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Sunstone Financial Group, Inc.
207 East Buffalo Street
Suite 400
Milwaukee, WI 53202
Phone 414/271-5885
Fax 414/271-9717
November 27, 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' Semi-Annual
Report to Shareholders for the period ended September 30, 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.
Sincerely,
/s/ Elyce D. Dilworth
- ---------------------
Elyce D. Dilworth
Senior Financial Analyst
EDD/sl
cc: Jim Grassi (paper copy)
Jeff Dalke (paper copy)
NORTHERN FUNDS
SEMI-ANNUAL REPORT
September 30, 1996
TABLE OF CONTENTS
Page
Abbreviations and Other Information............................... 1
Money Market Funds
Statements of Assets and Liabilities ............................ 2
Statements of Operations ........................................ 3
Statements of Changes in Net Assets ............................. 4
Financial Highlights ............................................ 6
Schedules of Investments
Money Market Fund............................................. 8
U.S. Government Money Market Fund............................ 11
Municipal Money Market Fund.................................. 12
U.S. Government Select Money Market Fund..................... 21
California Municipal Money Market Fund....................... 22
Fixed Income Funds
Statements of Assets and Liabilities ........................... 24
Statements of Operations ....................................... 25
Statements of Changes in Net Assets ............................ 26
Financial Highlights ........................................... 28
Schedules of Investments
U.S. Government Fund......................................... 31
Fixed Income Fund............................................ 32
Intermediate Tax-Exempt Fund................................. 34
Florida Intermediate Tax-Exempt Fund......................... 40
Tax-Exempt Fund.............................................. 41
International Fixed Income Fund.............................. 44
Equity Funds
Statements of Assets and Liabilities ........................... 46
Statements of Operations ....................................... 47
Statements of Changes in Net Assets ............................ 48
Financial Highlights ........................................... 50
Schedules of Investments
Income Equity Fund........................................... 53
Growth Equity Fund........................................... 56
Select Equity Fund........................................... 58
Small Cap Fund............................................... 60
International Growth Equity Fund............................. 74
International Select Equity Fund............................. 77
Technology Fund.............................................. 79
Notes to the Financial Statements................................. 81
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
ACES Automatically Convertible
Equity Security
ADP Automated Data Processing
ADR American Depository Receipt
AMBAC American Municipal Bond
Assurance Corp.
AMT Alternative Minimum Tax
BAN Bond Anticipation Note
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.
FHA Federal Housing Authority
FHLB Federal Home Loan Bank
FHLMC Federal Home Loan
Mortgage Corp.
FMTN Floating Medium Term Note
FNMA Federal National Mortgage
Association
FRN Floating Rate Note
FSA Financial Security Assurance
G.O. General Obligation
GIC Guaranteed Investment
Contract
GNMA Government National
Mortgage Association
GTD. Guaranteed
HFA Housing Finance Agency
IDA Industrial Development
Authority
IDB Industrial Development Bond
IDR Industrial Development Revenue
I.O. Interest Only
LOC Letter of Credit
MBIA Municipal Bond Insurance
Association
MTN Medium Term Note
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
SFM Single Family Mortgage
SLMA Student Loan Marketing
Association
SOC GEN Societe Generale
STRYPES Structured Yield Product
Exchangeable for Stock
TAN Tax Anticipation Note
TAW Tax Anticipation Warrant
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
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.
STATEMENTS OF ASSETS AND LIABILITIES September 30, 1996 (Unaudited)
MONEY MARKET FUNDS
U.S.
U.S. Gov't. California
Gov't. Municipal Select Municipal
Money Money Money Money Money
Market Market Market Market Market
AMOUNTS IN THOUSANDS, Fund Fund Fund Fund Fund
EXCEPT PER SHARE DATA ------ ------ --------- ------ ----------
ASSETS:
Investments, at
amortized cost $1,276,538 $220,430 $1,086,022 $103,243 $145,901
Repurchase agreements,
at cost which
approximates market value 115,641 30,353 - - -
Cash 3 - - - 18
Income receivable 5,409 256 7,194 55 1,177
Receivable for securities sold - - 21,810 - -
Receivable from Adviser 16 5 13 1 9
Deferred organization
costs, net of
accumulated amortization 68 26 77 12 12
Prepaid and other assets 45 24 44 18 18
-------------------------------------------------
Total Assets 1,397,720 251,094 1,115,160 103,329 147,135
-------------------------------------------------
LIABILITIES:
Dividends payable 5,255 991 2,999 430 439
Payable for securities
purchased - - 8,900 - -
Accrued investment
advisory fees 79 14 57 4 6
Accrued administration fees 48 4 20 - 3
Accrued transfer agent fees 20 4 15 2 2
Accrued registration
fees and other liabilities 85 24 56 19 10
-------------------------------------------------
Total Liabilities 5,487 1,037 12,047 455 460
-------------------------------------------------
Net Assets $1,392,233 $250,057 $1,103,113 $102,874 $146,675
=================================================
ANALYSIS OF NET ASSETS:
Capital stock $1,392,180 $250,042 $1,103,112 $102,869 $146,669
Accumulated undistributed
net investment income 53 15 1 5 6
-------------------------------------------------
Net Assets $1,392,233 $250,057 $1,103,113 $102,874 $146,675
=================================================
SHARES OUTSTANDING
($.0001 PAR VALUE,
UNLIMITED AUTHORIZATION) 1,392,230 250,057 1,103,148 102,874 146,674
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.
STATEMENTS OF OPERATIONS Six Months Ended September 30, 1996 (Unaudited)
MONEY MARKET FUNDS
U.S.
U.S. Gov't. California
Gov't. Municipal Select Municipal
Money Money Money Money Money
Market Market Market Market Market
AMOUNTS IN THOUSANDS Fund Fund Fund Fund Fund
------ ------ --------- ------ ----------
INVESTMENT INCOME:
Interest income $32,520 $6,071 $20,479 $2,602 $3,051
-------------------------------------------------
EXPENSES:
Investment advisory fees 3,581 681 3,372 292 517
Administration fees 895 170 843 73 129
Transfer agent fees 594 113 559 49 86
Custody and accounting fees 145 45 135 29 37
Registration fees 30 8 31 9 3
Professional fees 18 9 17 8 9
Amortization of
organization costs 14 5 16 2 2
Trustees' fees 13 4 12 2 3
Other 48 25 46 5 7
-------------------------------------------------
Total Expenses 5,338 1,060 5,031 469 793
Less: Voluntary waivers
of investment
advisory and
administration fees (1,536) (294) (1,441) (244) (349)
Less: Reimbursement of
expenses by Adviser (536) (144) (513) (31) (59)
-------------------------------------------------
Net Expenses 3,266 622 3,077 194 385
-------------------------------------------------
NET INVESTMENT INCOME 29,254 5,449 17,402 2,408 2,666
-------------------------------------------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS $29,254 $5,449 $17,402 $2,408 $2,666
=================================================
See Notes to the Financial Statements.
STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET FUNDS
U.S. Government
Money Market Money Market
Fund Fund
-------------------- -------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
Sept. 30, March 31, Sept. 30, March 31,
1996 1996 1996 1996
AMOUNTS IN THOUSANDS (Unaudited) (Unaudited)
----------- -------- ----------- ----------
OPERATIONS:
Net investment income $ 29,254 $ 53,544 $ 5,449 $ 12,700
---------------------------------------------------
Net Increase in Net
Assets Resulting
from Operations 29,254 53,544 5,449 12,700
---------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Shares sold 3,213,169 4,176,187 793,927 1,141,048
Shares from reinvestment
of dividends 2,828 3,537 1,507 979
Shares redeemed (2,885,577) (4,012,194) (752,482) (1,162,463)
---------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Capital Share
Transactions 330,420 167,530 42,952 (20,436)
---------------------------------------------------
DISTRIBUTIONS PAID:
From net investment income (29,254) (53,540) (5,449) (12,702)
---------------------------------------------------
Total Distributions Paid (29,254) (53,540) (5,449) (12,702)
---------------------------------------------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS 330,420 167,534 42,952 (20,438)
NET ASSETS:
Beginning of year 1,061,813 894,279 207,105 227,543
---------------------------------------------------
End of period $1,392,233 $1,061,813 $250,057 $207,105
===================================================
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME $53 $53 $15 $15
===================================================
<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
----------------------- ------------------------ ----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
Sept. 30, March 31, Sept. 30, March 31, Sept. 30, March 31,
1996 1996 1996 1996 1996 1996
AMOUNTS IN THOUSANDS (Unaudited) (Unaudited) (Unaudited)
-------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 17,402 $ 34,519 $ 2,408 $ 5,207 $ 2,666 $ 5,021
----------- ----------- ----------- ---------- ----------- -----------
Net Increase in Net
Assets Resulting
from Operations 17,402 34,519 2,408 5,207 2,666 5,021
----------- ----------- ----------- ---------- ----------- -----------
CAPITAL SHARE TRANSACTIONS:
Shares sold 2,517,681 4,716,758 178,467 522,583 999,144 585,989
Shares from reinvestment of
dividends 1,141 1,505 929 1,579 111 85
Shares redeemed (2,518,393) (4,543,236) (161,921) (520,924) (1,017,667) (582,282)
----------- ----------- ----------- ---------- ----------- -----------
Net Increase (Decrease) in
Net Assets Resulting
from Capital Share
Transactions 429 175,027 17,475 3,238 (18,412) 3,792
----------- ----------- ----------- ---------- ----------- -----------
DISTRIBUTIONS PAID:
From net investment income (17,507) (34,504) (2,409) (5,207) (2,666) (5,042)
----------- ----------- ----------- ---------- ----------- -----------
Total Distributions Paid (17,507) (34,504) (2,409) (5,207) (2,666) (5,042)
----------- ----------- ----------- ---------- ----------- -----------
TOTAL INCREASE (DECREASE)
IN NET ASSETS 324 175,042 17,474 3,238 (18,412) 3,771
NET ASSETS:
Beginning of year 1,102,789 927,747 85,400 82,162 165,087 161,316
----------- ----------- ----------- ---------- ----------- -----------
End of period $1,103,113 $1,102,789 $102,874 $ 85,400 $146,675 $165,087
=========== =========== =========== ========== ========== ===========
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME $1 $106 $5 $6 $6 $6
=========== =========== =========== ========== ========== ===========
See Notes to the Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
MONEY MARKET FUNDS
<CAPTION>
U.S. Government
Money Market Money Market
Fund Fund
---------------------------------------- ------------------------------------------
Six Months Year Period Six Months Year Period
Ended Ended Ended Ended Ended Ended
Sept. 30, March 31, March 31, Sept. 30, March 31, March 31,
1996 1996 1995<F1> 1996 1996 1995<F1>
(Unaudited) (Unaudited)
-------------------------------------------------------------------------------------------
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 0.02 0.05 0.04 0.02 0.05 0.04
----------- ----------- ----------- ---------- ----------- -----------
LESS DISTRIBUTIONS PAID:
From net investment income (0.02) (0.05) (0.04) (0.02) (0.05) (0.04)
----------- ----------- ----------- ---------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
=========== =========== =========== ========== =========== ==========
TOTAL RETURN 2.49% 5.57% 4.55% 2.43% 5.46% 4.47%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands,
end of period $1,392,233 $1,061,813 $894,279 $250,057 $207,105 $227,543
Ratio to average net assets of: <F4>
Expenses, net of waivers
and reimbursements 0.55% 0.49% 0.45% 0.55% 0.49% 0.45%
Expenses, before waivers
and reimbursements 0.90% 0.91% 0.96% 0.94% 0.94% 1.01%
Net investment income,
net of waivers and
reimbursements 4.92% 5.42% 4.94% 4.81% 5.33% 4.93%
Net investment income,
before waivers and
reimbursements 4.57% 5.00% 4.43% 4.42% 4.88% 4.37%
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (cont'd.)
MONEY MARKET FUNDS
U.S. Government
Municipal Select
Money Market Money Market
Fund Fund
--------------------------------------- ------------------------------------------
Six Months Year Period Six Months Year Period
Ended Ended Ended Ended Ended Ended
Sept. 30, March 31, March 31, Sept. 30, March 31, March 31,
1996 1996 1995<F1> 1996 1996 1995<F2>
(Unaudited) (Unaudited)
-------------------------------------------------------------------------------------------
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 0.02 0.03 0.03 0.02 0.05 0.02
----------- ----------- ----------- ---------- ----------- -----------
LESS DISTRIBUTIONS PAID:
From net investment income (0.02) (0.03) (0.03) (0.02) (0.05) (0.02)
----------- ----------- ----------- ---------- ----------- -----------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
=========== =========== =========== ========== =========== ===========
TOTAL RETURN 1.58% 3.54% 2.90% 2.51% 5.55% 1.75%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands,
end of period $1,103,113 $1,102,789 $927,747 $102,874 $85,400 $82,162
Ratio to average net assets of: <F4>
Expenses, net of waivers
and reimbursements 0.55% 0.49% 0.45% 0.40% 0.33% 0.30%
Expenses, before waivers
and reimbursements 0.90% 0.91% 0.95% 0.95% 1.00% 1.32%
Net investment income,
net of waivers and
reimbursements 3.12% 3.46% 3.10% 4.86% 5.43% 5.84%
Net investment income,
before waivers and
reimbursements 2.77% 3.04% 2.60% 4.31% 4.76% 4.82%
</TABLE>
FINANCIAL HIGHLIGHTS (cont'd.)
MONEY MARKET FUNDS
California
Municipal
Money Market
Fund
------------------------------------------
Six Months Year Period
Ended Ended Ended
Sept. 30, March 31, March 31,
1996 1996 1995<F3>
(Unaudited)
------------------------------------------
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD $1.00 $1.00 $1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.02 0.04 0.01
-------- -------- --------
Less Distributions Paid:
From net investment income (0.02) (0.04) (0.01)
-------- -------- --------
Net Asset Value, End of Period $1.00 $1.00 $1.00
Total Return 1.58% 3.63% 1.27%
======== ======== ========
Supplemental Data and Ratios:
Net assets, in thousands,
end of period $146,675 $165,087 $161,316
Ratio to average net assets of: <F4>
Expenses, net of waivers
and reimbursements 0.45% 0.39% 0.35%
Expenses, before waivers
and reimbursements 0.92% 0.94% 1.07%
Net investment income,
net of waivers and
reimbursements 3.11% 3.55% 3.78%
Net investment income,
before waivers and
reimbursements 2.64% 3.00% 3.06%
<F1> Commenced investment operations on April 11, 1994.
<F2> Commenced investment operations on December 12, 1994.
<F3> Commenced investment operations on November 29, 1994.
<F4> Annualized for periods less than a full year.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- -----------------------------------------------------------------------
COMMERCIAL PAPER - 47.2%
ASSET BACKED SECURITIES - 9.4%
$ 1,734 Barton Capital Corp.,
5.445%, 12/16/96 $ 1,714
Cooperative Association of Tractor
Dealers, Inc.
1,000 5.621%, 10/1/96 1,000
4,900 5.443%, 10/3/96 4,899
4,700 5.379%, 10/8/96 4,695
32,200 5.443%, 11/8/96 32,016
23,750 Centric Funding,
5.472%, 12/10/96 23,501
Gotham Funding Corp.
5,815 5.447%, 10/10/96 5,807
10,000 5.49%, 11/4/96 9,949
10,000 Jet Funding Corp.,
5.497%, 11/20/96 9,924
20,000 SALTS (II) Cayman Islands Corp.,
5.775%, 12/19/96 20,000
Sheffield Receivables Corp.
2,680 5.368%, 10/3/96 2,679
3,035 5.408%, 10/7/96 3,032
1,310 5.42%, 10/7/96 1,309
10,000 Strategic Asset Funding Corp.,
5.64%, 10/31/96 9,954
--------
130,479
--------
BROKERAGE SERVICES - 1.4%
20,000 Lehman Brothers Holdings, Inc.,
5.577%, 10/21/96 19,939
--------
BUSINESS SERVICES - 1.5%
Sanwa Business Credit Corp.
5,000 5.462%, 10/3/96 4,998
6,000 5.495%, 11/6/96 5,967
10,000 5.439%, 11/12/96 9,937
--------
20,902
--------
COMMUNICATIONS - 3.9%
GTE Corp.
5,000 5.368%, 10/3/96 4,999
10,000 5.385%, 10/18/96 9,975
20,000 NYNEX Corp.,
5.406%, 11/15/96 19,867
COMMUNICATIONS - 3.9% (CONT'D.)
$20,000 U.S. Capital Funding Corp.,
5.377%, 10/10/96 $19,973
--------
54,814
--------
COMPUTER EQUIPMENT - 0.7%
10,000 International Business Machines
Credit Corp., 5.11%, 2/24/97 9,996
--------
DOMESTIC DEPOSITORY INSTITUTIONS - 1.9%
Bankers Trust New York Corp.
25,000 5.39%, 10/17/96 25,000
1,000 5.38%, 11/8/96 994
--------
25,994
--------
ELECTRONIC AND OTHER
ELECTRICAL EQUIPMENT - 4.6%
20,000 Cooper Industries, Inc.,
5.871%, 10/1/96 20,000
8,960 GE Engine Receivables 1995-1 Trust,
5.543%, 10/7/96 8,960
5,000 Sony Capital Corp.,
5.415%, 10/18/96 4,987
Whirlpool Financial Corp.
10,000 5.347%, 11/25/96 9,918
20,000 5.429%, 11/25/96 19,836
--------
63,701
--------
ENTERTAINMENT - 3.6%
50,000 Disney (Walt) Co.,
5.831%, 10/1/96 50,000
--------
FOOD AND BEVERAGES - 1.5%
7,000 Big B, Inc.,
5.465%, 10/18/96 6,982
10,000 Cargill Financial Services Corp.,
5.355%, 10/17/96 9,976
4,000 Coca-Cola Enterprises, Inc.,
5.42%, 11/14/96 3,974
--------
20,932
--------
FOREIGN DEPOSITORY INSTITUTIONS - 2.8%
30,000 BCI Funding Corp.,
5.447%, 11/12/96 29,811
FOREIGN DEPOSITORY
INSTITUTIONS - 2.8% (CONT'D.)
$10,000 Woolwich Building Society,
5.412%, 12/13/96 $ 9,892
--------
39,703
--------
HOLDING AND OTHER
INVESTMENT OFFICES - 1.0%
CSW Credit, Inc.
6,100 5.429%, 10/24/96 6,079
7,600 5.434%, 10/30/96 7,567
--------
13,646
--------
NONDEPOSITORY BUSINESS
CREDIT INSTITUTIONS - 2.8%
Finova Capital Corp.
10,000 5.474%, 10/4/96 9,995
4,900 5.48%, 10/17/96 4,888
5,000 5.447%, 11/22/96 4,961
18,700 Vehicle Services America Ltd.,
5.08%, 11/21/96 18,556
--------
38,400
--------
NONDEPOSITORY PERSONAL
CREDIT INSTITUTIONS - 6.0%
50,000 Associates Corporation of North
America, 6.001%, 10/1/96 50,000
Countrywide Home Loans
20,000 5.355%, 10/4/96 19,991
14,000 5.415%, 11/7/96 13,923
--------
83,914
--------
TOBACCO - 0.2%
2,311 Philip Morris Co., 5.418%, 11/1/96 2,300
--------
TRANSPORTATION PARTS AND EQUIPMENT - 5.9%
10,000 BMW US Capital Corp.,
5.345%, 10/17/96 9,976
General Motors Acceptance Corp.
3,900 5.43%, 10/11/96 3,894
15,000 5.604%, 2/4/97 14,714
10,000 5.747%, 3/11/97 9,750
General Motors Acceptance
Corp., Canada
7,000 5.347%, 10/8/96 6,993
10,000 5.433%, 10/9/96 9,988
TRANSPORTATION PARTS AND
EQUIPMENT - 5.9% (CONT'D.)
General Motors Acceptance
Corp., Canada (cont'd.)
$15,000 5.434%, 11/18/96 $ 14,893
12,000 NFC Asset Trust, 5.377%, 11/1/96 11,945
--------
82,153
--------
Total Commercial Paper
(cost $656,873) 656,873
--------
CORPORATE BONDS - 7.7%
25,000 AT&T Capital Corp., FRN,
5.529%, 1/23/97 25,000
13,500 Physicians Plus Medical Group,
5.70%, 10/3/96 13,500
25,000 Boatmen's National Bank of
St. Louis, FMTN, 5.33%, 6/17/97 25,000
11,550 Bear Stearns Cos., FRN,
5.913%, 12/16/96 11,564
7,250 Chapel Oaks, Inc., 5.65%, 10/7/96 7,250
25,000 Huntington National Bank, Columbus,
6.116%, 7/8/97 25,000
--------
Total Corporate Bonds
(cost $107,314) 107,314
--------
EURODOLLAR TIME DEPOSITS - 11.2%
50,000 Bank One, Milwaukee, Grand
Cayman Islands, 6.00%, 10/1/96 50,000
20,000 Banque Brussels Lambert, Grand
Cayman Islands, 6.00%, 10/1/96 20,000
5,000 Canadian Imperial Bank of Commerce,
Grand Cayman Islands,
6.00%, 10/1/96 5,000
25,000 Creditanstalt Bankverein, Vienna,
Austria, 6.00%, 10/1/96 25,000
25,000 Deutsche Bank, Grand Cayman Islands,
6.00%, 10/1/96 25,000
25,000 ING Bank, London Branch,
6.00%, 10/1/96 25,000
6,000 Societe Generale, Paris, France,
6.063%, 10/1/96 6,000
--------
Total Eurodollar Time Deposits
(cost $156,000) 156,000
--------
FOREIGN CERTIFICATES OF
DEPOSIT - 19.7%
$25,000 ABN-Amro Bank,
New York Branch, 5.66%, 4/17/97 $ 25,003
25,000 Barnett Banks, 5.66%, 4/17/97 25,000
25,000 Canadian Bank Imperial Bank
of Commerce, 5.40%, 11/4/96 25,000
10,000 Industrial Bank of Japan,
New York Branch, 5.46%, 10/7/96 10,000
Landesbank Hessen - Thueringen
Girozentrale
25,000 5.50%, 3/20/97 25,014
5,000 6.06%, 6/13/97 4,998
20,000 Norinchukin Bank, New York Branch,
5.51%, 10/7/96 20,000
10,000 Sanwa Bank, New York Branch,
5.46%, 10/16/96 10,001
Societe Generale, New York Branch
20,000 5.54%, 3/21/97 20,008
4,000 5.66%, 4/14/97 4,001
10,000 Sumitomo Bank, London Branch,
5.48%, 11/14/96 10,000
6,000 Sumitomo Bank, New York Branch,
5.51%, 10/2/96 6,000
50,000 Swiss Bank, New York Branch,
5.52%, 12/18/96 50,001
40,000 Toronto Dominion Bank, London
Branch, 5.41%, 11/25/96 40,000
--------
Total Foreign Certificates of Deposit
(cost $275,026) 275,026
--------
GUARANTEED INVESTMENT
CONTRACTS - 2.9%
25,000 General American Life Insurance Co.,
5.70%, 10/7/96 25,000
15,000 Transamerica Life Insurance
and Annuity Co., 5.422%, 10/1/96 15,000
--------
Total Guaranteed Investment Contracts
(cost $40,000) 40,000
--------
MUNICIPAL INVESTMENTS - 2.3%
$ 3,900 Health Insurance Plan of Greater
New York, 5.60%, 10/2/96 $ 3,900
8,930 Minneapolis-St. Paul Metro Airport
Taxable G.O. Bonds,
5.538%, 10/12/96 8,930
8,500 Seattle, Washington Ltd. Tax G.O.,
5.55%, 10/2/96 8,500
10,215 State of Texas-Veterans Land Bond,
5.538%, 10/1/96 10,215
--------
Total Municipal Investments
(cost $31,545) 31,545
--------
U.S. GOVERNMENT OBLIGATION - 0.7%
10,000 U.S. Treasury Bill,
5.352%, 3/6/97 9,780
--------
Total U.S. Government Obligation
(cost $9,780) 9,780
--------
REPURCHASE AGREEMENTS - 8.3%
100,000 Donaldson, Lufkin & Jenrette
Securities, Inc., dated 9/30/96,
repurchase price $100,016
(Colld. by U.S. Treasury Securities),
5.70%, 10/1/96 100,000
15,641 Lehman Government Securities, Inc.,
dated 9/30/96, repurchase price
$15,641 (Colld. by U.S. Treasury
Securities), 5.70%, 10/1/96 15,641
--------
Total Repurchase Agreements
(cost $115,641) 115,641
--------
Total Investments - 100.0%
(cost $1,392,179) 1,392,179
Other Assets less Liabilities - 0.0% 54
--------
NET ASSETS - 100.0% $1,392,233
==========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
U.S. GOVERNMENT MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- ------------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 88.2%
FEDERAL HOME LOAN BANK - 35.4%
FHLB Discount Notes
$10,000 5.372%, 10/9/96 $ 9,988
14,000 5.432%, 10/9/96 13,983
5,000 5.304%, 10/16/96 4,989
20,000 5.204%, 10/21/96 19,943
15,000 5.306%, 10/28/96 14,941
10,000 5.33%, 11/18/96 9,931
5,000 5.652%, 1/9/97 4,923
10,000 5.65%, 3/18/97 9,743
--------
88,441
--------
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 17.6%
FHLMC Discount Notes
3,050 5.292%, 10/10/96 3,046
3,200 5.311%, 10/21/96 3,191
10,000 5.298%, 11/8/96 9,945
15,000 5.309%, 11/12/96 14,908
8,000 5.299%, 11/13/96 7,950
5,000 FHLMC MTN, 7.86%, 1/21/97 5,034
--------
44,074
--------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 20.5%
FNMA Discount Notes
15,000 5.293%, 10/16/96 14,967
7,000 5.321%, 10/24/96 6,977
15,000 5.336%, 11/12/96 14,908
10,000 5.549%, 12/19/96 9,881
FNMA MTN
1,500 5.51%, 11/7/96 1,500
2,000 5.35%, 12/26/96 2,000
990 5.86%, 8/8/97 991
--------
51,224
--------
OVERSEAS PRIVATE INVESTMENT CO. - 3.2%
8,000 FRN, 5.40%, 12/16/96 8,000
--------
STUDENT LOAN MARKETING
ASSOCIATION - 11.5%
27,000 SLMA Discount Note,
5.352%, 12/18/96 26,691
STUDENT LOAN MARKETING
ASSOCIATION - 11.5% (cont'd.)
$2,000 SLMA FMTN, 5.51%, 12/3/96 $ 1,999
--------
28,690
--------
Total U.S. Government Agencies
(cost $220,429) 220,429
--------
NUMBER
OF SHARES
(000S)
- ---------
OTHER - 0.0%
1 Dreyfus Prime Money Market Fund 1
--------
Total Other
(cost $1) 1
--------
PRINCIPAL
AMOUNT
(000S)
- ---------
REPURCHASE AGREEMENTS - 12.1%
$20,000 Donaldson, Lufkin & Jenrette Securities,
Inc., dated 9/30/96, repurchase price
$20,003 (Colld. by U.S. Treasury
Securities), 5.70%, 10/1/96 20,000
10,353 Lehman Government Securities, Inc.,
dated 9/30/96, repurchase price $10,355
(Colld. by U.S. Treasury Securities),
5.70%, 10/1/96 10,353
--------
Total Repurchase Agreements
(cost $30,353) 30,353
--------
Total Investments - 100.3%
(cost $250,783) 250,783
Liabilities less Other Assets - (0.3)% (726)
--------
NET ASSETS - 100.0% $250,057
========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
MUNICIPAL MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- ----------------------------------------------------------------------
MUNICIPAL INVESTMENTS - 97.7%
ALABAMA - 2.9%
$ 700 City of Greenville IDR VRDN,
Series: 1992, Allied-Signal Project
(FMC Corp. Gtd.),
4.00%, 10/7/96 $ 700
2,900 City of Selma IDR VRDN,
Series: 1996 A, Meadowcraft, Inc.
(NationsBank N.A. LOC),
4.05%, 10/7/96 2,900
21,000 City of Stevenson Environment
Improvement IDR VRDN, Series: 1996
(AMT), Mead Corp. Project
(Soc Gen LOC),
4.10%, 10/1/96 21,000
5,400 County of Phenix Environment
Improvement IDR VRDN, Series: 1990 A
(AMT), Mead Corp. Project (Sumitomo
Bank Ltd. LOC), 4.10%, 10/1/96 5,400
1,600 Town of Mobile PCR VRDN,
Series: 1994 A, Alabama Power Co. Project
(Alabama Power Gtd.), 4.00%, 10/1/96 1,600
--------
31,600
ALASKA - 0.7%
3,250 City of Lowell IDR VRDN,
Series: 1996, Little Rock Newspapers,
Inc. Project (Bank of New York LOC),
4.05%, 10/7/96 3,250
2,600 Valdez Marine Terminal Refunding CP,
Series: 1994 C, ARCO Transportation
Project (Atlantic Richfield Co. Gtd.),
3.70%, 11/7/96 2,600
1,900 Valdez Marine Terminal Revenue VRDN,
Series: 1994 B, ARCO Transportation
Project (Atlantic Richfield Co. Gtd.),
3.95%, 10/7/96 1,900
--------
7,750
--------
ARIZONA - 1.1%
12,000 County of Maricopa PCR VRDN,
Series: A, El Paso Electric Project
(Westpac Banking Corp. LOC),
4.05%, 10/7/96 12,000
--------
CALIFORNIA - 9.4%
$ 2,000 California HFA, Series: 1995 E
(Bayerische Landesbank GIC),
3.50%, 2/1/97 $ 2,000
12,415 California HFA TOB, Series: 1988 E
(AMT), Home Mortgage Revenue,
3.85%, 2/1/97 12,415
7,500 California School Cash Reserve Program
Authority TRAN, Series: 1996 A,
4.75%, 7/2/97 7,540
10,000 California Statewide Communities
Development Authority TRAN,
Series: A, 4.75%, 6/30/97 10,051
8,000 City of Huntington Beach TRAN,
Series: 1995, 4.75%, 10/4/96 8,000
4,950 City of Los Angeles Housing Revenue
VRDN, Series: 1996-6A (AMT), Clipper
Trust Certificate (FNMA Colld.),
3.95%, 10/7/96 4,950
3,246 City of Los Angeles IDR VRDN,
Series: BTP-129, (Colld. by U.S.
Government Securities), 3.25%, 12/12/96 3,246
12,230 City of San Marcos Public Facilities
Authority Revenue TOB, Series: 1996
BTP-187, 3.75%, 3/6/97 12,230
3,000 City of Santa Rosa High School District
TRAN, Series: 1996-1997, 4.50%, 7/3/97 3,010
5,000 County of Los Angeles Housing Authority
VRDN, Series: A, Sand Canyon Villas
Project (Industrial Bank of Japan LOC),
4.00%, 10/7/96 5,000
7,000 County of Los Angeles Metropolitan
Transportation Authority VRDN, Union
Station Project, Soc Gen Trust
SGB-2 (FSA Insured), 3.80%, 10/7/96 7,000
10,000 County of Orange Apartment Development
Revenue VRDN (AMT), Park Place Irvine Co.
Phase 1B Project (Bank of America LOC),
3.90%, 10/7/96 10,000
5,400 County of Riverside Housing Authority
VRDN, Series: 1989 B, Amanda Park
Apartments Project (Fuji Bank LOC),
4.35%, 10/7/96 5,400
CALIFORNIA - 9.4% (cont'd.)
$ 1,400 County of Irvine Ranch Water District
VRDN, Series: 1993 B, Districts 2, 102,
103 & 206 (Morgan Guaranty Trust Co.
LOC), 3.90%, 10/1/96 $ 1,400
5,000 County of Sonoma TRAN,
4.25%, 11/1/96 5,002
6,500 State of California RAN, Series: A,
4.50%, 6/30/97 6,525
--------
103,769
--------
COLORADO - 0.9%
10,000 City and County of Denver
Transportation Community Paperies,
Series: 1990 D, Airport System
(Sanwa Bank LOC), 3.60%, 10/16/96 10,000
--------
DELAWARE - 0.1%
1,325 State of Delaware Economic Development
Authority PCR VRDN, Allied Signal Corp.
Project (FMC Corp. Gtd.),
4.00%, 10/7/96 1,325
--------
DISTRICT OF COLUMBIA - 0.5%
6,000 District of Columbia Hospital Revenue
VRDN, Columbia Hospital for Women
(Bank of Tokyo-Mitsubishi LOC),
4.00%, 10/7/96 6,000
--------
FLORIDA - 5.5%
2,350 County of Dade Resource Recovery,
Series: 1996 (AMT), Facility Refunding
Revenue Bond (AMBAC Insured),
4.00%, 10/1/97 2,350
4,950 County of Duval HFA Mortgage Revenue
VRDN, Series: 1996-3A (AMT), Clipper
Trust Certificate, 4.05%, 10/7/96 4,950
2,700 County of Palm Beach HFA Revenue
VRDN, Series: 1988 C, Multifamily
Mahogany Bay (New England Mutual
Gtd.), 4.00%, 10/7/96 2,700
FLORIDA - 5.5% (cont'd.)
County of Sarasota Public Hospital District
Revenue VRDN, Sarasota Memorial
Hospital Project (Sun Trust Bank,
Central Florida LOC)
$ 5,950 Series: A, 3.80%, 10/16/96 $ 5,950
3,950 Series: B, 3.80%, 10/17/96 3,950
7,450 Series: C, 3.75%, 10/23/96 7,450
8,860 Florida State Board of Education Capital
Outlay VRDN, BTP-52 ADP Class B,
4.00%, 10/7/96 8,860
16,900 Florida State Board of Education VRDN,
Series: 1994 E, Eagle Trust,
4.00%, 10/7/96 16,900
7,585 State Finance Department General
Services Revenue TOB, Series: 1994 A
BTP-64, 4.00%, 10/7/96 7,585
--------
60,695
--------
GEORGIA - 1.0%
5,200 County of DeKalb Housing Authority
Revenue VRDN, Series: 1995, Cedar Creek
Apartment Project (General Electric Corp.
LOC), 4.15%, 10/7/96<F5> 5,200
1,400 County of Elbvert Development Authority
IDR VRDN, Series: 1992, Allied-Signal
Project (FMC Corp. Gtd.),
4.00%, 10/7/96 1,400
Georgia HFA Mortgage TOB (AMT),
Conventional Mortgage, Georgia Housing
& Finance Authority-Various Programs
2,320 Series: C, 3.75%, 12/1/96 2,320
1,790 Series: D, 3.75%, 12/1/96 1,790
--------
10,710
--------
IDAHO - 0.1%
700 Idaho Housing Agency TOB, Series: D-2
(AMT), SFM Program, 4.12%, 1/1/97 700
--------
ILLINOIS - 6.3%
4,000 City of Chicago Midway Airport Revenue
VRDN, Series: 1995 (AMT), American Trans
Air, Inc. Project (National Bank of Detroit
LOC), 4.00%, 10/7/96 4,000
10,000 City of Chicago O'Hare International
Airport VRDN, Series: 1988 A (AMT)
(Bayerische Landesbank LOC),
3.90%, 10/7/96 10,000
ILLINOIS - 6.3% (cont'd.)
$1,000 City of Chicago Park District TAW,
Series: A, Chicago Park District,
5.00%, 10/30/96 $1,001
3,100 City of Chicago Refunding Bond,
Series: A-2 (AMBAC Insured),
5.00%, 1/1/97 3,112
2,000 City of Des Plaines VRDN (AMT),
Series: 1996, Finzer Roller, Inc. Project
(Harris Trust and Savings Bank LOC),
4.00%, 10/7/96 2,000
4,150 City of Frankfort IDR, Series: 1996 (AMT),
Bimba Manufacturing Co. Project
(Harris Trust and Savings Bank LOC),
4.00%, 10/7/96 4,150
2,700 City of Joliet Gas Supply Bond,
Peoples Gas, Light and Coke Project
(First National Bank of Chicago LOC),
3.95%, 10/1/97 2,700
6,000 City of Savanna IDR VRDN, Series: 1994
(AMT), Metform Corp. Project
(First National Bank of Chicago
LOC), 4.00%, 10/7/96 6,000
1,850 Illinois Development Finance Authority
IDR VRDN (AMT), Bimba Manufacturing
Co. Project (Harris Trust and Savings Bank
LOC), 4.00%, 10/7/96 1,850
3,950 Illinois Development Finance Authority
IDR VRDN, Enterprise Office Campus
(FNMA LOC), 3.85%, 12/1/96 3,950
1,400 Illinois Development Finance Authority
VRDN, Series: 1990 (AMT), Solar Press, Inc.
Project (First National Bank of Chicago
LOC), 4.00%, 10/7/96 1,400
1,700 Illinois Health Facilities Authority VRDN,
Series: A, Lifelink Corp. (American National
Bank LOC), 3.85%, 10/1/97 1,700
1,600 Illinois Health Facilities Authority VRDN,
Series: 1991, Parkside Development Corp.
Project (First National Bank of Chicago
LOC), 3.90%, 10/7/96 1,600
4,185 Illinois Housing Development Authority,
Series: 1987-D (AMT), Residential
Mortgage Program, 4.05%, 2/1/97 4,185
ILLINOIS - 6.3% (cont'd.)
$ 7,000 Illinois Student Assistance Commission
VRDN, Series: 1996 A (AMT), Student
Loan Program (Bank of America LOC),
3.95%, 10/7/96 $ 7,000
7,500 Village of Ladd IDR VRDN, Series: 1996
(AMT), O'Neal Metals, Inc. Project
(NationsBank South LOC),
4.05%, 10/7/96 7,500
3,250 Village of Niles IDR VRDN, Series: 1996
(AMT), Lewis Spring & Manufacturing
Co. Project (Harris Trust and Savings
Bank LOC), 4.00%, 10/7/96 3,250
3,785 Village of Schaumburg Multifamily
Housing VRDN, Series: 1989, Treehouse II
Apartments Project (Sumitomo Bank
Ltd. LOC), 4.30%, 10/7/96 3,785
--------
69,183
--------
INDIANA - 2.4%
2,790 City of Anderson Economic Development
VRDN, Series: 1996 (AMT), Gateway
Village Project (FHLB Indianapolis LOC),
4.00%, 10/7/96 2,790
1,500 City of Greencastle IDR VRDN, Series: 1996
(AMT), Crown Equipment Corp. Project
(Keybank LOC), 4.00%, 10/7/96 1,500
2,840 City of Hammond Economic Development
VRDN, Series: 1996 A (AMT), Annex at
Douglas Point Project (FHLB Indianapolis
LOC), 4.00%, 10/7/96 2,840
3,100 City of Shelbyville Economic Development
VRDN, Series: DTC 2794 (AMT), Nippisun
Indiana Corp. Project (Industrial Bank of
Japan LOC), 4.55%, 10/7/96 3,100
10,000 Indiana Development Finance Authority
IDR CP, Series: 1990 A (AMT), Pure Air on
Lake Project (National Westminster Bank
LOC), 3.75%, 12/10/96 10,000
Indiana Development Finance Authority
IDR VRDN (AMT), Red Gold, Inc. Project
(Harris Trust and Savings Bank LOC)
4,000 Series: 1994 A, 4.00%, 10/7/96 4,000
2,500 Series: 1994 B, 4.00%, 10/7/96 2,500
--------
26,730
--------
IOWA - 0.6%
Iowa Finance Authority Single Family
Revenue VRDN, Series: B (AMT),
Mortgage-Backed Securities Program
(GNMA/FNMA Colld.)
$ 2,880 Series: 1995 B, 3.20%, 2/27/97 $ 2,880
4,160 Series: 1996 B, 3.20%, 2/27/97 4,160
--------
7,040
--------
KANSAS - 0.0%
100 City of Topeka Sewer System VRDN,
Series: 1984 (MBIA Insured),
3.75%, 10/1/96 100
--------
KENTUCKY - 5.7%
3,000 City of Danville CP, Municipal Pooled
Lease Program (PNC Bank LOC),
3.70%, 12/6/96 3,000
1,000 City of Hopkinsville Industrial Building
VRDN, Series: A (AMT), CoPar, Inc.
Project (Dai-Ichi Kangyo Bank LOC),
4.35%, 10/7/96 1,000
2,000 City of Mayfield Lease Revenue VRDN,
Kentucky League of Cities Pooled Project
(PNC Bank LOC), 4.10%, 10/7/96 2,000
3,500 County of Clark Industrial Building IDR
VRDN Series: 1996 (AMT), Bluegrass Art
Cast Project (Bank One, Columbus LOC),
4.05%, 10/7/96 3,500
County of Daviess Waste Disposal Facility
IDR VRDN (AMT), Scott Paper Co. Project
(Kimberly-Clark Gtd.)
22,800 Series: 1993 A, 4.10%, 10/1/96 22,800
14,500 Series: 1994 A, 4.10%, 10/1/96 14,500
16,400 Series: 1994 B, 4.10%, 10/1/96 16,400
--------
63,200
--------
LOUISIANA - 1.2%
Louisiana HFA (AMT), Mortgage
Revenue Bond (GNMA Colld.)
5,915 Series: CR-85, 3.80%, 11/1/96 5,915
3,205 Series: CR-86, 3.80%, 11/1/96 3,205
1,915 Louisiana Public Facilities Authority PCR
VRDN, Series: 1992, Allied-Signal Project
(FMC Corp. Gtd.), 4.00%, 10/7/96 1,915
Louisiana - 1.2% (cont'd.)
$ 2,200 Parish of Caddo IDR VRDN,
General Motors Corp. Project
(General Motors Corp. Gtd.),
3.95%, 10/7/96 $ 2,200
--------
13,235
--------
MAINE - 0.5%
5,000 Maine Public Utility Finance Bank
Revenue VRDN, Series: 1996 (AMT),
Maine Public Service Co. Project (Bank
of New York LOC), 4.05%, 10/7/96 5,000
--------
MARYLAND - 1.9%
4,000 County of Baltimore Consolidated CP,
Series: 1995, Public Improvement BANs,
3.75%, 12/10/96 4,000
14,260 IBM Tax-Exempt Grantor Trust Asset-Backed
Lease VRDN, Series: 1996 A, Certificate
Merrill P-Floats (Credit Suisse Gtd.),
4.10%, 10/7/96<F5> 14,260
1,720 Maryland State Health & Higher Education
Facility Authority Revenue VRDN, Series: D,
Pooled Loan Program (NationsBank N.A.
LOC), 3.85%, 10/7/96 1,720
790 Maryland State Community Development
Administation, Series: PT-12, Merrill
P-Floats, 3.95%, 10/1/96 790
--------
20,770
--------
MASSACHUSETTS - 0.8%
2,744 City of Glouchester G.O. BAN,
4.20%, 8/8/97 2,747
1,080 Massachusetts State HFA TOB, Series: 6,
SFM Program, 3.85%, 12/1/96 1,080
4,950 Massachusetts State HFA VRDN,
Series: 1996-5A, Clipper
Trust Certificate (AMBAC Insured),
4.05%, 10/7/96 4,950
--------
8,777
--------
MICHIGAN - 1.7%
4,000 City of Detroit School District, Series:
1996, State School Aid Notes,
4.50%, 5/1/97 4,012
MICHIGAN - 1.7% (cont'd.)
$ 2,135 Michigan Job Development Authority
IDR VRDN, Fisher Big Wheel Corp.
Project (Bayerische Vereinsbank LOC),
3.85%, 10/7/96 $ 2,135
5,900 Michigan Strategic Fund Ltd. G.O. Revenue
VRDN, Series: 1992 (AMT), Dow Chemical
Project, 4.10%, 10/1/96 5,900
2,500 Michigan Strategic Fund VRDN
(AMT), Kruger Commodities, Inc. Project
(Harris Trust and Savings Bank LOC),
4.00%, 10/7/96 2,500
2,655 Michigan Strategic Fund VRDN, Four "D'
Investment Company Project (Comerica
Bank LOC), 3.90%, 10/7/96 2,655
1,700 Midland County Economic Development
Corp. IDR VRDN, Series: 1993 A (AMT),
Dow Chemical Corp. Project (Dow
Chemical Gtd.), 4.00%, 10/1/96 1,700
--------
18,902
--------
MINNESOTA - 0.5%
2,200 City of Duluth Tax Increment IDR VRDN,
Series: 1985, Lake Superior Paper Project
(Wachovia Bank of Georgia LOC),
4.05%, 10/7/96 2,200
3,060 County of Stearns Housing &
Redevelopment Authority VRDN
(AMT), Cold Spring Granite Co. Project
(First Bank LOC), 4.05%, 10/7/96 3,060
--------
5,260
--------
MISSOURI - 4.6%
5,000 City of St. Louis TRAN, Series: 1996,
4.75%, 6/30/97 5,026
7,000 County of Perry IDR VRDN, Series: 1996
(AMT), T.G. (USA) Corp. Project
(Bank of Tokyo-Mitsubishi LOC),
4.05%, 10/7/96 7,000
21,200 Missouri Higher Education Loan Authority
VRDN, Series: 1991 B (MBIA Insured),
3.95%, 10/7/96 21,200
6,680 Missouri Housing Development VRDN,
Series: 1994 A (AMT), Merrill P-Floats
PA-116 (GNMA Colld.), 4.05%, 10/7/96 6,680
Missouri - 4.6% (cont'd.)
$ 1,750 Missouri State Housing Development
VRDN, Series: D (AMT), Single Family
Homeowner Loan (FGIC Insured),
4.20%, 11/1/96 $ 1,750
8,860 Missouri State TOCR G.O. VRDN,
Series: A, 4.15%, 10/7/96 8,860
--------
50,516
--------
MONTANA - 2.7%
1,350 Montana Board of Housing,
Series: B-2 (AMT), SFM,
4.00%, 10/1/96 1,350
3,920 Montana Board of Housing Single
Family VRDN, Series: 1996 A-2, Merrill
P-Floats PT-87, 4.05%, 10/7/96 3,920
24,600 Montana Board of Investment Resource
Recovery Revenue VRDN (AMT),
Colstrip Energy L.P. Project (Fuji Bank
Ltd. LOC), 4.00%, 10/7/96 24,600
--------
29,870
--------
NEBRASKA - 0.4%
4,000 Nebraska Investment Finance Authority
IDR VRDN, Series: 1989 (AMT), IDA
Fremont Beef Project (Sanwa
Bank LOC), 4.35%, 10/7/96 4,000
--------
New Jersey - 0.5%
5,775 State of New Jersey G.O., Series:
BTP-191, 3.70%, 10/15/96 5,775
--------
NEW YORK - 5.0%
10,000 County of Nassau TAN, Series: 1996 A,
4.00%, 3/5/97 10,025
Marine Midland Premium Loan Trust
VRDN, COP (Marine Midland Bank
LOC)<F5>
16,032 Series: 1991 A, 3.90%, 10/7/96 16,032
1,055 Series: 1991 B, 4.00%, 10/7/96 1,055
5,200 New York State Environment Facility
Corp. PCR VRDN, Series: 94302, Eagle
Trust-Weekly (CGIC Insured),
3.95%, 10/7/96 5,200
NEW YORK - 5.0% (cont'd.)
$20,392 New York State Medical Care Finance
Agency, Series: BTP-175 (Colld. by U.S.
Government Securities),
3.85%, 12/17/96<F6> $20,392
2,800 Pooled Puttable Floating Option VRDN,
Series: PPT2, 4.25%, 10/1/96 2,800
--------
55,504
--------
NORTH CAROLINA - 1.9%
6,000 Capital Region Airport Commission VRDN
(AMT), Passenger Facility Charge Revenue
Bonds (First Union National Bank of
Charlotte LOC), 4.00%, 10/7/96 6,000
2,500 County of Brunswick PCR IDR VRDN,
Series: 1996 (AMT), Armada Project
(NationsBank N.A. LOC), 4.00%, 10/7/96 2,500
2,500 County of Mecklenburg PCR IDR VRDN,
Series: 1996 (AMT), SteriGenics
International Project (Comerica Bank LOC),
3.95%, 10/7/96 2,500
5,500 County of Person Industrial Facility PCR
VRDN, Series: 1992 A (Carolina Power &
Light Gtd.), 4.05%, 10/7/96 5,500
4,000 North Carolina State Port Authority
VRDN, Series: 1996 (AMT), Morehead
City Terminals, Inc. (NationsBank N.A.
LOC), 4.00%, 10/7/96 4,000
--------
20,500
--------
OHIO - 4.4%
7,040 Dublin Inn Tax-Exempt Mortgage IDR,
Series: 1987, Adjustable Rate Certificate
(Huntington National Bank LOC),
4.57%, 3/1/97 7,040
4,800 Public Facility TOB, Series: 1994 BTP-69,
4.00%, 10/7/96<F6> 4,800
4,000 State of Ohio Air Quality Development
Authority, Series: A, Pollution Control-
Duquesne (Union Bank of Switzerland
LOC), 3.95%, 7/16/97 4,000
1,940 State of Ohio Higher Education Facility
Revenue TOB, Series: 1990-BTP-29,
4.00%, 10/7/96<F6> 1,940
OHIO - 4.4% (cont'd.)
State of Ohio HFA Mortgage VRDN (AMT)
$ 6,415 Series: 1989 A, 4.10%, 10/7/96 $ 6,415
9,000 Series: 1996 B-2, 3.80%, 3/3/97 9,000
5,875 State of Ohio Infrastructure Improvement
VRDN, Series: 1994 BTP-170,
3.95%, 10/7/96 5,875
3,600 State of Ohio Water Development Authority
PCR VRDN, Series: B (DTC2794), General
Motors Corp., 3.90%, 10/7/96 3,600
1,000 State of Ohio Water Development
Authority Revenue VRDN, Safe Water Series
(MBIA Insured), 4.55%, 12/1/96 1,001
5,000 State of Ohio Water Development Authority
Revenue VRDN (AMT), Ohio Edison Co.
Project (Union Bank of Switzerland
LOC), 3.80%, 5/1/97 5,000
--------
48,671
--------
OKLAHOMA - 0.7%
7,820 Oklahoma HFA Revenue Bond, Series:
1996 B (AMT), SFM, 4.05%, 10/7/96 7,820
--------
OREGON - 0.5%
1,100 Metropolitan Service District VRDN (AMT),
Riedel Oregon Compost Waste Disposal
(US Bank of Washington LOC),
4.05%, 10/7/96 1,100
Oregon State Housing & Commerce Services
Department, Series: C, SFM Program
2,000 Series: 1996 C, 3.85%, 5/15/97 2,000
2,700 Series: 1996 G, 4.05%, 8/1/97 2,700
--------
5,800
--------
PENNSYLVANIA - 8.7%
City of Philadelphia School District TRAN
16,000 Series: 1996, 4.50%, 6/30/97 16,062
30,900 Series: 1996 A, 4.50%, 6/30/97 31,011
Delaware Valley Regional Finance
Authority VRDN, Local Government
Revenue Bonds (Midland Bank PLC LOC)
3,900 Series: 1985 A, 3.95%, 10/7/96 3,900
8,900 Series: 1985 D, 3.95%, 10/7/96 8,900
7,000 Series: 1986 A, 3.95%, 10/7/96 7,000
PENNSYLVANIA - 8.7% (cont'd.)
$ 3,000 Littlestown IDA VRDN, Hanover House
Industries Project (NationsBank N.A.
LOC) 3.85%, 10/7/96 $ 3,000
3,900 Pennsylvania Economic Development
Finance Authority IDR VRDN, Series:
1996 A1-8, (PNC Bank LOC),
4.00%, 10/7/96 3,900
22,500 Pennsylvania Higher Education
Assistance Agency VRDN, Series:
1995 A (AMT), Student Loan Program
(SLMA LOC), 3.90%, 10/7/96 22,500
--------
96,273
--------
PUERTO RICO - 0.6%
7,000 Puerto Rico Industrial, Medical &
Environmental PCR, Series: 1983 A,
Merck & Co., Inc., 4.00%, 12/1/96 7,000
--------
RHODE ISLAND - 0.2%
2,500 State of Rhode Island TAN,
Series: 1996 A, 4.50%, 6/30/97 2,509
--------
SOUTH CAROLINA - 0.6%
5,800 County of Cherokee IDR VRDN,
Series: 1989 (AMT), Oshkosh Truck
Corp. Project (NationsBank
N.A. LOC), 4.00%, 10/7/96 5,800
County of Lexington IDR VRDN,
Allied-Signal Project (FMC Corp. Gtd.)
200 Series: 1992, 4.00%, 10/7/96 200
900 Series: 1992 A, 4.00%, 10/7/96 900
--------
6,900
--------
SOUTH DAKOTA - 2.3%
8,410 South Dakota Economic Development
Finance Authority VRDN, Series: 1996
(AMT), Hastings Filters, Inc. Project
(Harris Trust and Savings Bank LOC),
4.00%, 10/7/96 8,410
South Dakota Housing Development
Authority Homeowner Mortgage
VRDN (AMT), Merrill P-Floats
12,755 Series: PT-73-A, 4.05%, 10/7/96 12,755
4,000 Series: PA-119, 4.05%, 10/7/96 4,000
--------
25,165
--------
TENNESSEE - 2.1%
$ 1,500 County of Dickson IDR VRDN,
Series: 1996 (AMT), Tennessee Bun Co.
LLC Project (PNC Bank LOC),
4.00%, 10/7/96 $ 1,500
2,200 City of Greeneville Industrial
Development Board IDR VRDN,
Series: 1993, Pet, Inc. Project
(PNC Bank LOC), 3.85%, 10/7/96 2,200
4,000 City of Jackson IDB Waste Facility IDR
VRDN, Series: 1995 (AMT), Florida Steel
Corp. Project (NationsBank N.A. LOC),
4.00%, 10/7/96 4,000
5,000 Counties of Nashville & Davidson
Housing VRDN (AMT), Old Hickory
Towers Project (FHLB Indianapolis
LOC), 3.95%, 10/7/96 5,000
10,000 State of Tennesee Housing Development
Agency, Series: 1996-5 (AMT),
Homeowner Program, 4.00%, 8/21/97 9,994
--------
22,694
--------
TEXAS - 12.8%
2,400 Brazos River Harbor Navigation District
VRDN, Series: 1996 (AMT), BASF Corp.
Project, 4.00%, 10/1/96 2,400
2,525 City of Austin Independent School District
Building P-Floats, Series: 1996 SG-68,
Merrill Soc Gen, 3.95%, 10/7/96 2,525
City of Corpus Christi Authority CP,
Union Pacific Resources Project
(Union Pacific Corp. Gtd.)
15,410 Series: 1989, 4.05%, 10/1/96 15,410
9,490 Series: 1989, 4.05%, 12/11/96 9,490
16,650 Series: 1992, 4.05%, 10/1/96 16,650
6,600 Cities of Dallas-Fort Worth Airport
Revenue VRDN, Series: 1995 SGB-5,
Soc Gen Trust (FGIC Insured),
3.90%, 10/7/96 6,600
4,700 City of Dallas Water & Sewer Works CP,
Series: A, Gas Works Revenue
(Industrial Bank of Japan LOC),
3.70%, 11/21/96 4,700
3,500 City of El Paso Housing Finance Corp.
VRDN, Series: 1993 (AMT), Viva
Apartments Project (General Electric
Corp. LOC), 4.10%, 10/7/96 3,500
TEXAS - 12.8% (cont'd.)
$ 3,645 City of Fort Worth Housing Finance Corp.
(AMT), GNMA Mortgage-Backed Securities
Program (Colld. in GNMA Securities),
3.75%, 10/1/96 $ 3,645
3,455 City of Houston Water & Sewer System
TOB, Series: 1992 C BTP-54
(MBIA Insured), 4.00%, 10/7/96<F6> 3,455
7,000 City of Mansfield Independent School
District, Series: 1996, School Building
(PSF of Texas Gtd.), 4.14%, 7/1/97 7,001
7,600 County of Calhoun Navigation IDR
VRDN (AMT), Formosa Plastics Corp.
U.S.A. (Bank of America LOC),
3.95%, 10/7/96 7,600
11,600 County of Denton Independent School
District G.O., Series: B (PSF of Texas Gtd.),
3.98%, 8/15/97 11,602
8,000 County of Harris Toll Road Unlimited
VRDN, Series: 1994 A, Citicorp
Eagle Trust #954302, 4.00%, 10/7/96<F6> 8,000
5,000 Greater East Texas Student Loan Corp.
Revenue VRDN, Series: A (SLMA LOC),
3.35%, 3/1/97 5,000
Gulf Coast Waste Disposal Authority
VRDN (AMT), Amoco Oil Co. Project
(Amoco Oil Co. Gtd.)
1,800 Series: 1994, 4.05%, 10/1/96 1,800
2,800 Series: 1995, 4.05%, 10/1/96 2,800
1,000 North Central Health Facilities Development
Corp. VRDN, Presbyterian Medical Center
Project (MBIA Insured), 3.90%, 10/1/96 1,000
8,300 North Texas Higher Education Authority
VRDN, Series: 1993 A (AMT), Student Loan
Program (SLMA LOC), 3.90%, 10/7/96 8,300
5,800 North Texas Higher Education Authority
VRDN, Series: 1996 A, Student Loan
Program (AMBAC Insured), 3.90%, 10/7/96 5,800
8,570 Texas Veterans Housing Program VRDN,
Series: 1994D PT-83 (AMT), Merrill
P-Floats, 4.05%, 10/7/96 8,570
5,049 Texas Turnpike Authority Dallas Toll
Revenue VRDN, Series: BTP-60 ADP
Class B (AMBAC Insured),
4.00%, 10/7/96 5,049
--------
140,897
--------
UTAH - 1.3%
$ 1,800 City of Salt Lake Flexible Revenue CP,
Series: 1990, Pooled Hospital Finance
Program (Westdeutsche Landesbank
Girozentral LOC), 3.65%, 10/23/96 $ 1,800
12,700 Utah State Board of Regents VRDN,
Series: 1996 Q (AMT), Student Loan
Program (AMBAC Insured),
3.90%, 10/7/96 12,700
--------
14,500
--------
VIRGINIA - 1.3%
3,200 City of Norfolk G.O. VRDN,
Eagle Trust #944601, 4.00%, 10/7/96<F5> 3,200
6,900 City of Roanoke IDR VRDN,
Series: 1994, Cooper Industries Project
(Cooper Industries Gtd.), 4.00%, 10/7/96 6,900
2,200 County of Botetourt IDR VRDN,
Valley Forge Company Project
(Harris Trust and Savings Bank LOC),
4.00%, 10/7/96 2,200
1,900 State of Virginia G.O. VRDN, Series:
1994, Citicorp Eagle Trust #954601
(State of Virginia), 4.00%, 10/7/96<F6> 1,900
--------
14,200
--------
WASHINGTON - 0.2%
2,500 City of Kent Economic Development
Corp. IDR VRDN, Associated Grocers
Project (Seattle-First National Bank
LOC), 4.26%, 10/7/96 2,500
--------
WISCONSIN - 3.1%
3,475 City of Milwaukee Redevelopment VRDN,
Series: 1996 (AMT), Starline
Manufacturing, Inc. (Harris Trust and
Savings Bank LOC), 4.00%, 10/7/96 3,475
4,290 City of Pewaukee IDR VRDN,
Series: 1992 (AMT), HUSCO
International, Inc. Project (Bank One,
Milwaukee LOC), 4.00%, 10/7/96 4,290
4,500 City of Winneconne Community School
District, Waushara & Winnebago Counties,
4.00%, 2/3/97 4,504
WISCONSIN - 3.1% (cont'd.)
Wisconsin Housing & Economic
Development Authority Revenue VRDN,
Home Ownership Revenue Program
$1,760 Series: 1987 C22, 4.00%, 9/1/97 $ 1,760
1,380 Series: 1987 C23, 4.00%, 9/1/97 1,380
9,305 Series: 1989 C39, 4.00%, 9/1/97 9,305
9,410 Wisconsin Housing & Economic
Development Authority Revenue VRDN,
Series: 1991-B (AMT), Home Ownership
Revenue Program (FHA Insured),
3.85%, 3/1/97 9,410
--------
34,124
--------
Total Municipal Investments
(cost $1,077,964) 1,077,964
--------
NUMBER
OF SHARES
(000S)
- ---------
OTHER - 0.7%
1,130 AIM Tax-Free Money Market Fund 1,130
300 Dreyfus Tax-Exempt Cash Management
Fund 300
1,150 Federated Tax Free Trust
Money Market Fund #15 1,150
500 Federated Tax Free Trust
Money Market Fund #73 500
3,794 Provident Municipal Cash Fund 3,794
1,184 Provident Municipal Fund 1,184
--------
Total Other
(cost $8,058) 8,058
--------
Total Investments - 98.4%
(cost $1,086,022) 1,086,022
Other Assets less Liabilities - 1.6% 17,091
--------
NET ASSETS - 100.0% $1,103,113
===========
<F5> These private placement securities 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 September 30, 1996, the value of these
securities amounted to $39,747,000 or 3.6% of net assets.
<F6> Securities exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $40,487,000 or 3.7% of net assets.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
U.S. GOVERNMENT SELECT MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- ----------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 95.8%
FEDERAL FARM CREDIT BANK - 20.7%
FFCB Discount Notes
$ 725 5.244%, 10/15/96 $ 724
10,000 5.271%, 10/22/96 9,969
4,000 5.335%, 10/22/96 3,988
5,000 5.308%, 11/6/96 4,974
1,605 5.291%, 11/20/96 1,593
--------
21,248
--------
FEDERAL HOME LOAN BANK - 60.7%
FHLB Discount Notes
5,900 5.265%, 10/7/96 5,895
255 5.239%, 10/9/96 255
11,970 5.29%, 10/9/96 11,957
3,000 5.372%, 10/9/96 2,996
2,000 5.423%, 10/16/96 1,996
7,500 5.213%, 10/17/96 7,483
3,500 5.339%, 10/17/96 3,492
5,800 5.428%, 10/28/96 5,777
400 5.27%, 11/18/96 397
5,000 5.509%, 1/7/97 4,928
4,000 5.652%, 1/9/97 3,939
1,500 5.464%, 1/13/97 1,477
5,000 5.445%, 1/22/97 4,918
4,000 5.587%, 2/21/97 3,913
3,000 5.85%, 8/1/97 3,002
--------
62,425
--------
STUDENT LOAN MARKETING
ASSOCIATION - 9.6%
8,000 SLMA Discount Note,
5.352%, 12/18/96 7,909
2,000 SLMA FRN, 5.435%, 12/3/96 1,999
--------
9,908
--------
TENNESEE VALLEY AUTHORITY - 4.8%
5,000 TVA Discount Note,
5.261%, 11/7/96 4,973
--------
Total U.S. Government Agencies
(cost $98,554) 98,554
--------
NUMBER
OF SHARES VALUE
(000S) (000S)
- ----------------------------------------------------------------------
OTHER - 4.6%
4,689 Dreyfus Prime Money Market Fund $ 4,689
--------
Total Other
(cost $4,689) 4,689
--------
Total Investments - 100.4%
(cost $103,243) 103,243
Liabilities less Other Assets - (0.4)% (369)
--------
NET ASSETS - 100.0% $102,874
=========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
CALIFORNIA MUNICIPAL MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- ----------------------------------------------------------------------
MUNICIPAL INVESTMENTS - 97.9%
CALIFORNIA - 97.9%
$ 1,000 City of Irvine Limited Obligation
Improvement VRDN, Assessment District
No. 94-15 (Dai-Ichi Kangyo Bank LOC),
3.70%, 10/1/96 $ 1,000
600 City of Los Angeles VRDN, Series: 1995 D,
Coral Wood Court Project (Union Bank
LOC), 3.95%, 10/7/96 600
3,600 City of Marysville Joint Unified School
District TRANS, 4.50%, 11/21/96 3,603
3,955 City of San Diego Public Facility Water/
Sewer VRDN, Merrill Soc Gen Muni
Trust, Series: SG-14 (AMBAC Insured),
3.85%, 10/7/96 3,955
4,975 City of San Francisco G.O. VRDN,
BA Securities, Series: 1996-A
(FGIC Insured), 3.90%, 10/7/96 4,975
2,635 City of San Marcos Public Facility
Authority Revenue Bond, Series: 1989-
BTP-187, Civic Center Project (Colld. by
U.S. Government Securities), 3.75%, 3/6/97 2,635
12,146 City of San Marcos Public Facility
Authority Revenue Bond, Series:
1989-BTP-188, Civic Center Project
(Colld. by U.S. Government Securities),
3.95%, 10/7/96 12,146
645 City of Visalia COP VRDN, Series: 1985,
Convention Center Expansion Project
(Mitsubishi Bank LOC), 3.85%, 10/7/96 645
2,350 County of Campbell Union Elementary
School District TRAN, Series: 1996-1997,
4.50%, 7/2/97 2,360
2,000 County of Contra Costa TOB, Series:
1988, Home Mortgage Revenue Program
(Colld. by U.S Government Securities),
4.00%, 12/1/96 2,000
2,000 County of Los Angeles COP, Series: A,
California Equipment Program F
(Canadian Imperial Bank LOC),
4.00%, 6/1/97 2,001
2,200 County of Los Angeles VRDN,
Series: A, Sand Canyon Villas Project
(Industrial Bank of Japan LOC),
4.00%, 10/7/96 2,200
CALIFORNIA - 97.9% (cont'd.)
$1,500 County of Moreno Valley Unified School
District TRAN, Series: 1996/97,
4.50%, 6/30/97 $1,505
2,100 County of Orange Multifamily VRDN,
Monarch Laguna Assn./Monarch Bay,
Series: 1985 T (Bank of Tokyo-Mitsubishi
LOC), 3.90%, 10/7/96 2,100
1,900 County of Orange Apartment Development
VRDN, Series: 1988 A, Vista Verde
Apartments (Wells Fargo Bank LOC),
3.95%, 10/7/96 1,900
1,100 County of Orange Apartment Development
#19 VRDN, Parkplace Irvine County Phase
1B Project (New England Mutual Gtd.),
3.90%, 10/7/96 1,100
9,600 County of Orange Apartment Development
VRDN, Series: 1992 B, Aliso Creek Project
(Wells Fargo & Co. LOC), 4.15%, 10/7/96 9,600
250 County of Orange Limited Obligation
Improvement VRDN, Irvine Coast
Assessment District #88-1 (Soc Gen LOC),
3.90%, 10/1/96 250
2,000 County of Oxnard Unified High School
District TRAN, Series: 1996, 4.50%, 8/7/97 2,007
2,000 County of Riverside Housing Revenue Bond
VRDN, Series: 1989 B, Amanda Parks Apts.
Project (Fuji Bank LOC), 4.35%, 10/7/96 2,000
1,200 County of Riverside Housing Revenue Bond
VRDN, Series: 1992 A (Union Bank LOC),
3.90%, 10/7/96 1,200
4,000 County of Riverside Transportation Sales
Tax Revenue CP (Industrial Bank of Japan
LOC), 3.70%, 11/7/96 4,000
1,300 County of Sacramento Multifamily Housing
Revenue Bond VRDN, Series: 1985 A,
River Oaks (Dai-Ichi Kangyo Bank LOC),
3.90%, 10/7/96 1,300
2,300 County of Sacramento Multifamily Housing
Revenue Bond VRDN, Series: 1985 E,
River Oaks (Dai-Ichi Kangyo Bank LOC),
3.90%, 10/7/96 2,300
1,245 County of Santa Clara Housing Authority
VRDN, Series: A, Multifamily Avenida
Espana Gardens (Union Bank LOC),
3.70%, 10/7/96 1,245
California - 97.9% (cont'd.)
$ 2,000 Health Facility Authority Revenue Bond
VRDN, Episcopal Home Project
(Union Bank LOC), 4.05%, 10/7/96 $ 2,000
5,000 HFA Home Mortgage Revenue Bond,
Series: 1996 J, 4.00%, 7/24/97 5,000
2,360 HFA VRDN, Series: 1991 G,
Merrill P-Floats PT-40D,
4.00%, 10/7/96 2,360
860 HFA VRDN, Series: 1995 B,
Merrill P-Floats PT-56,
4.00%, 10/7/96 860
2,000 HFA VRDN, Series: 1995 E,
Mandatory Put (Bayerische
Landesbank LOC), 3.50%, 2/1/97 2,000
5,300 Irvine Ranch Consolidated Water District
VRDN, Series: 1993 B, Districts 2, 102, 103
& 206 (Morgan Guaranty Trust Co. LOC),
3.90%, 10/1/96 5,300
2,260 Pleasant Hill Redevelopment Agency
Housing Revenue Bonds VRDN, Series:
1996-A, Chateau III Project (Commerzbank
(C.) LOC), 4.00%, 10/7/96 2,260
1,590 Regents of University of California VRDN,
Series: C, Merrill Soc Gen Muni Trust,
SG-24 (AMBAC Insured), 3.85%, 10/7/96 1,590
9,000 School Cash Reserve Program Authority
TRAN, Pool Bonds, Series: 1996 A,
4.75%, 7/2/97 9,048
5,400 State Community Development Authority
Housing Revenue, Series: 1995 B (AMT),
Kimberly Woods Apartments (FNMA
Colld.), 3.85%, 10/7/96 5,400
4,000 State Department of Water Resources
Water/Sewer VRDN, Central Valley
Project, Merrill Soc Gen Muni Trust,
Series: SG-5, 3.85%, 10/7/96 4,000
12,050 State G.O. VRDN, Series: 1992 (MBIA
Insured), 4.10%, 10/7/96 12,050
2,000 State G.O. VRDN, Series: 1995, Bear
Stearns/Soc Gen Trust (FSA Insured),
3.85%, 10/7/96 2,000
4,000 State G.O. VRDN TOB, Series: 5027C,
Citibank (FGIC Insured),
3.90%, 10/7/96 4,000
California - 97.9% (cont'd.)
$4,000 State of California RAN,
Series: 1996 A, 4.50%, 6/30/97 $ 4,015
2,000 State of California RAN
VRDN, Series: 1996-97 B, 63% of 3-mo
LIBOR, Late Day Daily Put,
3.514%, 10/1/96 2,000
400 State Pollution Control Finance
Authority, Pacific Gas & Electric
Project (Banque Nationale de Paris
LOC), 3.90%, 10/1/96 400
4,000 Statewide Community Development
Authority TRAN, Series: A (Statewide
Communities Program Pool Residual
Fund Insured), 4.75%, 6/30/97 4,022
6,640 Statewide Community Development
Authority VRDN, Series: 1994, Chevron
U.S.A. Inc. Project (Chevron Oil Gtd.),
3.95%, 10/1/96 6,640
--------
Total Municipal Investments
(cost $143,572) 143,572
--------
NUMBER
OF SHARES
(000S)
- ---------
OTHER - 1.6%
391 Federated Tax Exempt Money Market
Fund #80 391
1,938 Provident Institutional California
Money Fund 1,938
--------
Total Other
(cost $2,329) 2,329
--------
Total Investments - 99.5%
(cost $145,901) 145,901
Other Assets less Liabilities - 0.5% 774
--------
NET ASSETS - 100.0% $146,675
==========
See Notes to the Financial Statements.
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES September 30, 1996 (Unaudited)
FIXED INCOME FUNDS
<CAPTION>
Florida Int'l.
U.S. Fixed Intermediate Intermediate Fixed
AMOUNTS IN THOUSANDS, Gov't. Income Tax-Exempt Tax-Exempt Tax-Exempt Income
EXCEPT PER SHARE DATA Fund Fund Fund Fund Fund Fund
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value (cost $162,280,
$108,300, $258,510, $4,339,
$124,476 and $14,927, respectively) $162,029 $107,622 $260,778 $4,355 $128,101 $15,527
Cash and foreign currency 4 12 3 214 2 43
Income receivable 1,642 1,106 2,965 56 2,000 535
Receivable for foreign tax withheld - - - - - 33
Receivable from Adviser 3 3 5 7 3 1
Deferred organization costs, net of
accumulated amortization 36 28 56 - 38 19
Prepaid and other assets 13 16 17 12 14 7
-------- -------- -------- ------ -------- -------
Total Assets 163,727 108,787 263,824 4,644 130,158 16,165
-------- -------- -------- ------ -------- -------
LIABILITIES:
Dividends payable 92 69 106 2 65 9
Payable for securities purchased - - 13,020 - - -
Accrued investment advisory fees 17 11 24 - 13 2
Accrued administration fees 1 - 1 - - -
Accrued custody and accounting fees 1 2 2 1 2 2
Accrued transfer agent fees 2 1 4 - 2 -
Accrued registration fees
and other liabilities 13 12 13 7 8 8
-------- -------- -------- ------ -------- -------
Total Liabilities 126 95 13,170 10 90 21
-------- -------- -------- ------ -------- -------
Net Assets $163,601 $108,692 $250,654 $4,634 $130,068 $16,144
======== ======== ======== ====== ======== =======
ANALYSIS OF NET ASSETS:
Capital stock $163,495 $108,656 $246,945 $4,624 $125,790 $15,101
Accumulated undistributed
(distributions in
excess of) net investment income (40) (55) 39 - 26 206
Accumulated net realized gains
(losses) on investments and
foreign currency transactions 397 769 1,402 (6) 627 243
Net unrealized appreciation
(depreciation)
on investments (251) (678) 2,268 16 3,625 600
Net unrealized losses on translation
of assets and liabilities
denominated in foreign
currencies - - - - - (6)
Net Assets $163,601 $108,692 $250,654 $4,634 $130,068 $16,144
======== ======== ======== ====== ======== =======
SHARES OUTSTANDING ($.0001 PAR VALUE,
UNLIMITED AUTHORIZATION) 16,343 10,824 24,621 463 12,507 1,498
NET ASSET VALUE, REDEMPTION AND
OFFERING PRICE PER SHARE $10.01 $10.04 $10.18 $10.01 $10.40 $10.78
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF OPERATIONS Period Ended September 30, 1996 (Unaudited)
FIXED INCOME FUNDS
<CAPTION>
Florida Int'l.
U.S. Fixed Intermediate Intermediate Fixed
Gov't. Income Tax-Exempt Tax-Exempt Tax-Exempt Income
AMOUNTS IN THOUSANDS Fund Fund Fund Fund<F7> Fund Fund
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income $4,617 $3,380 $5,822 $18 $3,396 $535<F8>
-------- -------- -------- ------ -------- -------
EXPENSES:
Investment advisory fees 587 391 932 3 477 94
Administration fees 117 78 186 1 95 12
Transfer agent fees 78 52 124 - 63 9
Custody and accounting fees 31 29 44 5 31 38
Professional fees 9 9 10 5 9 8
Registration fees 8 9 8 4 5 4
Amortization of organization costs 7 6 11 - 8 3
Trustees' fees 3 2 4 - 3 2
Other 7 5 11 1 6 2
-------- -------- -------- ------ -------- -------
Total Expenses 847 581 1,330 19 697 172
Less: Voluntary waivers of investment
advisory and administration fees (30) (21) (113) (1) (62) (27)
Less: Reimbursement of expenses
by Adviser (117) (93) (166) (15) (97) (54)
-------- -------- -------- ------ -------- -------
Net Expenses 700 467 1,051 3 538 91
-------- -------- -------- ------ -------- -------
NET INVESTMENT INCOME 3,917 2,913 4,771 15 2,858 444
-------- -------- -------- ------ -------- -------
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on:
Investments (743) (547) (891) (6) 64 103
Foreign currency transactions - - - - - 78
Net change in unrealized appreciation
on investments 32 22 19 16 556 62
Net change in unrealized losses on
translation of assets and liabilities
denominated in foreign currencies - - - - - (3)
-------- -------- -------- ------ -------- -------
Net Gains (Losses) on Investments (711) (525) (872) 10 620 240
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $3,206 $2,388 $3,899 $25 $3,478 $684
======== ======== ======== ====== ======== =======
<FN>
<F7> Commenced investment operations on August 15, 1996.
<F8> Net of $5 in non-reclaimable foreign withholding taxes.
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
FIXED INCOME FUNDS
<CAPTION>
Fixed Intermediate
U.S. Government Income Tax-Exempt
Fund Fund Fund
----------------------- ----------------------- -----------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
Sept. 30, March 31, Sept. 30, March 31, Sept. 30, March 31,
1996 1996 1996 1996 1996 1996
AMOUNTS IN THOUSANDS (Unaudited) (Unaudited) (Unaudited)
------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 3,917 $ 6,829 $ 2,913 $ 5,131 $ 4,771 $ 9,311
Net realized gains (losses) on:
Investments (743) 2,958 (547) 3,447 (891) 5,055
Foreign currency transactions - - - - - -
Net change in unrealized appreciation
(depreciation) on investments 32 (420) 22 (45) 19 630
Net change in unrealized gains (losses) on
translation of assets and liabilities
denominated in foreign currencies - - - - - -
-------- -------- -------- ------ -------- -------
Net Increase in Net Assets Resulting
from Operations 3,206 9,367 2,388 8,533 3,899 14,996
-------- -------- -------- ------ -------- -------
CAPITAL SHARE TRANSACTIONS:
Shares sold 24,979 44,443 16,517 48,410 37,799 51,544
Shares from reinvestment of dividends 141 224 505 795 53 173
Shares redeemed (9,870) (14,524) (9,144) (15,726) (30,465) (32,864)
-------- -------- -------- ------ -------- -------
Net Increase in Net Assets Resulting
from Capital Share Transactions 15,250 30,143 7,878 33,479 7,387 18,853
-------- -------- -------- ------ -------- -------
DISTRIBUTIONS PAID:
From net investment income (3,917) (6,787) (2,913) (5,061) (4,771) (9,311)
From net realized gains - (104) - (1,541) - (1,650)
-------- -------- -------- ------ -------- -------
Total Distributions Paid (3,917) (6,891) (2,913) (6,602) (4,771) (10,961)
-------- -------- -------- ------ -------- -------
TOTAL INCREASE IN NET ASSETS 14,539 32,619 7,353 35,410 6,515 22,888
NET ASSETS:
Beginning of period 149,062 116,443 101,339 65,929 244,139 221,251
-------- -------- -------- ------ -------- -------
End of period $163,601 $149,062 $108,692 $101,339 $250,654 $244,139
======== ======== ======== ====== ======== =======
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS
IN EXCESS OF) NET INVESTMENT INCOME $(40) $(40) $(55) $(55) $39 $39
======== ======== ======== ====== ======== =======
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FIXED INCOME FUNDS
<CAPTION>
Florida International
Intermediate Fixed
Tax-Exempt Tax-Exempt Income
Fund Fund Fund
---------- ------------------------ -------------------------
Period Six Months Year Six Months Year
Ended Ended Ended Ended Ended
Sept. 30, Sept. 30, March 31, Sept. 30, March 31,
1996<F9> 1996 1996 1996 1996
AMOUNTS IN THOUSANDS (Unaudited) (Unaudited) (Unaudited)
----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 15 $ 2,858 $ 5,598 $ 444 $ 868
Net realized gains (losses) on:
Investments (6) 64 1,827 103 230
Foreign currency transactions - - - 78 277
Net change in unrealized appreciation
(depreciation) on investments 16 556 1,556 62 (559)
Net change in unrealized gains
(losses) on translation of assets
and liabilities denominated in
foreign currencies - - - (3) 2
-------- -------- -------- ------ --------
Net Increase in Net Assets
Resulting from Operations 25 3,478 8,981 684 818
-------- -------- -------- ------ --------
CAPITAL SHARE TRANSACTIONS:
Shares sold 4,623 11,517 21,469 1,697 5,457
Shares from reinvestment of dividends 1 73 82 71 151
Shares redeemed - (7,255) (18,270) (1,529) (2,894)
-------- -------- -------- ------ --------
Net Increase in Net Assets Resulting
from Capital Share Transactions 4,624 4,335 3,281 239 2,714
-------- -------- -------- ------ --------
DISTRIBUTIONS PAID:
From net investment income (15) (2,858) (5,598) (444) (868)
From net realized gains - - (241) - (27)
Total Distributions Paid (15) (2,858) (5,839) (444) (895)
-------- -------- -------- ------ --------
TOTAL INCREASE IN NET ASSETS 4,634 4,955 6,423 479 2,637
NET ASSETS:
Beginning of period - 125,113 118,690 15,665 13,028
-------- -------- -------- ------ --------
End of period $4,634 $130,068 $125,113 $16,144 $15,665
======== ======== ======== ====== ========
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS
IN EXCESS OF) NET INVESTMENT INCOME $ - $26 $26 $206 $206
======== ======== ======== ====== ========
<FN>
<F9> Commenced investment operations on August 15, 1996.
See Notes to the Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
FIXED INCOME FUNDS
<CAPTION>
Fixed
U.S. Government Income
Fund Fund
-------------------------------------- ----------------------------------------
Six Months Year Year Six Months Year Year
Ended Ended Ended Ended Ended Ended
Sept. 30, March 31, March 31, Sept. 30, March 31, March 31,
1996 1996 1995 1996 1996 1995
(Unaudited) (Unaudited)
SELECTED PER SHARE DATA --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.06 $ 9.84 $10.00 $10.10 $ 9.78 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.25 0.51 0.50 0.28 0.58 0.62
Net realized and unrealized gains
(losses) on investments and
foreign currency transactions (0.05) 0.29 (0.16) (0.06) 0.50 (0.22)
------- ------- ------- ------- ------- -------
Total Income from Investment
Operations 0.20 0.80 0.34 0.22 1.08 0.40
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS PAID:
From net investment income (0.25) (0.51) (0.50) (0.28) (0.59) (0.62)
From net realized gains - (0.07) - - (0.17) -
------- ------- ------- ------- ------- -------
Total Distributions (0.25) (0.58) (0.50) (0.28) (0.76) (0.62)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $10.01 $10.06 $9.84 $10.04 $10.10 $9.78
------- ------- ------- ------- ------- -------
TOTAL RETURN 2.00% 7.65% 3.49% 2.27% 11.18% 4.16%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end
of period $163,601 $149,062 $116,443 $108,692 $101,339 $65,929
Ratio to average net assets of: <F11>
Expenses, net of waivers and
reimbursements 0.90% 0.90% 0.90% 0.90% 0.90% 0.90%
Expenses, before waivers and
reimbursements 1.09% 1.10% 1.12% 1.12% 1.14% 1.18%
Net investment income, net of
waivers and reimbursements 5.02% 5.07% 5.20% 5.61% 5.79% 6.48%
Net investment income (loss),
before waivers
and reimbursements 4.83% 4.87% 4.98% 5.39% 5.55% 6.20%
Portfolio Turnover Rate 43.57% 112.00% 42.29% 37.21% 116.22% 55.27%
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (Continued)
FIXED INCOME FUNDS
<CAPTION>
Florida
Intermediate Intermediate
Tax-Exempt Tax-Exempt
Fund Fund
-------------------------------------- -----------
Six Months Year Year Period
Ended Ended Ended Ended
Sept. 30, March 31, March 31, Sept. 30,
1996 1996 1995 1996<F10>
(Unaudited) (Unaudited)
-------------------------------------------------------
SELECTED PER SHARE DATA
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.22 $10.03 $10.00 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.20 0.41 0.40 0.04
Net realized and unrealized gains
(losses) on investments and
foreign currency transactions (0.04) 0.26 0.03 0.01
------- ------- ------- -------
Total Income from Investment
Operations 0.16 0.67 0.43 0.05
------- ------- ------- -------
LESS DISTRIBUTIONS PAID:
From net investment income (0.20) (0.41) (0.40) (0.04)
From net realized gains - (0.07) - -
------- ------- ------- -------
Total Distributions (0.20) (0.48) (0.40) (0.04)
------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $10.18 $10.22 $10.03 $10.01
------- ------- ------- -------
TOTAL RETURN 1.57% 6.81% 4.38% 0.51%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands,
end of period $250,654 $244,139 $221,251 $4,634
Ratio to average net assets of: <F11>
Expenses, net of waivers
and reimbursements 0.85% 0.85% 0.85% 0.85%
Expenses, before waivers
and reimbursements 1.07% 1.08% 1.09% 4.76%
Net investment income, net of
waivers and reimbursements 3.85% 4.01% 4.09% 3.72%
Net investment income (loss),
before waivers
and reimbursements 3.63% 3.78% 3.85% (0.19)%
Portfolio Turnover Rate 46.32% 137.85% 78.87% 103.54%
</TABLE>
FINANCIAL HIGHLIGHTS (Continued)
FIXED INCOME FUNDS
Tax-Exempt
Fund
---------------------------------------
Six Months Year Year
Ended Ended Ended
Sept. 30, March 31, March 31,
1996 1996 1995
(Unaudited)
----------------------------------------
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD $10.35 $10.08 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.23 0.48 0.48
Net realized and unrealized
gains (losses) on
investments and foreign
currency transactions 0.05 0.29 0.08
------ ------ ------
Total Income from
Investment Operations 0.28 0.77 0.56
------ ------ ------
LESS DISTRIBUTIONS PAID:
From net investment income (0.23) (0.48) (0.48)
From net realized gains - (0.02) -
------ ------ ------
Total Distributions (0.23) (0.50) (0.48)
------ ------ ------
NET ASSET VALUE, END OF PERIOD $10.40 $10.35 $10.08
------ ------ ------
TOTAL RETURN 2.73% 7.80% 5.78%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands,
end of period $130,068 $125,113 $118,690
Ratio to average net assets of: <F11>
Expenses, net of waivers
and reimbursements 0.85% 0.85% 0.85%
Expenses, before waivers
and reimbursements 1.10% 1.10% 1.11%
Net investment income,
net of waivers and
reimbursements 4.51% 4.62% 4.95%
Net investment income
(loss), before waivers
and reimbursements 4.26% 4.37% 4.69%
Portfolio Turnover Rate 3.47% 60.50% 54.94%
FINANCIAL HIGHLIGHTS (Continued)
FIXED INCOME FUNDS
International
Fixed
Income
Fund
----------------------------------------
Six Months Year Year
Ended Ended Ended
Sept. 30, March 31, March 31,
1996 1996 1995
(Unaudited)
----------------------------------------
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF YEAR $10.62 $10.64 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.30 0.78 0.58
Net realized and unrealized
gains (losses) on
investments and foreign
currency transactions 0.16 (0.16) 0.64
------ ------ ------
Total Income from
Investment Operations 0.46 0.62 1.22
------ ------ ------
LESS DISTRIBUTIONS PAID:
From net investment income (0.30) (0.62) (0.56)
From net realized gains - (0.02) -
In excess of net investment income - - (0.02)
------ ------ ------
Total Distributions (0.30) (0.64) (0.58)
------ ------ ------
NET ASSET VALUE, END OF PERIOD $10.78 $10.62 $10.64
------ ------ ------
TOTAL RETURN 4.44% 5.84% 12.77%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands,
end of period $16,144 $15,665 $13,028
Ratio to average net assets of: <F11>
Expenses, net of waivers
and reimbursements 1.15% 1.15% 1.15%
Expenses, before waivers
and reimbursements 2.18% 2.00% 2.42%
Net investment income, net
of waivers and
reimbursements 5.65% 5.75% 5.96%
Net investment income, before
waivers and
reimbursements 4.62% 4.90% 4.69%
Portfolio Turnover Rate 21.09% 52.05% 43.24%
<F10> Commenced investment operations on August 15, 1996.
<F11> Annualized for periods less than a full year.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
U.S. GOVERNMENT FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- ----------------------------------------------------------------------
U.S. GOVERNMENT AGENCIES - 33.3%
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 6.8%
$4,000 Series: 1614, Class E,
5.2%, 4/15/15 $ 3,941
4,750 Series: 1379, Class EA,
6.00%, 5/15/16 4,693
2,455 7.599%, 11/1/24 2,487
--------
11,121
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
REMIC TRUST - 18.8%
1,530 Series: 1991-37, Class G,
8.15%, 8/25/05 1,570
7,672 Series: 1994-40, Class C,
5.00%, 9/25/13 7,573
1,057 Series: 1993-203, Class PC,
4.75%, 11/25/13 1,045
6,980 Series: 1996-M4, Class A,
7.75%, 3/17/17 7,095
4,500 Series: 92-200, Class E,
6.25%, 6/25/17 4,462
322 Series: 89-15, Class D,
10.00%, 9/25/18 332
5,410 Series: 1995-11, Class A, P.O.,
0.00%, 1/25/24<F12> 4,053
4,644 Series: 1995-WI, Class A2,
8.20%, 4/25/25 4,665
--------
30,795
--------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 5.5%
119 7.25%, 6/15/98 120
663 10.00%, 4/15/19-2/15/21 724
8,366 7.00%, 4/15/26 8,052
--------
8,896
--------
TENNESSEE VALLEY AUTHORITY - 2.2%
3,700 Series: B, 6.235%, 7/15/45 3,650
--------
Total U.S. Government Agencies
(cost $53,564) 54,462
--------
U.S. GOVERNMENT
OBLIGATIONS - 61.6%
U.S. TREASURY NOTES
$22,500 7.25%, 2/15/98 $ 22,866
12,000 6.75%, 5/31/99 12,144
23,000 7.75%, 1/31/00 23,952
11,000 5.75%, 10/31/00 10,735
2,000 6.25%, 2/15/03 1,968
7,500 5.75%, 8/15/03 7,154
20,900 7.50%, 2/15/05 21,994
--------
Total U.S. Government Obligations
(cost $101,962) 100,813
--------
SHORT-TERM INVESTMENT - 4.1%
6,755 FHLB Discount Note,
5.70%, 10/1/96 6,754
--------
Total Short-Term Investment
(cost $6,754) 6,754
--------
Total Investments - 99.0%
(cost $162,280) 162,029
Other Assets less Liabilities - 1.0% 1,572
--------
NET ASSETS - 100.0% $163,601
========
<F12> 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.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
FIXED INCOME FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- ----------------------------------------------------------------------
ASSET BACKED SECURITIES - 17.0%
$ 1,022 ALPS, Series: 94-1, Class A-2,
7.15%, 9/15/04 $ 1,026
5,000 Banc One Credit Card Master Trust,
7.80%, 12/15/00 5,139
246 DLJ Mortgage Acceptance Corp.,
7.25%, 5/25/24 244
1,971 Delta Funding Corp.,
3.24%, 1/1/06<F13> 77
1,366 GE Capital Mortgage Services, Inc.,
5.56%, 1/25/24 722
44 National Credit Card Trust,
9.45%, 12/31/97 44
2,265 Olympic Automobile Receivables,
7.875%, 7/15/01 2,312
2,460 PaineWebber Mortgage Acceptance Corp.,
7.00%, 10/25/23 2,350
27,355 Prudential Home Mortgage Services Co.,
0.367%, 12/26/23<F13> 424
13 U.S. Home Equity Loan, Class A,
8.50%, 4/15/21 13
Western Financial Grantor Trust
1,270 7.10%, 1/1/00 1,283
4,847 6.20%, 2/1/02 4,847
-------
Total Asset Backed Securities
(cost $18,542) 18,481
-------
CORPORATE/GOVERNMENT BONDS
AND NOTES - 19.9%
BROKERAGE SERVICES - 3.4%
Salomon Brothers MTN
1,700 5.20%, 1/20/97 1,696
2,000 5.50%, 1/31/98 1,979
-------
3,675
-------
COMMUNICATIONS - 0.9%
880 New Jersey Bell Telephone Co.,
7.85%, 11/15/29 960
-------
FINANCIAL SERVICES - 7.5%
General Motors Acceptance Corp.
39 4.00%, 9/15/98 38
2,085 8.875%, 6/1/10 2,360
FINANCIAL SERVICES - 7.5% (CONT'D.)
$1,800 Greyhound Financial Corp.,
8.50%, 5/1/98 $ 1,851
2,100 Lumberman's Mutual Casualty Co.,
9.15%, 7/1/26 2,193
1,750 Prudential Funding,
8.30%, 7/1/25 1,729
-------
8,171
-------
FOREIGN GOVERNMENT BONDS AND
NOTES - 2.2%
355 British Columbia Hydro and Power
Authority (Canada), 15.50%, 11/15/11 382
1,905 Nova Scotia Province of Canada (Canada),
8.25%, 11/15/19 2,039
-------
2,421
-------
INDUSTRIAL INSTRUMENTS - 5.7%
2,390 Penney (J.C.) & Co., Inc.,
6.90%, 8/15/26 2,374
3,725 WMX Technologies, Inc.,
7.10%, 8/1/26 3,774
-------
6,148
-------
PETROLEUM PRODUCTS - 0.2%
175 Chevron Capital U.S., Inc.,
9.75%, 7/15/17 187
-------
PRINTING AND PUBLISHING - 0.0%
19 Berkshire Hathaway, Inc.,
9.75%, 1/15/18 20
-------
Total Corporate/Government
Bonds and Notes
(cost $21,472) 21,582
-------
U.S. GOVERNMENT AGENCIES - 10.6%
COLLATERALIZED MORTGAGE OBLIGATIONS - 6.2%
FHLMC
797 Series: 1392, Class 1392-S, I.O.,
4.063%, 9/15/18<F14> 28
245 Series: 1571, Class D, P.O.,
0.00%, 8/15/23<F14> 132
197 Series: 1152, Class J,
8.00%, 12/15/19 198
COLLATERALIZED MORTGAGE
OBLIGATIONS - 6.2% (CONT'D.)
FHLMC (cont'd.)
$ 363 Series: 1248, Class B,
7.00%, 3/15/22 $ 356
810 Series: 1591, Class SH,
5.452%, 9/15/22 555
440 Series: 1591, Class FH,
6.75%, 9/15/22 443
87 Series: G011, Class B, P.O.,
0.00%, 4/25/23<F14> 57
FNMA REMIC Trusts
48 Series: 1991-127, Class SA,
12.26%, 9/25/98 48
462 Series: 1991-26, Class E,
8.00%, 1/25/05 463
302 Series: 1989-15, Class D,
10.00%, 9/25/18 312
4 Series: G-12, Class S, I.O.,
531.754%, 5/25/21<F14> 63
395 Series: 1993-146, Class B, P.O.,
0.00%, 5/25/23<F14> 373
1,005 Series: 1993-205, Class E, P.O.,
0.00%, 9/25/23<F14> 645
4,050 Series: 1995-11, Class A, P.O.,
0.00%, 1/25/24<F14> 3,034
-------
6,707
-------
MORTGAGE BACKED SECURITIES - 4.4%
2 FHLMC, 6.50%, 6/1/04 1
GNMA
3 11.50%, 3/15/99 3
5,015 7.00%, 4/15/26 4,828
-------
4,832
-------
Total U.S. Government Agencies
(cost $11,399) 11,539
-------
U.S. GOVERNMENT OBLIGATIONS - 35.7%
U.S. TREASURY BONDS
8,355 6.75%, 5/31/99 8,456
2,935 5.75%, 8/15/03 2,800
9,760 7.50%, 2/15/05 10,271
17,150 7.125%, 2/15/23 17,276
-------
Total U.S. Government Obligations
(cost $39,951) 38,803
-------
FLOATING RATE BANK NOTES - 8.0%
Hong Kong and Shanghai Bank
$1,645 6.00%, 8/29/49 $ 1,414
1,450 Series: 2, 5.86%, 12/29/49 1,236
2,800 Lloyds Bank PLC, 5.96%, 6/29/49 2,446
4,150 National Westminster Bank,
5.69%, 11/29/49 3,624
-------
Total Floating Rate Bank Notes
(cost $8,439) 8,720
-------
SHORT-TERM INVESTMENTS - 7.8%
4,348 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.875%, 10/1/96 4,348
4,150 FHLB Discount Note,
5.70%, 10/1/96 4,149
-------
Total Short-Term Investments
(cost $8,497) 8,497
-------
Total Investments - 99.0%
(cost $108,300) 107,622
Other Assets less Liabilities - 1.0% 1,070
-------
NET ASSETS - 100.0% $108,692
=======
<F13>These private placement securities 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 September 30, 1996, the value of these
securities amounted to approximately $501,000 or 0.5% of net assets.
<F14>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 September 30, 1996, yields on these securities ranged
from approximately 7.50% to 12.00%.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
INTERMEDIATE TAX-EXEMPT FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- ----------------------------------------------------------------------
MUNICIPAL INVESTMENTS - 102.8%
ALABAMA - 0.5%
City of Birmingham Public Building
Authority Revenue Refunding Bond
$ 280 6.70%, 1/15/97 $ 282
340 6.70%, 7/15/97 347
280 6.80%, 7/15/98 293
310 7.00%, 1/15/00 333
--------
1,255
--------
ALASKA - 4.4%
Borough of North Slope G.O.
Refunding Bond, Series: A (MBIA Insured)
5,000 0.00%, 6/30/99 4,396
1,250 0.00%, 6/30/99 1,099
2,000 0.00%, 6/30/00 1,669
3,000 0.00%, 6/30/01 2,364
2,000 0.00%, 6/30/01 1,576
--------
11,104
--------
ARIZONA - 5.1%
5,000 City of Mesa Project of 1987
G.O. Bond (MBIA Insured),
5.70%, 7/1/08 5,119
1,500 City of Tucson IDA Association Project
Bond, Prerefunded, 6.25%, 11/15/03 1,632
1,000 County of Maricopa School District
No. 41 Gilbert G.O. Bond, Series: C
(FGIC Insured), Prerefunded,
6.375%, 7/1/04 1,077
2,000 County of Maricopa School District
No. 11 Peoria G.O. Bond,
5.60%, 7/1/07 2,066
2,000 State of Arizona Transportation Board
Highway Revenue Bond, Sub-Series: B,
Prerefunded, 6.50%, 7/1/02 2,201
University of Arizona Revenue Bond,
Series: A
340 9.00%, 6/1/97 352
360 9.00%, 6/1/98 388
--------
12,835
--------
CALIFORNIA - 8.3%
$ 530 County of Los Angeles COP, Radio
Communication Systems Project,
8.00%, 12/1/97 $ 550
1,000 Foothill/Eastern Transportation
Corridor Agency Toll Road Senior
Lien Revenue Bond FRN, Series: A,
0.00%, 1/1/05 622
1,400 Regents of University of California
Refunding Revenue Bond FRN, Series: C,
(Merrill Soc Gen Municipal Trust SG-24),
3.85%, 3/1/97 1,400
610 State of California Department of Water
Resources Revenue Bond, Series: F,
7.10%, 12/1/99 646
State of California Public Works Board
Lease Revenue Bond, Series: A,
Various University of California Projects
2,700 5.60%, 10/1/01 2,802
1,200 5.90%, 10/1/04 1,265
490 State of California Public Works Board
Lease Revenue Bond, Series: A,
Department of Corrections State Prisons,
7.20%, 11/1/98 501
13,000 State of California RAN, Series: A,
4.50%, 6/30/97 13,069
--------
20,855
--------
COLORADO - 2.1%
2,500 Arapohoe County Colorado School
District No. 5 Cherry Creek Revenue
Refunding Bond, Series: A, 5.25%,
12/15/04 2,553
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%, 10/1/99 375
310 4.15%, 10/1/00 305
1,070 4.30%, 10/1/01 1,053
610 Metropolitan Wastewater Reclamation
District Gross Revenue Refunding Bond,
Series: B (MBIA Insured), 6.75%, 4/1/03 676
--------
5,272
--------
DISTRICT OF COLUMBIA - 0.9%
$2,000 District of Columbia G.O. Unlimited
Revenue Bond, Prerefunded, 7.40%,
6/1/00 $ 2,225
--------
FLORIDA - 8.0%
County of Broward School District
G.O. Bond
380 6.75%, 2/15/00 405
1,000 6.00%, 2/15/06 1,055
800 County of Dade School District G.O. Bond
(FGIC Insured), Prerefunded, 6.00%, 8/1/01 847
Jacksonville Electric Authority Revenue
Bond, Series: 6-C, St. John's River
Obligation
1,530 6.40%, 10/1/00 1,635
1,500 6.50%, 10/1/01 1,616
State of Florida Board of Education
Capital Outlay Public Education G.O. Bond
1,750 5.50%, 1/1/03 1,821
2,500 4.60%, 1/1/08 2,319
2,000 4.70%, 1/1/09 1,850
3,195 State of Florida Dade County Road G.O.
Refunding Bond, 5.00%, 7/1/10 3,066
State of Florida, Department of
Environmental Protection Revenue Bond,
PRSV 2000-A (AMBAC Insured)
2,270 5.50%, 7/1/06 2,342
3,000 5.50%, 7/1/07 3,066
--------
20,022
--------
GEORGIA - 9.4%
City of Atlanta Airport Facilities Revenue
Bond (AMBAC Insured)
1,200 5.50%, 1/1/01 1,242
3,500 6.00%, 1/1/02 3,711
2,000 Cobb-Marietta Coliseum and Exhibition
Hall Authority Revenue Bond (MBIA
Insured), Prerefunded, 6.75%, 10/1/01 2,216
2,900 County of Burke Development Authority,
Georgia Power Corp. PCR Bond FRN,
4.00%, 10/1/96 2,900
870 County of Gwinnett Water and Sewer
Authority, Water Revenue Refunding
Bond, Escrowed to Maturity, 8.20%,
8/1/99 957
Georgia - 9.4% (cont'd.)
$3,600 County of Monroe Development
Authority, Georgia Power Corp. PCR
Bond FRN, 4.00%, 10/1/96 $ 3,600
310 County of Monroe Development
Authority, Oglethorp Power Corp.
PCR Bond, 10.60%, 1/1/97 315
1,085 Georgia Municipal Electric Authority Power
Revenue Bond, Series: L, 7.50%, 1/1/98 1,117
Georgia Municipal Electric Authority
Revenue Bond, Series: A (AMBAC Insured)
4,030 5.00%, 1/1/02 4,069
3,300 5.00%, 1/1/03 3,319
--------
23,446
--------
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%, 4/1/97 611
--------
921
--------
ILLINOIS - 4.1%
Chicago Park District TAW, Series: A
2,000 5.00%, 10/30/96 2,002
2,000 4.70%, 9/30/97 2,017
2,250 Chicago Project and Refunding G.O.
Bond, Series: B (FGIC Insured), 4.90%,
1/1/07 2,153
1,000 Chicago Wastewater Transmission Revenue
Bond (FGIC Insured), 6.30%, 1/1/09 1,093
310 County of McLean G.O. Refunding Bond,
School District No. 087, 5.40%, 2/1/99 316
310 County of McLean Public Building
Commission, Law and Justice Center Project
Revenue Bond, 7.10%, 11/1/00 338
1,500 Illinois Health Facilities Authority Revenue
Bond FRN, Resurrection Health Care System,
3.90%, 10/1/96 1,500
252 Illinois Toll Highway Authority of Northern
Illinois Revenue Bond, Series: 1995,
Prerefunded, 4.75%, 7/1/97 254
310 State of Illinois Capital Development
G.O. Bond, Series: 1972 A, 3.25%, 8/1/97 308
310 State of Illinois Sales Tax Revenue Bond,
Series: J, 6.90%, 6/15/01 334
--------
10,315
--------
INDIANA - 1.5%
$3,500 Indiana Transportation Financial
Authority Refunding Bond (AMBAC
Insured), 6.50%, 7/1/06 $3,858
--------
KANSAS - 1.5%
1,700 City of Kansas City G.O.
Unlimited Refunding Bond,
Series: A (MBIA Insured), 5.20%, 9/1/06 1,718
1,982 City of LaCygne, Environmental
Industrial Revenue Refunding Bonds,
Kansas City Power & Light FRN,
Series: A, 3.95%, 10/1/96 1,982
--------
3,700
--------
KENTUCKY - 3.1%
1,425 State of Kentucky Property and Buildings
Commission Revenue Refunding Bond,
Project No. 51, Escrowed to Maturity,
6.25%, 8/1/99 1,496
2,000 State of Kentucky Property and Buildings
Commission Revenue Refunding Bond,
Project No. 59, 5.00%, 11/1/01 2,029
2,000 State of Kentucky Turnpike
Authority Revenue Refunding Bond,
Economic Development Road
Revitalization Project, 5.50%, 1/1/01 2,060
2,000 State of Kentucky Turnpike
Authority Revenue Refunding Bond,
Economic Development Road
Revitalization Project (AMBAC Insured),
6.50%, 7/1/07 2,219
--------
7,804
--------
LOUISIANA - 1.2%
1,900 West Feliciana Parish PCR Bond FRN,
Series: D (Canadian Imperial Bank LOC),
3.80%, 10/1/96 1,900
1,000 West Feliciana Parish PCR Bond FRN
(Canadian Imperial Bank LOC),
3.80%, 10/1/96 1,000
--------
2,900
--------
MAINE - 0.1%
310 State of Maine G.O. Bond,
8.50%, 3/1/99 339
--------
MARYLAND - 0.6%
$1,650 State of Maryland G.O. Bond,
4.30%, 7/15/03 $ 1,600
--------
MASSACHUSETTS - 5.8%
2,220 State of Massachusetts Conservation,
Series: D (FGIC Insured), 5.125%, 11/1/07 2,195
1,500 State of Massachusetts G.O. Refunding
Bond, Series: C, 4.70%, 8/1/02 1,492
3,500 State of Massachusetts Health &
Educational Facility Authority Revenue
Bond, Series: D, Newton Wellesley Hospital
(MBIA Insured), 6.90%, 7/1/07 3,855
1,430 State of Massachusetts Municipal Wholesale
Electric Power System Revenue,
Series: B, Prerefunded, 6.75%, 7/1/02 1,598
State of Massachusetts Water Reserve
Authority General Revenue Bond
2,500 Series: A, 7.25%, 4/1/01 2,735
500 Series: B, 6.00%, 11/1/06 526
2,000 State of Massachusetts Water Reserve
Authority General Revenue Bond, Series:
A, Prerefunded, 6.50%, 7/15/02 2,212
--------
14,613
--------
MICHIGAN - 0.3%
870 City of Lansing Limited Tax G.O. Bond,
Escrowed to Maturity, 4.75%, 10/1/00 876
--------
MISSISSIPPI - 2.5%
1,835 State of Mississippi Capital Improvement,
Series: A, 6.50%, 5/1/02 2,000
2,000 State of Mississippi G.O. Bond, Series: E,
5.00%, 9/1/02 2,036
2,000 State of Mississippi G.O. Refunding Bond,
6.05%, 8/15/03 2,151
--------
6,187
--------
MISSOURI - 0.3%
650 State of Missouri Health and Education
Facilities Authority Christian Health
Revenue Refunding Bond (FGIC Insured),
Prerefunded, 6.875%, 2/15/01 718
--------
MONTANA - 2.7%
$6,800 City of Forsyth Variable Refunding
Bonds FRN, PCR Pacificorp Project
(Industrial Bank of Japan LOC),
4.15%, 10/1/96 $6,800
--------
NEBRASKA - 0.4%
1,000 State of Nebraska Public Power District
Supply System Revenue Bond, Series: B,
4.80%, 1/1/03 995
--------
NEVADA - 1.1%
310 City of Las Vegas G.O. Refunding Bond
(MBIA Insured), 7.10%, 11/1/97 321
590 City of Las Vegas G.O. Refunding Bond,
Prerefunded (MBIA Insured),
6.80%, 1/1/99 631
310 County of Clark Las Vegas Convention and
Visitors Refunding Bond (FGIC Insured),
Prerefunded, 8.00%, 1/1/97 319
310 County of Clark School District
Group No. 1 G.O. Bond (FGIC Insured),
7.00%, 5/1/98 324
620 Las Vegas-Clark County Library District
G.O. Bond (FGIC Insured), 4.00%, 2/1/01 599
310 State of Nevada Bank Refunding Bond,
Escrowed to Maturity, 7.625%, 5/1/01 345
150 State of Nevada Lake Tahoe Preservation
Bond, Prerefunded, 7.20%, 8/1/98 161
--------
2,700
--------
NEW HAMPSHIRE - 0.7%
620 City of Manchester G.O. Refunding Bond,
Series: B, 4.70%, 7/1/01 624
1,200 New Hampshire Municipal Refunding
Bond, Series: A (MBIA Insured),
4.875%, 1/15/08 1,149
--------
1,773
--------
NEW JERSEY - 2.2%
State of New Jersey G.O. Refunding
Bonds, Series: E
2,000 5.50%, 7/15/02 2,086
3,500 5.00%, 7/15/04 3,536
--------
5,622
--------
NEW MEXICO - 0.7%
$1,000 City of Santa Fe Revenue Bonds,
Series: A (AMBAC Insured),
Prerefunded, 6.30%, 6/1/04 $ 1,094
610 County of Bernalillo G.O. Bond,
3.875%, 8/1/03 567
--------
1,661
--------
NEW YORK - 12.0%
City of New York G.O. Bond, Series: C-1,
Prerefunded
2,000 6.375%, 8/1/02 2,198
2,730 6.40%, 8/1/02 3,004
2,500 City of New York G.O. FRN, Series: E-5,
3.90%, 10/1/96 2,500
State of New York Dormitory Authority
State University Revenue Refunding Bond
2,500 Series: A, 5.40%, 5/15/02 2,536
2,500 Series: A, 5.50%, 5/15/03 2,536
1,000 State of New York Dormitory Authority
State University Revenue Refunding Bond,
Series: B, Prerefunded, 7.25%, 5/15/00 1,112
1,315 State of New York Dormitory Authority
City University Revenue Refunding Bond,
Series: 2, 6.00%, 7/1/04 1,358
3,500 State of New York Dormitory Authority
City University Revenue Refunding Bond,
Series: 2, Prerefunded, 6.75%, 7/1/04 3,769
2,500 State of New York G.O. Refunding Bond,
Series: B, 6.375%, 8/15/00 2,659
1,000 State of New York G.O. Refunding Bond,
Series: C, 6.00%, 10/1/06 1,066
1,690 State of New York Power Authority Revenue
Bonds, Series: W, 6.40%, 1/1/00 1,788
3,000 State of New York Tollway Authority
Highway and Bridges Trust Fund
Revenue Bond, Series: A, 6.00%, 4/1/99 3,095
1,000 State of New York Tollway Authority
Highway and Bridges Trust Fund Revenue
Bond, Series: A (AMBAC Insured),
6.25%, 4/1/05 1,084
1,250 State of New York Urban Development
Revenue Refunding Bonds, Series: 1,
Correctional Facilities, Prerefunded,
7.75%, 1/1/00 1,395
--------
30,100
--------
OHIO - 0.4%
$1,000 State of Ohio Highway G.O. Bond,
Series: S, 4.50%, 5/15/03 $ 983
--------
OREGON - 1.9%
540 Counties of Clackamas and Washington
School District No. 003 G.O. Bond,
7.00%, 8/1/02 601
1,700 County of Multnomah School District
No. 1J G.O. Bond, 5.00%, 6/1/04 1,705
County of Washington School District
No. 48J G.O. Refunding Bond, Series: B
850 4.10%, 9/1/02 819
910 4.20%, 9/1/03 873
770 State of Oregon G.O. Bond, 7.30%, 3/1/98 796
--------
4,794
--------
PENNSYLVANIA - 5.2%
1,100 County of Allegheny Hospital
Development Authority Revenue Bond
FRN, Series: B, Presbyterian Health
Center, 3.85%, 10/1/96 1,100
3,000 City of Philadelphia Hospitals and Higher
Educational Facilities Revenue Bond,
Series: A (FGIC Insured), Prerefunded,
6.50%, 2/15/02 3,296
3,300 City of Philadelphia Intergovernmental
Funding Special Tax Revenue Bond
(FGIC Insured), Prerefunded,
6.75%, 6/15/05 3,728
4,900 State of Pennsylvania Higher Educational
Facilities Authority Revenue Bond FRN,
Series: 1995 B, Carnegie Mellon
University, 4.00%, 10/1/96 4,900
--------
13,024
--------
RHODE ISLAND - 0.2%
460 State of Rhode Island Conservation
Capital Development Land G.O.
Refunding Bond (MBIA Insured),
4.25%, 8/1/02 445
--------
SOUTH CAROLINA - 2.2%
State of South Carolina G.O. Bond
460 Sub-Series: U-A, 7.60%, 2/1/97 466
310 Series: W, 7.25%, 5/1/98 325
South Carolina - 2.2% (cont'd.)
State of South Carolina Public Service
Authority Revenue Refunding Bond,
Series: B (FGIC Insured)
$ 2,650 6.50%, 1/1/04 $ 2,889
1,700 6.50%, 1/1/05 1,859
--------
5,539
--------
TENNESSEE - 1.8%
1,870 Counties of Nashville and Davidson
Metropolitan Government G.O.
Refunding Bond, 4.50%, 5/15/02 1,849
310 State of Tennessee G.O. Bond,
5.50%, 3/1/97 313
2,370 State of Tennessee, Series: A,
4.60%, 5/1/08 2,214
--------
4,376
--------
TEXAS - 9.0%
City of Houston Water Conveyance
System COP Refunding Bond, Series: D
(AMBAC Insured)
460 6.375%, 12/15/00 493
770 6.375%, 12/15/02 839
310 City of San Antonio Electric and Gas
Revenue Refunding Bond, Series: A,
7.00%, 2/1/01 331
2,600 County of Harris Health Facilities
Development Revenue Bond FRN,
Series: 1985 C, St. Lukes Episcopal,
4.01%, 10/1/96 2,600
11,000 County of Harris Health Facilities
Development Revenue Bond FRN,
Series: 1994, Methodist Hospital,
4.01%, 10/1/96 11,000
7,450 County of Harris Revenue Refunding
Senior Lien Toll Road Bond
(AMBAC Insured), 4.95%, 8/15/06 7,323
--------
22,586
--------
VIRGINIA - 1.0%
1,400 County of Fairfax IDA Revenue Bond
FRN, Series: A, 3.90%, 10/2/96 1,400
1,045 State of Virginia Housing Development
Authority Multifamily Housing
Revenue Bond, 4.50%, 11/1/98 1,052
--------
2,452
--------
WASHINGTON - 1.2%
$450 City of Seattle Limited Tax G.O. Bond,
7.00%, 3/1/01 $ 491
560 County of King G.O. Bond, Series: A,
Prerefunded, 6.90%, 12/1/00 609
550 County of Kitsap Central Kitsap School
District No. 401 G.O. Refunding Bond,
Series: A, 6.05%, 12/1/00 580
310 County of Pierce Fife School District
No. 417 G.O. Bond, Series: A,
7.85%, 12/1/01 352
310 County of Pierce Puyallup School District
No. 003 G.O. Bond, 7.75%, 12/1/01 351
500 County of Snohomish Edmonds School
District No. 015 G.O. Refunding Bond,
7.00%, 12/1/01 550
--------
2,933
--------
Total Municipal Investments
(cost $255,360) 257,628
--------
NUMBER
OF SHARES
(000S)
- ----------------------------------------------------------------------
OTHER - 1.2%
3,150 Provident Municipal Fund 3,150
--------
Total Other
(cost $3,150) 3,150
--------
Total Investments - 104.0%
(cost $258,510) 260,778
Liabilities less Other Assets - (4.0)% (10,124)
--------
NET ASSETS - 100.0% $250,654
========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
FLORIDA INTERMEDIATE TAX-EXEMPT FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- ----------------------------------------------------------------------
MUNICIPAL INVESTMENTS - 93.2%
FLORIDA - 93.2%
$ 85 City of Homestead Special Insurance
Assessment Bond, Series: 1993,
Covered Claim Assistance Program,
Escrowed to Maturity
(MBIA Insured), 5.00%, 9/1/01 $ 86
150 City of Jacksonville Electric Authority
Revenue Refunding Bond, Series: 1996 C,
6.25%, 10/1/98 156
100 City of Kissimmee Utility Authority Electric
System Revenue Refunding Bond (FGIC
Insured), Prerefunded, 6.50%, 10/1/01 110
100 City of Miami G.O. Bond (FGIC Insured),
5.90%, 12/1/07 107
100 City of Orlando Utility Commission Water
& Electric Revenue Refunding Bond,
5.75%, 10/1/05 106
200 City of Sunrise Utility Systems Revenue
Bond, Series: 1996 A (AMBAC Insured),
0.00%, 10/1/01 158
185 County of Bay Public Improvement
Revenue Bond, Series: 1996 A
(FSA Insured), 5.00%, 10/1/04 186
125 County of Broward G.O. Bond,
Series: 1993, 4.75%, 1/1/06 121
200 County of Broward Professional Sports
Facilities Tax & Revenue Bond,
Series: 1996 A, Civic Arena Project
(MBIA Insured), 4.70%, 9/1/02 199
200 County of Broward School District G.O.
Bond, Series: 1988, 7.00%, 2/15/99 211
100 County of Charlotte Utility System
Revenue Refunding Bond, Series: 1994
(FGIC Insured), 5.50%, 10/1/00 104
500 County of Dade Public Service Tax
Revenue Refunding Bond, Series: 1996
(FSA Insured), 5.00%, 10/1/02 507
1,000 County of Dade School District G.O.
Bond, Series: 1996 (MBIA Insured),
4.75%, 7/15/09 929
150 County of Duval School District G.O.
Bond, Series: 1992 (AMBAC Insured),
6.13%, 8/1/04 162
200 County of Hillsborough School Disctrict
G.O. Refunding Bond, Series: 1990,
6.90%, 8/15/98 210
FLORIDA - 93.2% (cont'd.)
$100 County of Palm Beach Park & Recreation
Facilities Revenue Bond, Series: 1996
(FSA Insured), 4.55%, 11/1/01 $ 100
150 County of Seminole G.O. Refunding &
Acquisition Bond, Series: 1996
(MBIA Insured), 4.88%, 4/1/07 145
100 State of Florida Board of Education
Capital Outlay Refunding Bond,
Series: 1989 B, 5.30%, 6/1/03 103
180 State of Florida Board of Education
Capital Outlay Revenue Bond,
Series: 1992 A, Prerefunded, 7.25%, 6/1/00 200
90 State of Florida Department of
Transportation Right of Way Acquisition
& Bridge Construction Bond, Series: 1996,
5.10%, 7/1/08 89
200 State of Florida Municipal Power Agency
Revenue Bond, Series: 1991 A,
Power Supply Project (AMBAC Insured),
Prerefunded, 6.25%, 10/1/01 218
100 State of Florida Turnpike Revenue Bond,
Series: 1989 (FGIC Insured),
Prerefunded, 7.50%, 7/1/99 110
--------
Total Municipal Investments
(cost $4,301) 4,317
--------
NUMBER
OF SHARES
(000S)
- ----------------------------------------------------------------------
OTHER - 0.8%
9 Dreyfus Tax Exempt Cash
Management Fund 9
29 Federated Tax Free Trust Money
Market Fund #15 29
--------
Total Other
(cost $38) 38
--------
Total Investments - 94.0%
(cost $4,339) 4,355
Other Assets less Liabilities - 6.0% 279
--------
NET ASSETS - 100.0% $ 4,634
========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
TAX-EXEMPT FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- ----------------------------------------------------------------------
MUNICIPAL INVESTMENTS - 97.6%
ALASKA - 0.4%
$ 500 Columbia Alaska Industrial Development
Board PCR Bond FRN, Series: D, Power
Co. Project, 3.85%, 10/1/96 $ 500
--------
ARIZONA - 6.2%
320 County of Cochise School District #68
Sierra Vista G.O. Bond (FGIC Insured),
9.00%, 7/1/03 396
3,000 County of Maricopa School District #41
Gilbert G.O. Bond, 6.25%, 7/1/15 3,052
1,260 County of Maricopa School District #69
Paradise Valley G.O. Bond, Series: 91 B,
8.50%, 7/1/06 1,581
680 County of Maricopa School District #11
Peoria G.O. Bond (AMBAC Insured),
6.70%, 7/1/07 769
1,500 County of Maricopa School District #11
Peoria G.O. Bond Unified Project 1991,
5.50%, 7/1/10 1,473
800 State Transportation Board Excise Tax
Revenue Bond (AMBAC Insured),
5.75%, 7/1/05 844
--------
8,115
--------
CALIFORNIA - 16.8%
2,800 California Pollution Control Financing
Authority Revenue Bond, Series: A-San
Diego Gas & Electric, 5.90%, 6/1/14 2,892
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 3,592
1,500 City of Oakland JT Powers Financing
Authority Leaser Revenue Bond
(AMBAC Insured), 5.75%, 8/1/21 1,498
1,900 County of Irvine Conservation Water
District FRN, Series: 93B, 3.90%, 10/1/96 1,900
5,000 East Bay California Municipal Utility
District Water Revenue Bond
(AMBAC Insured), Prerefunded,
6.50%, 6/1/04 5,630
CALIFORNIA - 16.8% (CONT'D.)
$ 750 State of California G.O. Bond,
6.50%, 2/1/07 $ 832
State of California Public Works Revenue
Bond
1,150 Series: 1991 A-Calpatria, 6.10%, 9/1/02 1,221
4,000 Series: 1993 E-Madera, 5.50%, 6/1/15 3,895
230 Walnut Valley Unified School District
G.O. Bond, Series: 91 A (MBIA Insured),
6.00%, 8/1/13 243
--------
21,781
--------
COLORADO - 0.5%
600 County of Pitkin, Aspen Skiing Co.
Project Bond FRN, Series: 1994 A,
3.90%, 10/1/96 600
--------
CONNECTICUT - 0.4%
460 State Special Tax Transportation
Infrastructure Bond, Series: 1990 A,
7.125%, 6/1/10 539
--------
FLORIDA - 8.0%
3,120 City of Orlando Utilities Commission
Water and Electric Revenue Bond,
Series: 89 D, 6.75%, 10/1/17 3,577
630 County of Polk Utility System Revenue
Bond, Series: 91 (FGIC Insured),
6.00%, 10/1/08 674
480 State of Florida Board of Education Capital
Outlay G.O. Bond, Series: 1985,
9.125%, 6/1/14 669
3,670 State of Florida G.O. Bond,
Broward County, 10.00%, 7/1/14 5,471
--------
10,391
--------
GEORGIA - 3.4%
County of Gwinnett School District
G.O. Bond
1,120 Series: 1993, 4.00%, 2/1/12 933
1,060 Series: 1994, 4.50%, 2/1/12 937
2,300 Georgia Municipal Electric Authority
Power Revenue Bond, Series: 1992 B
(FGIC Insured), 6.375%, 1/1/16 2,514
--------
4,384
--------
ILLINOIS - 10.1%
City of Chicago G.O. Bond, Series: 1993 B
(AMBAC Insured)
$1,835 5.125%, 1/1/15 $ 1,728
4,610 5.125%, 1/1/22 4,251
1,200 City of Chicago TAW,
4.70%, 9/30/97 1,210
1,480 City of Chicago Water Revenue Refunding
Bond, Series: 1993 (FGIC Insured),
4.125%, 11/1/13 1,209
1,430 County of Winnebago and Boone School
District No. 205 Rockford G.O. Bond
(FGIC Insured), 6.00%, 2/1/08 1,515
2,000 Illinois Educational Facilities Authority
Revenue Bond, Series: 91, Loyola University,
7.125%, 7/1/21 2,171
1,150 State of Illinois G.O. Refunding Bond,
Series: 1994, 4.60%, 12/1/05 1,093
--------
13,177
--------
INDIANA - 7.5%
City of Indianapolis Gas Revenue
Bond, Series: 1986 B (FGIC Insured)
400 5.00%, 6/1/06 392
410 4.00%, 6/1/08 365
690 3.50%, 6/1/18 498
970 County of Hamilton Public Building
Corporation First Mortgage Bond,
7.25%, 8/1/13 1,144
2,000 County of Marion Convention and
Recreational Facility Authority Revenue
Bond, Series: A (AMBAC Insured),
7.00%, 6/1/21 2,208
420 Indiana Municipal Power Agency Revenue
Bond, Series: 1993 B (MBIA Insured),
6.00%, 1/1/12 440
1,290 State of Indiana Office Building
Commission Bond, Series: 1990 B
(MBIA Insured), 7.40%, 7/1/15 1,552
3,305 State of Indiana Transportation Authority
Airport Finance Lease Revenue Bond,
Series: 1995 A, 5.50%, 11/1/12 3,195
--------
9,794
--------
MICHIGAN - 0.7%
$1,000 State of Michigan Hospital Finance
Authority Revenue Bond, Series: A,
Henry Ford Health, 5.25%, 11/15/25 $ 922
--------
MONTANA - 0.1%
190 University of Montana Higher Education
Revenue Bond, Series: 93 A
(MBIA Insured), 4.50%, 11/15/15 163
--------
NEVADA - 4.6%
1,000 City of Carson School District G.O.
Refunding Bond, Series: 1993
(AMBAC Insured), 4.50%, 4/1/11 877
County of Clark Sanitation District
G.O. Bond, Prerefunded
1,150 6.60%, 7/1/02 1,266
1,150 6.75%, 7/1/02 1,275
2,000 County of Washoe Airport Authority
Revenue Bond, Series: A (MBIA Insured),
5.70%, 7/1/26 1,991
580 State of Nevada Municipal Bond Bank
G.O. Bond, Project 20-23A,
Escrowed to Maturity, 7.20%, 7/1/06 614
--------
6,023
--------
NEW YORK - 11.8%
City of New York G.O. FRN
1,100 Sub-Series: 93 A-7, 3.90%, 10/1/96 1,100
2,100 Sub-Series: 93 E-4, 3.90%, 10/1/96 2,100
600 Sub-Series: 93 E-5, 3.90%, 10/1/96 600
700 City of New York Municipal Assistance
Corp. Bond, Series: 67, 7.625%, 7/1/08 766
1,450 New York Power Authority Revenue Bond,
Series: 84 R, Prerefunded, 7.00%, 1/1/10 1,670
3,000 State of New York Dormitory Authority
Revenue Bond, Series: 93 A, State
University, 5.25%, 5/15/15 2,772
4,000 State of New York Local Government
Assistance Corp. Revenue Bond, Series: A,
Prerefunded, 7.00%, 4/1/01 4,453
1,720 Triborough Bridge and Tunnel Authority
Bond, 6.00%, 1/1/12 1,813
--------
15,274
--------
NORTH CAROLINA - 3.8%
$ 610 North Carolina Eastern Municipal Power
Revenue Refunding Bond, Series: 91 A,
Escrowed to Maturity, 6.50%, 1/1/18 $ 675
3,850 North Carolina Eastern Municipal Power
Revenue Refunding Bond, Series: 93B,
7.00%, 1/1/08 4,204
--------
4,879
--------
OKLAHOMA - 1.1%
1,380 McGee Creek Water Revenue Authority
Bond, Series: 92 (MBIA Insured),
6.00%, 1/1/13 1,461
--------
OREGON - 1.5%
1,800 Oregon Health Sciences University
Revenue Bond, Series: A (MBIA Insured),
5.25%, 7/1/28 1,692
230 State of Oregon G.O. Bond, Series: 66,
10.50%, 6/1/02 296
--------
1,988
--------
PENNSYLVANIA - 0.8%
1,010 State of Pennsylvania G.O. Bond,
Series: 92, 6.00%, 7/1/09 1,068
--------
SOUTH CAROLINA - 5.7%
1,090 City of Columbia Water and Sewer
System Revenue Refunding Bond,
5.50%, 2/1/09 1,096
5,000 Piedmont Municipal Power Agency
Electric Revenue Bond, Series: 88 A,
6.55%, 1/1/16 5,027
1,270 Piedmont Municipal Power Agency
Electric Revenue Bond, Series: 88 A
(AMBAC Insured), 7.40%, 1/1/18 1,343
--------
7,466
--------
TEXAS - 6.6%
490 Channelview Independent School District
PSF Gtd. Bond, 4.75%, 8/15/12 439
600 City of Austin Combined Utilities System
Revenue Bond, Series: 1986 C,
Prerefunded, 7.30%, 11/15/01 671
1,050 Coastal Industrial Water Authority Water
Revenue Bond, Escrowed to Maturity,
6.375%, 12/15/07 1,079
TEXAS - 6.6% (CONT'D.)
$1,030 Colorado River Municipal Water District
Bond, Prerefunded, 9.50%, 1/1/01 $ 1,216
1,600 Harris County Health Facility
Development Corp. Revenue Bond FRN,
Series: 1994, 4.00%, 10/1/96 1,600
2,500 Harris County Toll Road Revenue Bond
Senior Lien, Series: 94 (FGIC Insured),
5.375%, 8/15/20 2,385
1,145 Texas Municipal Power Agency Revenue
Refunding Bond, Series: 93 (MBIA
Insured), 5.25%, 9/1/08 1,143
--------
8,533
--------
UTAH - 0.9%
1,050 Intermountain Power Agency Revenue
Bond, Series: 1987 D, 8.625%, 7/1/21 1,102
--------
WASHINGTON - 6.7%
1,150 County of Clark School District No. 37
Vancouver G.O. Bond, 6.375%, 12/1/09 1,249
750 County of King G.O. Bond, Series: 1993 B,
5.20%, 1/1/12 653
1,500 State of Washington G.O. Bond,
Series: A, 6.375%, 2/1/14 1,565
690 State of Washington G.O. Bond,
Series: 90 A, 6.75%, 2/1/10 779
4,000 Washington Public Power Supply System
#2 Bond, Series: 90 A, Prerefunded,
7.625%, 7/1/00 4,475
--------
8,721
--------
Total Municipal Investments
(cost $123,256) 126,881
--------
NUMBER
OF SHARES
(000S)
- -----------------------------------------------------------------------
OTHER - 0.9%
1,220 Provident Municipal Fund 1,220
--------
Total Other
(cost $1,220) 1,220
--------
Total Investments - 98.5%
(cost $124,476) 128,101
Other Assets less Liabilities - 1.5% 1,967
--------
NET ASSETS - 100.0% $130,068
========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
INTERNATIONAL FIXED INCOME FUND
PRINCIPAL AMOUNT/
LOCAL CURRENCY VALUE
(000S) (000S)
- ----------------------------------------------------------------------
DEBT OBLIGATIONS - 95.4%
AUSTRALIAN DOLLAR - 5.7%
490 Commonwealth of Australia,
10.00%, 10/15/02 $ 434
600 Province of Queensland - Treasury,
8.00%, 5/14/97 479
--------
913
--------
BELGIAN FRANC - 1.7%
8,175 Kingdom of Belgium,
7.50%, 7/29/08 280
--------
BRITISH POUND STERLING - 10.6%
125 Abbey National PLC,
6.00%, 8/10/99 191
375 Lloyds Bank,
7.375%, 3/11/04 562
Treasury of Great Britain
315 8.00%, 6/10/03 510
275 8.00%, 6/10/03 446
--------
1,709
--------
CANADIAN DOLLAR - 7.2%
525 Government of Canada,
7.50%, 12/1/03 400
375 Province of Ontario,
7.25%, 9/27/05 274
575 Province of Quebec,
10.25%, 10/15/01 489
--------
1,163
--------
DANISH KRONE - 4.4%
3,850 Kingdom of Denmark,
8.00%, 3/15/06 704
--------
FRENCH FRANC - 7.2%
2,300 Electric de France,
8.60%, 4/9/04 518
Government of France
2,000 8.50%, 3/12/97 396
1,100 8.25%, 2/27/04 245
--------
1,159
--------
GERMAN MARK - 18.9%
Federal Republic of Germany
2,100 7.50%, 11/11/05 $1,512
1,175 6.25%, 1/4/24 709
500 LKB Global Bond,
6.00%, 5/10/99 342
330 Republic of Austria,
8.00%, 1/30/02 242
380 Republic of Finland,
5.50%, 2/9/01 254
--------
3,059
--------
ITALIAN LIRA - 8.2%
2,000,000 Treasury of Italy,
8.50%, 4/1/04 1,324
--------
JAPANESE YEN - 17.9%
55,000 Asian Development Bank,
5.00%, 2/5/03 565
69,000 European Bank for
Reconstruction and Development,
4.50%, 11/5/97 646
15,000 European Investment Bank,
5.875%, 11/26/99 153
80,000 International Bank for
Reconstruction and Development,
4.50%, 3/20/03 807
64,000 International Finance Corp.,
4.375%, 6/11/98 609
10,000 Japanese Development Bank,
6.50%, 9/20/01 109
--------
2,889
--------
NETHERLANDS GUILDER - 2.1%
500 Dutch Government Treasury,
8.50%, 3/15/01 334
--------
NEW ZEALAND DOLLAR - 2.8%
650 Government of New Zealand,
8.00%, 2/15/01 453
--------
SPANISH PESETA - 4.2%
Government of Spain
25,000 11.45%, 8/30/98 $ 210
51,000 11.30%, 1/15/02 462
--------
672
--------
SWEDISH KRONA - 3.4%
3,100 Kingdom of Sweden,
10.25%, 5/5/03 545
--------
UNITED STATES DOLLAR - 1.1%
175 U.S. Treasury Note,
7.875%, 11/15/04 188
--------
Total Debt Obligations
(cost $14,792) 15,392
--------
SHORT-TERM INVESTMENT - 0.8%
UNITED STATES DOLLAR
135 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.875%, 10/1/96 135
--------
Total Short-Term Investment
(cost $135) 135
--------
Total Investments - 96.2%
(cost $14,927) 15,527
Other Assets less Liabilities - 3.8% 617
--------
NET ASSETS - 100.0% $ 16,144
========
See Notes to the Financial Statements.
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES September 30, 1996 (Unaudited)
EQUITY FUNDS
<CAPTION>
Int'l. Int'l.
Income Growth Select Small Growth Select
AMOUNTS IN THOUSANDS, Equity Equity Equity Cap Equity Equity Technology
EXCEPT PER SHARE DATA Fund Fund Fund Fund Fund Fund Fund
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (cost $60,283,
$222,640, $37,923, $154,703, $183,208,
$115,881 and $20,089,
respectively) $65,285 $270,539 $45,446 $168,540 $185,796 $117,577 $23,033
Cash and foreign currency 6 7 3 3 603 188 3
Income receivable 459 392 48 121 401 258 5
Receivable for foreign tax withheld - - - - 330 111 -
Receivable for securities sold 576 5,521 698 107 2,729 600 -
Receivable from Adviser 2 5 2 5 4 3 1
Deferred organization costs, net of
accumulated amortization 22 29 18 24 28 25 -
Prepaid and other assets 12 19 13 28 22 15 8
-------- -------- -------- -------- -------- -------- --------
Total Assets 66,362 276,512 46,228 168,828 189,913 118,777 23,050
-------- -------- -------- -------- -------- -------- --------
LIABILITIES:
Outstanding option written, at value
(premium received $222, for the
Growth Equity Fund) - 180 - - - - -
Payable for securities purchased 2,115 5,395 672 213 4,057 3,066 180
Accrued investment advisory fees 7 32 6 21 23 14 3
Accrued administration fees - - - - - - 1
Accrued custody and accounting fees 2 1 2 11 2 2 -
Accrued transfer agent fees 1 3 1 2 2 2 1
Accrued registration fees and
other liabilities 10 18 11 21 51 26 9
-------- -------- -------- -------- -------- -------- --------
Total Liabilities 2,135 5,629 692 268 4,135 3,110 194
-------- -------- -------- -------- -------- -------- --------
Net Assets $64,227 $270,883 $45,536 $168,560 $185,778 $115,667 $22,856
======== ======== ======== ======== ======== ======== ========
ANALYSIS OF NET ASSETS:
Capital stock $54,024 $212,520 $36,239 $145,252 $179,250 $111,392 $20,086
Accumulated undistributed net
investment income (loss) 43 103 56 633 540 181 (34)
Accumulated net realized gains (losses)
on investments, options, futures and
foreign currency transactions 5,158 10,319 1,718 8,764 3,406 2,405 (140)
Net unrealized appreciation on investments,
options and futures contracts 5,002 47,941 7,523 13,911 2,588 1,696 2,944
Net unrealized losses on translation of assets
and liabilities denominated in foreign
currencies - - - - (6) (7) -
-------- -------- -------- -------- -------- -------- --------
Net Assets $64,227 $270,883 $45,536 $168,560 $185,778 $115,667 $22,856
-------- -------- -------- -------- -------- -------- --------
SHARES OUTSTANDING ($.0001 PAR VALUE,
UNLIMITED AUTHORIZATION) 5,258 19,109 3,125 13,869 17,866 10,761 1,860
NET ASSET VALUE, REDEMPTION AND
OFFERING PRICE PER SHARE $12.22 $14.18 $14.57 $12.15 $10.40 $10.75 $12.29
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF OPERATIONS Six Months Ended September 30, 1996 (Unaudited)
EQUITY FUNDS
<CAPTION>
Int'l. Int'l.
Income Growth Select Small Growth Select
Equity Equity Equity Cap Equity Equity Technology
AMOUNTS IN THOUSANDS Fund Fund Fund Fund Fund Fund Fund
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income $ 745 $ 357 $ 32 $ 180 $ 283 $ 165 $ -
Dividend income 662 1,689 195 1,148 1,731<F15> 933<F16> 41
-------- -------- -------- -------- -------- -------- --------
Total Investment Income 1,407 2,046 227 1,328 2,014 1,098 41
-------- -------- -------- -------- -------- -------- --------
EXPENSES:
Investment advisory fees 299 1,217 237 986 1,129 666 64
Administration fees 45 182 29 123 141 84 9
Transfer agent fees 30 121 20 82 94 55 6
Custody and accounting fees 27 41 26 52 119 82 32
Professional fees 8 10 8 9 9 8 18
Registration fees 6 12 6 10 13 8 13
Amortization of organization costs 5 6 3 5 6 5 -
Trustees' fees 2 4 2 3 3 3 2
Other 2 10 2 7 8 5 1
-------- -------- -------- -------- -------- -------- --------
Total Expenses 424 1,603 333 1,277 1,522 916 145
Less: Voluntary waivers of
investment advisory and
administration fees (57) (238) (78) (338) (223) (136) (6)
Less: Reimbursement of expenses
by Adviser (70) (154) (59) (121) (127) (89) (64)
-------- -------- -------- -------- -------- -------- --------
Net Expenses 297 1,211 196 818 1,172 691 75
-------- -------- -------- -------- -------- -------- --------
NET INVESTMENT INCOME (LOSS) 1,110 835 31 510 842 407 (34)
-------- -------- -------- -------- -------- -------- --------
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on:
Investments, options and
futures contracts 3,468 (673) 107 5,788 5,229 3,444 (140)
Foreign currency transactions - - - - (13) 2 -
Net change in unrealized appreciation
(depreciation) on investments,
options and futures contracts (281) 19,658 4,167 1,155 (3,224) (3,699) 2,944
Net change in unrealized
gains (losses) on
translation of assets
and liabilities denominated
in foreign currencies - - - - (4) 3 -
-------- -------- -------- -------- -------- -------- --------
Net Gains (Losses) on Investments 3,187 18,985 4,274 6,943 1,988 (250) 2,804
-------- -------- -------- -------- -------- -------- --------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $4,297 $19,820 $4,305 $7,453 $2,830 $157 $2,770
======== ======== ======== ======== ======== ======== ========
<FN>
<F15>Net of $116 in non-reclaimable foreign withholding taxes.
<F16>Net of $42 in non-reclaimable foreign withholding taxes.
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
EQUITY FUNDS
<CAPTION>
Income Equity Growth Equity Select Equity
Fund Fund Fund
--------------------- ---------------------- --------------------
Six Months Year Six Months Year Six Months Year
Ended Ended Ended Ended Ended Ended
Sept. 30, March 31, Sept. 30, March 31, Sept. 30, March 31,
1996 1996 1996 1996 1996 1996
AMOUNTS IN THOUSANDS (Unaudited) (Unaudited) (Unaudited)
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 1,110 $ 1,468 $ 835 $ 1,170 $ 31 $ 51
Net realized gains (losses) on:
Investments, options and futures contracts 3,468 2,672 (673) 13,891 107 2,589
Foreign currency transactions - - - - - -
Net change in unrealized appreciation
(depreciation) on investments, options
and futures contracts (281) 4,485 19,658 20,699 4,167 2,233
Net change in unrealized gains (losses) on
translation of assets and liabilities
denominated in foreign currencies - - - - - -
-------- -------- -------- -------- -------- --------
Net Increase in Net Assets Resulting
from Operations 4,297 8,625 19,820 35,760 4,305 4,873
-------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Shares sold 9,071 16,890 46,511 101,576 11,831 21,220
Shares from reinvestment of dividends 71 230 130 161 - 22
Shares redeemed (4,028) (7,226) (19,371) (24,190) (4,442) (6,600)
-------- -------- -------- -------- -------- --------
Net Increase in Net Assets Resulting
from Capital Share Transactions 5,114 9,894 27,270 77,547 7,389 14,642
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS PAID:
From net investment income (1,103) (1,554) (778) (1,221) - (58)
From net realized gains - - - (700) - (738)
In excess of net investment income - - - - - -
-------- -------- -------- -------- -------- --------
Total Distributions Paid (1,103) (1,554) (778) (1,921) - (796)
-------- -------- -------- -------- -------- --------
TOTAL INCREASE IN NET ASSETS 8,308 16,965 46,312 111,386 11,694 18,719
NET ASSETS:
Beginning of year 55,919 38,954 224,571 113,185 33,842 15,123
-------- -------- -------- -------- -------- --------
End of period $64,227 $55,919 $270,883 $224,571 $45,536 $33,842
======== ======== ======== ======== ======== ========
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS
IN EXCESS OF) NET INVESTMENT INCOME (LOSS) $43 $36 $103 $46 $56 $25
======== ======== ======== ======== ======== ========
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
EQUITY FUNDS
<CAPTION>
International
Small Cap Growth Equity
Fund Fund
---------------------- ----------------------
Six Months Year Six Months Year
Ended Ended Ended Ended
Sept. 30, March 31, Sept. 30, March 31,
1996 1996 1996 1996
AMOUNTS IN THOUSANDS (Unaudited) (Unaudited)
--------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 510 $ 794 $ 842 $ 1,429
Net realized gains (losses) on:
Investments, options and futures contracts 5,788 11,166 5,229 3,091
Foreign currency transactions - - (13) 2,476
Net change in unrealized appreciation
(depreciation) on investments, options
and futures contracts 1,155 12,075 (3,224) 4,941
Net change in unrealized gains (losses) on
translation of assets and liabilities
denominated in foreign currencies - - (4) (23)
------- ------- ------- -------
Net Increase in Net Assets Resulting
from Operations 7,453 24,035 2,830 11,914
------- ------- ------- -------
CAPITAL SHARE TRANSACTIONS:
Shares sold 21,279 82,232 19,337 86,203
Shares from reinvestment of dividends - 113 - 482
Shares redeemed (15,410) (18,809) (17,626) (28,834)
------- ------- ------- -------
Net Increase in Net Assets Resulting
from Capital Share Transactions 5,869 63,536 1,711 57,851
------- ------- ------- -------
DISTRIBUTIONS PAID:
From net investment incom - (846) - (1,528)
From net realized gains - (8,114) - -
In excess of net investment income - - - (1,673)
------- ------- ------- -------
Total Distributions Paid - (8,960) - (3,201)
------- ------- ------- -------
TOTAL INCREASE IN NET ASSETS 13,322 78,611 4,541 66,564
NET ASSETS:
Beginning of year 155,238 76,627 181,237 114,673
------- ------- ------- -------
End of period $168,560 $155,238 $185,778 $181,237
======= ======= ======= =======
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS
IN EXCESS OF) NET INVESTMENT INCOME (LOSS) $633 $123 $540 $(302)
======= ======= ======= =======
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
EQUITY FUNDS
International
Select Equity Technology
Fund Fund
---------------------- ----------
Six Months Year Six Months
Ended Ended Ended
Sept. 30, March 31, Sept. 30,
1996 1996 1996
AMOUNTS IN THOUSANDS (Unaudited) (Unaudited)
---------------------------------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 407 $ 97 $ (34)
Net realized gains (losses) on:
Investments, options and futures contracts 3,444 4,465 (140)
Foreign currency transactions 2 (112) -
Net change in unrealized appreciation
(depreciation) on investments, options
and futures contracts (3,699) 3,695 2,944
Net change in unrealized gains (losses) on
translation of assets and liabilities
denominated in foreign currencies 3 (20) -
-------- -------- --------
Net Increase in Net Assets Resulting
from Operations 157 8,125 2,770
-------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Shares sold 16,623 40,494 20,373
Shares from reinvestment of dividends - 47 -
Shares redeemed (3,832) (17,537) (287)
-------- -------- --------
Net Increase in Net Assets Resulting
from Capital Share Transactions 12,791 23,004 20,086
-------- -------- --------
DISTRIBUTIONS PAID:
From net investment incom - (208) -
From net realized gains - - -
In excess of net investment income - (160) -
-------- -------- --------
Total Distributions Paid - (368) -
-------- -------- --------
TOTAL INCREASE IN NET ASSETS 12,948 30,761 22,856
NET ASSETS:
Beginning of year 102,719 71,958 -
-------- -------- --------
End of period $115,667 $102,719 $22,856
======== ======== ========
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS
IN EXCESS OF) NET INVESTMENT INCOME (LOSS) $181 $(226) $(34)
======== ======== ========
See Notes to the Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
EQUITY FUNDS
<CAPTION>
Income Equity Growth Equity
Fund Fund
------------------------------------- -----------------------------------
Six Months Year Year Six Months Year Year
Ended Ended Ended Ended Ended Ended
Sept. 30, March 31, March 31, Sept. 30, March 31, March 31,
1996 1996 1995 1996 1996 1995
(Unaudited) (Unaudited)
SELECTED PER SHARE DATA ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.59 $9.95 $10.00 $13.15 $10.61 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.22 0.34 0.29 0.04 0.08 0.08
Net realized and unrealized gains (losses)
on investments, options, futures contracts
and foreign currency transactions 0.63 1.66 (0.08) 1.03 2.59 0.60
------- ------- ------- ------- ------- -------
Total Income (Loss) from
Investment Operations 0.85 2.00 0.21 1.07 2.67 0.68
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS PAID:
From net investment income (0.22) (0.36) (0.26) (0.04) (0.08) (0.07)
From net realized gains - - - - (0.05) -
In excess of net investment income - - - - - -
In excess of accumulated net realized gains
on investment transactions - - - - - -
------- ------- ------- ------- ------- -------
Total Distributions (0.22) (0.36) (0.26) (0.04) (0.13) (0.07)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $12.22 $11.59 $9.95 $14.18 $13.15 $10.61
======= ======= ======= ======= ======= =======
TOTAL RETURN 7.38% 20.41% 2.21% 8.11% 25.13% 6.90%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end of period $64,227 $55,919 $38,954 $270,883 $224,571 $113,185
Ratio to average net assets of: <F18>
Expenses, net of waivers and reimbursements 1.00% 1.00% 1.00% 1.00% 1.00% 1.00%
Expenses, before waivers and reimbursements 1.43% 1.48% 1.55% 1.32% 1.36% 1.40%
Net investment income, net of waivers and
reimbursements 3.73% 3.17% 3.08% 0.69% 0.70% 0.86%
Net investment income (loss), before
waivers and reimbursements 3.30% 2.69% 2.53% 0.37% 0.34% 0.46%
Portfolio Turnover Rate 39.61% 67.32% 45.68% 35.80% 73.20% 82.90%
Average Commission Per Share <F19> $0.0624 NA NA $0.0613 NA NA
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (Continued)
EQUITY FUNDS
<CAPTION>
Select Equity Small Cap
Fund Fund
------------------------------------- -----------------------------------
Six Months Year Period Six Months Year Year
Ended Ended Ended Ended Ended Ended
Sept. 30, March 31, March 31, Sept. 30, March 31, March 31,
1996 1996 1995<F17> 1996 1996 1995
(Unaudited) (Unaudited)
SELECTED PER SHARE DATA ----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $13.12 $10.77 $10.00 $11.58 $ 9.98 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.01 0.02 0.06 0.04 0.05 0.11
Net realized and unrealized gains (losses)
on investments, options, futures contracts
and foreign currency transactions 1.44 2.73 0.75 0.53 2.29 (0.05)
------- ------- ------- ------- ------- -------
Total Income (Loss) from
Investment Operations 1.45 2.75 0.81 0.57 2.34 0.06
------- ------- ------- ------- ------- -------
LESS DISTRIBUTIONS PAID:
From net investment income - (0.03) (0.04) - (0.07) (0.08)
From net realized gains - (0.37) - - (0.67) -
In excess of net investment income - - - - - -
In excess of accumulated net realized gains
on investment transactions - - - - - -
------- ------- ------- ------- ------- -------
Total Distributions - (0.40) (0.04) - (0.74) (0.08)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $14.57 $13.12 $10.77 $12.15 $11.58 $9.98
======= ======= ======= ======= ======= =======
TOTAL RETURN 11.10% 25.70% 8.18% 4.92% 24.09% 0.57%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end of period $45,536 $33,842 $15,123 $168,560 $155,238 $76,627
Ratio to average net assets of: <F18>
Expenses, net of waivers and reimbursements 1.00% 1.00% 1.00% 1.00% 1.00% 1.00%
Expenses, before waivers and reimbursements 1.70% 1.91% 2.61% 1.56% 1.61% 1.76%
Net investment income, net of waivers and
reimbursements 0.16% 0.22% 0.82% 0.62% 0.65% 1.36%
Net investment income (loss), before
waivers and reimbursements (0.54)% (0.69)% (0.79)% 0.06% 0.04% 0.60%
Portfolio Turnover Rate 29.79% 137.99% 48.88% 10.60% 46.59% 82.46%
Average Commission Per Share <F19> $0.0681 NA NA $0.0370 NA NA
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (Continued)
EQUITY FUNDS
<CAPTION>
International
Growth Equity
Fund
------------------------------------
Six Months Year Year
Ended Ended Ended
Sept. 30, March 31, March 31,
1996 1996 1995
(Unaudited)
SELECTED PER SHARE DATA -------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.23 $ 9.61 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.05 0.17 0.04
Net realized and unrealized gains (losses)
on investments, options, futures contracts
and foreign currency transactions 0.12 0.65 (0.31)
------- ------- -------
Total Income (Loss) from
Investment Operations 0.17 0.82 (0.27)
------- ------- -------
LESS DISTRIBUTIONS PAID:
From net investment income - (0.11) (0.03)
From net realized gains - - -
In excess of net investment income - (0.09) -
In excess of accumulated net realized gains
on investment transactions - - (0.09)
------- ------- -------
Total Distributions - (0.20) (0.12)
------- ------- -------
NET ASSET VALUE, END OF PERIOD $10.40 $10.23 $9.61
======= ======= =======
TOTAL RETURN 1.61% 8.61% (2.65)%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end of period $185,778 $181,237 $114,673
Ratio to average net assets of: <F18>
Expenses, net of waivers and reimbursements 1.25% 1.25% 1.25%
Expenses, before waivers and reimbursements 1.62% 1.65% 1.71%
Net investment income, net of waivers and
reimbursements 0.90% 0.92% 0.47%
Net investment income (loss), before
waivers and reimbursements 0.53% 0.52% 0.01%
Portfolio Turnover Rate 95.88% 216.86% 158.31%
Average Commission Per Share <F19> $0.0293 NA NA
<FN>
<F17>Commenced investment operations on April 6, 1994.
<F18>Annualized for periods less than a full year.
<F19>For fiscal years beginning on or after September 1, 1995, each Fund is required to disclose its average commission rate per
share for equity security trades on which commissions are charged. This amount may vary from period to period and Fund to Fund
depending on the mix of trades executed in the various markets where trading practices and commission rate structures may
differ.
NA - Disclosure not applicable to prior periods.
See Notes to the Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (Continued)
EQUITY FUNDS
International
Select Equity Technology
Fund Fund
------------------------------------ ----------
Six Months Year Period Six Months
Ended Ended Ended Ended
Sept. 30, March 31, March 31, Sept. 30,
1996 1996 1995<F20> 1996
(Unaudited) (Unaudited)
SELECTED PER SHARE DATA ----------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.73 $ 9.78 $10.00 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.04 0.01 0.04 (0.02)
Net realized and unrealized gains (losses)
on investments and foreign
currency transactions (0.02) 0.99 (0.23) 2.31
------- ------- ------- -------
Total Income (Loss) from
Investment Operations 0.02 1.00 (0.19) 2.29
------- ------- ------- -------
LESS DISTRIBUTIONS PAID:
From net investment income - (0.02) (0.03) -
In excess of net investment income - (0.03) - -
------- ------- ------- -------
Total Distributions - (0.05) (0.03) -
------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $10.75 $10.73 $9.78 $12.29
------- ------- ------- -------
TOTAL RETURN 0.22% 10.20% (1.95)% 22.88%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end of period $115,667 $102,719 $71,958 $22,856
Ratio to average net assets of: <F21>
Expenses, net of waivers and reimbursements 1.25% 1.25% 1.25% 1.25%
Expenses, before waivers and reimbursements 1.65% 1.71% 1.75% 2.42%
Net investment income (loss), net of waivers
and reimbursements 0.73% 0.12% 0.47% (0.57)%
Net investment income (loss), before
waivers and reimbursements 0.33% (0.34)% (0.03)% (1.74)%
Portfolio Turnover Rate 71.11% 176.71% 97.69% 14.81%
Average Commission Per Share <F22> $0.0187 NA NA $0.0671
<FN>
<F20>Commenced investment operations on April 5, 1994.
<F21>Annualized for periods less than a full year.
<F22>For fiscal years beginning on or after September 1, 1995, the Fund is required to disclose its average commission rate per
share for equity security trades on which commissions are charged. This amount may vary from period to period and Fund to Fund
depending on the mix of trades executed in the various markets where trading practices and commission rate structures may
differ.
NA - Disclosure not applicable to prior periods.
See Notes to the Financial Statements.
</TABLE>
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
INCOME EQUITY FUND
NUMBER VALUE
OF SHARES (000S)
- ----------------------------------------------------------------------
COMMON STOCKS - 19.8%
BUILDING MATERIALS - 0.8%
17,900 Masco Corp. $ 537
---------
CONSUMER PRODUCTS - 1.5%
10,600 Philip Morris Cos., Inc. 951
---------
FOOD AND BEVERAGES - 2.3%
29,500 ConAgra, Inc. 1,453
---------
INDUSTRIAL INSTRUMENTS - 1.3%
13,100 Electronic Data Systems Corp. 804
---------
OIL AND GAS - 4.0%
25,000 Consolidated Natural Gas Co. 1,341
7,900 Royal Dutch Petroleum Co. 1,233
---------
2,574
---------
PHARMACEUTICALS - 3.5%
12,800 American Home Products Corp. 816
8,300 Bristol-Myers Squibb Co. 800
12,600 Johnson & Johnson 646
---------
2,262
---------
PROFESSIONAL SERVICES - 1.0%
13,100 Omnicom Group, Inc. 612
---------
RETAIL - 2.7%
45,000 Brinker International, Inc.* 765
27,500 TJX Cos., Inc. 986
---------
1,751
---------
TRANSPORTATION PARTS AND
EQUIPMENT - 0.9%
6,600 Boeing Co. 624
---------
TRANSPORTATION SERVICES - 1.2%
24,000 Ford Motor Co. 750
---------
UTILITIES - 0.6%
8,800 Northern States Power Co. 410
---------
Total Common Stocks
(cost $9,780) 12,728
---------
CONVERTIBLE PREFERRED
STOCKS - 30.0%
BANKING - 1.8%
14,300 Banc One Corp. $1,133
---------
BROKERAGE SERVICES - 1.5%
35,000 Salomon, Inc. 984
---------
CHEMICALS AND ALLIED PRODUCTS - 1.6%
25,600 IMC Global/Merrill Lynch STRYPES 1,030
---------
FINANCIAL SERVICES - 2.4%
6,100 SunAmerica, Inc. 520
16,000 SunAmerica/Merrill Lynch STRYPES 980
---------
1,500
---------
FOOD AND BEVERAGES - 0.8%
12,100 Dole Food Co. 508
---------
INDUSTRIAL MANAGEMENT - 1.4%
36,500 Security Capital Industrial Trust,
Series B 894
---------
INSURANCE SERVICES - 4.0%
16,500 American Bankers Insurance Group, Inc. 973
5,400 Nations Bank/Jefferson-Pilot ACES 455
21,500 St. Paul Capital LLC 1,156
---------
2,584
---------
MERCHANDISE - 0.8%
5,800 Alco Standard Corp. 528
---------
METAL MINING - 0.6%
7,800 Cyprus Amax Minerals Co. 406
---------
OIL AND GAS - 4.0%
19,800 Ashland, Inc. 1,245
30,600 Atlantic Richfield Co. 719
10,200 Occidental Petroleum Corp. 599
---------
2,563
---------
PAPER PRODUCTS - 2.1%
28,000 International Paper Co. 1,348
---------
PETROLEUM PRODUCTS - 1.1%
12,600 Unocal Corp. $ 673
---------
PUBLISHING - 0.7%
41,500 Hollinger International, Inc. 462
---------
RECREATIONAL SERVICES - 1.4%
140,000 Tyco Toys, Inc. 875
---------
RESTAURANTS - 1.2%
15,400 Wendy's Financing I 793
---------
RETAIL - 1.1%
15,000 Kmart Financing I 733
---------
TRANSPORTATION PARTS AND
EQUIPMENT - 1.2%
55,850 Mascotech, Inc. 796
---------
UTILITIES - 2.3%
17,500 Citizens Utilities Trust Co. 871
21,000 MCN Corp. 588
---------
1,459
---------
Total Convertible Preferred Stocks
(cost $18,413) 19,269
---------
PRINCIPAL
AMOUNT
(000S)
- ----------------------------------------------------------------------
CONVERTIBLE BONDS - 43.8%
BUILDING MATERIALS - 0.6%
$ 450 Masco Corp.,
5.25%, 2/15/12 428
---------
CHEMICALS AND ALLIED PRODUCTS - 1.0%
650 Alza Corp.,
5.00%, 5/1/06 634
---------
COMPUTERS AND OFFICE MACHINES - 3.9%
1,430 Learning Co., Inc.,
5.50%, 11/1/00<F23> 1,151
1,234 Quantum Corp.,
6.375%, 4/1/02 1,357
---------
2,508
---------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- ----------------------------------------------------------------------
ELECTRONICS AND OTHER ELECTRICAL
EQUIPMENT - 7.4%
$1,215 Cooper Industries, Inc.,
7.05%, 1/1/15 $1,327
370 Liebert Corp.,
8.00%, 11/15/10 1,242
1,300 Park Electrochemical Corp.,
5.50%, 3/1/06 1,079
1,170 VLSI Technology, Inc.,
8.25%, 10/1/05 1,075
---------
4,723
---------
HEALTH SERVICES - 4.2%
600 Ciba-Geigy Corp.,
6.25%, 3/15/16 603
915 Phycor, Inc.,
4.50%, 2/15/03 1,034
1,150 Quantum Health Resources, Inc.,
4.75%, 10/1/00 1,052
---------
2,689
---------
INSURANCE SERVICES - 2.2%
1,200 Equitable Cos., Inc.,
6.125%, 12/15/24 1,409
---------
METAL MINING - 2.9%
1,105 Horsham Corp.,
3.25%, 12/10/18 961
850 Inco Ltd.,
7.75%, 3/15/16 897
---------
1,858
---------
OIL AND GAS - 2.1%
755 Consolidated Natural Gas Co.,
7.25%, 12/15/15 822
500 Pogo Producing Co.,
5.50%, 6/15/06 519
---------
1,341
---------
PERSONAL SERVICES - 0.9%
500 HFS, Inc.,
4.75%, 3/1/03 576
---------
RECREATIONAL SERVICES - 2.1%
1,250 WMS Industries, Inc.,
5.75%, 12/1/02 1,325
Retail - 11.9%
$1,100 Federated Dept. Stores, Inc.,
5.00%, 10/1/03 $ 1,229
1,775 Home Depot (The), Inc.,
3.25%, 10/1/01 1,811
1,300 Pier 1 Imports, Inc.,
5.75%, 10/1/03 1,345
1,440 Price Co.,
6.75%, 3/1/01 1,519
350 Saks Holdings, Inc.,
5.50%, 9/15/06 363
750 Sports Authority (The), Inc.,
5.25%, 9/15/01 773
400 Starbucks Corp.,
4.25%, 11/1/02 599
---------
7,639
---------
SANITARY SERVICES - 0.9%
450 Sanifill, Inc.,
5.00%, 3/1/06 581
---------
TRANSPORTATION PARTS AND
EQUIPMENT - 1.8%
1,100 Magna International, Inc.,
5.00%, 10/15/02 1,178
---------
TRANSPORTATION SERVICES - 1.9%
1,250 Airborne Freight Corp.,
6.75%, 8/15/01 1,219
---------
Total Convertible Bonds
(cost $26,910) 28,108
---------
SHORT-TERM INVESTMENTS - 8.0%
$2,555 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.875%, 10/1/96 $ 2,555
2,625 FHLMC Discount Note,
5.699%, 10/1/96 2,625
---------
Total Short-Term Investments
(cost $5,180) 5,180
---------
Total Investments - 101.6%
(cost $60,283) 65,285
Liabilities less Other Assets - (1.6)% (1,058)
---------
NET ASSETS - 100.0% $64,227
=========
<F23>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 approximately $1,151,000 or
1.8% of net assets.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
GROWTH EQUITY FUND
NUMBER VALUE
OF SHARES (000S)
- ----------------------------------------------------------------------
COMMON STOCKS - 93.5%
APPAREL - 1.4%
62,000 Tommy Hilfiger Corp.* $ 3,674
---------
BANKING - 2.9%
88,800 Banc One Corp. 3,641
75,000 State Street Boston Corp. 4,303
---------
7,944
---------
BROKERAGE SERVICES - 0.5%
58,700 Charles Schwab Corp. 1,357
---------
CHEMICALS AND ALLIED PRODUCTS - 1.0%
49,400 Sigma-Aldrich Corp. 2,816
---------
COMMUNICATIONS - 1.7%
89,100 Ameritech Corp. 4,689
---------
COMPUTERS AND OFFICE MACHINES - 4.9%
111,600 Cisco Systems, Inc.* 6,926
126,700 Parametric Technology Corp.* 6,256
---------
13,182
---------
CONSUMER PRODUCTS - 3.7%
55,500 Philip Morris Cos., Inc. 4,981
51,200 Procter & Gamble Co. 4,992
---------
9,973
---------
COSMETICS AND PERSONAL CARE - 2.2%
82,200 Gillette Co. 5,929
---------
ELECTRICAL SERVICES - 1.0%
104,100 Wisconsin Energy Corp. 2,811
---------
ELECTRONICS AND OTHER ELECTRICAL
EQUIPMENT - 8.4%
88,600 ADC Telecommunications, Inc.* 5,670
83,900 General Electric Co. 7,635
98,600 Intel Corp. 9,410
---------
22,715
---------
FOOD AND BEVERAGES - 3.9%
155,600 Coca-Cola Co. 7,916
70,900 Sara Lee Corp. 2,535
---------
10,451
---------
INDUSTRIAL INSTRUMENTS - 4.1%
116,600 Hewlett-Packard Co. $ 5,684
95,500 Raytheon Co. 5,312
---------
10,996
---------
INSURANCE SERVICES - 2.8%
46,000 American International Group, Inc. 4,635
34,400 MBIA, Inc. 2,950
---------
7,585
---------
MACHINERY - 0.9%
61,100 Deere & Co. 2,566
---------
OIL AND GAS - 8.9%
68,600 Amoco Corp. 4,836
30,000 Atlantic Richfield Co. 3,825
66,100 Exxon Corp. 5,503
21,100 Mobil Corp. 2,442
48,900 Royal Dutch Petroleum Co. 7,635
---------
24,241
---------
PAPER PRODUCTS - 2.0%
62,100 Kimberly-Clark Corp. 5,473
---------
PHARMACEUTICALS - 12.6%
73,400 American Home Products Corp. 4,679
84,900 Amgen, Inc.* 5,359
186,700 Johnson & Johnson 9,568
95,100 Lilly (Eli) & Co. 6,134
105,400 Pfizer, Inc. 8,340
---------
34,080
---------
PROFESSIONAL SERVICES - 12.7%
114,500 Automatic Data Processing, Inc. 4,995
105,900 Computer Associates International, Inc. 6,328
88,100 First Data Corp. 7,191
75,700 McAfee Associates, Inc.* 5,223
62,900 Microsoft Corp.* 8,295
53,650 Oracle Corp.* 2,283
---------
34,315
---------
RETAIL - 11.3%
111,200 Cracker Barrel Old Country Store, Inc. 2,516
121,300 Home Depot (The), Inc. 6,899
121,800 Kohl's Corp.* 4,385
RETAIL - 11.3% (CONT'D.)
229,700 PETsMART, Inc.* $ 5,944
167,400 Starbucks Corp.* 5,524
147,900 Walgreen Co. 5,472
---------
30,740
---------
STEEL PRODUCTS - 1.0%
47,700 Aluminum Co. of America 2,814
---------
TRANSPORTATION PARTS AND
EQUIPMENT - 3.5%
98,900 Boeing Co. 9,346
---------
U.S. GOVERNMENT AGENCY - 2.1%
161,000 Federal National Mortgage Association 5,615
---------
Total Common Stocks
(cost $205,432) 253,312
---------
PRINCIPAL
AMOUNT
(000S)
- ----------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 6.3%
$10,841 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.875%, 10/1/96 10,841
6,114 FHLB Discount Note,
5.70%, 10/1/96 6,114
---------
Total Short-Term Investments
(cost $16,956) 16,955
---------
NUMBER
OF CONTRACTS
- ----------------------------------------------------------------------
OPTIONS PURCHASED - 0.1%
117 Call Option on S&P 500
Expiring December 1996 @ $685 272
---------
Total Options Purchased
(cost $252) 272
---------
Total Investments - 99.9%
(cost $222,640) 270,539
---------
NUMBER VALUE
OF CONTRACTS (000S)
- ----------------------------------------------------------------------
OPTIONS WRITTEN - (0.1)%
117 Put Option on S&P 500
Expiring December 1996 @ $685 $ (180)
---------
Total Options Written
(Premium received $222) (180)
---------
Other Assets less Other Liabilities - 0.2% 524
---------
NET ASSETS - 100.0% $270,883
=========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
SELECT EQUITY FUND
NUMBER VALUE
OF SHARES (000S)
- ----------------------------------------------------------------------
COMMON STOCKS - 98.6%
BANKING - 2.5%
20,000 State Street Boston Corp. $1,148
---------
COMMUNICATIONS - 3.4%
13,000 AT&T Corp. 679
35,000 Ericsson (L.M.) Telephone Co.
ADR, Class B 888
---------
1,567
---------
COMPUTERS AND OFFICE MACHINES - 7.6%
10,000 Cisco Systems, Inc.* 621
15,000 Electronic Data Systems Corp. 921
15,000 Lucent Technologies, Inc. 688
9,000 Parametric Technology Corp.* 444
30,000 Reynolds&Reynolds Co., Class A 784
---------
3,458
---------
CONSUMER PRODUCTS - 5.5%
12,800 Philip Morris Cos., Inc. 1,149
14,000 Procter & Gamble Co. 1,365
---------
2,514
---------
COSMETICS AND PERSONAL CARE - 2.4%
10,000 Avon Products, Inc. 496
8,500 Gillette Co. 613
---------
1,109
---------
ELECTRONICS AND OTHER ELECTRICAL
EQUIPMENT - 17.2%
18,000 ADC Telecommunications, Inc.* 1,152
26,000 General Electric Co. 2,366
16,000 Intel Corp. 1,527
25,000 Linear Technology Corp. 922
12,000 Tellabs, Inc.* 848
25,500 Thermo Electron Corp.* 1,033
---------
7,848
---------
FOOD AND BEVERAGES - 1.6%
18,000 Panamerican Beverages, Inc., Class A 740
---------
HEALTH SERVICES - 2.2%
40,000 Health Management Associates, Inc.,
Class A* 995
---------
INDUSTRIAL INSTRUMENTS - 2.6%
10,000 Hewlett-Packard Co. $ 487
4,000 Input/Output, Inc.* 119
10,000 Raytheon Co. 556
---------
1,162
---------
INSURANCE SERVICES - 2.7%
12,000 American International Group, Inc. 1,209
---------
MACHINERY - 1.7%
16,000 Roper Industries, Inc. 756
---------
MEDICAL PRODUCTS AND EQUIPMENT - 3.0%
28,000 Invacare Corp. 784
8,000 Luxottica Group, S.p.A. ADR 582
---------
1,366
---------
METAL PRODUCTS - 2.1%
16,000 Diebold, Inc. 934
---------
PHARMACEUTICALS - 14.3%
21,000 Abbott Laboratories 1,034
18,000 Amgen, Inc.* 1,136
8,500 Bristol-Myers Squibb Co. 819
11,000 Idexx Laboratories, Inc.* 498
20,000 Johnson & Johnson 1,025
17,000 Merck & Co., Inc. 1,196
10,000 Pfizer, Inc. 791
---------
6,499
---------
PROFESSIONAL SERVICES - 15.3%
17,250 Computer Associates International, Inc. 1,031
7,500 Computer Sciences Corp.* 577
9,500 First Data Corp. 775
11,000 Microsoft Corp.* 1,451
23,000 Oracle Corp.* 979
19,500 Paychex, Inc. 1,131
32,000 Price (T. Rowe) Associates, Inc. 1,040
---------
6,984
---------
RETAIL - 9.6%
10,000 Brinker International, Inc.* 170
15,000 Home Depot (The), Inc. 853
48,000 PETsMART, Inc.* 1,242
20,000 Viking Office Products, Inc.* 600
RETAIL - 9.6% (CONT'D.)
16,000 Walgreen Co. $ 592
35,000 Wal-Mart Stores, Inc. 923
---------
4,380
---------
TRANSPORTATION PARTS AND
EQUIPMENT - 2.4%
30,000 Wisconsin Central Transportation Corp.* 1,076
---------
U.S. GOVERNMENT AGENCY - 2.5%
33,000 Federal National Mortgage Association 1,151
---------
Total Common Stocks
(cost $37,373) 44,896
---------
PRINCIPAL
AMOUNT
(000S)
- ----------------------------------------------------------------------
SHORT-TERM INVESTMENT - 1.2%
$550 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.875%, 10/1/96 550
---------
Total Short-Term Investment
(cost $550) 550
---------
Total Investments - 99.8%
(cost $37,923) 45,446
Other Assets less Liabilities - 0.2% 90
---------
NET ASSETS - 100.0% $45,536
=========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
SMALL CAP FUND
NUMBER VALUE
OF SHARES (000S)
- ----------------------------------------------------------------------
COMMON STOCKS - 95.8%
AEROSPACE - 0.6%
14,600 Aviall, Inc. $ 119
18,200 Thiokol Corp. 853
3,500 TransTechnology Corp. 63
---------
1,035
---------
APPAREL - 1.0%
9,100 Bell Sports Corp.* 63
6,600 Chic By H.I.S., Inc.* 29
23,000 Dexter Corp. 687
7,900 Farah, Inc.* 58
4,300 Garan, Inc. 72
15,200 Kellwood Co. 253
4,000 Movado Group, Inc. 101
6,900 Oxford Industries, Inc. 119
19,900 Phillips-Van Heusen Corp. 221
11,200 Salant Corp.* 35
1,300 Weyco Group, Inc. 52
---------
1,690
---------
BANKING - 8.7%
3,250 Advantage Bancorp, Inc. 106
10,480 Albank Financial Corp. 301
1,600 American Bank of Connecticut 42
3,250 Anchor Bancorp Wisconsin, Inc. 107
3,700 Andover Bancorp, Inc. 94
20,800 Astoria Financial Corp. 603
6,625 BankAtlantic Bancorp, Inc., Class B 89
9,600 Bankers Corp. 175
5,700 Bay View Capital Corp. 203
5,100 Brenton Banks, Inc. 126
5,200 BSB Bancorp, Inc. 133
4,000 California Financial Holding Co. 93
1,800 Calumet Bancorp, Inc.* 51
5,000 Cathay Bancorp, Inc. 82
2,300 CB Bancshares, Inc. 63
3,700 CCB Financial Corp. 203
8,300 Center Financial Corp. 209
7,200 Centura Banks, Inc. 278
2,700 Citfed Bancorp, Inc. 102
18,300 Coast Savings Financial, Inc.* 586
4,200 Coastal Bancorp, Inc. 82
12,500 Commercial Federal Corp. 538
3,300 Community Bank System, Inc. 113
BANKING - 8.7% (CONT'D.)
3,500 CPB, Inc. $102
15,625 Downey Financial Corp. 395
2,995 DS Bancor, Inc. 111
5,300 Eagle Financial Corp. 144
3,250 Eastern Bancorp, Inc. 67
8,200 Evergreen Bancorp., Inc. 121
2,550 Family Bancorp, Inc. 73
1,900 FFLC Bancorp, Inc. 35
4,400 Fidelity Federal Savings Bank of Florida 68
4,700 First Federal Bancshares of Eau Claire, Inc. 85
3,700 First Federal Capital Corp. 83
3,000 First Federal Financial Corp. of Kentucky 59
1,600 First Federal Savings & Loan Association
of East Hartford 30
5,280 First Indiana Corp. 129
4,400 First Palm Beach Bancorp, Inc. 102
5,900 First Republic Bancorp, Inc.* 92
2,400 First Savings Bancorp, Inc. 43
4,200 First Savings Bank, SLA 69
2,550 Firstfed Bancshares, Inc. 42
8,200 FirstFed Financial Corp.* 162
1,995 FNB Corp. 46
4,400 GBC Bancorp 122
13,600 Glendale Federal Bank FSB* 241
10,000 Greater New York Savings Bank 126
2,900 Haven Bancorp, Inc. 74
2,500 Home Federal Bancorp. 73
3,700 Homeland Bankshares Corp. 141
4,200 Horizon Financial Corp. 59
6,900 InterWest Bancorp, Inc. 204
1,890 JeffBanks, Inc. 52
2,700 Jefferson Savings Bancorp, Inc.* 61
1,700 Liberty Bancorp, Inc. 40
7,100 Life Bancorp, Inc. 114
18,400 Long Island Bancorp, Inc. 531
4,411 MAF Bancorp, Inc. 114
3,000 Maryland Federal Bancorp, Inc. 101
2,800 MASSBANK Corp. 93
3,900 Medford Savings Bank 91
2,700 Merchants Bancshares, Inc.* 41
6,180 Mid-America Bancorp 104
9,400 ML Bancorp, Inc. 132
4,730 National City Bancorporation* 85
5,460 NBB Bancorp, Inc. 92
3,591 North Side Savings Bank 173
BANKING - 8.7% (CONT'D.)
12,400 One Bancorp, Inc. $ 429
3,500 PALFED, Inc. 47
2,700 Pennfirst Bancorp, Inc. 36
4,000 Peoples Bank of Bridgeport 99
24,000 Peoples Heritage Financial Group, Inc. 561
2,562 Peoples Holdings Co. 90
3,800 PonceBank 88
4,774 Portsmouth Bank Shares, Inc. 61
8,600 Poughkeepsie Savings Bank, FSB 44
1,800 Progressive Bank, Inc. 57
3,600 Quaker City Bancorp, Inc.* 52
6,000 Queens County Bancorp, Inc. 224
7,300 Reliance Bancorp, Inc. 137
28,900 Riggs National Corp.* 480
26,100 Roosevelt Financial Group, Inc. 447
8,500 Security Capital Corp. 550
1,500 Southwest Bancshares, Inc. 40
16,400 St. Paul Bancorp, Inc. 431
4,400 Sterling Bancorp. 56
3,800 Sterling Financial Corp.* 52
13,800 Sumitomo Bank of California 342
4,100 TF Financial Corp. 60
1,700 Today's Bancorp, Inc. 56
5,700 Triangle Bancorp, Inc. 83
2,875 TriCo Bancshares 60
8,500 US Bancorp 327
3,600 Virginia First Financial Corp. 50
2,300 Walden Bancorp, Inc. 71
6,600 Webster Financial Corp. 233
1,700 Western Ohio Financial Corp. 34
---------
14,598
---------
BROKERAGE SERVICES - 1.3%
6,700 Advest Group, Inc.* 65
4,000 FFVA Financial Corp. 74
3,600 First Southeast Financial Corp. 34
10,200 Great Financial Corp. 289
3,800 HMN Financial, Inc.* 61
7,700 Insurance Auto Auctions, Inc.* 67
8,650 Inter-Regional Financial Group, Inc. 281
4,500 Interstate/Johnson Lane, Inc. 55
23,500 John Alden Financial Corp. 485
6,200 McDonald & Co. Investments, Inc. 150
600 Northern States Financial Corp. 44
3,600 Ottawa Financial Corp. 59
BROKERAGE SERVICES - 1.3% (CONT'D.)
13,300 PEC Israel Economic Corp. $ 228
5,500 Southwest Securities Group, Inc. 63
12,000 Standard Financial, Inc.* 195
5,070 York Financial Corp. 90
---------
2,240
---------
CHEMICALS AND ALLIED PRODUCTS - 4.0%
3,740 Aceto Corp. 50
7,600 Alpha-Beta Technology, Inc.* 82
11,000 Alpharma, Inc. 172
12,200 ARIAD Pharmaceuticals, Inc.* 47
14,600 Biomira, Inc.* 99
7,000 BioWhittaker, Inc.* 46
11,900 Cambrex Corp. 403
46,100 Carter-Wallace, Inc. 571
10,100 Cellpro, Inc.* 131
14,400 Copley Pharmaceutical, Inc.* 203
14,500 COR Therapeutics, Inc.* 145
13,000 Creative BioMolecules, Inc.* 93
5,075 Cytrx Corp.* 20
13,400 Fuller (H.B.) Co. 514
5,500 Genemedicine, Inc.* 23
25,400 Gensia, Inc.* 127
4,200 Hauser Chemical Research, Inc.* 25
6,300 Immucor, Inc.* 67
9,800 ImmuLogic Pharmaceutical Corp.* 80
10,900 Immune Response Corp.* 91
8,100 ImmunoGen, Inc.* 32
10,500 INCSTAR Corp.* 38
5,700 Learonal, Inc. 126
14,550 Life Technologies, Inc. 327
8,400 LSB Industries, Inc. 33
1,300 MacDermid, Inc. 90
3,600 Melamine Chemicals, Inc.* 23
9,000 Mississippi Chemical Corp. 210
24,500 Mycogen Corp.* 349
4,200 National Sanitary Supply Co. 59
7,500 NCH Corp. 415
14,900 NeXstar Pharmaceuticals, Inc.* 313
9,400 OEC Medical Systems, Inc.* 118
8,100 Petrolite Corp. 271
13,400 Pharmaceutical Resources, Inc.* 57
18,100 Pure Tech International, Inc.* 43
6,800 Quaker Chemical Corp. 101
11,200 Rexene Corp. 133
CHEMICALS AND ALLIED
PRODUCTS - 4.0% (CONT'D.)
12,300 Ribi ImmunoChem Research, Inc.* $ 51
13,300 Roberts Pharmaceutical Corp.* 251
4,700 Syborn Chemicals, Inc.* 67
9,400 Systemix, Inc.* 146
8,200 Tetra Technologies, Inc.* 151
11,200 Vertex Pharmaceuticals, Inc.* 330
---------
6,723
---------
COMMUNICATIONS - 1.2%
19,000 American Mobile Satellite Corp., Inc.* 276
13,000 American Paging, Inc.* 75
8,000 Atlantic Tele-Network, Inc.* 162
11,500 Broadband Technologies, Inc.* 236
5,500 Centigram Communications Corp.* 82
17,000 Metromedia International Group, Inc.* 181
12,300 Network Equipment Technologies, Inc.* 168
10,197 Roseville Telephone Co. 252
3,700 STM Wireless, Inc., Class A* 33
1,300 Tadiran Ltd. ADR 33
21,400 True North Communications 495
---------
1,993
---------
COMPUTERS AND OFFICE MACHINES - 3.3%
9,100 Advanced Logic Research, Inc.* 75
4,000 Amplicon, Inc. 75
3,300 Applied Voice Technology, Inc.* 42
10,900 Artisoft, Inc.* 63
7,000 Asante Technolgies, Inc.* 46
31,900 AST Research, Inc.* 160
3,300 Astro-Med, Inc. 29
2,600 Banctec, Inc.* 54
10,200 Caere Corp.* 93
19,600 Concurrent Computer Corp.* 47
8,300 Control Data Systems, Inc.* 192
7,200 Crosscomm Co.* 51
37,200 Data General Corp.* 521
4,900 Data Systems & Software, Inc.* 29
5,100 DH Technology, Inc.* 129
11,400 Dynatech Corp.* 522
15,700 Exabyte Corp.* 236
10,200 General Binding Corp. 239
6,900 Genicom Corp.* 35
5,800 GTI Corp.* 36
7,800 Inacom Corp.* 267
COMPUTERS AND OFFICE
MACHINES - 3.3% (CONT'D.)
44,700 Intergraph Corp.* $ 492
6,300 Microtouch Systems, Inc.* 118
12,300 MTI Technology Corp.* 23
9,800 Network Peripherals, Inc.* 148
6,200 Par Technology Corp.* 88
5,100 Quixote Corp. 38
5,300 Rainbow Technologies, Inc.* 91
29,200 Sequent Computer Systems, Inc.* 380
9,500 Standard Microsystems Corp.* 135
19,600 Stratus Computer, Inc.* 387
10,100 Streamlogic Corp. 23
6,300 Truevision, Inc.* 26
12,300 Tseng Laboratories, Inc.* 98
3,300 Wandel & Goltermann Technologies, Inc.* 62
26,400 Wang Laboratories, Inc.* 515
---------
5,565
---------
CREDIT INSTITUTIONS - 0.8%
4,400 DVI, Inc.* 63
4,700 First Financial Caribbean Corp. 101
7,945 Fund American Enterprises Holdings, Inc. 727
8,100 JSB Financial, Inc. 293
12,000 Ryland Group, Inc. 179
---------
1,363
---------
ELECTRICAL SERVICES - 2.6%
5,800 Bangor Hydro-Electric Co. 58
15,200 Central Hudson Gas & Electric Corp. 452
28,500 Central Maine Power Co. 349
8,900 Central Vermont Public Service Corp. 111
2,700 Compania Boliviana de Energia Electrica, S.A. 120
41,900 Destec Energy, Inc.* 498
17,900 Eastern Utilities Association 302
2,700 Great Bay Power Corp.* 27
3,100 Green Mountain Power Corp. 75
6,200 Interstate Power Co. 180
12,000 Orange and Rockland Utilities, Inc. 420
27,200 Public Service Co. of New Mexico 530
21,600 Sierra Pacific Resources 559
7,800 TNP Enterprises, Inc. 193
12,400 United Illuminating Co. 426
2,800 Unitil Corp. 58
3,000 Upper Penninsula Energy Corp. 56
---------
4,414
---------
ELECTRONICS AND OTHER ELECTRICAL
EQUIPMENT - 5.4%
2,312 A+ Network, Inc.* $ 18
7,700 Aeroflex, Inc.* 39
11,200 Amtech Corp.* 78
7,000 ANADAGICS, Inc.* 182
16,400 ANTEC Corp.* 241
18,800 Applied Magnetics Corp.* 334
15,300 Augat, Inc. 325
4,400 Aydin Corp.* 44
5,200 Bel Fuse, Inc.* 62
2,600 Benchmark Electronics, Inc.* 78
12,700 Brooktree Corp.* 189
13,500 Brown Group, Inc. 315
11,500 California Microwave, Inc.* 153
15,800 Canadian Marconi Co.* 190
11,700 Compression Laboratories, Inc.* 76
4,500 CTS Corp. 190
23,100 Dallas Semiconductor Corp. 422
2,900 Davel Communications Group, Inc.* 50
13,000 Digital Sound Corp.* 20
7,300 Digital Systems International, Inc.* 130
5,200 DII Group, Inc.* 109
3,100 Dynamics Corporation of America 90
6,400 Electromagnetic Sciences, Inc.* 110
6,400 Evans & Sutherland Computer Corp.* 158
8,400 Exar Corp.* 121
30,300 Executone Information Systems, Inc.* 91
8,600 Exide Electronics Group, Inc.* 92
18,900 FSI International, Inc.* 208
5,300 Fusion Systems Corp.* 95
4,400 Galileo Electro-Optics Corp.* 109
14,900 General Datacomm Industries, Inc.* 167
9,800 Genlyte Group, Inc.* 89
3,900 Hutchinson Technologies, Inc.* 149
5,800 IEC Electronics Corp.* 41
2,300 Industrial Scientific Corp.* 33
6,700 Intermedia Communications, Inc.* 196
9,600 Jabil Circuit, Inc.* 168
6,100 Kopin Corp.* 58
8,600 Kuhlman Corp. 126
3,500 LXE, Inc.* 35
21,700 MagneTek, Inc.* 250
8,600 Micronics Computers, Inc.* 18
5,300 National Presto Industries, Inc. 199
7,200 Netrix Corp.* 53
ELECTRONICS AND OTHER ELECTRICAL
EQUIPMENT - 5.4% (CONT'D.)
8,300 Park Electrochemical Corp. $ 169
19,700 Pioneer Standard Electronics, Inc. 222
9,300 Pittencrieff Communications, Inc.* 50
7,350 Pittway Corp. 328
6,800 Powell Industries, Inc.* 63
8,100 QMS, Inc.* 50
3,400 Quality Semiconductor, Inc.* 24
8,700 Quickturn Design Systems, Inc.* 119
5,000 Reptron Electonics, Inc.* 89
3,500 Robinson Nugent, Inc. 16
15,600 Royal Appliance Manufacturing Co.* 99
25,700 Silicon Valley Group, Inc.* 456
3,800 Siliconix, Inc.* 67
10,000 Standard Motor Products, Inc. 143
4,000 Stanford Telecommunications, Inc.* 200
8,100 Telco Systems, Inc.* 154
8,600 Telebit Corp.* 113
7,900 Thomas Industries, Inc. 153
9,400 United Industrial Corp. 54
5,400 Universal Electronics, Inc.* 32
16,100 Valence Technology, Inc.* 95
3,200 Vertex Communications Corp.* 54
12,600 Windmere Corp. 173
9,900 Wyle Electronics 318
---------
9,142
---------
FOOD AND BEVERAGES - 1.1%
5,600 Bertuccis, Inc.* 26
2,900 Genesee Corp., Class B 121
9,400 Golden Poultry Co., Inc. 94
7,100 J&J Snack Foods Corp.* 76
14,500 Michael Foods, Inc. 150
6,300 Midwest Grain Products, Inc. 86
6,500 Orange-co., Inc.* 50
17,800 Pilgrims Pride Corp. 154
11,000 Riviana Foods, Inc. 176
22,900 Rykoff-Sexton, Inc. 329
10,250 Sanderson Farms, Inc. 115
5,800 Sanfilippo (John B.) & Son, Inc.* 36
1,000 Seaboard Corp. 210
7,800 Stokely U.S.A., Inc.* 21
4,800 Thorn Apple Valley, Inc.* 57
13,200 WLR Foods, Inc. 153
---------
1,854
---------
FOOD AND MANUFACTURING - 0.4%
8,265 Chock Full O'Nuts Corp.* $ 40
1,300 Farmer Bros. Co. 196
6,700 Imperial Holly Corp.* 101
11,700 Morningstar Group, Inc.* 135
17,000 Savannah Foods & Industries, Inc. 236
13,640 Zapata Corp.* 49
---------
757
---------
FURNITURE AND FIXTURES - 1.3%
10,300 Bassett Furniture Industries, Inc. 245
12,600 Ethan Allen Interiors, Inc.* 392
4,700 Flexsteel Industries, Inc. 55
4,850 Knape & Vogt Manufacturing Co. 72
17,200 La-Z-Boy Chair Co. 518
3,300 LADD Furniture, Inc. 45
13,600 Miller (Herman), Inc. 551
12,600 O'Sullivan Industrial Holdings, Inc.* 112
3,100 Pulaski Furniture Corp. 47
7,400 Rhodes, Inc. 56
2,000 Virco Manufacturing Corp. 29
6,200 Winsloew Furniture, Inc.* 43
---------
2,165
---------
GENERAL BUILDING CONTRACTORS - 1.8%
5,100 Amrep Corp.* 25
5,300 Beazer Homes USA, Inc.* 76
6,200 Cameron Ashley, Inc.* 78
4,600 Christiana Cos., Inc.* 101
5,800 Continental Homes Holding Corp. 104
14,600 Engle Homes, Inc. 110
37,400 Kaufman & Broad Home Corp. 486
26,800 Lennar Corp. 596
14,500 M.D.C. Holdings, Inc. 98
8,100 M/I Schottenstein Homes, Inc.* 71
19,200 Morrison Knudsen Corp.* 187
8,100 Nortek, Inc.* 111
4,100 Perini Corp.* 37
14,400 Schuler Homes, Inc.* 97
22,200 Standard-Pacific Corp. 128
9,800 Thor Industries, Inc. 234
3,400 Turner Corp.* 38
8,300 U.S. Home Corp.* 170
13,200 Webb (Del E.) Corp. 229
---------
2,976
---------
GLASS, CLAY AND STONE PRODUCTS - 1.5%
3,500 Ameron International Corp. $ 135
21,500 Calmat Co. 398
6,200 Florida Rock Industries, Inc. 179
6,900 Giant Cement Holding, Inc.* 103
5,400 Green (A.P.) Industries, Inc. 54
19,700 Jannock Ltd. 225
19,200 Justin Industries, Inc. 209
4,600 Puerto Rican Cement Co., Inc. 132
8,500 Sola International, Inc.* 689
15,300 Southdown, Inc. 377
---------
2,501
---------
HEALTH SERVICES - 5.1%
6,300 American Healthcorp, Inc.* 67
12,050 American Homepatient, Inc.* 268
9,350 BEC Group, Inc.* 48
9,724 Block Drug Co., Inc. 436
8,800 Bon-Ton Stores, Inc.* 51
5,500 BRC Holdings, Inc.* 198
22,100 Coastal Physican Group, Inc.* 135
35,200 Community Psychiatric Centers* 330
25,700 Coram Healthcare Corp.* 100
11,500 Datascope Corp.* 198
8,200 Faulding, Inc.* 56
14,100 Genesis Health Ventures, Inc.* 397
22,200 GranCare, Inc.* 427
24,600 Haemonetics Corp.* 507
8,900 Health Images, Inc. 119
6,000 Health Management, Inc.* 27
6,511 Healthcare Service Group* 71
20,600 Herbalife International, Inc. 319
44,200 Kinetic Concepts, Inc. 638
19,300 Living Centers of America, Inc.* 483
223 Lynx Therapeutics, Inc.* 1
9,900 Matria Healthcare, Inc.* 71
6,400 Maxxim Medical, Inc.* 91
12,300 Mediq, Inc.* 72
12,216 Molecular Biosystems, Inc.* 104
65,200 NovaCare, Inc.* 611
5,200 PCI Services, Inc.* 142
9,100 PerSeptive Biosystems, Inc.* 64
3,900 Rehabcare Group, Inc.* 74
12,800 Renal Treatment Centers, Inc.* 426
15,200 Staff Builders, Inc.* 46
5,400 Summit Care Corp.* 119
HEALTH SERVICES - 5.1% (CONT'D.)
39,400 Sun Healthcare Group, Inc.* $ 512
18,900 TheraTx, Inc.* 224
11,400 Transcend Services, Inc.* 54
23,200 Unilab Corp.* 16
4,500 United American Healthcare Corp.* 38
22,200 Universal Health Services, Inc., Class B* 605
6,603 Wellpoint Health Networks, Inc., Class A* 215
15,600 Xoma Corp.* 85
5,000 Zoll Medical Corp.* 78
---------
8,523
---------
HEAVY CONSTRUCTION - 0.3%
6,100 Apogee Enterprises, Inc.* 41
7,000 Atkinson (G.F.) Co.* 85
5,000 Banister Foundation, Inc.* 36
16,500 Granite Construction, Inc. 342
688 Valley Systems, Inc. 1
---------
505
---------
INDUSTRIAL INSTRUMENTS - 2.8%
21,500 Acuson Co.* 368
13,200 Advanced Technology Laboratories, Inc.* 422
5,300 Analogic Corp. 151
9,500 Circon Corp.* 166
7,400 Coherent, Inc.* 261
7,600 Core Industries, Inc. 104
3,500 CPAC, Inc.* 40
7,350 Cubic Corp. 143
9,200 Daniel Industries, Inc. 117
2,600 Datum, Inc.* 29
10,400 Fisher Scientific International 429
4,700 FLIR Systems, Inc.* 62
6,000 Fluke Corp. 221
7,400 Hach Co. 135
4,500 IFR System, Inc.* 70
4,500 Instron Corp. 54
3,600 Isco, Inc. 35
2,400 JPE, Inc.* 21
2,800 Keithley Instruments, Inc. 25
14,400 Measurex Corp. 380
4,000 Medex, Inc. 59
4,200 Medicus Systems Corp. 26
3,800 Mine Safety Appliances Co. 192
5,800 MTS Systems Corp. 115
7,500 Newport Corp. 64
INDUSTRIAL INSTRUMENTS - 2.8% (CONT'D.)
7,400 Optical Coating Laboratory, Inc. $ 90
4,500 Polymedica Industries, Inc.* 25
4,200 Primesource Corp. 28
4,600 Protocol Systems, Inc.* 76
534 Starrett (L.S.) Co., Class B 12
13,500 Sunrise Medical, Inc.* 214
5,300 Tech-Sym Corp.* 152
6,600 TSI, Inc. 56
5,800 Watkins-Johnson Co. 118
2,700 Woodward Governor Co. 248
---------
4,708
---------
INSURANCE SERVICES - 6.0%
4,600 Allcity Insurance Co.* 38
11,300 Allied Group, Inc. 435
4,600 American Eagle Group, Inc. 20
10,200 American Travellers Corp.* 338
3,800 Baldwin & Lyons, Inc., Class B 70
10,800 Berkley (W.R.) Corp. 494
15,800 Capital RE Corp. 600
11,000 Capsure Holdings Corp.* 201
37,300 Citizens Corp. 816
3,700 Donegal Group, Inc. 67
8,300 EMC Insurance Group, Inc. 91
16,300 Enhance Financial Services Group, Inc. 538
20,728 Financial Security Assurance Holdings Ltd. 611
8,200 First American Financial Corp. 288
24,140 Fremont General Corp.* 712
5,300 Gryphon Holdings, Inc.* 73
10,384 Guaranty National Corp. 165
11,600 Harleysville Group, Inc. 302
4,200 Home Beneficial Corp., Class B 104
13,800 Integon Corp. 255
4,900 Intercargo Corp. 42
4,000 Kansas City Life Insurance Co. 222
7,000 Lawyers Title Corp. 149
2,000 Merchants Group, Inc. 37
4,400 Meridian Insurance Group, Inc. 63
2,000 Midland Co. 75
3,800 Nobel Insurance Ltd. 43
8,400 Nymagic, Inc. 147
4,400 Penn Treaty American Corp.* 105
4,100 Pioneer Financial Services, Inc. 67
15,400 Piper Jaffray Cos., Inc. 187
24,100 Presidential Life Corp. 265
INSURANCE SERVICES - 6.0% (CONT'D.)
3,200 Professionals Insurance Company
Management Group* $ 72
6,900 PXRE Corp. 158
6,300 RLI Corp. 164
4,200 Seafield Capital Corp. 149
16,800 Sierra Health Services, Inc.* 578
16,100 Sphere Drake Holdings Ltd. 145
4,050 Stewart Information Services Corp. 84
7,050 United Fire & Casualty Co. 226
9,300 United Wisconsin Services, Inc. 272
8,700 Washington National Corp. 251
16,500 Zenith National Insurance Corp. 450
---------
10,169
---------
JEWELRY AND PRECIOUS METALS - 0.1%
19,500 Jan Bell Marketing, Inc.* 43
7,600 Syratech Corp.* 186
---------
229
---------
LUMBER AND WOOD PRODUCTS - 1.0%
24,000 Chesapeake Corp. 660
6,900 Fibreboard Corp.* 242
11,000 Ply Gem Industries, Inc. 135
10,800 Pope & Talbot, Inc. 166
8,200 Skyline Corp. 226
12,400 T.J. International, Inc. 226
---------
1,655
---------
MACHINERY - 1.3%
7,400 Ampco-Pittsburgh Corp. 88
4,900 Amtrol, Inc. 135
7,800 Astec Industries, Inc.* 68
3,000 Binks Manufacturing Co. 66
13,500 Commercial Intertech Corp. 155
6,000 DT Industries, Inc. 203
7,800 Furon Co. 195
3,100 Gardner Denver Machinery, Inc.* 95
5,000 Gehl Co.* 38
30,200 Giddings & Lewis, Inc. 359
17,800 Global Industrial Technologies, Inc.* 327
5,800 Katy Industries, Inc. 63
13,900 Kulicke & Soffa Industries, Inc.* 158
5,400 Lufkin Industries, Inc. 112
5,958 Raymond Corp. 112
3,000 Twin Disc, Inc. 68
MACHINERY - 1.3% (CONT'D.)
2,700 Unit Instruments, Inc.* $ 24
---------
2,266
---------
MANUFACTURING-GENERAL - 0.8%
3,800 Applied Science & Technology, Inc.* 29
6,800 Bairnco Corp. 44
7,800 Chemed Corp. 296
7,700 Elcor Corp. 146
2,500 Fuqua Enterprises, Inc.* 59
5,400 Hunt Manufacturing Co. 91
4,300 LaCrosse Footwear, Inc. 46
4,500 Oil-Dri Corporation of America 62
10,900 Samsonite Corp.* 298
5,500 Superior Surgical Manufacturing Co., Inc. 65
7,700 Union Switch & Signal, Inc.* 54
8,800 Zurn Industries, Inc. 197
---------
1,387
---------
METAL PRODUCTS - 0.9%
3,000 Douglas & Lomason Co. 93
5,500 Fansteel, Inc.* 38
2,600 General Housewares Corp. 26
5,600 Hardinge, Inc. 134
3,800 International Aluminum Corp. 93
4,800 Maverick Tube Corp.* 67
5,600 Olympic Steel, Inc.* 151
3,000 Pitt-Des Moines, Inc. 128
5,600 Shaw Group, Inc.* 195
3,700 SPS Technologies, Inc.* 234
4,850 Varlen Corp. 108
19,003 WHX Corp.* 192
---------
1,459
---------
MINING - 2.4%
10,400 Addington Resources, Inc.* 267
91,900 Amax Gold, Inc.* 517
9,700 Ashland Coal, Inc. 241
7,000 Basin Exploration, Inc.* 49
35,500 Cambior, Inc. 493
75,600 Campbell Resources, Inc.* 76
11,300 Cleveland Cliffs, Inc. 452
15,700 Coeur D'Alene Mines Corp. 226
22,000 Granges, Inc.* 33
36,600 Hecla Mining Co.* 243
7,200 HS Resources, Inc.* 95
MINING - 2.4% (CONT'D.)
47,500 Meridian Gold, Inc.* $ 196
12,600 MK Gold Co.* 18
10,401 Nord Resources Corp.* 60
36,900 Pegasus Gold, Inc.* 374
2,800 Penn Virginia Corp. 101
125,300 Royal Oak Mines, Inc.* 493
13,200 Wharf Resources Ltd. 77
6,802 Zemex Corp.* 53
---------
4,064
---------
MISCELLANEOUS INVESTING INSTITUTIONS - 1.1%
10,900 Acceptance Insurance Cos., Inc.* 206
4,190 Cenfed Financial Corp. 104
4,551 CFX Corp. 68
3,300 Dime Financial Corp. 57
3,700 FFY Financial Corp. 89
4,900 First Essex Bancorp, Inc. 59
2,000 First Liberty Financial Corp. 50
2,900 First Northern Capital Corp. 49
1,800 First State Corp. 41
1,750 Hinsdale Financial Corp.* 41
4,000 Indiana Federal Corp. 81
900 Lynch Corp.* 62
4,700 Norwich Financial, Inc. 82
13,700 RCSB Financial, Inc. 366
6,100 Security-Connecticut Corp. 191
5,000 St. Francis Capital Corp. 129
6,500 T R Financial Corp. 189
3,900 Westerfed Financial Corp. 63
---------
1,927
---------
NATURAL GAS TRANSMISSION - 0.9%
2,300 EnergyNorth, Inc. 44
6,000 NUI Corp. 114
3,700 Pennsylvania Enterprises, Inc. 154
9,500 Piedmont Natural Gas Co. 229
3,600 Providence Energy Corp. 63
10,429 Southern Union Co.* 242
20,700 Southwest Gas Corp. 362
22,600 Western Gas Resources, Inc. 339
---------
1,547
---------
OIL AND GAS - 2.8%
3,010 American Exploration Co.* 37
4,300 Atwood Oceanics, Inc.* 189
OIL AND GAS - 2.8% (CONT'D.)
8,600 Belden & Blake Corp.* $ 200
3,800 Callon Petroleum Co.* 49
16,500 Camco International, Inc. 617
7,100 Chieftain International, Inc.* 147
4,500 Cliffs Drilling Co.* 155
7,100 Connecticut Energy Corp. 142
3,000 Crystal Oil Co.* 108
4,200 Edisto Resources Corp.* 42
2,200 GulfMark InternationaI, Inc.* 101
3,200 Howell Corp. 49
27,100 Marine Drilling Cos., Inc.* 261
4,200 Norex America, Inc.* 111
85,800 Numac Energy, Inc.* 370
6,800 PetroCorp, Inc.* 59
10,000 Pool Energy Services Co.* 126
102,000 Ranger Oil Ltd. 765
9,300 RPC, Inc.* 106
14,900 Serenpet, Inc.* 41
22,600 Snyder Oil Corp. 267
11,000 Stolt Comex Seaway S.A.* 127
4,640 Swift Energy Co.* 111
12,000 Tuboscope Vetco International Corp.* 188
13,600 Unit Corp.* 80
7,400 USX-Delhi Group 105
5,800 Wiser Oil Co. 83
---------
4,636
---------
PAPER PRODUCTS - 0.2%
5,300 Nashua Corp.* 71
9,000 Paragon Trade Brands, Inc.* 210
---------
281
---------
PERSONAL SERVICES - 0.9%
5,500 Ballys Grand, Inc.* 192
6,000 Boomtown, Inc.* 25
7,400 Harveys Casino Resorts 126
18,700 Marcus Corp. 449
19,500 President Casino's, Inc.* 22
22,300 Prime Hospitality Corp.* 368
15,200 Rio Hotel & Casino* 239
5,300 Sholodge, Inc.* 74
---------
1,495
---------
PETROLEUM PRODUCTS - 1.0%
11,500 Coho Energy, Inc.* $ 82
3,300 Crown Central Petroleum Corp., Class B* 45
43,400 E-Z Serve Corp.* 81
8,600 Giant Industries, Inc. 124
29,300 Parker & Parsley Petroleum Co. 765
18,500 Tesoro Petroleum Corp.* 238
33,500 Total Petroleum (North America) Ltd. 349
---------
1,684
---------
PRINTING AND PUBLISHING - 1.5%
13,300 American Business Products, Inc. 296
12,600 Bowne & Co., Inc. 288
7,300 CSS Industries, Inc.* 168
12,200 Gibson Greetings, Inc.* 177
13,600 Golden Books Family Entertainment, Inc.* 158
7,000 Graphic Industries, Inc. 61
25,200 Standard Register Co. 696
3,200 T/SF Communications Corp.* 72
28,750 World Color Press, Inc.* 640
---------
2,556
---------
PROFESSIONAL SERVICES - 4.9%
28,300 Allwaste, Inc.* 120
12,600 Banyan Systems, Inc.* 68
12,200 BE Aerospace, Inc.* 252
21,900 Borland International, Inc.* 151
9,000 Cerplex Group, Inc.* 45
2,000 Comnet Corp.* 25
4,800 Computer Data Systems, Inc. 115
6,100 Cyberonics, Inc.* 38
7,000 Cyrk, Inc.* 73
3,800 Dataware Technologies Co.* 14
4,900 Encore Wire Corp.* 72
7,100 Envoy Corp.* 275
19,200 Gerber Scientific, Inc. 274
6,400 GMIS, Inc.* 154
700 Grey Advertising, Inc. 163
10,700 Group Technologies Corp.* 21
19,700 Information Resources, Inc.* 260
21,200 Integrated Health Services, Inc. 535
12,900 Interim Services, Inc.* 551
9,200 Interleaf, Inc.* 22
5,600 Isomedix, Inc.* 78
8,700 Keane, Inc.* 418
25,000 Kenetech Corp.* 6
PROFESSIONAL SERVICES - 4.9% (CONT'D.)
9,000 Labone, Inc. $ 151
13,100 Landmark Graphics Corp.* 385
7,300 Lasermaster Technologies, Inc.* 36
3,000 MTL, Inc.* 59
20,870 National Auto Credit, Inc.* 240
10,400 Netframe Systems, Inc.* 31
10,300 Network Computing Devices, Inc.* 64
19,900 OHM Corp.* 157
5,000 ParcPlace-Digitalk, Inc.* 19
10,100 Pharmaceutical Marketing Services, Inc.* 91
6,600 Pinkerton's, Inc.* 157
20,000 Primark Corp.* 548
9,400 Prime Medical Services, Inc.* 125
10,900 Protein Design Laboratories, Inc.* 186
11,300 Retix Co.* 92
41,200 Rollins Truck Leasing Corp. 464
26,500 Santa Cruz Operation, Inc.* 176
4,700 Serv-Tech, Inc.* 14
6,700 State of the Art, Inc.* 79
8,700 Syquest Technology, Inc.* 55
12,100 Telxon Corp. 169
3,600 Treadco, Inc. 29
10,300 Tricord Systems, Inc.* 28
3,000 Union Corp.* 68
10,800 Viewlogic Systems, Inc.* 126
6,200 Volt Information Sciences, Inc.* 260
9,900 Walker Interactive Systems* 118
7,000 Wall Data, Inc.* 159
4,600 White River Corp.* 285
11,800 Xircom Co.* 192
---------
8,293
---------
REAL ESTATE - 0.4%
5,800 Ambassador Apartments, Inc. 105
6,400 Avatar Holdings, Inc.* 200
2,300 Cardinal Realty Services, Inc.* 45
5,000 Felcor Suite Hotels, Inc. 161
11,700 NVR, Inc.* 110
6,100 Winston Hotels, Inc. 79
---------
700
---------
RECREATIONAL - 0.5%
9,800 Cinergi Pictures Entertainment, Inc.* 20
5,900 Coastcast Corp.* 91
7,500 Lodgenet Entertainment Corp.* 92
RECREATIONAL - 0.5% (CONT'D.)
5,200 Meridian Sports, Inc.* $ 7
4,800 Mountasia Entertainment Internationa1* 13
14,400 Outboard Marine Corp. 221
10,000 Showboat, Inc. 220
25,500 Tyco Toys, Inc.* 147
7,000 Video Lottery Technologies, Inc.* 26
---------
837
---------
RECREATIONAL SERVICES - 0.9%
3,500 AMC Entertainment, Inc.* 55
8,900 American Classic Voyages Co. 83
5,600 American Recreation Centers, Inc. 31
41,500 Aztar Corp.* 363
5,500 Carmike Cinemas, Inc.* 127
74,300 Cineplex Odeon Corp.* 111
7,300 GC Cos., Inc.* 263
11,900 Hollywood Park, Inc.* 92
8,300 Iwerks Entertainment, Inc.* 58
7,200 Jackpot Enterprises, Inc. 72
7,800 Mikohn Gaming Corp. 69
19,600 Savoy Pictures Entertainment, Inc.* 49
13,600 Starsight Telecast Co.* 114
---------
1,487
---------
RESEARCH AND CONSULTING SERVICES - 0.9%
18,300 Applied Bioscience International, Inc.* 195
8,900 Cell Genesys, Inc.* 61
3,100 Continental Can, Inc.* 40
16,600 Dames & Moore, Inc. 222
4,300 Failure Group, Inc.* 27
4,000 Nichols Research Corp.* 119
11,100 Oncogene Science, Inc.* 99
26,000 Scios, Inc.* 161
7,900 SpaceLabs Medical, Inc.* 170
12,700 Stone & Webster, Inc. 398
4,500 Tracor, Inc.* 93
983 URS Corp.* 8
---------
1,593
---------
RETAIL - 6.8%
10,900 Aldila, Inc.* 43
16,500 AnnTaylor Stores Corp.* 278
10,500 Baker (J.), Inc. 64
5,200 Bell Microproducts, Inc.* 40
23,300 Best Products, Inc.* 8
RETAIL - 6.8% (CONT'D.)
16,300 Big B, Inc. $271
8,600 Bindley Western Industries, Inc. 151
8,200 Blair Corp. 176
5,000 Brookstone, Inc.* 54
6,800 Brothers Gourmet Coffees, Inc.* 18
35,700 Burlington Coat Factory Warehouse Co.* 393
6,800 Buttrey Food & Drug Stores Co.* 51
10,900 Caldor Corp.* 22
7,606 Carr-Gottstein Foods Co.* 31
15,100 Carson Pirie Scott & Co.* 402
21,200 Cash America International, Inc. 151
5,000 Catherines Stores Corp.* 36
6,900 Central Tractor Farm & Country, Inc.* 81
74,000 Charming Shoppes, Inc.* 444
6,600 Chart House Enterprises, Inc.* 37
33,800 Checkers Drive-In Restaurants, Inc.* 33
3,600 Crown Books Corp.* 36
6,100 Davco Restaurants, Inc. * 52
5,700 Delchamps, Inc. 114
12,000 Designs, Inc.* 80
16,100 Dress Barn, Inc.* 175
8,500 Drug Emporium, Inc.* 36
17,700 Duty Free International, Inc. 243
15,400 Eagle Hardware & Garden, Inc.* 416
14,500 Edison Brothers Stores, Inc.* 22
14,000 Egghead, Inc.* 84
8,000 Ernst Home Center, Inc.* 10
3,900 Fabri-Centers of America, Inc., Class A* 50
3,900 Fabri-Centers of America, Inc., Class B* 50
13,300 Fay's, Inc. 170
15,200 Filene's Basement Corp.* 67
44,500 Fingerhut Cos., Inc. 590
4,463 Frisch's Restaurants, Inc. 64
32,500 Furniture Brands International, Inc.* 475
15,147 General Host Corp.* 42
10,300 Good Guys, Inc.* 82
8,000 Gottschalks, Inc.* 41
7,000 Grossmans, Inc.* 26
6,800 Haggar Corp. 99
6,800 Haverty Furniture, Inc. 73
8,800 Helen of Troy Ltd.* 132
8,300 Hi-Lo Automotive, Inc.* 28
7,655 Hills Stores Co.* 55
8,500 Intertan, Inc.* 54
4,800 Jacobson Stores, Inc. 42
RETAIL - 6.8% (CONT'D.)
4,900 Krystal Co.* $ 27
11,800 Lechters, Inc.* 65
7,700 Lillian Vernon Corp. 96
16,900 Michaels Stores, Inc.* 248
24,900 Musicland Stores Corp.* 37
3,400 Noodle Kidoodle, Inc.* 26
8,100 One Price Clothing Stores, Inc.* 27
3,700 Oshman's Sporting Goods, Inc.* 22
15,800 Payless Cashways, Inc.* 28
8,100 Piccadilly Cafeterias, Inc. 76
10,100 Rally's Hamburgers, Inc.* 31
10,100 Rally's Hamburgers, Inc. Rights* 5
15,800 Ross Stores, Inc. 569
50,000 Ryan's Family Steak Houses, Inc.* 381
3,200 Schultz Sav-o Stores, Inc. 42
3,300 Seaman Furniture, Inc.* 61
8,400 Shoe Carnival, Inc.* 44
29,400 Shopko Stores, Inc. 467
7,950 Showbiz Pizza Time, Inc.* 144
20,000 Sizzler International, Inc.* 45
4,725 Smith's Food & Drug Centers, Inc., Class B 125
4,400 Sport Supply Group, Inc.* 24
13,600 Sports & Recreation, Inc.* 114
12,200 Stant Corp. 131
4,500 Strawbridge & Clothier, Class A 91
11,300 Sun Television & Appliance, Inc. 37
5,500 Swiss Army Brands, Inc.* 70
11,400 Syms Corp.* 94
12,100 Taco Cabana, Inc., Class A* 70
9,400 Tandycrafts, Inc.* 60
18,500 TCBY Enterprises, Inc. 81
13,100 TPI Enterprises, Inc.* 38
4,100 Trak Auto Corp.* 70
7,900 United Retail Group, Inc.* 23
7,720 United Stationers, Inc.* 162
20,600 Value City Department Stores, Inc.* 185
13,000 Venture Stores, Inc.* 55
7,000 Vicorp Restaurants, Inc.* 102
34,300 Waban, Inc.* 785
4,600 Wolohan Lumber Co. 49
22,700 Zale Corp.* 497
---------
11,496
---------
RUBBER AND PLASTICS - 0.7%
23,900 ACX Technologies, Inc.* 415
RUBBER AND PLASTICS - 0.7% (CONT'D.)
6,700 Blessings Corp. $ 60
5,000 China Tire Holdings Ltd. 35
4,400 Essef Corp.* 77
10,800 Gundle/SLT Environmental, Inc.* 65
8,500 Sealright Co., Inc. 100
9,550 Tredegar Industries, Inc. 320
8,400 Uniroyal Technology Corp.* 26
3,900 Versa Technologies, Inc. 52
---------
1,150
---------
SANITARY SERVICES - 0.4%
3,800 Allied Waste Industries, Inc.* 35
5,200 American Ecology Corp.* 6
6,833 Continental Waste Industries, Inc.* 153
2,426 Fluor Daniel GTI, Inc.* 20
26,700 International Technology Corp.* 77
6,700 Kaiser Ventures, Inc.* 64
5,900 Layne Christensen Co.* 77
16,100 Mid-American Waste Systems, Inc.* 11
21,900 Omega Environmental, Inc.* 38
44,100 Rollins Environmental Services, Inc.* 121
4,100 Sevenson Environmental Services, Inc.* 63
4,600 TRC Cos., Inc.* 19
---------
684
---------
SERVICE INDUSTRY MACHINERY - 0.2%
3,400 Edelebrock Corp.* 56
3,600 ICO, Inc.* 21
5,900 Mestek, Inc.* 86
7,000 Scotsman Industries, Inc. 160
---------
323
---------
SOCIAL SERVICES - 1.1%
4,400 Arbor Health Care Co.* 104
6,600 Berlitz International, Inc.* 148
12,100 Kinder-Care Learning Centers, Inc.* 194
26,400 Mariner Health Group, Inc.* 406
19,000 National Education Corp.* 363
4,600 Pacific Rehabilitation & Sports
Medicine, Inc.* 20
37,000 Physician Corporation of America* 449
12,700 Regency Health Services, Inc.* 141
---------
1,825
---------
STEEL PRODUCTS - 3.1%
9,000 Acme Metals, Inc.* $ 154
8,000 Amcast Industrial Corp. 154
26,600 Birmingham Steel Corp. 422
11,900 Brush Wellman, Inc. 229
19,800 Chaparral Steel Co. 275
3,300 Curtiss-Wright Corp. 180
7,000 Gibraltar Steel Corp. 158
10,600 Handy & Harman Co. 189
4,950 Independence Holding Co. 41
5,500 Insteel Industries, Inc. 36
3,100 Laclede Steel Co.* 13
15,400 Lone Star Technologies, Inc.* 225
10,600 Lukens, Inc. 193
15,900 Mueller Industries, Inc.* 646
6,100 National Steel Corp., Class B* 68
3,900 New Jersey Steel Corp.* 27
7,000 Oregon Metallurgical Corp.* 228
18,200 Oregon Steel Mills, Inc. 280
10,300 Quanex Corp. 277
6,700 Reliance Steel & Aluminum Co. 234
5,250 Roanoke Electric Steel Corp. 68
8,500 Shiloh Industries, Inc.* 136
4,600 Steel of West Virginia, Inc.* 30
9,200 Steel Technologies, Inc. 115
9,700 Texas Industries, Inc. 581
12,800 Tyler Corp.* 19
33,700 UNR Industries, Inc. 223
31,100 Weirton Steel Corp.* 74
---------
5,275
---------
TEXTILES - 1.0%
7,100 Angelica Corp. 154
5,100 Chemfab Corp.* 69
5,500 Crown Crafts, Inc. 52
15,700 Delta Woodside Industries, Inc. 81
7,900 Dixie Yarns, Inc.* 36
10,400 Dyersburg Corp. 59
4,900 Fab Industries, Inc. 132
7,000 Fieldcrest Cannon, Inc.* 100
20,100 Griffon Corp.* 198
10,900 Guilford Mills, Inc. 245
6,300 Johnstown American Industries, Inc.* 20
4,500 Oneita Industries, Inc.* 18
22,100 Tultex Corp.* 120
13,300 Unifirst Corp. 246
TEXTILES - 1.0% (CONT'D.)
11,500 Worldtex, Inc.* $ 86
---------
1,616
---------
TOBACCO PRODUCTS - 0.2%
2,600 American Filtrona Corp. 82
3,200 Culbro Corp.* 178
---------
260
---------
TRANSPORTATION PARTS AND EQUIPMENT - 2.7%
11,500 AAR Corp. 266
21,200 Arvin Industries, Inc. 522
10,300 Avondale Industries, Inc.* 192
13,100 Brilliance China Automotive Holdings Ltd. 54
5,300 Durakon Industries, Inc.* 66
8,200 Excel Industries, Inc. 139
35,800 Federal-Mogul Corp. 756
9,700 Greenbrier, Inc. 112
10,300 Huffy Corp. 139
15,900 Interpool, Inc. 334
11,200 MK Rail Corp.* 70
6,600 Molecular Dynamics, Inc.* 51
24,900 Orbital Sciences Corp.* 442
5,200 R & B, Inc.* 40
32,300 Roadmaster Industries, Inc.* 52
20,500 Rohr, Inc.* 402
8,300 SPX Corp. 248
12,600 Standard Products Co. 318
7,800 Todd Shipyards Corp.* 51
13,400 UNC, Inc.* 119
6,900 Walbro Corp. 131
---------
4,504
---------
TRANSPORTATION SERVICES - 3.9%
18,500 Airborne Freight Corp. 395
9,900 Alaska Air Group, Inc.* 212
5,000 Allied Holdings, Inc.* 51
8,100 Amtran, Inc.* 71
4,900 Anuhco, Inc.* 37
23,400 APL Ltd. 503
14,600 Arkansas Best Corp. 93
3,300 Builders Transport, Inc.* 21
5,500 Celadon Group, Inc.* 50
8,000 Florida East Coast Industries, Inc. 660
12,400 Frozen Food Express Industries, Inc. 119
2,500 FRP Properties, Inc.* 51
TRANSPORTATION SERVICES - 3.9% (CONT'D.)
4,900 Great Lakes Aviation Ltd.* $ 13
42,300 Greyhound Lines, Inc.* 143
11,400 Harper Group Co. 234
35,900 Hunt (J.B.) Transportation Services, Inc. 570
3,125 International Shipholding Corp. 59
3,300 KLLM Transport Services, Inc.* 39
9,400 M.S. Carrier Co.* 181
8,200 Maritrans, Inc. 50
1,900 Marten Transport Ltd.* 25
5,700 Matlack Systems, Inc.* 42
22,300 Mesa Airlines, Inc.* 201
14,000 Offshore Logistics, Inc.* 201
3,000 Oglebay Norton Co. 127
5,500 Old Dominion Freight Line, Inc.* 51
22,400 OMI Corp.* 160
34,350 Overseas Shipholding Group, Inc. 567
4,200 PS Group, Inc.* 54
6,200 Railtex, Inc.* 148
7,900 Skywest, Inc. 113
9,900 Tower Air, Inc. 43
3,700 Trism, Inc.* 15
20,600 USFreightways Corp. 422
36,050 Werner Enterprises, Inc. 577
24,100 Yellow Corp.* 313
---------
6,611
---------
WATER SUPPLY - 0.8%
4,300 Aquarian Co. 114
4,200 California Water Service Co. 160
7,800 Consumers Water Co. 140
4,700 Cuno, Inc.* 73
4,700 E'Town Corp. 138
2,100 SJW Corp. 82
5,000 Southern California Water Co. 116
28,268 United Water Resources, Inc. 466
---------
1,289
---------
WHOLESALE - 3.2%
4,600 AM International, Inc.* 10
4,600 Atchison Casting Corp.* 70
11,900 Banner Aerospace, Inc.* 100
4,800 Bearings, Inc. 137
9,656 Bell Industries, Inc.* 150
8,200 BMC West Corp.* 114
WHOLESALE - 3.2% (CONT'D.)
6,500 Cellular Communications of Puerto
Rico, Inc.* $ 166
13,900 Commercial Metals Co. 455
8,000 Cygne Designs, Inc.* 10
5,900 Deckers Outdoor Corp.* 53
13,900 Ekco Group, Inc. 64
16,438 Foxmeyer Health Corp.* 58
8,200 Getty Petroleum Corp. 128
8,300 Graham-Field Health Products, Inc.* 57
27,100 Handleman Co.* 156
7,100 Hughes Supply, Inc. 263
9,700 IGEN, Inc.* 70
24,600 Intelligent Electronics, Inc. 204
15,800 International Multifoods Corp. 257
15,200 Marshall Industries Co.* 458
21,800 Merisel, Inc.* 42
10,900 Microage, Inc.* 206
7,000 Morgan Products Ltd. Co.* 53
8,300 Nash-Finch Co. 134
11,600 NBTY, Inc.* 191
13,100 Noel Group, Inc.* 100
2,500 Noland Co. 51
22,800 Owens & Minor, Inc. Holding Co. 217
9,300 Pulte Corp. 238
7,200 Rentrak Corp.* 28
15,700 Rexel, Inc.* 247
9,400 Richardson Electronics Ltd. 75
13,200 Russ Berrie & Co., Inc. 213
11,000 Sciclone Pharmaceuticals, Inc.* 107
8,400 Shaman Pharmaceuticals, Inc.* 58
3,200 Software Spectrum, Inc.* 96
7,398 Standard Commercial Corp.* 92
6,000 Sullivan Dental Products, Inc. 67
8,500 Super Food Services, Inc. 97
8,100 Syncor International Corp.* 88
4,700 Vallen Corp.* 82
---------
5,462
---------
Total Common Stocks
(cost $147,726) 161,512
---------
WARRANTS - 0.0%
255 Millicom American Satellite
Exp. 6/30/99* 0
27 Royce Laboratories, Inc., Exp. 1998* 0
WARRANTS - 0.0% (CONT'D.)
18 Sound Advice, Inc., Exp. 6/14/99* $ 0
240 Unitrode Corp., Exp. 8/21/97* 0
32 Valley Systems, Inc.* 1
10 York Resh Corp., Class B, Exp. 5/1/97* 0
50 Xytronyx, Inc., Class B, Exp. 08/11/01* 50
---------
Total Warrants
(cost $0) 51
---------
OTHER - 0.0%
5,000 Escrow American Medical Electronics, Inc.* 0
220 Escrow Millicom, Inc.* 0
300 Escrow Northeast Bancorp, Inc.* 0
225 Escrow Statesman Group* 0
1,200 Escrow Takecare, Inc.* 0
51 Jan Bell Marketing, Inc.* 0
---------
0
---------
Total Other
(cost $0) 0
---------
PRINCIPAL
AMOUNT
(000S)
- -----------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 4.1%
$6,621 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.875%, 10/1/96 6,621
360 U.S. Treasury Bill,
4.85%, 10/3/96 <F24> 356
---------
Total Short-Term Investments
(cost $6,977) 6,977
---------
Total Investments - 99.9%
(cost $154,703) 168,540
Other Assets less Liabilities - 0.1% 20
---------
NET ASSETS - 100.0% $168,560
=========
OPEN FUTURES CONTRACTS:
Principal Unrealized
Number of Amount Gain
Type Contracts (000s) Position Exp. (000s)
- ---------------------------------------------------------------------------
Russell 2000 11 $1,876 Long 12/96 $32
S&P/Barra Value 24 $4,237 Long 12/96 42
---
$74
===
<F24>Security pledged as collateral to cover margin requirements for open
futures contracts.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
INTERNATIONAL GROWTH EQUITY FUND
NUMBER VALUE
OF SHARES (000S)
- ----------------------------------------------------------------------
COMMON STOCKS - 88.9%
AUSTRALIA - 2.5%
100,000 Broken Hill Proprietary Co. $ 1,282
400,000 News Corp. Ltd. 2,098
200,000 Western Mining Holding Corp. Ltd. 1,286
---------
4,666
---------
CANADA - 1.4%
75,000 Barrick Gold Corp. 1,884
10,000 Potash Corp. of Saskatchewan, Inc. 731
---------
2,615
---------
CZECH REPUBLIC - 0.6%
120,000 Czechoslovakia & Slovak Investment
Corp. 1,061
8,000 Czechoslovakia & Slovak Investment
Corp. Warrants 10
---------
1,071
---------
FRANCE - 6.0%
24,000 Bouygues 2,136
19,000 Cie Generale des Eaux 2,065
25,000 Elf Aquitaine S.A. 1,956
30,000 Havas S.A. 1,989
18,000 PSA Peugeot 1,984
9,000 Television Francaise 1,001
---------
11,131
---------
GERMANY - 3.9%
5,000 Mannesmann A.G. 1,875
8,000 Metro A.G.* 731
45,000 Veba A.G. 2,357
6,000 Volkswagen A.G. 2,238
---------
7,201
---------
HONG KONG - 3.7%
200,000 Citic Pacific Ltd. 905
1,400,000 Hong Kong Telecommunication Ltd. 2,534
265,000 Hutchison Whampoa Ltd. 1,782
175,000 Swire Pacific Ltd. 1,567
---------
6,788
---------
ITALY - 2.6%
1,200,000 Credito Italiano 1,379
ITALY - 2.6% (CONT'D.)
750,000 Pirelli S.p.A. $1,367
600,000 Stet Societa Finanziaria Telefonica S.p.A. 2,083
---------
4,829
---------
JAPAN - 32.3%
150,000 Asahi Bank 1,710
6,000 Bellsystem, Inc. 835
60,000 Canon Sales Co., Inc. 1,632
55,000 CMK Corp. 825
50,700 CSK Corp. 1,580
20,000 Familymart 896
20,000 Forval Corp. 1,020
275,000 Hitachi Zosen Corp. 1,405
75,000 Honda Motor Co. Ltd. 1,885
90,000 Industrial Bank of Japan 2,012
7,200 Industrial Bank of Japan Rights 82
350,000 Ishikawajima Harima Heavy
Industries Co. Ltd. 1,694
325,000 Isuzu Motors Ltd. 1,765
130,000 Japan Radio Co. 1,926
10,000 Kyocera Corp. 714
55,000 Laox Co. 1,037
300,000 Long Term Credit Bank of Japan 2,163
19,000 Mars Engineering Corp. 1,135
405,000 Marubeni Corp. 2,109
30,000 Matsumotokiyoshi 1,007
75,000 Matsushita Electric Industries 1,259
165,000 Minebea Co. Ltd. 1,465
150,000 Mitsubishi Estate Co. Ltd. 2,060
260,000 Mitsui Marine & Fire Insurance 1,877
18,000 Nichiei Co. Ltd. 1,186
16,000 Nichii Gakkan Co. 810
175,000 Nikko Securities Co. Ltd. 1,870
30,000 Nintendo Corp. Ltd. 1,926
475,000 Nippon Steel Corp. 1,476
300 Nippon Telegraph & Telephone Corp. 2,209
300,000 Nissho Iwai Corp. 1,376
450,000 NKK Corp.* 1,155
240,000 NSK Ltd. 1,644
33,000 Orix Corp. 1,274
44,000 Sagami Chain Co. Ltd. 822
10,000 Sanyo Shinpan Finance Co. Ltd. 610
150,000 Showa Shell Sekiyu K.K. 1,522
28,000 Sony Corp. 1,767
JAPAN - 32.3% (CONT'D.)
150,000 Sumitomo Corp. $ 1,316
115,000 Sumitomo Electric Industries 1,580
250,000 Teijin Ltd. 1,261
70,000 Tokyo Style Co. 1,144
35,000 Toyota Motor Corp. 895
---------
59,936
---------
MALAYSIA - 2.5%
300,000 Genting Berhad 2,178
100,000 Malayan Banking Berhad 993
400,000 Tenaga Nasional Berhad 1,406
---------
4,577
---------
MEXICO - 0.5%
450,000 Cifra S.A. ADR 625
15,000 Coca-Cola Femsa S.A. ADR 356
---------
981
---------
NETHERLANDS - 3.3%
23,000 Akzo Nobel N.V. 2,788
30,000 Koninklijke Ahold N.V. 1,716
40,000 Vendex International N.V. 1,572
---------
6,076
---------
NORWAY - 1.3%
25,000 Norsk Hydro ASA 1,171
80,000 Saga Petroleum ASA 1,292
---------
2,463
---------
PHILIPPINES - 0.5%
15,000 Philippine Long Distance Telephone Co. 932
---------
SINGAPORE - 2.3%
75,000 Development Bank of Singapore Ltd. 922
300,000 Keppel Corp. Ltd. 2,322
100,000 United Overseas Bank Ltd. 973
---------
4,217
---------
SOUTH AFRICA - 0.1%
10,000 South African Breweries Ltd. 267
---------
SPAIN - 2.0%
30,000 Banco Santander S.A. 1,561
SPAIN - 2.0% (CONT'D.)
65,000 Repsol S.A. ADR $ 2,153
---------
3,714
---------
SWEDEN - 2.6%
12,000 Asea AB 1,268
55,000 Astra AB 2,325
100,000 Stora Kopparbergs Bergslags Aktiebolag 1,298
---------
4,891
---------
SWITZERLAND - 3.9%
2,700 Ciba-Geigy A.G. 3,455
25,000 CS Holdings A.G. 2,473
9,000 SMH A.G. 1,360
---------
7,288
---------
TAIWAN - 1.3%
700,000 Far Eastern Department Stores Ltd. 940
800,000 Pacific Construction Corp.* 754
400,000 Teco Electric & Machinery 742
---------
2,436
---------
UNITED KINGDOM - 15.6%
150,000 Barclays PLC 2,202
200,000 Boots Co. PLC 1,948
100,000 British Airport Authority PLC 772
375,000 Cable & Wireless PLC 2,629
225,000 Commercial Union PLC 2,112
375,000 General Electric Co. PLC 2,319
70,000 Glaxo Wellcome PLC ADR 2,179
300,000 Guinness PLC 2,146
165,000 Imperial Chemical Industries PLC 2,180
150,000 Kingfisher PLC 1,485
225,000 Marks & Spencer PLC 1,746
300,000 Rank Organization PLC 2,003
100,000 RTZ Corp. PLC 1,530
400,000 Tomkins PLC 1,735
60,000 Vodafone Group PLC ADR 2,047
---------
29,033
---------
Total Common Stocks
(cost $162,573) 165,112
---------
PREFERRED STOCKS - 2.9%
GERMANY
65,000 Henkel KGaA $ 2,830
15,000 SAP A.G. 2,533
---------
Total Preferred Stocks
(cost $5,068) 5,363
---------
OTHER - 4.4%
JAPAN
3,000,000 Nikkei 300 Stock Index Fund* 8,323
---------
Total Other
(cost $8,569) 8,323
---------
PRINCIPAL
AMOUNT
(000S)
- ----------------------------------------------------------------------
SHORT-TERM INVESTMENT - 3.8%
$6,998 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.875%, 10/1/96 6,998
---------
Total Short-Term Investment
(cost $6,998) 6,998
---------
Total Investments - 100.0%
(cost $183,208) 185,796
Liabilities less Other Assets - (0.0)% (18)
---------
NET ASSETS - 100.0% $185,778
=========
At September 30, 1996, the International Growth Equity Fund's investments,
excluding the short-term investment, were diversified as follows:
Industry
Sector
- ----------------------------------------------------------------------
Auto 4.9%
Basic Industries/Energy 16.5
Capital Goods 6.3
Consumer Goods 13.0
Drugs 2.5
Financial Services 14.3
Multimedia 2.3
Real Estate 1.6
Retail 8.1
Technology 6.7
Telecommunications 2.4
Other 21.4
---------
Total 100.0%
=========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
INTERNATIONAL SELECT EQUITY FUND
NUMBER VALUE
OF SHARES (000S)
- ----------------------------------------------------------------------
COMMON STOCKS - 85.8%
BRAZIL - 1.4%
20,000 Telebras ADR<F25> $ 1,570
---------
FRANCE - 4.0%
40,000 Sidel, S.A. 2,403
20,000 Television Francaise 2,224
---------
4,627
---------
GERMANY - 2.0%
20,000 SGL Carbon A.G. 2,334
---------
HONG KONG - 4.2%
1,600,000 First Pacific Co. Ltd. 2,421
275,000 Swire Pacific Ltd. 2,463
---------
4,884
---------
INDIA - 1.1%
120,000 Steel Authority of India Ltd. 1,272
---------
INDONESIA - 2.9%
250,000 PT Hanjaya Mandala Sampoerna 2,433
135,000 PT Tri Polyta Indonesia ADR 979
---------
3,412
---------
JAPAN - 25.5%
50,000 Familymart 2,240
500,000 Hitachi Zosen Corp. 2,554
93,500 Laox Co. 1,763
40,000 Mars Engineering Corp. 2,388
450,000 Marubeni Corp. 2,343
250,000 Minebea Co. Ltd. 2,220
40,000 Nichiei Co. Ltd. 2,636
200,000 Nikko Securities Co. Ltd. 2,137
40,000 Nintendo Corp. Ltd. 2,568
20,000 Sanyo Shinpan Finance Co. Ltd. 1,221
40,000 Sony Corp. 2,525
175,000 Sumitomo Electric Industries 2,404
200,000 Suzuki Motor Co. Ltd. 2,443
---------
29,442
---------
MALAYSIA - 1.9%
300,000 Genting Berhad 2,178
---------
MEXICO - 3.1%
1,200,000 Cifra S.A. ADR $1,668
85,000 Grupo Casa Autrey S.A. de C.V. ADR 1,902
---------
3,570
---------
NETHERLANDS - 3.0%
80,000 Cap Gemini N.V. 1,894
70,000 Toolex Alpha N.V.* 1,575
---------
3,469
---------
NORWAY - 1.5%
50,000 Nera A.S. 1,700
---------
PERU - 2.0%
100,000 Telefonica del Peru S.A., Class B 2,288
---------
PHILIPPINES - 1.3%
1,200,000 Ayala Land, Inc., Class B 1,464
---------
PORTUGAL - 1.7%
75,000 Portugal Telecom S.A. ADR 1,931
---------
SINGAPORE - 2.0%
300,000 Keppel Corp. Ltd. 2,322
---------
SOUTH AFRICA - 1.7%
75,000 South Africa Breweries Ltd. 2,000
---------
SWEDEN - 1.8%
50,000 Astra AB 2,114
---------
SWITZERLAND - 4.2%
2,000 Ciba-Geigy A.G. 2,559
15,000 SMH A.G. 2,268
---------
4,827
---------
TAIWAN - 2.2%
37,500 Cathay Life Insurance 240
1,750,000 Far Eastern Department Stores Ltd. 2,350
---------
2,590
---------
THAILAND - 1.5%
400,000 Krung Thai Bank Public Co. Ltd. 1,715
---------
UNITED KINGDOM - 16.8%
200,000 Barclays PLC $ 2,936
350,000 British Airport Authority PLC 2,703
450,000 Cable & Wireless PLC 3,155
400,000 General Electric Co. PLC 2,473
80,000 Glaxo Wellcome PLC ADR 2,490
650,000 Tomkins PLC 2,820
85,000 Vodaphone Group PLC ADR 2,901
---------
19,478
---------
Total Common Stocks
(cost $98,375) 99,187
---------
PREFERRED STOCKS - 3.8%
GERMANY
8,000 Fresenius A.G. 1,479
17,000 SAP A.G. 2,859
---------
Total Preferred Stocks
(cost $3,306) 4,338
---------
OTHER - 4.4%
JAPAN
8,800 Industrial Bank of Japan Rights* 100
1,800,000 Nikkei 300 Stock Index Fund* 4,994
---------
Total Other
(cost $5,242) 5,094
---------
PRINCIPAL
AMOUNT
(000S)
- ----------------------------------------------------------------------
SHORT-TERM INVESTMENTS - 7.7%
$4,623 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.875%, 10/1/96 4,623
4,335 FHLB Discount Note,
5.70%, 10/1/96 4,335
---------
Total Short-Term Investments
(cost $8,958) 8,958
---------
VALUE
(000S)
- ----------------------------------------------------------------------
Total Investments - 101.7%
(cost $115,881) $117,577
Liabilities less Other Assets - (1.7)% (1,910)
---------
NET ASSETS - 100.0% $115,667
=========
<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 $1,570,000 or 1.4% of net
assets.
At September 30, 1996, the International Select Equity Fund's investments,
excluding short-term investments, were diversified as follows:
Industry
Sector
- ----------------------------------------------------------------------
Auto 2.3%
Basic Industries/Energy 17.8
Capital Goods 9.5
Consumer Goods 15.1
Drugs 7.5
Financial Services 11.6
Retail 7.5
Technology 10.7
Other 18.0
------
Total 100.0%
======
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS September 30, 1996 (Unaudited)
TECHNOLOGY FUND
NUMBER VALUE
OF SHARES (000S)
- ----------------------------------------------------------------------
COMMON STOCKS - 97.0%
AEROSPACE/DEFENSE EQUIPMENT - 0.4%
6,300 REMEC, Inc.* $ 89
---------
COMMUNICATIONS EQUIPMENT - 20.5%
15,575 3Com Corp.* 935
5,775 ADC Telecommunications, Inc.* 370
4,500 Ascend Communications, Inc.* 297
9,050 Bay Networks, Inc.* 247
17,975 Cisco Systems, Inc.* 1,115
4,000 Coherent Communications Systems Corp.* 76
11,600 Ericsson (L.M.) Telephone Co. ADR, Class B 294
5,000 General Instrument Corp.* 124
6,000 Lightbridge, Inc.* 71
6,300 Newbridge Networks Corp* 401
10,700 Tellabs, Inc.* 756
---------
4,686
---------
COMPUTER PERIPHERALS - 6.0%
18,325 EMC Corp.* 415
10,000 HMT Technology Corp.* 217
13,075 Seagate Technology, Inc.* 730
---------
1,362
---------
COMPUTER SOFTWARE AND SERVICES - 36.9%
8,950 Adobe Systems, Inc. 333
7,175 America Online, Inc.* 256
2,500 Broderbund Software, Inc.* 72
4,287 Cadence Design Systems, Inc.* 153
5,000 Check Point Software Technologies Ltd.* 169
9,662 Computer Associates International, Inc. 577
7,375 Computer Sciences Corp.* 567
10,000 Dassault Systemes S.A. ADR* 419
13,500 Electronic Arts Inc.* 505
6,500 Electronic Data Systems Corp. 399
900 Forte Software, Inc.* 35
9,075 Gartner Group, Inc., Class A* 309
4,500 HNC Software, Inc.* 180
7,000 Industri-Matematik International Corp.* 87
2,000 Inso Corp.* 109
5,000 Intelligroup, Inc.* 69
1,800 International Network Services* 63
1,800 Intuit Inc.* 57
3,375 McAfee Associates, Inc.* 233
6,525 Microsoft Corp.* 860
COMPUTER SOFTWARE AND
SERVICES - 36.9% (CONT'D.)
6,000 Objective Systems Integrators, Inc.* $ 124
17,287 Oracle Corp.* 736
10,750 Parametric Technology Corp.* 531
6,650 Peoplesoft, Inc.* 554
3,089 Pure Atria Corp.* 117
4,900 Siebel Systems, Inc.* 204
9,000 Synopsys, Inc.* 415
9,500 Technology Modeling Associates, Inc.* 124
10,000 USCS International, Inc.* 175
---------
8,432
---------
COMPUTER SYSTEMS - 12.1%
6,525 Dell Computer Corp.* 507
5,700 Gateway 2000, Inc.* 273
14,975 Hewlett-Packard Co. 730
4,525 International Business Machines Corp. 563
9,750 Silicon Graphics, Inc.* 216
7,800 Sun Microsystems, Inc.* 485
---------
2,774
---------
DATA PROCESSING - 4.0%
10,400 Automatic Data Processing, Inc. 454
5,550 First Data Corp. 453
---------
907
---------
ELECTRICAL AND ELECTRONIC
COMPONENTS - 14.1%
10,000 Analog Devices, Inc.* 271
4,350 Applied Materials, Inc.* 120
2,000 Cymer, Inc.* 36
3,500 DuPont Photomasks, Inc.* 98
11,250 Intel Corp. 1,074
11,325 KLA Instruments Corp.* 255
11,625 Linear Technology Corp. 429
1,925 Motorola, Inc. 99
5,800 Texas Instruments, Inc. 320
15,275 Xilinx, Inc.* 519
---------
3,221
---------
INDUSTRIAL AUDIO/VIDEO PRODUCTS - 1.0%
15,000 SRS Labs, Inc.* 232
---------
MEDICAL PRODUCTS AND
PHARMACEUTICALS -- 2.0%
2,500 Applied Analytical Industries, Inc.* $ 57
1,800 Arterial Vascular Engineering, Inc.* 48
1,500 Heartport, Inc.* 39
5,000 QIAGEN N.V.* 147
2,500 Sonus Pharmaceuticals, Inc.* 47
6,500 Ventana Medical Systems, Inc.* 120
---------
458
---------
Total Common Stocks
(cost $19,217) 22,161
---------
PRINCIPAL
AMOUNT
(000S)
- ----------------------------------------------------------------------
SHORT-TERM INVESTMENT - 3.8%
$872 Berliner Handels und Frankfurter,
Grand Cayman Islands,
5.875%, 10/1/96 872
---------
Total Short-Term Investment
(cost $872) 872
---------
Total Investments - 100.8%
(cost $20,089) 23,033
Liabilities less Other Assets - (0.8)% (177)
---------
NET ASSETS - 100.0% $22,856
=========
See Notes to the Financial Statements.
NOTES TO THE
FINANCIAL STATEMENTS
September 30, 1996
(Unaudited)
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, California
Municipal Money Market, U.S. Government, Fixed Income, Intermediate Tax-Exempt,
Florida Intermediate Tax-Exempt, Tax-Exempt, International Fixed Income, Income
Equity, Growth Equity, Select Equity, Small Cap (formerly known as the Small Cap
Growth Fund), International Growth Equity, International Select Equity and
Technology Funds (collectively the "Funds") are separate, diversified
investment portfolios of Northern Funds, except the California Municipal Money
Market, Florida Intermediate Tax-Exempt and International Fixed Income Funds
which are non-diversified portfolios of Northern Funds. Non-diversified
portfolios may invest a relatively high percentage of their net assets in
obligations of a limited number of issuers. 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, U.S.
Government Select Money Market, Florida Intermediate Tax-Exempt and Technology
Funds, which commenced investment operations during November 1994, December
1994, August 1996 and April 1996, 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 may differ from those estimates.
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 - Certain 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 in a segregated account
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 September 30, 1996, the Small Cap Fund had entered into exchange-traded
futures contracts. The aggregate market value of investments pledged to
cover margin requirements for open positions at September 30, 1996 was
approximately $356,000.
D OPTIONS CONTRACTS - Certain Funds may purchase and write (sell) put and
call options on foreign and domestic stock indices, foreign currencies and
U.S. and foreign securities that are traded on U.S. and foreign securities
exchanges and over-the-counter markets. These transactions are for hedging
purposes or for the purpose of earning additional income. In addition, the
International Fixed Income, International Growth Equity and International
Select Equity Funds may enter into such transactions for cross-hedging
purposes.
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 six months ending September 30, 1996 for the
Growth Equity Fund were as follows:
NUMBER OF PREMIUMS
CONTRACTS (000S)
--------------------------------------------------------------
Options outstanding at
beginning of year 115 $229
Options written 232 454
Options terminated in closing
purchase transactions (230) (461)
Options expired - -
Options outstanding at 9/30/96 117 $222
--------------------------------------------------------------
The Fund did not write call options during the six months ended
September 30, 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 - Certain Funds 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, or 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 September 30, 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 Daily Monthly
U.S. Government Money
Market Daily Monthly
Municipal Money Market Daily Monthly
U.S. Government Select
Money Market Daily Monthly
California Municipal
Money Market Daily Monthly
U.S. Government Daily Monthly
Fixed Income Daily Monthly
Intermediate Tax-Exempt Daily Monthly
Florida Intermediate Tax-Exempt Daily Monthly
Tax-Exempt Daily Monthly
International Fixed Income Daily Quarterly
Income Equity Monthly Monthly
Growth Equity Quarterly Quarterly
Select Equity Annually Annually
Small Cap Annually Annually
International Growth Equity Annually Annually
International Select Equity Annually Annually
Technology 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
substantially 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
AMOUNTS IN INVESTMENT CAPITAL IN
THOUSANDS INCOME GAINS CAPITAL
- -------------------------------------------------------------------------
Money Market $ 50 $ - $(50)
U.S. Government
Money Market 15 - (15)
Municipal Money
Market 36 - (36)
U.S. Government Select
Money Market 5 - (5)
California Municipal
Money Market 5 - (5)
U.S. Government (82) 106 (24)
Fixed Income (125) 183 (58)
Intermediate Tax-
Exempt 39 - (39)
Tax-Exempt 26 - (26)
International Fixed
Income 225 (207) (18)
Income Equity 13 - (13)
Growth Equity 18 - (18)
Select Equity 10 - (10)
Small Cap (79) 93 (14)
International Growth
Equity 1,371 (1,354) (17)
International Select
Equity (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.
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 period
ended September 30, 1996, the Adviser voluntarily agreed to waive a portion of
its advisory fees as applied to each Fund's daily net assets. Northern Trust
had 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 0.60% 0.40% 0.55%
U.S. Government
Money Market 0.60% 0.40% 0.55%
Municipal Money
Market 0.60% 0.40% 0.55%
U.S. Government Select
Money Market 0.60% 0.25% 0.40%
California Municipal
Money Market 0.60% 0.30% 0.45%
U.S. Government 0.75% 0.75% 0.90%
Fixed Income 0.75% 0.75% 0.90%
Intermediate Tax-
Exempt 0.75% 0.70% 0.85%
Florida Intermediate
Tax-Exempt 0.75% 0.70% 0.85%
Tax-Exempt 0.75% 0.70% 0.85%
International Fixed
Income 0.90% 0.90% 1.15%
Income Equity 1.00% 0.85% 1.00%
Growth Equity 1.00% 0.85% 1.00%
Select Equity 1.20% 0.85% 1.00%
Small Cap 1.20% 0.85% 1.00%
International Growth
Equity 1.20% 1.00% 1.25%
International Select
Equity 1.20% 1.00% 1.25%
Technology 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 0.60% 0.35% 0.45%
U.S. Government
Money Market 0.60% 0.35% 0.45%
Municipal Money
Market 0.60% 0.35% 0.45%
U.S. Government Select
Money Market 0.60% 0.20% 0.30%
California Municipal
Money Market 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 ended September 30, 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.
There were no borrowings during the period ended September 30, 1996.
5. INVESTMENT TRANSACTIONS
The aggregate purchases and sales of securities, excluding short-term
investments, for the Funds for the period ended September 30, 1996 were as
follows:
PURCHASES SALES
----------------------------------------------
U.S. U.S.
AMOUNTS IN THOUSANDS GOVERNMENT OTHER GOVERNMENT OTHER
- -----------------------------------------------------------------------------
U.S. Government $80,012 $ - $63,084 $ -
Fixed Income 18,645 23,742 26,117 6,099
Intermediate Tax-Exempt - 88,496 - 98,281
Florida Intermediate Tax-Exempt - 7,611 - 3,303
Tax-Exempt - 10,968 - 3,843
International Fixed Income - 3,581 - 3,115
Income Equity - 26,802 - 21,776
Growth Equity - 103,219 - 81,593
Select Equity - 19,279 - 11,403
Small Cap - 19,706 - 16,659
International Growth Equity - 175,616 - 169,254
International Select Equity - 83,823 - 73,957
Technology - 21,346 - 1,989
- -----------------------------------------------------------------------------
At September 30, 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 $ 1,272 $ 1,523 $ (251) $162,280
Fixed Income 1,116 1,904 (788) 108,410
Intermediate Tax-Exempt 3,237 969 2,268 258,510
Florida Intermediate
Tax-Exempt 20 4 16 4,339
Tax-Exempt 3,894 269 3,625 124,476
International Fixed Income 827 232 595 14,932
Income Equity 6,020 1,013 5,007 60,278
Growth Equity 49,305 1,398 47,907 222,632
Select Equity 7,790 226 7,564 37,882
Small Cap 29,078 15,241 13,837 154,703
International Growth Equity 7,368 5,349 2,019 183,777
International Select Equity 5,862 5,008 854 116,723
Technology 3,507 563 2,944 20,089
- -------------------------------------------------------------------------------
At March 31, 1996, the Funds' most recent fiscal year end, the approximate
capital loss carryforwards for U.S. federal income tax purposes were $1,024,000
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 period ended September 30, 1996 were
as follows:
REINVESTMENT NET
AMOUNTS IN THOUSANDS SOLD OF DIVIDENDS REDEEMED INCREASE
- --------------------------------------------------------------------------------
U.S. Government 2,505 14 988 1,531
Fixed Income 1,655 50 916 789
Intermediate Tax-Exempt 3,728 5 3,002 731
Florida Intermediate
Tax-Exempt 463 - - 463
Tax-Exempt 1,121 7 704 424
International Fixed Income 160 7 144 23
Income Equity 795 6 369 432
Growth Equity 3,477 9 1,452 2,034
Select Equity 874 - 329 545
Small Cap 1,767 - 1,299 468
International Growth Equity 1,857 - 1,703 154
International Select Equity 1,537 - 353 1,184
Technology 1,885 - 25 1,860
- --------------------------------------------------------------------------------
Transactions of shares of the Funds for the year ended March 31, 1996 were as
follows:
REINVESTMENT NET
AMOUNTS IN THOUSANDS SOLD OF DIVIDENDS REDEEMED INCREASE
- --------------------------------------------------------------------------------
U.S. Government 4,481 26 1,530 2,977
Fixed Income 4,733 90 1,531 3,292
Intermediate Tax-Exempt 5,018 19 3,208 1,829
Tax-Exempt 2,065 10 1,770 305
International Fixed Income 500 20 269 251
Income Equity 1,587 7 683 911
Growth Equity 8,306 13 1,908 6,411
Select Equity 1,710 2 536 1,176
Small Cap 7,400 11 1,691 5,720
International Growth Equity 8,625 50 2,891 5,784
International Select Equity 3,949 5 1,736 2,218
- --------------------------------------------------------------------------------
7. SUBSEQUENT EVENT
Effective October 7, 1996, the Stock Index Fund, a separate, diversified
investment portfolio, commenced operations.
This page intentionally left blank.
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 complete information about Northern Funds investment policies,
management fees and expenses. Investors are reminded to read the prospectus
carefully before investing or sending money.
NORTHERN FUNDS
P.O. Box 75986
Chicago, IL 60690-6319
1-800-595-9111
(C) 1996 Sunstone Financial Group, Inc., Distributor
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