|
|
|
|
|
|
|
|
|
|
|
|
|
|
Previous: NORTHERN FUNDS, N-30D, 1997-05-28 |
Next: HELEN OF TROY LTD, 10-K, 1997-05-28 |
MONEY MARKET FUNDS
FIXED INCOME FUNDS
EQUITY FUNDS
ANNUAL REPORT
March 31, 1997
(LOGO)
MAY 1997
DEAR SHAREHOLDER:
We are pleased to provide you with this Northern Funds Annual Report for the
year ended March 31, 1997. In it, you'll find information about your investment,
enabling you to better monitor its management and performance.
This report includes economic and market overviews, a commentary by each of the
Northern Funds portfolio managers, a listing of securities held in each
portfolio and each Fund's operating results.
Please read this document carefully and retain it in your files for future
reference.
To avoid duplication, we have sent only one copy of each report per mailing
address. If you would like to receive duplicate copies, please call the
Northern Funds Center at 1-800-595-9111. We will send additional copies and
adjust our records accordingly for future mailings.
Thank you for your continued confidence in Northern Funds. Please let us know if
there is anything we can do to serve you better.
NORTHERN FUNDS
NORTHERN FUNDS
POST OFFICE BOX 75986
CHICAGO, IL 60690-6319
PHONE (800) 595-9111
FAX (312) 557-0411
SUNSTONE DISTRIBUTION SERVICES, LLC, DISTRIBUTOR
TABLE OF CONTENTS
PAGE
Abbreviations and Other Information.................................1
Economic and Market Overviews.......................................2
Portfolio Commentaries..............................................4
Money Market Funds
Statements of Assets and Liabilities ............................14
Statements of Operations ........................................15
Statements of Changes in Net Assets .............................16
Financial Highlights ............................................18
Schedules of Investments
Money Market Fund.............................................20
U.S. Government Money Market Fund.............................23
Municipal Money Market Fund...................................24
U.S. Government Select Money Market Fund......................35
California Municipal Money Market Fund....................... 36
Fixed Income Funds
Statements of Assets and Liabilities ........................... 39
Statements of Operations ........................................40
Statements of Changes in Net Assets .............................41
Financial Highlights ............................................43
Schedules of Investments
U.S. Government Fund..........................................46
Fixed Income Fund.............................................47
Intermediate Tax-Exempt Fund................................. 49
Florida Intermediate Tax-Exempt Fund......................... 55
Tax-Exempt Fund...............................................57
International Fixed Income Fund...............................61
Equity Funds
Statements of Assets and Liabilities ............................63
Statements of Operations ....................................... 64
Statements of Changes in Net Assets ............................ 65
Financial Highlights ........................................... 67
Schedules of Investments
Income Equity Fund........................................... 70
Stock Index Fund..............................................73
Growth Equity Fund........................................... 81
Select Equity Fund............................................83
Small Cap Fund............................................... 85
International Growth Equity Fund..............................99
International Select Equity Fund............................ 102
Technology Fund............................................. 104
Notes to the Financial Statements................................ 106
Report of Independent Public Accountants..........................113
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 Certificate of Participation
CP Commercial Paper
CVP Central Valley Project
DECS Dividend Enhanced Convertible Stock
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.
FMC Fidelity Mortgage Corp.
FMTN Floating Medium Term Note
FNMA Federal National Mortgage
Association
FRN Floating Rate Note
FSA Financial Security Assurance
G.O. General Obligation
GNMA Government National
Mortgage Association
GTD. Guaranteed
HFA Housing Finance Authority
HUD Housing and Urban Development
I.O. Interest Only Stripped Security
IDA Industrial Development
Authority
IDR Industrial Development Revenue
LOC Letter of Credit
MBIA Municipal Bond Insurance
Association
MTN Medium Term Note
NYS New York Shares
P-FLOATS Puttable Floating Rate Security
P.O. Principal Only Stripped Security
PCR Pollution Control Revenue
PFA Public Finance Authority
PRIDES Preferred Redeemable Increased
Dividend Securities
PRSV Preservation Project
PSF Permanent School Fund
RAN Revenue Anticipation Note
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
TRB Tax Revenue Bond
TVA Tennessee Valley Authority
VRDN Variable Rate Demand Note
* Non-Income Producing Security
ECONOMIC AND MARKET OVERVIEWS
-----------------------------
REVIEW AND OUTLOOK OF THE ECONOMY - GROWTH SHOULD CONTINUE IN 1997
A number of factors lead us to conclude that the U.S. economy should continue to
grow throughout 1997. Domestic economic demand appears to have strengthened from
the fourth quarter of 1996. Business inventories are low and material prices are
starting to rise. This creates the potential for stronger voluntary accumulation
of inventories in the first half of 1997.
In light of the stronger-than-expected economic growth and the potential for an
even tighter labor market, the Federal Open Market Committee tightened monetary
policy a notch toward the end of March. Given that current monetary policy does
not appear to be excessively accommodative, and inflation psychology is all but
absent in the economy, the tightening by the Federal Reserve is interpreted as
fine-tuning. We anticipate the Fed's actions are meant to slow economic growth
marginally below its potential, rather than to act as major counter-cyclical
tightening, which often results in a recession.
Labor markets remain tight. We could see further tightening as labor force
growth slows in accordance with demographic trends. While welfare reform could
push labor force participation rates higher, there is a question about how
employable these new workers may be, especially in light of the higher minimum
wage. So far, the tight labor market has yet to manifest itself in higher core
inflation, although further tightening could affect it.
Food prices may not moderate as much as some had expected. Livestock prices are
rising as a result of last year's hard culling. Grain and oilseed prices are
increasing again due to continued strong demand, low inventories and concerns
that this year's harvests could be restrained by spring flooding.
As the peak driving season approaches, gasoline inventories are lower than they
were last year, with little excess refinery capacity available. As a result,
gasoline prices could rise more than usual this summer.
Although domestic economic demand is strong, net exports could be a drag on
growth, at least in the first quarter. The reasons for this are the lagged
effects of last year's strengthening in the U.S. dollar and continued economic
softness in the industrialized economies, especially those in continental
Europe. Countering this, however, is strengthening domestic demand in Canada --
our largest single-country export market -- and continued economic strength in
Mexico and the U.K. -- our third- and fourth-largest export markets,
respectively.
After Japan, our largest bilateral trade deficit is now with the People's
Republic of China. Allegations that the Chinese government has tried to
influence federal government decisions through campaign contributions have
heightened the political sensitivity of our large Chinese trade deficit. Because
China wants to remain in "most favored nation" trade status and wants to be
admitted to the World Trade Organization, the Chinese government might take
steps to increase imports from the U.S. Thus, despite the past rise in the U.S.
dollar, our trade deficit position could improve.
THE FIXED INCOME MARKETS
As the economy firmed and investors anticipated a rate increase, Treasury rates
rose somewhat even before the Federal Reserve announced its decision in late
March to boost interest rates by 25 basis points. The yield curve flattened
slightly, in a vote of confidence that Chairman Greenspan's pre-emptiveness
would keep inflation at bay. Forward rates indicate that the market expects the
Federal Open Market Committee to raise the funds rate another 50 basis points by
year end.
We view these higher, longer-term rates as offering attractive real returns.
Whether one compares 10-year Treasury yields near 6.9% to the most recent year-
over-year core Consumer Price Index (CPI) rate of 2.5% or to the all-items CPI
rate of 3%, we think the current rate structure adequately compensates investors
for the potential inflationary pressures in today's economy.
The Federal Reserve's March decision was made in response to persistent strength
in demand, but in the absence of any marked rise in current inflation. If we
continue to see indications of strength without additional inflation, it is
likely that participants in the short-term market will have to deal with modest
additional increases in overnight rates over the next 12 months. If, on the
other hand, we are surprised by a surge in the inflation data, rates are likely
to increase sooner and more sharply.
Although risks of a cyclical upturn in inflation are present, we believe the
Federal Reserve will be able to contain these pressures with policy tightenings
in line with market expectations. Just as important, recent developments have
forced us to review our long-standing optimism on the fiscal front. Despite new
political uncertainties created by the developing campaign finance scandals, we
see forces that should be sufficient to keep meaningful fiscal reform on track.
It is possible that unexpected volatility or weakness in the financial markets
could push politicians to move more quickly on the budget front in order to
placate the markets, and in the process appease voters/investors.
Besides more prudent fiscal policies, other secular fundamentals continue to
support a constructive backdrop for interest rates. An aging U.S. population
focused on saving, intense competition in an expanding global marketplace, the
increasing influence of technology on the business cycle, and reduced regulatory
burdens on businesses all offer benefits that we believe are significant and
long lasting.
As investors pay more attention to the relative stability of underlying growth
and inflation, we expect bond market volatility to trend lower over time. When
combined with a Federal Reserve committed to fighting inflation, we see a
favorable environment for long-term bond investors, notwithstanding today's
moderate cyclical pressures.
THE EQUITY MARKETS
As market volatility has increased, investors' convictions are being tested. The
upward drift of nearly 50 basis points in long-term interest rates has created a
valuation pressure that has been difficult to absorb. Since earnings are not
expected to provide as much fuel for the bull market in 1997, the performance of
interest rates will be crucial in determining the eventual performance of
stocks. Already some sectors such as technology and financials have experienced
sharp selloffs.
We feel that the majority of corporate restructuring benefits have been
realized, so it will be much more difficult to streamline and reduce costs.
Ample complaints of the lack of pricing power persist. Indeed, many industries
still face lower selling prices. This has resulted in slow revenue growth at a
time of peak margins based on the last 30 years of profitability. Slow revenue
growth and margin pressure are typically not the ingredients of upside earnings
surprises.
Finally, a stronger U.S. dollar would burden earnings growth as foreign profit
translations would be lower. Thus, we see profit shortfalls as likely,
particularly in the second half of the year when we expect the quick economic
pace of recent months to subside.
With little help expected from earnings, price/earnings ratios must expand if
the bull market is to continue. To achieve price/earnings expansion, interest
rates would have to move lower, and indeed we suspect they will later in 1997.
However, an improved tone to the bond market may well accompany a profit
slowdown.
Initially, we believe lower rates would probably result in another intense rally
in stocks since this pattern has played out consistently since 1990. The dif
ference in fiscal 1997 and 1998, however, is that lower rates will be occurring
against a background of slow or poor earnings gains rather than strong growth as
happened between 1991 and 1996.
The good news is that we believe stocks are likely to rally when bonds begin to
improve. The bad news is the likelihood that earnings expectations will be
downgraded, leaving equities exposed relative to bond performance. In this
environment, we believe that investors are well advised to balance their stock
and bond holdings in accordance with their longer-term asset allocation goals.
THE GLOBAL MARKETS
Global bond markets sold off in concert with the U.S. and affected equity
performance, at times quite severely. Europe fared badly since it is
particularly sensitive to interest rate movements, especially as the deadline
approaches for monetary union. The fact that the timetable for European monetary
union is being questioned may have exaggerated the bond selloff. On the plus
side, Latin America has fared well, as their recovery prospects in 1997 have so
far offset rate worries.
While European markets could improve as bonds stabilize in response to stronger
earnings in 1997, the more interesting possibility is in Japan. We think
participants could now focus on what could go right there, rather than on all
that could go wrong. Financial confidence has recently risen in view of
government assurances, actual bank loan write-downs and the first positive
business survey in six years.
A growing consensus sees the yen trading at 120 to 130 to the U.S. dollar this
year. This is quite important in the sense that Japanese corporations
restructured and took other measures to cope with the strong yen between 1990
and 1995. At a yen rate of 100 to the dollar, nearly 50% of Japanese companies
should break-even; this figure should rise to 80% at 110 and to over 90% at 120.
Thus, we believe profits should recover smartly if the yen-dollar rate
stabilizes above 120, or even if it slips to between 110 and 115. The weaker yen
has correlated with strong market moves since the yen peaked in mid-1995.
Finally the U.S. dollar's recent strength faltered in late March after a nearly
10% spurt from the beginning of the year. This could be an area of "irrational
exuberance" given that our trade deficit is again rising. The stronger dollar
has, in effect, acted like a tightening in monetary policy because stronger
currency reduces inflation pressures. This means it's possible that the market
acted as a monetary restraint even before the Federal Reserve's recent move. We
expect less dollar strength going forward, but the lingering effects of the
dollar's rally could persist through 1997.
PORTFOLIO COMMENTARIES
----------------------
MONEY MARKET FUND
During the latter part of 1996 and the first quarter of 1997, the maturity
structure of the Fund anticipated higher interest rates in the short-term money
market. The portfolio is heavily weighted in Tier-One commercial paper (issues
rated in the highest rating category by at least two nationally recognized
statistical rating organizations (NRSROs)) where yields are presently most
attractive. The remainder is invested in certificates of deposit, repurchase
agreements, variable rate notes, Treasury bills and other high-quality
securities. Quality remains the primary factor in selecting issues for the
portfolio with yield being a secondary factor. During the upcoming year, the
Fund will be managed to take advantage of the Federal Reserve's increasing
interest rates. The barbell strategy will also be used to take advantage of any
backup in the market on the longer end. As always, we will continue to focus on
providing our shareholders with the quality, liquidity and yield they are
seeking in a money market fund.
Mary Ann Flynn
Portfolio Manager
U.S. GOVERNMENT
MONEY MARKET FUND
U.S. GOVERNMENT SELECT
MONEY MARKET FUND
Although the Federal Reserve raised interest rates only once last year, interest
rates were volatile and had a major effect on both Funds' performance. During
the year, we maintained our heavy weighting in securities issued by agencies of
the U.S. government. For the remainder of this year, we anticipate positioning
both Funds to maintain our emphasis on quality and to protect liquidity. We will
focus closely on the direction of the economy and Federal Funds interest rates
and extend the portfolios' average maturities when conditions warrant.
Edward Kyritz, III
Portfolio Manager
MUNICIPAL MONEY
MARKET FUND
Last year we maintained a longer average maturity and invested in more fixed-
rate bonds and Alternative Minimum Tax (AMT) securities. As a result, we out-
performed our benchmark (IBC's Money Fund AverageTM/All Tax-Free). We plan to
closely watch the supply of short-term securities and the actions of the Federal
Reserve. In order to take advantage of rising interest rates, we anticipate
keeping the average maturity of the portfolio relatively short.
Brad Snyder
Portfolio Manager
CALIFORNIA MUNICIPAL
MONEY MARKET FUND
The supply of short-term, tax-exempt California securities was very limited last
year, causing lower than normal yields. By maintaining a longer average maturity
than our peer group, however, we were able to outperform our benchmark (IBC's
Money Fund AverageTM/ California State-Specific Stock Broker & General Purpose).
During the coming year, we will closely monitor the actions of the Federal
Reserve. We plan to keep the portfolio's average maturity relatively short to
take advantage of the expected higher interest rates.
Brad Snyder
Portfolio Manager
MONEY MARKET FUNDS 7-DAY YIELDS <F1>
PERIOD ENDED MAY 15, 1997
U.S. U.S. CALIFORNIA
GOVERNMENT MUNICIPAL GOVERNMENT SELECT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND FUND FUND
- --------------------------------------------------------------------------------
Current 5.18% 5.02% 3.58% 5.12% 3.64%
Effective 5.31% 5.14% 3.64% 5.25% 3.71%
<F1> Yield calculations reflect fee waivers in effect, represent past
performance and will fluctuate. In the absence of fee waivers, current 7-
day yields for the Money Market, U.S. Government Money Market, Municipal
Money Market, U.S. Government Select Money Market and California Municipal
Money Market Funds would have been 5.11%, 4.93%, 3.49%, 5.01% and 3.56%,
respectively. An investment in any one of the money market funds is neither
insured nor guaranteed by the U.S. government nor is there any assurance
the Funds will be able to maintain a stable net asset value of $1.00 per
share.
<TABLE>
MONEY MARKET FUNDS YIELD<F2> COMPARISONS
AVERAGE MONTHLY RATES
<CAPTION>
IBC'S
MONEY FUND
AVERAGE/TM/
CALIFORNIA
STATE-
U.S. GOV'T. IBC'S CALIFORNIA SPECIFIC
IBC'S U.S. GOV'T. IBC'S MUNICIPAL IBC'S SELECT MONEY FUND MUNICIPAL STOCK
MONEY MONEY FUND MONEY MONEY FUND MONEY MONEY FUND MONEY AVERAGETM/ MONEY BROKER &
MARKET AVERAGETM/ MARKET AVERAGETM/ MARKET AVERAGETM/ MARKET 100% U.S. MARKET GENERAL
FUND ALL TAXABLE FUND GOVERNMENT FUND ALL TAX-FREE FUND TREASURIES FUND PURPOSE
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997
March 4.96% 4.84% 4.86% 4.68% 2.85% 2.76% 4.96% 4.61% 2.95% 2.60%
February 4.93% 4.82% 4.81% 4.64% 2.93% 2.87% 4.94% 4.57% 3.13% 2.74%
January 5.01% 4.84% 4.84% 4.66% 3.04% 2.90% 4.96% 4.56% 3.16% 2.78%
1996
December 5.00% 4.85% 4.86% 4.67% 3.22% 3.07% 4.97% 4.58% 3.34% 2.99%
November 4.94% 4.84% 4.86% 4.68% 3.15% 2.98% 4.94% 4.61% 3.21% 2.90%
October 4.93% 4.82% 4.83% 4.65% 3.16% 2.96% 4.96% 4.61% 3.20% 2.88%
September 4.95% 4.83% 4.82% 4.66% 3.18% 3.00% 4.94% 4.63% 3.22% 2.87%
August 4.92% 4.82% 4.82% 4.65% 3.22% 2.98% 4.96% 4.60% 3.21% 2.89%
July 4.93% 4.81% 4.82% 4.64% 2.85% 2.67% 4.98% 4.56% 2.73% 2.57%
June 4.87% 4.77% 4.80% 4.60% 3.09% 2.88% 4.96% 4.53% 3.05% 2.79%
May 4.88% 4.74% 4.78% 4.57% 3.34% 3.16% 4.93% 4.50% 3.38% 3.08%
April 4.89% 4.75% 4.75% 4.58% 3.12% 2.97% 4.92% 4.52% 3.19% 2.87%
<FN>
<F2> Yield calculations for Northern Funds reflect fee waivers in effect, represent past performance and will fluctuate; in the
absence of fee waivers, performance would be reduced. An investment in any one of the money market funds is neither insured nor
guaranteed by the U.S. government nor is there any assurance the Funds will be able to maintain a stable net asset value of
$1.00 per share.
We compare our Funds to the IBC's Money Fund AveragesTM which are composites of professionally managed money market investments
with similar investment objectives.
</TABLE>
U.S. GOVERNMENT FUND
Performance of the Fund during fiscal 1997 reflected a continuance of
volatility in the U.S. Treasury market. The debate regarding the
growth/inflation trade-off heightened as U.S. economic growth maintained a
healthy pace. During the past twelve months, Treasury prices gyrated as
consensus opinion shifted on several occasions. However, on a net basis,
Treasury prices moved lower in anticipation of a pre-emptive tightening by the
Federal Reserve. The concern for such action intensified following the start of
the new calendar year and remained following the Fed's recent decision to
tighten short-term rates.
4/1/94 3/31/95 3/31/96 3/31/97
U.S. GOVERNMENT FUND $10,000 $10,349 $11,141 $11,585
Lehman Bros. Intermediate
Gov't. Bond Index $10,000 $10,427 $11,376 $11,915
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- ----------------------------------------------
ONE YEAR 3.98%
AVERAGE ANNUAL SINCE INCEPTION 5.02%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Lehman Brothers Intermediate Government Bond Index is made up of the
Treasury Bond Index (all public obligations of the U.S. Treasury, excluding
flower bonds and foreign-targeted issues) and the Agency Bond Index (all
publicly issued debt of U.S. small government agencies and quasi-federal
corporations, and corporate debt guaranteed by the U.S. government). It includes
only those bonds with maturities of up to ten years.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
During the last twelve months, the Fund's performance has generally followed the
movement in Treasury prices. Exposure to mortgage-backed passthroughs enhanced
the Fund's return profile. At the present time, we anticipate using any further
price declines as an opportunity to increase the Fund's overall interest rate
exposure. We will continue to look for opportunities to add yield through
additional purchases within the agency sector.
Monty M. Memler
Portfolio Manager
FIXED INCOME FUND
U.S. interest rates rose year-over-year as stronger than expected economic
growth stoked inflation fears and prompted a pre-emptive rate hike from the
Federal Reserve. The Fund garnered a modest return consistent with its benchmark
as income more than offset price declines.
4/1/94 3/31/95 3/31/96 3/31/97
FIXED INCOME FUND $10,000 $10,416 $11,581 $12,112
Lehman Bros. Gov't./Corp.
Bond Index $10,000 $10,459 $11,601 $12,118
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- ----------------------------------------------
ONE YEAR 4.59%
AVERAGE ANNUAL SINCE INCEPTION 6.59%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Lehman Brothers Government/Corporate Bond Index includes all public
obligations of the U.S. Treasury, excluding flower bonds and foreign-targeted
issues; all publicly issued debt of U.S. government agencies and quasi-federal
corporations, and corporate debt guaranteed by the U.S. government; and all
publicly issued, fixed rate, nonconvertible investment-grade dollar-denominated,
SEC-registered corporate debt. Included in the latter is debt issued or
guaranteed by foreign sovereign governments, municipalities, or governmental
agencies, or international agencies.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
As we begin the new fiscal year, the Fund is positioned to take advantage of
what we perceive to be attractive real yields. While economic growth may exceed
trend, we are optimistic that the long-term inflation outlook will not
deteriorate. Currently, we continue to overweight high-quality corporates as
credit fundamentals are sound.
Michael J. Lannan
Portfolio Manager
INTERMEDIATE TAX-EXEMPT FUND
In an interest rate environment characterized by low inflation and strong
economic growth, the Fund generated a modest positive return for fiscal 1997.
The Fund's underperformance relative to its benchmark was largely a function of
heightened market volatility. During the period, we structured the portfolio to
take advantage of a yield curve which steepened in shorter maturities and
flattened in longer maturities. In addition, we added to our AAA-rated holdings
by increasing exposure to the more liquid, government-backed sector. We have
maintained the Fund's broad diversification among states and regions. Going
forward, the Fund is structured to benefit from a low inflation environment. The
Fund may be an appropriate investment for those investors seeking a current
stream of federally tax-exempt income. <F1>
4/1/94 3/31/95 3/31/96 3/31/97
INTERMEDIATE TAX-EXEMPT FUND $10,000 $10,438 $11,148 $11,526
Lehman Bros. 5-Year
Municipal Bond Index $10,000 $10,571 $11,342 $11,818
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- ----------------------------------------------
ONE YEAR 3.39%
AVERAGE ANNUAL SINCE INCEPTION 4.84%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Lehman Brothers 5-Year Municipal Bond Index is a total return performance
benchmark for the investment-grade, tax-exempt bond market. Securities included
in the Index must have been issued as part of a deal of at least $50 million;
have an amount outstanding of at least $3 million; have been issued within the
last five years; and have maturities of four to six years.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Eric V. Boeckmann
Portfolio Manager
<F1> To the extent the Fund invests in AMT obligations, some portion of the
Fund's income may be subject to the alternative minimum tax and/or state
and local taxes.
FLORIDA INTERMEDIATE TAX-EXEMPT FUND
Florida municipal bond rates rose since the inception of the Fund on August 15,
1996 through March 31, 1997 as stronger than expected economic growth heightened
inflation fears and prompted the Federal Reserve to raise the Federal Funds rate
in late March. Despite these higher market rates, the Fund generated a modest
positive total return during the period. The Fund outperformed its indices due
to favorable yield curve positioning, security selection, and beneficial trading
opportunities. The Fund maintained a high-quality bias because of tight credit
spreads in the municipal market, and is currently maintaining an overweight in
liquid high-quality securities. Reflecting our modestly positive long-term
outlook for interest rates, we have positioned the Fund's duration slightly long
to that of its indices. In the year ahead, our objective remains to seek to
provide current income exempt from regular federal income tax and to hold
securities exempt from the Florida intangibles tax.
8/15/96 9/30/96 12/31/96 3/31/97
FLORIDA INTERMEDIATE
TAX-EXEMPT FUND $10,000 $10,051 $10,276 $10,263
Lehman Bros. Mutual Fund
Florida Intermediate
Tax-Exempt Index $10,000 $ 9,996 $10,205 $10,196
Lehman Bros. Mutual Fund
Intermediate Municipal Index $ 9,904 $ 9,995 $10,241 $10,228
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- ---------------------------------------------
SINCE INCEPTION 2.63%
This chart assumes an initial gross investment of $10,000 made on 8/15/96
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Lehman Brothers Mutual Fund Florida Intermediate Tax-Exempt Index is a total
return performance benchmark for the long-term, investment-grade, tax-exempt
bond market. Securities included are Florida bonds with a minimum credit rating
of Baa and maturities between five and ten years.
The Lehman Brothers Mutual Fund Intermediate Municipal Index is a total return
performance benchmark for the long-term, investment-grade, tax-exempt bond
market. Securities included in the Index must have been issued on or after
January 1, 1991 as part of a deal of at least $50 million; have an amount
outstanding of at least $3 million; have a fixed coupon rate; have a minimum
credit rating of Baa, and have maturities between five and ten years.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Eric M. Bergson
Portfolio Manager
TAX-EXEMPT FUND
Low inflation and above-trend growth combined to create a volatile but positive
year for the municipal bond market. Although our optimistic inflation outlook
was validated by exceptionally benign price pressures throughout the period, the
Fund's longer-than-benchmark duration failed to aid performance as investors
focused more closely on indications of moderate, if uneven, growth. In an
environment of tightening quality spreads, the Fund's overall return was also
hurt by limited exposure to higher yielding market sectors. Responding to the
generally steep municipal yield curve during the year, the Fund's maturity
weightings were reallocated out of short-intermediate holdings and into longer
bonds. Concurrently, with its continued focus on liquidity, the Fund reduced its
exposure to pre-refunded issues while increasing insured holdings. The Fund is
presently structured to capture today's generous real yields, and should benefit
from an expected environment of slowly moderating growth, steady inflation and
meaningful fiscal reform.
4/1/94 3/31/95 3/31/96 3/31/97
TAX-EXEMPT FUND $10,000 $10,578 $11,404 $11,897
Lehman Bros. Municipal
Bond Index $10,000 $10,746 $11,647 $12,284
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- --------------------------------------------
ONE YEAR 4.32%
AVERAGE ANNUAL SINCE INCEPTION 5.95%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Lehman Brothers Municipal Bond Index is a total return performance bench-
mark for the long-term, investment-grade, tax-exempt bond market. Securities
included in the Index must have been issued as part of a deal of at least $50
million; have an amount outstanding of at least $3 million; have been issued
within the last five years; and have maturities of at least one year.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Peter J. Flood
Portfolio Manager
INTERNATIONAL FIXED INCOME FUND
Non-U.S. bonds benefited from generally weak economic conditions abroad,
particularly in continental Europe and Japan, and the movement toward a single
currency in Europe. Most of these local market gains, however, were offset by
significant strength in the U.S. dollar. As the Fund is primarily invested in
non-U.S. bonds and currencies, total returns suffered from the dollar's
appreciation. The Fund was able to outperform its benchmark for the one-year
period ended March 31, 1997 due to an underweight position in the Japanese yen.
The yen depreciated nearly 14% versus the dollar in the past twelve months.
4/1/94 3/31/95 3/31/96 3/31/97
INTERNATIONAL FIXED INCOME FUND $10,000 $11,281 $11,941 $12,101
J.P. Morgan International
Gov't. Bond Index $10,000 $11,827 $12,348 $12,452
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- --------------------------------------------
ONE YEAR 1.39%
AVERAGE ANNUAL SINCE INCEPTION 6.56%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The J.P. Morgan International Government Bond Index is a daily, market
capitalization-weighted international fixed income total return index consisting
of 12 countries: Australia, Belgium, Canada, France, Germany, Japan,
Netherlands, the United Kingdom, Italy, Spain, Denmark and Sweden. The
constituent indices are fully invested. The Index is represented in U.S.
dollars. Each component is converted into U.S. dollars and then aggregated.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
As we begin the new fiscal year, the Fund is positioned to take advantage of
what we perceive to be generous real yields. The Fund continues to be invested
in high-quality sovereign and corporate obligations.
Michael J. Lannan
Portfolio Manager
INVESTORS ARE REMINDED THAT, WHILE INVESTING GLOBALLY CAN BE REWARDING,
INVESTMENTS IN FOREIGN SECURITIES INVOLVE CERTAIN RISKS AND CONSIDERATIONS IN
ADDITION TO THOSE INHERENT WITH INVESTING IN U.S. COMPANIES, SUCH AS CURRENCY
FLUCTUATIONS AND POLITICAL INSTABILITY.
INCOME EQUITY FUND
The Fund had an outstanding fiscal 1997, exceeding its index by nearly 6%. The
reasons for this were a buoyant stock market, combined with reasonable bond
market support, as U.S. Treasury interest rates fluctuated between 6% and 7%.
During this market advance, we gradually decreased the common stock holdings of
the Fund from 38% of assets to about 17% currently. This was done for two
reasons: first, it helped maintain current income as assets were shifted to
higher-yielding convertible issues; and second, as prices rose and stock
valuations became less attractive, the yield value inherent in convertible
issues became more attractive. No sectors were specifically emphasized, though
technology was somewhat de-emphasized to control volatility. Our strategy
remains to find stocks, whether for direct investment or through a convertible
security, which show superior total return potential. Individual issues will
typically tilt either toward growth or income, but we seek a balance in the
portfolio as a whole. When a holding no longer meets these criteria, it is
generally sold. In this way, we seek total returns consistent with the equity
market, a higher current yield, and less volatility than a straight stock
portfolio.
4/1/94 3/31/95 3/31/96 3/31/97
INCOME EQUITY FUND $10,000 $10,221 $12,307 $14,081
Merrill Lynch Investment
Grade Convertible Bond Index $10,000 $10,444 $13,142 $14,261
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- --------------------------------------------
ONE YEAR 14.42%
AVERAGE ANNUAL SINCE INCEPTION 12.07%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Merrill Lynch Investment Grade Convertible Bond Index consists of all
convertible bonds and preferreds (domestic and Euro), rated AAA to BBB3 with at
least $2.5 million par value outstanding per issue.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Theodore T. Southworth
Portfolio Manager
STOCK INDEX FUND
The Fund is designed to replicate the performance of the Standard & Poor's
500(R) Composite Stock Index in an efficient, cost-effective manner. The Fund
provided a return that closely matched that of the S&P 500(R). Strong
performance sectors for the year were financial services and technology. There
were nine additions to the S&P 500(R) since the Fund's inception on October 7,
1996, three of which occurred on December 31, 1996.
During the next twelve months, we will continue to follow a passive index
strategy designed to replicate, before expenses, the performance of the S&P
500(R).
10/7/96 12/31/96 3/31/97
STOCK INDEX FUND $10,000 $10,545 $10,821
S&P 500(R) Stock Index $10,000 $10,584 $10,867
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- --------------------------------------------
SINCE INCEPTION 8.21%
This chart assumes an initial gross investment of $10,000 made on 10/7/96
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The S&P 500(R) Stock Index is an unmanaged index of 500 selected common stocks,
most of which are listed on the New York Stock Exchange. The Index is heavily
weighted toward stocks with large market capitalizations and represents
approximately two-thirds of the total market value of all domestic common
stocks.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Mary Kay Wright
Portfolio Manager
The Stock Index Fund is not sponsored, endorsed, sold or promoted by Standard
& Poor's, nor does Standard & Poor's guarantee the accuracy and/or
completeness of the S&P 500 Index or any data included therein. Standard &
Poor's makes no warranty, express or implied, as to the results to be obtained
by the Fund, owners of the Fund, any person or any entity from the use of the
S&P 500 Index or any data included therein. Standard & Poor's makes no express
or implied warranties and expressly disclaims all such warranties of
merchantability of fitness for a particular purpose for use with respect to
the S&P 500 Index or any data included therein.
GROWTH EQUITY FUND
The Fund performed well last year, although it lagged its benchmark somewhat.
While many of the stocks in the portfolio performed quite well in what was a
narrowing market focused on relatively few stocks, our exposure to several
underperforming smaller stocks with what we perceived to be excellent longer-
term growth potential hurt our overall relative performance. During the period,
we emphasized the technology, consumer, health care and service sectors of the
economy and avoided basic industry and utility stocks. We increased ownership of
energy stocks during the year, but recent declines in energy prices have caused
us to reduce our exposure somewhat. We continue to focus on selecting quality
stocks in strong, well-managed companies with above-average and consistent sales
and earnings growth. We believe that these types of issues will perform well
over the longer term. In addition, we expect mid-sized companies serving niche
markets to continue to prosper, and anticipate that this prosperity will be
reflected in those stock prices looking forward.
4/1/94 3/31/95 3/31/96 3/31/97
GROWTH EQUITY FUND $10,000 $10,690 $13,393 $14,962
S&P 500(R) Stock Index $10,000 $11,561 $15,274 $18,303
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- --------------------------------------------
ONE YEAR 11.72%
AVERAGE ANNUAL SINCE INCEPTION 14.36%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The S&P 500(R) Stock Index is an unmanaged index of 500 selected common stocks,
most of which are listed on the New York Stock Exchange. The Index is heavily
weighted toward stocks with large market capitalizations and represents
approximately two-thirds of the total market value of all domestic common
stocks.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Theodore Breckel
Portfolio Manager
SELECT EQUITY FUND
Investors will remember the past year as a time when it was easy to make money
but difficult to outperform the major market indices. We are experiencing a
prolonged period of outperformance by very large companies. A company's size
seems to be more important to its stock market performance than traditional
fundamental measures. To the extent a portfolio included companies other than
the very largest, it tended to lag behind the major indices. Such was the case
with the Fund. We performed well in absolute terms, but could not keep pace with
our benchmark because of our focus on a company's fundamentals--not its size.
4/6/94 3/31/95 3/31/96 3/31/97
SELECT EQUITY FUND $10,000 $10,818 $13,598 $15,725
S&P 500(R) Stock Index $10,000 $11,496 $15,189 $18,201
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- --------------------------------------------
ONE YEAR 15.64%
AVERAGE ANNUAL SINCE INCEPTION 16.35%
This chart assumes an initial gross investment of $10,000 made on 4/6/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The S&P 500(R) Stock Index is an unmanaged index of 500 selected common stocks,
most of which are listed on the New York Stock Exchange. The Index is heavily
weighted toward stocks with large market capitalizations and represents
approximately two-thirds of the total market value of all domestic common
stocks.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
We continue to believe that superior long-term investment results are obtained
by owning stocks of quality companies which are growing their businesses. Our
analysis continues to identify a number of attractive issues in the consumer,
financial, health care and technology sectors. There may be periods when this
emphasis will not serve us well.
Robert N. Streed
Portfolio Manager
SMALL CAP FUND
The Fund's value orientation contributed positively to last year's performance.
We outperformed our benchmark (Russell 2000) by more than 700 basis points
during fiscal 1997. Throughout the year, we maintained our quantitative approach
to securities selection and utilized trading strategies to add incremental
value. In the coming year, we will continue our disciplined strategy as we seek
to add value and to outperform our benchmark over time.
4/1/94 3/31/95 3/31/96 3/31/97
SMALL CAP FUND $10,000 $10,057 $12,479 $14,036
Russell 2000 $10,000 $10,532 $13,563 $14,261
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- --------------------------------------------
ONE YEAR 12.48%
AVERAGE ANNUAL SINCE INCEPTION 11.95%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Russell 2000 is an index of the smallest 2,000 companies in the Russell 3000
Index, as ranked by total market capitalization. The Russell 2000 is widely
regarded in the industry to accurately capture the universe of small-cap stocks.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Susan J. French
Portfolio Manager
INTERNATIONAL GROWTH EQUITY FUND
The Fund underperformed its benchmark primarily because of our relatively high
overweight in Japan. We were cautiously optimistic about the prospects for a
relative rise in the Japanese equity market and disappointed that the decline
that started in 1989 continued its downward trend.
Toward the second half of the fiscal year, we moved assets out of Japan and into
certain emerging market countries, which then saw sizable gains. The dollar's
strength through the period reduced U.S. investors' gains, which put further
pressure on performance.
4/1/94 3/31/95 3/31/96 3/31/97
INTERNATIONAL GROWTH
EQUITY FUND $10,000 $ 9,735 $10,573 $10,849
Morgan Stanley EAFE Index $10,000 $10,608 $11,915 $12,089
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- --------------------------------------------
ONE YEAR 2.61%
AVERAGE ANNUAL SINCE INCEPTION 2.75%
This chart assumes an initial gross investment of $10,000 made on 4/1/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Morgan Stanley EAFE Index is composed of a sample of companies represen-
tative of the market structure of 20 European and Pacific Basin countries. The
Index represents the evolution of an unmanaged portfolio consisting of all
domestically listed stocks.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Looking ahead, we are neutrally weighted in Japan, modestly underweighted in
Europe and overweighted in Latin America, as compared to our benchmark. Signs of
restructuring in the bank and real estate sectors could mark the beginnings of a
market rally in Japan, while the move to a single currency in Europe, which
should be decided in 1997, could spark rallies in the continental markets.
Robert A. LaFleur
Portfolio Manager
INVESTORS ARE REMINDED THAT, WHILE INVESTING GLOBALLY CAN BE REWARDING,
INVESTMENTS IN FOREIGN SECURITIES INVOLVE CERTAIN RISKS AND CONSIDERATIONS IN
ADDITION TO THOSE INHERENT WITH INVESTING IN U.S. COMPANIES, SUCH AS CURRENCY
FLUCTUATIONS AND POLITICAL INSTABILITY.
INTERNATIONAL SELECT EQUITY FUND
The U.S. stock markets were the clear winners in fiscal 1997. International
equity markets suffered from a weak Japanese market and mixed performance in
other Asian markets. Relatively robust markets in Europe were in part offset by
a stronger U.S. dollar. Latin American markets rebounded from their poor
performance in fiscal 1995, with the star market being Brazil.
4/5/94 3/31/95 3/31/96 3/31/97
INTERNATIONAL SELECT EQUITY FUND $10,000 $ 9,805 $10,804 $10,593
Morgan Stanley EAFE Blended
with Emerging Markets Free Index $10,000 $10,432 $11,767 $12,061
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- --------------------------------------------
ONE YEAR (1.95)%
AVERAGE ANNUAL SINCE INCEPTION 1.95%
This chart assumes an initial gross investment of $10,000 made on 4/5/94
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Morgan Stanley EAFE Blended with Emerging Markets Free Index is composed of
companies representative of the market structure of 20 developed European and
Pacific Basin countries and 18 emerging market countries. The Index represents
stock market trends by representing the evolution of an unmanaged portfolio
comprising a broad selection of domestically listed companies. Stock selection
also takes into consideration the trading capabilities of foreigners in emerging
market countries. The Morgan Stanley EAFE Index represents 90% of the benchmark;
the Morgan Stanley Emerging Markets Free Index, 10%.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
Several growth stocks faltered in the fiscal year and were punished by the
market, continuing a trend seen here in the U.S. The share price of companies
that missed analysts' estimates usually dropped before investors had time to
react. Such corrections are typically characteristic of late phases of a bull
market. Some of these have since been replaced in the portfolio.
The Fund underperformed its benchmark last year primarily because of our
overweight in Japan and stock selection in Europe. Several Asian growth stocks
declined in markets such as Indonesia, India and Singapore, putting further
pressure on the Fund.
The Fund's primary focus for this year will be to select stocks that have an
above-average profile of earnings relative to their local market. That company-
specific approach presently leads us to continue to underweight Japan, be wary
of Europe and overweight the emerging markets countries.
Arthur Williams, IV
Portfolio Manager
INVESTORS ARE REMINDED THAT, WHILE INVESTING GLOBALLY CAN BE REWARDING,
INVESTMENTS IN FOREIGN SECURITIES INVOLVE CERTAIN RISKS AND CONSIDERATIONS IN
ADDITION TO THOSE INHERENT WITH INVESTING IN U.S. COMPANIES, SUCH AS CURRENCY
FLUCTUATIONS AND POLITICAL INSTABILITY.
TECHNOLOGY FUND
Driven by strong demand for personal computers and for communications-related
equipment, technology stocks continued to experience well above-average growth
during the past year. The Fund benefited from this trend as its performance
outpaced the benchmark (Morgan Stanley High-Technology 35 Index) by a wide
margin. Our returns for fiscal 1998 may be impacted by investors' evolving
perceptions about the growth prospects for the technology industry relative to
the overall market. Fears of lost leadership or pull backs due to higher
interest rates could provide very attractive buying opportunities in the high-
growth companies we favor.
4/1/96 6/30/96 9/30/96 12/31/96 3/31/97
TECHNOLOGY FUND $10,000 $10,814 $12,288 $13,249 $12,082
Morgan Stanley High-
Technology 35 Index $10,000 $10,276 $11,154 $12,126 $11,232
S&P 500(R) Stock Index $10,000 $10,450 $10,772 $11,670 $11,983
TOTAL RETURN
FOR THE PERIOD ENDED 3/31/97
- --------------------------------------------
SINCE INCEPTION 20.82%
This chart assumes an initial gross investment of $10,000 made on 4/1/96
(commencement). Returns shown include the reinvestment of all dividends and
reflect fee waivers in effect; in the absence of fee waivers, performance would
be reduced. Past performance is not predictive of future results. Investment
return and principal value will fluctuate, so that shares, when redeemed, may be
worth more or less than the original cost.
The Morgan Stanley High-Technology 35 Index is a broad-market technology
indicator dedicated exclusively to the electronics-based technology sector. The
35 stocks in the Index include the most highly capitalized American companies
drawn from nine technology subsectors: computer services/design software, server
software, PC software and new media, networking and telecom equipment, server
hardware, PC hardware and peripherals, specialized systems and semi-conductors.
Capitalization ranges from $1 billion to $54 billion.
The S&P 500(R) Stock Index is an unmanaged index of 500 selected common stocks,
most of which are listed on the New York Stock Exchange. The Index is heavily
weighted toward stocks with large market capitalizations and represents
approximately two-thirds of the total market value of all domestic common
stocks.
Unlike actual fund performance, performance of an index does not reflect any
expenses or transaction costs. A direct investment in an unmanaged index is not
possible.
John B. Leo
Portfolio Manager
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 1997
MONEY MARKET FUNDS
<CAPTION>
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, EXCEPT PER SHARE DATA FUND FUND FUND FUND FUND
- -------------------------------------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at amortized cost $1,517,144 $226,181 $1,412,986 $174,156 $200,951
Repurchase agreements, at cost which
approximates market value 101,000 88,981 - - -
Cash - - - - 87
Income receivable 7,283 496 10,460 66 1,669
Receivable for fund shares sold 33,886 4,031 43,895 1,659 2,455
Receivable from Adviser 37 10 30 9 14
Deferred organization costs, net of
accumulated amortization 55 21 62 10 10
Prepaid and other assets 21 11 20 9 2
---------- ---------- ---------- ---------- ----------
Total Assets 1,659,426 319,731 1,467,453 175,909 205,188
---------- ---------- ---------- ---------- ----------
LIABILITIES:
Dividends payable 6,632 1,283 3,441 702 463
Payable for fund shares redeemed 45,168 4,091 42,424 1,048 3,680
Payable for securities purchased - - 1,198 5,964 -
Accrued investment advisory fees 106 21 94 7 10
Accrued administration fees 107 15 69 15 6
Accrued transfer agent fees 27 5 24 3 3
Accrued custody and accounting fees 8 2 10 1 1
Accrued registration fees and other
liabilities 191 55 152 41 36
---------- ---------- ---------- ---------- ----------
Total Liabilities 52,239 5,472 47,412 7,781 4,199
---------- ---------- ---------- ---------- ----------
Net Assets $1,607,187 $314,259 $1,420,041 $168,128 $200,989
========== ========== ========== ========== ==========
ANALYSIS OF NET ASSETS:
Capital stock $1,607,109 $314,238 $1,419,997 $168,119 $200,980
Accumulated undistributed net
investment income 77 21 153 10 9
Accumulated undistributed net
realized gains (losses) 1 - (109) (1) -
---------- ---------- ---------- ---------- ----------
Net Assets $1,607,187 $314,259 $1,420,041 $168,128 $200,989
========== ========== ========== ========== ==========
SHARES OUTSTANDING ($.0001 PAR VALUE,
UNLIMITED AUTHORIZATION) 1,607,182 314,259 1,420,080 168,128 200,989
NET ASSET VALUE, REDEMPTION AND
OFFERING PRICE PER SHARE $1.00 $1.00 $1.00 $1.00 $1.00
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF OPERATIONS YEAR ENDED MARCH 31, 1997
MONEY MARKET FUNDS
<CAPTION>
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
- --------------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income $71,471 $13,162 $43,646 $6,400 $5,919
---------- ---------- ---------- ---------- ----------
EXPENSES:
Investment advisory fees 7,819 1,470 7,214 718 992
Administration fees 1,955 367 1,803 179 247
Transfer agent fees 1,299 244 1,199 119 165
Custody and accounting fees 320 90 280 61 72
Registration fees 130 41 118 37 20
Professional fees 40 21 38 19 19
Amortization of organization costs 27 10 31 4 4
Trustees' fees and expenses 25 7 24 4 6
Other 139 96 133 17 24
---------- ---------- ---------- ---------- ----------
Total Expenses 11,754 2,346 10,840 1,158 1,549
Less voluntary waivers of:
Investment advisory fees (2,622) (493) (2,417) (420) (497)
Administration fees (790) (149) (728) (155) (166)
---------- ---------- ---------- ---------- ----------
Less: Reimbursement of expenses by Adviser (1,196) (361) (1,097) (107) (144)
---------- ---------- ---------- ---------- ----------
Net Expenses 7,146 1,343 6,598 476 742
---------- ---------- ---------- ---------- ----------
NET INVESTMENT INCOME 64,325 11,819 37,048 5,924 5,177
---------- ---------- ---------- ---------- ----------
NET REALIZED GAINS (LOSSES) ON:
Investments 1 - (109) (1) -
---------- ---------- ---------- ---------- ----------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $64,326 $11,819 $36,939 $5,923 $5,177
========== ========== ========== ========== ==========
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET FUNDS
<CAPTION>
U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
-------------------------- --------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31,
AMOUNTS IN THOUSANDS 1997 1996 1997 1996
- --------------------- ---- ---- ---- ----
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 64,325 $ 53,544 $ 11,819 $ 12,700
Net realized gains (losses) on investments 1 - - -
---------- ---------- ---------- ----------
Net Increase in Net Assets Resulting
from Operations 64,326 53,544 11,819 12,700
---------- ---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS:
Shares sold 7,318,021 4,176,187 1,755,453 1,141,048
Shares from reinvestment of dividends 6,771 3,537 2,684 979
Shares redeemed (6,779,419) (4,012,194) (1,650,983) (1,162,463)
---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Capital Share Transactions 545,373 167,530 107,154 (20,436)
---------- ---------- ---------- ----------
DISTRIBUTIONS PAID:
From net investment income (64,325) (53,540) (11,819) (12,702)
---------- ---------- ---------- ----------
Total Distributions Paid (64,325) (53,540) (11,819) (12,702)
---------- ---------- ---------- ----------
TOTAL INCREASE (DECREASE) IN NET ASSETS 545,374 167,534 107,154 (20,438)
NET ASSETS:
Beginning of year 1,061,813 894,279 207,105 227,543
---------- ---------- ---------- ----------
End of year $1,607,187 $1,061,813 $314,259 $207,105
========== ========== ========== ==========
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME $77 $53 $21 $15
========== ========== ========== ==========
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET FUNDS (CONTINUED)
<CAPTION>
U.S. GOVERNMENT CALIFORNIA
MUNICIPAL SELECT MUNICIPAL
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
----------------- ------------------ -----------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
AMOUNTS IN THOUSANDS 1997 1996 1997 1996 1997 1996
- --------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 37,048 $ 34,519 $ 5,924 $ 5,207 $ 5,177 $ 5,021
Net realized gains (losses) on investments (109) - (1) - - -
----------- ----------- ---------- ---------- ---------- ----------
Net Increase in Net Assets Resulting
from Operations 36,939 34,519 5,923 5,207 5,177 5,021
----------- ----------- ---------- ---------- ---------- ----------
CAPITAL SHARE TRANSACTIONS:
Shares sold 6,319,359 4,716,758 483,126 522,583 1,517,961 585,989
Shares from reinvestment of dividends 2,651 1,505 2,092 1,579 337 85
Shares redeemed (6,004,649) (4,543,236) (402,489) (520,924) (1,482,396) (582,282)
----------- ----------- ---------- ---------- ---------- ----------
Net Increase (Decrease) in Net Assets Resulting
from Capital Share Transactions 317,361 175,027 82,729 3,238 35,902 3,792
----------- ----------- ---------- ---------- ---------- ----------
DISTRIBUTIONS PAID:
From net investment income (37,048) (34,504) (5,924) (5,207) (5,177) (5,042)
----------- ----------- ---------- ---------- ---------- ----------
Total Distributions Paid (37,048) (34,504) (5,924) (5,207) (5,177) (5,042)
----------- ----------- ---------- ---------- ---------- ----------
TOTAL INCREASE (DECREASE) IN NET ASSETS 317,252 175,042 82,728 3,238 35,902 3,771
NET ASSETS:
Beginning of year 1,102,789 927,747 85,400 82,162 165,087 161,316
----------- ----------- ---------- ---------- ---------- ----------
End of year $1,420,041 $1,102,789 $168,128 $85,400 $200,989 $165,087
=========== =========== ========== ========== ========== ==========
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME $153 $106 $10 $6 $9 $6
=========== =========== ========== ========== ========== ==========
See Notes to the Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
MONEY MARKET FUNDS
<CAPTION>
U.S. GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
-------------------------------- ---------------------------------
YEAR YEAR PERIOD YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
1997 1996 1995<F1> 1997 1996 1995<F1>
- ------------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
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 0.05 0.05 0.04 0.05 0.05 0.04
----------- ----------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS PAID:
From net investment income (0.05) (0.05) (0.04) (0.05) (0.05) (0.04)
----------- ----------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
=========== =========== ========== ========== ========== ==========
TOTAL RETURN 5.05% 5.57% 4.55% 4.93% 5.46% 4.47%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end of period $1,607,187 $1,061,813 $894,279 $314,259 $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% 0.96% 0.94% 1.01%
Net investment income, net of waivers and
reimbursements 4.94% 5.42% 4.94% 4.82% 5.33% 4.93%
Net investment income, before waivers and
reimbursements 4.59% 5.00% 4.43% 4.41% 4.88% 4.37%
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
MONEY MARKET FUNDS (CONTINUED)
<CAPTION>
U.S. GOVERNMENT
MUNICIPAL SELECT
MONEY MARKET MONEY MARKET
FUND FUND
--------------------------------- --------------------------------
YEAR YEAR PERIOD YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
1997 1996 1995<F1> 1997 1996 1995<F2>
- ------------------------ ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.03 0.03 0.05 0.05 0.02
----------- ----------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS PAID:
From net investment income (0.03) (0.03) (0.03) (0.05) (0.05) (0.02)
----------- ----------- ---------- ---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
=========== =========== ========== ========== ========== ==========
TOTAL RETURN 3.14% 3.54% 2.90% 5.07% 5.55% 1.75%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end of period $1,420,041 $1,102,789 $927,747 $168,128 $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% 0.97% 1.00% 1.32%
Net investment income, net of waivers and
reimbursements 3.08% 3.46% 3.10% 4.95% 5.43% 5.84%
Net investment income, before waivers and
reimbursements 2.73% 3.04% 2.60% 4.38% 4.76% 4.82%
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
MONEY MARKET FUNDS (CONTINUED)
<CAPTION>
CALIFORNIA
MUNICIPAL
MONEY MARKET
FUND
----------------------------
YEAR YEAR PERIOD
ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31,
1997 1996 1995<F3>
- ------------------------ ---- ---- ----
<S> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD $1.00 $1.00 $1.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.03 0.04 0.01
---------- ---------- ----------
LESS DISTRIBUTIONS PAID:
From net investment income (0.03) (0.04) (0.01)
---------- ---------- ----------
NET ASSET VALUE, END OF PERIOD $1.00 $1.00 $1.00
========== ========== ==========
TOTAL RETURN 3.19% 3.63% 1.27%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end of period $ 200,989 $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 0.94% 0.94% 1.07%
Net investment income, net of waivers and
reimbursements 3.13% 3.55% 3.78%
Net investment income, before waivers and
reimbursements 2.64% 3.00% 3.06%
<FN>
<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.
</TABLE>
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
CERTIFICATES OF DEPOSIT - 19.6%
DOMESTIC CERTIFICATES OF DEPOSIT - 3.5%
$18,000 Bankers Trust, New York Corp.,
5.30%, 5/29/97 $18,000
10,000 First Alabama Bank,
5.48%, 7/8/97 10,000
First Tennessee Bank
14,000 5.40%, 4/29/97 14,000
15,000 5.42%, 6/5/97 15,000
--------
57,000
--------
FOREIGN CERTIFICATES OF DEPOSIT - 16.1%
25,000 ABN-Amro Bank,
New York Branch, 5.66%, 4/17/97 25,000
32,000 Abbey National PLC, London Branch,
5.48%, 4/15/97 32,000
30,000 Bank of Scotland, London Branch,
5.42%, 6/5/97 30,000
5,000 Bank of Tokyo-Mitsubishi, London Branch,
5.46%, 4/7/97 5,000
13,000 Bank of Tokyo-Mitsubishi, New York
Branch, 5.80%, 6/24/97 12,997
9,000 Barclays Bank, New York Branch,
5.70%, 4/10/97 8,999
20,000 Cariplo, London Branch, 5.36%, 4/1/97 20,000
20,000 Deutsche Bank, New York Branch,
5.37%, 5/12/97 19,999
Landesbank Hessen - Thueringen
Girozentrale
5,000 6.06%, 6/13/97 4,999
7,000 5.62%, 9/11/97 7,013
20,000 Norinchukin Bank, New York Branch,
5.47%, 4/14/97 20,000
Sanwa Bank, London Branch
10,000 5.59%, 4/30/97 10,000
10,000 5.56%, 5/12/97 10,000
Societe Generale, New York Branch
4,000 5.66%, 4/14/97 4,000
6,000 5.90%, 1/13/98 5,996
10,000 5.91%, 3/3/98 9,997
22,000 Sumitomo Bank, Los Angeles Branch,
5.49%, 5/28/97 22,000
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
FOREIGN CERTIFICATES OF DEPOSIT -
16.1% (CONT'D.)
Sumitomo Bank, New York Branch
$ 5,000 5.56%, 5/6/97 $ 5,000
5,000 5.54%, 5/14/97 5,000
--------
258,000
--------
Total Certificates of Deposit
(cost $315,000) 315,000
--------
COMMERCIAL PAPER - 49.7%
ASSET BACKED SECURITIES - 11.5%
12,400 Cooperative Association of Tractor
Dealers, Inc., 5.455%, 4/23/97 12,359
10,000 Galicia Funding Corp.,
5.423%, 5/30/97 9,912
8,526 GE Engine Receivables 1995-1 Trust,
5.735%, 4/14/97 8,526
6,000 Lexington Parker Capital Company LLC,
5.458%, 4/22/97 5,981
ROSE, Inc.
59,490 5.394%, 4/28/97 59,251
5,000 5.414%, 5/28/97 4,958
10,000 5.706%, 5/28/97 9,911
15,000 SALTS (II) Cayman Islands Corp.,
5.613%, 6/19/97 15,000
30,000 SALTS (III) Cayman Islands Corp.,
5.788%, 7/23/97 30,000
3,300 Sheffield Receivables Corp.,
5.473%, 4/2/97 3,300
10,000 Special Purpose Accounts Receivable
Cooperative Corp.,
5.803%, 4/25/97 9,961
15,000 Variable Funding Capital,
5.828%, 4/30/97 14,930
--------
184,089
--------
BROKERAGE SERVICES - 5.7%
Morgan Stanley Group, Inc.
14,000 6.751%, 4/1/97 14,000
8,000 5.41%, 5/5/97 7,960
25,000 5.416%, 5/23/97 24,806
45,000 Smith Barney, Inc.,
5.374%, 4/3/97 44,987
--------
91,753
--------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
BUSINESS SERVICES - 1.9%
$30,000 Sanwa Business Credit Corp.,
5.429%, 4/7/97 $29,973
--------
COMMUNICATIONS - 3.9%
GTE Corp.
10,000 5.364%, 4/3/97 9,997
15,000 5.365%, 4/4/97 14,993
5,535 5.363%, 4/10/97 5,528
NYNEX Corp.
5,000 5.696%, 4/25/97 4,981
5,000 5.68%, 4/29/97 4,978
18,000 5.397%, 5/9/97 17,898
5,000 5.693%, 5/13/97 4,967
--------
63,342
--------
DOMESTIC DEPOSITORY INSTITUTIONS - 1.3%
20,000 NationsBank Corp.,
5.425%, 4/9/97 19,976
--------
FOOD AND BEVERAGES - 1.9%
Cofco Capital Corp.
20,000 5.39%, 4/29/97 19,917
10,000 5.388%, 5/9/97 9,944
--------
29,861
--------
FOREIGN DEPOSITORY INSTITUTIONS - 4.3%
15,000 BCI Funding Corp.,
5.412%, 5/21/97 14,889
HSBC Americas, Inc.
15,000 5.507%, 5/2/97 14,930
10,000 5.475%, 5/30/97 9,912
10,000 Indosuez North America, Inc.,
5.399%, 5/6/97 9,948
5,000 Nacional Financiera, S.N.C.,
5.413%, 5/2/97 4,977
5,000 Spintab-Swedmortgage AB,
5.402%, 5/12/97 4,970
10,000 Swedbank, Inc.,
5.441%, 4/18/97 9,975
--------
69,601
--------
HEALTH SERVICES - 1.2%
20,000 Columbia/HCA Healthcare Corp.,
5.446%, 4/24/97 19,931
--------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
NONDEPOSITORY BUSINESS
CREDIT INSTITUTIONS - 5.9%
$38,867 American Express Credit,
6.501%, 4/1/97 $ 38,867
Finova Capital Corp.
10,000 5.421%, 5/28/97 9,915
5,000 5.413%, 5/29/97 4,957
7,605 5.472%, 6/25/97 7,508
15,000 Heller Financial,
5.661%, 6/17/97 14,821
18,700 Vehicle Services America Ltd.,
5.383%, 5/28/97 18,543
--------
94,611
--------
NONDEPOSITORY PERSONAL
CREDIT INSTITUTIONS - 1.1%
17,974 Nationwide Building Society,
5.489%, 4/24/97 17,913
--------
TRANSPORTATION PARTS AND
EQUIPMENT - 10.4%
Chrysler Financial Corp.
2,100 5.428%, 4/4/97 2,099
7,500 5.376%, 4/8/97 7,492
20,000 5.38%, 4/29/97 19,917
15,000 5.662%, 5/1/97 14,930
15,000 5.402%, 5/19/97 14,893
15,000 5.687%, 6/10/97 14,831
Ford Credit Canada Ltd.
10,000 5.378%, 4/16/97 9,978
20,000 5.40%, 5/5/97 19,899
19,000 5.407%, 5/15/97 18,876
General Motors Acceptance Corp.
10,000 5.467%, 5/1/97 9,956
15,000 5.552%, 7/1/97 14,795
10,000 Mitsubishi Motors Credit of America, Inc.,
5.494%, 4/10/97 9,986
10,000 PHH Corp.,
5.396%, 4/8/97 9,990
--------
167,642
--------
WHOLESALE TRADE - DURABLE GOODS - 0.6%
10,000 Sinochem American Holdings, Inc.,
5.572%, 4/16/97 9,977
--------
Total Commercial Paper
(cost $798,669) 798,669
--------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
CORPORATE BONDS - 9.8%
$25,000 Associates Corporation N.A.,
5.57%, 3/2/98 $ 24,983
25,000 Boatmen's National Bank of
St. Louis, FMTN, 5.43%, 6/17/97 25,000
7,250 Chapel Oaks, Inc., 5.75%, 4/1/97 7,250
15,000 Fifth Third Bank, Cincinnati, Ohio,
5.43%, 6/10/97 15,000
25,000 Huntington National Bank, Columbus,
6.116%, 7/8/97 25,000
11,000 John Deere Capital Corp.,
5.488%, 6/30/97 11,010
30,000 Key Bank N.A.,
5.363%, 3/19/98 29,987
19,000 Physicians Plus Medical Group,
5.90%, 4/1/97 19,000
--------
Total Corporate Bonds
(cost $157,230) 157,230
--------
EURODOLLAR TIME DEPOSITS - 7.8%
25,000 Banque Brussels Lambert, Grand
Cayman Islands, 7.00%, 4/1/97 25,000
30,000 Banque Paribas Lambert, Grand
Cayman Islands, 6.50%, 4/1/97 30,000
10,000 Credit Agricole, Grand Cayman Islands,
6.50%, 4/1/97 10,000
40,000 Republic National Bank of New York,
7.00%, 4/1/97 40,000
20,000 Societe Generale, Grand Cayman Islands,
7.00%, 4/1/97 20,000
--------
Total Eurodollar Time Deposits
(cost $125,000) 125,000
--------
GUARANTEED INVESTMENT
CONTRACTS - 3.1%
25,000 General American Life Insurance Co.,
5.58%, 4/23/97 25,000
10,000 Integrity Life Insurance Co.,
5.76%, 4/1/97 10,000
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
GUARANTEED INVESTMENT
CONTRACTS - 3.1% (CONT'D.)
$ 15,000 Transamerica Life Insurance
and Annuity Co., 5.438%, 3/20/98 $ 15,000
--------
Total Guaranteed Investment Contracts
(cost $50,000) 50,000
--------
MUNICIPAL INVESTMENTS - 4.4%
14,000 Flint, Michigan Hospital Building Authority,
5.721%, 4/1/97 14,000
3,900 Health Insurance Plan of Greater
New York, 5.60%, 4/1/97 3,900
8,930 Minneapolis-St. Paul Metro Airport
Taxable G.O. Bonds, 5.538%, 7/1/97 8,930
12,500 New Jersey Economic Development
Authority, 5.688%, 5/1/97 12,500
8,500 Seattle, Washington Ltd. Tax G.O.,
5.60%, 4/2/97 8,500
20,215 State of Texas-Veterans Land Bond,
5.538%, 6/1/97 20,215
3,200 Waukesha, Wisconsin Health Systems,
Inc., 5.80%, 4/1/97 3,200
--------
Total Municipal Investments
(cost $71,245) 71,245
--------
REPURCHASE AGREEMENT - 6.3%
101,000 SBC Capital Markets, dated 3/31/97,
repurchase price $101,018 (Colld. by U.S.
Government Securities), 6.50%, 4/1/97
(cost $101,000) 101,000
--------
Total Investments - 100.7%
(cost $1,618,144) 1,618,144
Liabilities less Other Assets - (0.7)% (10,957)
--------
NET ASSETS - 100.0% $1,607,187
==========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
U.S. GOVERNMENT MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
U.S. GOVERNMENT AGENCIES - 72.0%
FEDERAL FARM CREDIT BANK - 1.3%
$ 4,000 FFCB Discount Note,
5.285%, 5/23/97 $ 3,970
--------
FEDERAL HOME LOAN BANK - 18.7%
FHLB Discount Notes
20,000 5.407%, 4/9/97 19,977
12,000 5.284%, 5/8/97 11,936
9,000 5.537%, 5/22/97 8,930
2,160 5.32%, 5/29/97 2,142
10,000 5.297%, 8/26/97 9,789
6,000 5.446%, 9/2/97 5,866
--------
58,640
--------
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 27.6%
FHLMC Discount Notes
10,000 5.525%, 4/30/97 9,904
27,478 5.303%, 5/6/97 27,338
20,000 5.338%, 5/23/97 19,848
5,000 5.331%, 5/30/97 4,957
10,000 5.368%, 6/5/97 9,956
10,000 5.348%, 6/6/97 9,904
5,000 5.418%, 6/13/97 4,946
--------
86,853
--------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION - 15.7%
FNMA Discount Notes - 11.5%
6,500 5.379%, 4/4/97 6,497
10,000 5.32%, 4/16/97 9,978
5,000 5.32%, 4/23/97 4,984
5,000 5.344%, 6/13/97 4,947
10,000 5.413%, 7/30/97 9,824
--------
36,230
--------
FNMA FRN - 1.6%
5,000 5.338%, 2/13/98 4,997
--------
FNMA MTN - 2.6%
7,000 5.281%, 4/22/97 7,005
990 5.679%, 8/8/97 990
--------
7,995
--------
49,222
--------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
OVERSEAS PRIVATE INVESTMENT CO. - 5.7%
$18,000 FRN, 5.68%, 4/7/97 $ 18,000
--------
STUDENT LOAN MARKETING
ASSOCIATION - 3.0%
7,500 SLMA Discount Note,
5.521%, 2/25/98 7,496
2,000 SLMA FRN, 5.51%, 9/3/97 1,999
--------
9,495
--------
Total U.S. Government Agencies
(cost $226,180) 226,180
--------
NUMBER
OF SHARES
(000S)
----------
OTHER - 0.0%
1 Dreyfus Prime Money Market Fund
(cost $1) 1
--------
PRINCIPAL
AMOUNT
(000S)
----------
REPURCHASE AGREEMENTS - 28.3%
$ 9,981 J.P. Morgan Securities, Inc.,
dated 3/31/97, repurchase price $10,043
(Colld. by U.S. Government Securities),
5.75%, 4/1/97 9,981
79,000 SBC Capital Markets, dated 3/31/97,
repurchase price $79,783
(Colld. by U.S. Government Securities),
6.50%, 4/1/97 79,000
--------
Total Repurchase Agreements
(cost $88,981) 88,981
--------
Total Investments - 100.3%
(cost $315,162) 315,162
Liabilities less Other Assets - (0.3)% (903)
--------
NET ASSETS - 100.0% $314,259
========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- --------
MUNICIPAL INVESTMENTS - 99.1%
ALABAMA - 1.1%
$ 700 City of Greenville IDR VRDN,
Series: 1992, Allied-Signal Project
(FMC Corp. Gtd.), 3.65%, 4/7/97 $ 700
2,800 City of Selma IDR VRDN,
Series: 1996 A, Meadowcraft, Inc.
(NationsBank LOC), 3.70%, 4/7/97 2,800
2,800 City of Stevenson Environment
Improvment IDR VRDN,
Series: 1996 (AMT), Mead Corp. Project
(Soc Gen LOC), 3.90%, 4/1/97 2,800
9,300 County of Phenix Environment
Improvement IDR VRDN,
Series: 1990 A (AMT), Mead Corp. Project
(Sumitomo Bank Ltd. LOC),
3.95%, 4/1/97 9,300
--------
15,600
--------
ALASKA - 1.1%
5,000 Alaska Industrial Development and
Export Authority, Series: 1996 B (AMT)
(Seafirst Bank LOC), 3.50%, 4/7/97 5,000
11,000 Valdez Marine Terminal Revenue VRDN,
Series: 1994 B, ARCO Transportation
Project (Atlantic Richfield Co. Gtd.),
3.55%, 4/7/97 11,000
--------
16,000
--------
ARIZONA - 0.7%
1,400 County of Apache IDR VRDN,
Imperial Components, Inc. Project
(Harris Trust & Savings Bank LOC),
3.65%, 4/7/97 1,400
7,000 County of Maricopa PCR VRDN,
Series: A, El Paso Electric Project
(Westpac Banking Corp. LOC),
3.60%, 4/7/97 7,000
2,200 Special Fund of the Industrial
Commission of Arizona CP,
3.50%, 5/22/97 2,200
--------
10,600
--------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
ARKANSAS - 0.4%
$ 3,250 City of Lowell IDR VRDN, Series: 1996,
Little Rock Newspapers, Inc. Project
(Bank of New York LOC), 3.55%, 4/7/97 $ 3,250
2,200 City of West Memphis IDR VRDN,
Proform Co. LLC Project
(First Bank LOC), 3.65%, 4/7/97 2,200
--------
5,450
--------
CALIFORNIA - 4.7%
7,500 California School Cash Reserve Program
Authority TRAN, Series: 1996 A
(MBIA Insured), 4.75%, 7/2/97 7,513
10,000 California Statewide Community
Development Authority TRAN, Series: A
(Colld. by FSA Insurance Policy),
4.75%, 6/30/97 10,017
2,500 City and County of San Francisco VRDN,
Series: C-6, 3.51%, 4/7/97 2,500
2,746 City of Los Angeles IDR VRDN,
Series: BTP-129 (Colld. by U.S. Government
Securities), 3.62%, 6/9/97 2,746
3,000 City of Santa Rosa High School District
TRAN, Series: 1996-1997, 4.50%, 7/3/97 3,003
9,100 County of Irvine Ranch Water District
VRDN, Series: 1993 B, Districts 2, 102, 103,
106, 3(203) & 206 (Morgan Guaranty Trust
Co. LOC), 3.70%, 4/1/97 9,100
1,500 County of Los Angeles Metropolitan
Transportation Authority VRDN,
Union Station Project, Soc Gen Trust SGB-2
(FSA Insured), 3.40%, 4/7/97 1,500
3,800 County of Orange VRDN, Aliso Creek
Project B (First Interstate Bancorp LOC),
3.55%, 4/7/97 3,800
5,400 County of Riverside Housing Authority
VRDN, Series: 1989 B, Amanda Park
Apartments Project (Fuji Bank LOC),
4.16%, 4/7/97 5,400
400 County of Sacramento VRDN,
Multifamily Housing, Series: 1985 C
(Dai-Ichi Kangyo Bank LOC),
3.45%, 4/15/97 400
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
CALIFORNIA - 4.7% (CONT'D.)
State of California G.O. Bond
(FGIC Insured)
$ 1,700 Series: CR-152, 3.51%, 4/7/97 $ 1,700
2,000 Series: CR-153, 3.51%, 4/7/97 2,000
5,500 State of California G.O. Bond,
Series: A3 (First Chicago Bank LOC),
3.75%, 4/7/97 5,500
State of California RAN
6,500 Series: A, 4.50%, 6/30/97 6,508
5,200 Series: B, 3.49%, 6/30/97 5,200
--------
66,887
--------
COLORADO - 1.7%
City and County of Denver Transportation
Community Paperies Airport System
VRDN (Sanwa Bank LOC)
2,675 Series: 1990 D, 3.65%, 4/4/97 2,675
7,325 Series: 1990 E, 3.65%, 4/4/97 7,325
5,000 Colorado HFA VRDN, Metal Sales
Manufacturing Corp. Project,
3.70%, 4/7/97 5,000
9,900 Colorado HFA SFM VRDN,
Series: 1996 C-1, 3.71%, 4/7/97 9,900
--------
24,900
--------
DELAWARE - 0.5%
1,325 State of Delaware Economic Development
Authority PCR VRDN, Allied-Signal Corp.
Project (FMC Corp. Gtd.), 3.65%, 4/7/97 1,325
5,500 State of Delaware Economic Development
Authority, Series: 1996-A, Ciba Geigy
Corp. Project, 4.25%, 4/1/97 5,500
--------
6,825
--------
DISTRICT OF COLUMBIA - 1.4%
District of Columbia Metro Airport
Authority, Passenger Facility CP
15,000 3.65%, 5/20/97 15,000
5,000 3.70%, 8/18/97 5,000
--------
20,000
--------
FLORIDA - 5.5%
2,700 County of Broward HFA,
Landings Inverrary Apartment Project
(Colld. by Westinghouse Credit Corp.),
3.55%, 4/1/97 2,700
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
FLORIDA - 5.5% (CONT'D.)
$ 2,350 County of Dade Resource Recovery Facility
Refunding Revenue Bond, Series: 1996
(AMT) (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, 3.46%, 4/7/97 4,950
24,900 County of Highlands Health Facilities
VRDN, Series: 1996 B, Adventist Health
System, 3.50%, 4/7/97 24,900
8,860 Florida State Board of Education Capital
Outlay VRDN, BTP-52 ADP Class B,
3.60%, 4/7/97 8,860
13,000 Florida State Board of Education G.O. Bond,
Series: 1989 A, Eagle Trust, 3.65%, 6/1/97 13,000
1,400 Florida State Board of Education VRDN,
Series: 1994 E, Eagle Trust, 3.61%, 4/7/97 1,400
13,120 IBM Tax-Exempt Grantor Trust,
Merrill P-Floats, Series: 1996 PL-3A,
3.65%, 4/7/97 13,120
7,585 State of Florida Department of
Environmental Protection VRDN, Series:
1994 A BTP-64 (MBIA Insured),
3.60%, 4/7/97 7,585
--------
78,865
--------
GEORGIA - 2.5%
2,550 County of Burke Development Authority
PCR VRDN, Georgia Power Co., Plant
Vogtle Project, 3.80%, 4/1/97 2,550
5,300 County of Clayton Development Authority
IDR, Blue Circle Aggregates, Inc. Project
(Denmark Danske Bank LOC),
3.65%, 4/7/97 5,300
4,300 County of DeKalb Development
Authority PCR VRDN, General Motors
Corp., 3.60%, 4/7/97 4,300
5,200 County of DeKalb Housing Authority
Revenue VRDN, Series: 1995, Cedar Creek
Apartment Project (General Electric Capital
Corp. LOC), 3.55%, 4/7/97 <F1> 5,200
1,400 County of Elbvert Development Authority
IDR VRDN, Series: 1992, Allied-Signal
Project (FMC Corp. Gtd.), 3.65%, 4/7/97 1,400
2,200 Georgia HFA Mortgage TOB (AMT),
Conventional Mortgage, Various Programs,
3.65%, 6/1/97 2,200
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
GEORGIA - 2.5% (CONT'D.)
$15,100 Georgia Municipal Gas Authority,
Series: A, Gas Portfolio II Project
(Morgan Guaranty Trust LOC),
3.45%, 4/7/97 $15,100
--------
36,050
--------
IDAHO - 0.4%
5,700 Idaho Health Facilities Authority VRDN,
Series: 1995, St. Luke's Medical Center
Project, 3.85%, 4/1/97 5,700
--------
ILLINOIS - 8.9%
3,000 City of Chicago Board of Education
FRN, School Reform Equipment
Acquisition, 4.10%, 12/1/97 3,007
2,700 City of Chicago IDR, Series: B,
Guernsey Bel, Inc. Project (Harris Trust
& Savings Bank LOC), 3.65%, 4/7/97 2,700
4,000 City of Chicago Midway Airport
Revenue VRDN, Series: 1995 (AMT),
American Trans Air, Inc. Project (National
Bank of Detroit LOC), 3.65%, 4/7/97 4,000
17,420 City of Chicago O'Hare International
Airport Revenue VRDN, Series: A,
General Airport Lien, 3.50%, 4/1/97 17,420
2,500 City of Chicago O'Hare International
Airport Revenue VRDN, Series: 1988 A
(AMT) (Bayerische Landesbank LOC),
3.55%, 4/7/97 2,500
2,000 City of Des Plaines IDR VRDN,
Series: 1996, Finzer Roller, Inc. Project
(Harris Trust & Savings Bank LOC),
3.65%, 4/7/97 2,000
4,050 City of Frankfort IDR, Series: 1996 (AMT),
Bimba Manufacturing Co. Project
(Harris Trust & Savings Bank LOC),
3.65%, 4/7/97 4,050
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
1,195 City of Joliet G.O. Bond, 3.95%, 10/1/97 1,198
6,000 City of Savanna IDR VRDN, Series: 1994
(AMT), Metform Corp. Project (First
National Bank of Chicago LOC),
3.65%, 4/7/97 6,000
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
ILLINOIS - 8.9% (CONT'D.)
$ 1,850 Illinois Development Finance Authority
IDR VRDN (AMT), Bimba Manufacturing
Co. Project (Harris Trust & Savings Bank
LOC), 3.65%, 4/7/97 $ 1,850
3,950 Illinois Development Finance Authority
IDR VRDN, Enterprise Office Campus
(FNMA LOC), 3.65%, 12/1/97 3,950
1,400 Illinois Development Finance Authority
VRDN, Series: 1990 (AMT), Solar Press, Inc.
Project (First National Bank of Chicago
LOC), 3.65%, 4/7/97 1,400
1,000 Illinois Development Finance Authority
VRDN, WBEZ Alliance, Inc. Project
(LaSalle National Bank LOC), 3.50%, 4/7/97 1,000
7,000 Illinois Health Facilities Authority VRDN,
Series: 1985 B, Evanston Hospital Corp.
Project (First National Bank of Chicago
LOC), 3.75%, 1/31/98 7,000
1,900 Illinois Health Facilities Authority VRDN,
Series: 1996, Park Plaza Retirement Center
Project (LaSalle National Bank LOC),
3.50%, 4/7/97 1,900
2,000 Illinois Health Facilities Authority VRDN,
Series: 1996, Proctor Hospital Project
(Bank One LOC), 3.50%, 4/7/97 2,000
5,285 Illinois Health Facilities Authority VRDN,
Series: 1997, Glenkirk Project (Harris Trust
& Savings Bank LOC), 3.50%, 4/7/97 5,285
4,000 Illinois Health Facilities Authority VRDN,
Series: 1997, West Suburban Medical Center
Project (First National Bank of Chicago
LOC), 3.50%, 4/7/97 4,000
Illinois Housing Development Authority
(AMT), Residential Mortgage Program
6,000 Series: 1987-C, 3.70%, 8/1/97 6,000
3,660 Series: 1987-D, 3.75%, 8/1/97 3,660
1,940 Series: 1987-E, 3.70%, 8/1/97 1,940
10,300 Illinois Housing Development Authority,
Series: 1996 F-2 (AMT), Homeowner
Mortgage, 3.70%, 12/18/97 10,300
15,806 Illinois Metropolitan Pier and Exposition
Authority, Dedicated Sales Tax Revenue,
Series: BTP-230-A, 3.82%, 1/28/98 15,806
4,000 State of Illinois G.O., 4.50%, 8/1/97 4,013
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
ILLINOIS - 8.9% (CONT'D.)
$ 7,500 Village of Ladd IDR VRDN, Series: 1996
(AMT), O'Neal Metals, Inc. Project
(NationsBank South LOC),
3.70%, 4/7/97 $ 7,500
3,250 Village of Niles IDR VRDN, Series: 1996
(AMT), Lewis Spring & Manufacturing
Co. Project (Harris Trust & Savings Bank
LOC), 3.65%, 4/7/97 3,250
--------
126,429
--------
INDIANA - 2.8%
2,790 City of Anderson Economic Development
VRDN, Series: 1996 (AMT), Gateway
Village Project (FHLB LOC),
3.60%, 4/7/97 2,790
1,500 City of Greencastle IDR VRDN, Series:
1996 (AMT), Crown Equipment Corp.
Project (Mellon Bank LOC), 3.75%, 4/7/97 1,500
2,840 City of Hammond Economic Development
VRDN, Series: 1996 A (AMT), Annex at
Douglas Point Project (FHLB LOC),
3.60%, 4/7/97 2,840
60,000 City of Indianapolis Local Public
Improvement Revenue Bond, Series: D,
Capital Appreciation, Prerefunded,
0.00%, 2/1/98 11,109
4,000 City of Rushville Economic Development
VRDN, Fujitsu Ten Corp. of America
Project, 3.55%, 4/7/97 4,000
3,100 City of Shelbyville Economic Development
VRDN, Series: DTC 2794 (AMT),
Nippisun Indiana Corp. Project
(Industrial Bank of Japan LOC),
4.20%, 4/7/97 3,100
Indiana Development Finance Authority
IDR VRDN (AMT), Red Gold, Inc. Project
(Harris Trust and Savings Bank LOC)
4,200 Series: 1994 A, 3.65%, 4/7/97 4,200
3,400 Series: 1994 B, 3.65%, 4/7/97 3,400
6,900 Indiana Development Finance Authority,
Series: 1994 B, Indiana Historical Society,
Inc. Project (NBD Bank LOC),
3.50%, 4/7/97 6,900
--------
39,839
--------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
IOWA - 0.6%
Iowa Finance Authority Waste Disposal
Revenue VRDN, Cedar River Paper Co.
Project (Swiss Bank Corp. LOC)
$ 4,100 Series: 1994 A, 4.25%, 4/1/97 $ 4,100
4,600 Series: 1995 A, 4.25%, 4/1/97 4,600
--------
8,700
--------
KANSAS - 0.9%
City of LaCygne Enviromental Revenue
VRDN, Kansas City Power and Light Project
2,000 Series: 1994 A, 3.55%, 4/7/97 2,000
9,000 Series: 1994 B, 3.55%, 4/7/97 9,000
1,500 County of Johnson G.O. School District
No. 512, Series: B, Shawnee Mission
Project, 6.75%, 10/1/97 1,522
--------
12,522
--------
KENTUCKY - 3.3%
1,000 City of Greenville IDR VRDN, Wetterau,
Inc. Project, 3.60%, 4/7/97 1,000
1,000 City of Hopkinsville Industrial Building
VRDN, Series: A (AMT), CoPar, Inc. Project
(Dai-Ichi Kangyo Bank LOC),
4.00%, 4/7/97 1,000
2,000 City of Mayfield Lease Revenue VRDN,
Series: 1996, Kentucky League of Cities
Pooled Project (PNC Bank LOC),
3.55%, 4/7/97 2,000
3,500 County of Clark Industrial Building IDR
VRDN, Series: 1996 (AMT), Bluegrass Art
Cast Project (Bank One LOC),
3.65%, 4/7/97 3,500
County of Daviess Waste Disposal Facility
IDR VRDN (AMT), Scott Paper Co. Project
(Kimberly-Clark Corp. Gtd.)
12,500 Series: 1993 A, 3.90%, 4/1/97 12,500
11,200 Series: 1993 B, 3.90%, 4/1/97 11,200
10,500 Series: 1994 A, 3.90%, 4/1/97 10,500
5,000 Counties of Louisville and Jefferson VRDN,
Series: 1997 A-1, Regional Airport
Authority System, 3.45%, 4/7/97 5,000
--------
46,700
--------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
LOUISIANA - 3.0%
$ 3,400 Ascension Parish PCR VRDN, Allied-Signal
Project (FMC Corp. Gtd.), 3.65%, 4/7/97 $ 3,400
6,000 Ascension Parish VRDN, Series: 1995
(AMT), BASF Corp. Project, 4.25%, 4/1/97 6,000
Louisiana HFA Mortgage Revenue Bond
(AMT) (Colld. by U.S. Government Securities)
5,800 Series: CR-85, 3.80%, 5/1/97 5,800
3,140 Series: CR-86, 3.80%, 5/1/97 3,140
7,915 Louisiana Public Facilities Authority PCR
VRDN, Series: 1992, Allied-Signal Project
(FMC Corp. Gtd.), 3.65%, 4/7/97 7,915
2,200 Parish of Caddo IDR VRDN, General Motors
Corp. Project (General Motors Corp. Gtd.),
3.60%, 4/7/97 2,200
4,000 Plaquemines Port Harbor and Terminal CP,
Series: D, Electro-Coal Transfer Co. Project
(Tampa Electric Co. Gtd.), 3.50%, 5/14/97 4,000
4,000 South Louisiana Port Commission, Series:
1997 (AMT), Holnam, Inc. Project,
3.55%, 4/7/97 4,000
West Feliciana Parish PCR IDR VRDN,
Gulf States Utilities Project (Canadian
Imperial Bank LOC)
4,200 Series: 1985 D, 3.90%, 4/1/97 4,200
2,300 Series: 1986, 3.90%, 4/1/97 2,300
--------
42,955
--------
MAINE - 0.3%
5,000 Maine Public Utility Finance Bank
Revenue VRDN, Series: 1996 (AMT),
Maine Public Service Co. Project (Bank of
New York LOC), 3.35%, 4/7/97 5,000
--------
MARYLAND - 2.0%
3,300 City of Baltimore IDR VRDN, Series: 1986,
Capital Acquisition Program (Dai-Ichi
Kangyo Bank LOC), 3.65%, 4/7/97 3,300
10,335 IBM Tax-Exempt Grantor Trust Asset-Backed
Lease VRDN, Series: 1996 A, Certificate
Merrill P-Floats (Credit Suisse Gtd.),
3.65%, 4/7/97 <F1> 10,335
4,655 Maryland Health and Higher Education
Facilities Authority VRDN, Series: D,
Pooled Loan Progam (NationsBank LOC),
3.50%, 4/7/97 4,655
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
MARYLAND - 2.0% (CONT'D.)
$ 8,510 Maryland State Community
Development Administration, Series:
PT-12, Merrill P-Floats (Commerzbank
LOC), 3.45%, 4/1/97 $ 8,510
1,500 Maryland State IDA, Townsend Culinary,
Inc. Project (Suntrust Bank LOC),
3.60%, 4/7/97 1,500
--------
28,300
--------
MASSACHUSETTS - 0.7%
2,744 City of Glouchester G.O. BAN,
4.20%, 8/8/97 2,745
4,440 Massachusetts State HFA VRDN, Series:
1996-5A, Clipper Trust Certificate
(AMBAC Insured), 3.46%, 4/7/97 4,440
2,200 Massachusetts State HFA VRDN, Series:
PA-132, Harbor Point Project,
3.65%, 4/7/97 2,200
--------
9,385
--------
MICHIGAN - 4.1%
4,000 City of Detroit School District State School
Aid Notes, Series: 1996, 4.50%, 5/1/97 4,002
5,900 Michigan Strategic Fund Ltd. VRDN, Series:
1992 (AMT), Dow Chemical Co. Project
(Dow Chemical Gtd.), 3.95%, 4/1/97 5,900
4,000 Michigan Strategic Fund Ltd. PCR,
ATS-Dow Chemical Co. Project,
3.45%, 5/2/97 4,000
Michigan Strategic Fund Ltd. PCR
(Dow Chemical Gtd.)
6,800 Series: 1987 A, 3.45%, 5/2/97 6,800
6,500 Series: 1987 B, 3.55%, 5/17/97 6,500
2,500 Michigan Strategic Fund VRDN (AMT),
Kruger Commodities, Inc. Project (Harris
Trust and Savings Bank LOC),
3.65%, 4/7/97 2,500
2,860 Michigan Strategic Fund VRDN, Four D
Investment Co. Project (Comerica Bank
LOC), 3.65%, 4/7/97 2,860
25,300 Midland County Economic Development
Corp. IDR VRDN, Series: 1993 A (AMT),
Dow Chemical Corp. Project
(Dow Chemical Gtd.), 4.25%, 4/1/97 25,300
--------
57,862
--------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
MINNESOTA - 0.5%
$ 3,500 City of Minnetonka Multifamily
Housing, Series: 1995, Cliffs at Ridgedale
Project (Colld. by FNMA), 3.30%, 4/7/97 $ 3,500
3,060 County of Stearns Housing &
Redevelopment Authority VRDN
(AMT), Cold Spring Granite Co. Project
(First Bank LOC), 3.65%, 4/7/97 3,060
--------
6,560
--------
MISSOURI - 3.4%
5,000 City of St. Louis TRAN, Series: 1996,
4.75%, 6/30/97 5,008
7,000 County of Perry IDR VRDN, Series: 1996
(AMT), T.G. (USA) Corp. Project
(Bank of Tokyo-Mitsubishi LOC),
3.55%, 4/7/97 7,000
6,700 Missouri Higher Education Loan Authority
VRDN (National Westminster LOC),
Series: 1990 A, 3.50%, 4/7/97 6,700
14,000 Missouri Higher Education Loan Authority
VRDN (MBIA Insured), Series: 1991 B,
3.30%, 4/7/97 14,000
6,500 Missouri Housing Development VRDN,
Series: 1994 A (AMT), Merrill P-Floats
PA-116 (Colld. by U.S. Government
Securities), 3.65%, 4/7/97 6,500
8,860 Missouri State TOCR G.O. VRDN, Series: A,
3.80%, 4/7/97 8,860
--------
48,068
--------
MONTANA - 3.5%
2,000 City of Forsyth PCR VRDN, Portland
General Electric Co. Project,
4.00%, 4/1/97 2,000
3,920 Montana Board of Housing SFM VRDN,
Series: 1996-A-2, Merrill P-Floats PT-87,
3.65%, 4/7/97 3,920
43,950 Montana Board of Investment Resources
Recovery Revenue VRDN (AMT), Colstrip
Energy L.P. Project (Credit Locale de
France LOC), 3.55%, 4/7/97 43,950
--------
49,870
--------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
NEBRASKA - 0.3%
$ 4,000 Nebraska Investment Finance Authority
IDA IDR VRDN, Series: 1989 (AMT),
Fremont Beef Project (Sanwa Bank LOC),
4.00%, 4/7/97 $ 4,000
--------
NEW YORK - 3.4%
7,000 City of New York G.O. RAN, Series: B
(Bank of Nova Scotia LOC), 4.50%, 6/30/97 7,012
City of New York Municipal Water Finance
Authority VRDN
6,300 Series: A1, 3.51%, 4/7/97 6,300
9,345 Series: A2, 3.51%, 4/7/97 9,345
4,400 City of New York VRDN, Series: 1994 A,
Subseries H-2, 3.50%, 4/9/97 4,400
Marine Midland Premium Loan Trust VRDN
COP (Hong Kong and Shanghai Banking Corp.
LOC)<F1>
7,300 Series: 1991 A, 3.55%, 4/7/97 7,300
756 Series: 1991 B, 3.65%, 4/7/97 756
10,000 New York State Environmental Facilities
Corp. PCR VRDN, Series: No. 94302,
Eagle Trust-Weekly (CGIC Insured),
3.56%, 4/7/97 10,000
2,695 Pooled P-Floats VRDN, Series: PPT2,
3.40%, 7/1/97 2,695
--------
47,808
--------
NORTH CAROLINA - 2.1%
6,000 Capital Regional Airport Commission
Passenger Facility Charge Revenue VRDN
(AMT) (First Union National Bank of
Charlotte LOC), 3.65%, 4/7/97 6,000
2,500 County of Brunswick PCR IDR VRDN,
Series: 1996 (AMT), Armada Project
(NationsBank LOC), 3.65%, 4/7/97 2,500
9,800 County of Catawba PCR IDR, Series: 1996
(AMT), Hooker Furniture Corp. Project
(NationsBank LOC), 3.65%, 4/7/97 9,800
2,500 County of Mecklenburg PCR IDR VRDN,
Series: 1996 (AMT), SteriGenics International
Project (Comerica Bank LOC),
3.70%, 4/7/97 2,500
3,900 North Carolina State Ports Authority VRDN,
Series: 1996 (AMT), Morehead City Terminals,
Inc. (NationsBank LOC), 3.65%, 4/7/97 3,900
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
NORTH CAROLINA - 2.1% (CONT'D.)
$4,700 State of North Carolina Medical Care
Commission, Series: 1991 A, Pooled
Financing Project (NationsBank LOC),
3.90%, 4/1/97 $ 4,700
--------
29,400
--------
OHIO - 2.7%
6,935 Dublin Inn Tax-Exempt Mortgage IDR,
Series: 1987, Adjustable Rate Certificate
(Huntington National Bank LOC),
4.57%, 9/1/97 6,935
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
5,355 State of Ohio HFA VRDN, Series: 1989 A
(AMT), 3.55%, 4/7/97 5,355
1,940 State of Ohio Higher Education Facility
Revenue TOB, Series: BTP-29 ADP, Class: B
(MBIA Insured), 3.60%, 4/7/97 <F2> 1,940
5,875 State of Ohio Infrastructure Improvement
VRDN, Series: 1994, BTP-170,
3.80%, 1/14/98 5,875
State of Ohio Water Development Authority
PCR VRDN (AMT), Ohio Edison Co. Project
(Union Bank of Switzerland LOC)
5,000 Series: A, 3.80%, 5/1/97 5,000
4,000 Series: B, 4.40%, 9/1/97 4,011
5,400 State of Ohio Water Development
Authority PCR VRDN, Series: B, General
Motors Corp. (General Motors Corp. Gtd.),
3.60%, 4/7/97 5,400
--------
38,516
--------
OKLAHOMA - 0.5%
7,245 City of Tulsa Airport Improvement VRDN,
Series: B-1, 3.61%, 4/7/97 7,245
--------
OREGON - 1.5%
5,000 City of Portland Multifamily Revenue
VRDN, Series: 1996 (AMT), Union Station
Project - Phase B (US National Bank LOC),
3.75%, 4/7/97 5,000
4,820 County of Multnomah School District
G.O. Bond, Series: 1996, BTP-208,
3.75%, 10/21/97 4,820
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
OREGON - 1.5% (CONT'D.)
$ 1,100 Metropolitan Service District VRDN
(AMT), Riedel Oregon Compost Waste
Disposal (US National Bank LOC),
3.65%, 4/7/97 $ 1,100
3,900 Oregon State Economic Development
Revenue, Series: 176 (AMT), Cascade Steel
Rolling Mills Project (Commerzbank LOC),
3.65%, 4/7/97 3,900
1,800 Oregon State Economic Development
Revenue, Series: 75 (AMT), Stagg Foods, Inc.
Project (Security Pacific National Bank LOC),
3.50%, 4/7/97 1,800
Oregon State Housing and 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
--------
21,320
--------
PENNSYLVANIA - 8.9%
1,800 City of Philadelphia Hospital and Higher
Education Facilities Authority VRDN,
Series: 1996 A, Childrens Hospital
Project (Morgan Guaranty LOC),
3.85%, 4/1/97 1,800
City of Philadelphia School District TRAN
30,900 Series: 1996, 4.50%, 6/30/97 30,936
16,000 Series: 1996 A, 4.50%, 6/30/97 16,021
1,100 County of Allegheny Hospital Development
Authority VRDN, Series: B, Presbyterian
Health Center (MBIA Insured),
3.50%, 4/1/97 1,100
County of Washington Lease Revenue,
Series: B-1, Eye and Ear Hospital Project
(PNC Bank LOC)
1,000 Subseries: C, 3.50%, 4/1/97 1,000
1,350 Subseries: E, 3.50%, 4/1/97 1,350
Delaware Valley Regional Finance
Authority Local Government Revenue
VRDN (Midland Bank PLC LOC)
2,000 Series: 1985 A, 3.50%, 4/7/97 2,000
1,000 Series: 1985 C, 3.50%, 4/7/97 1,000
2,000 Series: 1985 D, 3.50%, 4/7/97 2,000
24,000 Series: 1986 A, 3.50%, 4/7/97 24,000
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
PENNSYLVANIA - 8.9% (CONT'D.)
$ 3,900 Pennsylvania Economic Development
Finance Authority IDR VRDN, Series:
1996 A1-8 (PNC Bank LOC),
3.75%, 4/7/97 $ 3,900
Pennsylvania Higher Education Assistance
Agency VRDN (AMT), Student Loan
Program (SLMA LOC)
14,300 Series: 1994 A, 3.50%, 4/7/97 14,300
19,500 Series: 1995 A, 3.50%, 4/7/97 19,500
7,500 Series: 1997 A, 3.50%, 4/7/97 7,500
--------
126,407
--------
PUERTO RICO - 0.7%
9,800 Puerto Rico Government Development
Bank CP, 3.60%, 4/3/97 9,800
--------
RHODE ISLAND - 0.4%
3,000 Rhode Island Housing and Mortgage
Finance Corp., Series: 22-B (AMT),
Homeownerhip Opportunity Project
(FGIC Insured), 3.70%, 12/2/97 3,000
2,500 State of Rhode Island TAN, Series:
1996 A, 4.50%, 6/30/97 2,503
--------
5,503
--------
SOUTH CAROLINA - 0.8%
5,800 County of Cherokee IDR VRDN,
Series: 1989 (AMT), Oshkosh Truck Corp.
Project (NationsBank LOC),
3.65%, 4/7/97 5,800
County of Lexington IDR VRDN,
Allied-Signal Project (FMC Corp. Gtd.)
200 Series: 1992, 3.65%, 4/7/97 200
900 Series: 1992 A, 3.65%, 4/7/97 900
4,500 University of South Carolina Athletic
Facilities Revenue BAN, 4.00%, 2/26/98 4,515
--------
11,415
--------
SOUTH DAKOTA - 1.7%
8,410 South Dakota Economic Development
Finance Authority VRDN, Series: 1996
(AMT), Hastings Filters, Inc. Project
(Harris Trust and Savings Bank LOC),
3.65%, 4/7/97 8,410
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
SOUTH DAKOTA - 1.7% (CONT'D.)
South Dakota Housing Development
Authority Homeowner Mortgage VRDN
(AMT), Merrill P-Floats
$12,755 Series: PT-73-A, 3.55%, 4/7/97 $12,755
2,880 Series: PA-119, 3.65%, 4/7/97 2,880
--------
24,045
--------
TENNESSEE - 2.9%
1,500 County of Dickson IDR VRDN, Series:
1996 (AMT), Tennessee Bun Co. LLC
Project (PNC Bank LOC), 3.75%, 4/7/97 1,500
2,200 City of Greeneville IDR VRDN, Series:
1993, Pet, Inc. Project (Credit Suisse LOC),
3.45%, 4/7/97 2,200
6,000 City of Jackson Waste Facility IDR VRDN,
Series: 1995 (AMT), Florida Steel Corp.
Project (NationsBank LOC), 3.65%, 4/7/97 6,000
1,000 City of Morristown IDR VRDN, Series: 1997,
BOS Automotive Products, Inc. (Bayerische
Vereinsbank LOC), 3.55%, 4/7/97 1,000
1,400 County of Hamilton IDR VRDN, Series: 1995,
Tennessee Aquarium Project (Bank of New
York LOC), 3.50%, 4/7/97 1,400
5,760 County of Montgomery Public Building
Authority, Series: 1996, Adjustable Loan
Pool (NationsBank LOC), 3.50%, 4/7/97 5,760
5,000 Counties of Nashville and Davidson Housing
VRDN (AMT), Old Hickory Towers Project
(FHLB LOC), 3.65%, 4/7/97 5,000
2,000 County of Shelby G.O. Bond, Series: 1996 B,
3.50%, 4/7/97 2,000
4,890 County of Shelby G.O. FRN, BTP, Series: B,
3.70%, 11/6/97 4,890
1,000 County of Shelby Health and Education
Authority, Arbor Lake Project (PNC Bank
LOC), 3.70%, 4/7/97 1,000
1,000 State of Tennessee BAN, Series: E, Tennessee
Retirement System, 3.45%, 4/7/97 1,000
10,000 State of Tennessee Housing Development
Agency, Series: 1996-5 (AMT), Homeowner
Program, 4.00%, 8/21/97 9,994
--------
41,744
--------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
TEXAS - 9.0%
$ 1,600 Angelina and Neches River Authority IDR,
Series: 1984 D, TEEC, Inc. Project
(Credit Suisse LOC), 4.00%, 4/1/97 $ 1,600
Brazos River Harbor Navigation District
PCR VRDN, Dow Chemical Co. Project
2,000 Series: 1988, 3.50%, 5/8/97 2,000
4,950 Series: 1990, 3.50%, 5/22/97 4,950
2,000 Brazos River Authority, Series: 1997 (AMT),
Houston Light and Power Co. Project
(AMBAC Insured), 4.25%, 4/1/97 2,000
5,700 Brazos River Harbor Navigation District
VRDN, Series: 1996 (AMT), BASF Corp.
Project (BASF Corporation Gtd.),
4.25%, 7/1/97 5,700
2,525 City of Austin Independent School District
Building VRDN, Series: 1996 SG-68 (PSF of
Texas Gtd.), 3.50%, 4/7/97 2,525
3,500 City of El Paso Housing Finance Corp. VRDN,
Series: 1993 (AMT), Viva Apartments Project
(General Electric Corp. LOC), 3.65%, 4/7/97 3,500
3,455 City of Houston Water & Sewer System TOB,
Series: 1992 C BTP-54 (MBIA Insured),
3.60%, 4/7/97<F2> 3,455
7,000 City of Mansfield Independent School District,
Series: 1996, School Building (PSF of Texas
Gtd.), 4.14%, 7/1/97 7,000
5,000 County of Calhoun Navigation IDR VRDN
(AMT), Formosa Plastics Corp. U.S.A.
(Bank of America LOC), 3.50%, 4/7/97 5,000
11,600 County of Denton Independent School
District G.O., Series: B (PSF of Texas Gtd.),
3.98%, 8/15/97 11,601
County of Harris Health Facilities
Development Corp. VRDN, St. Luke's Episcopal
Hospital Project
1,300 Series: 1985 C, 3.85%, 4/1/97 1,300
1,300 Series: 1985 D, 3.85%, 4/1/97 1,300
8,000 County of Harris Toll Road Unlimited VRDN,
Series: 1994 A, Citicorp Eagle Trust,
No. 954302, 3.61%, 4/7/97<F2> 8,000
1,800 Gulf Coast Waste Disposal Authority VRDN,
Series: 1994 (AMT), Amoco Oil Co. Project
(Amoco Oil Company Gtd.), 3.90%, 4/1/97 1,800
1,000 North Central Health Facilities Development
Corp. VRDN, Presbyterian Medical Center
Project (MBIA Insured), 3.80%, 4/1/97 1,000
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
TEXAS - 9.0% (CONT'D.)
$10,000 North Texas Higher Education Authority
VRDN, Series: 1993 A (AMT), Student Loan
Program (SLMA LOC), 3.50%, 4/7/97 $ 10,000
Port Development of Corpus Christi,
Mitsui and Co. USA, Inc. Project (Fuji Bank
Ltd. LOC)
15,100 Series: 1985 A, 3.55%, 4/3/97 15,100
1,450 Series: 1985 B, 3.65%, 5/13/97 1,450
13,000 Port Development of Corpus Christi,
Union Pacific Corp. Project, 3.85%, 4/4/97 13,000
Sabine River Authority PCR VRDN,
Texas Utilities Electric Co. Project
(Union Bank of Switzerland LOC)
900 Series: 1995 B, 3.80%, 4/1/97 900
4,300 Series: 1995 C, 3.85%, 4/1/97 4,300
1,600 Sherman Independent School District G.O.,
Series: 1985 A, 3.50%, 4/7/97 1,600
6,635 Texas Department of Housing and
Community Affairs, Series: PA-128,
SFM, Merrill P-Floats, 3.65%, 4/7/97 6,635
5,049 Texas Turnpike Authority Dallas Toll
Revenue VRDN, Series: BTP-60 ADP,
Class B (AMBAC Insured), 3.60%, 4/7/97 5,049
6,580 Texas Veterans Housing Program VRDN,
Series: 1994 D PT-83 (AMT), Merrill P-
Floats, 3.85%, 4/7/97 6,580
--------
127,345
--------
UTAH - 2.1%
30,600 Utah State Board of Regents VRDN, Series:
1996 Q (AMT), Student Loan Program
(AMBAC Insured), 3.50%, 4/7/97 30,600
--------
VIRGINIA - 1.7%
3,200 City of Norfolk G.O. VRDN, Eagle Trust
No. 944601, 3.61%, 4/7/97 <F1> 3,200
3,300 City of Roanoke IDR VRDN, Series: 1994,
Cooper Industries Project (Cooper Industries
Gtd.), 3.65%, 4/7/97 3,300
1,500 County of Bedford IDR, Nekoosa Packaging
Project (Canadian Imperial Bank LOC),
3.55%, 4/7/97 1,500
2,200 County of Botetourt IDR VRDN, Valley Forge
Company Project (Harris Trust and Savings
Bank LOC), 3.65%, 4/7/97 2,200
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
VIRGINIA - 1.7% (CONT'D.)
$2,000 County of Charles Solid Waste Disposal
Facility IDR, Chambers Development, Inc.
Project (Morgan Guaranty LOC),
3.65%, 4/7/97 $ 2,000
9,500 County of Grant Waste Disposal, Series:
1996 (AMT), Virginia Electric Power Co.
Project, 3.65%, 7/24/97 9,500
1,900 State of Virginia G.O. VRDN, Series: 1994,
Citicorp Eagle Trust, No. 954601,
3.61%, 4/7/97<F2> 1,900
--------
23,600
--------
WASHINGTON - 2.1%
3,000 City of Grandview Public Corp. IDR, Series:
1989, Shonan USA Project (Bank of America
LOC), 3.50%, 4/7/97 3,000
2,000 City of Kent Economic Development Corp.
IDR VRDN, Associated Grocers Project
(Seattle-First National Bank LOC),
3.72%, 4/7/97 2,000
2,000 Washington Housing Finance Commission,
Series: 4A-S (AMT), Single Family Program
(Colld. by FNMA), 3.75%, 11/1/97 2,000
Washington Public Power Supply System
Revenue, Nuclear Project No. 2
12,521 Series: 1990 B (Prerefunded),
3.80%, 1/14/98 12,521
9,665 Series: 1996 A (AMBAC Insured),
4.00%, 8/21/97 9,665
--------
29,186
--------
WEST VIRGINIA - 0.4%
3,100 County of Marion Waste Disposal IDR
VRDN, Series: 1990 B, Granttown Project
(National Westminster Bank LOC),
3.50%, 4/7/97 3,100
2,000 County of Ritchie IDR VRDN, Simonton
Building Products, Inc. Project
(PNC Bank LOC), 3.75%, 4/7/97 2,000
--------
5,100
--------
WISCONSIN - 3.7%
3,905 City of Milwaukee G.O. Bond, Series: B7,
4.00%, 2/15/98 3,917
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
Wisconsin - 3.7% (cont'd.)
$ 9,000 City of Milwaukee RAN, Series: A,
4.25%, 2/19/98 $ 9,048
3,475 City of Milwaukee Redevelopment VRDN,
Series: 1996 (AMT), Starline Manufacturing,
Inc. (Harris Trust and Savings Bank LOC),
3.65%, 4/7/97 3,475
4,290 City of Pewaukee IDR VRDN, Series: 1992
(AMT), HUSCO International, Inc. Project
(Bank One LOC), 3.65%, 4/7/97 4,290
3,000 City of Wauwatosa Housing Authority Bond,
Series: 1995 B, San Camillo, Inc. Project
(Firstar Bank LOC), 3.50%, 4/7/97 3,000
8,210 State of Wisconsin G.O. Bond,
Series: 1996 A, 3.75%, 10/21/97 8,210
1,300 Wisconsin Health and Education Revenue
Bond, Series: 1994 A, Sinai Samaritan
Medical Center Project (M&I Bank LOC),
3.50%, 4/7/97 1,300
Wisconsin Housing and Economic Development
Authority Revenue VRDN, Home Ownership
Revenue Program
9,305 Series: 1989 C39, 4.00%, 9/1/97 9,305
10,390 Series: 1991 B, 3.65%, 9/1/97 10,390
--------
52,935
--------
WYOMING - 0.2%
2,735 Wyoming Community Development
Authority Housing Revenue, Series: 3,
4.50%, 6/25/97 2,735
--------
Total Municipal Investments
(cost $1,407,771) 1,407,771
----------
NUMBER
OF SHARES
(000S)
----------
OTHER - 0.4%
130 AIM Tax-Free Money Market Fund 130
800 Dreyfus Tax Exempt Cash Management
Fund 800
500 Federated Tax Free Trust Money Market
Fund No. 15 500
SCHEDULES OF INVESTMENTS MARCH 31, 1997
MUNICIPAL MONEY MARKET FUND (continued)
NUMBER
OF SHARES VALUE
(000S) (000S)
---------- -------
OTHER - 0.4% (CONT'D.)
468 Federated Tax Free Trust
Money Market Fund No. 73 $ 468
1,978 Provident Municipal Cash Fund 1,978
1,339 Provident Municipal Fund 1,339
---------
Total Other
(cost $5,215) 5,215
---------
Total Investments - 99.5%
(cost $1,412,986) 1,412,986
Other Assets less Liabilities - 0.5% 7,055
---------
NET ASSETS - 100.0% $1,420,041
=========
<F1> 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 March 31, 1997, the value of these
securities amounted to approximately $26,791,000 or 1.9% of net assets.
<F2> Securities exempt from registration under Rule 144A of the Securities
Exchange Act of 1933. These securities may be resold in transactions
exempt from registration, normally to qualified institutional buyers. At
March 31, 1997, the value of these securities amounted to approximately
$15,295,000 or 1.1% of net assets.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
U.S. GOVERNMENT SELECT MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
U.S. GOVERNMENT AGENCIES - 102.4%
FEDERAL FARM CREDIT BANK - 14.6%
FFCB Discount Notes
$10,000 5.268%, 4/3/97 $ 9,997
5,000 5.58%, 6/16/97 4,903
3,000 5.674%, 8/1/97 3,001
1,700 5.351%, 8/13/97 1,667
5,000 5.375%, 8/14/97 4,942
--------
24,510
--------
FEDERAL HOME LOAN BANK - 68.5%
FHLB Discount Notes
2,000 5.401%, 4/1/97 2,000
30,000 6.451%, 4/1/97 30,000
12,500 5.231%, 4/3/97 12,496
5,000 5.237%, 4/9/97 4,994
10,000 5.315%, 4/24/97 9,967
1,890 5.40%, 4/30/97 1,882
7,000 5.284%, 5/8/97 6,962
10,000 5.295%, 5/8/97 9,947
12,000 5.224%, 5/22/97 11,912
6,000 5.537%, 5/22/97 5,953
5,000 5.337%, 6/5/97 4,952
3,295 5.377%, 6/12/97 3,260
2,055 5.393%, 6/17/97 2,032
2,000 5.297%, 8/26/97 1,958
7,000 5.451%, 9/8/97 6,838
--------
115,153
--------
STUDENT LOAN MARKETING
ASSOCIATION - 2.1%
1,500 SLMA Discount Note,
5.521%, 2/25/98 1,499
2,000 SLMA FRN, 5.523%, 9/3/97 1,999
--------
3,498
--------
TENNESSEE VALLEY AUTHORITY - 17.2%
TVA Discount Note
3,000 5.50%, 4/24/97 2,990
8,100 5.272%, 5/5/97 8,060
15,000 5.309%, 5/20/97 14,893
3,000 5.50%, 5/27/97 2,975
--------
28,918
--------
Total U.S. Government Agencies
(cost $172,079) 172,079
NUMBER
OF SHARES VALUE
(000S) (000S)
---------- --------
OTHER - 1.2%
2,077 Dreyfus Prime Money Market Fund
(cost $2,077) $ 2,077
--------
Total Investments - 103.6%
(cost $174,156) 174,156
Liabilities less Other Assets - (3.6)% (6,028)
--------
NET ASSETS - 100.0% $168,128
========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
CALIFORNIA MUNICIPAL MONEY MARKET FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
MUNICIPAL INVESTMENTS - 98.7%
CALIFORNIA - 94.4%
$ 2,475 City and County of San Francisco Variable
Rate Certificates, Series: C-6,
3.51%, 6/15/97 $ 2,475
1,500 City of Irvine Special Assessment Bond,
Series: 89-10 (National Westminster LOC),
3.70%, 4/1/97 1,500
1,800 City of Irvine Special Assessment Bond,
Series: A (Kredietbank N.V. LOC),
3.70%, 4/1/97 1,800
2,500 City of Los Angeles Community
Redevelopment Agency Tender Option
Certificates, Series: BTP-129,
3.20%, 6/1/97 2,500
1,925 City of Los Angeles Convention and
Exhibition Center VRDN, Merrill P-Floats
PA-88 (MBIA Insured), 3.55%, 8/15/97 1,925
2,500 City of Los Angeles Housing Revenue
Bond, Clipper Trust Certificates,
Series: 1996 A, 3.62%, 6/1/97 2,500
3,955 City of San Diego Public Facility Water and
Sewer VRDN, Merrill Soc Gen Muni
Trust, Series: SG-14 (AMBAC Insured),
3.25%, 5/15/97 3,955
12,961 City of San Marcos Public Facility
Authority Revenue Bond, Series:
BTP-188, Civic Center Project
(Colld. by U.S. Government Securities),
3.56%, 9/1/97 12,961
1,600 City of Tustin Improvement VRDN,
Series: A, District 95-2 (Kredietbank
N.V. LOC), 3.70%, 4/1/97 1,600
2,350 County of Campbell Union Elementary
School District TRAN, Series: 1996-1997,
4.50%, 7/2/97 2,353
700 County of Irvine Ranch Water District
VRDN, Districts 102, 103, 105 & 106
(Commerzbank LOC), 3.70%, 4/1/97 700
1,100 County of Irvine Ranch Water District
VRDN, Districts 105, 140, 240 & 250
(Commerzbank LOC), 3.70%, 4/1/97 1,100
7,200 County of Irvine Ranch Consolidated
Water District VRDN, Series: 1993 B, Districts
2, 102, 103, 106, 3(203) & 206 (Morgan
Guaranty Trust Co. LOC), 3.70%, 4/1/97 7,200
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
CALIFORNIA - 94.4% (CONT'D.)
$ 2,000 County of Los Angeles COP, Series: A,
California Equipment Program F
(Canadian Imperial Bank LOC),
4.00%, 6/1/97 $ 2,000
5,000 County of Los Angeles Municipal Trust
Receipts, Soc Gen Trust SGB-2, Union
Station Project, 3.40%, 7/1/97 5,000
1,500 County of Moreno Valley Unified School
District TRAN, Series: 1996-1997,
4.50%, 6/30/97 1,502
10,750 County of Orange Apartment Development
Authority No. 19 VRDN, Parkplace Irvine
County Phase 1B Project (New England
Mutual Gtd.), 3.30%, 4/1/97 10,750
1,900 County of Orange Apartment Development
Authority VRDN, Series: 1988 A, Vista Verde
Apartments (Wells Fargo Bank LOC),
3.45%, 4/1/97 1,900
1,000 County of Orange Multifamily VRDN,
Series: 1985 T, Monarch Laguna
Association/Monarch Bay (Bank of Tokyo-
Mitsubishi LOC), 3.35%, 4/1/97 1,000
2,100 County of Orange Sanitation Districts COP,
Districts 1-3, 5-7, 11, 13 & 14 (National
Westminster LOC), 3.70%, 4/1/97 2,100
1,290 County of Orange Sanitation G.O.
COP, Series: 1993 A, Districts 1-3, 5-7 & 11
(Soc Gen LOC), 3.70%, 4/1/97 1,290
2,000 County of Oxnard Unified High School
District TRAN, Series: 1996, 4.50%, 8/7/97 2,003
2,000 County of Riverside Housing Authority
VRDN, Series: 1989 B, Amanda Parks
Apartments Project (Fuji Bank LOC),
4.16%, 4/1/97 2,000
County of Riverside Transportation Sales
Commission Tax Revenue CP (Industrial
Bank of Japan LOC)
6,000 3.45%, 5/8/97 6,000
4,000 3.40%, 5/12/97 4,000
County of Sacramento VRDN, Multifamily
Housing (Dai-Ichi Kangyo Bank LOC)
1,500 Series: 1985 B, 3.45%, 4/15/97 1,500
500 Series: 1985 C, 3.45%, 4/15/97 500
SCHEDULES OF INVESTMENTS MARCH 31, 1997
CALIFORNIA MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
CALIFORNIA - 94.4% (CONT'D.)
$3,600 County of Sacramento VRDN, Multifamily
Housing, Series: 1985 E, River Oaks
(Dai-Ichi Kangyo Bank LOC),
3.45%, 4/15/97 $3,600
8,000 County of San Bernadino Housing Authority
Revenue VRDN, Series: A, Brookside
Meadows (Bank of Tokyo Mitsibushi LOC),
3.30%, 4/2/97 8,000
1,045 County of Santa Clara Housing Authority
VRDN, Series: A, Multifamily Avenida
Espana Gardens (Union Bank LOC),
3.25%, 4/1/97 1,045
2,900 Eagle Tax Exempt Trust Certificates,
Series: 1997A-C05Q2,
3.50%, 8/1/16 2,900
4,250 Paramount Housing Authority Multifamily
VRDN, Century Place, Series: 1989 A
(Heller Financial, Inc. LOC), 3.96%, 4/1/97 4,250
2,260 Pleasant Hill Redevelopment Agency
Housing Revenue Bonds VRDN, Series:
1996 A, Chateau III Project (Commerzbank
LOC), 3.55%, 4/1/97 2,260
9,000 State School Cash Reserve Program Authority
TRAN, Pool Bonds, Series: 1996 A,
4.75%, 7/2/97 9,016
3,400 State Community Development Authority
Housing Revenue, Series: 1995 B (AMT),
Kimberly Woods Apartments (Colld. by
FNMA), 3.30%, 4/15/97 3,400
1,300 State Department of Water Resources
Water and Sewer VRDN, CVP Merrill Soc
Gen Muni Trust, Series: SG-5,
3.25%, 6/1/97 1,300
3,055 State Department of Water Resources
Revenue Bonds, Central Valley Project,
Series: M, 3.45%, 6/1/97 3,055
3,500 State Economic Development VRDN,
Volk Enterprises Project (Harris Trust &
Savings Bank LOC), 3.25%, 4/1/97 3,500
4,950 State G.O. Bond (MBIA Insured),
3.26%, 4/1/97 4,950
7,000 State G.O. CP, Series: A,
3.05%, 4/21/97 7,000
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
CALIFORNIA - 94.4% (CONT'D.)
$ 4,100 State G.O. VRDN TOB, Series: CR-152,
Citibank (FGIC Insured), 3.51%, 5/1/97 $ 4,100
1,100 State G.O. VRDN TOCR,
Series: A3 (MBIA Insured),
3.75%, 4/1/97 1,100
2,300 State G.O. VRDN, Series: 1995, Bear
Stearns/Soc Gen Trust (FSA Insured),
3.20%, 9/1/97 2,300
2,000 State Health Facility Authority Revenue
VRDN, Episcopal Home Project
(Union Bank LOC), 3.95%, 4/1/97 2,000
5,000 State HFA Home Mortgage
Revenue Bond, Series: 1996 J,
4.00%, 7/24/97 5,000
2,400 State HFA VRDN,
Merrill P-Floats PT-14, 3.45%, 8/1/97 2,400
2,260 State HFA VRDN, Series: 1991 G,
Merrill P-Floats PT-40D, 3.60%, 8/1/97 2,260
860 State HFA VRDN, Series: 1995 B,
Merrill P-Floats PT-56, 3.60%, 8/1/97 860
State PCR, Southern California
Edison
1,100 Series: A (Credit Lyonnais), 3.55%, 4/1/97 1,100
2,000 Series: B, 3.55%, 4/1/97 2,000
2,980 Series: C, 3.55%, 4/1/97 2,980
200 Series: D, 3.30%, 4/1/97 200
4,000 State RAN, Series: 1996 A, 4.50%, 6/30/97 4,005
10,600 State RAN VRDN, Series: 1996-1997 B,
63% of 3-mo LIBOR, Late Day Daily Put,
3.49%, 4/1/97 10,600
2,200 Statewide Community Development
Authority COP, Sutter Health Obligation
Group (AMBAC Insured), 3.70%, 4/1/97 2,200
4,000 Statewide Community Development
Authority TRAN, Series: A (FSA Insurance
Policy), 4.75%, 6/30/97 4,008
4,290 University of California Regents VRDN,
Series: C, Merrill Soc Gen Muni Trust,
Series: SG-24 (AMBAC Insured),
3.25%, 9/1/97 4,290
--------
189,793
--------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
CALIFORNIA MUNICIPAL MONEY MARKET FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
---------- -------
PUERTO RICO - 4.3%
$2,400 Puerto Rico Government Development
Bank, 3.35%, 4/3/97 $ 2,400
6,240 Puerto Rico Industrial Medical and
Environmental PCR, Merck & Co. Inc.,
Series: 1983 A, 6.10%, 12/1/18 6,240
--------
8,640
--------
Total Municipal Investments
(cost $198,433) 198,433
--------
NUMBER
OF SHARES
(000S)
----------
OTHER - 1.3%
391 Federated Tax Exempt Money Market
Fund No. 80 391
2,127 Provident Institutional California
Money Fund 2,127
--------
Total Other
(cost $2,518) 2,518
--------
Total Investments - 100.0%
(cost $200,951) 200,951
Other Assets less Liabilities - 0.0% 38
--------
NET ASSETS - 100.0% $200,989
========
See Notes to the Financial Statements.
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 1997
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> <C> <C>
ASSETS:
Investments, at value (cost $182,165,
$123,484, $259,469, $14,856, $132,058
and $16,135, respectively) $180,144 $121,471 $260,707 $14,772 $134,341 $15,905
Cash and foreign currencies 5 8 3 2 2 166
Income receivable 1,907 1,247 4,024 259 2,128 396
Receivable for securities sold - 2,715 - - - -
Receivable for fund shares sold 179 248 69 - - 19
Receivable from Adviser 8 5 8 3 6 3
Deferred organization costs, net of
accumulated amortization 28 23 45 - 31 15
Prepaid and other assets 7 8 8 4 7 6
-------- -------- -------- -------- -------- --------
Total Assets 182,278 125,725 264,864 15,040 136,515 16,510
-------- -------- -------- -------- -------- --------
LIABILITIES:
Unrealized depreciation on forward foreign
currency contracts - - - - - 17
Payable for securities purchased - 2,888 - - - -
Payable for fund shares redeemed 148 243 5 200 5 39
Dividends payable 138 100 144 9 88 11
Accrued investment advisory fees 22 15 31 2 16 2
Accrued administration fees 19 11 25 5 13 1
Accrued transfer agent fees 3 2 4 - 2 -
Accrued custody and accounting fees 2 1 2 1 1 2
Accrued registration fees and other liabilities 25 21 23 16 18 12
-------- -------- -------- -------- -------- --------
Total Liabilities 357 3,281 234 233 143 84
-------- -------- -------- -------- -------- --------
Net Assets $181,921 $122,444 $264,630 $14,807 $136,372 $16,426
======== ======== ======== ======== ======== ========
ANALYSIS OF NET ASSETS:
Capital stock $184,330 $124,773 $263,792 $14,891 $134,177 $16,483
Accumulated undistributed (distributions in
excess of) net investment income (94) (100) 40 - (88) 196
Accumulated undistributed net realized gains
on investments, forward foreign currency
contracts and foreign currency transactions - - - - - 6
Accumulated distributions in excess
of net realized gains (294) (216) (440) - - -
Net unrealized appreciation (depreciation)
on investments and forward foreign currency
contracts (2,021) (2,013) 1,238 (84) 2,283 (247)
Net unrealized losses on translation of
assets and liabilities denominated in
foreign currencies - - - - - (12)
-------- -------- -------- -------- -------- --------
Net Assets $181,921 $122,444 $264,630 $14,807 $136,372 $16,426
======== ======== ======== ======== ======== ========
SHARES OUTSTANDING ($.0001 PAR VALUE,
UNLIMITED AUTHORIZATION) 18,420 12,416 26,279 1,477 13,319 1,630
NET ASSET VALUE, REDEMPTION AND
OFFERING PRICE PER SHARE $9.88 $9.86 $10.07 $10.03 $10.24 $10.08
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF OPERATIONS PERIOD ENDED MARCH 31, 1997
FIXED INCOME FUNDS
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<F1> FUND FUND
- --------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income $10,017 $7,189 $11,989 $298 $7,082 $1,081<F2>
-------- -------- -------- -------- -------- --------
EXPENSES:
Investment advisory fees 1,231 816 1,895 47 974 146
Administration fees 247 164 379 9 195 24
Transfer agent fees 164 109 252 6 130 16
Custody and accounting fees 65 58 87 31 60 76
Registration fees 23 21 20 16 16 11
Professional fees 19 19 21 28 19 17
Amortization of organization costs 15 11 22 - 15 7
Trustees' fees and expenses 5 4 7 2 5 3
Other 19 15 29 7 16 18
-------- -------- -------- -------- -------- --------
Total Expenses 1,788 1,217 2,712 146 1,430 318
Less voluntary waivers of:
Investment advisory fees - - (130) (3) (67) -
Administration fees (51) (34) (78) (2) (40) (5)
Less: Reimbursement of expenses
by Adviser (260) (203) (362) (88) (222) (126)
-------- -------- -------- -------- -------- --------
Net Expenses 1,477 980 2,142 53 1,101 187
-------- -------- -------- -------- -------- --------
NET INVESTMENT INCOME 8,540 6,209 9,847 245 5,981 894
-------- -------- -------- -------- -------- --------
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on:
Investments (347) (226) (441) - 248 125
Forward foreign currency contracts - - - - - (50)
Foreign currency transactions - - - - - 22
Net change in unrealized appreciation
(depreciation) on investments and
forward foreign currency contracts (1,738) (1,313) (1,011) (84) (786) (785)
Net change in unrealized losses on
translation of assets and liabilities
denominated in foreign currencies - - - - - (9)
-------- -------- -------- -------- -------- --------
Net Losses on Investments (2,085) (1,539) (1,452) (84) (538) (697)
-------- -------- -------- -------- -------- --------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $6,455 $4,670 $8,395 $161 $5,443 $197
======== ======== ======== ======== ======== ========
<F1> Commenced investment operations on August 15, 1996.
<F2> Net of $15 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
------------------- ------------------- -------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
AMOUNTS IN THOUSANDS 1997 1996 1997 1996 1997 1996
- --------------------- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 8,540 $ 6,829 $ 6,209 $ 5,131 $ 9,847 $ 9,311
Net realized gains (losses) on investments (347) 2,958 (226) 3,447 (441) 5,055
Net change in unrealized appreciation
(depreciation) on investments (1,738) (420) (1,313) (45) (1,011) 630
-------- -------- -------- -------- -------- --------
Net Increase in Net Assets Resulting
from Operations 6,455 9,367 4,670 8,533 8,395 14,996
-------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Shares sold 51,631 44,443 42,687 48,410 71,873 51,544
Shares from reinvestment of dividends 1,442 224 2,244 795 2,492 173
Shares redeemed (16,979) (14,524) (20,929) (15,726) (50,113) (32,864)
-------- -------- -------- -------- -------- --------
Net Increase in Net Assets Resulting
from Capital Share Transactions 36,094 30,143 24,002 33,479 24,252 18,853
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS PAID:
From net investment income (8,500) (6,787) (6,154) (5,061) (9,864) (9,311)
From net realized gains (793) (104) (1,090) (1,541) (1,852) (1,650)
In excess of net investment income (50) - (96) - - -
In excess of net realized gains (347) - (227) - (440) -
-------- -------- -------- -------- -------- --------
Total Distributions Paid (9,690) (6,891) (7,567) (6,602) (12,156) (10,961)
-------- -------- -------- -------- -------- --------
TOTAL INCREASE IN NET ASSETS 32,859 32,619 21,105 35,410 20,491 22,888
NET ASSETS:
Beginning of year 149,062 116,443 101,339 65,929 244,139 221,251
-------- -------- -------- -------- -------- --------
End of year $181,921 $149,062 $122,444 $101,339 $264,630 $244,139
======== ======== ======== ======== ======== ========
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS
IN EXCESS OF) NET INVESTMENT INCOME $(94) $(40) $(100) $(55) $40 $39
======== ======== ======== ======== ======== ========
See Notes to the Financial Statements.
</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 YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
AMOUNTS IN THOUSANDS 1997<F1> 1997 1996 1997 1996
- --------------------- ----- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 245 $ 5,981 $ 5,598 $ 894 $ 868
Net realized gains on investments, forward foreign
currency contracts and foreign currency transactions - 248 1,827 97 507
Net change in unrealized appreciation
(depreciation) on investments and forward
foreign currency contracts (84) (786) 1,556 (785) (559)
Net change in unrealized gains (losses)
on translation of assets and liabilities
denominated in foreign currencies - - - (9) 2
-------- -------- -------- -------- --------
Net Increase in Net Assets Resulting
from Operations 161 5,443 8,981 197 818
-------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS:
Shares sold 18,631 26,848 21,469 4,412 5,457
Shares from reinvestment of dividends 36 829 82 302 151
Shares redeemed (3,776) (14,872) (18,270) (3,077) (2,894)
-------- -------- -------- -------- --------
Net Increase in Net Assets Resulting
from Capital Share Transactions 14,891 12,805 3,281 1,637 2,714
-------- -------- -------- -------- --------
DISTRIBUTIONS PAID:
From net investment income (245) (6,007) (5,598) (892) (868)
From net realized gains - (665) (241) (159) (27)
In excess of net investment income - (317) - - -
In excess of net realized gains - - - (22) -
-------- -------- -------- -------- --------
Total Distributions Paid (245) (6,989) (5,839) (1,073) (895)
-------- -------- -------- -------- --------
TOTAL INCREASE IN NET ASSETS 14,807 11,259 6,423 761 2,637
NET ASSETS:
Beginning of period - 125,113 118,690 15,665 13,028
-------- -------- -------- -------- --------
End of period $14,807 $136,372 $125,113 $16,426 $15,665
======== ======== ======== ======== ========
ACCUMULATED UNDISTRIBUTED (DISTRIBUTIONS
IN EXCESS OF) NET INVESTMENT INCOME $ - $(88) $26 $196 $206
======== ======== ======== ======== ========
<FN>
<F1> 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
------------------------------- --------------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
1997 1996 1995 1997 1996 1995
- ------------------------ ---- ---- ---- ---- ---- ----
SELECTED PER SHARE DATA
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $ 10.06 $ 9.84 $ 10.00 $ 10.10 $ 9.78 $ 10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.51 0.51 0.50 0.57 0.58 0.62
Net realized and unrealized gains (losses) on
investments (0.11) 0.29 (0.16) (0.12) 0.50 (0.22)
-------- -------- -------- -------- -------- --------
Total Income from Investment Operations 0.40 0.80 0.34 0.45 1.08 0.40
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS PAID:
From net investment income (0.51) (0.51) (0.50) (0.56) (0.59) (0.62)
From net realized gains (0.05) (0.07) - (0.10) (0.17) -
In excess of net investment income - - - (0.01) - -
In excess of net realized gains (0.02) - - (0.02) - -
-------- -------- -------- -------- -------- --------
Total Distributions (0.58) (0.58) (0.50) (0.69) (0.76) (0.62)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $9.88 $10.06 $9.84 $9.86 $10.10 $9.78
-------- -------- -------- -------- -------- --------
TOTAL RETURN 3.98% 7.65% 3.49% 4.59% 11.18% 4.16%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end of year $181,921 $149,062 $116,443 $122,444 $101,339 $65,929
Ratio to average net assets of:
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 5.19% 5.07% 5.20% 5.69% 5.79% 6.48%
Net investment income, before waivers
and reimbursements 5.00% 4.87% 4.98% 5.47% 5.55% 6.20%
Portfolio Turnover Rate 83.41% 112.00% 42.29% 87.64% 116.22% 55.27%
See Notes to the Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FIXED INCOME FUNDS
<CAPTION>
FLORIDA
INTERMEDIATE INTERMEDIATE
TAX-EXEMPT TAX-EXEMPT
FUND FUND
--------------------------------- ------
YEAR YEAR YEAR PERIOD
ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31,
1997 1996 1995 1997<F1>
- ------------------------ ---- ---- ---- ------
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 0.40 0.41 0.40 0.24
Net realized and unrealized gains (losses) on
investments, forward foreign currency contracts
and foreign currency transactions (0.06) 0.26 0.03 0.03
-------- -------- -------- --------
Total Income from Investment Operations 0.34 0.67 0.43 0.27
-------- -------- -------- --------
LESS DISTRIBUTIONS PAID:
From net investment income (0.40) (0.41) (0.40) (0.24)
From net realized gains (0.07) (0.07) - -
In excess of net investment income - - - -
In excess of net realized gains (0.02) - - -
-------- -------- -------- --------
Total Distributions (0.49) (0.48) (0.40) (0.24)
-------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $10.07 $10.22 $10.03 $10.03
-------- -------- -------- --------
TOTAL RETURN 3.39% 6.81% 4.38% 2.63%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end of period $264,630 $244,139 $221,251 $14,807
Ratio to average net assets of: <F2>
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% 2.31%
Net investment income, net of waivers and
reimbursements 3.90% 4.01% 4.09% 3.84%
Net investment income, before waivers and
reimbursements 3.68% 3.78% 3.85% 2.38%
Portfolio Turnover Rate 61.39% 137.85% 78.87% 50.77%
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (CONTINUED)
FIXED INCOME FUNDS
<CAPTION>
INTERNATIONAL
FIXED
TAX-EXEMPT INCOME
FUND FUND
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
1997 1996 1995 1997 1996 1995
- ------------------------ ---- ---- ---- ---- ---- ----
SELECTED PER SHARE DATA
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.35 $10.08 $10.00 $10.62 $10.64 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.50 0.48 0.48 0.56 0.78 0.58
Net realized and unrealized gains (losses) on
investments, forward foreign currency contracts
and foreign currency transactions (0.06) 0.29 0.08 (0.40) (0.16) 0.64
-------- -------- -------- -------- -------- --------
Total Income from Investment Operations 0.44 0.77 0.56 0.16 0.62 1.22
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS PAID:
From net investment income (0.47) (0.48) (0.48) (0.58) (0.62) (0.56)
From net realized gains (0.05) (0.02) - (0.11) (0.02) -
In excess of net investment income (0.03) - - - - (0.02)
In excess of net realized gains - - - (0.01) - -
-------- -------- -------- -------- -------- --------
Total Distributions (0.55) (0.50) (0.48) (0.70) (0.64) (0.58)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD $10.24 $10.35 $10.08 $10.08 $10.62 $10.64
-------- -------- -------- -------- -------- --------
TOTAL RETURN 4.32% 7.80% 5.78% 1.39% 5.84% 12.77%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end of period $136,372 $125,113 $118,690 $16,426 $15,665 $13,028
Ratio to average net assets of: <F2>
Expenses, net of waivers and reimbursements 0.85% 0.85% 0.85% 1.15% 1.15% 1.15%
Expenses, before waivers and reimbursements 1.10% 1.10% 1.11% 1.96% 2.00% 2.42%
Net investment income, net of waivers and
reimbursements 4.61% 4.62% 4.95% 5.49% 5.75% 5.96%
Net investment income, before waivers and
reimbursements 4.36% 4.37% 4.69% 4.68% 4.90% 4.69%
Portfolio Turnover Rate 8.10% 60.50% 54.94% 37.76% 52.05% 43.24%
<FN>
<F1> Commenced investment operations on August 15, 1996.
<F2> Annualized for periods less than a full year.
See Notes to the Financial Statements.
</TABLE>
SCHEDULES OF INVESTMENTS MARCH 31, 1997
U.S. GOVERNMENT FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
U.S. GOVERNMENT AGENCIES - 25.6%
FEDERAL HOME LOAN MORTGAGE
CORPORATION - 10.9%
$9,000 Series: 1033, Class F,
8.00%, 5/15/05 $ 9,104
4,000 Series: 1614, Class E,
5.20%, 4/15/15 3,941
4,750 Series: 1379, Class EA,
6.00%, 5/15/16 4,716
2,093 7.684%, 11/1/24 2,135
-----------
19,896
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
REMIC TRUST - 12.3%
1,530 Series: 1991-37, Class G,
8.15%, 4/25/25 1,553
6,551 Series: 1994-40, Class C,
5.00%, 9/25/13 6,482
611 Series: 1993-203, Class PC,
4.75%, 11/25/13 606
6,616 Series: 1996-M4, Class A,
7.75%, 3/17/17 6,721
4,500 Series: 1992-200, Class E,
6.25%, 6/25/17 4,476
239 Series: 1989-15, Class D,
10.00%, 9/25/18 244
2,197 Series: 1995-WI, Class A2,
8.20%, 4/25/25 2,201
-----------
22,283
-----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION - 0.4%
73 7.25%, 6/15/98 73
621 10.00%, 4/15/19-2/15/21 681
-----------
754
-----------
TENNESSEE VALLEY AUTHORITY - 2.0%
3,700 Series: B, 6.235%, 7/15/45 3,621
-----------
Total U.S. Government Agencies
(cost $45,955) 46,554
-----------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
U.S. GOVERNMENT
OBLIGATIONS - 64.9%
U.S. TREASURY NOTES
$23,000 7.75%, 1/31/00 $ 23,668
11,000 5.75%, 10/31/00 10,675
31,175 6.625%, 6/30/01 31,019
11,940 6.625%, 7/31/01 11,880
2,000 6.25%, 2/15/03 1,946
7,500 5.75%, 8/15/03 7,079
24,900 7.50%, 2/15/05 25,760
6,000 7.00%, 7/15/06 6,015
-----------
Total U.S. Government Obligations
(cost $120,662) 118,042
-----------
SHORT-TERM INVESTMENT - 8.5%
15,550 FHLB Discount Note,
6.25%, 4/1/97
(cost $15,548) 15,548
-----------
Total Investments - 99.0%
(cost $182,165) 180,144
Other Assets less Liabilities - 1.0% 1,777
-----------
NET ASSETS - 100.0% $181,921
===========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
FIXED INCOME FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
ASSET BACKED SECURITIES - 14.8%
$ 990 ALPS Ltd., Series: 1994-1 A-2,
7.15%, 11/15/97 $ 993
5,000 Banc One Credit Card Master Trust,
7.80%, 12/15/00 5,088
203 DLJ Mortgage Acceptance Corp.,
7.25%, 5/25/24 201
1,675 Delta Funding Mortgage Corp., I.O.,
Series: 1991-1, Class A-4,
3.24%, 3/15/06<F1><F2> 53
1,803 Olympic Automobile Receivables,
7.875%, 7/15/01 1,832
2,460 PaineWebber Mortgage Acceptance Corp.,
Series: 1993-9, Class A-15,
7.00%, 10/25/23 2,377
2,399 PNC Mortgage Securities Corp.,
8.31%, 4/28/97<F1> 2,439
26,454 Prudential Home Mortgage Services Co., I.O.,
0.367%, 12/26/23<F2> 374
7 U.S. Home Equity Loan, Class A,
8.50%, 4/15/21 7
Western Financial Grantor Trust
925 Series: 1994-4, Class A-1,
7.10%, 1/1/00 933
3,751 Series: 1995-4, Class A-1,
6.20%, 2/1/02 3,745
-----------
Total Asset Backed Securities
(cost $18,134) 18,042
-----------
CORPORATE/GOVERNMENT BONDS
AND NOTES - 24.7%
BROKERAGE SERVICES - 4.8%
4,000 Lehman Brothers Holdings, MTN,
6.90%, 1/29/01 3,955
2,000 Salomon, Inc., MTN,
5.50%, 1/31/98 1,986
-----------
5,941
-----------
COMMUNICATIONS - 0.8%
880 New Jersey Bell Telephone Co.,
7.85%, 11/15/29 939
-----------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
FINANCIAL SERVICES - 8.2%
General Motors Acceptance Corp.
$ 21 4.00%, 9/15/98 $ 21
2,085 8.875%, 6/1/10 2,337
1,800 Greyhound Financial Corp.,
8.50%, 5/1/98 1,836
2,100 Lumberman's Mutual Casualty Co.,
9.15%, 7/1/26 2,191
3,750 Prudential Insurance,
8.30%, 7/1/25<F1> 3,669
-----------
10,054
-----------
FOREIGN GOVERNMENT BOND - 1.7%
1,905 Nova Scotia Province of Canada,
8.25%, 11/15/19 2,047
-----------
INDUSTRIAL INSTRUMENTS - 6.7%
4,540 Penney (J.C.) & Co., Inc.,
6.90%, 8/15/26 4,466
3,725 Waste Management, Inc.,
7.10%, 8/1/26 3,709
-----------
8,175
-----------
INSURANCE SERVICES - 2.4%
2,900 Anthem Insurance, Inc.,
9.00%, 4/1/27<F1> 2,900
-----------
PETROLEUM PRODUCTS - 0.1%
175 Chevron Capital U.S.A.,
9.75%, 7/15/17 185
-----------
PRINTING AND PUBLISHING - 0.0%
19 Berkshire Hathaway, Inc.,
9.75%, 1/15/18 20
-----------
Total Corporate/Government Bonds
and Notes
(cost $30,325) 30,261
-----------
U.S. GOVERNMENT AGENCIES - 3.3%
COLLATERALIZED MORTGAGE OBLIGATIONS - 3.3%
FHLMC
666 Series: 1392, Class S, I.O.,
4.00%, 9/15/18<F2> 21
129 Series: 1152, Class J,
8.00%, 12/15/19 130
SCHEDULES OF INVESTMENTS MARCH 31, 1997
FIXED INCOME FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
COLLATERALIZED MORTGAGE
OBLIGATIONS - 3.3% (CONT'D.)
FHLMC
$ 330 Series: 1248, Class B,
7.00%, 3/15/22 $ 322
810 Series: 1591, Class SH,
5.452%, 9/15/22 536
440 Series: 1591, Class FH,
6.75%, 9/15/22 442
87 Series: G011, Class B, P.O.,
0.00%, 4/25/23<F2> 58
FNMA REMIC Trusts
42 Series: 1991-127, Class SA,
11.859%, 9/25/98 43
168 Series: 1991-26, Class E,
8.00%, 1/25/05 168
224 Series: 1989-15, Class D,
10.00%, 9/25/18 229
4 Series: G-12, Class S, I.O.,
517.206%, 5/25/21<F2> 50
1,005 Series: 1993-205, Class E, P.O.,
0.00%, 9/25/23<F2> 627
22,800 Series: 1997-20, I.O.,
1.84%, 3/25/27<F2> 1,404
-----------
4,030
-----------
MORTGAGE BACKED SECURITIES - 0.0%
1 FHLMC, 6.50%, 6/1/04 1
2 GNMA, 11.50%, 3/15/99 2
-----------
3
-----------
Total U.S. Government Agencies
(cost $4,223) 4,033
-----------
U.S. GOVERNMENT OBLIGATIONS - 40.8%
U.S. TREASURY BONDS
7,175 6.625%, 7/31/01 7,139
2,935 5.75%, 8/15/03 2,770
22,110 7.50%, 2/15/05 22,873
17,425 7.125%, 2/15/23 17,215
-----------
Total U.S. Government Obligations
(cost $52,205) 49,997
-----------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
FLOATING RATE BANK NOTES - 7.3%
Hong Kong and Shanghai Bank
$1,600 5.875%, 8/26/97 $ 1,412
1,450 Series: 2, 5.813%, 6/17/97 1,272
2,800 Lloyds Bank PLC, 5.875%, 6/13/97 2,559
4,150 National Westminster Bank,
5.625%, 5/30/97 3,712
-----------
Total Floating Rate Bank Notes
(cost $8,414) 8,955
-----------
SHORT-TERM INVESTMENTS - 8.3%
4,894 Banque Brussels Lambert,
Grand Cayman Islands,
6.50%, 4/1/97 4,894
5,290 FHLB Discount Note,
6.25%, 4/1/97 5,289
-----------
Total Short-Term Investments
(cost $10,183) 10,183
-----------
Total Investments - 99.2%
(cost $123,484) 121,471
Other Assets less Liabilities - 0.8% 973
-----------
NET ASSETS - 100.0% $122,444
===========
<F1> 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 March 31, 1997, the value of these securities
amounted to approximately $9,061,000 or 7.4% of net assets.
<F2> Stripped securities represent the right to receive either future interest
payments (Interest Only Stripped Securities) or principal payments (Principal
Only Stripped Securities). The value of variable rate interest only stripped
securities varies directly with changes in interest rates, while the value of
fixed rate interest only stripped securities and principal only stripped
securities varies inversely with changes in interest rates. At March 31, 1997,
yields on these securities ranged from approximately 7.10% to 10.25%.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERMEDIATE TAX-EXEMPT FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
MUNICIPAL INVESTMENTS - 97.4%
ALABAMA - 0.4%
City of Birmingham Public Building
Authority Revenue Refunding Bond
$ 340 6.70%, 7/15/97 $ 343
280 6.80%, 7/15/98 289
310 7.00%, 1/15/00 329
-----------
961
-----------
ALASKA - 4.3%
Borough of North Slope G.O.
Refunding Bond, Series: A (MBIA Insured)
5,000 0.00%, 6/30/99 4,070
2,000 0.00%, 6/30/00 1,716
6,250 0.00%, 6/30/01 5,640
-----------
11,426
-----------
ARIZONA - 4.4%
5,000 City of Mesa Project of 1987
G.O. Bond (MBIA Insured),
5.70%, 7/1/08 5,132
1,500 City of Tucson IDR Bond,
Prerefunded, 6.25%, 11/15/03 1,613
2,000 County of Maricopa School District
No. 11 Peoria G.O. Bond,
5.60%, 7/1/07 2,061
2,000 State of Arizona Transportation Board
Highway Revenue Bond, Sub-Series: B,
Prerefunded, 6.50%, 7/1/02 2,181
University of Arizona Revenue Bond,
Series: A
340 9.00%, 6/1/97 343
360 9.00%, 6/1/98 380
-----------
11,710
-----------
CALIFORNIA - 11.4%
2,860 County of Los Angeles COP, Correctional
Facilities Project (MBIA Insured),
Prerefunded, 6.50%, 9/1/00 3,094
530 County of Los Angeles COP, Radio
Communication Systems Project,
8.00%, 12/1/97 543
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
CALIFORNIA - 11.4% (CONT'D.)
$ 1,000 Foothill/Eastern Transportation
Corridor Agency Toll Road Senior
Lien Revenue FRN, Series: A,
0.00%, 1/1/05 $ 644
1,400 Regents of University of California
Revenue Refunding FRN, Series: C
(Merrill Soc Gen Municipal Trust SG-24),
3.45%, 9/1/97 1,400
610 State of California Department of Water
Resources Revenue Bond, Series: F,
7.10%, 12/1/99 638
1,500 State of California G.O. Bond,
6.70%, 10/1/01 1,624
State of California Public Works Board
Lease Revenue Bond, Series: A,
Various University of California Projects
2,700 5.60%, 10/1/01 2,783
1,200 5.90%, 10/1/04 1,260
490 State of California Public Works Board Lease
Revenue Bond, Department of Corrections
State Prisons, Series: A, 7.20%, 11/1/98 501
5,000 State of California Public Works Board
Lease Revenue Bond, Department of
Corrections State Prisons (MBIA Insured),
Series: D, 5.75%, 9/1/06 5,259
12,450 State of California RAN, Series: A,
4.50%, 6/30/97 12,469
-----------
30,215
-----------
COLORADO - 1.9%
2,500 Arapahoe County School District
No. 5 Cherry Creek G.O. Refunding Bond,
Series: A, 5.25%, 12/15/04 2,546
City of Denver Metropolitan Major League
Baseball Stadium District Sales TRB
(FGIC Insured)
380 4.00%, 10/1/99 377
310 4.15%, 10/1/00 306
1,070 4.30%, 10/1/01 1,052
610 Metropolitan Wastewater Reclamation
District Gross Revenue Refunding Bond,
Series: B (MBIA Insured),
6.75%, 4/1/03 668
-----------
4,949
-----------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERMEDIATE TAX-EXEMPT FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
DISTRICT OF COLUMBIA - 0.8%
$2,000 District of Columbia G.O. Bond,
Prerefunded, 7.40%, 6/1/00 $ 2,192
-----------
FLORIDA - 10.7%
County of Broward School District
G.O. Bond
380 6.75%, 2/15/00 402
1,000 6.00%, 2/15/06 1,049
3,195 County of Dade Toll Road G.O.
Refunding Bond, 5.00%, 7/1/10 3,098
3,375 County of Dade Water and Sewer System
Revenue Bond (FGIC Insured),
6.25%, 10/1/06 3,659
5,000 County of Venice Health Facilities Revenue
Bonds, Venice Hospital, Inc. Project,
Prerefunded, 6.00%, 12/1/04 5,360
Jacksonville Electric Authority Revenue
Refunding Bond, Series: 6-C, St. John's
River Power Systems
1,530 6.40%, 10/1/00 1,618
1,500 6.50%, 10/1/01 1,607
State of Florida Board of Education
Capital Outlay Public Education G.O. Bond
1,750 5.50%, 1/1/03 1,805
2,500 4.60%, 1/1/08 2,345
2,000 4.70%, 1/1/09 1,864
State of Florida Department of
Environmental Protection Revenue Bond,
PRSV 2000-A (AMBAC Insured)
2,270 5.50%, 7/1/06 2,334
3,000 5.50%, 7/1/07 3,074
-----------
28,215
-----------
GEORGIA - 3.0%
City of Atlanta Airport Facilities Revenue
Refunding Bond (AMBAC Insured)
1,200 5.50%, 1/1/01 1,234
3,500 6.00%, 1/1/02 3,682
2,000 Cobb-Marietta Coliseum and Exhibition
Hall Authority Revenue Bond (MBIA
Insured), Prerefunded, 6.75%, 10/1/01 2,195
870 County of Gwinnett Water and Sewer
Authority Revenue Refunding and
Improvement Bond, Escrowed to
Maturity, 8.20%, 8/1/99 942
-----------
8,053
-----------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
HAWAII - 0.2%
$ 610 State of Hawaii G.O. Bond,
4.50%, 4/1/97 $ 610
-----------
ILLINOIS - 2.5%
2,250 City of Chicago G.O. Refunding
Bond, Series: B (FGIC Insured),
4.90%, 1/1/07 2,173
1,000 City of Chicago Wastewater
Transmission Revenue Bond (FGIC
Insured), Prerefunded, 6.30%, 1/1/03 1,084
310 County of McLean G.O. Refunding Bond,
School District No. 087, 5.40%, 2/1/99 315
310 County of McLean Public Building
Commission Revenue Bond, Law and
Justice Center Project, 7.10%, 11/1/00 334
1,800 State of Illinois Health Facilities
Authority Revenue Bond FRN,
Resurrection Health Care System,
3.00%, 4/1/97 1,800
252 State of Illinois Toll Highway Authority,
Northern Illinois Revenue Bond,
Series: 1995, Prerefunded, 4.75%, 7/1/97 253
310 State of Illinois Capital Development
G.O. Bond, Series: 1972 A,
3.25%, 8/1/97 309
310 State of Illinois Sales TRB,
Series: J, 6.90%, 6/15/01 331
-----------
6,599
-----------
KANSAS - 1.4%
1,700 City of Kansas City G.O. Refunding
Bond, Series: A (MBIA Insured),
5.20%, 9/1/06 1,714
1,982 City of LaCygne, Environmental
Industrial Revenue Refunding FRN,
Kansas City Power and Light,
Series: A, 3.55%, 4/1/97 1,982
-----------
3,696
-----------
KENTUCKY - 2.9%
1,425 State of Kentucky Property and Buildings
Commission Revenue Refunding Bond,
Project No. 51, Escrowed to Maturity,
6.25%, 8/1/99 1,485
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERMEDIATE TAX-EXEMPT FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
KENTUCKY - 2.9% (CONT'D.)
$2,000 State of Kentucky Property and Buildings
Commission Revenue Refunding Bond,
Project No. 59, 5.00%, 11/1/01 $2,018
2,000 State of Kentucky Turnpike
Authority Revenue Refunding Bond,
Economic Development Road
Revitalization Project, 5.50%, 1/1/01 2,052
2,000 State of Kentucky Turnpike
Authority Revenue Refunding Bond,
Economic Development Road
Revitalization Project (AMBAC Insured),
6.50%, 7/1/07 2,211
-----------
7,766
-----------
MAINE - 0.1%
310 State of Maine G.O. Bond,
8.50%, 3/1/99 333
-----------
MARYLAND - 3.7%
1,650 State of Maryland G.O. Bond,
4.30%, 7/15/03 1,597
State of Maryland G.O. Bond,
Series: 3
6,500 5.00%, 10/15/99 6,607
1,500 5.00%, 10/15/00 1,524
-----------
9,728
-----------
MASSACHUSETTS - 7.6%
State of Massachusetts G.O. Bond
3,000 Series: A (MBIA Insured),
4.80%, 1/1/08 2,861
3,050 Series: B, Prerefunded, 6.50%, 6/1/02 3,305
1,500 Series: C, 4.70%, 8/1/02 1,487
2,220 Series: D (FGIC Insured),
5.125%, 11/1/07 2,205
3,500 State of Massachusetts Health and
Educational Facility Authority Revenue
Bond, Series: D, Newton Wellesley
Hospital (MBIA Insured), Prerefunded,
6.90%, 7/1/01 3,842
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
MASSACHUSETTS - 7.6% (CONT'D.)
$1,430 State of Massachusetts Municipal
Wholesale Electric Power System Revenue,
Series: B, Prerefunded, 6.75%, 7/1/02 $ 1,581
2,500 State of Massachusetts Water Reserve
Authority General Revenue Bond,
Series: A, 7.25%, 4/1/01 2,710
2,000 State of Massachusetts Water Reserve
Authority General Revenue Bond,
Series: A, Prerefunded, 6.50%, 7/15/02 2,190
-----------
20,181
-----------
MICHIGAN - 1.3%
870 City of Lansing Limited Tax Incremental
Finance Authority G.O. Bond,
Escrowed to Maturity, 4.75%, 10/1/00 872
2,500 State of Michigan Building Authority
Revenue Refunding Bonds, Series: I
(AMBAC Insured), 6.25%, 10/1/03 2,682
-----------
3,554
-----------
MISSISSIPPI - 1.6%
State of Mississippi G.O. Refunding Bond,
2,000 6.05%, 8/15/03 2,126
2,000 Series: E, 5.00%, 9/1/02 2,021
-----------
4,147
-----------
MISSOURI - 0.3%
650 State of Missouri Health and Education
Facilities Improvement Revenue Bond
(FGIC Insured), Prerefunded,
6.875%, 2/15/21 708
-----------
NEBRASKA - 0.4%
1,000 State of Nebraska Public Power District
Supply System Revenue Bond, Series: B,
4.80%, 1/1/03 991
-----------
NEVADA - 0.9%
City of Las Vegas G.O. Bond
(MBIA Insured)
310 7.10%, 11/1/97 316
590 Prerefunded, 6.80%, 1/1/99 625
620 County of Clark Library District
G.O. Bond (FGIC Insured),
4.00%, 2/1/01 602
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERMEDIATE TAX-EXEMPT FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
NEVADA - 0.9% (CONT'D.)
$ 310 County of Clark School District
Group No. 1 G.O. Bond (FGIC Insured),
7.00%, 5/1/98 $ 320
310 State of Nevada Bank Municipal G.O. Bond,
Project No. 3-C, Escrowed to Maturity,
7.625%, 5/1/01 339
150 State of Nevada Lake Tahoe PRSV
Bond, Prerefunded, 7.20%, 8/1/98 159
-----------
2,361
-----------
NEW HAMPSHIRE - 0.7%
620 City of Manchester G.O. Refunding Bond,
Series: B, 4.70%, 7/1/01 621
1,200 State of New Hampshire Municipal
Bond Bank Revenue Refunding Bond,
Series: A (MBIA Insured),
4.875%, 1/15/08 1,157
-----------
1,778
-----------
NEW JERSEY - 2.1%
State of New Jersey G.O. Bond,
Series: E
2,000 5.50%, 7/15/02 2,070
3,500 5.00%, 7/15/04 3,519
-----------
5,589
-----------
NEW MEXICO - 0.6%
1,000 City of Santa Fe Revenue Bond,
Series: A (AMBAC Insured), Prerefunded,
6.30%, 6/1/04 1,081
610 County of Bernalillo G.O. Bond,
3.875%, 8/1/03 568
-----------
1,649
-----------
NEW YORK - 16.5%
3,735 City of Middletown New York School
District G.O. Bond (FGIC Insured),
4.75%, 11/1/00 3,757
City of New York G.O. Bond,
Series: C-1, Prerefunded
2,000 6.375%, 8/1/02 2,176
2,730 6.40%, 8/1/02 2,973
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
NEW YORK - 16.5% (CONT'D.)
Municipal Assistance Corp. for
New York City Revenue Bonds
$2,000 Series: E, 5.50%, 7/1/00 $ 2,052
Series: G 2,000
6.00%, 7/1/05 2,121
2,500 5.50%, 7/1/00 2,565
3,500 State of New York Dormitory Authority
City University Revenue Refunding Bond,
Series: 2, Prerefunded, 6.75%, 7/1/04 3,945
State of New York Dormitory Authority
State University Revenue Refunding Bond,
Series: A
2,500 5.40%, 5/15/02 2,519
2,500 5.50%, 5/15/03 2,522
1,000 State of New York Dormitory Authority
State University Revenue Refunding Bond,
Series: B, Prerefunded, 7.25%, 5/15/00 1,095
State of New York G.O. Refunding Bond
2,500 6.625%, 8/1/01 2,677
2,500 Series: B, 6.375%, 8/15/00 2,631
1,000 Series: C, 6.00%, 10/1/06 1,056
1,690 State of New York Power Authority
and General Purpose Revenue Bond,
Series: W, 6.40%, 1/1/00 1,768
3,000 State of New York Tollway Authority
Highway and Bridges Trust Fund
Revenue Bond, Series: A,
6.00%, 4/1/99 3,078
3,000 State of New York Urban Development
Corp. Senior Lien Revenue Bond,
5.50%, 1/1/05 3,080
2,500 State of New York Urban Development
Corp. Sub Lien Revenue Bond,
5.50%, 7/1/16 2,364
1,250 State of New York Urban Development
Revenue Refunding Bond, Series: 1,
Correctional Facilities, Prerefunded,
7.75%, 1/1/00 1,376
-----------
43,755
-----------
NORTH CAROLINA - 0.6%
1,460 State of North Carolina G.O. Bond,
5.00%, 6/1/02 1,482
-----------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERMEDIATE TAX-EXEMPT FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
OHIO - 0.4%
$1,000 State of Ohio Highway G.O. Bond,
Series: S, 4.50%, 5/15/03 $ 981
-----------
OKLAHOMA - 2.3%
6,500 Grand River Dam Authority Revenue
Refunding Bond, 4.00%, 6/1/04 6,097
-----------
OREGON - 1.2%
540 Counties of Clackamas and Washington
School District No. 003 G.O. Bond,
7.00%, 8/1/02 595
County of Washington School District
No. 48J G.O. Refunding Bond, Series: B
850 4.10%, 9/1/02 821
910 4.20%, 9/1/03 872
770 State of Oregon G.O. Bond,
7.30%, 3/1/98 793
-----------
3,081
-----------
PENNSYLVANIA - 4.1%
3,000 City of Philadelphia Hospitals and Higher
Educational Facilities Revenue Bond,
Series: A (FGIC Insured), Prerefunded,
6.50%, 2/15/02 3,261
3,300 City of Philadelphia Intergovernmental
Funding Special TRB (FGIC Insured),
Prerefunded, 6.75%, 6/15/05 3,673
1,610 County of Montgomery Higher Education
and Health Authority Hospital Revenue
Bond, Bryn Mawr Hospital Project,
Prerefunded, 7.375%, 12/1/19 1,756
2,000 State of Pennsylvania Higher Education
Facility Authority Revenue Bond,
Hahnemann University Project
(MBIA Insured), Prerefunded,
7.20%, 7/1/99 2,156
-----------
10,846
-----------
RHODE ISLAND - 0.2%
460 State of Rhode Island Conservation
Capital Development G.O.
Refunding Bond (MBIA Insured),
4.25%, 8/1/02 445
-----------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
SOUTH CAROLINA - 1.9%
$ 310 State of South Carolina G.O. Bond,
Series: W, 7.25%, 5/1/98 $ 321
State of South Carolina Public Service
Authority Revenue Refunding Bond,
Series: B (FGIC Insured)
2,650 6.50%, 1/1/04 2,874
1,700 6.50%, 1/1/05 1,851
-----------
5,046
-----------
TENNESSEE - 1.5%
1,870 Counties of Nashville and Davidson
Metropolitan Government G.O.
Bond, 4.50%, 5/15/02 1,846
2,370 State of Tennessee G.O. Bond,
Series: A, 4.60%, 5/1/08 2,239
-----------
4,085
-----------
TEXAS - 2.9%
310 City of San Antonio Electric and Gas
Revenue Refunding Bond, Series: A,
7.00%, 2/1/01 327
7,450 County of Harris Revenue Refunding
Senior Lien Toll Road Bond
(AMBAC Insured), 4.95%, 8/15/06 7,357
-----------
7,684
-----------
VIRGINIA - 1.5%
3,230 State of Virginia G.O. Bond,
5.375%, 6/1/05 3,321
710 State of Virginia Housing Development
Authority Multifamily Housing
Revenue Bond (HUD Insured),
4.50%, 11/1/98 713
-----------
4,034
-----------
WASHINGTON - 1.1%
450 City of Seattle Limited Tax G.O. Bond,
7.00%, 3/1/01 486
560 County of King G.O. Bond, Series: A,
Prerefunded, 6.90%, 12/1/00 600
550 County of Kitsap School District
No. 401 G.O. Bond, Series: A,
6.05%, 12/1/00 575
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERMEDIATE TAX-EXEMPT FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
WASHINGTON - 1.1% (CONT'D.)
$310 County of Pierce Fife School District
No. 417 G.O. Bond, Series: A,
7.85%, 12/1/01 $ 347
310 County of Pierce Puyallup School District
No. 003 G.O. Bond, Series: A,
7.75%, 12/1/01 347
500 County of Snohomish Edmonds School
District No. 015 G.O. Bond,
7.00%, 12/1/01 544
-----------
2,899
-----------
Total Municipal Investments
(cost $256,608) 257,846
-----------
NUMBER
OF SHARES
(000S)
- ----------
SHORT-TERM INVESTMENT - 1.1%
2,861 Provident Municipal Fund
(cost $2,861) 2,861
-----------
Total Investments - 98.5%
(cost $259,469) 260,707
Other Assets less Liabilites - 1.5% 3,923
-----------
NET ASSETS - 100.0% $264,630
===========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
FLORIDA INTERMEDIATE TAX-EXEMPT FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
MUNICIPAL INVESTMENTS - 99.5%
Florida - 99.5%
$300 City of Gainesville Utility Systems
Revenue Refunding Bond, Series: 1996 A,
5.75%, 10/1/05 $315
600 City of Jacksonville Electric Authority
Revenue Refunding Bond, St. John's
River Issue, 5.50%, 10/1/06 616
100 City of Kissimmee Utility Authority
Electric System Revenue Refunding Bond,
Series: 1991 (FGIC Insured), Prerefunded,
6.50%, 10/1/01 109
450 City of Kissimmee Suburban Water and Sewer
System Revenue Refunding Bond
(AMBAC Insured), 5.75%, 10/1/01 468
100 City of Miami G.O. Bond, Series: 1992
(FGIC Insured), 5.90%, 12/1/07 106
100 City of Orlando Utility Commission Water
and Electric Revenue Refunding Bond,
Series: 1992, 5.75%, 10/1/05 105
600 City of Orlando Utility Commission Water
and Electric Revenue Refunding Bond,
Series: 1996 A, Multi Modal,
4.25%, 10/1/23, Mandatory Put 10/1/01 590
400 City of Santa Rosa Bay Bridge Authority
Capital Appreciation Bond, Series: 1996 A,
0.00%, 7/1/06 229
200 City of Sunrise Utility Systems Revenue
Bond, Series: 1996 A (AMBAC Insured),
0.00%, 10/1/01 162
250 City of Venice Health Facilities Revenue
Bond, Venice Hospital, Inc. Project,
Prerefunded, 6.00%, 12/1/04 268
185 County of Bay Public Improvement
Revenue Bond, Series: 1996 A (FSA Insured),
5.00%, 10/1/04 185
200 County of Broward School District G.O.
Bond, Series: 1988, 7.00%, 2/15/99 208
100 County of Charlotte Utility Systems
Revenue Refunding Bond, Series: 1994
(FGIC Insured), 5.50%, 10/1/00 103
225 County of Dade Public Service Tax Revenue
Refunding Bond (FSA Insured),
5.00%, 10/1/01 228
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
FLORIDA - 99.5% (CONT'D.)
$ 500 County of Dade Sales TRB
(AMBAC Insured), 6.00%, 10/1/01 $ 525
1,250 County of Dade School District G.O.
Bond, Series: 1996 (MBIA Insured),
4.75%, 7/15/09 1,169
400 County of Dade Seaport Revenue
Refunding Bond (MBIA Insured),
6.50%, 10/1/10 443
700 County of Dade Water and Sewer System
Revenue Bond (FGIC Insured),
5.00%, 10/1/00 709
150 County of Duval School District G.O.
Bond, Series: 1992 (AMBAC Insured),
6.13%, 8/1/04 161
250 County of Hillsborough School Board Sales
TRB (AMBAC Insured), 4.13%, 10/1/00 246
500 County of Manatee Public Utilities Revenue
Bond, Series: 1991 A (MBIA Insured),
Prerefunded, 6.75%, 10/1/01 549
200 County of Orange Tourist Development
TRB, Series: 1992 B (AMBAC Insured),
5.90%, 10/1/00 208
700 County of Palm Beach G.O. Refunding
Bond, Series: 1996 B, 4.25%, 7/1/08 631
490 County of Polk Constitutional Fuel TRB
(FGIC Insured), 4.90%, 7/1/08 478
250 Reedy Creek Improvement District
Refunding Bond, Series: 1991 A,
6.00%, 6/1/02 263
920 State of Florida Board of Education
Capital Outlay Revenue Bond,
Series: 1989 A, Prerefunded,
7.25%, 6/1/00 1,007
State of Florida Board of Education
Capital Outlay Revenue Bond
100 Series: 1992 B, 5.30%, 6/1/03 102
1,475 Series: 1996 A, 4.80%, 1/1/10 1,371
1,000 State of Florida Board of Education
G.O. Bond, Series: 1978 C,
Escrowed to Maturity, 6.00%, 5/1/03 1,059
90 State of Florida Department of
Transportation Right of Way Acquisition
and Bridge Construction Bond, Series: 1996,
5.10%, 7/1/08 89
SCHEDULES OF INVESTMENTS MARCH 31, 1997
FLORIDA INTERMEDIATE TAX-EXEMPT FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
FLORIDA - 99.5% (CONT'D.)
$500 State of Florida Department of
Transportation Right of Way Revenue
Refunding Bond, 6.00%, 7/1/04 $ 532
650 State of Florida Finance Department
General Services Revenue Bond,
Series: 1996 A (MBIA Insured),
5.25%, 7/1/08 650
350 State of Florida Municipal Power Agency
Revenue Bond, St. Lucie Project
(FGIC Insured), 5.40%, 10/1/05 357
200 State of Florida Municipal Power Agency
Revenue Bond, Power Supply Project
(AMBAC Insured), Prerefunded,
6.25%, 10/1/01 216
250 State of Florida Sunshine Skyway,
Revenue Refunding Bond, Series: 1991,
6.40%, 7/1/04 265
-----------
Total Municipal Investments
(cost $14,806) 14,722
-----------
NUMBER
OF SHARES
(000S)
- ----------
SHORT-TERM INVESTMENTS - 0.3%
1 Dreyfus Tax Exempt Cash
Management Fund 1
49 Federated Tax Free Trust Money
Market Fund #15 49
-----------
Total Short-Term Investments
(cost $50) 50
-----------
Total Investments - 99.8%
(cost $14,856) 14,772
Other Assets less Liabilities - 0.2% 35
-----------
NET ASSETS - 100.0% $14,807
===========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
TAX-EXEMPT FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
MUNICIPAL INVESTMENTS - 94.3%
ALABAMA - 1.4%
$2,000 Jefferson County Alabama Sewer
Revenue Refunding Bond, Series: A
(FGIC Insured), 5.625%, 2/1/22 $1,914
-----------
ARIZONA - 5.9%
320 County of Cochise School District No. 68,
Sierra Vista G.O. Bond (FGIC Insured),
9.00%, 7/1/03 387
680 County of Maricopa School District No. 11,
Peoria G.O. Bond (AMBAC Insured),
6.70%, 7/1/07 764
1,500 County of Maricopa School District No. 11,
Peoria G.O. Bond Unified Project 1991,
5.50%, 7/1/10 1,487
3,000 County of Maricopa School District No. 41,
Gilbert G.O. Bond, 6.25%, 7/1/15 3,036
1,260 County of Maricopa School District No. 69,
Paradise Valley G.O. Bond, Series: 1991 B,
8.50%, 7/1/06 1,556
800 State of Arizona Transportation Board
Excise TRB (AMBAC Insured),
5.75%, 7/1/05 837
-----------
8,067
-----------
CALIFORNIA - 13.3%
3,000 City of Fremont Unified School District
Alameda County Refunding Bond
(MBIA Insured), 5.25%, 9/1/19 2,770
90 City of Fresno Sewer System Revenue
Bond, Series: 1993 A-1 (AMBAC Insured),
4.75%, 9/1/21 77
2,760 City of Los Angeles Convention and
Exhibition Center Project Bond,
Prerefunded, 9.00%, 12/1/05 3,550
5,000 East Bay California Municipal Utility
District Water Revenue Bond
(AMBAC Insured), Prerefunded,
6.50%, 6/1/04 5,588
750 State of California G.O. Bond
(FGIC Insured), 6.50%, 2/1/07 830
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
CALIFORNIA - 13.3% (CONT'D.)
State of California Public Works Revenue Bond
$1,150 Series: 1991 A-Calpatria,
6.10%, 9/1/02 $ 1,213
4,000 Series: 1993 E-Madera,
5.50%, 6/1/15 3,875
230 Walnut Valley Unified School District
G.O. Bond, Series: 1991 A (MBIA Insured),
6.00%, 8/1/13 241
-----------
18,144
-----------
CONNECTICUT - 0.4%
460 State of Connecticut Special TBR,
Series: 1990 A, Transportation
Infrastructure, 7.125%, 6/1/10 534
-----------
FLORIDA - 7.5%
3,120 City of Orlando Utilities Commission
Water and Electric Revenue Bond,
Series: 1989 D, 6.75%, 10/1/17 3,534
3,670 County of Broward G.O. Bond,
10.00%, 7/1/14 5,404
630 County of Polk Utility System Revenue
Bond, Series: 1991 (FGIC Insured),
6.00%, 10/1/08 674
480 State of Florida Board of Education Capital
Outlay G.O. Bond, Series: 1985,
9.125%, 6/1/14 661
-----------
10,273
-----------
GEORGIA - 3.2%
County of Gwinnett School District
G.O. Bond
1,120 Series: 1993, 4.00%, 2/1/12 932
1,060 Series: 1994, 4.50%, 2/1/12 935
2,300 Georgia Municipal Electric Authority
Power Revenue Bond, Series: 1992 B
(FGIC Insured), 6.375%, 1/1/16 2,477
-----------
4,344
-----------
ILLINOIS - 9.5%
City of Chicago G.O. Bond, Series: 1993 B
(AMBAC Insured)
1,835 5.125%, 1/1/15 1,688
4,610 5.125%, 1/1/22 4,131
SCHEDULES OF INVESTMENTS MARCH 31, 1997
TAX-EXEMPT FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
ILLINOIS - 9.5% (CONT'D.)
$1,200 City of Chicago Park District TAW,
4.70%, 9/30/97 $ 1,205
1,480 City of Chicago Water Revenue Refunding
Bond, Series: 1993 (FGIC Insured),
4.125%, 11/1/13 1,206
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 State of Illinois Educational Facilities
Authority Revenue Bond, Series: 1991,
Loyola University, 7.125%, 7/1/21 2,162
1,150 State of Illinois G.O. Refunding Bond,
Series: 1994, 4.60%, 12/1/05 1,097
-----------
13,004
-----------
INDIANA - 7.3%
City of Indianapolis Gas Revenue
Bond, Series: 1986 B (FGIC Insured)
400 5.00%, 6/1/06 392
410 4.00%, 6/1/08 368
970 3.50%, 6/1/18 698
970 County of Hamilton Public Building
Corporation First Mortgage Bond,
7.25%, 8/1/13 1,143
2,000 County of Marion Convention and
Recreational Facility Revenue Bond,
Series: A (AMBAC Insured),
7.00%, 6/1/21 2,173
420 Indiana Municipal Power Agency Revenue
Bond, Series: 1993 B (MBIA Insured),
6.00%, 1/1/12 438
1,290 State of Indiana Office Building
Capital Complex Revenue Bond,
Series: 1990 B (MBIA Insured),
7.40%, 7/1/15 1,529
3,305 State of Indiana Transportation Authority
Airport Finance Lease Revenue Bond,
Series: 1995 A, 5.50%, 11/1/12 3,178
-----------
9,919
-----------
MICHIGAN - 0.7%
1,000 State of Michigan Hospital Finance
Authority Revenue Bond,
Series: A, Henry Ford Health,
5.25%, 11/15/25 900
-----------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
MONTANA - 0.1%
$ 190 University of Montana Higher Education
Revenue Bond, Series: 1993 A
(MBIA Insured), 4.50%, 11/15/15 $ 160
-----------
NEVADA - 3.4%
1,000 City of Carson School District G.O.
Refunding Bond, Series: 1993
(AMBAC Insured), 4.50%, 4/1/11 878
1,150 County of Clark Sanitation District
G.O. Bond, Series: A (AMBAC Insured),
Prerefunded, 6.60%, 7/1/02 1,253
2,000 County of Washoe Airport Authority
Revenue Bond, Series: A (MBIA Insured),
5.70%, 7/1/26 1,942
580 State of Nevada G.O. Refunding
Bond, Project 20-23A, Escrowed to
Maturity, 7.20%, 7/1/06 602
-----------
4,675
-----------
NEW YORK - 13.9%
700 City of New York Municipal Assistance
Corporate Revenue Bond, Series: 67
(MBIA Insured), 7.625%, 7/1/08 757
1,450 New York Power Authority Revenue Bond,
Series: 1984 R, Prerefunded,
7.00%, 1/1/10 1,662
3,000 State of New York Dormitory Authority
Revenue State University Bond,
Series: 1993 A, 5.25%, 5/15/15 2,756
4,000 State of New York Local Government
Assistance Corp. Revenue Bond, Series: A,
Prerefunded, 7.00%, 4/1/01 4,409
8,000 State of New York Urban Development Corp.
Refunding Bond (Colld. by HUD 236),
5.50%, 7/1/16 7,603
1,720 Triborough Bridge and Tunnel Authority
Revenue Bond, 6.00%, 1/1/12 1,808
-----------
18,995
-----------
NORTH CAROLINA - 3.6%
610 North Carolina Eastern Municipal Power
Revenue Refunding Bond,
Series: 1991 A, Escrowed to Maturity,
6.50%, 1/1/18 670
SCHEDULES OF INVESTMENTS MARCH 31, 1997
TAX-EXEMPT FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
NORTH CAROLINA - 3.6% (CONT'D.)
$3,850 North Carolina Eastern Municipal Power
Revenue Refunding Bond,
Series: 1993 B, 7.00%, 1/1/08 $4,196
-----------
4,866
-----------
OKLAHOMA - 1.1%
1,380 McGee Creek Water Authority Revenue
Bond, Series: 1992 (MBIA Insured),
6.00%, 1/1/13 1,453
-----------
OREGON - 1.4%
230 State of Oregon G.O. Bond,
10.50%, 6/1/02 289
1,800 University of Oregon Health Sciences
Revenue Bond, Series: A (MBIA Insured),
5.25%, 7/1/28 1,655
-----------
1,944
-----------
PENNSYLVANIA - 3.7%
1,010 State of Pennsylvania G.O. Bond,
Series: 1992, 6.00%, 7/1/09 1,070
4,000 State of Pennsylvania G.O. Bond,
5.125%, 9/15/06 3,981
-----------
5,051
-----------
SOUTH CAROLINA - 5.5%
1,090 City of Columbia Water and Sewer
System Revenue Refunding Bond,
5.50%, 2/1/09 1,115
5,000 Piedmont Municipal Power Agency
Electric Revenue Bond, Series: 1988 A,
6.55%, 1/1/16 5,019
1,270 Piedmont Municipal Power Agency
Electric Revenue Bond, Series: 1988 A
(AMBAC Insured), 7.40%, 1/1/18 1,321
-----------
7,455
-----------
TENNESSEE - 0.2%
300 Chattanooga-Hamilton Co. Hospital
Authority Erlanger Medical Center Project,
VRDB, 4.30%, 4/1/97 300
-----------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
TEXAS - 5.0%
$ 490 Channelview Independent School District
Bond (PSF Gtd.), 4.75%, 8/15/12 $ 440
600 City of Austin Utilities System
Revenue Bond, Series: 1986 C,
Prerefunded, 7.30%, 11/15/01 663
1,050 Coastal Industrial Water Authority Water
Revenue Bond, Escrowed to Maturity,
6.375%, 12/15/07 1,081
1,030 Colorado River Municipal Water District
Revenue Bond, Prerefunded, 9.50%, 1/1/01 1,193
2,500 Harris County Toll Road Revenue Bond,
Senior Lien, Series: 1994 (FGIC Insured),
5.375%, 8/15/20 2,314
1,145 Texas Municipal Power Agency Revenue
Refunding Bond, Series: 1993 (MBIA
Insured), 5.25%, 9/1/08 1,147
-----------
6,838
-----------
UTAH - 0.8%
1,050 State of Utah Intermountain Power
Supply Agency Revenue Bond,
Series: 1987 D, 8.625%, 7/1/21 1,082
-----------
WASHINGTON - 6.4%
1,150 County of Clark School District No. 37
Vancouver G.O. Bond, 6.375%, 12/1/09 1,253
750 County of King G.O. Bond, Series: 1993 B,
4.50%, 1/1/12 656
State of Washington G.O. Bond
1,500 Series: A, 6.375%, 2/1/14 1,574
690 Series: 1990 A, 6.75%, 2/1/10 777
4,000 State of Washington Public Power
Supply System Revenue Refunding Bond,
Series: 1990 A, Project II,
Prerefunded, 7.625%, 7/1/00 4,427
-----------
8,687
-----------
Total Municipal Investments
(cost $126,322) 128,605
==========
SCHEDULES OF INVESTMENTS MARCH 31, 1997
TAX-EXEMPT FUND (continued)
NUMBER
OF SHARES VALUE
(000S) (000S)
- ---------- ------
SHORT-TERM INVESTMENT - 4.2%
5,736 Provident Municipal Fund
(cost $5,736) $ 5,736
-----------
Total Investments - 98.5%
(cost $132,058) 134,341
Other Assets less Liabilities - 1.5% 2,031
-----------
NET ASSETS - 100.0% $136,372
===========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERNATIONAL FIXED INCOME FUND
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
DEBT OBLIGATIONS - 95.1%
AUSTRALIAN DOLLAR - 5.4%
490 Commonwealth of Australia,
10.00%, 10/15/02 $ 424
600 Province of Queensland - Treasury,
8.00%, 5/14/97 471
-----------
895
-----------
BELGIAN FRANC - 1.6%
8,175 Kingdom of Belgium,
7.50%, 7/29/08 263
-----------
BRITISH POUND STERLING - 13.7%
125 Abbey National PLC,
6.00%, 8/10/99 199
375 Lloyds Bank PLC,
7.375%, 3/11/04 593
865 Treasury of Great Britain,
8.00%, 6/10/03 1,457
-----------
2,249
CANADIAN DOLLAR - 7.0%
500 Government of Canada,
7.50%, 12/1/03 384
375 Province of Ontario,
7.25%, 9/27/05 280
575 Province of Quebec,
10.25%, 10/15/01 485
-----------
1,149
-----------
DANISH KRONE - 4.0%
3,850 Kingdom of Denmark,
8.00%, 3/15/06 658
-----------
FRENCH FRANC - 2.9%
2,300 Electric de France,
8.60%, 4/9/04 483
-----------
GERMAN MARK - 17.3%
Federal Republic of Germany
2,100 7.50%, 11/11/04 1,405
1,175 6.25%, 1/4/24 669
500 LKB Global Bond,
6.00%, 5/10/99 312
330 Republic of Austria,
8.00%, 1/30/02 222
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
GERMAN MARK - 17.3% (CONT'D.)
380 Republic of Finland,
5.50%, 2/9/01 $ 235
-----------
2,843
-----------
ITALIAN LIRA - 9.4%
2,500,000 Republic of Italy,
8.50%, 4/1/04 1,544
-----------
JAPANESE YEN - 15.9%
55,000 Asian Development Bank,
5.00%, 2/5/03 521
69,000 European Bank for
Reconstruction and Development,
4.50%, 11/5/97 571
15,000 European Investment Bank,
5.875%, 11/26/99 136
80,000 International Bank for
Reconstruction and Development,
4.50%, 3/20/03 741
64,000 International Finance Corp.,
4.375%, 6/11/98 540
10,000 Japanese Development Bank,
6.50%, 9/20/01 98
-----------
2,607
-----------
NETHERLANDS GUILDER - 4.2%
1,130 Dutch Government Treasury,
8.50%, 3/15/01 686
-----------
SPANISH PESETA - 5.9%
Government of Spain
51,000 11.30%, 1/15/02 429
65,000 10.00%, 2/28/05 537
-----------
966
-----------
SWEDISH KRONA - 3.0%
3,100 Kingdom of Sweden,
10.25%, 5/5/03 487
-----------
UNITED STATES DOLLAR - 4.8%
800 U.S. Treasury Bond,
7.125%, 2/23/15 790
-----------
Total Debt Obligations
(cost $15,850) 15,620
-----------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERNATIONAL FIXED INCOME FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
SHORT-TERM INVESTMENT - 1.7%
UNITED STATES DOLLAR
$285 Banque Brussels Lambert,
Grand Cayman Island,
6.50%, 4/1/97
(cost $285) $ 285
-----------
Total Investments - 96.8%
(cost $16,135) 15,905
Other Assets less Liabilities - 3.2% 521
-----------
NET ASSETS - 100.0% $ 16,426
===========
See Notes to the Financial Statements.
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 1997
EQUITY FUNDS
<CAPTION>
INT'L. INT'L.
INCOME STOCK GROWTH SELECT SMALL GROWTH SELECT TECH-
AMOUNTS IN THOUSANDS, EQUITY INDEX EQUITY EQUITY CAP EQUITY EQUITY NOLOGY
EXCEPT PER SHARE DATA FUND FUND FUND FUND FUND FUND FUND FUND
- ---------------------- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value (cost $72,182,
$39,632, $259,167, $57,822,
$178,013, $161,432, $99,818 and
$45,471, respectively) $76,691 $38,304 $305,568 $63,783 $197,186 $164,616 $108,266 $43,984
Cash and foreign currencies 3 2 2 1 4 1,176 290 2
Income receivable 504 50 294 82 135 638 449 14
Receivable for foreign tax withheld - - - - - 300 105 -
Receivable for securities sold - - - - 6,540 5,071 - -
Receivable for fund shares sold 158 58 421 287 75 37 43 33
Receivable from Adviser 5 21 16 6 9 2 4 6
Deferred organization costs, net of
accumulated amortization 18 - 24 14 19 23 20 -
Prepaid and other assets 6 5 8 7 7 10 8 3
--------- --------- --------- --------- --------- --------- --------- ---------
Total Assets 77,385 38,440 306,333 64,180 203,975 171,873 109,185 44,042
--------- --------- --------- --------- --------- --------- --------- ---------
LIABILITIES:
Outstanding option written, at value
(premium received $319) - - 277 - - - - -
Payable for securities purchased - 2,193 3,054 - 6,520 5,809 - 220
Payable for fund shares redeemed 242 356 261 461 145 76 177 27
Accrued investment advisory fees 11 2 44 9 28 27 18 7
Accrued administration fees 10 7 48 12 24 8 10 6
Accrued transfer agent fees 1 1 5 1 3 3 2 1
Accrued custody and accounting fees 1 4 2 1 3 7 4 2
Accrued registration fees and
other liabilities 18 37 37 19 139 51 30 25
--------- --------- --------- --------- --------- --------- --------- ---------
Total Liabilities 283 2,600 3,728 503 6,862 5,981 241 288
--------- --------- --------- --------- --------- --------- --------- ---------
Net Assets $77,102 $35,840 $302,605 $63,677 $197,113 $165,892 $108,944 $43,754
========= ========= ========= ========= ========= ========= ========= =========
ANALYSIS OF NET ASSETS:
Capital stock $69,397 $36,151 $251,016 $55,459 $171,686 $164,507 $108,399 $44,017
Accumulated undistributed
(distributions in
excess of) net investment income 57 12 37 70 263 (8) (494) -
Accumulated undistributed net
realized gains (losses) on
investments, options, futures
and foreign currency transactions 3,139 1,040 5,109 2,187 6,320 - (6,497) 1,224
Accumulated distributions in excess
of net realized gains/losses - - - - - (1,770) (901) -
Net unrealized appreciation
(depreciation) on investments,
options and futures contracts 4,509 (1,363) 46,443 5,961 18,844 3,184 8,448 (1,487)
Net unrealized losses on
translation of assets
and liabilities denominated
in foreign currencies - - - - - (21) (11) -
--------- --------- --------- --------- --------- --------- --------- ---------
Net Assets $77,102 $35,840 $302,605 $63,677 $197,113 $165,892 $108,944 $43,754
========= ========= ========= ========= ========= ========= ========= =========
SHARES OUTSTANDING ($.0001 PAR VALUE,
UNLIMITED AUTHORIZATION) 6,529 3,337 21,723 4,376 16,007 16,509 10,510 3,661
NET ASSET VALUE, REDEMPTION AND
OFFERING PRICE PER SHARE $11.81 $10.74 $13.93 $14.55 $12.31 $10.05 $10.37 $11.95
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF OPERATIONS PERIOD ENDED MARCH 31, 1997
EQUITY FUNDS
INT'L. INT'L.
INCOME STOCK GROWTH SELECT SMALL GROWTH SELECT TECH-
EQUITY INDEX EQUITY EQUITY CAP EQUITY EQUITY NOLOGY
AMOUNTS IN THOUSANDS FUND FUND<F1> FUND FUND FUND FUND FUND FUND<F2>
- ---------------------- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income $ 1,597 $ 55 $ 708 $ 70 $ 418 $ 482 $ 287 $ 77
Dividend income 1,495 160 3,496 514 2,287 3,215 1,630 44
--------- --------- --------- --------- --------- -------- --------- ---------
Total Investment Income 3,092 215 4,204 584 2,705 3,697<F3> 1,917<F4> 121
--------- --------- --------- --------- --------- -------- --------- ---------
EXPENSES:
Investment advisory fees 657 53 2,707 579 2,109 2,186 1,336 289
Administration fees 99 13 406 72 263 273 167 36
Transfer agent fees 66 9 270 48 175 182 111 24
Custody and accounting fees 54 64 92 52 88 238 168 64
Professional fees 18 27 21 17 20 20 19 43
Registration fees 18 21 39 18 20 23 15 21
Amortization of organization costs 9 - 11 7 10 11 10 -
Trustees' fees and expenses 4 1 7 3 6 6 5 3
Other 10 8 34 9 19 24 16 6
--------- --------- --------- --------- --------- -------- --------- ---------
Total Expenses 935 196 3,587 805 2,710 2,963 1,847 486
Less voluntary waivers of:
Investment advisory fees (100) (18) (412) (170) (619) (368) (225) (50)
Administration fees (21) (4) (85) (16) (55) (54) (34) (9)
Less: Reimbursement of expenses
by Adviser (158) (126) (390) (139) (284) (269) (199) (128)
--------- --------- --------- --------- --------- -------- --------- ---------
Net Expenses 656 48 2,700 480 1,752 2,272 1,389 299
--------- --------- --------- --------- --------- -------- --------- ---------
NET INVESTMENT INCOME (LOSS) 2,436 167 1,504 104 953 1,425 528 (178)
--------- --------- --------- --------- --------- -------- --------- ---------
NET REALIZED AND UNREALIZED GAINS (LOSSES):
Net realized gains (losses) on:
Investments 6,869 902 6,751 2,763 12,116 5,966 (5,984) 1,762
Options - - 1,253 - - - - -
Futures contracts - 149 - - 426 - - -
Foreign currency transactions - - - - - (209) 7 -
Net change in unrealized appreciation
(depreciation) on investments, options
and futures contracts (774) (1,363) 18,160 2,605 6,088 (2,628) 3,053 (1,487)
Net change in unrealized losses on
translation of assets and liabilities
denominated in foreign currencies - - - - - (19) (1) -
--------- --------- --------- --------- --------- -------- --------- ---------
Net Gains (Losses) on Investments 6,095 (312) 26,164 5,368 18,630 3,110 (2,925) 275
--------- --------- --------- --------- --------- -------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $8,531 $(145) $27,668 $5,472 $19,583 $4,535 $(2,397) $97
========= ========= ========= ========= ========= ======== ========= =========
<FN>
<F1> Commenced investment operations on October 7, 1996.
<F2> Commenced investment operations on April 1, 1996.
<F3> Net of $306 in non-reclaimable foreign withholding taxes.
<F4> Net of $121 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 STOCK INDEX GROWTH EQUITY SELECT EQUITY
FUND FUND FUND FUND
--------------- ------- ---------------- ----------------
YEAR YEAR PERIOD YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
AMOUNTS IN THOUSANDS 1997 1996 1997<F1> 1997 1996 1997 1996
- --------------------- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 2,436 $ 1,468 $ 167 $ 1,504 $ 1,170 $ 104 $ 51
Net realized gains on investments,
options and futures contracts 6,869 2,672 1,051 8,004 13,891 2,763 2,589
Net change in unrealized appreciation
(depreciation) on investments, options
and futures contracts (774) 4,485 (1,363) 18,160 20,699 2,605 2,233
--------- --------- --------- --------- --------- -------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Operations 8,531 8,625 (145) 27,668 35,760 5,472 4,873
--------- --------- --------- --------- --------- -------- ---------
CAPITAL SHARE TRANSACTIONS:
Shares sold 25,427 16,890 41,842 90,928 101,576 36,755 21,220
Shares from reinvestment of dividends 5,302 230 85 13,333 161 1,871 22
Shares redeemed (10,238) (7,226) (5,776) (38,483) (24,190) (12,016) (6,600)
--------- --------- --------- --------- --------- -------- ---------
Net Increase in Net Assets
Resulting from Capital Share
Transactions 20,491 9,894 36,151 65,778 77,547 26,610 14,642
--------- --------- --------- --------- --------- -------- ---------
DISTRIBUTIONS PAID:
From net investment income (2,419) (1,554) (155) (1,525) (1,221) (62) (58)
From net realized gains (5,420) - (11) (13,887) (700) (2,185) (738)
--------- --------- --------- --------- --------- -------- ---------
Total Distributions Paid (7,839) (1,554) (166) (15,412) (1,921) (2,247) (796)
--------- --------- --------- --------- --------- -------- ---------
TOTAL INCREASE IN NET ASSETS 21,183 16,965 35,840 78,034 111,386 29,835 18,719
NET ASSETS:
Beginning of period 55,919 38,954 - 224,571 113,185 33,842 15,123
--------- --------- --------- --------- --------- -------- ---------
End of period $77,102 $55,919 $35,840 $302,605 $224,571 $63,677 $33,842
========= ========= ========= ========= ========= ======== =========
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME $57 $36 $12 $37 $46 $70 $25
========= ========= ========= ========= ========= ======== =========
<FN>
<F1> Commenced investment operations on October 7, 1996.
See Notes to the Financial Statements.
</TABLE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
EQUITY FUNDS
INTERNATIONAL INTERNATIONAL
SMALL CAP GROWTH EQUITY SELECT EQUITY TECHNOLOGY
FUND FUND FUND FUND
--------------- ------------------ ----------------- ------
YEAR YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
AMOUNTS IN THOUSANDS 1997 1996 1997 1996 1997 1996 1997<F1>
- --------------------- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income (loss) $ 953 $ 794 $ 1,425 $ 1,429 $ 528 $ 97 $ (178)
Net realized gains (losses)
on investments,
futures contracts and
foreign currency transactions 12,542 11,166 5,757 5,567 (5,977) 4,353 1,762
Net change in unrealized appreciation
(depreciation) on investments
and futures contracts 6,088 12,075 (2,628) 4,941 3,053 3,695 (1,487)
Net change in unrealized losses
on translation of assets and
liabilities denominated in
foreign currencies - - (19) (23) (1) (20) -
--------- --------- --------- --------- --------- -------- ---------
Net Increase (Decrease) in Net
Assets Resulting from Operations 19,583 24,035 4,535 11,914 (2,397) 8,125 97
--------- --------- --------- --------- --------- -------- ---------
CAPITAL SHARE TRANSACTIONS:
Shares sold 54,431 82,232 32,031 86,203 33,624 40,494 46,004
Shares from reinvestment of dividends 8,775 113 6,380 482 833 47 338
Shares redeemed (30,899) (18,809) (50,531) (28,834) (24,242) (17,537) (2,325)
--------- --------- --------- --------- --------- -------- ---------
Net Increase (Decrease) in Net Assets
Resulting from Capital Share
Transactions 32,307 63,536 (12,120) 57,851 10,215 23,004 44,017
--------- --------- --------- --------- --------- -------- ---------
DISTRIBUTIONS PAID:
From net investment income (833) (846) (1,123) (1,528) (302) (208) -
From net realized gains (9,182) (8,114) (3,947) - - - (360)
In excess of net investment income - - (70) (1,673) (390) (160) -
In excess of net realized gains/losses - - (2,620) - (901) - -
--------- --------- --------- --------- --------- -------- ---------
Total Distributions Paid (10,015) (8,960) (7,760) (3,201) (1,593) (368) (360)
--------- --------- --------- --------- --------- -------- ---------
TOTAL INCREASE (DECREASE) IN NET ASSETS 41,875 78,611 (15,345) 66,564 6,225 30,761 43,754
NET ASSETS:
Beginning of year 155,238 76,627 181,237 114,673 102,719 71,958 -
--------- --------- --------- --------- --------- -------- ---------
End of year $197,113 $155,238 $165,892 $181,237 $108,944 $102,719 $43,754
========= ========= ========= ========= ========= ======== =========
ACCUMULATED UNDISTRIBUTED
(DISTRIBUTIONS IN EXCESS OF)
NET INVESTMENT INCOME $263 $123 $(8) $(302) $(494) $(226) $-
========= ========= ========= ========= ========= ======== =========
<FN>
<F1> Commenced investment operations on April 1, 1996.
See Notes to the Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS
EQUITY FUNDS
INCOME EQUITY STOCK INDEX GROWTH EQUITY
FUND FUND FUND
--------------------------- ------- ---------------------------
YEAR YEAR YEAR PERIOD YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
1997 1996 1995 1997<F1> 1997 1996 1995
- ------------------------ ---- ---- ---- ---- ---- ---- ----
SELECTED PER SHARE DATA
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $11.59 $9.95 $10.00 $10.00 $13.15 $10.61 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.44 0.34 0.29 0.08 0.08 0.08 0.08
Net realized and unrealized gains
(losses) on investments, options
and futures contracts 1.19 1.66 (0.08) 0.74 1.49 2.59 0.60
--------- --------- --------- --------- --------- -------- ---------
Total Income from
Investment Operations 1.63 2.00 0.21 0.82 1.57 2.67 0.68
--------- --------- --------- --------- --------- -------- ---------
LESS DISTRIBUTIONS PAID:
From net investment income (0.44) (0.36) (0.26) (0.07) (0.08) (0.08) (0.07)
From net realized gains (0.97) - - (0.01) (0.71) (0.05) -
--------- --------- --------- --------- --------- -------- ---------
Total Distributions (1.41) (0.36) (0.26) (0.08) (0.79) (0.13) (0.07)
--------- --------- --------- --------- --------- -------- ---------
NET ASSET VALUE, END OF PERIOD $11.81 $11.59 $9.95 $10.74 $13.93 $13.15 $10.61
========= ========= ========= ========= ========= ======== =========
TOTAL RETURN 14.42% 20.41% 2.21% 8.21% 11.72% 25.13% 6.90%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end
of period $77,102 $55,919 $38,954 $35,840 $302,605 $224,571 $113,185
Ratio to average net assets of: <F2>
Expenses, net of waivers and
reimbursements 1.00% 1.00% 1.00% 0.55% 1.00% 1.00% 1.00%
Expenses, before waivers and
reimbursements 1.42% 1.48% 1.55% 2.23% 1.33% 1.36% 1.40%
Net investment income, net of waivers
and reimbursements 3.71% 3.17% 3.08% 1.92% 0.56% 0.70% 0.86%
Net investment income, before
waivers and reimbursements 3.29% 2.69% 2.53% 0.24% 0.23% 0.34% 0.46%
Portfolio Turnover Rate 72.04% 67.32% 45.68% 64.94% 67.34% 73.20% 82.90%
Average Commission Per Share $0.0583 NA NA $0.0253 $0.0630 NA NA
<F1> Commenced investment operations on October 7, 1996.
<F2> Annualized for periods less than a full year.
NA - Disclosure not applicable to prior periods.
See Notes to the Financial Statements.
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (CONTINUED)
EQUITY FUNDS
<CAPTION>
SELECT EQUITY SMALL CAP
FUND FUND
------------------------------ ----------------------------
YEAR YEAR PERIOD YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
1997 1996 1995<F1> 1997 1996 1995
- ------------------------ ---- ---- ---- ---- ---- ----
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 0.02 0.02 0.06 0.07 0.05 0.11
Net realized and unrealized gains (losses)
on investments, futures contracts and foreign
currency transactions 2.05 2.73 0.75 1.37 2.29 (0.05)
--------- --------- --------- --------- -------- ---------
Total Income (Loss) from
Investment Operations 2.07 2.75 0.81 1.44 2.34 0.06
--------- --------- --------- --------- -------- ---------
LESS DISTRIBUTIONS PAID:
From net investment income (0.02) (0.03) (0.04) (0.06) (0.07) (0.08)
From net realized gains (0.62) (0.37) - (0.65) (0.67) -
In excess of net investment income - - - - - -
In excess of accumulated net realized gains
on investment transactions - - - - - -
--------- --------- --------- --------- -------- ---------
Total Distributions (0.64) (0.40) (0.04) (0.71) (0.74) (0.08)
--------- --------- --------- --------- -------- ---------
NET ASSET VALUE, END OF PERIOD $14.55 $13.12 $10.77 $12.31 $11.58 $9.98
========= ========= ========= ========= ======== =========
TOTAL RETURN 15.64% 25.70% 8.18% 12.48% 24.09% 0.57%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end of period $63,677 $33,842 $15,123 $197,113 $155,238 $76,627
Ratio to average net assets of: <F4>
Expenses, net of waivers and
reimbursements 1.00% 1.00% 1.00% 1.00% 1.00% 1.00%
Expenses, before waivers and
reimbursements 1.67% 1.91% 2.61% 1.54% 1.61% 1.76%
Net investment income (loss), net of waivers
and reimbursements 0.21% 0.22% 0.82% 0.54% 0.65% 1.36%
Net investment income (loss), before
waivers and reimbursements (0.46)% (0.69)% (0.79)% 0.00% 0.04% 0.60%
Portfolio Turnover Rate 72.68% 137.99% 48.88% 18.92% 46.59% 82.46%
Average Commission Per Share $0.0653 NA NA $0.1089 NA NA
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (CONTINUED)
EQUITY FUNDS
<CAPTION>
INTERNATIONAL INTERNATIONAL
GROWTH EQUITY SELECT EQUITY TECHNOLOGY
FUND FUND FUND
--------------------------- ---------------------------- -------
YEAR YEAR YEAR YEAR YEAR PERIOD YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31, MAR. 31,
1997 1996 1995 1997 1996 1995<F2> 1997<F3>
<S> <C> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA
NET ASSET VALUE, BEGINNING OF PERIOD $10.23 $ 9.61 $10.00 $10.73 $ 9.78 $10.00 $10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income 0.09 0.17 0.04 0.04 0.01 0.04 -
Net realized and unrealized gains (losses)
on investments, futures contracts and foreign
currency transactions 0.18 0.65 (0.31) (0.26) 0.99 (0.23) 2.10
--------- -------- --------- --------- --------- --------- ---------
Total Income (Loss) from
Investment Operations 0.27 0.82 (0.27) (0.22) 1.00 (0.19) 2.10
--------- -------- --------- --------- --------- --------- ---------
LESS DISTRIBUTIONS PAID:
From net investment income (0.07) (0.11) (0.03) (0.03) (0.02) (0.03) -
From net realized gains (0.23) - - - - - (0.15)
In excess of net investment income - (0.09) - (0.03) (0.03) - -
In excess of accumulated net realized gains
on investment transactions (0.15) - (0.09) (0.08) - - -
--------- -------- --------- --------- --------- --------- ---------
Total Distributions (0.45) (0.20) (0.12) (0.14) (0.05) (0.03) (0.15)
--------- -------- --------- --------- --------- --------- ---------
NET ASSET VALUE, END OF PERIOD $10.05 $10.23 $9.61 $10.37 $10.73 $9.78 $11.95
========= ======== ========= ========= ========= ========= =========
TOTAL RETURN 2.61% 8.61% (2.65)% (1.95)% 10.20% (1.95)% 20.82%
SUPPLEMENTAL DATA AND RATIOS:
Net assets, in thousands, end of period $165,892 $181,237 $114,673 $108,944 $102,719 $71,958 $43,754
Ratio to average net assets of: <F4>
Expenses, net of waivers and
reimbursements 1.25% 1.25% 1.25% 1.25% 1.25% 1.25% 1.25%
Expenses, before waivers and
reimbursements 1.63% 1.65% 1.71% 1.66% 1.71% 1.75% 2.02%
Net investment income (loss), net of waivers
and reimbursements 0.78% 0.92% 0.47% 0.47% 0.12% 0.47% (0.75)%
Net investment income (loss), before
waivers and reimbursements 0.40% 0.52% 0.01% 0.06% (0.34)% (0.03)% (1.52)%
Portfolio Turnover Rate 190.94% 216.86% 158.31% 97.60% 176.71% 97.69% 67.89%
Average Commission Per Share $0.0201 NA NA $0.0210 NA NA $0.0651
<FN>
<F1> Commenced investment operations on April 6, 1994.
<F2> Commenced investment operations on April 5, 1994.
<F3> Commenced investment operations on April 1, 1996.
<F4> Annualized for periods less than a full year.
NA - Disclosure not applicable to prior periods.
See Notes to the Financial Statements.
</TABLE>
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INCOME EQUITY FUND
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
CONVERTIBLE PREFERRED
STOCKS - 38.4%
BANKING - 4.6%
14,300 Banc One Corp., Series: C $ 1,114
47,200 National Australia Bank 1,192
12,700 NationsBank/Jefferson-Pilot ACES 1,254
----------
3,560
----------
CHEMICALS AND ALLIED PRODUCTS - 1.3%
25,600 IMC Global STRYPES 966
----------
COMMUNICATIONS - 3.4%
23,200 Cincinnati Bell, Inc. DECS 1,369
24,000 Qualcomm, Inc. * 1,233
----------
2,602
----------
COMPUTERS AND OFFICE MACHINES - 1.3%
12,000 Microsoft Corp. * 973
----------
ELECTRONICS AND INSTRUMENTATION - 1.6%
25,000 Loral Corp. 1,212
----------
FINANCIAL SERVICES - 4.6%
7,000 Finova Finance Trust 366
35,000 FSA Holdings DECS 1,081
6,100 SunAmerica, Inc., Series: 1998E 540
24,000 SunAmerica, Inc., Series: 1999 948
10,500 SunAmerica STRYPES 619
----------
3,554
----------
INDUSTRIAL MANAGEMENT - 1.3%
36,500 Security Capital Industrial Trust, Series: B 986
----------
INSURANCE SERVICES - 3.1%
16,500 American Bankers Insurance Group, Inc. 1,000
23,100 St. Paul Capital LLC 1,374
----------
2,374
----------
OFFICE EQUIPMENT - 1.5%
14,800 Ikon Office Solutions, Inc. 1,197
----------
OIL AND GAS - 2.0%
30,600 Atlantic Richfield Co. 673
17,500 Nuevo Financing 842
----------
1,515
----------
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
PAPER PRODUCTS - 1.8%
31,200 International Paper Co. $ 1,404
----------
PETROLEUM PRODUCTS - 1.8%
26,000 Unocal Capital Trust 1,420
----------
PUBLISHING - 0.4%
32,700 Hollinger International, Inc. 327
----------
REAL ESTATE - 1.1%
17,500 Rouse Co. 858
----------
RESTAURANTS - 1.7%
25,900 Wendy's Financing I 1,311
----------
RETAIL - 2.0%
28,500 Kmart Financing I 1,525
----------
TRANSPORTATION PARTS AND
EQUIPMENT - 1.8%
76,250 Mascotech, Inc. DECS 1,411
----------
UTILITIES - 3.1%
24,500 Citizens Utilities Trust Co. 1,240
26,200 MCN STRYPES 701
9,800 MCN FELINE PRIDES STRYPES 481
----------
2,422
----------
Total Convertible Preferred Stocks
(cost $28,454) 29,617
----------
PRINCIPAL
AMOUNT
(000S)
- ---------
CONVERTIBLE BONDS - 36.7%
BUILDING MATERIALS - 1.3%
$1,050 Masco Corp.,
5.25%, 2/15/12 1,034
----------
COMPUTERS AND OFFICE MACHINES - 1.3%
1,000 EMC Corp.,
3.25%, 3/15/02<F1> 1,002
----------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INCOME EQUITY FUND (continued)
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- ---------- ------
COMPUTER SOFTWARE - 0.5%
$ 345 Platinum Technology, Inc.,
6.75%, 11/15/01 $ 405
----------
ELECTRONICS AND OTHER ELECTRICAL
EQUIPMENT - 5.9%
500 Adaptec, Inc.,
4.75%, 2/1/04<F1> 489
879 Cooper Industries, Inc.,
7.05%, 1/1/15 933
1,100 Park Electrochemical Corp.,
5.50%, 3/1/06 963
800 SCI Systems,
5.00%, 5/1/06 1,024
1,170 VLSI Technology, Inc.,
8.25%, 10/1/05 1,109
----------
4,518
----------
HEALTH SERVICES - 5.4%
825 ALZA Corp.,
5.00%, 5/1/06 813
800 ALZA/Ciba-Geigy Corp.,
6.25%, 3/15/16 828
1,650 Novacare, Inc.,
5.50%, 1/15/00 1,506
1,150 Quantum Health Resources, Inc.,
4.75%, 10/1/00 1,058
----------
4,205
----------
INSURANCE SERVICES - 1.9%
1,200 Equitable Cos., Inc.,
6.125%, 12/15/24 1,458
----------
METAL MINING - 1.2%
850 Inco Ltd.,
7.75%, 3/15/16 907
----------
OIL AND GAS - 1.0%
755 Consolidated Natural Gas Co.,
7.25%, 12/15/15 781
----------
PROFESSIONAL SERVICES - 1.3%
1,000 CUC International, Inc.,
3.00%, 2/15/02<F1> 1,015
----------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- ---------- ------
RECREATIONAL SERVICES - 1.5%
$1,250 WMS Industries, Inc.,
5.75%, 12/1/02 $ 1,162
----------
RESTAURANTS - 0.7%
400 Starbucks Corp.,
4.25%, 11/1/02 555
----------
RETAIL - 8.7%
1,100 Costco Wholesale Corp.,
5.75%, 5/15/02 1,092
1,000 Hasbro, Inc.,
6.00%, 11/15/98 1,480
1,475 Home Depot (The), Inc.,
3.25%, 10/1/01 1,475
1,300 Pier 1 Imports, Inc.,
5.75%, 10/1/03 1,469
550 Sports Authority (The), Inc.,
5.25%, 9/15/01 501
750 Sports Authority (The), Inc.,
5.25%, 9/15/01<F1> 682
----------
6,699
----------
TRANSPORTATION PARTS AND
EQUIPMENT - 1.6%
1,100 Magna International, Inc.,
5.00%, 10/15/02 1,191
----------
TRANSPORTATION SERVICES - 1.7%
1,250 Airborne Freight Corp.,
6.75%, 8/15/01 1,294
----------
TRAVEL AND LEISURE - 1.8%
1,375 Hilton Hotels Corp.,
5.00%, 5/15/06 1,361
----------
WATER SERVICES - 0.9%
700 United States Filter Corp.,
4.50%, 12/15/01 707
----------
Total Convertible Bonds
(cost $27,763) 28,294
----------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INCOME EQUITY FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
COMMON STOCKS - 16.8%
BUILDING MATERIALS - 0.8%
17,900 Masco Corp. $ 640
----------
CHEMICALS AND ALLIED PRODUCTS - 1.8%
12,000 American Home Products Corp. 720
11,600 Bristol-Myers Squibb Co. 684
----------
1,404
----------
COMMUNICATIONS - 1.5%
18,500 Ameritech Corp. 1,138
----------
CONSUMER PRODUCTS - 1.2%
8,000 Philip Morris Cos., Inc. 913
----------
ELECTRONICS AND ELECTRICAL
EQUIPMENT - 1.5%
8,141 Cooper Industries, Inc. 353
18,500 Emerson Electric Co. 833
----------
1,186
----------
FOOD AND BEVERAGES - 1.3%
18,000 ConAgra, Inc. 977
----------
OIL AND GAS - 4.0%
30,611 Ashland, Inc. 1,232
18,000 Consolidated Natural Gas Co. 907
5,200 Royal Dutch Petroleum Co. 910
----------
3,049
----------
PROFESSIONAL SERVICES - 0.8%
13,100 Omnicom Group, Inc. 653
----------
RETAIL - 1.6%
14,500 Costco Cos., Inc. 401
18,500 TJX Cos., Inc. 791
----------
1,192
----------
TRANSPORTATION PARTS AND
EQUIPMENT - 1.8%
6,600 Boeing (The) Co. 651
24,000 Ford Motor Co. 753
----------
1,404
----------
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
UTILITIES - 0.5%
8,800 Northern States Power Co. $ 417
----------
Total Common Stocks
(cost $10,158) 12,973
----------
PRINCIPAL
AMOUNT
(000S)
- ---------
SHORT-TERM INVESTMENTS - 7.5%
$3,117 Banque Brussels Lambert,
Grand Cayman Islands,
6.50%, 4/1/97 3,117
2,690 FHLB Discount Note,
5.48%, 4/1/97 2,690
----------
Total Short-Term Investments
(cost $5,807) 5,807
----------
Total Investments - 99.4%
(cost $72,182) 76,691
Other Assets less Liabilities - 0.6% 411
----------
NET ASSETS - 100.0% $77,102
==========
<F1> 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 March 31,
1997, the value of these securities amounted to approximately $4,421,000
or 5.7% of net assets.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
STOCK INDEX FUND
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
COMMON STOCKS - 93.7%
AGRICULTURE - 0.1%
500 Pioneer Hi-Bred International, Inc. $ 31
----------
APPAREL - 0.1%
400 Liz Claiborne, Inc. 17
400 VF Corp. 27
----------
44
----------
BANKING - 7.3%
600 Ahmanson (H.F.) & Co. 22
2,100 BankAmerica Corp. 212
2,500 Banc One Corp. 99
900 Bank of Boston Corp. 60
2,300 Bank of New York Co., Inc. 85
500 Bankers Trust New York Corp. 41
1,100 Barnett Banks, Inc. 51
2,500 Chase Manhattan Corp. 234
2,700 Citicorp 292
600 Comerica, Inc. 34
1,300 CoreStates Financial Corp. 62
600 Fifth Third Bancorp 47
800 First Bank System, Inc. 58
1,900 First Chicago NBD Corp. 103
1,600 First Union Corp. 130
300 Golden West Financial Corp. 19
800 Great Western Financial Corp. 32
1,300 KeyCorp 63
800 Mellon Bank Corp. 58
1,100 Morgan (J.P.) & Co., Inc. 108
1,300 National City Corp. 61
4,522 NationsBank Corp. 250
2,100 Norwest Corp. 97
1,900 PNC Bank Corp. 76
300 Republic New York Corp. 27
1,300 SunTrust Banks, Inc. 60
900 U.S. Bancorp 48
1,000 Wachovia Corp. 55
500 Wells Fargo & Co. 142
----------
2,626
----------
BITUMINOUS COAL AND LIGNITE SURFACE
MINING - 0.1%
1,400 Houston Industries, Inc. 29
----------
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
BROKERAGE AND FINANCIAL SERVICES - 1.2%
2,700 American Express Co. $ 161
1,500 Fleet Financial Group, Inc. 86
800 Green Tree Financial Corp. 27
1,000 Merrill Lynch & Co., Inc. 86
900 Morgan Stanley Group, Inc. 53
600 Salomon, Inc. 30
----------
443
----------
BUILDING MATERIALS - 0.1%
900 Masco Corp. 32
----------
CHEMICALS AND ALLIED PRODUCTS - 10.0%
4,500 Abbott Laboratories 253
600 Air Products and Chemicals, Inc. 41
400 Allergan, Inc. 12
3,700 American Home Products Corp. 222
1,500 Amgen, Inc. * 84
1,600 Baxter International, Inc. 69
5,800 Bristol-Myers Squibb Co. 342
300 Clorox Co. 34
900 Colgate-Palmolive Co. 90
1,400 Dow Chemical Co. 112
3,300 du Pont (E.I.) de Nemours & Co. 350
500 Eastman Chemical Co. 27
400 Ecolab, Inc. 15
200 FMC Corp. * 12
300 Goodrich (B.F.) Co. 11
500 Grace (W.R.) & Co. 24
400 Great Lakes Chemical Corp. 18
600 Hercules, Inc. 25
600 International Flavors & Fragrances, Inc. 26
3,200 Lilly (Eli) & Co. 263
7,000 Merck & Co., Inc. 590
800 Morton International, Inc. 34
400 Nalco Chemical Co. 15
3,700 Pfizer, Inc. 311
2,900 Pharmacia & Upjohn, Inc. 106
1,100 PPG Industries, Inc. 59
900 Praxair, Inc. 40
400 Rohm & Haas Co. 30
2,100 Schering-Plough Corp. 153
1,000 Sherwin-Williams Co. 27
600 Sigma-Aldrich Corp. 19
700 Union Carbide Corp. 31
1,600 Warner-Lambert Co. 138
----------
3,583
----------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
STOCK INDEX FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
COMMUNICATIONS - 7.3%
2,900 AirTouch Communications, Inc. * $ 67
1,100 Alltel Corp. 36
3,200 Ameritech Corp. 197
9,400 AT&T Corp. 327
2,500 Bell Atlantic Corp. 152
5,800 BellSouth Corp. 245
1,900 Comcast Corp., Class A Special 32
900 Frontier Corp. 16
5,600 GTE Corp. 261
3,700 Lucent Technologies, Inc. 195
400 Mallinckrodt, Inc. 16
4,000 MCI Communications Corp. 143
2,600 NYNEX Corp. 119
2,500 Pacific Telesis Group 94
500 Providian Corp. 27
3,500 SBC Communications, Inc. 184
2,500 Sprint Corp. 114
1,000 Tellabs, Inc. * 36
2,800 U.S. WEST Communications Group 95
3,600 U.S. WEST Media Group * 67
2,100 ViaCom, Inc., Class B * 69
5,000 WorldCom, Inc. * 110
----------
2,602
----------
COMPUTERS AND OFFICE MACHINES - 5.0%
700 Amdahl Corp. * 6
700 Apple Computer, Inc. * 13
1,100 Bay Networks, Inc. * 20
900 Cabletron Systems, Inc. * 26
400 Ceridian Corp. * 14
3,800 Cisco Systems, Inc. * 183
1,600 Compaq Computer Corp. * 123
200 Data General Corp. * 3
1,000 Dell Computer Corp. * 68
900 Digital Equipment Corp. * 25
1,400 EMC Corp. * 50
300 Intergraph Corp. * 2
3,000 International Business Machines Corp. 412
7,000 Microsoft Corp. * 642
900 Pitney Bowes, Inc. 53
1,400 Seagate Technology, Inc. * 63
1,000 Silicon Graphics, Inc. * 19
700 Tandem Computers, Inc. * 8
300 Tandy Corp. 15
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
COMPUTERS AND OFFICE
MACHINES - 5.0% (CONT'D.)
1,000 3Com Corp. * $ 33
1,000 Unisys Corp. * 6
----------
1,784
----------
CONSTRUCTION - 0.2%
700 Dover Corp. 37
1,000 Dresser Industries, Inc. 30
----------
67
----------
CONSUMER PRODUCTS - 5.1%
800 Avon Products, Inc. 42
3,200 Gillette Co. 232
7,700 Johnson & Johnson 407
1,600 Kimberly-Clark Corp. 159
4,700 Philip Morris Cos., Inc. 536
3,900 Procter & Gamble Co. 448
----------
1,824
----------
CREDIT INSTITUTIONS - 0.6%
300 Beneficial Corp. 19
1,900 Dean Witter Discover & Co. 66
600 Household International, Inc. 52
1,950 MBNA Corp. 54
300 MGIC Investment Corp. 21
----------
212
----------
ELECTRONICS AND ELECTRICAL EQUIPMENT - 7.3%
800 Advanced Micro Devices, Inc. * 33
1,300 AMP, Inc. 45
550 Andrew Corp. * 20
1,000 Applied Materials, Inc. * 46
600 Cooper Industries, Inc. 26
700 DSC Communications Corp. * 15
2,600 Emerson Electric Co. 117
9,600 General Electric Co. 953
800 General Instrument Corp. * 18
200 Harris Corp. 15
4,800 Intel Corp. 668
700 ITT Corp. * 41
700 LSI Logic Corp. * 24
600 Maytag Corp. 12
1,200 Micron Technology, Inc. 49
3,400 Motorola, Inc. 205
800 National Semiconductor Corp. * 22
SCHEDULES OF INVESTMENTS MARCH 31, 1997
STOCK INDEX FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
ELECTRONICS AND ELECTRICAL
EQUIPMENT - 7.3% (CONT'D.)
300 National Service Industries, Inc. $ 12
1,500 Northern Telecom Ltd. 98
300 Raychem Corp. 25
400 Scientific-Atlanta, Inc. 6
3,900 Tele-Communications, Inc. * 47
1,100 Texas Instruments, Inc. 82
300 Thomas & Betts Corp. 13
400 Whirlpool Corp. 19
----------
2,611
----------
FOOD AND BEVERAGES - 7.1%
2,900 Anheuser-Busch Cos., Inc. 122
3,200 Archer-Daniels-Midland Co. 57
400 Brown-Forman Corp., Class B 19
2,700 Campbell Soup Co. 125
14,400 Coca-Cola (The) Co. 805
1,400 ConAgra, Inc. 76
200 Coors (Adolph) Co., Class B 4
800 CPC International, Inc. 66
900 General Mills, Inc. 56
2,100 Heinz (H.J.) Co. 83
900 Hershey Foods Corp. 45
1,200 Kellogg Co. 81
4,000 McDonalds Corp. 189
9,000 PepsiCo, Inc. 294
800 Quaker Oats Co. 29
600 Ralston-Ralston Purina Group 47
2,800 Sara Lee Corp. 113
2,200 Seagram (The) Co. Ltd. 84
900 Unilever N.V. 168
1,100 UST, Inc. 31
600 Whitman Corp. 15
700 Wrigley (Wm.) Jr. Co. 41
----------
2,550
----------
GENERAL BUILDING CONTRACTORS - 0.2%
200 Centex Corp. 7
700 Honeywell, Inc. 48
200 Kaufman & Broad Home Corp. 3
----------
58
----------
GLASS, CLAY AND STONE PRODUCTS - 0.2%
1,300 Corning, Inc. 58
----------
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
GLASS, CLAY AND STONE
PRODUCTS - 0.2% (CONT'D.)
900 Newell Co. $ 30
----------
88
----------
HEALTH SERVICES - 1.1%
500 ALZA Corp. * 14
600 Beverly Enterprises, Inc. * 9
3,900 Columbia/HCA Healthcare Corp. 131
400 Guidant Corp. 25
1,800 HEALTHSOUTH Corp. 34
900 Humana, Inc. * 20
400 Manor Care, Inc. 10
1,400 Medtronic, Inc. 87
500 St. Jude Medical, Inc. * 17
1,700 Tenet Healthcare Corp. * 42
----------
389
----------
HEAVY CONSTRUCTION - 0.2%
500 Fluor Corp. 26
200 Foster Wheeler Corp. 7
700 Halliburton Co. 47
----------
80
----------
INDUSTRIAL INSTRUMENTS - 2.3%
300 Bard (C.R.), Inc. 9
300 Bausch & Lomb, Inc. 12
700 Becton, Dickinson & Co. 32
700 Biomet, Inc. 12
1,000 Boston Scientific Corp. * 62
1,900 Eastman Kodak Co. 144
5,900 Hewlett-Packard Co. 314
200 Johnson Controls, Inc. 16
300 Millipore Corp. 13
300 Perkin-Elmer Corp. 19
300 Polaroid Corp. 12
1,400 Raytheon Co. 63
200 Tektronix, Inc. 10
400 United States Surgical Corp. 12
1,900 Xerox Corp., Inc. 108
----------
838
----------
INSURANCE SERVICES - 4.2%
900 Aetna, Inc. 77
2,600 Allstate Corp. 154
1,200 American General Corp. 49
SCHEDULES OF INVESTMENTS MARCH 31, 1997
STOCK INDEX FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
INSURANCE SERVICES - 4.2% (CONT'D.)
2,700 American International Group, Inc. $ 317
600 Aon Corp. 37
1,000 Chubb Corp. 54
400 CIGNA Corp. 58
1,000 Conseco, Inc. 36
500 General Re Corp. 79
700 ITT Hartford Group, Inc. 50
400 Jefferson-Pilot Corp. 22
600 Lincoln National Corp. 32
700 Loews Corp. 62
400 Marsh & McLennan Cos., Inc. 45
300 MBIA, Inc. 29
700 SAFECO Corp. 28
500 St. Paul Cos., Inc. 32
400 Torchmark Corp. 22
400 Transamerica Corp. 36
3,666 Travelers Group, Inc. 176
1,100 United Healthcare Corp. 52
400 UNUM Corp. 29
700 USF&G Corp. 15
200 USLIFE Corp. 9
----------
1,500
----------
JEWELRY AND PRECIOUS METALS - 0.0%
200 Jostens, Inc. 5
----------
LEATHER PRODUCTS - 0.0%
300 Stride Rite Corp. 5
----------
LUMBER AND WOOD PRODUCTS - 0.0%
600 Louisiana-Pacific Corp. 12
----------
MACHINERY - 1.3%
800 Baker Hughes, Inc. 31
500 Black & Decker Corp. 16
200 Briggs & Stratton Corp. 9
600 Brunswick Corp. 16
400 Case Corp. 20
1,100 Caterpillar, Inc. 88
200 Cincinnati Milacron, Inc. 4
200 Cummins Engine Co., Inc. 10
1,500 Deere & Co. 65
300 General Signal Corp. 12
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
MACHINERY - 1.3% (CONT'D.)
200 Giddings & Lewis, Inc. $ 3
300 Harnischfeger Industries, Inc. 14
600 Ingersoll-Rand Co. 26
1,000 Tenneco, Inc. 39
900 Thermo Electron Corp. * 28
200 Timken (The) Co. 11
1,000 Tyco International Ltd. 55
----------
447
----------
MANUFACTURING - 0.1%
300 Alberto-Culver Co., Class B 8
700 ITT Industries, Inc. 16
100 Pulte Corp. 3
----------
27
----------
MERCHANDISE - GENERAL - 0.1%
400 Snap-On, Inc. 16
500 Stanley Works (The) 19
----------
35
----------
METAL MINING - 0.6%
2,100 Barrick Gold Corp. 50
1,300 Battle Mountain Gold Co. 9
500 Cyprus Amax Minerals Co. 12
800 Echo Bay Mines Ltd. 5
1,100 Freeport-McMoRan Copper & Gold,
Inc., Class B 33
900 Homestake Mining Co. 14
1,000 Inco Ltd. 33
600 Newmont Mining Corp. 23
1,400 Placer Dome, Inc. 25
800 Santa Fe Pacific Gold Corp. 13
----------
217
----------
METAL PRODUCTS - 0.2%
1,000 Allegheny Teledyne, Inc. 28
200 Ball Corp. 5
250 Crane Co. 8
300 McDermott International, Inc. 6
400 Parker-Hannifin Corp. 17
----------
64
----------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
STOCK INDEX FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
MORTGAGE AGENCIES - 0.9%
4,100 Federal Home Loan Mortgage Corp. $112
6,300 Federal National Mortgage Association 228
----------
340
----------
OFFICE EQUIPMENT - 0.1%
800 Ikon Office Solutions, Inc. 27
----------
OIL AND GAS - 9.2%
500 Amerada Hess Corp. 27
2,900 Amoco Corp. 251
400 Ashland, Inc. 16
900 Atlantic Richfield Co. 122
700 Burlington Resources, Inc. 30
3,800 Chevron Corp. 265
600 Coastal Corp. 29
300 Columbia Gas System, Inc. 17
600 Consolidated Natural Gas Co. 30
100 Eastern Enterprises 3
1,500 Enron Corp. 57
400 ENSERCH Corp. 8
7,200 Exxon Corp. 776
100 Helmerich & Payne, Inc. 5
300 Kerr-McGee Corp. 19
200 Louisiana Land & Exploration Co. 9
2,300 Mobil Corp. 300
300 NICOR, Inc. 10
800 NorAm Energy Corp. 12
1,900 Occidental Petroleum Corp. 47
200 ONEOK, Inc. 5
600 Oryx Energy Co. * 12
500 Pacific Enterprises 15
900 PanEnergy Corp. 39
300 Pennzoil Co. 16
200 Peoples Energy Corp. 7
1,500 Phillips Petroleum Co. 61
500 Rowan Cos., Inc. * 11
3,100 Royal Dutch Petroleum Co. 543
500 Santa Fe Energy Resources, Inc. * 7
1,400 Schlumberger Ltd. 150
500 Sonat, Inc. 27
400 Sun Co., Inc. 10
1,500 Texaco, Inc. 164
1,469 Union Pacific Resources Group, Inc. 39
1,500 Unocal Corp. 57
1,700 USX - Marathon Group 47
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
OIL AND GAS - 9.2% (CONT'D.)
300 Western Atlas, Inc. * $ 18
900 Williams Cos., Inc. 40
----------
3,301
----------
PACKAGING AND CONTAINER PRODUCTS - 0.1%
700 Crown Cork & Seal Co., Inc. 36
----------
PAPER PRODUCTS - 1.4%
600 Avery Dennison Corp. 23
300 Bemis Co., Inc. 12
300 Boise Cascade Corp. 9
600 Champion International Corp. 27
500 Georgia-Pacific Corp. 36
1,700 International Paper Co. 66
500 James River Corp. 15
300 Mead Corp. 16
2,400 Minnesota Mining & Manufacturing Co. 203
600 Stone Container Corp. 7
300 Temple-Inland, Inc. 16
400 Union Camp Corp. 19
600 Westvaco Corp. 15
1,200 Weyerhaeuser Co. 54
----------
518
----------
PERSONAL SERVICES - 0.5%
600 Block (H&R), Inc. 18
700 HFS, Inc. * 41
1,400 Hilton Hotels Corp. 34
700 Marriott International, Inc. 35
1,400 Service Corp. International 42
300 Willamette Industries, Inc. 19
----------
189
----------
PRINTING AND PUBLISHING - 1.3%
400 American Greetings Corp. 13
500 Deluxe Corp. 16
900 Donnelley (R.R.) & Sons Co. 31
600 Dow Jones & Co., Inc. 24
800 Gannett Co., Inc. 69
200 Harland (John H.) Co. 5
500 Knight-Ridder, Inc. 20
600 McGraw Hill Cos., Inc. 31
300 Meredith Corp. 7
600 Moore Corp. Ltd. 12
SCHEDULES OF INVESTMENTS MARCH 31, 1997
STOCK INDEX FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
PRINTING AND PUBLISHING - 1.3% (CONT'D.)
600 New York Times Co., Class A $ 26
3,300 Time Warner, Inc. 143
600 Times Mirror Co., Class A 33
700 Tribune Co. 28
----------
458
----------
PROFESSIONAL SERVICES - 1.7%
300 Autodesk, Inc. 9
1,700 Automatic Data Processing, Inc. 71
2,100 Computer Associates International, Inc. 82
400 Computer Sciences Corp. * 25
2,300 CUC International, Inc. * 52
2,600 First Data Corp. 88
500 Interpublic Group of Cos., Inc. 26
2,000 Novell, Inc. * 19
3,900 Oracle Corp. * 150
500 Ryder System, Inc. 15
300 Safety-Kleen Corp. 4
100 Shared Medical Systems Corp. 5
2,100 Sun Microsystems, Inc. * 61
----------
607
----------
RECREATION AND LEISURE SERVICES - 1.0%
3,900 Disney (The Walt) Co. 285
400 Harcourt General, Inc. 19
600 Harrah's Entertainment, Inc. * 10
200 King World Productions, Inc. 7
1,600 Mattel, Inc. 38
----------
359
----------
RESEARCH AND CONSULTING SERVICES - 0.2%
1,000 Cognizant Corp. 29
1,000 Dun & Bradstreet (The) Corp. 25
300 EG&G, Inc. 6
----------
60
----------
RETAIL - 4.8%
1,500 Albertson's, Inc. 51
800 American Stores Co. 36
900 AutoZone, Inc. * 20
600 Charming Shoppes, Inc. * 3
600 Circuit City Stores, Inc. 20
600 CVS Corp. 28
900 Darden Restaurants, Inc. 7
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
RETAIL - 4.8% (CONT'D.)
1,300 Dayton-Hudson Corp. $ 54
700 Dillard Department Stores, Inc., Class A 22
1,200 Federated Department Stores, Inc. 39
1,600 Gap, Inc. 54
300 Giant Food, Inc., Class A 10
200 Great Atlantic & Pacific Tea Co., Inc. 5
750 Hasbro, Inc. 21
2,800 Home Depot (The), Inc. 150
2,800 Kmart Corp. * 34
700 Kroger Co. * 36
1,600 Limited, Inc. (The) 29
200 Longs Drug Stores, Inc. 5
1,000 Lowe's Cos., Inc. 37
1,400 May Department Stores Co. 64
200 Mercantile Stores Co., Inc. 9
1,700 Nike, Inc., Class B 105
500 Nordstrom, Inc. 19
1,400 Penney (J.C.) Co., Inc. 67
400 Pep Boys - Manny, Moe & Jack 12
1,200 Price/Costco, Inc. * 33
300 Reebok International Ltd. * 13
700 Rite Aid Corp. 29
2,300 Sears, Roebuck & Co. 116
400 SUPERVALU, Inc. 12
500 TJX Cos., Inc. 21
1,700 Toys "R" Us, Inc. * 48
13,300 Wal-Mart Stores, Inc. 371
1,400 Walgreen Co. 59
800 Wendy's International, Inc. 17
900 Winn-Dixie Stores, Inc. 30
800 Woolworth Corp. * 19
----------
1,705
----------
RUBBER AND PLASTICS - 0.7%
200 Armstrong World Industries, Inc. 13
500 Cooper Tire & Rubber Co. 9
900 Goodyear (The) Tire & Rubber Co. 47
3,400 Monsanto Co. 130
900 Rubbermaid, Inc. 22
400 Tupperware Corp. 13
----------
234
----------
SANITARY SERVICES - 0.4%
1,200 Browning-Ferris Industries, Inc. 35
SCHEDULES OF INVESTMENTS MARCH 31, 1997
STOCK INDEX FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
SANITARY SERVICES - 0.4% (CONT'D.)
1,800 Laidlaw, Inc., Class B $ 25
2,800 Waste Management, Inc. 86
----------
146
----------
SERVICE INDUSTRY MACHINERY - 0.2%
200 Aeroquip-Vickers, Inc. 7
700 Pall Corp. 16
3,500 Westinghouse Electric Corp. 62
----------
85
----------
STEEL PRODUCTS - 0.7%
1,300 Alcan Aluminium Ltd. 44
1,000 Aluminum Co. of America 68
600 Armco, Inc. * 2
200 ASARCO, Inc. 6
600 Bethlehem Steel Corp. * 5
800 Engelhard Corp. 17
300 Inland Steel Industries, Inc. 6
500 Nucor Corp. 23
300 Owens Corning 12
400 Phelps Dodge Corp. 29
400 Reynolds Metals Co. 25
500 USX-U.S. Steel Group 13
600 Worthington Industries, Inc. 11
----------
261
----------
TEXTILES - 0.1%
400 Fruit of the Loom, Inc., Class A * 17
200 Russell Corp. 7
100 Springs Industries, Inc., Class A 4
----------
28
----------
TOBACCO PRODUCTS - 0.1%
1,000 American Brands, Inc. 51
----------
TRANSPORTATION PARTS AND EQUIPMENT - 4.3%
1,600 AlliedSignal, Inc. 114
2,116 Boeing (The) Co. 209
4,100 Chrysler Corp. 123
600 Dana Corp. 20
400 Eaton Corp. 28
400 Echlin, Inc. 14
200 Fleetwood Enterprises, Inc. 5
6,900 Ford Motor Co. 216
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
TRANSPORTATION PARTS AND
EQUIPMENT - 4.3% (CONT'D.)
400 General Dynamics Corp. $ 27
4,400 General Motors Corp. 244
700 Illinois Tool Works, Inc. 57
1,100 Lockheed Martin Corp. * 92
1,200 McDonnell Douglas Corp. 73
400 Navistar International Corp. * 4
300 Northrop Grumman Corp. 23
200 PACCAR, Inc. 13
1,300 Rockwell International Corp. 84
500 Textron, Inc. 53
700 TRW, Inc. 36
1,400 United Technologies Corp. 105
----------
1,540
----------
TRANSPORTATION SERVICES - 1.3%
500 AMR Corp. * 41
900 Burlington Northern Santa Fe Corp. 67
200 Caliber System, Inc. 5
499 Conrail, Inc. 56
1,300 CSX Corp. 60
400 Delta Air Lines, Inc. 34
700 Federal Express Corp. * 36
700 Norfolk Southern Corp. 60
800 Southwest Airlines Co. 18
1,400 Union Pacific Corp. 79
400 USAir Group, Inc. * 10
----------
466
----------
UTILITIES - 2.4%
1,100 American Electric Power Co. 45
900 Baltimore Gas & Electric Co. 24
900 Carolina Power & Light Co. 33
1,200 Central & South West Corp. 26
900 CINergy Corp. 31
1,400 Consolidated Edison Co. of New York, Inc. 42
1,000 Dominion Resources, Inc. 36
800 DTE Energy Co. 21
1,200 Duke Power Co. 53
2,500 Edison International 56
1,300 Entergy Corp. 32
1,100 FPL Group, Inc. 49
700 GPU, Inc. 22
800 Niagara Mohawk Power Corp. * 7
SCHEDULES OF INVESTMENTS MARCH 31, 1997
STOCK INDEX FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
UTILITIES - 2.4% (CONT'D.)
400 Northern States Power Co. $ 19
900 Ohio Edison Co. 19
2,400 Pacific Gas & Electric Co. 56
1,700 PacifiCorp 36
1,300 Peco Energy Co. 26
900 PP&L Resources, Inc. 18
1,400 Public Service Enterprise Group, Inc. 37
3,900 Southern Co. 82
1,300 Texas Utilities Co. 45
1,300 Unicom Corp. 25
600 Union Electric Co. 22
----------
862
----------
WHOLESALE - 0.3%
200 Fleming Cos., Inc. 4
700 Genuine Parts Co. 33
300 Grainger (W.W.), Inc. 22
200 Potlatch Corp. 8
1,000 Sysco Corp. 34
----------
101
----------
Total Common Stocks
(cost $34,833) 33,577
----------
OTHER INVESTMENT - 4.9%
23,200 Standard & Poor's Depository Receipt
Unit Trust, Series: 1
(cost $1,823) 1,751
----------
PRINCIPAL
AMOUNT VALUE
(000S) (000S)
- --------- ------
SHORT-TERM INVESTMENTS - 8.3%
$2,902 Banque Brussels Lambert,
Grand Cayman Islands,
6.50%, 4/1/97 $ 2,902
75 U.S. Treasury Bill,
5.26%, 6/26/97<F1> 74
----------
Total Short-Term Investments
(cost $2,976) 2,976
----------
Total Investments - 106.9%
(cost $39,632) 38,304
Liabilities less Other Assets - (6.9)% (2,464)
----------
NET ASSETS - 100.0% $35,840
==========
OPEN FUTURES CONTRACTS:
Principal Unrealized
Number of Amount Contract Contract Loss
Type Contracts (000s) Position Exp. (000s)
- ----------------------------------------------------------------------------
S&P 500 2 $758 Long 6/97 $35
===
<F1> Security pledged as collateral to cover margin requirements for open
futures contracts.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
GROWTH EQUITY FUND
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
COMMON STOCKS - 96.6%
BANKING - 6.3%
146,700 Banc One Corp. $ 5,831
31,100 Chase Manhattan Corp. 2,912
37,400 Fifth Third Bancorp 2,898
105,200 State Street Corp. 7,298
----------
18,939
----------
BROKERAGE AND FINANCIAL SERVICES - 3.9%
78,100 Merrill Lynch & Co., Inc. 6,707
137,000 Price (T. Rowe), Associates, Inc. 5,086
----------
11,793
----------
CHEMICALS AND ALLIED PRODUCTS - 12.3%
79,300 American Home Products Corp. 4,758
55,500 du Pont (E.I.) de Nemours & Co. 5,883
105,200 Lilly (Eli) & Co. 8,653
117,500 Pfizer, Inc. 9,885
105,800 Sigma-Aldrich Corp. 3,267
56,600 Warner-Lambert Co. 4,896
----------
37,342
----------
COMMUNICATIONS - 1.6%
184,200 ADC Telecommunications, Inc. * 4,950
----------
COMPUTERS AND OFFICE MACHINES - 7.9%
98,600 Diebold, Inc. 3,710
119,950 McAfee Associates, Inc. * 5,308
98,200 Microsoft Corp. * 9,004
132,200 Parametric Technology Corp. * 5,966
----------
23,988
----------
CONSUMER PRODUCTS - 11.9%
39,900 Avon Products, Inc. 2,095
91,300 Gillette Co. 6,631
131,300 Johnson & Johnson 6,942
86,500 Kimberly-Clark Corp. 8,596
45,900 Philip Morris Cos., Inc. 5,238
56,200 Procter & Gamble Co. 6,463
----------
35,965
----------
ELECTRICAL SERVICES - 0.9%
110,900 Wisconsin Energy Corp. 2,717
----------
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
ELECTRONICS AND OTHER ELECTRICAL
EQUIPMENT - 10.0%
179,900 Analog Devices, Inc. * $ 4,048
91,700 General Electric Co. 9,101
79,000 Intel Corp. 10,991
99,200 Motorola, Inc. 5,989
----------
30,129
----------
FOOD AND BEVERAGES - 4.2%
173,300 Coca-Cola (The) Co. 9,683
73,800 Sara Lee Corp. 2,989
----------
12,672
----------
INSURANCE SERVICES - 3.2%
50,600 American International Group, Inc. 5,939
39,000 MBIA, Inc. 3,739
----------
9,678
----------
OIL AND GAS - 10.4%
75,900 Amoco Corp. 6,575
73,300 Exxon Corp. 7,898
32,500 Mobil Corp. 4,245
35,350 Royal Dutch Petroleum Co. 6,186
60,800 Schlumberger Ltd. 6,521
----------
31,425
----------
PROFESSIONAL SERVICES - 3.6%
117,300 Automatic Data Processing, Inc. 4,912
181,500 First Data Corp. 6,148
----------
11,060
----------
RESTAURANTS - 1.7%
173,900 Starbucks Corp. * 5,152
----------
RETAIL - 10.6%
178,200 Cracker Barrel Old Country Store, Inc. 4,655
55,600 Home Depot (The), Inc. 2,975
163,000 Kohl's Corp. * 6,907
230,600 PETsMART, Inc. * 4,670
117,100 Sears, Roebuck and Co. 5,884
165,400 Walgreen Co. 6,926
----------
32,017
----------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
GROWTH EQUITY FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
TRANSPORTATION PARTS AND
EQUIPMENT - 5.0%
110,900 Boeing (The) Co. $ 10,938
115,900 Wisconsin Central Transportation Corp. * 4,085
----------
15,023
----------
U.S. GOVERNMENT AGENCY - 3.1%
261,100 Federal National Mortgage Association 9,432
----------
Total Common Stocks
(cost $245,826) 292,282
----------
PRINCIPAL
AMOUNT
(000S)
- ---------
SHORT-TERM INVESTMENTS - 4.3%
$12,451 Banque Brussels Lambert,
Grand Cayman Islands,
6.50%, 4/1/97 12,451
610 FHLB Discount Note,
6.25%, 4/1/97 610
----------
Total Short-Term Investments
(cost $13,061) 13,061
----------
NUMBER
OF CONTRACTS
- -------------
OPTIONS PURCHASED - 0.1%
99 Call Option on S&P 500
Expiring June 1997 @ $805
(cost $280) 225
----------
Total Investments - 101.0%
(cost $259,167) 305,568
----------
NUMBER VALUE
OF CONTRACTS (000S)
- ------------- ------
OPTIONS WRITTEN - (0.1)%
99 Put Option on S&P 500
Expiring June 1997 @ $805
(Premium received $319) $ (277)
----------
Liabilities less Other Assets - (0.9)% (2,686)
----------
NET ASSETS - 100.0% $302,605
==========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SELECT EQUITY FUND
NUMBER VALUE
OF SHARES (000S)
- ---------- -------
COMMON STOCKS - 96.2%
BANKING - 7.5%
26,500 Banc One Corp. $ 1,053
18,500 Chase Manhattan Corp. 1,732
10,000 Fifth Third Bancorp 775
4,000 First USA, Inc. 169
15,000 State Street Corp. 1,041
-------
4,770
-------
BROKERAGE AND FINANCIAL SERVICES - 2.5%
9,800 Franklin Resources, Inc. 500
30,000 Price (T. Rowe), Associates, Inc. 1,114
-------
1,614
-------
CHEMICALS AND ALLIED PRODUCTS - 18.8%
27,500 Abbott Laboratories 1,543
46,000 Bristol-Myers Squibb Co. 2,714
20,000 du Pont (E.I.) de Nemours & Co. 2,120
22,000 Lilly (Eli) & Co. 1,810
29,000 Merck & Co., Inc. 2,443
16,000 Pfizer, Inc. 1,346
-------
11,976
-------
COMMUNICATIONS - 6.3%
25,000 ADC Telecommunications, Inc. * 672
10,000 Ericsson (L.M.) Telephone Co.
ADR, Class B 338
15,000 Lucent Technologies, Inc. 791
43,500 Newbridge Networks Corp. * 1,245
26,000 Tellabs, Inc. * 939
-------
3,985
-------
COMPUTERS AND OFFICE MACHINES - 11.6%
10,000 Cisco Systems, Inc. * 481
28,500 Diebold, Inc. 1,072
35,000 EMC Corp. * 1,243
14,050 McAfee Associates, Inc. * 622
24,000 Microsoft Corp. * 2,200
30,000 Reynolds & Reynolds Co., Class A 716
24,000 Seagate Technology, Inc. * 1,077
-------
7,411
-------
NUMBER VALUE
OF SHARES (000S)
- ---------- -------
CONSUMER PRODUCTS - 11.0%
25,000 Avon Products, Inc. $1,313
20,000 Johnson & Johnson 1,058
23,000 Philip Morris Cos., Inc. 2,625
17,500 Procter & Gamble Co. 2,013
-------
7,009
-------
ELECTRONICS AND OTHER ELECTRICAL
Equipment - 9.8%
36,000 Analog Devices, Inc. * 810
35,000 General Electric Co. 3,474
14,000 Intel Corp. 1,948
-------
6,232
-------
FOOD AND BEVERAGES - 5.1%
27,000 Coca-Cola (The) Co. 1,509
32,500 Panamerican Beverages, Inc., Class A 1,743
-------
3,252
-------
HEALTH SERVICES - 1.7%
17,000 Medtronic, Inc. 1,058
-------
INSURANCE SERVICES - 6.7%
17,500 American International Group, Inc. 2,054
13,000 MBIA, Inc. 1,246
15,000 Progressive Corp. 958
-------
4,258
-------
MEDICAL PRODUCTS AND EQUIPMENT - 0.7%
30,000 Idexx Laboratories, Inc. * 420
-------
PACKAGING AND CONTAINER PRODUCTS - 1.4%
18,000 Crown Cork & Seal Co., Inc. 929
-------
PERSONAL SERVICES - 0.9%
20,000 Service Corp. International 595
-------
RETAIL - 8.5%
12,000 Consolidated Stores Corp. * 423
15,000 Gap, Inc. 502
18,000 Kohl's Corp. * 763
40,000 PETsMART, Inc. * 810
40,000 Walgreen Co. 1,675
45,000 Wal-Mart Stores, Inc. 1,254
-------
5,427
-------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SELECT EQUITY FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- -------
TRANSPORTATION PARTS AND
EQUIPMENT - 1.7%
30,000 Wisconsin Central Transportation Corp. * $ 1,058
-------
U.S. GOVERNMENT AGENCY - 2.0%
35,000 Federal National Mortgage Association 1,264
-------
Total Common Stocks
(cost $55,297) 61,258
-------
PRINCIPAL
AMOUNT
(000S)
- -------
SHORT-TERM INVESTMENT - 4.0%
$2,525 Banque Brussels Lambert,
Grand Cayman Islands,
6.50%, 4/1/97
(cost $2,525) 2,525
-------
Total Investments - 100.2%
(cost $57,822) 63,783
Liabilities less Other Assets - (0.2)% (106)
-------
NET ASSETS - 100.0% $63,677
========
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND
NUMBER VALUE
OF SHARES (000S)
- ---------- -------
COMMON STOCKS - 96.7%
AEROSPACE - 0.2%
19,700 Aviall, Inc. $ 224
5,100 TransTechnology Corp. 109
-------
333
-------
APPAREL - 1.2%
13,700 Bell Sports Corp. * 74
6,600 Chic By H.I.S., Inc. * 40
24,300 Dexter Corp. 732
7,900 Farah, Inc. * 79
4,300 Garan, Inc. 77
21,200 Kellwood Co. 530
6,100 Movado Group, Inc. 149
9,200 Oxford Industries, Inc. 245
27,200 Phillips-Van Heusen Corp. 323
11,200 Salant Corp. * 47
1,300 Weyco Group, Inc. 60
-------
2,356
-------
ATHLETIC EQUIPMENT - 0.0%
47,100 RDM Sports Group, Inc. * 71
-------
BANKING - 9.7%
3,250 Advantage Bancorp, Inc. 131
13,880 Albank Financial Corp. 505
7,241 Alliance Bancorp, Inc. 210
1,600 American Bank of Connecticut 50
3,250 Anchor Bancorp Wisconsin, Inc. 144
4,440 Andover Bancorp, Inc. 118
23,200 Astoria Financial Corp. 835
6,625 BankAtlantic Bancorp, Inc., Class A 85
1,656 BankAtlantic Bancorp, Inc., Class B 19
12,800 Bankers Corp. 318
7,200 Bay View Capital Corp. 367
5,610 Brenton Banks, Inc. 156
6,600 BSB Bancorp, Inc. 200
4,000 California Financial Holding Co. 116
1,800 Calumet Bancorp, Inc. * 64
5,000 Cathay Bancorp, Inc. 108
3,500 CB Bancshares, Inc. 124
6,200 Centura Banks, Inc. 242
7,800 Citfed Bancorp, Inc. 274
18,300 Coast Savings Financial, Inc. * 725
4,200 Coastal Bancorp, Inc. 108
Number Value
of Shares (000s)
- ---------- ------
BANKING - 9.7% (CONT'D.)
18,750 Commercial Federal Corp. $633
6,600 Community Bank System, Inc. 155
5,200 CPB, Inc. 174
26,037 Downey Financial Corp. 527
5,300 Eagle Financial Corp. 150
3,250 Eastern Bancorp, Inc. 80
8,200 Evergreen Bancorp, Inc. 126
1,900 FFLC Bancorp, Inc. 48
6,400 Fidelity Bankshares, Inc. 128
6,900 First Federal Bancshares of Eau Claire, Inc. 129
3,700 First Federal Capital Corp. 104
10,800 First Federal Financial Bancorp, Inc. 254
3,000 First Federal Financial Corp. of Kentucky 59
2,700 First Federal Savings & Loan Association
of East Hartford 69
4,700 First Financial Caribbean Corp. 125
6,600 First Indiana Corp. 121
4,400 First Palm Beach Bancorp, Inc. 122
7,600 First Republic Bancorp, Inc. * 169
3,800 First Savings Bancorp, Inc. 75
6,920 First Savings Bank, SLA 145
2,550 FirstFed Financial Corp. * 45
1,995 FNB Corp. 49
4,400 GBC Bancorp 144
13,600 Glendale Federal Bank FSB * 313
13,500 Greater New York Savings Bank 233
4,400 Haven Bancorp, Inc. 141
3,750 Home Federal Bancorp. 103
6,600 Horizon Financial Corp. 102
2,000 Interchange Financial Services Corp. 61
6,900 InterWest Bancorp, Inc. 223
1,890 JeffBanks, Inc. 56
4,200 Jefferson Savings Bancorp, Inc. * 120
10,200 Life Bancorp, Inc. 171
18,400 Long Island Bancorp, Inc. 608
4,411 MAF Bancorp, Inc. 172
3,150 Maryland Federal Bancorp, Inc. 111
2,800 MASSBANK Corp. 115
3,900 Medford Savings Bank 96
2,700 Merchants Bancshares, Inc. * 54
9,165 Mid-America Bancorp 183
11,700 ML Bancorp, Inc. 180
6,830 National City Bancorporation * 152
8,233 NBB Bancorp, Inc. 161
14,300 ONBANCorp, Inc. 669
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (continued)
Number Value
of Shares (000s)
- ---------- ------
BANKING - 9.7% (CONT'D.)
3,500 PALFED, Inc. $ 57
2,700 Pennfirst Bancorp, Inc. 37
27,213 Peoples Heritage Financial Group, Inc. 837
2,562 Peoples Holdings Co. 95
5,900 PonceBank 119
4,869 Portsmouth Bank Shares, Inc. 73
8,600 Poughkeepsie Savings Bank, FSB 52
2,700 Progressive Bank, Inc. 68
3,600 Quaker City Bancorp, Inc. * 70
7,700 Queens County Bancorp, Inc. 423
9,700 Reliance Bancorp, Inc. 229
28,900 Riggs National Corp. * 582
26,100 Roosevelt Financial Group, Inc. 568
10,100 Security Capital Corp. 869
2,250 Southwest Bancshares, Inc. 43
24,875 St. Paul Bancorp, Inc. 681
7,000 Sterling Bancorp 105
5,700 Sterling Financial Corp. * 98
16,700 Sumitomo Bank of California 468
4,100 TF Financial Corp. 73
5,700 Triangle Bancorp, Inc. 108
2,875 TriCo Bancshares 74
8,500 US Bancorp 377
5,900 Virginia First Financial Corp. 86
10,019 Webster Financial Corp. 351
1,700 Western Ohio Financial Corp. 36
-------
19,133
-------
BROKERAGE SERVICES AND FINANCIAL
SERVICES - 1.5%
6,700 Advest Group, Inc. * 80
5,700 FFVA Financial Corp. 120
3,600 First Southeast Financial Corp. 36
14,500 Great Financial Corp. 448
3,800 HMN Financial, Inc. * 76
11,400 Insurance Auto Auctions, Inc. * 76
8,650 Interra Financial, Inc. 301
6,100 Interstate/Johnson Lane, Inc. 106
27,400 John Alden Financial Corp. 459
6,200 McDonald & Co. Investments, Inc. 225
600 Northern States Financial Corp. 53
5,300 Ottawa Financial Corp. 111
16,100 PEC Israel Economic Corp. 304
5,500 Southwest Securities Group, Inc. 84
15,700 Standard Financial, Inc. * 358
Number Value
of Shares (000s)
- --------- -------
BROKERAGE SERVICES AND FINANCIAL
SERVICES - 1.5% (CONT'D.)
5,577 York Financial Corp. $ 101
-------
2,938
-------
CHEMICALS AND ALLIED PRODUCTS - 3.9%
3,740 Aceto Corp. 50
7,600 Alpha-Beta Technology, Inc. * 81
11,000 Alpharma, Inc. 151
12,200 ARIAD Pharmaceuticals, Inc. * 74
14,600 Biomira, Inc. * 75
10,500 BioWhittaker, Inc. * 91
11,900 Cambrex Corp. 399
46,100 Carter-Wallace, Inc. 628
14,200 Cellpro, Inc. * 91
19,400 Copley Pharmaceutical, Inc. * 126
19,700 COR Therapeutics, Inc. * 187
13,000 Creative BioMolecules, Inc. * 98
5,075 Cytrx Corp. * 19
14,400 Fuller (H.B.) Co. 702
13,300 Genemedicine, Inc. * 83
35,300 Gensia, Inc. * 141
4,200 Hauser Chemical Research, Inc. * 28
6,300 Immucor, Inc. * 60
16,800 ImmuLogic Pharmaceutical Corp. * 74
16,300 Immune Response Corp. * 137
8,100 ImmunoGen, Inc. * 11
10,500 INCSTAR Corp. * 63
8,600 Learonal, Inc. 194
14,550 Life Technologies, Inc. 382
8,400 LSB Industries, Inc. 37
3,900 MacDermid, Inc. 136
3,600 Melamine Chemicals, Inc. * 40
9,000 Mississippi Chemical Corp. 215
24,500 Mycogen Corp. * 570
5,200 National Sanitary Supply Co. 68
8,600 NCH Corp. 508
14,900 NeXstar Pharmaceuticals, Inc. * 149
12,700 OEC Medical Systems, Inc. * 208
11,300 Petrolite Corp. 668
17,900 Pharmaceutical Resources, Inc. * 49
18,100 Pure Tech International, Inc. * 34
8,800 Quaker Chemical Corp. 141
19,200 Rexene Corp. 257
17,900 Ribi ImmunoChem Research, Inc. * 79
18,500 Roberts Pharmaceutical Corp. * 235
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- -------
CHEMICALS AND ALLIED
PRODUCTS - 3.9% (CONT'D.)
4,700 Syborn Chemicals, Inc. * $ 78
8,200 Tetra Technologies, Inc. * 179
-------
7,596
-------
COMMUNICATIONS - 1.1%
24,400 American Mobile Satellite Corp., Inc. * 275
13,000 American Paging, Inc. * 46
8,000 Atlantic Tele-Network, Inc. * 98
11,500 Broadband Technologies, Inc. * 105
5,500 Centigram Communications Corp. * 55
13,500 CoreComm, Inc. * 196
2,744 HSN, Inc. * 70
29,525 Metrocall, Inc. * 122
2,725 Metrocall, Inc. Rights * 0
17,000 Metromedia International Group, Inc. * 148
7,300 Mosaix, Inc. * 93
21,300 Network Equipment Technologies, Inc. * 288
10,502 Roseville Communications Co. 261
3,700 STM Wireless, Inc., Class A * 26
1,300 Tadiran Ltd. ADR 31
21,400 True North Communications 400
-------
2,214
-------
COMPUTERS AND OFFICE MACHINES - 3.1%
11,900 Advanced Logic Research, Inc. * 112
4,300 Amplicon, Inc. 96
3,300 Applied Voice Technology, Inc. * 41
14,700 Artisoft, Inc. * 46
7,000 Asante Technolgies, Inc. * 28
59,000 AST Research, Inc. * 280
3,300 Astro-Med, Inc. 29
2,600 Banctec, Inc. * 66
13,800 Caere Corp. * 98
19,600 Concurrent Computer Corp. * 47
14,000 Control Data Systems, Inc. * 212
7,200 Crosscomm Co. * 59
37,200 Data General Corp. * 632
4,900 Data Systems & Software, Inc. * 30
7,200 DH Technology, Inc. * 126
11,400 Dynatech Corp. * 342
21,800 Exabyte Corp. * 264
10,200 General Binding Corp. 309
6,900 Genicom Corp. * 30
5,800 GTI Corp. * 33
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
COMPUTERS AND OFFICE
MACHINES - 3.1% (CONT'D.)
10,300 Inacom Corp. * $ 234
48,600 Intergraph Corp. * 377
7,900 Microtouch Systems, Inc. * 156
12,300 MTI Technology Corp. * 46
9,800 Network Peripherals, Inc. * 89
8,900 Par Technology Corp. * 90
8,100 Quixote Corp. 73
7,600 Rainbow Technologies, Inc. * 131
34,400 Sequent Computer Systems, Inc. * 516
13,200 Standard Microsystems Corp. * 137
24,100 Stratus Computer, Inc. * 747
10,100 Streamlogic Corp. 7
6,300 Truevision, Inc. * 15
19,500 Tseng Laboratories, Inc. * 59
3,300 Wandel & Goltermann Technologies, Inc. * 72
26,400 Wang Laboratories, Inc. * 468
-------
6,097
-------
CREDIT INSTITUTIONS - 0.8%
8,400 DVI, Inc. * 93
7,945 Fund American Enterprises Holdings, Inc. 811
10,600 JSB Financial, Inc. 451
16,000 Ryland Group, Inc. 188
-------
1,543
-------
ELECTRICAL SERVICES - 2.4%
5,800 Bangor Hydro-Electric Co. 35
8,600 BayCorp Holdings Ltd. * 71
18,600 Central Hudson Gas & Electric Corp. 611
33,600 Central Maine Power Co. 357
11,800 Central Vermont Public Service Corp. 125
21,700 Eastern Utilities Association 391
4,700 Green Mountain Power Corp. 109
9,800 Interstate Power Co. 285
14,500 Orange and Rockland Utilities, Inc. 513
42,700 Public Service Co. of New Mexico 737
21,600 Sierra Pacific Resources 635
13,000 TNP Enterprises, Inc. 278
15,000 United Illuminating Co. 392
3,800 Unitil Corp. 76
3,000 Upper Penninsula Energy Corp. 55
-------
4,670
-------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (continued)
Number Value
of Shares (000s)
- --------- ------
ELECTRONICS AND ELECTRICAL EQUIPMENT - 5.9%
7,700 Aeroflex, Inc. * $ 27
14,900 Amtech Corp. * 93
10,500 ANADIGICS, Inc. * 284
7,700 Ansaldo Signal N.V. * 52
39,300 ANTEC Corp. * 309
18,800 Applied Magnetics Corp. * 531
4,400 Aydin Corp. * 49
5,200 Bel Fuse, Inc. * 63
2,600 Benchmark Electronics, Inc. * 76
17,400 Brown Group, Inc. 289
16,000 California Microwave, Inc. * 230
24,500 Canadian Marconi Co. * 322
11,700 Compression Laboratories, Inc. * 23
5,500 CTS Corp. 281
28,100 Dallas Semiconductor Corp. 745
2,900 Davel Communications Group, Inc. * 45
13,000 Digital Sound Corp. * 17
12,200 DII Group, Inc. * 300
3,100 Dynamics Corporation of America 118
9,025 Electromagnetic Sciences, Inc. * 168
8,900 Evans & Sutherland Computer Corp. * 220
8,400 Exar Corp. * 137
30,300 Executone Information Systems, Inc. * 81
8,600 Exide Electronics Group, Inc. * 94
23,500 FSI International, Inc. * 264
7,600 Fusion Systems Corp. * 181
4,400 Galileo Electro-Optics Corp. * 24
20,800 General Datacomm Industries, Inc. * 138
12,800 Genlyte Group, Inc. * 139
16,500 Hutchinson Technologies, Inc. * 470
5,800 IEC Electronics Corp. * 46
2,300 Industrial Scientific Corp. * 37
6,700 Intermedia Communications, Inc. * 111
9,600 Jabil Circuit, Inc. * 433
10,200 Kopin Corp. * 142
8,600 Kuhlman Corp. 200
21,700 MagneTek, Inc. * 350
8,600 Micronics Computers, Inc. * 20
7,300 National Presto Industries, Inc. 262
7,200 Netrix Corp. * 19
21,500 Park Electrochemical Corp. 492
26,100 Pioneer Standard Electronics, Inc. 333
22,300 Pittencrieff Communications, Inc. * 79
7,350 Pittway Corp. 356
6,800 Powell Industries, Inc. * 90
NUMBER VALUE
OF SHARES (000S)
- ---------- ------
ELECTRONICS AND ELECTRICAL
EQUIPMENT - 5.9% (CONT'D.)
8,100 QMS, Inc. * $ 33
3,400 Quality Semiconductor, Inc. * 26
8,700 Quickturn Design Systems, Inc. * 139
5,000 Reptron Electonics, Inc. * 102
3,500 Robinson Nugent, Inc. 17
15,600 Royal Appliance Manufacturing Co. * 90
31,200 Silicon Valley Group, Inc. * 671
3,800 Siliconix, Inc. * 93
13,400 Standard Motor Products, Inc. 176
8,000 Stanford Telecommunications, Inc. * 134
8,100 Telco Systems, Inc. * 89
10,400 Thomas Industries, Inc. 244
19,400 United Industrial Corp. 138
5,400 Universal Electronics, Inc. * 24
16,100 Valence Technology, Inc. * 102
3,200 Vertex Communications Corp. * 68
16,700 Windmere Corp. 236
12,800 Wyle Electronics 430
-------
11,552
-------
FOOD AND BEVERAGES - 1.2%
5,600 Bertuccis, Inc. * 33
2,900 Genesee Corp., Class B 117
9,400 Golden Poultry Co., Inc. 120
7,100 J&J Snack Foods Corp. * 91
19,600 Michael Foods, Inc. 203
9,500 Midwest Grain Products, Inc. 114
9,900 Orange-co, Inc. * 77
25,300 Pilgrims Pride Corp. 240
11,000 Riviana Foods, Inc. 190
28,400 Rykoff-Sexton, Inc. 501
13,750 Sanderson Farms, Inc. 225
5,800 Sanfilippo (John B.) & Son, Inc. * 34
1,000 Seaboard Corp. 250
7,800 Stokely U.S.A., Inc. * 10
4,800 Thorn Apple Valley, Inc. * 77
17,900 WLR Foods, Inc. 174
-------
2,456
-------
FOOD AND MANUFACTURING - 0.4%
8,265 Chock Full O'Nuts Corp. * 49
1,900 Farmer Bros. Co. 257
10,100 Imperial Holly Corp. * 119
11,700 Morningstar Group, Inc. * 225
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- -------
FOOD AND MANUFACTURING - 0.4% (CONT'D.)
17,000 Savannah Foods & Industries, Inc. $ 223
13,640 Zapata Corp. * 56
-------
929
-------
FURNITURE AND FIXTURES - 1.1%
13,800 Bassett Furniture Industries, Inc. 331
12,600 Ethan Allen Interiors, Inc. * 548
6,800 Flexsteel Industries, Inc. 82
4,850 Knape & Vogt Manufacturing Co. 79
20,100 La-Z-Boy Chair Co. 688
3,300 LADD Furniture, Inc. 48
17,400 O'Sullivan Industrial Holdings, Inc. * 220
3,100 Pulaski Furniture Corp. 51
6,000 Virco Manufacturing Corp. 97
6,200 Winsloew Furniture, Inc. * 54
-------
2,198
-------
GENERAL BUILDING CONTRACTORS - 1.8%
5,100 Amrep Corp. * 20
5,300 Beazer Homes USA, Inc. * 78
9,100 Cameron Ashley, Inc. * 124
4,600 Christiana Cos., Inc. * 155
7,300 Continental Homes Holding Corp. 121
14,600 Engle Homes, Inc. 124
39,700 Kaufman & Broad Home Corp. 526
26,800 Lennar Corp. 657
20,000 M.D.C. Holdings, Inc. 185
8,100 M/I Schottenstein Homes, Inc. * 83
19,200 Morrison Knudsen Corp. * 202
10,600 Nortek, Inc. * 208
4,100 Perini Corp. * 29
20,600 Schuler Homes, Inc. * 113
30,300 Standard-Pacific Corp. 189
9,800 Thor Industries, Inc. 229
3,400 Turner Corp. * 41
11,000 U.S. Home Corp. * 279
17,800 Webb (Del E.) Corp. 276
-------
3,639
-------
GLASS, CLAY AND STONE PRODUCTS - 1.5%
4,200 Ameron International Corp. 209
25,200 Calmat Co. 444
8,700 Florida Rock Industries, Inc. 285
6,900 Giant Cement Holding, Inc. * 107
Number Value
of Shares (000s)
- --------- -------
GLASS, CLAY AND STONE
PRODUCTS - 1.5% (CONT'D.)
6,600 Green (A.P.) Industries, Inc. $ 59
29,500 Jannock Ltd. 446
26,600 Justin Industries, Inc. 296
5,800 Puerto Rican Cement Co., Inc. 166
18,500 Sola International, Inc. * 428
15,300 Southdown, Inc. 525
-------
2,965
-------
HEALTH SERVICES - 3.9%
6,300 American Healthcorp, Inc. * 72
14,950 American Homepatient, Inc. * 333
16,438 Avatex Corp. * 16
10,015 Block Drug Co., Inc. 441
8,800 Bon-Ton Stores, Inc. * 53
6,800 BRC Holdings, Inc. * 226
22,100 Coastal Physican Group, Inc. * 41
25,700 Coram Healthcare Corp. * 103
16,100 Datascope Corp. * 294
15,400 Faulding, Inc. * 133
22,200 GranCare, Inc. * 189
27,600 Haemonetics Corp. * 490
6,000 Health Management, Inc. * 2
6,511 Healthcare Service Group * 70
20,600 Herbalife International, Inc. 373
39,900 Isolyser Company, Inc. * 190
44,200 Kinetic Concepts, Inc. 630
20,700 Living Centers of America, Inc. * 714
223 Lynx Therapeutics, Inc. * 1
9,900 Matria Healthcare, Inc. * 40
8,200 Maxxim Medical, Inc. * 118
12,300 Mediq, Inc. * 100
17,416 Molecular Biosystems, Inc. * 159
65,200 NovaCare, Inc. * 791
16,040 PerSeptive Biosystems, Inc. * 126
3,900 Rehabcare Group, Inc. * 92
12,800 Renal Treatment Centers, Inc. * 288
15,200 Staff Builders, Inc. * 36
17,000 Summit Care Corp. * 227
50,200 Sun Healthcare Group, Inc. * 722
11,400 Transcend Services, Inc. * 54
45,400 Transitional Hospitals Corp. * 392
23,200 Unilab Corp. * 16
4,500 United American Healthcare Corp. * 20
15,600 Xoma Corp. * 85
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (continued)
NUMBER VALUE
OF SHARES (000S)
- ---------- -------
HEALTH SERVICES - 3.9% (CONT'D.)
5,000 Zoll Medical Corp. * $ 46
-------
7,683
-------
HEAVY CONSTRUCTION - 0.3%
6,100 Apogee Enterprises, Inc. * 22
9,400 Atkinson (G.F.) Co. * 78
8,300 Banister Foundation, Inc. * 100
18,500 Granite Construction, Inc. 381
688 Valley Systems, Inc. 1
-------
582
-------
INDUSTRIAL INSTRUMENTS - 2.9%
28,100 Acuson Co. * 657
14,500 Advanced Technology Laboratories, Inc. * 430
5,300 Analogic Corp. 159
12,700 Circon Corp. * 171
7,400 Coherent, Inc. * 354
10,900 Core Industries, Inc. 158
6,900 CPAC, Inc. * 82
9,450 Cubic Corp. 227
17,400 Daniel Industries, Inc. 237
2,600 Datum, Inc. * 38
10,400 Fisher Scientific International 459
4,700 FLIR Systems, Inc. * 76
8,600 Fluke Corp. 382
7,400 Hach Co. 131
4,500 IFR System, Inc. * 68
4,500 Instron Corp. 55
3,600 Isco, Inc. 29
2,400 JPE, Inc. * 17
2,800 Keithley Instruments, Inc. 22
4,200 Medicus Systems Corp. 27
5,100 Mine Safety Appliances Co. 324
9,000 MTS Systems Corp. 198
7,500 Newport Corp. 68
10,100 Optical Coating Laboratory, Inc. 100
4,500 Polymedica Industries, Inc. * 23
4,200 Primesource Corp. 33
8,900 Protocol Systems, Inc. * 81
534 Starrett (L.S.) Co., Class B 15
18,800 Sunrise Medical, Inc. * 244
6,800 Tech-Sym Corp. * 206
6,600 TSI, Inc. 62
8,100 Watkins-Johnson Co. 184
12,800 Woodward Governor Co. 348
-------
5,665
-------
Number Value
of Shares (000s)
- ---------- -------
INSURANCE SERVICES - 6.1%
4,600 Allcity Insurance Co. * $ 32
16,950 Allied Group, Inc. 585
4,600 American Eagle Group, Inc. 7
3,800 Baldwin & Lyons, Inc., Class B 66
10,800 Berkley (W.R.) Corp. 551
15,800 Capital RE Corp. 673
15,400 Capsure Holdings Corp. * 187
37,300 Citizens Corp. 919
3,700 Donegal Group, Inc. 86
11,300 EMC Insurance Group, Inc. 133
16,300 Enhance Financial Services Group, Inc. 644
14,528 Financial Security Assurance Holdings Ltd. 481
11,400 First American Financial Corp. 425
24,140 Fremont General Corp. * 679
5,300 Gryphon Holdings, Inc. * 76
15,284 Guaranty National Corp. 269
14,000 Harleysville Group, Inc. 455
4,200 Home Beneficial Corp., Class B 160
15,800 Integon Corp. 233
4,900 Intercargo Corp. 47
6,000 Kansas City Life Insurance Co. 407
9,200 Lawyers Title Corp. 179
2,000 Merchants Group, Inc. 38
6,800 Meridian Insurance Group, Inc. 95
3,000 Midland Co. 120
3,800 Nobel Insurance Ltd. 50
11,000 Nymagic, Inc. 210
6,700 Penn Treaty American Corp. * 174
8,100 Pioneer Financial Services, Inc. 204
15,400 Piper Jaffray Cos., Inc. 214
33,300 Presidential Life Corp. 491
3,520 Professionals Insurance Company
Management Group * 88
15,900 PXRE Corp. 407
8,200 RLI Corp. 261
6,000 Seafield Capital Corp. 195
18,200 Sierra Health Services, Inc. * 462
22,500 Sphere Drake Holdings Ltd. 214
6,350 Stewart Information Services Corp. 131
7,050 United Fire & Casualty Co. 217
16,600 United Wisconsin Services, Inc. 427
12,200 Washington National Corp. 340
18,000 Zenith National Insurance Corp. 483
-------
12,115
-------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (continued)
Number Value
of Shares (000s)
- --------- -------
JEWELRY AND PRECIOUS METALS - 0.2%
19,500 Jan Bell Marketing, Inc. * $ 41
9,400 Syratech Corp. * 301
-------
342
-------
LUMBER AND WOOD PRODUCTS - 1.0%
24,000 Chesapeake Corp. 660
8,800 Fibreboard Corp. * 305
14,700 Ply Gem Industries, Inc. 198
13,900 Pope & Talbot, Inc. 191
10,400 Skyline Corp. 228
17,200 T.J. International, Inc. 327
-------
1,909
-------
MACHINERY - 1.5%
9,600 Ampco-Pittsburgh Corp. 116
7,800 Astec Industries, Inc. * 79
3,000 Binks Manufacturing Co. 118
13,500 Commercial Intertech Corp. 152
6,000 DT Industries, Inc. 158
7,800 Furon Co. 166
6,200 Gardner Denver Machinery, Inc. * 147
5,000 Gehl Co. * 53
36,700 Giddings & Lewis, Inc. 546
23,100 Global Industrial Technologies, Inc. * 398
8,200 Katy Industries, Inc. 128
19,400 Kulicke & Soffa Industries, Inc. * 410
7,000 Lufkin Industries, Inc. 151
7,858 Raymond Corp. 218
3,000 Twin Disc, Inc. 71
2,700 Unit Instruments, Inc. * 22
-------
2,933
-------
MANUFACTURING-GENERAL - 1.0%
3,800 Applied Science & Technology, Inc. * 37
6,800 Bairnco Corp. 48
10,000 Chemed Corp. 361
9,300 Elcor Corp. 238
4,200 Fuqua Enterprises, Inc. * 96
10,000 Hunt Manufacturing Co. 178
4,300 LaCrosse Footwear, Inc. 53
6,800 Oil-Dri Corporation of America 111
10,900 Samsonite Corp. * 471
8,000 Superior Surgical Manufacturing Co., Inc. 104
990 Zimmerman Sign Co. * 3
11,800 Zurn Industries, Inc. 286
-------
1,986
-------
Number Value
of Shares (000s)
- --------- -------
METAL PRODUCTS - 0.8%
4,800 Applied Industrial Technology, Inc. $ 168
5,500 Fansteel, Inc. * 37
2,600 General Housewares Corp. 25
6,900 Hardinge, Inc. 179
3,800 International Aluminum Corp. 96
7,100 Maverick Tube Corp. * 126
10,900 Olympic Steel, Inc. * 185
4,500 Pitt-Des Moines, Inc. 132
5,600 Shaw Group, Inc. * 128
3,700 SPS Technologies, Inc. * 250
5,950 Varlen Corp. 116
26,603 WHX Corp. * 180
-------
1,622
-------
MINING - 2.0%
101,400 Amax Gold, Inc. * 684
13,500 Ashland Coal, Inc. 331
7,000 Basin Exploration, Inc. * 48
125,900 Campbell Resources, Inc. * 94
11,300 Cleveland Cliffs, Inc. 477
21,900 Coeur D'Alene Mines Corp. 356
51,100 Hecla Mining Co. * 300
17,300 HS Resources, Inc. * 199
71,500 Meridian Gold, Inc. * 331
12,600 MK Gold Co. * 22
18,301 Nord Resources Corp. * 69
42,000 Pegasus Gold, Inc. * 341
4,200 Penn Virginia Corp. 186
143,300 Royal Oak Mines, Inc. * 457
22,000 Vista Gold Corp. * 19
6,938 Zemex Corp. * 47
-------
3,961
-------
MISCELLANEOUS INVESTING INSTITUTIONS - 1.4%
10,900 Acceptance Insurance Cos., Inc. * 203
5,190 Cenfed Financial Corp. 173
9,178 CFX Corp. 155
3,300 Dime Financial Corp. 59
5,200 FFY Financial Corp. 133
7,600 First Essex Bancorp, Inc. 112
4,800 First Liberty Financial Corp. 102
4,500 First Northern Capital Corp. 86
1,800 First State Corp. 53
4,000 Indiana Federal Corp. 105
900 Lynch Corp. * 87
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (CONTINUED)
Number Value
of Shares (000s)
- --------- -------
MISCELLANEOUS INVESTING
INSTITUTIONS - 1.4% (CONT'D.)
4,700 Norwich Financial, Inc. $ 88
15,700 RCSB Financial, Inc. 471
8,200 Security-Connecticut Corp. 370
6,100 St. Francis Capital Corp. 180
6,500 T R Financial Corp. 236
3,900 Westerfed Financial Corp. 78
-------
2,691
-------
NATURAL GAS TRANSMISSION - 1.0%
2,300 EnergyNorth, Inc. 50
11,500 NUI Corp. 237
3,700 Pennsylvania Enterprises, Inc. 166
9,500 Piedmont Natural Gas Co. 219
5,700 Providence Energy Corp. 101
10,950 Southern Union Co. * 250
26,600 Southwest Gas Corp. 462
32,000 Western Gas Resources, Inc. 577
-------
2,062
-------
OIL AND GAS - 3.1%
3,010 American Exploration Co. * 34
4,300 Atwood Oceanics, Inc. * 267
11,400 Belden & Blake Corp. * 295
5,900 Callon Petroleum Co. * 95
12,100 Chieftain International, Inc. * 240
6,200 Cliffs Drilling Co. * 368
9,200 Connecticut Energy Corp. 206
3,000 Crystal Oil Co. * 104
4,200 Edisto Resources Corp. * 41
2,200 GulfMark InternationaI, Inc. * 147
3,200 Howell Corp. 44
27,100 Marine Drilling Cos., Inc. * 481
6,200 Norex America, Inc. * 284
98,900 Numac Energy, Inc. * 433
6,800 PetroCorp, Inc. * 58
18,800 Pool Energy Services Co. * 277
102,000 Ranger Oil Ltd. 969
14,100 RPC, Inc. * 203
4,700 Serv-Tech, Inc. * 26
31,500 Snyder Oil Corp. 508
16,500 Stolt Comex Seaway S.A. * 334
4,640 Swift Energy Co. * 110
12,000 Tuboscope Vetco International Corp. * 164
13,600 Unit Corp. * 122
Number Value
of Shares (000s)
- --------- --------
OIL AND GAS - 3.1% (CONT'D.)
9,700 USX-Delhi Group $ 133
8,700 Wiser Oil Co. 153
-------
6,096
-------
PAPER PRODUCTS - 0.1%
5,300 Nashua Corp. * 64
11,900 Paragon Trade Brands, Inc. * 199
-------
263
-------
PERSONAL SERVICES - 0.8%
5,500 Bally's Grand, Inc. * 204
6,000 Boomtown, Inc. * 43
9,700 Harveys Casino Resorts 147
19,900 Marcus Corp. 435
19,500 President Casino's, Inc. * 14
22,300 Prime Hospitality Corp. * 348
21,200 Rio Hotel & Casino * 297
8,200 Sholodge, Inc. * 105
-------
1,593
-------
PETROLEUM PRODUCTS - 0.5%
11,500 Coho Energy, Inc. * 83
3,300 Crown Central Petroleum Corp., Class B * 40
66,600 E-Z Serve Corp. * 58
11,500 Giant Industries, Inc. 142
25,900 Tesoro Petroleum Corp. * 272
33,600 Total Petroleum (North America) Ltd. 353
-------
948
-------
PRINTING AND PUBLISHING - 1.6%
14,200 American Business Products, Inc. 341
17,600 Bowne & Co., Inc. 477
10,000 CSS Industries, Inc. * 299
16,300 Gibson Greetings, Inc. * 338
13,600 Golden Books Family Entertainment, Inc. * 126
11,400 Graphic Industries, Inc. 131
25,200 Standard Register Co. 825
3,200 T/SF Communications Corp. * 86
28,750 World Color Press, Inc. * 586
-------
3,209
-------
PROFESSIONAL SERVICES - 4.6%
39,700 Allwaste, Inc. * 328
16,700 Banyan Systems, Inc. * 34
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (continued)
Number Value
of Shares (000s)
- --------- ------
PROFESSIONAL SERVICES - 4.6% (CONT'D.)
12,200 BE Aerospace, Inc. * $299
37,200 Borland International, Inc. * 265
9,000 Cerplex Group, Inc. * 3
2,000 Comnet Corp. * 17
4,800 Computer Data Systems, Inc. 145
6,100 Cyberonics, Inc. * 31
10,500 Cyrk, Inc. * 129
3,800 Dataware Technologies Co. * 14
6,800 Encore Wire Corp. * 124
7,100 Envoy Corp. * 166
23,400 Gerber Scientific, Inc. 363
900 Grey Advertising, Inc. 242
10,700 Group Technologies Corp. * 11
27,600 Information Resources, Inc. * 373
23,600 Integrated Health Services, Inc. 690
19,900 Interim Services, Inc. * 774
9,200 Interleaf, Inc. * 14
5,600 Isomedix, Inc. * 71
25,000 Kenetech Corp. * 1
9,000 Labone, Inc. 149
7,300 Lasermaster Technologies, Inc. * 28
4,300 MTL, Inc. * 104
28,070 National Auto Credit, Inc. * 260
10,400 Netframe Systems, Inc. * 18
15,400 Network Computing Devices, Inc. * 164
27,000 OHM Corp. * 213
9,700 ParcPlace-Digitalk, Inc. * 15
13,400 Pharmaceutical Marketing Services, Inc. * 131
8,600 Pinkerton's, Inc. * 221
27,700 Primark Corp. * 658
9,400 Prime Medical Services, Inc. * 92
10,900 Protein Design Laboratories, Inc. * 327
20,200 Retix Co. * 80
47,000 Rollins Truck Leasing Corp. 623
26,500 Santa Cruz Operation, Inc. * 166
6,700 State of the Art, Inc. * 65
8,700 Syquest Technology, Inc. * 22
16,300 Telxon Corp. 249
3,600 Treadco, Inc. 32
10,300 Tricord Systems, Inc. * 6
3,000 Union Corp. * 65
10,800 Viewlogic Systems, Inc. * 151
6,200 Volt Information Sciences, Inc. * 294
9,900 Walker Interactive Systems * 123
9,300 Wall Data, Inc. * 148
Number Value
of Shares (000s)
- --------- -------
PROFESSIONAL SERVICES - 4.6% (CONT'D.)
5,300 White River Corp. * $ 357
11,800 Xircom Co. * 177
-------
9,032
-------
PROFESSIONAL SPORTS - 0.2%
30,400 Ascent Entertainment Group, Inc. * 323
-------
REAL ESTATE - 0.6%
8,700 Ambassador Apartments, Inc. 218
6,400 Avatar Holdings, Inc. * 215
2,300 Cardinal Realty Services, Inc. * 62
5,000 Felcor Suite Hotels, Inc. 184
15,100 NVR, Inc. * 228
16,100 Winston Hotels, Inc. 207
-------
1,114
-------
RECREATIONAL - 0.6%
9,800 Cinergi Pictures Entertainment, Inc. * 13
5,900 Coastcast Corp. * 77
7,500 Lodgenet Entertainment Corp. * 79
17,107 Mattel, Inc. 411
5,200 Meridian Sports, Inc. * 5
20,100 Outboard Marine Corp. 254
15,200 Showboat, Inc. 300
7,000 Video Lottery Technologies, Inc. * 34
-------
1,173
-------
RECREATIONAL SERVICES - 0.9%
3,500 AMC Entertainment, Inc. * 68
13,800 American Classic Voyages Co. 141
5,600 American Recreation Centers, Inc. 46
45,900 Aztar Corp. * 327
5,500 Carmike Cinemas, Inc. * 157
180,000 Cineplex Odeon Corp. * 270
8,500 GC Cos., Inc. * 334
18,000 Hollywood Park, Inc. * 232
8,300 Iwerks Entertainment, Inc. * 38
9,300 Jackpot Enterprises, Inc. 93
7,800 Mikohn Gaming Corp. 34
13,600 Starsight Telecast Co. * 96
-------
1,836
-------
RESEARCH AND CONSULTING SERVICES - 1.0%
99 Alpha 1 Biomedicals, Inc. * 0
15,200 Cell Genesys, Inc. * 93
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (continued)
Number Value
of Shares (000s)
- --------- -------
RESEARCH AND CONSULTING
SERVICES - 1.0% (CONT'D.)
3,100 Continental Can, Inc. * $ 49
21,500 Dames & Moore, Inc. 280
4,300 Failure Group, Inc. * 20
11,900 Nichols Research Corp. * 196
22,700 Oncogene Science, Inc. * 145
36,300 Scios, Inc. * 247
10,500 SpaceLabs Medical, Inc. * 211
14,900 Stone & Webster, Inc. 548
4,500 Tracor, Inc. * 105
6,483 URS Corp. * 64
-------
1,958
-------
RETAIL - 6.8%
16,400 Aldila, Inc. * 77
26,000 AnnTaylor Stores Corp. * 530
14,200 Baker (J.), Inc. 128
8,600 Bell Microproducts, Inc. * 105
23,300 Best Products, Inc. * 0
11,500 Bindley Western Industries, Inc. 216
9,900 Blair Corp. 157
5,000 Brookstone, Inc. * 46
6,800 Brothers Gourmet Coffees, Inc. * 18
53,600 Burlington Coat Factory Warehouse Co. * 965
6,800 Buttrey Food & Drug Stores Co. * 67
34,200 BT Office Products International, Inc. * 265
10,900 Caldor Corp. * 22
7,606 Carr-Gottstein Foods Co. * 38
15,100 Carson Pirie Scott & Co. * 466
29,000 Cash America International, Inc. 283
5,000 Catherines Stores Corp. * 24
107,100 Charming Shoppes, Inc. * 576
6,600 Chart House Enterprises, Inc. * 35
52,900 Checkers Drive-In Restaurants, Inc. * 79
3,600 Crown Books Corp. * 43
6,100 Davco Restaurants, Inc. * 58
7,300 Delchamps, Inc. 176
12,000 Designs, Inc. * 68
22,400 Dress Barn, Inc. * 378
8,500 Drug Emporium, Inc. * 41
17,700 Duty Free International, Inc. 259
15,400 Eagle Hardware & Garden, Inc. * 277
14,500 Edison Brothers Stores, Inc. * 8
18,100 Egghead, Inc. * 81
8,000 Ernst Home Center, Inc. * 0
3,900 Fabri-Centers of America, Inc., Class A * 73
Number Value
of Shares (000s)
- --------- -------
RETAIL - 6.8% (CONT'D.)
3,900 Fabri-Centers of America, Inc., Class B * $ 71
20,700 Filene's Basement Corp. * 140
47,500 Fingerhut Cos., Inc. 665
7,341 Frisch's Restaurants, Inc. 108
32,500 Furniture Brands International, Inc. * 488
24,504 General Host Corp. * 89
14,000 Good Guys, Inc. * 96
8,000 Gottschalks, Inc. * 46
17,000 Grossmans, Inc. * 4
8,700 Haggar Corp. 122
8,800 Haverty Furniture, Inc. 101
8,800 Helen of Troy Ltd. * 209
8,300 Hi-Lo Automotive, Inc. * 29
7,655 Hills Stores Co. * 33
8,500 Intertan, Inc. * 34
4,800 Jacobson Stores, Inc. 36
19,500 Jumbosports, Inc. * 107
4,900 Krystal Co. * 25
16,500 Lechters, Inc. * 60
9,700 Lillian Vernon Corp. 136
23,500 Michaels Stores, Inc. * 432
24,900 Musicland Stores Corp. * 31
6,500 Noodle Kidoodle, Inc. * 20
8,100 One Price Clothing Stores, Inc. * 33
3,700 Oshman's Sporting Goods, Inc. * 17
15,800 Payless Cashways, Inc. * 30
10,500 Piccadilly Cafeterias, Inc. 95
10,100 Rally's Hamburgers, Inc. * 37
50,000 Ryan's Family Steak Houses, Inc. * 391
3,200 Schultz Sav-o Stores, Inc. 54
3,300 Seaman Furniture, Inc. * 63
8,400 Shoe Carnival, Inc. * 43
32,800 Shopko Stores, Inc. 492
7,950 Showbiz Pizza Time, Inc. * 139
20,000 Sizzler International, Inc. * 50
4,725 Smith's Food & Drug Centers, Inc., Class B 162
4,400 Sport Supply Group, Inc. * 26
16,500 Stant Corp. 241
4,500 Strawbridge & Clothier, Class A 79
11,300 Sun Television & Appliance, Inc. 23
8,200 Swiss Army Brands, Inc. * 103
17,200 Syms Corp. * 157
16,300 Taco Cabana, Inc., Class A * 75
9,400 Tandycrafts, Inc. * 40
25,500 TCBY Enterprises, Inc. 137
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (continued)
Number Value
of Shares (000s)
- --------- -------
RETAIL - 6.8% (CONT'D.)
13,100 TPI Enterprises, Inc. * $ 2
5,800 Trak Auto Corp. * 62
7,900 United Retail Group, Inc. * 36
7,720 United Stationers, Inc. * 154
30,800 Value City Department Stores, Inc. * 253
17,200 Venture Stores, Inc. * 33
9,300 Vicorp Restaurants, Inc. * 118
34,300 Waban, Inc. * 955
4,600 Wolohan Lumber Co. 55
36,000 Zale Corp. * 661
-------
13,457
-------
RUBBER AND PLASTICS - 0.7%
27,400 ACX Technologies, Inc. * 527
10,200 Blessings Corp. 101
5,000 China Tire Holdings Ltd. 39
4,840 Essef Corp. * 97
10,800 Gundle/SLT Environmental, Inc. * 81
11,600 Sealright Co., Inc. 120
9,550 Tredegar Industries, Inc. 386
8,400 Uniroyal Technology Corp. * 24
5,400 Versa Technologies, Inc. 73
-------
1,448
-------
SANITARY SERVICES - 0.4%
3,800 Allied Waste Industries, Inc. * 30
5,200 American Ecology Corp. * 8
8,426 Fluor Daniel GTI, Inc. * 63
6,675 International Technology Corp. * 46
10,500 Kaiser Ventures, Inc. * 108
8,900 Layne Christensen Co. * 142
16,100 Mid-American Waste Systems, Inc. * 0
36,608 Omega Environmental, Inc. * 30
60,700 Rollins Environmental Services, Inc. * 167
6,300 Sevenson Environmental Services, Inc. * 96
4,600 TRC Cos., Inc. * 18
-------
708
-------
SERVICE INDUSTRY MACHINERY - 0.3%
5,400 Edelebrock Corp. * 103
3,600 ICO, Inc. * 21
8,700 Mestek, Inc. * 141
9,200 Scotsman Industries, Inc. 258
-------
523
-------
Number Value
of Shares (000s)
- --------- -------
SOCIAL SERVICES - 0.6%
4,400 Arbor Health Care Co. * $ 112
9,300 Berlitz International, Inc. * 208
29,600 Mariner Health Group, Inc. * 261
19,000 National Education Corp. * 240
37,000 Physician Corporation of America * 171
17,000 Regency Health Services, Inc. * 180
-------
1,172
-------
STEEL PRODUCTS - 3.1%
11,900 Acme Metals, Inc. * 186
8,000 Amcast Industrial Corp. 187
31,000 Birmingham Steel Corp. 543
16,100 Brush Wellman, Inc. 292
25,200 Chaparral Steel Co. 309
4,900 Curtiss-Wright Corp. 262
7,800 Gibraltar Steel Corp. 156
14,200 Handy & Harman Co. 213
4,950 Independence Holding Co. 35
8,600 Insteel Industries, Inc. 70
3,100 Laclede Steel Co. * 13
15,400 Lone Star Technologies, Inc. * 293
14,700 Lukens, Inc. 248
15,900 Mueller Industries, Inc. * 622
6,100 National Steel Corp., Class B * 47
3,900 New Jersey Steel Corp. * 20
7,000 Oregon Metallurgical Corp. * 126
25,400 Oregon Steel Mills, Inc. 441
13,200 Quanex Corp. 332
10,500 Reliance Steel & Aluminum Co. 310
7,850 Roanoke Electric Steel Corp. 116
12,700 Shiloh Industries, Inc. * 181
4,600 Steel of West Virginia, Inc. * 30
12,500 Steel Technologies, Inc. 141
22,800 Texas Industries, Inc. 627
12,800 Tyler Corp. * 20
33,700 UNR Industries, Inc. 252
43,600 Weirton Steel Corp. * 119
-------
6,191
-------
TEXTILES - 1.2%
9,400 Angelica Corp. 173
5,100 Chemfab Corp. * 92
7,400 Crown Crafts, Inc. 85
24,400 Delta Woodside Industries, Inc. 162
11,400 Dixie Yarns, Inc. * 73
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (continued)
Number Value
of Shares (000s)
- --------- --------
TEXTILES - 1.2% (CONT'D.)
10,400 Dyersburg Corp. $ 75
6,000 Fab Industries, Inc. 168
9,400 Fieldcrest Cannon, Inc. * 149
29,500 Griffon Corp. * 354
14,600 Guilford Mills, Inc. 440
6,300 Johnstown American Industries, Inc. * 20
4,500 Oneita Industries, Inc. * 6
30,000 Tultex Corp. * 233
13,300 Unifirst Corp. 259
11,500 Worldtex, Inc. * 80
-------
2,369
-------
TOBACCO PRODUCTS - 0.3%
3,800 American Filtrona Corp. 167
4,500 Culbro Corp. * 422
-------
589
-------
TRANSPORTATION PARTS AND EQUIPMENT - 2.9%
18,400 AAR Corp. 552
23,000 Arvin Industries, Inc. 538
14,400 Avondale Industries, Inc. * 248
13,100 Brilliance China Automotive Holdings Ltd. 72
5,300 Durakon Industries, Inc. * 60
10,900 Excel Industries, Inc. 222
35,800 Federal-Mogul Corp. 882
14,000 Greenbrier, Inc. 126
13,700 Huffy Corp. 188
26,550 Interpool, Inc. 408
6,600 Molecular Dynamics, Inc. * 97
16,700 MotivePower Industries, Inc. * 182
31,500 Orbital Sciences Corp. * 434
5,200 R & B, Inc. * 39
25,800 Rohr, Inc. * 445
8,300 SPX Corp. 377
17,200 Standard Products Co. 400
7,800 Todd Shipyards Corp. * 43
18,500 UNC, Inc. * 264
8,900 Walbro Corp. 157
-------
5,734
-------
TRANSPORTATION SERVICES - 4.4%
22,500 Airborne Freight Corp. 675
13,800 Alaska Air Group, Inc. * 354
5,000 Allied Holdings, Inc. * 34
11,600 Amtran, Inc. * 97
Number Value
of Shares (000s)
- --------- -------
TRANSPORTATION SERVICES - 4.4% (CONT'D.)
4,900 Anuhco, Inc. * $ 37
27,700 APL Ltd. 582
20,200 Arkansas Best Corp. 104
3,300 Builders Transport, Inc. * 12
5,500 Celadon Group, Inc. * 58
8,000 Florida East Coast Industries, Inc. 784
16,600 Frozen Food Express Industries, Inc. 156
2,500 FRP Properties, Inc. * 63
4,900 Great Lakes Aviation Ltd. * 6
58,400 Greyhound Lines, Inc. * 248
15,900 Harper Group Co. 348
38,800 Hunt (J.B.) Transportation Services, Inc. 538
3,125 International Shipholding Corp. 54
3,300 KLLM Transport Services, Inc. * 36
12,100 M.S. Carrier Co. * 205
8,200 Maritrans, Inc. 50
1,900 Marten Transport Ltd. * 24
5,700 Matlack Systems, Inc. * 36
30,300 Mesa Airlines, Inc. * 185
18,600 Offshore Logistics, Inc. * 298
3,000 Oglebay Norton Co. 123
6,400 Old Dominion Freight Line, Inc. * 79
43,600 OMI Corp. * 425
37,050 Overseas Shipholding Group, Inc. 634
6,200 PS Group, Inc. * 87
9,000 Railtex, Inc. * 150
10,500 Skywest, Inc. 137
14,500 Tower Air, Inc. 40
3,700 Trism, Inc. * 12
25,800 USFreightways Corp. 667
38,850 Werner Enterprises, Inc. 727
28,700 Yellow Corp. * 534
-------
8,599
-------
WATER SUPPLY - 0.8%
6,600 Aquarian Co. 180
4,200 California Water Service Co. 164
9,100 Consumers Water Co. 152
7,300 E'Town Corp. 222
3,200 SJW Corp. 159
7,600 Southern California Water Co. 167
35,268 United Water Resources, Inc. 604
-------
1,648
-------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (continued)
Number Value
of Shares (000s)
- --------- -------
WHOLESALE - 3.3%
4,600 AM International, Inc. * $ 17
4,600 Atchison Casting Corp. * 89
19,400 Banner Aerospace, Inc. * 146
9,656 Bell Industries, Inc. * 174
11,400 BMC West Corp. * 131
15,400 Commercial Metals Co. 441
8,000 Cygne Designs, Inc. * 5
5,900 Deckers Outdoor Corp. * 41
18,300 Ekco Group, Inc. 92
8,200 Getty Petroleum Corp. 168
13,400 Graham-Field Health Products, Inc. * 146
35,400 Handleman Co. * 252
10,700 Hughes Supply, Inc. 349
9,700 IGEN, Inc. * 51
34,400 Intelligent Electronics, Inc. 116
19,200 International Multifoods Corp. 394
18,400 Marshall Industries Co. * 580
21,800 Merisel, Inc. * 46
14,600 Microage, Inc. * 197
7,000 Morgan Products Ltd. Co. * 54
11,100 Nash-Finch Co. 212
11,600 NBTY, Inc. * 175
19,600 Noel Group, Inc. * 127
3,500 Noland Co. 75
31,700 Owens & Minor, Inc. Holding Co. 361
23,800 Pulte Corp. 696
7,200 Rentrak Corp. * 20
15,700 Rexel, Inc. * 285
9,400 Richardson Electronics Ltd. 69
13,200 Russ Berrie & Co., Inc. 309
16,700 Sciclone Pharmaceuticals, Inc. * 110
16,100 Shaman Pharmaceuticals, Inc. * 83
4,500 Software Spectrum, Inc. * 71
7,546 Standard Commercial Corp. * 135
8,900 Sullivan Dental Products, Inc. 130
10,500 Syncor International Corp. * 95
7,000 Vallen Corp. * 109
-------
6,551
-------
Total Common Stocks
(cost $171,604) 190,775
-------
Number Value
of Shares (000s)
- --------- -------
WARRANTS - 0.0%
255 Millicom American Satellite,
Exp. 6/30/99 * $ 0
23 Perseptive Biosystem, Inc., Exp. 9/11/03 * 0
27 Royce Laboratories, Inc., Exp. 1998 * 0
18 Sound Advice, Inc., Exp. 6/14/99 * 0
90 Stevens International, Inc., Exp. 10/30/97 * 0
240 Unitrode Corp., Exp. 8/21/97 * 2
32 Valley Systems, Inc., Exp. 1998 * 0
50 Xytronyx, Inc., Class B, Exp. 8/11/01 * 0
10 York Resh Corp., Class B, Exp. 5/1/97 * 0
6 York Resh Corp., Class C, Exp. 9/30/98 * 0
-------
Total Warrants
(cost $0) 2
-------
OTHER - 0.0%
10,000 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
-------
Total Other
(cost $0) 0
-------
Principal
Amount
(000s)
- ---------
SHORT-TERM INVESTMENTS - 3.3%
$6,063 Banque Brussels Lambert,
Grand Cayman Islands,
6.50%, 4/1/97 6,063
99 Societe Generale, Paris, France,
10.00%, 4/1/97 99
SCHEDULES OF INVESTMENTS MARCH 31, 1997
SMALL CAP FUND (continued)
Principal
Amount Value
(000s) (000s)
- --------- --------
SHORT-TERM
INVESTMENTS - 3.3% (CONT'D.)
$250 U.S. Treasury Bill,
5.19%, 6/26/97<F1> $ 247
-------
Total Short-Term Investments
(cost $6,409) 6,409
-------
Total Investments - 100.0%
(cost $178,013) 197,186
Liabilities less Other Assets - 0.0% (73)
-------
NET ASSETS - 100.0% $197,113
========
OPEN FUTURES CONTRACTS:
Principal Unrealized
Number of Amount Contract Contract Loss
Type Contracts (000s) Position Exp. (000s)
- ---------------- --------- ------ --------- ----- ------
Russell 2000 15 $2,587 Long 6/97 $178
S&P/Barra Value 15 2,925 Long 6/97 151
-----
$329
=====
<F1> Security pledged as collateral to cover margin requirements for open
futures contracts.
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERNATIONAL GROWTH EQUITY FUND
Number Value
of Shares (000s)
- --------- ------
COMMON STOCKS - 92.9%
ARGENTINA - 0.4%
25,000 Telefonos de Argentina ADR $ 734
-------
AUSTRALIA - 3.0%
700,000 Foster's Brewing Group Ltd. 1,449
375,000 News Corp. Ltd. 1,749
270,000 Western Mining Holding Corp. Ltd. 1,706
-------
4,904
-------
AUSTRIA - 0.7%
8,000 VA Technologies A.G. 1,185
-------
BRAZIL - 0.7%
11,000 Telebras ADR 1,126
-------
CZECH REPUBLIC - 0.6%
120,000 Czechoslovakia & Slovak
Investment Corp. 1,030
8,000 Czechoslovakia & Slovak
Investment Corp. Warrants 6
-------
1,036
-------
FINLAND - 0.4%
12,000 Nokia Corp. ADR 699
-------
FRANCE - 8.5%
19,000 Alcatel Alsthom S.A. 2,289
15,000 Cie Generale des Eaux S.A. 2,039
22,000 Elf Aquitaine S.A. 2,255
30,000 Lafarge S.A. 2,078
75,000 Lagardere S.C.A. 2,425
19,000 Lyonnaise des Eaux S.A. 1,941
30,000 Rhone-Poulenc S.A., Class A 1,014
-------
14,041
-------
GERMANY - 6.7%
65,000 Commerzbank A.G. 1,870
21,000 Daimler-Benz A.G. 1,679
40,000 Deutsche Telekom A.G. ADR 875
40,000 Deutsche Telekom A.G. 918
45,000 Siemens A.G. 2,425
30,000 VEBA A.G. 1,698
3,000 Volkswagen A.G. 1,658
-------
11,123
-------
Number Value
of Shares (000s)
- --------- -------
HONG KONG - 2.5%
230,000 China Light & Power Co. $1,012
230,000 Hutchison Whampoa Ltd. 1,729
375,000 Wharf Holdings Ltd. 1,435
-------
4,176
-------
INDIA - 0.4%
35,000 Videsh Sanchar Nigam Ltd.<F1> 618
-------
INDONESIA - 0.8%
50,000 PT Indosat ADR 1,338
-------
ITALY - 2.9%
95,000 Assicurazioni Generali 1,663
350,000 ENI S.p.A. 1,778
300,000 Stet Societa Finanziaria Telefonica S.p.A. 1,311
-------
4,752
-------
JAPAN - 29.0%
265,000 Asahi Bank 1,665
100,000 Bank of Tokyo Mitsubishi 1,559
70,000 Canon, Inc. 1,498
21,000 CMK Corp. 207
100,000 Eisai Ltd. 1,712
20,000 FamilyMart 754
25,000 Forval Corp. 638
175,000 Fujitsu 1,781
400,000 Ishikawajima Harima Heavy
Industries Co. Ltd. 1,373
300,000 Isuzu Motors Ltd. 1,102
375,000 Itochu Corp. 1,835
600,000 Kawasaki Steel Corp. 1,745
50,000 Laox Co. 606
30,000 Matsumotokiyoshi 884
100,000 Matsushita Electric Industries 1,559
190,000 Minebea Co. Ltd. 1,581
110,000 Mitsubishi Estate Co. Ltd. 1,173
250,000 Mitsubishi Heavy Industries Ltd. 1,625
60,000 Murata Manufacturing Co. Ltd. 2,152
15,000 Nichii Gakkan Co. 676
100,000 Nikon Corp. 1,308
23,000 Nintendo Corp. Ltd. 1,650
250 Nippon Telegraph & Telephone Corp. 1,759
200,000 Nissan Motor 1,203
800,000 NKK Corp. * 1,680
180,000 Nomura Securities Co. Ltd. 1,992
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERNATIONAL GROWTH EQUITY FUND (continued)
Number Value
of Shares (000s)
- --------- --------
JAPAN - 29.0% (CONT'D.)
175,000 Ricoh Co. $ 1,993
20,000 Sony Corp. 1,397
115,000 Sumitomo Electric Industries 1,560
300,000 Sumitomo Marine & Fire Insurance 1,817
230,000 Sumitomo Realty & Development Co. Ltd. 1,546
55,000 Takeda Chemical Industries 1,151
23,000 Tokyo Style Co. 1,579
55,000 Toyota Motor Corp. 1,390
-------
48,150
-------
MALAYSIA - 1.2%
290,000 Genting Berhad 1,965
-------
MEXICO - 1.2%
700,000 Cifra S.A. ADR 931
20,000 Panamerican Beverages, Inc. 1,073
-------
2,004
-------
NETHERLANDS - 3.4%
11,000 Akzo Nobel N.V. 1,580
39,000 Internationale Nederlanden Group N.V. 1,537
30,000 Philips Electronics 1,335
7,000 Royal Dutch Petroleum Co. ADR 1,225
-------
5,677
-------
NORWAY - 0.8%
75,000 Saga Petroleum ASA 1,296
-------
PHILIPPINES - 1.1%
1,800,000 Belle Corp. 573
20,000 Philippine Long Distance Telephone Co. 1,198
-------
1,771
-------
SINGAPORE - 1.8%
190,000 City Developments Ltd. 1,683
115,000 Development Bank of Singapore Ltd. 1,337
-------
3,020
-------
SOUTH AFRICA - 1.3%
65,000 Nedcor Ltd. 1,243
30,000 South African Breweries Ltd. 950
-------
2,193
-------
Number Value
of Shares (000s)
- --------- -------
SPAIN - 2.3%
12,000 Banco Santander S.A. $ 825
30,000 Tabacalera S.A., Series A 1,502
20,000 Telefonica de Espana ADR 1,435
-------
3,762
-------
SWEDEN - 2.0%
50,000 Ericsson (L.M.) Telephone Co. ADR, Class B 1,691
45,000 Pharmacia & Upjohn, Inc. 1,648
-------
3,339
-------
SWITZERLAND - 3.8%
19,000 Credit Suisse Group A.G. 2,278
1,300 Novartis A.G. 1,612
7,500 Zurich Versicherungsellschaft A.G. 2,358
-------
6,248
-------
TAIWAN - 0.3%
375,000 Far Eastern Department Stores Ltd. 554
-------
UNITED KINGDOM - 17.1%
105,000 Barclays PLC 1,760
275,000 British Telecommunications PLC 2,012
325,000 BTR PLC 1,422
275,000 Cable & Wireless PLC 2,228
400,000 General Electric Co. PLC 2,453
55,000 Glaxo Wellcome PLC ADR 1,946
250,000 Grand Metropolitan PLC 2,016
525,000 Landbroke Group PLC 1,940
600,000 National Grid Group PLC 2,064
210,000 National Westminster Bank PLC 2,367
110,000 Pearson PLC 1,317
275,000 Rank Organization PLC 1,910
120,000 RTZ Corp. PLC 1,898
475,000 Tomkins PLC 2,125
20,000 Vodafone Group PLC ADR 883
-------
28,341
-------
Total Common Stocks
(cost $150,743) 154,052
-------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERNATIONAL GROWTH EQUITY FUND (continued)
Number Value
of Shares (000s)
- --------- -------
OTHER - 1.1%
115,000 The India Fund, Inc. $ 848
75,000 The Korea Fund, Inc. 1,078
-------
Total Other
(cost $2,051) 1,926
-------
Principal
Amount
(000s)
- ---------
SHORT-TERM INVESTMENTS - 5.2%
$6,658 Banque Brussels Lambert,
Grand Cayman Islands,
6.50%, 4/1/97 6,658
1,980 FHLB Discount Note,
6.25%, 4/1/97 1,980
-------
Total Short-Term Investments
(cost $8,638) 8,638
-------
Total Investments - 99.2%
(cost $161,432) 164,616
Other Assets less Liabilities - 0.8% 1,276
-------
NET ASSETS - 100.0% $165,892
========
<F1> 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 March 31, 1997, the value of
this security amounted to approximately $618,000 or 0.4% of net assets.
At March 31, 1997, the International Growth Equity Fund's investments, excluding
short-term investments, were diversified as follows:
Industry
Sector
- ---------
Auto 2.7%
Basic Industries/Energy 15.6
Capital Goods 10.2
Consumer Goods 15.4
Drugs 5.6
Financial Services 16.2
Real Estate 4.1
Retail 3.7
Technology 18.3
Other 8.2
------
Total 100.0%
======
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERNATIONAL SELECT EQUITY FUND
Number Value
of Shares (000s)
- --------- -------
COMMON STOCKS - 90.8%
AUSTRALIA - 1.8%
1,300 National Mutual Holdings Ltd. $ 1,977
-------
BRAZIL - 1.9%
20,000 Telebras ADR 2,048
-------
FINLAND - 2.1%
40,000 Nokia Corp. ADR 2,330
-------
FRANCE - 2.9%
40,000 Sidel, S.A. 3,127
-------
GERMANY - 2.5%
20,000 SGL Carbon A.G. 2,745
-------
HONG KONG - 3.9%
1,600,000 First Pacific Co. Ltd. 2,034
275,000 Swire Pacific Ltd. 2,165
-------
4,199
-------
INDIA - 0.6%
40,000 Videsh Sanchar Nigam Ltd.<F1> 706
-------
INDONESIA - 1.8%
420,000 PT Hanjaya Mandala Sampoerna 1,968
-------
JAPAN - 23.8%
55,000 FamilyMart 2,075
62,000 Fuji Photo Film 2,031
500,000 Hitachi Zosen Corp. 1,813
93,000 Laox Co. 1,127
550,000 Marubeni Corp. 2,132
57,000 Matsumotokiyoshi 1,680
250,000 Minebea Co. Ltd. 2,080
35,000 Nichiei Co. Ltd. 2,714
35,000 Nintendo Corp. Ltd. 2,510
40,000 Sony Corp. 2,795
175,000 Sumitomo Electric Industries 2,375
125,000 Takeda Chemical Industries 2,615
-------
25,947
-------
MALAYSIA - 1.9%
300,000 Genting Berhad 2,033
-------
Number Value
of Shares (000s)
- --------- -------
MEXICO - 4.9%
1,200,000 Cifra S.A. ADR $ 1,596
85,000 Grupo Casa Autrey S.A. de C.V. ADR 1,573
40,000 Panamerican Beverages, Inc. 2,145
-------
5,314
-------
NETHERLANDS - 2.7%
80,000 Cap Gemini N.V. 2,900
-------
NORWAY - 1.4%
75,000 Schibsted ASA 1,523
-------
PERU - 2.0%
100,000 Telefonica del Peru S.A., Class B 2,225
-------
PHILIPPINES - 1.8%
1,700,000 Ayala Land, Inc., Class B 1,934
-------
PORTUGAL - 4.8%
118,000 Cimpor-Cimentos de Portugal, SGPS, S.A. 2,462
75,000 Portugal Telecom S.A. ADR 2,756
-------
5,218
-------
SOUTH AFRICA - 4.4%
100,000 Nedcor Ltd. 1,912
90,000 South Africa Breweries Ltd. 2,850
-------
4,762
-------
SWEDEN - 2.2%
50,000 Astra AB 2,419
-------
SWITZERLAND - 4.5%
2,133 Novartis A.G. 2,644
17,000 SMH A.G. 2,207
-------
4,851
-------
TAIWAN - 2.5%
1,867,250 Far Eastern Department Stores Ltd. 2,760
-------
United Kingdom - 16.4%
200,000 Barclays PLC 3,353
450,000 Cable & Wireless PLC 3,646
400,000 General Electric Co. PLC 2,453
200,000 National Westminster Bank PLC 2,254
650,000 Tomkins PLC 2,908
75,000 Vodafone Group PLC ADR 3,309
-------
17,923
-------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
INTERNATIONAL SELECT EQUITY FUND (continued)
Number Value
of Shares (000s)
- --------- --------
Total Common Stocks
(cost $91,793) $ 98,909
--------
PREFERRED STOCKS - 3.7%
GERMANY - 3.7%
8,000 Fresenius A.G. 1,837
13,000 SAP A.G. 2,229
-------
Total Preferred Stocks
(cost $2,734) 4,066
-------
Principal
Amount
(000s)
- ---------
SHORT-TERM INVESTMENTS - 4.9%
$4,367 Banque Brussels Lambert,
Grand Caymen Islands,
6.50%, 4/1/97 4,367
924 FHLB Discount Note,
6.25%, 4/1/97 924
-------
Total Short-Term Investments
(cost $5,291) 5,291
-------
Total Investments - 99.4%
(cost $99,818) 108,266
Other Assets less Liabilities - 0.6% 678
-------
NET ASSETS - 100.0% $108,944
========
<F1> 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 March 31, 1997, the value of
this security amounted to approximately $706,000 or 0.6% of net assets.
At March 31, 1997, the International Select Equity Fund's investments, excluding
short-term investments, were diversified as follows:
Industry
Sector
- --------
Basic Industries/Energy 6.8%
Capital Goods 10.5
Consumer Goods 12.7
Drugs 10.8
Financial Services 11.9
Real Estate 1.9
Retail 11.1
Technology 9.7
Telecommunications 16.5
Other 8.1
------
Total 100.0%
======
See Notes to the Financial Statements.
SCHEDULES OF INVESTMENTS MARCH 31, 1997
TECHNOLOGY FUND
Number Value
of Shares (000s)
- --------- -------
COMMON STOCKS - 96.2%
AEROSPACE/DEFENSE EQUIPMENT - 0.4%
9,000 REMEC, Inc. * $ 193
-------
COMMUNICATIONS EQUIPMENT - 13.4%
8,000 ADC Telecommunications, Inc. * 215
26,000 Ascend Communications, Inc. * 1,059
27,000 Bay Networks, Inc. * 483
24,100 Cascade Communications Corp. 636
3,000 CIENA Corp. 85
21,275 Cisco Systems, Inc. * 1,024
8,300 Coherent Communications Systems Corp. * 143
8,000 NACT Telecommunications, Inc. 47
13,500 Newbridge Networks Corp. * 386
4,000 SeaChange International, Inc. 71
7,000 Telco Systems, Inc. 77
44,500 Tellabs, Inc. * 1,608
-------
5,834
-------
COMPUTER PERIPHERALS - 8.1%
18,000 HMT Technology Corp. * 220
45,150 Seagate Technology, Inc. * 2,026
30,000 Storage Dimensions, Inc. 191
20,000 U.S. Robotics Corp. 1,108
-------
3,545
-------
COMPUTER SOFTWARE AND SERVICES - 30.4%
32,150 Adobe Systems, Inc. 1,290
32,975 America Online, Inc. * 1,397
3,600 Arbor Software Corp. 90
5,700 Check Point Software Technologies Ltd. * 117
10,600 Computer Associates International, Inc. 412
15,475 Computer Sciences Corp. * 955
42,000 Electronic Arts, Inc. * 1,118
9,500 Electronic Data Systems Corp. 384
4,000 HBO & Company * 190
29,000 Intuit, Inc. * 674
5,462 McAfee Associates, Inc. * 242
14,700 Microsoft Corp. * 1,348
16,500 Netscape Communications Corp. 496
10,000 ONTRACK Data International, Inc. 150
26,287 Oracle Corp. * 1,014
22,000 Parametric Technology Corp. * 993
33,500 Peoplesoft, Inc. * 1,340
Number Value
of Shares (000s)
- --------- -------
COMPUTER SOFTWARE AND
SERVICES - 30.4% (CONT'D.)
6,738 Qualix Group, Inc. $ 37
14,000 Siebel Systems, Inc. * 235
11,200 Synopsys, Inc. * 280
11,945 Technology Modeling Associates, Inc. * 119
11,000 USCS International, Inc. * 204
10,000 Vantive (The) Corp. 205
-------
13,290
-------
COMPUTER SYSTEMS - 6.8%
23,575 Hewlett-Packard Co. 1,255
3,000 International Business Machines Corp. 412
16,000 Silicon Graphics, Inc. * 312
35,000 Sun Microsystems, Inc. * 1,011
-------
2,990
-------
DATA PROCESSING - 3.0%
17,000 Automatic Data Processing, Inc. 712
18,000 First Data Corp. 610
-------
1,322
-------
ELECTRICAL AND ELECTRONIC
COMPONENTS - 33.2%
6,500 Advanced Technology Materials, Inc. 112
25,666 Analog Devices, Inc. * 577
20,000 Applied Materials, Inc. * 928
6,750 DII Group, Inc. 166
3,500 DuPont Photomasks, Inc. * 132
5,500 Etec Systems, Inc. 174
14,200 Intel Corp. 1,976
44,025 KLA Instruments Corp. * 1,607
41,525 Linear Technology Corp. 1,837
23,000 Motorola, Inc. 1,389
2,000 NeoMagic Corp. 25
18,800 SGS-Thomson Microelectronics N.V. 1,243
16,000 Sierra Semiconductor Corp. 258
11,400 Teradyne, Inc. 329
21,800 Texas Instruments, Inc. 1,632
4,950 Vitesse Semiconductor Corp. 137
41,000 Xilinx, Inc. * 1,999
-------
14,521
-------
SCHEDULES OF INVESTMENTS MARCH 31, 1997
TECHNOLOGY FUND (continued)
Number Value
of Shares (000s)
- --------- -------
MEDICAL PRODUCTS AND
PHARMACEUTICALS - 0.9%
1,750 Biosite Diagnostics, Inc. $ 17
5,000 QIAGEN N.V. * 166
4,000 Sonus Pharmaceuticals, Inc. * 106
7,500 Ventana Medical Systems, Inc. * 105
-------
394
-------
Total Common Stocks
(cost $43,576) 42,089
-------
Principal
Amount
(000s)
- ---------
SHORT-TERM INVESTMENT - 4.3%
$1,895 Banque Brussels Lambert,
Grand Cayman Islands,
6.50%, 4/1/97
(cost $1,895) 1,895
-------
Total Investments - 100.5%
(cost $45,471) 43,984
Liabilities less Other Assets - (0.5)% (230)
-------
NET ASSETS - 100.0% $43,754
=======
See Notes to the Financial Statements.
NOTES TO THE
FINANCIAL STATEMENTS
MARCH 31, 1997
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, Stock Index, 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.
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.
Guaranteed investment contracts are valued at cost plus accrued interest,
which approximates market value. 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 March 31, 1997, the Stock
Index Fund and 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 March 31, 1997 was approximately $74,000
and $247,000 for the Stock Index and Small Cap Funds, respectively.
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 year
ended March 31, 1997 for the Growth Equity Fund were as follows:
NUMBER OF PREMIUMS
CONTRACTS (000S)
--------- ---------
Options outstanding at 3/31/96 115 $ 229
Options written 730 1,021
Options terminated in closing
purchase transactions (746) (931)
Options expired - -
----- -----
Options outstanding at 3/31/97 99 $ 319
===== =====
The Fund did not write call options during the year ended March 31, 1997.
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 March 31, 1997, the International Fixed Income Fund had an outstanding
contract to sell 71,449,200 Japanese yen in exchange for $600,000. Unrealized
depreciation on this contract totaled approximately $17,000 at March 31,
1997.
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
Stock Index Quarterly Quarterly
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, 1997, 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 $ 24 - $(24)
U.S. Government
Money Market 6 - (6)
Municipal Money
Market 47 - (47)
U.S. Government Select
Money Market 4 - (4)
California Municipal
Money Market 3 - (3)
U.S. Government (44) $53 (9)
Fixed Income (4) 11 (7)
Intermediate Tax-
Exempt 18 - (18)
Florida Intermediate
Tax-Exempt - - -
Tax-Exempt 229 (146) (83)
International Fixed
Income (12) 28 (16)
Income Equity 4 - (4)
Stock Index - - -
Growth Equity 12 - (12)
Select Equity 3 (2) (1)
Small Cap 20 (16) (4)
International Growth
Equity 62 850 (912)
International Select
Equity (104) 521 (417)
Technology 178 (178) -
These reclassifications have no impact on the net asset value of the Funds
and are primarily due to differing treatments of foreign currency gains,
investments in passive foreign investment companies, real estate investment
trusts, 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 year ended
March 31, 1997, the Adviser voluntarily agreed to waive a portion of its
advisory fees as applied to each Fund's daily net assets as shown on the
accompanying Statements of Operations. 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%
Stock Index 0.60% 0.40% 0.55%
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%
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 year ended March 31, 1997, 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 for liquidity
and other purposes. Borrowings under this arrangement bear interest at 1% above
the Fed Funds rate and are secured by pledged securities equal to or exceeding
120% of the outstanding balance.
Interest expense for the year ended March 31, 1997 was approximately $1,000
for the Stock Index Fund. This amount is included in other expenses on the
Statement of Operations.
As of March 31, 1997, there were no outstanding borrowings.
5. INVESTMENT TRANSACTIONS
The aggregate purchases and sales of securities, excluding short-term
investments, for the Funds for the year ended March 31, 1997 were as follows:
PURCHASES SALES
------------------- ----------------------
U.S. U.S.
AMOUNTS IN THOUSANDS GOVERNMENT OTHER GOVERNMENT OTHER
- ------------------------------ ----------- ------ ----------- ------
U.S. Government $155,591 - $127,662 -
Fixed Income 67,567 $ 39,421 70,151 $ 13,398
Intermediate Tax-Exempt - 163,549 - 126,267
Florida Intermediate Tax-Exempt - 19,716 - 4,895
Tax-Exempt - 26,615 - 9,573
International Fixed Income - 7,335 - 5,782
Income Equity - 56,761 - 43,848
Stock Index - 47,919 - 12,265
Growth Equity - 226,581 - 172,156
Select Equity - 57,239 - 34,096
Small Cap - 52,810 - 31,897
International Growth Equity - 327,784 - 347,302
International Select Equity - 109,200 - 102,425
Technology - 58,584 - 16,770
At March 31, 1997, for federal income tax purposes, gross unrealized
appreciation, gross unrealized depreciation, net unrealized appreciation
(depreciation) on investments (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 $ 778 $ 2,799 $ (2,021) $182,165
Fixed Income 785 2,949 (2,164) 123,635
Intermediate Tax-Exempt 2,620 1,382 1,238 259,469
Florida Intermediate
Tax-Exempt 51 135 (84) 14,856
Tax-Exempt 3,077 794 2,283 132,058
International Fixed Income 448 695 (247) 16,152
Income Equity 5,434 924 4,510 72,181
Stock Index 640 1,979 (1,339) 39,643
Growth Equity 54,030 7,617 46,413 259,155
Select Equity 8,446 2,491 5,955 57,828
Small Cap 37,870 18,380 19,490 177,696
International Growth Equity 10,258 7,225 3,033 161,583
International Select Equity 12,705 4,784 7,921 100,345
Technology 3,925 5,541 (1,616) 45,600
At March 31, 1997, the Funds' most recent fiscal year end, the approximate
capital loss carryforwards for U.S. federal income tax purposes and respective
years of expiration are as follows:
MARCH 31, MARCH 31, MARCH 31,
AMOUNTS IN THOUSANDS 2003 2004 2005
- ----------------------------------- ----- ----- -----
Municipal Money Market - - $109
U.S. Government Select Money Market - - 1
U.S. Government - - 239
Intermediate Tax-Exempt - - 441
Florida Intermediate Tax-Exempt - - 1
International Select Equity $46 $126 -
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 March 31, 1997 were as
follows:
NET
REINVESTMENT INCREASE
AMOUNTS IN THOUSANDS SOLD OF DIVIDENDS REDEEMED (DECREASE)
- -------------------------------- ---- ------------- --------- ----------
U.S. Government 5,159 144 1,695 3,608
Fixed Income 4,239 222 2,080 2,381
Intermediate Tax-Exempt 7,072 245 4,928 2,389
Florida Intermediate Tax-Exempt 1,846 4 373 1,477
Tax-Exempt 2,592 80 1,436 1,236
International Fixed Income 416 28 289 155
Income Equity 2,128 450 875 1,703
Stock Index 3,844 8 515 3,337
Growth Equity 6,478 922 2,752 4,648
Select Equity 2,494 125 823 1,796
Small Cap 4,424 716 2,534 2,606
International Growth Equity 3,091 641 4,935 (1,203)
International Select Equity 3,161 82 2,310 933
Technology 3,820 25 184 3,661
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 April 8, 1997, the California Tax-Exempt Fund, a separate, non-
diversified investment portfolio, commenced operations.
REPORT OF INDEPENDENT
PUBLIC ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES:
NORTHERN FUNDS
We have audited the accompanying statements of assets and liabilities of
Northern Funds (a Massachusetts business trust consisting of the Money Market
Fund, U.S. Government Money Market Fund, Municipal Money Market Fund, U.S.
Government Select Money Market Fund, California Municipal Money Market Fund,
U.S. Government Fund, Fixed Income Fund, Intermediate Tax-Exempt Fund, Florida
Intermediate Tax-Exempt Fund, Tax-Exempt Fund, International Fixed Income Fund,
Income Equity Fund, Stock Index Fund, Growth Equity Fund, Select Equity Fund,
Small Cap Fund, International Growth Equity Fund, International Select Equity
Fund and Technology Fund), including the schedules of investments, as of March
31, 1997, and the related statements of operations, changes in net assets, and
the financial highlights for the periods indicated thereon. These financial
statements and financial highlights are the responsibility of the Funds'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
March 31, 1997, by physical examination of the securities held by the custodian
and by correspondence with outside depositories and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting Northern Funds as of March 31, 1997,
the results of their operations, changes in their net assets, and financial
highlights for the periods indicated thereon, in conformity with generally
accepted accounting principles.
ARTHUR ANDERSEN LLP
Chicago, Illinois
May 16, 1997
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.
(LOGO)
P.O. Box 75986
Chicago, IL 60690-6319
1-800-595-9111
(C) 1997 Sunstone Distribution Services, LLC,
Distributor
|
|