<PAGE> 1
[DESKTOP FRONT COVER]
Time Horizon Funds
------------------
PORTFOLIO 1
PORTFOLIO 2
PORTFOLIO 3
Semi-Annual Report
December 31, 1996
TIME
HORIZON
FUNDS
NOT FDIC INSURED
<PAGE> 2
<TABLE>
TIME HORIZON FUNDS
3435 Stelzer Road, Columbus, OH 43219
1-800-247-9728
<S> <C>
MANAGER INDEPENDENT AUDITORS
Bank of America National Trust and Ernst & Young, LLP
Savings Association 515 S. Flower Street
555 California Street Los Angeles, CA 90071
San Francisco, CA 94104
DISTRIBUTOR FUND COUNSEL
Concord Financial Group, Inc. Vedder, Price, Kaufman
3435 Stelzer Road & Kammholz
Columbus, OH 43219 222 S. LaSalle Street
Chicago, IL 60601
SUB-ADMINISTRATOR
BISYS Fund Services, Inc.
3435 Stelzer Road
Columbus, OH 43219
FUND SHARES ARE NOT FEDERALLY INSURED OR GUARANTEED BY, NOR ARE THEY OBLIGATIONS
OF OR OTHERWISE ENDORSED BY THE U.S. GOVERNMENT, THE FDIC, THE FEDERAL RESERVE
BOARD, OR ANY OTHER GOVERNMENTAL AGENCY.
The Time Horizon Funds are sponsored and distributed by Concord Financial Group,
Inc., which is unaffiliated with Bank of America. Bank of America serves as
manager and receives fees for such services. From time to time, Bank of America
may provide other services to the Funds for additional fees, as disclosed in the
Funds' prospectus.
This material must be preceded or accompanied by a current prospectus.
- ------------------------------------------------------------------------
INVESTMENTS IN THE TIME HORIZON FUNDS ARE NOT BANK
NOT DEPOSITS AND ARE NOT OBLIGATIONS OF, OR GUARANTEED BY,
FDIC BANK OF AMERICA OR ANY OF ITS AFFILIATES. MUTUAL FUNDS
INSURED ARE SUBJECT TO INVESTMENT RISKS, INCLUDING THE POSSIBLE
LOSS OF PRINCIPAL AMOUNT INVESTED.
- ------------------------------------------------------------------------
- ------------------------------------------------------------------------
</TABLE>
<PAGE> 3
<TABLE>
Contents
<S> <C>
- UNDERSTANDING YOUR
SHAREHOLDER REPORT 2
- TIME HORIZON FUND FACTS 5
- LETTER FROM THE MANAGER 6
- STATEMENTS OF ASSETS
AND LIABILITIES 13
- STATEMENTS OF OPERATIONS 14
- STATEMENTS OF CHANGES
IN NET ASSETS 16
- SCHEDULES OF PORTFOLIO
INVESTMENTS 18
- NOTES TO FINANCIAL STATEMENTS 45
- FINANCIAL HIGHLIGHTS 56
</TABLE>
<PAGE> 4
UNDERSTANDING YOUR SHAREHOLDER REPORT
As a mutual fund shareholder, you receive two financial reports a year that
contain important information about your investment. The financial statements
and financial highlights included in annual reports are audited by an
independent public accounting firm and cover the activity for the past fiscal
year. The independent public accountant provides an opinion letter in each
audited report. A semi-annual report is a six-month interim report that includes
financial statements that are generally not audited by an independent public
accounting firm.
This guide will help you extract the
information from the report.
The TABLE OF CONTENTS helps you locate
the information you want.
The LETTER FROM THE MANAGER
provides a brief overview of the
economy and how it affects the
financial markets.
3 Page Art
Because a picture or chart can help clarify the text,
The TIME HORIZON FUND FACTS illustrate the most
important features of the Funds. The illustrations
represent the current asset allocation and target asset
allocation ranges for each portfolio, as well as a
brief description of the Manager's investment strategy.
[Time Horizon Fund Facts Art]
In annual reports, mutual funds that are not "money market" funds are required
by the Securities and Exchange Commission (SEC) to provide shareholders with
a comparison of a hypothetical $10,000 investment in the Fund to a benchmark
index of the broader market. The performance of the benchmark index depicts the
aggregate performance of investments similar to those in the Fund for the same
time period. While the benchmark index provides a general representation of the
market, there are two reasons why it should be used only as a guide. First, the
Fund, in its prospectus, must clearly define which investments can be made by
the Fund. The index does not necessarily have the same limitations. Second, the
index does not reflect any expenses that
GROWTH OF A $10,000 INVESTMENT (HYPOTHETICAL -- PAST PERFORMANCE IS
NOT A GUARANTEE OF FUTURE RESULTS.)
<TABLE>
<CAPTION>
MEASUREMENT PERIOD
(FISCAL YEAR COVERED) A SHARES B SHARES S&P 500
<S> <C> <C> <C>
9/5/95 9553 9500 10000
9572 9520 10420
9610 9570 10389
9781 9739 10836
12/31/95 9866 9819 11046
10038 9989 11427
10028 9969 11528
3/31/96 10019 9959 11640
10047 9979 11818
10124 10059 12109
6/30/96 10191 10109 12158
<CAPTION>
MEASUREMENT PERIOD LEHMAN BROTHERS
(FISCAL YEAR COVERED) AGGREGATE BOND INDEX
<S> <C>
9/5/95 10000
10097
10229
10382
12/31/95 10528
10597
10413
3/31/96 10341
10283
10262
6/30/96 10400
</TABLE>
2
<PAGE> 5
accompany a real investment, such as sales charges, management fees, portfolio
transaction costs or the cash reserves required to provide daily liquidity. The
performance of the Fund must show these costs as well as any front-end or
deferred sales charges.
The financial statements summarize and describe the Funds' financial
transactions. They are broken down into four different statements, which are
illustrated below:
The SCHEDULES OF PORTFOLIO INVESTMENTS list each investment holding in the Funds
as of the date of the financial statements. Investments may be grouped by
category (by industry or security type, for example). The percentage of each
Fund's net assets represented by these groupings is also disclosed.
TYPE OF SECURITY
INDUSTRY SECTOR AND PERCENTAGE OF THE FUND'S
NET ASSETS REPRESENTED BY INVESTMENTS IN THAT
SECTOR (IF APPLICABLE)
PORTFOLIO HOLDINGS WITH SHARES AND MARKET VALUE
AS OF REPORT DATE
[SCHEDULES OF PORTFOLIO INVESTMENTS ART]
The STATEMENTS OF ASSETS AND LIABILITIES list all the assets and liabilities of
the Funds as of the date of the Statements. This is an individual fund's
"balance sheet." Also disclosed in the Statements are the Funds' net asset
values per share and their maximum offering prices per share as of the date of
the Statements. The Statements also list the accounts that comprise the Funds'
net assets (capital stock, undistributed income, etc.).
SUMMARY OF THE FUND'S INVESTMENTS AND ALL OTHER
ASSETS OWNED BY THE FUND, INCLUDING AMOUNTS
OWED TO THE FUND BY OUTSIDE PARTIES
SUMMARY OF ALL AMOUNTS OWED TO OUTSIDE PARTIES
BY THE FUND
NET RESULTS OF ASSETS LESS LIABILITIES
THE MARKET VALUE OF THE FUND'S TOTAL NET ASSETS
DIVIDED BY THE NUMBER OF SHARES OUTSTANDING
[STATEMENTS OF ASSETS AND LIABILITIES ART]
THE CURRENT NET ASSET VALUE PER SHARE PLUS SALES CHARGE, IF ANY
3
<PAGE> 6
The STATEMENTS OF OPERATIONS show the amount of dividend and interest income
earned from each Fund's investments, the expenses incurred by the Funds from
their operations and any gains or losses, both realized and unrealized, by the
Funds from holding and/or selling any investments.
INCOME EARNED FROM THE FUND'S INVESTMENTS
OPERATING EXPENSES INCURRED BY THE FUND DURING
THE PERIOD
GAINS OR LOSSES REALIZED UPON THE SALE OF THE
FUND'S INVESTMENTS AND ANY CHANGE IN UNREALIZED
GAINS OR LOSSES ON FUND HOLDINGS DURING THE
PERIOD
NET CHANGE IN NET ASSETS DUE TO FUND OPERATIONS
[STATEMENTS OF OPERATIONS ART]
The STATEMENTS OF CHANGES IN NET ASSETS show the changes in the net assets of
the Funds during each of the two most recent reporting periods. The changes in
net assets are generally broken down into four distinct sections:
OPERATIONS: SEE STATEMENTS OF OPERATIONS
DIVIDENDS TO SHAREHOLDERS: TOTAL INCOME
DIVIDENDS PAID TO SHAREHOLDERS DURING THE
PERIODS
NET REALIZED GAINS: TOTAL REALIZED GAINS
DISTRIBUTED TO SHAREHOLDERS DURING THE PERIODS
FUND SHARE TRANSACTIONS: DOLLAR VALUE OF FUND
SHARES PURCHASED, REDEEMED OR REINVESTED DURING
THE PERIODS
[STATEMENTS OF CHANGES IN NET ASSETS ART]
The NOTES TO FINANCIAL STATEMENTS are footnotes to the Statements listed above.
These footnotes include information on accounting methods used by the Funds,
contractual arrangements between the Funds and their service providers, certain
transactions effected by the Funds and other general information about the
Funds.
The FINANCIAL HIGHLIGHTS show, for a single share outstanding throughout each
period presented, the net investment income, the realized and unrealized gains
and losses and the dividends and distributions of the Funds. It also shows key
data and ratios such as the total investment return for each period, the
portfolio turnover rate for the Funds, the ratio of expenses to average net
assets, the ratio of net investment income to average net assets, and the
average commission rate paid on portfolio transactions.
4
<PAGE> 7
TIME HORIZON FUND FACTS
The Time Horizon Funds offer three asset allocation funds that target
specific investment time horizons, shown below. Each Fund seeks to provide
long-term investors maximum total return over its stated time period, while also
increasingly emphasizing capital preservation as the Fund approaches its target
time horizon.
To accomplish this, the investment management team invests in a combination
of stocks, bonds and a small amount of cash. The mix among these asset
categories will change according to current market conditions, as well as to how
close each Fund is to its target time horizon. By selecting the Time Horizon
Fund that most closely matches the expected timing of major investment goals,
such as sending a child to college, retirement or purchasing a home, you'll be
investing in a portfolio of investments that is managed with a time horizon
similar to that of your own goals. Of course, no mutual fund can guarantee that
an investor's goals will be met.
[CAPTION]
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
<S> <C> <C> <C>
TIME HORIZON 2005 2015 2025
- ----------------------------------------------------------------------------------------------
ASSET ALLOCATION(1)
(AS OF 12/31/96)
Stocks 36% 50% 70%
Bonds 64% 49% 29%
Cash 0% 1% 1%
- -----------------------------------------------------------------------------------------------
CURRENT ALLOCATION RANGES(2)
STOCKS 15%-45% 30%-70% 40%-100%
BONDS 55%-85% 30%-70% 0%-60%
CURRENT TARGET
ASSET ALLOCATION
Bonds/Cash 65% 50% 30%
Stocks 35% 50% 70%
--------------------------------------------------------------------------------------------
</TABLE>
- ------------------------------
(1) The portfolio's composition is subject to change. Percentages shown are
percentages of portfolio value.
(2) Under normal market conditions, each portfolio is currently managed within
the strategic asset allocation ranges shown, based on the Portfolio
Manager's evaluation of the anticipated returns and risks for the various
asset classes in the near term. The portfolio will change its focus over
time, increasingly emphasizing capital preservation as it nears its target
time horizon. After a portfolio reaches its time horizon target date, it is
anticipated that it will continue to be managed with a predominant emphasis
on capital preservation.
5
<PAGE> 8
LETTER FROM THE MANAGER
Dear Shareholder:
Investment returns in each of the three Time Horizon
Funds during the six months ended December 31, 1996
were heavily influenced by gains in U.S. stocks. The
Standard & Poor's 500 index gained 11.7% during the [Photo Box]
period, for a total return of nearly 23% during 1996.
Other asset categories contributed more modestly to the
Funds' performance. Foreign stocks gained about 1.5%
during the six-month period, while intermediate-term
bonds returned about 4%.
David R. Johnsen
Senior Vice President
Bank of America, Illinois
Investment Advisors
Division
Mr. Johnsen plays a key
role in the portfolio
management of the Time
Horizon Funds
AN ENVIRONMENT FAVORABLE TO STOCKS
The continued strength in the U.S. stock market reflected continued slow
economic growth and low inflation, which represent favorable conditions for the
performance of financial assets. At the same time, corporate earnings continued
to grow at a solid pace, helping to bolster investors' confidence in the
likelihood of further gains.
Money flows into U.S. equities continued to run at a very high pace, with most
of the money entering the market through mutual funds. In fact, according to the
Investment Company Institute, investors poured an estimated $222.1 billion into
stock funds during 1996, on top of the $128.2 billion in 1995. That surge of
cash continues to be driven by the aging baby boom generation, which is
beginning to save for retirement. The growth of retirement savings plans such as
40l(k)s also encourages long-term investing. At the same time, many workers
doubt whether Social Security will provide much support in retirement.
IMPLEMENTING THE FUNDS' STRATEGIES
As of December 31, 1996, the Funds' combined assets totaled $104.5 million. The
three Time Horizon Funds continued to receive new money, which was used to
diversify the portfolios' investments to meet the Funds' long-term target
allocations.
Those allocations determine the breakdown of each Fund's holdings among four
major asset classes: U.S. stocks, foreign stocks, bonds and cash. Investment
studies have shown that 90% or more of an investment's long-term return is
determined by such asset allocation decisions.*
The Funds emphasize the pursuit of long-term returns appropriate to
shareholders' needs. Thus, their near-term returns may sometimes trail those of
mutual funds that place an emphasis on investing in particular sectors of the
stock, bond or other financial markets in pursuit of extraordinary short-term
gains. Such strategies may deliver dramatic returns in the near-term, but over
long periods, they have proven largely ineffective.
- ---------------
* Source: Financial Analysts Journal, May/June 1991; "Determinants of Portfolio
Performance II: An Update," by G. Brinson, B. Singer and G. Beebower.
6
<PAGE> 9
Moreover, trend-dominated investment approaches distract investors from the
central factors that determine a sound investment policy. These factors include
investors' goals and risk tolerances. Those factors reflect each investor's time
horizon -- that is, the amount of time remaining until investors anticipate
needing to draw upon their investments to meet goals such as a comfortable
retirement.
Each of our three Funds now holds a portfolio structured according to its
current shareholders' time horizon: eight years (Time Horizon 1); 18 years (Time
Horizon 2) and 28 years (Time Horizon 3). We are continuing to refrain from
making short-term bets on what some industry experts regard as the likely
short-term performance of different asset categories or sectors within the major
categories. Instead, we are focusing on maintaining each Fund's strategic
balance, with special attention to creating diversified portfolios within each
major asset class.
In addition to the strategies mentioned, we occasionally make modest adjustments
in each Fund's asset allocation to reflect changes in market conditions -- but
without deviating from the Fund's stated long-term objectives. Beyond this, we
continue to seek out investments within each asset category and sector that
offer good value and the potential for superior long-term returns. For example,
in the stock market, we will focus on undervalued shares of companies that can
deliver strong earnings growth.
Recently, such opportunities have abounded. The stock market's recent gains have
been dramatic, but they have reflected the gains of a relatively small number of
companies in the technology sector and elsewhere. Thus, shares of many
first-rate companies such as Dell Computer and Ross Stores are trading at levels
that make them attractive long-term investments.
INVESTMENTS FOR YOUR FUTURE
The mechanics of investing are of little concern to most individuals. Instead,
most of us think in terms of our future goals -- buying a home, paying college
costs, or financing a secure retirement. Our commitment to shareholders is
simple: We will construct an investment strategy that makes sense for
shareholders who want to meet those goals in a particular timeframe.
You'll notice that our commitment does not include outpacing the financial
markets this year. We will pursue realistic returns over the long-term, riding
out short-term setbacks if necessary. This approach frees us and our
shareholders from the perils of short-term forecasting. It also allows us to
concentrate our efforts on delivering investment results that can meet real-life
needs of individual investors like you.
In line with this, on July 22, 1996, we added another class of shares -- the K
Share class. This class of shares is primarily offered to Daily Advantage 401(k)
plan participants, although it is also available to certain other eligible
individuals, as outlined in the prospectus.
Sincerely,
/s/ David R. Johnsen
David R. Johnsen
7
<PAGE> 10
TIME HORIZON PORTFOLIO 1
TIME HORIZON PORTFOLIO 2
TIME HORIZON PORTFOLIO 3
Q
HOW DID THE FUNDS PERFORM DURING THE RECENT PERIOD?
A
During the six months ended December 31, 1996, Portfolio 1's A Shares posted
total returns of 5.86% while B Shares and K Shares had total returns of 5.48%.
Adjusted for the maximum 4.5% sales charge on A Shares and the maximum 5%
contingent-deferred sales charge on B Shares, the total returns were 1.11% for A
Shares and 0.48% for B Shares.
Portfolio 2's A Shares posted total returns of 6.97% while B Shares and K Shares
had total returns of 6.64% and 6.67%, respectively. Adjusted for the maximum
4.5% sales charge on A Shares and the maximum 5% contingent-deferred sales
charge on B Shares, A Shares had a total return of 2.12%, and B Shares had a
total return of 1.64%.
Finally, Portfolio 3's A Shares had total returns of 8.23% while B Shares and K
Shares each had total returns of 7.75%. Adjusted for their maximum 4.5% sales
charge, A Shares had a total return of 3.32%. B Shares had a total return of
2.75% after accounting for their maximum 5% contingent-deferred sales charge.
- -----------------------------------------------------------------
AVERAGE ANNUAL RETURNS (WITH SALES CHARGE OR CDSC)*
- -----------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO PORTFOLIO PORTFOLIO
1 2 3
--------- --------- ---------
<S> <C> <C> <C>
A Shares 5.88% 7.33% 9.78%
B Shares 5.90% 7.43% 9.97%
- -----------------------------------------
</TABLE>
The above figures reflect the Funds' average annual returns since inception
(9/5/95) for A Shares and B Shares respectively, for each of the three
portfolios. The return figures for Class A Shares include change in share price,
reinvestment of dividends and the effect of the maximum 4.5% sales charge.
Return figures for Class B Shares also include change in share price and
reinvestment of dividends as well as the applicable contingent-deferred sales
charge.
- ---------------------------------------------------------------
AVERAGE ANNUAL RETURNS (WITHOUT SALES CHARGE OR
APPLICABLE CDSC)*
- ---------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO PORTFOLIO PORTFOLIO
1 2 3
--------- --------- ---------
<S> <C> <C> <C>
A Shares 9.60% 11.10% 13.64%
B Shares 8.85% 10.37% 12.88%
K Shares 8.85% 10.39% 12.88%
- -----------------------------------------
</TABLE>
The above figures reflect the Funds' average annual returns since inception
(9/5/95) for A Shares and B Shares respectively, for each of the three
portfolios. These figures are calculated to include the change in share price
and reinvestment of dividends without the effect of the maximum 4.5% sales
charge or applicable contingent-deferred sales charge. The average annual return
for K Shares utilizes performance data achieved by B Shares prior to the
creation of K Shares.
* The total return reflects the waiver of a portion of the Fund's management
fees since inception. In such instances, and without waiver of fees, total
return would have been lower. Past performance is no guarantee of future
results.
See Letter from the Manager for factors affecting Fund performance.
Investment return and principal value are historical and will vary with market
conditions, so that an investor's shares, when
8
<PAGE> 11
redeemed, may be worth more or less than their original cost.
Q
WHAT WAS THE MOST IMPORTANT FACTOR DETERMINING THOSE RETURNS?
A
The substantial gains in U.S. stocks were responsible for most of the
returns. Fortunately, all three Funds held significant stakes in the stock
market, consistent with the strategic asset allocations outlined in the Fund's
prospectus. Portfolio 1, which aims to help investors plan for goals that will
require the use of their money around the year 2005, increased its stock market
investment from 34% to 36% during the period. The percentage in stocks climbed
from 47% to 50% for Portfolio 2, which is designed for helping meet financial
goals around the year 2015. And the percentage grew from 63% to 70% for
Portfolio 3, a portfolio designed for shareholders whose time horizon stretches
to 2025.
Q
HOW DID YOU INVEST THOSE STOCK MARKET HOLDINGS?
A
As always, we maintained a neutral allocation among the various sectors of
the stock market, and concentrated on adding value through individual stock
selection within each sector. In other words, rather than trying to forecast
which industries would perform best, we included holdings in many industries,
and then focused on finding the best companies within each. The best performers
for the Funds included shares of companies whose earnings were consistently
revised upward during the period. For example, Microsoft qualified on the basis
of positive earnings revisions during the period. In addition, stocks of firms
with low price-to-earnings ratios relative to other stocks in their sectors did
well for the Funds. Companies that qualified on the basis of both earnings
revisions and low price-to-earnings ratios include leading semi-conductor
manufacturer Intel as well as smaller companies such as Interstate Bakeries and
Vons Companies.
Many mutual funds had difficulty keeping up with the broad stock market indices.
The market was led by a relatively narrow range of companies, which far
outperformed the majority of stocks. For example, five firms' shares accounted
for almost 20% of the stock market's returns during 1996 as a whole. Those firms
were Intel, General Electric, Microsoft, Coca-Cola and IBM. Intel alone rose
almost 130% in 1996.*
Q
DID YOU INCREASE THE FUNDS' EXPOSURE TO FOREIGN MARKETS?
A
Yes. We raised Time Horizon Portfolio 1's international investments from
3.5% to 4.9% of its portfolio. The percentage climbed from 3.3% to 9.4% for Time
Horizon 2 and 3.1% to 9.3% for Time Horizon 3. That brought the portfolios'
overseas investments in line with the Funds' stated strategic allocation.
* Source: Standard & Poor's Composite, 1996 "Performance Attribution,"
Prudential Securities by Melissa Brown, 1/6/97
9
<PAGE> 12
Q
WHAT ABOUT THE FUNDS' INVESTMENTS IN FIXED-INCOME SECURITIES?
A
The investment in fixed-income securities rose from 48% to 49% in Portfolio
2 and from 27% to 29% in Portfolio 3. The fixed-income allocation for Portfolio
1 remained the same during the six month period. That brought those holdings in
line with the long-term strategic allocation described in the Funds' prospectus.
We also continued to diversify those fixed-income holdings among different
sectors of the bond market. We added corporate, agency and mortgage-backed
securities to each portfolio as the Funds' assets grew.
As always, we maintained relatively constant durations for the Funds. Higher
duration portfolios typically suffer greater losses when interest rates rise,
and post larger gains when rates fall. Thus, it's possible to bet on the
direction of interest rates by manipulating the duration of a portfolio. But we
avoid such bets because they add to the risk of a portfolio without contributing
to performance in a substantial way. Instead, we attempt to add value by
purchasing fixed-income securities that appear to be bargains based on their
underlying values.
Q
HOW ABOUT CASH HOLDINGS?
A
Cash declined from 2% to 0% of Portfolio 1's total investments; from 5% to
1% of Portfolio 2's investments; and from 10% to 1% of Portfolio 3's
investments. Those reductions reflected our commitment to put shareholders'
assets to work in long-term securities that can meet their goals, as well as our
ability to find attractive opportunities in the stock and fixed-income markets.
Q
WHAT'S THE OUTLOOK FOR THE FUNDS IN THIS ENVIRONMENT?
A
We don't attempt to forecast the performance of financial markets or the
economy. The stock market appears to be fairly valued in the context of slow
economic growth and low inflation that prevails today. Thus, we are not unduly
concerned about the prospects for a stock market correction. We will maintain
the Funds' diversified investments in stocks, while keeping an eye out for
individual issues that offer good value for long-term investors. We also will
continue to broaden the Funds' investment in the various sectors of the
fixed-income market, with an eye toward even greater diversification.
Finally, we will maintain the Funds' commitment to long-term strategic
allocations that are appropriate for each portfolio's time horizon. That
commitment should carry the Funds and our shareholders through short-term
fluctuations that may occur during the coming period.
10
<PAGE> 13
<TABLE>
PORTFOLIOS AT-A-GLANCE
TIME HORIZON PORTFOLIO 1
SECTOR DIVERSIFICATION
AS A % OF EQUITY
HOLDINGS AS OF 12/31/96+
<S> <C> <C> <C>
Transportation 1.6% ------------------------------------------------
Basic Industry 6.5 TOP FIVE EQUITY HOLDINGS+ PERCENT OF
Energy 8.3 AS OF 12/31/96 PORTFOLIO
Health Care 9.3 ------------------------------------------------
Consumer Staples 9.7 1. Intel Corporation 0.66%
Capital Goods 10.6 ................................................
Technology 14.8 2. General Electric Co. 0.58%
Utilities 10.3 ................................................
Financial Services 15.0 3. Coca-Cola Company 0.54%
Consumer Cyclical 13.9 ................................................
4. Microsoft Corporation 0.54%
................................................
5. Merck & Company, Inc. 0.49%
------------------------------------------------
</TABLE>
TIME HORIZON PORTFOLIO 2
<TABLE>
SECTOR DIVERSIFICATION
AS A % OF EQUITY
HOLDINGS AS OF 12/31/96+
<S> <C> <C> <C>
Transportation 1.6% ------------------------------------------------
Basic Industry 6.6 TOP FIVE EQUITY HOLDINGS+ PERCENT OF
Energy 7.9 AS OF 12/31/96 PORTFOLIO
Health Care 9.0 ------------------------------------------------
Consumer Staples 9.1 1. Intel Corporation 0.68%
Capital Goods 10.9 ................................................
Technology 14.9 2. General Electric Co. 0.68%
Utilities 10.1 ................................................
Financial Services 15.5 3. Coca-Cola Company 0.62%
Consumer Cyclicals 14.4 ................................................
4. Microsoft Corporation 0.59%
................................................
5. Merck & Company, Inc. 0.56%
------------------------------------------------
+ The composition of the Fund's portfolio is subject to change. Percentages
shown are percentages of portfolio value.
</TABLE>
11
<PAGE> 14
<TABLE>
TIME HORIZON PORTFOLIO 3
SECTOR DIVERSIFICATION
AS A % OF EQUITY
HOLDINGS AS OF 12/31/96+
<S> <C> <C> <C>
TRANSPORTATION 1.6% -------------------------------------------------
BASIC INDUSTRY 6.6 TOP FIVE EQUITY HOLDINGS+ PERCENT OF
ENERGY 8.1 AS OF 12/31/96 PORTFOLIO
HEALTH CARE 9.3 -------------------------------------------------
CONSUMER STAPLES 9.6 1. Intel Corporation 1.16%
TECHNOLOGY 10.7 .................................................
CAPITAL GOODS 14.5 2. General Electric Co. 1.13%
UTILITIES 10.3 .................................................
FINANCIAL SERVICES 15.3 3. Coca-Cola Company 1.02%
CONSUMER CYCLICALS 14.0 .................................................
4. Microsoft Corporation 0.99%
.................................................
5. Citicorp 0.94%
----------------------------------------------------
</TABLE>
+ The composition of the Fund's portfolio is subject to change. Percentages
shown are percentages of portfolio value.
12
<PAGE> 15
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
----------- ----------- -----------
<S> <C> <C> <C>
ASSETS:
Investments, at value (Cost $32,498,467;
$34,583,953; and $32,633,431).............. $33,958,276 $36,528,112 $35,027,839
Cash......................................... 33,994 0 8,659
Interest and dividends receivable............ 295,773 278,758 171,992
Receivable for capital shares issued......... 260,846 36,216 190,921
Unamortized organization costs............... 18,709 18,266 16,777
Prepaid expenses............................. 5,222 5,724 4,822
----------- ----------- -----------
Total Assets............................... 34,572,820 36,867,076 35,421,010
----------- ----------- -----------
LIABILITIES:
Dividends payable............................ 821,471 752,980 529,390
Capital shares redeemed...................... 17,921 9,642 15,517
Accrued expenses and other payables:
Management fees............................ 585 618 590
Shareholder Services fees (Class A, B, and
K shares)................................ 7,222 7,602 7,193
12b-1 fees (Class B and K Shares).......... 16,269 17,156 16,981
Legal fees................................. 3,313 2,461 2,018
Audit fees................................. 7,959 6,792 6,837
Transfer agent fees........................ 19,636 21,800 21,108
Printing fees.............................. 25,510 26,727 22,663
Other...................................... 8,751 7,678 7,004
----------- ----------- -----------
Total Liabilities........................ 928,637 853,456 629,301
----------- ----------- -----------
NET ASSETS:
Capital...................................... 32,269,542 34,000,434 32,256,743
Accumulated undistributed net investment
income..................................... 2,192 2,379 2,470
Net unrealized appreciation on investments... 1,459,809 1,944,159 2,394,408
Accumulated undistributed net realized gains
(losses) on investment transactions........ (87,360) 66,648 138,088
----------- ----------- -----------
Net Assets............................... $33,644,183 $36,013,620 $34,791,709
=========== =========== ===========
Net Assets
Class A.................................... $ 8,217,091 $ 9,259,669 $ 8,017,467
Class B.................................... 25,426,048 26,718,927 26,773,142
Class K.................................... 1,044 35,024 1,100
----------- ----------- -----------
Total...................................... $33,644,183 $36,013,620 $34,791,709
=========== =========== ===========
Outstanding units of beneficial interest
(shares)
Class A.................................... 752,415 826,697 690,128
Class B.................................... 2,334,351 2,392,744 2,312,617
Class K.................................... 96 3,147 95
----------- ----------- -----------
Total...................................... 3,086,862 3,222,588 3,002,840
=========== =========== ===========
Net asset value
Class A -- redemption price per share...... $ 10.92 $ 11.20 $ 11.62
Class B -- offering price per share*....... $ 10.89 $ 11.17 $ 11.58
Class K -- offering price per share*....... $ 10.88 $ 11.13 $ 11.58
=========== =========== ===========
Maximum Sales Charge (Class A)............... 4.50% 4.50% 4.50%
=========== =========== ===========
Maximum Offering Price (Class A)
(100%/(100% -- Maximum Sales Charge) of net
asset value adjusted to nearest cent) per
share........................................ $ 11.44 $ 11.73 $ 12.16
=========== =========== ===========
</TABLE>
* Redemption price per share is equal to the net asset value per share less any
applicable redemption fee.
- ---------------
See Notes to Financial Statements.
13
<PAGE> 16
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Statements of Operations
For the six months ended December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
----------- ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................... $ 589,802 $ 496,681 $ 303,259
Dividend income......................... 127,824 211,800 248,318
---------- ---------- ----------
Total Income.......................... 717,626 708,481 551,577
---------- ---------- ----------
EXPENSES:
Management fees......................... 91,354 95,944 87,913
12b-1 fees (Class B and K Shares)....... 84,768 87,739 82,911
Shareholder Services fees (Class A, B
and K Shares)......................... 38,064 39,949 36,590
Accounting fees......................... 15,277 15,278 15,244
Custodian fees.......................... 11,960 12,265 12,265
Legal fees.............................. 9,384 9,569 8,341
Audit fees.............................. 4,784 3,686 3,686
Organization costs...................... 2,576 2,576 2,208
Trustees' fees.......................... 8,828 8,949 7,907
Transfer agent fees..................... 24,563 26,585 25,761
Registration and filing fees............ 34,960 35,265 35,018
Printing costs.......................... 15,450 17,769 16,336
Other................................... 1,840 1,288 1,289
---------- ---------- ----------
Total Expenses before waivers and
reimbursements........................ 343,808 356,862 335,469
Expense waivers and reimbursements...... (120,351) (123,244) (118,155)
---------- ---------- ----------
Total Expenses........................ 223,457 233,618 217,314
---------- ---------- ----------
Net investment income................... 494,169 474,863 334,263
---------- ---------- ----------
REALIZED/UNREALIZED GAINS (LOSSES) ON
INVESTMENTS:
Net realized losses on investment
transactions........................ (71,576) (78,012) (18,675)
Net change in unrealized appreciation
on investments...................... 1,267,460 1,785,038 2,085,283
---------- ---------- ----------
Net realized/unrealized gains on
investments......................... 1,195,884 1,707,026 2,066,608
---------- ---------- ----------
Change in net assets resulting from
operations.......................... $1,690,053 $2,181,889 $2,400,871
========== ========== ==========
</TABLE>
- ---------------
See Notes to Financial Statements.
14
<PAGE> 17
(Intentionally Left Blank)
15
<PAGE> 18
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1
----------------------------
FOR THE SIX
MONTHS ENDED SEPTEMBER
DECEMBER 31, 5, 1995 TO
1996 JUNE 30,
(UNAUDITED) 1996(a)
------------ -----------
<S> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................................ $ 494,169 $ 377,434(b)
Net realized gains (losses) on investment
transactions....................................... (71,576) 107,472
Net change in unrealized appreciation on
investments........................................ 1,267,460 192,349
----------- -----------
Change in net assets resulting from operations......... 1,690,053 677,255
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Class A Shares..................................... (235,826) (15,257)
Class B Shares..................................... (585,618) (32,683)
Class K Shares..................................... (27) --
Net realized gains from investment transactions
Class A Shares..................................... (32,408) --
Class B Shares..................................... (90,844) --
Class K Shares..................................... (4) --
----------- -----------
Change in net assets from shareholder distributions.... (944,727) (47,940)
----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.......................... 9,975,627 27,464,750
Dividends reinvested................................. 121,401 38,330
Cost of shares redeemed.............................. (3,051,085) (2,279,481)
----------- -----------
Change in net assets from capital transactions......... 7,045,943 25,223,599
----------- -----------
Change in net assets................................... 7,791,269 25,852,914
NET ASSETS:
Beginning of period.................................. 25,852,914 --
----------- -----------
End of period........................................ $33,644,183 $25,852,914
=========== ===========
SHARE TRANSACTIONS:
Sold................................................. 919,529 2,648,753
Reinvested........................................... 10,993 3,725
Redeemed............................................. (279,256) (216,882)
----------- -----------
Change in shares....................................... 651,266 2,435,596
=========== ===========
</TABLE>
- ---------------
(a) Period from commencement of operations.
(b) Includes income earned during the period from July 28, 1995 (initial seed
date) through September 4, 1995 (initial sale of shares to public).
See Notes to Financial Statements.
16
<PAGE> 19
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 2 PORTFOLIO 3
---------------------------- ----------------------------
FOR THE SIX FOR THE SIX
MONTHS ENDED SEPTEMBER MONTHS ENDED SEPTEMBER
DECEMBER 31, 5, 1995 TO DECEMBER 31, 5, 1995 TO
1996 JUNE 30, 1996 JUNE 30,
(UNAUDITED) 1996(a) (UNAUDITED) 1996(a)
------------ ----------- ------------ -----------
<S> <C> <C> <C>
$ 474,863 $ 318,369(b) $ 334,263 $ 223,429(b)
(78,012) 147,373 (18,675) 159,812
1,785,038 159,121 2,085,283 309,125
----------- ----------- ----------- -----------
2,181,889 624,863 2,400,871 692,366
----------- ----------- ----------- -----------
(229,351) (15,619) (151,395) (9,321)
(522,815) (22,247) (377,978) (16,511)
(822) -- (17) --
(698) -- (700) --
(2,012) -- (2,349) --
(3) -- -- --
----------- ----------- ----------- -----------
(755,701) (37,866) (532,439) (25,832)
----------- ----------- ----------- -----------
10,762,915 27,032,533 12,682,283 23,645,035
2,703 32,856 2,981 21,147
(1,916,750) (1,913,822) (2,236,232) (1,858,471)
----------- ----------- ----------- -----------
8,848,868 25,151,567 10,449,032 21,807,711
----------- ----------- ----------- -----------
10,275,056 25,738,564 12,317,464 22,474,245
25,738,564 -- 22,474,245 --
----------- ----------- ----------- -----------
$36,013,620 $25,738,564 $34,791,709 $22,474,245
=========== =========== =========== ===========
991,503 2,583,978 1,142,951 2,232,127
240 3,171 259 2,030
(175,219) (181,085) (200,713) (173,814)
----------- ----------- ----------- -----------
816,524 2,406,064 942,497 2,060,343
=========== =========== =========== ===========
</TABLE>
17
<PAGE> 20
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
COMMON STOCKS -- 31.5%
ADVERTISING -- 0.2%
Omnicom Group.............................................. 1,300 $ 59,475
-----------
AEROSPACE/DEFENSE -- 0.5%
Lockheed Martin Corp....................................... 800 73,200
United Technologies Corp................................... 1,600 105,600
-----------
178,800
-----------
AIR TRANSPORTATION -- 0.1%
Comair Holdings, Inc....................................... 700 16,800
UAL Corp. (b).............................................. 400 25,000
-----------
41,800
-----------
AUTOMOBILES & TRUCKS -- 0.4%
Chrysler Corp.............................................. 2,500 82,500
General Motors Corp........................................ 800 44,600
-----------
127,100
-----------
AUTO PARTS -- 0.1%
Standard Products Co....................................... 800 20,400
BANKS -- 2.7%
Bank of Boston............................................. 1,700 109,225
Citicorp................................................... 1,600 164,800
City National Corp......................................... 1,400 30,275
Comerica, Inc.............................................. 2,700 141,413
First of America Bank Corp................................. 800 48,100
First Union Corp. (N.C.)................................... 1,400 103,600
Mellon Bank Corp........................................... 1,100 78,100
NationsBank Corp........................................... 1,000 97,750
Northern Trust Corp........................................ 800 29,000
Regions Financial Corp..................................... 800 41,350
SouthTrust Corp............................................ 1,200 41,850
State Street Boston Corp................................... 400 25,800
-----------
911,263
-----------
BEVERAGES -- 0.7%
Coca-Cola Co............................................... 3,500 184,188
Coca-Cola Enterprises...................................... 500 24,250
PepsiCo, Inc............................................... 1,000 29,250
-----------
237,688
-----------
BREWERIES -- 0.1%
Anheuser-Busch Cos., Inc................................... 700 28,000
-----------
BUILDING & CONSTRUCTION -- 0.2%
Armstrong World Industries................................. 1,000 69,500
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
18
<PAGE> 21
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
BUSINESS SERVICES -- 0.2%
AccuStaff, Inc. (b)........................................ 1,000 $ 21,125
Equifax, Inc............................................... 1,300 39,813
-----------
60,938
-----------
CASINO SERVICES -- 0.1%
International Game Technology.............................. 2,200 40,150
-----------
CHEMICALS - PETRO & INORGANIC -- 0.2%
Monsanto Corp.............................................. 2,100 81,638
-----------
CHEMICALS - SPECIALTY -- 0.6%
Cytec Industries, Inc. (b)................................. 1,000 40,625
Ecolab, Inc................................................ 900 33,863
Goodrich (B.F.) Co......................................... 700 28,350
Lubrizol Corp.............................................. 1,500 46,500
Morton International, Inc.................................. 700 28,525
Nalco Chemical Co.......................................... 1,000 36,125
-----------
213,988
-----------
COMPUTERS - MAIN & MINI -- 1.0%
Compaq Computer Corp. (b).................................. 1,400 103,950
Dell Computer Corp. (b).................................... 1,600 85,000
Gateway 2000, Inc. (b)..................................... 900 48,206
International Business Machines............................ 600 90,600
-----------
327,756
-----------
COMPUTERS - MEMORY DEVICES -- 0.3%
EMC Corp. (b).............................................. 1,200 39,750
Microchip Technology, Inc. (b)............................. 500 25,437
Storage Technology Corp. (b)............................... 500 23,813
-----------
89,000
-----------
COMPUTERS - PERIPHERAL EQUIPMENT -- 0.7%
3Com Corp. (b)............................................. 600 44,025
Adaptec, Inc. (b).......................................... 900 36,000
Cisco Systems, Inc. (b).................................... 1,800 114,525
Filenet Corp. (b).......................................... 1,000 32,000
-----------
226,550
-----------
COMPUTER SOFTWARE -- 1.4%
BMC Software, Inc. (b)..................................... 700 28,963
Cadence Design Systems, Inc. (b)........................... 1,100 43,725
Computer Associates, Inc................................... 1,150 57,213
Compuware Corp. (b)........................................ 600 30,075
Microsoft Corp. (b)........................................ 2,200 181,775
Network General Corp. (b).................................. 1,100 33,275
Parametric Technology Corp. (b)............................ 1,000 51,375
S3, Inc. (b)............................................... 2,500 40,625
-----------
467,026
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
19
<PAGE> 22
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
CONSUMER PRODUCTS -- 0.1%
American Greetings, Class A................................ 600 $ 17,025
-----------
COSMETICS & TOILETRIES -- 0.4%
Avon Products, Inc......................................... 1,200 $ 68,550
Gillette Co................................................ 900 69,975
-----------
138,525
-----------
DIVERSIFIED PRODUCTS -- 0.7%
E.I. du Pont de Nemours.................................... 1,300 122,688
Textron, Inc............................................... 600 56,550
Tyco International Ltd..................................... 1,000 52,875
-----------
232,113
-----------
ELECTRICAL EQUIPMENT -- 1.0%
General Electric........................................... 2,000 197,750
Honeywell, Inc............................................. 1,400 92,050
Johnson Controls, Inc...................................... 600 49,725
----------
339,525
----------
ELECTRONIC COMPONENTS -- 0.9%
Atmel Corp. (b)............................................ 1,200 39,750
Intel Corp................................................. 1,700 222,594
Solectron Corp. (b)........................................ 500 26,687
VLSI Technology, Inc.(b)................................... 1,000 23,875
----------
312,906
----------
ENTERTAINMENT -- 0.5%
King World Productions, Inc. (b)........................... 1,000 36,875
MGM Grand, Inc. (b)........................................ 900 31,387
The Walt Disney Co......................................... 1,419 98,798
----------
167,060
----------
FINANCIAL SERVICES -- 1.1%
Bear Stearns Companies, Inc................................ 2,700 75,262
Echelon International (b).................................. 87 1,354
Edwards (A.G.), Inc........................................ 1,200 40,350
Merrill Lynch & Co......................................... 1,000 81,500
Morgan Stanley Group....................................... 1,200 68,550
SunAmerica, Inc............................................ 2,600 115,375
----------
382,391
----------
FOOD & RELATED -- 0.9%
ConAgra, Inc............................................... 1,400 69,650
Dean Foods Co.............................................. 1,100 35,475
Flowers Industries......................................... 900 19,350
Hershey Foods Corp......................................... 1,300 56,875
Interstate Bakeries Corp................................... 900 44,212
Sara Lee Corp.............................................. 1,700 63,325
----------
288,887
----------
</TABLE>
- ---------------
See Notes to Financial Statements.
20
<PAGE> 23
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
FOREST & PAPER PRODUCTS -- 0.6%
James River Corporation of Virginia........................ 2,400 79,500
Kimberley-Clark Corp....................................... 500 47,625
Mead Corp.................................................. 1,200 69,750
-----------
196,875
-----------
FURNITURE & FURNISHINGS -- 0.2%
Leggett & Platt, Inc....................................... 1,500 51,937
-----------
HOTEL MANAGEMENT & RELATED SERVICES -- 0.3%
HFS, Inc. (b).............................................. 600 $ 35,850
Marriott International, Inc................................ 900 49,725
Promus Hotel Corp. (b)..................................... 700 20,738
-----------
106,313
-----------
HOUSEHOLD - GENERAL PRODUCTS -- 0.3%
Clorox Co.................................................. 600 60,225
First Brands Corp.......................................... 900 25,537
-----------
85,762
-----------
HOUSING -- 0.1%
PHH Corp................................................... 700 30,100
-----------
INSURANCE -- 0.9%
Aetna Life & Casualty...................................... 534 42,720
Allstate Insurance......................................... 1,400 81,025
CIGNA Corp................................................. 400 54,650
Conseco, Inc............................................... 900 57,375
EXEL Ltd................................................... 600 22,725
Progressive Corp........................................... 600 40,425
----------
298,920
----------
LEISURE TIME INDUSTRY -- 0.1%
Callaway Golf Co........................................... 1,200 34,500
----------
MACHINERY & EQUIPMENT -- 0.5%
Caterpillar, Inc........................................... 600 45,150
Duriron Co................................................. 1,400 37,975
Harsco Corp................................................ 600 41,100
Ingersoll - Rand Co........................................ 700 31,150
Trinity Industries......................................... 800 30,000
----------
185,375
----------
MEDICAL EQUIPMENT & SUPPLIES -- 0.1%
Beckman Instruments, Inc................................... 800 30,700
DENTSPLY International..................................... 400 19,000
----------
49,700
----------
</TABLE>
- ---------------
See Notes to Financial Statements.
21
<PAGE> 24
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
MEDICAL - HOSPITAL MANAGEMENT SERVICES -- 0.4%
Columbia HCA Healthcare Corp............................... 800 32,600
HEALTHSOUTH Corp. (b)...................................... 900 34,762
Healthcare Compare Corp. (b)............................... 1,200 50,850
Health Care & Retirement Corp. (b)......................... 750 21,469
-----------
139,681
-----------
METAL FABRICATION -- 0.2%
Danaher Corp............................................... 600 27,975
Precision Castparts Corp................................... 800 39,700
-----------
67,675
-----------
METALS - DIVERSIFIED -- 0.1%
Phelps Dodge Corp.......................................... 700 47,250
-----------
OIL & GAS -- 2.8%
Ashland, Inc............................................... 1,000 $ 43,875
Atlantic Richfield Co...................................... 400 53,000
Cooper Cameron Corp. (b)................................... 500 38,250
Exxon Corp................................................. 1,300 127,400
Mobil Corp................................................. 800 97,800
Noble Drilling Corp. (b)................................... 1,200 23,850
Parker & Parsley Petro Co.................................. 2,100 77,175
Phillips Petroleum Co...................................... 1,200 53,100
Royal Dutch Petroleum...................................... 500 85,375
Smith International, Inc. (b).............................. 900 40,387
Texaco, Inc................................................ 1,200 117,750
Tidewater, Inc............................................. 2,000 90,500
Unocal Corp................................................ 1,400 56,875
Williams Companies, Inc.................................... 900 33,750
-----------
939,087
-----------
PHARMACEUTICALS -- 2.4%
Abbott Laboratories........................................ 1,600 81,200
Bristol-Myers Squibb Co.................................... 1,000 108,750
Cardinal Health, Inc....................................... 600 34,950
DURA Pharmaceuticals (b)................................... 500 23,875
Johnson & Johnson.......................................... 2,500 124,375
Mallinckrodt Group, Inc.................................... 900 39,712
Merck & Co., Inc........................................... 2,100 166,425
Pfizer, Inc................................................ 1,300 107,737
Schering-Plough............................................ 1,200 77,700
Watson Pharmaceutical, Inc. (b)............................ 900 40,444
-----------
805,168
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
22
<PAGE> 25
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
PUBLISHING -- 0.3%
New York Times Co., Class A................................ 1,300 49,400
Times Mirror Co., Class A.................................. 600 29,850
Washington Post, Class B................................... 70 23,459
-----------
102,709
-----------
RAILROAD -- 0.3%
Illinois Central Corp...................................... 600 19,200
Norfolk Southern Corp...................................... 900 78,750
-----------
97,950
-----------
RESTAURANTS -- 0.1%
Ruby Tuesday, Inc.......................................... 1,800 33,300
-----------
RETAIL - APPAREL -- 1.0%
Claire's Stores, Inc....................................... 1,400 18,200
Dollar General............................................. 1,200 38,400
The Gap, Inc............................................... 2,400 72,300
Liz Claiborne, Inc......................................... 800 30,900
Nike, Inc., Class B........................................ 800 47,800
Ross Stores, Inc........................................... 700 35,000
TJX Companies, Inc......................................... 1,900 90,012
-----------
332,612
-----------
RETAIL - FOOD STORES -- 0.3%
American Stores Co......................................... 900 $ 36,788
Safeway, Inc. (b).......................................... 1,100 47,025
Vons Companies, Inc. (b)................................... 400 23,950
-----------
107,763
-----------
RETAIL - GENERAL MERCHANDISE -- 0.2%
Family Dollar Stores....................................... 700 14,262
Sears Roebuck & Co......................................... 1,200 55,350
-----------
69,612
-----------
RETAIL - OFFICE SUPPLY -- 0.2%
OfficeMax, Inc. (b)........................................ 2,500 26,562
U.S. Office Products Co. (b)............................... 800 27,300
-----------
53,862
-----------
RETAIL - SPECIALTY STORES -- 0.2%
Home Depot, Inc............................................ 1,200 60,150
-----------
STEEL -- 0.2%
AK Steel Holding Corp...................................... 700 27,738
USX-U.S. Steel Group, Inc.................................. 1,500 47,062
-----------
74,800
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
23
<PAGE> 26
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
TELECOMMUNICATIONS - EQUIPMENT -- 0.3%
ADC Telecommunications, Inc. (b)........................... 1,100 34,238
Harris Corp................................................ 700 48,038
U.S. Robotics Corp. (b).................................... 500 36,000
-----------
118,276
-----------
TOBACCO -- 0.5%
Philip Morris Co., Inc..................................... 1,400 157,675
Universal Corp............................................. 400 12,850
-----------
170,525
-----------
TOYS -- 0.1%
Hasbro, Inc................................................ 800 31,100
-----------
UTILITIES - ELECTRIC -- 1.7%
Boston Edison Co........................................... 1,900 51,062
CMS Energy Corp............................................ 2,100 70,612
DQE, Inc................................................... 1,900 55,100
Edison International....................................... 2,100 41,738
Florida Progress Corp...................................... 1,600 51,600
FPL Group, Inc............................................. 1,700 78,200
GPU, Inc................................................... 3,200 107,600
Illinova Corp.............................................. 2,100 57,750
NIPSCO Industries.......................................... 900 35,662
Northern States Power...................................... 800 36,700
-----------
586,024
-----------
UTILITIES - GAS -- 0.3%
Consolidated Natural Gas Co................................ 500 27,625
MCN Corp................................................... 1,200 34,650
NICOR, Inc................................................. 1,000 35,750
-----------
98,025
-----------
UTILITIES - TELEPHONE -- 1.7%
AT&T Corp.................................................. 2,500 $ 108,750
Ameritech Corp............................................. 1,700 103,063
BellSouth Corp............................................. 2,700 109,013
Century Telephone Enterprises.............................. 1,400 43,225
Southern New England Telecommunications.................... 1,300 50,537
Southwestern Bell Corp..................................... 1,800 93,150
Sprint Corp................................................ 1,200 47,850
-----------
555,588
-----------
Total Common Stocks........................................ 10,590,143
-----------
CORPORATE BONDS -- 10.2%
BANKING -- 0.5%
Norwest Corp., 6.55%, 12/1/06.............................. $ 175,000 170,406
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
24
<PAGE> 27
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
COMPUTERS - MAIN & MINI -- 1.5%
International Business Machines, 6.38%, 6/15/00............ 500,000 498,750
-----------
ENTERTAINMENT -- 1.5%
Walt Disney Co., 6.38%, 3/30/01............................ 500,000 496,875
-----------
FINANCIAL SERVICES -- 1.2%
General Electric Capital Corp., 8.10%, 1/26/99............. 200,000 207,500
Household Netherlands BV, 6.13%, 3/1/03.................... 200,000 194,500
LOC: Household International
-----------
402,000
-----------
FOOD & RELATED -- 1.8%
Heinz Co., 6.88%, 1/15/03.................................. 200,000 202,500
Kellogg Co., 5.90%, 7/15/97................................ 400,000 400,312
-----------
602,812
-----------
PHARMACEUTICALS -- 1.5%
Smithkline Beecham Corp., 6.63%, 10/1/01................... 500,000 502,500
-----------
RETAIL - GENERAL MERCHANDISE -- 1.5%
Wal-Mart Stores, Inc., 6.75%, 5/15/02...................... 500,000 505,625
-----------
UTILITIES - ELECTRIC -- 0.7%
Southern California Edison, 6.50%, 6/1/01.................. 265,000 263,013
-----------
Total Corporate Bonds........................................ 3,441,981
-----------
U.S. TREASURY OBLIGATIONS -- 44.2%
U.S. TREASURY BILLS -- 0.0%
1/23/97.................................................... 7,000 6,977
-----------
U.S. TREASURY NOTES -- 44.2%
6.13%, 5/31/97............................................. 2,535,000 2,542,428
5.38%, 5/31/98............................................. 2,875,000 2,859,590
6.38%, 5/15/99............................................. 500,000 504,360
6.75%, 5/31/99............................................. 2,925,000 2,975,369
6.25%, 8/31/00............................................. 2,492,000 2,500,572
6.25%, 2/15/03............................................. 2,040,000 2,038,552
6.50%, 5/15/05............................................. 1,425,000 1,433,978
-----------
Total U.S. Treasury Notes.................................... 14,854,849
-----------
Total U.S. Treasury Obligations.............................. 14,861,826
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
25
<PAGE> 28
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES -- 10.2%
Federal Home Loan Mortgage Corp.:
7.06%, 8/2/01............................................ $ 500,000 $ 503,500
7.09%, 11/24/06.......................................... 500,000 495,125
Federal National Mortgage Assoc.:
6.57%, 11/19/01.......................................... 300,000 297,498
7.50%, 6/1/03, Pool # 303973............................. 472,141 479,180
6.50%, 1/1/06, Pool # 81690.............................. 471,569 460,604
7.50%, 5/1/07, Pool # 124341............................. 440,007 445,660
5.50%, 12/25/14, Series 1993-155, Class PD............... 750,000 744,743
-----------
Total U.S. Government Agencies............................... 3,426,310
-----------
INVESTMENT COMPANIES -- 4.9%
T. Rowe Price Foreign Equity Fund.......................... 58,600 941,116
T. Rowe Price International Equity Fund.................... 50,500 696,900
-----------
Total Investment Companies................................... 1,638,016
-----------
TOTAL (COST -- $32,498,467) (A).............................. $33,958,276
Liabilities in Excess of Other Assets........................ (314,093)
-----------
NET ASSETS -- 100.0%......................................... $33,644,183
===========
Percentages indicated are based on net assets of $33,644,183.
(a) Represents cost for federal income tax purposes and
differs from value by net unrealized appreciation of
securities as follows:
Unrealized appreciation.................................... $1,697,973
Unrealized depreciation.................................... (238,164)
-----------
Net unrealized appreciation................................ $1,459,809
===========
(b) Represents non-income producing securities.
LOC -- Letter of Credit
</TABLE>
- ---------------
See Notes to Financial Statements.
26
<PAGE> 29
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------ ---------- -----------
<S> <C> <C>
COMMON STOCKS -- 41.3%
ADVERTISING -- 0.3%
Omnicom Group............................................. 2,200 $ 100,650
-----------
AEROSPACE/DEFENSE -- 0.6%
Lockheed Martin Corp...................................... 1,000 91,500
United Technologies Corp.................................. 1,900 125,400
-----------
216,900
-----------
AIR TRANSPORTATION -- 0.2%
Comair Holdings, Inc...................................... 1,300 31,200
UAL Corp. (b)............................................. 500 31,250
-----------
62,450
-----------
AUTOMOBILES & TRUCKS -- 0.4%
Chrysler Corp............................................. 3,000 99,000
General Motors Corp....................................... 1,000 55,750
-----------
154,750
-----------
AUTO PARTS -- 0.1%
Standard Products Co...................................... 1,500 38,250
-----------
BANKS -- 3.6%
Bank of Boston............................................ 2,100 134,925
Citicorp.................................................. 2,000 206,000
City National Corp........................................ 2,500 54,063
Comerica, Inc............................................. 3,900 204,263
First of America Bank Corp................................ 1,400 84,175
First Union Corp. (N.C.).................................. 1,700 125,800
Mellon Bank Corp.......................................... 1,300 92,300
NationsBank Corp.......................................... 1,200 117,300
Northern Trust Corp....................................... 1,600 58,000
Regions Financial Corp.................................... 1,500 77,531
SouthTrust Corp........................................... 2,200 76,725
State Street Boston Corp.................................. 800 51,600
-----------
1,282,682
-----------
BEVERAGES -- 0.9%
Coca-Cola Co.............................................. 4,300 226,287
Coca-Cola Enterprises..................................... 1,000 48,500
PepsiCo, Inc.............................................. 1,200 35,100
-----------
309,887
-----------
BREWERIES -- 0.1%
Anheuser-Busch Cos., Inc.................................. 900 36,000
-----------
BUILDING & CONSTRUCTION -- 0.3%
Armstrong World Industries................................ 1,600 111,200
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
27
<PAGE> 30
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------ ---------- -----------
<S> <C> <C>
BUSINESS SERVICES -- 0.3%
AccuStaff, Inc. (b)....................................... 1,600 33,800
Equifax, Inc.............................................. 2,300 70,438
-----------
104,238
-----------
CASINO SERVICES -- 0.2%
International Game Technology............................. 3,600 65,700
-----------
CHEMICALS - PETRO & INORGANIC -- 0.3%
Monsanto Corp............................................. 2,600 101,075
-----------
CHEMICALS - SPECIALTY -- 1.0%
Cytec Industries, Inc. (b)................................ 1,700 $ 69,063
Ecolab, Inc............................................... 1,600 60,200
Goodrich (B.F.) Co........................................ 1,200 48,600
Lubrizol Corp............................................. 2,600 80,600
Morton International, Inc................................. 800 32,600
Nalco Chemical Co......................................... 1,900 68,637
-----------
359,700
-----------
COMPUTERS - MAIN & MINI -- 1.1%
Compaq Computer Corp. (b)................................. 1,700 126,225
Dell Computer Corp. (b)................................... 1,800 95,625
Gateway 2000, Inc. (b).................................... 1,600 85,700
International Business Machines........................... 700 105,700
-----------
413,250
-----------
COMPUTERS - MEMORY DEVICES -- 0.4%
EMC Corp. (b)............................................. 1,400 46,375
Microchip Technology, Inc. (b)............................ 900 45,788
Storage Technology Corp. (b).............................. 900 42,863
-----------
135,026
-----------
COMPUTERS - PERIPHERAL EQUIPMENT -- 0.9%
3Com Corp................................................. 600 44,025
Adaptec, Inc. (b)......................................... 1,600 64,000
Cisco Systems, Inc. (b)................................... 2,500 159,062
Filenet Corp. (b)......................................... 1,700 54,400
-----------
321,487
-----------
COMPUTER SOFTWARE -- 1.9%
BMC Software, Inc. (b).................................... 1,300 53,788
Cadence Design Systems, Inc. (b).......................... 1,900 75,525
Computer Associates, Inc.................................. 1,400 69,650
Compuware Corp. (b)....................................... 1,100 55,137
Microsoft Corp. (b)....................................... 2,600 214,825
Network General Corp. (b)................................. 1,900 57,475
Parametric Technology Corp. (b)........................... 1,700 87,338
S3, Inc. (b).............................................. 4,500 73,125
-----------
686,863
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
28
<PAGE> 31
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------ ---------- -----------
<S> <C> <C>
CONSUMER PRODUCTS -- 0.1%
American Greetings, Class A............................... 1,000 28,375
-----------
COSMETICS & TOILETRIES -- 0.5%
Avon Products, Inc........................................ 1,400 79,975
Gillette Co............................................... 1,100 85,525
-----------
165,500
-----------
DIVERSIFIED PRODUCTS -- 0.8%
E.I. du Pont de Nemours................................... 1,600 151,000
Textron, Inc.............................................. 800 75,400
Tyco International Ltd.................................... 1,200 63,450
-----------
289,850
-----------
ELECTRICAL EQUIPMENT -- 1.2%
General Electric.......................................... 2,500 247,187
Honeywell, Inc............................................ 1,800 118,350
Johnson Controls, Inc..................................... 900 74,588
-----------
440,125
-----------
ELECTRONIC COMPONENTS -- 1.1%
Atmel Corp. (b)........................................... 2,100 $ 69,563
Intel Corp................................................ 1,900 248,781
Solectron Corp. (b)....................................... 800 42,700
VLSI Technology, Inc. (b)................................. 1,800 42,975
-----------
404,019
-----------
ENTERTAINMENT -- 0.6%
King World Productions, Inc. (b).......................... 1,400 51,625
MGM Grand, Inc. (b)....................................... 1,600 55,800
The Walt Disney Co........................................ 1,719 119,685
-----------
227,110
-----------
FINANCIAL SERVICES -- 1.6%
Bear Stearns Companies, Inc............................... 4,800 133,800
Echelon International (b)................................. 187 2,917
Edwards (A.G.), Inc....................................... 2,200 73,975
Merrill Lynch & Co........................................ 1,300 105,950
Morgan Stanley Group...................................... 1,500 85,687
SunAmerica, Inc........................................... 3,900 173,062
-----------
575,391
-----------
FOOD & RELATED -- 1.1%
ConAgra, Inc.............................................. 1,700 84,575
Dean Foods Co............................................. 2,000 64,500
Flowers Industries........................................ 1,600 34,400
Hershey Foods Corp........................................ 1,600 70,000
Interstate Bakeries Corp.................................. 1,600 78,600
Sara Lee Corp............................................. 2,100 78,225
-----------
410,300
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
29
<PAGE> 32
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------ ---------- -----------
<S> <C> <C>
FOREST & PAPER PRODUCTS -- 0.8%
James River Corporation of Virginia....................... 3,500 115,937
Kimberley-Clark Corp...................................... 600 57,150
Mead Corp................................................. 1,800 104,625
-----------
277,712
-----------
FURNITURE & FURNISHINGS -- 0.3%
Leggett & Platt, Inc...................................... 2,700 93,488
-----------
HOTEL MANAGEMENT & RELATED SERVICES -- 0.4%
HFS, Inc. (b)............................................. 700 41,825
Marriott International, Inc............................... 1,000 55,250
Promus Hotel Corp. (b).................................... 1,200 35,550
-----------
132,625
-----------
HOUSEHOLD - GENERAL PRODUCTS -- 0.3%
Clorox Co................................................. 700 70,263
First Brands Corp......................................... 1,500 42,562
-----------
112,825
-----------
HOUSING -- 0.1%
PHH Corp.................................................. 1,200 51,600
-----------
INSURANCE -- 1.1%
Aetna Life & Casualty..................................... 534 42,720
Allstate Insurance........................................ 1,700 98,388
CIGNA Corp................................................ 500 68,312
Conseco, Inc.............................................. 1,200 76,500
EXEL Ltd.................................................. 1,000 37,875
Progressive Corp.......................................... 1,100 74,113
-----------
397,908
-----------
LEISURE TIME INDUSTRY -- 0.2%
Callaway Golf Co.......................................... 2,200 $ 63,250
-----------
MACHINERY & EQUIPMENT -- 0.8%
Caterpillar, Inc.......................................... 700 52,675
Duriron Co................................................ 2,400 65,100
Harsco Corp............................................... 1,000 68,500
Ingersoll-Rand Co......................................... 800 35,600
Trinity Industries........................................ 1,400 52,500
-----------
274,375
-----------
MEDICAL EQUIPMENT & SUPPLIES -- 0.2%
Beckman Instruments, Inc.................................. 1,400 53,725
DENTSPLY International.................................... 700 33,250
-----------
86,975
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
30
<PAGE> 33
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------ ---------- -----------
<S> <C> <C>
MEDICAL - HOSPITAL MANAGEMENT SERVICES -- 0.6%
Columbia HCA Healthcare Corp.............................. 1,000 40,750
HEALTHSOUTH Corp. (b)..................................... 1,600 61,800
Healthcare Compare Corp. (b).............................. 2,100 88,987
Health Care & Retirement Corp. (b)........................ 1,300 37,213
-----------
228,750
-----------
METAL FABRICATION -- 0.2%
Danaher Corp.............................................. 1,100 51,287
Precision Castparts Corp.................................. 1,500 74,438
-----------
125,725
-----------
METALS - DIVERSIFIED -- 0.2%
Phelps Dodge Corp......................................... 800 54,000
-----------
OIL & GAS -- 3.5%
Ashland, Inc.............................................. 1,700 74,588
Atlantic Richfield Co..................................... 500 66,250
Cooper Cameron Corp. (b).................................. 900 68,850
Exxon Corp................................................ 1,600 156,800
Mobil Corp................................................ 1,000 122,250
Noble Drilling Corp. (b).................................. 2,200 43,725
Parker & Parsley Petro Co................................. 3,600 132,300
Phillips Petroleum Co..................................... 1,400 61,950
Royal Dutch Petroleum..................................... 500 85,375
Smith International, Inc. (b)............................. 1,500 67,312
Texaco, Inc............................................... 1,500 147,188
Tidewater, Inc............................................ 2,800 126,700
Unocal Corp............................................... 1,700 69,063
Williams Companies, Inc................................... 1,200 45,000
-----------
1,267,351
-----------
PHARMACEUTICALS -- 3.0%
Abbott Laboratories....................................... 1,900 96,425
Bristol-Myers Squibb Co................................... 1,200 130,500
Cardinal Health, Inc...................................... 1,350 78,637
DURA Pharmaceuticals (b).................................. 900 42,975
Johnson & Johnson......................................... 3,100 154,225
Mallinckrodt Group, Inc................................... 1,600 70,600
Merck & Co., Inc.......................................... 2,600 206,050
Pfizer, Inc............................................... 1,600 132,600
Schering-Plough........................................... 1,400 90,650
Watson Pharmaceutical, Inc. (b)........................... 1,600 71,900
-----------
1,074,562
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
31
<PAGE> 34
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------ ---------- -----------
<S> <C> <C>
PUBLISHING -- 0.4%
New York Times Co., Class A............................... 1,700 $ 64,600
Times Mirror Co., Class A................................. 600 29,850
Washington Post, Class B.................................. 190 63,674
-----------
158,124
-----------
RAILROAD -- 0.3%
Illinois Central Corp..................................... 1,000 32,000
Norfolk Southern Corp..................................... 1,000 87,500
-----------
119,500
-----------
RESTAURANTS -- 0.2%
Ruby Tuesday, Inc......................................... 3,200 59,200
-----------
RETAIL - APPAREL -- 1.4%
Claire's Stores, Inc...................................... 2,550 33,150
Dollar General............................................ 2,200 70,400
The Gap, Inc.............................................. 2,900 87,363
Liz Claiborne, Inc........................................ 1,400 54,075
Nike, Inc., Class B....................................... 1,000 59,750
Ross Stores, Inc.......................................... 1,200 60,000
TJX Companies, Inc........................................ 2,600 123,175
-----------
487,913
-----------
RETAIL - FOOD STORES -- 0.4%
American Stores Co........................................ 1,100 44,963
Safeway, Inc. (b)......................................... 1,400 59,850
Vons Companies, Inc. (b).................................. 700 41,912
-----------
146,725
-----------
RETAIL - GENERAL MERCHANDISE -- 0.3%
Family Dollar Stores...................................... 1,300 26,488
Sears Roebuck & Co........................................ 1,500 69,187
-----------
95,675
-----------
RETAIL - OFFICE SUPPLY -- 0.3%
OfficeMax, Inc. (b)....................................... 4,500 47,813
U.S. Office Products Co. (b).............................. 1,400 47,775
-----------
95,588
-----------
RETAIL - SPECIALTY STORES -- 0.2%
Home Depot, Inc........................................... 1,500 75,187
-----------
STEEL -- 0.3%
AK Steel Holding Corp..................................... 1,100 43,588
USX-U.S. Steel Group, Inc................................. 1,800 56,475
-----------
100,063
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
32
<PAGE> 35
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------ ---------- -----------
<S> <C> <C>
TELECOMMUNICATIONS - EQUIPMENT -- 0.5%
ADC Telecommunications, Inc. (b).......................... 2,000 62,250
Harris Corp............................................... 1,100 75,487
U.S. Robotics Corp.(b).................................... 800 57,600
-----------
195,337
-----------
TOBACCO -- 0.6%
Philip Morris Co., Inc.................................... 1,700 191,462
Universal Corp............................................ 800 25,700
-----------
217,162
-----------
TOYS -- 0.1%
Hasbro, Inc............................................... 1,000 38,875
-----------
UTILITIES - ELECTRIC -- 2.5%
Boston Edison Co.......................................... 2,900 $ 77,938
CMS Energy Corp........................................... 3,700 124,412
DQE, Inc.................................................. 3,400 98,600
Edison International...................................... 2,500 49,688
Florida Progress Corp..................................... 2,800 90,300
FPL Group, Inc............................................ 2,100 96,600
GPU, Inc.................................................. 4,600 154,675
Illinova Corp............................................. 3,800 104,500
NIPSCO Industries......................................... 900 35,662
Northern States Power..................................... 1,400 64,225
-----------
896,600
-----------
UTILITIES - GAS -- 0.4%
Consolidated Natural Gas Co............................... 700 38,675
MCN Corp.................................................. 1,900 54,862
NICOR, Inc................................................ 1,800 64,350
-----------
157,887
-----------
UTILITIES - TELEPHONE -- 2.1%
AT&T Corp................................................. 3,100 134,850
Ameritech Corp............................................ 2,100 127,312
BellSouth Corp............................................ 3,300 133,236
Century Telephone Enterprises............................. 2,600 80,275
Southern New England Telecommunications................... 2,300 89,413
Southwestern Bell Corp.................................... 2,200 113,850
Sprint Corp............................................... 1,500 59,812
-----------
738,748
-----------
Total Common Stocks....................................... 14,864,508
-----------
CORPORATE BONDS -- 8.7%
BANKING -- 0.7%
Norwest Corp., 6.55%, 12/1/06............................. $ 250,000 243,438
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
33
<PAGE> 36
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------ ---------- -----------
<S> <C> <C>
COMPUTERS - MAIN & MINI -- 1.4%
International Business Machines, 6.38%, 6/15/00........... 500,000 498,750
-----------
ENTERTAINMENT -- 1.4%
Walt Disney Co., 6.38%, 3/30/01........................... 500,000 496,875
-----------
FINANCIAL SERVICES -- 1.1%
General Electric Capital Corp., 8.10%, 1/26/99............ 200,000 207,500
Household Netherlands BV, 6.13%, 3/1/03................... 200,000 194,500
LOC: Household International
-----------
402,000
-----------
FOOD & RELATED -- 1.4%
Heinz Co., 6.88%, 1/15/03................................. 200,000 202,500
Kellogg Co., 5.90%, 7/15/97............................... 300,000 300,234
-----------
502,734
-----------
PHARMACEUTICALS -- 1.4%
Smithkline Beecham Corp., 6.63%, 10/1/01.................. 500,000 502,500
-----------
RETAIL - GENERAL MERCHANDISE -- 0.9%
Wal-Mart Stores, 6.75%, 5/15/02........................... 350,000 353,938
-----------
UTILITIES - ELECTRIC -- 0.4%
Southern California Edison, 6.50%, 6/1/01................. 145,000 143,912
-----------
Total Corporate Bonds....................................... 3,144,147
-----------
U.S. TREASURY OBLIGATIONS -- 34.5%
U.S. TREASURY BILLS -- 1.3%
2/6/97.................................................... $ 383,000 $ 381,082
3/6/97.................................................... 93,000 92,165
-----------
Total U.S. Treasury Bills................................... 473,247
-----------
U.S. TREASURY NOTES -- 33.2%
6.13%, 5/31/97............................................ 1,585,000 1,589,644
6.38%, 5/15/99............................................ 200,000 201,744
6.75%, 5/31/99............................................ 2,300,000 2,339,606
6.25%, 8/31/00............................................ 2,492,000 2,500,572
6.25%, 2/15/03............................................ 2,880,000 2,877,955
6.50%, 5/15/05............................................ 2,425,000 2,440,278
-----------
Total U.S. Treasury Notes................................... 11,949,799
-----------
Total U.S. Treasury Obligations............................. 12,423,046
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
34
<PAGE> 37
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------ ---------- -----------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES -- 7.4%
Federal Home Loan Mortgage Corp.:
7.06%, 8/2/01........................................... 500,000 503,500
7.09%, 11/24/06......................................... 325,000 321,831
Federal National Mortgage Assoc.:
6.57%, 11/19/01......................................... 200,000 198,332
7.50%, 6/1/03, Pool # 303973............................ 472,141 479,180
6.50%, 1/1/06, Pool # 81690............................. 471,569 460,605
7.50%, 5/1/07, Pool # 124341............................ 440,007 445,661
5.50%, 12/25/14, Series 1993-155, Class PD.............. 250,000 248,248
-----------
Total U.S. Government Agencies.............................. 2,657,357
-----------
INVESTMENT COMPANIES -- 9.5%
T. Rowe Price Foreign Equity Fund......................... 106,900 1,716,814
T. Rowe Price International Equity Fund................... 124,800 1,722,240
-----------
Total Investment Companies.................................. 3,439,054
-----------
TOTAL (COST -- $34,583,953) (A)............................. $36,528,112
Liabilities in Excess of Other Assets....................... (514,492)
-----------
NET ASSETS -- 100.0%........................................ $36,013,620
===========
Percentages indicated are based on net assets of $36,013,620.
(a) Represents cost for federal income tax purposes and differs from
value by net unrealized appreciation of securities as follows:
Unrealized appreciation................................... $2,232,326
Unrealized depreciation................................... (288,167)
----------
Net unrealized appreciation............................... $1,944,159
==========
(b) Represents non-income producing securities.
LOC -- Letter of Credit
</TABLE>
- ---------------
See Notes to Financial Statements.
35
<PAGE> 38
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
COMMON STOCKS -- 60.5%
ADVERTISING -- 0.3%
Omnicom Group.............................................. 2,600 $ 118,950
-----------
AEROSPACE/DEFENSE -- 1.0%
Lockheed Martin Corp....................................... 1,600 146,400
United Technologies Corp................................... 3,000 198,000
-----------
344,400
AIR TRANSPORTATION -- 0.2%
Comair Holdings, Inc....................................... 1,500 36,000
UAL Corp. (b).............................................. 800 50,000
-----------
86,000
-----------
AUTOMOBILES & TRUCKS -- 0.7%
Chrysler Corp.............................................. 4,800 158,400
General Motors Corp........................................ 1,600 89,200
-----------
247,600
-----------
AUTO PARTS -- 0.1%
Standard Products Co....................................... 1,700 43,350
-----------
BANKS -- 5.2%
Bank of Boston............................................. 3,300 212,025
Citicorp................................................... 3,200 329,600
City National Corp......................................... 2,900 62,713
Comerica, Inc.............................................. 5,300 277,588
First of America Bank Corp................................. 1,700 102,212
First Union Corp. (N.C.)................................... 2,700 199,800
Mellon Bank Corp........................................... 2,000 142,000
NationsBank Corp........................................... 1,900 185,725
Northern Trust Corp........................................ 1,800 65,250
Regions Financial Corp..................................... 1,700 87,869
SouthTrust Corp............................................ 2,600 90,675
State Street Boston Corp................................... 900 58,050
-----------
1,813,507
-----------
BEVERAGES -- 1.3%
Coca-Cola Co............................................... 6,800 357,850
Coca-Cola Enterprises...................................... 1,100 53,350
PepsiCo, Inc............................................... 1,800 52,650
-----------
463,850
-----------
BREWERIES -- 0.2%
Anheuser-Busch Cos., Inc................................... 1,400 56,000
-----------
BUILDING & CONSTRUCTION -- 0.4%
Armstrong World Industries................................. 2,000 139,000
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
36
<PAGE> 39
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
BUSINESS EQUIPMENT & SERVICES -- 0.4%
AccuStaff, Inc. (b)........................................ 2,000 $ 42,250
Equifax, Inc............................................... 2,700 82,688
-----------
124,938
-----------
CASINO SERVICES -- 0.2%
International Game Technology.............................. 4,300 78,475
-----------
CHEMICALS - PETRO & INORGANIC -- 0.5%
Monsanto Corp.............................................. 4,100 159,387
-----------
CHEMICALS - SPECIALTY -- 1.3%
Cytec Industries, Inc. (b)................................. 2,000 81,250
Ecolab, Inc................................................ 1,900 71,487
Goodrich (B.F.) Co......................................... 1,400 56,700
Lubrizol Corp.............................................. 3,100 96,100
Morton International, Inc.................................. 1,300 52,975
Nalco Chemical Co.......................................... 2,300 83,088
-----------
441,600
-----------
COMPUTERS - MAIN & MINI -- 1.8%
Compaq Computer Corp. (b).................................. 2,700 200,475
Dell Computer Corp. (b).................................... 3,000 159,375
Gateway 2000, Inc. (b)..................................... 1,900 101,769
International Business Machines............................ 1,200 181,200
-----------
642,819
-----------
COMPUTERS - MEMORY DEVICES -- 0.5%
EMC Corp. (b).............................................. 2,200 72,875
Microchip Technology, Inc. (b)............................. 1,000 50,875
Storage Technology Corp. (b)............................... 1,100 52,388
-----------
176,138
-----------
COMPUTERS - PERIPHERAL EQUIPMENT -- 1.2%
3Com Corp.................................................. 1,000 73,375
Adaptec, Inc. (b).......................................... 1,900 76,000
Cisco Systems, Inc. (b).................................... 3,200 203,600
Filenet Corp. (b).......................................... 2,000 64,000
-----------
416,975
-----------
COMPUTER SOFTWARE -- 2.7%
BMC Software, Inc. (b)..................................... 1,500 62,062
Cadence Design Systems, Inc. (b)........................... 2,150 85,463
Computer Associates, Inc................................... 2,300 114,425
Compuware Corp. (b)........................................ 1,200 60,150
Microsoft Corp. (b)........................................ 4,200 347,025
Network General Corp. (b).................................. 2,300 69,575
Parametric Technology Corp. (b)............................ 2,100 107,887
S3, Inc. (b)............................................... 5,400 87,750
-----------
934,337
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
37
<PAGE> 40
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
CONSUMER PRODUCTS -- 0.1%
American Greetings, Class A................................ 1,200 34,050
-----------
COSMETICS & TOILETRIES -- 0.8%
Avon Products, Inc......................................... 2,300 $ 131,387
Gillette Co................................................ 1,800 139,950
-----------
271,337
-----------
DIVERSIFIED PRODUCTS -- 1.3%
E.I. du Pont de Nemours.................................... 2,600 245,375
Textron, Inc............................................... 1,200 113,100
Tyco International Ltd..................................... 1,900 100,463
-----------
458,938
-----------
ELECTRICAL EQUIPMENT -- 2.0%
General Electric........................................... 4,000 395,500
Honeywell, Inc............................................. 2,800 184,100
Johnson Controls, Inc...................................... 1,200 99,450
-----------
679,050
-----------
ELECTRONIC COMPONENTS -- 1.7%
Atmel Corp. (b)............................................ 2,400 79,500
Intel Corp................................................. 3,100 405,906
Solectron Corp. (b)........................................ 1,000 53,375
VLSI Technology, Inc. (b).................................. 2,100 50,137
-----------
588,918
-----------
ENTERTAINMENT -- 1.0%
King World Productions, Inc. (b)........................... 2,000 73,750
MGM Grand, Inc. (b)........................................ 1,900 66,263
The Walt Disney Co......................................... 2,819 196,273
-----------
336,286
-----------
FINANCIAL SERVICES -- 2.2%
Bear Stearns Companies, Inc................................ 5,700 158,887
Echelon International (b).................................. 220 3,437
Edwards (A.G.), Inc........................................ 2,600 87,425
Merrill Lynch & Co......................................... 2,000 163,000
Morgan Stanley Group....................................... 2,400 137,100
SunAmerica, Inc............................................ 5,200 230,750
-----------
780,599
-----------
FOOD & RELATED -- 1.7%
ConAgra, Inc............................................... 2,700 134,325
Dean Foods Co.............................................. 2,400 77,400
Flowers Industries......................................... 1,900 40,850
Hershey Foods Corp......................................... 2,500 109,375
Interstate Bakeries Corp................................... 1,900 93,338
Sara Lee Corp.............................................. 3,300 122,925
-----------
578,213
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
38
<PAGE> 41
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
FOREST & PAPER PRODUCTS -- 1.2%
James River Corporation of Virginia........................ 4,900 162,313
Kimberley-Clark Corp....................................... 1,000 95,250
Mead Corp.................................................. 2,500 145,312
-----------
402,875
-----------
FURNITURE & FURNISHINGS -- 0.3%
Leggett & Platt, Inc....................................... 3,100 107,338
-----------
HOTEL MANAGEMENT & RELATED SERVICES -- 0.6%
HFS, Inc. (b).............................................. 1,100 $ 65,725
Marriott International, Inc................................ 1,600 88,400
Promus Hotel Corp. (b)..................................... 1,400 41,475
-----------
195,600
-----------
HOUSEHOLD - GENERAL PRODUCTS -- 0.5%
Clorox Co.................................................. 1,200 120,450
First Brands Corp.......................................... 1,800 51,075
-----------
171,525
-----------
HOUSING -- 0.2%
PHH Corp................................................... 1,500 64,500
-----------
INSURANCE -- 1.7%
Aetna Life & Casualty...................................... 757 60,560
Allstate Insurance......................................... 2,700 156,262
CIGNA Corp................................................. 900 122,963
Conseco, Inc............................................... 1,900 121,125
EXEL Ltd................................................... 1,200 45,450
Progressive Corp........................................... 1,300 87,588
-----------
593,948
-----------
LEISURE TIME INDUSTRY -- 0.2%
Callaway Golf Co........................................... 2,600 74,750
-----------
MACHINERY & EQUIPMENT -- 1.1%
Caterpillar, Inc........................................... 1,200 90,300
Duriron Co................................................. 2,900 78,662
Harsco Corp................................................ 1,200 82,200
Ingersoll -- Rand Co....................................... 1,300 57,850
Trinity Industries......................................... 1,700 63,750
-----------
372,762
-----------
MEDICAL EQUIPMENT & SUPPLIES -- 0.3%
Beckman Instruments, Inc................................... 1,700 65,238
DENTSPLY International..................................... 800 38,000
-----------
103,238
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
39
<PAGE> 42
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
MEDICAL - HOSPITAL MANAGEMENT SERVICES -- 0.8%
Columbia HCA Healthcare Corp............................... 1,600 65,200
HEALTHSOUTH Corp. (b)...................................... 1,900 73,388
Healthcare Compare Corp. (b)............................... 2,500 105,937
Health Care & Retirement Corp. (b)......................... 1,600 45,800
-----------
290,325
-----------
METAL FABRICATION -- 0.4%
Danaher Corp............................................... 1,300 60,612
Precision Castparts Corp................................... 1,800 89,325
-----------
149,937
-----------
METALS - DIVERSIFIED -- 0.3%
Phelps Dodge Corp.......................................... 1,400 94,500
-----------
OIL & GAS -- 5.3%
Ashland, Inc............................................... 2,000 $ 87,750
Atlantic Richfield Co...................................... 800 106,000
Cooper Cameron Corp. (b)................................... 1,000 76,500
Exxon Corp................................................. 2,500 245,000
Mobil Corp................................................. 1,500 183,375
Noble Drilling Corp. (b)................................... 2,600 51,675
Parker & Parsley Petro Co.................................. 4,300 158,025
Phillips Petroleum Co...................................... 2,300 101,775
Royal Dutch Petroleum...................................... 900 153,675
Smith International, Inc. (b).............................. 1,800 80,775
Texaco, Inc................................................ 2,300 225,687
Tidewater, Inc............................................. 4,000 181,000
Unocal Corp................................................ 2,700 109,688
Williams Companies, Inc.................................... 1,800 67,500
-----------
1,828,425
-----------
PHARMACEUTICALS -- 4.6%
Abbott Laboratories........................................ 3,000 152,250
Bristol-Myers Squibb Co.................................... 1,900 206,625
Cardinal Health, Inc....................................... 1,650 96,113
DURA Pharmaceuticals (b)................................... 1,100 52,525
Johnson & Johnson.......................................... 4,900 243,775
Mallinckrodt Group, Inc.................................... 1,900 83,837
Merck & Co., Inc........................................... 4,100 324,925
Pfizer, Inc................................................ 2,600 215,475
Schering-Plough............................................ 2,200 142,450
Watson Pharmaceutical, Inc. (b)............................ 1,800 80,887
-----------
1,598,862
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
40
<PAGE> 43
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
PUBLISHING -- 0.6%
New York Times Co., Class A................................ 2,600 98,800
Times Mirror Co., Class A.................................. 900 44,775
Washington Post, Class B................................... 220 73,728
-----------
217,303
-----------
RAILROAD -- 0.5%
Illinois Central Corp...................................... 1,200 38,400
Norfolk Southern Corp...................................... 1,700 148,750
-----------
187,150
-----------
RESTAURANTS -- 0.2%
Ruby Tuesday, Inc.......................................... 3,800 70,300
-----------
RETAIL - APPAREL -- 1.9%
Claire's Stores, Inc....................................... 3,000 39,000
Dollar General............................................. 2,600 83,200
The Gap, Inc............................................... 4,600 138,575
Liz Claiborne, Inc......................................... 1,700 65,662
Nike, Inc., Class B........................................ 1,500 89,625
Ross Stores, Inc........................................... 1,400 70,000
TJX Companies, Inc......................................... 3,800 180,025
-----------
666,087
-----------
RETAIL - FOOD STORES -- 0.6%
American Stores Co......................................... 1,700 $ 69,488
Safeway, Inc. (b).......................................... 2,200 94,050
Vons Companies, Inc. (b)................................... 800 47,900
-----------
211,438
-----------
RETAIL - GENERAL MERCHANDISE -- 0.4%
Family Dollar Stores....................................... 1,600 32,600
Sears Roebuck & Co......................................... 2,500 115,312
-----------
147,912
-----------
RETAIL - OFFICE SUPPLY -- 0.3%
OfficeMax, Inc. (b)........................................ 5,300 56,313
U.S. Office Products Co. (b)............................... 1,700 58,012
-----------
114,325
-----------
RETAIL -- SPECIALTY STORES -- 0.3%
Home Depot, Inc............................................ 2,400 120,300
-----------
STEEL -- 0.4%
AK Steel Holding Corp...................................... 1,300 51,513
USX - U.S. Steel Group, Inc................................ 2,800 87,850
-----------
139,363
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
41
<PAGE> 44
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
TELECOMMUNICATIONS -- EQUIPMENT -- 0.7%
ADC Telecommunications, Inc. (b)........................... 2,300 71,587
Harris Corp................................................ 1,500 102,937
U.S. Robotics Corp. (b).................................... 1,000 72,000
-----------
246,524
-----------
TOBACCO -- 1.0%
Philip Morris Co., Inc..................................... 2,700 304,087
Universal Corp............................................. 1,000 32,125
-----------
336,212
-----------
TOYS -- 0.2%
Hasbro, Inc................................................ 1,600 62,200
-----------
UTILITIES - ELECTRIC -- 3.3%
Boston Edison Co........................................... 3,400 91,375
CMS Energy Corp............................................ 4,300 144,588
DQE, Inc................................................... 4,000 116,000
Edison International....................................... 4,000 79,500
Florida Progress Corp...................................... 3,300 106,425
FPL Group, Inc............................................. 3,300 151,800
GPU, Inc................................................... 6,400 215,200
Illinova Corp.............................................. 4,500 123,750
NIPSCO Industries.......................................... 1,500 59,437
Northern States Power...................................... 1,700 77,988
-----------
1,166,063
-----------
UTILITIES - GAS -- 0.6%
Consolidated Natural Gas Co................................ 1,100 60,775
MCN Corp................................................... 2,300 66,412
NICOR, Inc................................................. 2,100 75,075
-----------
202,262
-----------
UTILITIES - TELEPHONE -- 3.2%
AT&T Corp.................................................. 5,000 $ 217,500
Ameritech Corp............................................. 3,300 200,063
BellSouth Corp............................................. 5,300 213,987
Century Telephone Enterprises.............................. 3,000 92,625
Southern New England Telecommunications.................... 2,800 108,850
Southwestern Bell Corp..................................... 3,500 181,125
Sprint Corp................................................ 2,300 91,713
-----------
1,105,863
-----------
Total Common Stocks.......................................... 21,056,604
-----------
CORPORATE BONDS -- 6.0%
BANKING -- 1.0%
Norwest Corp., 6.55%, 12/1/06.............................. $ 350,000 340,813
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
42
<PAGE> 45
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
ENTERTAINMENT -- 0.6%
Walt Disney Co., 6.38%, 3/30/01............................ 200,000 198,750
-----------
FINANCIAL SERVICES -- 0.6%
General Electric Capital Corp., 8.10%, 1/26/99............. 100,000 103,750
Household Netherlands BV, 6.13%, 3/1/03
LOC: Household International............................. 100,000 97,250
-----------
201,000
-----------
FOOD & RELATED -- 0.7%
Heinz Co., 6.88%, 1/15/03.................................. 100,000 101,250
Kellogg Co., 5.90%, 7/15/97................................ 150,000 150,117
-----------
251,367
-----------
PHARMACEUTICALS -- 1.4%
Smithkline Beecham Corp., 6.63%, 10/1/01................... 500,000 502,500
-----------
UTILITIES - ELECTRIC -- 1.7%
Southern California Edison, 6.50%, 6/1/01.................. 590,000 585,575
-----------
Total Corporate Bonds........................................ 2,080,005
-----------
U.S. TREASURY OBLIGATIONS -- 17.7%
U.S. TREASURY BILLS -- 1.5%%
2/6/97..................................................... 407,000 404,933
3/6/97..................................................... 108,000 107,030
-----------
Total U.S. Treasury Bills.................................... 511,963
-----------
U.S. TREASURY NOTES -- 15.9%
6.13%, 5/31/97............................................. 920,000 922,696
6.38%, 5/15/99............................................. 100,000 100,872
6.25%, 8/31/00............................................. 1,225,000 1,229,213
6.38%, 9/30/01............................................. 600,000 603,324
6.25%, 2/15/03............................................. 1,310,000 1,309,070
6.50%, 5/15/05............................................. 1,365,000 1,373,600
-----------
Total U.S. Treasury Notes.................................... 5,538,775
-----------
U.S. TREASURY BOND -- 0.3%
6.25%, 8/15/23............................................. 100,000 93,784
-----------
Total U.S. Treasury Obligations.............................. 6,144,522
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
43
<PAGE> 46
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
- ------------------------------------------------------------- ----------- -----------
<S> <C> <C>
U.S. GOVERNMENT AGENCIES -- 7.2%
Federal Home Loan Mortgage Corp.:
7.06%, 8/2/01............................................ $ 500,000 $ 503,500
Federal National Mortgage Assoc.:
6.57%, 11/19/01.......................................... 400,000 396,664
7.50%, 6/1/03, Pool # 303973............................. 472,141 479,180
6.50%, 1/1/06, Pool # 81690.............................. 179,626 175,450
7.50%, 5/1/07, Pool # 124341............................. 440,007 445,661
5.50%, 12/25/14, Series 1993-155, Class PD............... 500,000 496,495
-----------
Total U.S. Government Agencies............................... 2,496,950
-----------
INVESTMENT COMPANIES -- 9.3%
T. Rowe Price Foreign Equity Fund.......................... 101,300 1,626,878
T. Rowe Price International Equity Fund.................... 117,600 1,622,880
-----------
Total Investment Companies................................... 3,249,758
-----------
TOTAL (COST -- $32,633,431) (A).............................. $35,027,839
Liabilities in Excess of Other Assets........................ (236,130)
-----------
NET ASSETS -- 100.0%%........................................ $34,791,709
===========
Percentages indicated are based on net assets of $34,791,709.
(a) Represents cost for federal income tax purposes and
differs from value by net unrealized appreciation of
securities as follows:
Unrealized appreciation.................................... $2,726,229
Unrealized depreciation.................................... (331,821)
-----------
Net unrealized appreciation................................ $2,394,408
===========
(b) Represents non-income producing securities.
LOC -- Letter of Credit
</TABLE>
- ---------------
See Notes to Financial Statements.
44
<PAGE> 47
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited)
December 31, 1996
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION
Time Horizon Funds (the "Company"), was organized on April 12, 1995 as an
open-end management investment company established as a Delaware business trust
and is registered under the Investment Company Act of 1940 (the "1940 Act").
Between the date of organization and the date of initial sale of shares to the
public, the Company had no operations other than incurring organizational
expenses, the sale of initial units of beneficial interest ("Shares") and the
realization of income earned on the seed money. The Company offers shares of the
following funds: Time Horizon Portfolio 1 ("Portfolio 1"), Time Horizon
Portfolio 2 ("Portfolio 2"), and Time Horizon Portfolio 3 ("Portfolio 3")
(individually, a "Fund" and collectively, the "Funds"), each of which offers
Class A, Class B, and Class K Shares. Class K Shares commenced operations on
July 22, 1996. Class A Shares are offered at net asset value plus an initial
sales charge and are subject to a shareholder servicing fee. Class B Shares are
offered at net asset value without a sales charge but are subject to a
contingent deferred sales charge, plus distribution fees and shareholder
servicing fees. Class B Shares will convert to Class A Shares on the first
business day of the month following the eighth anniversary of the date of
purchase. Class K Shares are offered at net asset value without an initial sales
charge or a contingent deferred sales charge, but subject to distribution and
administrative services fees and shareholder servicing fees. Class A, B, and K
Shares of each Fund may be exchanged for like shares of another Time Horizon
Fund or a Pacific Horizon Fund with no sales charges or redemption fees, as
described in the Funds' prospectus.
The Time Horizon Funds' investment objective is to provide long term
investors maximum total return over a stated investment time period while also
increasingly emphasizing capital preservation as each Fund approaches its target
time horizon. The Funds invest primarily in equity and fixed income securities.
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Company in the preparation of its financial statements. The policies are in
conformity with generally accepted accounting principles. The preparation of
financial statements requires management to make estimates and assumptions that
affect
Continued
45
<PAGE> 48
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1996
- --------------------------------------------------------------------------------
the reported amounts of assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses for the period.
Actual results could differ from those estimates.
SECURITIES VALUATION:
Investments in securities that are primarily traded on a domestic exchange
or traded on the NASDAQ National Market System are valued at the last sale price
on the exchange or market where primarily traded or listed or if there is no
recent sale price available, at the last current bid quotation. Securities not
so traded are valued at the last current bid quotation if market quotations are
available. Except for short-term securities with remaining maturities of 60 days
or less ("Short-Term Securities"), fixed income securities are valued by using
market quotations, or independent pricing services that use prices provided by
market makers or estimates of market values obtained from yield data relating to
instruments or securities with similar characteristics. Short-Term Securities
are valued at amortized cost, which approximates market value.
Investments in investment companies are valued at their net asset values as
reported by such companies. Other securities for which quotations are not
readily available are valued at their fair value under procedures established by
the Company's Board of Trustees. The differences between the cost and market
values of investments held by the Funds are reflected as either unrealized
appreciation or depreciation.
SECURITY TRANSACTIONS AND RELATED INCOME:
Security transactions are accounted for on the date the security is
purchased or sold (trade date). Interest income is recognized on the accrual
basis and includes, where applicable, the amortization of premium or discount.
Dividend income is recorded on the ex-dividend date. Gains or losses realized on
sales of securities are determined by comparing the identified cost of the
security lot sold with the net proceeds of sales.
REPURCHASE AGREEMENTS:
The Funds may acquire repurchase agreements from financial institutions such
as banks and broker dealers which Bank of America National Trust and Saving
Association ("Bank of America" or the "Manager") deems creditworthy under
guidelines approved by the Board of
Continued
46
<PAGE> 49
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1996
- --------------------------------------------------------------------------------
Trustees, subject to the seller's agreement to repurchase such securities at a
mutually agreed-upon date and price. The repurchase price generally equals the
price paid by each Fund plus interest negotiated on the basis of current
short-term rates, which may be more or less than the rate on the underlying
portfolio securities. The seller, under a repurchase agreement, is required to
maintain the value of collateral held pursuant to the agreement at 102% of the
repurchase price (including accrued interest). If the seller defaulted on its
repurchase obligation, a Fund would suffer a loss to the extent that the
proceeds from a sale of the underlying securities were less than the repurchase
price under the agreement. Bankruptcy or insolvency of such a defaulting seller
may cause the particular Fund's rights with respect to such securities to be
delayed or limited. Securities subject to repurchase agreements are held by the
Funds' custodian or another qualified custodian or in the Federal
Reserve/Treasury book-entry system. Repurchase agreements are considered to be
loans by the Funds under the 1940 Act.
FUTURES CONTRACTS
The Funds may enter into futures contracts for the delayed delivery of
securities at a fixed price at some future date or for the change in the value
of a specified financial index over a predetermined time period. Cash or
securities are deposited with brokers in order to maintain a position.
Subsequent payments made or received by the fund based on the daily change in
the market value of the position are recorded as unrealized appreciation or
depreciation until the contract is closed out, at which time the appreciation or
depreciation is realized.
ORGANIZATION EXPENSES:
All costs incurred by the Company in connection with the organization of the
Funds and the initial public offering of shares of the Funds, principally
professional fees and printing, have been deferred. Upon commencement of
investment operations of each Fund, the deferred organization expenses are being
amortized on a straight-line basis over a period of five years. In the event
that any of the initial shares of the Funds are redeemed during the amortization
period by any holder thereof, the redemption proceeds will be reduced by any
unamortized organization expenses in the same proportion as the
Continued
47
<PAGE> 50
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1996
- --------------------------------------------------------------------------------
number of said shares being redeemed bears to the number of initial shares that
are outstanding at the time of the redemption.
FEDERAL INCOME TAXES:
It is the policy of each of the Funds to qualify as a regulated investment
company by complying with the provisions available to certain investment
companies, as defined in applicable sections of the Internal Revenue Code, and
to make distributions of net investment income and net realized capital gains
sufficient to relieve it from all, or substantially all, Federal income taxes.
DIVIDENDS TO SHAREHOLDERS
Dividends from net investment income are declared and paid annually and
distributable net realized capital gains, if any, are declared and distributed
at least annually for all classes of the Funds.
Dividends from net investment income and net realized capital gains are
determined in accordance with income tax regulations which may differ from
generally accepted accounting principles.
OTHER:
Expenses that are directly related to one of the Funds are charged directly
to that Fund and are allocated to each class of shares based on the relative net
assets of each class, except that distribution plan fees are allocated only to
Class B and Class K Shares. Other operating expenses are prorated to the Funds
on the basis of relative net assets.
NOTE 3 -- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term securities) for the
six months ended December 31, 1996 are as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
----------- -----------
<S> <C> <C>
Portfolio
1.......... $14,344,970 $ 6,996,838
Portfolio
2.......... 20,224,630 10,229,668
Portfolio
3.......... 20,610,727 11,038,001
</TABLE>
Continued
48
<PAGE> 51
(Intentionally Left Blank)
49
<PAGE> 52
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1996
- --------------------------------------------------------------------------------
NOTE 4 -- CAPITAL SHARE TRANSACTIONS
Transactions in capital shares for the Funds are summarized below:
<TABLE>
<CAPTION>
PORTFOLIO 1
---------------------------
FOR THE SIX MONTHS ENDED
DECEMBER 31, 1996
---------------------------
SHARES AMOUNT
---------- -----------
<S> <C> <C>
Class A Shares
Issued................................................ 221,415 $ 2,437,477
Reinvested............................................ 2,880 31,994
Redeemed.............................................. (145,578) (1,595,658)
---------- -----------
Net increase -- Class A................................. 78,717 873,813
---------- -----------
Class B Shares
Issued................................................ 698,019 7,537,150
Reinvested............................................ 8,113 89,403
Redeemed.............................................. (133,679) (1,455,427)
---------- -----------
Net increase -- Class B................................. 572,453 6,171,126
---------- -----------
Class K Shares (a)
Issued................................................ 95 1,000
Reinvested............................................ 1 4
Redeemed.............................................. -- --
---------- -----------
Net increase -- Class K................................. 96 1,004
---------- -----------
Net increase in Fund.................................... 651,266 $ 7,045,943
========== ===========
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO 1
---------------------------
SEPTEMBER 5, 1995
TO
JUNE 30, 1996(b)
---------------------------
SHARES AMOUNT
---------- -----------
<S> <C> <C>
Class A Shares
Issued................................................ 741,133 $ 7,707,584
Reinvested............................................ 1,235 12,708
Redeemed.............................................. (68,669) (721,792)
---------- -----------
Net increase -- Class A................................. 673,699 6,998,500
---------- -----------
Class B Shares
Issued................................................ 1,907,618 19,757,166
Reinvested............................................ 2,490 25,622
Redeemed.............................................. (148,211) (1,557,688)
---------- -----------
Net increase -- Class B................................. 1,761,897 18,225,100
---------- -----------
Net increase in Fund.................................... 2,435,596 $25,223,600
========== ===========
</TABLE>
- ---------------
(a) Class K shares commenced operations July 22, 1996.
(b) Period from commencement of operations.
Continued
50
<PAGE> 53
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 2 PORTFOLIO 3
--------------------------- ---------------------------
FOR THE SIX MONTHS ENDED FOR THE SIX MONTHS ENDED
DECEMBER 31, 1996 DECEMBER 31, 1996
--------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ----------- ---------- -----------
<S> <C> <C> <C>
199,631 $ 2,181,117 192,652 $ 2,154,234
61 695 60 697
(61,586) (675,200) (54,136) (605,719)
---------- ----------- ---------- -----------
138,106 1,506,612 138,576 1,549,212
---------- ----------- ---------- -----------
788,725 8,546,938 950,203 10,527,050
179 2,005 199 2,283
(113,634) (1,241,550) (146,576) (1,630,513)
---------- ----------- ---------- -----------
675,270 7,307,393 803,826 8,898,820
---------- ----------- ---------- -----------
3,146 34,861 95 1,000
2 2 -- --
-- -- -- --
---------- ----------- ---------- -----------
3,148 34,863 95 1,000
---------- ----------- ---------- -----------
816,524 $ 8,848,868 942,497 $10,449,032
========== =========== ========== ===========
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO 2 PORTFOLIO 3
--------------------------- ---------------------------
SEPTEMBER 5, 1995 SEPTEMBER 5, 1995
TO TO
JUNE 30, 1996(b) JUNE 30, 1996(b)
--------------------------- ---------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ----------- ---------- -----------
<S> <C> <C> <C>
785,275 $ 8,218,403 588,099 $ 6,215,440
1,381 14,303 677 7,050
(98,065) (1,036,787) (37,224) (401,692)
---------- ----------- ---------- -----------
688,591 7,195,919 551,552 5,820,798
---------- ----------- ---------- -----------
1,798,701 18,814,130 1,644,029 17,429,594
1,791 18,553 1,353 14,097
(83,019) (877,035) (136,591) (1,456,780)
---------- ----------- ---------- -----------
1,717,473 17,955,648 1,508,791 15,986,911
---------- ----------- ---------- -----------
2,406,064 $25,151,567 2,060,343 $21,807,709
========== =========== ========== ===========
</TABLE>
Continued
51
<PAGE> 54
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1996
- --------------------------------------------------------------------------------
NOTE 5 -- RELATED PARTY
TRANSACTIONS
Bank of America National Trust and Savings Association ("Bank of America")
serves as the Funds' Manager, providing investment advisory and administrative
services. Bank of America is a subsidiary of BankAmerica Corporation, a
registered bank holding company. Under the terms of the Management Agreement
with the Company, Bank of America is entitled to receive fees based on a
percentage of the average net assets of each Fund.
Pursuant to the authority granted in its Management Agreement, Bank of
America has entered into a Sub-Administration Agreement with BISYS Fund
Services, Limited Partnership ("BISYS"), under which BISYS will perform certain
of the services to be provided under the Management Agreement.
BISYS Fund Services Ohio, Inc. serves as fund accountant and transfer and
dividend disbursing agent of the Funds. Fund accounting fees are computed based
upon the greater of $2,500 monthly or the following annual fee schedule: 0.0125%
of average net assets between $10 million and $50 million; 0.025% of average net
assets between $50 million and $200 million; 0.020% of next $200 million and
$500 million of average net assets; and 0.015% of average net assets greater
than $500 million.
Concord Financial Group, Inc. (the "Distributor") serves as distributor of
the Funds' shares. For the period ended December 31, 1996, the Distributor
received $222,074 from commissions earned on sales of shares of the Funds,
$199,719 of which was reallowed to other broker/dealers.
BISYS, BISYS Fund Services Ohio, Inc. and the Distributor are each
wholly-owned subsidiaries of The BISYS Group, Inc.
The Company has adopted a Shareholder Service Plan for Class A, Class B, and
Class K Shares, under which the Class A, Class B, and Class K Shares of the
Funds reimburse the Distributor and Service Organizations for shareholder
servicing fees incurred. Under the Shareholder Service Plan, payments by a Fund
for shareholder servicing expenses may not exceed an annual rate of 0.25% of the
Fund's average daily net assets. The Company has also adopted a Distribution
Plan pursuant to Rule 12b-1 under the 1940 Act, under which the Class B Shares
of each Fund compensate the Distributor for services rendered and costs incurred
in connection with distribution of the Class B
Continued
52
<PAGE> 55
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1996
- --------------------------------------------------------------------------------
Shares. Under the Distribution Plan, payments by the Class B Shares of a Fund
for distribution expenses are incurred at the annual rate of 0.75% of the
average daily net assets of the Fund attributable to the Class B Shares. The
Company has adopted two forms of plans for Class K Shares pursuant to Rule 12b-1
under the 1940 Act: an Administrative Services Plan under which the Class K
Shares of the Funds may reimburse the Distributor for administrative expenses
incurred in connection with sales of shares to investors subject to ERISA; and a
Distribution and Administrative Services Plan under which the Class K Shares of
the Funds may compensate the Distributor for distribution and administrative
services rendered and costs incurred in connection with distribution of the
Class K Shares. The total of all 12b-1 distribution fees and administrative
services fees paid under both the Administrative Services Plan and the
Distribution and Administrative Services Plan may not exceed, in the aggregate,
the annual rate of 0.75% of the average daily net assets of a Funds' K Shares.
Certain officers of the Company are affiliated with BISYS. Such persons are
not paid directly by the Company for serving in those capacities.
Bank of America has agreed to voluntarily reduce its fees, absorb and/or
reimburse operating expenses to ensure that the operating expenses for each Fund
do not exceed 1.20%, 1.95%, and 1.70% (annualized) of the average net assets of
each Fund's Class A, Class B, and Class K Shares, respectively.
Information regarding related party transactions is as follows for the six
months ended December 31, 1996:
Continued
53
<PAGE> 56
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
----------- ----------- -----------
<S> <C> <C> <C>
MANAGEMENT FEES:
Annual fee before voluntary fee reductions
(Percentage of average net assets)........... .60% .60% .60%
Voluntary fee reductions....................... $88,316 $92,753 $84,990
12B-1 FEES:
Annual fee
(Percentage of average net assets)(Class
B)......................................... .75% .75% .75%
(Percentage of average net assets)(Class
K)......................................... .50% .50% .50%
Voluntary fee reductions (Class K)............. $ 1 $ 4 $ 1
SHAREHOLDER SERVICES FEES: (Class A, B, and K)
Annual fee before voluntary fee reductions
(Percentage of average net assets)........... .25% .25% .25%
Voluntary fee reductions (Class A)............. $ 5,490 $ 5,651 $ 5,113
Voluntary fee reductions (Class B)............. $11,894 $11,014 $11,279
EXPENSES REIMBURSED:........................... $14,650 $13,822 $16,772
FUND ACCOUNTING FEES:.......................... $15,277 $15,278 $15,244
TRANSFER AGENT FEES:........................... $24,563 $26,585 $25,761
</TABLE>
54
<PAGE> 57
(Intentionally Left Blank)
55
<PAGE> 58
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Financial Highlights (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1
---------------------------------------------------
CLASS A CLASS B CLASS K
------------ ------------ ---------------
FOR THE SIX FOR THE SIX
MONTHS ENDED MONTHS ENDED JULY 22, 1996
DECEMBER 31, DECEMBER 31, TO DECEMBER 31,
1996 1996 1996(a)
------------ ------------ ---------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $ 10.65 $ 10.60 $ 10.45
------- ------- -------
Investment Activities:
Net investment income............... 0.18 0.12 0.16
Net realized and unrealized gains on
investments....................... 0.44 0.46 0.59
------- ------- -------
0.62 0.58 0.75
------- ------- -------
Distributions:
Net investment income............... (0.31) (0.25) (0.28)
Net realized gains.................. (0.04) (0.04) (0.04)
------- ------- -------
Total Distributions............... (0.35) (0.29) (0.32)
------- ------- -------
NET ASSET VALUE, END OF PERIOD........ $ 10.92 $ 10.89 $ 10.88
======= ======= =======
Total Return (excludes sales and
redemption charges)................. 5.86%(b) 5.48%(b) 5.48%(b)
Ratios/Supplemental Data:
Net Assets at end of period (000)... $ 8,217 $ 25,426 $ 1
Ratio of expenses to average net
assets............................ 0.95%(c) 1.67%(c) 1.53%(c)
Ratio of net investment income to
average net assets................ 4.09%(c) 3.05%(c) 3.21%(c)
Ratio of expenses to average net
assets *.......................... 1.77%(c) 2.45%(c) 1.84%(c)
Ratio of net investment income to
average net assets *.............. 3.27%(c) 2.27%(c) 2.90%(c)
Portfolio turnover **............... 24% 24% 24%
Average commission rate paid (e).... $ 0.0516 $ 0.0516 $0.0516
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
** Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing between the classes of shares issued.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Net asset value includes the effect of income earned on initial seed money
for the period from July 28, 1995 (initial seed date) through September 4,
1995 (initial sale of shares to the public).
(e) Represents the dollar amount of commissions paid on portfolio transactions
divided by the total number of portfolio shares purchased and sold for which
commissions were charged and is calculated on the basis of the fund as a
whole without distinguishing between the classes of shares issued.
See Notes to Financial Statements.
56
<PAGE> 59
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1
--------------------------------
CLASS A
------------ CLASS B
SEPTEMBER 5, ------------
1995 TO JUNE SEPTEMBER 5,
30, 1995 TO JUNE
1996(a) 30, 1996(a)
------------ ------------
<S> <C>
$ 10.04(d) $ 10.04(d)
------- -------
0.22 0.18
0.45 0.43
------- -------
0.67 0.61
------- -------
(0.06) (0.05)
0.00 0.00
------- -------
(0.06) (0.05)
------- -------
$ 10.65 $ 10.60
======= =======
6.68%(b) 6.09%(b)
$ 7,172 $ 18,681
0.49%(c) 1.29%(c)
3.96%(c) 3.16%(c)
2.95%(c) 3.65%(c)
1.50%(c) 0.80%(c)
72% 72%
$ 0.0652 $ 0.0652
</TABLE>
57
<PAGE> 60
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Financial Highlights (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 2
------------------------------------------------
CLASS A CLASS B CLASS K
------------ ------------ ------------
FOR THE SIX FOR THE SIX JULY 22,
MONTHS ENDED MONTHS ENDED 1996 TO
DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1996 1996(a)
------------ ------------ ------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD... $ 10.73 $ 10.68 $ 10.44
------- ------- -------
Investment Activities:
Net investment income................ 0.16 0.11 0.08
Net realized and unrealized gains on
investments........................ 0.59 0.60 0.87
------- ------- -------
0.75 0.71 0.95
------- ------- -------
Distributions:
Net investment income................ (0.28) (0.22) (0.26)
------- ------- -------
NET ASSET VALUE, END OF PERIOD......... $ 11.20 $ 11.17 $ 11.13
======= ======= =======
Total Return (excludes sales and
redemption charges).................. 6.97%(b) 6.64%(b) 6.67%(b)
Ratios/Supplemental Data:
Net Assets at end of period (000).... $ 9,260 $ 26,719 $ 35
Ratio of expenses to average net
assets............................. 0.88%(c) 1.67%(c) 1.71%(c)
Ratio of net investment income to
average net assets................. 3.53%(c) 2.76%(c) 3.30%(c)
Ratio of expenses to average net
assets *........................... 1.68%(c) 2.43%(c) 2.09%(c)
Ratio of net investment income to
average net assets *............... 2.73%(c) 2.00%(c) 2.92%(c)
Portfolio turnover **................ 33% 33% 33%
Average commission rate paid (e)..... $ 0.0522 $ 0.0522 $ 0.0522
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
** Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing between the classes of shares issued.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Net asset value includes the effect of income earned on initial seed money
for the period from July 28, 1995 (initial seed date) through September 4,
1995 (initial sale of shares to the public).
(e) Represents the dollar amount of commissions paid on portfolio transactions
divided by the total number of portfolio shares purchased and sold for which
commissions were charged and is calculated on the basis of the fund as a
whole without distinguishing between the classes of shares issued.
See Notes to Financial Statements.
58
<PAGE> 61
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 2
--------------------------------
CLASS A
------------ CLASS B
SEPTEMBER 5, ------------
1995 TO JUNE SEPTEMBER 5,
30, 1995 TO JUNE
1996(a) 30, 1996(a)
------------ ------------
<S> <C>
$ 10.04(d) $ 10.04(d)
------- -------
0.21 0.15
0.54 0.54
------- -------
0.75 0.69
------- -------
(0.06) (0.05)
------- -------
$ 10.73 $ 10.68
======= =======
7.48%(b) 6.88%(b)
$ 7,389 $ 18,350
0.50%(c) 1.32%(c)
3.72%(c) 2.92%(c)
3.12%(c) 3.87%(c)
1.10%(c) 0.37%(c)
72% 72%
$ 0.0592 $ 0.0592
</TABLE>
59
<PAGE> 62
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Financial Highlights (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 3
------------------------------------------------
CLASS A CLASS B CLASS K
------------ ------------ ------------
FOR THE SIX FOR THE SIX JULY 22,
MONTHS ENDED MONTHS ENDED 1996 TO
DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1996 1996(a)
------------ ------------ ------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD... $ 10.94 $ 10.90 $ 10.55
------- ------- -------
Investment Activities:
Net investment income................ 0.12 0.07 0.12
Net realized and unrealized gains on
investments........................ 0.78 0.77 1.09
------- ------- -------
0.90 0.84 1.21
------- ------- -------
Distributions:
Net investment income................ (0.22) (0.16) (0.18)
------- ------- -------
NET ASSET VALUE, END OF PERIOD......... $ 11.62 $ 11.58 $ 11.58
======= ======= =======
Total Return (excludes sales and
redemption charges).................. 8.23%(b) 7.75%(b) 7.75%(b)
Ratios/Supplemental Data:
Net Assets at end of period (000).... $ 8,017 $ 26,773 $ 1
Ratio of expenses to average net
assets............................. 0.88%(c) 1.68%(c) 1.50%(c)
Ratio of net investment income to
average net assets................. 2.84%(c) 2.09%(c) 2.23%(c)
Ratio of expenses to average net
assets *........................... 1.72%(c) 2.47%(c) 1.81%(c)
Ratio of net investment income to
average net assets *............... 2.00%(c) 1.30%(c) 1.92%(c)
Portfolio turnover **................ 41% 41% 41%
Average commission rate paid (e)..... $ 0.0489 $ 0.0489 $ 0.0489
</TABLE>
- ---------------
* During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
** Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing between the classes of shares issued.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Net asset value includes the effect of income earned on initial seed money
for the period from July 28, 1995 (initial seed date) through September 4,
1995 (initial sale of shares to the public).
(e) Represents the dollar amount of commissions paid on portfolio transactions
divided by the total number of portfolio shares purchased and sold for which
commissions were charged and is calculated on the basis of the fund as a
whole without distinguishing between the classes of shares issued.
See Notes to Financial Statements.
60
<PAGE> 63
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 3
--------------------------------
CLASS A
------------ CLASS B
SEPTEMBER 5, ------------
1995 TO JUNE SEPTEMBER 5,
30, 1995 TO JUNE
1996(a) 30, 1996(a)
------------ ------------
<S> <C>
$ 10.04(d) $ 10.04(d)
------- -------
0.18 0.12
0.77 0.78
------- -------
0.95 0.90
------- -------
(0.05) (0.04)
------- -------
$ 10.94 $ 10.90
======= =======
9.46%(b) 8.98%(b)
$ 6,033 $ 16,441
0.51%(c) 1.34%(c)
3.29%(c) 2.47%(c)
3.32%(c) 4.08%(c)
0.48%(c) -0.27%(c)
66% 66%
$ 0.0584 $ 0.0584
</TABLE>
61
<PAGE> 64
For more information, complete the following form and mail it to:
Time Horizon Funds
c/o BA Investment Services
P.O. Box 29026
Glendale, CA 91209-9026
................................................................................
First Name Last Name
................................................................................
Street Address
................................................................................
City State Zip Code
................................................................................
Area Code and Telephone Number
PLEASE CHECK ONE OF THE TWO BOXES BELOW SO WE CAN BETTER MEET YOUR NEED FOR
SERVICE.
[ ] A broker assisted me with the purchase of my Time Horizon Fund.
................................................................................
Name of Broker
................................................................................
Name of Brokerage Firm
[ ] I purchased my Time Horizon Fund without the assistance of a broker.
I want to find out more about Bank of America-managed mutual funds. Please send
me a free investing kit on the mutual funds selected below. The kit includes
a prospectus, which has more complete information on the Fund(s), including
charges and expenses. Read the prospectus carefully before investing or
sending money.
[ ] THE TIME HORIZON FUNDS
[ ] For goals about 10 years away (around the year 2005)
[ ] For goals about 20 years away (around the year 2015)
[ ] For goals about 30 years away (around the year 2025)
[ ] PACIFIC HORIZON FUNDS with the following investment goals:
[ ] Aggressive Growth
[ ] Conservative Growth
[ ] Growth Combined With Income
[ ] Current Income
[ ] Tax-Free Income
Additional Comments:
................................................................................
................................................................................
................................................................................
................................................................................
................................................................................
................................................................................
<PAGE> 65
----------------
BULK RATE
U.S. POSTAGE
PAID
PERMIT NO. 1702
CLEVELAND, OH
----------------
TMH-0047
