TWENTIETH CENTURY
STRATEGIC ASSET
ALLOCATIONS, INC.
SEMIANNUAL REPORT
MAY 31,
1996
[company logo]
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<PAGE>
IMPORTANT NOTICE FOR ALL IRA AND 403(B) SHAREHOLDERS
As required by law, any distributions you receive from an IRA and certain
403(b) distributions [not eligible for rollover to an IRA or to another 403(b)]
are subject to federal income tax withholding at the rate of 10% of the total
amount withdrawn, unless you elect not to have withholding apply. If you don't
want us to withhold on this amount, you may send us a written notice not to have
the federal income tax withheld. Your written notice is valid for six months
from the date of receipt at Twentieth Century. Even if you plan to roll over the
amount you withdraw to another tax-deferred account, the withholding rate still
applies to the withdrawn amount, unless we have received a written notice not to
withhold federal income tax within six months prior to the withdrawal.
When you plan to withdraw, you may make your election by completing our
Conversions/Redemptions form or an IRS Form W-4P. Call Twentieth Century for
either form. Your written election is valid for only six months from the date of
receipt at Twentieth Century. You may revoke your election at any time by
sending a written notice to us.
Remember, even if you elect not to have income tax withheld, you are liable
for paying income tax on the taxable portion of your withdrawal. If you elect
not to have income tax withheld or you don't have enough income tax withheld,
you may be responsible for payment of estimated tax. You may incur penalties
under the estimated tax rules if your withholding and estimated tax payments are
not sufficient.
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May 31, 1996
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TABLE OF CONTENTS
Our Message to You . . . . . . . . . . . . . . . . . . . . . . . . 2
Investment Philosophy . . . . . . . . . . . . . . . . . . . . . . . 3
Period Overview . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Investment Review
Strategic Allocation: Conservativee . . . . . . . . . . . . . . 6
Strategic Allocation: Moderate . . . . . . . . . . . . . . . . 8
Strategic Allocation: Aggressive . . . . . . . . . . . . . . 10
Schedules of Investments
Strategic Allocation: Conservative . . . . . . . . . . . . . . . 12
Strategic Allocation: Moderate . . . . . . . . . . . . . . . . . 16
Strategic Allocation: Aggressive . . . . . . . . . . . . . . . . 22
Statements of Assets and Liabilities . . . . . . . . . . . . . . . 30
Statements of Operations . . . . . . . . . . . . . . . . . . . . . 31
Statements of Changes in Net Assets . . . . . . . . . . . . . . . 32
Notes to Financial Statements . . . . . . . . . . . . . . . . . . 33
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . 36
INDICES USED FOR PERFORMANCE COMPARISON
THE S&P 500 INDEX is an index created by Standard & Poor's Corporation that is
considered to represent the performance of the stock market generally. It is not
an investment product available for purchase.
LEHMAN AGGREGATE BOND INDEX is composed of the Lehman Government/Corporate Index
and the Lehman Mortgage-Backed Securities Index, which reflect the price
fluctuations of Treasury issues, agency issues, corporate bond issues and
mortgage-backed securities.
THE MORGAN STANLEY EUROPE, AUSTRALIA, FAR EAST INDEX (EAFE(R)) is a widely
followed group of stocks from 20 different countries. It is not an investment
product available for purchase.
THE J.P. MORGAN FOREIGN GOVERNMENT BOND INDEX consists of fixed-income
government bonds from 14 countries (excluding the United States). It is not an
investment product available for purchase.
90-DAY TREASURY BILL INDEX is derived from secondary market interest rates as
published by the Federal Reserve Bank. It is not an investment product available
for purchase.
1
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OUR MESSAGE TO YOU
The strength of the U.S. equity markets persisted during the first five
months of 1996, with many stock investors continuing to enjoy favorable returns.
In the U.S. bond markets, however, the possibility of a revitalized U.S. economy
led to rising interest rates, with many bond portfolios experiencing declines in
value. This divergent environment underscores the importance of
diversification--spreading your assets among a variety of investments.
We are proud to present our first semiannual report for Twentieth Century's
asset allocations funds. These funds were developed to help investors diversify
their investment portfolios through a single, convenient investment. To help
meet the needs of a broad group of investors, we created three different
diversified portfolios--Strategic Allocation: Conservative, Moderate and
Aggressive --each with a distinct risk profile and asset allocation strategy.
Though the funds have little more than three months of history to date, their
returns thus far have reflected their individual asset allocation structures.
[photo of James E. Stowers and James E. Stowers III on left side of page]
The funds represent the first tangible evidence of the union between
Twentieth Century and the Benham family of mutual funds. Our team management
approach features investment managers from both organizations--Twentieth
Century's equity managers are responsible for the stock portion of each fund,
while Benham's fixed-income specialists manage the bond and cash portions. As a
result, the funds benefit from the expertise of a variety of experienced
investment professionals.
The remainder of 1996 promises to bring a number of positive changes for
the Twentieth Century family of funds and its shareholders. After a year and a
half of extensive behind-the-scenes planning and effort, the Twentieth Century
and Benham fund families will come together to form an integrated company in
September. When our organizations are fully combined, shareholders will have
access to a broader menu of investment choices--more than 60 funds--and an
expanded array of shareholder services.
We are confident that the enhanced investment opportunities and service
improvements arising from the combination of our two strong fund families will
benefit you, the shareholder, for years to come. We appreciate your continued
support of Twentieth Century, and we remain dedicated to helping you succeed.
Sincerely,
/s/James E. Stowers /s/James E. Stowers III
James E. Stowers James E. Stowers III
Chairman of the Board and Founder President
2
May 31, 1996
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INVESTMENT PHILOSOPHY
Twentieth Century introduced the Strategic Asset Allocations series of
funds on February 15, 1996. Each fund invests in a diversified portfolio of
stocks, bonds and money market securities, with the objective of achieving as
high a level of total return as is consistent with the fund's risk profile,
given its asset mix. The funds rely on a team management approach--although one
lead manager coordinates the funds' investments, groups of managers are
responsible for the ongoing active management of the individual fund components.
The members of the management team are listed in the box below.
STRATEGIC ALLOCATION: CONSERVATIVE seeks to provide regular income, the
potential for moderate long-term growth and a measure of principal protection.
The fund emphasizes bonds and money market securities to provide income and
principal protection, while the prospects for long-term growth are derived from
the stock portion of the fund's portfolio. The fund's neutral asset mix:
Stocks: 40%
Bonds: 45%
Cash (money
market securities): 15%
STRATEGIC ALLOCATION: MODERATE seeks to provide long-term growth, with
regular income as a secondary consideration. The fund emphasizes common stocks
for their long-term growth prospects, but it maintains a sizable stake in bonds
and money market securities to provide some income and increase overall price
stability. The fund's neutral asset mix:
Stocks: 60%
Bonds: 30%
Cash (money
market securities): 10%
STRATEGIC ALLOCATION: AGGRESSIVE seeks to provide long-term growth,
accompanied by a limited amount of regular income. The fund focuses primarily on
common stocks as a source of long-term growth, but it maintains a small portion
of its assets in bonds and money market securities to help cushion the share
price volatility of the portfolio. The fund's neutral asset mix:
Stocks: 75%
Bonds: 20%
Cash (money
market securities): 5%
NOTE: The funds' actual asset mixes vary from the neutral mix based on
investment performance, cash flows, etc. Fund managers regularly review each
fund's portfolio and rebalance the asset mix as necessary to stay within preset
operating ranges.
The names of the funds are intended to reflect only the relative risk and
potential return of the three funds and not their potential as compared to any
other fund or investment.
PORTFOLIO MANAGEMENT TEAM
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LEAD MANAGER - Jeff Tyler
U.S. STOCKS - Chris Boyd, Phil Davidson, Derek Felske, Glenn Fogle, Peter Zuger
FOREIGN STOCKS - Henrik Strabo, Ted Tyson
U.S. BONDS - Casey Colton, Bud Hoops, Jeff Houston, Dave Schroeder
FOREIGN BONDS - Bill Martin, Jeff Tyler
MONEY MARKET SECURITIES - Bob Gahagan, Amy O'Donnell
3
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PERIOD OVERVIEW
U.S. STOCKS
After posting returns of over 30% in 1995, U.S. stocks continued to rise
during the first five months of 1996. Last year's rally was driven by
unexpectedly strong earnings and heavy cash flows into the market. In 1996,
favorable earnings surprises have been fewer, but record cash flows into stock
mutual funds have sustained the rally. For the first five months of 1996, the
Standard & Poor's 500 (S&P 500) Index returned 9.22%, while the Russell 2000
Index--an index of smaller-capitalization stocks--posted a total return of
15.09%.
In 1995, steady earnings growth and cost-cutting efforts enabled
large-capitalization stocks (such as those in the S&P 500 Index) to outperform
small-capitalization stocks (such as those in the Russell 2000 Index). Small-cap
stocks continued to lag behind in the first quarter of 1996 as money managers
found it easier to deploy incoming cash in large-cap issues. However, small-cap
stocks surged in April and May on the heels of a rebound in technology stocks,
while larger multinational firms suffered lower profits as the U.S. dollar
strengthened against most foreign currencies. This shift enabled small-cap
stocks to outperform large-cap stocks during the first five months of the year.
Among specific industries, the technology sector was one of the better
performers, led by computer software and network companies. Evidence of stronger
U.S. economic growth also provided a boost to cyclical stocks, which tend to
perform well in an improving economic climate. Lagging industry sectors included
financial stocks, which were hampered by rising interest rates.
U.S. BONDS
A shift in the U.S. economic environment had an adverse effect on the
domestic bond market during the first five months of 1996. In 1995, the U.S.
economy was relatively weak, growing at a rate of only 1.3%--the slowest rate of
growth since the 1991 recession. But the economy picked up steam in the first
quarter of 1996, led by the strongest employment report in 12 years. Healthier
economic growth sparked fears of inflation, and these concerns sent the U.S.
bond market into a tailspin. After a steady month in January, bond prices
tumbled and yields rose between February and May.
Long-maturity bonds suffered the biggest losses--after bottoming around 6%
in January, the 30-year Treasury bond yield soared above 7% in May. As a result,
30-year Treasury bonds suffered substantial price declines, producing a total
return of -10.90% during the first five months of the year. Shorter-term bonds
fared a little better--for example, two-year Treasury notes returned 0.41%.
Among specific bond types, mortgage-backed securities were the
best-performing fixed-income sector. Slowing refinancing activity in the
mortgage market restrained price declines, and the higher yields of
mortgage-backed securities provided additional interest income compared to
Treasury securities. Corporate bonds benefited from improvements in credit
quality, while Treasury securities lagged behind all other fixed-income sectors.
FOREIGN STOCKS
Like the U.S. stock market, most foreign equity markets experienced gains
during the first five months of 1996. Many European countries posted
double-digit returns, while Japan's stock market recovered from declines in
January and February to match U.S. stock returns. Some "emerging markets," such
as those in the Philippines, Venezuela and Taiwan, fared even better, surging
past more mature stock markets early in the year.
However, these foreign stock returns were strong only when valued in local
currencies; when translated into U.S. dollars, the returns lost some of their
luster. The dollar's steady increase in value, especially against European
currencies, spoiled a large percentage of foreign stock returns for U.S.
investors. For example, the Morgan Stanley EAFE(R) Index, a widely followed
index of international stocks, produced a
4
May 31, 1996
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PERIOD OVERVIEW
return of 7.00% in local currencies during the first five months of the year.
But in U.S. dollars, the EAFE(R) Index posted a return of just 3.93%. In U.S.
dollar terms, foreign stock returns have lagged behind the returns of domestic
stocks.
Among specific countries, Austria and Finland posted the best returns in
western Europe, while India and the Philippines led Asia with returns of over
25% during the first five months of 1996. The top emerging markets included the
Venezuelan stock market, which has more than doubled so far this year (although
the currency translation reduced the gain to 30% in U.S. dollars).
FOREIGN BONDS
For the first five months of 1996, foreign bond returns were fairly flat.
Stagnant economic growth, especially in Europe and Japan, caused many foreign
governments to cut short-term interest rates in 1995, but these rate cuts are
only now beginning to spark resurgent economic growth. In this environment, most
foreign bond markets held relatively steady, outperforming the slumping U.S.
bond market.
As with foreign stocks, the strengthening dollar reduced foreign bond
returns for U.S. investors. The J.P. Morgan Foreign Government Bond Index, a
broad index of foreign bonds, posted a return of 2.27% in local currencies
during the first five months of 1996, but this return was reduced to -1.70% in
U.S. dollars. Still, even in U.S. dollars, this performance was superior to U.S.
bond market returns.
The exceptions to the flat bond market returns were the "high-yielding"
countries in western Europe (Italy, Spain, Sweden). Because of their weaker
economies and currencies, these countries have historically offered higher
yields on their bonds to entice investors. But as European monetary union gets
closer to becoming a reality, European bond yields are converging. Consequently,
the bond markets in these countries have rallied thus far in 1996 as their
yields fall toward levels comparable with the rest of Europe.
INVESTMENT MARKET RETURNS
(February 15-May 31, 1996)
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U.S. STOCKS: S&P 500 INDEX 3.28%
U.S. BONDS: Lehman Aggregate Bond Index*+ -3.17%
MONEY MARKET SECURITIES: 90-day Treasury
Bill Index*+ 1.65%
FOREIGN STOCKS: EAFE(R) Index*+ 1.46%
FOREIGN BONDS: J.P. Morgan Foreign
Government Bond Index1 0.20%
* 1/31/96-5/31/96
+ Source: Lipper Analytical Services, Inc.
1 Source: Bloomberg L.P.
5
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STRATEGIC ALLOCATION: CONSERVATIVE
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MANAGEMENT Q & A
An interview with Jeff Tyler, lead portfolio manager of the Strategic
Allocation: Conservative fund.
Q: HOW HAS THE FUND PERFORMED SINCE ITS INCEPTION?
A: The fund's return has been consistent with its more conservative asset
allocation structure. From its inception date of February 15, 1996, through May
31, 1996, the fund posted a total return of 0.64%. Performance to date has been
restrained by the significant size of its fixed income component, which suffered
declines throughout this period (see the Period Overview on pages 4-5).
Q: WAS THE FUND OVERWEIGHTED IN BONDS DURING THE PERIOD?
A: Slightly at times, but not significantly. We've maintained a mostly neutral
bond position for the fund since its inception. But even in a neutral
configuration, the fund holds about 60% of its assets in bonds and cash, so most
of the fund's return is tied to these markets. The fund's 40% weighting in
stocks was largely responsible for its narrowly positive return.
QUICK FUND FACTS
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Strategic Allocation: Conservative
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STRATEGY:
Regular income and
some long-term capital
growth by investing in
a mix of bonds, cash
and stocks
INCEPTION DATE:
February 15, 1996
SIZE:
$8.1 million
(as of May 31, 1996)
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CUMULATIVE TOTAL RETURNS (as of May 31, 1996)
Strategic S&P Lehman 90-day
Allocation: 500 Aggregate Treasury Bill
Conservative Index Bond Index* Index*
-------------- ------ ------------ -------------
Inception (2/15/96) 0.64% 3.28% -3.17% 1.65%
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$10,000 OVER LIFE OF FUND (as of May 31, 1996)
Value on 5/31/96:
$10,064 Strategic Allocation: Conservative
$10,328 S&P 500 Index
$10,165 90-day Treasury Bill Index*
$ 9,683 Lehman Aggregate Bond Index*
$10,000 investment made 2/15/96 (Inception date)
STRATEGIC S&P LEHMAN 90-DAY
ALLOCATION: 500 AGGREGATE TREASURY BILL
DATE CONSERVATIVE INDEX BOND INDEX* INDEX*
02/15/96 $10,000 $10,000 $10,000 $10,000
03/31/96 $9,920 $9,964 $9,758 $10,081
04/30/96 $10,023 $10,097 $9,703 $10,122
5/31/96 $10,064 $10,328 $9,683 $10,165
Past performance does not guarantee future results. Investment return and
principal value will fluctuate, and redemption value may be more or less than
original cost.
*Source: Lipper Analytical Services, Inc. (Data date 1/31/96)
6
May 31, 1996
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STRATEGIC ALLOCATION: CONSERVATIVE
Q: DID YOU DEVIATE AT ALL FROM THE FUND'S NEUTRAL ASSET MIX?
A: In addition to the slight overweighting in bonds discussed above, we have
tended to hold a little more cash than normal. The fund held additional cash in
February while we built the initial diversified portfolio. In addition, new
money was kept in cash while we determined suitable places to invest it. As the
fund grows in size, incoming investments will have a lesser impact on the cash
position.
Q: LOOKING FORWARD, HOW DO YOU PLAN TO POSITION THE FUND OVER THE NEXT SIX
MONTHS?
A: For the most part, we anticipate maintaining the fund's neutral positioning.
However, we may look to shift some of the fund's U.S. stock holdings into
foreign equities, which have lagged their U.S. counterparts and are attractively
priced by comparison. Signs of economic recovery in Japan and Europe--especially
Germany--may spell much stronger growth for foreign stocks going forward. We
also may look to preserve some of the fund's domestic stock gains by shifting a
portion into cash.
But it's important to remember that we don't make substantial bets on
specific market sectors. The asset allocation changes I'm referring to will
probably involve a small portion of the fund's assets. The fund is managed to
meet specific goals, so we try to keep the fund's portfolio consistent with its
neutral allocations to help achieve these goals. When overweighting or
underweighting a market sector, we do so within the operating ranges outlined in
the prospectus.
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ASSET ALLOCATION (as of May 31, 1996)
Money Market Securities 20.0%
Domestic Bonds 37.8%
Foreign Stocks 7.3%
Foreign Bonds 5.5%
Domestic Stocks 29.4%
Percent of fund investments.
Strategic Allocation: Conservative schedule of investments begins on page 12.
7
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STRATEGIC ALLOCATION: MODERATE
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MANAGEMENT Q & A
An interview with Jeff Tyler, lead portfolio manager of the Strategic
Allocation: Moderate fund.
Q: HOW HAS THE FUND PERFORMED SINCE ITS INCEPTION?
A: The fund's return has been consistent with its more moderate asset allocation
structure. From its inception date of February 15, 1996, through May 31, 1996,
the fund posted a total return of 3.11%, compared to a 3.28% return for the S&P
500 stock index over the same period.
Q: THE FUND'S PERFORMANCE NEARLY KEPT PACE WITH THE S&P 500. WAS THE FUND
OVERWEIGHTED IN STOCKS?
A: Slightly at times, but not significantly. We've maintained a mostly neutral
position for the fund since its inception. But even in a neutral configuration,
the fund holds about 60% of its assets in domestic and foreign stocks, so most
of its return is tied to the returns of the global stock market. A 30% weighting
in bonds, which suffered declines during the period, held the fund's performance
down relative to the S&P 500.
QUICK FUND FACTS
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Strategic Allocation: Moderate
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STRATEGY:
Long-term capital
growth and some regular
income by investing in
a mix of stocks,
bonds and cash
INCEPTION DATE:
February 15, 1996
SIZE:
$15.0 million
(as of May 31, 1996)
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CUMULATIVE TOTAL RETURNS (as of May 31, 1996)
Strategic S&P Lehman 90-day
Allocation: 500 Aggregate Treasury Bill
Moderate Index Bond Index* Index*
------------ ------ ------------ -------------
Inception (2/15/96) 3.11% 3.28% -3.17% 1.65%
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$10,000 OVER LIFE OF FUND (as of May 31, 1996)
Value on 5/31/96:
$10,311 Strategic Allocation: Moderate
$10,328 S&P 500 Index
$10,165 90-day Treasury Bill Index*
$ 9,683 Lehman Aggregate Bond Index*
$10,000 investment made 2/15/96 (Inception date)
STRATEGIC S&P LEHMAN 90-DAY
ALLOCATION: 500 AGGREGATE TREASURY BILL
DATE MODERATE INDEX BOND INDEX* INDEX*
02/15/96 $10,000 $10,000 $10,000 $10,000
03/31/96 $10,000 $9,964 $9,758 $10,081
04/30/96 $10,231 $10,097 $9,703 $10,122
5/31/96 $10,311 $10,328 $9,683 $10,165
Past performance does not guarantee future results. Investment return and
principal value will fluctuate, and redemption value may be more or less than
original cost.
*Source: Lipper Analytical Services, Inc. (Data date 1/31/96)
8
May 31, 1996
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STRATEGIC ALLOCATION: MODERATE
Q: DID YOU DEVIATE AT ALL FROM THE FUND'S NEUTRAL ASSET MIX?
A: In addition to the slight overweighting in stocks discussed above, we have
tended to hold a little more cash than normal. The fund held cash in February
while we built the initial diversified portfolio. In addition, new money was
kept in cash while we determined suitable places to invest it. As the fund's
size increases, incoming investments will have a lesser impact on the cash
position.
Q: LOOKING FORWARD, HOW DO YOU PLAN TO POSITION THE FUND OVER THE NEXT SIX
MONTHS?
A: For the most part, we anticipate maintaining the fund's neutral positioning.
However, we may look to shift some of the fund's U.S. stock holdings into
foreign equities, which have lagged their U.S. counterparts and are attractively
priced by comparison. Signs of economic recovery in Japan and Europe--especially
Germany--may spell much stronger growth for foreign stocks going forward. We
also may look to preserve some of the fund's domestic stock gains by shifting a
portion into cash.
But it's important to remember that we don't make substantial bets on
specific market sectors. The asset allocation changes I'm referring to will
probably involve a small portion of the fund's assets. The fund is managed to
meet specific goals, so we try to keep the fund's portfolio consistent with its
neutral allocations to help achieve these goals. When overweighting or
underweighting a market sector, we do so within the operating ranges outlined in
the prospectus.
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ASSET ALLOCATION (as of May 31, 1996)
Foreign Bonds 4.9%
Domestic Bonds 23.3%
Domestic Stocks 43.2%
Money Market Securities 13.6%
Foreign Stocks 15.0%
Percent of fund investments.
Strategic Allocation: Moderate schedule of investments begins on page 16.
9
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STRATEGIC ALLOCATION: AGGRESSIVE
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MANAGEMENT Q & A
An interview with Jeff Tyler, lead portfolio manager of the Strategic
Allocation: Aggressive fund.
Q: HOW HAS THE FUND PERFORMED SINCE ITS INCEPTION?
A: The fund's return has been consistent with its more aggressive asset
allocation structure. From its inception date of February 15, 1996, through May
31, 1996, the fund posted a total return of 4.60%, compared to a 3.28% return
for the S&P 500 stock index over the same period.
Q: WHY DID THE FUND OUTPERFORM THE S&P 500?
A: In its neutral configuration, the fund holds about 75% of its assets in
domestic and foreign stocks, so most of its return is tied to the returns of the
global stock market. In addition, a greater portion of the fund's stock
allocation is devoted to small-cap stocks, which substantially outperformed the
large-cap stocks in the S&P 500 during the period.
QUICK FUND FACTS
---------------------------------------
Strategic Allocation: Aggressive
---------------------------------------
STRATEGY:
Long-term capital growth
and a limited amount
of regular income
investing in a mix of
stocks, bonds and cash
INCEPTION DATE:
February 15, 1996
SIZE:
$16.4 million
(as of May 31, 1996)
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CUMULATIVE TOTAL RETURNS (as of May 31, 1996)
Strategic S&P Lehman 90-day
Allocation: 500 Aggregate Treasury Bill
Aggressive Index Bond Index* Index*
----------- ------ ------------ -------------
Inception (2/15/96) 4.60% 3.28% -3.17% 1.65%
- --------------------------------------------------------------------------------
$10,000 OVER LIFE OF FUND (as of May 31, 1996)
Value on 5/31/96:
$10,460 Strategic Allocation: Aggressive
$10,328 S&P 500 Index
$10,165 90-day Treasury Bill Index*
$ 9,683 Lehman Aggregate Bond Index*
$10,000 investment made 2/15/96 (Inception date)
STRATEGIC S&P LEHMAN 90-DAY
ALLOCATION: 500 AGGREGATE TREASURY BILL
DATE AGGRESSIVE INDEX BOND INDEX* INDEX*
02/15/96 $10,000 $10,000 $10,000 $10,000
03/31/96 $10,020 $9,964 $9,758 $10,081
04/30/96 $10,340 $10,097 $9,703 $10,122
5/31/96 $10,460 $10,328 $9,683 $10,165
Past performance does not guarantee future results. Investment return and
principal value will fluctuate, and redemption value may be more or less than
original cost.
*Source: Lipper Analytical Services, Inc. (Data date 1/31/96)
10
May 31, 1996
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STRATEGIC ALLOCATION: AGGRESSIVE
Q: HOW HAS THE FUND BEEN POSITIONED SINCE ITS INCEPTION IN FEBRUARY?
A: We've maintained a mostly neutral position for the fund. We have tended to
hold a little more cash than normal. The fund held cash in February while we
built the initial diversified portfolio. In addition, new money was kept in cash
while we determined suitable places to invest it. As the fund grows in size,
incoming investments will have a lesser impact on the fund's cash position.
Q: LOOKING FORWARD, HOW DO YOU PLAN TO POSITION THE FUND OVER THE NEXT SIX
MONTHS?
A: For the most part, we anticipate maintaining the fund's neutral positioning.
However, we may look to shift some of the fund's U.S. stock holdings into
foreign equities, which have lagged their U.S. counterparts and are attractively
priced by comparison. Signs of economic recovery in Japan and Europe--especially
Germany--may spell much stronger growth for foreign stocks going forward. We
also may look to preserve some of the fund's domestic stock gains by shifting a
portion into cash.
But it's important to remember that we don't make substantial bets on
specific market sectors. The asset allocation changes I'm referring to will
probably involve a small portion of the fund's assets. We expect the fund to
continue holding more than two-thirds of its portfolio in stocks. The fund is
managed to meet specific goals, so we try to keep the fund's portfolio
consistent with its neutral allocations to help achieve these goals. When
overweighting or underweighting a market sector, we do so within the operating
ranges outlined in the prospectus.
- -------------------------------------
ASSET ALLOCATION (as of May 31, 1996)
Foreign Bonds 4.3%
Domestic Bonds 14.1%
Domestic Stocks 52.0%
Money Market Securities 10.1%
Foreign Stocks 19.5%
Percent of fund investments.
Strategic Allocation: Aggressive schedule of investments begins on page 22.
11
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SCHEDULES OF INVESTMENTS May 31, 1996 (Unaudited)
STRATEGIC ALLOCATION: CONSERVATIVE
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
COMMON STOCKS
AEROSPACE & DEFENSE -- 1.2%
300 Boeing Co. $25,575
3,700 CAE Inc. ORD 31,998
200 Lockheed Martin Corp. 16,775
100 McDonnell-Douglas Corp. 10,100
300 Raytheon Co. 15,975
---------
100,423
---------
AIRLINES -- 0.3%
100 AMR Corp.1 9,438
100 Continental Airlines, Inc. Cl B1 5,687
200 UAL Corp.1 11,425
--------
26,550
--------
AUTOMOBILES & AUTO PARTS -- 0.7%
100 Chrysler Corp. 6,663
700 Ford Motor Co. 25,550
1,000 Toyota Motor Corporation ORD 22,886
--------
55,099
--------
BANKING -- 2.3%
100 Chase Manhattan Corp. 7,000
100 Citicorp 8,400
300 First Chicago NBD Corporation 13,087
700 First Virginia Banks, Inc. 28,000
400 KeyCorp 15,500
600 Mercantile Bancorporation Inc. 28,200
400 Morgan (J.P.) & Co. 34,750
100 Norwest Corp. 3,487
1,000 PNC Bank Corp. 30,375
400 Wachovia Corp. 17,150
---------
185,949
---------
BIOTECHNOLOGY -- 0.9%
500 Advanced Tissue Sciences, Inc.1 9,188
200 Amgen Inc.1 11,888
300 Centocor, Inc.1 10,575
100 Chiron Corp.1 10,487
400 IDEC Pharmaceuticals Corp.1 10,325
100 Interneuron Pharmaceuticals, Inc.1 3,900
200 Martek BioSciences Corp.1 7,200
400 Neurex Corp.1 8,350
--------
71,913
--------
BUILDING & HOME IMPROVEMENT -- 0.3%
800 Masco Corp. 25,000
--------
BUSINESS SERVICES & SUPPLIES -- 2.2%
200 ABR Information Services, Inc.1 12,475
200 Adia SA ORD 46,493
300 B.I.S. SA ORD1 39,018
100 Boise Cascade Office
Products Corp.1 4,150
200 Employee Solutions, Inc.1 6,337
100 First Data Corp. 7,975
200 Gartner Group, Inc. Cl A1 7,200
200 HFS, Inc.1 12,475
400 PMT Services, Inc.1 13,575
100 Quintiles Transnational Corp.1 7,575
300 U.S. Office Products Company1 11,325
300 Wilmar Industries, Inc.1 7,837
---------
176,435
---------
CHEMICALS & RESINS -- 1.2%
400 Air Products & Chemicals, Inc. 23,800
200 Dow Chemical Co. 16,725
200 du Pont (E.I.) de Nemours & Co. 15,950
1,000 Lubrizol Corp. 30,375
300 Nalco Chemical Co. 9,525
--------
96,375
--------
COMMUNICATIONS EQUIPMENT -- 1.2%
100 ADC Telecommunications, Inc.1 4,612
100 Andrew Corp.1 5,412
200 Ascend Communications, Inc.1 13,362
100 Corning Inc. 3,825
100 Glenayre Technologies, Inc.1 4,912
200 Lucent Technologies Inc.1 7,600
200 Motorola, Inc. 13,350
100 Picturetel Corp.1 3,944
100 Premisys Communications, Inc.1 5,713
300 Proxim, Inc.1 12,413
100 Tellabs, Inc.1 6,425
200 Teltrend, Inc.1 9,100
100 U.S. Robotics Corp.1 9,138
--------
99,806
--------
COMMUNICATIONS SERVICES -- 2.0%
100 AT&T Corp. 6,237
100 Ameritech Corporation 5,650
600 BellSouth Corp. 24,375
450 Compania de Telefonia
Espana SA ADR 23,569
See Notes to Financial Statements
12
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
200 LCI International, Inc.1 $6,375
500 MCI Communications Corp. 14,531
200 MFS Communications, Inc.1 6,925
600 SBC Communications Inc. 29,625
2,400 TELUS Corporation ORD 31,877
300 Worldcom Inc.1 14,625
---------
163,789
---------
COMPUTER PERIPHERALS -- 0.9%
100 Adaptec, Inc.1 5,981
200 Cascade Communications1 11,288
600 Ciprico Inc.1 13,275
300 Cisco Systems Inc.1 16,406
200 Network Appliance, Inc.1 6,750
100 Seagate Technology1 5,875
100 Shiva Corp.1 7,450
200 3Com Corp.1 9,838
--------
76,863
--------
COMPUTER SOFTWARE & SERVICES -- 1.2%
100 BMC Software, Inc.1 6,313
200 Clarify, Inc.1 10,075
100 Computer Associates
International, Inc. 7,275
300 Computer Horizons Corp.1 14,062
600 HPR Inc.1 14,325
100 McAfee Associates, Inc.1 3,725
100 Microsoft Corp.1 11,869
1,800 Misys plc ORD 23,471
150 Oracle Systems Corp.1 4,959
--------
96,074
--------
COMPUTER SYSTEMS -- 0.5%
100 Dell Computer Corp.1 5,525
100 Gateway 2000, Inc.1 3,781
100 Hewlett-Packard Co. 10,675
100 International Business
Machines Corp. 10,675
200 Sun Microsystems, Inc.1 12,513
--------
43,169
--------
CONSUMER PRODUCTS -- 0.3%
1,000 Uni-Charm Corporation ORD 26,407
--------
DIVERSIFIED COMPANIES -- 0.4%
100 General Electric Co. (U.S.) 8,275
800 Lagardere Groupe ORD 21,788
--------
30,063
--------
ELECTRICAL & ELECTRONIC
COMPONENTS -- 0.4%
300 Honeywell Inc. 15,225
100 Intel Corp. 7,544
100 Komag, Inc.1 3,469
200 LSI Logic Corp.1 6,225
100 Xilinx, Inc.1 3,462
--------
35,925
--------
ENERGY (PRODUCTION & MARKETING) -- 3.9%
200 Amoco Corp. 14,500
1,000 Apache Corp. 28,625
300 Atlantic Richfield Co. 35,888
600 Burlington Resources Inc. 22,800
200 Chevron Corp. 11,950
500 Exxon Corp. 42,375
500 MAPCO Inc. 28,875
100 Mobil Corp. 11,287
300 Murphy Oil Corp. 13,237
100 Pennzoil Co. 4,325
300 Phillips Petroleum Co. 12,450
700 Renaissance Energy Ltd. ORD1 18,519
300 Texaco Inc. 25,125
1,300 Unocal Corp. 42,250
----------
312,206
----------
ENERGY (SERVICES) -- 0.4%
200 Baker Hughes Inc. 6,275
900 Transocean AS ORD1 23,933
--------
30,208
--------
ENVIRONMENTAL SERVICES -- 0.5%
900 Browning-Ferris Industries, Inc. 27,450
200 USA Waste Services, Inc.1 5,900
200 WMX Technologies, Inc. 7,050
--------
40,400
--------
FINANCIAL SERVICES -- 0.8%
100 Bear Stearns Companies, Inc. 2,413
1,000 Credit Saison Co., Ltd. ORD 23,905
100 Franklin Resources, Inc. 5,863
100 Money Store, Inc. (The) 2,650
1,000 Nomura Securities Co. Ltd. ORD 18,902
200 Price (T. Rowe) Associates, Inc. 5,575
100 Schwab (Charles) Corp. 2,425
150 Travelers Corp. 6,225
--------
67,958
--------
See Notes to Financial Statements
13
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) May 31, 1996 (Unaudited)
STRATEGIC ALLOCATION: CONSERVATIVE (CONT.)
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
FOOD & BEVERAGE -- 1.5%
1,300 Archer-Daniels Midland $25,350
1,100 Dean Foods Co. 26,813
1,600 Hudson Foods, Inc. Cl A 21,400
25,000 Parmalat Finanziaria S.p.A. ORD 31,442
400 PepsiCo, Inc. 13,300
----------
118,305
----------
HEALTHCARE -- 1.0%
500 Baxter International, Inc. 22,125
100 Columbia/HCA Healthcare Corp. 5,388
200 Healthsouth Rehabilitation Corp.1 7,000
400 Mallinckrodt Group Inc. 15,050
300 Pediatrix Medical Group, Inc.1 18,750
100 United HealthCare Corp. 5,487
200 Vencor, Inc.1 6,325
--------
80,125
--------
INDUSTRIAL EQUIPMENT & MACHINERY -- 0.4%
100 Caterpillar Inc. 6,563
600 Cooper Industries, Inc. 25,575
100 KLA Instruments Corp.1 2,681
--------
34,819
--------
INSURANCE -- 1.0%
100 American International Group, Inc. 9,425
100 CNA Financial Corp.1 10,000
200 Chubb Corp. (The) 9,325
100 CIGNA Corp. 11,488
100 General Re Corp. 14,600
100 HealthCare COMPARE Corp.1 4,825
400 NAC Re Corp. 13,000
100 UNUM Corp. 5,900
--------
78,563
--------
LEISURE -- 0.8%
200 Circus Circus Enterprises, Inc.1 8,325
100 Electronic Arts, Inc.1 3,169
11,600 Ladbroke Group plc ORD 34,083
100 MGM Grand, Inc.1 4,550
200 Mirage Resorts, Inc.1 11,375
--------
61,502
--------
MEDICAL EQUIPMENT & SUPPLIES -- 0.6%
300 Becton, Dickinson & Co. 25,500
100 DENTSPLY International Inc. 4,300
200 Medtronic, Inc. 11,250
400 Neuromedical Systems, Inc.1 6,800
--------
47,850
--------
METALS & MINING -- 0.1%
100 Aluminum Co. of America 6,163
--------
PACKAGING & CONTAINERS -- 0.3%
800 Ball Corporation 22,100
--------
PAPER & FOREST PRODUCTS -- 0.9%
1,000 Chesapeake Corp. 26,625
1,000 Hokuetsu Paper Mills, Ltd. ORD 8,663
300 Union Camp Corp. 15,788
700 Westvaco Corp. 22,400
--------
73,476
--------
PERSONAL SERVICES -- 0.1%
200 Service Corp. International 11,175
--------
PHARMACEUTICALS -- 1.2%
200 American Home Products Corp. 10,700
100 Johnson & Johnson 9,738
100 Lilly (Eli) & Co. 6,425
100 Merck & Co., Inc. 6,462
300 NCS HealthCare, Inc. Cl A1 9,037
200 Pharmacia & Upjohn, Inc. 8,175
20 Sandoz AG ORD 20,874
1,000 Sankyo Co Ltd. ORD 23,720
--------
95,131
--------
PUBLISHING -- 0.8%
1,000 American Greetings Corp. Cl A 27,063
300 Banta Corp. 7,275
300 Central Newspapers, Inc. Cl A 11,100
1,200 VNU Tijdschriftengroep
Nederland ORD 19,723
--------
65,161
--------
RAILROADS -- 0.6%
300 CSX Corporation 14,850
200 Norfolk Southern Corp. 17,250
200 Union Pacific Corp. 14,025
--------
46,125
--------
REAL ESTATE -- 0.3%
2,000 Mitsubishi Estate Co., Ltd. ORD 27,982
--------
RETAIL (APPAREL) -- 0.2%
400 Gap, Inc. 13,450
--------
See Notes to Financial Statements
14
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
RETAIL (FOOD & DRUG) -- 0.5%
1,200 Giant Food Inc. Cl A $41,400
--------
RETAIL (GENERAL MERCHANDISE) -- 0.8%
100 Dayton-Hudson Corp. 10,200
300 Dillard Department
Stores, Inc. Cl A 12,000
200 Kohl's Corp.1 6,625
300 May Department
Stores Co. (The) 14,213
300 Penney (J.C.) Company, Inc. 15,563
100 Sears, Roebuck & Co. 5,087
--------
63,688
--------
RETAIL (SPECIALTY) -- 0.5%
100 Avon Products, Inc. 9,250
200 Home Depot, Inc. 10,225
100 Nordstrom Inc. 5,081
48 Payless ShoeSource, Inc.1 1,350
100 PETsMART, Inc.1 4,425
300 Veterinary Centers of
America, Inc.1 7,406
--------
37,737
--------
STEEL -- 0.4%
10,000 NKK Corporation ORD1 29,280
--------
TOBACCO -- 0.4%
500 American Brands, Inc. 21,875
100 Philip Morris Companies Inc. 9,938
31,813
--------
UTILITIES (ELECTRIC) -- 2.0%
900 Florida Progress Corp. 29,700
600 Northern States Power Co. (Minn.) 28,200
1,100 Potomac Electric Power 28,050
1,200 Sierra Pacific Resources 28,500
400 Texas Utilities Electric Co. 16,350
700 Union Electric Co. 27,563
---------
158,363
---------
MISCELLANEOUS -- 0.2%
100 Apollo Group Inc. Cl A1 4,725
100 Boston Chicken, Inc.1 3,256
450 Youth Services International, Inc.1 11,925
--------
19,906
-----------
TOTAL COMMON STOCKS-- 36.2% 2,924,726
(Cost $2,794,347) -----------
PREFERRED STOCKS
CHEMICALS & RESINS -- 0.3%
50 Henkel KGaA ORD 21,077
--------
CONSUMER PRODUCTS -- 0.2%
30 Wella AG ORD1 16,225
--------
TOTAL PREFERRED STOCKS-- 0.5% 37,302
(Cost $35,999) --------
FIXED INCOME SECURITIES
U.S. TREASURY SECURITIES
$ 300,000 U.S. Treasury Notes,
5.00%, 2-15-99 289,776
200,000 U.S. Treasury Notes,
6.375%, 3-31-01 197,736
1,020,000 U.S. Treasury Notes,
7.50%, 5-15-02 1,060,453
-----------
TOTAL U.S. TREASURY SECURITIES-- 19.2% 1,547,965
(Cost $1,626,169) -----------
U.S. GOVERNMENT AGENCY SECURITIES -- 1.2%
100,000 FNMA, 7.60%, 1-10-97 101,125
(Cost $101,969) ----------
MORTGAGE-BACKED SECURITIES
101,000 FNMA Pool #250576,
7.00%, 4-1-06 96,676
546,943 GNMA Pool #416856,
7.50%, 10-15-06 536,048
198,000 GNMA Pool #372335,
7.50%, 2-15-07 194,042
100,000 GNMA TBA, 7.50%,
Settlement 6-19-96 97,844
--------
TOTAL MORTGAGE-BACKED SECURITIES-- 11.5% 924,610
(Cost $953,265) ---------
CORPORATE BONDS
100,000 Alcan Aluminium Ltd.,
5.875%, 4-1-00 96,625
DM 100,000 Credit Local de France,
5.875%, 7-6-00 67,094
(Y)20,000,000 Deutsche Bank AG,
4.125%, 11-15-99 198,054
$ 200,000 Ford Motor Credit Co.,
6.125%, 1-9-06 182,500
See Notes to Financial Statements
15
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) May 31, 1996 (Unaudited)
STRATEGIC ALLOCATION: CONSERVATIVE (CONT.)
- --------------------------------------------------------------------------------
Principal Amount Value
- --------------------------------------------------------------------------------
$ 200,000 Lockheed Martin Corp.,
6.85%, 5-15-01 $198,500
100,000 Sears, Roebuck & Co.,
6.00%, 5-1-00 96,250
---------
TOTAL CORPORATE BONDS-- 10.4% 839,023
(Cost $863,547) ---------
SOVEREIGN GOVERNMENTS
& AGENCIES -- 1.0%
Ffr 375,000 Government of France,
8.50%, 4-25-03 82,585
(Cost $83,468) --------
COMMERCIAL PAPER
$ 100,000 Merrill Lynch & Co., Inc.,
5.33%, 11-8-96 97,683
100,000 Nordbanken North America
Inc., 5.42%, 6-24-96 99,658
800,000 Principal Mutual Life Insurance
Company, 5.30%, 6-12-96 798,707
522,000 Unilever Capital Corporation,
5.35%, 6-5-96+ 521,690
-----------
TOTAL COMMERCIAL PAPER-- 18.8% 1,517,738
(Cost $1,517,704) -----------
TEMPORARY CASH INVESTMENTS -- 1.2%
Repurchase Agreement (Goldman
Sachs & Co., Inc.), 5.25%, due 6-3-96;
collateralized by $100,000 par value
U.S. Treasury Bonds, 7.125%,
due 2-15-23 (Delivery value $100,044) 100,000
(Cost $100,000) ----------
TOTAL INVESTMENT SECURITIES-- 100.0% $8,075,074
(Cost $8,076,468) ==========
STRATEGIC ALLOCATION: MODERATE
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
COMMON STOCKS
AEROSPACE & DEFENSE -- 1.2%
800 Boeing Co. $68,200
3,500 CAE Inc. ORD 30,268
400 Lockheed Martin Corp. 33,550
200 McDonnell-Douglas Corp. 20,200
600 Raytheon Co. 31,950
-----------
184,168
-----------
AIRLINES -- 0.4%
300 AMR Corp.1 28,313
200 Continental Airlines, Inc. Cl B1 11,375
400 UAL Corp.1 22,850
-----------
62,538
-----------
AUTOMOBILES & AUTO PARTS -- 0.9%
1,000 Autoindustries
Corporation Bhd ORD 6,810
500 Chrysler Corp. 33,313
1,500 Ford Motor Co. 54,750
3,000 Sanden Corp. ORD 21,432
1,000 Toyota Motor Corporation ORD 22,886
-----------
139,191
-----------
BANKING -- 3.5%
100 BayBanks, Inc. 10,838
300 Chase Manhattan Corp. 21,000
400 Citicorp 33,600
700 First Chicago NBD Corporation 30,538
1,300 First Virginia Banks, Inc. 52,000
15,000 International Bank of Asia
Limited ORD 9,210
800 KeyCorp 31,000
1,400 Mercantile Bancorporation Inc. 65,800
1,000 Morgan (J.P.) & Co. 86,875
800 Norwest Corp. 27,900
2,100 PNC Bank Corp. 63,787
900 Wachovia Corp. 38,587
200 Wells Fargo & Co. 48,200
-----------
519,335
-----------
BIOTECHNOLOGY -- 1.8%
1,500 Advanced Tissue Sciences, Inc.1 27,563
900 Amgen Inc.1 53,494
700 Centocor, Inc.1 24,675
300 Chiron Corp.1 31,462
See Notes to Financial Statements
16
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
100 Christian Hansen Holding
A/S Cl B ORD $10,903
800 IDEC Pharmaceuticals Corp.1 20,650
200 Interneuron Pharmaceuticals, Inc.1 7,800
700 Martek BioSciences Corp.1 25,200
1,100 Neurex Corp.1 22,962
2,400 QLT Phototherapeutics,
Inc. ORD1 51,407
-----------
276,116
-----------
BROADCASTING -- 0.5%
200 Grupo Televisa GDR1 6,150
100 M6 Metropole Television ORD 11,026
100 Nippon Television
Network Corp. ORD 28,353
1,500 Tele-Communications
International, Inc. Cl A1 28,406
-----------
73,935
-----------
BUILDING & HOME IMPROVEMENT -- 0.4%
300 Cimpor Cimentos de
Portugal SA ORD 5,530
1,800 Masco Corp. 56,250
-----------
61,780
-----------
BUSINESS SERVICES & SUPPLIES -- 2.2%
400 ABR Information Services, Inc.1 24,950
393 Ahrend Groep NV ORD 17,532
200 Boise Cascade Office
Products Corp.1 8,300
700 Employee Solutions, Inc.1 22,181
700 Esselte AB Cl B ORD 13,343
500 First Data Corp. 39,875
800 Gartner Group, Inc. Cl A1 28,800
500 HFS, Inc.1 31,188
800 PMT Services, Inc.1 27,150
400 Quintiles Transnational Corp.1 30,300
1,200 ROMAC International, Inc.1 33,900
600 U.S. Office Products Company1 22,650
1,100 Wilmar Industries, Inc.1 28,737
-----------
328,906
-----------
CHEMICALS & RESINS -- 1.6%
1,000 Air Products & Chemicals, Inc. 59,500
500 Dow Chemical Co. 41,813
400 du Pont (E.I.) de Nemours & Co. 31,900
4,000 Japan Synthetic
Rubber Co. ORD 28,019
2,200 Lubrizol Corp. 66,825
600 Nalco Chemical Co. 19,050
-----------
247,107
-----------
COMMUNICATIONS EQUIPMENT -- 2.7%
200 ADC Telecommunications, Inc.1 9,225
550 Andrew Corp.1 29,769
400 Ascend Communications, Inc.1 26,725
1,000 Corning Inc. 38,250
500 Glenayre Technologies, Inc.1 24,563
900 Lucent Technologies Inc.1 34,200
700 Motorola, Inc. 46,725
350 Nice-Systems Ltd. ADR1 7,350
300 Pairgain Technologies, Inc.1 30,450
200 Picturetel Corp.1 7,887
500 Premisys Communications, Inc.1 28,562
800 Proxim, Inc.1 33,100
600 Tandberg AS ORD1 9,407
600 Tellabs, Inc.1 38,550
500 Teltrend, Inc.1 22,750
200 U.S. Robotics Corp.1 18,275
-----------
405,788
-----------
COMMUNICATIONS SERVICES -- 2.8%
300 AT&T Corp. 18,713
600 Advanced Info Service Plc ORD 10,095
300 Ameritech Corporation 16,950
1,200 BellSouth Corp. 48,750
600 Compania de Telefonia
Espana SA ADR 31,425
800 LCI International, Inc.1 25,500
1,100 MCI Communications Corp. 31,969
1,000 MFS Communications, Inc.1 34,625
1,400 Portugal Telecom, S.A. ADR 33,950
1,200 SBC Communications Inc. 59,250
1,200 Tel-Save Holdings, Inc.1 26,100
500 Telecom Corp. of New
Zealand Ltd. ADR 32,812
170 Telecommunications
Brasileiras S.A. ADR 10,944
800 Worldcom Inc.1 39,000
-----------
420,083
-----------
COMPUTER PERIPHERALS -- 1.6%
500 Adaptec, Inc.1 29,906
400 Cascade Communications1 22,575
1,350 Ciprico Inc.1 29,869
1,000 Cisco Systems Inc.1 54,687
See Notes to Financial Statements
17
- -----------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) May 31, 1996 (Unaudited)
STRATEGIC ALLOCATION: MODERATE (CONT.)
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
300 FORE Systems, Inc.1 $24,263
400 Seagate Technology1 23,500
200 Shiva Corp.1 14,900
700 3Com Corp.1 34,431
-----------
234,131
-----------
COMPUTER SOFTWARE & SERVICES -- 2.9%
100 Applix, Inc.1 3,263
2,400 Architel Systems Corp. ORD1 19,354
200 BMC Software, Inc.1 12,625
1,000 Cap Gemini Sogeti SA ORD1 35,232
600 Clarify, Inc.1 30,225
700 Computer Associates
International, Inc. 50,925
500 Computer Horizons Corp.1 23,438
1,100 HPR Inc.1 26,262
1,300 JBA Holdings Plc ORD 10,663
200 McAfee Associates, Inc.1 7,450
700 Merkantildata A/S ORD 8,393
400 Microsoft Corp.1 47,475
2,400 Misys plc ORD 31,295
750 Oracle Systems Corp.1 24,797
600 Pure Software, Inc.1 24,000
300 TT Tieto OY ORD 13,675
1,140 Tecnomatix Technologies
Ltd. ADR1 26,434
2,500 The Sage Group plc ORD 17,947
325 WM-Data AB Cl B ORD 19,649
-----------
433,102
-----------
COMPUTER SYSTEMS -- 0.9%
200 Dell Computer Corp.1 11,050
500 Gateway 2000, Inc.1 18,906
300 Hewlett-Packard Co. 32,025
300 International Business
Machines Corp. 32,025
8,000 ST Computer Systems
& Services Ltd. ORD 6,309
600 Sun Microsystems, Inc.1 37,538
-----------
137,853
-----------
CONSUMER PRODUCTS -- 0.6%
500 Amway Japan Limited ORD 24,091
500 De Rigo S.p.A. ADR1 14,250
800 Safilo S.p.A. ORD 19,449
1,000 Uni-Charm Corporation ORD 26,407
41,000 Yue Yuen Industrial (Holdings)
Limited ORD 10,016
-----------
94,213
-----------
DIVERSIFIED COMPANIES -- 0.9%
82 Elbit Ltd. ORD 4,432
2,000 Gadek (Malaysia) Bhd ORD 12,659
300 General Electric Co. (U.S.) 24,825
1,100 Lagardere Groupe ORD 29,958
200 Malbak Ltd. ORD+ 943
65,000 Metro Pacific Corporation ORD 17,373
5,000 Parkway Holdings Ltd. ORD 14,565
17,000 Renong Bhd ORD 28,331
-----------
133,086
-----------
ELECTRICAL & ELECTRONIC COMPONENTS -- 1.5%
600 Flextronics International,
Ltd. ADR1 18,750
4,000 Hitachi Cable Ltd. ORD 34,061
600 Honeywell Inc. 30,450
1,000 Intel Corp. 75,438
1,400 K.R. Precision Plc ORD 9,676
200 Komag, Inc.1 6,938
700 LSI Logic Corp.1 21,787
2,000 Sharp Corp. ORD 32,615
-----------
229,715
-----------
ENERGY (PRODUCTION & MARKETING) -- 5.2%
400 Amoco Corp. 29,000
2,200 Apache Corp. 62,975
700 Atlantic Richfield Co. 83,738
1,100 Burlington Resources Inc. 41,800
500 Chevron Corp. 29,875
1,100 Exxon Corp. 93,225
2,500 Hitec A/S ORD1 13,450
1,100 MAPCO Inc. 63,525
300 Mobil Corp. 33,863
700 Murphy Oil Corp. 30,887
400 Pennzoil Co. 17,300
800 Phillips Petroleum Co. 33,200
1,000 Renaissance Energy Ltd. ORD1 26,455
600 Texaco Inc. 50,250
1,100 Total S.A. Cl B ORD1 79,796
2,800 Unocal Corp. 91,000
-----------
780,339
-----------
See Notes to Financial Statements
18
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
ENERGY (SERVICES) -- 0.3%
500 Baker Hughes Inc. $15,688
1,200 Transocean AS ORD1 31,911
-----------
47,599
-----------
ENVIRONMENTAL SERVICES -- 0.9%
2,400 Browning-Ferris Industries, Inc. 73,200
500 Tomra Systems A/S ORD 4,880
1,200 USA Waste Services, Inc.1 35,400
500 WMX Technologies, Inc. 17,625
-----------
131,105
-----------
FINANCIAL SERVICES -- 1.8%
2,000 Arab Malaysian Corporation ORD 7,331
200 Bear Stearns Companies, Inc. 4,825
1,300 Close Brothers Group Plc ORD 7,639
1,000 Credit Saison Co., Ltd. ORD 23,905
1,000 Daiwa Securities, Co., Ltd. ORD 13,435
500 Franklin Resources, Inc. 29,312
500 Internationale Nederlande
Groep N.V. ORD 41,266
1,235 Kempen & Company NV ORD 15,369
200 Money Store, Inc. (The) 5,300
740 Newcourt Credit Group Inc. ORD+ 17,282
1,000 Nomura Securities Co. Ltd. ORD 18,902
800 Price (T. Rowe) Associates, Inc. 22,300
600 Schwab (Charles) Corp. 14,550
1,050 Travelers Corp. 43,575
-----------
264,991
-----------
FOOD & BEVERAGE -- 1.8%
2,800 Archer-Daniels Midland 54,600
2,300 Dean Foods Co. 56,062
3,600 Hudson Foods, Inc. Cl A 48,150
1 Lindt und Sprungli AG ORD 18,838
31,000 Parmalat Finanziaria S.p.A. ORD 38,989
1,000 PepsiCo, Inc. 33,250
280 ROLIMPEX S.A. ORD1 12,190
-----------
262,079
-----------
HEALTHCARE -- 1.2%
1,100 Baxter International, Inc. 48,675
1,166 Biocompatibles
International plc ORD1 8,688
1,000 Mallinckrodt Group Inc. 37,625
600 Pediatrix Medical Group, Inc.1 37,500
300 United HealthCare Corp. 16,463
1,100 Vencor, Inc.1 34,787
-----------
183,738
-----------
INDUSTRIAL EQUIPMENT & MACHINERY -- 1.1%
300 Caterpillar Inc. 19,687
1,600 Cooper Industries, Inc. 68,200
1,000 Daifuku Co., Ltd. ORD 15,103
2,000 Dainippon Screen
Mfg. Co., Ltd. ORD 18,717
900 KCI Konecranes ORD1+ 22,047
450 Larsen & Toubro Ltd. GDR+ 9,000
1,000 Powerscreen International
Plc ORD 7,311
-----------
160,065
-----------
INSURANCE -- 1.7%
300 American International
Group, Inc. 28,275
300 CNA Financial Corp.1 30,000
800 Chubb Corp. (The) 37,300
300 CIGNA Corp. 34,463
100 General Re Corp. 14,600
500 HealthCare COMPARE Corp.1 24,125
1,000 NAC Re Corp. 32,500
4,000 Nissan Fire & Marine
Insurance Co. ORD 29,057
300 UNUM Corp. 17,700
-----------
248,020
-----------
LEISURE -- 1.4%
50,000 CDL Hotels International
Limited ORD 28,437
400 Circus Circus Enterprises, Inc.1 16,650
200 Electronic Arts, Inc.1 6,338
10,000 Ladbroke Group plc ORD 29,382
500 MGM Grand, Inc.1 22,750
500 Mirage Resorts, Inc.1 28,437
1,000 Nintendo Co., Ltd. ORD 73,755
-----------
205,749
-----------
MEDICAL EQUIPMENT & SUPPLIES -- 1.0%
800 Becton, Dickinson & Co. 68,000
200 DENTSPLY International Inc. 8,600
1,500 Getinge Industrier AB Cl B ORD 27,474
600 Medtronic, Inc. 33,750
700 Neuromedical Systems, Inc.1 11,900
-----------
149,724
-----------
METALS & MINING -- 0.2%
300 Aluminum Co. of America 18,487
400 Hoganas AB Cl B ORD 15,309
-----------
33,796
-----------
See Notes to Financial Statements
19
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) May 31, 1996 (Unaudited)
STRATEGIC ALLOCATION: MODERATE (CONT.)
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
PACKAGING & CONTAINERS -- 0.4%
2,000 Ball Corporation $55,250
-----------
PAPER & FOREST PRODUCTS -- 1.4%
2,300 Chesapeake Corp. 61,238
800 Grupo Industrial Durango,
S.A. de C.V. ADR1 6,800
20 Herlitz International
Trading AG ORD 7,820
2,000 Hokuetsu Paper Mills, LTD. ORD 17,327
600 Kimberly-Clark de Mexico S.A.
de C.V. Cl A ORD 11,041
1,000 Kokuyo Co. Ltd. ORD 26,778
600 Union Camp Corp. 31,575
1,500 Westvaco Corp. 48,000
-----------
210,579
-----------
PERSONAL Services -- 0.2%
400 Service Corp. International 22,350
-----------
PHARMACEUTICALS -- 2.0%
600 American Home Products Corp. 32,100
300 Johnson & Johnson 29,213
500 Jones Medical Industries, Inc. 26,344
500 Lilly (Eli) & Co. 32,125
200 Merck & Co., Inc. 12,925
900 NCS HealthCare, Inc. Cl A1 27,112
4,000 Nippon Kayaku Co. Ltd. ORD 28,909
1,300 OY Tamro AB Cl A ORD1+ 7,172
500 Pharmacia & Upjohn, Inc. 20,437
57 Sandoz AG ORD 59,490
1,000 Sankyo Co Ltd. ORD 23,720
-----------
299,547
-----------
PUBLISHING -- 1.2%
2,400 American Greetings Corp. Cl A 64,950
500 Banta Corp. 12,125
600 Central Newspapers, Inc. Cl A 22,200
2,200 Dorling Kindersley
Holdings plc ORD 21,422
3,600 Mondadori (Arnoldo)
Editore SpA ORD 27,971
1,600 VNU Tijdschriftengroep
Nederland ORD 26,297
-----------
174,965
-----------
RAILROADS -- 0.7%
600 CSX Corporation 29,700
400 Norfolk Southern Corp. 34,500
500 Union Pacific Corp. 35,063
-----------
99,263
-----------
REAL ESTATE -- 0.2%
2,000 Mitsubishi Estate Co., Ltd. ORD 27,982
-----------
RESTAURANTS -- 0.2%
500 Boston Chicken, Inc.1 16,281
500 Rainforest Cafe, Inc.1 20,438
-----------
36,719
-----------
RETAIL (APPAREL) -- 0.4%
35,000 Chaifa Holdings Limited ORD1 9,840
1,700 Gap, Inc. 57,162
-----------
67,002
-----------
RETAIL (FOOD & DRUG) -- 0.6%
2,700 Giant Food Inc. Cl A 93,150
-----------
RETAIL (GENERAL MERCHANDISE) -- 1.7%
300 Dayton-Hudson Corp. 30,600
700 Dillard Department
Stores, Inc. Cl A 28,000
800 Etablissements
Economiques du Casino
Guichard-Perrachon ORD1 33,699
100 Kaufhof Holding AG ORD 35,321
800 Kohl's Corp.1 26,500
600 May Department
Stores Co. (The) 28,425
5,000 PT Matahari Putra Prima ORD 10,986
600 Penney (J.C.) Company, Inc. 31,125
300 Sears, Roebuck & Co. 15,263
3,500 Siam Makro PLC ORD 17,555
-----------
257,474
-----------
RETAIL (SPECIALTY) -- 0.8%
100 Avon Products, Inc. 9,250
900 Home Depot, Inc. 46,012
400 Nordstrom Inc. 20,325
96 Payless ShoeSource, Inc.1 2,700
500 PETsMART, Inc.1 22,125
900 Veterinary Centers of
America, Inc.1 22,219
-----------
122,631
-----------
See Notes to Financial Statements
20
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
STEEL -- 0.4%
9,000 NKK Corporation ORD1 $26,352
500 Steel Authority of India
Limited GDR1+ 7,125
8,000 Sumitomo Metal
Industries Ltd. ORD 24,684
-----------
58,161
-----------
TOBACCO -- 1.0%
1,100 American Brands, Inc. 48,125
50 Compagnie Financiere
Richemont AG Cl A ORD 74,349
200 Philip Morris Companies Inc. 19,875
3,000 R.J. Reynolds Berhad ORD 9,134
-----------
151,483
-----------
TRANSPORTATION -- 0.4%
500 IHC Caland N.V. ORD 23,127
600 Koninklijke Van
Ommeren N.V. ORD 22,364
11,100 TNT Ltd. ORD1 13,378
-----------
58,869
-----------
UTILITIES (ELECTRIC) -- 2.3%
1,900 Florida Progress Corp. 62,700
1,300 Northern States
Power Co. (Minn.) 61,100
2,500 Potomac Electric Power 63,750
2,600 Sierra Pacific Resources 61,750
800 Texas Utilities Electric Co. 32,700
1,600 Union Electric Co. 63,000
-----------
345,000
-----------
MISCELLANEOUS -- 0.7%
200 Apollo Group Inc. Cl A1 9,450
1,500 Central Garden & Pet Company1 22,031
125 Havas Advertising SA ORD 14,195
900 Studio Plus Hotels, Inc.1 27,225
1,200 Youth Services
International, Inc.1 31,800
-----------
104,701
-----------
TOTAL COMMON STOCKS-- 57.6% 8,633,378
(Cost $8,175,744) -----------
PREFERRED STOCKS
CHEMICALS & RESINS -- 0.2%
60 Henkel KGaA ORD 25,293
----------
FINANCIAL SERVICES -- 0.2%
30 Marschollek, Lautenschlaeger
und Partner AG ORD $30,459
----------
PHARMACEUTICALS -- 0.2%
190 Fresenius AG ORD 33,274
---------
TOTAL PREFERRED STOCKS-- 0.6% 89,026
(Cost $72,916) ---------
FIXED INCOME SECURITIES
U.S. TREASURY SECURITIES
$ 650,000 U.S. Treasury Notes,
5.00%, 2-15-99 627,848
1,050,000 U.S. Treasury Notes,
7.50%, 5-15-02 1,091,643
-----------
TOTAL U.S. TREASURY SECURITIES-- 11.5% 1,719,491
(Cost $1,773,820) -----------
U.S. GOVERNMENT AGENCY SECURITIES -- 1.0%
150,000 FNMA, 7.60%, 1-10-97 151,688
(Cost $152,950) ----------
MORTGAGE-BACKED SECURITIES
404,000 FNMA Pool #250576, 7.00%,
4-1-06 386,704
298,332 GNMA Pool #416856, 7.50%,
10-15-06 292,390
200,000 GNMA TBA, 7.50%,
Settlement 6-19-96 195,687
TOTAL MORTGAGE-BACKED SECURITIES-- 5.8% 874,781
(Cost $899,507) ----------
CORPORATE BONDS
100,000 Alcan Aluminium Ltd.,
5.875%, 4-1-00 96,625
DM 100,000 Credit Local de France,
5.875%, 7-6-00 67,094
(Y)20,000,000 Deutsche Bank AG,
4.125%, 11-15-99 198,054
$ 100,000 Ford Motor Credit Co.,
6.125%, 1-9-06 91,250
100,000 Lockheed Martin Corp.,
6.85%, 5-15-01 99,250
200,000 Merrill Lynch & Co. Inc.,
8.00%, 2-1-02 207,000
100,000 Paramount Communications,
Inc., 7.50%, 1-15-02 97,125
See Notes to Financial Statements
21
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) May 31, 1996 (Unaudited)
STRATEGIC ALLOCATION: MODERATE (CONT.)
- --------------------------------------------------------------------------------
Principal Amount Value
- --------------------------------------------------------------------------------
$ 150,000 Spieker Properties, Inc.,
6.80%, 12-15-01 $143,813
100,000 Time Warner Inc., 8.11%,
8-15-06 99,000
-----------
TOTAL CORPORATE BONDS-- 7.4% 1,099,211
(Cost $1,134,344) -----------
SOVEREIGN GOVERNMENTS
& AGENCIES
Ffr 375,000 Government of France, 8.50%,
4-25-03 82,585
ITL Republic of Italy,
100,000,000 9.50%, 12-1-99 66,528
DM 200,000 Treuhandanstalt, 7.375%, 12-2-02 141,561
(pound)50,000 United Kingdom Treasury,
8.00%, 6-10-03 78,228
-----------
TOTAL SOVEREIGN GOVERNMENTS
& AGENCIES -- 2.5% 368,902
(Cost $369,377) -----------
COMMERCIAL PAPER
$ 200,000 Air Products & Chemicals, Inc.,
5.36%, 8-19-96 197,698
500,000 American Express Company,
5.29%, 6-3-96 499,852
500,000 Dun & Bradstreet Corp.,
5.35%, 7-9-96 497,203
850,000 Westdeutsche Landesbank
Girozentrale, 5.35%, 6-7-96 849,242
-----------
TOTAL COMMERCIAL PAPER-- 13.6% 2,043,995
(Cost $2,044,103) -----------
TOTAL INVESTMENT SECURITIES-- 100.0% $14,980,472
(Cost $14,622,761) ===========
STRATEGIC ALLOCATION: AGGRESSIVE
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
COMMON STOCKS
AEROSPACE & DEFENSE -- 1.3%
800 Boeing Co. $68,200
4,500 CAE Inc. ORD 38,916
300 Lockheed Martin Corp. 25,163
500 McDonnell-Douglas Corp. 50,500
500 Raytheon Co. 26,625
-----------
209,404
-----------
AIRLINES -- 0.8%
700 AMR Corp.1 66,063
400 Continental Airlines, Inc. Cl B1 22,750
800 UAL Corp.1 45,700
-----------
134,513
-----------
AUTOMOBILES & AUTO PARTS -- 1.4%
2,000 Autoindustries Corporation
Bhd ORD 13,621
700 Chrysler Corp. 46,637
1,400 Ford Motor Co. 51,100
5,000 Sanden Corp. ORD 35,719
1,000 Toyota Motor Corporation ORD 22,886
1,050 Valeo SA ORD 57,173
-----------
227,136
-----------
BANKING -- 4.1%
200 BayBanks, Inc. 21,675
700 Chase Manhattan Corp. 49,000
900 Citicorp 75,600
700 First Chicago NBD Corporation 30,537
1,400 First Virginia Banks, Inc. 56,000
21,000 International Bank of Asia
Limited ORD 12,894
700 KeyCorp 27,125
1,300 Mercantile Bancorporation Inc. 61,100
1,100 Morgan (J.P.) & Co. 95,562
1,500 Norwest Corp. 52,312
1,900 PNC Bank Corp. 57,713
10,000 PT Bank Bira ORD1 9,861
9,600 Security Bank Corp. ORD1 26,575
800 Wachovia Corp. 34,300
200 Wells Fargo & Co. 48,200
-----------
658,454
-----------
See Notes to Financial Statements
22
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
BIOTECHNOLOGY -- 2.5%
2,100 Advanced Tissue Sciences, Inc.1 $38,587
1,600 Amgen Inc.1 95,100
1,100 Centocor, Inc.1 38,775
400 Chiron Corp.1 41,950
100 Christian Hansen Holding
A/S Cl B ORD 10,903
1,200 IDEC Pharmaceuticals Corp.1 30,975
700 Interneuron Pharmaceuticals, Inc.1 27,300
1,100 Martek BioSciences Corp.1 39,600
1,500 Neurex Corp.1 31,313
2,700 QLT Phototherapeutics,
Inc. ORD1 57,833
-----------
412,336
-----------
BROADCASTING -- 0.3%
300 Grupo Televisa GDR1 9,225
150 M6 Metropole Television ORD 16,539
100 Nippon Television
Network Corp. ORD 28,353
-----------
54,117
-----------
BUILDING & HOME IMPROVEMENT -- 0.5%
400 Cimpor Cimentos de
Portugal SA ORD 7,373
1,600 Masco Corp. 50,000
2,000 National House Industrial Co. ORD 31,318
-----------
88,691
-----------
BUSINESS SERVICES & SUPPLIES -- 4.1%
600 ABR Information Services, Inc.1 37,425
400 Adia SA ORD 92,986
303 Ahrend Groep NV ORD 13,517
300 B.I.S. SA ORD1 39,018
600 Boise Cascade Office
Products Corp.1 24,900
800 Concord EFS, Inc.1 27,300
900 Employee Solutions, Inc.1 28,519
1,200 Esselte AB Cl B ORD 22,873
1,100 First Data Corp. 87,725
900 Gartner Group, Inc. Cl A1 32,400
900 HFS, Inc.1 56,138
1,300 PMT Services, Inc.1 44,119
500 Quintiles Transnational Corp.1 37,875
1,600 ROMAC International, Inc.1 45,200
900 U.S. Office Products Company1 33,975
1,500 Wilmar Industries, Inc.1 39,187
-----------
663,157
-----------
CHEMICALS & RESINS -- 1.5%
700 Air Products & Chemicals, Inc. 41,650
400 Dow Chemical Co. 33,450
200 du Pont (E.I.) de Nemours & Co. 15,950
4,000 Japan Synthetic Rubber Co. ORD 28,019
1,900 Lubrizol Corp. 57,713
600 Nalco Chemical Co. 19,050
700 Potash Corp. of
Saskatchewan Inc. ADR 46,550
-----------
242,382
-----------
COMMUNICATIONS EQUIPMENT -- 4.3%
400 ADC Telecommunications, Inc.1 18,450
750 Andrew Corp.1 40,594
1,100 Ascend Communications, Inc.1 73,494
1,000 Corning Inc. 38,250
1,000 Glenayre Technologies, Inc.1 49,125
1,700 Lucent Technologies Inc.1 64,600
1,600 Motorola, Inc. 106,800
400 Pairgain Technologies, Inc.1 40,600
1,300 Picturetel Corp.1 51,269
700 Premisys Communications, Inc.1 39,987
1,000 Proxim, Inc.1 41,375
1,100 Tandberg AS ORD1 17,247
900 Tellabs, Inc.1 57,825
600 Teltrend, Inc.1 27,300
400 U.S. Robotics Corp.1 36,550
-----------
703,466
-----------
COMMUNICATIONS SERVICES -- 3.2%
400 AT&T Corp. 24,950
600 Advanced Info Service Plc ORD 10,095
500 Ameritech Corporation 28,250
900 BellSouth Corp. 36,563
740 Compania de Telefonia
Espana SA ADR 38,757
1,000 LCI International, Inc.1 31,875
1,000 MCI Communications Corp. 29,062
1,400 MFS Communications, Inc.1 48,475
1,000 Omnipoint Corporation1 31,125
1,400 Portugal Telecom, S.A. ADR 33,950
900 SBC Communications Inc. 44,437
1,800 Tel-Save Holdings, Inc.1 39,150
240 Telecommunications
Brasileiras S.A. ADR 15,450
See Notes to Financial Statements
23
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) May 31, 1996 (Unaudited)
STRATEGIC ALLOCATION: AGGRESSIVE (CONT.)
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
2,100 TELUS Corporation ORD $27,893
1,600 Worldcom Inc.1 78,000
-----------
518,032
-----------
COMPUTER PERIPHERALS -- 2.4%
700 Adaptec, Inc.1 41,869
500 Cabletron Systems, Inc.1 36,375
600 Cascade Communications1 33,862
1,950 Ciprico Inc.1 43,144
1,800 Cisco Systems Inc.1 98,437
400 FORE Systems, Inc.1 32,350
400 Seagate Technology1 23,500
400 Shiva Corp.1 29,800
1,000 3Com Corp.1 49,188
-----------
388,525
-----------
COMPUTER SOFTWARE & SERVICES -- 4.2%
300 Applix, Inc.1 9,788
3,000 Architel Systems Corp. ORD1 24,193
500 BMC Software, Inc.1 31,563
800 Clarify, Inc.1 40,300
1,100 Computer Associates
International, Inc. 80,025
700 Computer Horizons Corp.1 32,813
22,000 Founder (Hong Kong) Ltd. ORD1 9,882
1,700 HPR Inc.1 40,587
1,900 JBA Holdings Plc ORD 15,584
500 McAfee Associates, Inc.1 18,625
700 Microsoft Corp.1 83,081
5,700 Misys plc ORD 74,326
1,300 Oracle Systems Corp.1 42,981
600 Pure Software, Inc.1 24,000
600 Synopsis, Inc.1 26,775
700 TT Tieto OY ORD 31,909
2,300 Tecnomatix Technologies Ltd. ADR1 53,331
2,700 The Sage Group plc ORD 19,383
320 WM-Data AB Cl B ORD 19,347
-----------
678,493
-----------
COMPUTER SYSTEMS -- 1.5%
400 Dell Computer Corp.1 22,100
800 Gateway 2000, Inc.1 30,250
700 Hewlett-Packard Co. 74,725
300 International Business
Machines Corp. 32,025
11,000 ST Computer Systems &
Services Ltd. ORD 8,675
1,300 Sun Microsystems, Inc.1 81,331
-----------
249,106
-----------
CONSUMER PRODUCTS -- 1.1%
700 Amway Japan Limited ORD 33,727
650 De Rigo S.p.A. ADR1 18,525
1,000 Safilo S.p.A. ORD 24,311
100 Suisse Microelectronique
et d'Horlogerie ORD1 68,577
1,000 Uni-Charm Corporation ORD 26,407
56,000 Yue Yuen Industrial (Holdings)
Limited ORD 13,681
-----------
185,228
-----------
DIVERSIFIED COMPANIES -- 1.5%
200 Elbit Ltd. ORD 10,810
2,000 Gadek (Malaysia) Bhd ORD 12,659
600 General Electric Co. (U.S.) 49,650
1,400 Lagardere Groupe ORD 38,129
300 Malbak Ltd. ORD+ 1,414
85,000 Metro Pacific Corporation ORD 22,719
7,000 Parkway Holdings Ltd. ORD 20,391
17,000 Renong Bhd ORD 28,331
21,900 Southcorp Holdings Ltd. ORD 56,284
-----------
240,387
-----------
ELECTRICAL & ELECTRONIC COMPONENTS -- 2.1%
500 Flextronics International,
Ltd. ADR1 15,625
4,000 Hitatchi Cable Ltd. ORD 34,060
500 Honeywell Inc. 25,375
1,500 Intel Corp. 113,156
3,000 Japan Aviation Electronics
Industry, Ltd. ORD1 22,516
3,000 JEOL Ltd. ORD1 22,543
1,960 K.R. Precision Plc ORD 13,547
700 Komag, Inc.1 24,281
800 Sanmina Corp.1 29,400
2,000 Sharp Corp. ORD 32,615
-----------
333,118
-----------
ENERGY (PRODUCTION & MARKETING) -- 4.2%
400 Amoco Corp. 29,000
2,100 Apache Corp. 60,113
600 Atlantic Richfield Co. 71,775
See Notes to Financial Statements
24
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
1,000 Burlington Resources Inc. $38,000
500 Chevron Corp. 29,875
1,000 Exxon Corp. 84,750
2,600 Hitec A/S ORD1 13,988
1,000 MAPCO Inc. 57,750
300 Mobil Corp. 33,862
600 Murphy Oil Corp. 26,475
400 Pennzoil Co. 17,300
800 Phillips Petroleum Co. 33,200
1,300 Renaissance Energy Ltd. ORD1 34,392
700 Texaco Inc. 58,625
2,700 Unocal Corp. 87,750
-----------
676,855
-----------
ENERGY (SERVICES) -- 0.4%
500 Baker Hughes Inc. 15,688
1,600 Transocean AS ORD1 42,548
-----------
58,236
-----------
ENVIRONMENTAL SERVICES -- 0.8%
1,900 Browning-Ferris Industries, Inc. 57,950
1,600 Tomra Systems A/S ORD 15,617
1,200 USA Waste Services, Inc.1 35,400
400 WMX Technologies, Inc. 14,100
-----------
123,067
-----------
FINANCIAL SERVICES -- 2.3%
3,000 Arab Malaysian Corporation ORD 10,997
900 Bear Stearns Companies, Inc. 21,713
1,000 Credit Saison Co., Ltd. ORD 23,905
1,000 Daiwa Securities, Co., Ltd. ORD 13,435
800 Franklin Resources, Inc. 46,900
400 Internationale Nederlande
Groep N.V. ORD 33,012
1,739 Kempen & Company NV ORD 21,641
700 Money Store, Inc. (The) 18,550
1,100 Newcourt Credit
Group Inc. ORD+ 25,689
2,000 Nomura Securities Co. Ltd. ORD 37,804
1,200 Price (T. Rowe) Associates, Inc. 33,450
500 Schwab (Charles) Corp. 12,125
500 State Street Boston Corp. 26,062
1,050 Travelers Corp. 43,575
-----------
368,858
-----------
FOOD & BEVERAGE -- 2.1%
2,600 Archer-Daniels Midland 50,700
2,100 Dean Foods Co. 51,187
3,200 Hudson Foods, Inc. Cl A 42,800
1 Lindt und Sprungli AG ORD 18,838
27,000 Parmalat Finanziaria S.p.A. ORD 33,958
2,600 PepsiCo, Inc. 86,450
400 ROLIMPEX S.A. ORD1 17,414
1,200 South African Breweries
Ltd. ORD 36,621
---------
337,968
---------
HEALTHCARE -- 1.3%
1,000 Baxter International, Inc. 44,250
3,333 Biocompatibles
International plc ORD1 24,717
900 Healthsouth Rehabilitation Corp.1 31,500
1,000 Mallinckrodt Group Inc. 37,625
600 Pediatrix Medical Group, Inc.1 37,500
500 United HealthCare Corp. 27,438
500 Vencor, Inc.1 15,812
-----------
218,842
-----------
INDUSTRIAL EQUIPMENT & MACHINERY -- 1.0%
300 Caterpillar Inc. 19,688
1,400 Cooper Industries, Inc. 59,675
2,000 Daifuku Co., Ltd. ORD 30,206
3,000 Dainippon Screen
Mfg. Co., Ltd. ORD 28,075
1,000 KCI Konecranes ORD1+ 24,496
425 Larsen & Toubro Ltd. GDR+ 8,500
-----------
170,640
-----------
INSURANCE -- 1.7%
500 American International
Group, Inc. 47,125
300 CNA Financial Corp.1 30,000
600 Chubb Corp. (The) 27,975
500 CIGNA Corp. 57,438
100 General Re Corp. 14,600
600 HealthCare COMPARE Corp.1 28,950
900 NAC Re Corp. 29,250
4,000 Nissan Fire & Marine
Insurance Co. ORD 29,057
200 UNUM Corp. 11,800
-----------
276,195
-----------
LEISURE -- 1.6%
1,000 Circus Circus Enterprises, Inc.1 41,625
600 Electronic Arts, Inc.1 19,012
25 Fotolabs S.A. ORD1 10,521
See Notes to Financial Statements
25
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) May 31, 1996 (Unaudited)
STRATEGIC ALLOCATION: AGGRESSIVE (CONT.)
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
18,700 Ladbroke Group plc ORD $54,944
500 MGM Grand, Inc.1 22,750
400 Mirage Resorts, Inc.1 22,750
1,000 Nintendo Co., Ltd. ORD 73,755
2,100 Servgro International Ltd. ORD 9,897
-----------
255,254
-----------
MEDICAL EQUIPMENT & SUPPLIES -- 2.0%
1,100 Becton, Dickinson & Co. 93,500
800 Boston Scientific Corp.1 34,300
800 DENTSPLY International Inc. 34,400
1,935 Getinge Industrier AB Cl B ORD 35,443
500 Guidant Corp. 29,000
900 Medtronic, Inc. 50,625
1,400 Neuromedical Systems, Inc.1 23,800
800 United States Surgical Corp. 27,400
-----------
328,468
-----------
METALS & MINING -- 0.2%
200 Aluminum Co. of America 12,325
600 Hoganas AB Cl B ORD 22,963
-----------
35,288
-----------
PACKAGING & CONTAINERS -- 0.5%
1,700 Ball Corporation 46,962
150 Schmalbach Lubeca AG ORD 27,797
-----------
74,759
-----------
PAPER & FOREST PRODUCTS -- 1.2%
2,100 Chesapeake Corp. 55,912
1,300 Grupo Industrial Durango,
S.A. de C.V. ADR1 11,050
25 Herlitz International Trading
AG ORD 9,775
2,000 Hokuetsu Paper Mills,
LTD. ORD 17,327
600 Kimberly-Clark de Mexico
S.A. de C.V. Cl A ORD 11,041
1,000 Kokuyo Co. Ltd. ORD 26,778
500 Union Camp Corp. 26,313
1,300 Westvaco Corp. 41,600
-----------
199,796
-----------
PERSONAL SERVICES -- 0.2%
700 Service Corp. International 39,113
-----------
PHARMACEUTICALS -- 2.9%
800 American Home Products Corp. $42,800
700 Johnson & Johnson 68,162
700 Jones Medical Industries, Inc. 36,881
800 Lilly (Eli) & Co. 51,400
400 Merck & Co., Inc. 25,850
1,300 NCS HealthCare, Inc. Cl A1 39,163
4,000 Nippon Kayaku Co. Ltd. ORD 28,909
1,400 Pharmacia & Upjohn, Inc. 57,225
64 Sandoz AG ORD 66,796
2,000 Sankyo Co Ltd. ORD 47,440
-----------
464,626
-----------
PUBLISHING -- 1.1%
2,100 American Greetings Corp. Cl A 56,831
600 Banta Corp. 14,550
600 Central Newspapers, Inc. Cl A 22,200
3,200 Dorling Kindersley
Holdings plc ORD 31,159
3,600 Mondadori (Arnoldo)
Editore SpA ORD 27,971
2,100 VNU Tijdschriftengroep
Nederland ORD 34,515
-----------
187,226
-----------
RAILROADS -- 0.5%
500 CSX Corporation 24,750
300 Norfolk Southern Corp. 25,875
400 Union Pacific Corp. 28,050
-----------
78,675
-----------
REAL ESTATE -- 0.3%
3,000 Mitsubishi Estate Co., Ltd. ORD 41,974
-----------
RESTAURANTS -- 0.4%
800 Boston Chicken, Inc.1 26,050
900 Rainforest Cafe, Inc.1 36,788
-----------
62,838
-----------
RETAIL (APPAREL) -- 0.7%
20,000 Chaifa Holdings Limited ORD1 5,623
3,200 Gap, Inc. 107,600
-----------
113,223
-----------
RETAIL (FOOD & DRUG) -- 0.7%
600 Delhaize-Le Lion, S.A. ORD 30,472
2,400 Giant Food Inc. Cl A 82,800
-----------
113,272
-----------
See Notes to Financial Statements
26
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares Value
- --------------------------------------------------------------------------------
RETAIL (GENERAL MERCHANDISE) -- 1.4%
300 Dayton-Hudson Corp. $30,600
700 Dillard Department
Stores, Inc. Cl A 28,000
2,000 Hankyu Department
Stores Inc. ORD 27,056
300 Kohl's Corp.1 9,938
600 May Department
Stores Co. (The) 28,425
7,000 PT Matahari Putra Prima ORD 15,380
600 Penney (J.C.) Company, Inc. 31,125
600 Sears, Roebuck & Co. 30,525
4,000 Siam Makro PLC ORD 20,063
-----------
221,112
-----------
RETAIL (SPECIALTY) -- 1.2%
200 Avon Products, Inc. 18,500
1,500 Home Depot, Inc. 76,688
500 Nordstrom Inc. 25,406
80 Payless ShoeSource, Inc.1 2,250
900 PETsMART, Inc.1 39,825
1,100 Veterinary Centers of
America, Inc.1 27,156
-----------
189,825
-----------
STEEL -- 0.5%
12,000 NKK Corporation ORD1 35,136
1,500 Steel Authority of India
Limited GDR1+ 21,375
10,000 Sumitomo Metal
Industries Ltd. ORD 30,855
-----------
87,366
-----------
TOBACCO -- 0.7%
1,000 American Brands, Inc. 43,750
600 Philip Morris Companies Inc. 59,625
4,000 R.J. Reynolds Berhad ORD 12,179
-----------
115,554
-----------
TRANSPORTATION -- 0.3%
600 IHC Caland N.V. ORD 27,753
800 Koninklijke Van
Ommeren N.V. ORD 29,819
-----------
57,572
-----------
UTILITIES (ELECTRIC) -- 1.9%
1,700 Florida Progress Corp. 56,100
1,200 Northern States
Power Co. (Minn.) 56,400
2,200 Potomac Electric Power 56,100
2,300 Sierra Pacific Resources 54,625
700 Texas Utilities Electric Co. 28,613
1,400 Union Electric Co. 55,125
-----------
306,963
-----------
MISCELLANEOUS -- 1.3%
800 Apollo Group Inc. Cl A1 37,800
3,000 Central Garden & Pet Company1 44,062
400 Hagemeyer N.V. ORD 27,589
180 Havas Advertising SA ORD 20,441
1,300 Studio Plus Hotels, Inc.1 39,325
1,650 Youth Services
International, Inc.1 43,725
------------
212,942
------------
TOTAL COMMON STOCKS-- 70.2% 11,403,052
(Cost $10,769,626) ------------
PREFERRED STOCKS
CHEMICALS & RESINS -- 0.2%
82 Henkel KGaA ORD 34,567
-----------
CONSUMER PRODUCTS -- 0.5%
160 Wella AG ORD1 86,532
-----------
FINANCIAL SERVICES -- 0.3%
50 Marschollek, Lautenschlaeger
und Partner AG ORD 50,764
-----------
PHARMACEUTICALS -- 0.3%
220 Fresenius AG ORD 38,528
-----------
TOTAL PREFERRED STOCKS-- 1.3% 210,391
(Cost $180,127) -----------
FIXED INCOME SECURITIES
U.S. TREASURY SECURITIES
$ 100,000 U.S. Treasury Notes, 5.00%,
2-15-99 96,592
400,000 U.S. Treasury Notes, 6.375%,
3-31-01 395,472
365,000 U.S. Treasury Notes, 7.50%,
5-15-02 379,476
-----------
TOTAL U.S. TREASURY SECURITIES-- 5.4% 871,540
(Cost $903,129) -----------
See Notes to Financial Statements
27
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS (CONTINUED) May 31, 1996 (Unaudited)
STRATEGIC ALLOCATION: AGGRESSIVE (CONT.)
- --------------------------------------------------------------------------------
Principal Amount Value
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY SECURITIES -- 0.6%
$ 100,000 FNMA, 7.60%, 1-10-97 $ 101,125
(Cost $101,969) -----------
MORTGAGE-BACKED SECURITIES
101,000 FNMA Pool #250576, 7.00%,
4-1-06 96,676
149,166 GNMA Pool #416856, 7.50%,
10-15-06 146,195
158,400 GNMA Pool #372335, 7.50%,
2-15-07 155,234
150,000 GNMA TBA, 7.50%, Settlement
6-19-96 146,765
-----------
TOTAL MORTGAGE-BACKED SECURITIES-- 3.4% 544,870
(Cost $554,237) ----------
CORPORATE BONDS
DM 70,000 Credit Local de France, 5.875%,
7-6-00 46,966
(Y) 24,000,000 Deutsche Bank AG, 4.125%,
11-15-99 237,665
$ 100,000 General Motors Acceptance
Corp., MTN, 8.50%, 2-4-02 105,750
150,000 Spieker Properties, Inc., 6.80%,
12-15-01 143,812
100,000 Tele-Communications, Inc.,
8.25%, 1-15-03 99,875
125,000 Time Warner Inc., 8.11%, 8-15-06 123,750
150,000 UAL Corp., 9.00%, 12-15-03 158,813
150,000 360 Communications Company,
7.125%, 3-1-03 142,687
-----------
TOTAL CORPORATE BONDS-- 6.5% 1,059,318
(Cost $1,092,015) -----------
SOVEREIGN GOVERNMENTS
& AGENCIES
Ffr 250,000 Government of France, 8.50%,
4-25-03 55,057
PLN 480,000 Polish Treasury Bill,
21.19%*, 4-30-97 148,624
$ 100,000 Province of Quebec, 8.80%,
4-15-03 108,125
ITL Republic of Italy,
150,000,000 9.50%, 12-1-99 99,792
-----------
TOTAL SOVEREIGN GOVERNMENTS
& AGENCIES -- 2.5% 411,598
(Cost $419,600) -----------
COMMERCIAL PAPER
$ 900,000 AIG Funding, Inc., 5.33%, 6-5-96 899,468
200,000 Air Products & Chemicals, Inc.,
5.36%, 8-19-96 197,698
200,000 Dun & Bradstreet Corp.,
5.35%, 7-9-96 198,881
200,000 Nordbanken North America
Inc., 5.42%, 6-24-96 199,316
-----------
TOTAL COMMERCIAL PAPER-- 9.2% 1,495,363
(Cost $1,495,471) -----------
TEMPORARY CASH
INVESTMENTS -- 0.9%
Repurchase Agreement (Goldman Sachs &
Co., Inc.), 5.25%, due 6-3-96;
collateralized by $140,000 par value U.S.
Treasury Bonds, 8.75%, due 11-15-08
(Delivery value $150,066) 150,000
(Cost $150,000) -----------
Total Investment Securities-- 100.0% $16,247,257
(Cost $15,666,174) ===========
See Notes to Financial Statements
28
- --------------------------------------------------------------------------------
NOTES TO SCHEDULES OF INVESTMENTS
ADR = American Depositary Receipt
DM = German Mark
Ffr = French Franc
FNMA = Federal National Mortgage Association
GDR = Global Depositary Receipt
GNMA = Government National Mortgage Association
ITL = Italian Lira
MTN = Medium Term Note
ORD = Foreign Ordinary Shares
PLN = Polish Zloty
TBA = To Be Announced
(pound) = British Pounds Sterling
(Y) = Japanese Yen
1 Non-income producing
* Rate disclosed for this security represents effective yield to maturity as of
May 31, 1996.
+ The securities listed in the chart below were purchased under Rule 144A of the
Securities Act of 1933 and, unless registered under the Act or exempted from
registration, may only be sold to qualified institutional investors.
<TABLE>
<CAPTION>
MAY 31, 1996
------------------------
Fund/ Acquisition Average Market Percentage of
Issuer Date Cost Per Share Value Net Assets
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
STRATEGIC ALLOCATION: CONSERVATIVE
Unilever Capital Corporation,
5.35%, 6-5-96 5-31-96 $99.93 $521,690 6.5%
======= =====
STRATEGIC ALLOCATION: MODERATE
KCI Konecranes ORD 3-19-96 $14.75 $22,047 0.1%
Larsen & Toubro Ltd. GDR 4-3-96 16.13 9,000 0.1%
Malbak Ltd. ORD 2-15-96 7.44 943 --
Newcourt Credit Group Inc. ORD 2-15-96 to
5-22-96 19.00 17,282 0.1%
OY Tamro AB Cl A ORD 5-22-96 5.65 7,172 --
Steel Authority of India Limited GDR 4-26-96 15.50 7,125 --
-------- ------
$63,569 0.3%
======== ======
STRATEGIC ALLOCATION: AGGRESSIVE
KCI Konecranes ORD 3-19-96 $14.75 $24,496 0.1%
Larsen & Toubro Ltd. GDR 2-15-96 16.25 8,500 0.1%
Malbak Ltd. ORD 2-15-96 7.44 1,414 --
Newcourt Credit Group Inc. ORD 2-15-96 to
5-1-96 18.53 25,689 0.2%
Steel Authority of India Limited GDR 4-17-96 to
5-15-96 14.45 21,375 0.1%
-------- -------
$81,474 0.5%
======== =======
</TABLE>
See Notes to Financial Statements
29
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
STRATEGIC STRATEGIC STRATEGIC
ALLOCATION: ALLOCATION: ALLOCATION:
May 31, 1996 (Unaudited) CONSERVATIVE MODERATE AGGRESSIVE
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investment securities, at value (identified
cost of $8,076,468, $14,622,761 and $15,666,174,
respectively) (Note 3)............................ $8,075,074 $14,980,472 $16,247,257
Cash................................................. 46,417 100,162 154,851
Receivable for investments sold...................... 27,451 63,065 119,375
Dividends and interest receivable.................... 39,758 76,218 73,787
----------- ------------ ------------
8,188,700 15,219,917 16,595,270
----------- ------------ ------------
LIABILITIES
Disbursements in excess of demand deposit cash....... -- 27 816
Payable for investments purchased ................... 114,030 244,770 202,643
Payable for capital shares redeemed.................. 7,632 9,667 6,794
Accrued management fees (Note 2)..................... 6,333 12,804 15,241
Other liabilities.................................... 4 25 49
---------- ---------- ----------
127,999 267,293 225,543
---------- ---------- ----------
NET ASSETS APPLICABLE
TO OUTSTANDING SHARES................................ $8,060,701 $14,952,624 $16,369,727
=========== =========== ===========
CAPITAL SHARES, $.01 PAR VALUE
Authorized........................................... 100,000,000 100,000,000 100,000,000
=========== =========== ===========
Outstanding.......................................... 1,607,830 2,906,975 3,127,215
=========== =========== ===========
NET ASSET VALUE PER SHARE............................ $5.01 $5.14 $5.23
=========== =========== ===========
NET ASSETS CONSIST OF:
Capital (par value and paid-in surplus).............. $8,020,386 $14,574,621 $15,842,319
Undistributed net investment income................. 41,346 57,291 52,851
Accumulated undistributed net realized
gain (loss) from investment and foreign
currency transactions............................. 370 (36,976) (106,534)
Net unrealized appreciation (depreciation)
on investments and translation of assets
and liabilities in foreign currencies (Note 3).... (1,401) 357,688 581,091
---------- ----------- -----------
$8,060,701 $14,952,624 $16,369,727
========== =========== ===========
</TABLE>
See Notes to Financial Statements
30
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
STRATEGIC STRATEGIC STRATEGIC
February 15, 1996 (Inception) through ALLOCATION: ALLOCATION: ALLOCATION:
May 31, 1996 (Unaudited) CONSERVATIVE MODERATE AGGRESSIVE
- -------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Income:
Dividends (net of foreign taxes withheld
of $234, $1,429 and $1,654, respectively)......... $12,670 $31,141 $32,559
Interest............................................ 71,360 75,540 54,663
--------- --------- ---------
84,030 106,681 87,222
--------- --------- ---------
Expenses:
Management fees (Note 2)............................ 17,689 29,853 33,108
Directors' fees and expenses........................ 1,155 1,156 1,263
--------- --------- ---------
18,844 31,009 34,371
--------- --------- ---------
NET INVESTMENT INCOME.................................. 65,186 75,672 52,851
--------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) (Note 3)
Net realized gain (loss) during the period on:
Investments......................................... 1,824 (35,052) (104,324)
Foreign currency transactions....................... (1,454) (1,924) (2,210)
--------- ---------- -----------
370 (36,976) (106,534)
--------- ---------- -----------
Change in net unrealized appreciation (depreciation)
during the period on:
Investments......................................... (1,394) 357,711 581,083
Translation of assets and liabilities in
foreign currencies................................ (7) (23) 8
---------- ---------- ----------
(1,401) 357,688 581,091
---------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY....................... (1,031) 320,712 474,557
---------- ---------- ----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS.............................. $64,155 $396,384 $527,408
======== ======== ========
</TABLE>
See Notes to Financial Statements
31
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
STRATEGIC STRATEGIC STRATEGIC
February 15, 1996 (Inception) through ALLOCATION: ALLOCATION: ALLOCATION:
May 31, 1996 (Unaudited) CONSERVATIVE MODERATE AGGRESSIVE
- -------------------------------------------------------------------------------------------------------
INCREASE IN NET ASSETS
<S> <C> <C> <C>
OPERATIONS
Net investment income.................................. $65,185 $75,672 $52,851
Net realized gain (loss) on investments
and foreign currency transactions................... 370 (36,976) (106,534)
Change in net unrealized appreciation
(depreciation) on investments and
translation of assets and liabilities
in foreign currencies............................... (1,401) 357,688 581,091
---------- ---------- ---------
Net increase in net assets resulting
from operations..................................... 64,155 396,384 527,408
---------- ---------- ---------
DISTRIBUTIONS TO SHAREHOLDERS
From net investment income............................. (23,840) (18,381) --
----------- ---------- ---------
CAPITAL SHARE TRANSACTIONS
Proceeds from shares sold.............................. 9,121,198 19,244,744 19,648,392
Proceeds from reinvestment of distributions............ 23,840 18,381 --
Payments for shares redeemed..........................(1,124,652) (4,688,504) (3,806,073)
----------- ----------- -----------
Net increase in net assets from capital
share transactions.................................. 8,020,386 14,574,621 15,842,319
----------- ----------- -----------
NET INCREASE IN NET ASSETS............................. 8,060,701 14,952,624 16,369,727
NET ASSETS
Beginning of period.................................... -- -- --
---------- ----------- -----------
End of period..........................................$8,060,701 $14,952,624 $16,369,727
========== =========== ===========
Undistributed net investment
income............................................. $41,346 $57,291 $52,851
======== ======== ========
TRANSACTIONS IN SHARES OF THE FUNDS:
Sold................................................... 1,829,412 3,833,979 3,865,343
Issued in reinvestment of distributions................ 4,826 3,684 --
Redeemed............................................... (226,408) (930,688) (738,128)
----------- ----------- -----------
Net increase........................................... 1,607,830 2,906,975 3,127,215
========== ========== ==========
</TABLE>
See Notes to Financial Statements
32
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS May 31, 1996 (Unaudited)
1. Organization and Summary of Significant Accounting Policies
Organization--
Twentieth Century Strategic Asset Allocations, Inc. (the Corporation) is
registered under the Investment Company Act of 1940 as an open-end diversified
management investment company. Three series of shares are currently issued as
Strategic Allocation: Conservative, Strategic Allocation: Moderate and Strategic
Allocation: Aggressive (the Funds). The following significant accounting
policies related to the Funds are in accordance with accounting policies
generally accepted in the investment company industry.
Security Valuations--
Portfolio securities traded primarily on a principal securities exchange
are valued at the last reported sales price, or the mean between the latest bid
and asked prices where no last sales price is available. Securities traded
over-the-counter are valued at the mean of the latest bid and asked prices or,
in the case of certain foreign securities, at the last reported sales price.
Debt securities not traded on a principal securities exchange are valued through
valuations obtained from a commercial pricing service or at the mean of the most
recent bid and asked prices. Short-term securities are valued at amortized cost,
which approximates value. When valuations are not readily available, securities
are valued at fair value as determined in good faith by the board of directors.
Security Transactions--
Security transactions are accounted for on the date purchased or sold. Net
realized gains and losses are determined on the identified cost basis, which is
also used for federal income tax purposes.
Investment Income--
Dividend income less foreign taxes withheld (if any) is recorded as of the
ex-dividend date or upon receipt of ex-dividend notification in the case of
certain foreign securities. Interest income is recognized on the accrual basis
and includes amortization of discounts and premiums.
Foreign Currency Transactions--
The accounting records of the Funds are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions.
The Funds do not isolate that portion of the results of operations
resulting from changes in the foreign exchange rates on investments from the
fluctuations arising from changes in the market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain or loss on
investments.
Net realized foreign currency exchange gains or losses arise from sales of
portfolio securities, sales of foreign currencies, and the difference between
asset and liability amounts initially stated in foreign currencies and the U.S.
dollar value of the amounts actually received or paid. Net unrealized foreign
currency exchange gains or losses arise from changes in the value of assets and
liabilities other than portfolio securities at the end of the reporting period,
resulting from changes in the exchange rates.
33
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED) May 31, 1996 (Unaudited)
Forward Foreign Currency Exchange Contracts--
The Funds may enter into forward foreign currency exchange contracts for
the purpose of settling specific purchases or sales of securities denominated in
a foreign currency or to hedge the Funds' exposure to foreign currency exchange
rate fluctuations. The net U.S. dollar value of foreign currency underlying all
contractual commitments held by the Funds and the resulting unrealized
appreciation or depreciation are determined daily using prevailing exchange
rates. Forward contracts involve elements of market risk in excess of the amount
reflected in the Statements of Assets and Liabilities. The Funds bear the risk
of an unfavorable change in the foreign currency exchange rate underlying the
forward contract. Additionally, losses may arise if the counterparties do not
perform under the contract terms.
Repurchase Agreements--
Securities pledged as collateral for repurchase agreements are held by the
Federal Reserve Bank and are designated as being held on the Fund's behalf by
its custodian under a book-entry system. The Funds monitor the adequacy of the
collateral daily and can require the seller to provide additional collateral in
the event the market value of the securities pledged falls below the carrying
value of the repurchase agreement.
Income Tax Status--
It is the policy of the Funds to distribute all taxable income and capital
gains to shareholders and to otherwise qualify as a regulated investment company
under provisions of the Internal Revenue Code. Accordingly, no provision has
been made for federal or state taxes.
Distributions to Shareholders--
Distributions to shareholders are recorded on the ex-dividend date.
Distributions from net investment income are declared and paid quarterly, with
the exception of Strategic Allocation: Aggressive which is declared and paid
annually. Distributions from net realized gains are declared and paid annually.
The character of distributions made during the year from net investment
income or net realized gains may differ from their ultimate characterization for
federal income tax purposes. These differences are primarily due to differences
in the recognition of income and expense items for financial statement and tax
purposes.
Supplementary Information--
Certain officers and directors of the Corporation are also officers and/or
directors, and, as a group, controlling stockholders of Twentieth Century
Companies, Inc., the parent of the Corporation's investment manager, Investors
Research Corporation (IRC).
2. MANAGEMENT AGREEMENT
The Management Agreement with IRC provides for a monthly management fee
computed by multiplying the applicable fee for each Fund by the average daily
closing value of such Fund's net assets during the previous month. The Agreement
further provides that all expenses of the Funds, except brokerage commissions,
taxes, interest, expenses of those directors who are not considered "interested
persons" as defined in the Investment Company Act of 1940 (including counsel
fees) and extraordinary expenses, will be paid by IRC. The agreement may be
terminated by either party upon 60 days' written notice.
The current annual management fee for Strategic Allocation: Conservative is
1.00% of average net assets up to $1 billion and .90% of average net assets in
excess of $1 billion. The current annual management fee for Strategic
Allocation: Moderate is 1.10% of average net assets up to $1 billion and 1.00%
of average net assets in excess of $1 billion. The current annual management fee
for Strategic Allocation: Aggressive is 1.20% of average net assets up to $1
billion and 1.10% of average net assets in excess of $1 billion.
34
- --------------------------------------------------------------------------------
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the period
ended May 31, 1996, were as follows:
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
------------ ---------- ----------
<S> <C> <C> <C>
PURCHASES
Common Stocks $3,757,575 $10,157,518 $13,801,005
Preferred Stocks 35,999 87,387 197,492
U.S. Treasury & Agency Obligations 2,691,460 2,674,058 1,557,684
Other Debt Obligations 1,173,832 1,617,129 1,611,280
PROCEEDS FROM SALES
Common Stocks $977,842 $1,953,567 $ 2,927,796
Preferred Stocks -- 13,256 15,908
U.S. Treasury & Agency Obligations 109,719 -- 100,063
Other Debt Obligations 214,994 107,497 100,243
On May 31, 1996, the composition of unrealized appreciation and (depreciation) of
investment securities based on the aggregate cost of investments for federal income tax
purposes was as follows:
APPRECIATION (DEPRECIATION) NET FEDERAL TAX COST
------------ -------------- ---- ----------------
Conservative $172,401 $(178,347) $ (5,946) $8,081,020
Moderate 574,366 (231,206) 343,160 14,637,312
Aggressive 798,745 (247,118) 551,627 15,695,630
</TABLE>
35
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (For a Share Outstanding Throughout the Period)
STRATEGIC STRATEGIC STRATEGIC
ALLOCATION: ALLOCATION: ALLOCATION:
CONSERVATIVE MODERATE AGGRESSIVE
February 15, 1996 February 15, 1996 February 15, 1996
(Inception through) (Inception through) (Inception through)
May 31, 1996 (Unaudited) May 31, 1996 (Unaudited) May 31, 1996 (Unaudited)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD............... $5.00 $5.00 $5.00
------- ------- -------
INCOME FROM
INVESTMENT OPERATIONS
Net Investment
Income1........................ .05 .04 .03
Net Realized
and Unrealized
Gains (Losses)................. (.02) .12 .20
Total from ------- ------- -------
Investment Operations.......... .03 .16 .23
------- ------- -------
DISTRIBUTIONS
From Net
Investment Income.............. (.02) (.02) --
------- ------- -------
NET ASSET VALUE,
END OF PERIOD..................... $5.01 $5.14 $5.23
===== ===== =====
TOTAL RETURN 2.................... .64% 3.11% 4.60%
RATIOS/SUPPLEMENTAL DATA
Ratio of Expenses to
Average Net Assets 3............ 1.05% 1.12% 1.22%
Ratio of Net Investment
Income to Average
Net Assets3..................... 3.65% 2.74% 1.88%
Portfolio Turnover Rate......... 25% 24% 34%
Average Commission
Paid per Share Traded........... $.0206 $.0173 $.0198
Net Assets, End
of Period.......................$8,060,701 $14,952,624 $16,369,727
</TABLE>
1 Computed using average shares outstanding throughout the period.
2 Total returns for periods less than one year are not annualized. Total
return assumes reinvestment of dividends and capital gains distributions, if
any.
3 Annualized
See Notes to Financial Statements
36
This page left blank for your notes.
37
TWENTIETH CENTURY STRATEGIC TWENTIETH CENTURY
ASSET ALLOCATIONS, INC. Strategic Asset
Allocations, Inc.
INVESTMENT MANAGER
INVESTORS RESEARCH CORPORATION
KANSAS CITY, MISSOURI Semiannual Report
THIS REPORT AND THE FINANCIAL May 31, 1996
STATEMENTS CONTAINED HEREIN
ARE SUBMITTED FOR THE GENERAL
INFORMATION OF OUR SHAREHOLDERS.
THE REPORT IS NOT AUTHORIZED FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS
UNLESS PRECEDED OR ACCOMPANIED BY AN
EFFECTIVE PROSPECTUS.
[company logo]
Investments That WorkTM
- ----------------------------------------
P.O. BOX 419200
KANSAS CITY, MISSOURI
64141-6200
- ----------------------------------------
PERSON-TO-PERSON ASSISTANCE:
1-800-345-2021 OR 816-531-5575
- ----------------------------------------
AUTOMATED INFORMATION LINE:
1-800-345-8765
- ----------------------------------------
TELECOMMUNICATIONS DEVICE FOR THE DEAD:
1-800-634-4113 OR 816-753-1865
- ----------------------------------------
FAX: 816-340-7962
- ----------------------------------------
INTERNET ADDRESS:
HTTP://WWW.TWENTIETH-CENTURY.COM
[company logo]
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