Sunstone Financial Group, Inc.
207 E. Buffalo St., Suite 400
Milwaukee, WI 53202
Phone: (414) 271-5885
Fax: (414) 271-5910
May 28, 1996
VIA EDGAR
Securities and Exchange Commission
Judiciary Plaza
450 Fifth Street, N.W.
Washington, D.C. 20549
Re: Northern Funds - Registration Nos. 33-73404; 811-8236
- ---------------------------------------------------------
Dear Sir or Madam:
On behalf of the above named registrant, we hereby file the Funds' Annual Report
to Shareholders for the period ended March 31, 1996; pursuant to Rule 30b2-1
and Section 24(b) under the Investment Company Act of 1940, as amended.
Please telephone the undersigned at (414) 271-5885 should you have any questions
regarding this filing.
/s/ Elyce D. Dilworth
- ---------------------
Elyce D. Dilworth
Senior Analyst
EDD/kg
cc: Jim Grassi (paper copy)
Jeff Dalke (paper copy)
NORTHERN FUNDS
ANNUAL
REPORT
March 31, 1996
NOTICE TO INVESTORS
NOT FDIC-INSURED
May lose value
No bank guarantee
Northern Funds are not insured or guaranteed by the U.S. government, nor can
there be any assurance that the money market funds will be able to maintain a
stable net asset value of $1.00 per share.
Shares of Northern Funds are distributed by Sunstone Financial Group, Inc., an
independent third-party distributor, and sold by The Northern Trust Company and
its affiliates.
Table of Contents
Abbreviations and Other Information (i)
Letter to Shareholders 1
Economic and Market Overviews 2
Portfolio Commentaries 4
Money Market Funds
Statements of Assets and Liabilities 12
Statements of Operations 13
Statements of Changes in Net Assets 14
Financial Highlights 16
Schedules of Investments
Money Market Fund 18
U.S. Government Money Market Fund 21
Municipal Money Market Fund 22
U.S. Government Select Money Market Fund 29
California Municipal Money Market Fund 30
Fixed Income Funds
Statements of Assets and Liabilities 32
Statements of Operations 33
Statements of Changes in Net Assets 34
Financial Highlights 36
Schedules of Investments
U.S. Government Fund 38
Fixed Income Fund 39
Intermediate Tax-Exempt Fund 41
Tax-Exempt Fund 46
International Fixed Income Fund 49
Equity Funds
Statements of Assets and Liabilities 50
Statements of Operations 51
Statements of Changes in Net Assets 52
Financial Highlights 54
Schedules of Investments
Income Equity Fund 56
Growth Equity Fund 58
Select Equity Fund 60
Small Cap Growth Fund 62
International Growth Equity Fund 74
International Select Equity Fund 76
Notes to the Financial Statements 78
Independent Auditor's Report 83
Abbreviations and Other Information
With respect to the Schedules of Investments, the percentage shown for each
investment category reflects the value of investments in that category as a
percentage of total net assets.
Interest rates represent either the stated coupon rate, annualized yield on date
of purchase for discounted notes, or, for floating rate securities, the current
reset rate.
Prerefunding is a procedure in which a bond issuer floats a second bond in order
to pay off the first bond at the first call date. The proceeds from the sale of
the second bond are safely invested, usually in Treasury securities, that will
mature at the first call date of the first bond issue. Those first bonds are
said to be prerefunded after this operation has taken place.
Maturity dates represent the stated date on the security, the next interest
reset date for floating rate securities or the prerefunded date for these types
of securities.
Explanation of Abbreviations
Used Throughout the Schedules of Investments
ADR American Depository Receipt
ADP Automated Data Processing
AMBAC American Municipal Bond Assurance Corp.
AMT Alternative Minimum Tax
BAN Bond Anticipation Note
BIGI Bond Investors Guaranty Insurance
BTP Banker's Trust Partnership
CGIC Capital Guaranty Insurance Co.
Colld. Collateralized
COP Certificates of Participation
CP Commercial Paper
FFCB Federal Farm Credit Bank
FGIC Financial Guaranty Insurance Corp.
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan Mortgage Corp.
FNMA Federal National Mortgage Association
FRN Floating Rate Note
FSAC Financial Security Assurance Corp.
GDR General Depository Receipt
G.O. General Obligation
GIC Guaranteed Investment Contract
GNMA Government National Mortgage Association
Gtd. Guaranteed
IDA Industrial Development Authority
IDR Industrial Development Revenue
I.O. Interest Only
JPMP J.P. Morgan Partnership
LOC Letter of Credit
LP Limited Partnership
MBIA Municipal Bond Insurance Association
MTA Metropolitan Transit Authority
PCR Pollution Control Revenue
P-Floats Puttable Floating Rate Security
P.O. Principal Only
PRSV Preservation Project
PSF Permanent School Fund
RAC Revenue Anticipation Certificate
RAN Revenue Anticipation Note
RAW Revenue Anticipation Warrant
REMIC Real Estate Mortgage Investment Conduit
SFMR Single Family Mortgage Revenue
SLMA Student Loan Marketing Association
Soc Gen Societe Generale
TAN Tax Anticipation Note
TOB Tender Option Bond
TOCR Tender Option Custodial Receipt
TRAN Tax and Revenue Anticipation Note
TVA Tennessee Valley Authority
VRDN Variable Rate Demand Note
* Non-Income Producing Security
NORTHERN FUNDS
May 1996
Dear Shareholder:
We are pleased to provide you with this Northern Funds Annual Report for the
year ended March 31, 1996. In it, you'll find information about your investment,
enabling you to better monitor its management and performance.
Our report to you includes economic and market overviews, commentaries from the
managers of each of the sixteen Northern Funds portfolios, a listing of
securities held in each portfolio, and each fund's operating results.
Please read this report carefully and retain it in your files for future
reference.
To avoid duplication, we have sent only one copy of the report per mailing
address. If you would like to receive duplicate copies, please call the Northern
Funds Center at 1-800-595-9111. We will send additional copies and adjust our
records accordingly for future mailings.
Thank you for your investment in Northern Funds. Please let us know if there's
anything we can do to serve you better.
Sincerely,
/S/ James M. Snyder
James M. Snyder
Chief Investment Officer
NORTHERN FUNDS POST OFFICE BOX 75986 CHICAGO, IL 60690-6319
PHONE (800) 595-9111 FAX (312) 557-0411
ECONOMIC AND MARKET OVERVIEWS
REVIEW AND OUTLOOK OF THE ECONOMY
Most U.S. investors will remember our fiscal year ended March 31, 1996 fondly,
as a slowing economy and declining interest rates paved the way for a
spectacular surge in stock prices and a solid bond market rally. By fiscal year
end, long-term U.S. bond prices had risen by more than 10%, while the U.S. stock
market posted a 32% total return, as measured by the Standard & Poor's 500 Stock
Index.
As the decline in interest rates spread across the globe, bond markets in other
developed nations enjoyed positive returns despite a sell-off during the first
three months of calendar 1996. Equity investors, however, experienced mixed
results as European exchanges were less responsive to falling interest rates
than their U.S. counterparts. While a handful posted returns in excess of 20%,
most international markets registered single-digit gains. In Japan, equities
ended the fiscal year up 12% as stocks finally responded to an improving economy
and lower interest rates.
Currencies were even more volatile than interest rates or stock prices during
the year. The U.S. dollar fell sharply at first, declining 15% against core
European currencies and more than 20% against the yen before aggressive Bank of
Japan intervention pushed the greenback higher. While all of the dollar's
losses against the yen were erased, it ended the year marginally lower against
major European currencies.
A primary factor in the volatility of the currency, stock and bond markets was
the markets' hope for progress in Washington to trim the budget deficit.
Potential good news on that front was discounted off and on throughout 1995, as
eventual progress was less than what the optimists had hoped for. Nonetheless,
politics and economics - slowing growth and low inflation - combined to provide
a near ideal environment over the past twelve months for financial assets,
particularly in the U.S.
REVIEW AND OUTLOOK OF THE STOCK MARKET
The Standard & Poor's 500 Stock Index posted a record-breaking twelve months, as
blue chip stocks led a powerful rally that made last year one of the best in
stock market history. A key element of success was size, as the market's
momentum was focused on large, multinational companies, while small cap issues
lagged behind.
The best gains by sector within the U.S. market were posted by technology issues
(benefiting from a strong earnings surge) and financial stocks (helped by lower
interest rates as well as a strong merger and acquisition trend). Health care
issues also outpaced the market steadily throughout the year, benefiting from
slower economic growth.
Overseas, it was quite a different story as U.S. investors in foreign securities
earned less than half of U.S. returns - badly trailing the U.S. market's
spectacular returns. In fact, all of the relative outperformance of foreign
markets during 1993 and 1994 was given back during the past twelve months. In
short, last year was certainly a year for investors to have stayed at home.
Looking ahead, we expect growth stocks to perform strongly for the remainder of
1996, continuing the trend that began with good gains over the past three
months. An unsettled economy, pricing flexibility limited by low inflation, and
pressures on profit margins should combine to make calendar 1996 a much tougher
environment for corporate America.
In addition, an increase in global investing may prove tactically rewarding
following the disappointment of last year. In a low inflation, low interest
rate climate, the markets of Europe, as well as the Asian dollar-linked markets,
should enjoy strong performances when compared with those in the U.S.
REVIEW AND OUTLOOK OF THE BOND MARKET
The twelve-month period ending March 1996 proved to be a positive one for fixed
income investors, with interest rates falling substantially across the Treasury
yield curve. Signs of slow growth, muted inflation and fiscal restraint all
contributed to bonds' good performance. The Federal Reserve eased interest
rates by 25 basis points on three different occasions during the twelve months,
but the bullish tone in the market faded following the most recent easing in
January. For this period, the Treasury yield curve steepened more than 25 basis
points, with the long 30-year bond closing at 6.66%.
The municipal bond market also generously rewarded investors, although tax-free
bonds underperformed Treasury issues. The fallout from 1994's poor returns,
Orange County's (California) bankruptcy, and the specter of tax reform dogged
tax-exempts for much of this period. However, municipals turned around and
outperformed Treasuries in the first quarter of 1996 as worries about the flat
tax dissipated with Steve Forbes' defeat at the polls.
Meanwhile, most overseas bond markets outperformed the U.S. bond market in local
terms for the last twelve months, but lagged in dollar-denominated terms. This
pattern continued into 1996's first three months, with Japanese and German bond
performance handily besting U.S. bond returns, although their advantage narrowed
when calculated in dollar terms.
Interest rates moved up beginning in February, as nervous investors confronted
scattered signs of firming economic activity amid a host of uncertainties. Data
interpretation throughout the first quarter was even more difficult than usual
because of effects brought on by the federal government shutdowns and severe
winter weather. Nevertheless, bond market participants were concerned enough
about the growth implications to remove any expectations of further Fed easings
from the term structure of interest rates.
Despite recent market volatility and some indications of a firmer economy, we
continue to characterize the bond market as essentially normal. At this time,
we maintain our belief that economic forces will balance each other in upcoming
quarters - keeping the economy on a moderate growth path, with inflation
remaining well under control. Although uncertainty about the strength of
economic activity is likely to keep investors skittish, we feel that the current
level of Treasury yields offers historically attractive real returns.
Nevertheless, market participants should be prepared for ongoing price
fluctuations.
REVIEW AND OUTLOOK OF THE MONEY MARKET
Short-term interest rates moved irregularly lower during the twelve-month period
ending March 31, 1996 as sluggish economic growth, low inflation and a
presumption of longer-term fiscal restraint in Washington contributed to the
market rally. The Federal Reserve eased rates on three occasions, bringing the
Federal Funds rate from 6.0% to 5.25%. Short-term rates continued to fall
during early 1996 as the return on one-year Treasury notes fell below 4.8%.
The last half of February 1996 saw a dramatic turnaround after non-farm
employment data was released. Investors reacted to the surprising drop in the
unemployment rate and the yield on one-year and two-year Treasuries jumped to
5.4% and 5.8%, respectively, more than 60 and 100 basis points above the mid-
February lows. Given this economic backdrop, the Federal Reserve's Open Market
Committee opted to maintain the targeted Federal Funds rate at its March 26
meeting.
In the municipal market, limited supply and reserve-building in anticipation of
April 1995 tax payments kept interest rates relatively steady. While outflows
from tax-exempt money market funds are anticipated as payments are made to the
Internal Revenue Service, municipal money market rates could hold firm if the
new issue calendar remains light.
Despite a background of campaign rhetoric from now until fall, we believe the
direction of inflation and the strength of the economy will continue to be the
primary drivers of investor expectations and interest rates. Therefore, we see
little reason for significant additional increases in short-term rates over the
next several months. We agree with most forecasters that the increase in non-
farm employment in February overstated the actual strength of the economy and we
anticipate no more than moderate employment gains in the months ahead.
Now that the General Motors strike has been settled, the expectation of a
sluggish economy has been removed from our forecast, although we doubt that
growth beyond moderate levels will prevail. The Federal Reserve may no longer
be in the mood to ease interest rates, but we don't look for tightening anytime
soon, especially if inflation rates remain as docile as we anticipate.
While a strong rally appears unlikely, we feel that short-term interest rates
have probably moved to the high end of a new trading range. Rates approaching
6% on two-year Treasury notes represent attractive real returns in an
environment of 3%, or lower, inflation.
Looking ahead, we view the upward slope in the yield curves as an opportunity to
add high quality exposure to our portfolios at attractive yields. We anticipate
significant volatility during fiscal 1997 and will continue to employ our
disciplined investment strategies and maintain our emphasis on quality
securities.
PORTFOLIO COMMENTARIES
MONEY MARKET FUND
During the latter part of calendar 1995 and the first quarter of calendar 1996,
it was expected that the money market would experience lower interest rates.
Instead, the beginning of calendar 1996 has seen an upswing in rates. At
present, the portfolio is heavily weighted (68%) in tier-one commercial paper
(issues rated in the highest commercial paper rating category by at least two
nationally recognized statistical rating organizations (NRSROs)) where yields
are presently most attractive. The remainder is invested in certificates of
deposit, repurchase agreements, variable-rate notes, Treasury bills and other
high-quality securities. Quality remains the primary factor in selecting issues
for the portfolio with yield being a secondary consideration. Looking ahead to
the coming year, our strategy will be to act defensively as we anticipate
Federal Reserve actions that may affect the performance of the Fund. As always,
we will continue to focus on providing our shareholders with the quality,
liquidity and yield they are seeking in a money market fund.
Mary Ann Flynn
Portfolio Manager
U.S. GOVERNMENT MONEY MARKET FUND
U.S. GOVERNMENT SELECT MONEY MARKET FUND
The direction of interest rates had a major effect on the performance of the
Funds last year. As we entered a new environment of falling rates over the
course of calendar 1995, the average maturity of the Funds was adjusted to take
advantage of the inverted yield curve. Although we continued to maintain the
portfolios' barbell structures, the attractive yields offered by overnight
securities influenced us to invest heavily in these issues. The overall
composition of the portfolios changed very little throughout the year, as we
maintained our heavy concentration in securities issued by agencies of the
government which have continued to outperform U.S. Treasuries. Since the Funds
invest exclusively in securities that are backed or issued by the U.S.
government, the quality of our portfolios continues to be of the highest order.
In the year ahead, we will closely monitor the actions taken by the Federal
Reserve and are positioning the Funds somewhat defensively in order to take
advantage of any interest rate movements.
Edward Kyritz, III
Portfolio Manager
MUNICIPAL MONEY MARKET FUND
The Fund was able to outperform its peer group last year as we lengthened the
average maturity of the portfolio to take advantage of the declining interest
rate environment that developed as 1995 progressed. We entered the first
quarter of 1996 with the same barbelled structure that served us well for most
of 1995, and plan to maintain this strategy during what we believe will be a
period of fairly stable interest rates in the months ahead. We will continue to
monitor the economy and the Fed's interest rate policy closely and are poised to
react should we see significant departures from our expectations.
Brad Snyder
Portfolio Manager
CALIFORNIA MUNICIPAL MONEY MARKET FUND
In reaction to the declining interest rate environment throughout the year, we
maintained an average maturity during 1995 that was significantly longer than
the market as a whole. By structuring the portfolio with a barbell combination
of one-year fixed-rate and 1-7 day floating-rate notes, we were able to
outperform our benchmark (IBC's Money Fund AverageTM/ California State-specific
Stock Broker & General Purpose). For the remainder of 1996, we plan to maintain
our barbell structure as we continue to focus on issues of appropriate credit
quality.
Peter Marchese
Portfolio Manager
<TABLE>
<CAPTION>
MONEY MARKET FUNDS 7-DAY YIELDS<F1>
PERIOD ENDED MAY 10, 1996
U.S. Government Municipal U.S. Government Select California Municipal
Money Market Fund Money Market Fund Money Market Fund Money Market Fund Money Market Fund
---------------- ---------------- ---------------- ---------------- ----------------
<S> <C> <C> <C> <C> <C>
Current 4.89% 4.77% 3.37% 4.89% 3.40%
Effective 5.01% 4.88% 3.44% 5.01% 3.46%
<FN>
<F1>Yield calculations reflect fee waivers in effect, represent past performance and will fluctuate. In the absence of fee waivers,
current 7-day yields for the Money Market, U.S. Government Money Market, Municipal Money Market, U.S. Government Select Money Market
and California Municipal Money Market Funds would have been 4.81%, 4.62%, 3.29%, 4.83% and 3.33%, respectively. An investment in
any one of the money market funds is neither insured nor guaranteed by the U.S. government nor is there any assurance the funds will
be able to maintain a stable net asset value of $1.00 per share.
</TABLE>
<TABLE>
<CAPTION>
MONEY MARKET FUNDS YIELD<F2> COMPARISONS
AVERAGE MONTHLY RATES
IBC'S
MONEY FUND
AVERAGETM/
IBC'S CALIFORNIA
IBC'S IBC'S IBC'S U.S. GOV'T. MONEY FUND CALIFORNIA STATE-SPECIFIC
MONEY FUND U.S. GOV'T. MONEY FUND MUNICIPAL MONEY FUND SELECT AVERAGETM/ MUNICIPAL STOCK BROKER
MONEY AVERAGETM/MONEY MARKET AVERAGETM/ MONEY MARKET AVERAGETM/ MONEY MARKET 100% U.S. MONEY MARKET & GENERAL
MARKET FUND ALL TAXABLE FUND GOVERNMENT FUND ALL TAX-FREE FUND TREASURIES FUND PURPOSE
----------- ---------- ---- ---------- ---- ------------ ---- ---------- ---- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1996
March 4.91% 4.76% 4.77% 4.60% 2.98% 2.79% 4.88% 4.50% 2.99% 2.67%
February 5.00% 4.83% 4.85% 4.64% 3.05% 2.85% 4.96% 4.61% 3.10% 2.75%
January 5.23% 5.05% 5.07% 4.85% 3.12% 2.97% 5.13% 4.75% 3.16% 2.88%
1995
December 5.30% 5.19% 5.18% 5.01% 3.68% 3.52% 5.25% 4.89% 3.99% 3.45%
November 5.46% 5.23% 5.28% 5.05% 3.56% 3.29% 5.39% 4.90% 3.63% 3.20%
October 5.44% 5.22% 5.30% 5.04% 3.52% 3.24% 5.40% 4.89% 3.58% 3.15%
September 5.46% 5.25% 5.36% 5.08% 3.53% 3.28% 5.42% 4.96% 3.62% 3.18%
August 5.47% 5.27% 5.42% 5.09% 3.48% 3.22% 5.46% 5.01% 3.55% 3.13%
July 5.54% 5.36% 5.51% 5.18% 3.32% 3.10% 5.60% 5.08% 3.42% 3.00%
June 5.66% 5.48% 5.63% 5.32% 3.52% 3.32% 5.73% 5.18% 3.63% 3.20%
May 5.77% 5.51% 5.66% 5.34% 4.01% 3.74% 5.78% 5.24% 4.13% 3.65%
April 5.77% 5.53% 5.69% 5.35% 3.86% 3.59% 5.83% 5.25% 3.94% 3.48%
<FN>
<F2>Yield calculations for Northern Funds reflect fee waivers in effect, represent past performance and will fluctuate; in the
absence of fee waivers, performance would be reduced. An investment in any one of the money market funds is neither insured nor
guaranteed by the U.S. government nor is there any assurance the funds will be able to maintain a stable net asset value of $1.00
per share.
We compare our funds to the IBC's Money Fund AveragesTM which are composites of professionally managed money market investments with
similar investment objectives.
</TABLE>
U.S. GOVERNMENT FUND
4/1/94 9/30/94 3/31/95 9/30/95 3/31/96
------ ------ ------ ------ ------
U.S. Government Fund $10,000 10,010 10,349 10,904 11,141
Lehman Bros. Intermediate
Gov't. Bond Index $10,000 10,020 10,427 11,084 11,376
Total Return
FOR THE PERIOD ENDED 3/31/96
ONE YEAR 7.65%
AVERAGE ANNUAL SINCE INCEPTION 5.54%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Lehman Brothers Intermediate Government Bond Index is made up of the
Treasury Bond Index (all public obligations of the U.S. Treasury, excluding
flower bonds and foreign-targeted issues) and the Agency Bond Index (all
publicly issued debt of U.S. small government agencies and quasi-federal
corporations, and corporate debt guaranteed by the U.S. Government). It includes
only those bonds with maturities of up to ten years.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Performance of the Fund during fiscal 1996 reflected a volatile period for the
U.S. Treasury market. Responding to a slowdown in the domestic economy, Treasury
prices increased as calendar year 1995 progressed. Low inflation and fiscal
reform discussions intensified the rally as the calendar turned. Throughout the
rally, the Treasury yield curve steepened. More recently, indications of
improving economic growth have resulted in a reversal of sentiment and we have
seen an upturn in Treasury rates.
Monty M. Memler
Portfolio Manager
FIXED INCOME FUND
4/1/94 9/30/94 3/31/95 9/30/95 3/31/96
----- ------ ------ ------ ------
Fixed Income Fund $10,000 9,917 10,416 11,314 11,581
Lehman Bros.
Gov't./Corp. Bond Index $10,000 9,926 10,459 11,350 11,601
Total Return
FOR THE PERIOD ENDED 3/31/96
ONE YEAR 11.18%
AVERAGE ANNUAL SINCE INCEPTION 7.60%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Lehman Brothers Government/Corporate Bond Index includes all public
obligations of the U.S. Treasury, excluding flower bonds and foreign-targeted
issues; all publicly issued debt of U.S. Government agencies and quasi-federal
corporations, and corporate debt guaranteed by the U.S. Government; and all
publicly issued, fixed rate, nonconvertible investment-grade dollar-demoninated,
SEC-registered corporate debt. Included in the latter is debt issued or
guaranteed by foreign sovereign governments, municipalities, or governmental
agencies, or international agencies.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
The slower than expected growth of the domestic economy, paired with limited
inflation pressure, led the Federal Reserve to reverse course and ease policy
several times throughout the fiscal year. The Fund benefited from the resulting
decline in interest rates, delivering an 11.18% return for the year and
outperforming our benchmark by more than 25 basis points. As the year
progressed, we reduced our position in corporate bonds slightly as the
incremental yield spreads contracted. While there were no major changes made to
the portfolio, we were able to upgrade the credit quality of some of our
holdings during the year. As always, the Fund continues to concentrate its
holdings primarily in high-quality issues.
Michael J. Lannan
Portfolio Manager
INTERMEDIATE TAX-EXEMPT FUND
4/1/94 9/30/94 3/31/95 9/30/95 3/31/96
----- ------ ------ ------ ------
Intermediate Tax-Exempt
Fund $10,000 10,094 10,438 10,939 11,148
Lehman Bros. 5-Year
Municipal Bond Index $10,000 10,205 10,571 11,113 11,342
Total Return
FOR THE PERIOD ENDED 3/31/96
ONE YEAR 6.81%
AVERAGE ANNUAL SINCE INCEPTION 5.58%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Lehman Brothers 5-Year Municipal Bond Index is a total return performance
benchmark for the investment-grade, tax-exempt bond market. Securities included
in the Index must have been issued as part of a deal of at least $50 million;
have an amount outstanding of at least $3 million; have been issued within the
last five years; and have maturities of four to six years.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Low inflation, a slow growing economy and a more accommodative Federal Reserve
all contributed to the Fund's positive return for fiscal 1996. However, the
Fund's total return trailed that of its benchmark due to incorrect positioning
of the Fund's average maturity relative to unexpected weakness in the economy.
Fund performance benefited from our ability to take advantage of a steeper yield
curve by emphasizing maturities of eight years and longer. During the period,
we improved the overall liquidity of the portfolioby concentrating on the
insured sector. In addition, we added to our holdings of A- and BBB-rated
issues in order to enhance the Fund's yield. Going forward, we will continue
to actively manage the Fund on a relative-value, risk-adjusted basis. The Fund
remains appropriate for those investors seeking relative stability of principal
and a steady stream of tax-exempt income.
Eric Boeckmann
Portfolio Manager
TAX-EXEMPT FUND
4/1/94 9/30/94 3/31/95 9/30/95 3/31/96
----- ------ ------ ------ ------
Tax-Exempt Fund $10,000 10,034 10,578 11,058 11,404
Lehman Bros.
Municipal Bond Index $10,000 10,183 10,746 11,252 11,647
Total Return
FOR THE PERIOD ENDED 3/31/96
ONE YEAR 7.80%
AVERAGE ANNUAL SINCE INCEPTION 6.78%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Lehman Brothers Municipal Bond Index is a total return performance benchmark
for the long-term, investment-grade, tax-exempt bond market. Securities included
in the Index must have been issued as part of a deal of at least $50 million;
have an amount outstanding of at least $3 million; have been issued within the
last five years; and have maturities of at least one year.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
In spite of the threat of a flat tax, the last twelve months were good ones for
municipal bonds. Our results were tempered somewhat by the average duration of
the portfolio, which was structured for an environment of moderate - rather than
sluggish - economic growth. Throughout the period, we focused on increasing the
liquidity of the Fund by concentrating on government-backed and insured issues.
Our efforts to broaden the quality mix of assets in the Fund helped produce
close-to-benchmark performance. For the year ahead, our objective remains
to strive to provide investors with a broadly diversified portfolio of municipal
instruments and a high level of tax-free income.
Peter J. Flood
Portfolio Manager
INTERNATIONAL FIXED INCOME FUND
4/1/94 9/30/94 3/31/95 9/30/95 3/31/96
------ ------- ------- ------- -------
International Fixed
Income Fund $10,000 10,154 11,281 11,749 11,935
J.P. Morgan International
Government Bond Index $10,000 10,303 11,827 12,219 12,348
Total Return
FOR THE PERIOD ENDED 3/31/96
ONE YEAR 5.84%
AVERAGE ANNUAL SINCE INCEPTION 9.23%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The J.P. Morgan International Government Bond Index is a daily, market capital-
ization-weighted international fixed income total return index consisting of 12
countries: Australia, Belgium, Canada, France, Germany, Japan, Netherlands, the
United Kingdom, Italy, Spain, Denmark and Sweden. The constituent indices are
fully invested. The Index is represented in U.S. dollars. Each component is
converted into U.S. dollars and then aggregated.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Declining interest rates and an appreciating dollar were the primary factors
driving the Fund's performance in fiscal 1996. The portfolio's underweighted
positions in the Japanese Yen, German Deutschmark and French Franc coupled with
our exposure to the U.S., Australian and Canadian dollars all contributed to the
Fund's positive return. We were able to maintain the portfolio's basic
composition throughout the year, making no dramatic changes. We continue to
focus on quality issues emphasizing those bonds which are obligations of
governments (known as sovereign obligations) rather than those issued by
corporations. This strategy continues to contribute to both the quality and
liquidity of the portfolio.
Michael J. Lannan
Portfolio Manager
Investors are reminded that, while investing globally can be rewarding,
investments in foreign securities involve certain risks and considerations in
addition to those inherent with investing in U.S. companies, such as currency
fluctuations and political instability.
INCOME EQUITY FUND
4/1/94 9/30/94 3/31/95 9/30/95 3/31/96
------ ------- ------- ------- -------
Income Equity Fund $10,000 10,113 10,221 11,182 12,307
Merrill Lynch Investment Grade
Convertible Bond Index $10,000 9,999 10,444 12,046 13,142
Total Return
FOR THE PERIOD ENDED 3/31/96
ONE YEAR 20.41%
AVERAGE ANNUAL SINCE INCEPTION 10.92%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Merrill Lynch Investment Grade Convertible Bond Index consists of all
convertible bonds and preferreds (domestic and Euro), rated AAA to BBB3 with at
least $2.5 million par value outstanding per issue.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
During fiscal 1996, the Fund experienced a change in management and
investment emphasis as it shifted to become more equity-oriented. This
repositioning allowed us the opportunity to own a segment of high-quality growth
stocks that normally do not issue the convertible securities the Fund has
favored in the past. As a result, the Fund outperformed its benchmark for the
last six months of the year, although it lagged somewhat for the entire year.
Throughout the period, our goal was to build a core portfolio of quality issues
with above-average growth potential and to carefully monitor the new issue
market for attractively priced securities. In particular, we found good values
in the retail sector while the market was ignoring it. During fiscal 1997, we
will continue our efforts both to capture equity-like total return for our
investors, and deliver a higher component of current income while avoiding
excessive risk.
Ted Southworth
Portfolio Manager
GROWTH EQUITY FUND
4/1/94 9/30/94 3/31/95 9/30/95 3/31/96
------ ------- ------- ------- -------
Growth Equity Fund $10,000 10,453 10,690 12,407 13,376
S&P 500 $10,000 10,535 10,559 13,670 15,271
Total Return
FOR THE PERIOD ENDED 3/31/96
ONE YEAR 25.13%
AVERAGE ANNUAL SINCE INCEPTION 15.63%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The S&P 500 is an unmanaged index of 500 selected common stocks, most of which
are listed on the New York Stock Exchange. The Index is heavily weighted toward
stocks with large market capitalizations and represents approximately two-thirds
of the total market value of all domestic common stocks.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
The Fund performed well during fiscal 1996, although we lagged our benchmark
somewhat. For the period, we emphasized the technology, consumer, health care
and service sectors as we avoided energy and utility stocks. As Fund managers,
we shun market timing and aggressive sector rotation tactics and instead focus
on selecting quality stocks with above-average growth potential. We believe
these types of issues will continue to perform well in the sluggish economic
environment we are forecasting for the remainder of calendar 1996. In addition,
we expect mid-size companies serving niche markets to prosper in the year ahead
and have positioned the portfolio accordingly.
Theodore Breckel
Portfolio Manager
SELECT EQUITY FUND
4/1/94 9/30/94 3/31/95 9/30/95 3/31/96
------ ------- ------- ------- -------
Select Equity Fund $10,000 10,130 10,818 12,338 13,598
S&P 500 $10,000 10,476 11,494 13,594 15,185
Total Return
FOR THE PERIOD ENDED 3/31/96
ONE YEAR 25.70%
AVERAGE ANNUAL SINCE INCEPTION 16.71%
This chart assumes an initial gross investment of $10,000 made on 4/6/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The S&P 500 is an unmanaged index of 500 selected common stocks, most of which
are listed on the New York Stock Exchange. The Index is heavily weighted toward
stocks with large market capitalizations and represents approximately two-thirds
of the total market value of all domestic common stocks.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
The Fund ended the year with a strong performance, although we were unable to
outperform the market as a whole (as measured by the Standard & Poor's 500 Stock
Index). The single most important factor affecting our performance was the
Fund's under-exposure to the stocks of large-capitalization companies, which
were highly favored by investors last year. While we did add a number of large-
cap stocks toward the end of the year, the portfolio was largely invested in the
stocks of companies with medium market capitalizations but superior
fundamentals. Last year the portfolio was heavily weighted toward stocks of
companies in the medical, technology, consumer non-cyclicals, and capital goods
sectors of the economy. Throughout the year, we focused on quality growth
companies with the potential to improve their earnings growth rates and stock
appreciation potential. During fiscal 1997, we believe the stocks of companies
with strong fundamentals, regardless of size, may ultimately begin to be
recognized and rewarded by the market.
Robert N. Streed
Portfolio Manager
SMALL CAP GROWTH FUND
4/1/94 9/30/94 3/31/95 9/30/95 3/31/96
------ ------- ------- ------- -------
Small Cap Growth Fund $10,000 9,968 10,057 11,914 12,479
Russell 2000 $10,000 10,270 10,532 12,638 13,563
Total Return
FOR THE PERIOD ENDED 3/31/96
ONE YEAR 24.09%
AVERAGE ANNUAL SINCE INCEPTION 11.69%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Russell 2000 is an index of the smallest 2,000 companies in the Russell 3000
Index, as ranked by total market capitalization. The Russell 2000 is widely
regarded in the industry to accurately capture the universe of small-cap stocks.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
The Fund's small-cap, value-oriented approach impacted performance during the
past year as the market favored larger-capitalization stocks. As a
quantitatively managed Fund, we concentrate on the stocks of companies with
attractive book-to-price ratios, in the small-cap sector of the marketplace.
Though out of market favor during fiscal 1996, in the past these securities have
outperformed those of larger companies, although past performance is no
guarantee of future returns. Going forward, we will maintain our disciplined
approach to investing this portfolio as we continue our value-oriented
investment style.
Susan J. French
Portfolio Manager
INTERNATIONAL GROWTH EQUITY FUND
4/1/94 9/30/94 3/31/95 9/30/95 3/31/96
------ ------- ------- ------- -------
International Growth
Equity Fund $10,000 10,615 9,735 10,250 10,573
Morgan Stanley EAFE Index $10,000 10,521 10,608 11,130 11,915
Total Return
FOR THE PERIOD ENDED 3/31/96
ONE YEAR 8.61%
AVERAGE ANNUAL SINCE INCEPTION 2.82%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Morgan Stanley EAFE Index is composed of a sample of companies
representative of the market structure of 20 European and Pacific Basin
countries. The Index represents the evolution of an unmanaged portfolio
consisting of all domestically listed stocks.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Performance of the Fund during fiscal 1996 lagged its benchmark for two main
reasons. First, the overall position in Japan, while performing well in local
currency terms, was affected significantly by the yen's fall from 80 to 103
against the dollar during the second half of 1995. Second, the Fund had an
underweight position in Europe during a period of dollar weakness. During
fiscal 1997, we believe that the Japanese equity market - now at levels 50%
below its all time high - is poised for a rally, offering investors opportunity
both in the short- and long-term. Similarly, we anticipate earnings growth for
most European markets to reach double-digits, mostly in the 10-15% range, driven
primarily by cyclicals reflecting expectation for improving economies and growth
stocks. We remain cautiously optimistic about the long-term prospects for Latin
America while tempering our enthusiasm for Southeast Asian markets.
Robert A. LaFleur
Portfolio Manager
Investors are reminded that, while investing globally can be rewarding,
investments in foreign securities involve certain risks and considerations in
addition to those inherent with investing in U.S. companies, such as currency
fluctuations and political instability.
INTERNATIONAL SELECT EQUITY FUND
4/1/94 9/30/94 3/31/95 9/30/95 3/31/96
------ ------- ------- ------- -------
International Select
Equity Fund $10,000 11,200 9,805 10,243 10,804
Morgan Stanley EAFE Blended
with Emerging Markets
Free Index $10,000 10,659 10,432 11,023 11,767
Total Return
FOR THE PERIOD ENDED 3/31/96
ONE YEAR 10.20%
AVERAGE ANNUAL SINCE INCEPTION 3.96%
This chart assumes an initial gross investment of $10,000 made on 4/5/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Morgan Stanley EAFE Blended with Emerging Markets Free Index is composed of
companies representative of the market structure of 20 developed European and
Pacific Basin countries and 18 emerging market countries. The Index represents
stock market trends by representing the evolution of an unmanaged portfolio
comprising a broad selection of domestically listed companies. Stock selection
also takes into consideration the trading capabilities of foreigners in emerging
market countries. The Morgan Stanley EAFE Index represents 90% of the benchmark;
the Morgan Stanley Emerging Markets Free Index, 10%.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
During fiscal 1996, international equity returns were well below those of the
U.S. equity market due, in part, to slow economic growth both in Europe and
Japan. Anticipation of additional rate cuts abroad throughout the year provided
periods of good performance, but not lasting outperformance for the Fund.
During the second half of the year, the dollar began to rally against the major
currencies, in particular against the yen, while emerging markets, hit hard by
the Mexican crisis at the end of 1994, also began to rebound during the fourth
quarter of 1995. Looking forward, we will continue to focus on international
companies with strong growth profiles, solid management and leadership
positions.
Robert A. LaFleur
Portfolio Manager
Investors are reminded that, while investing globally can be rewarding,
investments in foreign securities involve certain risks and considerations in
addition to those inherent with investing in U.S. companies, such as currency
fluctuations and political instability.
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES March 31, 1996
MONEY MARKET FUNDS
<CAPTION>
U.S. GOVERNMENT CALIFORNIA
U.S. GOVERNMENT MUNICIPAL SELECT MUNICIPAL
MONEY MONEY MONEY MONEY MONEY
MARKET MARKET MARKET MARKET MARKET
FUND FUND FUND FUND FUND
Amounts in thousands, except per share data ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at amortized cost $1,034,049 $182,703 $1,102,078 $86,102 $163,528
Repurchase agreements, at cost which
approximates market value 90,000 35,578 -- -- --
Cash -- 1 17 -- --
Income receivable 2,105 160 10,999 25 1,993
Receivable for fund shares sold 3,549 -- -- -- --
Receivable for securities sold -- -- 1,319 -- --
Receivable from Adviser 33 11 35 3 1
Deferred organization costs, net of
accumulated amortization 82 31 93 14 14
Prepaid and other assets 17 9 16 9 2
--------- --------- --------- --------- ---------
Total Assets 1,129,835 218,493 1,114,557 86,153 165,538
--------- --------- --------- --------- ---------
LIABILITIES:
Dividends payable 4,743 868 2,866 359 422
Payable for fund shares redeemed 63,039 546 1,612 369 --
Payable for securities purchased -- 9,939 7,090 -- --
Accrued investment advisory fees 79 14 74 4 8
Accrued administration fees 15 1 14 -- 2
Accrued transfer agent fees 20 4 18 2 3
Accrued registration fees and
other liabilities 126 16 94 19 16
--------- --------- --------- --------- ---------
Total Liabilities 68,022 11,388 11,768 753 451
--------- --------- --------- --------- ---------
Net Assets $1,061,813 $207,105 $1,102,789 $85,400 $165,087
========== ======== ========== ======= ========
ANALYSIS OF NET ASSETS:
Capital stock $1,061,760 $207,090 $1,102,683 $85,394 $165,081
Accumulated undistributed net
investment income 53 15 106 6 6
--------- --------- --------- --------- ---------
Net Assets $1,061,813 $207,105 $1,102,789 $85,400 $165,087
========== ======== ========== ======== ========
Shares Outstanding ($.0001 par value,
unlimited authorization) 1,061,810 207,105 1,102,719 85,399 165,086
Net Asset Value, Redemption
and Offering Price Per Share $1.00 $1.00 $1.00 $1.00 $1.00
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF OPERATIONS Year ended March 31, 1996
MONEY MARKET FUNDS
<CAPTION>
U.S. GOVERNMENT CALIFORNIA
U.S. GOVERNMENT MUNICIPAL SELECT MUNICIPAL
MONEY MONEY MONEY MONEY MONEY
MARKET MARKET MARKET MARKET MARKET
Amounts in thousands FUND FUND FUND FUND FUND
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income $58,354 $13,852 $39,357 $5,524 $5,567
------- ------- ------- ------ ------
EXPENSES:
Investment advisory fees 5,938 1,433 5,993 576 851
Administration fees 1,485 358 1,498 144 213
Transfer agent fees 990 239 999 96 142
Custody and accounting fees 255 91 259 58 68
Registration fees 160 31 151 45 19
Professional fees 36 20 35 17 15
Trustees' fees 28 9 28 5 6
Amortization of organization costs 27 10 30 4 4
Other 82 22 78 11 18
------- ------- ------- ------ ------
Total Expenses 9,001 2,213 9,071 956 1,336
Less: Voluntary waivers of investment
advisory and administration fees (3,026) (719) (3,045) (514) (620)
Less: Reimbursement of expenses by Adviser (1,165) (342) (1,188) (125) (170)
------- ------- ------- ------ ------
Net Expenses 4,810 1,152 4,838 317 546
------- ------- ------- ------ ------
NET INVESTMENT INCOME 53,544 12,700 34,519 5,207 5,021
------- ------- ------- ------ ------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $53,544 $12,700 $34,519 $5,207 $5,021
======= ======= ======= ====== ======
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET FUNDS
<CAPTION>
U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
----------------- ------------------
Year Period Year Period
Ended Ended Ended Ended
March 31, March 31, March 31, March 31,
Amounts in thousands 1996 1995<F3> 1996 1995<F3>
---- ---- ---- ----
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 53,544 $ 23,694 $ 12,700 $ 6,035
--------- ---------- --------- --------
Net Increase in Net Assets
Resulting
from Operations 53,544 23,694 12,700 6,035
--------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS:
Shares sold 4,176,187 3,122,961 1,141,048 1,161,715
Shares from reinvestment
of dividends 3,537 296 979 405
Shares redeemed (4,012,194) (2,228,986) (1,162,463) (934,580)
---------- ---------- ---------- --------
Net Increase (Decrease) in
Net Assets Resulting
from Capital Share
Transactions 167,530 894,271 (20,436) 227,540
---------- ---------- ---------- --------
DISTRIBUTIONS PAID:
From net investment income (53,540) (23,694) (12,702) (6,033)
In excess of net
investment income -- (1) -- --
---------- ---------- ---------- --------
TOTAL DISTRIBUTIONS PAID (53,540) (23,695) (12,702) (6,033)
---------- ---------- ---------- --------
TOTAL INCREASE (DECREASE)
IN NET ASSETS 167,534 894,270 (20,438) 227,542
NET ASSETS:
Beginning of period 894,279 9 227,543 1
---------- ---------- ---------- --------
End of period $1,061,813 $ 894,279 $ 207,105 $ 227,543
========== ========== ========== ==========
ACCUMULATED UNDISTRIBUTED
(DISTRIBUTIONS IN
EXCESS OF) NET
INVESTMENT INCOME $53 $(1) $15 $2
=== ==== === ==
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS (cont'd)
MONEY MARKET FUNDS
<CAPTION>
U.S. GOVERNMENT CALIFORNIA
MUNICIPAL SELECT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
------------------- -------------------- -----------------
Year Period Year Period Year Period
Ended Ended Ended Ended Ended Ended
March 31, March 31, March 31, March 31, March 31, March 31,
Amounts in thousands 1996 1995<F3> 1996 1995<F4> 1996 1995<F5>
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 34,519 $ 17,630 $ 5,207 $ 977 $ 5,021 $ 1,567
--------- --------- -------- ------- -------- --------
Net Increase in Net Assets
Resulting
from Operations 34,519 17,630 5,207 977 5,021 1,567
--------- --------- -------- ------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Shares sold 4,716,758 3,480,667 522,583 153,600 585,989 308,642
Shares from reinvestment
of dividends 1,505 159 1,579 23 85 1
Shares redeemed (4,543,236) (2,553,135) (520,924) (71,462) (582,282) (147,349)
---------- ---------- -------- ------- -------- --------
Net Increase (Decrease) in
Net Assets Resulting
from Capital Share
Transactions 175,027 927,691 3,238 82,161 3,792 161,294
--------- --------- -------- ------- -------- --------
DISTRIBUTIONS PAID:
From net investment income (34,504) (17,575) (5,207) (976) (5,042) (1,545)
In excess of net
investment income -- -- -- -- -- --
--------- --------- -------- ------- -------- --------
TOTAL DISTRIBUTIONS PAID (34,504) (17,575) (5,207) (976) (5,042) (1,545)
--------- --------- -------- ------- -------- --------
TOTAL INCREASE (DECREASE)
IN NET ASSETS 175,042 927,746 3,238 82,162 3,771 161,316
NET ASSETS:
Beginning of period 927,747 1 82,162 -- 161,316 --
--------- --------- -------- ------- -------- --------
End of period $1,102,789 $ 927,747 $ 85,400 $ 82,162 $165,087 $161,316
========== ========= ========= ========= ======== ========
ACCUMULATED UNDISTRIBUTED
(DISTRIBUTIONS IN
EXCESS OF) NET
INVESTMENT INCOME $106 $55 $6 $1 $6 $22
==== === == == == ===
<FN>
<F3>Commenced investment operations on April 11, 1994.
<F4>Commenced investment operations on December 12, 1994.
<F5>Commenced investment operations on November 29, 1994.
See Notes to the Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
MONEY MARKET FUNDS
<CAPTION>
U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
----------------- -----------------
Year Period Year Period
Ended Ended Ended Ended
March 31, March 31, March 31, March 31,
1996 1995<F6> 1996 1995<F6>
---- ---- ---- ----
Selected per share data
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $1.00 $1.00 $1.00 $1.00
INCOME FROM INVESTMENT OPERATIONS:
NET INVESTMENT INCOME 0.05 0.04 0.05 0.04
-------- -------- -------- --------
LESS DISTRIBUTIONS PAID:
FROM NET INVESTMENT INCOME (0.05) (0.04) (0.05) (0.04)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00
======== ======== ======== ========
TOTAL RETURN<F9> 5.57% 4.55% 5.46% 4.47%
SUPPLEMENTAL DATA AND RATIOS:
NET ASSETS, IN THOUSANDS,
END OF PERIOD $1,061,813 $894,279 $207,105 $227,543
RATIO TO AVERAGE NET
ASSETS OF: <F10>
EXPENSES, NET OF WAIVERS
AND REIMBURSEMENTS 0.49% 0.45% 0.49% 0.45%
EXPENSES, BEFORE WAIVERS
AND REIMBURSEMENTS 0.91% 0.96% 0.94% 1.01%
NET INVESTMENT INCOME, NET
OF WAIVERS AND
REIMBURSEMENTS 5.42% 4.94% 5.33% 4.93%
NET INVESTMENT INCOME,
BEFORE WAIVERS AND
REIMBURSEMENTS 5.00% 4.43% 4.88% 4.37%
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (cont'd)
MONEY MARKET FUNDS
<CAPTION>
U.S. GOVERNMENT CALIFORNIA
MUNICIPAL SELECT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
------------------- -------------------- -----------------
Year Period Year Period Year Period
Ended Ended Ended Ended Ended Ended
March 31, March 31, March 31, March 31, March 31, March 31,
1996 1995<F6> 1996 1995<F7> 1996 1995<F8>
---- ---- ---- ---- ---- ----
Selected per share data
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
INCOME FROM INVESTMENT OPERATIONS:
NET INVESTMENT INCOME 0.03 0.03 0.05 0.02 0.04 0.01
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS PAID:
FROM NET INVESTMENT INCOME (0.03) (0.03) (0.05) (0.02) (0.04) (0.01)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
======== ======== ======== ======== ======== ========
TOTAL RETURN<F9> 3.54% 2.90% 5.55% 1.75% 3.63% 1.27%
SUPPLEMENTAL DATA AND RATIOS:
NET ASSETS, IN THOUSANDS,
END OF PERIOD $1,102,789 $927,747 $85,400 $82,162 $165,087 $161,316
RATIO TO AVERAGE NET
ASSETS OF: <F10>
EXPENSES, NET OF WAIVERS
AND REIMBURSEMENTS 0.49% 0.45% 0.33% 0.30% 0.39% 0.35%
EXPENSES, BEFORE WAIVERS
AND REIMBURSEMENTS 0.91% 0.95% 1.00% 1.32% 0.94% 1.07%
NET INVESTMENT INCOME, NET
OF WAIVERS AND
REIMBURSEMENTS 3.46% 3.10% 5.43% 5.84% 3.55% 3.78%
NET INVESTMENT INCOME,
BEFORE WAIVERS AND
REIMBURSEMENTS 3.04% 2.60% 4.76% 4.82% 3.00% 3.06%
<FN>
<F6>Commenced investment operations on April 11, 1994.
<F7>Commenced investment operations on December 12, 1994.
<F8>Commenced investment operations on November 29, 1994.
<F9>Total return is not annualized for periods less than a full year.
<F10>Annualized for periods less than a full year.
See Notes to the Financial Statements.
</TABLE>
SCHEDULES OF INVESTMENTS March 31, 1996
MONEY MARKET FUND
Principal
Amount Value
(000s) (000s)
- ----- ------
BANKERS' ACCEPTANCES - 0.8%
$ 8,000 SunTrust Bank, Atlanta,
5.323%, 4/11/96 $ 7,988
----------
Total Bankers' Acceptances
(cost $7,988) 7,988
----------
COMMERCIAL PAPER - 70.5%
ASSET BACKED SECURITIES - 9.1%
4,800 Asset Securitization Cooperative Corp.,
5.328%, 5/9/96 4,773
Cooperative Association of Tractor
Dealers, Inc.
4,600 5.59%, 4/4/96 4,598
1,000 5.293%, 4/18/96 998
3,200 5.812%, 4/19/96 3,191
9,000 5.427%, 4/22/96 8,972
1,000 5.257%, 5/7/96 995
1,000 5.27%, 5/24/96 992
6,000 5.391%, 6/10/96 5,938
4,600 5.386%, 7/12/96 4,531
Jet Funding Corp.
2,000 5.318%, 4/30/96 1,992
3,000 5.373%, 5/31/96 2,973
4,000 5.578%, 6/28/96 3,946
883 McKenna Triangle Corp.,
5.295%, 4/19/96 881
6,300 Pooled Account Receivables Corp.,
5.422%, 4/16/96 6,286
Sheffield Receivables Corp.
850 5.281%, 4/1/96 850
25,000 5.582%, 4/11/96 24,961
Stellar Capital Corp.
1,500 5.483%, 6/10/96 1,484
3,500 5.495%, 6/25/96 3,455
5,445 Thames Asset Global Securitization,
5.324%, 4/11/96 5,437
10,000 Tri-Lateral Capital (USA), Inc.,
5.302%, 5/24/96 9,923
----------
97,176
----------
BROKERAGE SERVICES - 1.8%
19,000 Lehman Brothers Holdings, Inc.,
5.324%, 4/1/96 19,000
----------
CHEMICALS AND ALLIED PRODUCTS - 1.4%
14,500 Abbott Laboratories,
5.322%, 4/10/96 14,481
----------
COMMUNICATIONS - 12.3%
10,000 Ameritech Capital Funding,
5.423%, 6/18/96 9,886
AT&T Corp.
40,000 5.79%, 4/18/96 39,894
2,135 5.249%, 4/26/96 2,127
5,000 5.60%, 5/13/96 4,968
GTE Corp.
2,000 5.343%, 4/2/96 2,000
25,000 5.352%, 4/10/96 24,967
25,000 Lucent Technologies, Inc.,
5.311%, 6/14/96 24,731
NYNEX Corp.
2,000 5.503%, 4/1/96 2,000
15,000 5.514%, 4/12/96 14,975
5,000 5.372%, 6/25/96 4,937
----------
130,485
----------
CONSTRUCTION MACHINES AND
COMPUTER EQUIPMENT - 3.2%
12,394 Caterpillar Financial Services Corp.,
5.324%, 4/12/96 12,374
22,000 International Business Machines
Credit Corp., 5.605%, 4/26/96 21,916
----------
34,290
----------
DOMESTIC DEPOSITORY INSTITUTIONS - 1.6%
5,000 Barnett Banks, Inc.,
5.219%, 5/3/96 4,977
5,000 Republic New York Corp.,
5.35%, 5/15/96 4,968
7,000 SunTrust, Inc.,
5.344%, 5/8/96 6,962
----------
16,907
----------
ELECTRIC SERVICES - 1.4%
15,000 Vattenfall Treasury, Inc.,
5.235%, 7/29/96 14,747
----------
ELECTRONIC AND OTHER
ELECTRICAL EQUIPMENT - 5.0%
8,700 Cooper Industries, Inc.,
5.323%, 4/4/96 8,696
20,000 General Electric Capital Corp.,
5.391%, 6/17/96 19,775
15,000 Whirlpool Corp.,
5.218%, 5/23/96 14,888
10,000 Whirlpool Financial Corp.,
5.347%, 5/7/96 9,947
----------
53,306
----------
FOOD AND BEVERAGES - 3.3%
6,000 Coca-Cola Enterprises, Inc.,
5.203%, 5/10/96 5,967
9,000 Cofco Capital Corp.,
5.368%, 6/20/96 8,894
20,000 Nestle Capital Corp.,
5.323%, 4/11/96 19,971
----------
34,832
----------
FOREIGN DEPOSITORY INSTITUTIONS - 7.2%
12,000 Abbey National North America,
5.223%, 6/17/96 11,869
20,000 BEX America Finance, Inc.,
5.804%, 4/1/96 20,000
5,000 Britannia Building Society,
5.086%, 8/6/96 4,913
15,000 Central Hispano N.A. Capital Corp.,
5.196%, 5/21/96 14,893
10,000 Spintab-Swedmortgage AB,
5.723%, 4/17/96 9,975
10,000 UNIfunding, Inc.,
5.371%, 4/22/96 9,969
5,000 Woolwich Building Society,
5.804%, 4/2/96 4,999
----------
76,618
----------
HOLDING AND OTHER
INVESTMENT OFFICES - 1.1%
7,296 AESOP Funding Corp.,
5.431%, 4/26/96 7,268
3,000 Briarcliff Capital Corp.,
5.324%, 4/11/96 2,996
2,000 CSW Credit, Inc.,
5.492%, 5/17/96 1,986
----------
12,250
----------
HOTELS AND LODGING - 0.3%
3,300 Hilton Hotels, Inc.,
5.641%, 5/14/96 3,278
----------
MANUFACTURING INDUSTRIES - 4.7%
Hanson Finance (U.K.) PLC
45,000 5.325%, 4/8/96 44,954
5,000 5.327%, 4/11/96 4,993
----------
49,947
----------
MEASURING, ANALYZING AND
CONTROL INSTRUMENTS - 0.6%
Xerox Credit Corp.
1,300 5.241%, 5/31/96 1,289
5,000 5.368%, 6/20/96 4,941
----------
6,230
----------
NONDEPOSITORY PERSONAL
CREDIT INSTITUTIONS - 3.8%
Countrywide Funding Corp.
30,000 5.424%, 4/17/96 29,928
10,000 5.522%, 4/23/96 9,966
----------
39,894
----------
REAL ESTATE - 1.4%
15,000 Hahn Issuing Corp.,
5.436%, 4/26/96 14,944
----------
TOBACCO - 1.9%
B.A.T. Capital Corp.
10,000 5.324%, 4/11/96 9,985
10,000 5.324%, 4/12/96 9,984
----------
19,969
----------
TRANSPORTATION PARTS
AND EQUIPMENT - 10.4%
15,000 American Honda Finance Corp.,
5.526%, 4/29/96 14,936
BMW US Capital Corp.
15,000 5.351%, 4/8/96 14,984
3,070 5.337%, 4/25/96 3,059
22,500 5.34%, 6/11/96 22,266
5,000 Chrysler Financial Corp.,
5.773%, 4/4/96 4,998
Ford Motor Credit Corp.,
10,000 5.602%, 4/1/96 10,000
10,000 5.098%, 6/10/96 9,903
General Motors Acceptance
Corp. Canada
5,000 5.395%, 4/10/96 4,993
25,000 5.457%, 4/19/96 24,932
----------
110,071
----------
Total Commercial Paper
(cost $748,425) 748,425
----------
CORPORATE BONDS - 6.6%
25,000 AT&T Capital Corp., FRN,
5.457%, 1/23/97 25,000
10,000 GE Engine Receivables Trust, FRN,
5.526%, 4/24/96 10,000
10,000 International Business Machines
Credit Corp., 5.11%, 2/24/97 9,990
25,000 PNC Bank N.A.,
5.65%, 9/18/96 24,997
----------
Total Corporate Bonds
(cost $69,987) 69,987
----------
EURODOLLAR TIME DEPOSITS - 0.7%
4,954 Bank of Ireland, Grand Cayman Islands,
5.625%, 4/1/96 4,954
3,000 Union Bank of Switzerland, London
Branch, 5.50%, 4/1/96 3,000
----------
Total Eurodollar Time Deposits
(cost $7,954) 7,954
----------
FOREIGN CERTIFICATES OF
DEPOSIT - 12.8%
18,000 Australia & New Zealand Bank,
London Branch, 5.23%, 7/29/96 18,001
15,000 Bank of Nova Scotia, New York Branch,
5.21%, 4/25/96 15,001
4,000 Bank of Tokyo, London Branch,
5.40%, 4/9/96 4,000
25,000 Landesbank Hessen-Thueringen
Girozentrale, 5.50%, 3/20/97 25,031
Mitsubishi Bank Ltd., London Branch
2,000 5.38%, 4/11/96 2,000
25,000 5.34%, 4/23/96 25,000
15,000 Rabobank Nederland, New York Branch,
5.60%, 5/1/96 15,000
2,000 Sanwa Bank, Ltd., New York Branch,
5.45%, 4/4/96 2,000
5,000 Societe Generale, London Branch,
5.16%, 7/31/96 5,001
20,000 Societe Generale, New York Branch,
5.54%, 3/21/97 20,016
5,000 Sumitomo Bank Ltd., New York Branch,
5.43%, 4/1/96 5,000
----------
Total Foreign Certificates of Deposit
(cost $136,050) 136,050
----------
GUARANTEED INVESTMENT
CONTRACT - 1.4%
15,000 Transamerica Life Insurance and
Annuity Co., 5.402%, 3/21/97 15,000
----------
Total Guaranteed Investment Contract
(cost $15,000) 15,000
----------
MUNICIPAL INVESTMENTS - 3.7%
Arizona Educational Loan
Marketing Corp.
10,000 5.461%, 4/8/96 9,989
10,000 5.559%, 4/8/96 9,989
8,930 Minneapolis-St.Paul Metro Airport
Taxable G.O. Bonds, 5.428%, 7/1/96 8,930
10,215 State of Texas-Veterans Land Bond,
5.363%, 5/1/96 10,215
----------
Total Municipal Investments
(cost $39,123) 39,123
----------
U.S. GOVERNMENT
OBLIGATION - 0.9%
$10,000 U.S. Treasury Bill,
5.352%, 3/6/97 9,522
----------
Total U.S. Government Obligation
(cost $9,522) 9,522
----------
REPURCHASE AGREEMENTS - 8.5%
40,000 Bear Stearns & Co., Inc.,
dated 3/29/96, repurchase price
$40,018 (Colld. by FHLMC Securities),
5.40%, 4/1/96 40,000
50,000 Donaldson, Lufkin & Jenrette
Securities, Inc., dated 3/29/96, repurchase
price $50,025 (Colld. by FHLMC and
FNMA Securities), 5.92%, 4/1/96 50,000
----------
Total Repurchase Agreements
(cost $90,000) 90,000
----------
Total Investments - 105.9%
(cost $1,124,049) 1,124,049
Liabilities less Other Assets - (5.9)% (62,236)
----------
NET ASSETS - 100.0% $ 1,061,813
===========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS March 31, 1996
U.S. GOVERNMENT MONEY MARKET FUND
Principal
Amount Value
(000s) (000s)
U.S. GOVERNMENT AGENCIES - 88.2%
FEDERAL FARM CREDIT BANK - 2.4%
$ 5,000 FFCB Discount Note,
5.11%, 5/2/96 $ 4,978
-------
FEDERAL HOME LOAN BANK - 22.6%
FHLB Discount Notes
10,000 5.495%, 5/16/96 9,933
8,380 5.298%, 5/20/96 8,320
2,685 5.171%, 5/21/96 2,666
15,000 5.223%, 7/8/96 14,792
10,000 5.142%, 7/12/96 9,858
1,175 5.19%, 7/26/96 1,156
-------
46,725
-------
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 18.9%
FHLMC Discount Notes
5,450 5.306%, 4/22/96 5,433
20,000 5.114%, 5/7/96 19,899
10,000 5.27%, 5/13/96 9,938
4,000 5.176%, 7/9/96 3,944
-------
39,214
-------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 41.9%
FNMA Discount Notes
10,000 5.344%, 4/8/96 9,990
25,000 5.113%, 4/12/96 24,961
20,000 5.303%, 4/19/96 19,948
10,000 5.31%, 5/6/96 9,949
10,000 5.128%, 5/14/96 9,939
5,000 5.523%, 7/2/96 5,000
2,000 5.325%, 12/26/96 1,999
5,000 FNMA Floating Medium Term Note,
5.48%, 6/20/96 5,000
-------
86,786
-------
STUDENT LOAN MARKETING
ASSOCIATION - 2.4%
5,000 SLMA Floating Rate Note,
5.27%, 8/9/96 4,999
-------
Total U.S. Government Agencies
(cost $182,702) 182,702
-------
OTHER - 0.0%
1 Dreyfus Prime Money Market Fund $ 1
-------
Total Other
(cost $1) 1
-------
Principal
Amount
(000s)
-----
REPURCHASE AGREEMENTS - 17.2%
$20,000 Bear Stearns & Co., Inc.,
dated 3/29/96, repurchase price $20,009
(Colld. by U.S. Treasury Securities),
5.40%, 4/1/96 20,000
15,000 Donaldson, Lufkin & Jenrette Securities,
Inc., dated 3/29/96, repurchase price
$15,007 (Colld. by FHLMC and FNMA
Securities), 5.92%, 4/1/96 15,000
578 Lehman Government Securities, Inc.,
dated 3/29/96, repurchase price $578
(Colld. by U.S. Treasury Securities),
5.00%, 4/1/96 578
-------
Total Repurchase Agreements
(cost $35,578) 35,578
-------
Total Investments - 105.4%
(cost $218,281) 218,281
Liabilities less Other Assets - (5.4)% (11,176)
--------
NET ASSETS - 100.0% $ 207,105
=========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS March 31, 1996
MUNICIPAL MONEY MARKET FUND
Principal
Amount Value
(000s) (000s)
------ ------
MUNICIPAL INVESTMENTS - 99.1%
ALABAMA - 1.1%
$ 700 City of Greenville IDR VRDN, Series: 1992,
Allied-Signal Project (FMC Corp. Gtd.),
3.55%, 4/5/96 $ 700
1,400 City of Mobile PCR VRDN, Series: 1994 A,
Alabama Power Project (Alabama Power
Company Gtd.), 3.75%, 4/1/96 1,400
3,000 City of Selma IDR VRDN, Series: 1996 A,
Meadowcraft Inc. (NationsBank of Florida
LOC), 3.70%, 4/5/96 3,000
7,000 City of Stevenson Environmental
Improvement Revenue Bond IDR VRDN,
Series: 1996, Mead Corp. Project (Soc Gen
LOC), 3.95%, 4/1/96 7,000
---------
12,100
---------
ALASKA - 1.2%
1,400 Alaska Housing Finance Agency VRDN,
Series: 1994, Merrill P-Floats PT-37
(FNMA Securities Colld.), 3.35%, 4/1/96 1,400
1,675 North Slope Borough G.O., Series: B
(CGIC Gtd.), 5.20%, 6/30/96 1,680
9,700 Valdez Marine Terminal CP, Series: 1994 B,
ARCO Transportation Project (Atlantic
Richfield Co. Gtd.), 3.40%, 4/5/96 9,700
---------
12,780
---------
ARIZONA - 1.6%
1,100 Industrial Community of Arizona Special
Fund CP Refunding Program
(FGIC Insured), 3.45%, 5/22/96 1,100
5,050 Maricopa County PCR CP, Series: 1985 F,
Southern California Edison Project (Southern
California Edison Co. Gtd.), 3.45%, 7/16/96 5,050
12,000 Maricopa County PCR VRDN, Series: A,
El Paso Electric Project (Westpac Banking
Corp. LOC), 3.75%, 4/5/96 12,000
---------
18,150
---------
CALIFORNIA - 17.4%
5,580 California Housing Finance Agency, Series:
1988 D, Home Mortgage Revenue TOB,
3.60%, 8/1/96 5,580
2,000 California Housing Revenue Agency VRDN,
Series: 1995 E (Bayerische Landesbank
LOC), 3.50%, 2/1/97 2,000
4,000 California Pollution Control Finance
Authority, Series: 1984 A (San Diego Gas
and Electric Gtd.), 4.00%, 9/1/96 4,000
4,500 California School Cash Reserve Program
Authority TRAN, Series: 1995 A
(California School Cash Reserve Program
Pool), 4.75%, 7/3/96 4,509
11,950 California Statewide Community
Development Authority TRAN, Series: A
(Statewide Communities Program Pool
Residual Fund Insured), 4.75%, 7/5/96 11,972
4,500 City of Chino TRAN,
4.50%, 7/31/96 4,507
8,000 City of Huntington Beach TRAN,
4.75%, 10/4/96 8,019
3,000 City of Los Angeles Community
Redevelopment VRDN, Series: 1985,
Southpark Apartments Project (Industrial
Bank of Japan LOC), 3.45%, 4/5/96 3,000
3,246 City of Los Angeles IDR VRDN, Series:
BTP-129 (Colld. by U.S. Government
Securities), 3.25%, 12/12/96 3,246
3,200 City of Los Rios Community College District
TRAN, 4.75%, 9/19/96 3,211
5,000 City of Oakland TRAN, Series: A,
4.50%, 7/31/96 5,009
12,230 City of San Marcos Public Facilities Authority
Revenue Bond, Series: 1989, Civic Center
Project, Series: BTP-187 (Colld. by U.S.
Government Securities), 3.75%, 3/6/97 12,230
10,000 County of Los Angeles Housing Authority
VRDN, Series: A, Sand Canyon Villas
Project (Industrial Bank of Japan LOC),
3.60%, 4/5/96 10,000
4,000 County of Orange Apartment Development
Revenue Bond VRDN, Series: 1985 Z, Bear
Brand Apartments Project (Fuji Bank
LOC), 3.85%, 4/5/96 4,000
5,500 County of Orange Apartment Development
VRDN, Park Place Irvine-Phase IB
Project (New England Mutual Gtd.),
3.50%, 4/5/96 5,500
5,680 County of Orange TRAN, Series: A,
4.50%, 6/30/96<F11> 5,685
5,400 County of Riverside Housing Authority
VRDN, Series: 1989 B, Amanda Park Project
(Fuji Bank LOC), 4.12%, 4/5/96 5,400
6,000 County of Riverside School Financing
Authority TRAN (Riverside County
Pool Loan 1996), 4.75%, 7/18/96 6,010
6,000 County of Sacramento Multifamily Housing
Revenue Bond VRDN, Series: 1985 A (Dai-
Ichi Kangyo Bank LOC), 3.45%, 4/5/96 6,000
3,000 County of San Bernardino COP VRDN,
Series: B, PaineWebber Muni Trust, Series:
1994 PW-13 (Colld. by U.S. Government
Securities), 3.55%, 4/5/96 3,000
14,000 County of Santa Clara TRAN,
4.50%, 8/2/96 14,027
5,000 County of Sonoma TRAN,
4.25%, 11/1/96 5,011
200 Irvine Ranch Water District VRDN, Districts
2, 102, 103 and 206 Program, Series: 1993 B
(Morgan Guaranty Trust Co. LOC),
3.50%, 4/1/96 200
12,710 San Diego Local Government 1995 Pooled
TRAN, Series: BTP-169 (Bank of Tokyo LOC),
3.20%, 5/6/96 12,710
3,955 San Diego Public Facility Finance Authority
Sewer VRDN, Merrill Soc Gen Muni
Trust-14 (AMBAC Insured), 3.30%, 4/5/96 3,955
2,900 Sonoma Valley Unified School District
TRAN, 4.75%, 9/27/96 2,910
4,000 State of California G.O. VRDN, Citibank
TOB, Series: 5027 C (FGIC Insured),
3.42%, 4/5/96 4,000
10,805 State of California RAW, Series: 1994 C
(Westdeutsche Landesbank Girozentral
LOC), 3.57%, 4/5/96 10,805
25,500 State of California RAW, Series: C
(Westdeutsche Landesbank Girozentral
LOC), 5.75%, 4/25/96 25,518
---------
192,014
---------
COLORADO - 0.4%
2,000 Moffat County PCR VRDN, Series: 1984
(National Rural Utility Cooperative Finance
Gtd.), 3.40%, 4/5/96 2,000
1,000 Platte River Power Authority Revenue CP,
Electric Revenue (Platte River Power
Authority LOC), 3.35%, 5/8/96 1,000
1,000 Regional Transportation District VRDN,
Series: A (Bank of Tokyo LOC),
3.60%, 4/5/96 1,000
---------
4,000
---------
CONNECTICUT - 1.4%
5,710 State of Connecticut G.O. Economic
Recovery Notes, Series: BTP-171,
3.20%, 9/12/96 5,710
10,000 State of Connecticut Revenue Bond,
Series: 1993 C, Special Assessment
Unemployment Program (FGIC Insured),
3.90%, 7/1/96 10,000
---------
15,710
---------
DISTRICT OF COLUMBIA - 0.5%
6,000 District of Columbia Hospital Revenue
Bond VRDN, Columbia Hospital for
Women Project (Bank of Tokyo LOC),
3.70%, 4/5/96 6,000
---------
DELAWARE - 0.4%
4,325 State of Delaware Economic Development
Authority PCR VRDN (FMC Corp. Gtd.),
3.55%, 4/5/96 4,325
---------
FLORIDA - 7.9%
3,800 County of Broward School District G.O.
VRDN, Series: 1992, PW Muni Sec Trust-16
(Colld. by U.S. Government Securities),
3.55%, 4/5/96 3,800
22,100 County of Dade Solid Waste IDR VRDN,
Series: 1990 A, Montenay Dade Ltd. Project
(Banque Paribas LOC), 3.60%, 4/5/96 22,100
1,600 County of Hillborough IDA VRDN, Tampa
Electric Co. Project (Tampa Electric
Company Gtd.), 3.70%, 4/1/96 1,600
2,800 County of Indian River Hospital District
CP, Series: 1990 (Kredietbank LOC),
3.45%, 5/8/96 2,800
2,600 County of Palm Beach Housing Finance
Authority VRDN, Series: 1988 C, Mahogany
Bay Multifamily Revenue Refunding Project
(New England Mutual Gtd.), 3.55%, 4/5/96 2,600
6,600 County of Palm Beach Housing Finance
Authority VRDN, Series: 1988 D, Multifamily
Cotton Bay Revenue Refunding Project
(New England Mutual Gtd.), 3.55%, 4/5/96 6,600
295 County of Putnam PCR VRDN, Series:
1984 S, Seminole Electric Project (National
Rural Utility Cooperative Finance Co. Gtd.),
3.40%, 4/5/96 295
County of Sarasota Public Hospital District
CP, Sarasota Memorial Hospital Project
(Sumitomo Bank Ltd. LOC)
2,450 Series: A, 3.60%, 6/19/96 2,450
1,000 Series: B, 3.60%, 6/19/96 1,000
13,860 Florida State Board of Education Capital
Outlay VRDN, BTP-52 ADP Class B,
3.50%, 4/5/96 13,860
16,900 Florida State Board of Education VRDN,
Series: 1993 E, 3.52%, 4/5/96 16,900
7,585 Florida Department of Environmental
Protection Revenue Bond VRDN, Series:
1994 A, BTP-64 (MBIA Insured),
3.50%, 4/5/96 7,585
1,050 Fort Lauderdale G.O., Unlimited Series:
1987 (Colld. by U.S. Government
Securities), 8.00%, 7/1/96 1,065
4,365 Orlando Utility Commission VRDN,
Merrill Soc Gen Muni Trust-18
(Orlando Utilities Commission Sub Lien),
3.40%, 4/5/96 4,365
---------
87,020
---------
GEORGIA - 2.0%
2,000 County of Burke Development Authority
CP, Series: 1992 A, Oglethorpe Power
Corp. Project (Credit Suisse LOC),
3.35%, 5/22/96 2,000
1,500 County of Burke Development Authority
PCR VRDN, Series: 1995, Plant Vogtle
Project (Georgia Power Gtd.),
3.75%, 4/1/96 1,500
1,400 County of Elbvert Development Authority
IDR VRDN, Series: 1992, Allied-Signal
Project (FMC Corp. Gtd.),
3.55%, 4/5/96 1,400
1,300 County of Fulton Development Authority
IDR VRDN, General Motors Project
(General Motors Corp. Gtd.),
3.55%, 4/5/96 1,300
5,145 State of Georgia G.O. VRDN, Series: 1992 C,
BTP-79, 3.45%, 12/12/96 5,145
7,900 State of Georgia G.O. VRDN, Series: 1993 F,
JPMP-35, 3.40%, 4/5/96 7,900
3,000 State of Georgia G.O. VRDN, Series: 1994 D,
JPMP-19, 3.40%, 4/5/96 3,000
---------
22,245
---------
IDAHO - 0.1%
1,350 Idaho Housing Agency, Series: D-2,
Housing Revenue TOB, 4.125%, 7/1/96 1,350
---------
ILLINOIS - 4.6%
1,000 Chicago Park District Tax Anticipation
Warrants, Series: A, 5.00%, 10/30/96 1,008
2,700 City of Naperville IDR VRDN, General
Motors Project (General Motors Corp. Gtd.),
3.55%, 4/5/96 2,700
6,000 City of Savanna IDR VRDN, Series: 1994,
Metform Corp. Project (First National Bank
of Chicago LOC), 3.60%, 4/5/96 6,000
6,000 Illinois Development Finance Authority
Housing Revenue Bond VRDN, Series: 1994,
F.C. Harris Pavilion Project (FNMA Colld.),
3.40%, 4/5/96 6,000
1,400 Illinois Development Finance Authority
Solar Press Inc. Project (First National Bank
of Chicago LOC), 3.60%, 4/5/96 1,400
4,605 Illinois Educational Facilities Authority
VRDN, Series: 1987, The Art Institute of
Chicago (Bank of Tokyo LOC),
3.70%, 4/5/96 4,605
1,300 Illinois Health Facility Authority VRDN,
Series: 1994, Riverside Health System
(LaSalle National Bank LOC),
3.45%, 4/5/96 1,300
5,000 Illinois Health Facility Authority VRDN,
Series: 1995 A, Lifelink Corp. Obligated
Group (American National Bank & Trust
LOC), 3.45%, 4/5/96 5,000
4,145 Illinois Housing Development Authority
Housing Revenue Bond, Series: 1987 D,
3.60%, 8/1/96 4,145
7,000 Illinois Student Assistance Commission
VRDN, Series: 1996 A (Bank of America
LOC), 3.60%, 4/5/96 7,000
11,285 Village of Schaumburg Multifamily Housing
Revenue VRDN, Series: 1989, Treehouse II
Apartments Project (Sumitomo Bank Ltd.
LOC), 4.00%, 4/5/96 11,285
---------
50,443
---------
INDIANA - 3.4%
1,500 City of Fort Wayne Hospital Authority
VRDN, Series: 1985 D, Park View Hospital
Program (Fuji Bank LOC), 4.25%, 4/5/96 1,500
5,000 City of Gary Environmental Improvement
PCR CP, Series: 1986, U.S. Steel Corp. Project
(Bank of New York LOC), 3.35%, 4/8/96 5,000
1,500 City of Greencastle IDR VRDN,
Crown Equipment Corp. Project (Society
National Bank LOC), 3.55%, 4/5/96 1,500
3,000 City of Indianapolis IDR VRDN, Ogden
Martin Systems (Swiss Bank Corp. LOC),
3.90%, 4/1/96 3,000
6,900 Indiana Development Finance Authority
VRDN, Series: 1994 A, Red Gold Inc. Project
(Harris Trust and Savings Bank LOC),
3.55%, 4/5/96 6,900
19,950 Indiana State Development Finance
Authority CP, Series: 1990 A, Pure Air on
Lake Project (Fuji Bank LOC),
3.90%, 4/4/96 19,950
---------
37,850
---------
IOWA - 1.8%
2,220 City of LeClaire Electric Revenue Bond,
Series: 1986 (Colld. by U.S. Government
Securities), 4.13%, 9/1/96 2,221
7,040 Iowa Finance Authority Single Family
Housing Revenue Bond, Series: B, Mortgaged
Backed Securities Program (FGIC Colld.),
3.20%, 2/27/97 7,040
3,400 Iowa Finance Authority Waste Disposal
Revenue Bond VRDN, Series: 1995 A, Cedar
River Paper Co. Project (Swiss Bank Corp.
LOC), 3.80%, 4/1/96 3,400
7,500 Iowa School Corp. Warrant Certificates,
Series: A (CGIC Insured), 4.75%, 6/28/96 7,511
---------
20,172
---------
KANSAS - 0.0%
300 City of Topeka Sewer System VRDN,
Series: 1984 (MBIA Insured),
3.65%, 4/1/96 300
----------
KENTUCKY - 0.5%
City of Danville Municipal Pooled Lease
Program (PNC Bank LOC)
2,605 3.35%, 5/10/96 2,605
3,000 3.60%, 5/15/96 3,000
---------
5,605
---------
LOUISIANA - 2.3%
6,600 Ascension Parish PCR VRDN,
Allied-Signal Project (FMC Corp. Gtd.),
3.55%, 4/5/96 6,600
1,915 Louisiana Public Facilities Authority PCR
VRDN, Series: 1992, Allied-Signal Project
(FMC Corp. Gtd.), 3.55%, 4/5/96 1,915
2,200 Parish of Caddo IDR VRDN, General
Motors Project (General Motors
Corp. Gtd.), 3.55%, 4/5/96 2,200
Parish of West Baton Rouge PCR CP,
Dow Chemical Project (Dow Chemical
Corp. Gtd.)
5,900 3.35%, 5/16/96 5,900
4,900 3.30%, 5/21/96 4,900
4,000 Plaquemines Port, Harbor & Terminal CP,
Series: D, Electro-Coal Transfer Co. Project
(Tampa Electric Co. Gtd.), 3.50%, 5/14/96 4,000
---------
25,515
---------
MARYLAND - 2.8%
4,850 City of Baltimore IDA VRDN, Series: 1986,
Capital Acquisition Program (Dai-Ichi
Kangyo Bank LOC), 3.70%, 4/5/96 4,850
3,000 County of Howard Multifamily Housing
Revenue Bond, Sherwood Crossing Ltd.
(GNMA Securities Colld.), 4.25%, 6/1/96 3,000
3,600 County of Montgomery VRDN, Series: 1993
A, Single Family Housing Program, Merrill
P-Floats FA-40, 3.35%, 4/5/96 3,600
10,000 Maryland Health and Higher Education
Authority VRDN, Series: A, Helix Health Inc.
(NationsBank, N.A. LOC), 3.50%, 4/5/96 10,000
4,215 Maryland Health and Higher Education
Authority VRDN, Series: D, Pooled Loan
Program (NationsBank, N.A. LOC),
3.50%, 4/5/96 4,215
977 Maryland State Community Development
Authority, Merrill P-Floats PT-12,
3.35%, 4/1/96 977
4,400 Maryland State Economic Development
Authority VRDN (NationsBank, N.A. LOC),
3.50%, 4/5/96 4,400
---------
31,042
---------
MASSACHUSETTS - 0.5%
4,000 Massachusetts Health & Education
Facilities VRDN, Series: P, Merrill General
Trust SG-27, 3.45%, 4/5/96 4,000
1,240 Massachusetts Housing Finance Authority,
Single Family TOCR, 4.00%, 6/1/96 1,240
---------
5,240
---------
MICHIGAN - 2.2%
2,435 Michigan Job Development Authority IDR
VRDN, Fisher Big Wheel Corp. Project
(Bayerische Vereinsbank LOC),
3.50%, 4/5/96 2,435
1,100 Michigan Strategic Fund IDR VRDN,
Allied-Signal Project (FMC Corp.
Gtd.), 3.50%, 4/5/96 1,100
Michigan Strategic Fund PCR CP (Dow
Chemical Gtd.)
2,500 3.35%, 4/9/96 2,500
6,800 3.40%, 4/11/96 6,800
2,895 Michigan Strategic Fund VRDN, Four `D'
Investment Company Project (Comerica
Bank LOC), 3.45%, 4/5/96 2,895
8,175 Mona Shores Public School G.O. VRDN,
Merrill Soc Gen Muni Trust-26
(FGIC Insured), 3.45%, 4/5/96 8,175
---------
23,905
---------
MINNESOTA - 0.4%
4,000 Minnetonka Multifamily Housing VRDN,
Series: 1995, Cliffs at Ridgedale Project
(FNMA Colld.), 3.45%, 4/5/96 4,000
---------
MISSISSIPPI - 0.5%
5,300 Jackson County PCR VRDN, Series: 1994,
Chevron Inc. Project (Chevron Oil Gtd.),
3.85%, 4/1/96 5,300
---------
MISSOURI - 3.1%
8,254 Missouri Health and Education Facilities
Authority VRDN, Washington University
Project (Washington University Gtd.),
3.45%, 4/5/96 8,254
14,000 Missouri Higher Education Loan Authority
VRDN, Series: 1991 B (MBIA Insured),
3.60%, 4/5/96 14,000
8,860 Missouri State TOCR G.O. VRDN, Series: A,
3.70%, 4/5/96 8,860
2,830 St. Charles County PCR VRDN, Series:
1988 A, Cedar Ridge Apartments Project
(Bank One LOC), 3.45%, 4/5/96 2,830
---------
33,944
---------
MONTANA - 1.0%
6,200 City of Forsyth PCR VRDN, Series: 1986,
Portland General Electric Co. Project
(Banque Nationale de Paris LOC),
3.80%, 4/1/96 6,200
1,600 City of Forsyth PCR VRDN, Series: 1988 A,
Pacificorp Project (Industrial Bank of
Japan LOC), 3.90%, 4/1/96 1,600
3,200 Montana Board of Investment VRDN,
Series: 1989 A, Colstrip Energy L.P. Project
(Fuji Bank LOC), 3.55%, 4/5/96 3,200
---------
11,000
---------
NEW YORK - 5.8%
5,900 City of New York G.O. TRAN, Series:
1996 A, 4.50%, 4/11/96 5,901
10,000 County of Nassau RAN, Series: 1996 A,
4.00%, 3/5/97 10,055
Marine Midland Premium Loan Trust
VRDN (Hong Kong & Shanghai
Bank LOC)
18,507 Series: 1991 A, 3.60%, 4/5/96 18,507
1,291 Series: 1991 B, 3.70%, 4/5/96 1,291
4,000 New York State Environmental Facilities
PCR VRDN, Eagle Trust-Weekly, Series:
943204 (CGIC Insured), 3.47%, 4/5/96 4,000
20,392 New York State Medical Care Finance
Agency Revenue Bond, Series: BTP-175
(Colld. by U.S. Government Securities),
3.85%, 12/17/96 20,392
3,580 Pooled Puttable Floating Option VRDN,
Series: PPT2, 3.50%, 4/1/96 3,580
---------
63,726
---------
NORTH CAROLINA - 0.7%
2,500 Mecklenburg County PCR IDR VRDN,
Series: 1996, SteriGenics Int'l. Project
(Comerica Bank LOC), 3.70%, 4/5/96 2,500
2,000 Mecklenberg County VRDN, Series: 1996,
YMCA of Charlotte Project (Wachovia
Bank of North Carolina LOC),
3.50%, 4/5/96 2,000
3,000 North Carolina State Port Authority VRDN,
Series: 1996, Morehead City Terminals Inc.
(NationsBank Corp. LOC), 3.65%, 4/5/96 3,000
---------
7,500
---------
NORTH DAKOTA - 0.5%
5,775 North Dakota Housing Finance Authority
Revenue Bond, Series: 1988 A (North
Dakota Housing Finance Agency-SFMR),
3.50%, 7/1/96 5,774
---------
OHIO - 2.4%
5,875 State of Ohio G.O. VRDN, Series: 1994,
BTP-170, 3.50%, 4/5/96 5,875
1,940 State of Ohio Higher Education VRDN,
Series: 1990 A, Partnership BTP-29 ADP
Class B (MBIA Insured), 3.55%, 4/5/96 1,940
4,800 State of Ohio Higher Education VRDN,
Series: 1994 A, Partnership BTP-69 ADP
Class B (AMBAC Insured),
3.55%, 4/5/96 4,800
1,000 State of Ohio Water Development
Authority Revenue Bond (MBIA Insured),
4.55%, 12/1/96 1,003
13,400 State of Ohio Water Development
Authority PCR VRDN, Series: B,
General Motors Project (General
Motors Corp. Gtd.), 3.55%, 4/5/96 13,400
---------
27,018
---------
OREGON - 1.1%
4,000 City of Klamath Falls Electric Revenue
Bond (Colld. by U.S. Government
Securities), 4.40%, 5/1/96 4,000
8,450 City of Medford Hospital Facility
Authority VRDN, Series: 1991, Rogue
Valley Project (Banque Paribas LOC),
3.50%, 4/5/96 8,450
---------
12,450
---------
PENNSYLVANIA - 8.4%
3,000 City of Littlestown IDA VRDN, Hanover
House Industries Project (NationsBank,
N.A. LOC), 3.50%, 4/5/96 3,000
18,500 City of Philadelphia TRAN, Series: A,
4.50%, 6/27/96 18,523
2,000 County of Allegheny Environmental
Improvement IDA CP, Series: 1986, USX
Corp. Project (Dresdner Bank LOC),
3.35%, 4/8/96 2,000
800 County of Allegheny Hospital Development
Authority VRDN, Health Facilities Authority
Central Blood Bank Project (PNC Bank
LOC), 3.45%, 4/5/96 800
13,940 Delaware Valley Regional Finance
Authority VRDN, Series: 1985 A-D
(Midland Bank PLC LOC), 3.50%, 4/5/96 13,940
32,500 Pennsylvania Higher Education Assistance
Agency VRDN, Series: 1995 A
(SLMA LOC), 3.50%, 4/5/96 32,500
7,390 Pennsylvania Intergovernmental
Cooperative Authority VRDN, Merrill
Soc Gen Muni Trust-16 (MBIA Insured),
3.40%, 4/5/96 7,390
15,000 School District of Philadelphia TRAN,
4.50%, 6/28/96 15,019
---------
93,172
---------
PUERTO RICO - 0.6%
7,000 Puerto Rico Industrial Medical &
Environmental Pollution Control
Facilities Revenue Bond, Series: 1983 A
(Merck & Co. Gtd.), 4.00%, 12/1/96 7,000
--------
SOUTH CAROLINA - 0.4%
2,800 County of Cherokee IDR VRDN, Oshkosh
Truck Project (NationsBank of North
Carolina, N.A. LOC), 3.60%, 4/3/96 2,800
200 County of Lexington IDR VRDN, Series:
1992, Allied-Signal Project (Allied-Signal,
Inc. Gtd.), 3.55%, 4/5/96 200
900 County of Lexington IDR VRDN, Series:
1992 A, Allied-Signal Project (FMC Corp.
Gtd.), 3.55%, 4/5/96 900
---------
3,900
---------
SOUTH DAKOTA -- 0.6%
6,410 South Dakota Economic Development
Finance Authority VRDN, Series: 1996,
Hastings Filters Inc. Project (Harris Trust
& Savings Bank LOC), 3.55%, 4/5/96 6,410
---------
TENNESSEE - 1.8%
2,200 City of Greenville Industrial Development
Board IDR VRDN, Series: 1993, Pet Inc.
Project (PNC Bank LOC), 3.45%, 4/5/96 2,200
4,000 City of Jackson Waste Facility IDR
VRDN, Series: 1995, Florida Steel Corp.
Project (NationsBank of Florida LOC),
3.50%, 4/5/96 4,000
4,000 County of Hamilton IDR VRDN, Series:
1995, Tennessee Aquarium Project
(NationsBank Tennessee LOC),
3.50%, 4/5/96 4,000
4,300 County of Montgomery Public Building
Authority VRDN, Series: 1995 (NationsBank
Tennessee LOC), 3.50%, 4/5/96 4,300
5,000 County of Nashville & Davidson Housing
Revenue Bond, Old Hickory Towers Project
(FHLB Indianapolis LOC), 3.60%, 4/5/96 5,000
---------
19,500
---------
TEXAS - 13.2%
Brazos River Harbor Navigation District
CP, Dow Chemical Co. Project
(Dow Chemical Co. Gtd.)
2,000 Series: 1988, 3.50%, 7/17/96 2,000
1,000 Series: 1990, 3.35%, 5/16/96 1,000
2,900 Series: 1992, 3.55%, 7/12/96 2,900
1,500 Series: 1992, 3.50%, 7/17/96 1,500
City of Corpus Christi Port Authority CP,
Union Pacific Resource Project (Union
Pacific Corp. Gtd.)
15,410 Series: 1989, 3.80%, 6/12/96 15,410
11,100 Series: 1989, 3.70%, 6/13/96 11,100
16,650 Series: 1992, 3.80%, 6/12/96 16,650
2,330 City of Dallas Water & Sewer CP, Series: A
(Industrial Bank of Japan LOC),
3.60%, 6/20/96 2,330
2,000 City of Houston Water and Sewer System
CP, Series: A, 3.25%, 6/20/96 2,000
3,455 City of Houston Water and Sewer System
VRDN, Series: 1992 C, BTP-54
(MBIA Insured), 3.55%, 4/5/96 3,455
12,000 County of Calhoun Navigation IDA IDR
VRDN, Formosa Plastics Corp. Project (Bank
of America LOC), 3.50%, 4/5/96 12,000
1,200 County of Harris Health Facilities
Development Corp. VRDN, Series: B,
St. Lukes Episcopal Hospital Project,
3.85%, 4/1/96 1,200
8,000 County of Harris Toll Road Unlimited
VRDN, Series: 1994 A, Citicorp Eagle Trust
#954302, 3.52%, 4/5/96 8,000
5,000 Greater Texas Student Loan Corp. Revenue
Refunding Bond, Series: A (SLMA LOC),
3.35%, 3/1/97 5,000
3,100 Gulf Coast Waste Disposal Authority VRDN,
Series: 1994, Amoco Oil Co. Project (Amoco
Oil Co. Gtd.), 3.85%, 4/1/96 3,100
1,000 North Central Health Facility Development
Corp. VRDN, Presbyterian Medical Center
Project (MBIA Insured), 3.80%, 4/1/96 1,000
3,800 North Texas Higher Educational Authority
VRDN, Series: 1993 A, Student Loan
Marketing Series (SLMA LOC), 3.50%, 4/5/96 3,800
11,500 North Texas Higher Educational Authority
VRDN, Series: 1993 A, SLMA (AMBAC
Insured), 3.55%, 4/5/96 11,500
2,300 Pooled Puttable Floating Option VRDN,
Series: PP2 (AMBAC, FGIC & MBIA
Insured), 3.35%, 4/5/96 2,300
7,000 Port Development Corp. Marine Terminal
IDR CP, Series: 1985 A, Mitsui & Co. Project
(Industrial Bank of Japan), 3.45%, 5/7/96 7,000
27,000 State of Texas TRAN, Series: A,
4.75%, 8/30/96 27,074
5,049 Texas Turnpike Authority, Dallas Toll
Revenue VRDN, Series: 1990 BTP-60 ADP
Class: B (AMBAC Insured), 3.55%, 4/5/96 5,049
---------
145,368
---------
UTAH - 0.3%
2,500 Intermountain Power Agency Revenue
Bond, Series: F (Junior LOC),
3.80%, 6/15/96 2,500
1,000 Intermountain Power Agency Revenue
Bond, Series: F, 6.40%, 7/1/96 1,007
---------
3,507
---------
VIRGINIA - 2.5%
2,000 City of Alexandria Housing &
Redevelopment VRDN (First Union
National Bank, Charlotte LOC),
3.70%, 4/5/96 2,000
14,500 City of Norfolk G.O., Eagle Trust
#944601, 3.52%, 4/5/96 14,500
2,000 County of Chesterfield IDA PCR CP,
Virginia Electric Power Co. Project
(Virginia Electric Power Co. Gtd.),
3.50%, 5/24/96 2,000
8,900 State of Virginia G.O. VRDN, Series: 1994,
Citicorp Eagle Trust #954601,
3.52%, 4/5/96 8,900
---------
27,400
---------
WASHINGTON - 1.2%
2,500 Kent Economic Development Corporation
IDR VRDN, Associated Grocers Project
(Seattle First National Bank LOC),
3.89%, 4/5/96 2,500
3,700 Washington Health Care Facilities
Authority VRDN, Series: 1993, Sisters of
St. Joseph (MBIA Insured), 3.45%, 4/5/96 3,700
6,595 Washington Public Power System VRDN,
Merrill Soc Gen Muni Trust-15
(MBIA Insured), 3.45%, 4/5/96 6,595
---------
12,795
---------
WEST VIRGINIA - 0.3%
3,000 Marion County Waste Disposal IDR
VRDN, Series: C, Granttown Project
(National Westminster Bank LOC),
3.50%, 4/5/96 3,000
---------
WISCONSIN - 2.2%
Housing & Economic Development
Authority, Home Ownership Revenue
Bond (Wisconsin Housing & Economic
Development Home Ownership
Insured)
13,810 3.35%, 9/1/96 13,810
6,305 3.50%, 9/1/96 6,305
4,290 Pewaukee Industrial Development
Revenue Bond VRDN, Husco
International Inc. Project (Bank One
Milwaukee LOC), 3.55%, 4/3/96 4,290
---------
24,405
---------
Total Municipal Investments
(cost $1,092,935) 1,092,935
---------
Number
of Shares
(000s)
------
OTHER - 0.8%
1,000 AIM Tax-Free Money Market Fund 1,000
300 Dreyfus Tax Exempt Cash
Management Fund 300
1,159 Federated Tax Free Trust Money
Market Fund #15 1,159
500 Federated Tax Free Trust Money
Market Fund #73 500
5,659 Provident Municipal Cash Fund 5,659
525 Provident Municipal Fund 525
----------
Total Other
(cost $9,143) 9,143
---------
Total Investments - 99.9%
(cost $1,102,078) 1,102,078
Other Assets less Liabilities - 0.1% 711
----------
NET ASSETS - 100.0% $ 1,102,789
===========
<F11>Security ineligible under Rule 2a-7. The Adviser is continuously
monitoring the status of the security and has determined that it is in the best
interest of the shareholders to continue to hold the security.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS March 31, 1996
U.S. GOVERNMENT SELECT MONEY MARKET FUND
Principal
Amount Value
(000s) (000s)
------ ------
U.S. GOVERNMENT AGENCIES - 97.6%
FEDERAL FARM CREDIT BANK - 23.3%
FFCB Discount Notes
$ 5,000 5.12%, 4/8/96 $ 4,995
10,000 5.11%, 5/2/96 9,956
5,000 5.27%, 5/29/96 4,958
---------
19,909
---------
FEDERAL HOME LOAN BANK - 59.8%
FHLB Discount Notes
5,000 5.13%, 4/2/96 4,999
6,000 5.19%, 4/8/96 5,994
5,000 5.26%, 5/2/96 4,978
7,000 5.55%, 5/3/96 6,967
1,620 5.31%, 5/20/96 1,608
15,000 5.29%, 6/26/96 14,813
5,000 5.23%, 6/27/96 4,938
250 5.29%, 9/13/96 244
900 5.30%, 9/20/96 878
5,800 5.43%, 10/28/96 5,625
---------
51,044
---------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 5.8%
5,000 FNMA Discount Note,
5.23%, 5/3/96 4,977
---------
STUDENT LOAN MARKETING
ASSOCIATION - 2.3%
2,000 SLMA FRN,
5.27%, 8/9/96 1,999
---------
TENNESEE VALLEY AUTHORITY - 6.4%
5,500 TVA Discount Note,
5.26%, 5/23/96 5,459
---------
Total U.S. Government Agencies
(cost $83,388) 83,388
---------
OTHER - 3.2%
2,714 Dreyfus Prime Money Market Fund 2,714
--------
Total Other
(cost $2,714) 2,714
--------
Total Investments - 100.8%
(cost $86,102) 86,102
Liabilities less Other Assets - (0.8)% (702)
--------
NET ASSETS - 100.0% $ 85,400
=========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS March 31, 1996
CALIFORNIA MUNICIPAL MONEY MARKET FUND
Principal
Amount Value
(000s) (000s)
------ ------
MUNICIPAL INVESTMENTS - 96.2%
CALIFORNIA - 96.2%
$ 400 City of Irvine Limited Obligation
Improvement VRDN, Assessment District
No. 94-15 (Dai-Ichi Kangyo Bank LOC),
3.60%, 4/1/96 $ 400
3,000 City of Los Angeles VRDN, Coral Wood
Court Project, Series: 1995 D (Union Bank,
San Francisco LOC), 3.60%, 4/5/96 3,000
3,600 City of Marysville TRANS (Marysville
Joint Unified School District), 4.50%,
11/21/96 3,614
1,300 City of Ontario IDA VRDN,
L.D. Brinkman & Co. Project (Barclays
Bank LOC), 3.55%, 4/1/96 1,300
1,900 City of Riverside Sewer Referendum Bond
VRDN, Series: MGT-21-2B (FGIC Insured),
3.20%, 4/5/96 1,900
2,000 City of San Diego 1995 Pooled
TRAN G.O. BTP-169 (Bank of Toyko-
Mitsubishi LOC), 3.20%, 5/6/96 2,000
4,000 City of San Diego Public Facility Water/
Sewer VRDN, Merrill Soc Gen Muni
Trust Series: SG-14 (AMBAC Insured),
3.30%, 4/5/96 4,000
3,000 City of San Marcos Public Facility
Authority Revenue Bond 1989, Civic Center
Project, Series: BTP-187 (Colld. by U.S.
Government Securities), 3.75%, 3/6/97 3,000
645 City of Visalia COP VRDN, Series: 1985,
Convention Center Expansion Project
(Mitsubishi Bank LOC), 3.40%, 4/5/96 645
2,000 County of Contra Costa VRDN, Series:
1987 A, El Cerrito Royale Project
(Bank of America LOC),
4.00%, 6/1/96 2,000
1,600 County of Los Angeles COP VRDN,
Conversion & Exchange Center Trust
Receipts, Series: PW-10, (Colld. by U.S.
Government Securities), 3.55%, 4/5/96 1,600
1,000 County of Los Angeles TRAN
(Bank of America LOC),
4.50%, 7/1/96 1,001
1,400 County of Madera IDA VRDN, Series: 1994,
Regency Thermographer Paper Project (Fleet
National Bank LOC), 3.50%, 4/5/96 1,400
3,400 County of Orange Apartment Development
Revenue Bond VRDN, Series: 1995 Z, Bear
Brand Apartments Project (Fuji Bank LOC),
3.85%, 4/5/96 3,400
1,100 County of Orange Apartment Development
Authority VRDN, Series: B, Foothills Oaks
Apartments Project (Bank of America LOC),
3.25%, 4/5/96 1,100
10,500 County of Orange Apartment Development
#19 VRDN, Parkplace Irvine County Phase
1B Project (New England Mutual Gtd.),
3.50%, 4/5/96 10,500
1,900 County of Orange Apartment Development
VRDN, Series: 1988 A, Vista Verde
Apartments (Wells Fargo Bank LOC),
3.50%, 4/5/96 1,900
1,100 County of Orange Multifamily VRDN,
Heritage Pointe Project, Series: 1992-A
(Banque Paribas LOC), 3.35%, 4/5/96 1,100
1,300 County of Orange Sanitation Districts
COP VRDN, District Numbers 1, 2, 3, 6, 7
& 11, Series: C (FGIC Insured),
3.60%, 4/1/96 1,300
2,000 County of Riverside Housing Revenue Bond
VRDN, Series: 1989 B, Amanda Park Apts.
Project (Fuji Bank LOC), 4.12%, 4/5/96 2,000
1,200 County of Riverside Housing Revenue Bond
VRDN, Series: 1992 A (Union Bank, San
Francisco LOC), 3.55%, 4/5/96 1,200
3,000 County of Riverside TRAN, School
Districts Financing Program, Series:
1996 (Riverside County School District
Pool Loan), 4.75%, 7/18/96 3,005
3,000 County of Riverside Transportation Sales
Tax Revenue CP (Industrial Bank of Japan
LOC), 3.40%, 5/9/96 3,000
1,500 County of Sacramento Multifamily Housing
Revenue Bond VRDN, Series: 1985 A,
River Oaks (Dai-Ichi Kangyo Bank LOC),
3.45%, 4/5/96 1,500
1,100 County of Sacramento Multifamily Housing
Revenue Bond VRDN, Series: 1985 E,
River Oaks (Dai-Ichi Kangyo Bank LOC),
3.45%, 4/5/96 1,100
5,000 County of San Bernardino, Chaffey
Community College District, 4.50%, 8/30/96 5,007
4,000 County of San Bernardino COP VRDN
PaineWebber Muni Trust, Series: 1994
PW-13 (Colld. by U.S. Government Securities
Escrowed), 3.55%, 4/5/96 4,000
5,000 County of San Bernardino, Redlands Unified
School District, 4.50%, 8/30/96 5,008
1,245 County of Santa Clara Housing Authority
VRDN, Series: A, Multifamily Avenida Espana
Gardens (Union Bank, San Francisco LOC),
3.20%, 4/5/96 1,245
1,100 County of West Riverside Water/Sewer
VRDN Wastewater Treatment System
(National Westminster Bank LOC),
3.50%, 4/1/96 1,100
2,540 Housing Finance Agency VRDN, Series:
1991 G, Merrill P-Floats PT-40D,
3.55%, 4/5/96 2,540
1,100 Housing Finance Agency VRDN, Series:
1995 B, Merrill P-Floats PT-56,
3.55%, 4/5/96 1,100
8,000 Housing Finance Agency, Home Mortgage
Revenue TOB, Series: 1988 E,
3.60%, 8/1/96 8,000
2,000 Housing Finance Agency Home Mortgage
Revenue Bond, Series: 1995 E,
3.50%, 2/1/97 2,000
2,100 Housing Finance Agency VRDN Episcopal
Home Project (Union Bank, San Francisco
LOC), 3.70%, 4/5/96 2,100
7,700 Irvine Ranch Consolidated Water District
Program VRDN, Districts 105, 140, 240 &
250 (Bank of America LOC),
3.55%, 4/1/96 7,700
6,200 Irvine Ranch Consolidated Water District
VRDN, Series: 1993 B, Districts 2, 102, 103
& 206 (Morgan Guaranty Trust Co.
LOC), 3.50%, 4/1/96 6,200
2,000 Los Angeles Convention & Exhibition Center
VRDN, Series: 1993, Merrill P-Floats PA-88
(MBIA Insured), 3.40%, 4/5/96 2,000
4,490 Regents of University of California VRDN,
Series: C, Merrill Soc Gen Muni Trust, SG-24
(AMBAC Insured), 3.30%, 4/5/96 4,490
3,600 State Community Development Authority
Housing Revenue AMT Kimberly Woods
Apartments, Series: 1995 B (FNMA Colld.),
3.40%, 4/5/96 3,600
4,000 State Department of Water Resources,
Water/Sewer VRDN, Central Valley
Project, ML/SG Series: SG-5 (California
Department of Water Resources),
3.30%, 4/5/96 4,000
5,000 State G.O. VRDN, Series: 1995, Bear
Stearns/Soc Gen Trust (FSAC Insured),
3.55%, 4/5/96 5,000
10,000 State G.O. RAW, Series: C (FGIC Insured),
5.75%, 4/25/96 10,018
11,950 State G.O. VRDN, Series: 1992 (MBIA
Insured), 3.65%, 4/5/96 11,950
1,005 State G.O. RAW VRDN, Series: BTP-92
1994 C (Westdeutsche Landesbank
Girozentral LOC), 3.57%, 4/5/96 1,005
3,000 State G.O. RAW, Series: C
(Westdeutsche Landesbank Girozentral
LOC), 5.75%, 4/25/96 3,002
1,000 State Pollution Control Finance Authority
VRDN, Atlantic Richfield Co. Project, Series:
1994A (Atlantic Richfield Co. Gtd.),
3.50%, 4/1/96 1,000
2,800 State Pollution Control Finance Authority,
San Diego Gas and Electric Project, (San
Diego Gas and Electric Gtd.),
3.95%, 8/1/96 2,800
7,000 Statewide Community Development
Authority, TRAN, Series: A (Statewide
Communities Program Pool Residual
Fund Insured), 4.75%, 7/5/96 7,012
-------
Total Municipal Investments
(cost $158,842) 158,842
-------
OTHER - 2.8%
2,554 Federated Tax Exempt Money Market
Fund #80 2,554
2,132 Provident Institutional California
Money Fund 2,132
-------
Total Other
(cost $4,686) 4,686
-------
Total Investments - 99.0%
(cost $163,528) 163,528
Other Assets less Liabilities - 1.0% 1,559
-------
NET ASSETS - 100.0% $165,087
========
See Notes to the Financial Statements.
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES March 31, 1996
FIXED INCOME FUNDS
<CAPTION>
INTERNATIONAL
U.S. FIXED INTERMEDIATE FIXED
GOVERNMENT INCOME TAX-EXEMPT TAX-EXEMPT INCOME
Amounts in thousands, FUND FUND FUND FUND FUND
except per share data ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (cost $147,355, $100,583,
$239,316, $122,406 and $14,498, respectively) $147,072 $99,883 $241,565 $125,475 $15,036
Cash and foreign currency 7 -- 3 3 133
Income receivable 1,768 1,250 3,605 2,048 401
Receivable for securities sold -- -- 4,903 -- --
Receivable for fund shares sold 355 791 150 15 56
Receivable for foreign tax withheld -- -- -- -- 34
Receivable from Adviser 7 6 14 10 3
Deferred organization costs, net of
accumulated amortization 43 34 67 46 22
Prepaid and other assets 10 7 8 7 6
------- ------- ------- ------- -------
Total Assets 149,262 101,971 250,315 127,604 15,691
------- ------- ------- ------- -------
LIABILITIES:
Due to custodian -- 518 -- -- --
Payable for securities purchased -- -- 4,348 2,358 --
Payable for fund shares redeemed 77 7 1,634 22 --
Dividends payable 81 71 137 77 12
Accrued investment advisory fees 18 12 28 15 2
Accrued administration fees 1 1 5 3 --
Accrued custody and accounting fees 1 1 2 1 1
Accrued transfer agent fees 2 2 4 2 --
Accrued registration fees and other liabilities 20 20 18 13 11
------- ------- ------- ------- -------
Total Liabilities 200 632 6,176 2,491 26
------- ------- ------- ------- -------
Net Assets $149,062 $101,339 $244,139 $125,113 $15,665
======== ======== ======== ======== =======
ANALYSIS OF NET ASSETS:
Capital stock $148,245 $100,778 $239,558 $121,455 $14,862
Accumulated undistributed (distributions in
excess of) net investment income (40) (55) 39 26 206
Accumulated net realized gains on investments
and foreign currency transactions 1,140 1,316 2,293 563 62
Net unrealized appreciation (depreciation)
on investments (283) (700) 2,249 3,069 538
Net unrealized losses on translation of assets and
liabilities denominated in foreign currencies -- -- -- -- (3)
------- ------- ------- ------- -------
Net Assets $149,062 $101,339 $244,139 $125,113 $15,665
======== ======== ======== ======== =======
SHARES OUTSTANDING ($.0001 PAR VALUE,
UNLIMITED AUTHORIZATION) 14,812 10,035 23,890 12,083 1,475
NET ASSET VALUE, REDEMPTION
AND OFFERING PRICE PER SHARE $10.06 $10.10 $10.22 $10.35 $10.62
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF OPERATIONS Year ended March 31, 1996
FIXED INCOME FUNDS
<CAPTION>
INTERNATIONAL
U.S. FIXED INTERMEDIATE FIXED
GOVERNMENT INCOME TAX-EXEMPT TAX-EXEMPT INCOME
Amounts in thousands Fund Fund Fund Fund Fund
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income $8,043 $5,930 $11,290 $6,631 $1,042<F12>
----- ----- ------ ----- ------
Expenses:
Investment advisory fees 1,012 666 1,746 911 136
Administration fees 202 133 349 182 23
Transfer agent fees 135 89 233 122 15
Custody and accounting fees 59 55 85 60 74
Registration fees 25 23 22 14 11
Amortization of organization costs 17 11 22 13 8
Professional fees 17 16 17 15 19
Trustees' fees 6 4 8 5 3
Other 12 12 22 16 13
----- ----- ----- ----- -----
Total Expenses 1,485 1,009 2,504 1,338 302
Less: Voluntary waivers of investment
advisory and administration fees (40) (27) (181) (92) (4)
Less: Reimbursement of expenses by Adviser (231) (183) (344) (213) (124)
----- ----- ------ ----- ------
Net Expenses 1,214 799 1,979 1,033 174
----- ----- ------ ----- ------
Net Investment Income 6,829 5,131 9,311 5,598 868
----- ----- ------ ----- ------
Net Realized and Unrealized Gains (Losses):
Net realized gains on:
Investments 2,958 3,447 5,055 1,827 230
Foreign currency transactions -- -- -- -- 277
Net change in unrealized appreciation
(depreciation) on investments (420) (45) 630 1,556 (559)
Net change in unrealized gains on
translation of assets and liabilities
denominated in foreign currencies -- -- -- -- 2
----- ----- ------ ----- ------
Net Gains (losses) on Investments 2,538 3,402 5,685 3,383 (50)
----- ----- ------ ----- ------
Net Increase in Net Assets
Resulting from Operations $9,367 $8,533 $14,996 $8,981 $818
====== ====== ======= ====== ====
<FN>
<F12> Net of $20 in non-reclaimable foreign withholding taxes.
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
FIXED INCOME FUNDS
<CAPTION>
U.S. FIXED
GOVERNMENT INCOME
FUND FUND
---------------------- ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31,
AMOUNTS IN THOUSANDS 1996 1995 1996 1995
---- ---- ---- ----
<S> <C> <C> <C> <C>
Operations:
Net investment income $ 6,829 $ 5,599 $ 5,131 $ 4,092
Net realized gains (losses) on:
Investments 2,958 (1,820) 3,447 (773)
Foreign currency transactions -- -- -- --
Net change in unrealized
appreciation (depreciation)
on investments (420) 137 (45) (655)
Net change in unrealized
gains (losses) on
translation of assets and
liabilities denominated in
foreign currencies -- -- -- --
------- ------ ------ ------
Net Increase in Net Assets
Resulting from Operations 9,367 3,916 8,533 2,664
------- ------ ------ ------
Capital Share Transactions:
Shares sold 44,443 135,773 48,410 80,770
Shares from reinvestment
of dividends 224 90 795 124
Shares redeemed (14,524) (17,738) (15,726) (13,538)
------- ------- ------- -------
Net Increase in Net Assets
Resulting from Capital
Share Transactions 30,143 118,125 33,479 67,356
------- ------- ------- -------
Distributions Paid:
From net investment income (6,787) (5,599) (5,061) (4,092)
From net realized gains (104) -- (1,541) --
In excess of net
investment income -- -- -- --
------- ------- ------- -------
Total Distributions Paid (6,891) (5,599) (6,602) (4,092)
------- ------- ------- -------
Total Increase in Net Assets 32,619 116,442 35,410 65,928
Net Assets:
Beginning of year 116,443 1 65,929 1
------- ------- ------- -------
End of year $149,062 $116,443 $101,339 $65,929
======== ======== ======== =======
Accumulated Undistributed
(Distributions in
Excess of) Net
Investment Income $(40) -- $(55) --
===== === ===== ===
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
FIXED INCOME FUNDS (cont'd)
<CAPTION>
INTERNATIONAL
INTERMEDIATE FIXED
TAX-EXEMPT TAX-EXEMPT INCOME
FUND FUND FUND
------------------ ------------------- ------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
March 31, March 31, March 31, March 31, March 31, March 31,
1996 1995 1996 1995 1996 1995
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Operations:
Net investment income $ 9,311 $ 9,257 $ 5,598 $ 6,393 $ 868 $ 524
Net realized gains (losses) on:
Investments 5,055 (1,112) 1,827 (1,023) 230 (141)
Foreign currency transactions -- -- -- -- 277 (70)
Net change in unrealized
appreciation (depreciation)
on investments 630 1,619 1,556 1,513 (559) 1,097
Net change in unrealized
gains (losses) on
translation of assets and
liabilities denominated in
foreign currencies -- -- -- -- 2 (5)
------- ------- ------- ------- ------- --------
Net Increase in Net Assets
Resulting from Operations 14,996 9,764 8,981 6,883 818 1,405
------- ------- ------- ------- ------- --------
Capital Share Transactions:
Shares sold 51,544 298,020 21,469 158,943 5,457 12,831
Shares from reinvestment
of dividends 173 107 82 66 151 17
Shares redeemed (32,864) (77,384) (18,270) (40,810) (2,894) (683)
------- ------- ------- ------- ------- --------
Net Increase in Net Assets
Resulting from Capital
Share Transactions 18,853 220,743 3,281 118,199 2,714 12,165
------- ------- ------- ------- ------- --------
Distributions Paid:
From net investment income (9,311) (9,257) (5,598) (6,393) (868) (524)
From net realized gains (1,650) -- (241) -- (27) --
In excess of net
investment income -- -- -- -- -- (19)
------- ------- ------- ------- ------- --------
Total Distributions Paid (10,961) (9,257) (5,839) (6,393) (895) (543)
Total Increase in Net Assets 22,888 221,250 6,423 118,689 2,637 13,027
Net Assets:
Beginning of year 221,251 1 118,690 1 13,028 1
------- ------- ------- ------- ------- --------
End of year $244,139 $221,251 $125,113 $118,690 $ 15,665 $ 13,028
======== ======== ======== ======== ======== ========
Accumulated Undistributed
(Distributions in
Excess of) Net
Investment Income $39 -- $26 -- $206 $(19)
=== === === === ==== =====
See Notes to the Financial Statements
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
FIXED INCOME FUNDS
U.S. FIXED
GOVERNMENT INCOME
FUND FUND
--------------- --------------
Year Year Year Year
Ended Ended Ended Ended
March 31, March 31, March 31, March 31,
1996 1995 1996 1995
---- ---- ---- ----
<S> <C> <C> <C> <C>
Selected per share data
Net Asset Value, Beginning
of Period $ 9.84 $10.00 $ 9.78 $10.00
Income (Loss) from Investment
Operations:
Net investment income 0.51 0.50 0.60 0.62
Net realized and unrealized
gains (losses) on
investments and foreign
currency transactions 0.29 (0.16) 0.48 (0.22)
------- --------- ------- ---------
Total Income from Investment
Operations 0.80 0.34 1.08 0.40
------- ------- ------- -------
Less Distributions Paid:
From net investment income (0.51) (0.50) (0.59) (0.62)
From net realized gains (0.07) -- (0.17) --
In excess of net
investment income -- -- -- --
------- ------- ------- -------
Total Distributions (0.58) (0.50) (0.76) (0.62)
------- ------- ------- -------
Net Asset Value, End of Period $10.06 $ 9.84 $10.10 $ 9.78
====== ====== ====== ======
Total Return 7.65% 3.49% 11.18% 4.16%
Supplemental Data and Ratios:
Net assets, in thousands, end
of period $149,062 $116,443 $101,339 $65,929
Ratio to average net assets of:
Expenses, net of waivers and
reimbursements 0.90% 0.90% 0.90% 0.90%
Expenses, before waivers and
reimbursements 1.10% 1.12% 1.14% 1.18%
Net investment income, net
of waivers and
reimbursements 5.07% 5.20% 5.79% 6.48%
Net investment income, before
waivers and
reimbursements 4.87% 4.98% 5.55% 6.20%
Portfolio Turnover Rate 112.00% 42.29% 116.22% 55.27%
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
FIXED INCOME FUNDS (cont'd)
<CAPTION>
INTERNATIONAL
INTERMEDIATE FIXED
TAX-EXEMPT TAX-EXEMPT INCOME
FUND FUND FUND
------------------ ------------------- -------------------
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
March 31, March 31, March 31, March 31, March 31, March 31,
1996 1995 1996 1995 1996 1995
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Selected per share data
Net Asset Value, Beginning
of Period $10.03 $10.00 $10.08 $10.00 $10.64 $10.00
Income (Loss) from Investment
Operations:
Net investment income 0.41 0.40 0.48 0.48 0.62 0.58
Net realized and unrealized
gains (losses) on
investments and foreign
currency transactions 0.26 0.03 0.29 0.08 -- 0.64
------- ------- ------- ------- ------- -----
Total Income from Investment
Operations 0.67 0.43 0.77 0.56 0.62 1.22
------- ------- ------- ------- ------- -----
Less Distributions Paid:
From net investment income (0.41) (0.40) (0.48) (0.48) (0.62) (0.56)
From net realized gains (0.07) -- (0.02) -- (0.02) --
In excess of net
investment income -- -- -- -- -- (0.02)
------- ------- ------- ------- ------- -----
Total Distributions (0.48) (0.40) (0.50) (0.48) (0.64) (0.58)
------- ------- ------- ------- ------- -----
Net Asset Value, End of Period $10.22 $10.03 $10.35 $10.08 $10.62 $10.64
====== ====== ====== ====== ====== ======
Total Return 6.81% 4.38% 7.80% 5.78% 5.84% 12.77%
Supplemental Data and Ratios:
Net assets, in thousands, end
of period $244,139 $221,251 $125,113 $118,690 $15,665 $13,028
Ratio to average net assets of:
Expenses, net of waivers and
reimbursements 0.85% 0.85% 0.85% 0.85% 1.15% 1.15%
Expenses, before waivers and
reimbursements 1.08% 1.09% 1.10% 1.11% 2.00% 2.42%
Net investment income, net
of waivers and
reimbursements 4.01% 4.09% 4.62% 4.95% 5.75% 5.96%
Net investment income, before
waivers and
reimbursements 3.78% 3.85% 4.37% 4.69% 4.90% 4.69%
Portfolio Turnover Rate 137.85% 78.87% 60.50% 54.94% 52.05% 43.24%
See Notes to the Financial Statements.
</TABLE>
SCHEDULES OF INVESTMENTS March 31, 1996
U.S. GOVERNMENT FUND
Principal
Amount Value
(000s) (000s)
- ------ ------
U.S. GOVERNMENT AGENCIES - 22.7%
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 7.9%
FHLMC
$ 4,000 Series: 1614, Class E,
5.20%, 4/15/15 $ 3,915
4,750 Series: 1379, Class EA,
6.00%, 5/15/16 4,713
3,052 7.34%, 11/1/24 3,106
-------
11,734
-------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
REMIC TRUST - 11.7%
FNMA
1,530 Series: 1991-37, Class G,
8.15%, 8/25/05 1,575
1,200 Series: 1993-203, Class PC,
4.75%, 11/25/13 1,182
4,500 Series: 92-200, Class E,
6.25%, 6/25/17 4,480
445 Series: 89-15, Class D,
10.00%, 9/25/18 461
302 Series: 1991-140, Class C,
8.50%, 5/25/20 302
5,410 Series: 1995-11, Class A, P.O.,
0.00%, 1/25/24<F13> 3,862
5,500 Series: 1995-WI, Class A2,
8.20%, 4/25/25 5,602
-------
17,464
-------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 0.6%
GNMA
173 7.25%, 6/15/98 175
719 10.00%, 4/15/19 - 2/15/21 793
-------
968
-------
TENNESSEE VALLEY AUTHORITY - 2.5%
3,700 TVA, 6.235%, 7/15/45 3,701
-------
Total U.S. Government Agencies
(cost $32,959) 33,867
-------
U.S. GOVERNMENT
OBLIGATIONS - 70.9%
U.S. TREASURY NOTES
8,095 7.375%, 5/15/96 8,113
3,145 6.75%, 2/28/97 3,180
20,000 7.25%, 2/15/98 20,506
29,050 6.75%, 5/31/99 29,679
5,000 6.875%, 8/31/99 5,131
8,250 7.75%, 12/31/99 8,716
28,200 7.50%, 2/15/05 30,262
------
Total U.S. Government Obligations
(cost $106,778) 105,587
-------
SHORT-TERM INVESTMENT - 5.1%
$7,620 FHLMC Discount Note,
5.30%, 4/1/96 $ 7,618
-------
Total Short-Term Investment
(cost $7,618) 7,618
-------
Total Investments - 98.7%
(cost $147,355) 147,072
Other Assets less Liabilities - 1.3% 1,990
-------
NET ASSETS - 100.0% $149,062
========
<F13>This stripped security represents the right to receive only principal
payments (Principal Only Stripped Security). The value of principal only
stripped securities varies inversely with changes in interest rates.
See Notes to the Financial Statements.
FIXED INCOME FUND
Principal
Amount Value
(000s) (000s)
------ ------
ASSET BACKED SECURITIES - 7.0%
$1,068 ALPS, Series: 94-1, Class A-2,
7.15%, 9/15/04 $1,082
22 Capstead Securities Corp. IV,
Series: 1992-XII, Class XII-B,
8.325%, 11/25/05 22
2,395 Delta Funding Corporation,
3.24%, 1/1/06<F14> 127
291 DLJ Mortgage Acceptance Corp.,
7.25%, 5/25/24 291
1,366 GE Capital Mortgage Services, Inc.,
5.72%, 1/25/24 764
131 National Credit Card Trust,
9.45%, 12/31/97 133
2,855 Olympic Automobile Receivables,
7.875%, 7/15/01 2,932
18 U.S. Home Equity Loan, Class A,
8.50%, 4/15/21 19
1,686 Western Financial Grantor Trust,
7.10%, 1/1/00 1,709
-------
Total Asset Backed Securities
(cost $7,034) 7,079
-------
CORPORATE/GOVERNMENT BONDS
AND NOTES - 16.8%
BROKERAGE SERVICES - 3.6%
Salomon Brothers Medium Term Note
1,700 5.20%, 1/20/97 1,684
2,000 5.50%, 1/31/98 1,952
-------
3,636
-------
COMMUNICATIONS - 0.9%
880 New Jersey Bell Telephone Co.,
7.85%, 11/15/29 946
-------
CONSUMER PRODUCTS - 1.6%
1,580 Philip Morris Cos., Inc.,
8.875%, 7/1/96 1,593
-------
FINANCIAL SERVICES - 4.3%
General Motors Acceptance Corp.
65 4.00%, 9/15/98 64
2,085 8.875%, 6/1/10 2,404
1,800 Greyhound Financial Corp.,
8.50%, 5/1/98 1,873
-------
4,341
-------
FOREIGN GOVERNMENT BONDS AND
NOTES - 2.5%
355 British Columbia Hydro and Power
Authority (Canada), 15.50%, 11/15/11 399
1,905 Nova Scotia Province of Canada
(Canada), 8.25%, 11/15/19 2,098
-------
2,497
-------
INSURANCE SERVICES - 3.0%
1,350 Equitable Life Insurance,
7.70%, 12/1/15 1,348
1,750 Prudential Funding,
8.30%, 7/1/25 1,755
-------
3,103
-------
PETROLEUM PRODUCTS - 0.2%
175 Chevron Capital U.S., Inc.,
9.75%, 7/15/17 190
-------
PRINTING AND PUBLISHING - 0.0%
19 Berkshire Hathaway, Inc.,
9.75%, 1/15/18 20
-------
SUPRA-NATIONAL - 0.7%
610 Inter American Development Bank,
8.40%, 9/1/09 701
-------
Total Corporate/Government
Bonds and Notes
(cost $16,901) 17,027
-------
U.S. GOVERNMENT AGENCIES - 7.5%
COLLATERALIZED MORTGAGE
OBLIGATIONS - 6.3%
FHLMC
1,003 Series: 1392, Class 1392-S, I.O.,
4.063%, 9/15/18<F15> 34
245 Series: 1571, Class D, P.O.,
0.00%, 8/15/23<F15> 153
328 Series: 1152, Class J,
8.00%, 12/15/19 331
421 Series: 1248, Class B,
7.00%, 3/15/22 416
810 Series: 1591, Class SH,
5.452%, 9/15/22 521
87 Series: G011, Class B, P.O.,
0.00%, 4/25/23<F15> 56
FNMA REMIC Trusts
825 Series: 1991-26,
Class E, 8.00%, 1/25/05 831
418 Series: 1989-15, Class D,
10.00%, 9/25/18 433
70 Series: 1991-140,
Class C, 8.50%, 5/25/20 70
4 Series: G-12,
Class S, I.O., 539.029%, 5/25/21<F15> 64
541 Series: 1993-146,
Class B, P.O., 0.00%, 5/25/23<F15> 510
4,050 Series: 1995-11,
Class A, P.O., 0.00%, 1/25/24<F15> 2,891
55 Series: 1991-127,
Class SA, 12.461%, 9/25/98 56
-------
6,366
-------
MORTGAGE BACKED SECURITIES - 1.2%
FHLMC
1 11.00%, 11/1/00 1
202 8.75%, 9/1/01 208
2 6.50%, 6/1/04 2
11 10.25%, 4/1/06 12
15 10.00%, 11/1/10 17
7 10.75%, 6/1/12 7
100 10.50%, 11/1/13 - 5/1/18 109
6 12.75%, 2/1/14 7
15 11.50%, 3/1/15 17
17 11.25%, 12/1/15 19
FNMA
125 10.50%, 4/1/12 136
26 11.50%, 8/1/14 29
7 11.25%, 2/1/16 8
GNMA
47 10.50%, 7/15/98 - 11/15/15 49
8 11.50%, 12/15/98 - 7/20/15 8
66 12.00%, 5/15/99 - 3/15/15 71
24 10.75%, 11/15/00 - 1/15/04 25
37 11.00%, 11/15/00 - 1/15/18 40
47 7.50%, 5/15/02 48
120 10.00%, 10/15/03 - 7/15/20 132
82 9.50%, 11/20/05 - 6/15/16 88
3 12.50%, 10/15/13 - 2/20/15 3
134 9.00%, 6/15/16 - 1/15/21 144
-------
1,180
-------
Total U.S. Government Agencies
(cost $7,447) 7,546
-------
U.S. GOVERNMENT
OBLIGATIONS - 55.7%
U.S. Treasury Bonds
24,290 6.75%, 2/28/97-5/31/99 24,758
715 6.875%, 8/31/99 734
8,315 7.50%, 2/15/05 8,923
21,395 7.125%, 2/15/23 22,060
-------
Total U.S. Government Obligations
(cost $57,469) 56,475
-------
FLOATING RATE BANK NOTES - 6.9%
Hong Kong and Shanghai Bank
1,450 Series: 2, 5.688%, 6/14/96 1,176
1,645 5.563%, 8/23/96 1,344
2,800 Lloyds Bank PLC,
5.875%, 6/13/96 2,387
2,400 National Westminster Bank,
7.00%, 5/9/96 2,039
-------
Total Floating Rate Bank Notes
(cost $6,922) 6,946
-------
SHORT-TERM INVESTMENTS - 4.7%
4,010 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.438%, 4/1/96 4,010
800 FHLMC Discount Note,
5.30%, 4/1/96 800
-------
Total Short-Term Investments
(cost $4,810) 4,810
-------
Total Investments - 98.6%
(cost $100,583) 99,883
Other Assets less Liabilities - 1.4% 1,456
-------
NET ASSETS - 100.0% $101,339
========
<F14>This private placement security may require registration under the
Securities Act of 1933 or an exemption therefrom in order to effect sale in the
ordinary course of business. At March 31, 1996, the value of this security
amounted to $127,000 or 0.1% of net assets.
<F15> Stripped securities represent the right to receive either future interest
payments (Interest Only Stripped Securities) or principal payments (Principal
Only Stripped Securities). The value of variable rate interest only stripped
securities varies directly with changes in interest rates, while the value of
fixed rate interest only stripped securities and principal only stripped
securities varies inversely with changes in interest rates. At March 31, 1996,
yields on these securities ranged from approximately 5% to 15%.
See Notes to the Financial Statements.
INTERMEDIATE TAX-EXEMPT FUND
Principal
Amount Value
(000s) (000s)
----- ------
MUNICIPAL INVESTMENTS - 96.4%
ALABAMA - 0.5%
City of Birmingham Public Building
Authority Revenue Refunding Bond
$ 280 6.70%, 1/15/97 $ 287
340 6.70%, 7/15/97 352
280 6.80%, 7/15/98 296
310 7.00%, 1/15/00 336
-------
1,271
-------
ALASKA - 3.2%
Borough of North Slope G.O.
Refunding Bond, Series: A (MBIA Insured)
6,250 0.00%, 6/30/99 5,391
3,000 0.00%, 6/30/01 2,342
-------
7,733
-------
ARIZONA - 6.1%
5,000 City of Mesa Project of 1987
G.O. Bond (MBIA Insured),
5.70%, 7/1/08 5,144
1,500 City of Tucson IDA Association Project
Bond, Prerefunded, 6.25%, 11/15/03 1,641
1,000 County of Maricopa School District No.
41 Gilbert, G.O. Bond, Series: C (FGIC
Insured), Prerefunded, 6.375%, 7/1/04 1,083
2,000 County of Maricopa School District No.
11 Peoria, G.O. Bond, 5.60%, 7/1/07 2,079
1,950 County of Maricopa Transportation Board
Regular Area Road - A, Excise Tax
Revenue (AMBAC Insured), 5.60%, 7/1/03 2,044
2,000 State of Arizona Transportation Board
Highway Revenue Bond, Sub-Series: B,
Prerefunded, 6.50%, 7/1/02 2,220
University of Arizona Revenue Bond,
Series: A
340 9.00%, 6/1/97 361
360 9.00%, 6/1/98 396
-------
14,968
-------
CALIFORNIA - 3.7%
1,665 City of Los Angeles Wastewater System
Revenue Bond, Series: B, Prerefunded,
7.15%, 6/1/00 1,867
1,000 County of Foothill/Eastern Transportation
Corridor Agency Toll Road Senior
Lien Revenue Bond, Series: A,
0.00%, 1/1/05 587
530 County of Los Angeles COP, Radio
Communication Systems Project,
8.00%, 12/1/97 559
670 M-S-R Public Power Agency Revenue Bond,
Series: E, San Juan Project (MBIA Insured),
7.25%, 7/1/00 737
610 State of California Department of Water
Resources Revenue Bond, Series: F,
7.10%, 12/1/99 651
State of California Public Works Board
Lease Revenue Bond, Series: A,
Various University of California Projects
2,700 5.60%, 10/1/01 2,785
1,200 5.90%, 10/1/04 1,254
490 State of California Public Works Board
Lease Revenue Bond, Series: A,
Department of Corrections State Prisons,
7.20%, 11/1/96 508
-------
8,948
-------
COLORADO - 3.2%
4,000 Arapohoe County Colorado School
District No. 5 Cherry Creek G.O.
Refunding Bond, Series: A, 5.25%,
12/15/03 4,102
1,000 City and County of Denver Revenue
School District COP (MBIA Insured),
Prerefunded, 6.75%, 12/1/02 1,126
City of Denver Metropolitan Major League
Baseball Stadium District Sales Tax Revenue
Bond (FGIC Insured)
310 3.40%, 10/1/96 310
380 4.00%, 10/1/99 376
310 4.15%, 10/1/00 306
1,070 4.30%, 10/1/01 1,055
610 Metropolitan Wastewater Reclamation
District Gross Revenue Refunding Bond,
Series: B (MBIA Insured), 6.75%, 4/1/03 681
-------
7,956
-------
DISTRICT OF COLUMBIA - 0.9%
2,000 District of Columbia G.O. Unlimited
Revenue Bond, Prerefunded,
7.40%, 6/1/00 2,255
-------
FLORIDA - 10.3%
County of Broward School District
G.O. Bond
380 6.75%, 2/15/00 409
2,000 6.00%, 2/15/06 2,119
County of Dade School District G.O.
Bond (MBIA Insured)
1,000 6.875%, 8/1/00 1,097
1,000 5.50%, 8/1/04 1,045
800 County of Dade School District
G.O. Bond (FGIC Insured),
6.00%, 8/1/01 856
County of Seminole, Florida School
District G.O. Refunding Bonds
(MBIA Insured)
1,785 5.70%, 8/1/00 1,873
1,810 5.75%, 8/1/01 1,913
Jacksonville Electric Authority Revenue
Bond, St. John's River Obligation,
Series: 6-C
1,530 6.40%, 10/1/00 1,645
1,500 6.50%, 10/1/01 1,632
State of Florida, Board of Education
Capital Outlay Public Education G.O. Bond
2,500 4.60%, 1/1/08 2,324
2,000 4.70%, 1/1/09 1,852
3,195 State of Florida, Dade County Road
G.O. Refunding Bond, 5.00%, 7/1/10 3,057
State of Florida, Department of
Environmental Protection Revenue Bond:
PRSV 2000-A (AMBAC Insured)
2,270 5.50%, 7/1/06 2,353
3,000 5.50%, 7/1/07 3,073
-------
25,248
-------
GEORGIA - 2.8%
2,000 Cobb-Marietta Coliseum and Exhibition
Hall Authority Revenue Bond,
Prerefunded (MBIA Insured),
6.75%, 10/1/01 2,242
310 County of Gwinnett Water and Sewer
Authority, Water Revenue Improvement
Bond, Series: 1985, Escrowed to Maturity,
7.75%, 8/1/96 314
870 County of Gwinnett Water and Sewer
Authority, Water Revenue Refunding Bond,
Escrowed to Maturity, 8.20%, 8/1/99 974
310 County of Monroe Development Authority,
Oglethorp Power Corp. Pollution Control
Project Revenue Bond, 10.60%, 1/1/97 324
Georgia Municipal Electric Authority Power
Revenue Bond
1,085 Series: L, 7.50%, 1/1/98 1,134
2,000 Series: Z, 4.50%, 1/1/00 1,983
-------
6,971
-------
HAWAII - 0.4%
310 State of Hawaii G.O. Bond, Series: AM,
5.25%, 2/1/97 310
610 State of Hawaii G.O. Bond, 4.50%, 4/1/97 610
-------
920
-------
ILLINOIS - 1.9%
2,000 Chicago Park District Tax Anticipation
Warrants, Series: A, 5.00%, 10/30/96 2,015
310 County of McLean Public Building
Commission, Law and Justice Center Project
Revenue Bond, 7.10%, 11/1/00 342
310 County of McLean School District No. 087
G.O. Refunding Bond, 5.40%, 2/1/99 318
882 Illinois Toll Highway Authority of Northern
Illinois Revenue Bond, Series: 1995,
Prerefunded, 4.75%, 7/1/97 884
140 Northwest Suburban Municipal Joint Action
Water Supply System Revenue Bond,
Escrowed to Maturity (MBIA Insured),
9.20%, 5/1/96 141
310 State of Illinois Capital Development
G.O. Bond, Series: 1972 A, 3.25%, 8/1/97 307
320 State of Illinois G.O. Bond, 8.125%, 6/1/96 322
-------
310 State of Illinois Sales Tax Revenue Bond,
Series: J, 6.90%, 6/15/01 336
-------
4,665
-------
KANSAS - 2.2%
3,240 City of Kansas City G.O. Refunding Bond,
Series: A (MBIA Insured), 5.20%, 9/1/06 3,288
1,982 City of LaCygne, Kansas,
Environmental Industrial Revenue
Refunding Bonds, Kansas City Power &
Light FRN, Series: A, 3.40%, 4/1/96 1,982
-------
5,270
-------
KENTUCKY - 2.6%
2,000 State of Kentucky Property and Buildings
Commission Revenue Refunding Bond,
Project No. 59, 5.00%, 11/1/01 2,033
2,000 State of Kentucky Turnpike
Authority Revenue Refunding Bond
(Economic Development Road
Revitalization Project), 5.50%, 1/1/01 2,075
2,000 State of Kentucky Turnpike
Authority Revenue Refunding Bond
(Economic Development Road
Revitalization Project) (AMBAC Insured),
6.50%, 7/1/07 2,241
-------
6,349
-------
MAINE - 0.1%
310 State of Maine G.O. Bond,
8.50%, 3/1/99 345
-------
MASSACHUSETTS - 11.6%
2,220 State of Massachusetts Conservation,
Series: D (FGIC Insured), 5.125%, 11/1/07 2,202
State of Massachusetts G.O. Refunding Bond
1,000 Series: A, 6.25%, 7/1/02 1,079
1,500 Series: C, 4.70%, 8/1/02 1,495
3,000 Series: B, 5.10%, 11/1/02 3,059
3,500 State of Massachusetts Health Revenue Bond,
Newton Wellesley Hospital, Series: D
(MBIA Insured), 6.90%, 7/1/07 3,822
1,430 State of Massachusetts Municipal Wholesale
Electric Power System Revenue Bond,
Series: B, Prerefunded, 6.75%, 7/1/02 1,612
2,645 State of Massachusetts Transportation
Authority (AMBAC Insured), 5.00%, 3/1/06 2,627
2,500 State of Massachusetts Turnpike Authority
State Gtd. BAN, Series: A, 5.00%, 6/1/99 2,555
State of Massachusetts Water Reserve
Authority General Revenue Bond
2,500 Series: A, 7.25%, 4/1/01 2,769
2,000 Series: A, Prerefunded, 6.50%, 7/15/02 2,229
610 Series: C, 4.90%, 12/1/02 613
2,000 Series: B, 6.00%, 11/1/05 2,120
2,000 Series: B, 6.00%, 11/1/06 2,103
-------
28,285
-------
MICHIGAN - 3.0%
1,350 City of Detroit G.O. Bond (MBIA Insured),
Prerefunded, 7.10%, 5/1/01 1,525
870 City of Lansing Limited Tax G.O. Bond,
Escrowed to Maturity, 4.75%, 10/1/00 878
5,000 Michigan Strategic Fund Revenue Refunding
Bonds, Detroit Edison PCR Project FRN,
Series: 1995 CC (Barclay's Bank LOC),
3.65%, 4/1/96 5,000
-------
7,403
-------
MISSISSIPPI - 0.9%
2,000 State of Mississippi G.O. Refunding
Bond, 6.05%, 8/15/03 2,164
-------
MISSOURI - 1.6%
3,000 City of Kansas City, Missouri Municipal
Assistance Leasehold-Improvement-H Roe
Bartle-B (AMBAC Insured), Prerefunded,
6.00%, 4/15/01 3,193
650 State of Missouri Health and Education
Facilities Authority Christian Health
Revenue Refunding Bond (FGIC Insured),
Prerefunded, 6.875%, 2/15/01 724
-------
3,917
-------
MONTANA - 1.2%
2,900 City of Forsyth, PCR Pacificorp Project,
Variable Refunding Bonds FRN (Industrial
Bank of Japan LOC), 3.90%, 4/1/96 2,900
-------
NEBRASKA - 0.4%
1,000 State of Nebraska Public Power District
Supply System Revenue Bond, Series: B,
4.80%, 1/1/03 997
-------
NEVADA - 1.1%
310 City of Las Vegas G.O. Refunding Bond
(MBIA Insured), 7.10%, 11/1/97 326
590 City of Las Vegas G.O. Refunding Bond,
Prerefunded (MBIA Insured),
6.80%, 1/1/99 639
310 County of Clark, Las Vegas Convention
and Visitors G.O. Refunding Bond
(FGIC Insured), 8.00%, 7/1/99 319
310 County of Clark School District
Group No. 1 G.O. Bond (FGIC Insured),
7.00%, 5/1/98 327
620 Las Vegas-Clark County Library District
G.O. Bond (FGIC Insured), 4.00%, 2/1/01 601
310 State of Nevada Bank Refunding Bond,
Escrowed to Maturity, 7.625%, 5/1/01 350
150 State of Nevada Lake Tahoe Preservation
Bond, Prerefunded, 7.20%, 8/1/98 163
-------
2,725
-------
NEW HAMPSHIRE - 0.3%
620 City of Manchester G.O. Refunding Bond,
Series: B, 4.70%, 7/1/01 624
-------
NEW JERSEY - 2.3%
3,000 County of Pasaic Valley, New Jersey
Revenue Refunding Sewer System Bonds,
Series: D (AMBAC Insured),
5.70%, 12/1/00 3,151
1,500 State of New Jersey Transportation
Authority Revenue Bond, Escrowed to
Maturity, 4.625%, 6/15/02 1,496
1,000 State of New Jersey Refunding Bonds,
Series: C, 6.40%, 1/15/00 1,055
-------
5,702
-------
NEW MEXICO - 0.7%
1,000 City of Santa Fe, New Mexico Revenue
Bonds, Series: A (AMBAC Insured),
Prerefunded, 6.30%, 6/1/04 1,099
610 County of Bernalillo G.O. Bond,
3.875%, 8/1/03 571
-------
1,670
-------
NEW YORK - 13.2%
City of New York G.O. Bond, Series: C-1,
Prerefunded
2,000 6.375%, 8/1/02 2,214
2,730 6.40%, 8/1/02 3,026
500 City of New York VRDN, Sub-Series:
B-2, FRN (Dai-Ichi Kangyo Bank LOC),
3.30%, 4/1/96 500
State of New York Dormitory Authority
State University Revenue Refunding Bond
2,500 Series: A, 5.40%, 5/15/02 2,540
2,500 Series: A, 5.50%, 5/15/03 2,543
1,000 Series: B, Prerefunded, 7.25%, 5/15/00 1,122
1,500 State of New York Environmental Quality
G.O. Bond, 5.00%, 1/15/04 1,506
State of New York G.O. Refunding Bond
1,000 Series: C, 6.00%, 10/1/06 1,068
2,500 Series: B, 6.375%, 8/15/00 2,678
4,250 State of New York Medical Care
Facilities Financial Agency Revenue
Refunding Bond, Series: F (MBIA Insured),
6.00%, 8/15/03 4,555
1,690 State of New York Power Authority
Revenue Bonds, Series: W, 6.40%, 1/1/00 1,812
State of New York Urban Development
Revenue Refunding Bonds, Correctional
Facilities
3,500 5.25%, 1/1/04 3,454
5,375 Series: 4, 5.25%, 1/1/08 5,094
-------
32,112
-------
NORTH CAROLINA - 1.0%
2,410 North Carolina Eastern Municipal
Power System Revenue Refunding
Bond, Series: C, 5.00%, 1/1/02 2,392
-------
OHIO - 2.2%
City of Warren, Ohio Hospital Revenue
Refunding Bond, Warren General
Hospital Project, Series: B, Prerefunded
1,500 7.20%, 11/15/03 1,753
3,000 7.30%, 11/15/03 3,524
-------
5,277
-------
OREGON - 1.3%
540 Counties of Clackamas and Washington
School District No. 003 G.O. Bond,
7.00%, 8/1/02 606
County of Washington School District
No. 48J G.O. Refunding Bond, Series: B
850 4.10%, 9/1/02 822
910 4.20%, 9/1/03 876
770 State of Oregon G.O. Bond, 7.30%, 3/1/98 808
-------
3,112
-------
PENNSYLVANIA - 1.4%
3,000 City of Philadelphia Hospitals and Higher
Educational Facilities Revenue Bond,
Series: A, Prerefunded, 6.50%, 2/15/02 3,327
-------
SOUTH CAROLINA - 2.4%
340 City of Charleston Water Works and
Sewer Revenue Refunding and
Improvement Bond, 5.40%, 1/1/01 351
State of South Carolina G.O. Bond
460 Sub-Series: U-A, 7.60%, 2/1/97 476
310 Series: W, 7.25%, 5/1/98 330
State of South Carolina Public Service
Authority Revenue Refunding Bond,
Series: B (FGIC Insured)
2,650 6.50%, 1/1/04 2,915
1,700 6.50%, 1/1/05 1,875
-------
5,947
-------
TENNESSEE - 2.1%
685 City of Memphis G.O. Refunding
Bond, Series: A, 4.50%, 8/1/01 683
1,870 Counties of Nashville and Davidson
Metropolitan Government G.O.
Refunding Bond, 4.50%, 5/15/02 1,860
State of Tennessee G.O. Bond
310 5.50%, 3/1/97 316
2,370 Series: A, 4.60%, 5/1/06 2,252
-------
5,111
-------
TEXAS - 9.2%
City of Houston Water Conveyance
System COP Refunding Bond, Series: D
(AMBAC Insured)
460 6.375%, 12/15/00 497
770 6.375%, 12/15/02 845
310 City of San Antonio Electric and Gas
Revenue Refunding Bond, Series: A,
7.00%, 2/1/01 333
7,450 County of Harris Revenue Refunding
Senior Lien Toll Road Bond
(AMBAC Insured), 4.95%, 8/15/06 7,326
13,375 State of Texas TRAN, Series: A,
4.75%, 8/30/96 13,444
-------
22,445
-------
VIRGINIA - 1.2%
1,400 County of Fairfax IDA Revenue Bond,
Series: A, FRN (Dai-Ichi Kangyo Bank
LOC), 3.60%, 4/3/96 1,400
500 County of Loudon, Virginia Residential
Care Facility Revenue Bonds, Series: 94B,
FRN (Banque Paribas LOC),
3.95%, 4/1/96 500
1,045 State of Virginia Housing Development
Authority Multifamily Housing
Revenue Bond, 4.50%, 11/1/98 1,050
-------
2,950
-------
WASHINGTON - 1.4%
450 City of Seattle Limited Tax G.O. Bond,
7.00%, 3/1/01 496
370 City of Tacoma Electric System Revenue
Bond, Series: A (AMBAC Insured),
7.375%, 1/1/00 406
560 County of King G.O. Bond, Series: A,
Prerefunded, 6.90%, 12/1/00 617
550 County of Kitsap Central Kitsap School
District No. 401 G.O. Refunding Bond,
Series: A, 6.05%, 12/1/00 584
310 County of Pierce Fife School District
No. 417 G.O. Bond, Series: A,
7.85%, 12/1/01 357
310 County of Pierce Puyallup School District
No. 003 G.O. Bond, 7.75%, 12/1/01 356
500 County of Snohomish Edmonds School
District No. 015 G.O. Refunding Bond
(AMBAC Insured), 7.00%, 12/1/01 556
-------
3,372
-------
Total Municipal Investments
(cost $233,082) 235,331
-------
OTHER - 2.5%
6,234 Provident Municipal Fund 6,234
--------
Total Other
(cost $6,234) 6,234
--------
Total Investments - 98.9%
(cost $239,316) 241,565
Other Assets less Liabilities - 1.1% 2,574
--------
NET ASSETS - 100.0% $244,139
========
See Notes to the Financial Statements.
TAX-EXEMPT FUND
Principal
Amount Value
(000s) (000s)
----- ------
MUNICIPAL INVESTMENTS - 96.0%
ALABAMA - 0.4%
$ 500 Columbia Industrial Development
Board PCR Bond, Power Co. Project,
Series: D, FRN, 3.70%, 4/1/96 $ 500
------
ARIZONA - 6.4%
320 County of Cochise School District #68
Sierra Vista G.O. Bond (FGIC Insured),
9.00%, 7/1/03 400
3,000 County of Maricopa School District #41
Gilbert G.O. Bond, 6.25%, 7/1/15 2,976
1,260 County of Maricopa School District #69
Paradise Valley G.O. Bond, Series: 91 B,
8.50%, 7/1/06 1,593
680 County of Maricopa School District #11
Peoria G.O. Bond (AMBAC Insured),
6.70%, 7/1/07 773
1,500 County of Maricopa School District #11
Peoria G.O. Bond Unified Project 1991,
5.50%, 7/1/10 1,468
800 State Transportation Board Excise Tax
Revenue Bond (AMBAC Insured),
5.75%, 7/1/05 847
------
8,057
------
CALIFORNIA - 18.2%
90 City of Fresno Sewer System Revenue
Bond, Series: 1993 A-1 (AMBAC Insured),
4.75%, 9/1/21 78
2,760 City of Los Angeles Convention and
Exhibition Center Project Bond,
Prerefunded, 9.00%, 12/1/05 3,636
1,500 City of Oakland JT Powers Financing
Authority Lease Revenue Bond
(AMBAC Insured), 5.75%, 8/1/21 1,469
5,000 East Bay California Municipal Utility
District Water Revenue Bond
(AMBAC Insured), Prerefunded,
6.50%, 6/1/04 5,636
4,000 Foothill/Eastern Transportation
Toll Road Revenue Bond, Series: 1995 A,
6.00%, 1/1/16 3,830
2,000 Irvine Ranch Water District,
Series: 1993 B (Morgan Guaranty Trust
Co. LOC), FRN, 3.50%, 4/1/96 2,000
750 State of California G.O. Bond (FGIC
Insured), 6.50%, 2/1/07 831
State of California Public Works Revenue
Bond
1,150 Series: 1991 A-Calpatria, 6.10%, 9/1/02 1,216
4,000 Series: 1993 E-Mandera, 5.50%, 6/1/15 3,848
230 Walnut Valley Unified School District
G.O. Bond, Series: 91 A (MBIA Insured),
6.00%, 8/1/13 241
------
22,785
------
CONNECTICUT - 0.4%
460 State Special Tax Transportation
Infrastructure Bond, Series: 1990 A,
7.125%, 6/1/10 536
------
FLORIDA - 8.4%
3,120 City of Orlando Utilities Commission
Water and Electric Revenue Bond,
Series: 89 D, 6.75%, 10/1/17 3,582
100 County of Hillsborough Florida IDA
PCR Bond (Tampa Electric Co. Gtd.), FRN,
3.70%, 4/1/96 100
630 County of Polk Utility System Revenue
Bond, Series: 91 (FGIC Insured),
6.00%, 10/1/08 680
480 State of Florida Board of Education
Capital Outlay G.O. Bond, Series: 1985,
9.125%, 6/1/14 664
3,670 State of Florida G.O. Bond,
Broward County, 10.00%, 7/1/14 5,440
------
10,466
------
GEORGIA - 3.5%
County of Gwinnett School District
G.O. Bond
1,120 Series: 1993, 4.00%, 2/1/12 933
1,060 Series: 1994, 4.50%, 2/1/12 939
2,300 Georgia Municipal Electric Authority
Power Revenue Bond, Series: 1992 B
(FGIC Insured), 6.375%, 1/1/16 2,497
------
4,369
------
ILLINOIS - 9.5%
City of Chicago G.O. Bond, Series: 1993 B
(AMBAC Insured)
1,835 5.125%, 1/1/15 1,692
4,610 5.125%, 1/1/22 4,173
1,480 City of Chicago Water Revenue Refunding
Bond, Series: 1993 (FGIC Insured),
4.125%, 11/1/13 1,210
1,430 County of Winnebago and Boone School
District No. 205 Rockford G.O. Bond
(FGIC Insured), 6.00%, 2/1/08 1,529
2,000 State of Illinois Educational Facilities
Authority Loyola University Revenue
Bond, Series: 91, 7.125%, 7/1/21 2,155
1,150 State of Illinois Refunding G.O. Bond,
Series: 1994, 4.60%, 12/1/05 1,096
------
11,855
------
INDIANA - 7.8%
City of Indianapolis Gas Revenue
Bond, Series: 1986 B (FGIC Insured)
400 5.00%, 6/1/06 395
410 4.00%, 6/1/08 365
690 3.50%, 6/1/18 494
970 County of Hamilton Public Building
Corporation First Mortgage Bond,
7.25%, 8/1/13 1,133
2,000 County of Marion Convention and
Recreational Facility Rental Revenue Bond,
Series: A (AMBAC Insured),
7.00%, 6/1/21 2,189
420 Indiana Municipal Power Agency Revenue
Bond, Series: 1993 B (MBIA Insured),
6.00%, 1/1/12 442
1,290 State of Indiana Office Building
Commission Bond, Series: 1990 B
(MBIA Insured), 7.40%, 7/1/15 1,543
3,305 State of Indiana Transportation Authority
Airport Finance Lease Revenue Bond,
Series: 1995 A, 5.50%, 11/1/12 3,153
------
9,714
------
MICHIGAN - 0.7%
1,000 State of Michigan Hospital Finance
Authority Revenue Bond,
Series: A, 5.25%, 11/15/25 903
------
MONTANA - 0.1%
190 University of Montana Higher Education
Revenue Bond, Series: 93 A
(MBIA Insured), 4.50%, 11/15/15 163
------
NEVADA - 3.2%
1,000 City of Carson School District G.O.
Refunding Bond, Series: 1993
(AMBAC Insured), 4.50%, 4/1/11 875
County of Clark Sanitation District
G.O. Bond, Prerefunded
1,150 6.60%, 7/1/02 1,278
1,150 6.75%, 7/1/02 1,288
580 State of Nevada Municipal Bond Bank
G.O. Bond, Project 20-23A,
Escrowed to Maturity, 7.20%, 7/1/06 619
------
4,060
------
NEW YORK - 9.2%
700 City of New York Municipal Assistance
Corp. Bond, Series: 67, 7.625%, 7/1/08 771
1,450 New York Power Authority Revenue Bond,
Series: 84 R, Prerefunded, 7.00%, 1/1/10 1,655
3,000 State of New York Dormitory Authority
Revenue State University Bond,
Series: 93 A, 5.25%, 5/15/15 2,724
4,000 State of New York Local Government
Assistance Corp. Revenue Bond, Series: A,
Prerefunded, 7.00%, 4/1/01 4,508
1,720 Triborough Bridge and Tunnel Authority
Revenue Bond, 6.00%, 1/1/12 1,813
------
11,471
------
NORTH CAROLINA - 3.9%
North Carolina Eastern Municipal Power
Revenue Refunding Bond
610 Series: 91 A, Escrowed to Maturity,
6.50%, 1/1/18 678
3,850 Series: 93 B, 7.00%, 1/1/08 4,195
------
4,873
------
OKLAHOMA - 1.2%
1,380 McGee Creek Water Revenue Authority
Bond, Series: 92 (MBIA Insured),
6.00%, 1/1/13 1,459
------
OREGON - 1.6%
1,800 Oregon Health Sciences University
Revenue Bond, Series: A (MBIA Insured),
5.25%, 7/1/28 1,664
230 State of Oregon G.O. Bond, Series: 66,
10.50%, 6/1/02 301
------
1,965
------
PENNSYLVANIA - 0.9%
1,010 State of Pennsylvania G.O. Bond,
Series: 92, 6.00%, 7/1/09 1,079
------
SOUTH CAROLINA - 2.0%
1,090 City of Columbia Water and Sewer
System Revenue Refunding Bond,
5.50%, 2/1/09 1,095
1,270 Piedmont Municipal Power Agency
Electric Revenue Bond, Series: 88 A
(AMBAC Insured), 7.40%, 1/1/18 1,352
------
2,447
------
TEXAS - 9.5%
490 Channelview Independent School
District PSF Gtd. Bond, 4.75%, 8/15/12 436
600 City of Austin Combined Utilities
System Revenue Bond, Series: 1986 C,
Prerefunded, 7.30%, 11/15/01 681
1,050 Coastal Industrial Water Authority
Water Revenue Bond, Escrowed to
Maturity, 6.375%, 12/15/07 1,050
1,030 Colorado River Municipal Water District
Revenue Bond, Prerefunded,
9.50%, 1/1/01 1,241
2,500 Harris County Toll Road Revenue
Bond Senior Lien, Series: 94
(FGIC Insured), 5.375%, 8/15/20 2,347
5,000 State of Texas TRAN,
Series: 95 A, 4.75%, 8/30/96 5,026
1,145 Texas Municipal Power Agency
Revenue Refunding Bond, Series: 93
(MBIA Insured), 5.25%, 9/1/08 1,146
------
11,927
------
UTAH - 0.9%
1,050 Intermountain Power Agency Revenue
Bond, Series: 1987 D, 8.625%, 7/1/21 1,120
-------
VIRGINIA - 1.2%
1,500 Loudoun County IDA, Falcons Lending
Project, Series: 1994 B (Banque Paribas
LOC), FRN, 3.95%, 4/1/96 1,500
------
WASHINGTON - 7.0%
1,150 County of Clark School District No. 37
Vancouver G.O. Bond, 6.375%, 12/1/09 1,264
750 County of King G.O. Bond,
Series: 1993 B, 4.50%, 1/1/12 651
1,500 State of Washington G.O. Bond,
Series: A, 6.375%, 2/1/14 1,564
690 State of Washington G.O. Bond,
Series: 90 A, 6.75%, 2/1/10 783
4,000 Washington Public Power Supply
System #2 Revenue Bond, Series: 90 A,
Prerefunded, 7.625%, 7/1/00 4,553
------
8,815
------
Total Municipal Investments
(cost $116,995) 120,064
-------
Number
of Shares
(000s)
------
OTHER - 4.3%
5,411 Provident Municipal Fund 5,411
--------
Total Other
(cost $5,411) 5,411
--------
Total Investments - 100.3%
(cost $122,406) 125,475
Liabilities less Other Assets - (0.3)% (362)
--------
NET ASSETS - 100.0% $125,113
========
See Notes to the Financial Statements.
INTERNATIONAL FIXED INCOME FUND
Principal Amount/
Local Currency Value
(000s) (000s)
------ ------
DEBT OBLIGATIONS - 93.7%
AUSTRALIAN DOLLAR - 6.0%
490 Commonwealth of Australia,
10.00%, 10/15/02 $ 406
690 Province of Queensland - Treasury,
8.00%, 5/14/97 539
------
945
------
BELGIAN FRANC - 1.8%
8,175 Kingdom of Belgium, 7.50%, 7/29/08 278
------
BRITISH POUND STERLING - 10.3%
125 Abbey National PLC,
6.00%, 8/10/99 182
940 Treasury of Great Britain,
8.00%, 6/10/03 1,439
------
1,621
------
CANADIAN DOLLAR - 7.1%
525 Government of Canada,
7.50%, 12/1/03 384
375 Province of Ontario,
7.25%, 9/27/05 261
575 Province of Quebec,
10.25%, 10/15/01 475
------
1,120
------
DANISH KRONE - 4.5%
3,850 Kingdom of Denmark,
8.00%, 3/15/06 698
------
FRENCH FRANC - 7.5%
2,300 Electric De France,
8.60%, 4/9/04 516
------
Government of France
2,000 8.50%, 3/12/97 412
1,100 8.25%, 2/27/04 243
------
1,171
------
GERMAN MARK - 19.7%
Federal Republic of Germany
2,100 7.50%, 11/11/04 1,526
1,175 6.25%, 1/4/24 706
500 LKB Global Bond,
6.00%, 5/10/99 352
330 Republic of Austria,
8.00%, 1/30/02 246
380 Republic of Finland,
5.50%, 2/9/01 258
------
3,088
------
ITALIAN LIRA - 8.2%
Treasury of Italy
1,035,000 8.50%, 4/1/99 637
1,070,000 8.50%, 8/1/99 652
------
1,289
------
JAPANESE YEN - 14.7%
55,000 Asian Development Bank,
5.00%, 2/5/03 580
34,000 European Bank for
Reconstruction and Development,
4.50%, 11/5/97 335
15,000 European Investment Bank,
5.875%, 11/26/99 160
80,000 International Bank for
Reconstruction and Development,
4.50%, 3/20/03 828
29,000 International Finance Corp.,
4.375%, 6/11/98 289
10,000 Japanese Development Bank,
6.50%, 9/20/01 112
------
2,304
------
NETHERLANDS GUILDER - 2.2%
500 Dutch Government Treasury,
8.50%, 3/15/01 342
------
SPANISH PESETA - 4.2%
Government of Spain
25,000 11.45%, 8/30/98 213
51,000 11.30%, 1/15/02 445
------
658
------
SWEDISH KRONA - 3.3%
3,100 Kingdom of Sweden, 10.25%, 5/5/03 511
------
UNITED STATES DOLLAR - 4.2%
600 U.S. Treasury Note, 7.875%, 11/15/04 658
------
Total Debt Obligations
(cost $14,145) 14,683
------
SHORT-TERM INVESTMENT - 2.3%
United States Dollar
353 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.438%, 4/1/96 353
-------
Total Short-Term Investment
(cost $353) 353
------
Total Investments - 96.0%
(cost $14,498) 15,036
Other Assets less Liabilities - 4.0% 629
------
NET ASSETS - 100.0% $15,665
=======
See Notes to the Financial Statements.
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES March 31, 1996
EQUITY FUNDS
<CAPTION>
SMALL INTERNATIONAL INTERNATIONAL
INCOME GROWTH SELECT CAP GROWTH SELECT
EQUITY EQUITY EQUITY GROWTH EQUITY EQUITY
Amounts in thousands, FUND FUND FUND FUND FUND FUND
except per share data ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (cost $49,963,
$195,872, $30,352, $142,087, $171,415
and $98,490, respectively) $55,246 $224,202 $33,708 $154,775 $177,227 $103,885
Cash and foreign currency 280 2 3 8 1,303 245
Income receivable 367 278 42 127 379 163
Receivable for foreign tax withheld -- -- -- -- 113 32
Receivable for securities sold 567 146 9,559 819
Receivable for fund shares sold 80 752 233 258 340 214
Receivable from Adviser 5 13 6 7 13 12
Deferred organization costs, net of
accumulated amortization 27 35 21 29 34 30
Prepaid and other assets 6 7 6 7 7 7
------ ------- ------ ------- ------- -------
Total Assets 56,011 225,856 34,019 155,357 188,975 105,407
------ ------- ------ ------- ------- -------
LIABILITIES:
Outstanding option written, at value (premium
received $229, for the Growth Equity Fund) -- 276 -- -- -- --
Payable for securities purchased -- 817 148 7,596 2,647
Payable for fund shares redeemed 69 112 6 47 82 --
Accrued investment advisory fees 8 32 5 23 22 15
Accrued administration fees 1 4 1 3 3 2
Accrued custody and accounting fees 1 1 1 -- 5 3
Accrued transfer agent fees 1 4 1 2 2 2
Accrued registration fees and
other liabilities 12 39 15 44 28 19
------ ------- ------ ------- ------- -------
Total Liabilities 92 1,285 177 119 7,738 2,688
------ ------- ------ ------- ------- -------
Net Assets $55,919 $224,571 $33,842 $155,238 $181,237 $102,719
======= ======== ======= ======== ======== ========
ANALYSIS OF NET ASSETS:
Capital stock $48,910 $185,250 $28,850 $139,383 $177,539 $ 98,601
Accumulated undistributed (distributions
in excess of) net investment income 36 46 25 123 (302) (226)
Accumulated net realized gains (losses) on
investments, options and futures and
foreign currency transactions 1,690 10,992 1,611 2,976 (1,354) (1,041)
Accumulated distributions in excess of
net realized gains -- -- -- -- (456) --
Net unrealized appreciation on investments,
options, and futures contracts 5,283 28,283 3,356 12,756 5,812 5,395
Net unrealized losses on translation
of assets and liabilities
denominated in foreign
currencies -- -- -- -- (2) (10)
------ ------- ------ ------- ------- -------
Net Assets $55,919 $224,571 $33,842 $155,238 $181,237 $102,719
======= ======== ======= ======== ======== ========
SHARES OUTSTANDING ($.0001 PAR VALUE,
UNLIMITED AUTHORIZATION) 4,826 17,075 2,580 13,401 17,712 9,577
NET ASSET VALUE, REDEMPTION
AND OFFERING PRICE PER SHARE $11.59 $13.15 $13.12 $11.58 $10.23 $10.73
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF OPERATIONS Year ended March 31, 1996
EQUITY FUNDS
<CAPTION>
SMALL INTERNATIONAL INTERNATIONAL
INCOME GROWTH SELECT CAP GROWTH SELECT
EQUITY EQUITY EQUITY GROWTH EQUITY EQUITY
Amounts in thousands FUND FUND FUND FUND FUND FUND
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Investment Income:
Interest income $ 929 $ 354 $ 59 $ 246 $ 643 $ 247
Dividend income 1,003 2,500 221 1,769 2,733<F16> 905<F17>
----- ------ ----- ------ ------ ------
Total Investment Income 1,932 2,854 280 2,015 3,376 1,152
----- ------ ----- ------ ------ ------
Expenses:
Investment advisory fees 464 1,684 275 1,466 1,870 1,013
Administration fees 69 253 34 183 234 127
Custody and accounting fees 52 76 53 94 214 147
Transfer agent fees 46 168 23 122 156 85
Professional fees 18 20 19 17 19 17
Registration fees 16 53 18 45 39 26
Amortization of organization costs 9 12 7 10 11 10
Trustees' fees 3 6 3 5 6 4
Other 9 18 6 16 20 14
----- ------ ----- ------ ------ ------
Total Expenses 686 2,290 438 1,958 2,569 1,443
Less: Voluntary waivers of investment
advisory and administration fees (84) (317) (89) (475) (358) (192)
Less: Reimbursement of expenses by
Adviser (138) (289) (120) (262) (264) (196)
----- ------ ----- ------ ------ ------
Net Expenses 464 1,684 229 1,221 1,947 1,055
----- ------ ----- ------ ------ ------
Net Investment Income 1,468 1,170 51 794 1,429 97
----- ------ ----- ------ ------ ------
Net Realized And Unrealized Gains (Losses):
Net realized gains (losses) on:
Investments, options and futures
contracts 2,672 13,891 2,589 11,166 3,091 4,465
Foreign currency transactions -- -- -- -- 2,476 (112)
Net change in unrealized appreciation
on investments and futures contracts 4,485 20,699 2,233 12,075 4,941 3,695
Net change in unrealized losses on
translation of assets and liabilities
denominated in foreign currencies -- -- -- -- (23) (20)
----- ------ ----- ------ ------ ------
Net Gains on Investments 7,157 34,590 4,822 23,241 10,485 8,028
Net Increase in Net Assets
Resulting from Operations $8,625 $35,760 $4,873 $24,035 $11,914 $8,125
====== ======= ====== ======= ======= ======
<FN>
<F16>Net of $287 in non-reclaimable foreign withholding taxes.
<F17>Net of $81 in non-reclaimable foreign withholding taxes.
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
EQUITY FUNDS
<CAPTION>
INCOME GROWTH SELECT
EQUITY EQUITY EQUITY
FUND FUND FUND
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
March 31, March 31, March 31, March 31, March 31, March 31,
Amounts in thousands 1996 1995 1996 1995 1996 1995<F18>
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 1,468 $ 1,033 $ 1,170 $ 753 $ 51 $ 68
Net realized gains (losses) on:
Investments, options and
futures contracts 2,672 (982) 13,891 (2,177) 2,589 (243)
Foreign currency transactions -- -- -- (22) -- 3
Net change in unrealized
appreciation on investments
and futures contracts 4,485 798 20,699 7,584 2,233 1,123
Net change in unrealized
gains (losses) on
translation of assets and
liabilities denominated
in foreign currencies -- -- -- -- -- --
------ ------ ------ ------ ------ -----
Net Increase (Decrease) in
Net Assets
Resulting from Operations 8,625 849 35,760 6,138 4,873 951
------ ------ ------ ------ ------ -----
CAPITAL SHARE TRANSACTIONS:
Shares sold 16,890 47,781 101,576 117,876 21,220 18,308
Shares from reinvestment
of dividends 230 12 161 26 22 21
Shares redeemed (7,226) (8,765) (24,190) (10,182) (6,600) (4,181)
------ ------ ------ ------ ------ -----
Net Increase in Net
Assets Resulting from
Capital Share Transactions 9,894 39,028 77,547 107,720 14,642 14,148
------ ------ ------ ------- ------ -----
DISRIBUTIONS PAID:
From net investment income (1,554) (924) (1,221) (674) (58) (46)
From net realized gains -- -- (700) -- (738) --
In excess of net investment
income -- -- -- -- -- --
In excess of accumulated net
realized gains -- -- -- -- -- --
------ ------ ------ ------ ------ -----
Total Distributions Paid (1,554) (924) (1,921) (674) (796) (46)
------ ------ ------ ------ ------ -----
TOTAL INCREASE IN NET ASSETS 16,965 38,953 111,386 113,184 18,719 15,053
NET ASSETS:
Beginning of period 38,954 1 113,185 1 15,123 70
------ ------ ------- ------ ------ ------
End of period $55,919 $38,954 $224,571 $113,185 $33,842 $15,123
======= ======= ======== ======== ======= =======
ACCUMULATED UNDISTRIBUTED
(DISTRIBUTIONS IN EXCESS
OF) NET INVESTMENT INCOME $36 $109 $46 $79 $25 $22
=== ==== === === === ===
</TABLE>
<TABLE>
EQUITY FUNDS (CONT'D)
<CAPTION>
SMALL INTERNATIONAL INTERNATIONAL
CAP GROWTH SELECT
GROWTH EQUITY EQUITY
FUND FUND FUND
Year Year Year Year Year Period
Ended Ended Ended Ended Ended Ended
March 31, March 31, March 31, March 31, March 31, March 31,
1996 1995 1996 1995 1996 1995<F19>
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 794 $ 759 $ 1,429 $ 424 $ 97 $ 311
Net realized gains (losses) on:
Investments, options and
futures contracts 11,166 (169) 3,091 (3,966) 4,465 (5,483)
Foreign currency transactions -- -- 2,476 (1,125) (112) 8
Net change in unrealized
appreciation on investments
and futures contracts 12,075 681 4,941 871 3,695 1,700
Net change in unrealized
gains (losses) on
translation of assets and
liabilities denominated
in foreign currencies -- -- (23) 21 (20) 10
------ ------ ------ ------- ------- -------
Net Increase (Decrease) in
Net Assets
Resulting from Operations 24,035 1,271 11,914 (3,775) 8,125 (3,454)
------ ------ ------ ------- ------- -------
CAPITAL SHARE TRANSACTIONS:
Shares sold 82,232 85,961 86,203 131,574 40,494 92,032
Shares from reinvestment
of dividends 113 19 482 900 47 18
Shares redeemed (18,809) (10,120) (28,834) (12,770) (17,537) (16,448)
------- ------ ------ ------- ------- -------
Net Increase in Net
Assets Resulting from
Capital Share Transactions 63,536 75,860 57,851 119,704 23,004 75,602
------ ------ ------ ------- ------- -------
DISRIBUTIONS PAID:
From net investment income (846) (505) (1,528) (325) (208) (200)
From net realized gains (8,114) -- -- -- -- --
In excess of net investment
income -- -- (1,673) -- (160) --
In excess of accumulated net
realized gains -- -- -- (932) -- --
------ ------ ------ ------- ------- -------
Total Distributions Paid (8,960) (505) (3,201) (1,257) (368) (200)
------ ------ ------ ------- ------- -------
TOTAL INCREASE IN NET ASSETS 78,611 76,626 66,564 114,672 30,761 71,948
NET ASSETS:
Beginning of period 76,627 1 114,673 1 71,958 10
------- ------ ------ ------- ------- -------
End of period $155,238 $76,627 $181,237 $114,673 $102,719 $71,958
======== ======= ======== ======== ======== =======
ACCUMULATED UNDISTRIBUTED
(DISTRIBUTIONS IN EXCESS
OF) NET INVESTMENT INCOME $123 $254 $(302) $99 $(226) $111
==== ==== ====== === ====== ====
<FN>
<F18>Commenced investment operations on April 6, 1994.
<F19>Commenced investment operations on April 5, 1994.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
EQUITY FUNDS
<CAPTION>
<CAPTION>
INCOME GROWTH SELECT
EQUITY EQUITY EQUITY
FUND FUND FUND
Year Year Year Year Year Year
Ended Ended Ended Ended Ended Ended
March 31, March 31, March 31, March 31, March 31, March 31,
1996 1995 1996 1995 1996 1995<F20>
Selected per share data ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $9.95 $10.00 $10.61 $10.00 $10.77 $10.00
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
NET INVESTMENT INCOME 0.34 0.29 0.08 0.08 0.02 0.06
NET REALIZED AND UNREALIZED
GAINS (LOSSES) ON
INVESTMENTS, OPTIONS,
FUTURES CONTRACTS AND
FOREIGN CURRENCY TRANSACTIONS 1.66 (0.08) 2.59 0.60 2.73 0.75
----- ----- ----- ----- ----- -----
TOTAL INCOME (LOSS) FROM
INVESTMENT OPERATIONS 2.00 0.21 2.67 0.68 2.75 0.81
----- ----- ----- ----- ----- -----
LESS DISTRIBUTIONS PAID:
FROM NET INVESTMENT INCOME (0.36) (0.26) (0.08) (0.07) (0.03) (0.04)
FROM NET REALIZED GAINS -- -- (0.05) -- (0.37) --
IN EXCESS OF NET INVESTMENT
INCOME -- -- -- -- -- --
IN EXCESS OF ACCUMULATED NET
REALIZED GAINS ON INVESTMENT
TRANSACTIONS -- -- -- -- -- --
----- ----- ----- ----- ----- -----
TOTAL DISTRIBUTIONS (0.36) (0.26) (0.13) (0.07) (0.40) (0.04)
----- ----- ----- ----- ----- -----
NET ASSET VALUE, END OF PERIOD $11.59 $9.95 $13.15 $10.61 $13.12 $10.77
====== ===== ====== ====== ====== ======
TOTAL RETURN 20.41% 2.21% 25.13% 6.90% 25.70% 8.18%
SUPPLEMENTAL DATA AND RATIOS:
NET ASSETS, IN THOUSANDS,
END OF PERIOD $55,919 $38,954 $224,571 $113,185 $33,842 $15,123
RATIO TO AVERAGE NET
ASSETS OF:<F22>
EXPENSES, NET OF WAIVERS AND
REIMBURSEMENTS 1.00% 1.00% 1.00% 1.00% 1.00% 1.00%
EXPENSES, BEFORE WAIVERS AND
REIMBURSEMENTS 1.48% 1.55% 1.36% 1.40% 1.91% 2.61%
NET INVESTMENT INCOME, NET OF
WAIVERS AND REIMBURSEMENTS 3.17% 3.08% 0.70% 0.86% 0.22% 0.82%
NET INVESTMENT INCOME (LOSS),
BEFORE WAIVERS AND
REIMBURSEMENTS 2.69% 2.53% 0.34% 0.46% (0.69)% (0.79)%
PORTFOLIO TURNOVER RATE 67.32% 45.68% 73.20% 82.90% 137.99% 48.88%
</TABLE>
<TABLE>
EQUITY FUNDS (CONT'D)
<CAPTION>
SMALL INTERNATIONAL INTERNATIONAL
CAP GROWTH SELECT
GROWTH EQUITY EQUITY
FUND FUND FUND
--------------- -------------- --------------
Year Year Year Year Year Period
Ended Ended Ended Ended Ended Ended
March 31, March 31, March 31, March 31, March 31, March 31,
1996 1995 1996 1995 1996 1995<F21>
---- ---- ---- ---- ---- ----
Selected per share data
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $9.98 $10.00 $9.61 $10.00 $9.78 $10.00
INCOME (LOSS) FROM
INVESTMENT OPERATIONS:
NET INVESTMENT INCOME 0.05 0.11 0.10 0.04 0.01 0.04
NET REALIZED AND UNREALIZED
GAINS (LOSSES) ON
INVESTMENTS, OPTIONS,
FUTURES CONTRACTS AND
FOREIGN CURRENCY TRANSACTIONS 2.29 (0.05) 0.72 (0.31) 0.99 (0.23)
----- ----- ----- ----- ----- -----
TOTAL INCOME (LOSS) FROM
INVESTMENT OPERATIONS 2.34 0.06 0.82 (0.27) 1.00 (0.19)
----- ----- ----- ----- ----- -----
LESS DISTRIBUTIONS PAID:
FROM NET INVESTMENT INCOME (0.07) (0.08) (0.11) (0.03) (0.02) (0.03)
FROM NET REALIZED GAINS (0.67) -- -- -- -- --
IN EXCESS OF NET INVESTMENT
INCOME -- -- (0.09) -- (0.03) --
IN EXCESS OF ACCUMULATED NET
REALIZED GAINS ON INVESTMENT
TRANSACTIONS -- -- -- (0.09) -- --
----- ----- ----- ----- ----- -----
TOTAL DISTRIBUTIONS (0.74) (0.08) (0.20) (0.12) (0.05) (0.03)
----- ----- ----- ----- ----- -----
NET ASSET VALUE, END OF PERIOD $11.58 $9.98 $10.23 $9.61 $10.73 $9.78
====== ===== ====== ===== ====== =====
TOTAL RETURN 24.09% 0.57% 8.61% (2.65)% 10.20% (1.95)%
SUPPLEMENTAL DATA AND RATIOS:
NET ASSETS, IN THOUSANDS,
END OF PERIOD $155,238 $76,627 $181,237 $114,673 $102,719 $71,958
RATIO TO AVERAGE NET
ASSETS OF: <F22>
EXPENSES, NET OF WAIVERS AND
REIMBURSEMENTS 1.00% 1.00% 1.25% 1.25% 1.25% 1.25%
EXPENSES, BEFORE WAIVERS AND
REIMBURSEMENTS 1.61% 1.76% 1.65% 1.71% 1.71% 1.75%
NET INVESTMENT INCOME, NET OF
WAIVERS AND REIMBURSEMENTS 0.65% 1.36% 0.92% 0.47% 0.12% 0.47%
NET INVESTMENT INCOME (LOSS),
BEFORE WAIVERS AND
REIMBURSEMENTS 0.04% 0.60% 0.52% 0.01% (0.34)% (0.03)%
PORTFOLIO TURNOVER RATE 46.59% 82.46% 216.86% 158.31% 176.71% 97.69%
See Notes to the Financial Statements.
<FN>
<F20>Commenced investment operations on April 6, 1994.
<F21>Commenced investment operations on April 5, 1994.
<F22>Annualized for periods less than a full year.
See Notes to the Financial Statements.
</TABLE>
SCHEDULES OF INVESTMENTS March 31, 1996
INCOME EQUITY FUND
Number Value
of Shares (000s)
- --------- ------
COMMON STOCKS - 37.4%
Banking - 1.4%
19,030 Banc One Corp. $ 678
1,065 NationsBank Corp. 85
------
763
------
Building Materials - 0.9%
17,900 Masco Corp. 519
------
Chemicals and Allied Products - 2.6%
5,730 Hercules, Inc. 355
30,700 Witco Corp. 1,082
------
1,437
------
Communications - 0.5%
5,450 U.S. West Communications Group 176
5,450 U.S. West Media Group* 112
------
288
------
Computer and Office Machines - 2.5%
24,636 General Motors Corp., Class E 1,404
------
Consumer Products - 1.7%
10,600 Philip Morris Cos., Inc. 930
------
Food and Beverages - 2.1%
29,514 ConAgra, Inc. 1,199
------
Industrial Instruments - 2.1%
12,300 Hewlett-Packard Co. 1,156
------
Insurance Services - 3.7%
10,500 Chubb Corp. 986
33,365 Old Republic International Corp. 1,084
------
2,070
------
Oil and Gas - 6.1%
12,250 Amoco Corp. 885
25,000 Consolidated Natural Gas Co. 1,088
7,900 Royal Dutch Petroleum Co. 1,116
11,000 Ultramar Corp. 318
------
3,407
------
Pharmaceuticals - 4.5%
6,400 American Home Products Corp. 694
8,300 Bristol-Myers Squibb Co. 711
12,200 Johnson & Johnson 1,125
------
2,530
------
Professional Services - 4.3%
13,300 Dun & Bradstreet Corp. 806
34,914 Omnicom Group, Inc. 1,571
------
2,377
------
Retail - 1.2%
28,000 TJX Cos., Inc. 704
------
Transportation Parts and
Equipment - 1.0%
6,600 Boeing Co. 572
------
Transportation Services - 2.0%
14,000 Burlington Northern Santa Fe 1,150
------
Utilities - 0.8%
8,800 Northern States Power Co. 428
------
Total Common Stocks
(cost $17,093) 20,934
------
CONVERTIBLE PREFERRED
STOCKS - 22.5%
Banking - 0.3%
2,500 Banc One Corp. 173
------
Financial Services - 3.7%
8,200 American Express Co. 484
10,100 Merrill Lynch & Co., Inc. 538
15,000 SunAmerica, Inc. 1,016
------
2,038
------
Industrial Management - 1.5%
36,500 Security Capital Industrial Trust, Series B 858
------
Insurance Services - 1.4%
9,375 Jefferson-Pilot Corp. 788
------
Merchandise - 1.2%
6,900 Alco Standard Corp. 649
------
Metal Mining - 2.5%
23,300 Cyprus Amax Minerals Co. 1,409
------
Oil and Gas - 4.9%
19,800 Ashland, Inc. 1,235
30,600 Atlantic Richfield Co. 880
10,200 Occidental Petroleum Corp. 639
------
2,754
------
Recreational Services - 2.0%
65,300 Bally Entertainment Corp. 1,134
------
Retail - 1.8%
18,700 TJX Cos., Inc. 991
------
Sanitary Services - 1.7%
28,000 Browning-Ferris Industries, Inc. 938
------
Utilities - 1.5%
17,500 Citizens Utilities Trust Co. 822
------
Total Convertible Preferred Stocks
(cost $11,827) 12,554
------
CONVERTIBLE BONDS - 32.9%
Building Materials - 0.8%
450 Masco Corp.,
5.25%, 2/15/12 439
------
Computer and Office Machines - 4.5%
1,234 Quantum Corp.,
6.375%, 4/1/02 1,370
1,430 Softkey International Inc.,
5.50%, 11/1/00 1,151
------
2,521
------
Electronics and Other Electrical
Equipment - 7.4%
815 Cooper Industries, Inc.,
7.05%, 1/1/15 844
370 Liebert Corp.,
8.00%, 11/15/10 1,125
1,150 Park Electrochemical Corp.,
5.50%, 3/1/06 1,072
1,170 VLSI Technology, Inc.,
8.25%, 10/1/05 1,081
------
4,122
------
Health Services - 1.6%
915 PhyCor, Inc.,
4.50%, 2/15/03 900
------
Insurance Services - 1.9%
960 Equitable Companies, Inc.,
6.125%, 12/15/24 1,075
------
Metal Mining - 2.1%
1,105 Horsham Corp.,
3.25%, 12/10/18 1,149
------
Oil and Gas - 1.4%
755 Consolidated Natural Gas Co.,
7.25%, 12/15/15 789
------
Personal Services - 0.9%
500 HFS, Inc.,
4.75%, 3/1/03 521
------
Professional Services - 1.3%
560 Olsten Corp.,
4.875%, 5/15/03 739
------
Retail - 6.1%
850 Federated Dept. Stores, Inc.,
5.00%, 10/1/03 944
1,440 Price Co.,
6.75%, 3/1/01 1,472
870 Starbucks Corp.,
4.25%, 11/1/02 966
------
3,382
------
Sanitary Services - 1.3%
750 Sanifill, Inc.,
5.00%, 3/1/06 741
------
Steel Products - 1.6%
850 Inco Ltd.,
7.75%, 3/15/16 893
------
Transportation Parts and
Equipment - 2.0%
1,100 Magna International, Inc.,
5.00%, 10/15/02 1,133
------
Total Convertible Bonds
(cost $17,689) 18,404
------
SHORT-TERM INVESTMENTS - 6.0%
2,229 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.438%, 4/1/96 2,229
1,125 FHLMC Discount Note,
5.30%, 4/1/96 1,125
------
Total Short-Term Investments
(cost $3,354) 3,354
------
Total Investments - 98.8%
(cost $49,963) 55,246
Other Assets less Liabilities - 1.2% 673
------
NET ASSETS - 100.0% $55,919
=======
GROWTH EQUITY FUND
Number Value
of Shares (000s)
- --------- ------
COMMON STOCKS - 90.2%
Brokerage Services - 0.6%
56,900 Charles Schwab Corp. $ 1,458
--------
Chemicals and Allied Products - 1.3%
49,400 Sigma-Aldrich Corp. 2,828
-------
Communications - 3.8%
61,900 AT&T Corp. 3,791
85,600 Ameritech Corp. 4,665
-------
8,456
-------
Computers and Office Machines - 2.8%
102,100 Danka Business Systems PLC ADR 4,314
51,500 Parametric Technology Corp.* 2,015
-------
6,329
-------
Consumer Products - 4.3%
61,600 Philip Morris Cos., Inc. 5,405
50,900 Procter & Gamble Co. 4,314
-------
9,719
-------
Cosmetics and Personal Care - 1.7%
73,600 Gillette Co. 3,809
-------
Electrical Services - 1.2%
92,800 Wisconsin Energy Corp. 2,633
-------
Electronics and Other Electrical
Equipment - 7.2%
77,200 ADC Telecommunications, Inc.* 2,663
62,600 General Electric Co. 4,875
90,000 Linear Technology Corp. 3,758
27,900 Motorola, Inc. 1,479
74,200 Solectron Corp.* 3,265
-------
16,040
-------
Entertainment - 1.5%
52,200 Disney (Walt) Co. 3,334
-------
Financial Services - 1.1%
180,600 Mercury Finance Co. 2,551
-------
Food and Beverages - 6.4%
63,700 Coca-Cola Co. 5,263
65,900 Lone Star Steakhouse & Saloon* 2,521
87,800 McDonald's Corp. 4,214
70,900 Sara Lee Corp. 2,313
-------
14,311
-------
Industrial Instruments - 4.9%
64,800 Hewlett-Packard Co. 6,091
95,500 Raytheon Co. 4,894
-------
10,985
-------
Insurance Services - 4.2%
74,700 American International Group, Inc. 6,994
32,900 MBIA, Inc. 2,468
-------
9,462
-------
Lumber and Wood Products - 2.0%
218,600 Clayton Homes, Inc. 4,563
-------
Medical Products and Equipment - 2.3%
80,200 Nellcor Puritan Bennett, Inc.* 5,153
-------
Merchandise - 1.1%
49,400 Alco Standard Corp. 2,575
-------
Oil and Gas - 5.5%
55,400 Amoco Corp. 4,003
58,400 Exxon Corp. 4,767
9,800 Mobil Corp. 1,136
18,000 Royal Dutch Petroleum Co. 2,543
-------
12,449
-------
Pharmaceuticals - 12.0%
32,000 American Home Products Corp. 3,468
92,200 Amgen, Inc.* 5,359
78,000 Johnson & Johnson 7,195
79,300 Lilly (Eli) & Co. 5,154
87,000 Pfizer, Inc. 5,829
-------
27,005
-------
Professional Services - 9.1%
108,800 Automatic Data Processing, Inc. 4,284
42,800 Computer Associates International, Inc. 3,066
103,800 CUC International, Inc.* 3,036
70,100 First Data Corp. 4,942
10,900 Microsoft Corp.* 1,124
86,700 Oracle Corp.* 4,086
-------
20,538
-------
Recreational - 2.0%
162,250 Mattel, Inc. 4,401
-------
Retail - 8.6%
34,900 Circuit City Stores, Inc. 1,043
61,900 Fastenal Co. 2,383
146,700 General Nutrition Cos.* 3,667
117,500 Petsmart, Inc.* 4,259
145,500 Starbucks Corp.* 3,392
140,600 Walgreen Co. 4,587
-------
19,331
-------
Steel Products - 1.3%
47,700 Aluminum Co. of America 2,987
-------
Transportation Parts and
Equipment - 3.2%
82,400 Boeing Co. 7,138
-------
U.S. Government Agencies - 2.1%
144,900 Federal National Mortgage Association 4,619
-------
Total Common Stocks
(cost $174,020) 202,674
-------
OTHER - 4.6%
160,400 Standard & Poor's Depository Receipt
Unit Trusts Series: 1 10,376
-------
Total Other
(cost $10,636) 10,376
-------
Principal
Amount
(000s)
-----
SHORT-TERM INVESTMENTS - 4.9%
$9,022 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.438%, 4/1/96 9,022
1,975 FHLMC Discount Note,
5.30%, 4/1/96 1,975
-------
Total Short-Term Investments
(cost $10,997) 10,997
-------
Number
of Contracts
-----------
OPTIONS PURCHASED - 0.1%
115 Call Option on S&P 500
Expiring June 1996 @ $660 155
-------
Total Options Purchased
(cost $219) 155
-------
Total Investments - 99.8%
(cost $195,872) 224,202
-------
OPTIONS WRITTEN - (0.1)%
115 Put Option on S&P 500
Expiring June 1996 @ $660 (276)
-------
Total Options Written
(Premium received $229) (276)
-------
Total Investments Net of Outstanding
Written Options - 99.7% 223,926
Other Assets less Liabilities - 0.3% 645
-------
NET ASSETS - 100.0% $224,571
========
See Notes to the Financial Statements.
SELECT EQUITY FUND
Number Value
of Shares (000s)
- --------- -----
COMMON STOCKS - 96.8%
Communications - 3.6%
20,000 AT&T Corp. $ 1,225
------
Computers and Office Machines - 11.1%
8,000 Cisco Systems, Inc.* 371
9,000 Computer Sciences Corp.* 633
16,000 Danka Business Systems PLC ADR 676
25,000 General Motors Corp., Class E 1,425
4,000 Parametric Technology Corp.* 156
11,500 Reynolds & Reynolds Co., Class A 472
------
3,733
------
Consumer Products - 4.1%
12,000 Philip Morris Cos., Inc. 1,053
4,000 Procter & Gamble Co. 339
------
1,392
------
Cosmetics and Personal Care - 3.5%
10,500 Avon Products, Inc. 900
5,500 Gillette Co. 285
------
1,185
------
Electronics and Other Electrical
Equipment - 9.2%
18,000 General Electric Co. 1,402
16,000 Solectron Corp.* 704
17,000 Thermo Electron Corp.* 1,012
------
3,118
------
Financial Services - 1.9%
45,000 Mercury Finance Co. 636
------
Food and Beverages - 4.9%
4,000 General Mills, Inc. 233
17,000 McDonald's Corp. 816
15,000 Panamerican Beverages, Inc., Class A 606
------
1,655
------
Health Services - 3.1%
30,000 Health Management Associates,
Inc., Class A* 1,050
------
Heavy Construction - 3.0%
15,000 Fluor Corp. 1,024
------
Industrial Instruments - 4.1%
6,000 Hewlett-Packard Co. 564
16,000 Raytheon Co. 820
------
1,384
------
Insurance Services - 2.8%
10,000 American International Group, Inc. 936
------
Machinery - 4.6%
14,000 Dover Corp. 640
20,000 Roper Industries, Inc. 920
------
1,560
------
Medical Products and Equipment - 7.5%
10,000 Idexx Laboratories, Inc.* 420
25,000 Invacare Corp. 706
10,000 Luxottica Group, S.p.A. ADR 781
10,000 Nellcor Puritan Bennett, Inc.* 642
------
2,549
------
Metal Mining - 0.9%
10,000 Barrick Gold Corp. 304
------
Pharmaceuticals - 10.1%
14,000 Amgen, Inc.* 814
5,500 Bristol-Myers Squibb Co. 471
10,000 Johnson & Johnson 922
12,500 Merck & Co., Inc. 778
6,500 Pfizer, Inc. 436
------
3,421
------
Professional Services - 13.3%
8,500 Computer Associates International, Inc. 609
7,000 First Data Corp. 494
11,000 Microsoft Corp.* 1,134
16,500 Oracle Corp.* 778
12,000 Paychex, Inc. 702
15,000 Price, (T. Rowe) Associates 795
------
4,512
------
Recreational - 2.0%
25,000 Mattel, Inc. 678
------
Retail - 3.2%
12,000 Viking Office Products, Inc.* 668
12,700 Walgreen Co. 414
------
1,082
------
Transportation Parts and
Equipment - 2.0%
10,000 Wisconsin Central Transportation Corp.* 665
------
U.S. Government Agencies - 1.9%
20,000 Federal National Mortgage Association 637
------
Total Common Stocks
(cost $29,390) 32,746
------
SHORT-TERM INVESTMENT - 2.8%
962 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.438%, 4/1/96 962
------
Total Short-Term Investment
(cost $962) 962
------
Total Investments - 99.6%
(cost $30,352) 33,708
Other Assets less Liabilities - 0.4% 134
------
NET ASSETS - 100.0% $33,842
=======
See Notes to the Financial Statements.
SMALL CAP GROWTH FUND
Number Value
of Shares (000s)
- --------- -----
COMMON STOCKS - 97.6%
Aerospace - 0.5%
12,600 Aviall, Inc. $ 109
14,800 Thiokol Corp. 649
3,500 Transtechnology Corp. 53
-------
811
-------
Apparel - 0.9%
9,100 Bell Sports Corp.* 63
12,300 Brown Group, Inc. 166
6,600 Chic By H.I.S., Inc.* 40
15,900 Dexter Corp. 421
6,500 Farah, Inc.* 36
3,300 Garan, Inc. 56
13,700 Kellwood Co. 212
5,800 Oxford Industries, Inc. 102
18,300 Phillips-Van Heusen Corp. 215
9,300 Salant Corp.* 42
1,300 Weyco Group, Inc. 50
-------
1,403
-------
Banking - 8.1%
2,250 Advantage Bancorp, Inc. 73
9,480 Albank Financial Corp. 274
1,600 American Bank of Waterbury, Connecticut 41
3,250 Anchor Bancorp, Inc.* 110
2,700 Andover Bancorp, Inc. 62
10,400 Astoria Financial Corp. 529
6,625 BankAtlantic Bancorp, Inc. 99
8,400 Bankers Corp. 142
4,700 Bay View Capital Corp. 153
5,900 Bell Bancorp, Inc. 218
2,500 Benson Financial Corp.* 50
5,100 Brenton Banks, Inc. 116
4,200 BSB Bancorp, Inc. 109
3,000 California Financial Holding Co. 61
1,800 Calumet Bancorp, Inc.* 50
5,000 Cathay Bancorp, Inc. 86
2,300 CB Bancshares, Inc. 71
3,700 CCB Financial Corp. 186
8,300 Center Financial Corp. 150
7,200 Centura Banks, Inc. 265
4,095 Charter Bancshares, Inc. 125
2,700 CitFed Bancorp, Inc. 96
18,300 Coast Savings Financial, Inc.* 572
3,200 Coastal Bancorp, Inc. 55
12,500 Commercial Federal Corp. 486
2,300 Community Bank System, Inc. 71
3,100 Conestoga Bancorp, Inc. 64
3,500 CPB, Inc. 119
11,025 Downey Financial Corp. 259
1,995 DS Bancor, Inc. 65
5,300 Eagle Financial Corp. 126
1,500 Eastern Bancorp, Inc. 36
3,100 Evergreen Bancorp., Inc. 67
2,550 Family Bancorp, Inc. 53
1,900 FFLC Bancorp, Inc. 33
4,400 Fidelity Federal Savings Bank of Florida 58
1,032 Fifth Third Bancorp. 60
4,700 First Federal Bancshares of Eau Claire 66
3,700 First Federal Capital Corp. 74
6,900 FirstFed Financial Corp.* 110
1,500 First Federal Financial Corp. of Kentucky 55
1,600 First Federal S&L Association of East
Hartford 29
5,280 First Indiana Corp. 120
3,400 First Palm Beach Bancorp 76
4,700 First Republic Bancorp, Inc.* 58
2,400 First Savings Bancorp Inc., North Carolina 44
4,200 First Savings Bank, New Jersey 63
6,900 First Washington Bancorp, Inc. 54
1,700 FirstFed Bancshares, Inc. 37
1,900 FNB Corp. 44
4,400 GBC Bancorp 97
13,600 Glendale Federal Bank FSB* 246
8,400 Greater New York Savings Bank* 100
2,900 Haven Bancorp, Inc. 67
1,500 Home Federal Bancorp. 38
2,500 Home Federal Financial Corp. 44
3,700 Homeland Bankshares Corp. 108
4,200 Horizon Financial Corp. 50
6,900 InterWest Bancorp, Inc. 151
1,890 JeffBanks, Inc. 44
2,700 Jefferson Savings Bancorp, Inc.* 80
2,500 LFS Bancorp, Inc. 47
1,700 Liberty Bancorp, Inc. 42
7,100 Life Bancorp, Inc. 103
18,400 Long Island Bancorp, Inc. 518
2,000 Maryland Federal Bancorp, Inc. 61
1,800 MASSBANK Corp. 60
2,800 Medford Savings Bank 62
2,700 Merchants Bancshares, Inc.* 41
6,180 Mid-America Bancorp. 110
4,700 MLF Bancorp, Inc. 112
4,000 N. S. Bancorp, Inc. 158
4,300 National City Bancorporation* 94
5,460 NBB Bancorp, Inc.* 93
3,591 North Side Savings Bank 125
12,400 One Bancorp, Inc. 434
3,500 PALFED, Inc. 45
2,700 Pennfirst Bancorp, Inc. 32
4,000 Peoples Bank of Bridgeport 86
11,600 Peoples Heritage Financial Group, Inc. 252
1,708 Peoples Holding Co. 91
3,800 PonceBank (Puerto Rico) 55
3,774 Portsmouth Bank Shares, Inc. 52
8,600 Poughkeepsie Savings Bank FSB N.Y. 46
1,800 Progressive Bank, Inc. 49
2,600 Pulse Bancorp, Inc. 40
2,600 Quaker City Bancorp, Inc.* 36
4,000 Queens County Bancorp, Inc. 176
6,300 Reliance Bancorp, Inc. 102
19,700 Riggs National Corp.* 244
26,100 Roosevelt Financial Group, Inc. 483
4,729 Southtrust Corp. 131
1,500 Southwest Bancshares, Inc. 40
16,400 St. Paul Bancorp, Inc. 404
4,400 Sterling Bancorp. 57
3,800 Sterling Financial Corp.* 49
11,200 Sumitomo Bank of California 283
4,100 TF Financial Corp. 59
1,700 Today's Bancorp, Inc. 50
5,700 Triangle Bancorp, Inc. 86
2,875 TriCo Bancshares 53
3,500 US Bancorp 114
5,200 Victoria Bankshares, Inc. 198
3,600 Virginia First Financial Corp. 43
2,300 Walden Bancorp, Inc. 45
3,500 Webster Financial Corp. 98
1,700 Western Ohio Financial Corp. 39
-------
12,643
-------
Brokerage Services - 1.4%
5,600 Advest Group, Inc.* 54
2,000 FFVA Financial Corp. 59
2,600 First Southeast Financial Corp. 51
10,200 Great Financial Corp. 252
3,800 HMN Financial, Inc.* 56
4,500 Interstate/Johnson Lane, Inc. 51
7,950 Inter-Regional Financial Group, Inc. 178
22,300 John Alden Financial Corp. 393
6,200 McDonald & Co. Investments, Inc. 119
600 Northern States Financial Corp. 44
3,600 Ottawa Financial Corp. 59
12,100 PEC Israel Economic Corp.* 260
15,400 Piper Jaffray Cos., Inc. 212
5,500 Southwest Securities Group, Inc. 66
12,000 Standard Financial, Inc. 177
4,070 York Financial Corp. 73
-------
2,104
-------
Chemicals and Allied Products - 4.3%
3,740 Aceto Corp. 59
7,600 Alpha-Beta Technology, Inc.* 95
11,000 Alpharma, Inc. 256
12,200 ARIAD Pharmaceuticals, Inc.* 46
9,200 Biocraft Laboratories, Inc.* 160
14,600 Biomira, Inc.* 72
26,200 Calgon Carbon Corp. 318
5,200 Cambrex Corp. 240
37,300 Carter-Wallace, Inc. 611
8,500 Cellpro, Inc.* 134
13,100 Copley Pharmaceutical, Inc.* 219
12,400 COR Therapeutics, Inc.* 144
13,000 Creative BioMolecules, Inc.* 122
5,075 Cytrx Corp. 20
9,000 Fuller (H.B.) Co. 268
5,500 GeneMedicine, Inc.* 33
21,800 Gensia, Inc. * 101
4,800 Great American Management &
Investment, Inc.* 230
6,100 Guardsman Products, Inc. 140
4,200 Hauser Chemical Research, Inc.* 25
5,000 Immucor, Inc.* 66
9,800 ImmuLogic Pharmaceutical Corp.* 130
10,900 Immune Response Corp.* 65
8,100 ImmunoGen, Inc.* 21
10,500 INCSTAR Corp.* 60
5,700 Learonal, Inc. 141
9,700 Life Technologies, Inc. 272
8,400 LSB Industries, Inc. 45
1,300 MacDermid, Inc. 86
3,600 Melamine Chemicals, Inc.* 28
9,000 Mississippi Chemical Corp. 182
12,600 Mycogen Corp.* 217
4,200 National Sanitary Supply Co. 58
5,400 NCH Corp. 306
14,900 NeXstar Pharmaceuticals, Inc.* 294
8,100 OEC Medical Systems, Inc.* 95
7,400 Petrolite Corp. 224
10,800 Pharmaceutical Resources, Inc.* 78
18,100 Pure Tech International, Inc.* 38
5,700 Quaker Chemical Corp. 77
12,300 Ribi ImmunoChem Research, Inc.* 62
11,800 Roberts Pharmaceutical Corp.* 223
3,600 Sybron Chemicals, Inc.* 45
9,400 Systemix, Inc.* 127
8,200 Tetra Technologies, Inc.* 141
11,200 Vertex Pharmaceuticals, Inc.* 297
-------
6,671
-------
Communications - 1.4%
19,000 American Mobile Satellite Corp., Inc.* 323
13,000 American Paging, Inc.* 85
11,300 American Telecasting, Inc. 167
8,000 Atlantic Tele-Network, Inc.* 180
11,500 BroadBand Technologies, Inc.* 293
8,000 Cellular Communications, Inc.* 409
4,200 Centigram Communications Corp.* 92
10,197 Roseville Telephone Co. 261
3,700 STM Wireless Inc. Class A* 39
15,000 True North Communications, Inc. 375
-------
2,224
-------
Computers and Office Machines - 3.2%
7,400 Advanced Logic Research, Inc.* 49
4,000 Amplicon, Inc. 63
3,300 Applied Voice Technology, Inc.* 32
9,800 Artisoft, Inc.* 77
5,900 Asante Technolgies, Inc.* 37
26,200 AST Research, Inc.* 125
3,300 Astro-Med, Inc. 27
13,000 BancTec, Inc.* 224
8,500 Caere Corp.* 70
19,600 Concurrent Computer Corp.* 33
8,300 Control Data Systems, Inc.* 164
6,000 Crosscomm Co.* 61
24,100 Data General Corp.* 352
4,900 Data Systems & Software, Inc.* 32
5,100 DH Technology, Inc.* 122
11,400 Dynatech Corp.* 268
14,100 Exabyte Corp.* 230
10,200 General Binding Corp. 222
6,900 Genicom Corp.* 42
5,800 GTI Corp.* 52
6,400 Inacom Corp.* 110
25,000 Intergraph Corp.* 400
10,100 Micropolis Corp.* 33
5,300 Microtouch Systems, Inc.* 81
12,300 MTI Technology Corp.* 23
9,800 Network Peripherals, Inc.* 143
5,100 Quixote Corp. 31
5,000 Par Technology Corp.* 73
3,600 Rainbow Technologies, Inc.* 63
29,200 Sequent Computer Systems, Inc.* 339
8,500 Standard Microsystems Corp.* 136
15,300 Stratus Computer, Inc.* 425
6,300 Truevision, Inc.* 46
12,300 Tseng Laboratories, Inc.* 123
26,400 Wang Laboratories, Inc.* 627
-------
4,935
-------
Credit Institutions - 0.9%
4,400 DVI, Inc.* 54
4,700 First Financial Caribbean Corp. 93
6,745 Fund American Enterprises, Inc. 519
7,100 JSB Financial, Inc. 239
9,250 Money Store, Inc. (The) 258
4,000 North American Mortgage Co. 73
12,000 Ryland Group, Inc. 194
-------
1,430
-------
Electrical Services - 2.9%
4,600 Bangor Hydro-Electric Co. 49
15,200 Central Hudson Gas & Electric 460
28,500 Central Maine Power Co. 413
7,600 Central Vermont Public Service 114
2,700 Compania Boliviana de Energia
Electrica S.A. 99
41,900 Destec Energy, Inc.* 518
17,900 Eastern Utilities Association 385
3,100 Green Mountain Power Corp. 85
6,200 Interstate Power Co. 198
12,000 Orange and Rockland Utilities, Inc. 431
27,200 Public Service Co. of New Mexico 507
19,100 Sierra Pacific Resources 480
7,000 TNP Enterprises, Inc. 162
12,400 United Illuminating Co. 457
2,800 Unitil Corp. 65
3,000 Upper Penninsula Energy Corp. 57
-------
4,480
-------
Electronics and Other Electrical
Equipment - 5.0%
3,900 A Plus Network, Inc.* 44
7,700 Aeroflex, Inc.* 36
9,400 Amtech Corp.* 52
7,000 ANADIGICS, Inc. 145
14,400 ANTEC Corp.* 223
14,400 Applied Magnetics Corp.* 225
15,300 Augat, Inc. 268
3,300 Aydin Corp.* 49
5,200 Bel Fuse, Inc.* 95
2,600 Benchmark Electronics, Inc.* 78
10,700 Brooktree Corp.* 96
10,300 California Microwave, Inc.* 190
15,800 Canadian Marconi Co.* 156
9,500 Compression Labs, Inc.* 52
3,500 CTS Corp. 134
23,100 Dallas Semiconductor Co. 424
2,900 Davel Communications Group, Inc.* 38
13,000 Digital Sound Corp.* 18
6,200 Digital Systems International, Inc.* 95
5,200 DII Group, Inc.* 158
3,100 Dynamics Corporation of America 74
6,400 Electromagnetic Sciences, Inc.* 78
5,700 Evans & Sutherland Computer Corp.* 130
8,400 Exar Corp.* 124
30,300 Executone Information Systems, Inc.* 83
5,100 Exide Electronics Group, Inc.* 68
5,300 Fusion Systems Corp.* 134
4,400 Galileo Electro-Optics Corp.* 70
13,200 General DataComm Industries, Inc.* 140
8,400 Genlyte Group, Inc.* 67
2,000 Hutchinson Technology, Inc.* 81
4,800 IEC Electronics Corp.* 41
2,300 Industrial Scientific Corp.* 41
6,700 Intermedia Communications of Florida, Inc.* 123
9,600 Jabil Circuit, Inc.* 85
6,100 Kopin Corp.* 63
8,600 Kuhlman Corp. 129
3,500 LXE, Inc.* 32
21,700 MagneTek, Inc.* 171
8,600 Micronics Computers, Inc.* 23
4,800 National Presto Industries, Inc. 192
6,100 Netrix Corp.* 31
7,400 Park Electrochemical Corp. 220
19,700 Pioneer Standard Electronics, Inc. 303
9,300 Pittencrieff Communications, Inc.* 47
7,350 Pittway Corp. 364
6,800 Powell Industries, Inc.* 66
7,000 QMS, Inc.* 33
3,400 Quality Semiconductor, Inc.* 18
8,700 Quickturn Design Systems, Inc.* 95
3,900 Reptron Electonics, Inc.* 64
3,500 Robinson Nugent, Inc. 18
15,600 Royal Appliance Manufacturing Co.* 66
25,700 Silicon Valley Group, Inc.* 626
3,800 Siliconix, Inc.* 129
8,600 Standard Motor Products, Inc. 138
4,000 Stanford Telecommunications, Inc.* 120
6,600 Telco Systems, Inc.* 68
8,600 Telebit Corp.* 45
6,600 Thomas Industries, Inc. 139
8,000 United Industrial Corp. 42
240 Unitrode Corp.* 6
4,400 Universal Electronics, Inc.* 51
12,900 Valence Technology, Inc.* 56
3,200 Vertex Communications Corp.* 51
10,900 Windmere Corp. 106
9,900 Wyle Electronics 343
-------
7,770
-------
Food and Beverages - 1.2%
5,600 Bertuccis, Inc.* 27
2,900 Genesee Corp., Class B 129
9,400 Golden Poultry Co., Inc. 93
8,600 Interstate Bakeries Corp. 211
6,100 J&J Snack Foods Corp.* 72
12,500 Michael Foods, Inc. 131
6,300 Midwest Grain Products, Inc. 80
6,500 Orange-co., Inc.* 59
17,800 Pilgrims Pride Corp. 127
11,000 Riviana Foods, Inc. 158
12,900 Rykoff-Sexton, Inc. 205
8,850 Sanderson Farms, Inc. 108
5,800 Sanfilippo (John B.) & Son, Inc.* 46
1,000 Seaboard Corp. 238
7,800 Stokely U.S.A., Inc.* 19
3,700 Thorn Apple Valley, Inc.* 44
11,600 WLR Foods, Inc. 157
-------
1,904
-------
Food and Manufacturing - 0.4%
7,065 Chock Full O'Nuts Corp.* 35
1,300 Farmer Bros. Co. 173
6,700 Imperial Holly Corp.* 63
11,700 Morningstar Group, Inc.* 114
17,000 Savannah Foods & Industries, Inc. 185
13,640 Zapata Corp.* 44
-------
614
-------
Furniture and Fixtures - 1.1%
9,200 Bassett Furniture Industries, Inc. 239
12,600 Ethan Allen Interiors, Inc.* 331
4,700 Flexsteel Industries, Inc. 47
3,850 Knape&Vogt Manufacturing Co. 53
3,300 LADD Furniture, Inc. 36
12,700 La-Z-Boy Chair Co. 395
13,600 Miller (Herman), Inc. 422
11,600 O'Sullivan Industries Holdings, Inc.* 68
3,100 Pulaski Furniture Corp. 52
6,400 Rhodes, Inc.* 61
2,000 Virco Manufacturing Corp. 19
6,200 Winsloew Furniture, Inc.* 38
-------
1,761
-------
General Building Contractors - 1.7%
5,100 Amrep Corp.* 27
5,300 Beazer Homes USA, Inc.* 93
6,200 Cameron Ashley, Inc.* 54
4,600 Christiana Companies, Inc.* 109
4,800 Continental Homes Holding Corp. 110
4,600 Engle Homes, Inc. 38
28,600 Kaufman & Broad Home Corp. 458
22,800 Lennar Corp. 567
12,900 MDC Holdings, Inc. 94
5,700 M/I Schottenstein Homes, Inc.* 58
21,500 Morrison Knudsen Corp.* 27
8,100 Nortek, Inc.* 98
3,100 Perini Corp.* 25
14,400 Schuler Homes, Inc.* 115
20,000 Standard-Pacific Corp. 145
9,800 Thor Industries, Inc. 184
3,400 Turner Corp.* 34
7,300 U.S. Home Corp.* 188
11,900 Webb (Del E.) Corp. 219
-------
2,643
-------
Glass, Clay and Stone Products - 1.3%
2,500 Ameron International Corp. 93
15,000 Calmat Co. 274
6,200 Florida Rock Industries, Inc. 161
6,900 Giant Cement Holding, Inc.* 87
2,700 Green (A.P.) Industries, Inc. 47
19,700 Jannock Ltd. 177
17,500 Justin Industries 203
3,600 Puerto Rican Cement Co., Inc. 120
18,500 Sola International, Inc.* 576
11,200 Southdown, Inc. 265
-------
2,003
-------
Health Services - 4.6%
5,200 American Healthcorp, Inc.* 46
4,900 American HomePatient, Inc.* 192
18,700 Benson Eyecare Corp.* 171
9,724 Block Drug Co., Inc. 402
22,100 Coastal Physican Group, Inc.* 196
35,200 Community Psychiatric Centers* 295
25,700 Coram Healthcare Corp.* 145
10,400 Datascope Corp.* 244
8,200 Faulding, Inc.* 55
9,400 Genesis Health Ventures, Inc.* 380
15,100 GranCare, Inc.* 272
7,800 Haemonetics Corp.* 129
5,211 Healthcare Service Group* 50
7,500 Health Images, Inc. 55
6,000 Health Management, Inc.* 30
20,600 Herbalife International, Inc. 227
35,600 Kinetic Concepts, Inc. 476
13,500 Living Centers of America, Inc.* 503
92 Lynx Therapeutics, Inc.* 1
9,900 Matria Healthcare, Inc.* 83
5,300 Maxxim Medical, Inc.* 100
12,300 Mediq, Inc.* 63
7,816 Molecular Biosystems, Inc.* 67
52,000 NovaCare, Inc.* 364
4,200 PCI Services, Inc.* 67
9,100 Perspective Biosystems, Inc.* 69
5,200 Professional Sports Care Management, Inc.* 33
10,200 Quantum Health Resources Co.* 107
2,900 Rehabcare Group, Inc.* 46
12,800 Renal Treatment Centers, Inc.* 304
15,200 Staff Builders, Inc.* 45
3,600 Sterile Concepts Holdings, Inc. 77
4,400 Summit Care Corp.* 94
20,400 Sun Healthcare Group, Inc.* 270
12,300 TheraTx, Inc.* 145
11,400 Transcend Services, Inc.* 103
23,200 Unilab Corp.* 46
4,500 United American Healthcare Corp.* 61
11,100 Universal Health Services, Inc., Class B* 590
9,900 Wellpoint Health Networks, Inc., Class A* 347
15,600 Xoma Corp.* 66
4,000 Zoll Medical Corp.* 47
-------
7,063
-------
Heavy Construction - 0.3%
6,100 Apogee Enterprises, Inc.* 43
5,700 Atkinson (G.F.) Co.* 65
5,000 Banister Foundation, Inc.* 31
7,600 Granite Construction, Inc. 224
19,200 Kasler Holding Co.* 154
-------
517
-------
Industrial Instruments - 2.8%
21,500 Acuson Co.* 339
8,700 Advanced Technology Laboratories, Inc.* 235
12,600 Amsco International, Inc.* 176
5,300 Analogic Corp. 99
7,000 BioWhittaker, Inc.* 57
7,100 Capco Automotive Products Corp. 88
8,500 Circon Corp.* 124
7,400 Coherent, Inc.* 314
6,400 Core Industries, Inc. 94
2,800 CPAC, Inc.* 40
3,900 Cubic Corp. 105
7,800 Daniel Industries, Inc. 105
2,600 Datum, Inc.* 24
10,400 Fisher Scientific International 398
3,100 FLIR Systems, Inc.* 38
6,000 Fluke Corp. 229
7,400 Hach Co. 122
3,500 IFR System, Inc.* 48
4,500 Instron Corp. 64
3,600 Isco, Inc. 32
2,400 JPE, Inc.* 24
2,800 Keithley Instruments, Inc. 39
11,600 Measurex Corp. 336
4,000 Medex, Inc. 48
4,200 Medicus System Corp.* 29
3,800 Mine Safety Appliances Co. 176
2,900 MTS Systems Corp. 109
7,500 Newport Corp. 68
5,900 Optical Coating Laboratory, Inc. 84
4,500 PolyMedica Industries, Inc.* 36
4,200 Primesource Corp. 25
4,600 Protocol Systems, Inc.* 78
534 Starrett (L.S.) Co., Class B 13
11,800 Sunrise Medical, Inc.* 165
4,200 Tech-Sym Corp.* 150
3,300 T S I, Inc. 59
5,000 Watkins-Johnson Co. 179
300 Woodward Governor Co. 26
-------
4,375
-------
Insurance Services - 5.9%
4,600 Allcity Insurance Co.* 42
5,900 Allied Group, Inc. 234
4,600 American Eagle Group, Inc. 36
6,800 American Travellers Corp.* 201
3,800 Baldwin & Lyons, Inc., Class B 54
10,800 Berkley (W.R.) Corp. 499
13,000 Capital RE Corp. 468
10,000 Capsure Holdings Corp.* 166
31,700 Citizens Corp. 618
2,700 Donegal Group, Inc. 51
6,900 EMC Insurance Group, Inc. 91
15,200 Enhance Financial Services Group, Inc. 420
20,728 Financial Security Assurance Holdings Ltd. 526
7,400 First American Financial Corp. 213
16,440 Fremont General Corp.* 388
5,300 Gryphon Holdings, Inc.* 101
13,100 Guaranty National Corp. 216
8,700 Harleysville Group, Inc. 233
4,200 Home Beneficial Corp., Class B 105
9,900 Independence Holding Co. 38
7,700 Insurance Auto Auctions, Inc.* 71
13,800 Integon Corp. Delaware 281
4,900 Intercargo Corp. 43
4,000 Kansas City Life Insurance Co. 212
5,800 Lawyers Title Corp. 109
24,400 Life Partners Group, Inc. 506
2,000 Merchants Group, Inc. 37
4,400 Meridian Insurance Group, Inc. 65
2,000 Midland Co. 98
3,800 Nobel Insurance Ltd. 44
7,400 Nymagic, Inc. 145
4,400 Penn Treaty American Corp.* 84
2,200 PICOM Insurance Co.* 50
4,100 Pioneer Financial Services, Inc. 67
21,900 Presidential Life Corp. 203
5,700 PXRE Corp. 145
5,200 RLI Corp. 129
4,200 Seafield Capital Corp. 155
8,500 Security Capital Corp. 493
9,500 Sierra Health Services, Inc.* 310
16,100 Sphere Drake Holdings Ltd. 163
4,050 Stewart Information Services Corp. 80
7,050 United Fire & Casualty Co. 219
8,200 United Wisconsin Services, Inc. 177
7,900 Washington National Corp. 211
11,500 Zenith National Insurance Corp. 275
-------
9,072
-------
Jewelry and Precious Metals - 0.2%
16,800 Jan Bell Marketing, Inc.* 51
7,600 Syratech Corp.* 196
-------
247
-------
Lumber and Wood Products - 0.9%
20,100 Chesapeake Corp. 608
5,900 Fibreboard Corp.* 139
9,400 Ply-Gem Industries, Inc. 137
8,600 Pope & Talbot, Inc. 119
7,200 Skyline Corp. 177
11,000 T.J. International, Inc. 173
-------
1,353
-------
Machinery - 1.5%
6,200 Ampco-Pittsburgh Corp. 81
4,900 Amtrol, Inc. 91
6,500 Astec Industries, Inc.* 66
3,000 Binks Manufacturing Co. 66
13,500 Commercial Intertech Corp. 255
6,000 DT Industries, Inc. 115
7,800 Furon Co. 172
3,100 Gardner Denver Machinery, Inc.* 74
4,000 Gehl Co.* 31
30,200 Giddings & Lewis, Inc. 574
14,800 Global Industrial Technologies, Inc.* 355
5,800 Katy Industries, Inc. 79
7,200 Kulicke & Soffa Industries, Inc.* 113
4,400 Lufkin Industries, Inc. 80
4,558 Raymond Corp. 80
3,000 Twin Disc, Inc. 66
2,700 Unit Instruments, Inc.* 38
-------
2,336
-------
Manufacturing-General - 1.0%
2,500 Applied Science & Technology, Inc.* 38
4,600 Bally Gaming International, Inc.* 41
6,800 Bairnco Corp. 46
6,400 Chemed Corp. 238
7,700 Elcor Corp. 183
2,500 Fuqua Enterprises, Inc.* 64
5,400 Hunt Manufacturing Co. 82
12,400 J Ray McDermott, S.A. 240
4,300 LaCrosse Footwear, Inc. 51
4,500 Oil-Dri Corporation of America 60
10,900 Samsonite Corp.* 158
5,500 Superior Surgical Manufacturing Co., Inc. 56
6,300 Union Switch & Signal, Inc.* 47
3,300 Wandel & Goltermann Technologies, Inc.* 54
8,000 Zurn Industries, Inc. 164
-------
1,522
-------
Metal Products - 0.8%
8,900 CasTech Aluminum Group, Inc.* 128
3,000 Douglas & Lomason Co. 34
5,500 Fansteel, Inc.* 33
2,600 General Housewares Corp. 28
5,600 Hardinge, Inc. 146
2,800 International Aluminum Corp. 75
4,800 Maverick Tube Corp.* 56
5,600 Olympic Steel, Inc.* 60
3,000 Pitt-Des Moines, Inc. 135
5,600 Shaw Group, Inc.* 97
3,700 SPS Technologies, Inc.* 206
3,500 Varlen Corp. 81
16,803 WHX Corp.* 189
-------
1,268
-------
Mining - 2.1%
52,700 Amax Gold, Inc.* 362
8,900 Ashland Coal, Inc. 208
7,000 Basin Exploration, Inc.* 36
35,500 Cambior, Inc. 479
75,600 Campbell Resources, Inc.* 94
7,800 Cleveland Cliffs, Inc. 345
10,100 Coeur D'Alene Mines Corp. 206
47,500 FMC Gold Co. 309
22,000 Granges, Inc. * 47
31,300 Hecla Mining Co.* 239
7,200 HS Resources, Inc.* 77
12,600 MK Gold Co.* 26
10,401 Nord Resources Corp.* 22
22,500 Pegasus Gold, Inc.* 329
2,800 Penn Virginia Corp. 95
74,300 Royal Oak Mines, Inc.* 311
13,200 Wharf Resources Ltd. 86
5,202 Zemex Corp.* 47
-------
3,318
-------
Miscellaneous Investing
Institutions - 0.9%
9,700 Acceptance Insurance Cos., Inc.* 150
2,900 Cenfed Financial Corp. 72
4,551 CFX Corp. 67
3,300 Dime Financial Corp. 44
3,700 FFY Financial Corp. 84
3,900 First Essex Bancorp, Inc. 42
2,000 First Liberty Financial Corp. 42
2,900 First Northern Capital Corp. 46
1,200 First State Corp. 34
1,750 Hinsdale Financial Corp.* 37
3,000 Indiana Federal Corp. 56
900 Lynch Corp.* 61
3,400 Norwich Financial, Inc. 47
9,100 RCSB Financial, Inc. 215
5,500 Security-Connecticut Corp. 144
4,000 St. Francis Capital Corp. 109
6,500 T R Financial Corp. 167
2,900 Westerfed Financial Corp. 43
-------
1,460
-------
Natural Gas Transmission - 1.0%
2,300 EnergyNorth, Inc. 44
6,000 NUI Corp. 112
3,700 Pennsylvania Enterprises, Inc. 143
9,500 Piedmont Natural Gas Co. 211
3,600 Providence Energy Corp. 66
10,429 Southern Union Co.* 214
20,700 Southwest Gas Corp. 357
22,600 Western Gas Resources, Inc. 325
-------
1,472
-------
Oil and Gas - 4.8%
3,010 American Exploration Co.* 33
13,200 Arethusa (Off-Shore) Ltd.* 497
4,300 Atwood Oceanics, Inc.* 155
7,600 Belden & Blake Corp. * 136
6,700 BJ Services Co.* 224
3,800 Callon Petroleum Co.* 40
16,500 Camco International, Inc. 520
7,100 Chieftain International, Inc.* 123
2,900 Cliffs Drilling Co.* 44
6,100 Connecticut Energy Corp. 117
3,000 Crystal Oil Co.* 100
10,300 Dual Drilling Co.* 176
4,200 Edisto Resources Corp.* 34
2,200 GulfMark InternationaI, Inc.* 67
3,200 Howell Corp. 44
18,900 IES Industries, Inc. 527
8,500 International Colin Energy Corp.* 43
13,400 Lone Star Technologies, Inc.* 141
27,100 Marine Drilling Companies, Inc.* 213
21,800 Nabors Industries, Inc.* 311
55,000 Noble Drilling Corp.* 681
4,200 Norex America, Inc.* 67
13,500 Nowsco Well Service Ltd. 199
60,600 Numac Energy, Inc.* 227
5,600 Petrocorp, Inc.* 38
8,700 Pool Energy Services Co.* 97
86,700 Ranger Oil Ltd. 607
74,300 Rowan Companies, Inc.* 947
9,300 RPC, Inc.* 96
26,000 Sceptre Resources Ltd.* 187
14,900 Serenpet, Inc.* 41
19,700 Snyder Oil Corp. 165
11,000 Stolt Comex Seaway S.A.* 127
4,640 Swift Energy Co.* 61
12,000 Tuboscope Vetco International Corp.* 117
13,600 Unit Corp.* 78
6,100 USX-Delhi Group 74
5,800 Wiser Oil Co. 77
-------
7,431
-------
Paper Products - 0.1%
4,200 Nashua Corp. 54
7,700 Paragon Trade Brands, Inc.* 160
-------
214
-------
Personal Services - 1.0%
5,500 Ballys Grand, Inc.* 109
6,000 Boomtown, Inc.* 37
6,100 Harveys Casino Resorts 104
14,100 Marcus Corp. 372
19,500 President Casino's, Inc.* 27
20,000 Prime Hospitality Corp.* 273
13,800 Rio Hotel & Casino* 210
5,300 Sholodge, Inc.* 60
9,400 Stewart Enterprises, Inc., Class A 402
-------
1,594
-------
Petroleum Products - 0.9%
11,500 Coho Energy, Inc.* 72
3,300 Crown Central Petroleum Corp., Class B* 58
43,400 EZ Serve Corp.* 60
7,600 Giant Industries, Inc. 105
29,300 Parker & Parsley Petroleum Co. 674
16,900 Tesoro Petroleum Corp.* 144
24,900 Total Petroleum (North America) Ltd. 243
-------
1,356
-------
Printing and Publishing - 1.4%
10,400 American Business Products, Inc. 235
11,300 Bowne & Co., Inc. 206
7,300 CSS Industries, Inc.* 162
4,800 Duplex Products, Inc.* 44
10,500 Gibson Greetings, Inc.* 142
7,000 Graphic Industries, Inc. 79
25,200 Standard Register Co. 599
3,200 T/SF Communications Corp.* 55
13,600 Western Publishing Group, Inc.* 134
28,750 World Color Press, Inc.* 546
-------
2,202
-------
Professional Services - 5.1%
5,900 ABM Industries, Inc. 195
24,700 Allwaste, Inc.* 99
13,400 Ameridata Technologies, Inc.* 152
11,000 Banyan Systems, Inc.* 84
10,500 BE Aerospace, Inc.* 115
17,800 Borland International, Inc.* 320
5,500 Business Records Corp. Holding Co.* 203
9,000 Cerplex Group, Inc.* 52
2,000 Comnet Corp.* 20
3,700 Computer Data Systems, Inc. 58
2,200 Control Center, Inc.* 38
6,100 Cyberonics, Inc.* 26
7,000 Cyrk, Inc.* 116
3,800 Dataware Technologies Co.* 26
4,900 Encore Wire Corp.* 44
7,100 Envoy Corp.* 167
19,200 Gerber Scientific, Inc. 288
5,100 GMIS, Inc.* 75
600 Grey Advertising, Inc. 137
10,700 Group Technologies Corp.* 27
18,800 Ideon Group, Inc. 209
17,400 Information Resources, Inc.* 252
14,600 Integrated Health Services, Inc. 341
7,400 Interim Services, Inc.* 283
9,200 Interleaf, Inc.* 82
4,600 Isomedix, Inc.* 64
8,700 Keane, Inc. * 260
25,000 Kenetech Corp.* 27
9,000 Labone, Inc. 149
11,700 Landmark Graphics Corp.* 195
7,300 Lasermaster Technologies, Inc.* 48
5,300 McGrath Rent Co. 102
3,000 MTL, Inc.* 52
16,700 National Auto Credit, Inc.* 253
8,800 Netframe Systems, Inc.* 46
10,300 Network Computing Devices, Inc.* 41
18,100 OHM Corp.* 133
5,000 ParcPlace Digitalk, Inc.* 46
8,500 Pharmaceutical Marketing Services, Inc.* 115
5,400 Pinkerton's, Inc.* 117
12,100 Primark Corp.* 448
9,400 Prime Medical Services, Inc.* 122
9,900 Protein Design Labs, Inc.* 244
11,300 Retix Co.* 58
29,700 Rollins Truck Leasing Corp. 308
3,500 Roto-Rooter, Inc. 108
20,100 Santa Cruz Operation, Inc.* 123
4,700 Serv-Tech, Inc.* 28
6,700 State of the Art, Inc.* 80
7,100 Syquest Technology, Inc.* 42
6,000 Tadiran Limited Co. 142
10,900 Telxon Corp. 232
3,600 Treadco, Inc. 26
8,500 Tricord Systems, Inc.* 35
3,000 Union Corp.* 53
688 Valley Systems, Inc.* 1
10,800 Viewlogic Systems, Inc.* 119
6,200 Volt Information Sciences, Inc.* 149
8,700 Walker Interactive Systems* 87
5,900 Wall Data, Inc.* 91
4,100 White River Corp.* 153
5,500 World Fuel Services Corp. 94
11,800 Xircom Co.* 164
-------
7,964
-------
Real Estate - 0.4%
2,300 Cardinal Realty Services, Inc.* 40
5,000 Felcor Suite Hotels, Inc. 155
10,200 NVR, Inc.* 98
5,800 Prime Residential, Inc. 108
10,100 Public Storage, Inc. 206
50 South West Property Trust, Inc. 1
6,100 Winston Hotels, Inc. 75
-------
683
-------
Recreational - 1.2%
9,800 Cinergi Pictures Entertainment, Inc.* 13
5,900 Coastcast Corp.* 110
4,800 Lodgenet Entertainment Corp.* 62
5,200 Meridian Sports, Inc.* 26
4,800 Mountasia Entertainment International* 17
13,000 Outboard Marine Corp. 249
10,000 Showboat, Inc. 245
33,400 Speedway Motorsports, Inc.* 944
22,700 Tyco Toys, Inc.* 136
7,000 Video Lottery Technologies, Inc.* 46
-------
1,848
-------
Recreational Services - 1.3%
3,500 AMC Entertainment, Inc.* 85
8,900 American Classic Voyages Co. 73
5,600 American Recreation Centers, Inc. 33
30,200 Aztar Corp.* 257
38,000 Bally Entertainment Corp.* 655
5,500 Carmike Cinemas, Inc.* 125
74,300 Cineplex Odeon Corp.* 102
5,100 GC Companies, Inc.* 194
11,900 Hollywood Park, Inc.* 118
6,700 Iwerks Entertainment, Inc.* 52
6,000 Jackpot Enterprises, Inc. 68
6,800 Mikohn Gaming Corp. 28
19,600 Savoy Pictures Entertainment, Inc.* 115
3,700 S-K-I Ltd. 63
13,600 Starsight Telecast Co.* 78
-------
2,046
-------
Research and Consulting Services - 1.0%
18,300 Applied Bioscience International, Inc.* 167
8,900 Cell Genesys, Inc.* 68
3,100 Continental Can, Inc.* 47
15,600 Dames & Moore, Inc. 173
4,300 Failure Group, Inc.* 24
3,300 Greiner Engineering, Inc. 51
4,000 Nichols Research Corp.* 111
11,100 Oncogene Science, Inc.* 101
22,800 Scios, Inc.* 104
6,800 Spacelabs Medical, Inc.* 158
12,700 Stone & Webster, Inc. 418
4,500 Tracor, Inc.* 78
-------
1,500
-------
Retail - 6.8%
10,900 Aldila, Inc.* 50
15,000 AnnTaylor Stores Corp.* 270
9,000 Baker (J.), Inc. 68
5,200 Bell Microproducts, Inc.* 34
20,300 Best Products, Inc.* 48
16,300 Big B, Inc. 169
8,200 Blair Corp. 207
7,100 Bon-Ton Stores, Inc.* 48
5,000 Brookstone, Inc.* 39
6,800 Brothers Gourmet Coffees, Inc.* 27
35,700 Burlington Coat Factory Warehouse Co.* 419
5,600 Buttrey Food & Drug Stores Co.* 43
10,900 Caldor Corp.* 42
7,606 Carr-Gottstein Foods Co.* 39
10,700 Carson Pirie Scott & Co.* 241
18,600 Cash America International, Inc. 100
5,000 Catherines Stores Corp.* 50
6,900 Central Tractor Farm & Country, Inc.* 112
66,900 Charming Shoppes, Inc.* 345
5,300 Chart House Enterprises, Inc.* 32
33,800 Checkers Drive-In Restaurants, Inc.* 43
3,600 Crown Books Corp.* 29
4,700 Delchamps, Inc. 100
10,900 Designs, Inc.* 76
31,800 Discovery Zone, Inc.* 28
14,400 Dress Barn, Inc.* 169
8,500 Drug Emporium, Inc.* 29
17,700 Duty Free International, Inc. 234
15,400 Eagle Hardware & Garden, Inc.* 158
14,500 Edison Brothers Stores, Inc. 22
14,000 Egghead, Inc.* 150
8,000 Ernst Home Center, Inc.* 29
3,900 Fabri-Centers of America, Inc., Class A* 45
3,900 Fabri-Centers of America, Inc., Class B* 45
13,300 Fay's, Inc. 96
13,300 Filene's Basement Corp.* 42
40,400 Fingerhut Companies, Inc. 520
4,463 Frisch's Restaurants, Inc. 38
32,500 Furniture Brands International, Inc.* 301
15,147 General Host Corp.* 57
9,300 Good Guys, Inc.* 81
6,700 Gottschalks, Inc.* 44
17,000 Grossmans, Inc.* 28
5,800 Haggar Corp. 83
5,500 Haverty Furniture Companies, Inc. 75
4,400 Helen of Troy Ltd.* 99
6,155 Hills Stores Company* 72
7,000 Hi-Lo Automotive, Inc.* 38
6,600 Intertan, Inc.* 36
3,800 Jacobson Stores, Inc. 35
4,900 Krystal Co.* 22
11,800 Lechters Inc.* 59
6,700 Lillian Vernon Corp. 91
18,300 Meyer (Fred), Inc.* 512
13,900 Michaels Stores, Inc.* 195
22,200 Musicland Stores Corp.* 86
3,400 Noodle Kidoodle, Inc.* 29
6,600 One Price Clothing Stores, Inc.* 30
4,500 Orchard Supply Hardware* 106
3,700 Oshman's Sporting Goods, Inc.* 37
15,800 Payless Cashways, Inc.* 75
6,700 Piccadilly Cafeterias, Inc. 63
10,100 Rally's, Inc.* 20
15,800 Ross Stores, Inc. 397
34,700 Ryan's Family Steak Houses, Inc.* 312
3,300 Seaman Furniture, Inc.* 61
3,200 Schultz Sav-o Stores, Inc. 49
8,400 Shoe Carnival, Inc.* 36
20,700 Shopko Stores, Inc. 290
5,300 Showbiz Pizza Time, Inc.* 102
20,000 Sizzler International, Inc.* 63
7,300 Smith's Food & Drug Centers, Inc., Class B 175
4,400 Sport Supply Group, Inc. 32
13,600 Sports & Recreation, Inc.* 104
10,500 Stant Corp. 126
4,500 Strawbridge & Clothier, Class A 86
11,300 Sun Television & Appliance, Inc. 47
11,400 Syms Corp.* 94
10,400 Taco Cabana, Inc., Class A* 69
7,800 Tandycrafts, Inc.* 47
16,500 TCBY Enterprises, Inc. 80
13,100 TPI Enterprises, Inc.* 38
4,100 Trak Auto Corp.* 83
7,900 United Retail Group, Inc.* 40
7,720 United Stationers, Inc.* 174
20,600 Value City Department Stores, Inc.* 201
11,300 Venture Stores, Inc. 79
5,800 Vicorp Restaurants, Inc.* 86
29,300 Waban, Inc.* 769
4,600 Wolohan Lumber Co. 45
22,700 Zale Corp.* 390
-------
10,585
-------
Rubber and Plastics - 0.6%
14,700 ACX Technologies, Inc.* 266
6,700 Blessings Corp. 69
11,400 Carlisle Plastics, Inc.* 47
4,000 China Tire Holdings Ltd. 36
3,400 Essef Corp.* 58
10,800 Gundle/SLT Environmental, Inc.* 60
7,200 Sealright Co., Inc. 89
8,250 Tredegar Industries, Inc. 191
8,400 Uniroyal Technology Corp.* 28
3,900 Versa Technologies, Inc. 55
-------
899
-------
Sanitary Services - 0.8%
10,400 Addington Resources, Inc.* 143
3,800 Allied Waste Industries, Inc.* 35
5,200 American Ecology Corp.* 13
6,833 Continental Waste Industries, Inc.* 74
4,600 Groundwater Technology, Inc.* 61
23,400 Horsehead Resource Development, Inc.* 132
23,200 International Technology Corp.* 55
6,700 Kaiser Ventures, Inc.* 85
4,800 Layne Christensen Co.* 56
16,100 Mid-American Waste Systems, Inc.* 28
21,900 Omega Environmental, Inc.* 59
40,300 Rollins Environmental Services, Inc.* 106
4,100 Sevenson Environmental Services, Inc. 65
4,600 TRC Companies, Inc.* 29
9,400 Western Waste Industries, Inc.* 358
-------
1,299
-------
Service Industry Machinery - 0.2%
3,400 Edelebrock Corp.* 54
3,600 ICO, Inc. 18
5,900 Mestek, Inc.* 80
5,800 Scotsman Industries, Inc. 104
-------
256
-------
Social Services - 0.9%
4,400 Arbor Health Care Co.* 117
6,600 Berlitz International, Inc.* 107
12,100 Kinder-Care Learning Centers, Inc.* 151
16,900 Mariner Health Group, Inc.* 279
19,000 National Education Corp.* 223
4,600 Pacific Rehabilitation & Sports
Medicine, Inc.* 25
26,900 Physician Corporation of America* 430
10,700 Regency Health Services, Inc.* 120
-------
1,452
-------
Steel Products - 2.7%
7,800 Acme Metals, Inc.* 142
5,600 Amcast Industrial Corp. 99
18,500 Birmingham Steel Corp. 273
10,500 Brush Wellman, Inc. 188
19,200 Chaparral Steel Co. 286
3,300 Curtiss-Wright Corp. 172
7,000 Gibraltar Steel Corp.* 105
9,200 Handy & Harman, Co. 151
5,500 Insteel Industries, Inc. 38
3,100 Laclede Steel Co.* 17
9,500 Lukens, Inc. 236
11,200 Mueller Industries, Inc.* 396
6,100 National Steel Corp., Class B* 85
3,900 New Jersey Steel Corp.* 26
7,000 Oregon Metallurgical Corp.* 149
12,600 Oregon Steel Mills, Inc. 178
9,200 Quanex Corp. 201
6,700 Reliance Steel & Aluminum Co. 153
5,250 Roanoke Electric Steel Corp. 76
8,500 Shiloh Industries, Inc.* 105
4,600 Steel of West Virginia, Inc.* 44
7,900 Steel Technologies, Inc. 93
9,700 Texas Industries, Inc. 617
12,800 Tyler Corp.* 30
33,700 UNR Industries, Inc.* 270
27,200 Weirton Steel Corp.* 109
-------
4,239
-------
Textiles - 1.0%
5,900 Angelica Corp. 125
5,100 Chemfab Corp.* 62
5,500 Crown Crafts, Inc. 52
15,700 Delta Woodside Industries, Inc. 90
7,900 Dixie Yarns, Inc.* 38
9,200 Dyersburg Corp. 40
3,900 Fab Industries, Inc. 107
5,800 Fieldcrest Cannon, Inc.* 120
20,100 Griffon Corp.* 188
9,700 Guilford Mills, Inc. 238
3,200 Image Industries, Inc.* 37
6,300 Johnstown American Industries, Inc.* 30
4,500 Oneita Industries, Inc.* 20
19,300 Tultex Corp.* 89
13,300 Unifirst Corp. 251
11,500 Worldtex, Inc.* 56
-------
1,543
-------
Tobacco Products - 0.2%
2,600 American Filtrona Corp. 90
3,200 Culbro Corp.* 196
-------
286
-------
Transportation Parts and
Equipment - 2.1%
10,400 AAR Corp. 212
14,500 Arvin Industries, Inc. 301
9,300 Avondale Industries, Inc.* 162
11,300 Brilliance China Automotive Holdings, Ltd. 66
4,300 Durakon Industries, Inc.* 54
7,200 Excel Industries, Inc. 82
29,900 Federal-Mogul Corp. 557
9,700 Greenbrier Companies, Inc.* 125
8,700 Huffy Corp. 92
11,200 Interpool, Inc. 196
11,200 MK Rail Corp.* 38
6,600 Molecular Dynamics, Inc.* 38
3,900 Oshkosh Truck Corp., Class B 59
15,000 Orbital Sciences Corp.* 203
5,200 R & B, Inc.* 31
32,300 Roadmaster Industries, Inc.* 65
11,700 Rohr, Inc.* 211
8,300 SPX Corp. 149
11,500 Standard Products Co. 280
6,400 Todd Shipyards Corp.* 47
11,500 UNC, Inc.* 86
5,900 Walbro Corp. 120
-------
3,174
-------
Transportation Services - 4.3%
18,500 Airborne Freight Corp. 467
8,700 Alaska Air Group, Inc.* 233
5,000 Allied Holdings, Inc.* 45
23,400 American President Co. Ltd. 538
8,100 Amtran, Inc.* 95
4,900 Anuhco, Inc.* 38
12,700 Arkansas Best Corp. 111
3,300 Builders Transport, Inc.* 32
5,500 Celadon Group, Inc.* 59
8,000 Florida East Coast Industries, Inc. 699
11,100 Frozen Food Express Industries, Inc. 140
2,500 FRP Properties, Inc.* 49
4,900 Great Lakes Aviation Ltd.* 18
3,300 Greenwich Air Services, Inc. 140
39,200 Greyhound Lines, Inc.* 147
10,500 Harper Group Co. 192
26,600 Hunt (J.B.), Transportation Services, Inc. 525
3,125 International Shipholding Corp. 60
3,300 KLLM Transport Services, Inc.* 35
8,300 M.S. Carriers Co.* 158
8,200 Maritrans, Inc. 42
1,900 Marten Transport Ltd.* 30
5,700 Matlack Systems, Inc.* 50
21,300 Mesa Airlines, Inc.* 229
3,000 Oglebay Norton Co. 119
5,500 Old Dominion Freight Lines, Inc.* 62
20,000 OMI Corp.* 160
32,350 Overseas Shipholding Group, Inc. 590
4,200 PS Group, Inc.* 47
6,200 Railtex, Inc.* 159
6,700 Skywest, Inc. 88
8,000 Teekay Shipping Corp. 209
15,100 TNT Freightways Corp. 344
9,900 Tower Air, Inc. 56
3,700 Trism, Inc.* 22
16,300 Werner Enterprises, Inc. 391
18,300 Yellow Corp.* 229
-------
6,608
-------
Water Supply - 0.7%
4,300 Aquarion Co. 110
4,200 California Water Service Co. 147
5,800 Consumers Water Co. 103
4,700 E'Town Corp. 128
2,100 SJW Corp. 82
5,000 Southern California Water Co. 103
28,268 United Water Resources, Inc. 371
-------
1,044
-------
Wholesale - 3.8%
4,600 AM International, Inc.* 9
3,600 Atchison Casting Corp.* 46
11,900 Banner Aerospace, Inc.* 70
4,800 Bearings, Inc. 136
4,435 Bell Industries, Inc.* 95
7,500 Bindley Western Industries, Inc. 119
5,900 BMC West Corp.* 96
6,500 Cellular Communications of Puerto
Rico, Inc.* 175
9,900 Commercial Metals Co. 285
8,000 Cygne Designs, Inc.* 17
5,900 Deckers Outdoor Corp.* 43
11,800 Ekco Group, Inc. 69
5,500 Forschner Group, Inc.* 78
16,438 Foxmeyer Health Corp.* 296
8,200 Getty Petroleum Corp. 116
8,300 Graham-Field Health Products, Inc.* 35
27,100 Handleman Co.* 136
4,000 Hughes Supply, Inc. 115
9,700 IGEN, Inc.* 51
24,600 Intelligent Electronics, Inc. 135
15,800 International Multifoods Corp. 302
15,200 Marshall Industries Co.* 464
19,400 Merisel, Inc.* 47
9,500 Microage, Inc.* 99
5,600 Morgan Products Limited, Co.* 31
7,000 Nash-Finch Co. 117
11,600 NBTY, Inc.* 88
13,100 Noel Group, Inc.* 95
2,500 Noland Co. 45
21,200 Owens & Minor, Inc. Holding Co. 254
9,300 Pulte Corp. 250
7,200 Rentrak Corp.* 38
15,700 Rexel, Inc.* 192
9,400 Richardson Electronics Ltd. 107
13,200 Russ Berrie & Co., Inc. 224
11,000 Sciclone Pharmaceuticals, Inc.* 124
8,400 Shaman Pharmaceuticals, Inc.* 58
3,200 Software Spectrum, Inc.* 65
5,966 Standard Commercial Corp.* 54
6,000 Sullivan Dental Products, Inc.* 74
7,100 Super Food Services, Inc. 80
7,000 Syncor International Corp.* 47
35,400 Tech Data Corp.* 593
14,100 Univar Corp. 159
4,700 Vallen Corp.* 102
-------
5,831
-------
Total Common Stocks
(cost $138,766) 151,453
-------
PREFERRED STOCKS - 0.0%
1,312 Lynx Therapeutics, Inc., Series A 1
-------
Total Preferred Stocks
(cost $1) 1
-------
WARRANTS - 0.0%
240 Unitrode Corp. 1
-------
Total Warrants
(cost $0) 1
-------
Principal
Amount
(000s)
-----
SHORT-TERM INVESTMENTS - 2.1%
$ 3,211 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.438%, 4/1/96 3,211
110 U.S. Treasury Bills, <F23>
5.10%, 6/27/96 109
-------
Total Short-Term Investments
(cost $3,320) 3,320
-------
Total Investments - 99.7%
(cost $142,087) 154,775
Other Assets less Liabilities - 0.3% 463
-------
NET ASSETS - 100.0% $155,238
========
OPEN FUTURES CONTRACTS:
Principal Unrealized
Number of Amount Gain
Type Contracts (000s) Position Expiration (000s)
- ---- --------- --------- -------- ---------- ----------
Russell
2000 9 $1,508 Long 6/14/96 $44
S&P Barra
Value 9 $1,557 Long 6/14/96 $24
---
$68
===
<F23>Security pledged as collateral to cover margin requirements for open
futures contracts.
See Notes to the Financial Statements.
INTERNATIONAL GROWTH EQUITY FUND
Number Value
of Shares (000s)
- --------- ------
COMMON STOCKS - 88.1%
Australia - 1.0%
325,000 News Corp. Ltd. $ 1,904
--------
Brazil - 0.4%
15,000 Telebras ADR<F24> 746
-------
Canada - 0.8%
50,000 Barrick Gold Corp. 1,519
-------
China - 0.2%
16,000 Jilin Chemical Industrial Co. Ltd. ADR 338
-------
Czech Republic - 0.4%
100,000 Czechoslovakia & Slovak Investment Corp. 775
8,000 Czechoslovakia & Slovak Investment
Corp. Warrants 10
-------
785
-------
France - 6.3%
15,000 Christian Dior S.A. 1,999
45,000 Credit Commercial de France 2,100
15,000 Elf Aquitaine S.A. 1,017
35,000 Lafarge S.A. 2,318
4,000 Sidel S.A. 1,022
20,000 Television Francaise 2,046
15,000 Total S.A. 1,013
-------
11,515
-------
Germany - 3.7%
4,500 Hoechst A.G. 1,594
7,000 MAN A.G. 1,930
5,500 Mannesmann A.G. 2,004
2,000 Siemens A.G. 1,101
-------
6,629
--------
Hong Kong - 2.1%
400,000 Citic Pacific Ltd. 1,547
175,000 Sun Hung Kai Properties Ltd. 1,595
200,000 Wharf Holdings Ltd. 747
-------
3,889
-------
Italy - 3.3%
75,000 Assicurazioni Generali 1,675
550,000 Fiat S.p.A. 1,726
700,000 Italgas S.p.A. 2,029
350,000 Telecom Italia Mobile S.p.A.* 635
-------
6,065
-------
Japan - 39.4%
130,000 Asahi Bank 1,558
5,000 Bellsystem, Inc. 772
95,000 Canon, Inc. 1,815
50,000 Canon Sales Co., Inc. 1,329
30,000 Circle K Japan Co. 1,202
65,000 CMK Corp. 901
40,700 CSK Corp. 1,109
35,000 Fanuc 1,422
4,000 Forval Corp. 220
12,000 H.I.S. Co. Ltd. 682
31,000 Hitachi Software Engineering Co. 745
300,000 Hitachi Zosen Corp. 1,618
8,000 I-O Data Device 393
225,000 Isuzu Motors Ltd. 1,304
275,000 Itochu Corp. 1,931
15,000 Japan Associated Finance Co. 1,685
80,000 Japan Radio Co. 1,019
500 JGC Corp. 6
10,000 Kato Denki 178
500,000 Kawasaki Steel Corp. 1,793
200,000 Komatsu Ltd. 1,785
15,000 Mabuchi Motor Co. 855
300,000 Marubeni Corp. 1,683
115,000 Matsushita Electric Industries 1,874
100,500 Mitsubishi Bank 2,127
350,000 Mitsubishi Chemical Corp.* 1,852
150,000 Mitsubishi Estate Co. Ltd. 2,065
200,000 Mitsubishi Heavy Industries Ltd. 1,730
200,000 Mitsui Marine & Fire Insurance 1,509
350,000 Mitsui O.S.K. Lines Ltd.* 1,186
20,500 Mos Food Services 455
50,000 NEC Corp. 581
20,000 Nichiei Co. Ltd. 1,339
13,200 Nichii Gakkan Co. 701
130,000 Nikko Securities Co. Ltd. 1,655
17,000 Nintendo Corp. Ltd. 1,089
475,000 Nippon Steel Corp. 1,637
250 Nippon Telegraph & Telephone Corp. 1,831
250,000 Nissan Motor Co. Ltd. 1,938
115,000 Nomura Securities Co. Ltd.* 2,530
170,000 NSK Ltd. 1,296
65,000 Omron Corp. 1,442
25,000 Rohm Co. 1,428
65,000 Sankyo Co. Ltd. 1,491
20,000 Sanyo Shinpan Finance Co. Ltd. 1,479
19,000 Secom 1,244
35,000 Sony Corp. 2,094
20,000 Sony Music Entertainment, Inc. 1,030
300,000 Sumitomo Chemical Co. 1,546
130,000 Sumitomo Electric Industries 1,753
125,000 Sumitomo Marine & Fire Insurance 1,074
55,000 Tokyo Style Co. 911
30,000 Toyo Corp. 480
65,000 Toyota Motor Corp. 1,436
9,700 World Co. Ltd. 375
5,000 York-Benimaru Co. 180
-------
71,363
-------
Malaysia - 2.4%
200,000 Genting Berhad 1,811
200,000 Malayan Banking Berhad 1,867
275,000 Sime Darby Berhad 761
-------
4,439
-------
Netherlands - 2.4%
10,000 Akzo Nobel 1,112
27,000 Internationale Nederlanden Groep N.V. 1,961
45,000 Vendex International N.V. 1,288
-------
4,361
-------
Peru - 0.5%
400,000 Telefonica del Peru S.A., Class B 824
-------
Singapore - 1.4%
275,000 Keppel Corp. Ltd. 2,501
-------
South Korea - 0.5%
96,000 Korea First Bank 848
-------
Spain - 1.2%
40,000 Repsol S.A. 1,495
15,000 Telefonica de Espana ADR 713
-------
2,208
-------
Sweden - 1.0%
10,000 Asea AB 1,029
15,000 Astra AB 696
-------
1,725
-------
Switzerland - 5.3%
2,500 Ciba-Geigy A.G. 3,127
2,000 Nestle S.A. 2,255
250 Roche Holding A.G. - Genusshein 2,075
15,000 SMH A.G. 2,073
-------
9,530
-------
Taiwan - 1.6%
550,164 Acer, Inc. 1,079
200,000 Cathay Life Insurance 884
450,939 Hon Hai Precision Industry* 876
-------
2,839
-------
Thailand - 1.1%
150,000 General Finance and Securities Co. PLC 636
275,000 Krung Thai Bank Public Co. Ltd. 1,297
-------
1,933
-------
United Kingdom - 13.1%
250,000 British Airport Authority PLC 2,042
625,000 British Gas PLC 2,180
125,000 Cable & Wireless PLC 1,014
70,000 Glaxo Wellcome PLC ADR 1,759
275,000 Kingfisher PLC 2,389
250,000 Powergen PLC 2,036
400,000 Rank Organization PLC 2,958
30,000 Reuters Holdings PLC ADR 1,954
450,000 Sainsbury (J) PLC 2,497
200,000 Tomkins PLC 772
225,000 United Utilities PLC 2,121
55,000 Vodafone Group PLC ADR 2,063
-------
23,785
-------
Total Common Stocks
(cost $153,750) 159,746
-------
PREFERRED STOCKS - 1.1%
Germany - 1.1%
14,000 SAP AG 2,016
-------
Total Preferred Stocks
(cost $2,145) 2,016
-------
OTHER - 3.9%
Japan - 3.9%
2,500,000 Nikkei 300 Stock Index Fund* 7,046
-------
Total Other
(cost $7,101) 7,046
-------
Principal
Amount
(000s)
- ------
SHORT-TERM INVESTMENTS - 4.7%
$7,214 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.438%, 4/1/96 7,214
1,205 FHLB Discount Note,
5.30%, 4/1/96 1,205
-------
Total Short-Term Investments
(cost $8,419) 8,419
-------
Total Investments - 97.8%
(cost $171,415) 177,227
Other Assets less Liabilities - 2.2% 4,010
-------
NET ASSETS - 100.0% $181,237
========
<F24>Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At the period end, the value of
this security amounted to $746,000 or 0.4% of net assets.
See page 77 for Industry Sector information.
INTERNATIONAL SELECT EQUITY FUND
Number Value
of Shares (000s)
- --------- ------
COMMON STOCKS - 87.5%
Austria - 1.4%
12,000 VA Technologie A.G. $ 1,477
-------
Brazil - 1.5%
30,000 Telebras ADR<F25> 1,492
-------
France - 3.9%
15,000 Christian Dior, S.A. 1,999
8,000 Sidel, S.A. 2,043
-------
4,042
-------
Germany - 2.1%
6,000 Mannesmann A.G. 2,186
-------
Hong Kong - 4.0%
600,000 Citic Pacific Ltd. 2,320
1,250,000 First Pacific Co. Ltd. 1,746
-------
4,066
-------
India - 1.3%
110,000 Steel Authority of India Ltd. 1,306
-------
Indonesia - 2.8%
150,000 PT Hanjaya Mandala Sampoerna 1,567
100,000 PT Tri Polyta Indonesia ADR 1,288
-------
2,855
-------
Italy - 3.9%
70,000 De Rigo S.p.A. ADR* 1,969
250,000 Mondadori (Arnoldo) Editore S.p.A. 2,070
-------
4,039
-------
Japan - 32.0%
60,000 Circle K Japan Co. 2,404
60,000 Fanuc 2,438
80,000 Homac Corp. 1,588
25,000 Japan Associated Finance Co. 2,809
450,000 Marubeni Corp. 2,524
450,000 Mitsubishi Chemical Corp.* 2,381
300,000 Mitsubishi Heavy Industries Ltd. 2,595
40,000 Nichiei Co. Ltd. 2,678
100,000 Rinnai Corp. 2,285
50,000 Rohm Co. 2,856
35,000 Sanyo Shinpan Finance Co. Ltd. 2,589
50,000 Sony Corp. 2,992
200,000 Sumitomo Electric Industries 2,697
-------
32,836
-------
Malaysia - 3.9%
200,000 Edaran Otomobil Nasional Berhad 1,795
250,000 Genting Berhad 2,264
-------
4,059
-------
Mexico - 1.4%
500,000 Fomento Economico Mexicano, S.A.
de C.V., Class B 1,412
-------
Norway - 2.3%
60,000 Nera A.S. 2,330
-------
Peru - 1.4%
700,000 Telefonica del Peru, S.A., Class B 1,443
-------
Philippines - 1.6%
1,000,000 Ayala Land, Inc., Class B 1,623
-------
Singapore - 2.2%
250,000 Keppel Corp. Ltd. 2,274
-------
Spain - 2.2%
25,000 Fomento de Construcciones
y Contratas, S.A. 2,236
-------
Switzerland - 4.2%
250 Roche Holding A.G. - Genusshein 2,075
16,000 SMH A.G. 2,211
-------
4,286
-------
Taiwan - 1.4%
330,000 Cathay Life Insurance 1,458
-------
Thailand - 1.8%
400,000 Krung Thai Bank Public Co. Ltd. 1,887
-------
United Kingdom - 12.2%
275,000 British Airport Authority PLC 2,246
250,000 Cable & Wireless PLC 2,028
85,000 Glaxo Wellcome PLC ADR 2,136
500,000 Tomkins PLC 1,931
250,000 United Utilities PLC 2,357
50,000 Vodaphone Group PLC ADR 1,875
-------
12,573
-------
Total Common Stocks
(cost $85,368) 89,880
-------
PREFERRED STOCKS - 4.3%
Germany - 4.3%
15,000 Fresenius A.G. 2,657
12,000 SAP A.G. 1,728
-------
4,385
-------
Total Preferred Stocks
(cost $3,437) 4,385
-------
OTHER - 4.6%
Japan - 4.6%
1,700,000 Nikkei 300 Stock Index Fund* 4,791
-------
Total Other
(cost $4,856) 4,791
-------
SHORT-TERM INVESTMENTS - 4.7%
4,069 Berlinder Handels und Frankfurter,
Grand Cayman Islands,
5.438%, 4/1/96 4,069
760 FHLB Discount Note,
5.30%, 4/1/96 760
-------
Total Short-Term Investments
(cost $4,829) 4,829
-------
Total Investments - 101.1%
(cost $98,490) 103,885
Liabilities less Other Assets - (1.1)% (1,166)
-------
NET ASSETS - 100.0% $102,719
========
<F25>Security exempt from registration under Rule 144A of the Securities Act of
1933. This security may be resold in transactions exempt from registration,
normally to qualified institutional buyers. At the period end, the value of
this security amounted to $1,492,000 or 1.5% of net assets.
At March 31, 1996, the International Growth Equity and International Select
Equity Funds' investments, excluding short-term investments, were diversified as
follows:
International International
Industry Growth Equity Select Equity
Sector Fund Fund
------ ------------- -------------
Basic Industries/Energy 17.4% 11.0%
Capital Goods 7.8 14.4
Consumer Goods 24.0 15.4
Financial Services 20.2 16.3
Manufacturing 9.4 10.8
Technology 13.4 17.0
Other 7.8 15.1
Total 100.0% 100.0%
====== ======
See Notes to the Financial Statements.
NOTES TO THE FINANCIAL STATEMENTS March 31, 1996
1. ORGANIZATION
Northern Funds was organized October 12, 1993 as a Massachusetts business trust
and is registered under the Investment Company Act of 1940 as an open-end
management investment company. The Money Market, U.S. Government Money Market,
Municipal Money Market, U.S. Government Select Money Market and California
Municipal Money Market Funds (the "Money Market Funds"), U.S. Government,
Fixed Income, Intermediate Tax-Exempt, Tax-Exempt and International Fixed Income
Funds (the "Fixed Income Funds"), Income Equity, Growth Equity, Select Equity,
Small Cap Growth, International Growth Equity, and International Select Equity
Funds (the "Equity Funds") (collectively "the Funds") are separate, diver-
sified investment portfolios of Northern Funds, except the California Municipal
Money Market and the International Fixed Income Funds which are non-diversified
portfolios of Northern Funds. Each of the Funds maintains its own investment
objective. All of the Funds commenced investment operations during April 1994,
with the exception of the California Municipal Money Market Fund and the U.S.
Government Select Money Market Fund, which commenced investment operations
during November and December 1994, respectively.
The Funds have entered into an Investment Advisory Agreement with The Northern
Trust Company ("Northern Trust" or the "Adviser"). Northern Trust also
serves as custodian, fund accountant and transfer agent for the Funds.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial statements. These
policies are in conformity with generally accepted accounting principles
("GAAP"). The presentation of financial statements in conformity with GAAP
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates and assumptions.
a) VALUATION OF SECURITIES - Short-term investments held by the Funds are valued
using the amortized cost method, which approximates market value. Under this
method, investments purchased at a discount or premium are valued by amortizing
the difference between the original purchase price and maturity value of the
issue over the period to maturity. Securities which are traded on a recognized
U.S. or foreign securities exchange are generally valued at the last quoted
sales price on the securities exchange on which the securities are primarily
traded. If securities traded on a foreign securities exchange are not traded on
a valuation date, they will be valued at the most recent quoted sales price.
Securities that are traded in the U.S. over-the-counter markets, absent a last
quoted sales price, are valued at the last quoted bid price. Securities which
are traded in the foreign over-the-counter markets are generally valued at the
last sales price. Any securities for which no current quotations are readily
available are valued at fair value as determined in good faith by the Adviser
under the supervision of the Board of Trustees.
b) REPURCHASE AGREEMENTS - During the term of a repurchase agreement, the market
value of the underlying collateral, including accrued interest, is required to
equal or exceed the market value of the repurchase agreement. The underlying
collateral for all repurchase agreements is held in a customer-only account of
Northern Trust, as custodian for the Funds, at the Federal Reserve Bank of
Chicago.
c) FUTURES CONTRACTS - The Equity and Fixed Income Funds may enter into long
futures contracts to maintain liquidity or short futures contracts for hedging
purposes. These Funds may also enter into futures contracts for speculative
purposes. Futures contracts are valued based upon their quoted daily settlement
prices; changes in initial settlement value are accounted for as unrealized
appreciation (depreciation) until the contracts are terminated at which time
realized gains and losses are recognized.
The Fund bears the market risk arising from changes in the value of these
financial instruments. At the time a Fund enters into a futures contract it is
required to make a margin deposit with the custodian of a specified amount of
cash or eligible securities. Subsequently, as the market price of the futures
contract fluctuates, gains or losses are recognized and payments are made, on a
daily basis, between the Fund and the broker. The Statement of Operations
reflects gains and losses as realized for closed futures contracts and as
unrealized for open contracts. At March 31, 1996, the Small Cap Growth Fund had
entered into exchange-traded futures contracts. The aggregate market value of
investments pledged to cover margin requirements for open positions at March 31,
1996 was approximately $109,000.
d) OPTIONS CONTRACTS - The Funds (other than the Money Market Funds) may
purchase and write (sell) put and call options on U.S. and foreign government
securities and foreign currencies that are traded on U.S. and foreign securities
exchanges and over-the-counter markets.
The risk associated with purchasing an option is that the Fund pays a premium
whether or not the option is exercised. Additionally, the Fund bears the risk
of loss of premium and change in market value should the counterparty not
perform under the contract. Put and call options purchased are accounted for in
the same manner as portfolio securities. The cost of securities acquired
through the exercise of call options is increased by premiums paid. The
proceeds from securities sold through the exercise of put options are decreased
by the premiums paid.
When the Fund writes an option, the premium received by the Fund is recorded as
a liability and is subsequently adjusted to the current market value of the
option written. Premiums received from writing options which expire unexercised
are recorded by the Fund on the expiration date as realized gains from option
transactions. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a call option is
exercised, the premium is added to the proceeds from the sale of the underlying
security or currency in determining whether the Fund has realized a gain or
loss. If a put option is exercised, the premium reduces the cost basis of the
security or currency purchased by the Fund. In writing an option, the Fund
bears the market risk of an unfavorable change in the price of the security or
currency underlying the written option. Exercise of an option written by the
Fund could result in the Fund selling or buying a security or currency at a
price different from the current market value. Transactions in put options
written for the year ending March 31, 1996 for the Growth Equity Fund were
as follows:
Number of Premiums
Contracts (000s)
--------- ------
OPTIONS OUTSTANDING AT
BEGINNING OF YEAR -- $ --
OPTIONS WRITTEN 231 341
OPTIONS TERMINATED IN CLOSING
PURCHASE TRANSACTIONS (116) (112)
OPTIONS EXPIRED
OPTIONS OUTSTANDING AT 3/31/96 115 $229
The Fund did not write call options during the year ended March 31, 1996.
e) FOREIGN CURRENCY TRANSLATIONS - Values of investments denominated in foreign
currencies are converted into U.S. dollars using the spot market rate of
exchange at the time of valuation. Purchases and sales of investments and
dividend income are translated into U.S. dollars using the spot market rate of
exchange prevailing on the respective dates of such transactions. The gains or
losses on investments resulting from changes in foreign exchange rates are
included with net realized and unrealized gains (losses) on investments.
f) FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS - The Equity Funds, the
International Fixed Income Fund and the Fixed Income Fund are authorized to
enter into forward foreign currency exchange contracts for the purchase of a
specific foreign currency at a fixed price on a future date as a hedge against
either specific transactions or portfolio positions. In addition, the
International Fixed Income, International Growth Equity and International Select
Equity Funds may enter into such contracts as a cross-hedge transaction or for
speculative purposes. The objective of the Funds' foreign currency hedging
transactions is to reduce the risk that the U.S. dollar value of the Funds'
foreign currency denominated securities will decline in value due to changes in
foreign currency exchange rates. All forward foreign currency contracts are
"marked-to-market" daily at the applicable translation rates and any resulting
unrealized gains or losses are recorded in a Fund's financial statement. A Fund
records realized gains or losses at the time the forward contract is offset by
entering into a closing transaction or extinguished by delivery of the currency.
Risks may arise upon entering into these contracts from the potential inability
of counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. dollar. The
contractual amounts of forward foreign currency exchange contracts do not
necessarily represent the amounts potentially subject to risk. The measurement
of the risks associated with these instruments is meaningful only when all
related and offsetting transactions are considered.
At March 31, 1996, there were no outstanding contracts.
g) ORGANIZATION COSTS - Organization expenses of approximately $1,030,000 have
been deferred and are being amortized on a straight-line basis through 1999.
h) INVESTMENT TRANSACTIONS AND INCOME - Investment transactions are recorded as
of the trade date. The Funds determine the gain or loss realized from
investment transactions by using an identified cost basis method. Dividend
income is recognized on the ex-dividend date and interest income is recognized
on an accrual basis and includes amortization of discounts and premiums.
Dividends from foreign securities are recorded on ex-date, or as soon as the
information is available.
i) EXPENSES - The Funds are charged for those expenses that are directly
attributable to each Fund. Expenses that are not directly attributable to a
Fund are typically allocated among the Funds in proportion to their respective
net assets.
j) DISTRIBUTIONS TO SHAREHOLDERS - Dividends from net investment income are
declared and paid as follows:
Declaration Payment
Frequency Frequency
--------- ---------
MONEY MARKET FUND DAILY MONTHLY
U.S. GOVERNMENT MONEY
MARKET FUND DAILY MONTHLY
MUNICIPAL MONEY MARKET FUND DAILY MONTHLY
U.S. GOVERNMENT SELECT
MONEY MARKET FUND DAILY MONTHLY
CALIFORNIA MUNICIPAL
MONEY MARKET FUND DAILY MONTHLY
U.S. GOVERNMENT FUND DAILY MONTHLY
FIXED INCOME FUND DAILY MONTHLY
INTERMEDIATE TAX-EXEMPT FUND DAILY MONTHLY
TAX-EXEMPT FUND DAILY MONTHLY
INTERNATIONAL FIXED
INCOME FUND DAILY QUARTERLY
INCOME EQUITY FUND MONTHLY MONTHLY
GROWTH EQUITY FUND QUARTERLY QUARTERLY
SELECT EQUITY FUND ANNUALLY ANNUALLY
SMALL CAP GROWTH FUND ANNUALLY ANNUALLY
INTERNATIONAL GROWTH
EQUITY FUND ANNUALLY ANNUALLY
INTERNATIONAL SELECT
EQUITY FUND ANNUALLY ANNUALLY
Distributions of net realized capital gains, if any, are declared at least
annually. Distributions to shareholders are recorded on the ex-dividend date.
The timing and character of distributions determined in accordance with federal
income tax regulations may differ from financial statement amounts determined in
accordance with generally accepted accounting principles due to differences in
the treatment and recognition of investment income and realized gains (losses).
These differences are primarily related to foreign currency transactions,
deferral of wash sales and capital loss carryforwards. Certain differences in
treatment of income and capital gains for distributions, which are permanent,
may result in periodic reclassifications in the Funds' capital accounts.
k) FEDERAL INCOME TAXES - No provision for federal income taxes has been made
since the Funds intend to comply with the requirements of the Internal Revenue
Code available to regulated investment companies and to distribute substan-
tially all of their taxable income to their shareholders.
l) RECLASSIFICATIONS - At March 31, 1996, the Funds made reclassifications among
their capital accounts to reflect the characterization of certain income and
capital gains distributions for federal income tax purposes, as follows:
Undistributed Undistributed
Net Net Paid
Investment Capital In
Amounts in thousands Income Gains Capital
- -------------------- ------ ----- -------
MONEY MARKET FUND $50 $ -- $(50)
U.S. GOVERNMENT MONEY
MARKET FUND 15 -- (15)
MUNICIPAL MONEY MARKET FUND 36 -- (36)
U.S. GOVERNMENT SELECT
MONEY MARKET FUND 5 -- (5)
CALIFORNIA MUNICIPAL
MONEY MARKET FUND 5 -- (5)
U.S. GOVERNMENT FUND (82) 106 (24)
FIXED INCOME FUND (125) 183 (58)
INTERMEDIATE TAX-EXEMPT FUND 39 -- (39)
TAX-EXEMPT FUND 26 -- (26)
INTERNATIONAL FIXED
INCOME FUND 225 (207) (18)
INCOME EQUITY FUND 13 -- (13)
GROWTH EQUITY FUND 18 -- (18)
SELECT EQUITY FUND 10 -- (10)
SMALL CAP GROWTH FUND (79) 93 (14)
INTERNATIONAL GROWTH
EQUITY FUND 1,371 (1,354) (17)
INTERNATIONAL SELECT
EQUITY FUND (66) 81 (15)
These reclassifications have no impact on the net asset value of the Funds and
are primarily due to differing treatments of foreign currency gains, asset-
backed securities and certain fees and expenses. Certain reclassifications have
been made to amounts recorded at March 31, 1995 to conform to the current
financial statement presentation.
3. INVESTMENT ADVISORY AND OTHER AGREEMENTS
Pursuant to its advisory agreement with the Funds, the Adviser is entitled to
receive a fee, calculated daily and payable monthly, at the annual rates
presented below as applied to each Fund's daily net assets. For the year ending
March 31, 1996, the Adviser voluntarily agreed to waive a portion of its
advisory fees as applied to each Fund's daily net assets. Northern Trust has
also agreed to reimburse the Funds as shown on the accompanying Statements of
Operations to adhere to the expense limitations presented in the following
table:
Annual Advisory
Advisory Fees After Expense
Fees Waivers Limitations
---- ------- -----------
MONEY MARKET FUND 0.60% 0.40% 0.55%
U.S. GOVERNMENT MONEY
MARKET FUND 0.60% 0.40% 0.55%
MUNICIPAL MONEY MARKET FUND 0.60% 0.40% 0.55%
U.S. GOVERNMENT SELECT
MONEY MARKET FUND 0.60% 0.25% 0.40%
CALIFORNIA MUNICIPAL
MONEY MARKET FUND 0.60% 0.30% 0.45%
U.S. GOVERNMENT FUND 0.75% 0.75% 0.90%
FIXED INCOME FUND 0.75% 0.75% 0.90%
INTERMEDIATE TAX-EXEMPT FUND 0.75% 0.70% 0.85%
TAX-EXEMPT FUND 0.75% 0.70% 0.85%
INTERNATIONAL FIXED
INCOME FUND 0.90% 0.90% 1.15%
INCOME EQUITY FUND 1.00% 0.85% 1.00%
GROWTH EQUITY FUND 1.00% 0.85% 1.00%
SELECT EQUITY FUND 1.20% 0.85% 1.00%
SMALL CAP GROWTH FUND 1.20% 0.85% 1.00%
INTERNATIONAL GROWTH
EQUITY FUND 1.20% 1.00% 1.25%
INTERNATIONAL SELECT
EQUITY FUND 1.20% 1.00% 1.25%
Prior to December 1, 1995, the annual advisory fees, advisory fees after waivers
and expense limitations for the Money Market, U.S. Government Money Market,
Municipal Money Market, U.S. Government Select Money Market and California
Municipal Money Market Funds were as follows:
Annual Advisory
Advisory Fees After Expense
Fees Waivers Limitations
---- ------- -----------
MONEY MARKET FUND 0.60% 0.35% 0.45%
U.S. GOVERNMENT MONEY
MARKET FUND 0.60% 0.35% 0.45%
MUNICIPAL MONEY MARKET FUND 0.60% 0.35% 0.45%
U.S. GOVERNMENT SELECT
MONEY MARKET FUND 0.60% 0.20% 0.30%
CALIFORNIA MUNICIPAL
MONEY MARKET FUND 0.60% 0.25% 0.35%
The Funds have entered into an administrative agreement with Sunstone Financial
Group, Inc. ("Sunstone") for certain administrative services. Pursuant to its
administrative agreement with the Funds, Sunstone is entitled to receive a fee,
computed daily and payable monthly, at the annual rate of 0.15% of each Fund's
daily net assets. For the period ending March 31, 1996, Sunstone voluntarily
agreed to waive a portion of its administration fees as shown on the
accompanying Statements of Operations.
4. BANK LOANS
Northern Funds maintains a $5,000,000 revolving bank credit line and a
$15,000,000 conditional revolving credit line for liquidity and other purposes.
Borrowings under this arrangement bear interest at 1% above the Fed Funds rate
and are secured by pledged securities equal to or exceeding 120% of the
outstanding balance.
Interest expense for the year ended March 31, 1996 was approximately $400,
$2,300 and $2,500, for the Select Equity, International Growth Equity and
International Select Equity Funds, respectively. These amounts are included in
other expenses on the Statement of Operations.
As of March 31, 1996, there were no outstanding borrowings.
5. INVESTMENT TRANSACTIONS
The aggregate purchases and sales of securities, excluding short-term
investments, for the Funds for the year ending March 31, 1996 were as follows:
Purchases Sales
---------------------- ---------------------
U.S. U.S.
Amounts in thousands Government Other Government Other
- -------------------- ---------- ----- ---------- -----
U.S. GOVERNMENT FUND $171,038 $ -- $136,342 $ --
FIXED INCOME FUND 92,842 23,424 65,827 23,242
INTERMEDIATE
TAX-EXEMPT FUND -- 284,545 -- 301,584
TAX-EXEMPT FUND -- 66,635 -- 69,290
INTERNATIONAL FIXED
INCOME FUND 223 9,761 590 6,853
INCOME EQUITY FUND -- 37,669 -- 28,821
GROWTH EQUITY FUND -- 187,417 -- 118,803
SELECT EQUITY FUND -- 44,700 -- 30,579
SMALL CAP GROWTH FUND -- 110,121 -- 54,868
INTERNATIONAL GROWTH
EQUITY FUND -- 373,357 -- 313,052
INTERNATIONAL SELECT
EQUITY FUND -- 165,417 -- 141,464
At March 31, 1996, for federal income tax purposes, gross unrealized
appreciation, gross unrealized depreciation, net unrealized appreciation
(depreciation) on investments and options (including the effects of foreign
currency translation) and cost basis of securities were approximately as
follows:
Net Cost
Unrealized Unrealized Appreciation Basis of
Amounts in thousands Appreciation Depreciation (Depreciation) Securities
- -------------------- ------------ ------------ -------------- ----------
U.S. GOVERNMENT FUND $ 1,298 $ 1,581 $ (283) $147,355
FIXED INCOME FUND 830 1,530 (700) 100,583
INTERMEDIATE
TAX-EXEMPT FUND 3,424 1,175 2,249 239,316
TAX-EXEMPT FUND 3,412 343 3,069 122,406
INTERNATIONAL FIXED
INCOME FUND 915 396 519 14,517
INCOME EQUITY FUND 6,046 770 5,276 49,970
GROWTH EQUITY FUND 31,284 3,121 28,163 196,039
SELECT EQUITY FUND 3,719 404 3,315 30,393
SMALL CAP GROWTH FUND 24,802 12,132 12,670 142,105
INTERNATIONAL GROWTH
EQUITY FUND 12,209 7,157 5,052 172,175
INTERNATIONAL SELECT
EQUITY FUND 8,380 3,553 4,827 99,058
At March 31, 1996, the Funds' most recent fiscal year end, the approximate
capital loss carryforwards for U.S. federal income tax purposes were $1,027,000
for the International Select Equity Fund, expiring in the years 2003 and 2004
and $1,260,000 for the International Growth Equity Fund, expiring in the year
2004. These capital loss carryforwards are available to offset future capital
gains.
6. CAPITAL SHARE TRANSACTIONS
Transactions of shares of the Funds for the year ending March 31, 1996 were as
follows:
Reinvestment Net
Amounts in thousands Sold of Dividends Redeemed Increase
- -------------------- ---- ------------ -------- --------
U.S. GOVERNMENT FUND 4,481 26 1,530 2,977
FIXED INCOME FUND 4,733 90 1,531 3,292
INTERMEDIATE
TAX-EXEMPT FUND 5,018 19 3,208 1,829
TAX-EXEMPT FUND 2,065 10 1,770 305
INTERNATIONAL FIXED
INCOME FUND 500 20 269 251
INCOME EQUITY FUND 1,587 7 683 911
GROWTH EQUITY FUND 8,306 13 1,908 6,411
SELECT EQUITY FUND 1,710 2 536 1,176
SMALL CAP GROWTH FUND 7,400 11 1,691 5,720
INTERNATIONAL GROWTH
EQUITY FUND 8,625 50 2,891 5,784
INTERNATIONAL SELECT
EQUITY FUND 3,949 5 1,736 2,218
Transactions of shares of the Funds for the period ending March 31, 1995 were as
follows:
Reinvestment Net
Amounts in thousands Sold of Dividends Redeemed Increase
- ------------------- ---- ------------ -------- --------
U.S. GOVERNMENT FUND 13,876 9 2,050 11,835
FIXED INCOME FUND 8,126 13 1,396 6,743
INTERMEDIATE
TAX-EXEMPT FUND 29,847 11 7,797 22,061
TAX-EXEMPT FUND 15,920 7 4,149 11,778
INTERNATIONAL FIXED
INCOME FUND 1,291 1 68 1,224
INCOME EQUITY FUND 4,811 1 897 3,915
GROWTH EQUITY FUND 11,656 3 995 10,664
SELECT EQUITY FUND 1,810 2 415 1,397
SMALL CAP GROWTH FUND 8,723 2 1,044 7,681
INTERNATIONAL GROWTH
EQUITY FUND 13,111 90 1,273 11,928
INTERNATIONAL SELECT
EQUITY FUND 9,029 2 1,673 7,358
7. SUBSEQUENT EVENT
Effective April 1, 1996, the Technology Fund, a separate, diversified investment
portfolio, commenced operations.
INDEPENDENT AUDITOR'S REPORT MARCH 31, 1996
To the Shareholders and Board of Trustees:
Northern Funds
We have audited the accompanying statements of assets and liabilities of
Northern Funds (a Massachusetts business trust consisting of the Money Market
Fund, U.S. Government Money Market Fund, Municipal Money Market Fund, U.S.
Government Select Money Market Fund, California Municipal Money Market Fund,
U.S. Government Fund, Fixed Income Fund, Intermediate Tax-Exempt Fund, Tax-
Exempt Fund, International Fixed Income Fund, Income Equity Fund, Growth Equity
Fund, Select Equity Fund, Small Cap Growth Fund, International Growth Equity
Fund and International Select Equity Fund), including the schedules of
investments, as of March 31, 1996, and the related statements of operations,
changes in net assets, and the financial highlights for the periods indicated
thereon. These financial statements and financial highlights are the
responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
March 31, 1996, by physical examination of the securities held by the custodian
and by correspondence with outside depositories and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting the Northern Funds as of March 31,
1996, the results of their operations, changes in their net assets, and
financial highlights for the periods indicated thereon, in conformity with
generally accepted accounting principles.
ARTHUR ANDERSEN LLP
Chicago, Illinois
May 8, 1996
This report has been prepared for the general information of Northern Funds
shareholders. It is not authorized for distribution to prospective investors
unless accompanied or preceded by a current Northern Funds prospectus, which
contains more information about Northern Funds investment policies, management
fees and expenses. Investors are reminded to read the prospectus carefully
before investing or sending money.
(C)1996 Sunstone Financial Group, Inc., Distributor
NORTHERN FUNDS
P.O. Box 75986
Chicago, IL 60690-6319
1-800-595-9111
