<PAGE> 1
TIME HORIZON FUNDS
--------------------
PORTFOLIO 1
PORTFOLIO 2
PORTFOLIO 3
SEMI-ANNUAL REPORT
DECEMBER 31, 1997
[TIME HORIZON FUNDS LOGO]
NOT FDIC INSURED
<PAGE> 2
TIME HORIZON FUNDS
103 Bellevue Parkway, Wilmington, DE 19809
1-800-247-9728
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<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
Provident Distributors, Inc. Vedder, Price, Kaufman
Four Falls Corporate Center & Kammholz
6th Floor 222 N. LaSalle Street
W. Conshohocken, PA 19428 Chicago, IL 60601
</TABLE>
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 Provident Distributors,
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.
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<S> <C>
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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 THE PRINCIPAL AMOUNT INVESTED.
- ---------------------------------------------------------------------------
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<PAGE> 3
..................................
Contents
<TABLE>
<S> <C>
UNDERSTANDING YOUR
SHAREHOLDER REPORT 2-4
TIME HORIZON FUND FACTS 5
LETTER FROM THE MANAGER 6
SCHEDULES OF PORTFOLIO
INVESTMENTS 7-36
STATEMENTS OF ASSETS
AND LIABILITIES 37
STATEMENTS OF OPERATIONS 38
STATEMENTS OF CHANGES
IN NET ASSETS 39-40
NOTES TO FINANCIAL STATEMENTS 41-49
FINANCIAL HIGHLIGHTS 50-58
</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.
[ARTWORK]
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
[ARTWORK]
2
<PAGE> 5
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
THE CURRENT NET ASSET VALUE PER SHARE PLUS SALES CHARGE, IF ANY
[ARTWORK]
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
[ARTWORK]
3
<PAGE> 6
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
[ARTWORK]
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.
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
<S> <C> <C> <C>
TIME HORIZON 2005 2015 2025
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------
ASSET ALLOCATION(1)
(AS OF 12/31/97) [ARTWORK] [ARTWORK] [ARTWORK]
- ----------------------------------------------------------------------------------------
CURRENT ALLOCATION RANGES(2)
STOCKS 15%-45% 30%-70% 40%-100%
BONDS 55%-85% 30%-70% 0%-60%
CURRENT TARGET
ASSET ALLOCATION [ARTWORK] [ARTWORK] [ARTWORK]
- ----------------------------------------------------------------------------------------
</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,
We are pleased to share with you the semi-annual report dated December 31,
1997, for the Time Horizon Funds. As of this date, total combined net assets in
Time Horizon Funds Portfolio 1, 2 and 3 were $140.1 million. This represents a
net asset increase of more than 34% compared to December 31, 1996.
Investment returns in the Funds for the six month period ending December 31,
1997 were 6.22%, 5.12%, and 5.83%, for the A Shares, B Shares and K Shares,
respectively, of Portfolio 1, 6.60%, 5.64% and 6.25% for the A Shares, B Shares
and K Shares, respectively, of Portfolio 2 and 8.01%, 6.95% and 7.70% for the A
Shares, B Shares and K Shares, respectively, of Portfolio 3. These returns were
influenced more by the bond market, especially during the last three months of
the year, than in some previous periods. In fact, the bond market, as measured
by the Lehman Brothers Aggregate Index, outperformed the Standard & Poors 500
Index for the fourth quarter.
The Funds continued to pursue their long term total return objectives
through diversified investments in four main asset classes: U.S. stocks, foreign
stocks, bonds and cash. As of December 31, 1997, Time Horizon Portfolio 1's
asset mix was 63 percent Bonds, 31 percent Equity, 5 percent Foreign Equity and
1 percent Cash. Time Horizon Portfolio 2 was 48 percent Bonds, 42 percent
Equity, 8 percent Foreign Equity and 2 percent Cash. Time Horizon Portfolio 3
was 30 percent Bonds, 61 percent Equity, 8 percent Foreign Equity and 1 percent
Cash. Each Fund's asset mix as described above reflects shareholders' current
time horizons: approximately the year 2005, 2015 and 2025 for Time Horizon
Portfolio 1, Portfolio 2, and Portfolio 3, respectively.
Thank you for your support of Time Horizon Funds and we look forward to
helping you meet your investment objectives during 1998 and beyond.
Sincerely,
/s/ Dave R. Johnsen
David R. Johnsen
6
<PAGE> 9
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
COMMON STOCKS -- 31.0%
AEROSPACE/DEFENSE -- 0.6%
Aeroquip-Vickers, Inc.................................... 500 $ 24,531
Crane Co................................................. 900 39,037
General Dynamics Corp.................................... 500 43,219
Raytheon Co.*............................................ 63 3,145
Thiokol Corp............................................. 500 40,625
United Technologies Corp................................. 1,200 87,375
-----------
237,932
-----------
AIRLINES -- 0.3%
Airborne Freight Corp.................................... 400 24,850
AMR Corp.*............................................... 400 51,400
UAL Corp.*............................................... 400 37,000
-----------
113,250
-----------
AUTOMOTIVE -- 0.6%
Arvin Industries, Inc.................................... 900 29,981
Dana Corp................................................ 900 42,750
Ford Motor Co............................................ 2,700 131,456
General Motors Corp...................................... 500 30,312
Lear Corp.*.............................................. 500 23,750
-----------
258,249
-----------
BANKS -- 3.1%
AmSouth Bancorporation................................... 1,200 65,175
Bankers Trust New York Corp. ............................ 700 78,706
Barnett Banks, Inc. ..................................... 1,700 122,187
Chase Manhattan Corp. ................................... 500 54,750
Citicorp................................................. 500 63,219
City National Corp....................................... 1,100 40,631
Comerica, Inc............................................ 700 63,175
First of America Bank Corp............................... 1,300 100,262
First Chicago NBD Corp................................... 800 66,800
First Union Corp......................................... 1,300 66,625
Fleet Financial Group, Inc............................... 1,400 104,912
Marshall & Ilsley Corp................................... 1,000 62,125
Mellon Bank Corp......................................... 1,900 115,187
Mercantile Bankshares Corp............................... 1,250 48,906
Northern Trust Corp. .................................... 1,100 76,725
Regions Financial Corp................................... 1,200 50,625
State Street Corp........................................ 1,300 75,644
-----------
1,255,654
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
7
<PAGE> 10
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
BEVERAGES -- 0.8%
Anheuser-Busch Cos., Inc................................. 700 $ 30,800
Coca-Cola Co............................................. 2,200 146,575
Coca-Cola Enterprises, Inc............................... 800 28,450
Coors, (Adolph) Co. Class B.............................. 700 23,275
PepsiCo, Inc............................................. 2,100 76,519
-----------
305,619
-----------
BUILDING MATERIALS -- 0.6%
Centex Corp.............................................. 500 31,469
DQE, Inc................................................. 1,050 36,881
Hon Industries, Inc...................................... 100 5,900
Miller (Herman), Inc..................................... 900 49,106
Southdown, Inc........................................... 1,100 64,900
Timken Co................................................ 1,100 37,813
-----------
226,069
-----------
CHEMICALS -- 1.0%
Cytec Industries, Inc.*.................................. 1,000 46,937
Dow Chemical Co.......................................... 800 81,200
Du Pont, (E.I.) de Nemours & Co.......................... 2,200 132,137
Goodrich (B.F.) Co....................................... 500 20,719
Lubrizol Corp............................................ 1,400 51,625
Lyondell Petrochemical Co................................ 1,600 42,400
Solutia, Inc............................................. 1,500 40,031
-----------
415,049
-----------
CLOTHING & APPAREL -- 0.1%
Tommy Hilfiger Corp.*.................................... 800 28,100
-----------
COMMERCIAL SERVICES -- 0.5%
AccuStaff, Inc.*......................................... 1,200 27,600
ACNielsen Corp.*......................................... 1,300 31,687
Omnicom Group............................................ 2,200 93,225
Pittston Brink's Group................................... 900 36,225
-----------
188,737
-----------
COMPUTER SOFTWARE & SERVICES --1.5%
Adaptec, Inc.*........................................... 900 33,412
BMC Software, Inc.*...................................... 1,100 72,187
Cadence Design Systems, Inc.*............................ 2,000 49,000
Compuware Corp.*......................................... 1,900 60,800
EMC Corp.*............................................... 1,200 32,925
HBO & Co................................................. 2,600 124,800
Microsoft Corp.*......................................... 1,700 219,725
Network Associates, Inc.*................................ 200 10,556
Parametric Technology Corp.*............................. 500 23,687
-----------
627,092
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
8
<PAGE> 11
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
COMPUTERS -- 0.7%
Compaq Computer Corp..................................... 2,100 $ 118,519
International Business Machines Corp..................... 1,100 115,019
Lexmark International Group, Inc.*....................... 1,000 38,000
-----------
271,538
-----------
COSMETICS & TOILETRIES -- 0.8%
Clorox Co................................................ 1,100 86,969
Dial Corp................................................ 2,000 41,625
Kimberly-Clark Corp...................................... 900 44,381
Procter & Gamble Co...................................... 2,000 159,625
-----------
332,600
-----------
ELECTRICAL EQUIPMENT -- 0.8%
CMS Energy Corp.......................................... 2,000 88,125
General Electric Co...................................... 3,300 242,137
-----------
330,262
-----------
ENERGY SERVICES -- 0.5%
Camco International, Inc................................. 300 19,106
Input/Output, Inc.*...................................... 500 14,844
Smith International, Inc.*............................... 400 24,550
Tidewater, Inc........................................... 2,600 143,325
-----------
201,825
-----------
ENTERTAINMENT -- 0.6%
Callaway Golf Co......................................... 1,300 37,131
King World Productions, Inc.............................. 900 51,975
Polaris Industries, Inc.................................. 900 27,506
Walt Disney Co........................................... 1,119 110,851
-----------
227,463
-----------
ENVIRONMENTAL SERVICES -- 0.1%
Browning-Ferris Industries, Inc.......................... 1,600 59,200
-----------
FINANCIAL SERVICES -- 1.0%
Franklin Resources, Inc.................................. 500 43,469
Morgan Stanley Dean Witter Discover & Co................. 2,400 141,900
Paine Webber Group, Inc.................................. 2,050 70,853
Southtrust Corp.......................................... 1,100 69,781
Travelers Group, Inc..................................... 1,850 99,669
-----------
425,672
-----------
FOOD & RELATED -- 0.9%
ConAgra, Inc............................................. 2,500 82,031
Dean Foods Co............................................ 1,100 65,450
Interstate Bakeries Corp................................. 1,200 44,850
Kellogg Co............................................... 1,500 74,437
Quaker Oats Co........................................... 1,300 68,575
Smithfield Foods, Inc.*.................................. 700 23,100
-----------
358,443
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
9
<PAGE> 12
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
HOTEL & MOTELS -- 0.2%
Marriott International, Inc.............................. 600 $ 41,550
Promus Hotel Corp........................................ 647 27,195
-----------
68,745
-----------
INSURANCE -- 1.2%
Allstate Corp............................................ 1,100 99,962
AMBAC Financial Group.................................... 700 32,200
American General Corp.................................... 1,200 64,875
Conseco, Inc............................................. 1,700 77,244
Equitable Companies, Inc................................. 1,700 84,575
Healthcare COMPARE Corp.*................................ 800 40,900
SunAmerica, Inc.......................................... 950 40,612
Torchmark Corp........................................... 1,400 58,887
-----------
499,255
-----------
MACHINERY & EQUIPMENT -- 0.5%
AGCO Corp................................................ 900 26,325
Caterpillar, Inc......................................... 900 43,706
Ingersoll-Rand Co........................................ 850 34,425
Kaydon Corp.............................................. 800 26,100
Parker-Hannifin Corp..................................... 1,000 45,875
Precision Castparts Corp................................. 800 48,250
-----------
224,681
-----------
MEDICAL EQUIPMENT -- 0.8%
Abbott Laboratories...................................... 1,300 85,231
Biomet, Inc.............................................. 2,900 74,313
Hillenbrand Industries, Inc.............................. 400 20,475
Johnson & Johnson Co..................................... 1,600 105,400
Stryker Corp............................................. 800 29,800
-----------
315,219
-----------
MEDICAL HOSPITAL & MANAGEMENT SERVICES -- 0.4%
Health Care & Retirement Corp.*.......................... 1,050 42,263
Health Management Associates, Inc.*...................... 1,000 25,250
PhyCor, Inc.*............................................ 1,500 40,500
Tenet Healthcare Corp.*.................................. 1,100 36,438
-----------
144,451
-----------
METALS & MINING -- 0.3%
Aluminum Company of America.............................. 700 49,262
Martin Marietta Materials, Inc........................... 1,100 40,219
USX-U.S. Steel Group, Inc................................ 1,300 40,625
-----------
130,106
-----------
MULTI-INDUSTRY -- 0.5%
Dover Corp............................................... 2,000 72,250
Tyco International Ltd................................... 2,600 117,162
-----------
189,412
-----------
</TABLE>
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See Notes to Financial Statements.
10
<PAGE> 13
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
OIL (DOMESTIC) -- 0.4%
Murphy Oil Corp.......................................... 500 $ 27,094
Philips Petroleum Co..................................... 1,500 72,938
USX -- Marathon Group.................................... 2,100 70,875
-----------
170,907
-----------
OIL (INTERNATIONAL) -- 1.1%
Chevron Corp............................................. 1,400 107,800
Exxon Corp............................................... 2,700 165,206
Mobil Corp............................................... 1,400 101,063
Royal Dutch Petroleum Co................................. 1,400 75,863
-----------
449,932
-----------
PAPER & FOREST PRODUCTS -- 0.4%
Bowater, Inc............................................. 1,200 53,325
Fort James Corp.......................................... 1,600 61,200
Owens-Illinois, Inc.*.................................... 1,100 41,731
-----------
156,256
-----------
PHARMACEUTICALS -- 2.0%
Bristol-Meyers Squibb Co................................. 1,700 160,863
Cardinal Health, Inc..................................... 600 45,075
Dura Pharmaceuticals, Inc.*.............................. 600 27,525
Lilly, (Eli) & Co........................................ 1,200 83,550
Merck & Co., Inc......................................... 1,300 138,125
Mylan Laboratories, Inc.................................. 1,400 29,313
Pfizer, Inc.............................................. 1,500 111,844
Schering-Plough Corp..................................... 2,300 142,888
Watson Pharmaceuticals, Inc.*............................ 1,700 55,144
-----------
794,327
-----------
PRINTING & PUBLISHING -- 0.4%
Houghton Mifflin Co...................................... 600 23,025
McGraw-Hill Cos., Inc.................................... 600 44,400
New York Times Co. Class A............................... 700 46,288
Washington Post Class B.................................. 70 34,055
-----------
147,768
-----------
RESTAURANTS -- 0.2%
Bob Evans Farms, Inc..................................... 900 19,912
Papa John's International, Inc.*......................... 800 27,900
Tricon Global Restaurants, Inc.*......................... 850 24,703
-----------
72,515
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
11
<PAGE> 14
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
RETAIL & MERCHANDISING -- 1.9%
Bed, Bath & Beyond, Inc.*................................ 1,500 $ 57,750
Best Buy Company, Inc.*.................................. 700 25,812
Cendant Corp.*........................................... 1,600 55,000
CompUSA, Inc.*........................................... 1,000 31,000
Dayton Hudson Corp....................................... 1,100 74,250
Home Depot, Inc.......................................... 2,150 126,581
Jones Apparel Group, Inc.*............................... 900 38,700
OfficeMax, Inc.*......................................... 2,800 39,900
Payless ShoeSource, Inc.*................................ 600 40,275
Ross Stores, Inc......................................... 1,200 43,650
Safeway, Inc.*........................................... 800 50,600
TJX Companies, Inc....................................... 3,900 134,063
U.S. Office Products Co.*................................ 1,650 32,381
-----------
749,962
-----------
SEMI-CONDUCTORS/INSTRUMENTATION -- 1.4%
AMP, Inc................................................. 700 29,400
Applied Materials, Inc.*................................. 1,600 48,200
Dell Computer Corp.*..................................... 1,500 126,000
Harris Corp.............................................. 1,300 59,638
KLA-Tencor Corp.*........................................ 500 19,312
Linear Technology Corp................................... 1,400 80,675
Maxim Integrated Products, Inc.*......................... 2,600 89,700
SCI Systems, Inc.*....................................... 600 26,137
Solectron Corp.*......................................... 800 33,250
Storage Technology Corp.*................................ 700 43,356
Teradyne, Inc.*.......................................... 400 12,800
-----------
568,468
-----------
TELECOMMUNICATIONS -- 0.7%
ADC Telecommunications, Inc.*............................ 1,100 45,925
Cisco Systems, Inc.*..................................... 1,600 89,200
Lucent Technologies, Inc................................. 1,000 79,875
Tellabs, Inc.*........................................... 1,200 63,450
-----------
278,450
-----------
TOBACCO -- 0.4%
Philip Morris Companies, Inc............................. 3,100 140,469
Universal Corp........................................... 400 16,450
-----------
156,919
-----------
TRANSPORTATION -- 0.2%
Burlington Northern Santa Fe Corp........................ 300 27,881
CNF Transportation, Inc.................................. 700 26,863
Trinity Industries, Inc.................................. 800 35,700
-----------
90,444
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
12
<PAGE> 15
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
UTILITIES - ELECTRIC -- 1.4%
Boston Edison Co......................................... 1,800 $ 68,175
Ensco International, Inc................................. 1,400 46,900
FPL Group, Inc........................................... 2,300 136,131
GPU, Inc................................................. 3,900 164,288
New York State Electric & Gas Corp....................... 1,500 53,250
NIPSCO Industries, Inc................................... 1,000 49,437
Public Service Co. of New Mexico......................... 2,300 54,481
-----------
572,662
-----------
UTILITIES - GAS & PIPELINE -- 0.5%
Columbia Gas System, Inc................................. 700 54,994
MCN Corp................................................. 1,300 52,488
NICOR, Inc............................................... 1,000 42,188
Valero Energy Corp....................................... 1,800 56,588
-----------
206,258
-----------
UTILITIES - TELEPHONE -- 1.6%
Ameritech Corp........................................... 1,100 88,550
AT&T Corp................................................ 1,800 110,250
Bell Atlantic Corp....................................... 1,300 118,300
BellSouth Corp........................................... 1,900 106,994
LCI International, Inc.*................................. 2,600 79,950
Southern New England Telecommunications Corp............. 700 35,219
U.S. WEST Communications Group........................... 1,500 67,688
WorldCom, Inc.*.......................................... 1,900 57,475
-----------
664,426
-----------
TOTAL COMMON STOCK (COST -- $9,458,891).................... 12,513,917
-----------
INVESTMENT COMPANIES -- 4.6%
T-Rowe Price Associates, Inc............................. 800 50,300
T-Rowe Price Foreign Equity Fund......................... 70,100 1,116,693
T-Rowe Price International Equity Fund................... 50,500 680,235
-----------
TOTAL INVESTMENT COMPANIES (COST -- $1,816,197)............ 1,847,228
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----------
<S> <C> <C>
ASSET BACKED SECURITIES -- 2.1%
Consumer Portfolio Services
6.100%, 12/15/02....................................... $ 425 424,246
First USA Credit Card Master Trust, Series 1997-6, Class
A
6.420%, 03/17/05....................................... 400 404,624
-----------
TOTAL ASSET BACKED SECURITIES (COST -- $823,702)........... 828,870
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
13
<PAGE> 16
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR MARKET
SECURITY DESCRIPTION (000) VALUE
-------------------- ----------- -----------
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS -- 2.5%
Chase Credit Card Master Trust, Series 1997-2
6.300%, 04/15/03....................................... $ 500 $ 504,864
Chase Manhattan Credit Card Master Trust, Series 1996-4
6.730%, 02/15/06....................................... 500 505,347
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST -- $1,008,962)..................................... 1,010,211
-----------
CORPORATE BONDS -- 19.9%
BANKS -- 1.7%
Banc One Corp., 6.375%, 10/01/02......................... 525 525,000
Norwest Corp., 6.550%, 12/01/06.......................... 175 176,094
-----------
701,094
-----------
COMPUTERS -- 1.2%
International Business Machines Corp., 6.375%,
06/15/00............................................... 500 503,750
-----------
ELECTRICAL EQUIPMENT -- 1.3%
Honeywell, Inc., 6.750%, 03/15/02........................ 500 508,750
-----------
FINANCIAL SERVICES -- 8.2%
Bear Stearns Co., 6.750%, 05/01/01....................... 400 408,000
Chrysler Financial Corp., 6.950%, 03/25/02............... 500 511,875
General Motors Acceptance Corp., 6.750%, 02/07/02........ 250 254,688
Household Finance Corp., 6.875%, 03/01/07................ 250 257,500
Household Netherlands BV, 6.125%, 03/01/03............... 200 197,000
International Lease Finance Corp., 6.875%, 05/01/01...... 500 509,375
Merrill Lynch & Co., Inc., 6.000%, 01/15/01.............. 350 348,688
Morgan Stanley Group, Inc., 8.100%, 06/24/02............. 750 803,438
-----------
3,290,564
-----------
FOOD & RELATED -- 0.5%
Heinz Co., 6.875%, 01/15/03.............................. 200 205,000
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
14
<PAGE> 17
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR MARKET
SECURITY DESCRIPTION (000) VALUE
-------------------- ----------- -----------
<S> <C> <C>
INDUSTRIAL GOODS & SERVICES -- 1.2%
Xerox Corp., 5.545%, 07/22/37............................ $ 500 $ 500,625
-----------
PHARMACEUTICALS -- 1.3%
Smithkline Beecham Corp., 6.625%, 10/01/01............... 500 509,375
-----------
RETAIL - GENERAL MERCHANDISE -- 2.1%
Sears Roebuck Acceptance Corp., 6.150%, 11/15/05......... 500 500,000
Wal-Mart Stores, Inc., 7.250%, 06/01/13.................. 305 329,019
-----------
829,019
-----------
TELECOMMUNICATIONS -- 0.8%
AT&T Corp., 8.625%, 12/01/31............................. 300 331,500
-----------
TOBACCO -- 0.9%
Philip Morris Co., Inc., 7.500%, 01/15/02................ 350 361,813
-----------
UTILITIES - ELECTRIC -- 0.7%
Southern California Edison Note, 6.500%, 06/01/01........ 265 267,319
-----------
TOTAL CORPORATE BONDS (COST -- $7,859,087)................. 8,008,809
-----------
MEDIUM TERM NOTES -- 1.2%
Banc One Auto Grantor Trust, Series 97-B, Class A
6.290%, 07/20/04 (Cost -- $499,968).................... 500 500,000
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.3%
FEDERAL HOME LOAN MORTGAGE COPORATION -- 1.2%
Federal Home Loan Mortgage Corporation
8.000%, 01/01/04....................................... 157 161,858
7.000%, 05/01/04....................................... 339 343,752
-----------
505,610
-----------
FEDERAL NATIONAL MORTGAGE ASSOCATION -- 7.6%
Federal National Mortgage Association
7.500%, 06/01/03....................................... 375 382,817
7.000%, 06/01/04....................................... 373 377,812
6.480%, 06/28/04....................................... 750 769,380
6.500%, 01/01/06....................................... 329 325,232
7.500%, 10/01/11....................................... 645 661,291
5.500%, 12/25/14....................................... 551 548,450
-----------
3,064,982
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
15
<PAGE> 18
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR MARKET
SECURITY DESCRIPTION (000) VALUE
-------------------- ----------- -----------
<S> <C> <C>
TENNESSEE VALLEY AUTHORITY DEBENTURES -- 0.5%
Tennessee Valley Authority Debentures
5.980%, 04/01/36....................................... $ 200 $ 200,250
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST -- $3,716,059)..................................... 3,770,842
-----------
U.S. TREASURY OBLIGATIONS -- 29.2%
U.S. TREASURY BILLS--1.0%
5.120%, 01/22/98....................................... 18 17,946
5.380%, 01/22/98....................................... 10 9,969
5.150%, 02/26/98....................................... 75 74,399
5.200%, 02/26/98....................................... 217 215,245
5.270%, 02/26/98....................................... 94 93,265
-----------
410,824
-----------
U.S. TREASURY NOTES -- 28.2%
5.625%, 01/31/98....................................... 350 350,052
5.375%, 05/31/98....................................... 2,375 2,373,646
6.750%, 05/31/99....................................... 775 786,377
5.875%, 11/15/99....................................... 1,000 1,003,500
6.250%, 08/31/00....................................... 542 549,084
6.125%, 09/30/00....................................... 290 292,912
5.250%, 01/31/01....................................... 1,000 987,501
6.250%, 02/15/03....................................... 1,415 1,446,866
6.625%, 02/15/03....................................... 200 205,468
6.500%, 05/15/05....................................... 750 781,492
6.375%, 05/15/06....................................... 1,550 1,564,477
6.250%, 02/15/07....................................... 1,000 1,031,530
-----------
11,372,905
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST -- $11,667,542)...... 11,783,729
-----------
TOTAL INVESTMENTS -- 99.8% (COST -- $36,850,408)(a)........ 40,263,606
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2%.............. 79,587
-----------
NET ASSETS -- 100.0%....................................... $40,343,193
===========
Percentages indicated are based on net assets of
$40,343,193.
(a) Represents cost for financial reporting purposes and
differs from cost basis for federal income tax purposes
by the amount of losses recognized for financial
reporting purposes in excess of federal income tax
reporting of approximately $8,709. Cost for federal
income tax purposes differs from value by net
unrealized appreciation of securities as follows:
Unrealized appreciation................................ $3,512,244
Unrealized depreciation................................ (107,755)
----------
Net unrealized appreciation............................ $3,404,489
==========
</TABLE>
* Non-income producing securities.
- ---------------
See Notes to Financial Statements.
16
<PAGE> 19
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ---------- -----------
<S> <C> <C>
COMMON STOCKS -- 41.6%
AEROSPACE/DEFENSE -- 0.8%
Aeroquip-Vickers, Inc..................................... 800 $ 39,250
Crane Co.................................................. 1,400 60,725
General Dynamics Corp. ................................... 700 60,506
Raytheon Co.*............................................. 51 2,516
Thiokol Corp. ............................................ 900 73,125
United Technologies Corp. ................................ 1,800 131,062
-----------
367,184
-----------
AIRLINES -- 0.3%
Airborne Freight Corp. ................................... 600 37,275
AMR Corp.*................................................ 500 64,250
UAL Corp.*................................................ 500 46,250
-----------
147,775
-----------
AUTOMOTIVE -- 0.8%
Arvin Industries, Inc. ................................... 1,500 49,969
Dana Corp. ............................................... 1,300 61,750
Ford Motor Co. ........................................... 4,000 194,750
General Motors Corp. ..................................... 800 48,500
Lear Corp.*............................................... 800 38,000
-----------
392,969
-----------
BANKS -- 4.1%
AmSouth Bancorporation.................................... 1,950 105,909
Bankers Trust New York Corp. ............................. 1,000 112,437
Barnett Banks, Inc. ...................................... 2,600 186,875
Chase Manhattan Corp. .................................... 500 54,750
Citicorp.................................................. 700 88,506
City National Corp. ...................................... 1,900 70,181
Comerica, Inc. ........................................... 1,000 90,250
First of America Bank Corp. .............................. 2,200 169,675
First Chicago NBD Corp. .................................. 1,200 100,200
First Union Corp. ........................................ 1,900 97,375
Fleet Financial Group, Inc. .............................. 2,000 149,875
Marshall & Ilsley Corp. .................................. 1,900 118,037
Mellon Bank Corp. ........................................ 2,800 169,750
Mercantile Bankshares Corp. .............................. 2,050 80,206
Northern Trust Corp. ..................................... 1,900 132,525
Regions Financial Corp. .................................. 1,900 80,156
State Street Corp. ....................................... 2,000 116,375
-----------
1,923,082
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
17
<PAGE> 20
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ---------- -----------
<S> <C> <C>
BEVERAGES -- 1.0%
Anheuser-Busch Cos., Inc. ................................ 1,100 $ 48,400
Coca-Cola Co. ............................................ 3,200 213,200
Coca-Cola Enterprises, Inc. .............................. 1,300 46,231
Coors, (Adolph) Co. Class B............................... 1,200 39,900
PepsiCo, Inc. ............................................ 3,200 116,600
-----------
464,331
-----------
BUILDING MATERIALS -- 0.8%
Centex Corp. ............................................. 800 50,350
DQE, Inc. ................................................ 1,850 64,981
Hon Industries, Inc. ..................................... 300 17,700
Miller (Herman), Inc. .................................... 1,500 81,844
Southdown, Inc. .......................................... 2,000 118,000
Timken Co. ............................................... 1,800 61,875
-----------
394,750
-----------
CHEMICALS -- 1.4%
Cytec Industries, Inc.*................................... 1,700 79,794
Dow Chemical Co. ......................................... 1,300 131,950
Du Pont, (E.I.) de Nemours & Co. ......................... 3,300 198,206
Goodrich (B.F.) Co. ...................................... 700 29,006
Lubrizol Corp. ........................................... 2,400 88,500
Lyondell Petrochemical Co. ............................... 2,700 71,550
Solutia, Inc. ............................................ 2,400 64,050
-----------
663,056
-----------
CLOTHING & APPAREL -- 0.1%
Tommy Hilfiger Corp.*..................................... 1,100 38,637
-----------
COMMERCIAL SERVICES -- 0.7%
AccuStaff, Inc.*.......................................... 2,200 50,600
ACNielsen Corp.*.......................................... 2,300 56,062
Omnicom Group............................................. 3,800 161,025
Pittston Brink's Group.................................... 1,600 64,400
-----------
332,087
-----------
COMPUTER SOFTWARE & SERVICES -- 2.1%
Adaptec, Inc.*............................................ 1,500 55,687
BMC Software, Inc.*....................................... 1,800 118,125
Cadence Design Systems, Inc.*............................. 3,400 83,300
Compuware Corp.*.......................................... 3,200 102,400
EMC Corp.*................................................ 1,600 43,900
HBO & Co. ................................................ 4,200 201,600
Microsoft Corp.*.......................................... 2,500 323,125
Network Associates, Inc.*................................. 400 21,112
Parametric Technology Corp.*.............................. 1,100 52,113
-----------
1,001,362
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
18
<PAGE> 21
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ---------- -----------
<S> <C> <C>
COMPUTERS -- 0.9%
Compaq Computer Corp...................................... 3,000 $ 169,312
International Business Machines Corp. .................... 1,600 167,300
Lexmark International Group, Inc.*........................ 1,900 72,200
-----------
408,812
-----------
COSMETICS & TOILETRIES -- 1.1%
Clorox Co. ............................................... 1,600 126,500
Dial Corp. ............................................... 3,400 70,762
Kimberly-Clark Corp. ..................................... 1,500 73,969
Procter & Gamble Co. ..................................... 2,800 223,475
-----------
494,706
-----------
ELECTRICAL EQUIPMENT -- 1.1%
CMS Energy Corp. ......................................... 3,300 145,406
General Electric Co. ..................................... 5,000 366,875
-----------
512,281
-----------
ENERGY SERVICES -- 0.7%
Camco International, Inc. ................................ 700 44,581
Input/Output, Inc.*....................................... 1,000 29,687
Smith International, Inc.*................................ 900 55,238
Tidewater, Inc. .......................................... 4,000 220,500
-----------
350,006
-----------
ENTERTAINMENT -- 0.8%
Callaway Golf Co. ........................................ 2,000 57,125
King World Productions, Inc. ............................. 1,500 86,625
Polaris Industries, Inc. ................................. 1,400 42,788
Walt Disney Co. .......................................... 1,719 170,288
-----------
356,826
-----------
ENVIRONMENTAL SERVICES -- 0.2%
Browning-Ferris Industries, Inc. ......................... 2,500 92,500
-----------
FINANCIAL SERVICES -- 1.4%
Franklin Resources, Inc. ................................. 800 69,550
Morgan Stanley Dean Witter Discover & Co. ................ 3,700 218,762
Paine Webber Group, Inc. ................................. 3,400 117,512
Southtrust Corp. ......................................... 1,800 114,187
Travelers Group, Inc. .................................... 3,000 161,625
-----------
681,636
-----------
FOOD & RELATED -- 1.2%
ConAgra, Inc. ............................................ 3,600 118,125
Dean Foods Co. ........................................... 1,800 107,100
Interstate Bakeries Corp. ................................ 2,200 82,225
Kellogg Co. .............................................. 2,200 109,175
Quaker Oats Co. .......................................... 1,900 100,225
Smithfield Foods, Inc.*................................... 1,400 46,200
-----------
563,050
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
19
<PAGE> 22
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ---------- -----------
<S> <C> <C>
HOTEL & MOTELS -- 0.2%
Marriott International, Inc. ............................. 900 $ 62,325
Promus Hotel Corp. ....................................... 1,110 46,620
-----------
108,945
-----------
INSURANCE -- 1.7%
Allstate Corp. ........................................... 1,600 145,400
AMBAC Financial Group..................................... 1,400 64,400
American General Corp. ................................... 1,900 102,719
Conseco, Inc. ............................................ 2,600 118,137
Equitable Companies, Inc. ................................ 2,400 119,400
Healthcare COMPARE Corp.*................................. 1,400 71,575
SunAmerica, Inc. ......................................... 1,600 68,400
Torchmark Corp. .......................................... 2,300 96,744
-----------
786,775
-----------
MACHINERY & EQUIPMENT -- 0.8%
AGCO Corp. ............................................... 1,700 49,725
Caterpillar, Inc. ........................................ 1,400 67,987
Ingersoll-Rand Co. ....................................... 1,350 54,675
Kaydon Corp. ............................................. 1,400 45,675
Parker-Hannifin Corp. .................................... 1,350 61,931
Precision Castparts Corp. ................................ 1,300 78,406
-----------
358,399
-----------
MEDICAL EQUIPMENT -- 1.0%
Abbott Laboratories....................................... 2,000 131,125
Biomet, Inc. ............................................. 4,600 117,875
Hillenbrand Industries, Inc. ............................. 600 30,712
Johnson & Johnson Co. .................................... 2,400 158,100
Stryker Corp. ............................................ 1,300 48,425
-----------
486,237
-----------
MEDICAL HOSPITAL & MANAGEMENT SERVICES -- 0.5%
Health Care & Retirement Corp.*........................... 1,800 72,450
Health Management Associates, Inc.*....................... 1,800 45,450
PhyCor, Inc.*............................................. 2,200 59,400
Tenet Healthcare Corp.*................................... 1,600 53,000
-----------
230,300
-----------
METALS & MINING -- 0.4%
Aluminum Company of America............................... 900 63,337
Martin Marietta Materials, Inc. .......................... 2,000 73,125
USX-U.S. Steel Group, Inc. ............................... 1,900 59,375
-----------
195,837
-----------
MULTI-INDUSTRY -- 0.6%
Dover Corp. .............................................. 3,000 108,375
Tyco International Ltd. .................................. 3,800 171,237
-----------
279,612
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
20
<PAGE> 23
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ---------- -----------
<S> <C> <C>
OIL (DOMESTIC) -- 0.6%
Murphy Oil Corp. ......................................... 900 $ 48,769
Philips Petroleum Co. .................................... 2,300 111,838
USX -- Marathon Group..................................... 3,400 114,750
-----------
275,357
-----------
OIL (INTERNATIONAL) -- 1.4%
Chevron Corp. ............................................ 2,000 154,000
Exxon Corp. .............................................. 4,200 256,988
Mobil Corp. .............................................. 2,200 158,813
Royal Dutch Petroleum Co. ................................ 2,000 108,375
-----------
678,176
-----------
PAPER & FOREST PRODUCTS -- 0.5%
Bowater, Inc. ............................................ 2,000 88,875
Fort James Corp. ......................................... 2,400 91,800
Owens-Illinois, Inc.*..................................... 1,900 72,081
-----------
252,756
-----------
PHARMACEUTICALS -- 2.6%
Bristol-Meyers Squibb Co. ................................ 2,400 227,100
Cardinal Health, Inc. .................................... 950 71,369
Dura Pharmaceuticals, Inc.*............................... 1,100 50,463
Lilly, (Eli) & Co. ....................................... 1,900 132,288
Merck & Co., Inc. ........................................ 2,000 212,500
Mylan Laboratories, Inc. ................................. 2,300 48,156
Pfizer, Inc. ............................................. 2,200 164,038
Schering-Plough Corp. .................................... 3,600 223,650
Watson Pharmaceuticals, Inc.*............................. 3,000 97,313
-----------
1,226,877
-----------
PRINTING & PUBLISHING -- 0.5%
Houghton Mifflin Co. ..................................... 1,000 38,375
McGraw-Hill Cos., Inc. ................................... 800 59,200
New York Times Co. Class A................................ 1,000 66,125
Washington Post Class B................................... 170 82,705
-----------
246,405
-----------
RESTAURANTS -- 0.3%
Bob Evans Farms, Inc. .................................... 1,600 35,400
Papa John's International, Inc.*.......................... 1,400 48,825
Tricon Global Restaurants, Inc.*.......................... 1,320 38,363
-----------
122,588
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
21
<PAGE> 24
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ---------- -----------
<S> <C> <C>
RETAIL & MERCHANDISING -- 2.5%
Bed, Bath & Beyond, Inc.*................................. 2,200 $ 84,700
Best Buy Company, Inc.*................................... 1,200 44,250
Cendant Corp.*............................................ 2,000 68,750
CompUSA, Inc.*............................................ 1,700 52,700
Dayton Hudson Corp. ...................................... 1,600 108,000
Home Depot, Inc. ......................................... 3,250 191,344
Jones Apparel Group, Inc.*................................ 1,500 64,500
OfficeMax, Inc.*.......................................... 4,900 69,825
Payless ShoeSource, Inc.*................................. 1,100 73,838
Ross Stores, Inc. ........................................ 2,200 80,025
Safeway, Inc.*............................................ 1,200 75,900
TJX Companies, Inc. ...................................... 6,400 220,000
U.S. Office Products Co.*................................. 2,700 52,988
-----------
1,186,820
-----------
SEMI-CONDUCTORS/INSTRUMENTATION -- 2.0%
AMP, Inc. ................................................ 1,100 46,200
Applied Materials, Inc.*.................................. 2,300 69,287
Dell Computer Corp.*...................................... 2,300 193,200
Harris Corp. ............................................. 2,200 100,925
KLA-Tencor Corp.*......................................... 800 30,900
Linear Technology Corp. .................................. 2,400 138,300
Maxim Integrated Products, Inc.*.......................... 4,400 151,800
SCI Systems, Inc.*........................................ 1,400 60,987
Solectron Corp.*.......................................... 1,500 62,344
Storage Technology Corp.*................................. 1,100 68,131
Teradyne, Inc.*........................................... 700 22,400
-----------
944,474
-----------
TELECOMMUNICATIONS -- 0.9%
ADC Telecommunications, Inc.*............................. 1,800 75,150
Cisco Systems, Inc.*...................................... 2,400 133,800
Lucent Technologies, Inc. ................................ 1,500 119,813
Tellabs, Inc.*............................................ 1,800 95,175
-----------
423,938
-----------
TOBACCO -- 0.5%
Philip Morris Companies, Inc. ............................ 4,700 212,969
Universal Corp. .......................................... 700 28,788
-----------
241,757
-----------
TRANSPORTATION -- 0.3%
Burlington Northern Santa Fe Corp......................... 600 55,763
CNF Transportation, Inc. ................................. 1,200 46,050
Trinity Industries, Inc. ................................. 1,300 58,012
-----------
159,825
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
22
<PAGE> 25
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ---------- -----------
<S> <C> <C>
UTILITIES - ELECTRIC -- 2.0%
Boston Edison Co. ........................................ 3,000 $ 113,625
Ensco International, Inc. ................................ 2,400 80,400
FPL Group, Inc. .......................................... 3,500 207,156
GPU, Inc. ................................................ 6,000 252,750
New York State Electric & Gas Corp. ...................... 2,600 92,300
NIPSCO Industries, Inc. .................................. 1,700 84,044
Public Service Co. of New Mexico.......................... 4,200 99,488
-----------
929,763
-----------
UTILITIES - GAS & PIPELINE -- 0.7%
Columbia Gas System, Inc. ................................ 1,000 78,563
MCN Corp. ................................................ 2,200 88,825
NICOR, Inc. .............................................. 1,600 67,500
Valero Energy Corp. ...................................... 3,100 97,456
-----------
332,344
-----------
UTILITIES - TELEPHONE -- 2.1%
Ameritech Corp. .......................................... 1,700 136,850
AT&T Corp. ............................................... 2,500 153,125
Bell Atlantic Corp. ...................................... 1,800 163,800
BellSouth Corp. .......................................... 300 168,938
LCI International, Inc.*.................................. 4,500 138,375
Southern New England Telecommunications Corp. ............ 1,300 65,406
U.S. WEST Communications Group............................ 2,200 99,275
WorldCom, Inc.*........................................... 2,900 87,725
-----------
1,013,494
-----------
TOTAL COMMON STOCK (COST -- $14,961,200).................... 19,665,729
-----------
INVESTMENT COMPANIES -- 8.6%
T-Rowe Price Associates, Inc. ............................ 1,300 81,738
T-Rowe Price Foreign Equity Fund.......................... 125,900 2,005,587
T-Rowe Price International Equity Fund.................... 145,800 1,963,926
-----------
TOTAL INVESTMENT COMPANIES (COST -- $4,016,163)............. 4,051,251
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
----------
<S> <C> <C>
ASSET BACKED SECURITIES -- 1.7%
Consumer Portfolio Services, 6.100%, 12/15/02............ $ 425 424,246
First USA Credit Card Master Trust, Series 1997-6, Class
A
6.420%, 03/17/05....................................... 350 354,046
-----------
TOTAL ASSET BACKED SECURITIES (COST -- $773,803)........... 778,292
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
23
<PAGE> 26
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR MARKET
SECURITY DESCRIPTION (000) VALUE
-------------------- ---------- -----------
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS -- 2.1%
Chase Credit Card Master Trust, Series 1997-2
6.300%, 04/15/03....................................... $ 500 $ 504,864
Chase Manhattan Credit Card Master Trust, Series 1996-4
6.730%, 02/15/06....................................... 500 505,347
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
-- $1,008,972).......................................... 1,010,211
-----------
CORPORATE BONDS -- 15.6%
BANKS -- 1.8%
Banc One Corp.,
6.375%, 10/01/02....................................... 600 600,000
Norwest Corp.,
6.550%, 12/01/06....................................... 250 251,563
-----------
851,563
-----------
COMPUTERS -- 1.1%
International Business Machines Corp.,
6.375%, 06/15/00....................................... 500 503,750
-----------
ELECTRICAL EQUIPMENT -- 1.1%
Honeywell, Inc.,
6.750%, 03/15/02....................................... 500 508,750
-----------
FINANCIAL SERVICES -- 5.8%
Bear Stearns Co.,
6.750%, 05/01/01....................................... 400 408,000
Chrysler Financial Corp.,
6.950%, 03/25/02....................................... 500 511,875
General Motors Acceptance Corp.,
6.750%, 02/07/02....................................... 250 254,688
Household Finance Corp.,
6.875%, 03/01/07....................................... 250 257,500
Household Netherlands BV,
6.125%, 03/01/03....................................... 200 197,000
International Lease Finance Corp.,
6.875%, 05/01/01....................................... 500 509,375
Merrill Lynch & Co., Inc.,
6.000%, 01/15/01....................................... 350 348,688
Morgan Stanley Group, Inc.,
8.100%, 06/24/02....................................... 250 267,813
-----------
2,754,939
-----------
FOOD & RELATED -- 0.4%
Heinz Co.,
6.875%, 01/15/03....................................... 200 205,000
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
24
<PAGE> 27
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR MARKET
SECURITY DESCRIPTION (000) VALUE
-------------------- ---------- -----------
<S> <C> <C>
INDUSTRIAL GOODS & SERVICES -- 1.0%
Xerox Corp.,
5.545%, 07/22/37....................................... $ 500 $ 500,625
-----------
PHARMACEUTICALS -- 1.1%
Smithkline Beecham Corp.,
6.625%, 10/01/01....................................... 500 509,375
-----------
RETAIL - GENERAL MERCHANDISE -- 1.7%
Sears Roebuck Acceptance Corp.,
6.150%, 11/15/05....................................... 500 500,000
Wal-Mart Stores, Inc.,
7.250%, 06/01/13....................................... 300 323,625
-----------
823,625
-----------
TELECOMMUNICATIONS -- 0.5%
AT&T Corp.,
8.625%, 12/01/31....................................... 200 221,000
-----------
TOBACCO -- 0.8%
Philip Morris Co., Inc.,
7.500%, 01/15/02....................................... 350 361,813
-----------
UTILITIES - ELECTRIC -- 0.3%
Southern California Edison Note,
6.500%, 06/01/01....................................... 145 146,269
-----------
TOTAL CORPORATE BONDS (COST -- $7,253,197)................. 7,386,709
-----------
MEDIUM TERM NOTES -- 0.8%
Banc One Auto Grantor Trust, Series 97-B, Class A
6.290%, 07/20/04 (Cost -- $399,974).................... 400 400,000
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.1%
FEDERAL HOME LOAN MORTGAGE CORPORATION -- 3.5%
Federal Home Loan Mortgage Corporation
8.000%, 01/01/04....................................... 157 161,858
7.000%, 05/01/04....................................... 1,210 1,227,685
6.500%, 06/01/04....................................... 248 249,243
-----------
1,638,786
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 6.2%
Federal National Mortgage Association
7.500%, 06/01/03....................................... 375 382,817
7.000%, 06/01/04....................................... 952 964,925
6.480%, 06/28/04....................................... 750 769,380
6.500%, 01/01/06....................................... 329 325,232
7.500%, 10/01/11....................................... 322 330,646
5.500%, 12/25/14....................................... 184 182,817
-----------
2,955,817
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
25
<PAGE> 28
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR MARKET
SECURITY DESCRIPTION (000) VALUE
-------------------- ---------- -----------
<S> <C> <C>
TENNESSEE VALLEY AUTHORITY DEBENTURES -- 0.4%
Tennessee Valley Authority Debentures, 5.980%,
04/01/36............................................... $ 200 $ 200,250
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST -- $4,730,537)..................................... 4,794,853
-----------
U.S. TREASURY OBLIGATIONS -- 19.0%
U.S. TREASURY BILLS -- 1.9%
U.S. Treasury Bill
5.060%, 01/22/98....................................... 21 20,938
5.120%, 01/22/98....................................... 299 298,107
5.165%, 01/22/98....................................... 3 2,991
5.200%, 02/26/98....................................... 566 561,422
-----------
883,458
-----------
U.S. TREASURY NOTES -- 17.1%
U.S. Treasury Note
5.625%, 01/31/98....................................... 450 450,067
6.375%, 05/15/99....................................... 200 201,868
6.750%, 05/31/99....................................... 250 253,670
6.250%, 08/31/00....................................... 1,142 1,156,926
6.125%, 09/30/00....................................... 200 202,008
6.375%, 03/31/01....................................... 200 203,690
6.250%, 10/31/01....................................... 750 762,397
5.875%, 11/30/01....................................... 100 100,422
6.250%, 02/15/03....................................... 2,323 2,375,314
6.500%, 05/15/05....................................... 1,975 2,057,930
6.250%, 02/15/07....................................... 300 309,459
-----------
8,073,751
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST -- $8,745,400)....... 8,957,209
-----------
TOTAL INVESTMENTS -- 99.5% (COST -- $41,889,246)(a)........ 47,044,254
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.5%.............. 219,002
-----------
NET ASSETS -- 100.0%....................................... $47,263,256
===========
Percentages indicated are based on net assets of
$47,263,256.
(a) Represents cost for financial reporting purposes and
differs from cost basis for federal income tax purposes
by the amount of losses recognized for financial
reporting purposes in excess of federal income tax
reporting of approximately $5,818. Cost for federal
income tax purposes differs from value by net
unrealized appreciation of securities as follows:
Unrealized appreciation................................ $5,304,544
Unrealized depreciation................................ (155,354)
----------
Net unrealized appreciation............................ $5,149,190
==========
* Non-income producing securities.
</TABLE>
- ---------------
See Notes to Financial Statements.
26
<PAGE> 29
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
COMMON STOCKS -- 61.1%
AEROSPACE/DEFENSE -- 1.1%
Aeroquip-Vickers, Inc. .................................. 1,100 $ 53,969
Crane Co. ............................................... 1,800 78,075
General Dynamics Corp. .................................. 1,400 121,012
Raytheon Co.* ........................................... 153 7,547
Thiokol Corp. ........................................... 1,200 97,500
United Technologies Corp. ............................... 3,200 233,000
-----------
591,103
-----------
AIRLINES -- 0.5%
Airborne Freight Corp. .................................. 800 49,700
AMR Corp.* .............................................. 900 115,650
UAL Corp.* .............................................. 1,000 92,500
-----------
257,850
-----------
AUTOMOTIVE -- 1.3%
Arvin Industries, Inc. .................................. 2,000 66,625
Dana Corp. .............................................. 2,400 114,000
Ford Motor Co. .......................................... 7,300 355,419
General Motors Corp. .................................... 1,500 90,937
Lear Corp.* ............................................. 1,100 52,250
-----------
679,231
-----------
BANKS -- 6.1%
AmSouth Bancorporation................................... 2,750 149,359
Bankers Trust New York Corp. ............................ 1,800 202,387
Barnett Banks, Inc. ..................................... 4,700 337,812
Chase Manhattan Corp. ................................... 1,500 164,250
Citicorp................................................. 1,400 177,012
City National Corp. ..................................... 2,600 96,037
Comerica, Inc. .......................................... 1,500 135,375
First of America Bank Corp. ............................. 3,000 231,375
First Chicago NBD Corp. ................................. 2,100 175,350
First Union Corp. ....................................... 3,500 179,375
Fleet Financial Group, Inc. ............................. 3,700 277,269
Marshall & Ilsley Corp. ................................. 2,300 142,887
Mellon Bank Corp. ....................................... 5,000 303,125
Mercantile Bankshares Corp. ............................. 2,850 111,506
Northern Trust Corp. .................................... 2,600 181,350
Regions Financial Corp. ................................. 2,600 109,687
State Street Corp. ...................................... 3,700 215,294
-----------
3,189,450
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
27
<PAGE> 30
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
BEVERAGES -- 1.5%
Anheuser-Busch Cos., Inc. ............................... 1,900 $ 83,600
Coca-Cola Co. ........................................... 6,000 399,750
Coca-Cola Enterprises, Inc. ............................. 1,800 64,012
Coors, (Adolph) Co. Class B.............................. 1,600 53,200
PepsiCo, Inc. ........................................... 5,300 193,119
-----------
793,681
-----------
BUILDING MATERIALS -- 1.1%
Centex Corp. ............................................ 1,400 88,112
DQE, Inc. ............................................... 2,850 100,106
Hon Industries, Inc. .................................... 400 23,600
Miller (Herman), Inc. ................................... 2,100 114,581
Southdown, Inc. ......................................... 2,600 153,400
Timken Co. .............................................. 2,500 85,937
-----------
565,736
-----------
CHEMICALS -- 2.1%
Cytec Industries, Inc.*.................................. 2,300 107,956
Dow Chemical Co. ........................................ 2,400 243,600
Du Pont, (E.I.) de Nemours & Co. ........................ 6,400 384,400
Goodrich (B.F.) Co. ..................................... 1,500 62,156
Lubrizol Corp. .......................................... 3,300 121,687
Lyondell Petrochemical Co. .............................. 3,500 92,750
Solutia, Inc. ........................................... 3,400 90,737
-----------
1,103,286
-----------
CLOTHING & APPAREL -- 0.1%
Tommy Hilfiger Corp.*.................................... 2,200 77,275
-----------
COMMERCIAL SERVICES -- 0.8%
AccuStaff, Inc.*......................................... 2,800 64,400
ACNielsen Corp.*......................................... 3,000 73,125
Omnicom Group............................................ 4,800 203,400
Pittston Brink's Group................................... 2,000 80,500
-----------
421,425
-----------
COMPUTER SOFTWARE & SERVICES -- 3.0%
Adaptec, Inc.*........................................... 2,000 74,250
BMC Software, Inc.*...................................... 2,400 157,500
Cadence Design Systems, Inc.*............................ 4,700 115,150
Compuware Corp.*......................................... 4,300 137,600
EMC Corp.*............................................... 3,200 87,800
HBO & Co. ............................................... 6,700 321,600
Microsoft Corp.*......................................... 4,600 594,550
Network Associates, Inc.*................................ 500 26,391
Parametric Technology Corp.*............................. 1,200 56,850
-----------
1,571,691
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
28
<PAGE> 31
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
COMPUTERS -- 1.4%
Compaq Computer Corp. ................................... 5,900 $ 332,981
International Business Machines Corp. ................... 2,900 303,231
Lexmark International Group, Inc.*....................... 2,400 91,200
-----------
727,412
-----------
COSMETICS & TOILETRIES -- 1.8%
Clorox Co. .............................................. 2,800 221,375
Dial Corp. .............................................. 4,700 97,819
Kimberly-Clark Corp. .................................... 2,700 133,144
Procter & Gamble Co. .................................... 6,400 510,800
-----------
963,138
-----------
ELECTRICAL EQUIPMENT -- 1.6%
CMS Energy Corp. ........................................ 4,700 207,094
General Electric Co. .................................... 8,300 609,012
-----------
816,106
-----------
ENERGY SERVICES -- 0.9%
Camco International, Inc. ............................... 800 50,950
Input/Output, Inc.*...................................... 1,100 32,656
Smith International, Inc.*............................... 1,000 61,375
Tidewater, Inc. ......................................... 6,300 347,288
-----------
492,269
-----------
ENTERTAINMENT -- 1.1%
Callaway Golf Co. ....................................... 3,600 102,825
King World Productions, Inc. ............................ 2,100 121,275
Polaris Industries, Inc. ................................ 1,900 58,069
Walt Disney Co. ......................................... 3,119 308,976
-----------
591,145
-----------
ENVIRONMENTAL SERVICES -- 0.3%
Browning-Ferris Industries, Inc. ........................ 4,600 170,200
-----------
FINANCIAL SERVICES -- 2.1%
Franklin Resources, Inc. ................................ 1,000 86,937
Morgan Stanley Dean Witter Discover & Co. ............... 6,700 396,137
Paine Webber Group, Inc. ................................ 4,600 158,987
Southtrust Corp. ........................................ 2,400 152,250
Travelers Group, Inc. ................................... 5,250 282,844
-----------
1,077,155
-----------
FOOD & RELATED -- 1.7%
ConAgra, Inc. ........................................... 6,800 223,125
Dean Foods Co. .......................................... 2,500 148,750
Interstate Bakeries Corp. ............................... 2,800 104,650
Kellogg Co. ............................................. 3,400 168,725
Quaker Oats Co. ......................................... 3,500 184,625
Smithfield Foods, Inc.*.................................. 1,800 59,400
-----------
889,275
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
29
<PAGE> 32
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
HOTEL & MOTELS -- 0.3%
Marriott International, Inc. ............................ 1,500 $ 103,875
Promus Hotel Corp. ...................................... 1,387 58,254
-----------
162,129
-----------
INSURANCE -- 2.4%
Allstate Corp. .......................................... 3,000 272,625
AMBAC Financial Group.................................... 1,700 78,200
American General Corp. .................................. 3,400 183,812
Conseco, Inc. ........................................... 4,800 218,100
Equitable Companies, Inc. ............................... 4,300 213,925
Healthcare COMPARE Corp.*................................ 1,900 97,137
SunAmerica, Inc. ........................................ 2,000 85,500
Torchmark Corp. ......................................... 3,100 130,394
-----------
1,279,693
-----------
MACHINERY & EQUIPMENT -- 1.1%
AGCO Corp. .............................................. 2,100 61,425
Caterpillar, Inc. ....................................... 2,500 121,406
Ingersoll-Rand Co. ...................................... 2,550 103,275
Kaydon Corp. ............................................ 1,800 58,725
Parker-Hannifin Corp. ................................... 2,400 110,100
Precision Castparts Corp. ............................... 1,700 102,531
-----------
557,462
-----------
MEDICAL EQUIPMENT -- 1.6%
Abbott Laboratories...................................... 3,600 236,025
Biomet, Inc. ............................................ 7,300 187,062
Hillenbrand Industries, Inc. ............................ 900 46,069
Johnson & Johnson Co. ................................... 4,300 283,263
Stryker Corp. ........................................... 1,800 67,050
-----------
819,469
-----------
MEDICAL HOSPITAL & MANAGEMENT SERVICES -- 0.7%
Health Care & Retirement Corp.*.......................... 2,300 92,575
Health Management Associates, Inc.*...................... 2,500 63,125
PhyCor, Inc.*............................................ 3,800 102,600
Tenet Healthcare Corp.*.................................. 3,000 99,375
-----------
357,675
-----------
METALS & MINING -- 0.6%
Aluminum Company of America.............................. 1,600 112,600
Martin Marietta Materials, Inc. ......................... 2,400 87,750
USX-U.S. Steel Group, Inc. .............................. 3,500 109,375
-----------
309,725
-----------
MULTI-INDUSTRY -- 1.0%
Dover Corp. ............................................. 5,400 195,075
Tyco International Ltd. ................................. 7,000 315,437
-----------
510,512
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
30
<PAGE> 33
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
OIL (DOMESTIC) -- 0.9%
Murphy Oil Corp. ........................................ 1,200 $ 65,025
Philips Petroleum Co. ................................... 4,300 209,088
USX -- Marathon Group.................................... 5,900 199,125
-----------
473,238
-----------
OIL (INTERNATIONAL) -- 2.2%
Chevron Corp. ........................................... 2,800 215,600
Exxon Corp. ............................................. 7,600 465,025
Mobil Corp. ............................................. 3,800 274,312
Royal Dutch Petroleum Co. ............................... 3,800 205,913
-----------
1,160,850
-----------
PAPER & FOREST PRODUCTS -- 0.8%
Bowater, Inc. ........................................... 3,200 142,200
Fort James Corp. ........................................ 4,300 164,475
Owens-Illinois, Inc.*.................................... 2,500 94,844
-----------
401,519
-----------
PHARMACEUTICALS -- 4.0%
Bristol-Meyers Squibb Co. ............................... 4,600 435,275
Cardinal Health, Inc. ................................... 1,350 101,419
Dura Pharmaceuticals, Inc.*.............................. 1,400 64,225
Lilly, (Eli) & Co. ...................................... 3,400 236,725
Merck & Co., Inc. ....................................... 3,500 371,875
Mylan Laboratories, Inc. ................................ 3,100 64,906
Pfizer, Inc. ............................................ 4,200 313,163
Schering-Plough Corp. ................................... 6,500 403,813
Watson Pharmaceuticals, Inc.*............................ 3,800 123,263
-----------
2,114,664
-----------
PRINTING & PUBLISHING -- 0.7%
Houghton Mifflin Co. .................................... 1,400 53,725
McGraw-Hill Cos., Inc. .................................. 1,500 111,000
New York Times Co. Class A............................... 1,600 105,800
Washington Post Class B.................................. 220 107,030
-----------
377,555
-----------
RESTAURANTS -- 0.4%
Bob Evans Farms, Inc. ................................... 2,200 48,675
Papa John's International, Inc.*......................... 1,900 66,263
Tricon Global Restaurants, Inc.*......................... 2,530 73,528
-----------
188,466
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
31
<PAGE> 34
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
RETAIL & MERCHANDISING -- 3.6%
Bed, Bath & Beyond, Inc.*................................ 3,700 $ 142,450
Best Buy Company, Inc.*.................................. 1,500 55,312
Cendant Corp.*........................................... 3,700 127,187
CompUSA, Inc.*........................................... 2,300 71,300
Dayton Hudson Corp. ..................................... 3,000 202,500
Home Depot, Inc. ........................................ 6,250 367,969
Jones Apparel Group, Inc.*............................... 2,100 90,300
OfficeMax, Inc.*......................................... 6,500 92,625
Payless ShoeSource, Inc.*................................ 1,400 93,975
Ross Stores, Inc. ....................................... 2,700 98,213
Safeway, Inc.*........................................... 2,200 139,150
TJX Companies, Inc. ..................................... 10,200 350,625
U.S. Office Products Co.*................................ 3,450 67,706
-----------
1,899,312
-----------
SEMI-CONDUCTORS/INSTRUMENTATION -- 2.7%
AMP, Inc. ............................................... 1,900 79,800
Applied Materials, Inc.*................................. 4,300 129,537
Dell Computer Corp.*..................................... 4,200 352,800
Harris Corp. ............................................ 3,300 151,388
KLA-Tencor Corp.*........................................ 1,200 46,350
Linear Technology Corp. ................................. 3,300 190,162
Maxim Integrated Products, Inc.*......................... 6,600 227,700
SCI Systems, Inc.*....................................... 1,400 60,987
Solectron Corp.*......................................... 2,000 83,125
Storage Technology Corp.*................................ 1,500 92,906
Teradyne, Inc.*.......................................... 900 28,800
-----------
1,443,555
-----------
TELECOMMUNICATIONS -- 1.4%
ADC Telecommunications, Inc.*............................ 2,500 104,375
Cisco Systems, Inc.*..................................... 4,350 242,512
Lucent Technologies, Inc. ............................... 2,500 199,688
Tellabs, Inc.*........................................... 3,200 169,200
3Com Corp.*.............................................. 25 873
-----------
716,648
-----------
TOBACCO -- 0.9%
Philip Morris Companies, Inc. ........................... 9,000 407,813
Universal Corp. ......................................... 1,000 41,125
-----------
448,938
-----------
TRANSPORTATION -- 0.5%
Burlington Northern Santa Fe Corp. ...................... 1,100 102,231
CNF Transportation, Inc. ................................ 1,700 65,238
Trinity Industries, Inc. ................................ 1,800 80,325
-----------
247,794
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
32
<PAGE> 35
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ----------- -----------
<S> <C> <C>
UTILITIES - ELECTRIC -- 2.6%
Boston Edison Co. ....................................... 4,200 $ 159,075
Ensco International, Inc. ............................... 3,300 110,550
FPL Group, Inc. ......................................... 6,000 355,125
GPU, Inc. ............................................... 9,300 391,763
New York State Electric & Gas Corp. ..................... 3,300 117,150
NIPSCO Industries, Inc. ................................. 2,400 118,650
Public Service Co. of New Mexico......................... 5,000 118,438
-----------
1,370,751
-----------
UTILITIES - GAS & PIPELINE -- 0.9%
Columbia Gas System, Inc. ............................... 1,900 149,269
MCN Corp. ............................................... 2,900 117,088
NICOR, Inc. ............................................. 2,200 92,813
Valero Energy Corp. ..................................... 4,200 132,038
-----------
491,208
-----------
UTILITIES - TELEPHONE -- 3.3%
Ameritech Corp. ......................................... 3,100 249,550
AT&T Corp. .............................................. 5,000 306,250
Bell Atlantic Corp. ..................................... 3,300 300,300
BellSouth Corp. ......................................... 5,300 298,456
LCI International, Inc.*................................. 5,800 178,350
Southern New England Telecommunications Corp. ........... 1,600 80,500
U.S. WEST Communications Group........................... 3,900 175,988
WorldCom, Inc.*.......................................... 5,200 157,300
-----------
1,746,694
-----------
TOTAL COMMON STOCK (COST -- $24,815,618)................... 32,055,285
-----------
INVESTMENT COMPANIES -- 8.1%
T-Rowe Price Associates, Inc. ........................... 1,800 113,175
T-Rowe Price Foreign Equity Fund......................... 131,800 2,099,574
T-Rowe Price International Equity Fund................... 152,600 2,055,522
-----------
TOTAL INVESTMENT COMPANIES (COST -- $4,260,776)............ 4,268,271
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
(000)
-----------
<S> <C> <C>
ASSET BACKED SECURITIES -- 1.1%
Consumer Portfolio Services,
6.100%, 12/15/02....................................... $ 340 339,397
First USA Credit Card Master Trust, Series 1997-6, Class
A
6.420%, 03/17/05....................................... 250 252,890
-----------
TOTAL ASSET BACKED SECURITIES (COST -- $589,105)........... 592,287
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
33
<PAGE> 36
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR MARKET
SECURITY DESCRIPTION (000) VALUE
-------------------- ----------- -----------
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS -- 1.0%
Chase Credit Card Master Trust, Series 1997-2
6.300%, 04/15/03....................................... $ 250 $ 252,432
Chase Manhattan Credit Card Master Trust, Series 1996-4
6.730%, 02/15/06....................................... 250 252,674
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(COST -- $504,516)....................................... 505,106
-----------
CORPORATE BONDS -- 12.1%
BANKS -- 1.4%
Banc One Corp.,
6.375%, 10/01/02....................................... 375 375,000
Norwest Corp.,
6.550%, 12/01/06....................................... 350 352,188
-----------
727,188
-----------
ELECTRICAL EQUIPMENT -- 1.0%
Honeywell, Inc.,
6.750%, 03/15/02....................................... 500 508,750
-----------
FINANCIAL SERVICES -- 4.4%
Bear Stearns Co.,
6.750%, 05/01/01....................................... 400 408,000
Chrysler Financial Corp.,
6.950%, 03/25/02....................................... 500 511,875
General Motors Acceptance Corp.,
6.750%, 02/07/02....................................... 500 509,375
Household Finance Corp.,
6.875%, 03/01/07....................................... 250 257,500
Household Netherlands BV,
6.125%, 03/01/03....................................... 100 98,500
International Lease Finance Corp.,
6.875%, 05/01/01....................................... 500 509,375
-----------
2,294,625
-----------
FOOD & RELATED -- 0.2%
Heinz Co.,
6.875%, 01/15/03....................................... 100 102,500
-----------
INDUSTRIAL GOODS & SERVICES -- 1.0%
Xerox Corp.,
5.545%, 07/22/37....................................... 500 500,625
-----------
PHARMACEUTICALS -- 1.0%
Smithkline Beecham Corp.,
6.625%, 10/01/01....................................... 500 509,375
-----------
RETAIL - GENERAL MERCHANDISE -- 0.9%
Sears Roebuck Acceptance Corp.,
6.150%, 11/15/05....................................... 500 500,000
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
34
<PAGE> 37
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR MARKET
SECURITY DESCRIPTION (000) VALUE
-------------------- ----------- -----------
<S> <C> <C>
TELECOMMUNICATIONS -- 0.5%
AT&T Corp.,
8.625%, 12/01/31....................................... $ 250 $ 276,250
-----------
TOBACCO -- 0.6%
Philip Morris Co., Inc.,
7.500%, 01/15/02....................................... 300 310,125
-----------
UTILITIES -- ELECTRIC -- 1.1%
Southern California Edison Note,
6.500%, 06/01/01....................................... 590 595,163
-----------
TOTAL CORPORATE BONDS (COST -- $6,222,785)................. 6,324,601
-----------
MEDIUM TERM NOTES -- 0.5%
Banc One Auto Grantor Trust, Series 97-B, Class A
6.290%, 07/20/04 (Cost -- $249,984).................... 250 250,000
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.5%
FEDERAL HOME LOAN MORTGAGE CORPORATION -- 3.3%
Federal Home Loan Mortgage Corporation
8.000%, 01/01/04....................................... 79 80,929
7.000%, 05/01/04....................................... 871 883,934
6.500%, 06/01/04....................................... 741 743,681
-----------
1,708,544
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION -- 4.8%
Federal National Mortgage Association
7.500%, 06/01/03....................................... 375 382,817
7.000%, 06/01/04....................................... 433 438,532
6.480%, 06/28/04....................................... 500 512,920
7.000%, 07/23/04....................................... 588 596,159
6.500%, 01/01/06....................................... 125 123,885
7.500%, 10/01/11....................................... 107 110,216
5.500%, 12/25/14....................................... 367 365,633
-----------
2,530,162
-----------
TENNESSEE VALLEY AUTHORITY DEBENTURES -- 0.4%
Tennessee Valley Authority Debentures, 5.980%,
04/01/36............................................... 200 200,250
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST -- $4,381,898)..................................... 4,438,956
-----------
U.S. TREASURY OBLIGATIONS -- 7.5%
U.S. TREASURY BILLS -- 1.3%
U.S. Treasury Bill
5.080%, 01/22/98....................................... 123 122,636
5.120%, 01/22/98....................................... 372 370,889
5.250%, 01/22/98....................................... 55 54,832
5.200%, 02/26/98....................................... 57 56,539
5.270%, 02/26/98....................................... 88 87,312
-----------
692,208
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
35
<PAGE> 38
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PAR MARKET
SECURITY DESCRIPTION (000) VALUE
-------------------- ----------- -----------
<S> <C> <C>
U.S. TREASURY NOTES -- 6.2%
U.S. Treasury Note
6.250%, 08/31/00....................................... $ 325 $ 329,248
6.125%, 09/30/00....................................... 400 404,016
6.375%, 09/30/01....................................... 550 561,182
6.500%, 05/15/05....................................... 1,025 1,068,040
6.875%, 05/15/06....................................... 250 267,440
6.250%, 02/15/07....................................... 100 103,153
6.625%, 02/15/07....................................... 250 264,570
6.250%, 08/15/23....................................... 250 257,285
-----------
3,254,934
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST -- $3,832,704)....... 3,947,142
-----------
TOTAL INVESTMENTS -- 99.9% (COST -- $44,857,386)(a)........ 52,381,648
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1%.............. 76,412
-----------
NET ASSETS -- 100.0%....................................... $52,458,060
===========
Percentages indicated are based on net assets of $52,458,060.
(a) Represents cost for financial reporting purposes and
differs from cost basis for federal income tax purposes
by the amount of losses recognized for financial
reporting purposes in excess of federal income tax
reporting of approximately $7,380. Cost for federal
income tax purposes differs from value by net
unrealized appreciation of securities as follows:
Unrealized appreciation................................ $7,756,650
Unrealized depreciation................................ (239,768)
----------
Net unrealized appreciation............................ $7,516,882
==========
* Non-income producing securities.
</TABLE>
- ---------------
See Notes to Financial Statements.
36
<PAGE> 39
[THIS PAGE INTENTIONALLY LEFT BLANK]
37
<PAGE> 40
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
----------- ----------- -----------
<S> <C> <C> <C>
ASSETS:
Investments in securities, at value (Cost
$36,850,408, $41,889,246, and $44,857,386,
respectively)................................. $40,263,606 $47,044,254 $52,381,648
Cash............................................ 338 1,345 4,479
Interest and dividends receivable............... 333,598 325,500 208,395
Receivable for capital shares sold.............. 12,919 29,986 29,118
Receivable for investment securities sold....... 11,171 19,567 19,581
Unamortized organization costs.................. 13,599 13,656 12,397
Prepaid expenses................................ 2,770 38,453 1,806
----------- ----------- -----------
Total Assets.................................. 40,638,001 47,472,761 52,657,424
----------- ----------- -----------
LIABILITIES:
Payable for investment securities purchased..... 10,998 17,593 13,193
Payable for capital shares redeemed............. 147,763 45,107 68,874
Management fees payable......................... 10,558 13,593 12,720
Shareholder service fees payable (A, B and K
Shares)....................................... 8,553 9,554 11,073
12b-1 fees payable (B and K Shares)............. 19,787 44,116 24,963
Transfer agent fees payable..................... 20,226 22,775 27,918
Audit fees payable.............................. 7,634 5,859 5,026
Legal fees payable.............................. 3,632 5,567 5,449
Printing fees payable........................... 10,716 10,897 7,983
Other accrued expenses.......................... 3,734 14,337 581
Dividends payable............................... 51,207 20,107 21,584
----------- ----------- -----------
Total Liabilities........................... 294,808 209,505 199,364
----------- ----------- -----------
NET ASSETS...................................... $40,343,193 $47,263,256 $52,458,060
=========== =========== ===========
Net Assets:
A Shares...................................... 9,364,671 12,021,382 12,861,549
B Shares...................................... 30,935,642 35,017,059 39,182,864
K Shares...................................... 42,880 224,815 413,647
----------- ----------- -----------
Total......................................... $40,343,193 $47,263,256 $52,458,060
=========== =========== ===========
Shares Outstanding (no par value, unlimited
shares authorized):
A Shares...................................... 803,983 980,494 974,414
B Shares...................................... 2,683,068 2,889,234 3,001,808
K Shares...................................... 3,711 18,565 31,567
----------- ----------- -----------
Total......................................... 3,490,762 3,888,293 4,007,789
=========== =========== ===========
Net Asset Value:
A Shares -- offering price per share.......... $ 11.65 $ 12.26 $ 13.20
=========== =========== ===========
B Shares -- offering price per share.......... $ 11.53 $ 12.12 $ 13.05
=========== =========== ===========
K Shares -- offering price per share.......... $ 11.55 $ 12.11 $ 13.10
=========== =========== ===========
COMPOSITION OF NET ASSETS:
Capital....................................... 36,689,539 41,674,874 44,540,100
Distribution in excess of net investment
income...................................... (48,508) (62,348) (78,473)
Accumulated net realized gains on investment
transactions................................ 288,964 495,722 472,171
Net unrealized appreciation of investments.... 3,413,198 5,155,008 7,524,262
----------- ----------- -----------
NET ASSETS, DECEMBER 31, 1997................... $40,343,193 $47,263,256 $52,458,060
=========== =========== ===========
</TABLE>
- ---------------
See Notes to Financial Statements.
38
<PAGE> 41
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Statements of Operations
For the six months ended December 31, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
----------- ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest................................ $ 833,653 $ 790,990 $ 741,639
Dividends............................... 64,100 88,862 6,962
---------- ---------- ----------
Total Income.......................... 897,753 879,852 748,601
---------- ---------- ----------
EXPENSES:
Management fees......................... 123,078 141,701 156,010
Shareholder service fees (A Shares)..... 11,440 14,545 15,398
Shareholder service fees (B Shares)..... 39,808 43,882 49,387
Shareholder service fees (K Shares)..... 34 195 253
12b-1 fees (B Shares)................... 119,422 132,574 148,075
12b-1 fees (K Shares)................... 70 408 496
Transfer agent fees..................... 34,781 45,039 51,739
Accounting fees......................... 15,109 15,109 15,109
Custodian fees.......................... 13,913 15,808 19,104
Legal fees.............................. 14,317 15,928 16,849
Audit fees.............................. 7,346 7,766 9,668
Trustees' fees and expenses............. 9,736 11,486 12,512
Registration and filing fees............ 17,434 19,421 23,868
Reports to shareholders................. 17,985 20,990 28,076
Organization costs...................... 2,576 2,576 2,208
Other expenses.......................... 2,843 3,772 3,981
---------- ---------- ----------
Total Expenses........................ 429,892 491,200 552,733
Less: Fee waivers....................... (64,933) (76,613) (94,999)
---------- ---------- ----------
Total Net Expenses.................... 364,959 414,587 457,734
---------- ---------- ----------
Net investment income................... 532,794 465,265 290,867
---------- ---------- ----------
NET REALIZED/UNREALIZED GAIN ON
INVESTMENTS:
Net realized gains on investment
transactions........................ 1,036,897 1,187,749 1,514,910
Net change in unrealized appreciation
on investments...................... 564,821 994,223 1,720,552
---------- ---------- ----------
Net realized/unrealized gains on
investments......................... 1,601,718 2,181,972 3,235,462
---------- ---------- ----------
Increase in net assets resulting from
operations.......................... $2,134,512 $2,647,237 $3,526,329
========== ========== ==========
</TABLE>
- ---------------
See Notes to Financial Statements.
39
<PAGE> 42
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1
----------------------------
SIX MONTHS
ENDED
DECEMBER 31,
1997 YEAR ENDED
(UNAUDITED) JUNE 30, 1997
------------ -------------
<S> <C> <C>
INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................................. $ 532,794 $ 1,023,828
Net realized gains on investment transactions......... 1,036,897 435,557
Net change in unrealized appreciation of
investments......................................... 564,821 2,656,028
----------- -----------
Change in net assets resulting from operations.......... 2,134,512 4,115,413
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
A Shares............................................ (303,554) (235,826)
B Shares............................................ (808,535) (585,618)
K Shares............................................ (1,368) (27)(a)
Net realized gains from investment transactions
A Shares............................................ (264,715) (32,408)
B Shares............................................ (901,456) (90,844)
K Shares............................................ (1,231) (4)(a)
----------- -----------
Change in net assets from shareholder distributions..... (2,280,859) (944,727)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued........................... 1,203,476 17,998,235
Dividends reinvested.................................. 2,229,651 891,487
Cost of shares redeemed............................... (2,952,392) (7,904,517)
----------- -----------
Change in net assets from capital share transactions.... 480,735 10,985,205
----------- -----------
Change in net assets.................................... 334,388 14,155,891
NET ASSETS:
Beginning of year..................................... 40,008,805 25,852,914
----------- -----------
End of period......................................... $40,343,193 $40,008,805
=========== ===========
</TABLE>
- ---------------
(a) Period from July 22, 1996 (inception date) to June 30, 1997.
See Notes to Financial Statements.
40
<PAGE> 43
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 2 PORTFOLIO 3
---------------------------- ----------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED
DECEMBER 31, DECEMBER 31,
1997 YEAR ENDED 1997 YEAR ENDED
(UNAUDITED) JUNE 30, 1997 (UNAUDITED) JUNE 30, 1997
------------ ------------- ------------ -------------
<S> <C> <C> <C> <C>
$ 465,265 $ 928,158 $ 290,867 $ 625,774
1,187,749 526,465 1,514,910 890,937
994,223 4,001,664 1,720,552 5,494,585
----------- ----------- ----------- -----------
2,647,237 5,456,287 3,526,329 7,011,296
----------- ----------- ----------- -----------
(303,685) (229,351) (218,313) (151,395)
(674,420) (522,814) (437,401) (377,979)
(5,391) (821)(a) (6,930) (17)(a)
(342,308) (698) (506,126) (700)
(1,014,638) (2,013) (1,567,990) (2,349)
(5,997) (3)(a) (16,999) --
----------- ----------- ----------- -----------
(2,346,439) (755,700) (2,753,759) (532,440)
----------- ----------- ----------- -----------
2,808,230 19,815,954 3,652,619 23,714,685
2,326,331 744,721 2,732,176 527,344
(3,135,458) (6,036,471) (3,063,302) (4,831,133)
----------- ----------- ----------- -----------
1,999,103 14,524,204 3,321,493 19,410,896
----------- ----------- ----------- -----------
2,299,901 19,224,791 4,094,063 25,889,752
44,963,355 25,738,564 48,363,997 22,474,245
----------- ----------- ----------- -----------
$47,263,256 $44,963,355 $52,458,060 $48,363,997
=========== =========== =========== ===========
</TABLE>
41
<PAGE> 44
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited)
December 31, 1997
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION
Time Horizon Funds (the "Company"), a Delaware business trust, is registered
under the Investment Company Act of 1940 as amended (the "Act"), as an open-end
management investment company. At December 31, 1997, the Company operated as a
series company comprised of three funds. The accompanying financial statements
and notes are those of 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 has A
Shares, B Shares, and effective July 22, 1996, began offering K Shares. A
Shares, B Shares and K Shares have a Shareholder Service Plan. In addition B
Shares have a Distribution Service Plan, and K Shares have a Distribution and
Administrative Services Plan and an Administrative Services Plan.
The three classes vary in types of sales loads. A Shares are offered at net
asset value without a sales load effective June 16, 1997, and are subject to a
shareholder servicing fee. Prior to June 16, 1997, A Shares were offered at net
asset value plus a 4.50% sales charge. B Shares were offered at net asset value
but are subject to a contingent deferred sales charge consistent with the Funds'
prospectus. In addition, B Shares pay ongoing distribution fees and shareholder
servicing fees. B Shares will convert to A Shares on the first business day of
the month following the sixth anniversary of the date of purchase. K Shares are
offered at net asset value without an initial sales charge or a contingent
deferred sales charge, but are subject to distribution or administrative
services fees and shareholder servicing fees. 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
increasingly emphasizing capital preservation as each Fund approaches its target
time horizon as described in the prospectus. The Funds invest primarily in
equity and fixed income securities.
Bank of America National Trust and Savings Association ("Bank of America"),
a subsidiary of Bank-America Corporation, serves as the
Continued
42
<PAGE> 45
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1997
- --------------------------------------------------------------------------------
Funds' Manager, providing investment advisory and administrative services. The
BISYS Fund Services Ohio, Inc. ("BISYS"), served as the Funds' sub-
administrator and fund accountant through September 15, 1997. Concord Financial
Group, Inc. (the "Distributor"), an indirect, wholly-owned subsidiary of BISYS
served as the distributor of the Funds' shares through September 15, 1997. BISYS
also served as transfer agent and dividend disbursing agent of the Funds through
October 24, 1997.
CHANGE IN SUB-ADMINISTRATOR
Effective September 15, 1997, Bank of America entered into an agreement with
PFPC Inc. ("PFPC"), an indirect wholly-owned subsidiary of PNC Bank Corp.,
pursuant to which PFPC has agreed to provide certain sub-administration services
to the Funds, including, among other things, assisting in the developing and
monitoring of compliance procedures, participating in periodic updating of the
Funds' prospectuses and statements of additional information, providing periodic
reports to the Company's Board and providing certain record-keeping services.
Bank of America will bear all fees and expenses charged by PFPC for such
services.
Furthermore, pursuant to authority granted in the Management Agreement, Bank
of America has entered into a Sub-Administration Agreement with PFPC under which
PFPC has agreed to provide certain accounting, bookkeeping, pricing and dividend
and distribution calculation services for the Funds. The Funds bear all fees and
expenses charged by PFPC for these services.
CHANGE IN DISTRIBUTOR
Effective September 15, 1997, Provident Distributors, Inc. ("PDI"), serves
as principal underwriter and distributor of shares of the funds.
CHANGE IN TRANSFER AGENT
Effective October 24, 1997, PFPC serves as the Funds' transfer agent and
dividend disbursing agent.
Continued
43
<PAGE> 46
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1997
- --------------------------------------------------------------------------------
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by
the Funds in the preparation of their 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 the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates.
PORTFOLIO VALUATIONS:
The Funds value portfolio securities (other than debt securities with
remaining maturities of 60 days or less) at last reported sales price on the
securities exchange on which such securities are primarily traded or at the last
sales price on the NASDAQ National Securities Market. Securities not listed on
an exchange or the NASDAQ National Securities Market or securities for which
there were no transactions are valued at the last current bid quotation if
market quotations are available. The Funds may also use an independent pricing
service, approved by the Board of Trustees, to value certain securities. Such
prices reflect market values which may be established through the use of
electronic data processing techniques and matrix systems. Restricted securities
and securities for which market quotations are not readily available, if any,
are valued at fair value using methods approved by the Board of Trustees. Debt
securities with remaining maturities of 60 days or less are valued at amortized
cost which approximates market value.
SECURITIES TRANSACTIONS AND RELATED INCOME:
The Funds record security transactions on a trade date basis. Interest
income, including accretion of discount and amortization of premium, is accrued
daily. Dividend income is recognized on the ex-dividend date. Realized gains and
losses from security transactions are recorded on an identified cost basis.
EXPENSES:
The Company accounts separately for the assets, liabilities and operations
of each fund. Direct expenses of a fund are charged to the fund while general
Company expenses are allocated pro-rata among the Company's respective
portfolios.
Continued
44
<PAGE> 47
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1997
- --------------------------------------------------------------------------------
The investment income and expenses of a fund (other than class specific
expenses) and realized and unrealized gains and losses on investments of a fund
are allocated to each class of shares based upon their relative net asset value
on the date income is earned or expenses and realized and unrealized gains and
losses are incurred.
The Funds incurred certain costs in connection with its organization. Such
costs have been deferred and are being amortized on a straight line basis over
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 number of said shares being redeemed bears to the number that
are outstanding at the time of the redemption.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
The Funds' net investment income is declared and paid as a dividend annually
to shareholders of record at the close of business on record date. Net realized
gains on portfolio securities, if any, are distributed at least annually.
However, to the extent that net realized gains of the Funds can be offset by
capital loss carryovers of the Funds, such gains will not be distributed.
Dividends and distributions are recorded by the Funds on the ex-dividend date.
The amount of dividends from net investment income and of distributions from
net realized gains are determined in accordance with federal income tax
regulations which may differ from generally accepted accounting principles.
These "book/tax" differences are either considered temporary or permanent in
nature. To the extent these differences are permanent in nature, such amounts
are reclassified within the composition of net assets based on their federal
tax-basis treatment; temporary differences do not require reclassification.
Dividends and distributions to shareholders which exceed net investment income
and net realized capital gains for financial reporting purposes, but not for tax
purposes, are reported as dividends in excess of net investment income or
distributions in excess of net realized gains. To the extent they exceed net
investment income and net realized gains for tax purposes, they are reported as
distributions of capital.
Continued
45
<PAGE> 48
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1997
- --------------------------------------------------------------------------------
As of June 30, 1997, the following reclassifications have been made to
increase (decrease) such accounts with offsetting adjustments made to paid-in
capital:
<TABLE>
<CAPTION>
ACCUMULATED ACCUMULATED
UNDISTRIBUTED NET REALIZED
NET INVESTMENT GAIN/(LOSS) ON
INCOME/(LOSS) INVESTMENTS
-------------- --------------
<S> <C> <C>
Portfolio 1.......... $ 303 $(303)
Portfolio 2.......... 208 (208)
Portfolio 3.......... (676) 676
</TABLE>
FEDERAL INCOME TAXES:
It is the Funds' policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute
timely all of its net investment company taxable income and net capital gains to
shareholders. Therefore, no federal income tax provision is required.
FUTURES:
The Funds may enter into futures contracts. A futures contract is an
agreement to purchase or sell a specified quantity of an underlying instrument
at a specified future date, or to make or receive a cash payment based on the
value of a securities index. During the period the futures contract is open,
changes in the value of the contract are recognized as unrealized gains or
losses by "marking to market" such contract at the end of each day's trading.
Such unrealized gains and losses are included in the caption "Net unrealized
appreciation on investment transactions and futures contracts" in the Statement
of Assets and Liabilities. The Funds agree to receive from or pay to the broker
an amount of cash equal to the daily fluctuation in the value of the contract,
such as receipts or payments, are known as "variation margin" and are included
as a payable or receivable in the Statement of Assets and Liabilities. When the
futures contract is closed, the Funds record a realized gain or loss equal to
the difference between the proceeds from (or cost of) the closing transaction
and the Funds' basis in the contract. Such gains or losses are included in the
caption "Accumulated net realized gain on investment transactions and futures
contracts" in the Statement of Assets and Liabilities.
The use of futures contracts involves, to varying degrees, elements of
market risk. Risks arise from the possible imperfect correlation in movements in
the price of futures contracts, interest rates and the underlying hedged assets,
and the possible inability of counterparties to meet the terms of their
contracts. However, the Funds' activities in futures con-
Continued
46
<PAGE> 49
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1997
- --------------------------------------------------------------------------------
tracts are conducted through regulated exchanges which minimize counterparty
credit risks.
REPURCHASE AGREEMENTS:
The Funds may acquire repurchase agreements from financial institutions,
such as banks and broker dealers, which Bank of America deems creditworthy under
guidelines approved by the Board of Trustees, subject to the seller's agreement
to repurchase such securities at a mutually agreed-upon date and price.
The Funds' custodian and other banks acting in a sub-custodian capacity take
possession of the collateral pledged for investments in repurchase agreements.
The underlying collateral is valued daily on a mark-to-market basis to determine
that the value, including accrued interest, exceeds the repurchase price. In the
event of the seller's default of the obligation to repurchase, the Funds have
the right to liquidate the collateral and apply the proceeds in satisfaction of
the obligation. Under certain circumstances, in the event of default or
bankruptcy by the other party to the agreement, realization and/or retention of
the collateral may be subject to legal proceedings.
NOTE 3 -- AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Bank of America serves as the Funds' Manager, providing investment advisory
and administrative services. Under the terms of the Management Agreement with
the Company, Bank of America is entitled to receive fees from the Funds, which
is accrued daily and payable monthly, at an annual rate of 0.60% of the Funds'
average daily net assets.
Pursuant to the authority granted in its Management Agreement, Bank of
America entered into a Sub-Administration Agreement with PFPC beginning
September 15, 1997, under which PFPC will perform certain services of the
Management Agreement. Prior to September 15, 1997 BISYS served as the sub-
administrator of the Funds'.
Effective September 15, 1997, PFPC 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:
0.03% of average net assets up to $250 million; 0.025% of average net assets
between $250 million and $500 million; and 0.02% of average net assets greater
than $500 million. Prior to September 15, 1997
Continued
47
<PAGE> 50
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1997
- --------------------------------------------------------------------------------
BISYS served as fund accountant and transfer and dividend disbursing agent.
In its capacity as transfer agent and dividend disbursing agent, PFPC earned
$13,110, $17,043, and $19,665 from Portfolio 1, Portfolio 2 and Portfolio 3,
respectively, for the period October 24, 1997 through December 31, 1997. BISYS
earned $21,671, $27,996 and $32,074 from Portfolio 1, Portfolio 2 and Portfolio
3, respectively, for the period July 1, 1997 through October 24, 1997, in its
capacity as transfer agent and dividend disbursing agent.
The Company has adopted a Shareholder Service Plan for A Shares, B Shares,
and K Shares, under which the Funds reimburse the Distributor and Service
Organizations, as defined in the prospectus, for shareholder servicing fees
incurred by each respective Class. Under the Shareholder Service Plan, payments
by the Funds for shareholder servicing expenses may not exceed an annual rate of
0.25% of the Funds' average daily net assets. For the period ended December 31,
1997, the Funds were advised that the Distributor (Concord Financial Group,
Inc.) retained $1,176, $999 and $332, pursuant to the Shareholder Services Plan
for Portfolio 1, Portfolio 2, and Portfolio 3, respectively. For the same
period, Bank of America and its affiliates earned the following amounts pursuant
to the Shareholder Services Plan:
<TABLE>
<CAPTION>
BANK OF AMERICA
FUND AND AFFILIATES
---- ---------------
<S> <C>
Portfolio 1.......... $47,195
Portfolio 2.......... 56,083
Portfolio 3.......... 62,792
</TABLE>
The Company has also adopted a Distribution Service Plan pursuant to Rule
12b-1 under the Act, under which the B Shares of each Fund compensate the
Distributor for services rendered and costs incurred in connection with
distribution of the B Shares. Under the Distribution Service Plan, payments by
the B Shares of a Fund for distribution expenses incurred may not exceed the
annual rate of 0.75% of the average daily net assets of the Fund attributable to
the B Shares. For the period ended December 31, 1997, the Funds were advised
that the Distributor (Concord Financial Group, Inc.) retained $68 and $8 for
Portfolio 1 and Portfolio 2, respectively. For the same period, the Funds were
advised that Bank of America and its affiliates earned the
Continued
48
<PAGE> 51
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1997
- --------------------------------------------------------------------------------
following amounts pursuant to the Distribution Service Plan:
<TABLE>
<CAPTION>
BANK OF AMERICA
FUND AND AFFILIATES
---- ---------------
<S> <C>
Portfolio 1.......... $119,030
Portfolio 2.......... 131,255
Portfolio 3.......... 145,712
</TABLE>
The Company has adopted two forms of plans for K Shares pursuant to Rule
12b-1 under the Act: an Administrative Services Plan under which the 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 K Shares of the
Funds may compensate the Distributor for distribution and administrative
services rendered and costs incurred in connection with distribution of the 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.
For the period ended December 31, 1997, Portfolio 1, Portfolio 2 and
Portfolio 3 incurred legal charges totaling $14,317, $15,928 and $16,849,
respectively, which were earned by a law firm, a partner of which serves as
Assistant Secretary of the Company.
Certain officers of the Company are affiliated with PFPC. Such persons are
not paid directly by the Company for serving in those capacities.
Bank of America and/or the Distributor have agreed to voluntarily waive
their fees and/or reimburse operating expenses to ensure that the total
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. Bank of America retains the right to terminate
this arrangement at any time.
Continued
49
<PAGE> 52
- --------------------------------------------------------------------------------
Notes to Financial Statements (Unaudited), Continued
December 31, 1997
- --------------------------------------------------------------------------------
Information regarding related party transactions is as follows for the
period ended December 31, 1997:
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
----------- ----------- -----------
<S> <C> <C> <C>
MANAGEMENT FEES:
Annual fee before waivers (Percentage of
average net assets)...................... .60% .60% .60%
Waivers.................................... $64,933 $76,613 $94,999
12B-1 FEES:
(Percentage of average net assets)
(Class B).............................. .75% .75% .75%
(Percentage of average net assets)
(Class K).............................. .50% .50% .50%
SHAREHOLDER SERVICES FEES:
(Percentage of average net assets)....... .25% .25% .25%
FUND ACCOUNTING FEES:...................... $15,109 $15,109 $15,109
TRANSFER AGENT FEES:....................... $34,781 $45,039 $51,739
</TABLE>
NOTE 4 -- SECURITIES TRANSACTIONS
For the period ended December 31, 1997, the cost of purchases and the
proceeds from sales of Portfolio 1, Portfolio 2, and Portfolio 3 Fund's
securities (excluding short-term investments) amounted to:
<TABLE>
<CAPTION>
PURCHASES SALES
----------- -----------
<S> <C> <C>
Portfolio 1.......... $13,337,055 $12,408,618
Portfolio 2.......... 13,659,336 14,103,916
Portfolio 3.......... 14,766,032 14,245,694
</TABLE>
\
50
<PAGE> 53
TIME HORIZON -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FOR THE
DECEMBER 31, YEAR ENDED PERIOD ENDED
1997 (UNAUDITED) JUNE 30, 1997 JUNE 30, 1996(a)
---------------- ------------- ----------------
<S> <C> <C> <C>
A SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD................................. $ 11.67 $ 10.65 $ 10.04(d)
------- ------- -------
Income from Investment Operations:
Net investment income.................. 0.22 .0.38 0.22
Net realized and unrealized gains on
investments transactions............. 0.50 0.99 0.45
------- ------- -------
Total income from investment
operations............................. 0.72 1.37 0.67
------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income.................... (0.39) (0.31) (0.06)
Distributions to shareholders from net
realized gains on investment
transactions......................... (0.35) (0.04) --
------- ------- -------
Total Dividends and Distributions........ (0.74) (0.35) (0.06)
------- ------- -------
Net change in net asset value per
share.................................. (0.02) 1.02 0.61
------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD................................. $ 11.65 $ 11.67 $ 10.65
======= ======= =======
Total Return............................. 6.22%(b) 13.13% 6.68%(b)
Ratios/Supplemental Data:
Net assets at end of year (000)........ $ 9,365 $ 8,384 $ 7,172
Ratio of expenses to average net
assets............................... 1.20%(c) 0.99% 0.49%(c)
Ratio of net investment income to
average net assets................... 3.20%(c) 3.62% 3.96%(c)
Ratio of expenses to average net
assets*.............................. 1.52%(c) 1.67% 2.95%(c)
Ratio of net investment income to
average net assets*.................. 2.88%(c) 2.94% 1.50%(c)
Portfolio turnover rate**.............. 32% 73% 72%
Average commission rate paid(e)........ $0.0506 $0.0521 $0.0652
</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 September 5, 1995 (inception date) to June 30, 1996.
(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.
51
<PAGE> 54
TIME HORIZON -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FOR THE
DECEMBER 31, YEAR ENDED PERIOD ENDED
1997 (UNAUDITED) JUNE 30, 1997 JUNE 30, 1996(a)
---------------- ------------- ----------------
<S> <C> <C> <C>
B SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD................................. $ 11.60 $ 10.60 $ 10.04(d)
------- ------- -------
Income from Investment Operations:
Net investment income.................. 0.14 0.26 0.18
Net realized and unrealized gains on
investments transactions............. 0.45 1.03 0.43
------- ------- -------
Total income from investment
operations............................. 0.59 1.29 0.61
------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income.................... (0.31) (0.25) (0.05)
Distributions to shareholders from net
realized gains on investment
transactions......................... (0.35) (0.04) --
------- ------- -------
Total Dividends and Distributions........ (0.66) (0.29) (0.05)
------- ------- -------
Net change in net asset value per
share.................................. (0.07) 1.00 0.56
------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD................................. $ 11.53 $ 11.60 $ 10.60
======= ======= =======
Total Return (excludes sales charge)..... 5.12%(b) 12.36% 6.09%(b)
Ratios/Supplemental Data:
Net assets at end of year (000)........ $30,935 $31,609 $18,681
Ratio of expenses to average net
assets............................... 1.95%(c) 1.77% 1.29%(c)
Ratio of net investment income to
average net assets................... 2.45%(c) 2.85% 3.16%(c)
Ratio of expenses to average net
assets*.............................. 2.27%(c) 2.43% 3.65%(c)
Ratio of net investment income to
average net assets*.................. 2.13%(c) 2.19% 0.80%(c)
Portfolio turnover rate**.............. 32% 73% 72%
Average commission rate paid(e)........ $0.0506 $0.0521 $0.0652
</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 September 5, 1995 (inception date) to June 30, 1996.
(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.
52
<PAGE> 55
TIME HORIZON -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE
DECEMBER 31, PERIOD ENDED
1997 (UNAUDITED) JUNE 30, 1997(a)
---------------- ----------------
<S> <C> <C>
K SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD....... $ 11.61 $ 10.41
------- -------
Income from Investment Operations:
Net investment income.............................. 0.07 0.36
Net realized and unrealized gains on investments
transactions..................................... 0.60 1.16
------- -------
Total income from investment operations.............. 0.67 1.52
------- -------
Less Dividends and Distributions:
Dividends to shareholders from net investment
income........................................... (0.38) (0.28)
Distributions to shareholders from net realized
gains on investment transactions................. (0.35) (0.04)
------- -------
Total Dividends and Distributions.................... (0.73) (0.32)
------- -------
Net change in net asset value per share.............. (0.06) 1.20
------- -------
NET ASSET VALUE PER SHARE, END OF PERIOD............. $ 11.55 $ 11.61
======= =======
Total Return......................................... 5.83%(b) 14.78%(b)
Ratios/Supplemental Data:
Net assets at end of year (000).................... $ 43 $ 16
Ratio of expenses to average net assets............ 1.70%(c) 1.60%(c)
Ratio of net investment income to average net
assets........................................... 1.74%(c) 2.98%(c)
Ratio of expenses to average net assets*........... 2.03%(c) 2.19%(c)
Ratio of net investment income to average
net assets*...................................... 1.41%(c) 2.39%(c)
Portfolio turnover rate**.......................... 32% 73%
Average commission rate paid(d).................... $0.0506 $0.0521
</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 July 22, 1996 (inception date) to June 30, 1997.
(b) Not annualized.
(c) Annualized.
(d) 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.
53
<PAGE> 56
TIME HORIZON -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FOR THE
DECEMBER 31, YEAR ENDED PERIOD ENDED
1997 (UNAUDITED) JUNE 30, 1997 JUNE 30, 1996(a)
---------------- ------------- ----------------
<S> <C> <C> <C>
A SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD................................. $ 12.15 $ 10.73 $ 10.04(d)
------- ------- -------
Income from Investment Operations:
Net investment income.................. 0.20 0.31 0.21
Net realized and unrealized gains on
investments transactions............. 0.60 1.39 0.54
------- ------- -------
Total income from investment
operations............................. 0.80 1.70 0.75
------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income.................... (0.32) (0.28) (0.06)
Distributions to shareholders from net
realized gains on investment
transactions......................... (0.37) -- --
------- ------- -------
Total Dividends and Distributions........ (0.69) (0.28) (0.06)
------- ------- -------
Net change in net asset value per
share.................................. 0.11 1.42 0.69
------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD................................. $ 12.26 $ 12.15 $ 10.73
======= ======= =======
Total Return............................. 6.60%(b) 16.05% 7.48%(b)
Ratios/Supplemental Data:
Net assets at end of year (000)........ $12,021 $10,899 $ 7,389
Ratio of expenses to average net
assets............................... 1.20%(c) 0.99% 0.50%(c)
Ratio of net investment income to
average net assets................... 2.55%(c) 3.14% 3.72%(c)
Ratio of expenses to average net
assets*.............................. 1.53%(c) 1.63% 3.12%(c)
Ratio of net investment income to
average net assets*.................. 2.22%(c) 2.50% 1.10%(c)
Portfolio turnover rate**.............. 32% 78% 72%
Average commission rate paid(e)........ $0.0545 $0.0519 $0.0592
</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 September 5, 1995 (inception date) to June 30, 1996.
(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.
54
<PAGE> 57
TIME HORIZON -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FOR THE
DECEMBER 31, YEAR ENDED PERIOD ENDED
1997 (UNAUDITED) JUNE 30, 1997 JUNE 30, 1996(a)
---------------- ------------- ----------------
<S> <C> <C> <C>
B SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD................................. $ 12.05 $ 10.68 $ 10.04(d)
------- ------- -------
Income from Investment Operations:
Net investment income.................. 0.09 0.22 0.15
Net realized and unrealized gains on
investments transactions............. 0.59 1.37 0.54
------- ------- -------
Total income from investment
operations............................. 0.68 1.59 0.69
------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income.................... (0.24) (0.22) (0.05)
Distributions to shareholders from net
realized gains on investment
transactions......................... (0.37) -- --
------- ------- -------
Total Dividends and Distributions........ (0.61) (0.22) (0.05)
------- ------- -------
Net change in net asset value per
share.................................. 0.07 1.37 0.64
------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD................................. $ 12.12 $ 12.05 $ 10.68
======= ======= =======
Total Return............................. 5.64%(b) 15.04% 6.88%(b)
Ratios/Supplemental Data:
Net assets at end of year (000)........ $35,017 $33,965 $18,350
Ratio of expenses to average net
assets............................... 1.95%(c) 1.77% 1.32%(c)
Ratio of net investment income to
average net assets................... 1.80%(c) 2.37% 2.92%(c)
Ratio of expenses to average net
assets*.............................. 2.27%(c) 2.39% 3.87%(c)
Ratio of net investment income to
average net assets*.................. 1.48%(c) 1.75% 0.37%(c)
Portfolio turnover rate**.............. 32% 78% 72%
Average commission rate paid(e)........ $0.0545 $0.0519 $0.0592
</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 September 5, 1995 (inception date) to June 30, 1996.
(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.
55
<PAGE> 58
TIME HORIZON -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE
DECEMBER 31, PERIOD ENDED
1997 (UNAUDITED) JUNE 30, 1997(a)
---------------- ----------------
<S> <C> <C>
K SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD....... $ 12.03 $ 10.39
------- -------
Income from Investment Operations:
Net investment income.............................. 0.12 0.29
Net realized and unrealized gains on investments
transactions..................................... 0.63 1.61
------- -------
Total income from investment operations.............. 0.75 1.90
------- -------
Less Dividends and Distributions:
Dividends to shareholders from net investment
income........................................... (0.30) (0.26)
Distributions to shareholders from net realized
gains on investment transactions................. (0.37) --
------- -------
Total Dividends and Distributions.................... (0.67) (0.26)
------- -------
Net change in net asset value per share.............. 0.08 1.64
------- -------
NET ASSET VALUE PER SHARE, END OF PERIOD............. $ 12.11 $ 12.03
======= =======
Total Return......................................... 6.25%(b) 18.49%(b)
Ratios/Supplemental Data:
Net assets at end of year (000).................... $ 225 $ 100
Ratio of expenses to average net assets............ 1.70%(c) 1.59%(c)
Ratio of net investment income to average net
assets........................................... 2.05%(c) 2.50%(c)
Ratio of expenses to average net assets*........... 2.03%(c) 2.20%(c)
Ratio of net investment income to average net
assets*.......................................... 1.72%(c) 1.89%(c)
Portfolio turnover rate**.......................... 32% 78%
Average commission rate paid(d).................... $0.0545 $0.0519
</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 July 22, 1996 (inception date) to June 30, 1997.
(b) Not annualized.
(c) Annualized.
(d) 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
TIME HORIZON -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FOR THE
DECEMBER 31, YEAR ENDED PERIOD ENDED
1997 (UNAUDITED) JUNE 30, 1997 JUNE 30, 1996(a)
---------------- ------------- ----------------
<S> <C> <C> <C>
A SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD................................. $ 12.95 $ 10.94 $ 10.04(d)
------- ------- -------
Income from Investment Operations:
Net investment income.................. 0.16 0.23 0.18
Net realized and unrealized gains on
investments transactions............. 0.87 2.00 0.77
------- ------- -------
Total income from investment
operations............................. 1.03 2.23 0.95
------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income.................... (0.23) (0.22) (0.05)
Distributions to shareholders from net
realized gains on investment
transactions......................... (0.55) -- --
------- ------- -------
Total Dividends and Distributions........ (0.78) (0.22) (0.05)
------- ------- -------
Net change in net asset value per
share.................................. 0.25 2.01 0.90
------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD................................. $ 13.20 $ 12.95 $ 10.94
======= ======= =======
Total Return............................. 8.01%(b) 20.62% 9.46%(b)
Ratios/Supplemental Data:
Net assets at end of year (000)........ $12,861 $10,483 $ 6,033
Ratio of expenses to average net
assets............................... 1.20%(c) 0.99% 0.51%(c)
Ratio of net investment income to
average net assets................... 1.70%(c) 2.38% 3.29%(c)
Ratio of expenses to average net
assets*.............................. 1.57%(c) 1.66% 3.32%(c)
Ratio of net investment income to
average net assets*.................. 1.33%(c) 1.71% 0.48%(c)
Portfolio turnover rate**.............. 30% 84% 66%
Average commission rate paid(e)........ $0.0568 $0.0484 $0.0584
</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 September 5, 1995 (inception date) to June 30, 1996.
(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.
57
<PAGE> 60
TIME HORIZON -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FOR THE
DECEMBER 31, YEAR ENDED PERIOD ENDED
1997 (UNAUDITED) JUNE 30, 1997 June 30, 1996(a)
---------------- ------------- ----------------
<S> <C> <C> <C>
B SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD................................. $ 12.86 $ 10.90 $ 10.04(d)
------- ------- -------
Income from Investment Operations:
Net investment income.................. 0.04 0.14 0.12
Net realized and unrealized gains on
investments transactions............. 0.85 1.98 0.78
------- ------- -------
Total income from investment
operations............................. 0.89 2.12 0.90
------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income.................... (0.15) (0.16) (0.04)
Distributions to shareholders from net
realized gains on investment
transactions......................... (0.55) -- --
------- ------- -------
Total Dividends and Distributions........ (0.70) (0.16) (0.04)
------- ------- -------
Net change in net asset value per
share.................................. 0.19 1.96 0.86
------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD................................. $ 13.05 $ 12.86 $ 10.90
======= ======= =======
Total Return............................. 6.95%(b) 19.66% 8.98%(b)
Ratios/Supplemental Data:
Net assets at end of year (000)........ $39,183 $37,787 $16,441
Ratio of expenses to average net
assets............................... 1.95%(c) 1.76% 1.34%(c)
Ratio of net investment income to
average net assets................... 0.95%(c) 1.59% 2.47%(c)
Ratio of expenses to average net
assets*.............................. 2.32%(c) 2.40% 4.08%(c)
Ratio of net investment income to
average net assets*.................. 0.58%(c) 0.95% (0.27%)(c)
Portfolio turnover rate**.............. 30% 84% 66%
Average commission rate paid(e)........ $0.0568 $0.0484 $0.0584
</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 September 5, 1995 (inception date) to June 30, 1996.
(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
TIME HORIZON -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
DECEMBER 31, FOR THE PERIOD
1997 (UNAUDITED) June 30, 1997(a)
---------------- ----------------
<S> <C> <C>
K SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD....... $ 12.89 $ 10.48
------- -------
Income from Investment Operations:
Net investment income (loss)....................... (0.05) 0.25
Net realized and unrealized gains on investments
transactions..................................... 1.03 2.34
------- -------
Total income from investment operations.............. 0.98 2.59
------- -------
Less Dividends and Distributions:
Dividends to shareholders from net investment
income........................................... (0.22) (0.18)
Distributions to shareholders from net realized
gains on investment transactions................. (0.55) --
------- -------
Total Dividends and Distributions.................... (0.77) (0.18)
------- -------
Net change in net asset value per share.............. 0.21 2.41
------- -------
NET ASSET VALUE PER SHARE, END OF PERIOD............. $ 13.10 $ 12.89
======= =======
Total Return......................................... 7.70%(b) 24.94%(b)
Ratios/Supplemental Data:
Net assets at end of year (000).................... $ 414 $ 94
Ratio of expenses to average net assets............ 1.70%(c) 1.59%(c)
Ratio of net investment income to average net
assets........................................... 0.54%(c) 1.53%(c)
Ratio of expenses to average net assets*........... 2.06%(c) 2.11%(c)
Ratio of net investment income to average net
assets*.......................................... 0.18%(c) 1.01%(c)
Portfolio turnover rate**.......................... 30% 84%
Average commission rate paid(d).................... $0.0568 $0.0484
</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 September 5, 1995 (inception date) to June 30, 1996.
(b) Not annualized.
(c) Annualized.
(d) 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.
59
<PAGE> 62
Time Horizon Funds
103 Bellevue Parkway
Wilmington, DE 19809
TMH-0071
