<PAGE> 1
TIME HORIZON FUNDS
PORTFOLIO 1
PORTFOLIO 2
PORTFOLIO 3
ANNUAL REPORT
JUNE 30, 1999
[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
</TABLE>
DISTRIBUTOR
Provident Distributors, Inc.
Four Falls Corporate Center
6th Floor
W. Conshohocken, PA 19428
FUND SHARES ARE NOT FEDERALLY INSURED OR GUARANTEED BY, NOR ARE THEY OBLIGATIONS
OF OR OTHERWISE ENDORSED BY THE U.S. GOVERNMENT, THE FDIC, THE FEDERAL RESERVE
BOARD, OR ANY OTHER GOVERNMENTAL AGENCY.
The Time Horizon Funds are sponsored and distributed by Provident Distributors,
Inc., which is unaffiliated with Bank of America. Bank of America serves as
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>
-----------------------------------------------------------------------------
--------------------------------------------------------------------------
<PAGE> 3
Contents
<TABLE>
<S> <C>
UNDERSTANDING YOUR
SHAREHOLDER REPORT 2-4
TIME HORIZON FUND FACTS 5
LETTER FROM THE MANAGER 6-7
RESULTS OF SPECIAL MEETING OF
SHAREHOLDERS 8
INTERVIEW WITH THE TIME HORIZON
FUNDS INVESTMENT MANAGEMENT
TEAM 9-20
SCHEDULES OF PORTFOLIO
INVESTMENTS 21-57
STATEMENTS OF ASSETS
AND LIABILITIES 58
STATEMENTS OF OPERATIONS 59
STATEMENTS OF CHANGES
IN NET ASSETS 60-61
NOTES TO FINANCIAL STATEMENTS 62-70
FINANCIAL HIGHLIGHTS 71-79
REPORT OF INDEPENDENT
ACCOUNTANTS 80
</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.
[GRAPHIC DEPICTING THESE THREE PAGES]
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 Exchange
Commission
[GRAPHIC OF FUND FACTS PAGE]
(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.)
[LINE GRAPH EXAMPLE]
2
<PAGE> 5
accompany a real investment, such as sales charges, management fees, portfolio
transaction costs or the cash reserves required to provide daily liquidity. The
performance of the Fund must show these costs as well as any front-end or
deferred sales charges.
The financial statements summarize and describe the Funds' financial
transactions. They are broken down into four different statements, which are
illustrated below:
The SCHEDULES OF PORTFOLIO INVESTMENTS list each investment holding in the Funds
as of the date of the financial statements. Investments may be grouped by
category (by industry or security type, for example). The percentage of each
Fund's net assets represented by these groupings is also disclosed.
TYPE OF SECURITY
INDUSTRY SECTOR AND PERCENTAGE OF THE FUND'S
NET ASSETS REPRESENTED BY INVESTMENTS IN THAT
SECTOR (IF APPLICABLE)
PORTFOLIO HOLDINGS WITH SHARES AND MARKET VALUE
AS OF REPORT DATE
[GRAPHIC OF SCHEDULES OF PORTFOLIO
INVESTMENTS PAGE]
The STATEMENTS OF ASSETS AND LIABILITIES list all the assets and liabilities of
the Funds as of the date of the Statements. This is an individual fund's
"balance sheet." Also disclosed in the Statements are the Funds' net asset
values per share and their maximum offering prices per share as of the date of
the Statements. The Statements also list the accounts that comprise the Funds'
net assets (capital stock, undistributed income, etc.).
SUMMARY OF THE FUND'S INVESTMENTS AND ALL OTHER
ASSETS OWNED BY THE FUND, INCLUDING AMOUNTS
OWED TO THE FUND BY OUTSIDE PARTIES
SUMMARY OF ALL AMOUNTS OWED TO OUTSIDE PARTIES
BY THE FUND
NET RESULTS OF ASSETS LESS LIABILITIES
THE MARKET VALUE OF THE FUND'S TOTAL NET ASSETS
DIVIDED BY THE NUMBER OF SHARES OUTSTANDING
THE CURRENT NET ASSET VALUE PER SHARE PLUS SALES CHARGE, IF ANY
[GRAPHIC OF STATEMENTS OF ASSETS AND
LIABILITIES PAGE]
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
[GRAPHIC OF STATEMENT OF OPERATIONS
TABLE PAGE]
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
[GRAPHIC OF STATEMENT OF CHANGES IN NET ASSETS
TABLE PAGE]
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.
<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 06/30/99) [PIE CHART] [PIE CHART] [PIE CHART]
BONDS/CASH 65% BONDS/CASH 49% BONDS/CASH 34%
STOCKS 35% STOCKS 51% STOCKS 66%
- ----------------------------------------------------------------------------------------
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]
BONDS/CASH 70% BONDS/CASH 53% BONDS/CASH 38%
STOCKS 30% STOCKS 47% STOCKS 62%
- ----------------------------------------------------------------------------------------
</TABLE>
- ------------------------------
(1) The portfolio's composition is subject to change. Percentages shown are
percentages of portfolio value.
(2) Under normal market conditions, each portfolio is currently managed within
the strategic asset allocation ranges shown, based on the Portfolio
Manager's evaluation of the anticipated returns and risks for the various
asset classes in the near term. The portfolio will change its focus over
time, increasingly emphasizing capital preservation as it nears its target
time horizon. After a portfolio reaches its time horizon target date, it is
anticipated that it will continue to be managed with a predominant emphasis
on capital preservation.
5
<PAGE> 8
LETTER FROM THE MANAGER
Dear Shareholder:
The Time Horizon Funds completed the year with respectable total returns as the
strong stock market drove returns for all the portfolios. The S&P 500 gained
12.3% and 22.7% for the six months and one year ended June 30, 1999,
respectively. Intermediate-term US bonds were down 0.58% and up 4.1% for the six
months and one year, respectively. International markets returned 4.1% and 7.9%
during the six-month and one year periods, respectively.
<TABLE>
<S> <C>
[PHOTO OF JOHNSEN]
</TABLE>
David R. Johnsen
Senior Vice
President
Bank of America
NT&SA
Investment Advisors
Division
Mr. Johnsen plays a
key role in the
portfolio
management of the
Time Horizon Funds
The past 12 months can best be described as a time of uncertainty. Strange as it
may seem, the uncertainty created a good environment for the Time Horizon Funds.
Because of the fear of deterioration in global economic conditions, investors
migrated their assets to areas of the financial markets with minimal exposure to
events overseas -- such as large-capitalization stocks and government
bonds -- and shunned smaller stocks and corporate bonds. The Time Horizon Funds
benefited from their larger exposure in large-capitalization stocks and their
bond holdings did well due to their heavier weighting in government securities
relative to the benchmark.**
The market as represented by the Standard & Poors' Composite Stock Price Index
experienced extreme volatility. For example, it declined 9.95% in the
July-to-September period then rebounded sharply, increasing 8.13% in October and
ended the quarter up 21.3%. Also, during this period mid-capitalization stocks
outperformed large-capitalization stocks, returning 28.19% in the quarter-ended
December, which benefited the Funds. For the Funds' fiscal year, the S&P 500
returned 22.7%, the Standard & Poors' MidCap 400 Index 17.18%, Standard & Poors'
SmallCap 600 Index and the Morgan Stanley Capital International Europe,
Australasia and Far East Index 7.92%*.
The Funds' bond allocation benefited from its intermediate term maturity
structure and the overweighting of government securities. Over past six months,
U.S. fixed income markets reversed much of the price movements brought about by
the global credit contraction in 1998. During the Funds' fiscal year the Lehman
Intermediate Government/Corporate Bond Index** returned 4.18%, with most of that
return coming in the June-to-September (+4.48%) period as investors flocked to
the safety of U.S. Government securities, which moved rates down substantially.
During the past year, our interest rate risk was held relatively constant, with
a slightly defensive bias versus the benchmark. In addition, by actively
managing our sector weights and yield curve exposure, we have added additional
returns to the portfolios without a significant increase in portfolio risk.
6
<PAGE> 9
We will continue to seek to generate solid, long-term returns at a level of risk
appropriate to meet your real-life goals.*** Thank you very much for your
confidence and investment in the Funds and the opportunity to help you pursue
your financial objectives.
Sincerely,
/s/ David R. Johnsen
David R. Johnsen
* As measured by the Standard & Poor's 500 Composite Stock Price Index, the
Standard & Poor's MidCap 400 Index, the Standard & Poor's SmallCap 600 Index
and the Morgan Stanley Capital International (MSCI) Europe, Australasia and
Far East Index from 7/1/98 through 6/30/99. These indices are representative
of the large, middle and small capitalization U.S. equity markets and the
international equity market, respectively. Each index cannot be invested in
directly.
** The Lehman Intermediate Government/Corporate Bond Index is an unmanaged
index often used as a benchmark for fixed income investments.
*** Past performance is no guarantee of future results.
7
<PAGE> 10
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Results (Unaudited) of Special Meeting of Shareholders
Convened on August 13, 1999 and Reconvened and Adjourned on August 20, 1999
- --------------------------------------------------------------------------------
A Special Meeting of Shareholders of Time Horizon Funds ("Time Horizon") was
convened on August 13, 1999 and reconvened and adjourned on August 20, 1999. The
Funds of the Time Horizon are: Time Horizon Portfolio 1, Time Horizon Portfolio
2 and Time Horizon Portfolio 3. The Special Meetings were held in order to vote
on the following proposal:
PROPOSAL
TO APPROVE A PROPOSED AGREEMENT AND PLAN OF REORGANIZATION DATED AS OF JUNE
1, 1999 (THE "REORGANIZATION AGREEMENT") BY AND BETWEEN TIME HORIZON AND
NATIONS INSTITUTIONAL RESERVES ("NATIONS"), WHICH PROVIDES FOR AND
CONTEMPLATES: (a) THE TRANSFER OF THE ASSETS AND LIABILITIES OF EACH TIME
HORIZON FUND TO THE NATIONS ASSET ALLOCATION FUND (THE "ASSET ALLOCATION
FUND") IN EXCHANGE FOR SHARES OF DESIGNATED CLASSES OF THE ASSET ALLOCATION
FUND OF EQUAL VALUE; (b) THE DISTRIBUTION OF THE SHARES OF THE DESIGNATED
CLASSES OF THE ASSET ALLOCATION FUND TO SHAREHOLDERS OF EACH TIME HORIZON
FUND; AND (c) THE DISSOLUTION AND LIQUIDATION OF TIME HORIZON.
The voting results for the proposal were as follows for Time Horizon
Portfolio 1, Time Horizon Portfolio 2 and Time Horizon Portfolio 3:
TIME HORIZON PORTFOLIO 1
<TABLE>
<CAPTION>
TOTAL SHARES TOTAL SHARES
OUTSTANDING VOTED FOR AGAINST ABSTAIN/WITHHELD PASS/FAIL
------------ ------------ --------- ------- ---------------- ---------
<S> <C> <C> <C> <C> <C>
2,954,162 1,601,339 1,498,256 20,427 82,656 Pass
</TABLE>
TIME HORIZON PORTFOLIO 2
<TABLE>
<CAPTION>
TOTAL SHARES TOTAL SHARES
OUTSTANDING VOTED FOR AGAINST ABSTAIN/WITHHELD PASS/FAIL
------------ ------------ --------- ------- ---------------- ---------
<S> <C> <C> <C> <C> <C>
3,730,983 2,127,931 1,893,441 67,675 166,815 Pass
</TABLE>
TIME HORIZON PORTFOLIO 3
<TABLE>
<CAPTION>
TOTAL SHARES TOTAL SHARES
OUTSTANDING VOTED FOR AGAINST ABSTAIN/WITHHELD PASS/FAIL
------------ ------------ --------- ------- ---------------- ---------
<S> <C> <C> <C> <C> <C>
3,885,427 2,215,182 1,982,904 65,817 166,461 Pass
</TABLE>
8
<PAGE> 11
TIME HORIZON PORTFOLIO 1
TIME HORIZON PORTFOLIO 2
TIME HORIZON PORTFOLIO 3
AN INTERVIEW WITH THE TIME HORIZON FUNDS INVESTMENT MANAGEMENT TEAM
DAVID R. JOHNSEN, SENIOR VICE PRESIDENT, AND
MICHAEL J. BUDD, VICE PRESIDENT
Q
WHAT WERE THE MOST SIGNIFICANT FACTORS IN THE PORTFOLIOS' PERFORMANCE DURING
THE PAST TWELVE MONTHS?
A
The economy continued to favor stocks as the "not too hot not too cold"
economy seemed to assure investors that the end was not near for the stock
market. Each of the last four years has produced unprecedented, 20% plus returns
for large-capitalization stocks (as measured by the Standard & Poor's 500
Composite Stock Price Index)* though their mid- and small-capitalization
brethren lagged for the one year, returning 17.1% and -2.3,** respectively.
Technology was the best performing sector among large company stocks with a
return of 64.5% during the last twelve months. Sector performance was led by
stocks such as Microsoft Corporation, International Business Machines
Corporation and Cisco Systems. The consumer staples sector was the worst
performing, up just 2.4%, as Phillip Morris Companies and Coca-Cola Company were
the main detractors of performance. The technology sector was also the best
performing sector for mid-capitalization companies, returning 85%, led by
America Online and QUALCOMM Inc. The communication services sector, up 73%, was
the next best performing sector followed by capital goods, up 14% and energy was
the worst performing sector for the year, down 20%. Over the last six months,
however, the energy sector with a return of 34% was the best performing sector.
Q
HOW DID THE STRENGTH OF THE U.S. STOCK MARKET AFFECT THE STRATEGIC
ALLOCATION OF THE PORTFOLIOS?
A
Each Portfolio has a target level of equity participation, ranging from a
low of 35% for Portfolio 1 to a high of 70% for Portfolio 3, which has a longer
time horizon. As the equity market conditions were favorable, we saw no reason
to rebalance the Portfolios, though we have been gradually reducing the equity
exposure during the year. The reduction of the equity portion of the Portfolios
is normal, as we get closer to specific time horizons.
As of June 30, 1999, Portfolio 1 was 64 percent fixed income, 29 percent
domestic equity, 6 percent foreign equity and 1 percent cash and cash
equivalents. Portfolio 2 was 47 percent fixed income, 41 percent domestic
equity, 10 percent foreign equity and 2 percent cash and cash equivalents.
Portfolio 3 was 57 percent domestic equity, 32 percent fixed income, 9 percent
foreign equity and 2 percent cash and cash equivalents.+
Q
HOW DID YOU PURSUE RETURNS WITHIN THE EQUITY PORTION OF THE PORTFOLIOS?
A
We continued to manage the equity portion with exposure to U.S. large-,
mid-and small-capitalization stocks while the foreign component was invested in
primarily developed country stocks. We main-
9
<PAGE> 12
tained a neutral allocation among various sectors of the stock market (e.g.,
financial, technology, healthcare), meaning that the percentage of stocks from
any sector should be roughly equivalent to that of the Standard & Poor's 500,
600 and 400 Indices. We seek added value by identifying the most promising
stocks within each industry of a sector rather than the best-performing
industries or sectors.
Q
HOW DID YOU PURSUE RETURNS WITHIN THE FIXED INCOME PORTION OF THE
PORTFOLIOS?
A
Our fixed income philosophy is to generate income rather than capital
appreciation. We remained committed to agencies, corporate bonds, asset-backed
securities and mortgage-backed securities to generate a favorable return.
Q
HOW DO THE FIXED-INCOME PORTIONS OF THE THREE PORTFOLIOS DIFFER?
A
In keeping with the respective objectives of the Portfolios, the holdings
are somewhat different, so that the highest overall quality and shortest
average maturity and duration are reflected in Portfolio 1, which also has the
shortest time horizon. At the end of the fiscal year, the average quality
(relative level of risk of default), average maturity and duration of each
Portfolio were following:
- ---------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
----------- ----------- -----------
<S> <C> <C> <C>
Credit Quality AAA AAA AAA
Average
Maturity 3.83 years 4.69 years 5.73 years
Duration 2.92 years 3.63 years 3.92 years
- ---------------------------------------
</TABLE>
Longer duration portfolios typically suffer greater losses when interest rates
rise and post larger gains when rates fall. We do not predict the direction of
interest rates but instead we try to maintain neutral weighting compared to the
appropriate index and concentrate more on finding fixed income securities that
may produce a higher yield for a better price and little or no additional risk.
Q
HOW DO YOU MANAGE THE INTERNATIONAL INVESTMENTS IN THE PORTFOLIOS?
A
We have maintained the allocations at or near the target levels, despite the
fact that foreign equity markets underperformed the U.S. stock market in
absolute and dollar terms.
As measured in U.S. dollars, the Morgan Stanley Capital International (MSCI)
Europe, Australasia and Far East (EAFE) Index*** posted a gain of 4.1% and 7.9%
for the last six and twelve months. During the second half of the year, returns
were helped most by overweighting the strong Latin American markets and Korea.
Underweighting the recovering Japanese market hurt performance relative to the
international benchmark. Stock selection was marginally positive as strength of
technology holdings in Japan was offset by the dominance of cyclical and
value-oriented sectors in Europe, to the detriment of the steady growth stocks
in which the Portfolio are concentrated.
Q
WHAT IS YOUR OUTLOOK FOR THE PORTFOLIOS DURING THE COMING SIX AND TWELVE
MONTHS?
A
We do not forecast the directions of the financial markets or the economy.
Our approach stresses hitting target allocations and then meeting or exceeding
benchmarks through individual security selection and maintaining full investment
of assets.
10
<PAGE> 13
Looking forward, we believe, U.S. corporate earnings are back on track and the
pace of economic growth is easing to a level now considered well within its
long-term potential. We view the markets as being fairly valued at this point in
the late business cycle, though we do not anticipate that we will change the
Portfolios' allocations. Last year, when the international crisis drew the
world's capital to the safety of U.S. shores, foreign purchases of U.S.
Treasuries reached all time highs, driving interest rates down.
Having said that, as foreign capital inflows diminish, U.S. interest rates have
a higher probability of increasing which could lead to lower valuations on stock
prices.
We will focus on seeking to generate solid, long-term returns at a level of risk
appropriate to meet your real-life goals.
* The Standard & Poor's 500 Composite Stock Price Index is a
market-capitalization weighted index that measures the market 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 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.
The Standard & Poor's MidCap 400 Index is a market-value weighted index that
measures the market value of 400 domestic stocks chosen for market size,
liquidity and industry representation. It is unmanaged and unavailable for
investment.
*** The Morgan Stanley Capital International (MSCI) Europe, Australasia, Far
East (EAFE) 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.
+ Portfolio characteristics are subject to change and may not be
representative of current characteristics.
11
<PAGE> 14
TIME HORIZON PORTFOLIO 1
GROWTH OF A $10,000 INVESTMENT
(HYPOTHETICAL -- PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS.)
[LINE GRAPH]
<TABLE>
<CAPTION>
LEHMAN BROS.
A SHARES B SHARES K SHARES S&P 500 AGGREGATE BOND
-------- -------- -------- ------- --------------
<S> <C> <C> <C> <C> <C>
9/5/95 10000.00 10000.00 10000.00 10000.00 10000.00
12/31/95 10327.00 10318.00 10318.00 11010.00 10527.00
6/30/96 10668.00 10609.00 10609.00 12122.00 10399.00
12/31/96 11293.00 11190.00 11190.00 13538.00 10908.00
6/30/97 12068.00 11920.00 11930.00 16328.00 11245.00
12/31/97 12819.00 12530.00 12626.00 18055.00 11960.00
6/30/98 13720.00 13066.00 13488.00 21253.00 12430.00
12/31/98 14377.00 14039.00 14127.00 24853.00 12886.00
6/30/99 14708.00 14303.00 14353.00 27936.00 12709.00
</TABLE>
HOW PERFORMANCE COMPARES
The chart compares Time Horizon Portfolio 1 to the S&P 500, which is an
unmanaged index typically used as a performance benchmark for equity
investments, and to the Lehman Brothers Aggregate Bond Index, an unmanaged index
often used as a benchmark for fixed-income investments. Hypothetical investments
in the S&P 500 and Lehman Brothers Aggregate Bond Index do not reflect any sales
charges, management fees, transaction costs or other expenses that would be
incurred if an investor were to actually purchase individual securities or
mutual funds, while the performance of the Fund reflects all expenses, fees and
the maximum applicable contingent deferred sales charge on B Shares.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
---------------------------------------------
SINCE INCEPTION
1-YEAR (9/5/95)
<S> <C> <C>
A Shares+ 7.20% 10.64%
B Shares (load)++ 2.16% 9.22%
B Shares (no-
load)++ 7.01% 9.82%
K Shares+++ 6.81% 9.92%
</TABLE>
FEDERAL INCOME TAX STATUS OF DIVIDENDS (UNAUDITED)
The Time Horizon Portfolio 1 distributed a total Capital Gain Dividend of
$1,784,342 for the year ended June 30, 1999.
FOR CORPORATE SHAREHOLDERS ONLY (UNAUDITED)
The percentage of total dividends qualifying for the corporate
dividends-received deduction for the fiscal year ending June 30, 1999 is as
follows:
Time Horizon Portfolio 1 11.21%
SEE LETTER FROM THE MANAGER FOR FACTORS AFFECTING FUND PERFORMANCE.
Investment return and principal value are historical and will vary with market
conditions, so that an investor's shares, when redeemed, may be worth more or
less than their original cost.
12
<PAGE> 15
+ Return figures for Class A Shares include change in share price and
reinvestment of dividends, but do not include a front-end sales charge. On June
16, 1997, the 4.5% front-end sales charge on A Shares of each Portfolio was
eliminated, qualifying this class of shares as no-load. The service contractors
are currently waiving fees and are assuming certain Fund expenses. This
voluntary waiver may be modified or terminated at any time, which would reduce
the Fund's performance.
++ Total return figures for Class B Shares, unless otherwise indicated, include
change in share price and reinvestment of dividends, as well as the maximum
applicable contingent deferred sales charge. The service contractors are
currently waiving fees and are assuming certain Fund expenses. This voluntary
waiver may be modified or terminated at any time, which would reduce the Fund's
performance.
+++ The inception date of K Shares (the date K Shares were initially funded) was
July 22, 1996. K Shares for Portfolio 1 did not commence operations until
February 7, 1997. For this reason, performance results for K Shares prior to the
commencement date reflect the performance of no-load B Shares. Shareholders with
K Shares are not charged a front-end or back-end (CDSC) sales charge, but are
subject to a maximum Distribution Fee or Administrative Services fee in the
amount of 0.75% and a Shareholder Service Fee in the amount of 0.25%, both of
which are based on the average daily net assets of K Shares. The service
contractors are currently waiving fees and are assuming certain Fund expenses.
This voluntary waiver may be modified or terminated at any time, which would
reduce the Fund's performance.
S&P 500 is a registered trademark of Standard & Poor's Corporation.
Neither the S&P 500, nor the Lehman Brothers Aggregate Bond Index may be
invested in directly.
13
<PAGE> 16
A CLOSER LOOK AT YOUR PORTFOLIO
TIME HORIZON PORTFOLIO 1
EQUITY PORTION
SECTOR DIVERSIFICATION*
(as a percentage of equity
portion only)
[PIE CHART]
<TABLE>
<CAPTION>
--------------------------------------
TOP FIVE EQUITY HOLDINGS
(AS A PERCENTAGE OF TOTAL PORTFOLIO)
<S> <C> <S> <C>
COMMUNICATIONS SERVICES 6.7% --------------------------------------
BASICS 3.4% 1. Microsoft Corp. 1.04%
HEALTH CARE 10.9% ......................................
CONSUMER STAPLES 11.7% 2. General Electric Co. 0.60%
CAPITAL GOODS 9.0% ......................................
TECHNOLOGY 21.5% 3. International
UTILITIES 4.6% Business Machines
FINANCE 14.8% Corp. 0.54%
CONSUMER CYCLICALS 11.4% ......................................
TRANSPORTATION 1.1% 4. Cisco Systems, Inc. 0.48%
ENERGY 4.9% ......................................
5. MCI Worldcom, Inc. 0.46%
--------------------------------------
</TABLE>
FIXED INCOME PORTION
QUALITY BREAKDOWN*
(as a percentage of fixed-income
portion only)
[PIE CHART]
<TABLE>
<CAPTION>
--------------------------------------
TOP FIVE FIXED-INCOME HOLDINGS
(AS A PERCENTAGE OF TOTAL PORTFOLIO)
<S> <C> <S> <C>
TREASURY 26.0% --------------------------------------
AAA 26.9% 1. Federal Home Loan
AA 12.0% Bank 5.375% 03/02/01 3.53%
A 22.2% ......................................
AGENCY 12.9% 2. U.S. Treasury Notes
6.25% 02/15/07 3.01%
......................................
3. U.S. Treasury Notes
6.25% 08/31/00 2.70%
......................................
4. U.S. Treasury Notes
6.625% 05/15/07 2.62%
......................................
5. Morgan Stanley Dean
Witter & Co.
8.10% 06/24/02 2.32%
--------------------------------------
</TABLE>
*The portfolio's composition is subject to change. Percentages shown are
percentages of portfolio value.
14
<PAGE> 17
TIME HORIZON PORTFOLIO 2
GROWTH OF A $10,000 INVESTMENT
(HYPOTHETICAL -- PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS.)
[LINE GRAPH]
<TABLE>
<CAPTION>
LEHMAN BROS.
A SHARES B SHARES K SHARES S&P 500 AGGREGATE BOND
-------- -------- -------- ------- --------------
<S> <C> <C> <C> <C> <C>
9/5/95 10000.00 10000.00 10000.00 10000.00 10000.00
12/31/95 10397.00 10377.00 10377.00 11010.00 10527.00
6/30/96 10748.00 10688.00 10688.00 12122.00 10399.00
12/31/96 11497.00 11398.00 11400.00 13538.00 10908.00
6/30/97 12473.00 12295.00 12322.00 16328.00 11245.00
12/31/97 13296.00 12989.00 13092.00 18055.00 11960.00
6/30/98 14445.00 13761.00 14206.00 21253.00 12430.00
12/31/98 15101.00 14723.00 14853.00 24853.00 12886.00
6/30/99 15514.00 15069.00 15112.00 27936.00 12709.00
</TABLE>
HOW PERFORMANCE COMPARES
The chart compares Time Horizon Portfolio 2 to the S&P 500, which is an
unmanaged index typically used as a performance benchmark for equity
investments, and to the Lehman Brothers Aggregate Bond Index, an unmanaged index
often used as a benchmark for fixed-income investments. Hypothetical investments
in the S&P 500 and Lehman Brothers Aggregate Bond Index do not reflect any sales
charges, management fees, transaction costs or other expenses that would be
incurred if an investor were to actually purchase individual securities or
mutual funds, while the performance of the Fund reflects all expenses, fees and
the maximum applicable contingent deferred sales charge on B Shares.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
----------------------------------------------
SINCE INCEPTION
1-YEAR (9/5/95)
<S> <C> <C>
A Shares+ 7.40% 12.20%
B Shares (load)++ 2.36% 10.76%
B Shares (no-load)++ 7.17% 11.33%
K Shares+++ 7.11% 11.41%
</TABLE>
FEDERAL INCOME TAX STATUS OF DIVIDENDS (UNAUDITED)
The Time Horizon Portfolio 2 distributed a total Capital Gain Dividend of
$3,393,702 for the year ended June 30, 1999.
FOR CORPORATE SHAREHOLDERS ONLY (UNAUDITED)
The percentage of total dividends qualifying for the corporate
dividends-received deduction for the fiscal year ending June 30, 1999 is as
follows:
Time Horizon Portfolio 2 27.36%
SEE LETTER FROM THE MANAGER FOR FACTORS AFFECTING FUND PERFORMANCE.
Investment return and principal value are historical and will vary with market
conditions, so that an investor's shares, when redeemed, may be worth more or
less than their original cost.
15
<PAGE> 18
+ Return figures for Class A Shares include change in share price and
reinvestment of dividends, but do not include a front-end sales charge. On June
16, 1997, the 4.5% front-end sales charge on A Shares of each Portfolio was
eliminated, qualifying this class of shares as no-load. The service contractors
are currently waiving fees and are assuming certain Fund expenses. This
voluntary waiver may be modified or terminated at any time, which would reduce
the Fund's performance.
++ Total return figures for Class B Shares, unless otherwise indicated, include
change in share price and reinvestment of dividends, as well as the maximum
applicable contingent deferred sales charge. The service contractors are
currently waiving fees and are assuming certain Fund expenses. This voluntary
waiver may be modified or terminated at any time, which would reduce the Fund's
performance.
+++ The inception date of K Shares (the date K Shares were initially funded) was
July 22, 1996. K Shares for Portfolio 2 did not commence operations until
October 18, 1996. For this reason, performance results for K Shares prior to the
commencement date reflect the performance of no-load B Shares. Shareholders with
K Shares are not charged a front-end or back-end (CDSC) sales charge, but are
subject to a maximum Distribution Fee or Administrative Services fee in the
amount of 0.75% and a Shareholder Service Fee in the amount of 0.25%, both of
which are based on the average daily net assets of K Shares. The service
contractors are currently waiving fees and are assuming certain Fund expenses.
This voluntary waiver may be modified or terminated at any time, which would
reduce the Fund's performance.
S&P 500 is a registered trademark of Standard & Poor's Corporation.
Neither the S&P 500, nor the Lehman Brothers Aggregate Bond Index may be
invested in directly.
16
<PAGE> 19
A CLOSER LOOK AT YOUR PORTFOLIO
TIME HORIZON PORTFOLIO 2
EQUITY PORTION
SECTOR DIVERSIFICATION*
(as a percentage of equity
portion only)
[PIE CHART]
<TABLE>
<CAPTION>
--------------------------------------
TOP FIVE EQUITY HOLDINGS
(AS A PERCENTAGE OF TOTAL PORTFOLIO)
<S> <C> <S> <C>
TRANSPORTATION 1.4% --------------------------------------
ENERGY 4.6% 1. Microsoft Corp. 1.14%
BASICS 3.4% ......................................
HEALTH CARE 10.3% 2. General Electric Co. 0.68%
CONSUMER STAPLES 11.2% ......................................
CAPITAL GOODS 9.1% 3. International
COMMUNICATION SERVICES 5.2% Business Machines
TECHNOLOGY 21.7% Corp. 0.63%
UTILITIES 5.3% ......................................
FINANCE 14.5% 4. QUALCOMM, Inc. 0.54%
CONSUMER CYCLICALS 13.3% ......................................
5. Cisco Systems, Inc. 0.52%
--------------------------------------
</TABLE>
FIXED INCOME PORTION
QUALITY BREAKDOWN*
(as a percentage of fixed-income
portion only)
[PIE CHART]
<TABLE>
<CAPTION>
--------------------------------------
TOP FIVE FIXED-INCOME HOLDINGS
(AS A PERCENTAGE OF TOTAL PORTFOLIO)
<S> <C> <S> <C>
--------------------------------------
TREASURY 26.0% 1. U.S. Treasury Notes
AAA 26.9% 6.625% 05/15/07 3.24%
AA 12.0% ......................................
A 22.2% 2. U.S. Treasury Notes
AGENCY 12.9% 6.50% 05/15/05 2.80%
......................................
3. U.S. Treasury Notes
5.625% 05/15/08 2.67%
......................................
4. U.S. Treasury Notes
6.25% 02/15/07 2.27%
......................................
5. Federal Home Loan
Bank 5.375% 03/02/01 2.21%
--------------------------------------
</TABLE>
*The portfolio's composition is subject to change. Percentages shown are
percentages of portfolio value.
17
<PAGE> 20
TIME HORIZON PORTFOLIO 3
GROWTH OF A $10,000 INVESTMENT
(HYPOTHETICAL -- PAST PERFORMANCE IS NOT A GUARANTEE OF FUTURE RESULTS.)
[LINE GRAPH]
<TABLE>
<CAPTION>
LEHMAN BROS.
A SHARES B SHARES K SHARES S&P 500 AGGREGATE BOND
-------- -------- -------- ------- --------------
<S> <C> <C> <C> <C> <C>
9/5/95 10000.00 10000.00 10000.00 10000.00 10000.00
12/31/95 10436.00 10438.00 10438.00 11010.00 10527.00
6/30/96 10946.00 10898.00 10898.00 12122.00 10399.00
12/31/96 11847.00 11742.00 11742.00 13538.00 10908.00
6/30/97 13203.00 13040.00 13071.00 16328.00 11245.00
12/31/97 14261.00 13946.00 14078.00 18055.00 11960.00
6/30/98 15839.00 15132.00 15593.00 21253.00 12430.00
12/31/98 16642.00 16239.00 16369.00 24853.00 12886.00
6/30/99 17331.00 16855.00 16856.00 27936.00 12709.00
</TABLE>
HOW PERFORMANCE COMPARES
The chart compares Time Horizon Portfolio 3 to the S&P 500, which is an
unmanaged index typically used as a performance benchmark for equity
investments, and to the Lehman Brothers Aggregate Bond Index, an unmanaged index
often used as a benchmark for fixed-income investments. Hypothetical investments
in the S&P 500 and Lehman Brothers Aggregate Bond Index do not reflect any sales
charges, management fees, transaction costs or other expenses that would be
incurred if an investor were to actually purchase individual securities or
mutual funds, while the performance of the Fund reflects all expenses, fees and
the maximum applicable contingent deferred sales charge on B Shares.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
----------------------------------------------
SINCE INCEPTION
1-YEAR (9/5/95)
<S> <C> <C>
A Shares+ 9.42% 15.50%
B Shares (load)++ 4.39% 14.12%
B Shares (no-load)++ 9.22% 14.66%
K Shares+++ 9.05% 14.63%
</TABLE>
FEDERAL INCOME TAX STATUS OF DIVIDENDS (UNAUDITED)
The Time Horizon Portfolio 3 distributed a total Capital Gain Dividend of
$4,785,702 for the year ended June 30, 1999.
FOR CORPORATE SHAREHOLDERS ONLY (UNAUDITED)
The percentage of total dividends qualifying for the corporate
dividends-received deduction for the fiscal year ending June 30, 1999 is as
follows:
Time Horizon Portfolio 3 40.22%
SEE LETTER FROM THE MANAGER FOR FACTORS AFFECTING FUND PERFORMANCE.
Investment return and principal value are historical and will vary with market
conditions, so that an investor's shares, when redeemed, may be worth more or
less than their original cost.
18
<PAGE> 21
+ Return figures for Class A Shares include change in share price and
reinvestment of dividends, but do not include a front-end sales charge. On June
16, 1997, the 4.5% front-end sales charge on A Shares of each Portfolio was
eliminated, qualifying this class of shares as no-load. The service contractors
are currently waiving fees and are assuming certain Fund expenses. This
voluntary waiver may be modified or terminated at any time, which would reduce
the Fund's performance.
++ Total return figures for Class B Shares, unless otherwise indicated, include
change in share price and reinvestment of dividends, as well as the maximum
applicable contingent deferred sales charge. The service contractors are
currently waiving fees and are assuming certain Fund expenses. This voluntary
waiver may be modified or terminated at any time, which would reduce the Funds
performance.
+++ The inception date of K Shares (the date K Shares were initially funded) was
July 22, 1996. K Shares for Portfolio 3 did not commence operations until
January 28, 1997. For this reason, performance results for K Shares prior to the
commencement date reflect the performance of no-load B Shares. Shareholders with
K Shares are not charged a front-end or back-end (CDSC) sales charge, but are
subject to a maximum Distribution Fee or Administrative Services fee in the
amount of 0.75% and a Shareholder Service Fee in the amount of 0.25%, both of
which are based on the average daily net assets of K Shares. The service
contractors are currently waiving fees and are assuming certain Fund expenses.
This voluntary waiver may be modified or terminated at any time, which would
reduce the Fund's performance.
S&P 500 is a registered trademark of Standard & Poor's Corporation.
Neither the S&P 500, nor the Lehman Brothers Aggregate Bond Index may be
invested in directly.
19
<PAGE> 22
A CLOSER LOOK AT YOUR PORTFOLIO
TIME HORIZON PORTFOLIO 3
EQUITY PORTION
SECTOR DIVERSIFICATION*
(as a percentage of equity
portion only)
[PIE CHART]
<TABLE>
<CAPTION>
--------------------------------------
TOP FIVE EQUITY HOLDINGS
(AS A PERCENTAGE OF TOTAL PORTFOLIO)
<S> <C> <S> <C>
TRANSPORTATION 1.3% --------------------------------------
ENERGY 4.7% 1. Microsoft Corp. 1.73%
BASICS 3.4% ......................................
HEALTH CARE 10.3% 2. General Electric Co. 1.02%
CONSUMER STAPLES 11.3% ......................................
CAPITAL GOODS 9.2% 3. International
COMMUNICATION SERVICES 5.7% Business Machines
TECHNOLOGY 21.6% Corp. 0.89%
UTILITIES 4.9% ......................................
FINANCE 14.6% 4. Cisco Systems, Inc. 0.75%
CONSUMER CYCLICALS 13.0% ......................................
5. Citigroup, Inc. 0.74%
--------------------------------------
</TABLE>
FIXED INCOME PORTION
QUALITY BREAKDOWN*
(as a percentage of fixed-income
portion only)
[PIE CHART]
<TABLE>
<CAPTION>
--------------------------------------
TOP FIVE FIXED-INCOME HOLDINGS
(AS A PERCENTAGE OF TOTAL PORTFOLIO)
<S> <C> <S> <C>
TREASURY 17.6% --------------------------------------
AAA 24.6% 1. U.S. Treasury Bonds
AA 7.5% 7.50% 11/15/16 2.26%
A 32.3% ......................................
AGENCY 18.0% 2. Federal Home Loan
Bank 5.375% 03/02/01 1.90%
......................................
3. FannieMae
5.75% 06/15/05 1.41%
......................................
4. Southern California
Edison Note
6.50% 06/01/01 1.14%
......................................
5. U.S. Treasury Notes
6.25% 08/15/23 1.06%
--------------------------------------
</TABLE>
*The portfolio's composition is subject to change. Percentages shown are
percentages of portfolio value.
20
<PAGE> 23
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMMON STOCK -- 28.6%
AEROSPACE/DEFENSE -- 0.5%
Cordant Technologies, Inc. ............................. 500 $ 22,594
GenCorp, Inc. .......................................... 800 20,200
Goodrich, (B.F.), Co. .................................. 700 29,750
United Technologies Corp. .............................. 1,300 93,194
-----------
165,738
-----------
AIRLINES -- 0.1%
Alaska Air Group, Inc.*................................. 300 12,525
Delta Air Lines, Inc. .................................. 600 34,575
-----------
47,100
-----------
APPAREL/TEXTILE -- 0.3%
Cintas Corp. ........................................... 500 33,594
Jones Apparel Group, Inc.*.............................. 900 30,881
Tommy Hilfiger Corp.*................................... 600 44,100
-----------
108,575
-----------
AUTOMOTIVE -- 0.4%
Arvin Industries, Inc. ................................. 500 18,937
Delphi Automotive Systems Corp.*........................ 419 7,778
Ford Motor Co. ......................................... 1,000 56,437
General Motors Corp. ................................... 600 39,600
Meritor Automotive, Inc. ............................... 1,000 25,500
-----------
148,252
-----------
BANKS/SAVINGS & LOANS -- 1.8%
Astoria Financial Corp. ................................ 600 26,362
Chase Manhattan Corp. .................................. 1,600 138,600
City National Corp. .................................... 700 26,206
Dime Bancorp, Inc. ..................................... 1,700 34,212
Fleet Financial Group, Inc. ............................ 2,200 97,625
Mellon Bank Corp. ...................................... 2,000 72,750
National City Corp. .................................... 600 39,300
North Fork Bancorporation, Inc. ........................ 1,700 36,231
Old Kent Financial Corp. ............................... 887 37,143
Pacific Century Financial Corp. ........................ 1,400 30,187
Wells Fargo Co. ........................................ 1,800 76,950
-----------
615,566
-----------
BEVERAGES -- 0.6%
Anheuser-Busch Cos., Inc. .............................. 1,100 78,031
Canandaigua Brands, Inc.*............................... 200 10,488
Coca-Cola Co. .......................................... 1,100 68,750
Coca-Cola Enterprises, Inc. ............................ 500 15,375
Coors, (Adolph) Co., Class B............................ 200 9,900
PepsiCo, Inc. .......................................... 400 15,475
-----------
198,019
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
21
<PAGE> 24
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
BUILDING RELATED/APPLIANCE -- 0.3%
Centex Corp............................................. 600 $ 22,537
Mohawk Industries, Inc.*................................ 600 18,225
Shaw Industries, Inc.*.................................. 900 14,850
Southdown, Inc.......................................... 400 25,700
USG Corp.*.............................................. 100 5,600
-----------
86,912
-----------
CHEMICALS -- 0.5%
Cytec Industries, Inc.*................................. 800 25,500
Dow Chemical Co. ....................................... 500 63,437
Ecolab, Inc. ........................................... 400 17,450
Solutia, Inc. .......................................... 1,700 36,231
Union Carbide Corp. .................................... 500 24,375
-----------
166,993
-----------
COMMERCIAL SERVICES -- 0.2%
ACNielsen Corp.*........................................ 1,000 30,250
Convergys Corp.*........................................ 300 5,775
Galileo International, Inc. ............................ 300 16,031
Omnicom Group........................................... 300 24,000
-----------
76,056
-----------
COMMUNICATIONS SYSTEMS & SOFTWARE -- 1.0%
Cisco Systems, Inc.*.................................... 2,500 161,250
Comverse Technology, Inc.*.............................. 200 15,100
Lucent Technologies, Inc. .............................. 1,700 114,644
Motorola, Inc. ......................................... 500 47,375
-----------
338,369
-----------
COMPUTER HARDWARE -- 1.6%
Adaptec, Inc. .......................................... 300 10,594
EMC Corp.*.............................................. 1,600 88,000
Hewlett-Packard Co. .................................... 1,000 100,500
International Business Machines Corp. .................. 1,400 180,950
Lexmark International Group, Inc.*...................... 800 52,850
NCR Corp.*.............................................. 500 24,406
SCI Systems, Inc.*...................................... 500 23,750
Seagate Technology, Inc.*............................... 200 5,125
Solectron Corp.*........................................ 800 53,350
Symbol Technologies, Inc. .............................. 525 19,359
-----------
558,884
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
22
<PAGE> 25
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMPUTER SOFTWARE & SERVICES -- 2.1%
Adobe Systems, Inc. .................................... 400 $ 32,862
America Online, Inc.*................................... 600 66,300
BMC Software, Inc.*..................................... 1,000 54,000
Citrix Systems, Inc.*................................... 700 39,550
Compuware Corp.*........................................ 800 25,450
Electronic Arts, Inc.*.................................. 300 16,275
Microsoft Corp.*........................................ 3,900 351,731
Rational Software Corp.*................................ 600 19,762
Siebel Systems, Inc.*................................... 700 46,462
Sterling Software, Inc.*................................ 700 18,681
SunGard Data Systems, Inc.*............................. 300 10,350
Symantec Corp.*......................................... 400 10,200
Unisys Corp. ........................................... 800 31,150
-----------
722,773
-----------
CONSUMER PRODUCTS & SERVICES -- 0.1%
Premark International, Inc.............................. 600 22,500
-----------
COSMETICS & TOILETRIES -- 0.7%
Avon Products, Inc. .................................... 800 44,400
Clorox Co. ............................................. 400 42,725
Dial Corp. ............................................. 800 29,750
Kimberly-Clark Corp. ................................... 600 34,200
Procter & Gamble Co. ................................... 900 80,325
-----------
231,400
-----------
ELECTRICAL EQUIPMENT -- 0.6%
General Electric Co. ................................... 1,800 203,400
-----------
ENERGY RELATED -- 0.1%
Nisource, Inc. ......................................... 700 18,069
Tidewater, Inc. ........................................ 500 15,250
-----------
33,319
-----------
ENTERTAINMENT -- 0.6%
CBS Corp.*.............................................. 900 39,094
Harrah's Entertainment, Inc.*........................... 600 13,200
King World Productions, Inc.*........................... 500 17,406
TCA Cable Television, Inc. ............................. 200 11,100
Time Warner, Inc. ...................................... 1,400 102,900
Univision Communications, Inc., Class A*................ 400 26,400
-----------
210,100
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
23
<PAGE> 26
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
FINANCIAL SERVICES -- 1.6%
Citigroup, Inc. ........................................ 3,225 $ 153,188
Countrywide Credit Industries, Inc. .................... 500 21,375
E*Trade Group, Inc.*.................................... 700 27,956
Freddie Mac............................................. 900 52,200
J.P. Morgan & Co., Inc. ................................ 500 70,250
Lehman Brothers Holdings, Inc. ......................... 300 18,675
Morgan Stanley Dean Witter & Co......................... 800 82,000
Paine Webber Group, Inc. ............................... 600 28,050
Providian Financial Corp. .............................. 1,000 93,500
-----------
547,194
-----------
FOOD & RELATED -- 0.6%
ConAgra, Inc. .......................................... 1,200 31,950
Earthgrains Co. ........................................ 100 2,581
Heinz, (H.J.) Co. ...................................... 700 35,088
Hormel Foods Corp. ..................................... 700 28,175
IBP, Inc................................................ 1,100 26,125
Quaker Oats Co. ........................................ 800 53,100
Ralcorp Holdings, Inc.*................................. 800 12,850
Smithfield Foods, Inc.*................................. 300 10,031
-----------
199,900
-----------
HOSPITAL MANAGEMENT -- 0.3%
Lincare Holdings, Inc.*................................. 1,000 25,000
Omnicare, Inc. ......................................... 300 3,788
Trigon Healthcare, Inc. ................................ 300 10,912
United Healthcare Corp. ................................ 800 50,100
Universal Health Services, Inc., Class B................ 200 9,550
Wellpoint Health Networks, Inc.*........................ 200 16,975
-----------
116,325
-----------
HOSPITAL SUPPLY -- 0.9%
Allergan, Inc. ......................................... 500 55,500
Bard, (C.R), Inc. ...................................... 500 23,906
Bausch & Lomb, Inc. .................................... 400 30,600
Biomet, Inc. ........................................... 400 15,900
Boston Scientific Corp. ................................ 900 39,544
DENTSPLY International, Inc. ........................... 600 16,800
Genzyme Corp. .......................................... 500 24,250
Johnson & Johnson Co. .................................. 1,100 107,800
-----------
314,300
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
24
<PAGE> 27
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
INSURANCE -- 0.8%
Allstate Corp. ......................................... 1,400 $ 50,225
AMBAC Financial Group, Inc. ............................ 400 22,850
Conseco, Inc. .......................................... 1,500 45,656
Equitable Cos., Inc. ................................... 900 60,300
Everest Reinsurance Holdings, Inc. ..................... 700 22,838
Hartford Financial Services, Inc. ...................... 1,000 58,313
PMI Group, Inc. ........................................ 400 25,125
-----------
285,307
-----------
MACHINERY -- 0.3%
Briggs & Stratton Corp. ................................ 500 28,875
Ingersoll-Rand Co. ..................................... 700 45,238
McDermott International, Inc. .......................... 400 11,300
-----------
85,413
-----------
METALS & MINING -- 0.2%
Alcoa, Inc. ............................................ 400 24,750
Martin Marietta Materials, Inc. ........................ 500 29,500
USX-U.S. Steel Group, Inc. ............................. 900 24,300
-----------
78,550
-----------
MULTI-INDUSTRY -- 0.6%
AlliedSignal, Inc. ..................................... 600 37,800
Crane Co. .............................................. 600 18,863
Pentair, Inc. .......................................... 400 18,300
Tyco International Ltd. ................................ 1,300 123,175
-----------
198,138
-----------
OFFICE SUPPLIES & FORMS -- 0.2%
Avery-Dennison Corp. ................................... 900 54,338
-----------
OIL (DOMESTIC) -- 0.3%
Apache Corp. ........................................... 700 27,300
Ashland, Inc. .......................................... 500 20,063
Murphy Oil Corp. ....................................... 500 24,406
USX-Marathon Group...................................... 800 26,050
-----------
97,819
-----------
OIL (INTERNATIONAL) -- 0.9%
Chevron Corp. .......................................... 1,000 95,188
Exxon Corp. ............................................ 1,500 115,688
Mobil Corp. ............................................ 900 89,100
-----------
299,976
-----------
OIL - FIELD SERVICES -- 0.1%
Transocean Offshore, Inc. .............................. 1,500 39,375
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
25
<PAGE> 28
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
PAPER & FOREST PRODUCTS -- 0.2%
Georgia Pacific Corp. (Timber Group).................... 1,000 $ 25,250
Georgia Pacific Group................................... 800 37,900
Weyerhaeuser Co. ....................................... 300 20,625
-----------
83,775
-----------
PHARMACEUTICALS -- 2.0%
Amgen, Inc.*............................................ 700 42,613
Biogen, Inc.*........................................... 1,900 122,194
Bristol-Meyers Squibb Co. .............................. 2,000 140,875
Cardinal Health, Inc. .................................. 400 25,650
Merck & Co., Inc. ...................................... 700 51,800
Mylan Laboratories, Inc. ............................... 900 23,850
Pfizer, Inc. ........................................... 700 76,825
Schering-Plough Corp. .................................. 1,900 100,700
Warner-Lambert Co. ..................................... 900 62,438
Watson Pharmaceuticals, Inc.*........................... 500 17,531
-----------
664,476
-----------
PRINTING & PUBLISHING -- 0.5%
Houghton Mifflin Co. ................................... 500 23,531
McGraw-Hill Companies, Inc. ............................ 800 43,150
New York Times Co., Class A............................. 500 18,406
Scholastic Corp.*....................................... 300 15,188
Viacom, Inc., Class B*.................................. 1,300 57,200
Washington Post Co., Class B............................ 20 10,755
-----------
168,230
-----------
RECREATION -- 0.1%
Harley-Davidson, Inc. .................................. 400 21,750
-----------
RESTAURANTS/LODGING -- 0.3%
Bob Evans Farms, Inc. .................................. 700 13,913
Brinker International, Inc.*............................ 900 24,469
Darden Restaurants, Inc................................. 800 17,450
Tricon Global Restaurants, Inc.*........................ 600 32,475
-----------
88,307
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
26
<PAGE> 29
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
RETAIL -- 1.7%
Abercrombie & Fitch Co., Class A*....................... 600 $ 28,800
Federated Department Stores, Inc.*...................... 1,200 63,525
Gap, Inc. .............................................. 1,650 83,119
Hertz Corp. ............................................ 400 24,800
Home Depot, Inc. ....................................... 900 57,994
Mattel, Inc. ........................................... 1,900 50,231
OfficeMax, Inc.*........................................ 700 8,400
Ross Stores, Inc. ...................................... 600 30,225
Tiffany & Co., Inc. .................................... 200 19,300
TJX Companies, Inc. .................................... 1,400 46,638
Wal-Mart Stores, Inc. .................................. 3,200 154,400
-----------
567,432
-----------
RETAIL FOOD/DRUG -- 0.2%
Albertson's, Inc. ...................................... 500 25,781
Hannaford Brothers Co. ................................. 200 10,700
Safeway, Inc.*.......................................... 800 39,600
-----------
76,081
-----------
SEMI-CONDUCTORS/INSTRUMENTATION -- 1.2%
Altera Corp.*........................................... 1,000 36,813
Applied Materials, Inc.*................................ 500 36,938
Intel Corp. ............................................ 1,900 113,050
Lattice Semiconductor Corp.*............................ 300 18,675
Linear Technology Corp. ................................ 900 60,525
PMC-Sierra, Inc.*....................................... 300 17,681
Rockwell International Corp. ........................... 900 54,675
Teradyne, Inc. ......................................... 300 21,525
Texas Instruments, Inc. ................................ 300 43,500
Xilinx, Inc.*........................................... 700 40,075
-----------
443,457
-----------
TELECOMMUNICATIONS -- 0.5%
ADC Telecommunications, Inc.*........................... 100 4,556
QUALCOMM, Inc.*......................................... 800 114,800
Tellabs, Inc.*.......................................... 800 54,050
-----------
173,406
-----------
TOBACCO -- 0.2%
Philip Morris Cos., Inc. ............................... 1,900 76,356
-----------
TRANSPORTATION -- 0.2%
CNF Transportation, Inc. ............................... 200 7,675
Union Pacific Corp. .................................... 500 29,156
USFreightways Corp. .................................... 500 23,156
-----------
59,987
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
27
<PAGE> 30
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
UTILITIES - ELECTRIC -- 1.0%
Allegheny Energy, Inc. ................................. 1,000 $ 32,062
BEC Energy.............................................. 500 20,625
Conectiv, Inc. ......................................... 1,100 26,881
DQE, Inc. .............................................. 550 22,069
Edison International.................................... 1,100 29,425
Energy East Corp. ...................................... 1,200 31,200
Ensco International, Inc. .............................. 1,300 25,919
FPL Group, Inc. ........................................ 700 38,238
Northern States Power Co. .............................. 1,000 24,187
PECO Energy Co. ........................................ 1,200 50,250
Public Service Co. of New Mexico........................ 1,200 23,850
Reliant Energy, Inc. ................................... 1,200 33,150
-----------
357,856
-----------
UTILITIES - GAS & PIPELINE -- 0.3%
Coastal Corp. .......................................... 1,100 44,000
El Paso Energy Corp. ................................... 1,100 38,706
Keyspan Corp. .......................................... 500 13,188
-----------
95,894
-----------
UTILITIES - TELEPHONE -- 1.9%
Ameritech Corp. ........................................ 1,200 88,200
AT&T Corp. ............................................. 2,000 111,625
Bell Atlantic Corp. .................................... 1,000 65,375
BellSouth Corp. ........................................ 2,800 131,250
CenturyTel, Inc. ....................................... 450 17,888
Cincinnati Bell, Inc. .................................. 300 7,481
GTE Corp. .............................................. 1,000 75,750
MCI Worldcom, Inc.*..................................... 1,800 155,250
-----------
652,819
-----------
TOTAL COMMON STOCK (COST $7,238,279)...................... 9,780,417
-----------
INVESTMENT COMPANIES -- 6.2%
T. Rowe Price Foreign Equity Fund....................... 70,100 1,315,076
T. Rowe Price International Equity Fund................. 50,500 788,810
-----------
TOTAL INVESTMENT COMPANIES (COST $1,767,444).............. 2,103,886
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
28
<PAGE> 31
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
ASSET BACKED SECURITIES -- 1.2%
CPS Auto Grantor Trust, Series 1997-3, Class A1, 6.10%,
12/15/02.............................................. $ 14,654 $ 14,697
First USA Credit Card Master Trust, Series 1997-6, Class
A, 6.42%, 03/17/05.................................... 400,000 400,005
-----------
TOTAL ASSET BACKED SECURITIES (COST $413,970)............. 414,702
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 13.4%
Access Financial Mortgage Loan Trust, Series 1997-3,
Class A, 6.565%, 05/18/24............................. 151,587 151,757
American Express Master Trust, Series 1998-1, Class A,
5.90%, 04/15/04....................................... 400,000 395,712
Banc One Auto Grantor Trust, Series 1997-B, Class A,
6.29%, 07/20/04....................................... 257,379 258,217
Chase Credit Card Master Trust, Series 1997-2, Class A,
6.30%, 04/15/03....................................... 500,000 503,650
ContiMortgage Home Equity Loan Trust, Series 1998-1,
Class A, 6.28%, 01/15/13.............................. 500,000 498,276
EQCC Home Equity Loan Trust, Series 1997-2, Class A,
6.72%, 02/15/12....................................... 175,000 176,622
First Plus Home Improvement Loan Trust, Series 1996-3,
Class A, 7.60%, 09/20/14.............................. 350,000 356,241
First Plus Home Loan Trust, Series 1997-1, Class A6,
6.95%, 12/10/15....................................... 275,000 262,783
First Plus Home Loan Trust, Series 1998-2, Class A,
6.23%, 06/10/10....................................... 500,000 499,141
Navistar Financial Corp. Owner Trust, Series 1998-1,
Class A, 5.94%, 11/15/04.............................. 251,907 253,003
Nomura Asset Securities Corp., Series 1998-D6, Class A,
6.28%, 03/15/30....................................... 455,956 450,704
Premier Auto Trust, Series 1998-2, Class A, 5.77%,
01/06/02.............................................. 375,000 371,198
Sears Credit Acceptance Master Trust, Series 1998-1,
Class A, 5.80%, 08/15/05.............................. 400,000 393,625
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$4,615,009)............................................. 4,570,929
-----------
CORPORATE OBLIGATIONS -- 22.0%
BANKS/SAVINGS & LOAN -- 2.0%
Banc One Corp., 6.375%, 10/01/02........................ 525,000 522,375
Norwest Corp., 6.55%, 12/01/06.......................... 175,000 170,844
-----------
693,219
-----------
COMPUTER HARDWARE -- 1.5%
International Business Machines Corp., 6.375%,
06/15/00.............................................. 500,000 503,125
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
29
<PAGE> 32
TIME HORIZON FUNDS -- PORTFOLIO 1
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
FINANCIAL SERVICES -- 11.5%
Bear Stearns Cos., Inc., 6.75%, 05/01/01................ $ 400,000 $ 403,000
Chrysler Financial Corp., 6.95%, 03/25/02............... 500,000 508,125
Countrywide Home Loan, 7.45%, 09/16/03.................. 200,000 204,250
General Motors Acceptance Corp., 6.75%, 02/07/02........ 250,000 251,875
Household Finance Corp., 6.875%, 03/01/07............... 250,000 247,188
Household Netherlands BV, 6.125%, 03/01/03.............. 200,000 196,000
International Lease Finance Corp., 6.875%, 05/01/01..... 500,000 506,250
Merrill Lynch & Co., Inc., 6.00%, 01/15/01.............. 350,000 349,563
Morgan Stanley Dean Witter & Co., 8.10%, 06/24/02....... 750,000 782,813
Sears Roebuck Acceptance Corp., 6.15%, 11/15/05......... 500,000 500,000
-----------
3,949,064
-----------
MULTI-INDUSTRY -- 1.5%
Honeywell, Inc., 6.75%, 03/15/02........................ 500,000 505,000
-----------
PHARMACEUTICALS -- 1.5%
Smithkline Beecham Corp., 6.625%, 10/01/01.............. 500,000 506,250
-----------
RETAIL -- 0.9%
Wal-Mart Stores, Inc., 7.25%, 06/01/13.................. 305,000 317,581
-----------
UTILITIES - ELECTRIC -- 0.8%
Southern California Edison Note, 6.50%, 06/01/01........ 265,000 266,325
-----------
UTILITIES - TELEPHONE -- 2.3%
AT&T Corp., 8.625%, 12/01/31............................ 300,000 319,500
GTE North, Inc., 5.65%, 11/15/08........................ 500,000 458,125
-----------
777,625
-----------
TOTAL CORPORATE OBLIGATIONS (COST $7,499,284)............. 7,518,189
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 10.9%
FannieMae, 7.50%, 06/01/03.............................. 128,889 129,977
FannieMae, 7.00%, 06/01/04.............................. 138,027 138,458
FannieMae, 7.00%, 06/01/04.............................. 38,674 38,795
FannieMae, 6.48%, 06/28/04.............................. 750,000 760,174
FannieMae, 5.75%, 06/15/05.............................. 750,000 736,662
FannieMae, 6.50%, 01/01/06.............................. 173,119 167,114
FannieMae, 7.50%, 10/01/11.............................. 314,898 319,818
Federal Home Loan Bank, 5.375%, 03/02/01................ 1,200,000 1,193,582
Federal Home Loan Mortgage Corp., 8.00%, 01/01/04....... 43,812 44,633
Federal Home Loan Mortgage Corp., 7.00%, 05/01/04....... 180,219 180,838
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (COST
$3,714,584)............................................. 3,710,051
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
30
<PAGE> 33
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Concluded
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 16.7%
U.S. TREASURY BILLS -- 1.2%
U.S. Treasury Bill, 4.265%, 08/12/99.................... $ 372,000 $ 370,149
U.S. Treasury Bill, 4.30%, 08/12/99..................... 31,000 30,844
U.S. Treasury Bill, 4.42%, 08/12/99..................... 15,000 14,923
-----------
415,916
-----------
U.S. TREASURY NOTES -- 15.5%
U.S. Treasury Note, 6.25%, 08/31/00..................... 902,000 910,975
U.S. Treasury Note, 6.125%, 09/30/00.................... 540,000 544,741
U.S. Treasury Note, 5.25%, 01/31/01..................... 500,000 498,628
U.S. Treasury Note, 6.625%, 06/30/01.................... 200,000 204,012
U.S. Treasury Note, 6.25%, 02/15/03..................... 690,000 700,411
U.S. Treasury Note, 6.50%, 10/15/06..................... 100,000 103,200
U.S. Treasury Note, 6.25%, 02/15/07..................... 1,000,000 1,018,686
U.S. Treasury Note, 6.625%, 05/15/07.................... 850,000 885,036
U.S. Treasury Note, 5.625%, 05/15/08.................... 425,000 416,143
-----------
5,281,832
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST $5,742,702)......... 5,697,748
-----------
TOTAL INVESTMENTS (COST $30,991,272)(a) -- 99.0%.......... 33,795,922
OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.0%............. 351,253
-----------
NET ASSETS -- 100.0%...................................... $34,147,175
===========
Percentages indicated are based on net assets of $34,147,175.
(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 $53,656. Cost
for federal income tax purposes differs from value by
net unrealized appreciation of securities as follows:
Unrealized appreciation................................. $3,108,471
Unrealized depreciation................................. (357,477)
----------
Net unrealized appreciation............................. $2,750,994
==========
* Non-income producing security.
</TABLE>
- ---------------
See Notes to Financial Statements.
31
<PAGE> 34
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMMON STOCK -- 41.0%
AEROSPACE/DEFENSE -- 0.5%
Alliant Techsystems, Inc.*.............................. 200 $ 17,300
Cordant Technologies, Inc. ............................. 1,300 58,744
Goodrich, (B.F.), Co. .................................. 1,100 46,750
United Technologies Corp. .............................. 1,800 129,037
-----------
251,831
-----------
AIRLINES -- 0.2%
Alaska Air Group, Inc.*................................. 700 29,225
Comair Holdings, Inc. .................................. 400 8,325
Delta Air Lines, Inc. .................................. 900 51,862
-----------
89,412
-----------
APPAREL/TEXTILE -- 0.6%
Burlington Industries, Inc.*............................ 1,500 13,594
Cintas Corp. ........................................... 1,200 80,625
Jones Apparel Group, Inc.*.............................. 2,300 78,919
Kellwood Co. ........................................... 500 13,562
Quicksilver, Inc. ...................................... 400 10,425
Tommy Hilfiger Corp.*................................... 1,200 88,200
-----------
285,325
-----------
AUTOMOTIVE -- 0.7%
Arvin Industries, Inc. ................................. 1,300 49,237
Delphi Automotive Systems Corp.*........................ 629 11,676
Ford Motor Co. ......................................... 1,500 84,656
General Motors Corp. ................................... 900 59,400
Gentex Corp.*........................................... 500 14,000
Meritor Automotive, Inc. ............................... 2,500 63,750
Tower Automotive, Inc.*................................. 800 20,350
-----------
303,069
-----------
BANKS/SAVINGS & LOANS -- 2.7%
Astoria Financial Corp. ................................ 2,100 92,269
Chase Manhattan Corp. .................................. 2,300 199,237
City National Corp. .................................... 1,800 67,387
Cullen/Frost Bankers, Inc. ............................. 1,200 33,075
Dime Bancorp, Inc. ..................................... 4,200 84,525
FirstFed Financial Corp.*............................... 1,300 25,025
Fleet Financial Group, Inc. ............................ 3,200 142,000
Hudson United Bancorp................................... 800 24,500
Mellon Bank Corp. ...................................... 2,800 101,850
National City Corp. .................................... 1,000 65,500
North Fork Bancorporation, Inc. ........................ 4,100 87,381
Old Kent Financial Corp. ............................... 2,215 92,743
Pacific Century Financial Corp. ........................ 3,300 71,156
Queens County Bancorp, Inc. ............................ 500 16,187
</TABLE>
- ---------------
See Notes to Financial Statements.
32
<PAGE> 35
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
BANKS/SAVINGS & LOANS -- (CONTINUED)
Trustmark Corp. ........................................ 800 $ 18,300
Wells Fargo Co. ........................................ 2,600 111,150
-----------
1,232,285
-----------
BEVERAGES -- 0.6%
Anheuser-Busch Cos., Inc. .............................. 1,600 113,500
Canandaigua Brands, Inc.*............................... 700 36,706
Coca-Cola Co. .......................................... 1,400 87,500
Coca-Cola Enterprises, Inc. ............................ 700 21,525
Coors, (Adolph) Co., Class B............................ 400 19,800
PepsiCo, Inc. .......................................... 600 23,212
-----------
302,243
-----------
BUILDING RELATED/APPLIANCE -- 0.7%
AptarGroup, Inc. ....................................... 800 24,000
Centex Construction Products, Inc. ..................... 400 13,650
Centex Corp. ........................................... 1,000 37,562
Hughes Supply, Inc. .................................... 200 5,937
M.D.C. Holdings, Inc. .................................. 1,000 21,500
Mohawk Industries, Inc.*................................ 2,000 60,750
Ryland Group, Inc. ..................................... 900 26,719
Shaw Industries, Inc.*.................................. 2,100 34,650
Southdown, Inc. ........................................ 1,100 70,675
USG Corp.* ............................................. 200 11,200
-----------
306,643
-----------
CHEMICALS -- 0.9%
Cytec Industries, Inc.*................................. 2,400 76,500
Dow Chemical Co. ....................................... 800 101,500
Ecolab, Inc. ........................................... 900 39,262
GenCorp, Inc. .......................................... 2,300 58,075
Scotts Co., Class A*.................................... 600 28,575
Solutia, Inc. .......................................... 3,600 76,725
Union Carbide Corp. .................................... 800 39,000
-----------
419,637
-----------
COMMERCIAL SERVICES -- 0.8%
ACNielsen Corp.*........................................ 2,300 69,575
ADVO, Inc.*............................................. 500 10,375
Central Parking Corp. .................................. 100 3,425
CIBER, Inc.*............................................ 800 15,300
Convergys Corp.*........................................ 700 13,475
Galileo International, Inc. ........................... 800 42,750
Interim Services, Inc.*................................. 700 14,437
Lason Holdings, Inc.*................................... 400 19,850
Macromedia, Inc.*....................................... 600 21,150
MedQuist, Inc.*......................................... 600 26,250
Mercury Interactive Corp.*.............................. 600 21,225
NCO Group, Inc. ........................................ 300 11,400
</TABLE>
- ---------------
See Notes to Financial Statements.
33
<PAGE> 36
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMMERCIAL SERVICES -- (CONTINUED)
Omnicom Group........................................... 500 $ 40,000
Plexus Corp.*........................................... 600 18,075
Valassis Communications, Inc.*.......................... 750 27,469
-----------
354,756
-----------
COMMUNICATIONS SYSTEMS & SOFTWARE -- 1.1%
Cisco Systems, Inc.*.................................... 3,600 232,200
Comverse Technology, Inc.*.............................. 500 37,750
Lucent Technologies, Inc. .............................. 2,600 175,337
Motorola, Inc. ......................................... 800 75,800
-----------
521,087
-----------
COMPUTER HARDWARE -- 2.0%
EMC Corp.*.............................................. 2,400 132,000
Hewlett-Packard Co. .................................... 1,500 150,750
International Business Machines Corp. .................. 2,200 284,350
Lexmark International Group, Inc.*...................... 1,900 125,519
NCR Corp.*.............................................. 1,300 63,456
SCI Systems, Inc.*...................................... 1,200 57,000
Seagate Technology, Inc.*............................... 300 7,687
Solectron Corp.*........................................ 1,000 66,687
Symbol Technologies, Inc. .............................. 1,325 48,859
-----------
936,308
-----------
COMPUTER SERVICES & SOFTWARE -- 3.0%
Adobe Systems, Inc. .................................... 1,000 82,156
Affiliated Computer Services, Inc.*..................... 300 15,187
America Online, Inc.*................................... 900 99,450
American Management Systems, Inc.*...................... 700 22,444
BMC Software, Inc.*..................................... 1,700 91,800
Citrix Systems, Inc.*................................... 1,600 90,400
Compuware Corp.*........................................ 1,000 31,812
Electronic Arts, Inc.*.................................. 700 37,975
FactSet Research Systems, Inc. ......................... 200 11,325
MICROS Systems, Inc.*................................... 400 13,600
Microsoft Corp.*........................................ 5,700 514,069
National Computer Systems, Inc. ........................ 500 16,875
National Data Corp. .................................... 300 12,825
Rational Software Corp.*................................ 1,800 59,287
Siebel Systems, Inc.*................................... 1,800 119,475
Sterling Software, Inc.*................................ 2,200 58,712
SunGard Data Systems, Inc.*............................. 800 27,600
Symantec Corp.*......................................... 1,000 25,500
Unisys Corp.*........................................... 1,200 46,725
-----------
1,377,217
-----------
CONSUMER PRODUCTS & SERVICES -- 0.1%
Premark International, Inc. ............................ 1,500 56,250
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
34
<PAGE> 37
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COSMETICS & TOILETRIES -- 0.8%
Avon Products, Inc. .................................... 1,100 $ 61,050
Clorox Co. ............................................. 600 64,087
Dial Corp. ............................................. 1,800 66,937
Kimberly-Clark Corp. ................................... 900 51,300
Procter & Gamble Co. ................................... 1,300 116,025
-----------
359,399
-----------
ELECTRICAL EQUIPMENT -- 0.7%
General Electric Co. ................................... 2,700 305,100
-----------
ENERGY RELATED -- 0.2%
Newfield Exploration Co.*............................... 600 17,062
Nisource, Inc. ......................................... 1,700 43,881
Offshore Logistics, Inc.*............................... 1,200 13,350
Tidewater, Inc. ........................................ 1,100 33,550
-----------
107,843
-----------
ENTERTAINMENT -- 1.0%
CBS Corp.*.............................................. 1,300 56,469
Harrah's Entertainment, Inc.*........................... 1,600 35,200
King World Productions, Inc.*........................... 600 20,887
Metro Networks, Inc.*................................... 200 10,675
Polaris Industries, Inc. ............................... 300 13,050
TCA Cable Television, Inc. ............................. 500 27,750
Time Warner, Inc. ...................................... 2,100 154,350
Univision Communications, Inc., Class A*................ 1,000 66,000
Viacom, Inc., Class B*.................................. 1,900 83,600
-----------
467,981
-----------
FINANCIAL SERVICES -- 2.1%
AmeriCredit Corp.*...................................... 1,200 19,200
Citigroup, Inc. ........................................ 4,725 224,437
Countrywide Credit Industries, Inc. .................... 1,200 51,300
Delphi Financial Group, Inc., Class A*.................. 416 14,924
E*Trade Group, Inc.*.................................... 1,600 63,900
Freddie Mac............................................. 1,300 75,400
J.P. Morgan & Co., Inc. ................................ 700 98,350
Legg Mason, Inc. ....................................... 700 26,950
Lehman Brothers Holdings, Inc. ......................... 500 31,125
Metris Companies, Inc. ................................. 200 8,150
Morgan Stanley Dean Witter & Co......................... 1,200 123,000
Paine Webber Group, Inc. ............................... 1,500 70,125
Providian Financial Corp. .............................. 1,450 135,575
Radian Group, Inc. ..................................... 400 19,525
-----------
961,961
-----------
FOOD & RELATED -- 0.9%
ConAgra, Inc. .......................................... 1,800 47,925
Heinz, (H.J.) Co. ...................................... 1,000 50,125
</TABLE>
- ---------------
See Notes to Financial Statements.
35
<PAGE> 38
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
FOOD & RELATED -- (CONTINUED)
Hormel Foods Corp. ..................................... 1,800 $ 72,450
IBP, Inc. .............................................. 2,700 64,125
Quaker Oats Co. ........................................ 1,200 79,650
Ralcorp Holdings, Inc.*................................. 2,800 44,975
Smithfield Foods, Inc.*................................. 1,300 43,469
-----------
402,719
-----------
HOSPITAL MANAGEMENT -- 0.6%
Lincare Holdings, Inc.*................................. 2,400 60,000
Omnicare, Inc. ......................................... 700 8,837
PacifiCare Health Systems, Inc., Class A*............... 300 21,581
Trigon Healthcare, Inc. ................................ 800 29,100
United Healthcare Corp. ................................ 1,000 62,625
Universal Health Services, Inc., Class B................ 1,000 47,750
Wellpoint Health Networks, Inc.*........................ 400 33,950
-----------
263,843
-----------
HOSPITAL SUPPLY -- 1.2%
Allergan, Inc. ......................................... 700 77,700
Bard, (C.R.), Inc. ..................................... 1,200 57,375
Bausch & Lomb, Inc. .................................... 600 45,900
Bindley Western Industries, Inc. ....................... 533 12,300
Biomet, Inc. ........................................... 1,100 43,725
Boston Scientific Corp.*................................ 1,300 57,119
DENTSPLY International, Inc. ........................... 1,400 39,200
Johnson & Johnson Co. .................................. 1,600 156,800
Patterson Dental Co.*................................... 500 17,375
VISX, Inc.*............................................. 600 47,512
-----------
555,006
-----------
INSURANCE -- 1.2%
Allstate Corp. ......................................... 1,900 68,162
AMBAC Financial Group, Inc. ............................ 1,000 57,125
Conseco, Inc. .......................................... 2,300 70,006
Enhance Financial Services Group, Inc. ................. 500 9,875
Equitable Cos., Inc. ................................... 1,200 80,400
Everest Reinsurance Holdings, Inc. ..................... 1,800 58,725
Fidelity National Financial, Inc. ...................... 550 11,550
Frontier Insurance Group, Inc. ......................... 800 12,300
Gallagher, (Arthur J.) & Co. ........................... 200 9,900
Hartford Financial Services, Inc. ...................... 1,500 87,469
PMI Group, Inc. ........................................ 1,000 62,812
Renaissance Holdings Ltd. .............................. 300 11,100
-----------
539,424
-----------
MACHINERY -- 0.6%
Astec Industries, Inc.*................................. 300 12,225
Briggs & Stratton Corp. ................................ 1,200 69,300
Ingersoll-Rand Co. ..................................... 1,000 64,625
</TABLE>
- ---------------
See Notes to Financial Statements.
36
<PAGE> 39
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
MACHINERY -- (CONTINUED)
JLG Industries, Inc. ................................... 1,100 $ 22,412
Manitowoc Co., Inc. .................................... 750 31,219
McDermott International, Inc. .......................... 1,000 28,250
Terex Corp.*............................................ 600 18,262
Toro Co. ............................................... 300 11,812
-----------
258,105
-----------
MANUFACTURING -- 0.1%
Clarcor, Inc. .......................................... 600 11,512
Cognex Corp.*........................................... 700 22,094
-----------
33,606
-----------
METALS & MINING -- 0.3%
Alcoa, Inc. ............................................ 600 37,125
Martin Marietta Materials, Inc. ........................ 1,100 64,900
Stillwater Mining Co.*.................................. 400 13,075
USX-U.S. Steel Group, Inc. ............................. 1,400 37,800
-----------
152,900
-----------
METAL PROCESSORS & FABRICATION -- 0.1%
Intermet Corp. ......................................... 800 12,100
Quanex Corp. ........................................... 600 17,100
-----------
29,200
-----------
MULTI-INDUSTRY -- 0.9%
AlliedSignal, Inc. ..................................... 900 56,700
Crane Co. .............................................. 1,500 47,156
Mascotech, Inc. ........................................ 800 13,550
Pentair, Inc. .......................................... 1,000 45,750
Rockwell International Corp. ........................... 1,400 85,050
Tyco International Ltd. ................................ 2,000 189,500
-----------
437,706
-----------
OFFICE SUPPLIES & FORMS -- 0.2%
Avery-Dennison Corp. ................................... 1,400 84,525
-----------
OIL (DOMESTIC) -- 0.5%
Apache Corp. ........................................... 1,000 39,000
Ashland, Inc. .......................................... 1,100 44,138
Devon Energy Corp. ..................................... 500 17,875
Murphy Oil Corp. ....................................... 1,200 58,575
Stone Energy Corp.*..................................... 300 12,713
USX-Marathon Group...................................... 1,200 39,075
-----------
211,376
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
37
<PAGE> 40
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
OIL (INTERNATIONAL) -- 1.1%
Chevron Corp. .......................................... 1,500 $ 142,781
Ensco International, Inc. .............................. 3,100 61,806
Exxon Corp. ............................................ 2,200 169,675
Mobil Corp. ............................................ 1,300 128,700
-----------
502,962
-----------
OIL -- FIELD SERVICES -- 0.2%
Oceaneering International, Inc.*........................ 500 8,063
Transocean Offshore, Inc. .............................. 3,000 78,750
-----------
86,813
-----------
PAPER & FOREST PRODUCTS -- 0.3%
Georgia Pacific Corp. (Timber Group).................... 2,400 60,600
Georgia Pacific Group................................... 1,000 47,375
Weyerhaeuser Co. ....................................... 500 34,375
-----------
142,350
-----------
PHARMACEUTICALS -- 2.6%
Alpharma, Inc., Class A................................. 600 21,338
Amgen, Inc.*............................................ 1,100 66,962
Biogen, Inc.*........................................... 3,400 218,663
Bristol-Meyers Squibb Co. .............................. 2,900 204,269
Cardinal Health, Inc. .................................. 600 38,475
Genzyme Corp.* ......................................... 1,200 58,200
Medimmune, Inc.*........................................ 300 20,325
Merck & Co., Inc. ...................................... 1,000 74,000
Mylan Laboratories, Inc. ............................... 2,300 60,950
Owens & Minor, Inc. Holding Co. ........................ 1,000 11,000
Pfizer, Inc. ........................................... 1,000 109,750
Priority Healthcare Corp., Class B*..................... 268 9,246
Roberts Pharmaceutical Corp.*........................... 700 16,975
Schering-Plough Corp. .................................. 2,700 143,100
Warner-Lambert Co. ..................................... 1,300 90,188
Watson Pharmaceuticals, Inc.*........................... 1,500 52,594
-----------
1,196,035
-----------
PRINTING & PUBLISHING -- 0.5%
Consolidated Graphics, Inc.*............................ 300 15,000
Electronics for Imaging, Inc.*.......................... 300 15,413
Houghton Mifflin Co. ................................... 1,100 51,769
McGraw-Hill Cos., Inc. ................................. 1,000 53,938
New York Times Co., Class A............................. 800 29,450
Scholastic Corp.*....................................... 800 40,500
Washington Post Co., Class B............................ 60 32,265
World Color Press, Inc.*................................ 500 13,750
-----------
252,085
-----------
RECREATION -- 0.1%
Harley-Davidson, Inc. .................................. 1,100 59,813
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
38
<PAGE> 41
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
RESTAURANTS/LODGING -- 0.5%
Bob Evans Farms, Inc. .................................. 1,700 $ 33,788
Brinker International, Inc.*............................ 2,100 57,094
CEC Entertainment, Inc.*................................ 600 25,350
Darden Restaurants, Inc. ............................... 2,000 43,625
Foodmaker, Inc.*........................................ 800 22,700
MeriStar Hospitality Corp. ............................. 500 11,219
Ruby Tuesday, Inc. ..................................... 700 13,300
Tricon Global Restaurants, Inc.*........................ 900 48,713
-----------
255,789
-----------
RETAIL -- 2.3%
Abercrombie & Fitch Co., Class A*....................... 1,600 76,800
AnnTaylor Stores Corp.*................................. 500 22,500
Cato Corp., Class A..................................... 700 8,138
Federated Department Stores, Inc.*...................... 1,800 95,288
Gap, Inc. .............................................. 2,625 132,234
Hertz Corp. ............................................ 900 55,800
Hollywood Entertainment Corp.*.......................... 800 15,650
Home Depot, Inc. ....................................... 1,300 83,769
Linens 'n Things, Inc.*................................. 400 17,500
Mattel, Inc. ........................................... 2,700 71,381
Musicland Stores Corp.*................................. 1,100 9,762
OfficeMax, Inc.*........................................ 1,600 19,200
Rent-A-Center, Inc.*.................................... 500 12,000
Ross Stores, Inc. ...................................... 2,200 110,825
ShopKo Stores, Inc. .................................... 200 7,250
Tiffany & Co., Inc...................................... 300 28,950
TJX Cos., Inc. ......................................... 2,100 69,956
Wal-Mart Stores, Inc. .................................. 4,600 221,950
Zale Corp.*............................................. 500 20,000
-----------
1,078,953
-----------
RETAIL FOOD/DRUG -- 0.3%
Albertson's, Inc. ...................................... 700 36,094
Casey General Stores, Inc. ............................. 500 7,500
Hannaford Brothers Co. ................................. 300 16,050
Safeway, Inc.*.......................................... 1,200 59,400
Whole Foods Market, Inc. ............................... 300 14,419
-----------
133,463
-----------
SEMI-CONDUCTORS/INSTRUMENTATION -- 2.0%
Adaptec, Inc. .......................................... 700 24,719
Altera Corp.*........................................... 2,300 84,669
Applied Materials, Inc.*................................ 600 44,325
Dallas Semiconductor Corp. ............................. 200 10,100
Electro Scientific Industries, Inc.*.................... 400 16,713
Intel Corp. ............................................ 2,800 166,600
Lattice Semiconductor Corp.*............................ 1,000 62,250
</TABLE>
- ---------------
See Notes to Financial Statements.
39
<PAGE> 42
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
SEMI-CONDUCTORS/INSTRUMENTATION -- (CONTINUED)
Linear Technology Corp. ................................ 2,200 $ 147,950
Novellus Systems, Inc.*................................. 300 20,475
PMC-Sierra, Inc.*....................................... 1,000 58,938
Powerwave Technologies, Inc.*........................... 400 12,900
Teradyne, Inc. ......................................... 800 57,400
Texas Instruments, Inc. ................................ 500 72,500
Unitrode Corp. ......................................... 600 17,213
Vitesse Semiconductors Corp.*........................... 300 20,231
Xilinx, Inc.*........................................... 1,800 103,050
-----------
920,033
-----------
TELECOMMUNICATIONS -- 1.0%
ADC Telecommunications, Inc.*........................... 400 18,225
CenturyTel, Inc. ....................................... 1,225 48,694
CommScope, Inc.*........................................ 800 24,600
InterVoice, Inc.*....................................... 900 12,994
QUALCOMM, Inc.*......................................... 1,700 243,950
TALK.com, Inc.*......................................... 600 6,750
Tellabs, Inc.*.......................................... 1,200 81,075
Xircom, Inc.*........................................... 800 24,050
-----------
460,338
-----------
TOBACCO -- 0.3%
Philip Morris Cos., Inc. ............................... 3,000 120,563
-----------
TRANSPORTATION -- 0.4%
CNF Transportation, Inc. ............................... 400 15,350
M.S. Carriers, Inc.*.................................... 700 20,759
Rollins Truck Leasing Corp. ............................ 200 2,225
Union Pacific Corp. .................................... 800 46,650
USFreightways Corp. .................................... 1,800 83,363
-----------
168,347
-----------
UTILITIES -- ELECTRIC -- 1.6%
Allegheny Energy, Inc. ................................. 2,400 76,950
BEC Energy.............................................. 1,200 49,500
Calpine Corp.*.......................................... 300 16,200
Conectiv, Inc. ......................................... 2,800 68,425
DQE, Inc. .............................................. 1,350 54,169
Edison International.................................... 1,700 45,475
Energy East Corp. ...................................... 3,300 85,800
FPL Group, Inc. ........................................ 1,000 54,625
Northern States Power Co. .............................. 2,300 55,631
PECO Energy Co. ........................................ 1,800 75,375
Public Service Co. of New Mexico........................ 2,800 55,650
Reliant Energy, Inc. ................................... 1,800 49,725
</TABLE>
- ---------------
See Notes to Financial Statements.
40
<PAGE> 43
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
UTILITIES -- ELECTRIC -- (CONTINUED)
TNP Enterprises, Inc. .................................. 600 $ 21,750
United Illuminating Co. ................................ 300 12,731
-----------
722,006
-----------
UTILITIES -- GAS & PIPELINE -- 0.5%
Coastal Corp. .......................................... 1,600 64,000
El Paso Energy Corp. ................................... 2,600 91,488
Energen Corp. .......................................... 800 14,900
Keyspan Corp. .......................................... 1,300 34,288
Piedmont Natural Gas Co., Inc. ......................... 200 6,225
Southwest Gas Corp. .................................... 500 14,313
-----------
225,214
-----------
UTILITIES -- TELEPHONE -- 2.0%
Ameritech Corp. ........................................ 1,700 124,950
AT&T Corp. ............................................. 2,900 161,856
Bell Atlantic Corp. .................................... 1,600 104,600
BellSouth Corp. ........................................ 3,900 182,813
Cincinnati Bell, Inc. .................................. 700 17,456
GTE Corp. .............................................. 1,600 121,200
MCI Worldcom, Inc.*..................................... 2,600 224,250
-----------
937,125
-----------
TOTAL COMMON STOCK (COST $14,500,280)..................... 18,868,646
-----------
INVESTMENT COMPANIES -- 10.1%
T. Rowe Price Foreign Equity Fund....................... 125,900 2,361,884
T. Rowe Price International Equity Fund................. 145,800 2,277,396
-----------
TOTAL INVESTMENT COMPANIES (COST $3,937,067).............. 4,639,280
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
ASSET BACKED SECURITIES -- 0.8%
CPS Auto Receivables Trust, Series 1997-3, Class A1,
6.10%, 12/15/02....................................... $ 14,654 14,697
First USA Credit Card Master Trust, Series 1997-6, Class
A, 6.42%, 03/17/05.................................... 350,000 350,005
-----------
TOTAL ASSET BACKED SECURITIES (COST $364,054)............. 364,702
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
41
<PAGE> 44
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS -- 6.9%
Access Financial Mortgage Loan Trust, Series 1997-3,
Class A, 6.565%, 05/18/24............................. $ 151,587 $ 151,757
American Express Master Trust, Series 1998-1, Class A,
5.90%, 04/15/04....................................... 300,000 296,784
Banc One Auto Grantor Trust, Series 1997-B, Class A,
6.29%, 07/20/04....................................... 205,903 206,574
Chase Credit Card Master Trust, Series 1997-2, Class A,
6.30%, 04/15/03....................................... 500,000 503,650
EQCC Home Equity Loan Trust, Series 1997-2, Class A,
6.72%, 02/15/12....................................... 175,000 176,622
First Plus Home Loan Improvement Trust, Series 1996-3,
Class A, 7.60%, 09/20/14.............................. 350,000 356,241
First Plus Home Loan Trust, Series 1997-1, Class A6,
6.95%, 12/10/15....................................... 250,000 238,894
Navistar Financial Corp. Owner Trust, Series 1998-1,
Class A, 5.94%, 11/15/04.............................. 188,930 189,752
Nomura Asset Securities Corp., Series 1998-D6, Class
A1A, 6.28%, 03/15/30.................................. 455,956 450,704
Premier Auto Trust, Series 1998-2, Class A, 5.77%,
01/06/02.............................................. 325,000 321,705
Sears Credit Acceptance Master Trust, Series 1998-1,
Class A, 5.80%, 08/15/05.............................. 300,000 295,219
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$3,198,505)............................................. 3,187,902
-----------
CORPORATE OBLIGATIONS -- 17.4%
BANKS/SAVINGS & LOANS -- 1.8%
Banc One Corp., 6.375%, 10/01/02........................ 600,000 597,000
Norwest Corp., 6.55%, 12/01/06.......................... 250,000 244,063
-----------
841,063
-----------
COMPUTER HARDWARE -- 1.1%
International Business Machines Corp., 6.375%,
06/15/00.............................................. 500,000 503,125
-----------
FINANCIAL SERVICES -- 9.1%
Bear Stearns Cos., Inc., 6.75%, 05/01/01................ 400,000 403,000
Chrysler Financial Corp., 6.95%, 03/25/02............... 500,000 508,125
Countrywide Home Loan, 7.45%, 09/16/03.................. 200,000 204,250
General Motors Acceptance Corp., 6.75%, 02/07/02........ 250,000 251,875
General Motors Acceptance Corp., 5.875%, 01/22/03....... 250,000 243,750
Household Finance Corp., 6.875%, 03/01/07............... 250,000 247,188
Household Netherlands BV, 6.125%, 03/01/03.............. 200,000 196,000
International Lease Finance Corp., 6.875%, 05/01/01..... 500,000 506,250
Merrill Lynch & Co., Inc., 6.00%, 01/15/01.............. 350,000 349,563
Morgan Stanley Dean Witter & Co., 8.10%, 06/24/02....... 250,000 260,938
Pitney Bowes Credit Corp., 5.65%, 01/15/03.............. 275,000 269,500
</TABLE>
- ---------------
See Notes to Financial Statements.
42
<PAGE> 45
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
Sears Roebuck Acceptance Corp., 6.15%, 11/15/05......... $ 500,000 $ 500,000
Transamerica Finance Corp., 6.375%, 11/15/01............ 260,000 259,675
-----------
4,200,114
-----------
FOOD & RELATED -- 0.7%
Hershey Foods Corp., 6.70%, 10/01/05.................... 325,000 327,438
-----------
MULTI-INDUSTRY -- 1.1%
Honeywell, Inc., 6.75%, 03/15/02........................ 500,000 505,000
-----------
PHARMACEUTICALS -- 1.1%
Smithkline Beecham Corp., 6.625%, 10/01/01.............. 500,000 506,250
-----------
RETAIL -- 0.7%
Wal-Mart Stores, Inc., 7.25%, 06/01/13.................. 300,000 312,375
-----------
UTILITIES - ELECTRIC -- 0.3%
Southern California Edison Note, 6.50%, 06/01/01........ 145,000 145,725
-----------
UTILITIES - TELEPHONE -- 1.5%
AT&T Corp., 8.625%, 12/01/31............................ 200,000 213,000
GTE North, Inc., 5.65%, 11/15/08........................ 500,000 458,125
-----------
671,125
-----------
TOTAL CORPORATE OBLIGATIONS (COST $8,017,897)............. 8,012,215
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 9.3%
FannieMae, 7.50%, 06/01/03.............................. 128,889 129,977
FannieMae, 7.00%, 06/01/04.............................. 276,054 276,917
FannieMae, 7.00%, 06/01/04.............................. 178,867 179,426
FannieMae, 6.48%, 06/28/04.............................. 750,000 760,174
FannieMae, 5.75%, 06/15/05.............................. 750,000 736,662
FannieMae, 6.50%, 01/01/06.............................. 173,119 167,114
FannieMae, 7.50%, 10/01/11.............................. 157,449 159,909
Federal Home Loan Bank, 5.375%, 03/02/01................ 1,000,000 994,652
Federal Home Loan Mortgage Corp., 8.00%, 01/01/04....... 43,812 44,633
Federal Home Loan Mortgage Corp., 7.00%, 05/01/04....... 643,638 645,851
Federal Home Loan Mortgage Corp., 6.50%, 06/01/04....... 172,675 171,002
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS (COST
$4,270,763)............................................. 4,266,317
-----------
U.S. TREASURY OBLIGATIONS -- 12.2%
U.S. TREASURY BILLS -- 0.2%
U.S. Treasury Bill, 4.22%, 07/01/99..................... 88,000 88,000
U.S. Treasury Bill, 4.00%, 08/12/99..................... 2,000 1,991
U.S. Treasury Bill, 4.10%, 08/12/99..................... 4,000 3,981
U.S. Treasury Bill, 4.12%, 08/12/99..................... 14,000 13,933
U.S. Treasury Bill, 4.265%, 08/12/99.................... 3,000 2,985
-----------
110,890
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
43
<PAGE> 46
TIME HORIZON FUNDS -- PORTFOLIO 2
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
U.S. TREASURY NOTES -- 12.0%
U.S. Treasury Note, 6.25%, 02/15/03..................... $ 300,000 $ 304,527
U.S. Treasury Note, 6.50%, 05/15/05..................... 1,225,000 1,259,543
U.S. Treasury Note, 6.50%, 10/15/06..................... 250,000 258,000
U.S. Treasury Note, 6.25%, 02/15/07..................... 1,000,000 1,018,686
U.S. Treasury Note, 6.625%, 05/15/07.................... 1,400,000 1,457,707
U.S. Treasury Note, 5.625%, 05/15/08.................... 1,225,000 1,199,468
-----------
5,497,931
-----------
TOTAL U.S. TREASURY OBLIGATIONS (COST $5,735,071)......... 5,608,821
-----------
TOTAL INVESTMENTS -- 97.7% (COST $40,023,637)(a).......... 44,947,883
OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.3%............. 1,037,559
-----------
NET ASSETS -- 100.0%...................................... $45,985,442
===========
Percentages indicated are based on net assets of
$45,985,442.
(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 $111,768. Cost
for federal income tax purposes differs from value by
net unrealized appreciation of securities as follows:
Unrealized appreciation................................. $5,530,446
Unrealized depreciation................................. (717,968)
----------
Net unrealized appreciation............................. $4,812,478
==========
* Non-income producing security.
</TABLE>
- ---------------
See Notes to Financial Statements.
44
<PAGE> 47
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMMON STOCK -- 56.7%
AEROSPACE/DEFENSE -- 0.8%
Alliant Techsystems, Inc.*.............................. 300 $ 25,950
Cordant Technologies, Inc. ............................. 1,800 81,337
Goodrich, (B.F.) Co. ................................... 1,700 72,250
United Technologies Corp. .............................. 3,400 243,737
-----------
423,274
-----------
AIRLINES -- 0.2%
Alaska Air Group, Inc.*................................. 900 37,575
Comair Holdings, Inc. .................................. 750 15,609
Delta Air Lines, Inc. .................................. 1,400 80,675
-----------
133,859
-----------
APPAREL/TEXTILE -- 0.8%
Burlington Industries, Inc.*............................ 2,300 20,844
Cintas Corp. ........................................... 1,600 107,500
Jones Apparel Group, Inc.*.............................. 3,100 106,369
Kellwood Co. ........................................... 800 21,700
Quicksilver, Inc. ...................................... 700 18,244
Tommy Hilfiger Corp.*................................... 2,000 147,000
-----------
421,657
-----------
AUTOMOTIVE -- 0.9%
Arvin Industries, Inc. ................................. 1,700 64,387
Delphi Automotive Systems Corp.*........................ 1,048 19,448
Ford Motor Co. ......................................... 2,600 146,737
General Motors Corp. ................................... 1,500 99,000
Gentex Corp.*........................................... 800 22,400
Meritor Automotive, Inc. ............................... 3,400 86,700
Tower Automotive, Inc.*................................. 1,300 33,069
-----------
471,741
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
45
<PAGE> 48
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
BANKS/SAVINGS & LOANS -- 3.7%
Astoria Financial Corp. ................................ 3,000 $ 131,812
Chase Manhattan Corp. .................................. 4,000 346,500
City National Corp. .................................... 2,500 93,594
Cullen/Frost Bankers, Inc. ............................. 1,800 49,612
Dime Bancorp, Inc. ..................................... 5,800 116,725
FirstFed Financial Corp.*............................... 2,100 40,425
Fleet Financial Group, Inc. ............................ 5,600 248,500
Hudson United Bancorp................................... 1,400 42,875
Mellon Bank Corp. ...................................... 4,800 174,600
National City Corp. .................................... 1,700 111,350
North Fork Bancorporation, Inc. ........................ 5,600 119,350
Old Kent Financial Corp. ............................... 2,981 124,829
Pacific Century Financial Corp. ........................ 4,500 97,031
Queens County Bancorp, Inc. ............................ 900 29,137
Trustmark Corp. ........................................ 1,800 41,175
Wells Fargo Co. ........................................ 4,400 188,100
-----------
1,955,615
-----------
BEVERAGES -- 0.9%
Anheuser-Busch Cos., Inc. .............................. 2,700 191,531
Canandaigua Brands, Inc.*............................... 1,000 52,437
Coca-Cola Co. .......................................... 2,700 168,750
Coca-Cola Enterprises, Inc. ............................ 1,100 33,825
Coors, (Adolph) Co., Class B............................ 500 24,750
PepsiCo, Inc. .......................................... 1,000 38,687
-----------
509,980
-----------
BUILDING RELATED/APPLIANCE -- 0.9%
AptarGroup, Inc. ....................................... 1,400 42,000
Centex Construction Products, Inc. ..................... 600 20,475
Centex Corp. ........................................... 1,700 63,856
Hughes Supply, Inc. .................................... 300 8,906
M.D.C. Holdings, Inc. .................................. 1,700 36,550
Mohawk Industries, Inc.*................................ 2,800 85,050
Ryland Group, Inc. ..................................... 1,400 41,562
Shaw Industries, Inc.*.................................. 2,800 46,200
Southdown, Inc. ........................................ 1,700 109,225
USG Corp.*.............................................. 200 11,200
-----------
465,024
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
46
<PAGE> 49
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
CHEMICALS -- 1.2%
Cytec Industries, Inc.*................................. 3,400 $ 108,375
Dow Chemical Co. ....................................... 1,400 177,625
Ecolab, Inc. ........................................... 1,300 56,712
GenCorp, Inc. .......................................... 3,300 83,325
Scotts Co., Class A*.................................... 1,000 47,625
Solutia, Inc. .......................................... 5,000 106,562
Union Carbide Corp. .................................... 1,400 68,250
-----------
648,474
-----------
COMMERCIAL SERVICES -- 1.0%
ACNielsen Corp.*........................................ 3,200 96,800
ADVO, Inc.*............................................. 800 16,600
Central Parking Corp. .................................. 100 3,425
CIBER, Inc.*............................................ 1,400 26,775
Convergys Corp.*........................................ 900 17,325
Galileo International, Inc. ............................ 1,100 58,781
Interim Services, Inc.*................................. 1,200 24,750
Lason Holdings, Inc.*................................... 600 29,775
Macromedia, Inc.*....................................... 900 31,725
MedQuist, Inc.*......................................... 1,000 43,750
Mercury Interactive Corp.*.............................. 1,000 35,375
NCO Group, Inc. ........................................ 500 19,000
Omnicom Group........................................... 800 64,000
Plexus Corp.*........................................... 1,000 30,125
Valassis Communications, Inc.*.......................... 1,200 43,950
-----------
542,156
-----------
COMMUNICATIONS SYSTEMS & SOFTWARE -- 1.6%
Cisco Systems, Inc.*.................................... 6,050 390,225
Comverse Technology, Inc.*.............................. 700 52,850
Lucent Technologies, Inc. .............................. 4,400 296,725
Motorola, Inc. ......................................... 1,300 123,175
-----------
862,975
-----------
COMPUTER HARDWARE -- 2.8%
EMC Corp.*.............................................. 4,200 231,000
Hewlett-Packard Co. .................................... 2,500 251,250
International Business Machines Corp. .................. 3,600 465,300
Lexmark International Group, Inc.*...................... 2,600 171,762
NCR Corp.*.............................................. 1,800 87,862
SCI Systems, Inc.*...................................... 1,600 76,000
Seagate Technology, Inc.*............................... 500 12,812
Solectron Corp.*........................................ 2,000 133,375
Symbol Technologies, Inc. .............................. 1,775 65,453
-----------
1,494,814
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
47
<PAGE> 50
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
COMPUTER SOFTWARE & SERVICES -- 4.2%
Adobe Systems, Inc. .................................... 1,300 $ 106,803
Affiliated Computer Services, Inc.*..................... 600 30,375
America Online, Inc.*................................... 1,500 165,750
American Management Systems, Inc.*...................... 1,200 38,475
BMC Software, Inc.*..................................... 2,700 145,800
Citrix Systems, Inc.*................................... 2,200 124,300
Compuware Corp.*........................................ 2,000 63,625
Electronic Arts, Inc.*.................................. 900 48,825
FactSet Research Systems, Inc. ......................... 300 16,987
MICROS Systems, Inc.*................................... 700 23,800
Microsoft Corp.*........................................ 10,000 901,875
National Computer Systems, Inc. ........................ 800 27,000
National Data Corp. .................................... 400 17,100
Rational Software Corp.*................................ 2,700 88,931
Siebel Systems, Inc.*................................... 2,500 165,937
Sterling Software, Inc.*................................ 3,200 85,400
SunGard Data Systems, Inc.*............................. 1,100 37,950
Symantec Corp.*......................................... 1,400 35,700
Unisys Corp.*........................................... 2,100 81,769
-----------
2,206,402
-----------
CONSUMER PRODUCTS & SERVICES -- 0.1%
Premark International, Inc. ............................ 2,000 75,000
-----------
COSMETICS & TOILETRIES -- 1.1%
Avon Products, Inc. .................................... 2,000 111,000
Clorox Co. ............................................. 1,100 117,494
Dial Corp. ............................................. 2,500 92,969
Kimberly-Clark Corp. ................................... 1,600 91,200
Procter & Gamble Co. ................................... 2,300 205,275
-----------
617,938
-----------
ELECTRICAL EQUIPMENT -- 1.0%
General Electric Co. ................................... 4,700 531,100
-----------
ENERGY RELATED -- 0.3%
Newfield Exploration Co.*............................... 1,100 31,281
Nisource, Inc. ......................................... 2,200 56,787
Offshore Logistics, Inc.*............................... 2,000 22,250
Tidewater, Inc. ........................................ 1,500 45,750
-----------
156,068
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
48
<PAGE> 51
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
ENTERTAINMENT -- 1.4%
CBS Corp.*.............................................. 2,200 $ 95,562
Harrah's Entertainment, Inc.*........................... 2,100 46,200
King World Productions, Inc.*........................... 1,000 34,812
Metro Networks, Inc.*................................... 400 21,350
Polaris Industries, Inc. ............................... 500 21,750
TCA Cable Television, Inc. ............................. 700 38,850
Time Warner, Inc. ...................................... 3,600 264,600
Univision Communications, Inc., Class A*................ 1,300 85,800
Viacom, Inc., Class B................................... 3,300 145,200
-----------
754,124
-----------
FINANCIAL SERVICES -- 3.0%
AmeriCredit Corp.*...................................... 1,900 30,400
Citigroup, Inc. ........................................ 8,175 388,312
Countrywide Credit Industries, Inc. .................... 1,600 68,400
Delphi Financial Group, Inc., Class A*.................. 728 26,127
E*Trade Group, Inc.*.................................... 2,200 87,862
Freddie Mac............................................. 2,300 133,400
J.P. Morgan & Co., Inc. ................................ 1,200 168,600
Legg Mason, Inc. ....................................... 1,100 42,350
Lehman Brothers Holdings, Inc. ......................... 900 56,025
Metris Companies, Inc. ................................. 400 16,300
Morgan Stanley Dean Witter & Co. ....................... 2,000 205,000
Paine Webber Group, Inc. ............................... 2,000 93,500
Providian Financial Corp. .............................. 2,550 238,425
Radian Group, Inc. ..................................... 700 34,169
-----------
1,588,870
-----------
FOOD & RELATED -- 1.2%
ConAgra, Inc. .......................................... 3,100 82,537
Heinz, (H.J.) Co. ...................................... 1,700 85,212
Hormel Foods Corp. ..................................... 2,400 96,600
IBP, Inc. .............................................. 3,600 85,500
Quaker Oats Co. ........................................ 2,100 139,387
Ralcorp Holdings, Inc.*................................. 3,900 62,644
Smithfield Foods, Inc.*................................. 2,000 66,875
-----------
618,755
-----------
HOSPITAL MANAGEMENT -- 0.7%
Lincare Holdings, Inc.*................................. 3,200 80,000
Omnicare, Inc. ......................................... 900 11,362
PacifiCare Health Systems, Inc., Class A*............... 300 21,581
Trigon Healthcare, Inc. ................................ 1,100 40,013
United Healthcare Corp. ................................ 1,900 118,987
Universal Health Services, Inc., Class B*............... 1,400 66,850
Wellpoint Health Networks, Inc.*........................ 500 42,437
-----------
381,230
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
49
<PAGE> 52
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
HOSPITAL SUPPLY -- 1.7%
Allergan, Inc. ......................................... 1,200 $ 133,200
Bard, (C.R.), Inc. ..................................... 1,700 81,281
Bausch & Lomb, Inc. .................................... 1,100 84,150
Bindley Western Industries, Inc. ....................... 933 21,525
Biomet, Inc. ........................................... 1,400 55,650
Boston Scientific Corp.*................................ 2,300 101,056
DENTSPLY International, Inc. ........................... 1,900 53,200
Johnson & Johnson Co. .................................. 2,700 264,600
Patterson Dental Co.*................................... 800 27,800
VISX, Inc.*............................................. 900 71,269
-----------
893,731
-----------
INSURANCE -- 1.6%
Allstate Corp. ......................................... 3,400 121,975
AMBAC Financial Group, Inc. ............................ 1,400 79,975
Conseco, Inc. .......................................... 3,900 118,706
Enhance Financial Services Group, Inc. ................. 800 15,800
Equitable Cos., Inc. ................................... 2,200 147,400
Everest Reinsurance Holdings, Inc. ..................... 2,500 81,562
Fidelity National Financial, Inc. ...................... 890 18,690
Frontier Insurance Group, Inc. ......................... 1,500 23,062
Gallagher, (Arthur J.) & Co. ........................... 400 19,800
Hartford Financial Services, Inc. ...................... 2,600 151,613
PMI Group, Inc. ........................................ 1,400 87,938
Renaissance Holdings Ltd. .............................. 400 14,800
-----------
881,321
-----------
MACHINERY -- 0.7%
Astec Industries, Inc.*................................. 500 20,375
Briggs & Stratton Corp. ................................ 1,600 92,400
Ingersoll-Rand Co. ..................................... 1,700 109,863
JLG Industries, Inc. ................................... 1,800 36,675
Manitowoc Co., Inc. .................................... 1,150 47,869
McDermott International, Inc. .......................... 1,400 39,550
Terex Corp.*............................................ 1,100 33,481
Toro Co. ............................................... 500 19,688
-----------
399,901
-----------
MANUFACTURING -- 0.1%
Clarcor, Inc. .......................................... 900 17,269
Cognex Corp.*........................................... 1,200 37,875
-----------
55,144
-----------
METAL PROCESSORS & FABRICATION -- 0.1%
Intermet Corp. ......................................... 1,300 19,663
Quanex Corp. ........................................... 1,000 28,500
-----------
48,163
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
50
<PAGE> 53
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
METALS & MINING -- 0.5%
Alcoa, Inc. ............................................ 1,000 $ 61,875
Martin Marietta Materials, Inc. ........................ 1,500 88,500
Stillwater Mining Co.*.................................. 700 22,881
USX-U.S. Steel Group, Inc. ............................. 2,500 67,500
-----------
240,756
-----------
MULTI-INDUSTRY -- 1.4%
AlliedSignal, Inc. ..................................... 1,600 100,800
Crane Co. .............................................. 2,100 66,019
Mascotech, Inc. ........................................ 1,300 22,019
Pentair, Inc. .......................................... 1,400 64,050
Rockwell International Corp. ........................... 2,400 145,800
Tyco International Ltd. ................................ 3,400 322,150
-----------
720,838
-----------
OFFICE SUPPLIES & FORMS -- 0.3%
Avery-Dennison Corp. ................................... 2,300 138,863
-----------
OIL (DOMESTIC) -- 0.6%
Apache Corp. ........................................... 1,700 66,300
Ashland, Inc. .......................................... 1,600 64,200
Devon Energy Corp. ..................................... 800 28,600
Murphy Oil Corp. ....................................... 1,700 82,981
Stone Energy Corp.*..................................... 500 21,188
USX-Marathon Group...................................... 2,100 68,381
-----------
331,650
-----------
OIL (INTERNATIONAL) -- 1.6%
Chevron Corp. .......................................... 2,500 237,969
Ensco International, Inc. .............................. 4,200 83,738
Exxon Corp. ............................................ 3,900 300,788
Mobil Corp. ............................................ 2,300 227,700
-----------
850,195
-----------
OIL - FIELD SERVICES -- 0.3%
Oceaneering International, Inc.*........................ 800 12,900
Transocean Offshore, Inc. .............................. 4,600 120,750
-----------
133,650
-----------
PAPER & FOREST PRODUCTS -- 0.4%
Georgia Pacific Corp. (Timber Group).................... 3,200 80,800
Georgia Pacific Group................................... 1,800 85,275
Weyerhaeuser Co. ....................................... 900 61,875
-----------
227,950
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
51
<PAGE> 54
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
PHARMACEUTICALS -- 3.7%
Alpharma, Inc., Class A................................. 1,000 $ 35,563
Amgen, Inc.*............................................ 1,800 109,575
Biogen, Inc.*........................................... 5,500 353,719
Bristol-Meyers Squibb Co. .............................. 5,000 352,188
Cardinal Health, Inc. .................................. 1,100 70,538
Genzyme Corp.*.......................................... 1,600 77,600
Medimmune, Inc.*........................................ 500 33,875
Merck & Co., Inc. ...................................... 1,800 133,200
Mylan Laboratories, Inc. ............................... 3,100 82,150
Owens & Minor, Inc. Holding Co. ........................ 1,600 17,600
Pfizer, Inc. ........................................... 1,700 186,575
Priority Healthcare Corp., Class B*..................... 469 16,181
Roberts Pharmaceutical Corp.*........................... 1,200 29,100
Schering-Plough Corp. .................................. 4,700 249,100
Warner-Lambert Co. ..................................... 2,300 159,563
Watson Pharmaceuticals, Inc.*........................... 2,100 73,631
-----------
1,980,158
-----------
PRINTING & PUBLISHING -- 0.7%
Consolidated Graphics, Inc.*............................ 500 25,000
Electronics for Imaging, Inc.*.......................... 500 25,688
Houghton Mifflin Co. ................................... 1,600 75,300
McGraw-Hill Companies, Inc. ............................ 1,800 97,088
New York Times Co., Class A............................. 1,300 47,856
Scholastic Corp.*....................................... 1,100 55,688
Washington Post Co., Class B............................ 80 43,020
World Color Press, Inc.*................................ 800 22,000
-----------
391,640
-----------
RECREATION -- 0.2%
Harley-Davidson, Inc. .................................. 1,500 81,563
-----------
RESTAURANTS/LODGING -- 0.7%
Bob Evans Farms, Inc. .................................. 2,300 45,713
Brinker International, Inc.*............................ 2,800 76,125
CEC Entertainment, Inc.*................................ 1,000 42,250
Darden Restaurants, Inc. ............................... 2,800 61,075
Foodmaker, Inc.*........................................ 1,300 36,888
MeriStar Hospitality Corp. ............................. 800 17,950
Ruby Tuesday, Inc. ..................................... 1,100 20,900
Tricon Global Restaurants, Inc.*........................ 1,600 86,600
-----------
387,501
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
52
<PAGE> 55
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
RETAIL -- 3.3%
Abercrombie & Fitch Co., Class A*....................... 2,100 $ 100,800
AnnTaylor Stores Corp.*................................. 900 40,500
Cato Corp., Class A..................................... 1,200 13,950
Federated Department Stores, Inc.*...................... 3,000 158,813
Gap, Inc. .............................................. 4,350 219,131
Hertz Corp. ............................................ 1,300 80,600
Hollywood Entertainment Corp.*.......................... 1,400 27,387
Home Depot, Inc. ....................................... 2,300 148,206
Linens 'n Things, Inc.*................................. 700 30,625
Mattel, Inc. ........................................... 4,700 124,256
Musicland Stores Corp.*................................. 1,900 16,862
OfficeMax, Inc.*........................................ 2,200 26,400
Rent-A-Center, Inc.*.................................... 800 19,200
Ross Stores, Inc. ...................................... 3,100 156,163
ShopKo Stores, Inc. .................................... 400 14,500
Tiffany & Co., Inc ..................................... 500 48,250
TJX Companies, Inc. .................................... 3,600 119,925
Wal-Mart Stores, Inc. .................................. 8,000 386,000
Zale Corp.*............................................. 900 36,000
-----------
1,767,568
-----------
RETAIL FOOD/DRUG -- 0.4%
Albertson's, Inc. ...................................... 1,100 56,719
Casey General Stores, Inc. ............................. 800 12,000
Hannaford Brothers Co. ................................. 500 26,750
Safeway, Inc.*.......................................... 2,100 103,950
Whole Foods Market, Inc. ............................... 400 19,225
-----------
218,644
-----------
SEMI-CONDUCTORS/INSTRUMENTATION -- 2.7%
Adaptec, Inc. .......................................... 1,000 35,312
Altera Corp.*........................................... 3,200 117,800
Applied Materials, Inc.*................................ 1,100 81,263
Dallas Semiconductor Corp. ............................. 400 20,200
Electro Scientific Industries, Inc.*.................... 700 29,247
Intel Corp. ............................................ 5,200 309,400
Lattice Semiconductor Corp.*............................ 1,500 93,375
Linear Technology Corp. ................................ 2,900 195,025
Novellus Systems, Inc.*................................. 600 40,950
PMC-Sierra, Inc.*....................................... 1,700 100,194
Powerwave Technologies, Inc.*........................... 600 19,350
Teradyne, Inc. ......................................... 1,100 78,925
Texas Instruments, Inc. ................................ 800 116,000
Unitrode Corp. ......................................... 1,100 31,556
Vitesse Semiconductors Corp.*........................... 500 33,719
Xilinx, Inc.*........................................... 2,400 137,400
-----------
1,439,716
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
53
<PAGE> 56
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
TELECOMMUNICATIONS -- 1.3%
ADC Telecommunications, Inc.*........................... 600 $ 27,338
CenturyTel, Inc. ....................................... 1,700 67,575
CommScope, Inc.*........................................ 1,300 39,975
InterVoice, Inc.*....................................... 1,600 23,100
QUALCOMM, Inc.*......................................... 2,400 344,400
TALK.com, Inc.*......................................... 900 10,125
Tellabs, Inc.*.......................................... 2,100 141,881
Xircom, Inc.*........................................... 1,400 42,087
-----------
696,481
-----------
TOBACCO -- 0.4%
Philip Morris Cos., Inc. ............................... 4,900 196,919
-----------
TRANSPORTATION -- 0.5%
CNF Transportation, Inc. ............................... 600 23,025
M.S. Carriers, Inc.*.................................... 1,200 35,588
Union Pacific Corp. .................................... 1,300 75,806
USFreightways Corp. .................................... 2,700 125,044
-----------
259,463
-----------
UTILITIES - ELECTRIC -- 2.0%
Allegheny Energy, Inc. ................................. 3,200 102,600
BEC Energy ............................................. 1,700 70,125
Calpine Corp.*.......................................... 500 27,000
Conectiv, Inc. ......................................... 3,800 92,863
DQE, Inc. .............................................. 1,750 70,219
Edison International ................................... 2,900 77,575
Energy East Corp. ...................................... 4,400 114,400
FPL Group, Inc. ........................................ 1,700 92,863
Northern States Power Co. .............................. 3,200 77,400
PECO Energy Co. ........................................ 3,000 125,625
Public Service Co. of New Mexico........................ 3,800 75,525
Reliant Energy, Inc. ................................... 3,100 85,638
TNP Enterprises, Inc. .................................. 1,000 36,250
United Illuminating Co. ................................ 500 21,219
-----------
1,069,302
-----------
UTILITIES - GAS & PIPELINE -- 0.7%
Coastal Corp. .......................................... 2,800 112,000
El Paso Energy Corp. ................................... 3,500 123,156
Energen Corp. .......................................... 1,400 26,075
Keyspan Corp. .......................................... 1,800 47,475
NICOR, Inc. ............................................ 100 3,806
Piedmont Natural Gas Co., Inc. ......................... 400 12,450
Southwest Gas Corp. .................................... 900 25,763
-----------
350,725
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
54
<PAGE> 57
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SECURITY DESCRIPTION SHARES VALUE
-------------------- ------ ------
<S> <C> <C>
UTILITIES - TELEPHONE -- 3.0%
Ameritech Corp. ........................................ 3,000 $ 220,500
AT&T Corp. ............................................. 5,000 279,063
Bell Atlantic Corp. .................................... 2,800 183,050
BellSouth Corp. ........................................ 6,800 318,750
Cincinnati Bell, Inc. .................................. 1,000 24,938
GTE Corp. .............................................. 2,600 196,950
MCI WorldCom, Inc.*..................................... 4,500 388,125
-----------
1,611,376
-----------
TOTAL COMMON STOCK
(COST $23,120,817)...................................... 30,232,274
-----------
INVESTMENT COMPANIES -- 9.1%
T. Rowe Price Foreign Equity Fund....................... 131,800 2,472,568
T. Rowe Price International Equity Fund................. 152,600 2,383,612
-----------
TOTAL INVESTMENT COMPANIES
(COST $4,151,422)....................................... 4,856,180
-----------
PRINCIPAL
AMOUNT
---------
ASSET BACKED SECURITIES -- 0.5%
CPS Auto Grantor Trust, Series 1997-3, Class A1, 6.10%,
12/15/02.............................................. $ 11,723 11,758
First USA Credit Card Master Trust, Series 1997-6, Class
A, 6.42%, 03/17/05.................................... 250,000 250,003
-----------
TOTAL ASSET BACKED SECURITIES
(COST $261,295)......................................... 261,761
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS -- 5.3%
Access Financial Mortgage Loan Trust, Series 1997-3,
Class A, 6.565%, 05/18/24............................. 259,864 260,155
American Express Master Trust, Series 1998-1, Class A,
5.90%, 04/15/04....................................... 275,000 272,052
Banc One Auto Grantor Trust, Series 1997-B, Class A,
6.29%, 07/20/04....................................... 128,689 129,108
Chase Credit Card Master Trust, Series 1997-2, Class A,
6.30%, 04/15/03....................................... 250,000 251,825
EQCC Home Equity Loan Trust, Series 1997-2, Class A,
6.72%, 02/15/12....................................... 300,000 302,781
First Plus Home Improvement Loan Trust, Series 1996-3,
Class A, 7.60%, 09/20/14.............................. 300,000 305,349
First Plus Home Loan Trust, Series 1997-1, Class A6,
6.95%, 12/10/15....................................... 125,000 119,447
Navistar Financial Corp. Owner Trust, Series 1998-A1,
Class A, 5.94%, 11/15/04.............................. 188,930 189,752
Nomura Asset Securities Corp., Series 1998-D6, Class
A1A, 6.28%, 03/15/30.................................. 455,956 450,704
Premier Auto Trust, Series 1998-2, Class A, 5.77%,
01/06/02.............................................. 300,000 296,959
</TABLE>
- ---------------
See Notes to Financial Statements.
55
<PAGE> 58
TIME HORIZON FUNDS -- PORTFOLIO 3
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
Sears Credit Acceptance Master Trust, Series 1998-1,
Class A, 5.80%, 08/15/05.............................. $ 275,000 $ 270,617
-----------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST
$2,878,228)............................................. 2,848,749
-----------
CORPORATE OBLIGATIONS -- 12.1%
BANKS/SAVINGS & LOANS -- 1.3%
Banc One Corp., 6.375%, 10/01/02........................ 375,000 373,125
Norwest Corp., 6.55%, 12/01/06.......................... 350,000 341,688
-----------
714,813
-----------
FINANCIAL SERVICES -- 5.9%
Bear Stearns Cos., Inc., 6.75%, 05/01/01................ 400,000 403,000
Chrysler Financial Corp., 6.95%, 03/25/02............... 500,000 508,125
Countrywide Home Loan, 7.45%, 09/16/03.................. 100,000 102,125
General Motors Acceptance Corp., 6.75%, 02/07/02........ 500,000 503,750
Household Finance Corp., 6.875%, 03/01/07............... 250,000 247,188
Household Netherlands BV, 6.125%, 03/01/03.............. 100,000 98,000
International Lease Finance Corp., 6.875%, 05/01/01..... 500,000 506,250
Sears Roebuck Acceptance Corp., 6.15%, 11/15/05......... 500,000 500,000
Transamerica Finance Corp., 6.375%, 11/15/01............ 260,000 259,675
-----------
3,128,113
-----------
FOOD & RELATED -- 0.6%
Hershey Foods Co., 6.70%, 10/01/05...................... 300,000 302,250
-----------
MULTI-INDUSTRY -- 0.9%
Honeywell, Inc., 6.75%, 03/15/02........................ 500,000 505,000
-----------
PHARMACEUTICALS -- 0.9%
Smithkline Beecham Corp., 6.625%, 10/01/01.............. 500,000 506,250
-----------
UTILITIES - ELECTRIC -- 1.1%
Southern California Edison Note, 6.50%, 06/01/01........ 590,000 592,950
-----------
UTILITIES - TELEPHONE -- 1.4%
AT&T Corp., 8.625%, 12/01/31............................ 250,000 266,250
GTE North, Inc., 5.65%, 11/15/08........................ 500,000 458,125
-----------
724,375
-----------
TOTAL CORPORATE OBLIGATIONS (COST $6,484,983)............. 6,473,751
-----------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 7.5%
FannieMae, 7.50%, 06/01/03.............................. 128,889 129,977
FannieMae, 7.00%, 06/01/04.............................. 212,707 213,372
FannieMae, 7.00%, 06/01/04.............................. 276,054 276,917
FannieMae, 6.48%, 06/28/04.............................. 500,000 506,783
FannieMae, 5.75%, 06/15/05.............................. 750,000 736,662
FannieMae, 6.50%, 01/01/06.............................. 65,943 63,656
FannieMae, 7.50%, 10/01/11.............................. 52,483 53,303
Federal Home Loan Bank, 5.375%, 03/02/01................ 1,000,000 994,652
Federal Home Loan Mortgage Corp., 8.00%, 01/01/04....... 21,906 22,317
Federal Home Loan Mortgage Corp., 7.00%, 05/01/04....... 463,420 465,013
Federal Home Loan Mortgage Corp., 6.50%, 06/01/04....... 515,220 510,229
-----------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $3,980,828)....................................... 3,972,881
-----------
</TABLE>
- ---------------
See Notes to Financial Statements.
56
<PAGE> 59
- --------------------------------------------------------------------------------
Schedule of Portfolio Investments, Concluded
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
SECURITY DESCRIPTION AMOUNT VALUE
-------------------- --------- ------
<S> <C> <C>
U.S. TREASURY OBLIGATIONS -- 6.7%
U.S. TREASURY BILLS -- 1.3%
U.S. Treasury Bill, 4.22%, 07/01/99..................... $ 220,000 $ 220,000
U.S. Treasury Bill, 4.30%, 07/01/99..................... 104,000 104,000
U.S. Treasury Bill, 4.35%, 07/01/99..................... 271,000 271,000
U.S. Treasury Bill, 4.12%, 08/12/99..................... 103,000 102,505
U.S. Treasury Bill, 4.265%, 08/12/99.................... 2,000 1,990
U.S. Treasury Bill, 4.28%, 08/12/99..................... 7,000 6,965
U.S. Treasury Bill, 4.42%, 08/12/99..................... 7,000 6,964
-----------
713,424
-----------
U.S. TREASURY BONDS & NOTES -- 5.4%
U.S. Treasury Bond, 7.50%, 11/15/16..................... 1,050,000 1,182,333
U.S. Treasury Note, 6.50%, 05/15/05..................... 150,000 154,230
U.S. Treasury Note, 6.875%, 05/15/06.................... 125,000 131,570
U.S. Treasury Note, 6.50%, 10/15/06..................... 75,000 77,400
U.S. Treasury Note, 6.25%, 02/15/07..................... 500,000 509,343
U.S. Treasury Note, 6.625%, 05/15/07.................... 250,000 260,305
U.S. Treasury Note, 6.25%, 08/15/23..................... 550,000 552,337
-----------
2,867,518
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $3,652,239)....................................... 3,580,942
-----------
TOTAL INVESTMENTS -- 97.9% (COST $44,529,812)(A).......... 52,226,538
OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.1%............. 1,115,317
-----------
NET ASSETS -- 100.0%...................................... $53,341,855
===========
Percentages indicated are based on net assets of $53,341,855.
(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 $118,130. Cost
for federal income tax purposes differs from value by
net unrealized appreciation of securities as follows:
Unrealized appreciation................................. $8,408,030
Unrealized depreciation................................. (829,434)
---------
Net unrealized appreciation............................. $7,578,596
=========
* Non-income producing security.
</TABLE>
- ---------------
See Notes to Financial Statements.
57
<PAGE> 60
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Statements of Assets and Liabilities
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
----------- ----------- -----------
<S> <C> <C> <C>
ASSETS:
Investments in securities, at value (cost
$30,991,272, $40,023,637, and $44,529,812,
respectively).............................. $33,795,922 $44,947,883 $52,226,538
Cash......................................... 249 241 630
Interest and dividends receivable............ 241,040 239,755 205,371
Receivable for capital shares sold........... 3,451 5,545 3,783
Receivable for investment securities sold.... 490,291 1,387,753 1,521,660
Unamortized organization costs............... 5,955 5,512 5,845
Prepaid expenses............................. 38,302 42,179 42,200
----------- ----------- -----------
Total Assets............................... 34,575,210 46,628,868 54,006,027
----------- ----------- -----------
LIABILITIES:
Payable for investment securities
purchased.................................. 118,740 266,172 357,455
Payable for capital shares redeemed.......... 179,341 230,839 132,459
Management fees payable...................... 2,577 7,795 8,776
Shareholder service fees payable............. 7,009 9,391 10,790
12b-1 fees payable........................... 13,432 20,769 24,337
Other accrued expenses....................... 106,936 108,460 130,355
----------- ----------- -----------
Total Liabilities.......................... 428,035 643,426 664,172
----------- ----------- -----------
NET ASSETS................................... $34,147,175 $45,985,442 $53,341,855
=========== =========== ===========
Net Assets:
A Shares................................... $8,254,582 $11,941,007 $12,872,633
B Shares................................... 25,772,118 33,564,179 39,687,645
K Shares................................... 120,475 480,256 781,577
----------- ----------- -----------
Total...................................... $34,147,175 $45,985,442 $53,341,855
=========== =========== ===========
Shares Outstanding (no par value, unlimited
shares authorized):
A Shares................................... 686,167 935,289 913,557
B Shares................................... 2,160,260 2,657,744 2,845,443
K Shares................................... 10,141 38,173 56,069
----------- ----------- -----------
Total...................................... 2,856,568 3,631,206 3,815,069
=========== =========== ===========
Net Asset Value:
A Shares -- offering price and redemption
price per share.......................... $ 12.03 $ 12.77 $ 14.09
=========== =========== ===========
B Shares -- offering price per share....... $ 11.93 $ 12.63 $ 13.95
=========== =========== ===========
K Shares -- offering price and redemption
price per share.......................... $ 11.88 $ 12.58 $ 13.94
=========== =========== ===========
COMPOSITION OF NET ASSETS:
Paid in Capital.............................. $29,072,444 $38,323,344 $41,669,968
Undistributed net investment income.......... 745 398 1,168
Accumulated net realized gains on investment
transactions............................... 2,269,336 2,737,454 3,973,993
Net unrealized appreciation of investments... 2,804,650 4,924,246 7,696,726
----------- ----------- -----------
NET ASSETS, JUNE 30, 1999.................... $34,147,175 $45,985,442 $53,341,855
=========== =========== ===========
</TABLE>
- ---------------
See Notes to Financial Statements.
58
<PAGE> 61
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Statements of Operations
For the year ended June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1 PORTFOLIO 2 PORTFOLIO 3
----------- ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest................................ $1,519,665 $1,423,320 $1,134,477
Dividends............................... 189,097 361,234 495,590
---------- ---------- ----------
Total Income.......................... 1,708,762 1,784,554 1,630,067
---------- ---------- ----------
EXPENSES:
Management fees......................... 225,264 283,599 320,488
Shareholder service fees (A Shares)..... 23,226 30,823 33,084
Shareholder service fees (B Shares)..... 70,398 86,166 98,761
Shareholder service fees (K Shares)..... 236 1,178 1,693
12b-1 fees (B Shares)................... 211,193 258,498 296,282
12b-1 fees (K Shares)................... 472 2,355 3,387
Transfer agent fees..................... 69,503 97,820 126,188
Accounting fees......................... 29,999 29,999 29,999
Custodian fees.......................... 33,401 34,971 34,748
Legal fees.............................. 35,252 43,169 49,301
Audit fees.............................. 15,812 15,812 15,812
Trustees' fees and expenses............. 22,079 27,039 30,879
Registration and filing fees............ 18,319 16,272 17,137
Reports to shareholders................. 44,906 54,995 62,802
Organization costs...................... 5,110 5,110 4,380
Other expenses.......................... 24,608 28,544 29,933
---------- ---------- ----------
Total Expenses........................ 829,778 1,016,350 1,154,874
Less: Fee waivers....................... (165,246) (185,719) (212,359)
---------- ---------- ----------
Total Net Expenses.................... 664,532 830,631 942,515
---------- ---------- ----------
NET INVESTMENT INCOME..................... 1,044,230 953,923 687,552
---------- ---------- ----------
NET REALIZED/UNREALIZED GAIN ON
INVESTMENTS:
Net realized gains on investment
transactions........................ 2,433,472 3,122,399 4,276,841
Net change in unrealized appreciation
on investments...................... (952,729) (868,809) (420,618)
---------- ---------- ----------
Net realized/unrealized gains on
investments............................. 1,480,743 2,253,590 3,856,223
---------- ---------- ----------
INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS.............................. $2,524,973 $3,207,513 $4,543,775
========== ========== ==========
</TABLE>
- ---------------
See Notes to Financial Statements.
59
<PAGE> 62
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Statements of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 1
-------------------------
YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30,
1999 1998
---------- -----------
<S> <C> <C>
INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................................ $ 1,044,230 $ 1,162,785
Net realized gains on investment transactions........ 2,433,472 2,721,056
Net change in unrealized appreciation (depreciation)
of investments..................................... (952,729) 909,002
----------- -----------
Change in net assets resulting from operations......... 2,524,973 4,792,843
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
A Shares........................................... (459,900) (303,557)
B Shares........................................... (1,134,419) (808,548)
K Shares........................................... (4,451) (1,368)
From net realized gains from investment transactions
A Shares........................................... (543,095) (264,716)
B Shares........................................... (1,615,089) (901,438)
K Shares........................................... (5,274) (1,231)
----------- -----------
Change in net assets from shareholder distributions.... (3,762,228) (2,280,858)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued.......................... 1,903,003 2,553,697
Dividends reinvested................................. 3,673,518 2,229,620
Cost of shares redeemed.............................. (10,910,703) (6,585,495)
----------- -----------
Change in net assets from capital share transactions... (5,334,182) (1,802,178)
----------- -----------
Change in net assets................................... (6,571,437) 709,807
NET ASSETS:
Beginning of Year.................................... 40,718,612 40,008,805
----------- -----------
End of Year.......................................... $34,147,175 $40,718,612
=========== ===========
Accumulated Undistributed Net Investment Income........ $ 745 $ 572,520
=========== ===========
</TABLE>
See Notes to Financial Statements.
60
<PAGE> 63
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 2 PORTFOLIO 3
------------------------- -------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1998 1999 1998
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
$ 953,923 $ 1,111,570 $ 687,552 $ 786,544
3,122,399 3,810,224 4,276,841 6,000,121
(868,809) 1,632,270 (420,618) 2,313,634
----------- ----------- ----------- -----------
3,207,513 6,554,064 4,543,775 9,100,299
----------- ----------- ----------- -----------
(436,946) (275,944) (325,479) (203,802)
(961,279) (594,168) (620,854) (392,613)
(16,441) (4,907) (13,556) (6,418)
(939,183) (369,476) (1,344,548) (520,616)
(2,649,457) (1,095,471) (3,993,274) (1,612,825)
(37,318) (6,473) (66,107) (17,485)
----------- ----------- ----------- -----------
(5,040,624) (2,346,439) (6,363,818) (2,753,759)
----------- ----------- ----------- -----------
1,495,354 5,081,360 2,609,877 6,577,283
4,992,592 2,326,331 6,327,120 2,732,255
(8,781,501) (6,466,563) (10,572,086) (7,223,088)
----------- ----------- ----------- -----------
(2,293,555) 941,128 (1,635,089) 2,086,450
----------- ----------- ----------- -----------
(4,126,666) 5,148,753 (3,455,132) 8,432,990
50,112,108 44,963,355 56,796,987 48,363,997
----------- ----------- ----------- -----------
$45,985,442 $50,112,108 $53,341,855 $56,796,987
=========== =========== =========== ===========
$ 398 $ 613,102 $ 1,168 $ 377,537
=========== =========== =========== ===========
</TABLE>
61
<PAGE> 64
TIME HORIZON FUNDS
- --------------------------------------------------------------------------------
Notes to Financial Statements
June 30, 1999
- --------------------------------------------------------------------------------
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 June 30, 1999, the Company operated as a
series company composed 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, B
and K Shares. A, B and K Shares have a Shareholder Service Plan. In addition, B
Shares have a Distribution Service Plan, and K Shares have a Distribution and
Administrative Services Plan and an Administrative Services Plan.
The three classes vary in types of sales loads. A Shares are offered at net
asset value without a sales load effective June 16, 1997, and are subject to a
shareholder servicing fee. Prior to June 16, 1997, A Shares were offered at net
asset value plus a 4.50% sales charge. 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 eighth 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.
Each Fund's A, B and K Shares of each Fund may be exchanged for like shares of
another 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'
Manager, providing investment advisory and administrative services.
62
<PAGE> 65
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
June 30, 1999
- --------------------------------------------------------------------------------
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 Bank of America. Bank of America continues to serve the
Funds on substantially the same 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 Funds' 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, if any,
are valued at fair value using methods approved by the Board of
63
<PAGE> 66
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
June 30, 1999
- --------------------------------------------------------------------------------
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 their organization. Such
costs have been deferred and are being amortized on a straight-line basis over
five years. In the event that any of the initial shares of the Funds are
redeemed during the amortization period by any holder thereof, the redemption
proceeds will be reduced by any unamortized organization expenses in the same
proportion as the number of said shares being redeemed bears to the number that
are outstanding at the time of the redemption.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
The Funds' net investment income is declared and paid as a dividend annually
to shareholders of record at the close of business on record date. Net realized
gains on portfolio securities, if any, are distributed at least annually.
However, to the extent that net realized gains of the Funds can be offset by
capital loss carryovers of the Funds, such gains will not be distributed.
Dividends and distributions are recorded by the Funds on the ex-dividend date.
The amount of dividends from net investment income and of distributions from
net realized gains are determined in accordance with federal income tax
regulations which may differ from generally accepted
64
<PAGE> 67
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
June 30, 1999
- --------------------------------------------------------------------------------
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, 1999, 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... $(17,251) $17,251
Portfolio 2... (43,484) 43,484
Portfolio 3... (44,221) 44,221
</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 their 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' Manager, 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.
The Company has adopted a Shareholder Service Plan for A, B and K Shares,
under which the Funds reimburse PDI for shareholder
65
<PAGE> 68
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
June 30, 1999
- --------------------------------------------------------------------------------
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 year ended
June 30, 1999, the Funds were advised that PDI retained $11,394 for Portfolio 1,
$8,089 for Portfolio 2, and $10,254 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.................. $ 82,466
Portfolio 2.................. $110,078
Portfolio 3.................. $123,284
</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 Bank of
America for 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 year
ended June 30, 1999, Portfolio 1, Portfolio 2 and Portfolio 3 incurred charges
of $211,193, $258,498, and $296,282, respectively, pursuant to the Plan. 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.................. $204,693
Portfolio 2.................. $250,288
Portfolio 3.................. $277,373
</TABLE>
The Company has adopted two forms of plans for K Shares pursuant to Rule
12b-1 under the Act: an Administrative Services Plan under which the K Shares of
the Funds may reimburse the Distributor for administrative expenses incurred in
connection with sales of shares to investors subject to ERISA; and a
Distribution and Administrative Services Plan under which the K Shares of the
Funds may compensate the Distributor for distribution and administrative
services rendered and costs incurred in connection with distribution of the K
Shares. The total of all 12b-1 distribution fees and administrative services
fees paid under both the Administrative Services Plan and the Distribution and
Administrative Services Plan may not exceed, in the aggregate, the annual rate
of 0.75% of the average daily net assets of each
66
<PAGE> 69
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
June 30, 1999
- --------------------------------------------------------------------------------
Fund's K Shares. For the year ended June 30, 1999, Bank of America and its
affiliates earned the following amounts pursuant to the Distribution and
Administrative Services Plan:
<TABLE>
<CAPTION>
BANK OF
AMERICA
AND
FUND AFFILIATES
---- ----------
<S> <C>
Portfolio 1................... $ 472
Portfolio 2................... $2,355
Portfolio 3................... $3,387
</TABLE>
In its capacity as transfer agent and dividend disbursing agent, PFPC earned
$69,503, $97,820 and $126,188 from Portfolio 1, Portfolio 2, and Portfolio 3,
respectively, for the year ended June 30, 1999.
For the year ended June 30, 1999, Portfolio 1, Portfolio 2 and Portfolio 3
incurred legal charges totaling $35,252, $43,169 and $49,301, 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.
Information regarding related party transactions is as follows for the year
ended June 30, 1999:
<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........................................... $147,397 $182,829 $205,974
ADMINISTRATION FEES:
Annual fee before waivers (Percentage of average
net assets)..................................... .20% .20% .20%
Waivers........................................... $ 17,849 $ 2,890 $ 6,385
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>
67
<PAGE> 70
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
June 30, 1999
- --------------------------------------------------------------------------------
NOTE 4 -- SECURITIES TRANSACTIONS
For the year ended June 30, 1999, the cost of purchases and the proceeds
from sales of Portfolio 1, Portfolio 2 and Portfolio 3 Fund's securi-
ties (excluding short-term investments) amounted to:
<TABLE>
<CAPTION>
PURCHASES SALES
--------- -----
<S> <C> <C>
Portfolio 1.......... $12,211,302 $18,776,117
Portfolio 2.......... 22,069,981 26,618,431
Portfolio 3.......... 29,137,006 36,215,775
</TABLE>
NOTE 5 -- CAPITAL SHARE TRANSACTIONS
Transactions in capital shares for the Funds are summarized below:
<TABLE>
<CAPTION>
PORTFOLIO 1
-----------------------------------------------
YEAR ENDED YEAR ENDED
JUNE 30, 1999 JUNE 30, 1998
---------------------- ----------------------
SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------
<S> <C> <C> <C> <C>
A SHARES
Issued.................................. 91,267 $ 1,122,692 178,234 $ 2,161,381
Reinvested.............................. 83,928 996,930 47,410 557,590
Redeemed................................ (273,544) (3,268,545) (159,445) (1,931,984)
-------- ----------- -------- -----------
Net increase/(decrease)................... (98,349) $(1,148,923) 66,199 $ 786,987
======== =========== ======== ===========
B SHARES
Issued.................................. 56,963 $ 685,909 26,399 $ 316,178
Reinvested.............................. 226,177 2,666,920 143,220 1,669,504
Redeemed................................ (632,294) (7,580,460) (385,990) (4,636,263)
-------- ----------- -------- -----------
Net decrease.............................. (349,154) $(4,227,631) (216,371) $(2,650,581)
======== =========== ======== ===========
K SHARES
Issued.................................. 7,922 $ 94,402 6,298 $ 76,138
Reinvested.............................. 823 9,668 216 2,526
Redeemed................................ (5,108) (61,698) (1,419) (17,248)
-------- ----------- -------- -----------
Net increase.............................. 3,637 $ 42,372 5,095 $ 61,416
======== =========== ======== ===========
</TABLE>
68
<PAGE> 71
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
June 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PORTFOLIO 2
------------------------------------------------
YEAR ENDED YEAR ENDED
JUNE 30, 1999 JUNE 30, 1998
---------------------- -----------------------
SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------
<S> <C> <C> <C> <C>
A SHARES
Issued................................. 41,530 $ 527,554 263,191 $ 3,383,297
Reinvested............................. 110,308 1,365,743 52,081 642,355
Redeemed............................... (208,172) (2,637,326) (220,809) (2,835,277)
-------- ----------- --------- -----------
Net increase/(decrease).................. (56,334) $ (744,029) 94,463 $ 1,190,375
======== =========== ========= ===========
B SHARES
Issued................................. 52,896 $ 667,547 109,062 $ 1,375,387
Reinvested............................. 291,895 3,573,171 137,055 1,672,654
Redeemed............................... (469,889) (5,894,154) (280,953) (3,568,688)
-------- ----------- --------- -----------
Net decrease............................. (125,098) $(1,653,436) (34,836) $ (520,647)
======== =========== ========= ===========
K SHARES
Issued................................. 24,094 $ 300,253 25,378 $ 322,676
Reinvested............................. 4,391 53,678 929 11,322
Redeemed............................... (20,003) (250,021) (4,896) (62,598)
-------- ----------- --------- -----------
Net increase............................. 8,482 $ 103,910 21,411 $ 271,400
======== =========== ========= ===========
</TABLE>
<TABLE>
<CAPTION>
PORTFOLIO 3
------------------------------------------------
YEAR ENDED YEAR ENDED
JUNE 30, 1999 JUNE 30, 1998
---------------------- -----------------------
SHARES AMOUNT SHARES AMOUNT
------ ------ ------ ------
<S> <C> <C> <C> <C>
A SHARES
Issued................................. 75,332 $ 1,050,270 300,357 $ 4,160,776
Reinvested............................. 126,012 1,660,854 54,334 716,448
Redeemed............................... (270,047) (3,694,688) (181,734) (2,531,077)
-------- ----------- --------- -----------
Net increase/(decrease).................. (68,703) $ (983,564) 172,957 $ 2,346,147
======== =========== ========= ===========
B SHARES
Issued................................. 79,086 $ 1,104,897 137,951 $ 1,908,252
Reinvested............................. 353,095 4,586,719 152,727 1,991,952
Redeemed............................... (486,566) (6,597,344) (329,148) (4,561,204)
-------- ----------- --------- -----------
Net decrease............................. (54,385) $ (905,728) (38,470) $ (661,000)
======== =========== ========= ===========
K SHARES
Issued................................. 33,541 $ 454,710 37,081 $ 508,255
Reinvested............................. 6,105 79,547 1,823 23,855
Redeemed............................... (20,290) (280,054) (9,479) (130,807)
-------- ----------- --------- -----------
Net increase............................. 19,356 $ 254,202 29,425 $ 401,303
======== =========== ========= ===========
</TABLE>
NOTE 6 -- PROPOSED REORGANIZATION
The Board of Trustees of the Funds has approved an Agreement and Plan of
Reorganization ("Agreement") between the Funds and Nations Institutional
Reserves. The Agreement, which is part of a broader reorganization of the mutual
funds managed by Bank of America into the Nations family of funds, provides for
the transfer of all of the assets of the Funds to the Nations Asset Allocation
Fund, in exchange solely for the Nations Asset Allocation Fund's Investor A,
Investor B and Investor C
69
<PAGE> 72
- --------------------------------------------------------------------------------
Notes to Financial Statements, Continued
June 30, 1999
- --------------------------------------------------------------------------------
shares having the same aggregate net asset value as the outstanding Class A,
Class B, and Class K shares of each of the Time Horizon Portfolios as of the
close of business of the New York Stock Exchange on the day that the
Reorganization is effected. The Agreement also provides for the assumption by
the Nations Asset Allocation Fund of all of the liabilities of each of the
respective Funds. The Reorganization can be consummated only if, among other
things, it is approved by the vote of a majority (as defined by the 1940 Act) of
outstanding shares of each Fund at a Special Meeting of Shareholders ("Meeting")
to be held on or about August 13, 1999. A detailed description of the proposed
transactions and voting information was sent to shareholders of the Funds on or
about July 3, 1999. If the Agreement is approved at the Meeting, the
Reorganization is expected to become effective on or about August 20, 1999.
70
<PAGE> 73
TIME HORIZON PORTFOLIO 1
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
JUNE 30, 1999+ 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
------ ------ ------ ------
Income from Investment Operations:
Net investment income............... 0.34 0.39 0.38 0.22
Net realized and unrealized gains on
investments transactions.......... 0.50 1.15 0.99 0.45
------ ------ ------ ------
Total income from investment
operations.......................... 0.84 1.54 1.37 0.67
------ ------ ------ ------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income................. (0.57) (0.39) (0.31) (0.06)
Distributions to shareholders from
net realized gains on investment
transactions...................... (0.71) (0.35) (0.04) --
------ ------ ------ ------
Total Dividends and Distributions..... (1.28) (0.74) (0.35) (0.06)
------ ------ ------ ------
Net change in net asset value per
share............................... (0.44) 0.80 1.02 0.61
------ ------ ------ ------
NET ASSET VALUE PER SHARE, END OF
PERIOD.............................. $12.03 $12.47 $11.67 $10.65
====== ====== ====== ======
Total return.......................... 7.20% 13.70% 13.13% 6.68%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000)... $8,255 $9,782 $8,384 $7,172
Ratio of expenses to average net
assets............................ 1.20% 1.20% 0.99% 0.49%(c)
Ratio of net investment income to
average net assets................ 3.35% 3.43% 3.62% 3.96%(c)
Ratio of expenses to average net
assets*........................... 1.64% 1.47% 1.67% 2.95%(c)
Ratio of net investment income to
average net assets*............... 2.91% 3.16% 2.94% 1.50%(c)
Portfolio turnover rate............. 33% 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.
+ On October 1, 1998, BankAmerica Corp., the parent company of the Fund's
Advisor, merged with NationsBank Corporation.
(a) Period from September 5, 1995 (inception date) to June 30, 1996.
(b) Not annualized.
(c) Annualized.
See Notes to Financial Statements.
71
<PAGE> 74
TIME HORIZON PORTFOLIO 1
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
JUNE 30, 1999+ 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............... 0.32 0.33 0.26 0.18
Net realized and unrealized gains on
investments transactions.......... 0.50 1.03 1.03 0.43
------- ------- ------- -------
Total income from investment
operations.......................... 0.82 1.36 1.29 0.61
------- ------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income................. (0.48) (0.31) (0.25) (0.05)
Distributions to shareholders from
net realized gains on investment
transactions...................... (0.71) (0.35) (0.04) --
------- ------- ------- -------
Total Dividends and Distributions..... (1.19) (0.66) (0.29) (0.05)
------- ------- ------- -------
Net change in net asset value per
share............................... (0.37) 0.70 1.00 0.56
------- ------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD.............................. $ 11.93 $ 12.30 $ 11.60 $ 10.60
======= ======= ======= =======
Total return (excludes sales
charge)............................. 7.01% 12.14% 12.36% 6.09%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000)... $25,772 $30,857 $31,609 $18,681
Ratio of expenses to average net
assets............................ 1.95% 1.95% 1.77% 1.29%(c)
Ratio of net investment income to
average net assets................ 2.60% 2.68% 2.85% 3.16%(c)
Ratio of expenses to average net
assets*........................... 2.41% 2.23% 2.43% 3.65%(c)
Ratio of net investment income to
average net assets*............... 2.14% 2.40% 2.19% 0.80%(c)
Portfolio turnover rate............. 33% 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.
+ On October 1, 1998, BankAmerica Corp., the parent company of the Fund's
Advisor, merged with NationsBank Corporation.
(a) Period from September 5, 1995 (inception date) to June 30, 1996.
(b) Not annualized.
(c) Annualized.
See Notes to Financial Statements.
72
<PAGE> 75
TIME HORIZON PORTFOLIO 1
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
JUNE 30, 1999+ 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...................... 0.54 0.30 0.36
Net realized and unrealized gains on
investments transactions................. 0.25 1.16 1.16
------ ------ ------
Total income from investment operations...... 0.79 1.46 1.52
------ ------ ------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income........................ (0.54) (0.38) (0.28)
Distributions to shareholders from net
realized gains on investment
transactions............................. (0.71) (0.35) (0.04)
------ ------ ------
Total Dividends and Distributions............ (1.25) (0.73) (0.32)
------ ------ ------
Net change in net asset value per share...... (0.46) 0.73 1.20
------ ------ ------
NET ASSET VALUE PER SHARE, END OF PERIOD..... $11.88 $12.34 $11.61
====== ====== ======
Total return................................. 6.81% 13.07% 14.78%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000).......... $ 120 $ 80 $ 16
Ratio of expenses to average net assets.... 1.70% 1.70% 1.60%(c)
Ratio of net investment income to average
net assets............................... 2.85% 2.96% 2.98%(c)
Ratio of expenses to average net assets*... 2.16% 1.95% 2.19%(c)
Ratio of net investment income to average
net assets*.............................. 2.39% 2.71% 2.39%(c)
Portfolio turnover rate.................... 33% 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.
+ On October 1, 1998, BankAmerica Corp., the parent company of the Fund's
Advisor, merged with NationsBank Corporation.
(a) Period from July 22, 1996 (inception date) to June 30, 1997.
(b) Not annualized.
(c) Annualized.
See Notes to Financial Statements.
73
<PAGE> 76
TIME HORIZON PORTFOLIO 2
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
JUNE 30, 1999+ 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.............. 0.22 0.37 0.31 0.21
Net realized and unrealized gains
on investments transactions...... 0.68 1.49 1.39 0.54
------- ------- ------- ------
Total income from investment
operations......................... 0.90 1.86 1.70 0.75
------- ------- ------- ------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income................ (0.44) (0.32) (0.28) (0.06)
Distributions to shareholders from
net realized gains on investment
transactions..................... (1.01) (0.37) -- --
------- ------- ------- ------
Total Dividends and Distributions.... (1.45) (0.69) (0.28) (0.06)
------- ------- ------- ------
Net change in net asset value per
share.............................. (0.55) 1.17 1.42 0.69
------- ------- ------- ------
NET ASSET VALUE PER SHARE, END OF
PERIOD............................. $ 12.77 $ 13.32 $ 12.15 $10.73
======= ======= ======= ======
Total return......................... 7.40% 15.82% 16.05% 7.48%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
(000)............................ $11,941 $13,210 $10,899 $7,389
Ratio of expenses to average net
assets........................... 1.20% 1.20% 0.99% 0.50%(c)
Ratio of net investment income to
average net assets............... 2.57% 2.88% 3.14% 3.72%(c)
Ratio of expenses to average net
assets*.......................... 1.60% 1.51% 1.63% 3.12%(c)
Ratio of net investment income to
average net assets*.............. 2.17% 2.57% 2.50% 1.10%(c)
Portfolio turnover rate............ 48% 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.
+ On October 1, 1998, BankAmerica Corp., the parent company of the Fund's
Advisor, merged with NationsBank Corporation.
(a) Period from September 5, 1995 (inception date) to June 30, 1996.
(b) Not annualized.
(c) Annualized.
See Notes to Financial Statements.
74
<PAGE> 77
TIME HORIZON PORTFOLIO 2
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
JUNE 30, 1999+ 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.......... 0.20 0.30 0.22 0.15
Net realized and unrealized
gains on investments
transactions................. 0.66 1.38 1.37 0.54
------- ------- ------- -------
Total income from investment
operations..................... 0.86 1.68 1.59 0.69
------- ------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from
net investment income........ (0.34) (0.24) (0.22) (0.05)
Distributions to shareholders
from net realized gains on
investment transactions...... (1.01) (0.37) -- --
------- ------- ------- -------
Total Dividends and
Distributions.................. (1.35) (0.61) (0.22) (0.05)
------- ------- ------- -------
Net change in net asset value per
share.......................... (0.49) 1.07 1.37 0.64
------- ------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD......................... $ 12.63 $ 13.12 $ 12.05 $ 10.68
======= ======= ======= =======
Total return (excludes sales
charge)........................ 7.17% 14.36% 15.04% 6.88%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period
(000)........................ $33,564 $36,512 $33,965 $18,350
Ratio of expenses to average
net assets................... 1.95% 1.95% 1.77% 1.32%(c)
Ratio of net investment income
to average net assets........ 1.82% 2.12% 2.37% 2.92%(c)
Ratio of expenses to average
net assets*.................. 2.35% 2.26% 2.39% 3.87%(c)
Ratio of net investment income
to average net assets*....... 1.42% 1.81% 1.75% 0.37%(c)
Portfolio turnover rate........ 48% 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.
+ On October 1, 1998, BankAmerica Corp., the parent company of the Fund's
Advisor, merged with NationsBank Corporation.
(a) Period from September 5, 1995 (inception date) to June 30, 1996.
(b) Not annualized.
(c) Annualized.
See Notes to Financial Statements.
75
<PAGE> 78
TIME HORIZON PORTFOLIO 2
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
JUNE 30, 1999+ 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...................... 0.40 0.29 0.29
Net realized and unrealized gains on
investments transactions................. 0.45 1.49 1.61
------ ------ ------
Total income from investment operations...... 0.85 1.78 1.90
------ ------ ------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income........................ (0.40) (0.30) (0.26)
Distributions to shareholders from net
realized gains on investment
transactions............................. (1.01) (0.37) --
------ ------ ------
Total Dividends and Distributions............ (1.41) (0.67) (0.26)
------ ------ ------
Net change in net asset value per share...... (0.56) 1.11 1.64
------ ------ ------
NET ASSET VALUE PER SHARE, END OF PERIOD..... $12.58 $13.14 $12.03
====== ====== ======
Total return................................. 7.11% 15.29% 18.49%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000).......... $ 480 $ 390 $ 100
Ratio of expenses to average net assets.... 1.70% 1.69% 1.59%(c)
Ratio of net investment income to average
net assets............................... 2.07% 2.35% 2.50%(c)
Ratio of expenses to average net assets*... 2.10% 2.00% 2.20%(c)
Ratio of net investment income to average
net assets*.............................. 1.67% 2.04% 1.89%(c)
Portfolio turnover rate.................... 48% 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.
+ On October 1, 1998, BankAmerica Corp., the parent company of the Fund's
Advisor, merged with NationsBank Corporation.
(a) Period from July 22, 1996 (inception date) to June 30, 1997.
(b) Not annualized.
(c) Annualized.
See Notes to Financial Statements.
76
<PAGE> 79
\
TIME HORIZON PORTFOLIO 3
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
JUNE 30, 1999+ 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............... 0.18 0.27 0.23 0.18
Net realized and unrealized gains on
investments transactions.......... 1.03 2.22 2.00 0.77
------- ------- ------- ------
Total income from investment
operations.......................... 1.21 2.49 2.23 0.95
------- ------- ------- ------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income................. (0.33) (0.23) (0.22) (0.05)
Distributions to shareholders from
net realized gains on investment
transactions...................... (1.45) (0.55) -- --
------- ------- ------- ------
Total Dividends and Distributions..... (1.78) (0.78) (0.22) (0.05)
------- ------- ------- ------
Net change in net asset value per
share............................... (0.57) 1.71 2.01 0.90
------- ------- ------- ------
NET ASSET VALUE PER SHARE, END OF
PERIOD.............................. $ 14.09 $ 14.66 $ 12.95 $10.94
======= ======= ======= ======
Total return.......................... 9.42% 19.96% 20.62% 9.46%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000)... $12,873 $14,396 $10,483 $6,033
Ratio of expenses to average net
assets............................ 1.20% 1.19% 0.99% 0.51%(c)
Ratio of net investment income to
average net assets................ 1.85% 2.04% 2.38% 3.29%(c)
Ratio of expenses to average net
assets*........................... 1.60% 1.54% 1.66% 3.32%(c)
Ratio of net investment income to
average net assets*............... 1.45% 1.69% 1.71% 0.48%(c)
Portfolio turnover rate............. 56% 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.
+ On October 1, 1998, BankAmerica Corp., the parent company of the Fund's
Advisor, merged with NationsBank Corporation.
(a) Period from September 5, 1995 (inception date) to June 30, 1996.
(b) Not annualized.
(c) Annualized.
See Notes to Financial Statements.
77
<PAGE> 80
TIME HORIZON PORTFOLIO 3
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
JUNE 30, 1999+ 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............... 0.13 0.19 0.14 0.12
Net realized and unrealized gains on
investments transactions.......... 1.04 2.09 1.98 0.78
------- ------- ------- -------
Total income from investment
operations.......................... 1.17 2.28 2.12 0.90
------- ------- ------- -------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income................. (0.21) (0.15) (0.16) (0.04)
Distributions to shareholders from
net realized gains on investment
transactions...................... (1.45) (0.55) -- --
------- ------- ------- -------
Total Dividends and Distributions..... (1.66) (0.70) (0.16) (0.04)
------- ------- ------- -------
Net change in net asset value per
share............................... (0.49) 1.58 1.96 0.86
------- ------- ------- -------
NET ASSET VALUE PER SHARE, END OF
PERIOD.............................. $ 13.95 $ 14.44 $ 12.86 $ 10.90
======= ======= ======= =======
Total return (excludes sales
charge)............................. 9.22% 18.34% 19.66% 8.98%(b)
Ratios/Supplemental Data:
Net assets at end of period (000)... $39,688 $41,868 $37,787 $16,441
Ratio of expenses to average net
assets............................ 1.95% 1.94% 1.76% 1.34%(c)
Ratio of net investment income to
average net assets................ 1.10% 1.28% 1.59% 2.47%(c)
Ratio of expenses to average net
assets*........................... 2.35% 2.29% 2.40% 4.08%(c)
Ratio of net investment income to
average net assets*............... 0.70% 0.93% 0.95% (0.27%)(c)
Portfolio turnover rate............. 56% 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.
+ On October 1, 1998, BankAmerica Corp., the parent company of the Fund's
Advisor, merged with NationsBank Corporation.
(a) Period from September 5, 1995 (inception date) to June 30, 1996.
(b) Not annualized.
(c) Annualized.
See Notes to Financial Statements.
78
<PAGE> 81
TIME HORIZON PORTFOLIO 3
- --------------------------------------------------------------------------------
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
JUNE 30, 1999+ 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....................... 0.31 0.15 0.25
Net realized and unrealized gains on
investments transactions.................. 0.84 2.24 2.34
------ ------ ------
Total income from investment operations....... 1.15 2.39 2.59
------ ------ ------
Less Dividends and Distributions:
Dividends to shareholders from net
investment income......................... (0.27) (0.22) (0.18)
Distributions to shareholders from net
realized gains on investment
transactions.............................. (1.45) (0.55) --
------ ------ ------
Total Dividends and Distributions............. (1.72) (0.77) (0.18)
------ ------ ------
Net change in net asset value per share....... (0.57) 1.62 2.41
------ ------ ------
NET ASSET VALUE PER SHARE, END OF PERIOD...... $13.94 $14.51 $12.89
====== ====== ======
Total return.................................. 9.05% 19.30% 24.94%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets at end of period (000)........... $ 781 $ 533 $ 94
Ratio of expenses to average net assets..... 1.70% 1.69% 1.59%(c)
Ratio of net investment income to average
net assets................................ 1.35% 1.62% 1.53%(c)
Ratio of expenses to average net assets*.... 2.10% 2.03% 2.11%(c)
Ratio of net investment income to average
net assets*............................... 0.95% 1.28% 1.01%(c)
Portfolio turnover rate..................... 56% 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.
+ On October 1, 1998, BankAmerica Corp., the parent company of the Fund's
Advisor, merged with NationsBank Corporation.
(a) Period from July 22, 1996 (inception date) to June 30, 1997.
(b) Not annualized.
(c) Annualized.
See Notes to Financial Statements.
79
<PAGE> 82
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and
Shareholders of Time Horizon Funds
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of portfolio investments, and the related statements of
operations and of changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of Time Horizon
Portfolio 1, Time Horizon Portfolio 2 and Time Horizon Portfolio 3 (constituting
the Time Horizon Funds, hereafter referred to as "the Funds") at June 30, 1999,
the results of each of their operations for the year then ended and the changes
in each of their net assets and the financial highlights for each of the two
years in the period then ended, in conformity with generally accepted accounting
principles. These financial statements and financial highlights (hereafter
referred to as "financial statements") are the responsibility of the Funds'
management; our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of these financial
statements in accordance with generally accepted auditing standards which
require that we plan and perform the audit to obtain reasonable assurance about
whether the financial statements are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at June 30, 1999 by correspondence with the custodian
and brokers, provide a reasonable basis for the opinion expressed above. The
financial statements of the Funds for the periods ended on or prior to June 30,
1997 were audited by other independent accountants whose report dated August 8,
1997 expressed an unqualified opinion on those statements.
As explained in Note 6, the Board of Trustees of the Time Horizon Funds have
approved an agreement and plan of reorganization between Time Horizon Funds and
Nations Institutional Reserves.
PricewaterhouseCoopers LLP
1177 Avenue of the Americas
New York, New York
August 17, 1999
80
<PAGE> 83
Time Horizon Funds
103 Bellevue Parkway
Wilmington, DE 19809
<TABLE>
<S> <C>
------------------
Bulk Rate
U.S. Postage
PAID
New York, NY
Permit No. 8048
------------------
</TABLE>
TMH-0086
