<PAGE> 1
TIME HORIZON FUNDS
--------------------
PORTFOLIO 1
PORTFOLIO 2
PORTFOLIO 3
SEMI-ANNUAL REPORT
DECEMBER 31, 1998
[TIME HORIZON FUNDS LOGO]
NOT FDIC INSURED
<PAGE> 2
TIME HORIZON FUNDS
103 Bellevue Parkway, Wilmington, DE 19809
1-800-247-9728
<TABLE>
<S> <C>
INVESTMENT ADVISER INDEPENDENT ACCOUNTANTS
Bank of America National Trust and PricewaterhouseCoopers LLP
Savings Association 1177 Avenue of the Americas
555 California Street New York, NY 10036
San Francisco, CA 94104
ADMINISTRATOR FUND COUNSEL
Bank of America National Trust and Vedder, Price, Kaufman
Savings Association & Kammholz
555 California Street 222 N. LaSalle Street
San Francisco, CA 94104 Chicago, IL 60601
DISTRIBUTOR
Provident Distributors, Inc.
Four Falls Corporate Center
6th Floor
W. Conshohocken, PA 19428
</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 distributed by Provident Distributors, Inc., which is
unaffiliated with Bank of America. Bank of America serves as investment adviser
and administrator 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.
<TABLE>
<S> <C>
- ---------------------------------------------------------------------------
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.
- ---------------------------------------------------------------------------
</TABLE>
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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 6-7
SCHEDULES OF PORTFOLIO
INVESTMENTS 8-45
STATEMENTS OF ASSETS
AND LIABILITIES 46
STATEMENTS OF OPERATIONS 47
STATEMENTS OF CHANGES
IN NET ASSETS 48-49
NOTES TO FINANCIAL STATEMENTS 50-58
FINANCIAL HIGHLIGHTS 59-67
</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.
The INTERVIEW WITH THE TIME
HORIZON FUNDS INVESTMENT
MANAGEMENT TEAM provides you with
specific information about the
Funds during the period and
general investment strategies
going forward.
[TOC, LETTER & INTERVIEW GRAPHIC]
Because a picture or chart can help clarify the text,
The TIME HORIZON FUND FACTS illustrate the most
important features of the Funds. The illustrations
represent the current asset allocation and target asset
allocation ranges for each portfolio, as well as a
brief description of the Manager's investment strategy.
In annual reports, mutual funds that are not "money
market" funds are required by the Securities and
[FUND FACTS GRAPHIC] Exchange Commission (SEC) to provide shareholders
with a comparison of a hypothetical $10,000
investment in the Fund to a benchmark index of the broader market. The
performance of the benchmark index
depicts the aggregate performance of
investments similar to those in the Fund
for the same time period. While the
benchmark index provides a general
representation of the market, there are
two reasons why it should be used only
as a guide. First, the Fund, in its
prospectus, must clearly define which
investments can be made by the Fund. The index does not necessarily have the
same limitations. Second, the index does not reflect any expenses that
GROWTH OF A $10,000 INVESTMENT
(HYPOTHETICAL -- PAST PERFORMANCE IS NOT
A GUARANTEE OF FUTURE RESULTS.)
[GROWTH CHART]
2
<PAGE> 5
accompany a real investment, such as sales charges, management fees, portfolio
transaction costs or the cash reserves required to provide daily liquidity. The
performance of the Fund must show these costs as well as any front-end or
deferred sales charges.
The financial statements summarize and describe the Funds' financial
transactions. They are broken down into four different statements, which are
illustrated below:
The SCHEDULES OF PORTFOLIO INVESTMENTS list each investment holding in the Funds
as of the date of the financial statements. Investments may be grouped by
category (by industry or security type, for example). The percentage of each
Fund's net assets represented by these groupings is also disclosed.
[PORTFOLIO INVESTMENTS TABLE]
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
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.).
[ASSETS & LIABILITIES TABLE]
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
3
<PAGE> 6
The STATEMENTS OF OPERATIONS show the amount of dividend and interest income
earned from each Fund's investments, the expenses incurred by the Funds from
their operations and any gains or losses, both realized and unrealized, by the
Funds from holding and/or selling any investments.
INCOME EARNED FROM THE FUND'S INVESTMENTS
OPERATING EXPENSES INCURRED BY THE FUND DURING
THE PERIOD
GAINS OR LOSSES REALIZED UPON THE SALE OF THE
FUND'S INVESTMENTS AND ANY CHANGE IN UNREALIZED
GAINS OR LOSSES ON FUND HOLDINGS DURING THE
PERIOD
NET CHANGE IN NET ASSETS DUE TO FUND OPERATIONS
[STATEMENT OF OPERATIONS
TABLE]
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
[STATEMENT OF CHANGES IN NET ASSETS
TABLE]
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 and the ratio of net investment income to average net assets.
4
<PAGE> 7
TIME HORIZON FUND FACTS
The Time Horizon Funds offer three asset allocation funds that target
specific investment time horizons, shown below. Each Fund seeks to provide
long-term investors maximum total return over its stated time period, while also
increasingly emphasizing capital preservation as the Fund approaches its target
time horizon.
To accomplish this, the investment management team invests in a combination
of stocks, bonds and a small amount of cash. The mix among these asset
categories will change according to current market conditions, as well as to how
close each Fund is to its target time horizon. By selecting the Time Horizon
Fund that most closely matches the expected timing of major investment goals,
such as sending a child to college, retirement or purchasing a home, you'll be
investing in a portfolio of investments that is managed with a time horizon
similar to that of your own goals. Of course, no mutual fund can guarantee that
an investor's goals will be met.
[CAPTION]
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
<S> <C> <C> <C>
TIME HORIZON 2005 2015 2025
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------
ASSET ALLOCATION(1)
(AS OF 12/31/98) [PIE CHART] [PIE CHART] [PIE CHART]
- ----------------------------------------------------------------------------------------
CURRENT ALLOCATION RANGES(2)
STOCKS 15%-45% 30%-70% 40%-100%
BONDS 55%-85% 30%-70% 0%-60%
CURRENT TARGET
ASSET ALLOCATION [PIE CHART] [PIE CHART] [PIE CHART]
- ----------------------------------------------------------------------------------------
</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 INVESTMENT ADVISER
Dear Shareholder:
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[PHOTO OF JOHNSEN]
We are pleased to share with you the semi-annual David R. Johnsen
report dated December 31, 1998, for the Time Senior Vice President
Horizon Funds. As of this date, total combined net Bank of America NT&SA
assets in the Time Horizon Funds Portfolio 1, 2 and Investment Advisors
3 were $143.5 million. Division
Mr. Johnsen plays a key
Investment returns in the Funds for the six month role in the portfolio
period ended December 31, 1998 were 5.42% for management of the Time
PORTFOLIO 1, 5.06% for PORTFOLIO 2 and -2.01% for Horizon Funds
PORTFOLIO 3. These returns were influenced more by
the stock market, especially during the last three
months of the year.
</TABLE>
The market hit its trough early in the quarter on October 7, but then recovered
quickly, as the Federal Reserve Board and other central bankers moved to ease
interest rates in a semi-coordinated manner. These moves quelled immediate
market fears of a global credit crunch and propelled the Standard & Poor's 500
Composite Stock Price Index (S&P 500)* to a 21.30% return in the fourth quarter
and 10.54% for the last six months. The Standard & Poor's MidCap 400 Index**
returned 28.19% for the quarter, and 9.64% for the last six months. The strong
MidCap returns were propelled by internet stock American Online, the largest
stock in the index, which soared to new highs (+586% for the year) and was added
to the S&P 500 as of December 31, 1998. Small Company stocks, as represented by
the Standard & Poor's SmallCap 600 Index***, bounced back 17.60% during the
quarter but ended the six months down 7.0%. International stocks represented by
the Morgan Stanley Capital International Europe, Australia, Far East Index
- ---------------
* The Standard & Poor's 500 Composite Stock Price Index is a
market-capitalization weighted index that measures the value of 400 industrial
stocks, 60 transportation and utility company stocks and 40 financial issues. It
is unmanaged and unavailable for investment.
** The Standard & Poor's MidCap 400 Index is an unmanaged,
capitalization-weighted index of 400 common stocks. It is unavailable for
investment.
*** The Standard & Poor's SmallCap 600 Index is a market-capitalization weighted
index consisting of 600 common stocks that capture the economic and industry
characteristics of small company stock performance. It is unmanaged and
unavailable for investment.
6
<PAGE> 9
(EAFE Index)+ returned 20.66% for the quarter and 3.58% for the last six months,
primarily from strong European market returns. The fixed income markets
continued down their path of steady returns as the broad fixed income market,
represented by the Lehman Brothers Aggregate Bond Index++ returned 4.83% for the
six months. The solid returns in the fixed income markets primarily are
attributable to the low inflation and moderate growth economic environment. As a
result, interest rates continue to decline.
The Funds continued to pursue their long term total return objectives through
diversified investments in four main asset classes: US stocks, foreign stocks,
bonds and cash. As of December 31, 1998, TIME HORIZON 1'S asset mix was 63%
Fixed Income, 32% Domestic Stocks, 4.7% Foreign Stocks and 0.3% Cash. TIME
HORIZON 2'S asset mix was 51% Fixed Income, 39% Domestic Stocks, 9% Foreign
Stocks and 1% Cash. TIME HORIZON 3'S asset mix was 37% Fixed Income, 55%
Domestic Stocks, 8% Foreign Stocks and 0% 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 1999 and beyond.
Sincerely,
/s/ David R. Johnsen
David R. Johnsen
- ---------------
+ The Morgan Stanley Capital International Europe, Australia, Far East Index is
an unmanaged capitalization-weighted index that tracks stocks traded in twenty
countries in Europe, Australia and the Far East. It is unavailable for
investment.
++ The Lehman Brothers Aggregate Bond Index includes treasury issues, agency
issues, corporate bond issues and mortgage-backed securities. It is unmanaged
and unavailable for investment.
7
<PAGE> 10
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMMON STOCK -- 31.1%
AEROSPACE/DEFENSE -- 0.5%
Cordant Technologies, Inc............................... 600 $ 22,500
Goodrich (B.F.) Co...................................... 400 14,350
Sundstrand Corp......................................... 600 31,125
United Technologies Corp................................ 1,200 130,500
-----------
198,475
-----------
AIRLINES -- 0.2%
Alaska Air Group, Inc.*................................. 400 17,700
AMR Corp.*.............................................. 400 23,750
UAL Corp.*.............................................. 300 17,906
-----------
59,356
-----------
APPAREL/TEXTILE -- 0.2%
Jones Apparel Group, Inc.*.............................. 1,400 30,887
Tommy Hilfiger Corp.*................................... 900 54,000
-----------
84,887
-----------
AUTOMOTIVE -- 0.5%
Arvin Industries, Inc................................... 700 29,181
Dana Corp............................................... 500 20,437
Ford Motor Co........................................... 2,000 117,375
Meritor Automotive, Inc................................. 1,200 25,425
-----------
192,418
-----------
BANKS/SAVINGS & LOANS -- 2.8%
AmSouth Bancorporation.................................. 1,250 57,031
Astoria Financial Corp.................................. 300 13,725
Banc One Corp........................................... 1,800 91,912
Bank of New York Co., Inc............................... 2,100 84,525
Chase Manhattan Corp.................................... 1,200 81,675
Citigroup, Inc.......................................... 1,050 51,975
City National Corp...................................... 1,400 58,275
Dime Bancorp, Inc....................................... 1,700 44,944
First Union Corp........................................ 2,200 133,787
Fleet Financial Group, Inc.............................. 2,900 129,594
Mellon Bank Corp........................................ 1,300 89,375
National City Corp...................................... 500 36,250
North Fork Bancorporation, Inc.......................... 2,400 57,450
Old Kent Financial Corp................................. 1,640 76,260
Wells Fargo Co.......................................... 2,000 79,875
-----------
1,086,653
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
8
<PAGE> 11
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
BEVERAGES -- 0.7%
Anheuser-Busch Cos., Inc................................ 1,200 $ 78,750
Coca-Cola Co............................................ 1,600 107,000
Coca-Cola Enterprises, Inc.............................. 600 21,450
Coors, (Adolph) Co., Class B............................ 300 16,931
PepsiCo, Inc............................................ 700 28,656
-----------
252,787
-----------
BUILDING RELATED/APPLIANCE -- 0.4%
Centex Corp............................................. 800 36,050
Miller (Herman), Inc.................................... 1,000 26,875
Mohawk Industries, Inc.*................................ 500 21,031
Shaw Industries, Inc.................................... 1,200 29,100
Southdown, Inc.......................................... 500 29,594
USG Corp................................................ 300 15,281
-----------
157,931
-----------
CHEMICALS -- 0.6%
Air Products & Chemicals, Inc........................... 1,200 48,000
Crompton & Knowles Corp................................. 1,200 24,825
Dow Chemical Co......................................... 700 63,656
Du Pont, (E.I.) de Nemours & Co......................... 600 31,837
Ecolab, Inc............................................. 600 21,712
Schulman (A.), Inc...................................... 500 11,344
Solutia, Inc............................................ 2,200 49,225
-----------
250,599
-----------
COMMERCIAL SERVICES -- 0.4%
ACNielsen Corp.*........................................ 1,200 33,900
Fluor Corp.............................................. 800 34,050
Galileo International, Inc.............................. 300 13,050
Omnicom Group........................................... 600 34,800
Robert Half International, Inc.*........................ 800 35,750
-----------
151,550
-----------
COMMUNICATIONS -- 1.1%
American Power Conversion Corp.*........................ 1,100 53,281
Cisco Systems, Inc.*.................................... 1,650 153,141
Lucent Technologies, Inc................................ 1,400 154,000
Tellabs, Inc.*.......................................... 800 54,850
-----------
415,272
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
9
<PAGE> 12
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMPUTER HARDWARE -- 2.0%
Dell Computer Corp.*.................................... 2,600 $ 190,287
EMC Corp.*.............................................. 2,500 212,500
International Business Machines Corp.................... 400 73,900
Lexmark International Group, Inc.*...................... 800 80,400
NCR Corp.*.............................................. 800 33,400
Solectron Corp.*........................................ 500 46,469
Storage Technology Corp.*............................... 600 21,337
Sun Microsystems, Inc.*................................. 1,000 85,625
Symbol Technologies, Inc................................ 750 47,953
-----------
791,871
-----------
COMPUTER SERVICES & SOFTWARE -- 1.9%
BMC Software, Inc.*..................................... 400 17,825
Citrix Systems, Inc. *.................................. 400 38,825
Computer Associates International, Inc.................. 500 21,312
Compuware Corp.*........................................ 1,100 85,937
Electronic Arts, Inc.*.................................. 400 22,450
HBO & Co................................................ 1,200 34,425
Keane, Inc.*............................................ 600 23,962
Microsoft Corp.*........................................ 2,500 346,719
Network Associates, Inc.*............................... 950 62,937
Oracle Corp.*........................................... 1,500 64,687
Rational Software Corp.*................................ 600 15,900
-----------
734,979
-----------
COSMETICS & TOILETRIES -- 0.9%
Avon Products, Inc...................................... 1,400 61,950
Clorox Co............................................... 400 46,725
Dial Corp............................................... 1,500 43,312
Kimberly-Clark Corp..................................... 800 43,600
Procter & Gamble Co..................................... 1,600 146,100
-----------
341,687
-----------
ELECTRICAL EQUIPMENT -- 0.9%
General Electric Co..................................... 2,800 285,775
PECO Energy Co.......................................... 1,600 66,600
-----------
352,375
-----------
ENERGY RELATED -- 0.2%
Allied Waste Industries, Inc.*.......................... 500 11,812
Tidewater, Inc.......................................... 700 16,231
Transocean Offshore, Inc................................ 2,000 53,625
-----------
81,668
-----------
</TABLE>
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See Notes to Financial Statements.
10
<PAGE> 13
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
ENTERTAINMENT -- 0.7%
Carnival Corp........................................... 1,600 $ 76,800
GTECH Holdings Corp.*................................... 700 17,937
King World Productions, Inc.*........................... 900 26,494
Time Warner, Inc........................................ 2,200 136,537
-----------
257,768
-----------
FINANCIAL SERVICES -- 0.7%
American Express Co..................................... 1,000 102,250
Countrywide Credit Industries, Inc...................... 700 35,131
Edwards (A.G.), Inc..................................... 1,000 37,250
Morgan Stanley Dean Witter Discover & Co................ 1,000 71,000
Providian Financial Corp................................ 600 45,000
-----------
290,631
-----------
FOOD & RELATED -- 0.7%
ConAgra, Inc............................................ 1,400 44,100
Earthgrains Co.......................................... 600 18,562
Flowers Industries, Inc................................. 1,000 23,937
Heinz (H.J.) Co......................................... 700 39,637
IBP, Inc................................................ 1,100 32,037
Quaker Oats Co.......................................... 1,000 59,500
Ralcorp Holdings, Inc.*................................. 1,200 21,900
SYSCO Corp.............................................. 700 19,206
Vlasic Foods International, Inc.*....................... 600 14,287
-----------
273,166
-----------
HOSPITAL MANAGEMENT -- 0.3%
Health Management Associates, Inc.*..................... 1,150 24,869
Lincare Holdings, Inc.*................................. 600 24,337
Omnicare, Inc........................................... 400 13,900
United Healthcare Corp.................................. 800 34,450
Wellpoint Health Networks, Inc.*........................ 300 26,100
-----------
123,656
-----------
HOSPITAL SUPPLY -- 1.0%
Abbott Laboratories..................................... 2,500 122,500
Allegiance Corp......................................... 1,400 65,275
Biomet, Inc............................................. 2,000 80,500
Guidant Corp............................................ 600 66,150
Hillenbrand Industries, Inc............................. 500 28,437
Johnson & Johnson Co.................................... 400 33,550
-----------
396,412
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
11
<PAGE> 14
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
INSURANCE -- 1.0%
AFLAC, Inc.............................................. 1,400 $ 61,600
Allstate Corp........................................... 1,800 69,525
AMBAC Financial Group, Inc.............................. 600 36,112
American General Corp................................... 1,000 78,000
Conseco, Inc............................................ 2,000 61,125
Hartford Financial Services, Inc........................ 1,300 71,337
PMI Group, Inc.......................................... 300 14,812
-----------
392,511
-----------
MACHINERY & EQUIPMENT -- 0.3%
Briggs & Stratton Corp.................................. 500 24,937
Ingersoll-Rand Co....................................... 900 42,244
McDermott International, Inc............................ 700 17,281
Trinity Industries, Inc................................. 700 26,950
-----------
111,412
-----------
METALS & MINING -- 0.3%
Aluminum Company of America............................. 400 29,825
Martin Marietta Materials, Inc.......................... 800 49,750
USX-U.S. Steel Group, Inc............................... 1,700 39,100
-----------
118,675
-----------
MULTI - INDUSTRY -- 0.7%
AlliedSignal, Inc....................................... 800 35,450
Crane Co................................................ 900 27,169
Honeywell, Inc.......................................... 800 60,250
Pentair, Inc............................................ 600 23,888
Tyco International Ltd.................................. 1,800 135,788
-----------
282,545
-----------
OIL (DOMESTIC) -- 0.4%
Ashland, Inc............................................ 700 33,863
Murphy Oil Corp......................................... 500 20,625
Philips Petroleum Co.................................... 900 38,363
Sunoco, Inc............................................. 600 21,638
USX-Marathon Group...................................... 1,300 39,163
-----------
153,652
-----------
OIL (INTERNATIONAL) -- 1.1%
Chevron Corp............................................ 1,000 82,938
Exxon Corp.............................................. 2,900 212,063
Mobil Corp.............................................. 1,300 113,263
-----------
408,264
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
12
<PAGE> 15
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
PAPER & FOREST PRODUCTS -- 0.4%
American Greetings Corp................................. 800 $ 32,850
Fort James Corp......................................... 600 24,000
Georgia Pacific Corp.................................... 1,000 23,813
Owens-Illinois, Inc.*................................... 2,000 61,250
-----------
141,913
-----------
PHARMACEUTICALS -- 2.3%
Biogen, Inc.*........................................... 1,400 116,200
Bristol-Meyers Squibb Co................................ 1,100 147,194
Cardinal Health, Inc.................................... 300 22,763
Lilly, (Eli) & Co....................................... 1,300 115,538
Merck & Co., Inc........................................ 400 59,075
Mylan Laboratories, Inc................................. 1,000 31,500
Pfizer, Inc............................................. 600 75,263
Schering-Plough Corp.................................... 3,400 187,850
Warner-Lambert Co....................................... 1,200 90,225
Watson Pharmaceuticals, Inc.*........................... 700 44,013
-----------
889,621
-----------
PRINTING & PUBLISHING -- 0.5%
Houghton Mifflin Co..................................... 400 18,900
McGraw-Hill Cos., Inc................................... 500 50,938
New York Times Co., Class A............................. 700 24,281
Viacom, Inc., Class B*.................................. 1,100 81,400
-----------
175,519
-----------
RESTAURANTS/LODGING -- 0.3%
Bob Evans Farms, Inc.................................... 1,000 26,063
Brinker International, Inc.*............................ 1,000 28,875
CKE Restaurants, Inc.................................... 660 19,429
McDonald's Corp......................................... 400 30,650
Promus Hotel Corp.*..................................... 547 17,709
-----------
122,726
-----------
RETAIL -- 1.8%
Best Buy Co., Inc.*..................................... 900 55,238
Gap, Inc................................................ 1,500 84,375
Hertz Corp.............................................. 400 18,250
Home Depot, Inc......................................... 1,200 73,425
Lowe's Cos., Inc........................................ 2,000 102,375
OfficeMax, Inc.*........................................ 2,700 32,738
Ross Stores, Inc........................................ 900 35,438
Staples, Inc.*.......................................... 500 21,844
TJX Cos., Inc........................................... 3,000 87,000
Wal-Mart Stores, Inc.................................... 2,300 187,306
-----------
697,989
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
13
<PAGE> 16
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
RETAIL FOOD/DRUG -- 0.3%
Albertson's, Inc........................................ 600 $ 38,213
Safeway, Inc.*.......................................... 1,100 67,031
-----------
105,244
-----------
SEMI-CONDUCTORS/INSTRUMENTATION -- 1.2%
Altera Corp.*........................................... 700 42,613
Comverse Technology, Inc.*.............................. 300 21,300
Intel Corp.............................................. 2,200 260,838
Maxim Integrated Products, Inc.*........................ 1,400 61,163
Microchip Technology, Inc.*............................. 1,100 40,700
PMC-Sierra, Inc.*....................................... 300 18,938
Xilinx, Inc.*........................................... 400 26,050
-----------
471,602
-----------
TOBACCO -- 0.3%
Philip Morris Cos., Inc................................. 2,500 133,750
-----------
TRANSPORTATION -- 0.1%
Burlington Northern Santa Fe Corp....................... 900 30,375
CNF Transportation, Inc................................. 400 15,025
-----------
45,400
-----------
UTILITIES - ELECTRIC -- 1.2%
Allegheny Energy, Inc................................... 1,600 55,200
BEC Energy.............................................. 700 28,831
CMS Energy Corp......................................... 1,000 48,438
Conectiv, Inc........................................... 2,000 49,000
DQE, Inc................................................ 750 32,953
Edison International.................................... 1,100 30,663
Energy East Corp........................................ 900 50,850
FPL Group, Inc.......................................... 900 55,463
FirstEnergy Corp........................................ 500 16,281
Houston Industries, Inc................................. 1,600 51,400
NIPSCO Industries, Inc.................................. 1,000 30,437
Public Service Co. of New Mexico........................ 1,100 22,481
-----------
471,997
-----------
UTILITIES - GAS & PIPELINE -- 0.3%
Coastal Corp............................................ 1,400 48,913
El Paso Energy Corp..................................... 1,400 48,738
NICOR, Inc.............................................. 700 29,575
-----------
127,226
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
14
<PAGE> 17
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
UTILITIES - TELEPHONE -- 1.9%
Ameritech Corp.......................................... 1,800 $ 114,075
AT&T Corp............................................... 2,000 150,500
Bell Atlantic Corp...................................... 1,400 79,538
BellSouth Corp.......................................... 3,000 149,625
Century Telephone Enterprises, Inc...................... 800 54,000
Cincinnati Bell, Inc.................................... 500 18,906
MCI Worldcom, Inc.*..................................... 1,500 107,625
U.S. WEST, Inc.......................................... 1,200 77,550
-----------
751,819
-----------
TOTAL COMMON STOCK (COST $8,433,441)...................... 12,096,006
-----------
INVESTMENT COMPANIES -- 5.2%
T-Rowe Price Foreign Equity Fund........................ 70,100 1,261,099
T-Rowe Price International Equity Fund.................. 50,500 756,995
-----------
TOTAL INVESTMENT COMPANIES (COST $1,767,444).............. 2,018,094
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
ASSET BACKED SECURITIES -- 1.4%
CPS Auto Grantor Trust, Series 1997-3, Class A1, 6.10%,
12/15/02.............................................. $ 142,645 143,807
First USA Credit Card Master Trust, Series 1997-6, Class
A, 6.42%, 03/17/05.................................... 400,000 409,168
-----------
TOTAL ASSET BACKED SECURITIES
(COST $541,911)......................................... 552,975
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
15
<PAGE> 18
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS -- 13.8%
Access Financial Mortgage Loan Trust, Series 1997-3,
Class A, 6.565%, 05/18/24............................. $ 175,000 $ 175,768
American Express Master Trust, Series 1998-1, Class A,
5.90%, 04/15/04....................................... 400,000 416,132
Banc One Auto Grantor Trust, Series 1997-B, Class A,
6.29%, 07/20/04....................................... 331,792 334,590
Chase Credit Card Master Trust, Series 1997-2, Class A,
6.30%, 04/15/03....................................... 500,000 508,316
Chase Manhattan Credit Card Master Trust, Series 1996-4,
Class A, 6.73%, 02/15/03.............................. 500,000 502,754
ContiMortgage Home Equity Loan Trust, Series 1998-1,
Class A, 6.28%, 01/15/13.............................. 500,000 513,018
EQCC Home Equity Loan Trust, Series 1997-2, Class A,
6.72%, 02/15/12....................................... 175,000 178,260
First Plus Home Improvement Loan Trust, Series 1996-3,
Class A, 7.60%, 09/20/14.............................. 350,000 364,221
First Plus Home Loan Trust, Series 1997-1, Class A6,
6.95%, 12/10/15....................................... 275,000 275,836
First Plus Home Loan Trust, Series 1998-2, Class A,
6.23%, 06/10/10....................................... 500,000 497,344
Navistar Financial Corp. Owner Trust, Series 1998-1,
Class A, 5.94%, 11/15/04.............................. 323,662 326,746
Nomura Asset Securities Corp., Series 1998-D6, Class A,
6.28%, 03/15/30....................................... 474,787 487,203
Premier Auto Trust, Series 1998-2, Class A, 5.77%,
01/06/02.............................................. 375,000 378,401
Sears Credit Acceptance Master Trust, Series 1998-1,
Class A, 5.80%, 08/15/05.............................. 400,000 401,308
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$5,309,224)............................................. 5,359,897
-----------
CORPORATE OBLIGATIONS -- 18.7%
BANKS/SAVINGS & LOANS -- 1.9%
Banc One Corp., 6.375%, 10/01/02........................ 525,000 543,375
Norwest Corp., 6.55%, 12/01/06.......................... 175,000 184,406
-----------
727,781
-----------
COMPUTER HARDWARE -- 1.3%
International Business Machines Corp., 6.375%,
06/15/20.............................................. 500,000 508,125
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
16
<PAGE> 19
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
FINANCIAL SERVICES -- 11.7%
Bear Stearns Cos., Inc., 6.75%, 05/01/01................ $ 400,000 $ 409,000
Chrysler Financial Corp., 6.95%, 03/25/02............... 500,000 521,875
Countrywide Home Loan, 7.45%, 09/16/03.................. 200,000 211,250
General Motors Acceptance Corp., 6.75%, 02/07/02........ 250,000 258,125
Household Finance Corp., 6.875%, 03/01/07............... 250,000 264,063
Household Netherlands BV, 6.125%, 03/01/03.............. 200,000 203,500
International Lease Finance Corp., 6.875%, 05/01/01..... 500,000 516,875
Merrill Lynch & Co., Inc., 6.00%, 01/15/01.............. 350,000 353,500
Morgan Stanley Dean Witter Discover & Co., 8.10%,
06/24/02.............................................. 750,000 806,250
Sears Roebuck Acceptance Corp., 6.15%, 11/15/05......... 500,000 506,250
Smithkline Beecham Corp., 6.625%, 10/01/01.............. 500,000 520,000
-----------
4,570,688
-----------
MULTI-INDUSTRY -- 1.3%
Honeywell, Inc., 6.75%, 03/15/02........................ 500,000 520,625
-----------
RETAIL -- 0.9%
Wal-Mart Stores, Inc., 7.25%, 06/01/13.................. 305,000 350,750
-----------
UTILITIES - ELECTRIC -- 0.7%
Southern California Edison Note, 6.50%, 06/01/01........ 265,000 272,288
-----------
UTILITIES - TELEPHONE -- 0.9%
AT&T Corp., 8.625%, 12/01/31............................ 300,000 335,250
-----------
TOTAL CORPORATE OBLIGATIONS
(COST $7,014,226)....................................... 7,285,507
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 7.8%
FannieMae, 7.50%, 06/01/03.............................. 178,465 182,648
FannieMae, 7.00%, 06/01/04.............................. 235,783 240,793
FannieMae, 6.48%, 06/28/04.............................. 750,000 796,384
FannieMae, 5.75%, 06/15/05.............................. 750,000 777,726
FannieMae, 6.50%, 01/01/06.............................. 234,777 236,318
FannieMae, 7.50%, 10/01/11.............................. 494,224 508,278
Federal Home Loan Mortgage Corp., 8.00%, 01/01/04....... 70,527 72,158
Federal Home Loan Mortgage Corp., 7.00%, 05/01/04....... 234,623 239,315
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (COST
$2,946,409)............................................. 3,053,620
-----------
U.S. TREASURY OBLIGATIONS -- 21.0%
U.S. TREASURY BILLS -- 0.7%
U.S. Treasury Bill, 4.05-4.15%, 01/07/99................ 177,000 176,880
U.S. Treasury Bill, 3.95%, 01/14/99..................... 27,000 26,961
U.S. Treasury Bill, 4.34-4.48%, 01/21/99................ 60,000 59,852
U.S. Treasury Bill, 4.26%, 03/11/99..................... 9,000 8,928
-----------
272,621
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
17
<PAGE> 20
TIME HORIZON FUND -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Concluded
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
U.S. TREASURY NOTES -- 20.3%
U.S. Treasury Note, 6.375%, 05/15/99.................... $ 750,000 $ 754,739
U.S. Treasury Note, 6.75%, 05/31/99..................... 775,000 781,608
U.S. Treasury Note, 5.875%, 11/15/99.................... 1,000,000 1,010,334
U.S. Treasury Note, 6.25%, 08/31/00..................... 1,142,000 1,170,830
U.S. Treasury Note, 6.125%, 09/30/00.................... 965,000 988,720
U.S. Treasury Note, 5.25%, 01/31/01..................... 500,000 506,240
U.S. Treasury Note, 6.625%, 06/30/01.................... 200,000 209,326
U.S. Treasury Note, 6.25%, 02/15/03..................... 690,000 729,109
U.S. Treasury Note, 6.50%, 10/15/06..................... 600,000 667,181
U.S. Treasury Note, 6.25%, 02/15/07..................... 1,000,000 1,099,336
-----------
7,917,423
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $7,959,223)....................................... 8,190,044
-----------
TOTAL INVESTMENTS (COST $33,971,878) (A) -- 99.0%......... 38,556,143
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.0%............. 388,342
-----------
NET ASSETS -- 100.0%...................................... $38,944,485
===========
Percentages indicated are based on net assets of $38,944,485.
(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
$5,917. Cost for federal income tax purposes differs from value by net
unrealized appreciation of securities as follows:
</TABLE>
<TABLE>
<S> <C> <C>
Unrealized appreciation................................. $4,766,621
Unrealized depreciation................................. (188,273)
----------
Net unrealized appreciation............................. $4,578,348
==========
* Non-income producing securities.
</TABLE>
- ---------------
See Notes to Financial Statements.
18
<PAGE> 21
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMMON STOCK -- 43.4%
AEROSPACE/DEFENSE -- 0.7%
Alliant Techsystems, Inc.*.............................. 400 $ 32,975
Cordant Technologies, Inc. ............................. 1,300 48,750
Goodrich (B.F.) Co. .................................... 500 17,937
Sundstrand Corp. ....................................... 1,400 72,625
United Technologies Corp. .............................. 1,500 163,125
-----------
335,412
-----------
AIRLINES -- 0.2%
Alaska Air Group, Inc.*................................. 1,000 44,250
AMR Corp.*.............................................. 800 47,500
UAL Corp.*.............................................. 300 17,906
-----------
109,656
-----------
APPAREL/TEXTILE -- 0.4%
Burlington Industries, Inc.*............................ 1,300 14,300
Jones Apparel Group, Inc.*.............................. 3,000 66,187
Nautica Enterprises, Inc.*.............................. 800 12,000
Tommy Hilfiger Corp.*................................... 1,600 96,000
-----------
188,487
-----------
AUTOMOTIVE -- 0.7%
Arvin Industries, Inc. ................................. 1,700 70,869
Dana Corp. ............................................. 600 24,525
Ford Motor Co. ......................................... 2,900 170,194
Meritor Automotive, Inc. ............................... 3,000 63,562
Superior Industries International, Inc. ................ 500 13,906
-----------
343,056
-----------
BANKS/SAVINGS & LOANS -- 3.9%
AmSouth Bancorporation.................................. 2,825 128,891
Astoria Financial Corp. ................................ 1,300 59,475
Banc One Corp. ......................................... 2,400 122,550
Bank of New York Co., Inc. ............................. 2,700 108,675
Chase Manhattan Corp. .................................. 1,500 102,094
Citigroup, Inc. ........................................ 1,350 66,825
City National Corp. .................................... 3,200 133,200
Commerce Bancorp, Inc. ................................. 375 19,687
Cullen/Frost Bankers, Inc. ............................. 500 27,437
Dime Bancorp, Inc. ..................................... 4,000 105,750
Downey Financial Corp. ................................. 900 22,894
First Union Corp. ...................................... 2,800 170,275
FirstFed Financial Corp.*............................... 1,000 17,875
Fleet Financial Group, Inc. ............................ 3,700 165,344
HUBCO, Inc. ............................................ 600 18,075
Mellon Bank Corp. ...................................... 1,600 110,000
National City Corp. .................................... 1,100 79,750
North Fork Bancorporation, Inc. ........................ 5,400 129,262
</TABLE>
- ---------------
See Notes to Financial Statements.
19
<PAGE> 22
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
BANKS/SAVINGS & LOAN -- (CONTINUED)
Old Kent Financial Corp. ............................... 3,795 $ 176,467
Trustmark Corp. ........................................ 800 18,100
Wells Fargo Co. ........................................ 3,000 119,812
-----------
1,902,438
-----------
BEVERAGES -- 0.7%
Anheuser-Busch Cos., Inc. .............................. 1,500 98,437
Canandaigua Brands, Inc.*............................... 300 17,344
Coca-Cola Co. .......................................... 2,000 133,750
Coca-Cola Enterprises, Inc. ............................ 800 28,600
Coors, (Adolph) Co., Class B............................ 600 33,862
PepsiCo, Inc. .......................................... 1,000 40,937
-----------
352,930
-----------
BUILDING RELATED/APPLIANCE -- 1.0%
AptarGroup, Inc. ....................................... 1,000 28,062
Centex Corp. ........................................... 1,100 49,569
Hughes Supply, Inc. .................................... 400 11,700
Interface, Inc. ........................................ 1,100 10,209
M.D.C. Holdings, Inc. .................................. 1,200 25,650
Miller (Herman), Inc. .................................. 2,400 64,500
Mohawk Industries, Inc.*................................ 2,100 88,331
Ryland Group, Inc. ..................................... 1,100 31,762
Shaw Industries, Inc. .................................. 2,800 67,900
Southdown, Inc. ........................................ 1,600 94,700
USG Corp. .............................................. 700 35,656
-----------
508,039
-----------
CHEMICALS -- 0.9%
Air Products & Chemicals, Inc. ......................... 1,600 64,000
Crompton & Knowles Corp. ............................... 2,600 53,787
Dow Chemical Co. ....................................... 900 81,844
Du Pont, (E.I.) de Nemours & Co. ....................... 700 37,144
Ecolab, Inc. ........................................... 1,300 47,044
GenCorp, Inc. .......................................... 900 22,444
Schulman (A.), Inc. .................................... 1,400 31,763
Scotts Co., Class A*.................................... 700 26,906
Solutia, Inc. .......................................... 4,300 96,212
-----------
461,144
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
20
<PAGE> 23
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMMERCIAL SERVICES -- 0.9%
ACNielsen Corp.*........................................ 2,800 $ 79,100
ADVO, Inc.*............................................. 400 10,550
Fluor Corp. ............................................ 1,000 42,562
Galileo International, Inc. ............................ 800 34,800
Interim Services, Inc.*................................. 800 18,700
MedQuist, Inc.*......................................... 600 23,700
Modis Professional Services, Inc.*...................... 300 4,350
Omnicom Group........................................... 1,400 81,200
Personnel Group of America, Inc.*....................... 500 8,750
Renters Choice, Inc.*................................... 400 12,700
Robert Half International, Inc.*........................ 1,800 80,437
Valassis Communications, Inc.*.......................... 400 20,650
-----------
417,499
-----------
COMMUNICATIONS -- 1.3%
American Power Conversion Corp.*........................ 2,600 125,937
Cisco Systems, Inc.*.................................... 2,100 194,906
Level One Communications, Inc.*......................... 600 21,300
Lucent Technologies, Inc. .............................. 1,800 198,000
Tellabs, Inc.*.......................................... 1,000 68,562
Xircom, Inc.*........................................... 800 27,200
-----------
635,905
-----------
COMPUTER HARDWARE -- 2.4%
Dell Computer Corp.*.................................... 3,400 248,837
EMC Corp.*.............................................. 2,400 204,000
Inacom Corp.*........................................... 500 7,437
International Business Machines Corp. .................. 400 73,900
InterVoice, Inc.*....................................... 500 17,250
Lexmark International Group, Inc.*...................... 1,800 180,900
NCR Corp.*.............................................. 1,900 79,325
Solectron Corp.*........................................ 600 55,762
Storage Technology Corp.*............................... 1,300 46,231
Sun Microsystems, Inc.*................................. 1,300 111,312
Symbol Technologies, Inc. .............................. 1,650 105,497
Tech Data Corp.*........................................ 400 16,100
Zebra Technologies Corp., Class A*...................... 500 14,375
-----------
1,160,926
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
21
<PAGE> 24
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMPUTER SERVICES & SOFTWARE -- 2.9%
Affiliated Computer Services, Inc.*..................... 500 $ 22,500
American Management Systems, Inc.*...................... 600 24,000
BMC Software, Inc.*..................................... 900 40,106
CIBER, Inc.*............................................ 800 22,350
Citrix Systems, Inc.*................................... 1,000 97,062
Computer Associates International, Inc. ................ 700 29,837
Compuware Corp.*........................................ 2,200 171,875
Electronic Arts, Inc.*.................................. 900 50,512
HBO & Co. .............................................. 2,900 83,194
Keane, Inc.*............................................ 1,900 75,881
Macromedia, Inc.*....................................... 700 23,581
Mercury Interactive Corp.*.............................. 400 25,300
Microsoft Corp.*........................................ 3,200 443,800
National Computer Systems, Inc. ........................ 500 18,500
Network Associates, Inc.*............................... 2,150 142,437
Oracle Corp.*........................................... 1,700 73,312
Rational Software Corp.*................................ 1,300 34,450
Sterling Software, Inc.*................................ 600 16,237
-----------
1,394,934
-----------
COSMETICS & TOILETRIES -- 0.9%
Avon Products, Inc. .................................... 1,300 57,525
Clorox Co. ............................................. 600 70,087
Dial Corp. ............................................. 3,300 95,287
Kimberly-Clark Corp. ................................... 1,000 54,500
Procter & Gamble Co. ................................... 2,000 182,625
-----------
460,024
-----------
ELECTRICAL EQUIPMENT -- 0.9%
General Electric Co. ................................... 3,500 357,219
PECO Energy Co. ........................................ 2,000 83,250
-----------
440,469
-----------
ENERGY RELATED -- 0.4%
Allied Waste Industries, Inc.*.......................... 1,200 28,350
Newfield Exploration Co.*............................... 900 18,787
Offshore Logistics, Inc.*............................... 1,200 14,250
Tidewater, Inc. ........................................ 1,500 34,781
Transocean Offshore, Inc. .............................. 3,500 93,844
-----------
190,012
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
22
<PAGE> 25
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
ENTERTAINMENT -- 0.8%
Carnival Corp. ......................................... 2,000 $ 96,000
GTECH Holdings Corp.*................................... 1,600 41,000
Hollywood Entertainment Corp.*.......................... 900 24,525
King World Productions, Inc. ........................... 1,500 44,156
Musicland Stores Corp.*................................. 1,100 16,431
Time Warner, Inc. ...................................... 2,800 173,775
-----------
395,887
-----------
FINANCIAL SERVICES -- 1.1%
American Express Co. ................................... 1,300 132,925
AmeriCredit Corp.*...................................... 400 5,525
CCB Financial Corp. .................................... 200 11,400
CMAC Investment Corp. .................................. 300 13,781
Countrywide Credit Industries, Inc. .................... 1,600 80,300
Delphi Financial Group, Inc. Class A*................... 408 21,394
Edwards (A.G.), Inc. ................................... 2,300 85,675
Legg Mason, Inc. ....................................... 600 18,937
Morgan Stanley Dean Witter Discover & Co. .............. 1,300 92,300
Providian Financial Corp. .............................. 750 56,250
-----------
518,487
-----------
FOOD & RELATED -- 1.0%
ConAgra, Inc. .......................................... 1,800 56,700
Earthgrains Co. ........................................ 2,000 61,875
Flowers Industries, Inc. ............................... 2,300 55,056
Heinz (H.J.) Co. ....................................... 900 50,962
IBP, Inc. .............................................. 2,500 72,812
Quaker Oats Co. ........................................ 1,400 83,300
Ralcorp Holdings, Inc.*................................. 3,200 58,400
SYSCO Corp. ............................................ 900 24,694
Vlasic Foods International, Inc.*....................... 1,400 33,337
-----------
497,136
-----------
HOSPITAL MANAGEMENT -- 0.7%
Curative Health Services, Inc.*......................... 400 13,400
Health Management Associates, Inc.*..................... 2,700 58,387
Lincare Holdings, Inc.*................................. 1,400 56,787
Mariner Post Acute Network*............................. 1,100 5,019
Omnicare, Inc. ......................................... 1,100 38,225
United Healthcare Corp. ................................ 1,100 47,369
Universal Health Services, Inc., Class B*............... 700 36,312
Wellpoint Health Networks, Inc.*........................ 800 69,600
-----------
325,099
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
23
<PAGE> 26
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
HOSPITAL SUPPLY -- 1.5%
Abbott Laboratories..................................... 3,200 $ 156,800
ADAC Laboratories*...................................... 500 9,984
Allegiance Corp. ....................................... 3,200 149,200
Bindley Western Industries, Inc. ....................... 400 19,700
Biomet, Inc. ........................................... 3,400 136,850
Guidant Corp. .......................................... 600 66,150
Hillenbrand Industries, Inc. ........................... 1,100 62,562
Integrated Health Services, Inc. ....................... 700 9,887
Johnson & Johnson Co. .................................. 500 41,937
Owens & Minor, Inc. .................................... 1,100 17,325
Patterson Dental Co.*................................... 400 17,400
Safeskin Corp.*......................................... 400 9,650
VISX, Inc.*............................................. 300 26,231
-----------
723,676
-----------
INSURANCE -- 1.5%
AFLAC, Inc. ............................................ 3,300 145,200
Allstate Insurance Corp. ............................... 2,200 84,975
AMBAC Financial Group, Inc. ............................ 1,400 84,262
American General Corp. ................................. 1,400 109,200
Capital Re Corp. ....................................... 800 16,050
Conseco, Inc. .......................................... 2,600 79,463
Enhance Financial Services Group, Inc. ................. 200 6,000
Fidelity National Financial, Inc. ...................... 550 16,775
First American Financial Corp. ......................... 1,100 35,338
Fremont General Corp. .................................. 1,000 24,750
Hartford Financial Services Group, Inc. ................ 1,700 93,288
PMI Group, Inc. ........................................ 700 34,563
-----------
729,864
-----------
MACHINERY & EQUIPMENT -- 0.6%
Applied Power, Inc. .................................... 600 22,650
Briggs & Stratton Corp. ................................ 1,200 59,850
Graco, Inc. ............................................ 300 8,850
Ingersoll-Rand Co. ..................................... 1,100 51,631
JLG Industries, Inc. ................................... 700 10,938
Manitowoc Co., Inc. .................................... 700 31,063
McDermott International, Inc. .......................... 1,600 39,500
Terex Corp.*............................................ 600 17,138
Trinity Industries, Inc. ............................... 1,600 61,600
-----------
303,220
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
24
<PAGE> 27
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
METALS & MINING -- 0.5%
Aluminum Company of America............................. 500 $ 37,281
Inland Steel Industries, Inc. .......................... 700 11,813
Martin Marietta Materials, Inc. ........................ 1,900 118,156
Stillwater Mining Co.*.................................. 400 16,400
Texas Industries, Inc. ................................. 700 18,856
USX-U.S. Steel Group, Inc. ............................. 1,600 36,800
-----------
239,306
-----------
MULTI-INDUSTRY -- 0.9%
AlliedSignal, Inc. ..................................... 1,000 44,313
Crane Co. .............................................. 2,100 63,394
Honeywell, Inc. ........................................ 1,000 75,313
Mascotech, Inc. ........................................ 900 15,413
Pentair, Inc. .......................................... 1,400 55,738
Tyco International Ltd. ................................ 2,300 173,506
-----------
427,677
-----------
OIL (DOMESTIC) -- 0.6%
Ashland, Inc. .......................................... 1,500 72,563
Cabot Oil & Gas Corp. .................................. 700 10,500
Devon Energy Corp. ..................................... 500 15,344
Murphy Oil Corp. ....................................... 1,100 45,375
Philips Petroleum Co. .................................. 1,300 55,413
Sunoco, Inc. ........................................... 800 28,850
USX-Marathon Group...................................... 1,800 54,225
-----------
282,270
-----------
OIL (INTERNATIONAL) -- 1.1%
Chevron Corp. .......................................... 1,200 99,525
Exxon Corp. ............................................ 3,800 277,875
Mobil Corp. ............................................ 1,700 148,113
-----------
525,513
-----------
PAPER & FOREST PRODUCTS -- 0.6%
American Greetings Corp. ............................... 1,800 73,913
Fort James Corp. ....................................... 800 32,000
Georgia Pacific Corp. .................................. 2,200 52,388
Owens-Illinois, Inc.*................................... 3,600 110,250
-----------
268,551
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
25
<PAGE> 28
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
PHARMACEUTICALS -- 2.8%
Alpharma, Inc., Class A................................. 800 $ 28,250
Biogen, Inc.*........................................... 2,400 199,200
Bristol-Meyers Squibb Co. .............................. 1,400 187,338
Cardinal Health, Inc. .................................. 675 51,216
Lilly, (Eli) & Co. ..................................... 1,700 151,088
Medimmune, Inc.*........................................ 200 19,888
Merck & Co., Inc. ...................................... 600 88,613
Mylan Laboratories, Inc. ............................... 2,200 69,300
Pfizer, Inc. ........................................... 800 100,350
Roberts Pharmaceutical Corp.*........................... 700 15,225
Schering-Plough Corp. .................................. 4,400 243,100
Warner-Lambert Co. ..................................... 1,500 112,781
Watson Pharmaceuticals, Inc.*........................... 2,000 125,750
-----------
1,392,099
-----------
PRINTING & PUBLISHING -- 0.6%
Consolidated Graphics, Inc.*............................ 300 20,269
Houghton Mifflin Co. ................................... 1,000 47,250
McGraw-Hill Cos., Inc. ................................. 600 61,125
Metro Networks, Inc.*................................... 300 12,788
New York Times Co., Class A............................. 900 31,219
Viacom, Inc., Class B*.................................. 1,400 103,600
World Color Press, Inc.*................................ 700 21,306
-----------
297,557
-----------
RESTAURANTS/LODGING -- 0.6%
Bob Evans Farms, Inc. .................................. 2,300 59,944
Brinker International, Inc.*............................ 2,300 66,413
CEC Entertainment, Inc.*................................ 700 19,425
CKE Restaurants, Inc. .................................. 1,540 45,334
McDonald's Corp. ....................................... 500 38,313
Promus Hotel Corp.*..................................... 1,210 39,174
Ruby Tuesday, Inc. ..................................... 1,100 23,375
Ryan's Family Steak Houses, Inc.*....................... 1,700 21,038
-----------
313,016
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
26
<PAGE> 29
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
RETAIL -- 2.4%
AnnTaylor Stores Corp.*................................. 600 $ 23,663
Best Buy Co., Inc.*..................................... 2,100 128,888
Cato Corp. Class A...................................... 800 7,875
Gap, Inc. .............................................. 1,950 109,688
Hertz Corp. ............................................ 800 36,500
Home Depot, Inc. ....................................... 1,500 91,781
Linens 'n Things, Inc.*................................. 400 15,850
Lowe's Cos., Inc. ...................................... 2,000 102,375
OfficeMax, Inc.*........................................ 6,300 76,388
Pillowtex Corp. ........................................ 400 10,700
Ross Stores, Inc. ...................................... 2,800 110,250
Staples, Inc.*.......................................... 1,200 52,425
TJX Cos., Inc. ......................................... 5,000 145,000
United Stationers, Inc.*................................ 200 5,200
Wal-Mart Stores, Inc. .................................. 2,900 236,169
Zale Corp.*............................................. 600 19,350
-----------
1,172,102
-----------
RETAIL FOOD/DRUG -- 0.3%
Albertson's, Inc. ...................................... 500 31,844
Great Atlantic & Pacific Tea Co., Inc. ................. 500 14,813
Richfood Holdings, Inc. ................................ 700 14,525
Safeway, Inc.*.......................................... 1,400 85,312
-----------
146,494
-----------
SEMI-CONDUCTORS/INSTRUMENTATION -- 2.0%
Altera Corp.*........................................... 1,500 91,313
C-Cube Microsystems, Inc.*.............................. 900 24,413
Comverse Technology, Inc.*.............................. 900 63,900
Hutchinson Technology, Inc.*............................ 500 17,812
Intel Corp. ............................................ 2,800 331,975
Maxim Integrated Products, Inc.*........................ 3,200 139,800
Microchip Technology, Inc.*............................. 3,200 118,400
Plexus Corp.*........................................... 600 20,325
PMC-Sierra, Inc.*....................................... 900 56,813
Sanmina Corp.*.......................................... 300 18,750
Vitesse Semiconductors Corp.*........................... 900 41,063
Xilinx, Inc.*........................................... 900 58,613
-----------
983,177
-----------
TOBACCO -- 0.4%
Philip Morris Cos., Inc. ............................... 3,400 181,900
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
27
<PAGE> 30
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
TRANSPORTATION -- 0.3%
Burlington Northern Santa Fe Corp. ..................... 1,200 $ 40,500
CNF Transportation, Inc. ............................... 900 33,806
M.S. Carriers, Inc.*.................................... 1,000 32,938
Rollins Truck Leasing Corp. ............................ 2,300 33,925
USFreightways Corp. .................................... 700 20,388
-----------
161,557
-----------
UTILITIES - ELECTRIC -- 2.1%
Allegheny Energy, Inc. ................................. 3,800 131,100
BEC Energy.............................................. 1,700 70,019
Calpine Corp.*.......................................... 500 12,625
CMS Energy Corp. ....................................... 2,300 111,406
Conectiv, Inc. ......................................... 4,800 117,600
DQE, Inc. .............................................. 1,750 76,891
Edison International.................................... 1,500 41,813
Energy East Corp. ...................................... 2,100 118,650
FirstEnergy Corp. ...................................... 1,100 35,819
FPL Group, Inc. ........................................ 1,100 67,788
Houston Industries, Inc. ............................... 2,000 64,250
NIPSCO Industries, Inc. ................................ 2,200 66,963
Public Service Co. of New Mexico........................ 2,600 53,138
TNP Enterprises, Inc. .................................. 700 26,556
United Illuminating Co. ................................ 300 15,450
-----------
1,010,068
-----------
UTILITIES - GAS & PIPELINE -- 0.6%
Coastal Corp. .......................................... 1,800 62,888
El Paso Energy Corp. ................................... 3,200 111,400
Energen Corp. .......................................... 1,100 21,450
NICOR, Inc. ............................................ 1,600 67,600
Piedmont Natural Gas Co., Inc. ......................... 200 7,225
Southwest Gas Corp. .................................... 900 24,188
-----------
294,751
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
28
<PAGE> 31
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
UTILITIES - TELEPHONE -- 2.2%
Ameritech Corp. ........................................ 2,400 $ 152,100
AT&T Corp. ............................................. 2,600 195,650
Bell Atlantic Corp. .................................... 1,800 102,263
BellSouth Corp. ........................................ 4,400 219,450
Century Telephone Enterprises, Inc. .................... 1,850 124,875
Cincinnati Bell, Inc. .................................. 1,000 37,813
Inter-Tel, Inc. ........................................ 400 9,350
MCI Worldcom, Inc.*..................................... 2,100 150,675
U. S. WEST, Inc. ....................................... 1,600 103,400
-----------
1,095,576
-----------
TOTAL COMMON STOCK (COST $15,730,212)..................... 21,185,914
-----------
INVESTMENT COMPANIES -- 9.1%
T-Rowe Price Foreign Equity Fund........................ 125,900 2,264,941
T-Rowe Price International Equity Fund.................. 145,800 2,185,542
-----------
TOTAL INVESTMENT COMPANIES (COST $3,937,067).............. 4,450,483
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT
-------------------- ---------
<S> <C> <C>
ASSET BACKED SECURITIES -- 1.0%
CPS Auto Grantor Trust, Series 1997-3, Class A1, 6.10%,
12/15/02.............................................. $ 142,645 143,807
First USA Credit Card Master Trust, Series 1997-6, Class
A, 6.42%, 03/17/05.................................... 350,000 358,022
-----------
TOTAL ASSET BACKED SECURITIES (COST $492,001)............. 501,829
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
29
<PAGE> 32
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS -- 8.0%
Access Financial Mortgage Loan Trust, Series 1997-3,
Class A, 6.565%, 05/18/24............................. $ 175,000 $ 175,768
American Express Master Trust, Series 1998-1, Class A,
5.90%, 04/15/04....................................... 300,000 312,099
Banc One Auto Grantor Trust, Series 1997-B, Class A,
6.29%, 07/20/04....................................... 265,324 267,561
Chase Credit Card Master Trust, Series 1997-2, Class A,
6.30%, 04/15/03....................................... 500,000 508,316
Chase Manhattan Credit Card Master Trust, Series 1996-4,
Class A, 6.73%, 02/15/03.............................. 500,000 502,754
EQCC Home Equity Loan Trust, Series 1997-2, Class A,
6.72%, 02/15/12....................................... 175,000 178,260
First Plus Home Loan Improvement Trust, Series 1996-3,
Class A, 7.60%, 09/20/14.............................. 350,000 364,221
First Plus Home Loan Trust, Series 1997-1, Class A6,
6.95%, 12/10/15....................................... 250,000 250,760
Navistar Financial Corp. Owner Trust, Series 1998-1,
Class A, 5.94%, 11/15/04.............................. 242,747 245,059
Nomura Asset Securities Corp., Series 1998-D6, Class A,
6.28%, 03/15/30....................................... 474,787 487,203
Premier Auto Trust, Series 1998-2, Class A, 5.77%,
01/06/02.............................................. 325,000 327,947
Sears Credit Acceptance Master Trust, Series 1998-1,
Class A, 5.80%, 08/15/05.............................. 300,000 300,981
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$3,870,804)............................................. 3,920,929
-----------
CORPORATE OBLIGATIONS -- 16.0%
BANKS/SAVINGS & LOANS -- 1.8%
Banc One Corp., 6.375%, 10/01/02........................ 600,000 621,000
Norwest Corp., 6.55%, 12/01/06.......................... 250,000 263,438
-----------
884,438
-----------
COMPUTER HARDWARE -- 1.0%
International Business Machines Corp., 6.375%,
06/15/00.............................................. 500,000 508,125
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
30
<PAGE> 33
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
FINANCIAL SERVICES -- 9.9%
Bear Stearns Cos., Inc., 6.75%, 05/01/01................ $ 400,000 $ 409,000
Chrysler Financial Corp., 6.95%, 03/25/02............... 500,000 521,875
Countrywide Home Loan, 7.45%, 09/16/03.................. 200,000 211,250
General Motors Acceptance Corp., 6.75%, 02/07/02........ 250,000 258,125
General Motors Acceptance Corp., 5.875%, 01/22/03....... 250,000 251,875
Household Finance Corp., 6.875%, 03/01/07............... 250,000 264,063
Household Netherlands BV, 6.125%, 03/01/03.............. 200,000 203,500
International Lease Finance Corp., 6.875%, 05/01/01..... 500,000 516,875
Merrill Lynch & Co., Inc., 6.00%, 01/15/01.............. 350,000 353,500
Morgan Stanley Dean Witter Discover & Co., 8.10%,
06/24/02.............................................. 250,000 268,750
Pitney Bowes Credit Corp., 5.65%, 01/15/03.............. 275,000 278,781
Sears Roebuck Acceptance Corp., 6.15%, 11/15/05......... 500,000 506,250
Smithkline Beecham Corp., 6.625%, 10/01/01.............. 500,000 520,000
Transamerica Finance Corp., 6.375%, 11/15/01............ 260,000 261,950
-----------
4,825,794
-----------
FOOD & RELATED -- 0.7%
Hershey Foods Corp., 6.70%, 10/01/05.................... 325,000 350,594
-----------
MULTI-INDUSTRY -- 1.1%
Honeywell, Inc., 6.75%, 03/15/02........................ 500,000 520,625
-----------
RETAIL -- 0.7%
Wal-Mart Stores, Inc., 7.25%, 06/01/13.................. 300,000 345,000
-----------
UTILITIES - ELECTRIC -- 0.3%
Southern California Edison Note, 6.50%, 06/01/01........ 145,000 148,988
-----------
UTILITIES - TELEPHONE -- 0.5%
AT&T Corp., 8.625%, 12/01/31............................ 200,000 223,500
-----------
TOTAL CORPORATE OBLIGATIONS (COST $7,531,884)............. 7,807,064
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 8.2%
FannieMae, 7.50%, 06/01/03.............................. 178,465 182,648
FannieMae, 7.00%, 06/01/04.............................. 611,631 624,628
FannieMae, 6.48%, 06/28/04.............................. 750,000 796,384
FannieMae, 5.75%, 06/15/05.............................. 750,000 777,726
FannieMae, 6.50%, 01/01/06.............................. 234,777 236,318
FannieMae, 7.50%, 10/01/11.............................. 247,112 254,139
Federal Home Loan Mortgage Corp., 8.00%, 01/01/04....... 70,527 72,158
Federal Home Loan Mortgage Corp., 7.00%, 05/01/04....... 837,938 854,697
Federal Home Loan Mortgage Corp., 6.50%, 06/01/04....... 191,713 194,230
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (COST
$3,869,222)............................................. 3,992,928
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
31
<PAGE> 34
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Concluded
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 12.9%
U.S. TREASURY BILLS -- 1.0%
U.S. Treasury Bill, 3.95%, 01/14/99..................... $ 8,000 $ 7,989
U.S. Treasury Bill, 4.34-4.52%, 01/21/99................ 458,000 456,878
U.S. Treasury Bill, 4.37%, 03/11/99..................... 11,000 10,912
-----------
475,779
-----------
U.S. TREASURY NOTES -- 11.9%
U.S. Treasury Note, 6.25%, 08/31/00..................... 592,000 606,945
U.S. Treasury Note, 6.375%, 03/31/01.................... 200,000 207,359
U.S. Treasury Note, 6.25%, 10/31/01..................... 650,000 677,667
U.S. Treasury Note, 6.25%, 02/15/03..................... 1,023,000 1,080,983
U.S. Treasury Note, 6.50%, 05/15/05..................... 1,225,000 1,342,066
U.S. Treasury Note, 6.50%, 10/15/06..................... 750,000 833,976
U.S. Treasury Note, 6.25%, 02/15/07..................... 1,000,000 1,099,336
-----------
5,848,332
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST $5,979,294)......... 6,324,111
-----------
TOTAL INVESTMENTS (COST $41,410,484)(a) -- 98.6%.......... 48,183,258
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.4%............. 683,435
-----------
NET ASSETS -- 100.0%...................................... $48,866,693
===========
Percentages indicated are based on net assets of
$48,866,693.
(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 $37,211. Cost
for federal income tax purposes differs from value by
net unrealized appreciation of securities as follows:
Unrealized appreciation................................. $7,286,654
Unrealized depreciation................................. (551,091)
----------
Net unrealized appreciation............................. $6,735,563
==========
* Non-income producing securities.
</TABLE>
- ---------------
See Notes to Financial Statements.
32
<PAGE> 35
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMMON STOCK -- 59.1%
AEROSPACE/DEFENSE -- 0.9%
Alliant Techsystems, Inc.*.............................. 800 $ 65,950
Cordant Technologies, Inc............................... 1,500 56,250
Goodrich (B.F.) Co...................................... 1,000 35,875
Sundstrand Corp......................................... 1,800 93,375
United Technologies Corp................................ 2,500 271,875
-----------
523,325
-----------
AIRLINES -- 0.3%
Alaska Air Group, Inc.*................................. 1,200 53,100
AMR Corp.*.............................................. 1,200 71,250
UAL Corp.*.............................................. 700 41,781
-----------
166,131
-----------
APPAREL/TEXTILE -- 0.5%
Burlington Industries, Inc.*............................ 2,200 24,200
Jones Apparel Group, Inc.*.............................. 4,200 92,662
Nautica Enterprises, Inc.*.............................. 1,400 21,000
Tommy Hilfiger Corp.*................................... 2,300 138,000
-----------
275,862
-----------
AUTOMOTIVE -- 0.9%
Arvin Industries, Inc. ................................. 2,200 91,712
Dana Corp. ............................................. 1,200 49,050
Ford Motor Co. ......................................... 4,800 281,700
Meritor Automotive, Inc................................. 3,800 80,512
Superior Industries International, Inc.................. 900 25,031
-----------
528,005
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
33
<PAGE> 36
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
BANKS/SAVINGS & LOANS -- 5.3%
AmSouth Bancorporation.................................. 3,625 $ 165,391
Astoria Financial Corp. ................................ 1,900 86,925
Banc One Corp. ......................................... 4,100 209,356
Bank of New York Co., Inc. ............................. 4,600 185,150
Chase Manhattan Corp. .................................. 2,600 176,962
Citigroup, Inc.......................................... 2,250 111,375
City National Corp. .................................... 4,100 170,662
Commerce Bancorp, Inc. ................................. 625 32,812
Cullen/Frost Bankers, Inc. ............................. 900 49,387
Dime Bancorp, Inc. ..................................... 5,100 134,831
Downey Financial Corp. ................................. 1,400 35,612
First Union Corp. ...................................... 4,800 291,900
FirstFed Financial Corp.*............................... 1,800 32,175
Fleet Financial Group, Inc. ............................ 6,400 286,000
Mellon Bank Corp. ...................................... 2,800 192,500
National City Corp. .................................... 1,900 137,750
North Fork Bancorporation, Inc. ........................ 7,000 167,562
Old Kent Financial Corp. ............................... 4,920 228,780
Trustmark Corp. ........................................ 1,900 42,987
Wells Fargo Co. ........................................ 5,000 199,687
-----------
2,937,804
-----------
BEVERAGES -- 1.1%
Anheuser-Busch Cos., Inc. .............................. 2,600 170,625
Canandaigua Brands, Inc.*............................... 500 28,906
Coca-Cola Co. .......................................... 3,500 234,062
Coca-Cola Enterprises, Inc. ............................ 1,400 50,050
Coors, (Adolph) Co., Class B............................ 800 45,150
PepsiCo, Inc. .......................................... 1,700 69,594
-----------
598,387
-----------
BUILDING RELATED/APPLIANCE -- 1.3%
AptarGroup, Inc. ....................................... 1,600 44,900
Centex Corp. ........................................... 1,900 85,619
Hughes Supply, Inc. .................................... 800 23,400
Interface, Inc. ........................................ 1,900 17,634
M.D.C. Holdings, Inc. .................................. 2,100 44,887
Miller (Herman), Inc. .................................. 3,200 86,000
Mohawk Industries, Inc.*................................ 3,100 130,394
Ryland Group, Inc. ..................................... 1,800 51,975
Shaw Industries, Inc. .................................. 3,600 87,300
Southdown, Inc. ........................................ 2,200 130,212
USG Corp. .............................................. 900 45,844
-----------
748,165
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
34
<PAGE> 37
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
CHEMICALS -- 1.3%
Air Products & Chemicals, Inc. ......................... 2,700 $ 108,000
Crompton & Knowles Corp. ............................... 3,400 70,337
Dow Chemical Co. ....................................... 1,600 145,500
Du Pont, (E.I.) de Nemours & Co. ....................... 1,300 68,981
Ecolab, Inc. ........................................... 1,700 61,519
GenCorp, Inc. .......................................... 1,400 34,912
Scotts Co., Class A*.................................... 1,200 46,125
Solutia, Inc. .......................................... 6,000 134,250
Schulman (A.), Inc. .................................... 1,700 38,569
-----------
708,193
-----------
COMMERCIAL SERVICES -- 1.1%
ACNielsen Corp.*........................................ 3,600 101,700
ADVO, Inc.*............................................. 800 21,100
Fluor Corp. ............................................ 1,800 76,612
Galileo International, Inc. ............................ 1,000 43,500
Interim Services, Inc.*................................. 1,400 32,725
MedQuist, Inc.*......................................... 1,000 39,500
Omnicom Group........................................... 1,800 104,400
Personnel Group of America, Inc.*....................... 900 15,750
Renters Choice, Inc.*................................... 900 28,575
Robert Half International, Inc.*........................ 2,300 102,781
Valassis Communications, Inc.*.......................... 800 41,300
-----------
607,943
-----------
COMMUNICATIONS -- 1.8%
3Com Corp.*............................................. 25 1,120
American Power Conversion Corp.*........................ 3,300 159,844
Cisco Systems, Inc.*.................................... 3,525 327,164
Level One Communications, Inc.*......................... 900 31,950
Lucent Technologies, Inc. .............................. 3,000 330,000
Tellabs, Inc.*.......................................... 1,700 116,556
Xircom, Inc.*........................................... 1,400 47,600
-----------
1,014,234
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
35
<PAGE> 38
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMPUTER HARDWARE -- 3.3%
Dell Computer Corp.*.................................... 5,800 $ 424,487
EMC Corp.*.............................................. 4,200 357,000
InaCom Corp.*........................................... 800 11,900
International Business Machines Corp. .................. 800 147,800
InterVoice, Inc.*....................................... 900 31,050
Lexmark International Group, Inc.*...................... 2,400 241,200
NCR Corp.*.............................................. 2,400 100,200
Solectron Corp.*........................................ 1,100 102,231
Storage Technology Corp.*............................... 1,700 60,456
Sun Microsystems, Inc.*................................. 2,300 196,937
Symbol Technologies, Inc. .............................. 2,150 137,466
Tech Data Corp.*........................................ 600 24,150
Zebra Technologies Corp., Class A*...................... 800 23,000
-----------
1,857,877
-----------
COMPUTER SERVICES & SOFTWARE -- 3.8%
Affiliated Computer Services, Inc.*..................... 800 36,000
American Management Systems, Inc.*...................... 1,000 40,000
BMC Software, Inc.*..................................... 1,200 53,475
CIBER, Inc.*............................................ 1,400 39,112
Citrix Systems, Inc.*................................... 1,300 126,181
Computer Associates International, Inc. ................ 1,200 51,150
Compuware Corp.*........................................ 3,000 234,375
Electronic Arts, Inc.*.................................. 1,200 67,350
HBO & Co. .............................................. 3,700 106,144
Keane, Inc.*............................................ 2,600 103,837
Macromedia, Inc.*....................................... 1,100 37,056
Mercury Interactive Corp.*.............................. 700 44,275
Microsoft Corp.*........................................ 5,500 762,781
National Computer Systems, Inc. ........................ 800 29,600
Network Associates, Inc.*............................... 2,700 178,875
Oracle Corp.*........................................... 2,900 125,062
Rational Software Corp.*................................ 1,700 45,050
Sterling Software, Inc.*................................ 1,000 27,062
-----------
2,107,385
-----------
COSMETICS & TOILETRIES -- 1.4%
Avon Products, Inc. .................................... 2,300 101,775
Clorox Co. ............................................. 1,000 116,812
Dial Corp. ............................................. 4,300 124,162
Kimberly-Clark Corp. ................................... 1,800 98,100
Procter & Gamble Co. ................................... 3,500 319,594
-----------
760,443
-----------
ELECTRICAL EQUIPMENT -- 1.4%
General Electric Co. ................................... 6,100 622,581
PECO Energy Co. ........................................ 3,500 145,687
-----------
768,268
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
36
<PAGE> 39
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
ENERGY RELATED -- 0.5%
Allied Waste Industries, Inc.*.......................... 1,600 $ 37,800
Newfield Exploration Co.*............................... 1,500 31,312
Offshore Logistics, Inc.*............................... 1,600 19,000
Pool Energy Service Co.*................................ 600 6,487
Tidewater, Inc. ........................................ 2,000 46,375
Transocean Offshore, Inc. .............................. 5,100 136,744
-----------
277,718
-----------
ENTERTAINMENT -- 1.2%
Carnival Corp. ......................................... 3,400 163,200
GTECH Holdings Corp.*................................... 2,100 53,813
Hollywood Entertainment Corp.*.......................... 1,500 40,875
King World Productions, Inc. ........................... 2,200 64,762
Musicland Stores Corp.*................................. 1,900 28,381
Polaris Industries, Inc. ............................... 600 23,512
Time Warner, Inc. ...................................... 5,000 310,312
-----------
684,855
-----------
FINANCIAL SERVICES -- 1.5%
American Express Co. ................................... 2,300 235,175
AmeriCredit Corp.*...................................... 800 11,050
CCB Financial Corp. .................................... 600 34,200
CMAC Investment Corp. .................................. 400 18,375
Countrywide Credit Industries, Inc. .................... 2,100 105,394
Delphi Financial Group, Inc. Class A*................... 714 37,440
Edwards (A.G.), Inc. ................................... 2,800 104,300
Legg Mason, Inc. ....................................... 1,200 37,875
Morgan Stanley Dean Witter Discover & Co. .............. 2,300 163,300
Providian Financial Corp. .............................. 1,350 101,250
-----------
848,359
-----------
FOOD & RELATED -- 1.3%
ConAgra, Inc. .......................................... 3,100 97,650
Earthgrains Co. ........................................ 3,000 92,812
Flowers Industries, Inc. ............................... 3,000 71,812
Heinz (H.J.) Co. ....................................... 1,300 73,612
IBP, Inc. .............................................. 3,300 96,112
Quaker Oats Co. ........................................ 2,400 142,800
Ralcorp Holdings, Inc.*................................. 4,300 78,475
SYSCO Corp. ............................................ 1,500 41,156
Vlasic Foods International, Inc.*....................... 1,800 42,862
-----------
737,291
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
37
<PAGE> 40
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
HOSPITAL MANAGEMENT -- 0.7%
Curative Health Services, Inc.*......................... 600 $ 20,100
Health Management Associates, Inc.*..................... 3,450 74,606
Lincare Holdings, Inc.*................................. 1,600 64,900
Mariner Post Acute Network*............................. 1,900 8,669
Omnicare, Inc. ......................................... 1,000 34,750
United Healthcare Corp. ................................ 1,800 77,513
Universal Health Services, Inc., Class B*............... 1,200 62,250
Wellpoint Health Networks, Inc.*........................ 700 60,900
-----------
403,688
-----------
HOSPITAL SUPPLY -- 2.0%
Abbott Laboratories..................................... 5,600 274,400
ADAC Laboratories*...................................... 1,000 19,969
Allegiance Corp. ....................................... 4,200 195,825
Bindley Western Industries, Inc. ....................... 700 34,475
Biomet, Inc. ........................................... 5,200 209,300
Guidant Corp. .......................................... 1,100 121,275
Hillenbrand Industries, Inc. ........................... 1,400 79,625
Integrated Health Services, Inc. ....................... 1,200 16,950
Johnson & Johnson Co. .................................. 900 75,488
Owens & Minor, Inc. .................................... 1,900 29,925
Patterson Dental Co.*................................... 600 26,100
Safeskin Corp.*......................................... 600 14,475
VISX, Inc.*............................................. 400 34,975
-----------
1,132,782
-----------
INSURANCE -- 2.1%
AFLAC, Inc. ............................................ 4,200 184,800
Allstate Corp. ......................................... 4,200 162,225
AMBAC Financial Group, Inc. ............................ 1,800 108,338
American General Corp. ................................. 2,400 187,200
Capital Re Corp. ....................................... 1,400 28,088
Conseco, Inc. .......................................... 4,500 137,531
Enhance Financial Services Group, Inc. ................. 400 12,000
Equitable Cos., Inc. ................................... 200 11,575
Fidelity National Financial, Inc. ...................... 990 30,195
First American Financial Corp. ......................... 1,700 54,612
Fremont General Corp. .................................. 1,600 39,600
Hartford Financial Services, Inc. ...................... 3,000 164,625
PMI Group, Inc. ........................................ 800 39,500
-----------
1,160,289
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
38
<PAGE> 41
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
MACHINERY & EQUIPMENT -- 0.8%
Applied Power, Inc. .................................... 900 $ 33,975
Briggs & Stratton Corp. ................................ 1,500 74,813
Graco, Inc. ............................................ 600 17,700
Ingersoll-Rand Co. ..................................... 1,900 89,181
JLG Industries, Inc. ................................... 1,400 21,875
Manitowoc Co., Inc. .................................... 1,200 53,250
McDermott International, Inc. .......................... 2,000 49,375
Tecumseh Products Co., Class A.......................... 100 4,663
Terex Corp.*............................................ 1,100 31,419
Trinity Industries, Inc. ............................... 2,100 80,850
-----------
457,101
-----------
METALS & MINING -- 0.7%
Aluminum Company of America............................. 800 59,650
Inland Steel Industries, Inc. .......................... 1,100 18,563
Martin Marietta Materials, Inc. ........................ 2,500 155,469
Stillwater Mining Co*................................... 800 32,800
Texas Industries, Inc. ................................. 1,200 32,325
USX-U.S. Steel Group, Inc. ............................. 2,900 66,700
-----------
365,507
-----------
MULTI-INDUSTRY -- 1.2%
AlliedSignal, Inc. ..................................... 1,800 79,763
Crane Co. .............................................. 2,700 81,506
Honeywell, Inc. ........................................ 1,800 135,563
Mascotech, Inc. ........................................ 1,500 25,688
Pentair, Inc. .......................................... 1,800 71,663
Tyco International Ltd. ................................ 3,900 294,206
-----------
688,389
-----------
OIL (DOMESTIC) -- 0.8%
Ashland, Inc. .......................................... 2,000 96,750
Cabot Oil & Gas Corp. .................................. 1,100 16,500
Devon Energy Corp. ..................................... 900 27,619
Murphy Oil Corp. ....................................... 1,500 61,875
Philips Petroleum Co. .................................. 2,200 93,775
Sunoco, Inc. ........................................... 1,300 46,881
USX-Marathon Group...................................... 3,000 90,375
-----------
433,775
-----------
OIL (INTERNATIONAL) -- 1.5%
Chevron Corp. .......................................... 1,600 132,700
Exxon Corp. ............................................ 6,500 475,313
Mobil Corp. ............................................ 2,900 252,663
-----------
860,676
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
39
<PAGE> 42
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
PAPER & FOREST PRODUCTS -- 0.7%
American Greetings Corp................................. 2,400 $ 98,550
Fort James Corp. ....................................... 1,300 52,000
Georgia Pacific Corp. .................................. 2,800 66,675
Owens-Illinois, Inc.*................................... 5,200 159,250
-----------
376,475
-----------
PHARMACEUTICALS -- 4.0%
Alpharma, Inc. Class A.................................. 1,400 49,438
Biogen, Inc.*........................................... 3,500 290,500
Bristol-Meyers Squibb Co. .............................. 2,400 321,150
Cardinal Health, Inc. .................................. 825 62,597
Lilly (Eli) & Co. ...................................... 2,900 257,738
Medimmune, Inc.*........................................ 300 29,831
Merck & Co., Inc. ...................................... 1,000 147,688
Mylan Laboratories, Inc. ............................... 2,900 91,350
Pfizer, Inc. ........................................... 1,400 175,613
Roberts Pharmaceutical Corp.*........................... 1,200 26,100
Schering-Plough Corp. .................................. 7,400 408,850
Warner-Lambert Co. ..................................... 2,600 195,488
Watson Pharmaceuticals, Inc.*........................... 2,600 163,475
-----------
2,219,818
-----------
PRINTING & PUBLISHING -- 0.9%
Consolidated Graphics, Inc.*............................ 500 33,781
Houghton Mifflin Co. ................................... 1,200 56,700
McGraw-Hill Cos., Inc. ................................. 1,000 101,875
Metro Networks, Inc.*................................... 600 25,575
New York Times Co., Class A............................. 1,500 52,031
Viacom, Inc., Class B*.................................. 2,500 185,000
World Color Press, Inc.*................................ 1,200 36,525
-----------
491,487
-----------
RESTAURANTS/LODGING -- 0.8%
Bob Evans Farms, Inc. .................................. 2,900 75,581
Brinker International, Inc.*............................ 3,000 86,625
CEC Entertainment, Inc.*................................ 1,100 30,525
CKE Restaurants, Inc. .................................. 1,980 58,286
McDonald's Corp. ....................................... 900 68,963
Promus Hotel Corp.*..................................... 1,587 51,379
Ruby Tuesday, Inc. ..................................... 1,900 40,375
Ryan's Family Steak Houses, Inc.*....................... 2,900 35,888
-----------
447,622
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
40
<PAGE> 43
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
RETAIL -- 3.2%
AnnTaylor Stores Corp.*................................. 1,000 $ 39,438
Best Buy Co., Inc.*..................................... 2,700 165,713
Cato Corp., Class A..................................... 1,400 13,781
Gap, Inc. .............................................. 3,300 185,625
Hertz Corp. ............................................ 1,000 45,625
Home Depot, Inc. ....................................... 2,600 159,088
Linens 'n Things, Inc.*................................. 700 27,738
Lowe's Cos., Inc. ...................................... 3,600 184,275
OfficeMax, Inc. ........................................ 8,100 98,213
Pillowtex Corp. ........................................ 600 16,050
Ross Stores, Inc. ...................................... 3,800 149,625
Staples, Inc.*.......................................... 1,500 65,531
TJX Cos., Inc. ......................................... 7,500 217,500
United Stationers, Inc.*................................ 300 7,800
Wal-Mart Stores, Inc.................................... 5,000 407,188
Zale Corp.*............................................. 1,000 32,250
-----------
1,815,440
-----------
RETAIL FOOD/DRUG -- 0.5%
Albertson's, Inc. ...................................... 1,000 63,688
Great Atlantic & Pacific Tea Co., Inc. ................. 700 20,737
Richfood Holdings, Inc. ................................ 1,100 22,825
Safeway, Inc.*.......................................... 2,400 146,250
-----------
253,500
-----------
SEMI-CONDUCTORS/INSTRUMENTATION -- 2.7%
Altera Corp.*........................................... 2,000 121,750
C-Cube Microsystems, Inc.*.............................. 1,500 40,688
Comverse Technology, Inc.*.............................. 1,300 92,300
Hutchinson Technology, Inc.*............................ 900 32,062
Intel Corp. ............................................ 4,800 569,100
Maxim Integrated Products, Inc.*........................ 4,300 187,856
Microchip Technology, Inc.*............................. 4,200 155,400
Plexus Corp.*........................................... 1,000 33,875
PMC-Sierra, Inc.*....................................... 1,300 82,063
Sanmina Corp.*.......................................... 500 31,250
Vitesse Semiconductors Corp.*........................... 1,600 73,000
Xilinx, Inc.*........................................... 1,100 71,638
-----------
1,490,982
-----------
TOBACCO -- 0.6%
Philip Morris Cos., Inc. ............................... 6,300 337,050
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
41
<PAGE> 44
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
TRANSPORTATION -- 0.5%
Burlington Northern Santa Fe Corp....................... 2,400 $ 81,000
CNF Transportation, Inc. ............................... 1,200 45,075
M.S. Carriers, Inc.*.................................... 1,600 52,700
Rollins Truck Leasing Corp.............................. 3,600 53,100
USFreightways Corp. .................................... 1,100 32,038
-----------
263,913
-----------
UTILITIES - ELECTRIC -- 2.5%
Allegheny Energy, Inc................................... 4,900 169,050
BEC Energy.............................................. 2,100 86,494
Calpine Corp.*.......................................... 900 22,725
CMS Energy Corp. ....................................... 3,000 145,313
Conectiv, Inc. ......................................... 6,000 147,000
DQE, Inc. .............................................. 2,250 98,859
Edison International.................................... 2,700 75,263
Energy East Corp. ...................................... 2,700 152,550
FirstEnergy Corp. ...................................... 1,500 48,844
FPL Group, Inc. ........................................ 1,900 117,088
Houston Industries, Inc. ............................... 3,500 112,438
NIPSCO Industries, Inc. ................................ 2,900 88,269
Public Service Co. of New Mexico........................ 3,300 67,444
TNP Enterprises, Inc. .................................. 1,100 41,731
United Illuminating Co. ................................ 600 30,900
-----------
1,403,968
-----------
UTILITIES - GAS & PIPELINE -- 0.8%
Coastal Corp. .......................................... 3,200 111,800
El Paso Energy Corp. ................................... 4,100 142,731
Energen Corp. .......................................... 1,800 35,100
NICOR, Inc. ............................................ 2,200 92,950
Piedmont Natural Gas Co., Inc. ......................... 400 14,450
Southwest Gas Corp. .................................... 1,500 40,313
-----------
437,344
-----------
UTILITIES - TELEPHONE -- 3.2%
Ameritech Corp. ........................................ 4,200 266,175
AT&T Corp. ............................................. 4,600 346,150
Bell Atlantic Corp. .................................... 3,200 181,800
BellSouth Corp. ........................................ 7,200 359,100
Century Telephone Enterprises, Inc...................... 2,300 155,250
Cincinnati Bell, Inc. .................................. 1,500 56,719
Inter-Tel, Inc. ........................................ 800 18,700
MCI WorldCom, Inc.*..................................... 3,600 258,300
U.S. WEST, Inc. ........................................ 2,600 168,025
-----------
1,810,219
-----------
TOTAL COMMON STOCK
(COST $24,629,979)...................................... 33,000,270
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
42
<PAGE> 45
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
INVESTMENT COMPANIES -- 8.3%
T-Rowe Price Foreign Equity Fund........................ 131,800 $ 2,371,082
T-Rowe Price International Equity Fund.................. 152,600 2,287,474
-----------
TOTAL INVESTMENT COMPANIES
(COST $4,151,422)....................................... 4,658,556
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT
-------------------- ---------
<S> <C> <C>
ASSET BACKED SECURITIES -- 0.7%
CPS Auto Grantor Trust, Series 1997-3, Class A1, 6.10%,
12/15/02............................................. $ 114,116 115,045
First USA Credit Card Master Trust, Series 1997-6,
Class A, 6.42%, 03/17/05............................. 250,000 255,730
-----------
TOTAL ASSET BACKED SECURITIES (COST $363,656)............ 370,775
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 5.9%
Access Financial Mortgage Loan Trust, Series 1997-3,
Class A, 6.565%, 05/18/24............................ 300,000 301,317
American Express Master Trust, Series 1998-1, Class A,
5.90%, 04/15/04...................................... 275,000 286,091
Banc One Auto Grantor Trust, Series 1997-B, Class A,
6.29%, 07/20/04...................................... 165,896 167,295
Chase Credit Card Master Trust, Series 1997-2, Class A,
6.30%, 04/15/03...................................... 250,000 254,158
Chase Manhattan Credit Card Master Trust, Series
1996-4, Class A, 6.73%, 02/15/03..................... 250,000 251,377
EQCC Home Equity Loan Trust, Series 1997-2, Class A,
6.72%, 02/15/12...................................... 300,000 305,589
First Plus Home Improvement Loan Trust, Series 1996-3,
Class A, 7.60%, 09/20/14............................. 300,000 312,190
First Plus Home Loan Trust, Series 1997-1, Class A6,
6.95%, 12/10/15...................................... 125,000 125,380
Navistar Financial Corp. Owner Trust, Series 1998-1,
Class A, 5.94%, 11/15/04............................. 242,747 245,059
Nomura Asset Securities Corp., Series 1998-D6, Class A,
6.28%, 03/15/30...................................... 474,787 487,203
Premier Auto Trust, Series 1998-2, Class A, 5.77%,
01/06/02............................................. 300,000 302,721
Sears Credit Acceptance Master Trust, Series 1998-1,
Class A, 5.80%, 08/15/05............................. 275,000 275,899
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$3,282,784)............................................ 3,314,279
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
43
<PAGE> 46
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT
-------------------- ---------
<S> <C> <C>
CORPORATE OBLIGATIONS -- 11.1%
BANKS/SAVINGS & LOANS -- 1.3%
Banc One Corp., 6.375%, 10/01/02....................... $ 375,000 $ 388,125
Norwest Corp., 6.55%, 12/01/06......................... 350,000 368,813
-----------
756,938
-----------
FINANCIAL SERVICES -- 6.7%
Bear Stearns Cos., Inc., 6.75%, 05/01/01............... 400,000 409,000
Chrysler Financial Corp., 6.95%, 03/25/02.............. 500,000 521,875
Countrywide Home Loan, 7.45%, 09/16/03................. 100,000 105,625
General Motors Acceptance Corp., 6.75%, 02/07/02....... 500,000 516,250
Household Finance Corp., 6.875%, 03/01/07.............. 250,000 264,063
Household Netherlands BV, 6.125%, 03/01/03............. 100,000 101,750
International Lease Finance Corp., 6.875%, 05/01/01.... 500,000 516,875
Sears Roebuck Acceptance Corp., 6.15%, 11/15/05........ 500,000 506,250
Smithkline Beecham Corp., 6.625%, 10/01/01............. 500,000 520,000
Transamerica Finance Corp., 6.375%, 11/15/01........... 260,000 261,950
-----------
3,723,638
-----------
FOOD & RELATED -- 0.6%
Hershey Foods Co., 6.70%, 10/01/05..................... 300,000 323,625
-----------
MULTI-INDUSTRY -- 0.9%
Honeywell, Inc., 6.75%, 03/15/02....................... 500,000 520,625
-----------
UTILITIES - ELECTRIC -- 1.1%
Southern California Edison Note, 6.50%, 06/01/01....... 590,000 606,225
-----------
UTILITIES - TELEPHONE -- 0.5%
AT&T Corp., 8.625%, 12/01/31........................... 250,000 279,375
-----------
TOTAL CORPORATE OBLIGATIONS (COST $5,998,765)............ 6,210,426
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 6.4%
FannieMae, 7.50%, 06/01/03............................. 178,465 182,648
FannieMae, 7.00%, 06/01/04............................. 658,319 672,309
FannieMae, 6.48%, 06/28/04............................. 500,000 530,923
FannieMae, 5.75%, 06/15/05............................. 750,000 777,726
FannieMae, 6.50%, 01/01/06............................. 89,430 90,017
FannieMae, 7.50%, 10/01/11............................. 82,371 84,713
Federal Home Loan Mortgage Corp., 8.00%, 01/01/04...... 35,264 36,079
Federal Home Loan Mortgage Corp., 7.00%, 05/01/04...... 603,316 615,382
Federal Home Loan Mortgage Corp., 6.50%, 06/01/04...... 572,027 579,535
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (COST
$3,463,623)............................................ 3,569,332
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
44
<PAGE> 47
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Concluded
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT
-------------------- ---------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 6.9%
U.S. TREASURY BILLS -- 1.7%
U.S. Treasury Bill, 4.10%, 01/07/99.................... $ 4,000 $ 3,997
U.S. Treasury Bill, 4.34-4.52%, 01/21/99............... 912,000 909,770
U.S. Treasury Bill, 4.30%, 02/11/99.................... 16,000 15,922
U.S. Treasury Bill, 4.37%, 03/11/99.................... 16,000 15,873
-----------
945,562
-----------
U.S. TREASURY BONDS & NOTES -- 5.2%
U.S. Treasury Bond, 7.50%, 11/15/16.................... 150,000 186,298
U.S. Treasury Note, 6.25%, 08/31/00.................... 25,000 25,631
U.S. Treasury Note, 6.125%, 09/30/00................... 175,000 179,302
U.S. Treasury Note, 6.50%, 05/15/05.................... 425,000 465,615
U.S. Treasury Note, 6.875%, 05/15/06................... 125,000 141,584
U.S. Treasury Note, 6.50%, 10/15/06.................... 575,000 639,382
U.S. Treasury Note, 6.25%, 02/15/07.................... 500,000 549,668
U.S. Treasury Note, 6.625%, 05/15/07................... 250,000 281,679
U.S. Treasury Note, 6.25%, 08/15/23.................... 400,000 447,481
-----------
2,916,640
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST $3,673,527)........ 3,862,202
-----------
TOTAL INVESTMENTS (COST $45,563,756)(A) -- 98.4%......... 54,985,840
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.6%............ 901,567
-----------
NET ASSETS -- 100.0%..................................... $55,887,407
===========
</TABLE>
<TABLE>
Percentages indicated are based on net assets of $55,887,407.
<S> <C> <C>
(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 $14,309. Cost for federal
income tax purposes differs from value by net unrealized
appreciation of securities as follows:
Unrealized appreciation.................................. $10,232,116
Unrealized depreciation.................................. (824,341)
-----------
Net unrealized appreciation.............................. $ 9,407,775
===========
* Non-income producing securities.
</TABLE>
- ---------------
See Notes to Financial Statements.
45
<PAGE> 48
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
----------- ----------- -----------
<S> <C> <C> <C>
ASSETS:
Investments in securities, at value
(cost $33,971,878, $41,410,484, and
$45,563,756, respectively)................. $38,556,143 $48,183,258 $54,985,840
Cash......................................... 40 960 179
Interest and dividends receivable............ 251,788 251,818 186,061
Receivable for capital shares sold........... 6,312 16,863 19,824
Receivable for investment securities sold.... 339,301 778,671 1,006,332
Unamortized organization costs............... 8,489 8,046 8,017
Prepaid expenses............................. 30,256 33,466 34,190
----------- ----------- -----------
Total Assets............................... 39,192,329 49,273,082 56,240,443
----------- ----------- -----------
LIABILITIES:
Dividends payable............................ 59,283 29,711 13,117
Payable for investment securities
purchased.................................. 10,445 26,546 36,312
Payable for capital shares redeemed.......... 82,462 243,999 175,558
Management fees payable...................... 6,233 9,591 9,875
Shareholder service fees payable
(A, B and K Shares)........................ 8,186 10,118 11,449
12b-1 fees payable (B and K Shares).......... 18,323 22,310 25,488
Other accrued expenses....................... 62,912 64,114 81,237
----------- ----------- -----------
Total Liabilities.......................... 247,844 406,389 353,036
----------- ----------- -----------
NET ASSETS................................... $38,944,485 $48,866,693 $55,887,407
=========== =========== ===========
Net Assets:
A Shares................................... $9,888,149 $12,848,961 $14,002,379
B Shares................................... 28,955,985 35,500,208 41,176,626
K Shares................................... 100,351 517,524 708,402
----------- ----------- -----------
Total...................................... $38,944,485 $48,866,693 $55,887,407
=========== =========== ===========
Shares Outstanding (no par value, unlimited
shares authorized):
A Shares................................... 840,516 1,033,425 1,034,730
B Shares................................... 2,472,699 2,875,763 3,063,293
K Shares................................... 8,616 42,135 52,795
----------- ----------- -----------
Total...................................... 3,321,831 3,951,323 4,150,818
=========== =========== ===========
Net Asset Value:
A Shares -- offering price and redemption
price per share.......................... $ 11.76 $ 12.43 $ 13.53
=========== =========== ===========
B Shares -- offering price................. $ 11.71 $ 12.34 $ 13.44
=========== =========== ===========
K Shares -- offering price and redemption
price per share.......................... $ 11.65 $ 12.28 $ 13.42
=========== =========== ===========
COMPOSITION OF NET ASSETS:
Paid in Capital.............................. $34,540,686 $42,287,826 $46,204,378
Distributions in excess of net investment
income..................................... (629,952) (642,500) (494,758)
Accumulated net realized gains on investment
transactions............................... 449,486 448,593 755,703
Net unrealized appreciation of investments... 4,584,265 6,772,774 9,422,084
----------- ----------- -----------
NET ASSETS, DECEMBER 31, 1998................ $38,944,485 $48,866,693 $55,887,407
=========== =========== ===========
</TABLE>
- ---------------
See Notes to Financial Statements.
46
<PAGE> 49
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Statements of Operations
For the six months ended December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
----------- ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest................................ $ 791,424 $ 725,491 $ 568,052
Dividends............................... 131,073 257,932 332,282
---------- ---------- ----------
Total Income.......................... 922,497 983,423 900,334
---------- ---------- ----------
EXPENSES:
Management fees......................... 117,302 143,730 160,432
Shareholder service fees (A Shares)..... 12,133 15,600 16,871
Shareholder service fees (B Shares)..... 36,645 43,751 49,248
Shareholder service fees (K Shares)..... 98 537 728
12b-1 fees (B Shares)................... 109,936 131,252 147,743
12b-1 fees (K Shares)................... 196 1,073 1,457
Transfer agent fees..................... 35,037 49,312 63,613
Accounting fees......................... 15,123 15,123 15,123
Custodian fees.......................... 16,838 17,629 17,517
Legal fees.............................. 17,771 21,762 24,853
Audit fees.............................. 7,971 7,971 7,971
Trustees' fees and expenses............. 11,130 13,631 15,566
Registration and filing fees............ 9,235 8,203 8,639
Reports to shareholders................. 22,637 27,723 31,659
Organization costs...................... 2,576 2,576 2,208
Other expenses.......................... 12,405 14,388 15,090
---------- ---------- ----------
Total Expenses........................ 427,033 514,261 578,718
Less: Fee waivers....................... (79,958) (91,899) (106,786)
---------- ---------- ----------
Total Net Expenses.................... 347,075 422,362 471,932
---------- ---------- ----------
NET INVESTMENT INCOME..................... 575,422 561,061 428,402
---------- ---------- ----------
NET REALIZED/UNREALIZED GAIN ON
INVESTMENTS:
Net realized gains on investment
transactions........................ 451,734 583,503 821,775
Net change in unrealized appreciation
on investments...................... 826,886 979,719 1,304,740
---------- ---------- ----------
Net realized/unrealized gains on
investments............................. 1,278,620 1,563,222 2,126,515
---------- ---------- ----------
INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS.............................. $1,854,042 $2,124,283 $2,554,917
========== ========== ==========
</TABLE>
- ---------------
See Notes to Financial Statements.
47
<PAGE> 50
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1
--------------------------
SIX MONTHS
ENDED YEAR ENDED
DECEMBER 31, JUNE 30,
1998 1998
------------ ----------
(UNAUDITED)
<S> <C> <C>
INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.................................. $ 575,422 $ 1,162,785
Net realized gains on investment transactions.......... 451,734 2,721,056
Net change in unrealized appreciation of investments... 826,886 909,002
----------- -----------
Change in net assets resulting from operations........... 1,854,042 4,792,843
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
A Shares............................................. (326,027) (303,557)
B Shares............................................. (818,743) (808,548)
K Shares............................................. (3,172) (1,368)
In excess of net investment income
A Shares............................................. (178,912) --
B Shares............................................. (449,299) --
K Shares............................................. (1,741) --
From net realized gains from investment transactions
A Shares............................................. (498,056) (264,716)
B Shares............................................. (1,481,466) (901,438)
K Shares............................................. (4,813) (1,231)
----------- -----------
Change in net assets from shareholder distributions...... (3,762,229) (2,280,858)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued............................ 1,414,142 2,553,697
Dividends reinvested................................... 3,673,518 2,229,620
Cost of shares redeemed................................ (4,953,600) (6,585,495)
----------- -----------
Change in net assets from capital share transactions..... 134,060 (1,802,178)
----------- -----------
Change in net assets..................................... (1,774,127) 709,807
NET ASSETS:
Beginning of Year...................................... 40,718,612 40,008,805
----------- -----------
End of Period.......................................... $38,944,485 $40,718,612
=========== ===========
Accumulated Undistributed Net Investment Income.......... $ -- $ 572,520
=========== ===========
Distributions in Excess of Net Investment Income......... $ 629,952 $ --
=========== ===========
</TABLE>
- ---------------
See Notes to Financial Statements.
48
<PAGE> 51
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 2 PORTFOLIO 3
-------------------------- --------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
1998 1998 1998 1998
------------ ---------- ------------ ----------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
$ 561,061 $ 1,111,570 $ 428,402 $ 786,544
583,503 3,810,224 821,775 6,000,121
979,719 1,632,270 1,304,740 2,313,634
----------- ----------- ----------- -----------
2,124,283 6,554,064 2,554,917 9,100,299
----------- ----------- ----------- -----------
(349,868) (275,944) (253,979) (203,802)
(810,913) (594,168) (540,882) (392,613)
(13,382) (4,907) (11,078) (6,418)
(191,448) -- (155,915) --
(443,730) -- (332,042) --
(7,322) -- (6,801) --
(834,812) (369,476) (1,260,133) (520,616)
(2,356,094) (1,095,471) (3,741,203) (1,612,825)
(33,056) (6,473) (61,785) (17,485)
----------- ----------- ----------- -----------
(5,040,625) (2,346,439) (6,363,818) (2,753,759)
----------- ----------- ----------- -----------
889,929 5,081,360 1,549,443 6,577,283
4,992,817 2,326,331 6,308,425 2,732,255
(4,211,819) (6,466,563) (4,958,547) (7,223,088)
----------- ----------- ----------- -----------
1,670,927 941,128 2,899,321 2,086,450
----------- ----------- ----------- -----------
(1,245,415) 5,148,753 (909,580) 8,432,990
50,112,108 44,963,355 56,796,987 48,363,997
----------- ----------- ----------- -----------
$48,866,693 $50,112,108 $55,887,407 $56,796,987
=========== =========== =========== ===========
$ -- $ 613,102 $ -- $ 377,537
=========== =========== =========== ===========
$ 642,500 $ -- $ 494,758 $ --
=========== =========== =========== ===========
</TABLE>
49
<PAGE> 52
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
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, 1998, 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 Services Plan. In addition, B
Shares have a Distribution Services 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% maximum front-end sales charge. Effective June 16,
1997, B Shares were no longer available to new investors. Prior to June 16, 1997
B Shares were offered at net asset value but were 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 Fund or a Pacific Horizon Funds, Inc. fund with no sales charges or
redemption fees as described in the Funds' prospectus.
The Funds' investment objective is to provide investors a 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 BankAmerica Corporation ("BankAmerica"), serves as the Funds'
Adviser and
50
<PAGE> 53
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Administrator, providing investment advisory and administrative services.
On October 1, 1998, BankAmerica, the Adviser's and Administrator's parent
company, completed its merger with NationsBank Corporation. The combined company
operates under the name BankAmerica Corporation. Bank of America continues to
serve the Funds on substantially identical terms as described in Note 3.
Furthermore, pursuant to authority granted in the Administration Agreement,
Bank of America has entered into an agreement with PFPC Inc. ("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.
Distributor and Transfer Agent
Provident Distributors, Inc. ("PDI"), serves as principal underwriter and
distributor of shares of the funds. PFPC serves as the Fund's transfer agent and
dividend disbursing agent.
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,
51
<PAGE> 54
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
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/EXPENSES:
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.
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.
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
52
<PAGE> 55
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
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.
As of June 30, 1998, the following reclassifications have been made to
increase (decrease) such accounts with offsetting adjustments made to paid-in
capital:
<TABLE>
<CAPTION>
ACCUMULATED
ACCUMULATED NET REALIZED
UNDISTRIBUTED GAIN/
NET INVESTMENT (LOSS) ON
INCOME/(LOSS) INVESTMENTS
-------------- ------------
<S> <C> <C>
Portfolio 1.......... $ (8,947) $ 8,947
Portfolio 2.......... (79,332) 79,332
Portfolio 3.......... (99,478) 99,478
</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.
NOTE 3 -- AGREEMENTS AND OTHER TRANSACTIONS WITH AFFILIATES
Bank of America serves as the Funds' Adviser and Administrator, providing
investment advisory and administrative services. Pursuant to the terms of the
Investment Advisory Agreement, Bank of America is entitled to receive fees from
the Funds, which are accrued daily and payable monthly, at an annual rate of
0.40% of the Funds' average daily net assets. Pursuant to the terms of the
Administration Agreement, Bank of America is entitled to receive fees from the
Funds, which are accrued daily and payable monthly at an annual rate of 0.20% of
the Funds' average daily net assets. Pursuant to the terms of its
sub-administration agreement with PFPC, Bank of America will bear all fees and
expenses charged by PFPC for such services.
53
<PAGE> 56
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
The Company has adopted a Shareholder Service Plan for A Shares, B Shares,
and K Shares, under which the Funds reimburse PDI, 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, 1998, the Funds were advised that PDI
retained $5,278 for Portfolio 1, $3,100 for Portfolio 2, and $3,189 for
Portfolio 3, pursuant to the Shareholder Services Plan. 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
AND
FUND AFFILIATES
---- ----------
<S> <C>
Portfolio 1................... $43,328
Portfolio 2................... $55,938
Portfolio 3................... $62,863
</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 PDI 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, 1998, the Funds were advised that PDI retained $1,630
for Portfolio 1, $1,734 for Portfolio 2, and $4,801 for Portfolio 3. For the
same period, the Funds were advised that Bank of America and its affiliates
earned the following amounts pursuant to the Distribution Service Plan:
<TABLE>
<CAPTION>
BANK OF
AMERICA
AND
FUND AFFILIATES
---- ----------
<S> <C>
Portfolio 1.................. $108,199
Portfolio 2.................. $129,518
Portfolio 3.................. $142,942
</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 adminis-
54
<PAGE> 57
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
trative 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.
In its capacity as transfer agent and dividend disbursing agent, PFPC earned
$35,037, $49,312 and $63,613 from Portfolio 1, Portfolio 2, and Portfolio 3,
respectively, for the period ended December 31, 1998.
For the period ended December 31, 1998, Portfolio 1, Portfolio 2 and
Portfolio 3 incurred legal charges totaling $17,771, $21,762 and $24,853,
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.
55
<PAGE> 58
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
Information regarding related party transactions is as follows for the
period ended December 31, 1998:
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
----------- ----------- -----------
<S> <C> <C> <C>
INVESTMENT ADVISORY FEES:
Annual fee before waivers (Percentage of average
net assets)..................................... .40% .40% .40%
Waivers........................................... $75,423 $90,504 $101,426
ADMINISTRATION FEES:
Annual fee before waivers (Percentage of average
net assets)..................................... .20% .20% .20%
Waivers........................................... $ 4,535 $ 1,395 $ 5,360
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%
</TABLE>
NOTE 4 -- SECURITIES TRANSACTIONS
For the period ended December 31, 1998, 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.......... $ 4,509,217 $ 6,661,743
Portfolio 2.......... 8,425,985 10,285,465
Portfolio 3.......... 11,347,350 14,856,921
</TABLE>
56
<PAGE> 59
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
NOTE 5 -- CAPITAL SHARE TRANSACTIONS
Transactions in capital shares for the Funds are summarized below:
<TABLE>
<CAPTION>
PORTFOLIO 1
-----------------------------------------------
SIX MONTHS ENDED
DECEMBER 31, 1998 YEAR ENDED
(UNAUDITED) JUNE 30, 1998
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------
<S> <C> <C> <C> <C>
A SHARES
Issued.................................. 65,877 $ 822,873 178,234 $ 2,161,381
Reinvested.............................. 83,928 996,930 47,410 557,590
Redeemed................................ (93,805) (1,155,038) (159,445) (1,931,984)
-------- ----------- -------- -----------
Net increase.............................. 56,000 $ 664,765 66,199 $ 786,987
======== =========== ======== ===========
B SHARES
Issued.................................. 45,041 $ 545,559 26,399 $ 316,178
Reinvested.............................. 226,178 2,666,920 143,220 1,669,504
Redeemed................................ (307,934) (3,767,914) (385,990) (4,636,263)
-------- ----------- -------- -----------
Net decrease.............................. (36,715) $ (555,435) (216,371) $(2,650,581)
======== =========== ======== ===========
K SHARES
Issued.................................. 3,759 $ 45,710 6,298 $ 76,138
Reinvested.............................. 823 9,668 216 2,526
Redeemed................................ (2,470) (30,648) (1,419) (17,248)
-------- ----------- -------- -----------
Net increase.............................. 2,112 $ 24,730 5,095 $ 61,416
======== =========== ======== ===========
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO 2
------------------------------------------------
SIX MONTHS ENDED
DECEMBER 31, 1998 YEAR ENDED
(UNAUDITED) JUNE 30, 1998
---------------------- -----------------------
SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------
<S> <C> <C> <C> <C>
A SHARES
Issued................................. 25,254 $ 326,308 263,191 $ 3,383,297
Reinvested............................. 110,326 1,365,968 52,081 642,355
Redeemed............................... (93,778) (1,212,954) (220,809) (2,835,277)
-------- ----------- --------- -----------
Net increase............................. 41,802 $ 479,322 94,463 $ 1,190,375
======== =========== ========= ===========
B SHARES
Issued................................. 32,758 $ 420,472 109,062 $ 1,375,387
Reinvested............................. 291,895 3,573,171 137,055 1,672,654
Redeemed............................... (231,734) (2,957,374) (280,953) (3,568,688)
-------- ----------- --------- -----------
Net increase/(decrease).................. 92,919 $ 1,036,269 (34,836) $ (520,647)
======== =========== ========= ===========
K SHARES
Issued................................. 11,260 $ 143,149 25,378 322,676
Reinvested............................. 4,391 53,678 929 11,322
Redeemed............................... (3,207) (41,491) (4,896) (62,598)
-------- ----------- --------- -----------
Net increase............................. 12,444 $ 155,336 21,411 $ 271,400
======== =========== ========= ===========
</TABLE>
57
<PAGE> 60
- --------------------------------------------------------------------------------
Notes to Financial Statements, Concluded
December 31, 1998 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 3
------------------------------------------------
SIX MONTHS ENDED
DECEMBER 31, 1998 YEAR ENDED
(UNAUDITED) JUNE 30, 1998
---------------------- -----------------------
SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------
<S> <C> <C> <C> <C>
A SHARES
Issued................................. 40,721 $ 582,376 300,357 $ 4,160,776
Reinvested............................. 125,112 1,649,080 54,334 716,448
Redeemed............................... (113,363) (1,578,752) (181,734) (2,531,077)
-------- ----------- --------- -----------
Net increase............................. 52,470 $ 652,704 172,957 $ 2,346,147
======== =========== ========= ===========
B SHARES
Issued................................. 51,926 $ 741,624 137,951 $ 1,908,252
Reinvested............................. 352,562 4,579,798 152,727 1,991,952
Redeemed............................... (241,025) (3,289,017) (329,148) (4,561,204)
-------- ----------- --------- -----------
Net increase/(decrease).................. 163,463 $ 2,032,405 (38,470) $ (661,000)
======== =========== ========= ===========
K SHARES
Issued................................. 16,433 $ 225,443 37,081 $ 508,255
Reinvested............................. 6,105 79,547 1,823 23,855
Redeemed............................... (6,456) (90,778) (9,479) (130,807)
-------- ----------- --------- -----------
Net increase............................. 16,082 $ 214,212 29,425 $ 401,303
======== =========== ========= ===========
</TABLE>
58
<PAGE> 61
TIME HORIZON PORTFOLIO 1
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR FOR THE YEAR FOR THE PERIOD
DECEMBER 31, 1998 ENDED ENDED ENDED
(UNAUDITED) JUNE 30, 1998 JUNE 30, 1997 June 30, 1996(a)
----------------- ------------- ------------- ----------------
<S> <C> <C> <C> <C>
A SHARES
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD............... $12.47 $11.67 $10.65 $10.04(d)
------ ------ ------ ------
Income from Investment Operations:
Net investment income............. 0.22 0.39 0.38 0.22
Net realized and unrealized gains
on investments transactions..... 0.35 1.15 0.99 0.45
------ ------ ------ ------
Total income from investment
operations........................ 0.57 1.54 1.37 0.67
------ ------ ------ ------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income............... (0.41) (0.39) (0.31) (0.06)
Distributions in excess of net
investment income............... (0.22) -- -- --
Distributions to shareholders from
net realized gains on investment
transactions.................... (0.65) (0.35) (0.04) --
------ ------ ------ ------
Total Dividends and
Distributions..................... (1.28) (0.74) (0.35) (0.06)
------ ------ ------ ------
Net change in net asset value per
share............................. (0.71) 0.80 1.02 0.61
------ ------ ------ ------
NET ASSET VALUE PER SHARE, END OF
PERIOD............................ $11.76 $12.47 $11.67 $10.65
====== ====== ====== ======
Total return....................... 12.16%(b) 13.70% 13.13% 6.68%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
(000)........................... $9,888 $9,782 $8,384 $7,172
Ratio of expenses to average net
assets.......................... 1.20%(c) 1.20% 0.99% 0.49%(c)
Ratio of net investment income to
average net assets.............. 3.52%(c) 3.43% 3.62% 3.96%(c)
Ratio of expenses to average net
assets*......................... 1.61%(c) 1.47% 1.67% 2.95%(c)
Ratio of net investment income to
average net assets*............. 3.11%(c) 3.16% 2.94% 1.50%(c)
Portfolio turnover rate**......... 12% 61% 73% 72%
</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 among 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).
See Notes to Financial Statements.
59
<PAGE> 62
TIME HORIZON PORTFOLIO 1
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR FOR THE YEAR FOR THE PERIOD
DECEMBER 31, 1998 ENDED ENDED ENDED
(UNAUDITED) JUNE 30, 1998 JUNE 30, 1997 JUNE 30, 1996(a)
----------------- ------------- ------------- ----------------
<S> <C> <C> <C> <C>
B SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD................................... $ 12.30 $ 11.60 $ 10.60 $ 10.04(d)
------- ------- ------- -------
Income from Investment Operations:
Net investment income.................... 0.19 0.33 0.26 0.18
Net realized and unrealized gains on
investments transactions............... 0.41 1.03 1.03 0.43
------- ------- ------- -------
Total income from investment operations... 0.60 1.36 1.29 0.61
------- ------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income...................... (0.35) (0.31) (0.25) (0.05)
Distributions in excess of net investment
income................................. (0.19) -- -- --
Distributions to shareholders from net
realized gains on investment
transactions........................... (0.65) (0.35) (0.04) --
------- ------- ------- -------
Total Dividends and Distributions......... (1.19) (0.66) (0.29) (0.05)
------- ------- ------- -------
Net change in net asset value per share... (0.59) 0.70 1.00 0.56
------- ------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD................................... $ 11.71 $ 12.30 $ 11.60 $ 10.60
======= ======= ======= =======
Total return (excludes sales charge)...... 12.06%(b) 12.14% 12.36% 6.09%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000)........ $28,956 $30,857 $31,609 $18,681
Ratio of expenses to average net
assets................................. 1.95%(c) 1.95% 1.77% 1.29%(c)
Ratio of net investment income to average
net assets............................. 2.75%(c) 2.68% 2.85% 3.16%(c)
Ratio of expenses to average net
assets*................................ 2.36%(c) 2.23% 2.43% 3.65%(c)
Ratio of net investment income to average
net assets*............................ 2.34%(c) 2.40% 2.19% 0.80%(c)
Portfolio turnover rate**................ 12% 61% 73% 72%
</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 among 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).
See Notes to Financial Statements.
60
<PAGE> 63
TIME HORIZON PORTFOLIO 1
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR FOR THE PERIOD
DECEMBER 31, 1998 ENDED ENDED
(UNAUDITED) JUNE 30, 1998 JUNE 30, 1997(a)
----------------- ------------- ----------------
<S> <C> <C> <C>
K SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD................................. $ 12.34 $ 11.61 $ 10.41
------- ------- -------
Income from Investment Operations:
Net investment income.................. 0.17 0.30 0.36
Net realized and unrealized gains on
investments transactions............. 0.39 1.16 1.16
------- ------- -------
Total income from investment
operations............................. 0.56 1.46 1.52
------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income.................... (0.39) (0.38) (0.28)
Distributions in excess of net
investment income.................... (0.21) -- --
Distributions to shareholders from net
realized gains on investment
transactions......................... (0.65) (0.35) (0.04)
------- ------- -------
Total Dividends and Distributions........ (1.25) (0.73) (0.32)
------- ------- -------
Net change in net asset value per
share.................................. (0.69) 0.73 1.20
------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD................................. $ 11.65 $ 12.34 $ 11.61
======= ======= =======
Total return............................. 11.90%(b) 13.07% 14.78%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000)...... $ 100 $ 80 $ 16
Ratio of expenses to average net
assets............................... 1.70%(c) 1.70% 1.60%(c)
Ratio of net investment income to
average net assets................... 3.08%(c) 2.96% 2.98%(c)
Ratio of expenses to average net
assets*.............................. 2.12%(c) 1.95% 2.19%(c)
Ratio of net investment income to
average net assets*.................. 2.66%(c) 2.71% 2.39%(c)
Portfolio turnover rate**.............. 12% 61% 73%
</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 among the classes of shares issued.
(a) Period from July 22,1996 (inception date) to June 30, 1997.
(b) Not annualized.
(c) Annualized.
See Notes to Financial Statements.
61
<PAGE> 64
TIME HORIZON PORTFOLIO 2
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR FOR THE YEAR FOR THE PERIOD
DECEMBER 31, 1998 ENDED ENDED ENDED
(UNAUDITED) JUNE 30, 1998 JUNE 30, 1997 JUNE 30, 1996(a)
----------------- ------------- ------------- ----------------
<S> <C> <C> <C> <C>
A SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD................................... $ 13.32 $ 12.15 $ 10.73 $10.04(d)
------- ------- ------- ------
Income from Investment Operations:
Net investment income.................... 0.19 0.37 0.31 0.21
Net realized and unrealized gains on
investments transactions............... 0.37 1.49 1.39 0.54
------- ------- ------- ------
Total income from investment operations... 0.56 1.86 1.70 0.75
------- ------- ------- ------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income...................... (0.35) (0.32) (0.28) (0.06)
Distributions in excess of net investment
income................................. (0.20) -- -- --
Distributions to shareholders from net
realized gains on investment
transactions........................... (0.90) (0.37) -- --
------- ------- ------- ------
Total Dividends and Distributions......... (1.45) (0.69) (0.28) (0.06)
------- ------- ------- ------
Net change in net asset value per share... (0.89) 1.17 1.42 0.69
------- ------- ------- ------
NET ASSET VALUE PER SHARE, END OF
PERIOD................................... $ 12.43 $ 13.32 $ 12.15 $10.73
======= ======= ======= ======
Total return.............................. 13.58%(b) 15.82% 16.05% 7.48%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000)........ $12,849 $13,210 $10,899 $7,389
Ratio of expenses to average net
assets................................. 1.20%(c) 1.20% 0.99% 0.50%(c)
Ratio of net investment income to average
net assets............................. 2.90%(c) 2.88% 3.14% 3.72%(c)
Ratio of expenses to average net
assets*................................ 1.59%(c) 1.51% 1.63% 3.12%(c)
Ratio of net investment income to average
net assets*............................ 2.51%(c) 2.57% 2.50% 1.10%(c)
Portfolio turnover rate**................ 18% 60% 78% 72%
</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 among 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).
See Notes to Financial Statements.
62
<PAGE> 65
TIME HORIZON PORTFOLIO 2
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR FOR THE YEAR FOR THE PERIOD
DECEMBER 31, 1998 ENDED ENDED ENDED
(UNAUDITED) JUNE 30, 1998 JUNE 30, 1997 JUNE 30, 1996(a)
----------------- ------------- ------------- ----------------
<S> <C> <C> <C> <C>
B SHARES
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD.............. $ 13.12 $ 12.05 $ 10.68 $ 10.04(d)
------- ------- ------- -------
Income from Investment Operations:
Net investment income............ 0.13 0.30 0.22 0.15
Net realized and unrealized gains
on investments transactions.... 0.44 1.38 1.37 0.54
------- ------- ------- -------
Total income from investment
operations....................... 0.57 1.68 1.59 0.69
------- ------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from
net investment income.......... (0.29) (0.24) (0.22) (0.05)
Distributions in excess of net
investment income.............. (0.16) -- -- --
Distributions to shareholders
from net realized gains on
investment transactions........ (0.90) (0.37) -- --
------- ------- ------- -------
Total Dividends and
Distributions.................... (1.35) (0.61) (0.22) (0.05)
------- ------- ------- -------
Net change in net asset value per
share............................ (0.78) 1.07 1.37 0.64
------- ------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD........................... $ 12.34 $ 13.12 $ 12.05 $ 10.68
======= ======= ======= =======
Total return (excludes sales
charge).......................... 13.35%(b) 14.36% 15.04% 6.88%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
(000).......................... $35,500 $36,512 $33,965 $18,350
Ratio of expenses to average net
assets......................... 1.95%(c) 1.95% 1.77% 1.32%(c)
Ratio of net investment income to
average net assets............. 2.14%(c) 2.12% 2.37% 2.92%(c)
Ratio of expenses to average net
assets*........................ 2.33%(c) 2.26% 2.39% 3.87%(c)
Ratio of net investment income to
average net assets*............ 1.76%(c) 1.81% 1.75% 0.37%(c)
Portfolio turnover rate**........ 18% 60% 78% 72%
</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 among 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).
See Notes to Financial Statements.
63
<PAGE> 66
TIME HORIZON PORTFOLIO 2
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR FOR THE PERIOD
DECEMBER 31, 1998 ENDED ENDED
(UNAUDITED) JUNE 30, 1998 JUNE 30, 1997(a)
----------------- ------------- ----------------
<S> <C> <C> <C>
K SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD........................................ $13.14 $12.03 $10.39
------ ------ ------
Income from Investment Operations:
Net investment income......................... 0.14 0.29 0.29
Net realized and unrealized gains on
investments transactions.................... 0.41 1.49 1.61
------ ------ ------
Total income from investment operations........ 0.55 1.78 1.90
------ ------ ------
Less Dividends and Distributions:
Dividends to shareholders from net investment
income...................................... (0.33) (0.30) (0.26)
Distributions in excess of net investment
income...................................... (0.18) -- --
Distributions to shareholders from net
realized gains on investment transactions... (0.90) (0.37) --
------ ------ ------
Total Dividends and Distributions.............. (1.41) (0.67) (0.26)
------ ------ ------
Net change in net asset value per share........ (0.86) 1.11 1.64
------ ------ ------
NET ASSET VALUE PER SHARE, END OF PERIOD....... $12.28 $13.14 $12.03
====== ====== ======
Total return................................... 13.45%(b) 15.29% 18.49%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000)............. $ 518 $ 390 $ 100
Ratio of expenses to average net assets....... 1.70%(c) 1.69% 1.59%(c)
Ratio of net investment income to average net
assets...................................... 2.48%(c) 2.35% 2.50%(c)
Ratio of expenses to average net assets*...... 2.10%(c) 2.00% 2.20%(c)
Ratio of net investment income to average net
assets*..................................... 2.08%(c) 2.04% 1.89%(c)
Portfolio turnover rate**..................... 18% 60% 78%
</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 among the classes of shares issued.
(a) Period from July 22, 1996 (inception date) to June 30, 1997.
(b) Not annualized.
(c) Annualized.
See Notes to Financial Statements.
64
<PAGE> 67
TIME HORIZON PORTFOLIO 3
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR FOR THE YEAR FOR THE PERIOD
DECEMBER 31, 1998 ENDED ENDED ENDED
(UNAUDITED) JUNE 30, 1998 JUNE 30, 1997 JUNE 30, 1996(a)
------------------ -------------- -------------- ----------------
<S> <C> <C> <C> <C>
A SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD.................................. $ 14.66 $ 12.95 $ 10.94 $10.04(d)
------- ------- ------- ------
Income from Investment Operations:
Net investment income................... 0.14 0.27 0.23 0.18
Net realized and unrealized gains on
investments transactions.............. 0.51 2.22 2.00 0.77
------- ------- ------- ------
Total income from investment
operations.............................. 0.65 2.49 2.23 0.95
------- ------- ------- ------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income..................... (0.25) (0.23) (0.22) (0.05)
Distributions in excess of net
investment income..................... (0.16) -- -- --
Distributions to shareholders from net
realized gains on investment
transactions.......................... (1.37) (0.55) -- --
------- ------- ------- ------
Total Dividends and Distributions........ (1.78) (0.78) (0.22) (0.05)
------- ------- ------- ------
Net change in net asset value per
share................................... (1.13) 1.71 2.01 0.90
------- ------- ------- ------
NET ASSET VALUE PER SHARE, END OF
PERIOD.................................. $ 13.53 $ 14.66 $ 12.95 $10.94
======= ======= ======= ======
Total return............................. 16.70%(b) 19.96% 20.62% 9.46%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000)....... $14,002 $14,396 $10,483 $6,033
Ratio of expenses to average net
assets................................ 1.20%(c) 1.19% 0.99% 0.51%(c)
Ratio of net investment income to
average net assets.................... 2.16%(c) 2.04% 2.38% 3.29%(c)
Ratio of expenses to average net
assets*............................... 1.60%(c) 1.54% 1.66% 3.32%(c)
Ratio of net investment income to
average net assets*................... 1.76%(c) 1.69% 1.71% 0.48%(c)
Portfolio turnover rate**............... 22% 70% 84% 66%
</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 among 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).
See Notes to Financial Statements.
65
<PAGE> 68
TIME HORIZON PORTFOLIO 3
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE FOR THE FOR THE
DECEMBER 31, 1998 YEAR ENDED YEAR ENDED PERIOD ENDED
(UNAUDITED) JUNE 30, 1998 JUNE 30, 1997 JUNE 30, 1996(a)
----------------- ------------- ------------- ----------------
<S> <C> <C> <C> <C>
B SHARES
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD............... $ 14.44 $ 12.86 $ 10.90 $ 10.04(d)
------- ------- ------- -------
Income from Investment Operations:
Net investment income............. 0.08 0.19 0.14 0.12
Net realized and unrealized gains
on investments transactions..... 0.58 2.09 1.98 0.78
------- ------- ------- -------
Total income from investment
operations........................ 0.66 2.28 2.12 0.90
------- ------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income............... (0.18) (0.15) (0.16) (0.04)
Distributions in excess of net
investment income............... (0.11) -- -- --
Distributions to shareholders from
net realized gains on investment
transactions.................... (1.37) (0.55) -- --
------- ------- ------- -------
Total Dividends and
Distributions..................... (1.66) (0.70) (0.16) (0.04)
------- ------- ------- -------
Net change in net asset value per
share............................. (1.00) 1.58 1.96 0.86
------- ------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD............................ $ 13.44 $ 14.44 $ 12.86 $ 10.90
======= ======= ======= =======
Total return (excludes sales
charge)........................... 16.44%(b) 18.34% 19.66% 8.98%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
(000)........................... $41,177 $41,868 $37,787 $16,441
Ratio of expenses to average net
assets.......................... 1.95%(c) 1.94% 1.76% 1.34%(c)
Ratio of net investment income to
average net assets.............. 1.41%(c) 1.28% 1.59% 2.47%(c)
Ratio of expenses to average net
assets*......................... 2.35%(c) 2.29% 2.40% 4.08%(c)
Ratio of net investment income to
average net assets*............. 1.01%(c) 0.93% 0.95% (0.27%)(c)
Portfolio turnover rate**......... 22% 70% 84% 66%
</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 among 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).
See Notes to Financial Statements.
66
<PAGE> 69
TIME HORIZON PORTFOLIO 3
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR FOR THE PERIOD
DECEMBER 31, 1998 ENDED ENDED
(UNAUDITED) JUNE 30, 1998 June 30, 1997(a)
----------------- ------------- ----------------
<S> <C> <C> <C>
K SHARES
NET ASSET VALUE PER SHARE, BEGINNING OF
PERIOD....................................... $14.51 $12.89 $10.48
------ ------ ------
Income from Investment Operations:
Net investment income........................ 0.11 0.15 0.25
Net realized and unrealized gains on
investments transactions................... 0.52 2.24 2.34
------ ------ ------
Total income from investment operations....... 0.63 2.39 2.59
------ ------ ------
Less Dividends and Distributions:
Dividends to shareholders from net investment
income..................................... (0.22) (0.22) (0.18)
Distributions in excess of net investment
income..................................... (0.13) -- --
Distributions to shareholders from net
realized gains on investment
transactions............................... (1.37) (0.55) --
------ ------ ------
Total Dividends and Distributions............. (1.72) (0.77) (0.18)
------ ------ ------
Net change in net asset value per share....... (1.09) 1.62 2.41
------ ------ ------
NET ASSET VALUE PER SHARE, END OF PERIOD...... $13.42 $14.51 $12.89
====== ====== ======
Total return.................................. 16.28%(b) 19.30% 24.94%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000)............ $ 708 $ 533 $ 94
Ratio of expenses to average net assets...... 1.70%(c) 1.69% 1.59%(c)
Ratio of net investment income to average net
assets..................................... 1.73%(c) 1.62% 1.53%(c)
Ratio of expenses to average net assets*..... 2.10%(c) 2.03% 2.11%(c)
Ratio of net investment income to average net
assets*.................................... 1.33%(c) 1.28% 1.01%(c)
Portfolio turnover rate**.................... 22% 70% 84%
</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 among 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).
See Notes to Financial Statements.
67
<PAGE> 70
Time Horizon Funds
103 Bellevue Parkway
Wilmington, DE 19809
<TABLE>
<S> <C>
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Bulk Rate
U.S. Postage
PAID
New York, NY
Permit No. 8048
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</TABLE>
TMH-0071
