTAL 410,799
DEUTSCHE MARK-0.3%
610,000 Austria, Government of,
Unsub., 6.500%, 1/10/2024 369,265
130,000 Baden Wurt L-Finance N.V.,
Bank Guarantee, 6.000%,
1/25/2006 65,724
TOTAL 434,989
<CAPTION>
FOREIGN
CURRENCY VALUE IN
PAR AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
FOREIGN BONDS-continued
EUROPEAN CURRENCY UNIT
(ECU)-1.3%
261,622 Austria, Government of,
Deb., 7.625%, 10/18/2004 $ 324,097
12,741 Belgium, Government of,
Bond, 6.500%, 3/31/2005 13,454
176,522 France, Government of,
8.500%, 10/25/2019 266,743
99,701 Depfa-Bank, 5.500%,
1/15/2013 106,017
50,617 Germany, Government of,
Deb., 6.250%, 1/04/2024 65,353
101,579 Ireland, Government of,
Deb., 9.000%, 9/01/2006 138,480
196,253 Italy, Government of,
9.500%, 1/01/2005 186,738
76,693 KFW International Finance,
Bank Guarantee, 6.750%,
6/20/2005 81,751
40,840 Netherlands, Government
of, 6.000%, 1/15/2006 42,150
96,161 Spain, Government of,
10.000%, 2/28/2005 96,477
360,607 Spain, Government of,
6.150%, 1/31/2013 442,999
255,645 Treuhandanstalt, Foreign
Gov't. Guarantee, 6.875%,
6/11/2003 292,574
TOTAL 2,056,833
GREEK DRACHMA-0.2%
22,800,000 Hellenic Republic, FRN,
10/23/2003 76,094
75,000,000 Hellenic Republic, Series,
11/26/2003 249,346
TOTAL 325,440
HUNGARIAN FORINT-0.2%
16,200,000 Hungary, Govt. Bond,
14.000%, 12/12/2002 69,556
50,000,000 Hungary Govt., Series
HUNG, 9.500%, 2/12/2009 205,069
TOTAL 274,625
NETHERLANDS GUILDER-0.2%
255,000 Bank Ned Gemeenten, Bond,
6.3750%, 1/4/2006 122,924
340,000 Bk Ned Gemeenten, Bond,
7.750%, 12/20/2004 183,360
TOTAL 306,284
NEW ZEALAND DOLLAR-0.0%
61,000 New Zealand Government,
8.000%, 2/15/2001 34,279
NORWEIGAN KNONE-0.1%
490,000 Norway, Government,
5.500%, 5/15/2009 63,944
330,000 Norway, Government of,
Bond, 7.000%, 5/31/2001 43,198
247,000 Norway, Government of,
Foreign Gov't. Guarantee,
5.75%, 11/30/2004 32,202
TOTAL 139,344
<CAPTION>
FOREIGN
CURRENCY VALUE IN
PAR AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
FOREIGN BONDS-continued
POLISH ZLOTY-0.1%
180,000 Poland Govt. Bond,
12.000%, 10/12/2003 $ 47,045
490,000 Poland Govt., Bond, Series
5Y, 12%, 2/12/2003 125,053
TOTAL 172,098
SWEDISH KRONA-0.1%
800,000 Sweden 6.000%, 2/09/2005 101,880
500,000 Sweden, Deb., 13.000%,
6/15/2001 68,902
TOTAL 170,782
UNITED KINGDOM POUND-0.3%
187,000 British Gas PLC, 8.875%,
7/8/2008 356,874
38,000 U.K. Treasury, Deb.,
8.500%, 12/7/2005 72,367
TOTAL 429,241
TOTAL FOREIGN BONDS 5,645,288
TOTAL BONDS (IDENTIFIED
COST $46,176,454) 20,321,800
TOTAL INVESTMENTS
(IDENTIFIED COST
$131,071,370) 6 $ 152,985,148
</TABLE>
1 The Fund purchases index futures contracts to efficiently manage cash
flows from shareholder purchases and redemptions, dividends and capital
payments to shareholders and corporate actions while maintaining exposure
to the index and minimize trading costs. The underlying face amount, at
value of open index futures is $26,433,075 as of May 31, 1999.
2 Non-income producing security.
3 Denotes a restricted security which is subject to restrictions on resale
under Federal Securities laws. These securities have been deemed liquid
based upon criteria approved by the fund's board of directors. As of
May 31, 1999, these securities amounted to $138,972 which represents 0.1%
of net assets.
4 The repurchase agreement is fully collateralized by U.S. government
and/or agency obligations based on market prices at the date of the
portfolio. The investment in the repurchase agreement is through
participation in a joint account with other Federated funds.
5 The High Yield Bond Portfolio is a diversified portfolio of below
investment grade bonds.
6 The cost of investments for federal tax purposes amounts to $131,071,370.
The net unrealized appreciation of investments on a federal tax basis
amounts to $21,913,778 which is comprised of $26,334,209 appreciation and
$4,420,431 depreciation as of May 31, 1999.
Note: The categories of investments are shown as a percentage of net assets
($159,013,735) as of May 31, 1999.
The following acronyms are used throughout this portfolio:
FRN -Floating Rate Note
ADR -American Depositary Receipt
PLC -Public Limited Company
SA -Support Agreement
SPA -Standby Purchase Agreement
See Notes which are an integral part of the Financial Statements
Statement of Assets and Liabilities
MAY 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS:
Total investments in
securities, at value
(identified and tax cost
$131,071,370) $ 152,985,148
Cash denominated in
foreign currency
(identified cost
$4,677,551) 4,802,666
Income receivable 534,653
Receivable for investments
sold 394,415
Receivable for shares sold 135,473
Receivable for daily
variation margin 287,575
Deferred organizational
costs 11,404
Other assets 834
TOTAL ASSETS 159,152,168
LIABILITIES:
Payable for investments
purchased $ 12,914
Payable for taxes withheld 14,373
Payable to Bank 13,947
Accrued expenses 97,199
TOTAL LIABILITIES 138,433
Net assets for 11,173,586
shares outstanding $ 159,013,735
NET ASSETS CONSIST OF:
Paid in capital $ 132,731,370
Net unrealized
appreciation of
investments, translation
of assets and liabilities
in foreign currency and
futures contracts 22,591,711
Accumulated net realized
gain on investments,
foreign currency
transactions and futures
contracts 3,403,915
Undistributed net
investment income 286,739
TOTAL NET ASSETS $ 159,013,735
NET ASSET VALUE, OFFERING
PRICE AND REDEMPTION
PROCEEDS PER SHARE
INSTITUTIONAL SHARES:
$90,595,956 / 6,361,962
shares outstanding $14.24
SELECT SHARES:
$68,417,779 / 4,811,624
shares outstanding $14.22
</TABLE>
See Notes which are an integral part of the Financial Statements
Statement of Operations
SIX MONTHS ENDED MAY 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign
taxes withheld of $26,618) $ 1,052,428
Interest (net of foreign
taxes withheld of $666) 1,151,858
TOTAL INCOME 2,204,286
EXPENSES:
Investment advisory fee $ 589,188
Administrative personnel
and services fee 77,288
Custodian fees 36,604
Transfer and dividend
disbursing agent fees and
expenses 85,130
Directors'/Trustees' fees 1,999
Auditing fees 8,869
Legal fees 1,999
Portfolio accounting fees 34,506
Distribution services fee-
Select Shares 249,109
Shareholder services fee-
Institutional Shares 113,359
Shareholder services fee-
Select Shares 83,037
Share registration costs 15,663
Printing and postage 22,577
Insurance premiums 1,551
Taxes 676
Miscellaneous 9,140
TOTAL EXPENSES 1,330,695
WAIVERS:
Waiver of investment
advisory fee $ (17,591)
Waiver of distribution
services fee-Select Shares (83,036)
Waiver of shareholder
services fee-Institutional
Shares (90,688)
TOTAL WAIVERS (191,315)
Net expenses 1,139,380
Net investment income 1,064,906
REALIZED AND UNREALIZED
GAIN ON INVESTMENTS,
FOREIGN CURRENCY AND
FUTURES CONTRACTS:
Net realized gain on
investments, foreign
currency transactions and
futures contracts 5,396,231
Net change in unrealized
appreciation of
investments, translation
of assets and liabilities
in foreign currency and
futures contracts 3,938,396
Net realized and
unrealized gain on
investments, foreign
currency and futures
contracts 9,334,627
Change in net assets
resulting from operations $ 10,399,533
</TABLE>
See Notes which are an integral part of the Financial Statements
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
(unaudited) ENDED
MAY 31, NOVEMBER 30,
1999 1998
<S> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 1,064,906 $ 1,944,139
Net realized gain on
investments and foreign
currency transactions and
futures contracts
($5,396,231 and
$7,626,184, respectively,
as computed for federal tax
purposes) 5,396,231 6,142,566
Net change in unrealized
appreciation of
investments, translation
of assets and liabilities
in foreign currency and
futures contracts 3,938,396 6,099,080
CHANGE IN NET ASSETS
RESULTING FROM OPERATIONS 10,399,533 14,185,785
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net
investment income
Institutional Shares (635,179) (1,356,572)
Select Shares (237,799) (480,406)
Distributions from net
realized gains on
investments, foreign
currency transactions and
futures contracts
Institutional Shares (4,452,964) (3,897,324)
Select Shares (3,174,545) (2,343,704)
CHANGE IN NET ASSETS
RESULTING FROM
DISTRIBUTIONS
TO SHAREHOLDERS (8,500,487) (8,078,006)
SHARE TRANSACTIONS:
Proceeds from sale of
shares 27,965,249 59,338,862
Net asset value of shares
issued to shareholders in
payment of
distributions declared 7,486,171 7,109,318
Cost of shares redeemed (28,857,179) (43,820,551)
CHANGE IN NET ASSETS
RESULTING FROM SHARE
TRANSACTIONS 6,594,241 22,627,629
Change in net assets 8,493,287 28,735,408
NET ASSETS:
Beginning of period 150,520,448 121,785,040
End of period (including
undistributed net
investment income of
$286,739 and $94,811,
respectively) $ 159,013,735 $ 150,520,448
</TABLE>
See Notes which are an integral part of the Financial Statements
Financial Highlights-Institutional Shares
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
(unaudited)
MAY 31, YEAR ENDED NOVEMBER 30,
1999 1998 1997 1996 1995 1994 1
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $14.12 $13.58 $12.52 $11.59 $ 9.82 $10.00
INCOME FROM
INVESTMENT
OPERATIONS:
Net investment income 0.12 0.23 0.30 0.33 0.35 0.17
Net realized and
unrealized gain (loss) on
investments, foreign
currency transactions and
futures contracts 0.82 1.22 1.43 1.24 1.77 (0.25)
TOTAL FROM
INVESTMENT OPERATIONS 0.94 1.45 1.73 1.57 2.12 (0.08)
LESS
DISTRIBUTIONS:
Distributions from net
investment income (0.10) (0.22) (0.31) (0.38) (0.33) (0.10)
Distributions from net
realized gain on
investments, foreign
currency transactions and
futures contracts (0.72) (0.69) (0.36) (0.26) (0.02) -
TOTAL DISTRIBUTIONS (0.82) (0.91) (0.67) (0.64) (0.35) (0.10)
NET ASSET VALUE, END OF
PERIOD $14.24 $14.12 $13.58 $12.52 $11.59 $ 9.82
TOTAL RETURN 2 7.03% 11.34% 14.40% 14.13% 21.96% (0.87%)
RATIOS TO AVERAGE NET
ASSETS:
Expenses 3 1.38% 4 1.45% 1.57% 1.93% 2.71% 2.61% 4
Net investment income 3 1.43% 4 1.33% 1.75% 2.08% 1.71% 1.70% 4
Expenses (after waivers) 1.15% 4 1.12% 1.05% 1.05% 1.00% 0.89% 4
Net investment income
(after waivers) 1.66% 4 1.66% 2.27% 2.96% 3.42% 3.42% 4, 5
SUPPLEMENTAL
DATA:
Net assets, end of period
(000 omitted) $90,596 $88,113 $76,271 $49,715 $25,611 $15,696
Portfolio turnover 56% 123% 115% 86% 139% 77%
</TABLE>
1 Reflects operations for the period from May 25, 1994 (date of initial
public investment) to November 30, 1994. For the period from January 27,
1994 (start of business), to May 24, 1994, the Fund had no investment
activity.
2 Based on net asset value, which does not reflect the sales charge or
contingent deferred sales charge, if applicable.
3 During the period certain fees were voluntarily waived. If such waivers
had not occurred, the ratios would have been as indicated.
4 Computed on an annualized basis.
5 The adviser waived $6,858 of the investment advisory fee, which
represents 0.11% of average net assets, to comply with certain state
expense limitations. The remainder of the waiver/reimbursement was
voluntary. This expense decrease is reflected in both the expense and net
investment income ratios shown above.
See Notes which are an integral part of the Financial Statements
Financial Highlights-Select Shares
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
(unaudited)
MAY 31, YEAR ENDED NOVEMBER 30,
1999 1998 1997 1996 1995 1994 1
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $14.10 $13.56 $12.50 $11.59 $ 9.80 $10.00
INCOME FROM
INVESTMENT OPERATIONS:
Net investment income 0.07 0.15 0.18 0.28 0.17 0.13
Net realized and
unrealized
gain (loss) on
investments, foreign
currency transactions and
futures contracts 0.82 1.21 1.46 1.19 1.89 (0.25)
TOTAL FROM
INVESTMENT OPERATIONS 0.89 1.36 1.64 1.47 2.06 (0.12)
LESS DISTRIBUTIONS:
Distributions from net
investment income (0.05) (0.13) (0.22) (0.30) (0.25) (0.08)
Distributions from net
realized gain on
investments, foreign
currency transactions and
futures contracts (0.72) (0.69) (0.36) (0.26) (0.02) -
TOTAL DISTRIBUTIONS (0.77) (0.82) (0.58) (0.56) (0.27) (0.08)
NET ASSET VALUE, END OF
PERIOD $14.22 $14.10 $13.56 $12.50 $11.59 $ 9.80
TOTAL RETURN 2 6.67% 10.58% 13.66% 13.22% 21.36% (1.20%)
RATIOS TO AVERAGE NET
ASSETS:
Expenses 3 2.12% 4 2.20% 2.32% 2.68% 3.46% 3.61% 4
Net investment income 3 0.68% 4 0.58% 0.72% 1.33% 0.94% 0.70% 4
Expenses (after waivers) 1.85% 4 1.82% 1.75% 1.75% 1.75% 1.64% 4
Net investment income
(after waivers) 0.95% 4 0.96% 1.29% 2.26% 2.65% 2.67% 4, 5
SUPPLEMENTAL DATA:
Net assets, end of period
(000 omitted) $68,418 $66,407 $45,514 $31,390 $12,342 $1,673
Portfolio turnover 56% 123% 115% 86% 139% 77%
</TABLE>
1 Reflects operations for the period from May 25, 1994 (date of initial
public investment) to November 30, 1994. For the period from January 27,
1994 (start of business), to May 24, 1994, the Fund had no investment
activity.
2 Based on net asset value, which does not reflect the sales charge or
contingent deferred sales charge, if applicable.
3 During the period certain fees were voluntarily waived. If such waivers
had not occurred, the ratios would have been as indicated.
4 Computed on an annualized basis.
5 The adviser waived $6,858 of the investment advisory fee, which
represents 0.11% of average net assets, to comply with certain state
expense limitations. The remainder of the waiver/reimbursement was
voluntary. This expense decrease is reflected in both the expense and net
investment income ratios shown above.
See Notes which are an integral part of the Financial Statements
Notes to Financial Statements
MAY 31, 1999 (UNAUDITED)
ORGANIZATION
Managed Series Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "Act") as an open-end, management
investment company. The Trust consists of four portfolios. The financial
statements included herein are only those of Federated Managed Aggressive
Growth Fund (the "Fund"), a diversified portfolio. The financial
statements of the other portfolios are presented separately. The assets of
each portfolio are segregated and a shareholder's interest is limited to
the portfolio in which shares are held. The investment objective of the
Fund is to seek capital appreciation.
The Fund offers two classes of shares: Institutional Shares and Select
Shares.
SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. These
policies are in conformity with generally accepted accounting principles.
INVESTMENT VALUATIONS
Listed equity securities are valued at the last sale price reported on a
national securities exchange. U.S. government securities, listed corporate
bonds, other fixed income and asset-backed securities, and unlisted
securities and private placement securities are generally valued at the
mean of the latest bid and asked price as furnished by an independent
pricing service. Short-term securities are valued at the prices provided by
an independent pricing service. However, short-term securities with
remaining maturities of sixty days or less at the time of purchase may be
valued at amortized cost, which approximates fair market value.
With respect to valuation of foreign securities, trading in foreign cities
may be completed at times which vary from the closing of the New York Stock
Exchange. Therefore, foreign securities are valued at the latest closing
price on the exchange on which they are traded prior to the closing of the
New York Stock Exchange. Foreign securities quoted in foreign currencies
are translated into U.S. dollars at the foreign exchange rate in effect at
noon, eastern time, on the day the value of the foreign security is
determined.
REPURCHASE AGREEMENTS
It is the policy of the Fund to require the custodian bank to take
possession, to have legally segregated in the Federal Reserve Book Entry
System, or to have segregated within the custodian bank's vault, all
securities held as collateral under repurchase agreement transactions.
Additionally, procedures have been established by the Fund to monitor, on a
daily basis, the market value of each repurchase agreement's collateral to
ensure that the value of collateral at least equals the repurchase price to
be paid under the repurchase agreement transaction.
The Fund will only enter into repurchase agreements with banks and other
recognized financial institutions, such as broker/dealers, which are
deemed by the Fund's adviser to be creditworthy pursuant to the guidelines
and/or standards reviewed or established by the Board of Trustees (the
"Trustees"). Risks may arise from the potential inability of
counterparties to honor the terms of the repurchase agreement.
Accordingly, the Fund could receive less than the repurchase price on the
sale of collateral securities.
INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS
Interest income and expenses are accrued daily. Bond premium and discount,
if applicable, are amortized as required by the Internal Revenue Code, as
amended (the "Code"). Dividend income and distributions to shareholders
are recorded on the ex-dividend date.
FEDERAL TAXES
It is the Fund's policy to comply with the provisions of the Code
applicable to regulated investment companies and to distribute to
shareholders each year substantially all of its income. Accordingly, no
provisions for federal tax are necessary.
However, federal taxes may be imposed on the Fund upon the disposition of
certain investments in passive foreign investment companies. Withholding
taxes on foreign interest and dividends have been provided for in
accordance with the Fund's understanding of the applicable country's tax
rules and rates.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS
The Fund may engage in when-issued or delayed delivery transactions. The
Fund records when-issued securities on the trade date and maintains
security positions such that sufficient liquid assets will be available to
make payment for the securities purchased. Securities purchased on a when-
issued or delayed delivery basis are marked to market daily and begin
earning interest on the settlement date.
FUTURES CONTRACTS
The Fund purchases stock index futures contracts to manage cashflows,
enhance yield, and to potentially reduce transaction costs. Upon entering
into a stock index futures contract with a broker, the Fund is required to
deposit in a segregated account a specified amount of cash or
U.S. government securities. Futures contracts are valued daily and
unrealized gains or losses are recorded in a "variation margin" account.
Daily, the Fund receives from or pays to the broker a specified amount of
cash based upon changes in the variation margin account. When a contract is
closed, the Fund recognizes a realized gain or loss. Futures contracts have
market risks, including the risk that the change in the value of the
contract may not correlate with changes in the value of the underlying
securities. For the period ended May 31, 1999, the Fund had realized
gains/losses of $2,875,601 on future contracts.
As of May 31, 1999, the Fund had outstanding futures contracts as set forth
below:
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
EXPIRATION DATE CONTRACTS TO DELIVER/RECEIVE POSITION NET NOTIONAL AMOUNT (DEPRECIATION)
<S> <C> <C> <C> <C>
June 1999 39 Russell 2000 Index Futures Long $17,836,500 $ 728,325
June 1999 55 S&P 500 Index Futures Long 8,596,575 (163,345)
$ 564,980
</TABLE>
FOREIGN EXCHANGE CONTRACTS
The Fund may enter into foreign currency contracts for the delayed delivery
of securities or foreign currency exchange transactions. These contracts
are used to hedge the Fund's securities against currency fluctuations.
Risks may arise upon entering these transactions from the potential
inability of counterparties to meet the terms of their commitments and from
unanticipated movements in security prices or foreign exchange rates. The
foreign currency transactions are adjusted by the daily exchange rate of
the underlying currency and any gains or losses are recorded for financial
statement purpose as unrealized until the settlement date. As of May 31,
1999, the Fund had no outstanding forward foreign currency contracts.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. All
assets and liabilities denominated in foreign currencies ("FC") are
translated into U.S. dollars based on the rate of exchange of such
currencies against U.S. dollars on the date of valuation. Purchases and
sales of securities, income and expenses are translated at the rate of
exchange quoted on the respective date that such transactions are recorded.
Differences between income and expense amounts recorded and collected or
paid are adjusted when reported by the custodian bank. The Fund does not
isolate that portion of the results of operations resulting from changes in
foreign exchange rates on investments from the fluctuations arising from
changes in market prices of securities held. Such fluctuations are included
with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales
of FCs, currency gains or losses realized between the trade and settlement
dates on securities transactions, the difference between the amounts of
dividends, interest, and foreign withholding taxes recorded on the Fund's
books, and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes
in the value of assets and liabilities other than investments in securities
at fiscal year end, resulting from changes in the exchange rate.
RESTRICTED SECURITIES
Restricted securities are securities that may only be resold upon
registration under federal securities laws or in transactions exempt from
such registration. In some cases, the issuer of restricted securities has
agreed to register such securities for resale, at the issuer's expense
either upon demand by the Fund or in connection with another registered
offering of the securities. Many restricted securities may be resold in the
secondary market in transactions exempt from registration. Such restricted
securities may be determined to be liquid under criteria established by the
Board of Trustees. The Fund will not incur any registration costs upon such
resales. The Fund's restricted securities are valued at the price provided
by dealers in the secondary market or, if no market prices are available,
at the fair value as determined by the Fund's pricing committee.
Additional information on each restricted security held as of May 31, 1999
is as follows:
<TABLE>
<CAPTION>
ACQUISITION ACQUSITION
SECURITY DATE COST
<S> <C> <C>
Norwich Union PLC 06/16/1997 - 10/20/1998 $141,915
</TABLE>
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 amounts of assets, liabilities, expenses and
revenues reported in the financial statements. Actual results could differ
from those estimated.
OTHER
Investment transactions are accounted for on the trade date.
SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest (without par value)
for each class of shares. Transactions in shares were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
MAY 31, 1999 NOVEMBER 30, 1998
INSTITUTIONAL SHARES: SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Shares sold 1,027,293 $ 14,475,821 2,569,836 $ 34,985,268
Shares issued to
shareholders in payment of
distributions declared 324,508 4,329,613 345,374 4,473,527
Shares redeemed (1,229,625) (17,344,940) (2,291,789) (31,303,549)
NET CHANGE RESULTING FROM
INSTITUTIONAL SHARE
TRANSACTIONS 122,176 $ 1,460,494 623,421 $ 8,155,246
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
MAY 31, 1999 NOVEMBER 30, 1998
SELECT SHARES: SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Shares sold 963,788 $ 13,489,428 1,786,848 $ 24,353,594
Shares issued to
shareholders in payment of
distributions declared 236,975 3,156,558 204,251 2,635,791
Shares redeemed (814,810) (11,512,239) (921,602) (12,517,002)
NET CHANGE RESULTING FROM
SELECT
SHARE TRANSACTIONS 385,953 $ 5,133,747 1,069,497 $ 14,472,383
NET CHANGE RESULTING FROM
SHARE TRANSACTIONS 508,129 $ 6,594,241 1,692,918 $ 22,627,629
</TABLE>
INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE
Federated Investment Management Company (formerly Federated Management),
the Fund's investment adviser (the "Adviser"), receives for its services an
annual investment advisory fee equal to 0.75% of the Fund's average daily
net assets. Effective March 31, 1999, Federated Management merged into
Federated Advisers. On March 31, 1999, the name of Federated Advisers was
changed to Federated Investment Management Company (the "Adviser"). The
Adviser may voluntarily choose to waive any portion of its fee and/or
reimburse certain operating expenses of the Fund. The Adviser can modify or
terminate this voluntary waiver and/or reimbursement at any time at its
sole discretion.
Under the terms of a sub-advisory agreement between the Adviser and
Federated Global Investment Management Corp. (the "Sub-Adviser"), the Sub-
Adviser receives an allocable portion of the Fund's advisory fee. Such
allocation is based on the amount of foreign securities which the Sub-
Adviser manages for the Fund. This fee is paid by the Adviser out of its
resources and is not an incremental Fund expense.
ADMINISTRATIVE FEE
Federated Services Company ("FServ"), under the Administrative Services
Agreement, provides the Fund with administrative personnel and services.
The fee paid to FServ is based on the level of average aggregate daily net
assets of all funds advised by subsidiaries of Federated Investors for the
period. The administrative fee received during the period of the
Administrative Services Agreement shall be at least $125,000 per portfolio
and $30,000 per each additional class of shares.
DISTRIBUTION SERVICES FEE
The Fund has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-
1 under the Act. Under the terms of the Plan, the Fund will compensate
Federated Securities Corp. ("FSC"), the principal distributor, from the
net assets of the Fund to finance activities intended to result in the sale
of the Fund's Select Shares. The Plan provides that the Fund may incur
distribution expenses up to 0.75% of average daily net assets of Select
Shares annually, to compensate FSC. The distributor may voluntarily choose
to waive any portion of its fee. The distribution can modify or terminate
this voluntary waiver at any time at its sole discretion.
SHAREHOLDER SERVICES FEE
Under the terms of a Shareholder Services Agreement with Federated
Shareholder Services Company ("FSSC"), the Fund will pay FSSC up to 0.25%
of average daily net assets of the Fund for the period. The fee paid to
FSSC is used to finance certain services for shareholders and to maintain
shareholder accounts. FSSC may voluntarily choose to waive any portion of
its fee. FSSC can modify or terminate this voluntary waiver at any time at
its sole discretion.
TRANSFER AND DIVIDEND DISBURSING AGENT FEES AND EXPENSES
FServ, through its subsidiary, FSSC serves as transfer and dividend
disbursing agent for the Fund. The fee paid to FSSC is based on the size,
type, and number of accounts and transactions made by shareholders.
PORTFOLIO ACCOUNTING FEES
FServ maintains the Fund's accounting records for which it receives a fee.
The fee is based on the level of the Fund's average daily net assets for
the period, plus out-of-pocket expenses.
ORGANIZATIONAL EXPENSES
Organizational expenses of $88,333 were borne initially by the Adviser. The
Fund has agreed to reimburse the Adviser for the organizational expenses
during the five year period following effective date.
GENERAL
Certain of the Officers and Trustees of the Trust are Officers and
Directors or Trustees of the above companies.
INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding short-term securities, for
the period ended May 31, 1999, were as follows:
Purchases $ 82,322,904
Sales $ 81,676,743
CONCENTRATION OF CREDIT RISK
The Fund invests in securities of non-U.S. issuers. Although the Fund
maintains a diversified investment portfolio, the political or economic
developments within a particular country or region may have an adverse
effect on the ability of domiciled issuers to meet their obligations.
Additionally, political or economic developments may have an effect on the
liquidity and volatility of portfolio securities and currency holdings.
As of May 31, 1999, the diversification of industries for non-
U.S. issuers, was as follows:
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY NET ASSETS
<S> <C>
Aerospace &
Military Technology 0.0%
Agency 0.2
Automobile 0.4
Banking 2.3
Beverage & Tobacco 0.1
Broadcasting & Publishing 0.2
Business & Public Services 1.0
Chemicals 0.1
Data Processing & Reproduction 0.2
Electrical & Electronics 0.4
Electronic Components, Instruments 0.3
Energy Sources 0.3
Financial Intermediaries 0.9
Food & Household Products 0.3
Health & Personal Care 0.9
Industrial Components 0.1
Insurance 1.3
Machinery & Engineering 0.3
Merchandising 0.4
Metals - Non Ferrous 0.1
Metals - Steel 0.1
Multi-Industry 0.3
Publishing-Newspapers 0.3
Real Estate 0.1
Recreation, Other
Consumer Goods 0.4
Sovereign 2.2
Sovereign Government 0.5
State/Provincial 0.1
Telecommunications 1.8
Utilities 0.2
Utilities - Electrical & Gas 0.1
Wholesale & International Trade 0.1
</TABLE>
YEAR 2000
Similar to other financial organizations, the Fund could be adversely
affected if the computer systems used by the Fund's service providers do
not properly process and calculate date-related information and data from
and after January 1, 2000. The Fund's Adviser and Administrator are taking
measures that they believe are reasonably designed to address the Year 2000
issue with respect to computer systems that they use and to obtain
reasonable assurances that comparable steps are being taken by each of the
Fund's other service providers. At this time, however, there can be no
assurance that these steps will be sufficient to avoid any adverse impact
to the Fund.
SUBSEQUENT EVENT
On May 19, 1999, the Trust's Board of Trustees, upon the recommendation of
the Audit Committee of the Board of Trustees, dismissed Arthur Andersen LLP
("AA") as the Trust's independent auditors. During the six-month period
ended May 31, 1999 (the "Period"): (i) AA did not issue any report on the
Trust's financial statements; (ii) there were no disagreements with AA on
any matter of accounting principles or practices, financial statement
disclosure or auditing scope or procedure, which disagreements, if not
resolved to the satisfaction of AA would have caused it to make reference
to the subject matter of the disagreements in connection with its report on
the financial statements for such period; and (iii) there were no
"reportable events" of the kind described in Item 304(a)(1)(v) of
Regulation S-K under the Securities Exchange Act of 1934, as amended.
The Trust, by action of its Board of Trustees, engaged Deloitte & Touche
LLP ("D&T") as the independent auditors for purposes of auditing the
Trust's financial statements for the fiscal year ending November 30, 1999.
During the Period, neither the Trust, nor anyone on the Trust's behalf has
consulted D&T on items which (i) concerned the application of accounting
principles to a specified transaction, either completed or proposed, or the
type of audit opinion that might be rendered on the Trust's financial
statements or (ii) concerned the subject of a disagreement (as defined in
paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events
(as described in paragraph (a)(1)(v) of said Item 304).
Trustees
JOHN F. DONAHUE
THOMAS G. BIGLEY
JOHN T. CONROY, JR.
WILLIAM J. COPELAND
JOHN F. CUNNINGHAM
LAWRENCE D. ELLIS, M.D.
GLEN R. JOHNSON
PETER E. MADDEN
CHARLES F. MANSFIELD, JR.
JOHN E. MURRAY, JR., J.D., S.J.D.
MARJORIE P. SMUTS
JOHN S. WALSH
Officers
JOHN F. DONAHUE
Chairman
GLEN R. JOHNSON
President
J. CHRISTOPHER DONAHUE
Executive Vice President
EDWARD C. GONZALES
Executive Vice President
JOHN W. MCGONIGLE
Executive Vice President and Secretary
RICHARD J. THOMAS
Treasurer
RICHARD B. FISHER
Vice President
C. GRANT ANDERSON
Assistant Secretary
Mutual funds are not bank deposits or obligations, are not guaranteed by
any bank, and are not insured or guaranteed by the U.S. government, the
Federal Deposit Insurance Corporation, the Federal Reserve Board, or any
other government agency. Investment in mutual funds involves investment
risk, including the possible loss of principal.
This report is authorized for distribution to prospective investors only
when preceded or accompanied by the fund's prospectus which contains facts
concerning its objective and policies, management fees, expenses, and
other information.
[Graphic]
Federated
World-Class Investment Manager
SEMI-ANNUAL REPORT
Federated Managed Aggressive Growth Fund
Institutional Shares
Select Shares
SEMI-ANNUAL REPORT
TO SHAREHOLDERS
MAY 31, 1999
[Graphic]
Federated
Federated Managed Aggressive Growth Fund
Federated Investors Funds
5800 Corporate Drive
Pittsburgh, PA 15237-7000
1-800-341-7400
WWW.FEDERATEDINVESTORS.COM
Federated Securities Corp., Distributor
Cusip 56166K701
Cusip 56166K800
G00514-01 (7/99)
[Graphic]
SEMI-ANNUAL REPORT
President's Message
Dear Shareholder:
I am pleased to present the Semi-Annual Report to Shareholders for
Federated Managed Growth Fund for the six-month reporting period from
December 1, 1998 through May 31, 1999. Included in this report is our
investment review, followed by a complete listing of the fund's holdings,
financial statements and highlights.
In pursuit of its investment objective, the fund invests in a well-
diversified portfolio of stocks and bonds. At the end of the reporting
period, 63.6% of the fund's $258.9-million portfolio was invested across
stocks, including large company value and growth, small company value and
growth, and foreign. The rest of the portfolio was diversified among
U.S. and foreign bonds. 1
During the first half of the fund's fiscal year, Institutional Shares
delivered a total return of 5.40% 2 through dividends totaling $0.18 per
share, and capital gains totaling $0.60 per share. Select Shares produced a
total return of 5.05%2 through dividends totaling $0.13 per share, and
capital gains totaling $0.60 per share.
Thank you for pursuing your long-term goals through the high level of
diversification and professional management of Federated Managed Growth
Fund. As always, we invite your comments and suggestions.
Sincerely,
[Graphic]
Glen R. Johnson
President
July 15, 1999
1 International investing involves special risks including currency
risk, increased volatility of foreign securities, and differences in
auditing and other financial standards.
2 Performance quoted represents past performance and is not indicative of
future results. Investment return and principal value will fluctuate, so
that an investor's shares, when redeemed, may be worth more or less than
their original cost.
Investment Review
PERFORMANCE FOR SIX-MONTH REPORTING PERIOD ENDED MAY 31, 1999
The six-month reporting period ended May 31, 1999 was a generally favorable
one for financial assets, and Federated Managed Growth Fund participated in
the advance. For the six-month reporting period ended May 31, 1999, an
investor in the Institutional Shares had a total return of 5.40%, 1 while
an investor in the Select Shares had a total return of 5.05%.1 As usual,
performance among asset classes showed wide variation. In the U.S., large
company stocks continued to outperform small company stocks until
April when returns for small company stocks improved in response to
stronger economic growth. As has been the recent pattern, U.S. large
company stocks also outperformed foreign stocks. Bonds performed poorly
during the period as interest rates rose on concerns that stronger economic
growth will bring higher inflation.
ASSET ALLOCATION AS OF MAY 31, 1999
Federated Managed Growth Fund operates on an investment philosophy that,
over time, an investor with a diversified portfolio will achieve better
returns with the same risk, or the same returns with lower risk, than an
investor in a single asset category. Therefore, to ensure proper
diversification of its portfolio, the fund's investment policies require
management to allocate the portfolio among as many as eight asset
categories and limit the weight of each asset category. In allocating the
fund's portfolio among asset categories, fund management analyzes the
relative value offered by each category under prevailing market
conditions. Fund management seeks to improve the fund's performance by
weighting most heavily the asset categories that management believes will
provide the best relative value. The following table shows the allocation
of the portfolio among different asset categories as of May 31, 1999.
ASSET CATEGORIES AS A PERCENTAGE OF TOTAL ASSETS
<TABLE>
<CAPTION>
PERMITTED PERCENTAGE AS
ASSET CATEGORY RANGE OF MAY 31, 1999
<S> <C> <C>
BONDS 2 30-50 36
U.S. Treasury Securities 0-40 12
Mortgage-Backed Securities 0-15 7
Investment Grade Corporate Bonds 0-15 8
High Yield Corporate Bonds 0-15 5
Foreign Bonds 0-15 4
EQUITIES 2 50-70 64
Large Company Stocks 30-50 44
Small Company Stocks 5-15 10
Foreign Stocks 5-15 10
</TABLE>
1 Performance quoted represents past performance. Investment return and
principal value will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
2 Bonds convertible into equity securities at a price below the closing
price of the underlying equity securities on May 31, 1999 have been
included under the appropriate equity asset category.
The U.S. has enjoyed eight years of economic expansion which has driven
corporate profits strongly upward. The accompanying bull market in stocks
has pushed stock prices up even faster than earnings. However, this
favorable price movement in stocks has created a valuation problem for
U.S. stocks. Relative to historical measures of value, U.S. stocks are
richly priced. This implies that long-term returns from these price levels
are likely to be moderate. Offsetting the valuation factors, the
U.S. economy appears to be in solid shape with good growth and low
inflation. Moreover, U.S. monetary policy appears supportive of further
price gains in financial assets. Thus fund management moved equity exposure
up during the period to above normal levels in response to this favorable
near-term environment for equities.
STRUCTURE OF THE BOND PORTFOLIO
Within the range of four to six years, the fund's bond duration is set at
4.5 years. This duration is set at a somewhat below average level in
recognition that the current economic cycle is one of the longest in post-
war history and late stages of business cycles are often unfavorable
environments for bonds. Therefore a somewhat conservative bond position is
appropriate due to cyclical concerns despite the favorable secular or
longer-term outlook for bonds. Within the bond portfolio, bond categories
were held near their normal positions after adjusting for the lower than
normal bond allocation.
STRUCTURE OF THE EQUITY PORTFOLIO
Equity exposure was increased in the portfolio, primarily in the large
company stock area. Other areas of the stock market such as small company
stocks and foreign stocks appear more reasonably valued than U.S. large
company stocks. However, the economic cycle appears to favor large company
stocks. This economic expansion has lasted eight years, substantially
longer than the average U.S. economic expansion. In the late stages of
economic expansions, investors usually begin to favor larger company
stocks for their perceived stability of earnings. Finally, a rising dollar
creates a performance drag for U.S. investors in foreign stocks. Thus fund
management held weights in the other equity asset classes near neutral
levels despite their valuation advantages.
Portfolio of Investments
MAY 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<S> <C> <C>
STOCKS-63.6%
LARGE-COMPANY VALUE STOCKS-18.6%
BASIC MATERIALS-1.0%
5,800 Air Products & Chemicals, Inc. $ 237,800
7,700 Alcoa, Inc. 423,500
27,930 Archer-Daniels-Midland Co. 418,950
4,400 Dow Chemical Co. 534,600
6,700 Du Pont (E.I.) de Nemours & Co. 438,431
4,600 International Paper Co. 230,000
5,300 Martin Marietta Materials 321,313
TOTAL 2,604,594
CAPITAL GOODS-1.1%
5,700 Caterpillar, Inc. 312,788
3,300 Cooper Industries, Inc. 163,556
3,100 Emerson Electric Co. 198,013
11,200 Ingersoll-Rand Co. 713,300
10,400 Johnson Controls, Inc. 655,850
3,500 Northrop Grumman, Corp. 236,250
8,200 Parker-Hannifin Corp. 358,238
1,505 Tyco International, Ltd. 131,499
TOTAL 2,769,494
COMMUNICATION SERVICES-3.0%
28,779 1 AT&T Corp. 1,597,235
6,800 Ameritech Corp. 447,525
21,200 Bell Atlantic Corp. 1,160,700
13,400 BellSouth Corp. 632,313
14,000 GTE Corp. 882,875
16,697 1 MCI Worldcom, Inc. 1,442,203
12,500 SBC Communications, Inc. 639,063
3,100 Sprint Corp. (FON Group) 349,525
15,600 U.S. West, Inc. 843,375
TOTAL 7,994,814
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<S> <C> <C>
STOCKS-continued
LARGE-COMPANY VALUE STOCKS-continued
CONSUMER CYCLICALS-0.9%
4,333 1 Delphi Auto Systems Corp. $ 85,035
11,600 Ford Motor Co. 661,925
6,200 General Motors Corp. 427,800
22,400 1 K Mart Corp. 344,400
7,700 Limited, Inc. 376,338
3,450 May Department Stores Co. 149,428
2,300 Penney (J.C.) Co., Inc. 118,881
4,200 Sears, Roebuck & Co. 200,813
TOTAL 2,364,620
CONSUMER STAPLES-0.7%
1,100 Anheuser-Busch Companies, Inc. 80,369
6,900 CBS Corp. 288,075
8,600 Kimberly-Clark Corp. 504,713
5,600 1 King World Productions, Inc. 186,900
700 1 MediaOne Group, Inc. 51,713
9,800 RJR Nabisco Holdings Corp. 303,188
16,000 UST, Inc. 488,000
TOTAL 1,902,958
ENERGY-1.9%
5,100 Atlantic Richfield Co. 426,806
10,400 BJ Services Co. 286,650
6,700 Chevron Corp. 621,006
21,800 Exxon Corp. 1,741,275
6,100 Mobil Corp. 617,625
12,500 Occidental Petroleum Corp. 264,063
4,400 Phillips Petroleum Co. 230,725
8,800 Sunoco, Inc. 267,850
2,600 Texaco, Inc. 170,300
16,700 USX-Marathon Group 499,956
TOTAL 5,126,256
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<S> <C> <C>
STOCKS-continued
LARGE-COMPANY VALUE STOCKS-continued
FINANCIALS-5.7%
1,600 Allmerica Financial Corp. $ 93,700
17,200 Allstate Corp. 626,725
2,900 American General Corp. 209,525
11,546 American International Group, Inc. 1,319,852
13,300 Bank One Corp. 752,281
17,018 Bank of America Corp. 1,100,852
4,500 BankBoston Corp. 213,188
3,675 Bear Stearns Cos., Inc. 163,078
12,300 CIGNA Corp. 1,146,975
6,900 Chase Manhattan Corp. 500,250
28,050 Citigroup, Inc. 1,858,313
12,000 Fannie Mae 748,000
15,600 First Union Corp. 718,575
7,000 Fleet Financial Group, Inc. 287,875
7,900 1 Golden State Bancorp, Inc. 194,044
3,800 Hartford Financial Services Group, Inc. 240,350
1,600 Morgan. J.P & CO., Inc. 222,900
6,200 KeyCorp 215,450
3,900 Loews Corp. 317,119
5,600 MBIA, Inc. 382,550
11,850 Marsh & McLennan Cos., Inc. 862,088
11,400 Mellon Bank Corp. 406,838
2,600 Merrill Lynch & Co., Inc. 218,400
6,900 Morgan Stanley, Dean Witter, Discover & Co. 665,850
10,650 Old Republic International Corp. 193,697
3,800 PNC Bank Corp. 217,550
3,100 SunTrust Banks, Inc. 209,250
6,600 Torchmark Corp. 220,275
7,810 Washington Federal, Inc. 175,725
13,272 Washington Mutual, Inc. 506,825
6,900 Wells Fargo Co. 276,000
TOTAL 15,264,100
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<S> <C> <C>
STOCKS-continued
LARGE-COMPANY VALUE STOCKS-continued
HEALTH CARE-0.4%
20,400 Pharmacia & Upjohn, Inc. $ 1,130,925
TECHNOLOGY-1.8%
6,800 Eastman Kodak Co. 459,850
5,700 Electronic Data Systems Corp. 320,625
12,100 First Data Corp. 543,744
7,800 Hewlett-Packard Co. 735,638
17,600 International Business Machines Corp. 2,047,100
3,500 Motorola, Inc. 289,844
7,200 Raytheon Co., Class A 478,350
TOTAL 4,875,151
TRANSPORTATION-0.4%
4,100 1 AMR Corp. 266,756
13,000 Burlington Northern Santa Fe 403,000
2,200 1 FDX Corp. 121,138
11,400 Ryder Systems, Inc. 273,600
TOTAL 1,064,494
UTILITIES-1.7%
4,800 Allegheny Energy, Inc. 167,400
8,000 CMS Energy Corp. 372,000
10,000 Coastal Corp. 385,625
7,950 Columbia Energy Group 425,325
4,200 Consolidated Edison Co. 203,963
6,200 Constellation Energy Group 193,363
4,600 Dominion Resources, Inc. 198,663
11,700 Entergy Corp. 379,519
18,100 P G & E Corp. 610,875
10,900 Public Service Enterprises Group, Inc. 457,119
11,700 Reliant Energy, Inc. 356,850
11,400 Southern Co. 323,475
7,800 Texas Utilities CO. 351,000
TOTAL 4,425,177
TOTAL LARGE-COMPANY VALUE STOCKS 49,522,583
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<S> <C> <C>
STOCKS-continued
LARGE-COMPANY GROWTH STOCKS-16.8%
BASIC MATERIALS-0.2%
3,600 Bemis Co., Inc. $ 135,900
4,400 Hercules, Inc. 153,725
4,700 Monsanto Co. 195,050
2,600 PPG Industries, Inc. 157,788
TOTAL 642,463
CAPITAL GOODS-1.8%
6,200 Allied-Signal, Inc. 359,988
4,000 Avery Dennison Corp. 239,500
4,700 Crown Cork & Seal Co., Inc. 147,463
6,200 Dover Corp. 233,663
24,800 General Electric Co. 2,521,850
4,100 Hillenbrand Industries, Inc. 171,944
7,400 Miller Herman, Inc. 149,388
4,200 1 SCI Systems, Inc. 174,300
8,200 United Technologies Corp. 508,913
7,030 Waste Management, Inc. 371,711
TOTAL 4,878,720
COMMUNICATION SERVICES-0.5%
3,400 AT&T Corp. - Liberty Media Group, Inc.,
Class A 225,888
5,200 1 Airtouch Communications, Inc. 522,600
2,300 1 Chancellor Media Corp., Class A 116,869
4,500 Cincinnati Bell, Inc. 108,844
5,000 Comcast Corp., Class A 192,500
TOTAL 1,166,701
CONSUMER CYCLICALS-1.9%
3,400 1 Abercrombie & Fitch Co., Class A 286,025
4,700 Block (H&R), Inc. 226,481
2,300 1 Costco Cos., Inc. 166,750
3,800 Dayton-Hudson Corp. 239,400
4,100 Gannett Co., Inc. 296,225
4,050 Gap (The), Inc. 253,378
5,300 Harley Davidson, Inc. 270,631
13,200 Home Depot, Inc. 750,750
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<S> <C> <C>
STOCKS-continued
LARGE-COMPANY GROWTH STOCKS-continued
CONSUMER CYCLICALS-CONTINUED
4,200 1 Jones Apparel Group, Inc. $ 129,150
4,360 Lowe's Cos., Inc. 226,448
9,000 Masco Corp. 257,063
2,700 Maytag Corp. 190,519
4,600 Nordstrom, Inc. 163,300
10,700 1 Service Corp. International 205,306
5,700 1 Staples, Inc. 163,875
12,400 TJX Cos., Inc. 372,000
20,600 Wal-Mart Stores, Inc. 878,075
TOTAL 5,075,376
CONSUMER STAPLES-3.2%
4,300 Avon Products, Inc. 212,581
7,800 Campbell Soup Co. 344,175
2,100 Cardinal Health, Inc. 126,788
16,300 Coca-Cola Co. 1,113,494
19,700 Dial Corp. 615,625
9,900 Disney (Walt) Co. 288,338
4,700 Dole Food, Inc. 144,231
5,600 Gillette Co. 285,600
3,800 Heinz (H.J.) Co. 183,588
7,000 McDonald's Corp. 269,500
7,104 McKesson HBOC, Inc. 241,980
11,300 PepsiCo, Inc. 404,681
23,200 Philip Morris Cos., Inc. 894,650
10,600 Procter & Gamble Co. 989,775
4,500 Quaker Oats Co. 297,281
10,600 1 Safeway, Inc. 492,900
8,800 Sara Lee Corp. 211,200
4,600 Sysco Corp. 136,563
6,200 1 Tricon Global Restaurants, Inc. 361,150
20,000 1 Viacom, Inc., Class A 771,250
1,300 Wrigley (Wm.), Jr. Co. 113,181
TOTAL 8,498,531
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<S> <C> <C>
STOCKS-continued
LARGE-COMPANY GROWTH STOCKS-continued
ENERGY-0.1%
5,000 Halliburton Co. $ 206,875
FINANCIALS-0.9%
5,300 American Express Co. 642,294
5,810 Associates First Capital Corp., Class A 238,210
5,100 Household International, Inc. 221,213
16,300 MBNA Corp. 450,288
2,700 MGIC Investment Corp. 129,938
6,900 Providian Financial Corp. 661,969
2,900 U.S. Bancorp 94,250
TOTAL 2,438,162
HEALTH CARE-3.0%
10,000 Abbott Laboratories 451,875
6,600 American Home Products Corp. 380,325
6,200 1 Amgen, Inc. 392,150
2,400 Baxter International, Inc. 154,950
24,100 1 Beverly Enterprises, Inc. 174,725
16,200 Bristol-Myers Squibb Co. 1,111,725
9,400 Guidant Corp. 470,000
10,600 1 HEALTHSOUTH, Corp. 141,775
9,200 Johnson & Johnson 852,150
5,600 Lilly (Eli) & Co. 400,050
19,800 Merck & Co., Inc. 1,336,500
6,000 Pfizer, Inc. 642,000
12,000 Schering Plough Corp. 540,750
3,800 United Healthcare Corp. 221,350
8,000 1 Universal Health Services, Inc., Class B 399,000
6,300 Warner-Lambert Co. 390,600
TOTAL 8,059,925
TECHNOLOGY-5.2%
9,600 1 America Online, Inc. 1,146,000
6,000 1 Applied Materials, Inc. 329,625
2,600 1 Ascend Communications 240,988
7,077 1 BMC Software, Inc. 349,869
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<S> <C> <C>
STOCKS-continued
LARGE-COMPANY GROWTH STOCKS-continued
TECHNOLOGY-CONTINUED
8,500 1 Cadence Design Systems, Inc. $ 109,438
15,475 1 Cisco Systems, Inc. 1,686,775
4,400 1 Compuware Corp. 136,675
4,500 1 Convergys Corp. 79,313
14,800 1 Dell Computer Corp. 509,675
10,100 1 EMC Corp. Mass 1,006,213
2,200 1 Gateway 2000, Inc. 133,788
24,000 Intel Corp. 1,297,500
3,500 1 Lexmark Intl. Group, Class A 476,438
22,600 Lucent Technologies, Inc. 1,285,375
32,800 1 Microsoft Corp. 2,646,550
10,200 1 Oracle Corp. 253,088
3,100 1 PanAmSat Corp. 100,750
6,700 1 Seagate Technology, Inc. 202,256
10,400 1 Sun Microsystems, Inc. 621,400
10,600 1 Tellabs, Inc. 620,100
6,000 Xerox Corp. 337,125
1,600 1 Yahoo, Inc. 236,800
TOTAL 13,805,741
TOTAL LARGE-COMPANY GROWTH STOCKS 44,772,494
SMALL-COMPANY STOCKS-2.4%
BASIC MATERIALS-0.2%
1,200 Cambrex Corp. 27,000
1,000 ChemFirst, Inc. 23,813
1,800 Corn Products International, Inc. 53,100
1,000 Florida Rock Industries, Inc. 39,875
1,200 Geon Co. 36,150
2,000 Glamis Gold Ltd. 3,750
500 1 Hauser, Inc. 1,219
1,500 Lone Star Industries, Inc. 53,438
800 1 Material Sciences Corp. 8,900
500 1 McWhorter Technologies, Inc. 6,938
1,200 OM Group, Inc. 44,850
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<S> <C> <C>
STOCKS-continued
SMALL-COMPANY STOCKS-continued
BASIC MATERIALS-CONTINUED
400 Penford Corporation $ 5,263
3,920 Placer Dome, Inc. 43,610
500 Quaker Chemical Corp. 8,688
700 Quanex Corp. 18,288
600 Republic Group, Inc. 10,725
600 Steel Technologies, Inc. 5,400
1,100 Texas Industries, Inc. 40,013
900 1 WHX Corp. 6,750
TOTAL 437,770
CAPITAL GOODS-0.3%
1,400 AMCOL International Corp. 19,863
500 Amcast Industrial Corp. 8,406
1,000 1 Astec Industries, Inc. 37,375
1,000 Barnes Group, Inc. 23,063
600 1 Benchmark Electronics, Inc. 18,000
1,200 Brady (W.H.) Co. 30,075
700 CTS Corp. 39,200
1,600 1 Checkpoint System, Inc. 14,600
800 Commercial Metals Corp. 18,750
800 CustomTracks Corp. 48,000
900 Daniel Industries, Inc. 18,900
800 1 Flow International Corp. 7,900
900 Imco Recycling, Inc. 15,075
1,400 1 Insituform Technologies, Inc., Class A 23,450
400 Insteel Industries, Inc. 3,450
600 1 Intermagnetics General Corp. 4,688
800 1 Ionics, Inc. 25,050
1,000 Juno Lighting, Inc. 22,938
1,200 Kaman Corp., Class A 15,900
2,000 1 Kemet Corp. 32,125
600 Lawson Products, Inc. 14,850
2,700 1 Morrison Knudsen Corp. 26,831
900 Myers Industries, Inc. 20,588
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CAPITAL GOODS-CONTINUED
300 1 Nashua Corp. $ 3,413
800 O'Sullivan Corp. 7,100
500 Park Electrochemical Corp. 11,969
2,500 1 Paxar Corp. 22,656
1,100 RTI International Metals 14,644
900 Reliance Steel & Aluminum Co. 32,063
900 Scott Technologies, Inc. 16,988
1,200 Smith (A.O.) Corp. 29,250
600 Spartan Motors, Inc. 3,450
700 Standex International Corp. 18,288
700 Stone & Webster, Inc. 17,150
1,700 1 Superior Services, Inc. 36,444
700 1 Tetra Technologies, Inc. 5,950
800 Thomas Industries, Inc. 16,200
400 1 Three-Five Systems, Inc. 5,375
1,300 Valmont Industries, Inc. 21,491
1,200 Wabash National Corp. 22,875
1,300 Watsco, Inc. 25,106
700 1 Wolverine Tube, Inc. 16,669
TOTAL 816,158
CONSUMER CYCLICALS-0.5%
400 Angelica Corp. 6,775
1,300 1 Ann Taylor Stores Corp. 56,144
1,400 Apogee Enterprises, Inc. 16,713
1,400 Arctic Cat, Inc. 11,638
1,200 Authentic Fitness Corp. 19,725
700 Baker (J.), Inc. 5,075
700 Bassett Furniture Industries, Inc. 16,800
900 Brown Shoe Company, Inc. 17,100
600 1 Building Materials Holding Corp. 6,900
500 CPI Corp. 15,750
2,700 Casey's General Stores, Inc. 36,281
1,400 Cato Corp., Class A 18,375
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CONSUMER CYCLICALS-CONTINUED
500 Chemed Corp. $ 16,219
1,300 1 Cone Mills Corp. 8,044
800 1 Cyrk US Cyrk, Inc. 5,300
2,800 D. R. Horton, Inc. 47,600
1,200 Delta Woodside Industries, Inc. 8,475
600 Dixie Group, Inc. 5,475
1,200 1 Dress Barn, Inc. 17,625
1,300 1 Family Golf Centers, Inc. 11,822
2,000 Fedders Corp. 11,375
1,200 1 Franklin Covey Co. 11,700
600 1 Galey & Lord, Inc. 2,475
600 1 Gottschalks, Inc. 4,950
400 Haggar Corp. 5,050
1,000 Hancock Fabrics, Inc. 5,688
1,800 1 Hartmarx Corp. 8,888
600 Huffy Corp. 8,063
1,200 Hughes Supply, Inc. 32,325
600 1 Insurance Automotive Auctions, Inc. 7,725
2,700 Interface, Inc. 20,925
1,300 Intermet Corp. 18,038
1,400 1 Jan Bell Marketing, Inc. 4,288
1,000 Jo-Ann Stores, Inc. 16,813
500 Johnston Industries, Inc. 1,125
1,600 1 Just For Feet, Inc. 12,200
1,300 Justin Industries, Inc. 17,469
600 K Swiss, Inc., Class A 34,425
1,100 Kellwood Co. 26,125
2,700 La-Z Boy Chair Co. 53,663
500 Lillian Vernon Corp. 6,438
900 M.D.C. Holdings, Inc. 17,775
1,500 1 Michaels Stores, Inc. 40,125
2,400 Oakwood Homes Corp. 30,000
900 OshKosh B'Gosh, Inc., Class A 17,663
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CONSUMER CYCLICALS-CONTINUED
400 Oxford Industries, Inc. $ 11,100
1,400 Phillips Van Heusen Corp. 12,250
1,100 1 Primark Corp. 29,769
2,700 1 Prime Hospitality Corp. 28,181
1,100 Russ Berrie & Co., Inc. 28,256
800 Ryland Group, Inc. 22,250
1,000 1 Scotts Co. 44,000
1,300 Shopko Stores, Inc. 46,150
500 Skyline Corp. 15,594
600 1 Southern Energy Homes, Inc. 2,794
700 Standard Motor Products, Inc. 16,669
1,500 Standard Pacific Corp. 19,688
800 Standard Products Co. 17,850
2,400 Stride Rite Corp. 25,050
400 1 Swiss Army Brands, Inc. 3,225
1,100 1 TBC Corp. 7,769
800 TJ International, Inc. 22,000
800 Thomas Nelson, Inc. 7,850
600 Thor Industries, Inc. 15,788
1,900 1 Toll Brothers, Inc. 41,444
700 1 U.S. Home Corp. 24,150
1,100 Universal Forest Products, Inc. 19,800
400 Walbro Corp. 7,825
1,200 Winnebago Industries, Inc. 19,800
1,000 Wynns International, Inc. 18,063
1,800 1 Zale Corp. 69,413
TOTAL 1,339,875
CONSUMER STAPLES-0.3%
1,100 ABM Industries, Inc. 30,044
1,500 Applebee's International, Inc. 44,250
1,100 Bindley Western Industries, Inc. 33,138
1,900 Bowne & Co., Inc. 31,825
900 1 Canandaigua Wine Co., Inc., Class A 44,775
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CONSUMER STAPLES-CONTINUED
600 1 Carmike Cinemas, Inc., Class A $ 10,538
1,000 1 Cheesecake Factory, Inc. 27,625
3,300 Chiquita Brands International 26,606
900 Dames & Moore, Inc. 14,175
2,200 Earthgrains Co. 51,563
1,600 Harland (John H.) Co. 28,600
1,000 1 IHOP Corp. 23,875
2,400 1 Interim Services, Inc. 52,350
500 1 J & J Snack Foods Corp. 10,375
1,600 1 Landrys Seafood Restaurants, Inc. 14,600
400 National Presto Industries, Inc. 14,925
1,400 Norrell Corp. 25,988
1,700 Ruby Tuesday, Inc. 31,556
2,000 1 Ryan's Family Steak Houses, Inc. 23,375
1,900 1 Smithfield Foods, Inc. 50,706
1,000 1 Sonic Corp. 27,531
1,200 TCBY Enterprises, Inc. 7,950
700 1 Taco Cabana, Inc., Class A 7,481
800 1 Volt Information Science, Inc. 13,800
2,000 1 World Color Press 51,000
TOTAL 698,651
ENERGY-0.0%
77 1 Eagle Geophysical, Inc. 260
1,000 1 HS Resources, Inc. 12,000
1,200 1 Oceaneering International, Inc. 18,525
1,100 1 Offshore Logistics, Inc. 12,444
1,100 1 Pool Energy Services Co. 18,563
2,600 1 Pride International, Inc. 27,138
3,485 1 Santa Fe Snyder Corp. 29,623
1,200 1 Seitel, Inc. 18,975
TOTAL 137,528
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FINANCIALS-0.4%
2,300 1 Amresco, Inc. $ 15,813
900 Anchor Bancorp Wisconsin, Inc. 14,850
2,800 Astoria Financial Corp. 126,000
800 Banknorth Group, Inc. 21,350
1,600 Capital Re Corp. 26,100
1,100 Carolina First Corporation 30,181
3,100 Commercial Federal Corp. 70,719
1,400 Cullen Frost Bankers, Inc. 78,750
1,040 1 Delphi Financial Group, Inc., Class A 36,089
1,400 Downey Financial Corp. 30,800
1,900 Enhance Financial Services Group, Inc. 37,169
600 Executive Risk, Inc. 51,150
1,500 First Midwest Bancorp, Inc. 58,125
3,600 Fremont General Corp. 76,275
1,900 Frontier Insurance Group, Inc. 32,656
1,100 Investment Technology Group, Inc. 48,744
500 JSB Financial, Inc. 25,625
1,100 Jefferies Group, Inc. 27,019
1,100 MAF Bancorp, Inc. 25,369
900 NAC Re Corp. 49,106
1,400 Orion Capital Corp. 40,863
1,260 Provident Bankshares Corp. 29,138
1,600 Riggs National Corp. 26,900
1,400 Selective Insurance Group, Inc. 26,425
1,100 1 Silicon Valley Bancshares 21,175
2,100 St. Paul Bancorp, Inc. 54,469
1,800 Susquehanna Bankshares, Inc. 32,738
TOTAL 1,113,598
HEALTH CARE-0.2%
1,000 ADAC Laboratories 8,063
1,400 Alpharma, Inc., Class A 37,363
1,700 1 American Oncology Resources, Inc. 17,266
500 1 Compdent Corp. 7,250
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HEALTH CARE-CONTINUED
800 1 Datascope Corp. $ 20,125
700 Diagnostic Products Corp. 15,925
1,800 1 Genesis Health Ventures, Inc. 7,988
2,700 Integrated Health Services, Inc. 15,863
1,000 1 NCS HealthCare, Inc., Class A 13,750
3,900 1 Phycor, Inc. 27,178
672 1 Priority HealthCare Corp., Class A 22,932
900 1 Protein Design Laboratories, Inc. 17,663
1,404 1 Quintiles Transnational Corp. 57,038
1,600 1 Regeneron Pharmaceuticals, Inc. 11,400
1,600 1 Roberts Pharmaceutical Corp. 30,400
700 1 Rural/Metro Corp. 5,294
1,400 1 Sierra Health Services, Inc. 21,350
1,600 1 Summit Technology, Inc. 31,600
1,100 1 Sunrise Medical, Inc. 9,144
600 1 Syncor International Corp. 20,400
1,300 1 Vertex Pharmaceuticals, Inc. 26,081
700 Vital Signs, Inc. 13,431
TOTAL 437,504
TECHNOLOGY-0.2%
600 Analogic Corp. 19,538
2,100 Anixter International, Inc. 37,144
1,000 1 BancTec, Inc. 16,125
500 Bell Industries, Inc. 5,125
1,600 1 Cable Design Technologies, Class A 22,600
1,400 Dallas Semiconductor Corp. 60,900
700 1 Digi International, Inc. 5,863
3,200 1 Digtial Microwave Corp. 40,400
1,200 Exabyte Corp. 6,600
1,200 Gerber Scientific, Inc. 28,050
1,400 1 Intervoice, Inc. 15,575
1,200 1 Lattice Semiconductor Corp. 58,950
2,000 1 PictureTel Corp. 17,750
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TECHNOLOGY-CONTINUED
1,300 Pioneer Standard Electronics, Inc. $ 12,756
800 1 Standard Microsystems Corp. 6,100
2,400 System Software Association 4,875
2,300 1 VLSI Technology, Inc. 48,156
500 1 Wall Data, Inc. 5,094
1,200 1 Xircom, Inc. 30,300
TOTAL 441,901
TRANSPORTATION-0.1%
1,700 Air Express International Corp. 42,500
1,600 1 American Freightways Corp. 28,000
1,000 1 Arkansas Best Corp. 8,875
1,900 1 Fritz Companies, Inc. 20,425
900 Frozen Food Express Industries, Inc. 6,188
1,100 1 Kirby Corp. 20,763
500 1 Landstar System, Inc. 18,813
600 1 M.S. Carriers, Inc. 18,975
1,000 Pittston BAX Group 10,813
500 1 Railtex, Inc. 6,750
3,000 Rollins Truck Leasing Corp. 32,625
1,200 SkyWest, Inc. 27,900
1,300 USFreightways Corp. 51,188
2,400 Werner Enterprises, Inc. 46,350
1,300 1 Yellow Corp. 22,100
TOTAL 362,265
UTILITIES-0.2%
500 American States Water Co. 13,344
600 Aquarion Co. 18,638
1,500 Atmos Energy Corp. 38,438
400 1 Bangor Hydro Electric Co. 5,650
600 Cascade Natural Gas Corp. 10,088
700 Cilcorp, Inc. 42,656
1,100 Commonwealth Energy System 46,613
500 Connecticut Energy Corp. 18,781
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UTILITIES-CONTINUED
1,500 Energen Corp. $ 28,688
900 New Jersey Resources Corp. 33,975
700 Orange & Rockland Utilities, Inc. 40,731
500 Pennsylvania Enterprises 14,500
2,116 Philadelphia Suburban Corp. 46,552
1,600 Piedmont Natural Gas, Inc. 54,100
1,600 Sierra Pacific Resources 58,200
1,600 Southwest Gas Corp. 45,200
1,300 Southwestern Energy Co. 12,269
700 TNP Enterprises, Inc. 26,119
700 United Illuminating Co. 30,669
1,900 United Water Resources, Inc. 41,325
TOTAL 626,536
TOTAL SMALL-COMPANY STOCKS 6,411,786
SMALL-COMPANY GROWTH STOCKS-2.6%
BASIC MATERIALS-0.1%
1,600 1 Buckeye Technologies Inc. 26,100
1,200 Caraustar Industries, Inc. 31,650
600 LSB Industries, Inc. 1,125
1,100 Lilly Industries, Inc., Class A 20,969
1,200 MacDermid, Inc. 48,300
1,200 1 Shorewood Packaging Corp. 20,550
2,100 1 Stillwater Mining Co. 67,069
TOTAL 215,763
CAPITAL GOODS-0.4%
1,300 AAR Corp. 25,675
500 Alliant Techsystems, Inc. 42,500
1,800 Applied Power, Inc., Class A 43,650
1,700 Aptargroup, Inc. 46,750
1,100 1 BE Aerospace, Inc. 19,663
1,700 Baldor Electric Co. 32,725
1,100 Belden, Inc. 25,919
1,700 Blount International, Inc., Class A 47,388
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CAPITAL GOODS-CONTINUED
400 1 C-COR Electronics, Inc. $ 9,450
1,100 CLARCOR, Inc. 20,213
1,000 1 Dionex Corp. 40,938
1,050 1 Dycom Industries, Inc. 50,663
700 1 Gardner Denver, Inc. 11,988
900 Graco, Inc. 29,419
1,300 1 Halter Marine Group, Inc. 9,588
500 Harmon Industries, Inc. 10,438
2,000 JLG Industries, Inc. 38,625
800 Libbey, Inc. 23,950
1,200 Manitowoc, Inc. 40,800
800 1 Metro Networks, Inc. 44,500
1,600 1 Mueller Industries, Inc. 46,400
700 New England Business Service, Inc. 19,031
800 1 Oak Industries, Inc. 38,550
1,700 1 Orbital Sciences Corp. 38,463
700 1 Plexus Corp. 21,394
1,000 Regal Beloit Corp. 23,250
1,400 Roper Industries, Inc. 45,150
600 1 SPS Technologies, Inc. 25,425
2,300 1 Sanmina Corp. 172,464
800 Service Experts, Inc. 14,850
700 Technitrol, Inc. 20,825
1,700 Tredegar Industries, Inc. 36,444
1,200 1 Valence Technology, Inc. 8,925
1,400 1 Zebra Technologies Co., Class A 44,975
TOTAL 1,170,988
CONSUMER CYCLICALS-0.5%
1,000 1 ADVO, Inc. 19,813
3,600 1 Acxiom Corp. 97,200
600 1 Ashworth, Inc. 2,925
800 1 Catalina Marketing Corp. 70,850
1,500 1 Cerner Corp. 30,188
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CONSUMER CYCLICALS-CONTINUED
2,200 1 Champion Enterprises, Inc. $ 44,963
3,200 1 DeVRY, Inc. 71,200
1,950 Ethan Allen Interiors, Inc. 62,156
1,100 1 Footstar, Inc. 42,694
900 G & K Services, Inc., Class A 42,525
3,300 1 Gentex Corp. 99,103
1,500 1 Goody's Family Clothing, Inc. 16,313
2,100 1 HA-LO Industries, Inc. 25,331
1,200 1 Insight Enterprises, Inc. 30,450
700 1 Lason Holdings, Inc. 26,819
1,800 1 Linens 'N Things, Inc. 71,775
1,500 1 Mens Wearhouse, Inc. 38,297
1,700 1 Midway Games, Inc. 18,063
2,600 1 Mohawk Industries, Inc. 75,725
1,000 1 NFO Worldwide, Inc. 14,188
1,700 1 Nautica Enterprise, Inc. 27,519
1,000 1 O'Reilly Automotive, Inc. 44,063
1,000 1 Pacific Sunwear of California 37,500
4,500 Pier 1 Imports, Inc. 49,781
600 Pillowtex Corp. 9,750
1,200 Polaris Industries, Inc. 51,675
1,100 1 Prepaid Legal Services, Inc. 29,219
1,650 Regis Corp. Minnesota 39,806
500 1 Timberland Co., Class A 32,375
2,100 True North Communications, Inc. 49,088
2,600 1 Williams-Sonoma, Inc. 77,513
2,000 Wolverine World Wide, Inc. 27,000
TOTAL 1,375,867
CONSUMER STAPLES-0.2%
800 1 CEC Entertainment, Inc. 30,250
2,410 CKE Restaurants, Inc. 44,284
600 1 Consolidated Graphics, Inc. 27,675
1,425 1 Consolidated Products, Inc. 26,363
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SMALL-COMPANY GROWTH STOCKS-continued
CONSUMER STAPLES-CONTINUED
1,800 1 Foodmaker, Inc. $ 48,600
700 Merrill Corp. 10,588
3,100 1 NBTY, Inc. 19,472
800 Natures Sunshine Products, Inc. 9,750
1,500 Owens & Minor, Inc. 16,313
1,500 1 Patterson Dental Co. 54,938
2,200 Richfood Holdings, Inc. 28,188
1,300 1 Tetra Tech, Inc. 27,625
1,300 1 Triarc Companies, Inc., Class A 26,488
600 1 USA Detergents, Inc. 3,113
2,700 1 Valassis Communications, Inc. 93,994
1,200 1 Whole Foods Market, Inc. 49,800
TOTAL 517,441
ENERGY-0.0%
2,100 1 Tuboscope, Inc. 28,088
FINANCIALS-0.4%
2,900 1 Americredit Corp. 46,219
1,000 CMAC Investment Corp. 50,563
1,200 Centura Banks, Inc. 69,975
1,155 Commerce Bancorp, Inc. 46,489
1,700 Eaton Vance Corp. 52,063
1,310 Fidelity National Financial, Inc. 22,188
2,800 First American Financial Corp. 46,025
1,400 Firstbank Corp. 33,600
3,400 Firstmerit Corp. 92,863
800 Gallagher (Arthur J.) & Co. 38,950
600 Hilb Rogal & Hamilton Co. 12,225
2,000 Hudson United Bancorp 61,250
2,600 Legg Mason, Inc. 87,913
1,800 Mutual Risk Management Ltd. 65,700
1,100 Premier Bankshares, Inc. 22,894
950 Queens County Bancorp, Inc. 30,044
2,200 Raymond James Financial, Inc. 48,675
<CAPTION>
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SMALL-COMPANY GROWTH STOCKS-continued
FINANCIALS-CONTINUED
800 SEI Investments, Co. $ 81,600
1,250 Trustco Bank Corp. 34,219
900 U.S. Trust Corp. 78,919
2,000 United Bankshares, Inc. 53,375
TOTAL 1,075,749
HEALTH CARE-0.4%
600 1 Alza Corp. 21,413
1,400 Ballard Medical Products 33,250
1,000 1 Barr Laboratories, Inc. 32,938
2,200 Bio-Technology General Corp. 15,538
1,300 1 Cephalon, Inc. 17,550
700 Cooper Companies, Inc. 15,881
1,100 1 Cor Therapeutics, Inc. 15,606
2,700 1 Coventry Health Care Inc. 35,775
600 1 Curative Health Services, Inc. 4,088
1,100 1 Enzo Biochem, Inc. 11,825
1,500 1 Express Scripts, Inc., Class A 105,188
1,100 1 Immune Response Corp. 7,013
1,300 1 Incyte Pharmaceuticals, Inc. 33,800
1,400 Invacare Corp. 34,913
1,300 Jones Pharma, Inc. 46,231
1,800 1 Liposome Co., Inc. 25,763
3,700 1 Medimmune, Inc. 235,413
1,100 Mentor Corp. 17,531
900 1 Molecular Biosystems, Inc. 2,250
1,000 1 Noven Pharmaceuticals, Inc. 6,125
2,200 1 Orthodontic Centers of America, Inc. 26,538
1,100 1 Parexel International Corp. 26,331
700 1 Pediatrix Medical Group 15,794
1,100 1 Pharmaceutical Development, Inc. 29,425
1,900 1 Renal Care Group, Inc. 52,725
2,500 1 Safeskin Corp. 31,250
1,100 1 Sola International, Inc. 18,356
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HEALTH CARE-CONTINUED
1,100 1 U.S. Bioscience, Inc. $ 8,869
2,800 1 VISX, Inc. 145,425
266 1 Watson Pharmaceuticals, Inc. 10,191
TOTAL 1,082,995
TECHNOLOGY-0.5%
1,900 1 American Management System, Inc. 60,325
1,000 Analysts International Corp. 15,938
2,400 1 Aspect Telecommunications Corp. 20,400
1,100 1 Avid Technology, Inc. 17,875
1,700 1 Billing Concepts Corp. 21,250
1,200 1 Bisys Group, Inc. 65,888
2,400 1 Brightpoint, Inc. 13,650
1,700 1 C-Cube Microsystems, Inc. 42,606
2,500 1 Ciber, Inc. 53,594
2,300 1 CommScope, Inc. 60,375
1,000 Computer Task Group, Inc. 16,625
700 1 Dialogic Corp. 23,363
1,300 1 Epicor Software Corp. 9,181
1,000 1 Etec Systems, Inc. 26,813
600 Fair Isaac & Co., Inc. 19,650
1,700 1 General Semiconductor, Inc. 13,175
1,200 1 HNC Software 32,475
1,900 1 Harbinger Corp. 21,078
900 Henry Jack & Associates, Inc. 31,781
1,400 1 Hyperion Solutions, Corp. 21,788
1,200 Inter-Tel, Inc. 17,775
600 1 Kronos, Inc. 22,209
700 1 MICROS Systems Corp. 21,875
1,800 1 Macromedia, Inc. 69,019
1,500 1 Medquist, Inc. 55,125
1,600 1 Mercury Interactive Corp. 52,600
900 1 Micrel, Inc. 50,400
1,400 National Computer Systems, Inc. 43,750
<CAPTION>
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SMALL-COMPANY GROWTH STOCKS-continued
TECHNOLOGY-CONTINUED
1,600 National Data Corp. $ 75,300
800 1 Progress Software Corp. 20,850
1,900 1 Technology Solutions Corp. 17,694
700 Telxon Corp. 7,263
1,200 1 Vantive Corp. 13,050
3,400 1 Vitesse Semiconductor Corp. 186,788
500 1 Whittaker Corp. 13,438
2,400 1 Whittman-Hart, Inc. 68,100
TOTAL 1,323,066
TRANSPORTATION-0.1%
4,500 Comair Holdings, Inc. 85,219
1,100 Expeditors International
Washington, Inc. 61,188
1,400 1 Heartland Express, Inc. 21,438
TOTAL 167,845
TOTAL SMALL-COMPANY
GROWTH STOCKS 6,957,802
FOREIGN STOCKS-9.5%
AUSTRALIA-0.3%
104,300 1 AAPT Ltd. 377,231
574,110 One. Tel Ltd. 401,044
TOTAL 778,275
BELGIUM-0.1%
4,200 1 Global TeleSystems Group, Inc. 319,200
FINLAND-0.4%
29,900 Merita A (unitas A) 177,050
15,300 Metra OY, Class B 340,538
3,960 Nokia Oyj 281,550
7,700 Sampo Insurance Co. Ltd., Class A 232,790
TOTAL 1,031,928
FRANCE-1.1%
4,140 AXA 476,912
1,350 Cap Gemini SA 194,358
2,030 Compagnie Financiere de
Paribas, Class A 220,093
4,850 DasSAult Systemes SA 159,116
<CAPTION>
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FOREIGN STOCKS-continued
FRANCE-CONTINUED
1,850 Elf Aquitaine SA $ 267,693
140,000 1 Eurotunnel (Paris) 214,546
4,700 Pechiney Ord A 182,075
10,800 1 Sanofi Synthelabo SA 454,863
3,100 Societe BIC SA 177,908
1,350 Societe Generale, Paris 245,165
1,020 Suez Lyonnaise des Eaux 168,966
3,660 Vivendi 3,816
3,660 Vivendi 270,904
TOTAL 3,036,415
GERMANY, FEDERAL REPUBLIC OF-0.6%
700 Bayerische Motoren Werke AG 448,066
2,100 DePfa Deutsche Pfandbriefbank AG 181,708
4,500 Deutsche Bank, AG 234,562
5,400 Mannesmann AG 737,464
TOTAL 1,601,800
HONG KONG-0.4%
482,000 Cafe De Coral Holdings 144,509
482,500 China Everbright Ltd. 258,209
738,000 China Foods Holdings Ltd. 166,541
444,000 Sino Land Co. 239,037
84,000 Smartone Telecommunications 260,508
TOTAL 1,068,804
IRELAND-0.0%
2,900 1 Esat Telecom Group PLC, ADR 107,300
ITALY-0.9%
32,400 Arn Mondadori Edit 562,387
10,350 Assicurazioni Generali 367,935
88,445 Banca Intesa S.P.A. 449,955
38,300 Mediolanum S.P.A. 260,728
8,800 Rolo Banca 1473 S.P.A. 207,791
23,000 SAI S.P.A. 257,758
30,650 Telecom Italia Mobile 180,213
TOTAL 2,286,767
<CAPTION>
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FOREIGN STOCKS-continued
JAPAN-1.8%
53,000 Asahi Chemical Industry
Co. Ltd. $ 287,648
14,700 Capcom Co., Ltd. 226,210
40,000 Casio Computer Co. 273,682
48,000 Chugai Pharmaceutical Co., Ltd. 541,673
6,700 Circle K Japan Co. Ltd. 272,723
30,000 Fujitsu Ltd. 501,365
3,500 Hirose Electric Co. 300,571
27,200 Minebea Co. 270,492
9,800 Mycal Card, Inc. 331,612
2,400 Nintendo Corp. Ltd. 281,956
440 Shohoh Fund & Co. 246,083
2,000 Softbank Corp. 229,999
2,000 Takefuji Corp. 176,222
11,900 Tokyo Electric Power Co. 259,423
57,000 Toshiba Corp. 352,271
7,000 Yamada Denki 291,305
TOTAL 4,843,235
KOREA, REPUBLIC OF-0.2%
12,875 Samsung Securities Co., Ltd. 564,574
NETHERLANDS-0.6%
5,200 1 ASM Lithography Holding N.V. 229,037
1,530 Aegon N.V. 123,614
2,500 1 Equant N.V., ADR 207,344
4,800 Hoogovens (kon.) 185,648
3,960 ING Groep, N.V. 211,575
9,800 KPN NV 473,024
4,900 Unique International NV 111,871
TOTAL 1,542,113
NORWAY-0.1%
24,300 1 Storebrand ASA 162,937
PHILIPPINES-0.0%
50 1 Filinvest Land, Inc. 6
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<S> <C> <C>
STOCKS-continued
FOREIGN STOCKS-continued
PORTUGAL-0.3%
10,500 Banco Pinto & Sotto Mayor $ 207,979
12,500 Banco Portugues do Atlantico 197,293
4,600 Jeronimo Martins & Filho SGPS, SA 164,054
9,400 1 Seg Mundial Confianca 270,270
TOTAL 839,596
SINGAPORE-0.2%
191,500 Inchcape Motors Ltd. 306,756
31,000 Oversea-Chinese Banking
Corp. Ltd., Foreign Shares 242,890
TOTAL 549,646
SPAIN-0.5%
10,800 Argentaria 241,956
4,450 Banco Popular Espanol SA 325,203
11,732 Banco Santander 244,612
3,893 Baron de Ley, SA 133,929
118 Telefonica SA 5,656
5,900 Telefonica SA 282,811
TOTAL 1,234,167
SWEDEN-0.1%
9,000 Kinnevik AB 6,280
9,000 Kinnevik AB, Class B 187,365
7,450 LM Ericsson 198,853
TOTAL 392,498
SWITZERLAND-0.3%
44 1 Kudelski SA 165,549
150 Nestle SA 269,426
780 UBS AG- Registered 225,591
TOTAL 660,566
UNITED KINGDOM-1.6%
17,600 1 Allied Zurich PLC 224,342
16,412 BP Amoco PLC 293,483
19,494 Barclays PLC 591,927
402 British Aerospace PLC 2,654
11,700 British Telecommunication PLC 193,849
<CAPTION>
SHARES OR
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<S> <C> <C>
STOCKS-continued
FOREIGN STOCKS-continued
UNITED KINGDOM-CONTINUED
11,900 1 COLT Telecom Group PLC $ 251,316
15,800 Cable & Wireless 194,436
24,100 1 Cable & Wireless Communications 228,997
13,225 Glaxo Wellcome PLC 371,056
24,800 2 Norwich Union PLC 175,842
17,198 Prudential Corp. PLC 225,969
44,000 Reed International PLC 321,848
24,545 Royal & Sun Alliance
Insurance Group PLC 200,070
22,900 Securicor PLC 205,485
17,534 Smithkline Beecham PLC 228,277
23,250 Vodafone Group PLC 441,840
TOTAL 4,151,391
TOTAL FOREIGN STOCKS 25,171,218
FUTURES CONTRACTS
COLLATERAL-13.7% 2
36,600,000 United States Treasury Bill, 6/17/1999 36,543,270
TOTAL STOCKS (IDENTIFIED
COST $133,925,186) 169.379,153
BONDS-33.6%
TREASURY-10.4%
REPURCHASE AGREEMENT AND
GOVERNMENT SECURITIES-3.5% 3
$ 9,350,000 Societe Generale, New
York, 4.800%, dated
5/28/1999, due 6/1/1999 9,350,000
UNITED STATES TREASURY
SECURITIES-6.9%
6,225,000 United States Treasury
Bond, 8.125%, 5/15/2021 7,706,986
2,200,000 United States Treasury
Bond, 8.875%, 8/15/2017 2,854,610
493,000 United States Treasury
Note, 5.750%, 8/15/2003 494,297
675,000 United States Treasury
Note, 6.250%, 2/15/2003 688,588
6,405,000 United States Treasury
Note, 6.500%, 10/15/2006 6,666,965
TOTAL 18,411,446
TOTAL TREASURY 27,761,446
MORTGAGE-BACKED SECURITIES-6.8%
1,848,606 Federated Mortgage Core
Portfolio 18,208,769
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<S> <C> <C>
BONDS-continued
INVESTMENT GRADE BONDS-7.6%
AEROSPACE & DEFENSE-0.3%
$ 600,000 McDonnell Douglas
Finance, Medium Term
Note, 6.375%, 7/15/1999 $ 601,050
180,000 Raytheon Co., 5.70%,
11/01/2003 174,998
TOTAL 776,048
AUTOMOBILE-0.4%
205,000 Arvin Capital, 9.50%,
2/1/2027 214,565
450,000 Dana Corp., Note, 7.00%,
3/15/2028 421,470
470,000 General Motors
Acceptance, Sr. Note,
5.75%, 11/10/2003 458,537
TOTAL 1,094,572
BANKING-0.7%
100,000 City National Bank, Sub.
Note, 6.375%, 1/15/2008 96,122
330,000 2 Den Danske Bank, Note,
7.40% 6/15/2010 340,276
250,000 National Bank of Canada,
Sub. Note, 8.125%,
8/15/2004 266,368
375,000 Republic New York Corp.,
Sub. Note, 7.75%,
5/15/2009 399,139
500,000 Santander Finance
Issuances, Bank
Guarantee, 7.875%,
4/15/2005 524,525
330,000 2 Swedbank, Sub.,
11/29/2049 323,585
TOTAL 1,950,015
BEVERAGE & TOBACCO-0.2%
50,000 Philip Morris Cos.,
Inc., Deb., 6.00%, 7/15/2001 49,716
450,000 Phillip Morris Cos.,
Inc., Deb., 9.25%, 2/15/2000 460,917
TOTAL 510,633
CABLE TELEVISION-0.6%
460,000 Continental Cablevision,
Sr. Deb., 9.5%, 8/1/2013 538,844
1,000,000 TKR Cable Inc., Deb.,
10.5%, 10/30/2007 1,076,090
TOTAL 1,614,934
CHEMICALS & PLASTIC-0.2%
500,000 2 Bayer Corp., Deb., 6.5%, 10/1/2002 504,420
EDUCATION-0.2%
500,000 Boston University, 7.625%, 7/15/2097 508,585
ELECTRONICS-0.3%
700,000 1 Anixter Intl., Inc.,
Company Guarantee, 8%, 9/15/2003 716,436
FINANCE-RETAIL-0.2%
550,000 Sears, Roebuck & Co.,
Medium Term Note, 7.32%, 4/24/2000 557,051
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<S> <C> <C>
BONDS-continued
INVESTMENT GRADE BONDS-continued
FINANCIAL INTERMEDIARIES-0.7%
$ 450,000 DLJ, Note, 6.875%, 11/1/2005 $ 448,164
450,000 Green Tree Financial Corp., Sr. Sub.
Note, 10.25%, 6/1/2002 484,925
250,000 Lehman Brothers Holdings, Inc., Note,
6.9%, 1/29/2001 252,050
300,000 Lehman Brothers Holdings, Bond, 6.20%,
1/15/2002 296,280
300,000 Lehman Brothers, Inc.,
Sr. Sub. Note, 7.375%, 1/15/2007 300,396
150,000 Salomon, Inc., Note, 7.2%, 2/1/2004 153,905
TOTAL 1,935,720
FOREST PRODUCTS-0.2%
450,000 Quno Corp., Sr. Note, 9.125%, 5/15/2005 477,662
GOVERNMENT AGENCY-0.3%
840,000 TVA 11/15/2029 858,505
HEALTHCARE-0.1%
400,000 COL HCA Healthcare Corp,
Sr. Note, 6.41%, 6/15/2000 395,636
INSURANCE-0.6%
225,000 Conseco, Inc., Sr. Note,
10.5%, 12/15/2004 253,703
300,000 NAC Re Corp, Note, 8.00%, 6/15/1999 300,402
450,000 Provident Cos., Inc.,
Bond, 7.405%, 3/15/2038 425,079
100,000 SUSA Partnership, L.P.,
Deb., 7.50%, 12/1/2027 89,380
250,000 Sunamerica Inc, Medium
Term Note, 7.34%, 8/30/2005 261,143
250,000 2 USF&G Cap, 8.312%, 7/1/2046 263,825
TOTAL 1,593,532
LEISURE & ENTERTAINMENT-0.2%
500,000 Viacom, Inc., Sr. Note,
7.75%, 6/1/2005 520,455
METALS & MINING-0.2%
275,000 Barrick Gold Corp.,
Deb., 7.5%, 5/1/2007 283,198
250,000 Santa Fe Pacific Gold,
Note, 8.375%, 7/01/2005 251,658
TOTAL 534,856
OIL & GAS-0.2%
500,000 Occidental Petroleum
Corp., Note, 8.50%, 9/15/2004 504,410
PHARMACEUTICAL-0.2%
550,000 American Home Products
Corp., Note, 7.7%, 2/15/2000 558,910
<CAPTION>
PRINCIPAL
AMOUNT OR
FOREIGN
CURRENCY VALUE IN
PAR AMOUNT U.S. DOLLARS
<S> <C> <C>
BONDS-continued
INVESTMENT GRADE BONDS-continued
RETAILERS-0.2%
$ 400,000 Harcourt General, Sr.
Deb., 7.20%, 8/1/2027 $ 373,648
105,000 Sears Roebuck
Acceptance, Medium Term
Note, 6.56%, 9/05/2000 105,820
TOTAL 479,468
SERVICES-0.2%
450,000 Service Corp. Int'l.,
Note, 6.5%, 3/15/2008 423,257
SOVEREIGN-0.6%
500,000 Export-Import Bank
Korea, Note, 6.5%, 5/15/2000 496,052
535,000 Republic of Colombia,
Note, 7.25%, 2/15/2003 460,769
530,000 Republic of South
Africa, Global Bond
Deb., 9.625%, 12/15/1999 539,323
TOTAL 1,496,144
SURFACE TRANSPORTATION-0.2%
500,000 Trans Ocean Container Corp.,
Sr. Sub. Note, 12.25%, 7/1/2004 535,565
TECHNOLOGY SERVICES-0.3%
500,000 Dell Computer Corp., Deb., 7.1%,
4/15/2028 483,240
1,820 Microsoft Corp., Conv.
Pfd., Series A, $2.196 181,090
100,000 Paramount Comm. Inc, Sr.
Deb., 8.25%, 8/1/2022 103,811
TOTAL 768,141
TELECOMMUNICATIONS &
CELLULAR-0.3%
800,000 BellSouth Telecommunications,
Note, 6%, 6/15/2002 798,416
TOTAL INVESTMENT GRADE BONDS 20,113,371
HIGH YIELD BONDS-4.7% 4
1,350,264 The High Yield Bond Portfolio 12,476,438
FOREIGN BONDS-4.1%
AUSTRALIAN DOLLAR-0.2%
340,000 Queensland, State of,
8%, 9/14/2007 244,825
213,000 Queensland, State of,
Deb., 10.5%, 5/15/2003 161,306
310,000 West Australia, State
of, Local Gov't.
Guarantee, 8%, 7/15/2003 217,087
TOTAL 623,218
<CAPTION>
FOREIGN
CURRENCY VALUE IN
PAR AMOUNT U.S. DOLLARS
<S> <C> <C>
BONDS-continued
FOREIGN BONDS-continued
AUSTRIAN SCHILLING-0.4%
403,335 Republic of Austria,
Deb., 7.625%, 10/18/2004 $ 500,998
915,000 Republic of Austria,
Unsub., 6.5%, 1/10/2024 571,846
TOTAL 1,072,844
BELGIAN FRANC-0.0%
63,708 Belgian, Govt., 6.5%, 3/31/2005 76,016
CANADIAN DOLLAR-0.3%
569,000 Canadian Government,
Deb., 6.50%, 6/1/2004 404,193
400,000 Ontario Hydro, 9.00%, 6/24/2002 298,479
TOTAL 702,672
CZECH KORUNA-0.1%
5,750,000 Konsolidacni BKA, Foreign Gov't.
Guarantee, 10.875%, 4/15/2004 179,688
DANISH KRONE-0.1%
1,200,000 Denmark, 8%, 5/15/2003 194,680
DEUTSCHE MARK-0.4%
132,935 Depfa-Bank, 5.5%, 1/15/2013 148,798
410,567 Germany, Government of,
Deb., 6.25%, 1/04/2024 497,697
255,645 KFW International
Finance, Bank Guarantee,
6.75%, 6/20/2005 308,724
TOTAL 955,219
FRANCE FRANC-0.1%
245,138 France, Government of,
8.5%, 10/25/2019 370,429
GREEK DRACHMA-0.3%
181,800,000 Greece, Government of,
Floating Rate Note,
10/23/2003 606,748
23,000,000 Hellenic Republic, 11/26/2003 76,466
TOTAL 683,214
HUNGARIAN FORINT-0.1%
25,000,000 Hungary, Govt., Bond,
14%, 12/12/2002 107,340
50,000,000 Hungary, Govt., Series
HUNG, 9.5%, 2/12/2009 205,069
TOTAL 312,409
IRISH POUND-0.2%
450,757 Ireland, Government of,
Deb., 9%, 9/01/2006 619,942
<CAPTION>
FOREIGN
CURRENCY VALUE IN
PAR AMOUNT U.S. DOLLARS
<S> <C> <C>
BONDS-continued
FOREIGN BONDS-continued
ITALIAN LIRA-0.3%
632,658 Italy, Government of,
9.5%, 1/01/2005 $ 849,033
NETHERLANDS GUILDER-0.2%
220,000 Baden Wurt L-Finance NV,
Bank Guarantee, 6%, 1/25/2006 129,969
285,000 Bank Ned Gemeenten,
Bond, 6.375%, 1/4/2006 152,578
400,000 Bank Ned Gemeenten,
Bond, 7.75%, 12/20/2004 226,125
136,134 Netherlands, Government
of, 6%, 1/15/2006 160,085
TOTAL 668,757
NEW ZEALAND DOLLAR-0.0%
205,000 New Zealand, Government
of, 8%, 2/15/2001 115,198
NORWEGIAN KRONE-0.2%
730,000 Norwegian, Government,
5.5%, 5/15/2009 95,264
1,620,000 Norwegian, Government,
Bond, 7%, 5/31/2001 212,064
1,215,000 Norway, Government of,
Foreign Gov't. Guarantee, 5.75%,
11/30/2004 158,402
TOTAL 465,730
POLISH ZLOTY-0.2%
1,460,000 Poland, Govt., Bond,
12%, 10/12/2003 381,587
730,000 Poland, Govt., Bond,
Series 5Y, 12%, 2/12/2003 186,303
TOTAL 567,890
SPANISH PESETA-0.5%
240,404 Spanish Government, 10%, 2/28/2005 333,205
781,315 Spanish Government, 6.15%, 1/31/2013 928,528
TOTAL 1,261,733
SWEDISH KRONE-0.1%
700,000 Swedish Government,
Deb., 13%, 6/15/2001 96,462
800,000 Swedish Government,
Deb., 9%, 4/20/2009 125,049
TOTAL 221,511
<CAPTION>
FOREIGN
CURRENCY VALUE IN
PAR AMOUNT U.S. DOLLARS
<S> <C> <C>
BONDS-continued
FOREIGN BONDS-continued
UNITED KINGDOM POUND-0.4%
366,000 British Gas PPLC, 8.875%, 7/8/2008 $ 698,480
145,000 U.K. Treasury, Deb.,
8.5%, 12/07/2005 276,143
TOTAL 974,623
TOTAL FOREIGN BONDS 10,914,806
TOTAL BONDS (IDENTIFIED
COST $95,675,134) 89,474,830
TOTAL INVESTMENTS
(IDENTIFIED COST $229,600,320) 5 $258,853,983
</TABLE>
1 Non-income producing security.
2 Denotes a restricted security which is subject to restrictions on resale
under Federal Securities laws. As of May 31, 1999, these securities
amounted to $1,607,948 which represents 0.60% of net assets.
3 The repurchase agreement is fully collateralized by U.S. government
and/or agency obligations based on market prices at the date of portfolio.
The investments in the repurchase agreement are through participation in
joint accounts with other Federated funds.
4 The High Yield Portfolio is a diversified portfolio of below investment
grade bonds.
5 The cost of investments for federal tax purposes amounts to $229,600,320.
The net unrealized appreciation of investments on a federal tax basis
amounts to $29,253,663 which is comprised of $35,618,153 appreciation and
$6,364,490 depreciation as of May 31, 1999.
Note: The categories of investments are shown as a percentage of net assets
($266,246,014) as of May 31, 1999.
The following acronyms are used throughout this portfolio:
ADR -American Depository Receipt
COL -Collateralized
MBIA -Municipal Bond Investors Assurance
PLC -Public Limited Company
SA -Support Agreement
SPA -Standby Purchase Agreement
TRANs -Tax and Revenue Anticipation Notes
See Notes which are an integral part of the Financial Statements
Statement of Assets and Liabilities
MAY 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C>
ASSETS:
Total investments in
securities, at value
(identified and tax cost
$229,600,320) $ 258,853,983
Cash 7,920
Cash denominated in
foreign currency
(identified cost
$5,094,782) 5,042,480
Income receivable 1,452,138
Receivable for
investments sold 480,483
Receivable for shares
sold 161,001
Receivable for daily
variation margin 419,250
TOTAL ASSETS 266,417,255
LIABILITIES:
Payable for investments
purchased $ 44,692
Payable for shares
redeemed 5,013
Income distribution
payable 2,802
Payable for taxes
withheld 17,485
Accrued expenses 101,249
TOTAL LIABILITIES 171,241
Net assets for
20,437,162 shares
outstanding $ 266,246,014
NET ASSETS CONSIST OF:
Paid in capital $ 229,512,275
Net unrealized
appreciation of
investments, translation
of assets and
liabilities in foreign
currency and futures
contracts 30,205,488
Accumulated net realized
gain on investments,
foreign currency
transactions and futures
contracts 5,494,044
Undistributed net
investment income 1,034,207
TOTAL NET ASSETS $ 266,246,014
NET ASSET VALUE,
OFFERING PRICE AND
REDEMPTION PROCEEDS PER
SHARE
INSTITUTIONAL SHARES:
$175,184,779 /
13,432,447 shares
outstanding $13.04
SELECT SHARES:
$91,061,235 / 7,004,715
shares outstanding $13.00
</TABLE>
See Notes which are an integral part of the Financial Statements
Statement of Operations
SIX MONTHS ENDED MAY 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends (net of
foreign taxes withheld
of $34,472) $ 1,884,110
Interest (net of dollar
roll expense of $6,887)
(net of foreign taxes
withheld of $797) 3,171,400
TOTAL INCOME 5,055,510
EXPENSES:
Investment advisory fee $ 997,912
Administrative personnel
and services fee 100,323
Custodian fees 42,171
Transfer and dividend
disbursing agent fees
and expenses 71,675
Directors'/Trustees'
fees 915
Auditing fees 9,264
Legal fees 3,517
Portfolio accounting
fees 38,904
Distribution services
fee-Select Shares 338,365
Shareholder services
fee-Institutional Shares 219,849
Shareholder services
fee-Select Shares 112,788
Share registration costs 24,637
Printing and postage 32,088
Insurance premiums 665
Miscellaneous 30,321
TOTAL EXPENSES 2,023,394
WAIVERS:
Waiver of distribution
services fee-Select
Shares $ (112,788)
Waiver of shareholder
services fee-
Institutional Shares (175,879)
TOTAL WAIVERS (288,667)
Net expenses 1,734,727
Net investment income 3,320,783
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS,
FOREIGN CURRENCY AND
FUTURES CONTRACTS:
Net realized gain on
investments and foreign
currency transactions 8,204,811
Net change in unrealized
appreciation
(depreciation) of
investments, translation
of assets and
liabilities in foreign
currency and
futures contracts 2,166,821
Net realized and
unrealized gain on
investments,
foreign currency and
futures contracts 10,371,632
Change in net assets
resulting from
operations $ 13,692,415
</TABLE>
See Notes which are an integral part of the Financial Statements
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
(unaudited) ENDED
MAY 31, NOVEMBER 30,
1999 1998
<S> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS
OPERATIONS:
Net investment income $ 3,320,783 $ 6,133,893
Net realized gain (loss)
on investments, foreign
currency transactions
and futures contracts
($8,204,811 and
$12,048,850,
respectively, as
computed for federal tax
purposes) 8,204,811 9,323,284
Net change in unrealized
appreciation of
investments, translation
of assets and
liabilities in foreign
currency and futures
contracts 2,166,821 8,589,516
CHANGE IN NET ASSETS
RESULTING FROM
OPERATIONS 13,692,415 24,046,693
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net
investment income
Institutional Shares (2,354,844) (4,424,186)
Select Shares (905,065) (1,540,266)
Distributions from net
realized gains on
investments, foreign
currency transactions
and futures contracts
Institutional Shares (7,963,532) (10,981,749)
Select Shares (4,086,575) (4,961,147)
CHANGE IN NET ASSETS
RESULTING FROM
DISTRIBUTIONS
TO SHAREHOLDERS (15,310,016) (21,907,348)
SHARE TRANSACTIONS:
Proceeds from sale of
shares 49,417,249 95,503,988
Net asset value of shares
issued to shareholders
in payment of
distributions declared 12,190,023 17,037,904
Cost of shares redeemed (55,845,490) (88,843,876)
CHANGE IN NET ASSETS
RESULTING FROM SHARE
TRANSACTIONS 5,761,782 23,698,016
Change in net assets 4,144,181 25,837,361
NET ASSETS:
Beginning of period 262,101,833 236,264,472
End of period (including
undistributed net
investment income of
$1,034,207 and $973,333,
respectively) $ 266,246,014 $ 262,101,833
</TABLE>
See Notes which are an integral part of the Financial Statements
Financial Highlights-Institutional Shares
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
(unaudited)
MAY 31, YEAR ENDED NOVEMBER 30,
1999 1998 1997 1996 1995 1994 1
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $13.15 $13.10 $12.23 $11.52 $ 9.82 $10.00
INCOME FROM
INVESTMENT OPERATIONS:
Net investment income 0.18 0.35 0.38 0.41 0.40 0.20
Net realized and
unrealized gain (loss)
on investments, foreign
currency transactions
and futures contracts 0.49 0.92 1.19 0.97 1.70 (0.26)
TOTAL FROM
INVESTMENT OPERATIONS 0.67 1.27 1.57 1.38 2.10 (0.06)
LESS DISTRIBUTIONS:
Distributions from net
investment income (0.18) (0.34) (0.40) (0.44) (0.40) (0.12)
Distributions from net
realized gain on
investments, foreign
currency transactions
and futures contracts (0.60) (0.88) (0.30) (0.23) - -
TOTAL DISTRIBUTIONS (0.78) (1.22) (0.70) (0.67) (0.40) (0.12)
NET ASSET VALUE, END OF
PERIOD $13.04 $13.15 $13.10 $12.23 $11.52 $ 9.82
TOTAL RETURN 2 5.40% 10.56% 13.39% 12.54% 21.79% (0.59%)
RATIOS TO AVERAGE NET
ASSETS:
Expense 3 1.27% 4 1.27% 1.31% 1.45% 1.76% 1.79% 4
Net investment Income 3 2.53% 4 2.47% 2.81% 3.37% 3.53% 3.38% 4
Expenses (after waivers) 1.07% 4 1.07% 1.05% 1.05% 1.00% 0.89% 4
Net investment income
(after waivers) 2.73% 4 2.67% 3.07% 3.77% 4.29% 4.28% 4
SUPPLEMENTAL DATA:
Net assets, end of period
(000 omitted) $175,185 $173,514 $163,519 $136,255 $68,313 $28,973
Portfolio turnover 60% 111% 136% 95% 106% 71%
</TABLE>
1 Reflects operations for the period from May 25, 1994 (date of initial
public investment) to November 30, 1994. For the period from January 27,
1994 (start of business) to May 24, 1994, the Fund had no investment
activity.
2 Based on net asset value, which does not reflect the sales charge or
contingent deferred sales charge, if applicable.
3 During the period, certain fees were voluntarily waived and reimbursed.
If such voluntary waivers and reimbursements had not occurred, the ratios
would have been as indicated.
4 Computed on an annualized basis.
See Notes which are an integral part of the Financial Statements
Financial Highlights-Select Shares
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
(unaudited)
MAY 31, YEAR ENDED NOVEMBER 30,
1999 1998 1997 1996 1995 1994 1
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $13.11 $13.06 $12.20 $11.50 $ 9.81 $10.00
INCOME FROM
INVESTMENT OPERATIONS:
Net investment income 0.13 0.26 0.30 0.36 0.23 0.15
Net realized and
unrealized gain (loss)
on investments and
foreign currency 0.49 0.92 1.18 0.94 1.79 (0.24)
TOTAL FROM
INVESTMENT OPERATIONS 0.62 1.18 1.48 1.30 2.02 (0.09)
LESS DISTRIBUTIONS:
Distributions from net
investment income (0.13) (0.25) (0.32) (0.37) (0.33) (0.10)
Distributions from net
realized gain
on investments and
foreign
currency transactions (0.60) (0.88) (0.30) (0.23) - -
TOTAL DISTRIBUTIONS (0.73) (1.13) (0.62) (0.60) (0.33) (0.10)
NET ASSET VALUE, END OF
PERIOD $13.00 $13.11 $13.06 $12.20 $11.50 $ 9.81
TOTAL RETURN 2 5.05% 9.80% 12.56% 11.75% 20.95% (0.90%)
RATIOS TO AVERAGE NET
ASSETS:
Expense 3 2.02% 4 2.02% 2.06% 2.20% 2.51% 2.85% 4
Net investment income 3 1.78% 4 1.75% 2.06% 2.61% 2.72% 2.38% 4
Expenses (after waivers) 1.77% 4 1.77% 1.75% 1.75% 1.75% 1.70% 4
Net investment income
(after waivers) 2.03% 4 2.00% 2.37% 3.06% 3.48% 3.53% 4
SUPPLEMENTAL DATA:
Net assets, end of period
(000 omitted) $91,061 $88,588 $72,746 $60,208 $27,358 $2,952
Portfolio turnover 60% 111% 136% 95% 106% 71%
</TABLE>
1 Reflects operations for the period from May 25, 1994 (date of initial
public investment) to November 30, 1994. For the period from January 27,
1994 business (start of business) to May 24, 1994 the Fund had no
investment activity.
2 Based on net asset value, which does not reflect the sales charge or
contingent deferred sales charge, if applicable.
3 During the period, certain fees were voluntarily waived and reimbursed.
If such voluntary waivers and reimbursements had not occurred, the ratios
would have been as indicated.
4 Computed on an annualized basis.
See Notes which are an integral part of the Financial Statements
Notes to Financial Statements
MAY 31, 1999 (UNAUDITED)
ORGANIZATION
Managed Series Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "Act") as an open-end, management
investment company. The Trust consists of four portfolios. The financial
statements included herein are only those of Federated Managed Growth Fund
(the "Fund"), a diversified portfolio. The financial statements of the
other portfolios are presented separately. The assets of each portfolio are
segregated and a shareholder's interest is limited to the portfolio in
which shares are held. The investment objective of the Fund is to seek
capital appreciation.
The Fund offers two classes of shares: Institutional Shares and Select
Shares.
SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. These
policies are in conformity with generally accepted accounting principles.
INVESTMENT VALUATIONS
Listed equity securities are valued at the last sale price reported on a
national securities exchange. U.S. government securities, listed corporate
bonds (other fixed income and asset-backed securities), and unlisted
securities and private placement securities are generally valued at the
mean of the latest bid and asked price as furnished by an independent
pricing service. Short-term securities are valued at the prices provided by
an independent pricing service. However, short-term securities with
remaining maturities of 60 days or less at the time of purchase may be
valued at amortized cost, which approximates fair market value.
With respect to valuation of foreign securities, trading in foreign
countries may be completed at times which vary from the closing of the New
York Stock Exchange. Therefore, foreign securities are valued at the latest
closing price on the exchange on which they are traded prior to the closing
of the New York Stock Exchange. Foreign securities quoted in foreign
currencies are translated into U.S. dollars at the foreign exchange rate in
effect at noon, eastern time, on the day the value of the foreign security
is determined.
REPURCHASE AGREEMENTS
It is the policy of the Fund to require the custodian bank to take
possession, to have legally segregated in the Federal Reserve Book Entry
System, or to have segregated within the custodian bank's vault, all
securities held as collateral under repurchase agreement transactions.
Additionally, procedures have been established by the Fund to monitor, on a
daily basis, the market value of each repurchase agreement's collateral to
ensure that the value of collateral at least equals the repurchase price to
be paid under the repurchase agreement transaction.
The Fund will only enter into repurchase agreements with banks and other
recognized financial institutions, such as broker/dealers, which are
deemed by the Fund's adviser to be creditworthy pursuant to the guidelines
and/or standards reviewed or established by the Board of Trustees (the
"Trustees"). Risks may arise from the potential inability of
counterparties to honor the terms of the repurchase agreement.
Accordingly, the Fund could receive less than the repurchase price on the
sale of collateral securities.
INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS
Interest income and expenses are accrued daily. Bond premium and discount,
if applicable, are amortized as required by the Internal Revenue Code, as
amended (the "Code"). Dividend income and distributions to shareholders
are recorded on the ex-dividend date.
FEDERAL TAXES
It is the Fund's policy to comply with the provisions of the Code
applicable to regulated investment companies and to distribute to
shareholders each year substantially all of its income. Accordingly, no
provisions for federal tax are necessary.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS
The Fund may engage in when-issued or delayed delivery transactions. The
Fund records when-issued securities on the trade date and maintains
security positions such that sufficient liquid assets will be available to
make payment for the securities purchased. Securities purchased on a when-
issued or delayed delivery basis are marked to market daily and begin
earning interest on the settlement date.
FUTURES CONTRACTS
The Fund purchases stock index futures contracts to manage cashflows,
enhance yield, and to potentially reduce transaction costs. Upon entering
into a stock index futures contract with a broker, the Fund is required to
deposit in a segregated account a specified amount of cash or
U.S. government securities. Futures contracts are valued daily and
unrealized gains or losses are recorded in a "variation margin" account.
Daily, the Fund receives from or pays to the broker a specified amount of
cash based upon changes in the variation margin account. When a contract is
closed, the Fund recognizes a realized gain or loss. Futures contracts have
market risks, including the risk that the change in the value of the
contract may not correlate with changes in the value of the underlying
securities. For the period ended May 31, 1999, the Fund had realized gains
of $4,235,698 on futures contracts. As of May 31, 1999, the Fund had the
following outstanding futures contracts:
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS TO NET NOTIONAL APPRECIATION
EXPIRATION DATE DELIVER/RECEIVE POSITION AMOUNT (DEPRECIATION)
<S> <C> <C> <C> <C>
June 1999 66 S&P 500 Index Futures Long $14,548,050 $1,232,550
June 1999 69 S&P 500 Index Futures Long 22,376,700 (206,925)
$1,025,625
</TABLE>
FOREIGN EXCHANGE CONTRACTS
The Fund may enter into foreign currency contracts for the delayed delivery
of securities or foreign currency exchange transactions. These contracts
are used to hedge the Fund's securities against currency fluctuations.
Risks may arise upon entering these transactions from the potential
inability of counterparties to meet the terms of their commitments and from
unanticipated movements in security prices or foreign exchange rates. The
foreign currency transactions are adjusted by the daily exchange rate of
the underlying currency and any gains or losses are recorded for financial
statement purpose as unrealized until the settlement date. There were no
outstanding forward foreign currency contracts as of May 31, 1999.
DOLLAR ROLL TRANSACTIONS
The Fund enters into dollar roll transactions, with respect to mortgage
securities issued by GNMA, FNMA and FHLMC, in which the Fund sells mortgage
securities to financial institutions and simultaneously agrees to accept
substantially similar (same type, coupon and maturity) securities at a
later date at an agreed upon price. Dollar roll transactions involve "to be
announced" securities and are treated as short-term financing arrangements
which will not exceed 12 months. The Fund will use the proceeds generated
from the transactions to invest in short-term investments, which may
enhance the Fund's current yield and total return.
RESTRICTED SECURITIES
Restricted securities are securities that may only be resold upon
registration under federal securities laws or in transactions exempt from
such registration. In some cases, the issuer of restricted securities has
agreed to register such securities for resale, at the issuer's expense
either upon demand by the Fund or in connection with another registered
offering of the securities. Many restricted securities may be resold in the
secondary market in transactions exempt from registration. Such restricted
securities may be determined to be liquid under criteria established by the
Trustees. The Fund will not incur any registration costs upon such resales.
The Fund's restricted securities are valued at the price provided by
dealers in the secondary market or, if no market prices are available, at
the fair value as determined by the Fund's pricing committee.
Additional information on each restricted security held as of May 31, 1999
is as follows:
<TABLE>
<CAPTION>
ACQUISITION ACQUISITION
SECURITY DATE COST
<S> <C> <C>
Bayer Corp. 5/21/1996-07/1/1997 $493,905
Den Danske Bank 1/7/1998 347,266
Norwich Union 10/20/1998 180,965
Swedbank 1/7/1998 344,642
USF&G Cap 7/3/1997 250,000
</TABLE>
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 amounts of assets, liabilities, expenses and
revenues reported in the financial statements. Actual results could differ
from those estimated.
OTHER
Investment transactions are accounted for on the trade date.
SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest (without par value)
for each class of shares. Transactions in shares were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
MAY 31, 1999 NOVEMBER 30,1998
INSTITUTIONAL SHARES: SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Shares sold 2,843,282 $ 37,035,237 5,057,393 $ 64,381,325
Shares issued to
shareholders in payment
of distributions
declared 601,885 7,517,902 901,670 11,036,443
Shares redeemed (3,212,566) (41,808,778) (5,245,337) (66,680,577)
NET CHANGE RESULTING
FROM INSTITUTIONAL SHARE
TRANSACTIONS 232,601 $ 2,744,361 713,726 $ 8,737,191
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
MAY 31, 1999 NOVEMBER 30,1998
SELECT SHARES: SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Shares sold 953,106 $ 12,382,012 2,438,806 $ 31,122,663
Shares issued to
shareholders in payment
of distributions
declared 375,042 4,672,122 491,916 6,001,461
Shares redeemed (1,082,874) (14,036,713) (1,742,294) (22,163,299)
NET CHANGE RESULTING
FROM SELECT
SHARE TRANSACTIONS 245,274 $ 3,017,421 1,188,428 $ 14,960,825
NET CHANGE RESULTING
FROM SHARE TRANSACTIONS 477,875 $ 5,761,782 1,902,154 $ 23,698,016
</TABLE>
INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE
Federated Investment Management Company (formerly Federated Management),
the Fund's investment adviser (the "Adviser"), receives for its services an
annual investment advisory fee equal to 0.75% of the Fund's average daily
net assets. The Adviser may voluntarily choose to waive any portion of its
fee. The Adviser can modify or terminate this voluntary waiver at any time
at its sole discretion.
Under the terms of a sub-advisory agreement between the Adviser and
Federated Global Investment Management Corp. (the "Sub-Adviser"), the Sub-
Adviser, receives an allocable portion of the Fund's advisory fee. Such
allocation is based on the amount of foreign securities which the Sub-
Adviser manages for the Fund. This fee is paid by the Adviser out of its
resources and is not an incremental Fund expense.
ADMINISTRATIVE FEE
Federated Services Company ("FServ"), under the Administrative Services
Agreement, provides the Fund with administrative personnel and services.
The fee paid to FServ is based on the level of average aggregate daily net
assets of all funds advised by subsidiaries of Federated Investors, Inc.
for the period. The administrative fee received during the period of the
Administrative Services Agreement shall be at least $125,000 per portfolio
and $30,000 per each additional class of shares.
DISTRIBUTION SERVICES FEE
The Fund has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-
1 under the Act. Under the terms of the Plan, the Fund will compensate
Federated Securities Corp. ("FSC"), the principal distributor, from the
net assets of the Fund to finance activities intended to result in the sale
of the Fund's Select Shares. The Plan provides that the Fund may incur
distribution expenses of up to 0.75% of Select Shares average net assets,
annually, to compensate FSC. The distributor may voluntarily choose to
waive any portion of its fee. The distributor can modify or terminate this
voluntary waiver at any time at its sole discretion.
SHAREHOLDER SERVICES FEE
Under the terms of a Shareholder Services Agreement with Federated
Shareholder Services Company ("FSSC"), the Fund will pay FSSC up to 0.25%
of average daily net assets of the Fund shares for the period. The fee paid
to FSSC is used to finance certain services for shareholders and to
maintain shareholder accounts. FSSC may voluntarily choose to waive any
portion of its fee. FSSC can modify or terminate this voluntary waiver at
any time at its sole discretion.
TRANSFER AND DIVIDEND DISBURSING AGENT FEES AND EXPENSES
FServ, through its subsidiary Federated Shareholder Services Company
("FSSC"), serves as transfer and dividend disbursing agent for the Fund.
The fee paid to FSSC is based on the size, type, and number of accounts and
transactions made by shareholders.
PORTFOLIO ACCOUNTING FEES
FServ, maintains the Fund's accounting records for which it receives a fee.
The fee is based on the level of the fund's average daily net assets for
the period, plus out-of-pocket expenses.
ORGANIZATIONAL EXPENSES
Organizational expenses of $88,474 were borne initially by the Adviser. The
Fund has reimbursed the Adviser for these expenses. These expenses have
been deferred and are being amortized over the five year period following
the Fund's effective date.
GENERAL
Certain of the Officers and Trustees of the Trust are Officers and
Directors or Trustees of the above companies.
INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding short-term securities, for
the period ended May 31, 1999, were as follows:
<TABLE>
<CAPTION>
<S> <C>
Purchases $149,381,549
Sales $154,491,249
</TABLE>
YEAR 2000
Similar to other financial organizations, the Fund could be adversely
affected if the computer systems used by the Fund's service providers do
not properly process and calculate date-related information and data from
and after January 1, 2000. The Fund's Adviser and administrator are taking
measures that they believe are reasonably designed to address the Year 2000
issue with respect to computer systems that they use and to obtain
reasonable assurances that comparable steps are being taken by each of the
Fund's other service providers. At this time, however, there can be no
assurance that these steps will be sufficient to avoid any adverse impact
to the Fund.
SUBSEQUENT EVENT
On May 19, 1999, the Trust's Board of Trustees, upon the recommendation of
the Audit Committee of the Board of Trustees, dismissed Arthur Andersen
("AA") as the Trust's independent auditors. During the six-month reporting
period ended May 31, 1999 (the "Period"): (i) AA did not issue any report
on the Trust's financial statements; (ii) there were no disagreements with
AA on any matter of accounting principles or practices, financial statement
disclosure or auditing scope or procedure, which disagreements, if not
resolved to the satisfaction of AA would have caused it to make reference
to the subject matter of the disagreements in connection with its report on
the financial statements for such period; and (iii) there were no
"reportable events" of the kind described in Item 304(a)(1)(v) of
Regulation S-K under the Securities Exchange Act of 1934, as amended.
The Trust, by action of its Board of Trustees, engaged Deloitte & Touche
LLP ("D&T") as the independent auditors for purposes of auditing the
Trust's financial statements for the fiscal year ending November 30, 1999.
During the Period, neither the Trust, nor anyone on the Trust's behalf has
consulted D&T on items which (i) concerned the application of the
accounting principles to a specified transaction, either completed or
proposed, or the type of audit opinion that might be rendered on the
Trust's financial statements or (ii) concerned the subject of a
disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation
S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item
304).
Trustees
JOHN F. DONAHUE
THOMAS G. BIGLEY
JOHN T. CONROY, JR.
WILLIAM J. COPELAND
JOHN F. CUNNINGHAM
LAWRENCE D. ELLIS, M.D.
GLEN R. JOHNSON
PETER E. MADDEN
CHARLES F. MANSFIELD, JR.
JOHN E. MURRAY, JR., J.D., S.J.D.
MARJORIE P. SMUTS
JOHN S. WALSH
Officers
JOHN F. DONAHUE
Chairman
GLEN R. JOHNSON
President
J. CHRISTOPHER DONAHUE
Executive Vice President
EDWARD C. GONZALES
Executive Vice President
JOHN W. MCGONIGLE
Executive Vice President and Secretary
RICHARD J. THOMAS
Treasurer
RICHARD B. FISHER
Vice President
C. GRANT ANDERSON
Assistant Secretary
Mutual funds are not bank deposits or obligations, are not guaranteed by
any bank, and are not insured or guaranteed by the U.S. government, the
Federal Deposit Insurance Corporation, the Federal Reserve Board, or any
other government agency. Investment in mutual funds involves investment
risk, including the possible loss of principal.
This report is authorized for distribution to prospective investors only
when preceded or accompanied by the fund's prospectus which contains facts
concerning its objective and policies, management fees, expenses, and
other information.
[Graphic]
Federated
World-Class Investment Manager
SEMI-ANNUAL REPORT
Federated Managed Growth Fund
SEMI-ANNUAL REPORT
TO SHAREHOLDERS
MAY 31, 1999
[Graphic]
Federated
Federated Managed Growth Fund
Federated Investors Funds
5800 Corporate Drive
Pittsburgh, PA 15237-7000
1-800-341-7400
WWW.FEDERATEDINVESTORS.COM
Federated Securities Corp., Distributor
Cusip 56166K503
Cusip 56166K602
G00515-01 (7/99)
[Graphic]
SEMI-ANNUAL REPORT
President's Message
Dear Shareholder:
I am pleased to present the Semi-Annual Report to Shareholders for
Federated Managed Growth and Income Fund for the six-month reporting period
from December 1, 1998 through May 31, 1999. Included in this report is our
investment review, followed by a complete listing of the fund's holdings,
financial statements and highlights.
In pursuit of its investment objective, the fund invests in a well-
diversified portfolio of stocks and bonds. At the end of the reporting
period, 44% of the fund's $239.8-million portfolio was invested in stocks
(large-company value; large-company growth; utility; foreign; and future
contract collateral), while 54.3% was invested in bonds (U.S. Treasury and
government; U.S. Treasury agreements; mortgage-backed; investment grade;
high yield; foreign; and a repurchase agreement). 1
During the first half of the fund's fiscal year, Institutional Shares
delivered a total return of 3.46% 2 through dividends totaling $0.23 per
share, and capital gains totaling $0.47 per share. Select Shares produced a
total return of 3.11%2 through dividends totaling $0.19 per share, and
capital gains totaling $0.47 per share.
Thank you for pursuing your financial goals through the high level of
diversification and professional management of Federated Managed Growth
and Income Fund. As always, we invite your comments and suggestions.
Sincerely,
[Graphic]
Glen R. Johnson
President
July 15, 1999
1 International investing involves special risks including currency
risk, increased volatility of foreign securities, and differences in
auditing and other financial standards.
2 Performance quoted represents past performance and is not indicative of
future results. Investment return and principal value will fluctuate, so
that an investor's shares, when redeemed, may be worth more or less than
their original cost
Investment Review
PERFORMANCE FOR SIX-MONTH REPORTING PERIOD ENDED MAY 31, 1999
The six-month reporting period ended May 31, 1999 was a generally favorable
one for financial assets, and Federated Managed Growth and Income Fund
participated in the advance. For the six-month reporting period ended
May 31, 1999, an investor in the Institutional Shares had a total return of
3.46%, 1 while an investor in the Select Shares had a total return of
3.11%.1 As usual, performance among asset classes showed wide variation. In
the U.S., large company stocks continued to outperform small company stocks
until April when returns for small company stocks improved in response to
stronger economic growth. As has been the recent pattern, U.S. large
company stocks also outperformed foreign stocks. Bonds performed poorly
during the period as interest rates rose on concerns that stronger economic
growth will bring higher inflation.
ASSET ALLOCATION AS OF MAY 31, 1999
Federated Managed Growth and Income Fund operates on an investment
philosophy that, over time, an investor with a diversified portfolio will
achieve better returns with the same risk, or the same returns with lower
risk, than an investor in a single asset category. Therefore, to ensure
proper diversification of its portfolio, the fund's investment policies
require management to allocate the portfolio among as many as nine asset
categories and limit the weight of each asset category. In allocating the
fund's portfolio among asset categories, fund management analyzes the
relative value offered by each category under prevailing market
conditions. Fund management seeks to improve the fund's performance by
weighting most heavily the asset categories that management believes will
provide the best relative value. The following table shows the allocation
of the portfolio among different asset categories as of May 31, 1999.
1 Performance quoted represents past performance. Investment return and
principal value will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
ASSET CATEGORIES AS A PERCENTAGE OF TOTAL ASSETS
<TABLE>
<CAPTION>
PERCENTAGE
AS OF
PERMITTED MAY 31,
ASSET CATEGORY RANGE 1999
<S> <C> <C>
BONDS 1 50 - 70 54
U.S. Treasury Securities 0 - 56 18
Mortgage-Backed Securities 0 - 35 15
Investment Grade Corporate Bonds 0 - 35 13
High Yield Corporate Bonds 0 - 10 4
Foreign Bonds 0 - 10 4
EQUITIES 1 30 - 50 44
Large Company Stocks 22.5 - 37.5 28
Utility Stocks 2.5 - 7.5 5
Foreign Stocks 0 - 5 2
</TABLE>
1 Bonds convertible into equity securities at a price below the closing
price of the underlying equity securities on May 31, 1999 have been
included under the appropriate equity asset category.
The U.S. has enjoyed eight years of economic expansion which has driven
corporate profits strongly upward. The accompanying bull market in stocks
has pushed stock prices up even faster than earnings. However, this
favorable price movement in stocks has created a valuation problem for
U.S. stocks. Relative to historical measures of value, U.S. stocks are
richly priced. This implies that long-term returns from these price levels
are likely to be moderate. Offsetting the valuation factors, the
U.S. economy appears to be in solid shape with good growth and low
inflation. Moreover, U.S. monetary policy appears supportive of further
price gains in financial assets. Thus fund management moved equity exposure
up during the period to above normal levels in response to this favorable
near-term environment for equities.
STRUCTURE OF THE BOND PORTFOLIO
Within the range of four to six years, the fund's bond duration is set at
4.5 years. This duration is set at a somewhat below average level in
recognition that the current economic cycle is one of the longest in post-
war history and late stages of business cycles are often unfavorable
environments for bonds. Therefore, a somewhat conservative bond position
is appropriate due to cyclical concerns despite the favorable secular or
longer-term outlook for bonds. Within the bond portfolio, bond categories
were held near their normal positions after adjusting for the lower than
normal bond allocation.
STRUCTURE OF THE EQUITY PORTFOLIO
Equity exposure was increased in the portfolio, primarily in the large
company stock area. Other areas of the stock market such as utilities,
small company stocks, and foreign stocks appear more reasonably valued than
U.S. large company stocks. However, the economic cycle appears to favor
large company stocks. This economic expansion has lasted eight years,
substantially longer than the average U.S. economic expansion. In the late
stages of economic expansions, interest rates usually rise, putting
pressure on utility stocks, and investors usually begin to favor larger
company stocks for their perceived stability of earnings. Finally a rising
dollar creates a performance drag for U.S. investors in foreign stocks.
Thus fund management held weights in the other equity asset classes near
neutral levels despite their valuation advantages.
Portfolio of Investments
MAY 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-44.4% 1
LARGE-COMPANY VALUE
STOCKS-14.8%
BASIC MATERIALS-0.8%
4,200 Air Products & Chemicals, Inc. $ 172,200
5,600 Alcoa, Inc. 308,000
20,475 Archer-Daniels-Midland Co. 307,125
3,300 Dow Chemical Co. 400,950
4,800 Du Pont (E.I.) de Nemours &
Co. 314,100
3,400 International Paper Co. 170,000
3,800 Martin Marietta Materials 230,375
TOTAL 1,902,750
CAPITAL GOODS-1.2%
4,200 Caterpillar, Inc. 230,475
2,400 Cooper Industries, Inc. 118,950
2,200 Emerson Electric Co. 140,525
8,500 Ford Motor Co. 485,031
4,600 General Motors Corp. 317,400
8,200 Ingersoll-Rand Co. 522,238
7,600 Johnson Controls, Inc. 479,275
2,500 Northrop Grumman, Corp. 168,750
6,000 Parker-Hannifin Corp. 262,125
1,047 Tyco International, Ltd. 91,482
TOTAL 2,816,251
COMMUNICATION SERVICES-2.4%
20,665 AT&T Corp. 1,146,907
5,000 Ameritech Corp. 329,062
16,200 Bell Atlantic Corp. 886,950
9,800 BellSouth Corp. 462,437
10,200 GTE Corp. 643,237
12,078 2 MCI Worldcom, Inc. 1,043,237
600 MediaOne Group, Inc. 44,325
8,800 SBC Communications, Inc. 449,900
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE-COMPANY VALUE
STOCKS-continued
COMMUNICATION SERVICES-
CONTINUED
2,200 Sprint Corp. (FON Group) $ 248,050
11,200 U.S. West, Inc. 605,500
TOTAL 5,859,605
CONSUMER CYCLICALS-0.4%
3,215 2 Delphi Auto Systems Corp. 63,094
16,300 2 K Mart Corp. 250,613
5,600 Limited, Inc. 273,700
2,550 May Department Stores Co. 110,447
1,700 Penney (J.C.) Co., Inc. 87,869
3,100 Sears, Roebuck & Co. 148,219
TOTAL 933,942
CONSUMER STAPLES-0.5%
800 Anheuser-Busch Companies,
Inc. 58,450
6,200 Kimberly-Clark Corp. 363,863
4,100 2 King World Productions,
Inc. 136,838
7,200 RJR Nabisco Holdings Corp. 222,750
11,800 UST, Inc. 359,900
TOTAL 1,141,801
ENERGY-1.5%
3,600 Atlantic Richfield Co. 301,275
6,600 2 BJ Services Co. 181,912
4,900 Chevron Corp. 454,169
15,700 Exxon Corp. 1,254,037
4,500 Mobil Corp. 455,625
9,200 Occidental Petroleum Corp. 194,350
3,200 Phillips Petroleum Co. 167,800
6,100 Sunoco, Inc. 185,669
1,900 Texaco, Inc. 124,450
12,300 USX-Marathon Group 368,231
TOTAL 3,687,518
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE-COMPANY VALUE
STOCKS-continued
FINANCIALS-4.6%
1,300 Allmerica Financial Corp. $ 76,131
12,704 Allstate Corp. 462,902
2,100 American General Corp. 151,725
8,363 American International
Group, Inc. 955,995
9,500 Bank One Corp. 537,344
12,134 Bank of America Corp. 784,918
3,300 BankBoston Corp. 156,337
2,625 Bear Stearns Cos., Inc. 116,484
9,000 CIGNA Corp. 839,250
5,100 Chase Manhattan Corp. 369,750
20,150 Citigroup, Inc. 1,334,937
7,800 Federal National Mortgage
Association 530,400
11,200 First Union Corp. 515,900
5,100 Fleet Financial Group,
Inc. 209,737
5,700 2 Golden State Bancorp, Inc. 140,006
2,800 Hartford Financial
Services Group, Inc. 177,100
4,500 KeyCorp 156,375
2,900 Loews Corp. 235,806
4,100 MBIA, Inc. 280,081
8,550 Marsh & McLennan Cos., Inc. 622,013
8,200 Mellon Bank Corp. 292,638
1,700 Merrill Lynch & Co., Inc. 142,800
1,100 Morgan J.P. & Co., Inc. 153,244
6,000 Morgan Stanley, Dean
Witter, Discover & Co. 579,000
7,650 Old Republic International
Corp. 139,134
2,800 PNC Bank Corp. 160,300
2,200 SunTrust Banks, Inc. 148,500
4,700 Torchmark Corp. 156,863
5,500 Washington Federal, Inc. 123,750
9,576 Washington Mutual, Inc. 365,684
5,000 Wells Fargo Co. 200,000
TOTAL 11,115,104
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE-COMPANY VALUE
STOCKS-continued
HEALTH CARE-0.3%
14,900 Pharmacia & Upjohn, Inc. $ 826,019
TECHNOLOGY-1.5%
4,400 2 CBS Corp. 183,700
4,700 Eastman Kodak Co. 317,837
4,200 Electronic Data Systems
Corp. 236,250
9,500 First Data Corp. 426,906
5,300 Hewlett-Packard Co. 499,856
12,600 International Business
Machines Corp. 1,465,538
2,500 Motorola, Inc. 207,031
5,300 Raytheon Co., Class A 352,119
TOTAL 3,689,237
TRANSPORTATION-0.3%
3,000 2 AMR Corp. 195,188
9,500 Burlington Northern Santa Fe 294,500
1,600 FDX Corp. 88,100
8,300 Ryder Systems, Inc. 199,200
TOTAL 776,988
UTILITIES-1.3%
3,500 Allegheny Energy, Inc. 122,062
5,900 CMS Energy Corp. 274,350
7,300 Coastal Corp. 281,506
5,850 Columbia Energy Group 312,975
3,100 4 Consolidated Edison Co. 150,544
4,500 Constellation Energy Group 140,344
3,400 Dominion Resources, Inc. 146,838
8,500 Entergy Corp. 275,719
13,300 P G & E Corp. 448,875
8,000 Public Service Enterprises
Group, Inc. 335,500
8,500 Reliant Energy, Inc. 259,250
8,400 Southern Co. 238,350
5,600 Texas Utilities Co. 252,000
TOTAL 3,238,313
TOTAL LARGE-CAP VALUE
STOCKS 35,987,528
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE-COMPANY GROWTH
STOCKS-12.9%
BASIC MATERIALS-0.2%
2,700 Bemis Co., Inc. $ 101,925
3,200 Hercules, Inc. 111,800
2,900 Monsanto Co. 120,350
1,900 PPG Industries, Inc. 115,306
TOTAL 449,381
CAPITAL GOODS-1.4%
4,400 Allied-Signal, Inc. 255,475
3,000 Avery Dennison Corp. 179,625
3,400 Crown Cork & Seal Co., Inc. 106,675
4,400 Dover Corp. 165,825
17,900 General Electric Co. 1,820,206
2,900 Hillenbrand Industries, Inc. 121,619
5,200 Miller Herman, Inc. 104,975
3,000 2 SCI Systems, Inc. 124,500
5,800 United Technologies Corp. 359,963
4,810 Waste Management, Inc. 254,329
TOTAL 3,493,192
COMMUNICATION SERVICES-0.3%
2,100 2 AT&T Corp. - Liberty Media
Group, Inc., Class A 139,519
3,300 2 Airtouch Communications,
Inc. 331,650
1,700 2 Chancellor Media Corp.,
Class A 86,381
3,600 Comcast Corp., Class A 138,600
3,200 Cincinnati Bell, Inc. 77,400
TOTAL 773,550
CONSUMER CYCLICALS-1.5%
2,400 2 Abercrombie & Fitch Co.,
Class A 201,900
3,400 Block (H&R), Inc. 163,837
1,600 2 Costco Cos., Inc. 116,000
2,700 Dayton-Hudson Corp. 170,100
2,900 Gannett Co., Inc. 209,525
2,850 Gap (The), Inc. 178,303
4,000 Harley Davidson, Inc. 204,250
9,500 Home Depot, Inc. 540,313
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE-COMPANY GROWTH
STOCKS-continued
CONSUMER CYCLICALS-
CONTINUED
2,900 2 Jones Apparel Group, Inc. $ 89,175
2,400 Lowe's Cos., Inc. 124,650
6,400 Masco Corp. 182,800
1,900 Maytag Corp. 134,069
3,300 Nordstrom, Inc. 117,150
7,700 Service Corp.
International 147,744
4,050 2 Staples, Inc. 116,438
8,900 TJX Cos., Inc. 267,000
15,600 Wal-Mart Stores, Inc. 664,950
TOTAL 3,628,204
CONSUMER STAPLES-2.4%
2,600 Avon Products, Inc. 128,537
5,600 Campbell Soup Co. 247,100
1,200 Cardinal Health, Inc. 72,450
11,800 Coca-Cola Co. 806,087
14,100 Dial Corp. 440,625
7,200 Disney (Walt) Co. 209,700
3,500 Dole Food, Inc. 107,406
4,200 Gillette Co. 214,200
2,700 Heinz (H.J.) Co. 130,444
5,000 McDonald's Corp. 192,500
5,032 McKesson HBOC, Inc. 171,403
7,700 PepsiCo, Inc. 275,756
16,700 Philip Morris Cos., Inc. 643,994
7,600 Procter & Gamble Co. 709,650
3,500 Quaker Oats Co. 231,219
7,600 2 Safeway, Inc. 353,400
6,400 Sara Lee Corp. 153,600
3,300 Sysco Corp. 97,969
4,600 2 Tricon Global Restaurants, Inc. 267,950
8,800 2 Viacom, Inc., Class A 339,350
1,000 Wrigley (Wm.), Jr. Co. 87,063
TOTAL 5,880,403
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE-COMPANY GROWTH
STOCKS-continued
ENERGY-0.1%
3,700 Halliburton Co. $ 153,088
FINANCIALS-0.7%
3,800 American Express Co. 460,512
4,182 Associates First Capital
Corp., Class A 171,462
3,600 Household International,
Inc. 156,150
11,375 MBNA Corp. 314,234
1,900 MGIC Investment Corp. 91,438
4,950 Providian Financial Corp. 474,891
1,800 U.S. Bancorp 58,500
TOTAL 1,727,187
HEALTH CARE-2.3%
7,100 Abbott Laboratories 320,831
4,100 American Home Products
Corp. 236,262
4,400 2 Amgen, Inc. 278,300
1,500 Baxter International, Inc. 96,844
16,700 2 Beverly Enterprises, Inc. 121,075
12,000 Bristol-Myers Squibb Co. 823,500
6,800 2 Guidant Corp. 340,000
7,500 2 HEALTHSOUTH, Corp. 100,313
6,500 Johnson & Johnson 602,063
4,000 Lilly (Eli) & Co. 285,750
14,400 Merck & Co., Inc. 972,000
4,500 Pfizer, Inc. 481,500
8,800 Schering Plough Corp. 396,550
2,700 United Healthcare Corp. 157,275
4,400 2 Universal Health Services,
Inc., Class B 219,450
3,700 Warner-Lambert Co. 229,400
TOTAL 5,661,113
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE-COMPANY GROWTH
STOCKS-continued
TECHNOLOGY-4.0%
6,800 2 America Online, Inc. $ 811,750
4,300 2 Applied Materials, Inc. 236,231
1,800 2 Ascend Communications 166,837
4,400 2 BMC Software, Inc. 217,525
6,400 2 Cadence Design Systems,
Inc. 82,400
9,900 2 Cisco Systems, Inc. 1,079,100
3,200 2 Compuware Corp. 99,400
3,200 Convergys Corp. 56,400
10,000 2 Dell Computer Corp. 344,375
6,300 2 EMC Corp. Mass 627,637
1,600 2 Gateway 2000, Inc. 97,300
17,400 Intel Corp. 940,688
2,700 2 Lexmark Intl. Group, Class A 367,538
16,000 Lucent Technologies, Inc. 910,000
23,600 2 Microsoft Corp. 1,904,225
7,350 2 Oracle Corp. 182,372
2,300 2 PanAmSat Corp. 74,750
5,100 2 Seagate Technology, Inc. 153,956
7,600 2 Sun Microsystems, Inc. 454,100
7,400 2 Tellabs, Inc. 432,900
3,800 Xerox Corp. 213,513
1,200 2 Yahoo, Inc. 177,600
TOTAL 9,630,597
TOTAL LARGE-COMPANY GROWTH
STOCKS 31,396,715
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
UTILITY STOCKS-5.6%
ELECTRICAL UTILITIES:
CENTRAL-0.5%
7,000 Ameren Corp. $ 286,563
12,000 Central & SouthWest Corp. 309,000
11,400 Unicom Corp. 482,363
TOTAL 1,077,926
ELECTRICAL UTILITIES:
EAST-0.7%
11,500 4 Consolidated Edison Co. 558,468
7,400 GPU, Inc. 322,362
9,200 Peco Energy Co. 450,225
11,300 Public Service Enterprises
Group, Inc. 473,894
TOTAL 1,804,949
ELECTRICAL UTILITIES:
SOUTH-1.9%
8,400 Carolina Power & Light Co. 367,500
9,200 Dominion Resources, Inc. 397,324
16,600 Duke Energy Corp. 1,001,187
17,600 Edison International 484,000
13,400 Entergy Corp. 434,662
8,900 FPL Group, Inc. 517,869
29,300 Southern Co. 831,387
11,500 Texas Utilities Co. 517,500
TOTAL 4,551,429
ELECTRICAL UTILITIES:
WEST-1.0%
10,100 American Electric Power
Co., Inc. 438,087
13,100 Coastal Corp. 505,169
11,500 2 FirstEnergy Corp. 365,844
17,100 P G & E Corp. 577,125
15,700 Pacificorp 285,544
13,400 Sempra Energy 288,100
TOTAL 2,459,869
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
UTILITY STOCKS-continued
NATURAL GAS DISTRIBUTION-0.1%
5,600 Consolidated Natural Gas Co. $ 332,850
OIL/GAS TRANSMISSION-0.9%
15,400 Enron Corp. 1,099,175
19,500 Williams Companies, Inc. 1,010,344
TOTAL 2,109,519
ENERGY-0.5%
8,100 2 AES Corp. 402,975
8,100 DTE Energy Co. 352,856
13,200 Reliant Energy, Inc. 402,600
TOTAL 1,158,431
TOTAL UTILITY STOCKS 13,494,973
FOREIGN EQUITY-2.3%
AUSTRALIA-0.1%
20,450 2 AAPT Ltd. 73,963
112,680 One Tel Ltd. 78,713
TOTAL 152,676
BELGIUM-0.0%
900 Global TeleSystems Group,
Inc. 68,400
FINLAND-0.1%
6,600 Merita A (unitas A) 39,081
3,000 Metra OY, Class B 66,772
840 Nokia Oyj 59,723
1,700 Sampo Insurance Co. Ltd.,
Class A 51,395
TOTAL 216,971
FRANCE-0.3%
821 Axa 94,576
300 Cap Gemini SA 43,191
620 Compagnie Financiere de
Paribas, Class A 67,220
1,050 Dassault Systemes SA 34,448
310 Elf Aquitaine SA 44,857
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
FOREIGN EQUITY-continued
FRANCE-CONTINUED
30,500 2 Eurotunnel (Paris) $ 46,740
1,000 Pechiney Ord A 38,739
2,400 2 Sanofi Synthelabo SA 101,081
600 Societe BIC SA 34,434
300 Societe Generale, Paris 54,481
220 Suez Lyonnaise des Eaux 36,444
780 Vivendi (Rights, Expiring
6/30/1999) 813
780 Vivendi 57,734
TOTAL 654,758
GERMANY, FEDERAL REPUBLIC
OF-0.1%
150 Bayerische Motoren Werke AG 96,014
460 DePfa Deutsche
Pfandbriefbank AG 39,803
1,000 Deutsche Bank, AG 52,125
1,100 Mannesmann AG 150,224
TOTAL 338,166
HONG KONG-0.1%
104,000 Cafe De Coral Holdings 31,180
105,200 China Everbright Limited 56,298
160,000 China Foods Holdings Ltd. 36,106
98,000 Sino Land Co. 52,760
18,500 Smartone
Telecommunications 57,374
TOTAL 233,718
IRELAND-0.0%
600 Esat Telecom Group PLC, ADR 22,200
ITALY-0.2%
7,500 Arn Mondadori Edit 130,182
2,200 Assicurazioni Generali 78,208
18,818 Banca Intesa SPA 95,735
7,700 Mediolanum SPA 52,418
1,900 Rolo Banca 1473 SPA 44,864
5,100 SAI SPA 57,155
6,650 Telecom Italia Mobile 39,100
TOTAL 497,662
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
FOREIGN EQUITY-continued
JAPAN-0.4%
11,000 Asahi Chemical Industry
Co. Ltd. $ 59,700
3,200 Capcom Co., Ltd. 49,243
9,000 Casio Computer Co. 61,579
9,000 Chugai Pharmaceutical Co.,
Ltd. 101,564
1,500 Circle K Japan Co. Ltd. 61,057
7,000 Fujitsu Ltd. 116,985
700 Hirose Electric Co 60,114
5,900 Minebea Co. 58,673
2,000 Mycal Card, Inc. 67,676
500 Nintendo Corp. Ltd. 58,741
100 Shokoh Fund & Co. 55,928
500 Softbank Corporation 57,500
400 Takefuji, Corp. 35,244
2,600 Tokyo Electric Power Co. 56,681
11,000 Toshiba Corp. 67,982
2,000 Yamada Denki 83,230
TOTAL 1,051,897
KOREA, REPUBLIC OF-0.1%
2,575 Samsung Securities Co.,
Ltd. 112,915
NETHERLANDS-0.1%
1,200 ASM Lithography Holding N.V. 52,855
300 Aegon N.V. 24,238
700 Equant N.V., ADR 58,056
1,050 Hoogovens (kon.) 40,611
870 ING Groep, N.V. 46,482
2,100 KPN N.V. 101,362
1,050 2 Unique International N.V. 23,972
TOTAL 347,576
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
FOREIGN EQUITY-continued
NORWAY-0.0%
5,300 2 Storebrand ASA $ 35,538
PORTUGAL-0.1%
2,050 Banco Pinto & Sotto Mayor 40,605
2,700 Banco Portugues do
Atlantico 42,615
1,100 Estabelecimentos Jeronimo
Martins & Filho SGPS, S.A. 39,230
1,700 2 Seg Mundial Confianca 48,879
TOTAL 171,329
SINGAPORE-0.1%
42,600 Inchcape Motors Ltd. 68,239
6,800 Oversea-Chinese Banking
Corp. Ltd., Foreign Shares 53,279
TOTAL 121,518
SPAIN-0.1%
2,400 Argentaria 53,768
1,010 Banco Popular Espanol SA 73,810
2,507 Banco Santander 52,271
480 2 Baron de Ley, SA 16,513
1,200 Telefonica SA 57,521
24 Telefonica SA 1,150
TOTAL 255,033
SWEDEN-0.0%
1,900 Kinnevik AB 1,326
1,900 Kinnevik AB, Class B 39,555
1,600 Telefonaktiebolaget LM
Ericsson 42,707
TOTAL 83,588
SWITZERLAND-0.1%
13 Kudelski SA 48,912
35 Nestle SA 62,866
170 UBS AG-Reg 49,167
TOTAL 160,945
<CAPTION>
SHARES OR
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
FOREIGN EQUITY-continued
THAILAND-0.0%
59,000 National Finance and
Securities Co., Ltd.,
Foreign Shares $ 34,191
UNITED KINGDOM-0.4%
3,800 2 Allied Zurich PLC 48,437
3,864 BP Amoco PLC 69,097
4,207 Barclays PLC 127,744
109 British Aerospace PLC 720
3,000 British Telecommunication
PLC 49,705
2,600 COLT Telecom Group PLC 54,909
3,400 Cable & Wireless 41,841
5,200 2 Cable & Wireless
Communications 49,410
3,449 Glaxo Wellcome PLC 96,769
5,400 Norwich Union PLC 38,288
3,555 Prudential Corp. PLC 46,710
10,000 Reed International PLC 73,147
5,454 Royal & Sun Alliance
Insurance Group PLC 44,456
5,000 Securicor PLC 44,866
3,965 Smithkline Beecham PLC 51,621
5,040 Vodafone Group PLC 95,780
TOTAL 933,500
TOTAL FOREIGN EQUITY 5,492,581
FUTURES CONTRACT
COLLATERAL-8.8% 1
$ 21,450,000 United States Treasury
Bill, 6/17/1999 21,416,753
TOTAL STOCKS (IDENTIFIED
COST $112,974,914) 107,788,550
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-54.3%
TREASURY AND GOVERNMENT
SECURITIES-18.4%
REPURCHASE AGREEMENT-3.8% 3
$ 9,215,000 Societe Generale, New
York, 4.800%, dated
5/28/1999, due 6/1/1999
(at amortized cost) $ 9,215,000
U.S. TREASURY AGREEMENTS-
14.6%
1,100,000 United States Treasury
Bond, 7.250%, 5/15/2004 1,172,699
10,495,000 United States Treasury
Bond, 8.125%, 5/15/2021 12,993,545
2,000,000 United States Treasury
Note, 4.000%, 10/31/2000 1,965,320
2,000,000 United States Treasury
Note, 5.625%, 5/15/2008 1,982,100
4,300,000 United States Treasury
Note, 6.125%, 8/15/2007 4,389,483
2,200,000 United States Treasury
Note, 6.500%, 10/15/2006 2,289,980
10,200,000 United States Treasury
Note, 6.625%, 5/15/2007 10,729,584
TOTAL 35,522,711
TOTAL TREASURY AND
GOVERNMENT SECURITIES 44,737,711
MORTGAGE-BACKED
SECURITIES-14.6%
3,608,240 Federated Mortgage Core
Portfolio 35,541,162
INVESTMENT GRADE BONDS-
13.1%
AEROSPACE & DEFENSE-0.3%
350,000 McDonnell Douglas Finance,
Medium Term Note, 6.375%,
7/15/1999 350,613
250,000 McDonnell Douglas Finance,
Note, 9.40%, 10/15/2001 253,325
TOTAL 603,938
AUTOMOBILE-0.6%
750,000 Arvin Capital, 9.50%,
2/1/2027 784,995
600,000 Dana Corp., Note, 7.00%,
3/15/2028 561,960
TOTAL 1,346,955
BANKING-0.9%
100,000 City National Bank, Sub.
Note, 6.375%, 1/15/2008 96,122
250,000 Crestar Financial Corp,
Sub. Note, 8.75%,
11/15/2004 274,468
400,000 4 Den Danske Bank, Note,
7.40% 6/15/2010 412,456
300,000 National Bank of Canada,
Sub. Note, 8.125%,
8/15/2004 319,641
285,000 PNC Funding Corp, Sub.
Note, 6.875%, 7/15/2007 286,613
400,000 Santander Finance
Issuances, Bank Guarantee,
7.875%, 4/15/2005 419,620
400,000 4 Swedbank, Sub., 11/29/2049 392,225
TOTAL 2,201,145
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
INVESTMENT GRADE BONDS-
continued
BEVERAGE AND TOBACCO-0.2%
$ 150,000 Philip Morris Cos., Inc.,
Deb., 6.00%, 7/15/2001 $ 149,148
350,000 4 Phillip Morris Cos., Inc.,
Deb., 9.25%, 2/15/2000 358,491
TOTAL 507,639
CABLE TELEVISION-0.6%
350,000 Continental Cablevision,
Sr. Note, 8.50%, 9/15/2001 366,765
1,000,000 TKR Cable Inc., Deb.,
10.50%, 10/30/2007 1,076,090
TOTAL 1,442,855
CHEMICALS AND PLASTICS-0.2%
450,000 4 Bayer Corp., Deb., 6.50%,
10/1/2002 453,978
ECOLOGICAL SERVICES &
EQUIPMENT-0.3%
350,000 2 USA Waste Services, Inc.,
Note, 6.125%, 7/15/2001 350,371
275,000 Waste Management, Deb.,
8.75%, 5/1/2018 293,873
TOTAL 644,244
EDUCATION-0.1%
375,000 Boston University, 7.625%,
7/15/2097 381,439
ELECTRONICS-0.4%
700,000 Anixter Intl., Inc.,
Company Guarantee, 8.00%,
9/15/2003 716,436
300,000 Harris Corp., Deb.,
10.375%, 12/1/2018 317,130
TOTAL 1,033,566
FINANCE - AUTOMOTIVE-0.3%
700,000 Ford Motor Credit Corp.,
Unsub., 6.875%, 6/05/2001 702,577
FINANCE - RETAIL-0.1%
150,000 Household Finance, Deb.,
6.45%, 2/1/2009 145,338
FINANCE - INTERMEDIARIES-1.8%
1,000,000 Bear Stearns Cos., Inc.,
Sr. Note, 6.75%, 5/1/2001 1,008,910
400,000 DLJ, Note, 6.875%,
11/1/2005 398,368
350,000 GMAC, Medium Term Note,
7.50%, 5/25/2000 356,066
360,000 2 General Motors Acceptance,
Sr. Note, 5.75%,
11/10/2003 351,220
400,000 Green Tree Financial
Corp., Sr. Sub. Note,
10.25%, 6/1/2002 431,044
400,000 2 Lehman Brothers Hldgs.
Inc., Note, 6.90%,
1/29/2001 403,280
300,000 Lehman Brothers Holding,
Bond, 6.20%, 1/15/2002 296,280
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
INVESTMENT GRADE BONDS-
continued
FINANCE - INTERMEDIARIES-
CONTINUED
$ 300,000 Lehman Brothers, Inc., Sr.
Sub. Note, 7.375%,
1/15/2007 $ 300,396
505,000 Salomon, Inc., 7.00%,
5/15/2000 511,434
225,000 Salomon, Inc., Note,
7.20%, 2/1/2004 230,857
TOTAL 4,287,855
FINANCIAL-0.1%
337,312 4 World Financial, Pass Thru
Cert., Series 96 WFP-B,
6.91%, 9/1/2013 339,314
FOREST PRODUCTS-0.3%
650,000 Quno Corp., Sr. Note,
9.125%, 5/15/2005 689,956
HEALTHCARE-0.2%
600,000 Columbia/HCA Healthcare
Corp., Sr. Note, 6.41%,
6/15/2000 593,454
INSURANCE-1.1%
250,000 2 AFC Capital Trust I, Bond,
8.207%, 2/3/2027 264,595
350,000 Conseco, Inc., Sr. Note,
10.50%, 12/15/2004 394,650
350,000 2 NAC Re Corp., Note, 8.00%,
6/15/1999 350,469
600,000 Provident Cos., Inc.,
Bond, 7.405%, 3/15/2038 566,772
500,000 2 Republic New York Corp.,
Sub. Note, 7.75%,
5/15/2009 532,185
250,000 Sunamerica Inc, Medium
Term Note, 7.34%,
8/30/2005 261,143
250,000 USF&G Corp., Company
Guarantee, 8.47%,
1/10/2027 256,990
TOTAL 2,626,804
LEISURE & ENTERTAINMENT-0.2%
125,000 Paramount Comm Inc, Sr.
Deb., 8.25%, 8/1/2022 129,764
350,000 Viacom, Inc., Sr. Note,
7.75%, 6/1/2005 364,319
TOTAL 494,083
METALS & MINING-0.3%
400,000 Barrick Gold Corp., Deb.,
7.50%, 5/1/2007 411,924
450,000 Santa Fe Pacific Gold,
Note, 8.375%, 7/01/2005 452,984
TOTAL 864,908
OIL & GAS-0.1%
250,000 Occidental Petroleum
Corp., Note, 8.50%,
9/15/2004 252,205
PHARMACEUTICAL-0.3%
750,000 American Home Products
Corp., Note, 7.70%,
2/15/2000 762,150
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
INVESTMENT GRADE BONDS-
continued
REAL ESTATE-0.3%
$ 800,000 SUSA Partnership, L.P.,
Deb., 7.50%, 12/1/2027 $ 715,040
RETAILERS-1.3%
450,000 Harcourt General, Sr.
Deb., 7.20%, 8/1/2027 420,354
400,000 May Department Stores,
Deb., 8.125%, 8/15/2035 422,908
250,000 2 PaineWebber Group, Inc.,
Medium Term Note, 6.34%,
2/15/2000 250,715
200,000 Sears Roebuck Acceptance,
Medium Term Note, 6.56%,
9/05/2000 201,562
750,000 Sears, Roebuck & Co.,
Medium Term Note, 7.32%,
4/24/2000 759,615
1,090,000 Shopko Stores, 8.50%,
3/15/2002 1,134,156
TOTAL 3,189,310
SERVICES-1.3%
800,000 2 BellSouth Telecommunicate,
Note, 6.00%, 6/15/2002 798,416
970,000 Raytheon Co., 5.70%,
11/01/2003 943,044
600,000 Service Corp. Int'l.,
Note, 6.50%, 3/15/2008 564,342
30,588 TCI Communications Inc.,
9.72%, Pfd., $2.43 839,258
TOTAL 3,145,060
SOVEREIGN-0.1%
400,000 Export-Import Bank Korea,
Note, 6.50%, 5/15/2000 396,842
SOVEREIGN GOVERNMENT-0.6%
400,000 Colombia, Government of,
Note, 7.25%, 2/15/2003 344,500
360,000 Quebec, Province of, Deb.,
9.125%, 8/22/2001 379,111
750,000 South Africa, Government
of, Global Bond Deb.,
9.625%, 12/15/1999 763,193
TOTAL 1,486,804
SURFACE TRANSPORTATION-0.1%
225,000 Trans Ocean Container
Corp., Sr. Sub. Note,
12.25%, 7/1/2004 241,004
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
INVESTMENT GRADE BONDS-
continued
TECHNOLOGY SERVICES -0.6%
$ 500,000 Dell Computer Corp., Deb.,
7.10%, 4/15/2028 $ 483,240
9,728 Microsoft Corp., Conv.
Pfd., Series A, $2.196 967,936
TOTAL 1,451,176
UTILITIES-0.4%
250,000 Enersis S.A., Note, 7.40%,
12/1/2016 222,018
750,000 National Rural Utilities,
Medium Term Note, 5.75%,
12/01/2008 705,390
TOTAL 927,408
TOTAL INVESTMENT GRADE
BONDS 31,927,047
HIGH YIELD BOND-4.1% 5
1,084,182 The High Yield Bond
Portfolio 10,017,845
FOREIGN BONDS-4.1%
AUSTRALIA-0.1%
270,000 Queensland, State of,
8.00%, 9/14/2007 194,419
128,000 Queensland, State of,
Deb., 10.50%, 5/15/2003 96,935
25,000 West Australia, State of,
Local Gov't. Guarantee,
8.00%, 7/15/2003 17,507
TOTAL 308,861
AUSTRIA-0.4%
316,127 Austria, Government of,
Deb., 7.625%, 10/18/2004 392,673
730,000 Austria, Government of,
Unsub., 6.50%, 1/10/2024 456,226
TOTAL 848,899
BELGIUM-0.1%
148,736 Belgium, Government of,
7.75%, 10/15/2004 186,301
52,355 Belgium, Government of,
Bond, 6.50%, 3/31/2005 62,543
TOTAL 248,844
CANADA-0.2%
290,000 Canada, Government of,
Deb., 6.50%, 6/1/2004 206,003
375,000 Ontario Hydro, 9.00%,
6/24/2002 279,824
TOTAL 485,827
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
FOREIGN BONDS-continued
CZECH REPUBLIC-0.2%
$ 16,000,000 Konsolidacni BKA, Foreign
Gov't. Guarantee, 10.875%,
4/15/2004 $ 500,000
DENMARK-0.2%
1,200,000 Denmark, Government of,
8.00%, 5/15/2003 194,680
1,844,000 Denmark, Government of,
Bullet, 8.00%, 3/15/2006 315,482
TOTAL 510,162
FRANCE-0.1%
191,463 France, Government of,
8.50%, 10/25/2019 289,320
500 France, Government of,
O.A.T., 7.50%, 4/25/2005 628
TOTAL 289,948
GERMANY, FEDERAL REPUBLIC
OF-0.8%
230,081 Depfa-Bank, 5.50%,
1/15/2013 257,537
174,861 Germany, Government of,
Deb., 6.25%, 1/04/2024 211,970
178,952 KFW International Finance,
Bank Guarantee, 6.75%,
6/20/2005 216,108
562,421 Treuhandanstalt, 7.75%,
10/01/2002 670,285
380,401 Treuhandanstalt, Foreign
Gov't. Guarantee, 6.875%,
6/11/2003 449,867
TOTAL 1,805,767
GREECE-0.1%
34,000,000 Greece, Government of,
Floating Rate Note,
10/23/2003 113,473
52,000,000 Greece, Government of,
Series, 11/26/2003 172,880
TOTAL 286,353
HUNGARY-0.0%
19,600,000 2 Hungary, Government of,
Bond, 14.00%, 12/12/2002 84,154
IRELAND-0.1%
152,368 Ireland, Government of,
Deb., 9.00%, 9/01/2006 209,557
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
FOREIGN BONDS-continued
ITALY-0.4%
$ 537,114 Italy, Government of,
9.50%, 1/01/2005 $ 720,812
56,810 Italy, Government of,
Bond, 10.50%, 11/01/2000 65,449
46,481 Italy, Government of,
Deb., 12.00%, 1/01/2002 58,928
TOTAL 845,189
NETHERLANDS-0.3%
90,000 Baden Wurt L-Finance N.V.,
Bank Guarantee, 6.00%,
1/25/2006 53,169
70,000 4 Bank Ned Gemeenten, Bond,
6.375%, 1/4/2006 37,475
30,000 Bank Ned Gemeenten, Bond,
7.75%, 12/20/2004 16,959
317,646 Netherlands, Government
of, 5.75%, 1/15/2004 364,260
95,293 Netherlands, Government
of, 6.00%, 1/15/2006 112,059
TOTAL 583,922
NEW ZEALAND-0.0%
143,000 New Zealand, Government
of, 8.00%, 2/15/2001 80,358
NORWAY-0.1%
585,000 Norway, Government of,
5.50%, 5/15/2009 76,342
630,000 Norway, Government of,
Bond, 7.00%, 5/31/2001 82,469
473,000 Norway, Government of,
Foreign Gov't. Guarantee,
5.75%, 11/30/2004 61,666
TOTAL 220,477
POLAND-0.1%
280,000 Poland, Government of,
Bond, 12.00%, 10/12/2003 73,181
585,000 Poland, Government of,
Bond, Series 5Y, 12.00%,
2/12/2003 149,298
TOTAL 222,479
SPAIN-0.3%
540,910 2 Spain, Government of,
6.15%, 1/31/2013 642,827
38,945 Spain, Government of,
Deb., 10.10%, 2/28/2001 45,567
TOTAL 688,394
SWEDEN-0.2%
2,300,000 Sweden, Government of,
6.00%, 2/09/2005 292,904
600,000 2 Sweden, Government of,
Deb., 13.00%, 6/15/2001 82,682
800,000 Sweden, Government of,
Deb., 9.00%, 4/20/2009 125,048
TOTAL 500,634
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
FOREIGN BONDS-continued
UNITED KINGDOM-0.4%
$ 127,000 British Gas PLC, 8.875%,
7/8/2008 $ 242,369
365,000 United Kingdom, Government
of, 9.00%, 3/03/2000 601,527
108,000 United Kingdom, Government
of, Deb., 8.50%,
12/07/2005 205,675
TOTAL 1,049,571
TOTAL FOREIGN BONDS 9,769,396
TOTAL BONDS (IDENTIFIED
COST $98,761,941) 131,993,161
TOTAL INVESTMENTS
(IDENTIFIED COST
$220,951,855) 6 $ 239,781,711
</TABLE>
1 The Fund purchases index futures contracts to efficiently manage cash
flows resulting from shareholders and corporate actions while maintaining
exposure to the index and to minimize trading costs. The underlying face
amount, at value, of open futures contracts is $21,299,000 as of May 31,
1999, which represents 8.8% of net assets.
2 Non-income producing security.
3 The repurchase agreements are fully collateralized by U.S. government
and/or agency obligations based on market prices at the date of the
portfolio. The investments in the repurchase agreements are through
participation in joint accounts with other Federated funds.
4 Denotes a restricted security which is subject to restrictions on resale
under Federal Securities laws. As of May 31, 1999, these securities
amounted to $2,702,951 which represents 1.1% of net assets.
5 The High Yield Bond Portfolio is a diversified portfolio of below
investment grade bonds.
6 The cost of investments for federal tax purposes amounts to $220,951,855.
The net unrealized appreciation of investments on a federal tax basis
amounts to $18,829,856 which is comprised of $23,769,912 appreciation and
$4,940,056 depreciation as of May 31, 1999.
Note: The categories of investments are shown as a percentage of net assets
($242,974,921) as of May 31, 1999.
The following acronyms are used throughout this portfolio:
ADR -American Depositary Receipt
COL -Collateralized
MBIA -Municipal Bond Investors Assurance
PLC -Public Limited Company
TRANs -Tax and Revenue Anticipation Notes
See Notes which are an integral part of the Financial Statements
Statement of Assets and Liabilities
MAY 31, 1999 (UNAUDITED)
<TABLE>
<S> <C> <C>
ASSETS:
Total investments in
securities, at value
(identified and tax cost
$220,951,855) $ 239,781,711
Cash 2,925
Cash denominated in
foreign currency
(identified cost $995,966) 985,747
Income receivable 1,658,503
Receivable for investments
sold 107,006
Receivable for shares sold 308,526
Receivable for daily
variation margin 231,550
Deferred organizational
costs 11,186
Other assets 1,100
TOTAL ASSETS 243,088,254
LIABILITIES:
Payable for investments
purchased $ 3,749
Payable for taxes withheld 3,808
Accrued expenses 105,776
TOTAL LIABILITIES 113,333
Net assets for 20,495,136
shares outstanding $ 242,974,921
NET ASSETS CONSIST OF:
Paid in capital $ 219,731,731
Net unrealized
appreciation of
investments and
translation of assets and
liabilities in foreign
currency and future
contracts 19,228,412
Accumulated net realized
gain on investments and
foreign currency
transactions and future
contracts 2,860,538
Undistributed net
investment income 1,154,240
TOTAL NET ASSETS $ 242,974,921
NET ASSET VALUE, OFFERING
PRICE AND REDEMPTION
PROCEEDS PER SHARE
INSTITUTIONAL SHARES:
$175,754,759 / 14,820,175
shares outstanding $11.86
SELECT SHARES:
$67,220,162 / 5,674,961
shares outstanding $11.85
</TABLE>
See Notes which are an integral part of the Financial Statements
Statement of Operations
SIX MONTHS ENDED MAY 31, 1999 (UNAUDITED)
<TABLE>
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign
taxes withheld of $7,370) $ 1,929,593
Interest (net of dollar
roll expense of $10,008 and
foreign taxes withheld of
$66) 3,967,614
TOTAL INCOME 5,897,207
EXPENSES:
Investment advisory fee $ 913,496
Administrative personnel
and services fee 94,424
Custodian fees 32,574
Transfer and dividend
disbursing agent fees and
expenses 58,110
Directors'/Trustees' fees 2,577
Auditing fees 8,435
Legal fees 2,585
Portfolio accounting fees 40,327
Distribution services fee-
Select Shares 245,752
Shareholder services fee-
Institutional Shares 222,581
Shareholder services fee-
Select Shares 81,917
Share registration costs 20,576
Printing and postage 24,449
Insurance premiums 1,904
Miscellaneous 17,197
TOTAL EXPENSES 1,766,904
WAIVERS:
Waiver of distribution
services fee-Select Shares $ (81,917)
Waiver of shareholder
services fee-Institutional
Shares (178,065)
TOTAL WAIVERS (259,982)
Net expenses 1,506,922
Net investment income 4,390,285
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCY AND FUTURES
CONTRACTS:
Net realized gain on
investments, foreign
currency transactions and
futures contracts 3,698,896
Net change in unrealized
appreciation of
investments and
translation of assets and
liabilities in foreign
currency and futures
contracts (275,969)
Net realized and
unrealized gain on
investments, foreign
currency and future
contracts 3,422,927
Change in net assets
resulting from operations $ 7,813,212
</TABLE>
See Notes which are an integral part of the Financial Statements
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
(unaudited) ENDED
MAY 31, NOVEMBER 30,
1999 1998
<S> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 4,390,285 $ 8,181,016
Net realized gain on
investments, foreign
currency and futures
contracts ($3,698,896 and
$9,275,785, respectively,
as computed for federal tax
purposes) 3,698,896 8,450,467
Net change in unrealized
appreciation of
investments and
translation of assets and
liabilities in foreign
currency and futures
contracts (275,969) 6,894,559
CHANGE IN NET ASSETS
RESULTING FROM OPERATIONS 7,813,212 23,526,042
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net
investment income
Institutional Shares (3,362,194) (6,641,933)
Select Shares (1,005,118) (1,703,959)
Distributions from net
realized gains on
investments, foreign
currency transactions and
futures contracts
Institutional Shares (6,849,466) (8,553,202)
Select Shares (2,422,569) (2,485,155)
CHANGE IN NET ASSETS
RESULTING FROM
DISTRIBUTIONS
TO SHAREHOLDERS (13,639,347) (19,384,249)
SHARE TRANSACTIONS:
Proceeds from sale of
shares 36,755,660 77,810,850
Net asset value of shares
issued to shareholders in
payment of
distributions declared 9,699,298 12,827,257
Cost of shares redeemed (38,961,472) (65,699,127)
CHANGE IN NET ASSETS
RESULTING FROM SHARE
TRANSACTIONS 7,493,486 24,938,980
Change in net assets 1,667,351 29,080,773
NET ASSETS:
Beginning of period 241,307,570 212,226,797
End of period (including
undistributed net
investment income of
$1,154,240 and $1,131,267,
respectively) $ 242,974,921 $ 241,307,570
</TABLE>
See Notes which are an integral part of the Financial Statements
Financial Highlights-Institutional Shares
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
(unaudited)
MAY 31, YEAR ENDED NOVEMBER 30,
1999 1998 1997 1996 1995 1994 1
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $12.15 $11.98 $11.37 $11.14 $ 9.85 $10.00
INCOME FROM
INVESTMENT OPERATIONS:
Net investment income 0.22 0.44 0.49 0.50 0.50 0.25
Net realized and
unrealized gain (loss) on
investments, foreign
currency transactions and
futures contracts 0.19 0.81 0.74 0.41 1.28 (0.25)
TOTAL FROM
INVESTMENT OPERATIONS 0.41 1.25 1.23 0.91 1.78 0.00
LESS DISTRIBUTIONS:
Distributions from net
investment income (0.23) (0.46) (0.50) (0.52) (0.49) (0.15)
Distributions from net
realized gain on
investments, foreign
currency transactions and
futures contracts (0.47) (0.62) (0.12) (0.16) - -
TOTAL DISTRIBUTIONS (0.70) (1.08) (0.62) (0.68) (0.49) (0.15)
NET ASSET VALUE, END OF
PERIOD $11.86 $12.15 $11.98 $11.37 $11.14 $ 9.85
TOTAL RETURN 2 3.46% 11.19% 11.25% 8.54% 18.51% 0.02%
RATIOS TO AVERAGE
NET ASSETS:
Expenses 3 1.25% 4 1.28% 1.30% 1.36% 1.55% 1.47% 4
Net investment income 3 3.59% 4 3.57% 4.02% 4.41% 4.55% 4.48% 4
Expenses (after waivers) 1.05% 4 1.08% 1.05% 1.05% 1.00% 0.88% 4
Net investment income
(after waivers) 3.79% 4 3.77% 4.27% 4.72 5.10% 5.07% 4
SUPPLEMENTAL DATA:
Net assets, end of period
(000 omitted) $175,755 $178,521 $164,728 $156,635 $103,715 $43,793
Portfolio turnover 57% 117% 130% 154% 157% 132%
</TABLE>
1 Reflects operations for the period from May 25, 1994 (date of initial
public investment) to November 30, 1994. For the period from January 27,
1994 (start of business) to May 24, 1994, the Fund had no investment
activity.
2 Based on net asset value, which does not reflect the sales charge or
contingent deferred sales charge, if applicable.
3 During the period, certain fees were voluntarily waived. If such waivers
had not occurred, the ratios would have been as indicated.
4 Computed on an annualized basis.
See Notes which are an integral part of the Financial Statements
Financial Highlights-Select Shares
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
(unaudited)
MAY 31, YEAR ENDED NOVEMBER 30,
1999 1998 1997 1996 1995 1994 1
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $12.14 $11.96 $11.36 $11.12 $ 9.83 $10.00
INCOME FROM
INVESTMENT OPERATIONS:
Net investment income 0.18 0.37 0.40 0.43 0.37 0.21
Net realized and
unrealized gain (loss) on
investments, foreign
currency transactions and
futures contracts 0.19 0.81 0.74 0.41 1.34 (0.25)
TOTAL FROM
INVESTMENT OPERATIONS 0.37 1.18 1.14 0.84 1.71 (0.04)
LESS DISTRIBUTIONS:
Distributions from net
investment income (0.19) (0.38) (0.42) (0.44) (0.42) (0.13)
Distributions from net
realized gain on
investments, foreign
currency transactions and
futures contracts (0.47) (0.62) (0.12) (0.16) - -
TOTAL DISTRIBUTIONS (0.66) (1.00) (0.54) (0.60) (0.42) (0.13)
NET ASSET VALUE, END OF
PERIOD $11.85 $12.14 $11.96 $11.36 $11.12 $ 9.83
TOTAL RETURN 2 3.11% 10.51% 10.41% 7.92% 17.76% (0.40% )
RATIOS TO AVERAGE NET
ASSETS:
Expenses 3 2.00% 4 2.03% 2.05% 2.11% 2.30% 2.48% 4
Net investment income 3 2.84% 4 2.82% 3.21% 3.66% 3.82% 3.49% 4
Expenses (after waivers) 1.75% 4 1.78% 1.75% 1.75% 1.75% 1.64% 4
Net investment income
(after waivers) 3.09% 4 3.07% 3.51% 4.02% 4.37% 4.33% 4
SUPPLEMENTAL DATA:
Net assets, end of period
(000 omitted) $67,220 $62,787 $47,499 $44,248 $24,787 $3,697
Portfolio turnover 57% 117% 130% 154% 157% 132%
</TABLE>
1 Reflects operations for the period from May 25, 1994 (date of initial
public investment) to November 30, 1994. For the period from January 27,
1994 (start of business) to May 24, 1994, the Fund had no investment
activity.
2 Based on net asset value, which does not reflect the sales charge or
contingent deferred sales charge, if applicable.
3 During the period, certain fees were voluntarily waived. If such waivers
had occurred, the ratios would have been as indicated.
4 Computed on an annualized basis.
See Notes which are an integral part of the Financial Statements
Notes to Financial Statements
MAY 31, 1999 (UNAUDITED)
ORGANIZATION
Managed Series Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "Act") as an open-end, management
investment company. The Trust consists of four portfolios. The financial
statements included herein are only those of Federated Managed Growth And
Income Fund (the "Fund). The financial statements of the other portfolios
are presented separately. The assets of each portfolio are segregated and a
shareholder's interest is limited to the portfolio in which shares are
held. The investment objective of the Fund is to seek current income and
capital appreciation.
The Fund offers two classes of shares: Institutional Shares and Select
Shares.
SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. These
policies are in conformity with generally accepted accounting principles.
INVESTMENT VALUATIONS
U.S. government securities, listed corporate bonds, other fixed income and
asset-backed securities, and unlisted securities and private placement
securities are valued at the prices furnished by an idependent pricing
service. Listed equity are valued at the last sale price reported on a
national securities exchange. Short-term securities are valued at the
prices provided by an independent pricing service. However, short-term
securities with remaining maturities of sixty days or less at the time of
purchase may be valued at amortized cost, which approximates fair market
value. Investments in other open-end regulated investment companies are
valued at net asset value.
With respect to valuation of foreign securities, trading in foreign cities
may be completed at times which vary from the closing of the New York Stock
Exchange. Therefore, foreign securities are valued at the latest closing
price on the exchange on which they are traded prior to the closing of the
New York Stock Exchange. Foreign securities quoted in foreign currencies
are translated into U.S. dollars at the foreign exchange rate in effect at
noon, eastern time, on the day the value of the foreign security
is determined.
REPURCHASE AGREEMENTS
It is the policy of the Fund to require the custodian bank to take
possession, to have legally segregated in the Federal Reserve Book Entry
System, or to have segregated within the custodian bank's vault, all
securities held as collateral under repurchase agreement transactions.
Additionally, procedures have been established by the Fund to monitor, on a
daily basis, the market value of each repurchase agreement's collateral to
ensure that the value of collateral at least equals the repurchase price to
be paid under the repurchase agreement transaction.
The Fund will only enter into repurchase agreements with banks and other
recognized financial institutions, such as broker/dealers, which are
deemed by the Fund's adviser to be creditworthy pursuant to the guidelines
and/or standards reviewed or established by the Board of Trustees (the
"Trustees"). Risks may arise from the potential inability of
counterparties to honor the terms of the repurchase agreement.
Accordingly, the Fund could receive less than the repurchase price on the
sale of collateral securities.
INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS
Interest income and expenses are accrued daily. Bond premium and discount,
if applicable, are amortized as required by the Internal Revenue Code, as
amended (the "Code"). Dividend income and distributions to shareholders
are recorded on the ex-dividend date.
FEDERAL TAXES
It is the Fund's policy to comply with the provisions of the Code
applicable to regulated investment companies and to distribute to
shareholders each year substantially all of its income. Accordingly, no
provisions for federal tax are necessary.
However, federal taxes may be imposed on the Fund upon the disposition of
certain investments in passive foreign investment companies. Withholding
taxes on foreign interest and dividends have been provided for in
accordance with the Fund's understanding of the applicable country's tax
rules and rates.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS
The Fund may engage in when-issued or delayed delivery transactions. The
Fund records when-issued securities on the trade date and maintains
security positions such that sufficient liquid assets will be available to
make payment for the securities purchased. Securities purchased on a when-
issued or delayed delivery basis are marked to market daily and begin
earning interest on the settlement date.
FUTURES CONTRACTS
The Fund purchases stock index futures contracts to manage cashflows,
enhance yield, and to potentially reduce transaction costs. Upon entering
into a stock index futures contract with a broker, the Fund is required to
deposit in a segregated account a specified amount of cash or
U.S. government securities. Futures contracts are valued daily and
unrealized gains or losses are recorded in a "variation margin" account.
Daily, the Fund receives from or pays to the broker a specified amount of
cash based upon changes in the variation margin account. When a contract is
closed, the Fund recognizes a realized gain or loss. Futures contracts have
market risks, including the risk that the change in the value of the
contract may not correlate with changes in the value of the underlying
securities. For the period ended May 31, 1999, the Fund had realized
gains/losses of $1,748,763 on future contracts.
As of May 31, 1999, the Fund had outstanding futures contracts as set forth
below:
<TABLE>
<CAPTION>
UNREALIZED
NET NOTIONAL APPRECIATION
EXPIRATION DATE CONTRACTS TO DELIVER/RECEIVE POSITION AMOUNT (DEPRECIATION)
<S> <C> <C> <C> <C>
June 1999 30 Russell 2000 Index Futures Long $ 6,612,750 $ 560,250
June 1999 46 S&P 500 Index Futures Long 14,917,800 (134,306)
$ 425,944
</TABLE>
FOREIGN EXCHANGE CONTRACTS
The Fund may enter into foreign currency commitments for the delayed
delivery of securities or foreign currency exchange transactions. The Fund
may enter into foreign currency contract transactions to protect assets
against adverse changes in foreign currency exchange rates or exchange
control regulations. Risks may arise upon entering these transactions from
the potential inability of counterparts to meet the terms of their
commitments and from unanticipated movements in security prices or foreign
exchange rates. The foreign currency transactions are adjusted by the daily
exchange rate of the underlying currency and any gains or losses are
recorded for financial statement purposes as unrealized until the
settlement date. As of May 31, 1999, the Fund had no outstanding forward
foreign currency contracts.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. All
assets and liabilities denominated in foreign currencies ("FC") are
translated into U.S. dollars based on the rate of exchange of such
currencies against U.S. dollars on the date of valuation. Purchases and
sales of securities, income and expenses are translated at the rate of
exchange quoted on the respective date that such transactions are
recorded. Differences between income and expense amounts recorded and
collected or paid are adjusted when reported by the custodian bank. The
Fund does not isolate that portion of the results of operations
resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in market prices of securities
held. Such fluctuations are included with the net realized and
unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales
of FCs, currency gains or losses realized between the trade and settlement
dates on securities transactions, the difference between the amounts of
dividends, interest, and foreign withholding taxes recorded on the Fund's
books, and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes
in the value of assets and liabilities other than investments in securities
at fiscal year end, resulting from changes in the exchange rate.
DOLLAR ROLL TRANSACTIONS
The Fund enters into dollar roll transactions, with respect to mortgage
securities issued by GNMA, FNMA and FHLMC, in which the Fund sells mortgage
securities to financial institutions and simultaneously agrees to accept
substantially similar (same type, coupon and maturity) securities at a
later date at an agreed upon price. Dollar roll transactions involve "to be
announced" securities and are treated as short-term financing arrangements
which will not exceed 12 months. The Fund will use the proceeds generated
from the transactions to invest in short-term investments, which may
enhance the Fund's current yield and total return.
RESTRICTED SECURITIES
Restricted securities are securities that may only be resold upon
registration under federal securities laws or in transactions exempt from
such registration. In some cases, the issuer of restricted securities has
agreed to register such securities for resale, at the issuer's expense
either upon demand by the Fund or in connection with another registered
offering of the securities. Many restricted securities may be resold in the
secondary market in transactions exempt from registration. Such restricted
securities may be determined to be liquid under criteria established by the
Trustees. The Fund will not incur any registration costs upon such resales.
The Fund's restricted securities are valued at the price provided by
dealers in the secondary market or, if no market prices are available, at
the fair value as determined by the Fund's pricing committee.
Additional information on each restricted security held as of May 31, 1999,
is as follows:
<TABLE>
<CAPTION>
Acquisition Acquisition
SECURITY Date Cost
<S> <C> <C>
Bank Ned Gemeenten 01/09/1999 $ 32,447
Bayer Corp., Deb. 03/26/1996 -
04/17/1996 444,985
Consolidated Edison Co.
08/19/1998 -
01/26/1999 721,034
Den Danske Bank, Note 01/07/1998 420,928
Phillip Morris
Cos., Inc., Deb. 01/07/1998 398,524
Swedbank, Sub. 01/07/1998 417,748
World Financial,
Pass Thru Cert. 11/19/1996 -
01/07/1998 352,555
</TABLE>
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 amounts of assets, liabilities, expenses and
revenues reported in the financial statements. Actual results could differ
from those estimated.
OTHER
Investment transactions are accounted for on the trade date.
SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest (without par value)
for each class of shares.
Transactions in shares were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
MAY 31, 1999 NOVEMBER 30, 1998
INSTITUTIONAL SHARES: SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Shares sold 1,979,692 $ 23,647,644 4,601,113 $ 54,040,432
Shares issued to
shareholders in payment of
distributions declared 565,676 6,576,123 793,142 9,082,092
Shares redeemed (2,419,072) (28,687,236) (4,451,572) (52,304,895)
NET CHANGE RESULTING FROM
INSTITUTIONAL SHARE
TRANSACTIONS 126,296 $ 1,536,531 942,683 $ 10,817,629
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
MAY 31, 1999 NOVEMBER 30, 1998
SELECT SHARES: SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Shares sold 1,098,575 $ 13,108,016 2,018,630 $ 23,770,418
Shares issued to
shareholders in payment of
distributions declared 268,412 3,123,175 326,837 3,745,165
Shares redeemed (865,677) (10,274,236) (1,141,885) (13,394,232)
NET CHANGE RESULTING FROM
SELECT SHARE TRANSACTIONS 501,310 $ 5,956,955 1,203,582 $ 14,121,351
NET CHANGE RESULTING FROM
SHARE TRANSACTIONS 627,606 $ 7,493,486 2,146,265 $ 24,938,980
</TABLE>
INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE
Federated Investment Management Company (formerly, Federated Management),
the Fund's investment adviser (the "Adviser"), receives for its services an
annual investment advisory fee equal to 0.75% of the Fund's average daily
net assets. The Adviser may voluntarily choose to waive any portion of its
fee. The Adviser can modify or terminate this voluntary waiver at any time
at its sole discretion.
Under the terms of a sub-advisory agreement between the Adviser and
Federated Global Investment Management Corp. (the "Sub-Adviser"), the Sub-
Adviser receives an allocable portion of the Fund's advisory fee. Such
allocation is based on the amount of foreign securities which the Sub-
Adviser manages for the Fund. This fee is paid by the Adviser out of its
resources and is not an incremental Fund expense.
ADMINISTRATIVE FEE
Federated Services Company ("FServ"), under the Administrative Services
Agreement, provides the Fund with administrative personnel and services.
The fee paid to FServ is based on the level of average aggregate daily net
assets of all funds advised by subsidiaries of Federated Investors, Inc.
for the period. The administrative fee received during the period of the
Administrative Services Agreement shall be at least $125,000 per portfolio
and $30,000 per each additional class of shares.
DISTRIBUTION SERVICES FEE
The Fund has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-
1 under the Act. Under the terms of the Plan, the Fund will compensate
Federated Securities Corp. ("FSC"), the principal distributor, from the
net assets of the Fund to finance activities intended to result in the sale
of the Fund's Select Shares. The Plan provides that the Fund may incur
distribution expenses up to 0.75% of average daily net assets of Select
Shares annually, to compensate FSC. The distributor may voluntarily choose
to waive any portion of its fee. The distributor can modify or terminate
this voluntary waiver at any time at its sole discretion.
SHAREHOLDER SERVICES FEE
Under the terms of a Shareholder Services Agreement with Federated
Shareholder Services Company ("FSSC"), the Fund will pay FSSC up to 0.25%
of average daily net assets of the Fund for the period. The fee paid to
FSSC is used to finance certain services for shareholders and to maintain
shareholder accounts. FSSC may voluntarily choose to waive any portion of
its fee. FSSC can modify or terminate this voluntary waiver at any time at
its sole discretion.
TRANSFER AND DIVIDEND DISBURSING AGENT FEES AND EXPENSES
FServ, through its subsidiary FSSC, serves as transfer and dividend
disbursing agent for the Fund. The fee paid to FSSC is based on the size,
type, and number of accounts and transactions made by shareholders.
PORTFOLIO ACCOUNTING FEES
FServ maintains the Fund's accounting records for which it receives a fee.
The fee is based on the level of the Fund's average daily net assets for
the period, plus out-of-pocket expenses.
ORGANIZATIONAL EXPENSES
Organizational expenses of $86,568 were borne initially by Federated
Management. The Fund reimbursed the Adviser for these expenses. These
expenses have been deferred and are being amortized over the five year
period following the Fund's effective date. For the period ended May 31,
1999, the Fund expensed $11,186 of organizational expenses.
GENERAL
Certain of the Officers and Trustees of the Trust are Officers and
Directors or Trustees of the above companies.
INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding short-term securities, for
the period ended May 31, 1999, were as follows:
Purchases $135,782,353
Sales $130,762,120
CONCENTRATION OF CREDIT RISK
The Fund invests in securities of non-U.S. issuers. Although the Fund
maintains a diversified investment portfolio, the political or economic
developments within a particular country or region may have an adverse
effect on the ability of domiciled issuers to meet their obligations.
Additionally, political or economic developments may have an effect on the
liquidity and volatility of portfolio securities and currency holdings.
At May 31, 1999, the diversification of industries was as follows:
PERCENT OF
INDUSTRY NET ASSETS
Aerospace & Military Technology 0.0
Agency 0.2
Automobile 0.1
Banking 0.4
Beverage & Tobacco 0.0
Broadcasting & Publishing 0.0
Business & Public Services 0.2
Chemicals 0.0
Data Processing & Reproduction 0.0
Electrical & Electronics 0.1
Electrical Components, Instruments 0.1
Energy Sources 0.1
Financial Intermediaries 0.1
Financial Services 0.2
Food & Household Products 0.1
Health & Personal Care 0.1
Industrial Components 0.0
Insurance 0.2
Machinery & Engineering 0.1
Merchandising 0.1
Metals - Non Ferrous 0.0
Metals - Steel 0.0
Multi-Industry 0.1
Publishing 0.1
Real Estate 0.0
Recreation, Other Consumer Goods 0.1
Sovereign 3.0
Sovereign Government 0.5
State/Provincial 0.1
Telecommunications 0.3
Utilities 0.1
Utilities - Electric & Gas 0.0
Wholesale & International Trade 0.0
YEAR 2000
Similar to other financial organizations, the Fund could be adversely
affected if the computer systems used by the Fund's service providers do
not properly process and calculate date-related information and data from
and after January 1, 2000. The Fund's Adviser and administrator are taking
measures that they believe are reasonably designed to address the Year 2000
issue with respect to computer systems that they use and to obtain
reasonable assurances that comparable steps are being taken by each of the
Fund's other service providers. At this time, however, there can be no
assurance that these steps will be sufficient to avoid any adverse impact
to the Fund.
SUBSEQUENT EVENT
On May 19, 1999, The Trust's Board of Trustees, upon the recommendation of
the Audit Committee of the Board of Trustees, dismissed Arthur Anderson LLP
("AA") as the Trust's independent auditors. During the six-month reporting
period ended May 31, 1999 (the "Period"): (i) AA did not issue any report
on the Trust's financial statements; (ii) there were no disagreements with
AA on any matter of accounting principles or practices, financial statement
disclosure or auditing scope or procedure, which disagreements, if not
resolved to the satisfaction of AA would have caused it to make reference
to the subject matter of the disagreements in connection with its report on
the financial statements for such period; and (iii) there were no
"reportable events" of the kind described in Item 304(a)(1)(v) of
Regulation S-K under the Securities Exchange Act of 1934, as amended.
The Trust, by action of its Board of Trustees, engaged Deloitte and Touche
LLP ("D&T") as the independent auditors for purposes of auditing the
Trust's financial statements for the fiscal year ending November 30, 1999.
During the Period, neither the Trust, nor anyone on the Trust's behalf has
consulted D&T on items which (i) concerned the application of the
accounting principles to a specified transaction, either completed or
proposed, or the type of audit opinion that might be rendered on the
Trust's financial statements or (ii) concerned the subject of a
disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation
S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item
304).
Trustees
JOHN F. DONAHUE
THOMAS G. BIGLEY
JOHN T. CONROY, JR.
WILLIAM J. COPELAND
JOHN F. CUNNINGHAM
LAWRENCE D. ELLIS, M.D.
GLEN R. JOHNSON
PETER E. MADDEN
CHARLES F. MANSFIELD, JR.
JOHN E. MURRAY, JR., J.D., S.J.D.
MARJORIE P. SMUTS
JOHN S. WALSH
Officers
JOHN F. DONAHUE
Chairman
GLEN R. JOHNSON
President
J. CHRISTOPHER DONAHUE
Executive Vice President
EDWARD C. GONZALES
Executive Vice President
JOHN W. MCGONIGLE
Executive Vice President and Secretary
RICHARD J. THOMAS
Treasurer
RICHARD B. FISHER
Vice President
C. GRANT ANDERSON
Assistant Secretary
Mutual funds are not bank deposits or obligations, are not guaranteed by
any bank, and are not insured or guaranteed by the U.S. government, the
Federal Deposit Insurance Corporation, the Federal Reserve Board, or any
other government agency. Investment in mutual funds involves investment
risk, including the possible loss of principal.
This report is authorized for distribution to prospective investors only
when preceded or accompanied by the fund's prospectus which contains facts
concerning its objective and policies, management fees, expenses, and
other information.
[Graphic]
Federated
World-Class Investment Manager
SEMI-ANNUAL REPORT
Federated Managed Growth and Income Fund
Institutional Shares
Select Shares
SEMI-ANNUAL REPORT
TO SHAREHOLDERS
MAY 31, 1999
[Graphic]
Federated
Federated Managed Growth and Income Fund
Federated Investors Funds
5800 Corporate Drive
Pittsburgh, PA 15237-7000
1-800-341-7400
WWW.FEDERATEDINVESTORS.COM
Federated Securities Corp., Distributor
Cusip 56166K305
Cusip 56166K404
G00516-01 (7/99)
[Graphic]
SEMI-ANNUAL REPORT
President's Message
Dear Shareholder:
I am pleased to present the Semi-Annual Report to Shareholders for
Federated Managed Income Fund for the six-month reporting period from
December 1, 1998 through May 31, 1999. Included in this report is an
investment review, followed by a complete listing of the fund's holdings,
financial statements and highlights.
In pursuit of its investment objective, the fund invests in a well-
diversified portfolio that focuses on bonds. At the end of the reporting
period, 78.3% of the fund's $134.7-million portfolio was invested across a
range of U.S. and foreign government bonds and U.S. corporate bonds. 1 The
remainder of the portfolio was invested across U.S. stocks.
During the first half of the fund's fiscal year, Institutional Shares
delivered a total return of 1.11% 2 through dividends totaling $0.27 per
share and capital gains totaling $0.31 per share. Select Shares produced a
total return of 0.77%2 through dividends totaling $0.23 per share and
capital gains totaling $0.31 per share.
Thank you for pursuing your financial goals through the high level of
diversification and professional management of Federated Managed Income
Fund. As always, we invite your comments and suggestions.
Sincerely,
[Graphic]
Glen R. Johnson
President
July 15, 1999
1 International investing involves special risks including currency
risks, increased volatility of foreign securities, and differences in
auditing and other financial standards.
2 Performance quoted represents past performance and is not indicative of
future results. Investment return and principal value will fluctuate, so
that an investor's shares, when redeemed, may be worth more or less than
their original cost.
Investment Review
PERFORMANCE FOR SIX-MONTH REPORTING PERIOD ENDED MAY 31, 1999
The six-month reporting period ended May 31, 1999 was a generally favorable
one for financial assets, and Federated Managed Income Fund participated in
the advance. For the six-month reporting period ended May 31, 1999, an
investor in the Institutional Shares had a total return of 1.11%, 1 while
an investor in the Select Shares had a total return of 0.77%.1 As usual,
performance among asset classes showed wide variation. In the U.S., large
company stocks continued to outperform utility stocks until April when
returns for utility stocks improved. Bonds performed poorly during the
period as interest rates rose on concerns that stronger economic growth
will bring higher inflation.
ASSET ALLOCATION AS OF MAY 31, 1999
Federated Managed Income Fund operates on an investment philosophy that,
over time, an investor with a diversified portfolio will achieve better
returns with the same risk, or the same returns with lower risk, than an
investor in a single asset category. Therefore, to ensure proper
diversification of its portfolio, the fund's investment policies require
management to allocate the portfolio among as many as seven asset
categories and limit the weight of each asset category. In allocating the
fund's portfolio among asset categories, fund management analyzes the
relative value offered by each category under prevailing market
conditions. Fund management seeks to improve the fund's performance by
weighting most heavily the asset categories that management believes will
provide the best relative value. The following table shows the allocation
of the portfolio among different asset categories as of May 31, 1999.
ASSET CATEGORIES AS A PERCENTAGE OF TOTAL ASSETS
<TABLE>
<CAPTION>
PERCENTAGE
PERMITTED AS OF MAY 31,
ASSET CATEGORY RANGE 1999
<S> <C> <C>
BONDS 1 70 - 90 78
U.S. Treasury Securities 0 - 72 31
Mortgage-Backed Securities 0 - 45 22
Investment Grade Corporate Bonds 0 - 45 17
High Yield Corporate Bonds 0 - 10 5
Foreign Bonds 0 - 10 3
EQUITIES 2 10 - 30 15
Large Company Stocks 7.5 - 22.5 9
Utility Stocks 2.5 - 7.5 6
</TABLE>
The U.S. has enjoyed eight years of economic expansion which has driven
corporate profits strongly upward. The accompanying bull market in stocks
has pushed stock prices up even faster than earnings. However this
favorable price movement in stocks has created a valuation problem for
U.S. stocks. Relative to historical measures of value, U.S. stocks are
richly priced. This implies that long-term returns from these price levels
are likely to be moderate. Offsetting the valuation factors, the
U.S. economy appears to be in solid shape with good growth and low
inflation. Moreover, U.S. monetary policy appears supportive of further
price gains in financial assets. Thus fund management moved equity exposure
up during the period to a slight overweight in response to this favorable
near-term environment for equities.
1 Performance quoted represents past performance. Investment return and
principal value will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
2 Bonds convertible into equity securities at a price below the closing
price of the underlying equity securities on May 31, 1999 have been
included under the appropriate equity asset category.
STRUCTURE OF THE BOND PORTFOLIO
Within the range of four to six years, the fund's bond duration is set at
4.5 years. This duration is set at a somewhat below average level in
recognition that the current economic cycle is one of the longest in post-
war history and late stages of business cycles are often unfavorable
environments for bonds. Therefore, a somewhat conservative bond position
is appropriate due to cyclical concerns despite the favorable secular or
longer-term outlook for bonds. Within the bond portfolio, mortgage-backed
securities were raised to an above normal position as their yield advantage
was higher than it had been earlier last year.
STRUCTURE OF THE EQUITY PORTFOLIO
Equity exposure was increased in the portfolio in the large company stock
area. Other areas of the stock market such as utilities appear more
reasonably valued than U.S. large company stocks. However, the economic
cycle appears to favor large company stocks. This economic expansion has
lasted eight years, substantially longer than the average U.S. economic
expansion. In the late stages of economic expansions, interest rates
usually rise putting pressure on utility stocks. Thus fund management held
weights in utility stocks near neutral levels despite their valuation
advantage.
Portfolio of Investments
MAY 31, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-20.8% 1
LARGE COMPANY GROWTH
STOCKS-5.3%
BASIC MATERIALS-0.1%
500 Bemis Co., Inc. $ 18,875
600 Hercules, Inc. 20,963
600 Monsanto Co. 24,900
300 PPG Industries, Inc. 18,206
TOTAL 82,944
CAPITAL GOODS-0.5%
800 Allied-Signal, Inc. 46,450
500 Avery Dennison Corp. 29,938
600 Crown Cork & Seal Co., Inc. 18,825
800 Dover Corp. 30,150
3,500 General Electric Co. 355,906
500 Hillenbrand Industries,
Inc. 20,969
1,000 Miller Herman, Inc. 20,188
500 2 SCI Systems, Inc. 20,750
1,000 United Technologies Corp. 62,063
1,010 Waste Management, Inc. 53,404
TOTAL 658,643
COMMUNICATION SERVICES-
0.3%
400 2 AT&T Corp. - Liberty Media
Group, Inc., Class A 26,575
700 2 Airtouch Communications,
Inc. 70,350
300 2 Chancellor Media Corp.,
Class A 15,244
600 Cincinnati Bell, Inc. 14,513
600 Comcast Corp., Class A 23,100
2,370 2 MCI Worldcom, Inc. 204,709
1,700 SBC Communications, Inc. 86,912
TOTAL 441,403
CONSUMER CYCLICALS-0.5%
500 2 Abercrombie & Fitch Co.,
Class A 42,063
600 Block (H&R), Inc. 28,913
300 2 Costco Cos., Inc. 21,750
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE COMPANY GROWTH
STOCKS-continued
CONSUMER CYCLICALS-
CONTINUED
500 Dayton-Hudson Corp. $ 31,500
500 Gannett Co., Inc. 36,125
600 Gap (The), Inc. 37,538
700 Harley Davidson, Inc. 35,744
1,600 Home Depot, Inc. 91,000
500 2 Jones Apparel Group, Inc. 15,375
500 Lowe's Cos., Inc. 25,969
1,200 Masco Corp. 34,275
400 Maytag Corp. 28,225
600 Nordstrom, Inc. 21,300
1,400 Service Corp.
International 26,863
750 2 Staples, Inc. 21,563
1,600 TJX Cos., Inc. 48,000
2,600 Wal-Mart Stores, Inc. 110,825
TOTAL 657,028
CONSUMER STAPLES-0.9%
500 Avon Products, Inc. 24,719
1,000 Campbell Soup Co. 44,125
300 Cardinal Health, Inc. 18,113
2,200 Coca-Cola Co. 150,288
2,500 Dial Corp. 78,125
1,200 Disney (Walt) Co. 34,950
600 Dole Food, Inc. 18,413
800 Gillette Co. 40,800
500 Heinz (H.J.) Co. 24,156
1,000 McDonald's Corp. 38,500
888 McKesson HBOC, Inc. 30,248
1,600 PepsiCo, Inc. 57,300
3,000 Philip Morris Cos., Inc. 115,688
1,400 Procter & Gamble Co. 130,725
600 Quaker Oats Co. 39,638
1,400 2 Safeway, Inc. 65,100
1,200 Sara Lee Corp. 28,800
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE COMPANY GROWTH
STOCKS-continued
CONSUMER STAPLES-CONTINUED
600 Sysco Corp. $ 17,813
760 2 Tricon Global Restaurants,
Inc. 44,270
2,100 UST, Inc. 64,050
2,400 2 Viacom, Inc., Class A 92,550
100 Wrigley (Wm.), Jr. Co. 8,706
TOTAL 1,167,077
ENERGY-0.0%
600 Halliburton Co. 24,825
FINANCIALS-0.6%
700 American Express Co. 84,831
1,548 American International
Group, Inc. 176,956
714 Associates First Capital
Corp., Class A 29,274
3,650 Citigroup, Inc. 241,812
1,500 Federal National Mortgage
Association 102,000
600 Household International,
Inc. 26,025
1,800 MBNA Corp. 49,725
300 MGIC Investment Corp. 14,438
900 Providian Financial Corp. 86,344
400 U.S. Bancorp 13,000
TOTAL 824,405
HEALTH CARE-0.8%
1,600 Abbott Laboratories 72,300
800 American Home Products
Corp. 46,100
800 2 Amgen, Inc. 50,600
400 Baxter International, Inc. 25,825
3,100 2 Beverly Enterprises, Inc. 22,475
2,400 Bristol-Myers Squibb Co. 164,700
1,200 Guidant Corp. 60,000
1,300 2 HEALTHSOUTH, Corp. 17,388
1,200 Johnson & Johnson 111,150
700 Lilly (Eli) & Co. 50,006
2,800 Merck & Co., Inc. 189,000
900 Pfizer, Inc. 96,300
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE COMPANY GROWTH
STOCKS-continued
HEALTH CARE-CONTINUED
1,600 Schering Plough Corp. $ 72,100
500 United Healthcare Corp. 29,125
800 2 Universal Health Services,
Inc., Class B 39,900
700 Warner-Lambert Co. 43,400
TOTAL 1,090,369
TECHNOLOGY-1.6%
1,200 2 America Online, Inc. 143,250
700 2 Applied Materials, Inc. 38,456
400 2 Ascend Communications 37,075
800 2 BMC Software, Inc. 39,550
1,100 2 Cadence Design Systems,
Inc. 14,163
1,950 2 Cisco Systems, Inc. 212,550
600 2 Compuware Corp. 18,638
600 2 Convergys Corp. 10,575
2,000 2 Dell Computer Corp. 68,875
1,200 2 EMC Corp. Mass 119,550
1,600 First Data Corp. 71,900
300 2 Gateway 2000, Inc. 18,244
1,000 Hewlett-Packard Co. 94,312
3,200 Intel Corp. 173,000
2,400 International Business
Machines Corp. 279,150
400 2 Lexmark Intl. Group, Class
A 54,450
3,200 Lucent Technologies, Inc. 182,000
4,400 2 Microsoft Corp. 355,025
1,350 2 Oracle Corp. 33,497
400 2 PanAmSat Corp. 13,000
800 2 Seagate Technology, Inc. 24,150
1,200 2 Sun Microsystems, Inc. 71,700
1,200 2 Tellabs, Inc. 70,200
800 Xerox Corp. 44,950
200 2 Yahoo, Inc. 29,600
TOTAL 2,217,860
TOTAL LARGE COMPANY GROWTH
STOCKS 7,164,554
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE COMPANY VALUE
STOCKS-3.6%
BASIC MATERIALS-0.3%
800 Air Products & Chemicals,
Inc. $ 32,800
1,000 Alcoa, Inc. 55,000
3,885 Archer-Daniels-Midland Co. 58,275
600 Dow Chemical Co. 72,900
900 Du Pont (E.I.) de Nemours &
Co. 58,894
600 International Paper Co. 30,000
600 Martin Marietta Materials 36,375
TOTAL 344,244
CAPITAL GOODS-0.3%
900 Caterpillar, Inc. 49,387
400 Cooper Industries, Inc. 19,825
400 Emerson Electric Co. 25,550
1,400 Ingersoll-Rand Co. 89,162
1,400 Johnson Controls, Inc. 88,287
500 Northrop Grumman, Corp. 33,750
1,100 Parker-Hannifin Corp. 48,056
196 Tyco International, Ltd. 17,125
TOTAL 371,142
COMMUNICATION SERVICES-
0.6%
3,690 AT&T Corp. 204,795
900 Ameritech Corp. 59,231
3,400 Bell Atlantic Corp. 186,150
1,900 BellSouth Corp. 89,656
1,900 GTE Corp. 119,819
400 Sprint Corp. (FON Group) 45,100
2,000 U.S. West, Inc. 108,125
TOTAL 812,876
CONSUMER CYCLICALS-0.2%
629 2 Delphi Auto Systems Corp. 12,344
1,600 Ford Motor Co. 91,300
900 General Motors Corp. 62,100
3,100 2 KMart Corp. 47,662
1,000 Limited, Inc. 48,875
450 May Department Stores Co. 19,491
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE COMPANY VALUE
STOCKS-continued
CONSUMER CYCLICALS-
CONTINUED
300 Penney (J.C.) Co., Inc. $ 15,506
500 Sears, Roebuck & Co. 23,906
TOTAL 321,184
CONSUMER STAPLES-0.1%
200 Anheuser-Busch Companies,
Inc. 14,612
800 CBS Corp. 33,400
1,100 Kimberly-Clark Corp. 64,556
700 2 King World Productions,
Inc. 23,362
100 2 MediaOne Group, Inc. 7,387
1,300 RJR Nabisco Holdings Corp. 40,219
TOTAL 183,536
ENERGY-0.5%
700 Atlantic Richfield Co. 58,581
1,400 2 BJ Services Co. 38,587
900 Chevron Corp. 83,419
2,800 Exxon Corp. 223,650
900 Mobil Corp. 91,125
1,700 Occidental Petroleum Corp. 35,912
600 Phillips Petroleum Co. 31,462
1,300 Sunoco, Inc. 39,569
400 Texaco, Inc. 26,200
2,300 USX-Marathon Group 68,856
TOTAL 697,361
FINANCIALS-1.1%
300 Allmerica Financial Corp. 17,569
2,296 Allstate Corp. 83,660
500 American General Corp. 36,125
1,700 Bank One Corp. 96,156
2,065 Bank of America Corp. 133,580
600 BankBoston Corp. 28,425
420 Bear Stearns Cos., Inc. 18,637
1,800 CIGNA Corp. 167,850
900 Chase Manhattan Corp. 65,250
2,000 First Union Corp. 92,125
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE COMPANY VALUE
STOCKS-continued
FINANCIALS-CONTINUED
1,000 Fleet Financial Group,
Inc. $ 41,125
900 2 Golden State Bancorp, Inc. 22,106
600 Hartford Financial
Services Group, Inc. 37,950
200 J.P. Morgan & Co., Inc. 27,862
900 KeyCorp 31,275
500 Loews Corp. 40,656
800 MBIA, Inc. 54,650
1,650 Marsh & McLennan Cos., Inc. 120,037
1,400 Mellon Bank Corp. 49,962
200 Merrill Lynch & Co., Inc. 16,800
700 Morgan Stanley, Dean
Witter, Discover & Co. 67,550
1,200 Old Republic International
Corp. 21,825
500 PNC Bank Corp. 28,625
400 SunTrust Banks, Inc. 27,000
800 Torchmark Corp. 26,700
990 Washington Federal, Inc. 22,275
1,512 Washington Mutual, Inc. 57,739
1,000 Wells Fargo Co. 40,000
TOTAL 1,473,514
HEALTH CARE-0.1%
2,800 Pharmacia & Upjohn, Inc. 155,225
TECHNOLOGY-0.2%
900 Eastman Kodak Co. 60,862
900 Electronic Data Systems
Corp. 50,625
500 Motorola, Inc. 41,406
1,000 Raytheon Co., Class A 66,437
TOTAL 219,330
TRANSPORTATION-0.1%
600 2 AMR Corp. 39,037
1,800 Burlington Northern Santa
Fe 55,800
400 2 FDX Corp. 22,025
1,600 Ryder Systems, Inc. 38,400
TOTAL 155,262
<CAPTION>
VALUE IN
SHARES U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
LARGE COMPANY VALUE
STOCKS-continued
UTILITIES-0.1%
600 Allegheny Energy, Inc. $ 20,925
1,100 CMS Energy Corp. 51,150
1,050 Columbia Energy Group 56,175
900 Constellation Energy Group 28,069
TOTAL 156,319
TOTAL LARGE COMPANY VALUE
STOCKS 4,889,993
UTILITY STOCKS-5.8%
ELECTRIC UTILITIES:
CENTRAL-0.4%
4,000 Ameren Corp. 163,750
6,000 Central & SouthWest Corp. 154,500
5,900 Unicom Corp. 249,644
TOTAL 567,894
ELECTRIC UTILITIES: EAST-
1.0%
5,000 AES Corp. 248,750
7,100 Consolidated Edison Co. 344,794
3,200 GPU, Inc. 139,400
6,800 Peco Energy Co. 332,775
7,200 Public Service Enterprises
Group, Inc. 301,950
TOTAL 1,367,669
ELECTRIC UTILITIES: SOUTH-
1.8%
3,600 Carolina Power & Light Co. 157,500
6,200 Dominion Resources, Inc. 267,762
8,600 Duke Energy Corp. 518,687
7,600 Entergy Corp. 246,525
5,100 FPL Group, Inc. 296,756
18,400 Southern Co. 522,100
9,200 Texas Utilities Co. 414,000
TOTAL 2,423,330
ELECTRIC UTILITIES: WEST-
1.1%
5,300 American Electric Power
Co., Inc. 229,887
3,500 DTE Energy Co. 152,469
9,500 Edison International 261,250
6,800 FirstEnergy Corp. 216,325
<CAPTION>
SHARES OR
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
STOCKS-continued 1
UTILITY STOCKS-continued
ELECTRIC UTILITIES: WEST-
CONTINUED
13,600 P G & E Corp. $ 459,000
8,200 Pacificorp 149,137
TOTAL 1,468,068
NATURAL GAS DISTRIBUTION-
0.7%
8,200 Coastal Corp. 316,212
3,200 Consolidated Natural Gas
Co. 190,200
9,700 Reliant Energy, Inc. 295,850
6,800 Sempra Energy 146,200
TOTAL 948,462
OIL/GAS TRANSMISSION-0.8%
8,000 Enron Corp. 571,000
10,400 Williams Companies, Inc. 538,850
TOTAL 1,109,850
TOTAL UTILITY STOCKS 7,885,273
FUTURES CONTRACTS
COLLATERAL-6.1% 1
8,350,000 United States Treasury
Bill, 6/17/1999 8,337,058
TOTAL STOCKS (IDENTIFIED
COST $16,759,115) 28,276,878
BONDS-78.3%
TREASURY AND GOVERNMENT
SECURITIES-30.9%
U.S. TREASURY-24.9%
$ 493,000 United States Treasury
Bond, 6.125%, 11/15/2027 498,477
10,200,000 United States Treasury
Bond, 7.250%, 5/15/2004 10,874,118
7,505,000 United States Treasury
Bond, 8.125%, 5/15/2021 9,291,715
3,900,000 United States Treasury
Note, 5.500%, 3/31/2003 3,880,500
2,000,000 United States Treasury
Note, 6.500%, 10/15/2006 2,081,800
6,879,000 United States Treasury
Note, 6.625%, 5/15/2007 7,236,158
TOTAL 33,862,768
REPURCHASE AGREEMENT-6.0%
3
8,200,000 Societe Generale, New
York, 4.800%, dated
5/28/1999, due 6/1/1999
(at amortized cost) 8,200,000
TOTAL TREASURY AND
GOVERNMENT SECURITIES 42,062,768
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
MORTGAGE BACKED
SECURITIES-21.9%
$ 3,026,415 4 Federated Mortgage Core
Portfolio $ 29,810,184
HIGH YIELD BOND-5.0%
729,269 5 The High Yield Bond
Portfolio 6,738,441
INVESTMENT GRADE BONDS-
16.9%
AEROSPACE & DEFENSE-1.0%
250,000 McDonnell Douglas Finance,
Medium Term Note, 6.375%,
7/15/1999 250,438
250,000 McDonnell Douglas Finance,
Note, 9.4%, 10/15/2001 253,325
850,000 Raytheon Co., 5.7%,
11/01/2003 826,379
TOTAL 1,330,142
AUTOMOBILE-0.3%
400,000 Dana Corp., Note, 7%,
3/15/2028 374,640
BANKING-1.8%
100,000 City National Bank, Sub.
Note, 6.375%, 1/15/2008 96,122
470,000 1, 6 Den Danske Bank, Note,
7.40% 6/15/2010 484,636
200,000 National Bank of Canada,
Sub. Note, 8.125%,
8/15/2004 213,094
285,000 PNC Funding Corp., Sub.
Note, 6.875%, 7/15/2007 286,613
500,000 Republic New York Corp.,
Sub. Note, 7.75%,
5/15/2009 532,185
350,000 Santander Finance
Issuances, Bank Guarantee,
7.875%, 4/15/2005 367,168
470,000 1, 6 Swedbank, Sub., 11/29/2049 460,864
TOTAL 2,440,682
BEVERAGE & TOBACCO-0.2%
100,000 Philip Morris Cos., Inc.,
Deb., 6.00%, 7/15/2001 99,432
200,000 Phillip Morris Cos., Inc.,
Deb., 9.25%, 2/15/2000 204,852
TOTAL 304,284
CABLE & TELEVISION-0.8%
1,000,000 TKR Cable Inc., Deb.,
10.5%, 10/30/2007 1,076,090
CHEMICALS & PLASTIC-0.3%
350,000 1, 6 Bayer Corp., Deb., 6.5%,
10/1/2002 353,094
ECOLOGICAL SERVICES &
EQUIPMENT-0.2%
250,000 USA Waste Services, Inc.,
Note, 6.125%, 7/15/2001 250,265
EDUCATION-0.2%
300,000 Boston University, 7.625%,
7/15/2097 305,151
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
INVESTMENT GRADE BONDS-
CONTINUED
ELECTRONICS-0.7%
$ 700,000 Anixter Intl., Inc.,
Company Guarantee, 8%,
9/15/2003 $ 716,436
200,000 Harris Corp., Deb.,
10.375%, 12/1/2018 211,420
TOTAL 927,856
FINANCE-AUTOMOTIVE-0.1%
165,000 GMAC, Medium Term Note,
7.50%, 5/25/2000 167,859
FINANCE-RETAIL-0.4%
250,000 Household Finance, Deb.,
6.45%, 2/1/2009 242,230
300,000 Sears Roebuck Acceptance,
Medium Term Note, 6.56%,
9/05/2000 302,343
TOTAL 544,573
FINANCIAL INTERMEDIARIES-
1.9%
1,000,000 Bear Stearns Cos., Inc.,
Sr. Note, 6.75%, 5/1/2001 1,008,910
250,000 Green Tree Financial Corp,
Sr. Sub. Note, 10.25%,
6/1/2002 269,403
725,000 Lehman Brothers Hldgs.
Inc., Note, 6.9%,
1/29/2001 730,945
175,000 Lehman Brothers Holding,
Bond, 6.20%, 1/15/2002 172,830
325,000 Lehman Brothers, Inc., Sr.
Sub. Note, 7.375%,
1/15/2007 325,429
100,000 Salomon, Inc., Note, 7.2%,
2/1/2004 102,603
TOTAL 2,610,120
FOREST PRODUCTS-0.3%
400,000 Quno Corp., Sr. Note,
9.125%, 5/15/2005 424,588
HEALTHCARE-0.7%
1,000,000 Columbia HCA Healthcare
Corp., Sr. Note, 6.41%,
6/15/2000 989,090
INSURANCE-1.8%
250,000 AFC Capital Trust I, Bond,
8.207%, 2/3/2027 264,595
350,000 Conseco, Inc., Sr. Note,
10.5%, 12/15/2004 394,650
515,000 Conoco, Inc., Sr. Note,
5.9%, 4/15/2004 504,412
250,000 Delphi Funding, 9.31%,
3/25/2027 234,335
165,000 NAC Re Corp., Note, 8.00%,
6/15/1999 165,221
400,000 Provident Cos., Inc.,
Bond, 7.405%, 3/15/2038 377,848
250,000 Sunamerica Inc., Medium
Term Note, 7.34%,
8/30/2005 261,143
250,000 USF&G Corp., Company
Guarantee, 8.47%,
1/10/2027 256,990
TOTAL 2,459,194
<CAPTION>
PRINCIPAL VALUE IN
AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
INVESTMENT GRADE BONDS-
CONTINUED
LEISURE & ENTERTAINMENT-
0.1%
$ 125,000 Paramount Comm. Inc., Sr.
Deb., 8.25%, 8/1/2022 $ 129,764
METALS & MINING-0.5%
725,000 Barrick Gold Corp., Deb.,
7.5%, 5/1/2007 746,612
OIL & GAS-0.1%
175,000 Occidental Petroleum
Corp., Note, 8.50%,
9/15/2004 176,544
PHARMACEUTICAL-0.5%
700,000 American Home Products
Corp., Note, 7.7%,
2/15/2000 711,340
REAL ESTATE-0.7%
1,000,000 SUSA Partnership, L.P.,
Deb., 7.50%, 12/1/2027 893,800
RETAILERS-0.9%
350,000 Harcourt General, Sr.
Deb., 7.20%, 8/1/2027 326,942
200,000 Sears, Roebuck & Co.,
Medium Term Note, 7.32%,
4/24/2000 202,564
660,000 Shopko Stores, 8.5%,
3/15/2002 686,737
TOTAL 1,216,243
SERVICES-0.3%
400,000 Service Corp. Int'l.,
Note, 6.5%, 3/15/2008 376,228
SOVEREIGN GOVERNMENT-0.5%
250,000 Colombia, Government of,
Note, 7.25%, 2/15/2003 215,313
400,000 South Africa, Government
of, Global Bond Deb.,
9.625%, 12/15/1999 407,036
TOTAL 622,349
SURFACE TRANSPORTATION-
0.2%
300,000 Trans Ocean Container
Corp., Sr. Sub. Note,
12.25%, 7/1/2004 321,339
TECHNOLOGY SERVICES-1.1%
500,000 Dell Computer Corp., Deb.,
7.1%, 4/15/2028 483,240
9,646 Microsoft Corp., Conv.
Pfd., Series A, $2.196 959,777
TOTAL 1,443,017
TELECOMMUNICATIONS &
CELLULAR-0.6%
800,000 BellSouth Telecommunicat,
Note, 6%, 6/15/2002 798,416
UTILITIES-0.7%
250,000 Enersis SA, Note, 7.4%,
12/1/2016 222,018
750,000 National Rural Utilities,
Medium Term Note, 5.75%,
12/01/2008 705,390
TOTAL 927,408
TOTAL INVESTMENT GRADE
BONDS 22,920,688
<CAPTION>
FOREIGN
CURRENCY VALUE IN
PAR AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
FOREIGN BONDS-3.6%
AUSTRALIAN DOLLAR-0.1%
140,000 Queensland, State of, 8%,
9/14/2007 $ 100,810
74,000 Queensland, State of,
Deb., 10.5%, 5/15/2003 56,041
25,000 West Australia, State of,
Local Gov't. Guarantee,
8%, 7/15/2003 17,507
TOTAL 174,358
CANADIAN DOLLAR-0.2%
167,000 Canada, Government of,
Deb., 6.50%, 6/1/2004 118,630
200,000 Ontario Hydro, 9.00%,
6/24/2002 149,239
TOTAL 267,869
CZECH KORUNA-0.2%
7,250,000 Konsolidacni BKA, Foreign
Gov't. Guarantee, 10.875%,
4/15/2004 226,563
DANISH KRONE-0.2%
600,000 Denmark, Government of,
8%, 5/15/2003 97,340
898,000 Denmark, Government of,
Bullet, 8%, 3/15/2006 153,635
TOTAL 250,975
EURO CURRENCY-1.9%
109,009 Austria, Government of,
Deb., 7.625%, 10/18/2004 135,404
245,000 Austria, Government of,
Unsub., 6.5%, 1/10/2024 153,117
60,000 Baden Wurt L-Finance NV,
Bank Guarantee, 6%,
1/25/2006 35,446
40,000 Bank Ned Gemeenten, Bond,
6.375%, 1/4/2006 21,414
30,000 Bank Ned Gemeenten, Bond,
7.75%, 12/20/2004 16,959
49,578 Belgium, Government of,
7.75%, 10/15/2004 62,100
12,741 Belgium, Government of,
Bond, 6.5%, 3/31/2005 15,220
99,701 Depfa-Bank, 5.5%,
1/15/2013 111,598
86,877 France, Government of,
8.5%, 10/25/2019 131,280
62,888 Germany, Government of,
Deb., 6.25%, 1/04/2024 76,234
57,138 Ireland, Government of,
Deb., 9%, 9/01/2006 78,584
247,898 Italy, Government of,
9.5%, 1/01/2005 332,682
41,316 Italy, Government of,
Bond, 10.5%, 11/01/2000 47,599
30,987 Italy, Government of,
Deb., 12%, 1/01/2002 39,285
51,129 KFW International Finance,
Bank Guarantee, 6.75%,
6/20/2005 61,745
158,823 Netherlands, Government
of, 5.75%, 1/15/2004 182,130
27,226 Netherlands, Government
of, 6%, 1/15/2006 32,016
<CAPTION>
FOREIGN
CURRENCY VALUE IN
PAR AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
FOREIGN BONDS-continued
EURO CURRENCY-CONTINUED
240,404 Spain, Government of,
6.15%, 1/31/2013 $ 285,700
29,750 Spain, Government of,
Deb., 10.1%, 2/28/2001 34,809
357,904 Treuhandanstalt, 7.75%,
10/01/2002 426,545
208,607 Treuhandanstalt, Foreign
Gov't. Guarantee, 6.875%,
6/11/2003 246,701
TOTAL 2,526,568
GREEK DRACHMA-0.0%
11,400,000 Greece, Government of,
Floating Rate Note,
10/23/2003 38,047
HUNGARIAN FORINT-0.3%
6,700,000 Hungary, Government of,
Bond, 14%, 12/12/2002 28,767
100,000,000 Hungary, Government of,
Bond, Series 03/I, 13%,
7/24/2003 419,957
TOTAL 448,724
NEW ZEALAND DOLLAR-0.0%
41,000 New Zealand, Government
of, 8%, 2/15/2001 23,040
NORWEGIAN KRONE-0.1%
195,000 Norway, Government of,
5.5%, 5/15/2009 25,447
420,000 Norway, Government of,
Bond, 7%, 5/31/2001 54,979
315,000 Norway, Government of,
Foreign Gov't. Guarantee,
5.75%, 11/30/2004 41,067
TOTAL 121,493
POLISH ZLOTY-0.0%
80,000 Poland, Government of,
Bond, 12%, 10/12/2003 20,909
195,000 Poland, Government of,
Bond, Series 5Y, 12%,
2/12/2003 49,766
TOTAL 70,675
SWEDISH KRONA-0.2%
900,000 Sweden, Government of, 6%,
2/09/2005 114,615
200,000 Sweden, Government of,
Deb., 13%, 6/15/2001 27,561
800,000 Sweden, Government of,
Deb., 9%, 4/20/2009 125,048
TOTAL 267,224
<CAPTION>
FOREIGN
CURRENCY VALUE IN
PAR AMOUNT U.S. DOLLARS
<C> <S> <C>
BONDS-continued
FOREIGN BONDS-continued
UNITED KINGDOM POUND-0.4%
80,000 British Gas PLC, 8.875%,
7/8/2008 $ 152,673
175,000 United Kingdom, Government
of, 9%, 3/03/2000 288,403
29,000 United Kingdom, Government
of, Deb., 8.5%, 12/07/2005 55,227
TOTAL 496,303
TOTAL FOREIGN BONDS 4,911,839
TOTAL BONDS (IDENTIFIED
COST $115,660,467) 106,443,920
TOTAL INVESTMENTS
(IDENTIFIED COST
$132,419,582) 7 $ 134,720,798
</TABLE>
1 The Fund purchases index futures contracts to efficiently manage cash
flows resulting from shareholder purchases and redemptions, dividends and
capital gain payment to shareholders and corporate actions while
maintaining exposure to the index and to minimize trading costs. The
underlying face amount, at value, of open index futures contracts is
$8,031,375 as of May 31, 1999.
2 Non-income producing security.
3 The repurchase agreement is fully collateralized by U.S. government
and/or agency obligations based on market prices at the date of the
portfolio. The investment in the repurchase agreement is through
participation in a joint account with other Federated funds.
4 The Federated Mortgage Core Portfolio is a diversified portfolio of
mortgage-backed securities.
5 The High Yield Portfolio is a diversified portfolio of below investment
grade bonds and is a portfolio of Federated Core Trust.
6 Denotes a restricted security which is subject to restrictions on resale
under Federal Securities laws. These securities have been deemed liquid
based upon criteria approved by the fund's board of directors. As of
May 31, 1999, these securities amounted to $1,298,594 which represents
1.0% of net assets.
7 The cost of investments for federal tax purposes amounts to $132,419,582.
The net unrealized appreciation of investments on a federal tax basis
amounts to $2,301,216 which is comprised of $4,829,630 appreciation and
$2,528,414 depreciation as of May 31, 1999.
Note: The categories of investments are shown as a percentage of net assets
($135,985,181) as of May 31, 1999.
The following acronyms are used throughout this portfolio:
COL -Collateralized
MBIA -Municipal Bond Investors Assurance
PLC -Public Limited Company
TRANs -Tax and Revenue Anticipation Notes
See Notes which are an integral part of the Financial Statements
Statement of Assets and Liabilities
MAY 31, 1999 (UNAUDITED)
<TABLE>
<S> <C> <C>
ASSETS:
Total investments in
securities, at value
(identified and tax cost
$132,419,582) $ 134,720,798
Cash 4,519
Income receivable 1,046,696
Receivable for shares sold 191,975
Receivable for daily
variation margin 70,000
Deferred organizational
costs 11,773
Other assets 1,038
TOTAL ASSETS 136,046,799
LIABILITIES:
Payable for shares
redeemed $ 119
Payable for taxes withheld 72
Accrued expenses 61,427
TOTAL LIABILITIES 61,618
Net assets for 12,747,635
shares outstanding $ 135,985,181
NET ASSETS CONSIST OF:
Paid in capital $ 132,538,056
Net unrealized
appreciation of
investments, translation
of assets and liabilities
in foreign currency and
futures contracts 2,217,293
Accumulated net realized
gain on investments,
foreign currency
transactions and futures
contracts 1,110,306
Undistributed net
investment income 119,526
TOTAL NET ASSETS $ 135,985,181
NET ASSET VALUE, OFFERING
PRICE AND REDEMPTION
PROCEEDS PER SHARE
INSTITUTIONAL SHARES:
$85,991,687 / 8,062,446
shares outstanding $10.67
SELECT SHARES:
$49,993,494 / 4,685,189
shares outstanding $10.67
</TABLE>
See Notes which are an integral part of the Financial Statements
Statement of Operations
SIX MONTHS ENDED MAY 31, 1999 (UNAUDITED)
<TABLE>
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 1,070,826
Interest (net of dollar
roll expense of $11,574)
(net of foreign taxes
withheld of $66) 2,846,016
TOTAL INCOME 3,916,842
EXPENSES:
Investment advisory fee $ 498,188
Administrative personnel
and services fee 77,288
Custodian fees 11,321
Transfer and dividend
disbursing agent fees and
expenses 34,839
Directors'/Trustees' fees 2,602
Auditing fees 8,937
Legal fees 2,186
Portfolio accounting fees 34,687
Distribution services fee-
Select Shares 181,710
Shareholder services fee-
Institutional Shares 104,948
Shareholder services fee-
Select Shares 60,570
Share registration costs 15,490
Printing and postage 19,309
Insurance premiums 1,596
Taxes 80
Miscellaneous 8,855
TOTAL EXPENSES 1,062,606
WAIVERS:
Waiver of investment
advisory fee $ (214,276)
Waiver of distribution
services fee-Select Shares (60,570)
Waiver of shareholder
services fee-Institutional
Shares (83,959)
TOTAL WAIVERS (358,805)
Net expenses 703,801
Net investment income 3,213,041
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCY AND FUTURES
CONTRACTS:
Net realized gain on
investments, foreign
currency transactions,
and futures contracts 1,785,234
Net change in unrealized
appreciation
(depreciation) of
investments, translation
of assets and liabilities
in foreign currency, and
futures contracts (3,812,842)
Net realized and
unrealized gain on
investments, foreign
currency transactions and
futures contracts (2,027,608)
Change in net assets
resulting from operations $ 1,185,433
</TABLE>
See Notes which are an integral part of the Financial Statements
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR
(unaudited) ENDED
MAY 31, NOVEMBER 30,
1999 1998
<S> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS
OPERATIONS:
Net investment income $ 3,213,041 $ 5,687,002
Net realized gain on
investments, foreign
currency transactions and
futures contracts
($1,785,234 and
$3,585,572, net gains
respectively, as computed
for federal tax purposes) 1,785,234 2,934,091
Net change in unrealized
appreciation
(depreciation) of
investments, translation
of assets and liabilities
in foreign currency and
futures contracts (3,812,842) 2,267,518
CHANGE IN NET ASSETS
RESULTING FROM OPERATIONS 1,185,433 10,888,611
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net
investment income
Institutional Shares (2,106,535) (3,861,664)
Select Shares (1,041,041) (1,805,745)
Distributions from net
realized gains on
investments, foreign
currency transactions and
futures contracts
Institutional Shares (2,276,942) (868,541)
Select Shares (1,309,740) (458,242)
CHANGE IN NET ASSETS
RESULTING FROM
DISTRIBUTIONS
TO SHAREHOLDERS (6,734,258) (6,994,192)
SHARE TRANSACTIONS:
Proceeds from sale of
shares 35,434,496 50,306,550
Net asset value of shares
issued to shareholders in
payment of
distributions declared 4,177,646 3,766,809
Cost of shares redeemed (25,692,095) (38,019,640)
CHANGE IN NET ASSETS
RESULTING FROM SHARE
TRANSACTIONS 13,920,047 16,053,719
Change in net assets 8,371,222 19,948,138
NET ASSETS:
Beginning of period 127,613,959 107,665,821
End of period (including
undistributed net
investment income of
$119,526 and $54,061,
respectively) $ 135,985,181 $ 127,613,959
</TABLE>
See Notes which are an integral part of the Financial Statements
Financial Highlights-Institutional Shares
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
(unaudited)
MAY 31, YEAR ENDED NOVEMBER 30,
1999 1998 1997 1996 1995 1994 1
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $11.13 $10.77 $10.56 $10.54 $ 9.76 $10.00
INCOME FROM
INVESTMENT OPERATIONS:
Net investment income 0.27 0.55 0.60 0.59 0.62 0.31
Net realized and
unrealized gain (loss) on
investments,
foreign currency
transactions, and futures
contracts (0.15) 0.49 0.30 0.12 0.78 (0.25)
TOTAL FROM
INVESTMENT OPERATIONS 0.12 1.04 0.90 0.71 1.40 0.06
LESS DISTRIBUTIONS:
Distributions from net
investment income (0.27) (0.55) (0.62) (0.62) (0.62) (0.30)
Distributions from net
realized gain on
investments, foreign
currency transactions and
futures contracts (0.31) (0.13) (0.07) (0.07) - -
TOTAL DISTRIBUTIONS (0.58) (0.68) (0.69) (0.69) (0.62) (0.30)
NET ASSET VALUE, END OF
PERIOD $10.67 $11.13 $10.77 $10.56 $10.54 $ 9.76
TOTAL RETURN 2 1.11% 10.06% 8.88% 6.98% 14.74% 0.55%
RATIOS TO AVERAGE NET
ASSETS:
Expenses 3 1.32% 4 1.42% 1.50% 1.60% 1.81% 1.68% 4
Net investment income 3 4.58% 4 4.47% 4.93% 4.92% 5.20% 5.01% 4
Expenses (after waivers) 0.80% 4 0.80% 0.80% 0.80% 0.75% 0.67% 4
Net investment income
(after waivers) 5.10% 4 5.09% 5.63% 5.72% 6.26% 6.02% 4
SUPPLEMENTAL DATA:
Net assets, end of period
(000 omitted) $85,992 $81,421 $71,058 $67,122 $50,852 $34,692
Portfolio turnover 64% 122% 99% 164% 165% 153%
</TABLE>
1 Reflects operations for the period from May 25,1994 (date of initial
public investment) to November 30, 1994. For the period from start at
business, January 18, 1994 to May 24, 1994, the net investment income was
distributed to the Fund's advisor.
2 Based on net asset value, which does not reflect the sales charge or
contingent deferred sales charge, if applicable.
3 During the period, certain fees were voluntarily waived and reimbursed.
If such voluntary waivers and reimbursements had not occurred, the ratios
would have been as indicated.
4 Computed on an annualized basis.
See Notes which are an integral part of the Financial Statements
Financial Highlights-Select Shares
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
(unaudited)
MAY 31, YEAR ENDED NOVEMBER 30,
1999 1998 1997 1996 1995 1994 1
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $11.13 $10.77 $10.56 $10.54 $ 9.77 $10.00
INCOME FROM
INVESTMENT OPERATIONS:
Net investment income 0.23 0.48 0.51 0.53 0.48 0.28
Net realized and
unrealized gain (loss) on
investments,
foreign currency
transactions and futures
contracts (0.15) 0.49 0.31 0.10 0.83 (0.25)
TOTAL FROM
INVESTMENT OPERATIONS 0.08 0.97 0.82 0.63 1.31 0.03
LESS DISTRIBUTIONS:
Distributions from net
investment income (0.23) (0.48) (0.54) (0.54) (0.54) (0.26)
Distributions from net
realized gain on
investments, foreign
currency transactions and
futures contracts (0.31) (0.13) (0.07) (0.07) - -
TOTAL DISTRIBUTIONS (0.54) (0.61) (0.61) (0.61) (0.54) (0.26)
NET ASSET VALUE, END OF
PERIOD $10.67 $11.13 $10.77 $10.56 $10.54 $ 9.77
TOTAL RETURN 2 0.77% 9.29% 8.14% 6.23% 13.76% 0.26%
RATIOS TO AVERAGE NET
ASSETS:
Expenses 3 2.07% 4 1.60% 2.25% 2.35% 2.56% 2.68% 4
Net investment income 3 3.81% 4 4.92% 4.18% 4.17% 4.50% 3.98% 4
Expenses (after waivers) 1.50% 4 1.50% 1.50% 1.50% 1.50% 1.42% 4
Net investment income
(after waivers) 4.38% 4 4.39% 4.93% 5.02% 5.56% 5.24% 4
SUPPLEMENTAL DATA:
Net assets, end of period
(000 omitted) $49,993 $46,193 $36,608 $25,459 $13,927 $3,198
Portfolio turnover 64% 122% 99% 164% 165% 153%
</TABLE>
1 Reflects operations for the period from May 25,1994 (date of initial
public investment) to November 30, 1994. For the period from start at
business, January 27, 1994 to May 24, 1994, the net investment income was
distributed to the Fund's advisor.
2 Based on net asset value, which does not reflect the sales charge or
contingent deferred sales charge, if applicable.
3 During the period, certain fees were voluntarily waived and reimbursed.
If such voluntary waivers and reimbursements had not occurred, the ratios
would have been as indicated.
4 Computed on an annualized basis.
See Notes which are an integral part of the Financial Statements
Notes to Financial Statements
MAY 31, 1999 (UNAUDITED)
ORGANIZATION
Managed Service Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "Act") as an open-end, management
investment company. The Trust consists of four portfolios. The financial
statements included herein are only those of Federated Managed Income Fund
(the "Fund"), a diversified portfolio. The financial statements of the
other portfolios are presented separately. The assets of each portfolio are
segregated and a shareholder's interest is limited to the portfolio in
which shares are held. The investment objective of the fund is to seek
current income.
The Fund offer two classes of shares: Institutional Shares and Select
Shares.
SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Fund in the preparation of its financial statements. These
policies are in conformity with generally accepted accounting principles.
INVESTMENT VALUATIONS
Listed equity securities are valued at the last sale price reported on a
national securities exchange. U.S. government securities, listed corporate
bonds, other fixed income and asset-backed securities, and unlisted
securities and private placement securities are generally valued at the
mean of the latest bid and asked price as furnished by an independent
pricing service. Short-term securities are valued at the prices provided by
an independent pricing service. However, short-term securities with
remaining maturities of sixty days or less at the time of purchase may be
valued at amortized cost, which approximates fair market value.
With respect to valuation of foreign securities, trading in foreign cities
may be completed at times which vary from the closing of the New York Stock
Exchange. Therefore, foreign securities are valued at the latest closing
price on the exchange on which they are traded prior to the closing of the
New York Stock Exchange. Foreign securities quoted in foreign currencies
are translated into U.S. dollars at the foreign exchange rate in effect at
noon, eastern time, on the day the value of the foreign security
is determined.
REPURCHASE AGREEMENTS
It is the policy of the Fund to require the custodian bank to take
possession, to have legally segregated in the Federal Reserve Book Entry
System, or to have segregated within the custodian bank's vault, all
securities held as collateral under repurchase agreement transactions.
Additionally, procedures have been established by the Fund to monitor, on a
daily basis, the market value of each repurchase agreement's collateral to
ensure that the value of collateral at least equals the repurchase price to
be paid under the repurchase agreement transaction.
The Fund will only enter into repurchase agreements with banks and other
recognized financial institutions, such as broker/dealers, which are
deemed by the Fund's adviser to be creditworthy pursuant to the guidelines
and/or standards reviewed or established by the Board of Trustees (the
"Trustees"). Risks may arise from the potential inability of
counterparties to honor the terms of the repurchase agreement.
Accordingly, the Fund could receive less than the repurchase price on the
sale of collateral securities.
INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS
Interest income and expenses are accrued daily. Bond premium and discount,
if applicable, are amortized as required by the Internal Revenue Code, as
amended (the "Code"). Dividend income and distributions to shareholders
are recorded on the ex-dividend date.
FEDERAL TAXES
It is the Fund's policy to comply with the provisions of the Code
applicable to regulated investment companies and to distribute to
shareholders each year substantially all of its income. Accordingly, no
provisions for federal tax are necessary.
However, federal taxes may be imposed on the Fund upon the disposition of
certain investments in passive foreign investment companies. Withholding
taxes on foreign interest and dividends have been provided for in
accordance with the Fund's understanding of the applicable country's tax
rules and rates.
WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS
The Fund may engage in when-issued or delayed delivery transactions. The
Fund records when-issued securities on the trade date and maintains
security positions such that sufficient liquid assets will be available
to make payment for the securities purchased. Securities purchased on a
when-issued or delayed delivery basis are marked to market daily and begin
earning interest on the settlement date.
FUTURES CONTRACTS
The Fund purchases stock index futures contracts to manage cashflows,
enhance yield, and to potentially reduce transaction costs. Upon entering
into a stock index futures contract with a broker, the Fund is required to
deposit in a segregated account a specified amount of cash or
U.S. government securities. Futures contracts are valued daily and
unrealized gains or losses are recorded in a "variation margin" account.
Daily, the Fund receives from or pays to the broker a specified amount of
cash based upon changes in the variation margin account. When a contract is
closed, the Fund recognizes a realized gain or loss. Futures contracts have
market risks, including the risk that the change in the value of the
contract may not correlate with changes in the value of the underlying
securities. For the period ended May 31, 1999, the Fund had realized gains
of $1,348,526. As of May 31, 1999, the Fund had outstanding futures
contracts as set forth below:
<TABLE>
<CAPTION>
CONTRACTS TO UNREALIZED
EXPIRATION DATE DELIVER/RECEIVE POSITION NET NOTIONAL AMOUNT DEPRECIATION
<S> <C> <C> <C> <C>
June 1999 25 S&P 500 Long $8,107,500 $(76,125)
</TABLE>
FORWARD COMMITMENTS
The Fund may enter into forward commitments for the delayed delivery of
securities which are based upon financial indices at a fixed price at a
future date. Risks may arise upon entering these contracts from the
potential inability of counterparts to meet the terms of their contracts
and from unanticipated movements in security prices. The Fund had no
forward foreign currency exchange contracts outstanding at May 31, 1999.
FOREIGN CURRENCY TRANSLATION
The accounting records of the Fund are maintained in U.S. dollars. All
assets and liabilities denominated in foreign currencies ("FC") are
translated into U.S. dollars based on the rate of exchange of such
currencies against U.S. dollars on the date of valuation. Purchases and
sales of securities, income and expenses are translated at the rate of
exchange quoted on the respective date that such transactions are recorded.
Differences between income and expense amounts recorded and collected or
paid are adjusted when reported by the custodian bank. The Fund does not
isolate that portion of the results of operations resulting from changes in
foreign exchange rates on investments from the fluctuations arising from
changes in market prices of securities held. Such fluctuations are included
with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales
of FCs, currency gains or losses realized between the trade and settlement
dates on securities transactions, the difference between the amounts of
dividends, interest, and foreign withholding taxes recorded on the Fund's
books, and the U.S. dollar equivalent of the amounts actually received or
paid. Net unrealized foreign exchange gains and losses arise from changes
in the value of assets and liabilities other than investments in securities
at fiscal year end, resulting from changes in the exchange rate.
RESTRICTED SECURITIES
Restricted securities are securities that may only be resold upon
registration under federal securities laws or in transactions exempt from
such registration. In some cases, the issuer of restricted securities has
agreed to register such securities for resale, at the issuer's expense
either upon demand by the Fund or in connection with another registered
offering of the securities. Many restricted securities may be resold in the
secondary market in transactions exempt from registration. Such restricted
securities may be determined to be liquid under criteria established by the
Board of Trustees. The Fund will not incur any registration costs upon such
resales. The Fund's restricted securities are valued at the price provided
by dealers in the secondary market or, if no market prices are available,
at the fair value as determined by the Fund's pricing committee.
Additional information on each restricted security held as of May 31, 1999
is as follows:
<TABLE>
<CAPTION>
ACQUISITION ACQUISITION
SECURITY DATE COST
<S> <C> <C>
Bayer Corp. 03/21/1996-04/17/1996 $345,302
Den Danske Bank 01/7/1998 497,199
Swedbank 01/7/1998 497,806
</TABLE>
DOLLAR ROLL TRANSACTIONS
The Fund enters into dollar roll transactions, with respect to mortgage
securities issued by GNMA, FNMA and FHLMC, in which the Fund sells mortgage
securities to financial institutions and simultaneously agrees to accept
substantially similar (same type, coupon and maturity) securities at a
later date at an agreed upon price. Dollar roll transactions involve "to be
announced" securities and are treated as short-term financing arrangements
which will not exceed twelve months. The Fund will use the proceeds
generated from the transactions to invest in short-term investments, which
may enhance the Fund's current yield and total return.
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 amounts of assets, liabilities, expenses and
revenues reported in the financial statements. Actual results could differ
from those estimated.
OTHER
Investment transactions are accounted for on the trade date.
SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest (without par value)
for each class of shares. Transactions in shares were as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
MAY 31, 1999 NOVEMBER 30, 1998
INSTITUTIONAL SHARES: SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Shares sold 2,297,756 $ 24,898,519 2,994,554 $ 32,643,234
Shares issued to
shareholders in payment of
distributions declared 234,282 2,530,580 223,280 2,420,840
Shares redeemed (1,786,009) (19,329,852) (2,496,345) (27,198,765)
NET CHANGE RESULTING FROM
INSTITUTIONAL SHARE
TRANSACTIONS 746,029 $ 8,099,247 721,489 $ 7,865,309
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
MAY 31, 1999 NOVEMBER 30, 1998
SELECT SHARES: SHARES AMOUNT SHARES AMOUNT
<S> <C> <C> <C> <C>
Shares sold 970,924 $ 10,535,977 1,622,667 $ 17,663,316
Shares issued to
shareholders in payment of
distributions declared 152,311 1,647,066 124,219 1,345,969
Shares redeemed (587,312) (6,362,243) (995,122) (10,820,875)
NET CHANGE RESULTING FROM
SELECT SHARE TRANSACTIONS 535,923 $ 5,820,800 751,764 $ 8,188,410
NET CHANGE RESULTING FROM
SHARE TRANSACTIONS 1,281,952 $ 13,920,047 1,473,253 $ 16,053,719
</TABLE>
INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY FEE
Federated Investment Management Company (formerly Federated Management),
the Fund's investment adviser (the "Adviser"), receives for its services an
annual investment advisory fee equal to 0.75% of the Fund's average daily
net assets. The Adviser may choose to waive any portion of its fee. The
Adviser can modify or terminate this voluntary waiver at any time at its
sole discretion.
Under the terms of a sub-advisory agreement between the adviser and
Federated Global Research Corp. (the "Sub-Adviser"), the Sub-Adviser,
receives an allocable portion of the Fund's advisory fee. Such allocation
is based on the amount of foreign securities which the Sub-Adviser manages
for the Fund. This fee is paid by the Adviser out of its resources and is
not an incremental Fund expense.
ADMINISTRATIVE FEE
Federated Services Company ("FServ"), under the Administrative Services
Agreement, provides the Fund with administrative personnel and services.
The fee paid to FServ is based on the level of average aggregate daily net
assets of all funds advised by subsidiaries of Federated Investors, Inc.
for the period. The administrative fee received during the period of the
Administrative Services Agreement shall be at least $125,000 per portfolio
and $30,000 per each additional class of shares.
DISTRIBUTION SERVICES FEE
The Fund has adopted a Distribution Plan (the "Plan") pursuant to Rule 12b-
1 under the Act. Under the terms of the Plan, the Fund will compensate
Federated Securities Corp. ("FSC"), the principal distributor, from the
net assets of the Fund to finance activities intended to result in the sale
of the Funds's Select shares. The Plan provides that the Fund may incur
distribution expenses of up to 0.75% of average net assets, annually, to
compensate FSC. The distributor may voluntarily choose to waive any portion
of its fee. The distributor can modify or terminate this voluntary waiver
at any time at its sole discretion.
SHAREHOLDER SERVICES FEE
Under the terms of a Shareholder Services Agreement with Federated
Shareholder Services Company ("FSSC"), the Fund will pay FSSC up to 0.25%
of average daily net assets of the Fund shares for the period. The fee paid
to FSSC is used to finance certain services for shareholders and to
maintain shareholder accounts. FSSC may voluntarily choose to waive any
portion of its fee. FSSC can modify or terminate this voluntary waiver at
any time at its sole discretion.
TRANSFER AND DIVIDEND DISBURSING AGENT FEES AND EXPENSES
FServ, through its subsidiary, Federated Shareholder Services Company
("FSSC") serves as transfer and dividend disbursing agent for the Fund. The
fee paid to FSSC is based on the size, type, and number of accounts and
transactions made by shareholders.
PORTFOLIO ACCOUNTING FEES
FServ maintains the Fund's accounting records for which it receives a fee.
The fee is based on the level of the Fund's average daily net assets for
the period, plus out-of-pocket expenses.
ORGANIZATIONAL EXPENSES
Organizational expenses of $91,334 were borne initially by the Adviser. The
Fund has agreed to reimburse the Adviser for these expenses. The expenses
have been deferred and are being amortized over the five-year period
following the Fund's effective date.
GENERAL
Certain of the Officers and Trustees of the Trust are Officers and
Directors or Trustees of the above companies.
INVESTMENT TRANSACTIONS
Purchases and sales of investments, excluding short-term securities, for
the period ended May 31, 1999, were as follows:
Purchases $90,021,680
Sales $78,487,052
CONCENTRATION OF CREDIT RISK
The Fund invests in securities of non-U.S. issuers. Although the Fund
maintains a diversified investment portfolio, the political or economic
developments within a particular country or region may have an adverse
effect on the ability of domiciled issuers to meet their obligations.
Additionally, political or economic developments may have an effect on the
liquidity and volatility of portfolio securities and currency holdings.
As of May 31, 1999, the diversification of industries for non-U.S. issuers
was as follows;
PERCENTAGE
OF NET
INDUSTRY ASSETS
Agency 0.2
Banking 1.1
Financial Intermediaries 0.1
Forest Products 0.3
Metals & Mining 0.6
Sovereign 2.7
Sovereign Government 0.7
State/Provincial 0.1
Unassigned 0.2
Utilities 0.1
YEAR 2000 (UNAUDITED)
Similar to other financial organizations, the Fund could be adversely
affected if the computer systems used by the Fund's service providers do
not properly process and calculate date-related information and data from
and after January 1, 2000. The Fund's Adviser and administrator are taking
measures that they believe are reasonably designed to address the Year 2000
issue with respect to computer systems that they use and to obtain
reasonable assurances that comparable steps are being taken by each of the
Fund's other service providers. At this time, however, there can be no
assurance that these steps will be sufficient to avoid any adverse impact
to the Fund.
SUBSEQUENT EVENT
On May 19, 1999, the Trust's Board of Trustees, upon the recommendation of
the Audit Committee of the Board of Trustees, dismissed Arthur Andersen LLP
("AA") as the Trust's independent auditors. During the six-month period
ended May 31, 1999 (the "Period"): (i) AA did not issue any report on the
Trust's financial statements; (ii) there were no disagreements with AA on
any matter of accounting principles or practices, financial statement
disclosure or auditing scope or procedure, which disagreements, if not
resolved to the satisfaction of AA would have caused it to make reference
to the subject matter of the disagreements in connection with its report
on the financial statements for such period; and (iii) there were no
"reportable events" of the kind described in Item 304(a)(1)(v) of
Regulation S-K under the Securities Exchange Act of 1934, as amended.
The Trust, by action of its Board of Trustees, engaged Deloitte & Touche LLP
("D&T") as the independent auditors for purposes of auditing the Trust's
financial statements for the fiscal year ending November 30, 1999. During
the Period, neither the Trust, nor anyone on the Trust's behalf has
consulted D&T on items which (i) concerned the application of accounting
principles to a specified transaction, either completed or proposed, or the
type of audit opinion that might be rendered on the Trust's financial
statements or (ii) concerned the subject of a disagreement (as defined in
paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as
described in paragraph (a)(1)(v) of said Item 304).
Trustees
JOHN F. DONAHUE
THOMAS G. BIGLEY
JOHN T. CONROY, JR.
WILLIAM J. COPELAND
JOHN F. CUNNINGHAM
LAWRENCE D. ELLIS, M.D.
GLEN R. JOHNSON
PETER E. MADDEN
CHARLES F. MANSFIELD, JR.
JOHN E. MURRAY, JR., J.D., S.J.D.
MARJORIE P. SMUTS
JOHN S. WALSH
Officers
JOHN F. DONAHUE
Chairman
GLEN R. JOHNSON
President
J. CHRISTOPHER DONAHUE
Executive Vice President
EDWARD C. GONZALES
Executive Vice President
JOHN W. MCGONIGLE
Executive Vice President and Secretary
RICHARD J. THOMAS
Treasurer
RICHARD B. FISHER
Vice President
C. GRANT ANDERSON
Assistant Secretary
Mutual funds are not bank deposits or obligations, are not guaranteed by
any bank, and are not insured or guaranteed by the U.S. government, the
Federal Deposit Insurance Corporation, the Federal Reserve Board, or any
other government agency. Investment in mutual funds involves investment
risk, including the possible loss of principal.
This report is authorized for distribution to prospective investors only
when preceded or accompanied by the fund's prospectuses which contain facts
concerning its objective and policies, management fees, expenses, and
other information.
[Graphic]
Federated
World-Class Investment Manager
SEMI-ANNUAL REPORT
Federated Managed Income Fund
INSTITUTIONAL SHARES
SELECT SHARES
MAY 31, 1999
[Graphic]
Federated
Federated Managed Income Fund
Federated Investors Funds
5800 Corporate Drive
Pittsburgh, PA 15237-7000
1-800-341-7400
WWW.FEDERATEDINVESTORS.COM
Federated Securities Corp., Distributor
Cusip 56166K107
Cusip 56166K206
G00517-01 (7/99)
[Graphic]
