-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, WESdqu2YurCpIPwwX1Y63Pht4Lkb9Q6hHxaQ8fmznmi39Wvc4rekgLqYqeYF9BHh uZyep4xC1ojQHlRwW7xCOw== 0000889697-97-000208.txt : 19970918 0000889697-97-000208.hdr.sgml : 19970918 ACCESSION NUMBER: 0000889697-97-000208 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19970630 FILED AS OF DATE: 19970911 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: PEGASUS FUNDS CENTRAL INDEX KEY: 0000814067 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-05148 FILM NUMBER: 97678763 BUSINESS ADDRESS: STREET 1: 1345 CHESTNUT STREET STE 1100 STREET 2: C/O DRINKER BIDDLE & REATH CITY: PHILADELPHIA STATE: PA ZIP: 19107 BUSINESS PHONE: 3138280375 MAIL ADDRESS: STREET 1: C/O NBD BANK STREET 2: 900 TOWER DRIVE P O BOX 7058 CITY: TROY STATE: MI ZIP: 48007-7058 FORMER COMPANY: FORMER CONFORMED NAME: WOODWARD FUNDS DATE OF NAME CHANGE: 19920703 N-30D 1 [ FRONT COVER ] [LOGO] PEGASUS FUNDS Strength in Investing SEMI-ANNUAL REPORT June 30, 1997 PEGASUS FUNDS TABLE OF CONTENTS 1 Letter to Shareholders 3 Statements of Assets and Liabilities 11 Statements of Operations 15 Statements of Changes in Net Assets 21 Portfolios of Investments 120 Notes to Financial Statements 140 Financial Highlights Pegasus Funds are not bank deposits or obligations of, or guaranteed or endorsed by First Chicago NBD Corporation or any of its affiliates, and are not federally insured or guaranteed by the U.S. government, FDIC, or any governmental agency. Investment in the Funds involves risks, including the possible loss of principal. Pegasus Funds (800) 688-3350 INVESTMENT ADVISER First Chicago NBD Investment Management Company (FCNIMCO) Three First National Plaza, MS 0334 Chicago, IL 60670-0334 DISTRIBUTOR BISYS Fund Services 3435 Stelzer Road Columbus, OH 43219 THIS REPORT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. June 30, 1997 Dear Pegasus Shareholder, We are pleased to present your Pegasus Semi-Annual Report dated June 30, 1997. We have had an exciting year so far: * After a strong start in 1997, the stock market experienced a brief correction over concerns about rising interest rates after the Federal Reserve tightened short-term rates. Since then, the rally has resumed as both economic growth and inflation have been reported in the low single digit range. We continue to look for modest economic growth and inflation for 1997. * The Pegasus Fund Family continues to offer a wide array of investment choices among multiple equity styles and fixed income objectives to help you achieve your asset allocation goals. * Our broad offering of mutual funds was further expanded in July with the introduction of the High Yield Bond Fund, a value-added product for specific fixed income needs. The investment adviser to the Pegasus Funds, First Chicago NBD Investment Management Company, brings to you the expertise and heritage of an institution that has been managing money for over 100 years. Our investment philosophy is a simple one: a disciplined investment approach that seeks above average performance over time with average risk. We look forward to serving your investment needs. /s/ Marco Hanig - ------------------ Marco Hanig Managing Director First Chicago NBD Investment Management Company For more complete information about the High Yield Bond Fund, including charges and expenses, please call 1-800-688-3350 for a prospectus. Read it carefully before investing or sending money. 1 [ This page intentionally left blank ] 2 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES June 30, 1997 (Unaudited) - -----------------------------------------------------------------------------
Managed Assets Managed Assets Managed Assets Equity Growth Mid-Cap Conservative Fund Balanced Fund Growth Fund Income Fund Fund Opportunity Fund ----------------- ------------- -------------- ----------- ------ ---------------- ASSETS: Investment in securities: At cost $85,224,290 $213,930,824 $4,173,060 $245,813,605 $423,813,486 $611,756,185 =========== ============ ========== ============ ============ ============ At value $91,475,528 $233,141,644 $4,456,537 $312,026,957 $614,301,931 $892,514,077 Cash 544,803 2,526,187 5,618 1,101,948 314,214 550,625 Receivable for securities sold -- -- -- 3,241,440 -- -- Receivable for shares sold 206,704 202,479 19,038 -- 180,700 138,703 Income receivable 3,434 282,748 -- 1,172,811 500,688 661,086 Deferred organization costs, net 49,746 14,291 -- 40,268 41,644 -- Prepaids and other assets 17,061 23,381 16,598 -- -- -- ----------- ------------ ---------- ------------ ------------ ------------ TOTAL ASSETS 92,297,276 236,190,730 4,497,791 317,583,424 615,339,177 893,864,491 ----------- ------------ ---------- ------------ ------------ ------------ LIABILITIES: Payable for securities purchased -- -- -- 743,571 355,984 -- Accrued investment advisory fee 48,285 123,494 2,034 129,833 279,869 433,776 Accrued transfer agent fees 2,329 6,434 970 -- 458 6,171 Accrued custodial fee 8,095 5,377 384 2,967 6,478 375 Administration fees payable 11,143 28,499 469 38,950 70,016 108,444 Shareholder services fees payable (Class A Shares) 8,253 17,635 333 2,602 12,589 25,380 Shareholder services fees payable (Class B Shares) 2,138 784 388 467 169 285 12b-1 fees payable (Class B Shares) 7,141 2,352 1,154 1,347 478 855 Dividends payable 330,916 1,791,618 16,783 1,137,121 314,214 266,628 Payable for fund shares redeemed 48,797 10,179 5,000 21,322 41,536 288,577 Other payables and accrued expenses -- -- -- 1,302 12,226 13,263 ----------- ------------ ---------- ------------ ------------ ------------ TOTAL LIABILITIES 467,097 1,986,372 27,515 2,079,482 1,094,017 1,143,754 ----------- ------------ ---------- ------------ ------------ ------------ NET ASSETS $91,830,179 $234,204,358 $4,470,276 $315,503,942 $614,245,160 $892,720,737 =========== ============ ========== ============ ============ ============ See Notes to Financial Statements.
3 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES -- (Continued) June 30, 1997 (Unaudited) - -----------------------------------------------------------------------------
Managed Assets Managed Assets Managed Assets Equity Growth Mid-Cap Conservative Fund Balanced Fund Growth Fund Income Fund Fund Opportunity Fund ----------------- -------------- -------------- ----------- ------ ---------------- Net Asset Value and Maximum Offering Price per Share: Class A Shares: Net assets $78,001,148 $ 88,009,650 $1,679,967 $ 11,714,419 $ 36,843,012 $125,492,030 Capital shares 4,859,016 7,056,570 151,523 812,396 2,509,386 6,250,792 ----------- ------------ ---------- ------------ ------------ ------------ Net asset value per share 16.05 12.47 11.09 14.42 14.68 20.08 Maximum sales charge((1)) 0.84 0.66 0.58 0.76 0.77 1.06 =========== ============ ========== ============ ============ ============ Maximum offering price per share $ 16.89 $ 13.13 $ 11.67 $ 15.18 $ 15.45 $ 21.14 =========== ============ ========== ============ ============ ============ Class B Shares: Net assets $ 8,408,990 $ 4,097,209 $2,063,668 $ 2,180,809 $ 1,176,408 $ 1,524,309 Capital shares 523,202 297,967 188,571 151,289 80,855 140,149 ----------- ------------ ---------- ------------ ------------ ------------ Net asset value per share $ 16.07 $ 13.75 $ 10.94 $ 14.41 $ 14.55 $ 10.88 =========== ============ ========== ============ ============ ============ Class I Shares: Net assets $ 5,420,041 $142,097,499 $ 726,561 $301,608,715 $576,225,740 $765,704,397 Capital shares 336,512 11,407,686 65,262 20,972,148 39,261,984 38,092,445 ----------- ------------ ---------- ------------ ------------ ------------ Net asset value per share $ 16.11 $ 12.46 $ 11.13 $ 14.38 $ 14.68 $ 20.10 =========== ============ ========== ============ ============ ============ COMPOSITION OF NET ASSETS: Capital shares (unlimited number of shares authorized, par value $.10 per share) $ 571,873 $ 1,876,222 $ 40,536 $ 2,193,583 $ 4,185,222 $ 4,448,339 Additional paid-in capital 75,715,340 202,074,206 4,131,643 215,255,848 388,453,002 576,518,505 Accumulated undistributed net investment income (loss) (24,566) 57,218 (2,557) 288,030 (11,160) (5,653) Accumulated undistributed net realized gains 9,316,294 10,985,892 17,177 31,586,893 31,129,652 31,001,654 Net unrealized appreciation on investments 6,251,238 19,210,820 283,477 66,179,588 190,488,444 280,757,892 ----------- ------------ ---------- ------------ ------------ ------------ NET ASSETS $91,830,179 $234,204,358 $4,470,276 $315,503,942 $614,245,160 $892,720,737 =========== ============ ========== ============ ============ ============ ((1))All sales charges are 5.00% of Maximum Offering Price unless otherwise noted. See Notes to Financial Statements.
4 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES June 30, 1997 (Unaudited) - -----------------------------------------------------------------------------
Small-Cap Intrinsic Value Growth and Value Equity Index International Opportunity Fund Fund Fund Fund Equity Fund ---------------- --------------- ---------------- ------------ ------------- ASSETS: Investment in securities: At cost $140,007,452 $398,215,440 $700,886,627 $492,831,072 $407,946,887 ============ ============ ============ ============ ============ At value $179,097,481 $490,056,123 $964,708,984 $753,697,796 $480,701,001 Cash 109,555 6,106,707 2,306,221 2,784,423 743,677 Cash margin on deposit -- -- -- -- 546,719 Receivable for variation margin on futures contracts -- -- -- -- 23,211 Receivable for securities sold 802,758 2,879,034 -- -- -- Receivable for shares sold 53,155 178,828 423,333 110,146 148,686 Income receivable 41,066 1,115,384 998,561 907,136 1,414,595 Reclaim receivable -- -- -- -- 438,865 Deferred organization costs, net 38,634 -- -- -- 30,502 Prepaids and other assets -- -- 109,166 157,813 163,353 ------------ ------------ ------------ ------------ ------------ TOTAL ASSETS 180,142,649 500,336,076 968,546,265 757,657,314 484,210,609 ------------ ------------ ------------ ------------ ------------ LIABILITIES: Payable for securities purchased 3,717,661 1,790,268 -- 1,979,906 1,976,158 Unrealized depreciation on foreign exchange contracts -- -- -- -- 54,633 Accrued investment advisory fee 97,271 236,105 470,724 61,248 311,756 Accrued transfer agent fees 242 12,195 22,891 2,387 1,386 Accrued custodial fee 51 1,377 1,304 914 36,609 Administration fees payable 20,894 59,026 117,681 91,872 58,454 Shareholder services fees payable (Class A Shares) 1,903 7,937 19,558 14,181 3,777 Shareholder services fees payable (Class B Shares) 71 194 378 142 280 12b-1 fees payable (Class B Shares) 211 582 1,135 425 839 Witholding tax payable -- -- -- -- 59,234 Dividends payable -- 2,232,646 2,302,157 2,801,040 -- Payable for fund shares redeemed 10,520 21,420 41,052 -- 12,216 Other payables and accrued expenses 19,810 47,652 -- -- -- ------------ ------------ ------------ ------------ ------------ TOTAL LIABILITIES 3,868,634 4,409,402 2,976,880 4,952,115 2,515,342 ------------ ------------ ------------ ------------ ------------ NET ASSETS $176,274,015 $495,926,674 $965,569,385 $752,705,199 $481,695,267 ============ ============ ============ ============ ============
5 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES -- (Continued) June 30, 1997 (Unaudited) - -----------------------------------------------------------------------------
Small-Cap Intrinsic Value Growth and Value Equity Index International Opportunity Fund Fund Fund Fund Equity Fund ---------------- --------------- ---------------- ------------ ------------- Net Asset Value and Maximum Offering Price per Share: Class A Shares: Net assets $ 9,564,303 $ 44,498,955 $ 97,437,525 $ 70,272,235 $ 19,053,037 Capital shares 606,567 2,886,846 5,940,045 3,515,563 1,479,048 ------------ ------------ ------------ ------------ ------------ Net asset value per share 15.77 15.41 16.40 19.99 12.88 Maximum sales charge((1)) 0.83 0.81 0.86 0.62* 0.68 ============ ============ ============ ============ ============ Maximum offering price per share $ 16.60 $ 16.22 $ 17.26 $ 20.61 $ 13.56 ============ ============ ============ ============ ============ Class B Shares: Net assets $ 461,533 $ 1,364,892 $ 2,030,045 $ 813,676 $ 1,413,445 Capital shares 29,654 119,661 188,474 65,423 116,725 ------------ ------------ ------------ ------------ ------------ Net asset value per share $ 15.56 $ 11.41 $ 10.77 $ 12.44 $ 12.11 ============ ============ ============ ============ ============ Class I Shares: Net assets $166,248,179 $450,062,827 $866,101,815 $681,619,288 $461,228,785 Capital shares 10,453,191 29,191,142 52,778,087 34,099,129 35,744,414 ------------ ------------ ------------ ------------ ------------ Net asset value per share $ 15.90 $ 15.42 $ 16.41 $ 19.99 $ 12.90 ============ ============ ============ ============ ============ COMPOSITION OF NET ASSETS: Capital shares (unlimited number of shares authorized, par value $.10 per share) $ 1,108,941 $ 3,219,765 $ 5,890,661 $ 3,768,011 $ 3,734,019 Additional paid-in capital 124,123,057 370,376,611 627,933,531 475,786,035 409,165,711 Accumulated undistributed net investment income (loss) (337,938) (17,290) 56,044 133,309 (1,579,316) Accumulated undistributed net realized gains (losses) 12,289,926 32,506,905 67,866,792 12,151,120 (2,521,830) Net unrealized appreciation on investments 39,090,029 91,840,683 263,822,357 260,866,724 72,754,114 Net unrealized appreciation of assets and liabilities denominated in foreign currencies and financial futures -- -- -- -- 142,569 ------------ ------------ ------------ ------------ ------------ NET ASSETS $176,274,015 $495,926,674 $965,569,385 $752,705,199 $481,695,267 ============ ============ ============ ============ ============ ((1)) All sales charges are 5.00% of Maximum Offering Price unless otherwise noted. * Sales charge is 3.00% of Maximum Offering Price. See Notes to Financial Statements.
6 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES June 30, 1997 (Unaudited) - -----------------------------------------------------------------------------
Intermediate Short Bond Income Bond Fund Bond Fund Fund Fund ------------ --------- ----------- ------ ASSETS: Investment in securities: At cost $457,121,301 $1,014,882,957 $191,948,129 $139,501,513 ============ ============== ============ ============ At value $461,827,655 $1,035,830,544 $192,204,091 $140,190,101 Cash 1,994,924 4,353,087 747,450 751,471 Receivable for shares sold 20,775 477,091 500 -- Income receivable 4,896,508 9,692,469 2,601,316 1,995,929 Reclaim receivable -- -- -- -- Deferred organization costs, net -- -- -- 26,593 Prepaids and other assets 86,234 110,687 120,214 32,864 ------------ -------------- ------------ ------------ TOTAL ASSETS 468,826,096 1,050,463,878 195,673,571 142,996,958 ------------ -------------- ------------ ------------ LIABILITIES: Payable for securities purchased 2,392,267 6,000,000 -- -- Accrued investment advisory fee 151,256 335,194 56,346 48,200 Accrued transfer agent fees 3,473 3,651 1,251 1,909 Accrued custodial fee 659 1,358 2,736 459 Administration fees payable 56,721 125,698 24,148 18,074 Shareholder services fees payable (Class A Shares) 4,457 13,855 348 1,725 Shareholder services fees payable (Class B Shares) 47 203 14 100 12b-1 fees payable (Class B Shares) 141 609 42 193 Witholding tax payable -- -- -- -- Dividends payable 2,372,780 5,382,536 924,087 753,190 Payable for fund shares redeemed -- 50,860 -- -- Other payables and accrued expenses -- -- -- -- ------------ -------------- ------------ ------------ TOTAL LIABILITIES 4,981,801 11,913,964 1,008,972 823,850 ------------ -------------- ------------ ------------ NET ASSETS $463,844,295 $1,038,549,914 $194,664,599 $142,173,108 ============ ============== ============ ============ See Notes to Financial Statements.
7 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES -- (Continued) June 30, 1997 (Unaudited) - -----------------------------------------------------------------------------
Intermediate Short Bond Income Bond Fund Bond Fund Fund Fund ------------ --------- ---------- ------ Net Asset Value and Maximum Offering Price per Share: Class A Shares: Net assets $ 21,759,403 $ 68,509,357 $ 1,474,535 $ 7,175,410 Capital shares 2,115,707 6,681,136 145,970 920,189 ------------ -------------- ------------ ------------ Net asset value per share 10.28 10.25 10.10 7.80 Maximum sales charge 0.32* 0.48* 0.10+ 0.24** ============ ============== ============ ============ Maximum offering price per share $ 10.60 $ 10.73 $ 10.20 $ 8.04 ============ ============== ============ ============ Class B Shares: Net assets $ 228,424 $ 1,130,761 $ 68,581 $ 409,140 Capital shares 22,404 110,234 6,850 52,425 ------------ -------------- ------------ ------------ Net asset value per Share $ 10.20 $ 10.26 $ 10.01 $ 7.80 ============ ============== ============ ============ Class I Shares: Net assets $441,856,468 $ 968,909,796 $193,121,483 $134,588,559 Capital shares 42,950,934 94,476,511 19,119,174 17,237,177 ------------ -------------- ------------ ------------ Net asset value per share $ 10.29 $ 10.26 $ 10.10 $ 7.81 ============ ============== ============ ============ COMPOSITION OF NET ASSETS: Capital shares (unlmited number of shares authorized, par value $.10 per share) $ 4,508,904 $ 10,126,788 $ 1,927,199 $ 1,820,979 Additional paid-in capital 463,511,701 1,031,540,805 192,348,292 139,641,662 Accumulated undistributed net investment income (loss) 22,274 (281,156) 16,786 319,387 Accumulated undistributed net realized gains (losses) (8,904,938) (23,784,110) 116,360 (297,508) Net unrealized appreciation on investments 4,706,354 20,947,587 255,962 688,588 Net unrealized depreciation of assets and liabilities denominated in foreign currencies and financial futures -- -- -- -- ------------ -------------- ------------ ------------ NET ASSETS $463,844,295 $1,038,549,914 $194,664,599 $142,173,108 ============ ============== ============ ============ + Sales charges is 1.00% of Maximum Offering Price unless otherwise noted. * Sales charge is 4.50% of Maximum Offering Price. ** Sales charge is 3.00% of Maximum Offering Price. See Notes to Financial Statements.
8 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES June 30, 1997 (Unaudited) - -----------------------------------------------------------------------------
Michigan International Municipal Intermediate Municipal Municipal Bond Fund Bond Fund Bond Fund Bond Fund ------------- --------- ---------------------- --------- ASSETS: Investment in securities: At cost $75,538,915 $354,048,047 $379,706,979 $64,581,389 =========== ============ ============ =========== At value $73,315,051 $367,206,220 $390,792,344 $66,300,025 Cash 299,314 1,093,153 1,478,903 114,805 Receivable for shares sold 51,206 58,961 -- 15,403 Income receivable 1,470,340 6,204,983 7,054,842 796,228 Reclaim receivable 41,712 -- -- -- Deferred organization costs, net 35,871 4,314 31,399 -- Prepaids and other assets 7,476 122,241 7,231 35,422 ----------- ------------ ------------ ----------- TOTAL ASSETS 75,220,970 374,689,872 399,364,719 67,261,883 ----------- ------------ ------------ ----------- LIABILITIES: Payable for securities purchased -- -- -- -- Accrued investment advisory fee 43,221 93,629 129,149 21,755 Accrued transfer agent fees 11,464 3,626 1,059 962 Accrued custodial fee 2,705 4,198 4,898 1,412 Administration fees payable 9,052 41,376 48,431 8,158 Shareholder services fees payable (Class A Shares) 868 29,826 52,941 3,608 Shareholder services fees payable (Class B Shares) 17 162 145 51 12b-1 fees payable (Class B Shares) 48 453 507 152 Witholding tax payable 13,899 -- -- -- Dividends payable 306,008 1,550,133 1,504,811 253,236 Payable for fund shares redeemed 5,681 3,791 5,318 -- Other payables and accrued expenses 23,829 -- -- -- ----------- ------------ ------------ ----------- TOTAL LIABILITIES 416,792 1,727,194 1,747,259 289,334 ----------- ------------ ------------ ----------- NET ASSETS $74,804,178 $372,962,678 $397,617,460 $66,972,549 =========== ============ ============ =========== See Notes to Financial Statements.
9 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES -- (Continued) June 30, 1997 (Unaudited) - -----------------------------------------------------------------------------
Michigan International Municipal Intermediate Municipal Municipal Bond Fund Bond Fund Bond Fund Bond Fund ------------- --------- ---------------------- --------- Net Asset Value and Maximum Offering Price per Share: Class A Shares: Net assets $ 4,081,146 $ 30,817,584 $ 19,241,055 $17,507,535 Capital shares 401,019 2,477,600 1,588,746 1,657,070 ----------- ------------ ------------ ----------- Net asset value per share 10.18 12.44 12.11 10.57 Maximum sales charge 0.48* 0.59* 0.37** 0.50* =========== ============ ============ =========== Maximum offering price per share $ 10.66 $ 13.03 $ 12.48 $ 11.07 =========== ============ ============ =========== Class B Shares: Net assets $ 72,439 $ 830,413 $ 628,542 $ 246,598 Capital shares 7,060 66,816 51,931 24,072 ----------- ------------ ------------ ----------- Net asset Value per Share $ 10.26 $ 12.43 $ 12.10 $ 10.24 =========== ============ ============ =========== Class I Shares: Net assets $70,650,593 $341,314,681 $377,747,863 $49,218,416 Capital shares 6,902,479 27,458,324 31,176,724 4,658,809 ----------- ------------ ------------ ----------- Net asset value per share $ 10.24 $ 12.43 $ 12.12 $ 10.56 =========== ============ ============ =========== COMPOSITION OF NET ASSETS: Capital shares (unlmited number of shares authorized, par value $.10 per share) $ 731,056 $ 3,000,274 $ 3,281,740 $ 633,995 Additional paid-in capital 76,438,928 357,035,529 382,170,936 64,837,605 Accumulated undistributed net investment income (loss) 121,436 1,072,678 523,752 92,869 Accumulated undistributed net realized gains (losses) (229,671) (1,303,976) 555,667 (310,556) Net unrealized appreciation on investments 2,783,902 13,158,173 11,085,365 1,718,636 Net unrealized depreciation of assets and liabilities denominated in foreign currencies and financial futures (5,041,473) -- -- -- ----------- ------------ ------------ ----------- NET ASSETS $74,804,178 $372,962,678 $397,617,460 $66,972,549 =========== ============ ============ =========== * Sales charge is 4.50% of Maximum Offering Price. ** Sales charge is 3.00% of Maximum Offering Price. See Notes to Financial Statements.
10 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF OPERATIONS For Six Months Ended June 30, 1997 (Unaudited) - -----------------------------------------------------------------------------
Managed Assets Managed Assets Managed Assets Equity Growth Mid-Cap Conservative Fund Balanced Fund Growth Fund Income Fund Fund Opportunity Fund ----------------- -------------- -------------- ----------- ------ ---------------- INVESTMENT INCOME Interest $1,978,429 $ 3,102,546 $ 27,808 $ 1,009,340 $ 204,757 $ 640,943 Dividends 208,327 734,295 12,918 5,343,922 2,840,539 3,252,301 ---------- ----------- -------- ----------- ----------- ------------ TOTAL INVESTMENT INCOME 2,186,756 3,836,841 40,726 6,353,262 3,045,296 3,893,244 ---------- ----------- -------- ----------- ----------- ------------ EXPENSES: Investment advisory fees 267,185 588,537 7,563 777,880 1,692,653 2,380,669 Administration fees 61,658 135,816 1,745 233,364 423,163 595,167 Shareholder services fees (Class A Shares) 83,279 69,400 1,059 17,842 37,982 128,186 Shareholder services fees (Class B Shares) 8,559 3,260 1,005 2,273 962 907 12b-1 fees (Class B Shares) 25,677 9,780 3,015 6,820 2,886 2,722 Professional fees 12,409 13,539 11,767 22,175 13,736 23,702 Custodian fees 9,318 40,459 11,901 27,481 19,197 47,214 Transfer and dividend disbursing agent fees 69,881 146,169 2,463 13,798 68,137 208,596 Amortization of deferred organization costs 9,050 4,590 -- 7,602 7,421 -- Registration, filing fees and other expenses 10,339 12,788 4,296 6,967 36,042 12,437 Less: Expense reimbursement (33,257) (68,757) (28,567) -- -- -- ---------- ----------- -------- ----------- ----------- ------------ NET EXPENSES 524,098 955,581 16,247 1,116,202 2,302,179 3,399,600 ---------- ----------- -------- ----------- ----------- ------------ NET INVESTMENT INCOME 1,662,658 2,881,260 24,479 5,237,060 743,117 493,644 ---------- ----------- -------- ----------- ----------- ------------ REALIZED AND UNREALIZED GAINS ON INVESTMENTS: Net realized gains on: Investment transactions 2,457,935 8,541,725 17,177 17,572,483 23,227,927 25,637,110 Net change in unrealized appreciation on: Investment securities 1,582,200 6,938,185 275,931 8,197,403 63,937,357 84,531,120 ---------- ----------- -------- ----------- ----------- ------------ NET REALIZED AND UNREALIZED GAINS ON INVESTMENTS 4,040,135 15,479,910 293,108 25,769,886 87,165,284 110,168,230 ---------- ----------- -------- ----------- ----------- ------------ NET INCREASE IN NET ASSETS FROM OPERATIONS $5,702,793 $18,361,170 $317,587 $31,006,946 $87,908,401 $110,661,874 ========== =========== ======== =========== =========== ============ See Notes to Financial Statements.
11 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF OPERATIONS For Six Months Ended June 30, 1997 (Unaudited) - -----------------------------------------------------------------------------
Small-Cap Intrinsic Value Growth and Value Equity Index International Opportunity Fund Fund Fund Fund Equity Fund ---------------- --------------- ---------------- ------------ ------------- INVESTMENT INCOME Interest $ 144,080 $ 1,352,944 $ 648,447 $ 60,279 $ 909,759 Dividends 250,363 4,554,022 7,331,421 6,527,849 5,010,211(a) ----------- ----------- ------------ ------------ ----------- TOTAL INVESTMENT INCOME 394,443 5,906,966 7,979,868 6,588,128 5,919,970 ----------- ----------- ------------ ------------ ----------- EXPENSES: Investment advisory fees 513,922 1,275,963 2,581,691 354,488 1,713,852 Administration fees 110,126 318,991 645,423 531,731 321,347 Shareholder services fees (Class A Shares) 10,053 40,192 94,330 72,789 18,415 Shareholder services fees (Class B Shares) 334 781 1,220 463 1,405 12b-1 fees (Class B Shares) 1,003 2,342 3,660 1,389 4,215 Professional fees 14,113 17,403 24,270 25,726 17,798 Custodian fees 14,842 27,311 46,745 55,169 230,934 Transfer and dividend disbursing agent fees 8,648 62,041 135,904 86,126 15,280 Registration, filing fees and other expenses 26,831 19,383 104,133 10,138 5,626 Less: Expense reimbursement -- -- (14,628) -- -- ----------- ----------- ------------ ------------ ----------- NET EXPENSES 699,872 1,764,407 3,622,748 1,138,019 2,328,872 ----------- ----------- ------------ ------------ ----------- NET INVESTMENT INCOME (LOSS) (305,429) 4,142,559 4,357,120 5,450,109 3,591,098 ----------- ----------- ------------ ------------ ----------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: Net realized gains (losses) on: Investment transactions 7,546,304 30,668,193 46,511,476 126,503,804 (649,966) Foreign currency transactions -- -- -- -- (2,309,169) Futures transactions -- -- -- -- (360,424) Net change in unrealized appreciation (depreciation) on: Investment securities 15,699,583 21,656,929 87,360,242 7,573,852 42,118,221 Assets and liabilities denominated in foreign currencies and financial futures -- -- -- -- 1,690,796 ----------- ----------- ------------ ------------ ----------- NET REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS 23,245,887 52,325,122 133,871,718 134,077,656 40,489,458 ----------- ----------- ------------ ------------ ----------- NET INCREASE IN NET ASSETS FROM OPERATIONS $22,940,458 $56,467,681 $138,228,838 $139,527,765 $44,080,556 =========== =========== ============ ============ =========== (a) Net of foreign taxes withheld of $492,517. See Notes to Financial Statements.
12 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF OPERATIONS For Six Months Ended June 30, 1997 (Unaudited) - -----------------------------------------------------------------------------
Short Intermediate Bond Bond Income Bond Fund Fund Fund Fund ------------ ---- ----- ------ INVESTMENT INCOME Interest $15,463,472 $32,794,789 $5,616,255 $ 5,636,114 ----------- ----------- ---------- ----------- TOTAL INVESTMENT INCOME 15,463,472 32,794,789 5,616,255 5,636,114 ----------- ----------- ---------- ----------- EXPENSES: Investment advisory fees 870,992 1,822,864 318,190 332,141 Administration fees 326,622 683,574 136,367 124,553 Shareholder services fees (Class A Shares) 25,230 72,476 2,005 10,744 Shareholder services fees (Class B Shares) 234 803 75 492 12b-1 fees (Class B Shares) 702 2,410 225 1,476 Professional fees 17,843 24,468 14,254 15,298 Custodian fees 32,690 55,259 18,091 11,378 Transfer and dividend disbursing agent fees 64,350 128,075 16,369 13,890 Amortization of deferred organization costs -- -- -- 4,887 Registration, filing fees and other expenses 762 3,905 19,532 13,593 Less: Expense reimbursement -- -- (1,547) -- ----------- ----------- ---------- ----------- NET EXPENSES 1,399,425 2,793,834 523,561 528,452 ----------- ----------- ---------- ----------- NET INVESTMENT INCOME 14,124,047 30,000,955 5,092,694 5,107,662 ----------- ----------- ---------- ----------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: Net realized gains (losses) on: Investment transactions 68,048 (383,861) 1,393 (260,634) Foreign currency transactions -- -- -- -- Net change in unrealized appreciation (depreciation) on: Investment securities (171,955) 808,307 18,311 (1,173,805) Assets and liabilities denominated in foreign currencies and financial futures -- -- -- -- ----------- ----------- ---------- ----------- NET REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS (103,907) 424,446 19,704 (1,434,439) ----------- ----------- ---------- ----------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $14,020,140 $30,425,401 $5,112,398 $ 3,673,223 =========== =========== ========== =========== See Notes to Financial Statements.
13 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF OPERATIONS For Six Months Ended June 30, 1997 (Unaudited) - -----------------------------------------------------------------------------
Michigan International Municipal Intermediate Municipal Bond Bond Municipal Bond Fund Fund Bond Fund Fund ------------- --------- ------------ --------- INVESTMENT INCOME Interest $ 1,990,068 $10,617,395 $10,449,099 $1,714,687 ----------- ----------- ----------- ---------- TOTAL INVESTMENT INCOME 1,990,068 10,617,395 10,449,099 1,714,687 ----------- ----------- ----------- ---------- EXPENSES: Investment advisory fees 240,423 751,159 783,295 123,692 Administration fees 51,519 281,684 293,736 46,384 Shareholder services fees (Class A Shares) 3,753 34,464 23,169 21,891 Shareholder services fees (Class B Shares) 68 939 775 207 12b-1 fees (Class B Shares) 205 2,817 2,325 620 Professional fees 15,467 25,503 27,224 15,672 Custodian fees 49,239 19,474 16,789 10,155 Transfer and dividend disbursing agent fees 3,562 27,734 9,448 10,046 Amortization of deferred organization costs 6,878 724 5,792 -- Registration, filing fees and other expenses 9,298 44,000 31,966 19,879 Less: Expense reimbursement (81,418) -- -- (14,123) ----------- ----------- ----------- ---------- NET EXPENSES 298,994 1,188,498 1,194,519 234,423 ----------- ----------- ----------- ---------- NET INVESTMENT INCOME 1,691,074 9,428,897 9,254,580 1,480,264 ----------- ----------- ----------- ---------- REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS: Net realized gains (losses) on: Investment transactions 9,122 1,054,576 508,026 (187,670) Foreign currency transactions (238,336) -- -- -- Net change in unrealized appreciation (depreciation) on: Investment securities 309,504 1,331,004 (208,877) 689,773 Assets and liabilities denominated in foreign currencies and financial futures (3,790,296) -- -- -- ----------- ----------- ----------- ---------- NET REALIZED AND UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS (3,710,006) 2,385,580 299,149 502,103 ----------- ----------- ----------- ---------- NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS $(2,018,932) $11,814,477 $ 9,553,729 $1,982,367 =========== =========== =========== ========== See Notes to Financial Statements.
14 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS - -----------------------------------------------------------------------------
Managed Assets Conservative Fund Managed Assets Balanced Fund ------------------------------------ ------------------------------------ Six Months Ended Six Months Ended June 30, 1997 Year Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 (Unaudited) December 31, 1996 ----------------- ----------------- ----------------- ----------------- FROM OPERATIONS: Net investment income (loss) $ 1,662,658 $ 2,249,353 $ 2,881,260 $ 3,706,735 Net realized gains on investments 2,457,935 7,593,376 8,541,725 8,885,279 Net change in unrealized appreciation (depreciation) on investments 1,582,200 (3,598,969) 6,938,185 1,454,970 ------------ ----------- ------------ ------------ Net increase in net assets from operations 5,702,793 6,243,760 18,361,170 14,046,984 ------------ ----------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: From net investment income Class A Shares (1,489,592) (2,065,593) (958,230) (425,768) Class B Shares (124,286) (116,907) (32,520) (9,258) Class I Shares (92,532) (47,887) (1,889,766) (3,244,172) ------------ ----------- ------------ ------------ Total distribution from net investment income (1,706,410) (2,230,387) (2,880,516) (3,679,198) ------------ ----------- ------------ ------------ From realized gains Class A Shares -- (503,438) -- (821,598) Class B Shares -- (40,850) -- (21,678) Class I Shares -- (11,015) -- (5,862,553) ------------ ----------- ------------ ------------ Total distributions from realized gains -- (555,303) -- (6,705,829) ------------ ----------- ------------ ------------ Total distributions (1,706,410) (2,785,690) (2,880,516) (10,385,027) ------------ ----------- ------------ ------------ FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares issued 24,341,435 25,295,850 138,198,111 58,464,843 Proceeds from shares issued in connection with merger -- -- -- 10,706,448 Net asset value of shares issued in reinvestment of distributions to shareholders 1,607,857 2,188,938 2,780,254 8,112,803 ------------ ----------- ------------ ------------ 25,949,292 27,484,788 140,978,365 77,284,094 Less: payments for shares redeemed (14,653,870) (9,869,811) (52,515,413) (44,309,100) ------------ ----------- ------------ ------------ Net increase in net assets from capital share transactions 11,295,422 17,614,977 88,462,952 32,974,994 ------------ ----------- ------------ ------------ NET INCREASE IN NET ASSETS 15,291,805 21,073,047 103,943,606 36,636,951 NET ASSETS: Beginning of period 76,538,374 55,465,327 130,260,752 93,623,801 ------------ ----------- ------------ ------------ End of period $ 91,830,179 $76,538,374 $234,204,358 $130,260,752 ============ =========== ============ ============ Managed Assets Growth Fund ---------------------------------------- Six Months Ended June 30, 1997 For the period ended (Unaudited) December 31, 1996(1) ---------------- -------------------- FROM OPERATIONS: Net investment income (loss) $ 24,479 $ (42) Net realized gains on investments 17,177 -- Net change in unrealized appreciation (depreciation) on investments 275,931 7,546 ---------- -------- Net increase in net assets from operations 317,587 7,504 ---------- -------- DISTRIBUTIONS TO SHAREHOLDERS: From net investment income Class A Shares (10,378) -- Class B Shares (9,945) -- Class I Shares (6,671) -- ---------- -------- Total distribution from net investment income (26,994) -- ---------- -------- From realized gains Class A Shares -- -- Class B Shares -- -- Class I Shares -- -- ---------- -------- Total distributions from realized gains -- -- ---------- -------- Total distributions (26,994) -- ---------- -------- FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares issued 3,752,884 678,805 Proceeds from shares issued in connection with merger -- -- Net asset value of shares issued in reinvestment of distributions to shareholders 20,324 -- ---------- -------- 3,773,208 678,805 Less: payments for shares redeemed (279,834) -- ---------- -------- Net increase in net assets from capital share transactions 3,493,374 678,805 ---------- -------- NET INCREASE IN NET ASSETS 3,783,967 686,309 NET ASSETS: Beginning of period 686,309 -- ---------- -------- End of period $4,470,276 $686,309 ========== ======== (1) For the period December 17, 1996 (commencement of operations) through December 31, 1996 See Notes to Financial Statements.
15 Pegasus Funds - ----------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS - -----------------------------------------------------------------------------
Equity Income Fund Growth Fund ------------------------------------ ------------------------------------ Six Months Ended Six Months Ended June 30, 1997 Year Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 (Unaudited) December 31, 1996 ---------------- ----------------- ----------------- ----------------- FROM OPERATIONS: Net investment income $ 5,237,060 $ 10,953,219 $ 743,117 $ 2,845,987 Net realized gains on investments 17,572,483 28,916,705 23,227,927 39,693,748 Net change in unrealized appreciation on investments 8,197,403 16,384,426 63,937,357 37,068,731 ------------ ------------ ------------ ------------ Net increase in net assets from operations 31,006,946 56,254,350 87,908,401 79,608,466 ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: From net investment income Class A Shares (229,772) (182,781) (9,609) (43,133) Class B Shares (22,915) (30,522) -- -- Class I Shares (5,061,616) (10,366,056) (758,995) (2,792,205) ------------ ------------ ------------ ------------ Total distributions from net investment income (5,314,303) (10,579,359) (768,604) (2,835,338) ------------ ------------ ------------ ------------ From realized gains Class A Shares -- (620,108) -- (978,254) Class B Shares -- (111,649) -- (102,183) Class I Shares -- (19,435,888) -- (35,960,890) ------------ ------------ ------------ ------------ Total distributions from realized gains -- (20,167,645) -- (37,041,327) ------------ ------------ ------------ ------------ Total distributions (5,314,303) (30,747,004) (768,604) (39,876,665) ------------ ------------ ------------ ------------ FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold 14,070,926 57,483,345 53,802,989 55,586,208 Proceeds from shares issued in connection with merger -- -- -- 228,354,666 Net asset value of shares issued in reinvestment of distributions to shareholders 277,806 407,197 255,344 28,365,633 ------------ ------------ ------------ ------------ 14,348,732 57,890,542 54,058,333 312,306,507 Less: payments for shares redeemed (54,027,213) (41,301,635) (84,726,352) (92,806,272) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets from capital share transactions (39,678,481) 16,588,907 (30,668,019) 219,500,235 ------------ ------------ ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS (13,985,838) 42,096,253 56,471,778 259,232,036 NET ASSETS: Beginning of period 329,489,780 287,393,527 557,773,382 298,541,346 ------------ ------------ ------------ ------------ End of period $315,503,942 $329,489,780 $614,245,160 $557,773,382 ============ ============ ============ ============ Mid-Cap Opportunity Fund ------------------------------------ Six Months Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 ---------------- ----------------- FROM OPERATIONS: Net investment income $ 493,644 $ 1,595,621 Net realized gains on investments 25,637,110 57,875,884 Net change in unrealized appreciation on investments 84,531,120 97,381,421 ------------- ------------- Net increase in net assets from operations 110,661,874 156,852,926 ------------- ------------- DISTRIBUTIONS TO SHAREHOLDERS: From net investment income Class A Shares (107) (104,348) Class B Shares -- (58) Class I Shares (499,815) (1,491,567) ------------- ------------- Total distributions from net investment income (499,922) (1,595,973) ------------- ------------- From realized gains Class A Shares -- (6,210,266) Class B Shares -- (10,839) Class I Shares -- (45,814,909) ------------- ------------- Total distributions from realized gains -- (52,036,014) ------------- ------------- Total distributions (499,922) (53,631,987) ------------- ------------- FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold 124,736,139 196,266,003 Proceeds from shares issued in connection with merger -- -- Net asset value of shares issued in reinvestment of distributions to shareholders 358,758 1,278,484 ------------- ------------- 125,094,897 197,544,487 Less: payments for shares redeemed (111,814,140) (182,439,666) ------------- ------------- Net increase (decrease) in net assets from capital share transactions 13,280,757 15,104,821 ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS 123,442,709 118,325,760 NET ASSETS: Beginning of period 769,278,028 650,952,268 ------------- ------------- End of period $ 892,720,737 $ 769,278,028 ============= ============= See Notes to Financial Statements.
16 Pegasus Funds STATEMENTS OF CHANGES IN NET ASSETS
Small-Cap Opportunity Fund Intrinsic Value Fund ----------------------------------- ------------------------------------ Six Months Ended Six Months Ended June 30, 1997 Year Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 (Unaudited) December 31, 1996 -------------- ----------------- -------------- ----------------- FROM OPERATIONS: Net investment income (loss) $ (305,429) $ (32,509) $ 4,142,559 $ 6,855,556 Net realized gains on investments and foreign currency transactions 7,546,304 17,881,429 30,668,193 16,465,095 Net change in unrealized appreciation on investments and foreign currency translation 15,699,583 7,930,344 21,656,929 43,380,316 ------------ ------------ ------------ ------------ Net increase in net assets from operations 22,940,458 25,779,264 56,467,681 66,700,967 ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: From net investment income Class A Shares -- (10) (316,411) (425,708) Class B Shares -- -- (9,488) (689) Class I Shares -- (3,928) (3,892,043) (6,481,315) ------------ ------------ ------------ ------------ Total distributions from net investment income -- (3,938) (4,217,942) (6,907,712) ------------ ------------ ------------ ------------ From realized gains Class A Shares -- (556,174) -- (1,071,739) Class B Shares -- (8,638) -- (6,170) Class I Shares -- (12,459,929) -- (16,413,883) Total distributions from realized gains -- (13,024,741) -- (17,491,792) ------------ ------------ ------------ ------------ Total distributions -- (13,028,679) (4,217,942) (24,399,504) ------------ ------------ ------------ ------------ FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold 35,393,280 33,354,228 115,234,904 144,922,924 Proceeds from shares issued in connection with merger -- -- -- -- Net asset value of shares issued in reinvestment of distributions to shareholders -- 7,971,106 2,656,806 5,191,098 ------------ ------------ ------------ ------------ 35,393,280 41,325,334 117,891,710 150,114,022 ------------ ------------ ------------ ------------ Less: payments for shares redeemed (14,707,807) (15,040,778) (54,126,292) (68,388,827) ------------ ------------ ------------ ------------ Net increase in net assets from capital share transactions 20,685,473 26,284,556 63,765,418 81,725,195 ------------ ------------ ------------ ------------ NET INCREASE IN NET ASSETS 43,625,931 39,035,141 116,015,157 124,026,658 NET ASSETS: Beginning of period 132,648,084 93,612,943 379,911,517 255,884,859 ------------ ------------ ------------ ------------ End of period $176,274,015 $132,648,084 $495,926,674 $379,911,517 ============ ============ ============ ============ Growth and Value Fund ----------------------------------- Six Months Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 ----------- ----------------- FROM OPERATIONS: Net investment income (loss) $ 4,357,120 $ 9,665,824 Net realized gains on investments and foreign currency transactions 46,511,476 87,410,523 Net change in unrealized appreciation on investments and foreign currency translation 87,360,242 36,502,219 ----------- ----------- Net increase in net assets from operations 138,228,838 133,578,566 ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS: From net investment income Class A Shares (373,600) (611,802) Class B Shares (5,698) (600) Class I Shares (4,534,098) (8,481,780) ----------- ----------- Total distributions from net investment income (4,913,396) (9,094,182) ----------- ----------- From realized gains Class A Shares -- (5,430,328) Class B Shares -- (15,316) Class I Shares -- (66,935,481) ----------- ----------- Total distributions from realized gains -- (72,381,125) ----------- ----------- Total distributions (4,913,396) (81,475,307) ----------- ----------- FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold 152,083,976 203,968,799 Proceeds from shares issued in connection with merger -- -- Net asset value of shares issued in reinvestment of distributions to shareholders 2,077,955 6,414,873 ----------- ----------- 154,161,931 210,383,672 Less: payments for shares redeemed (114,749,848) (206,812,138) ----------- ----------- Net increase in net assets from capital share transactions 39,412,083 3,571,534 ----------- ----------- NET INCREASE IN NET ASSETS 172,727,525 55,674,793 NET ASSETS: Beginning of period 792,841,860 737,167,067 ----------- ----------- End of period $ 965,569,385 $ 792,841,860 ============= ============= See Notes to Financial Statements. 17 Pegasus Funds STATEMENTS OF CHANGES IN NET ASSETS
Equity Index Fund International Equity Fund ------------------------------------ ----------------------------------- Six Months Ended Six Months Ended June 30, 1997 Year Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 (Unaudited) December 31, 1996 -------------- ----------------- ----------- ----------------- FROM OPERATIONS: Net investment income $ 5,450,109 $ 14,823,298 $ 3,591,098 $ 2,474,079 Net realized gains (losses) on investments and foreign currency transactions 126,503,804 16,222,665 (3,319,559) (1,496,221) Net change in unrealized appreciation (depreciation) on investments and foreign currency translation 7,573,852 119,756,862 43,809,017 17,747,087 ----------- ----------- ---------- ---------- Net increase in net assets from operations 139,527,765 150,802,825 44,080,556 18,724,945 ----------- ----------- ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS: From net investment income Class A Shares (433,729) (232,541) (87,078) (29,678) Class B Shares (5,662) (467) (3,688) (3,888) Class I Shares (5,354,528) (14,255,449) (2,776,727) (2,296,031) ----------- ----------- ---------- ---------- Total distributions from net investment income (5,793,919) (14,488,457) (2,867,493) (2,329,597) ----------- ----------- ---------- ---------- From realized gains Class A Shares -- (524,957) -- -- Class B Shares -- (1,276) -- -- Class I Shares -- (12,759,806) -- -- ----------- ----------- ---------- ---------- Total distributions from realized gains -- (13,286,039) -- -- ----------- ----------- ---------- ---------- Total distributions (5,793,919) (27,774,496) (2,867,493) (2,329,597) ----------- ----------- ---------- ---------- FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold 116,514,377 443,667,634 65,939,592 161,993,251 Proceeds from shares issued in connection with merger -- -- -- 144,968,119 Net asset value of shares issued in reinvestment of distributions to shareholders 4,129,221 12,236,347 1,038,142 1,196,154 ----------- ----------- ---------- ---------- 120,643,598 455,903,981 66,977,734 308,157,524 Less: payments for shares redeemed (371,488,895) (237,318,573) (28,459,758) (29,876,945) ----------- ----------- ---------- ---------- Net increase (decrease) in net assets from capital share transactions (250,845,297) 218,585,408 38,517,976 278,280,579 ----------- ----------- ---------- ---------- NET INCREASE (DECREASE) IN NET ASSETS (117,111,451) 341,613,737 79,731,039 294,675,927 NET ASSETS: Beginning of period 869,816,650 528,202,913 401,964,228 107,288,301 ----------- ----------- ---------- ---------- End of period $ 752,705,199 $ 869,816,650 $481,695,267 $401,964,228 ============= ============= ============ ============ See Notes to Financial Statements.
18 Pegasus Funds STATEMENTS OF CHANGES IN NET ASSETS
Intermediate Bond Fund Bond Fund ------------------------------------ ---------------------------------- Six Months Ended Six Months Ended June 30, 1997 Year Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 (Unaudited) December 31, 1996 ---------------- ------------------ ----------- ----------------- FROM OPERATIONS: Net investment income $ 14,124,047 $ 24,856,790 $ 30,000,955 $ 40,606,005 Net realized gains (losses) on investments and foreign currency transactions 68,048 1,800,673 (383,861) 4,524,736 Net change in unrealized appreciation (depreciation) on investments and foreign currency translation (171,955) (4,413,650) 808,307 (10,189,588) ---------- ---------- ---------- ---------- Net increase (decrease) in net assets from operations 14,020,140 22,243,813 30,425,401 34,941,153 ---------- ---------- ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS: From net investment income Class A Shares (625,872) (767,604) (1,871,758) (2,223,311) Class B Shares (5,433) (1,022) (19,465) (5,666) Class I Shares (13,480,628) (24,369,891) (28,625,136) (38,376,142) ---------- ---------- ---------- ---------- Total distributions from net investment income (14,111,933) (25,138,517) (30,516,359) (40,605,119) ---------- ---------- ---------- ---------- From realized gains Class A Shares -- -- -- -- Class B Shares -- -- -- -- Class I Shares -- -- -- -- Total distributions from realized gains -- -- -- -- Total distributions (14,111,933) (25,138,517) (30,516,359) (40,605,119) FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold 102,469,052 118,511,852 273,636,126 228,866,516 Proceeds from shares issued in connection with merger -- -- -- 130,865,901 Net asset value of shares issued in reinvestment of distributions to shareholders 9,198,083 19,192,374 17,998,776 29,585,134 ---------- ---------- ---------- ---------- 111,667,135 137,704,226 291,634,902 389,317,551 Less: payments for shares redeemed (61,281,752) (126,568,756) (57,877,681) (96,335,513) ---------- ---------- ---------- ---------- Net increase (decrease) in net assets from capital share transactions 50,385,383 11,135,470 233,757,221 292,982,038 NET INCREASE (DECREASE) IN NET ASSETS 50,293,590 8,240,766 233,666,263 287,318,072 ---------- ---------- ---------- ---------- NET ASSETS: Beginning of period 413,550,705 405,309,939 804,883,651 517,565,579 ------------ ------------ ----------- ----------- End of period $463,844,295 $ 413,550,705 $1,038,549,914 $804,883,651 ============ ============ ============= =========== Short Bond Fund Income Fund ----------------------------------- ------------------------------------ Six Months Ended Six Months Ended June 30, 1997 Year Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 (Unaudited) December 31, 1996 ---------------- ----------------- ---------------- ----------------- FROM OPERATIONS: Net investment income $ 5,092,694 $ 9,102,945 $ 5,107,662 $ 12,243,298 Net realized gains (losses) on investments and foreign currency transactions 1,393 480,231 (260,634) (21,631) Net change in unrealized appreciation (depreciation) on investments and foreign currency translation 18,311 (2,046,522) (1,173,805) (5,355,005) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets from operations 5,112,398 7,536,654 3,673,223 6,866,662 ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: From net investment income Class A Shares (43,509) (43,710) (245,573) (430,827) Class B Shares (1,442) (375) (9,979) (22,400) Class I Shares (5,112,652) (9,042,643) (4,619,677) (11,703,117) ------------ ------------ ------------ ------------ Total distributions from net investment income (5,157,603) (9,086,728) (4,875,229) (12,156,344) ------------ ------------ ------------ ------------ From realized gains Class A Shares -- (2,475) -- (92,572) Class B Shares -- (119) -- (5,831) Class I Shares -- (402,873) -- (2,526,588) ------------ ------------ ------------ ------------ Total distributions from realized gains -- (405,467) -- (2,624,991) ------------ ------------ ------------ ------------ Total distributions (5,157,603) (9,492,195) (4,875,229) (14,781,335) ------------ ------------ ------------ ------------ FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold 46,237,653 41,372,785 6,322,566 63,866,681 Proceeds from shares issued in connection with merger -- -- -- -- Net asset value of shares issued in reinvestment of distributions to shareholders 1,993,054 3,635,168 264,976 605,194 ------------ ------------ ------------ ------------ 48,230,707 45,007,953 6,587,542 64,471,875 Less: payments for shares redeemed (26,036,934) (33,873,236) (59,624,171) (58,429,130) ------------ ------------ ------------ ------------ Net increase (decrease) in net assets from capital share transactions 22,193,773 11,134,717 (53,036,629) 6,042,745 ------------ ------------ ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS 22,148,568 9,179,176 (54,238,635) (1,871,928) NET ASSETS: Beginning of period 172,516,031 163,336,855 196,411,743 198,283,671 ------------ ------------ ------------ ------------ End of period $194,664,599 $172,516,031 $142,173,108 $196,411,743 ============ ============ ============ ============ See Notes to Financial Statements.
19 Pegasus Funds STATEMENTS OF CHANGES IN NET ASSETS
International Bond Fund Municipal Bond Fund ------------------------------------ -------- --------------------------- Six Months Ended Six Months Ended June 30, 1997 Year Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 (Unaudited) December 31, 1996 ---------------- ----------------- ---------------- ----------------- FROM OPERATIONS: Net investment income $ 1,691,074 $ 1,588,432 $ 9,428,897 $ 13,312,581 Net realized gains (losses) on investments and foreign currency transactions (229,214) 255,095 1,054,576 2,185,933 Net change in unrealized appreciation (depreciation) on investments and foreign currency translation (3,480,792) 651,325 1,331,004 (3,444,888) ----------- ----------- ------------ ------------ Net increase in net assets from operations (2,018,932) 2,494,852 11,814,477 12,053,626 ----------- ----------- ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS: From net investment income Class A Shares (69,314) (48,371) (700,913) (535,878) Class B Shares (1,073) (540) (15,657) (15,695) Class I Shares (1,523,272) (1,719,814) (8,694,437) (11,706,220) ----------- ----------- ------------ ------------ Total distributions from net investment income (1,593,659) (1,768,725) (9,411,007) (12,257,793) ----------- ----------- ------------ ------------ From realized gains Class A Shares -- -- -- (6,075) Class B Shares -- -- -- (394) Class I Shares -- -- -- (201,402) Total distributions from realized gains -- -- -- (207,871) Total distributions (1,593,659) (1,768,725 (9,411,007) (15,931,848) ----------- ----------- ------------ ------------ FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold 25,672,163 42,220,702 65,815,677 58,114,399 Proceeds from shares issued in connection with merger -- -- -- 102,578,100 Net asset value of shares issued in reinvestment of distributions to shareholders 849,730 843,217 771,456 1,161,950 ----------- ----------- ------------ ------------ 26,521,893 43,063,919 66,587,133 161,854,449 Less: payments for shares redeemed (4,002,164) (2,888,294) (64,156,367) (37,670,935) ----------- ----------- ------------ ------------ Net increase (decrease) in net assets from capital share transactions 22,519,729 40,175,625 2,430,766 124,183,514 ----------- ----------- ------------ ------------ NET INCREASE IN NET ASSETS 18,907,138 40,901,752 4,834,236 120,305,292 NET ASSETS: Beginning of period 55,897,040 14,995,288 368,128,442 247,823,150 ----------- ----------- ------------ ------------ End of period $74,804,178 $55,897,040 $372,962,678 $368,128,442 =========== =========== ============ ============ Intermediate Municipal Bond Fund Michigan Municipal Bond Fund ------------------------------------ -------------------------------- Six Months Ended Six Months Ended June 30, 1997 Year Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 (Unaudited) December 31, 1996 --------------- ----------------- ---------------- ----------------- FROM OPERATIONS: Net investment income $ 9,254,580 $ 18,092,497 $ 1,480,264 $ 2,575,994 Net realized gains (losses) on investments and foreign currency transactions 508,026 2,576,883 (187,670) (90,124) Net change in unrealized appreciation (depreciation) on investments and foreign currency translation (208,877) (5,510,989) 689,773 (530,540) ------------ ------------ ----------- ------------ Net increase in net assets from operations 9,553,729 15,158,391 1,982,367 1,955,330 ------------ ------------ ----------- ------------ DISTRIBUTIONS TO SHAREHOLDERS: From net investment income Class A Shares (417,688) (761,652) (401,277) (868,350) Class B Shares (11,721) (16,784) (3,460) (702) Class I Shares (8,892,133) (16,723,347) (1,075,642) (1,615,892) ------------ ------------ ----------- ------------ Total distributions from net investment income (9,321,542) (17,501,783) (1,480,379) (2,484,944) From realized gains Class A Shares -- (112,133) -- -- Class B Shares -- (3,569) -- -- Class I Shares -- (2,341,621) -- -- ------------ ------------ ----------- ------------ Total distributions from realized gains -- (2,457,323) -- -- ------------ ------------ ----------- ------------ Total distributions (9,321,542) (19,959,106) (1,480,379) (2,484,944) ------------ ------------ ----------- ------------ FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold 36,626,481 66,990,329 11,525,001 17,373,469 Proceeds from shares issued in connection with merger -- -- -- -- Net asset value of shares issued in reinvestment of distributions to shareholders 397,443 730,366 463,004 854,735 ------------ ------------ ----------- ------------ 37,023,924 67,720,695 11,988,005 18,228,204 Less: payments for shares redeemed (33,268,672) (61,160,676) (6,111,118) (10,558,076) ------------ ------------ ----------- ------------ Net increase (decrease) in net assets from capital share transactions 3,755,252 6,560,019 5,876,887 7,670,128 ------------ ------------ ----------- ------------ NET INCREASE IN NET ASSETS 3,987,439 1,759,304 6,378,875 7,140,514 NET ASSETS: Beginning of period 393,630,021 391,870,717 60,593,674 53,453,160 ------------ ------------ ----------- ------------ End of period $397,617,460 $393,630,021 $66,972,549 $ 60,593,674 ============ ============ =========== ============ See Notes to Financial Statements.
20 Pegasus Managed Assets Conservative Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Shares Market Value ----------- ------ ------------ COMMON STOCKS -- 4.77% Banks -- 1.70% Bank of Boston Corp. ............................ 5,000 $ 360,312 Citicorp ........................................ 3,000 361,688 First Union Corp. ............................... 2,000 185,000 National City Corp. ............................. 5,000 262,500 NationsBank Corp. ............................... 6,000 387,000 ------------ 1,556,500 ------------ Drugs and Medicine -- 2.20% Bristol-Myers Squibb Co. ........................ 8,000 648,000 Johnson & Johnson ............................... 6,000 386,250 Pfizer, Inc. .................................... 4,000 478,000 Warner Lambert Co. .............................. 4,000 497,000 ------------ 2,009,250 ------------ International Oil -- 0.87% British Petroleum PLC. .......................... 6,340 474,708 Texaco, Inc. .................................... 3,000 326,250 ------------ 800,958 ------------ TOTAL COMMON STOCK .................................. 4,366,708 ------------ (Cost $1,561,791) MUTUAL FUNDS -- 95.23% Pegasus Bond Fund ............................... 5,215,451 53,510,529 Pegasus International Bond Fund ................. 580,682 5,946,188 Pegasus Growth Fund ............................. 272,109 3,994,564 Pegasus Growth and Value Fund ................... 463,739 7,609,954 Pegasus International Equity Fund ............... 433,563 5,592,968 Pegasus Intrinsic Value Fund .................... 363,488 5,604,978 Pegasus Mid-Cap Opportunity Fund ................ 160,358 3,223,186 Pegasus Small-Cap Opportunity Fund .............. 102,293 1,626,453 ------------ TOTAL MUTUAL FUNDS .................................. 87,108,820 ------------ (Cost $83,662,499) TOTAL INVESTMENTS ................................... $ 91,475,528 ============ (Cost $85,224,290) See Notes to Financial Statements.
21 Pegasus Managed Assets Balanced Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ TEMPORARY CASH INVESTMENT -- 0.88% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/1/97 (secured by U.S. Treasury obligations with maturities ranging from 8/15/97 through 2/15/07 at various interest rates ranging from 0.00% to 12.00%, all held at Chase Bank) ... $2,047,419 $2,047,419 (Cost $2,047,419) ---------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 11.53% U.S. Treasury Securities -- 9.00% Principal Strips from U.S. Treasury Securities due: 5/15/17 ..................................... 915,000 232,254 8/15/17 ..................................... 3,455,000 861,850 Strips from U.S. Treasury Securities due: 5/15/98 ..................................... 200,000 190,366 8/15/98 ..................................... 500,000 468,410 8/15/99 ..................................... 3,500,000 3,078,670 2/15/01 ..................................... 450,000 358,897 2/15/11 ..................................... 600,000 238,734 5/15/11 ..................................... 1,083,000 423,171 2/15/12 ..................................... 280,000 103,533 8/15/12 ..................................... 750,000 266,873 5/15/13 ..................................... 760,000 255,786 2/15/14 ..................................... 3,935,000 1,254,714 U.S. Treasury Bonds: 12.75%, 11/15/10 ............................ 1,145,000 1,588,871 10.375%, 11/15/12 ........................... 685,000 869,518 12.50%, 8/15/14 ............................. 120,000 176,456 U.S. Treasury Notes: 8.875%, 11/15/97 ............................ 800,000 809,248 7.875%, 4/15/98 ............................. 1,870,000 1,900,388 7.00%, 4/15/99 .............................. 500,000 507,890 7.75%, 11/30/99 ............................. 2,005,000 2,074,854 6.25%, 5/31/00 .............................. 950,000 950,447 6.625%, 7/31/01 ............................. 1,000,000 1,009,370 7.50%, 11/15/01 ............................. 700,000 729,421 6.25%, 2/15/03 .............................. 400,000 396,876 7.25%, 5/15/04 .............................. 2,150,000 2,241,031 ---------- (Cost $20,160,151) 20,987,628 ---------- Agency Obligations -- 2.53% Federal Home Loan Mortgage Corp. Participation Ctf. #555238, 12.00%, 7/1/19 ..................... 123,888 138,975 Federal Home Loan Mortgage Corp. Gtd. Multi-Class Mortgage Participation Ctfs.: Series 99 Class Z, 9.50%, 1/15/21 ........... 76,804 81,598 Series 1051 Class D, 7.00%, 11/15/19 ........ 104,991 105,794 Series 1065 Class J, 9.00%, 4/15/21 ......... 100,000 106,456 Series 1144 Class KB, 8.50%, 9/15/21 ........ 250,000 261,110 Series 1295 Class JB, 4.50%, 3/15/07 ........ 300,000 269,028 Series 1370 Class F, 6.75%, 3/15/19 ......... 260,000 259,327 Series 1465 Class SA, IO, IF, 2/15/08 ....... 987,107 50,673 22 Series 1575 Class FB, 7.00%, 8/15/08 ........ 298,345 305,384 Series 1575 Class SB, 3.00%, 8/15/08 ........ 99,448 64,587 Series 1583 Class NS, IF, 9/15/23 ........... 115,888 84,195 Series 1595 Class S, IO, IF, 10/15/13 ....... 1,239,073 53,622 Series 1602 Class O, 6.00%, 10/15/23 ........ 300,000 275,287 Series 1681 Class K, 7.00%, 8/15/23 ......... 416,716 406,549 Series 1689 Class SD, IF, 10/15/23 .......... 100,000 84,133 Federal Housing Administration Merrill Lynch Project Pool 170 Pass thru Ctf., 7.43%, 8/1/20 ............... 222,254 225,077 Federal Housing Administration Project #07335307, 7.43%, 1/1/22 ............ 224,037 227,890 Federal Housing Administration Greystone 1996-2 Pool, 7.43%, 11/1/22 ....... 552 559 Federal National Mortgage Assn. Pass Thru Securities Pool #116612, IF, 3/1/19 .................... 92,291 96,427 Federal National Mortgage Assn. Pass Thru Securities Guaranteed REMIC Trust: 1989 Class 78-H, 9.40%, 11/25/19 ............ 250,000 271,774 1990 Class 140-K, HB, 652.145%, 12/25/20 .... 1,302 41,123 1991 Class 161-H, 7.50%, 2/25/21 ............ 104,094 105,006 1992-G Class 15-Z, 7.00%, 1/25/22 ........... 217,649 201,182 1992 Class 204-B, 6.00%, 10/25/20 ........... 250,000 238,222 1993 Class 13-G, 6.00%, 6/25/20 ............. 200,000 193,336 1993 Class 19-G, 5.00%, 5/25/19 ............. 250,000 232,361 1993 Class 38-S, IO, 5.255%, 11/25/22 ....... 663,856 17,299 1993 Class 44-S, IO, IF, 4/25/23 ............ 394,742 19,647 1993 Class 58-J, 5.50%, 4/25/23 ............. 131,532 126,736 1993 Class 94-K, 6.750%, 5/25/23 ............ 114,316 111,418 1993 Class 155-SB, IO, IF, 9/25/23 .......... 736,409 56,261 1993 Class 207-SC, IF, 11/25/23 ............. 284,327 191,873 1993 Class 209-KB, 5.659%, 8/25/08 .......... 373,990 349,815 1993 Class 220-SD, IF, 11/25/13 ............. 49,707 34,376 1994 Class 30-LA, 6.50%, 2/25/09 ............ 77,863 76,926 1994 Class 39-F, IF, 3/25/24 ................ 218,618 218,745 1994 Class 39-S, IF, 3/25/24 ................ 84,084 76,967 1994 Class 82-SA, IO, IF, 5/25/23 ........... 1,645,187 53,241 1996 Class 7-C, 6.50%, 12/25/10 ............. 200,000 189,287 ---------- (Cost $5,996,999) 5,902,266 ---------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ........ 26,889,894 ---------- (Cost $26,157,150) CORPORATE BONDS AND NOTES -- 1.15% Finance -- 0.85% Associates Corp. of North America: 9.125%, 4/1/00 .............................. 85,000 90,393 8.150%, 8/1/09 .............................. 200,000 213,094 Case Equipment Loan Trust Asset Backed Ctf. Series 1996-A, Class A2, 5.50%, 2/15/03 ..... 246,458 245,619 Green Tree Financial Corp. Asset Backed Ctf. Series 1996-A, Class A, 5.70%, 2/15/26 ...... 27,063 27,111 23 Merrill Lynch Home Equity Loan Asset Backed Ctf. Series 1992-1, Class A, IF, 7/15/22 ......... 115,452 115,684 Merrill Lynch Trust 43-E, CMO Series 43, Class E, 6.50%, 8/27/15 .......... 200,000 195,338 Onyx Acceptance Grantor Trust Auto Loan Pass Thru Ctf. Series 1996-1, Class A, 5.40%, 5/15/01 ...... 150,954 149,538 Superior Wholesale Inventory Trust Asset Backed Ctf. Series 1996-A, Class A, IF, 3/15/01 ......... 200,000 200,062 World Omni Automobile Trust Asset Backed Ctf. Series 1995-A, Class A, 6.05%, 11/25/01 ..... 752,633 753,099 --------- (Cost $1,969,317) 1,989,938 --------- Industrial -- 0.15 % Boeing Co., 7.95%, 8/15/24 ...................... 110,000 120,124 Proctor & Gamble Co., 8.00%, 10/26/29 ........... 220,000 237,202 --------- (Cost $360,750) 357,326 --------- Public Utility -- 0.15% New England Telephone & Telegraph Co., 7.875%, 11/15/29 ...................................... 250,000 264,717 Nippon Telegraph & Telephone Corp., 9.50%, 7/27/98 ....................................... 80,000 82,757 --------- (Cost $356,303) 347,474 --------- TOTAL CORPORATE BONDS AND NOTES ..................... 2,694,738 --------- (Cost $2,686,370) Shares ------ COMMON STOCKS -- 19.45% Aerospace -- 0.22% Boeing Co. ...................................... 9,500 504,094 --------- Air Transport -- 0.05% Air Express International Corp. ................. 2,825 112,294 --------- Apparel -- 0.27% Nine West Group, Inc.* .......................... 1,150 43,916 Russell Corp. ................................... 17,000 503,625 Tommy Hilfiger Corp.* ........................... 2,000 80,375 --------- 627,916 --------- Banks -- 1.09% BankAmerica Corp. ............................... 8,000 516,500 Barnett Banks, Inc. ............................. 6,000 315,000 Charter One Financial, Inc. ..................... 3,125 168,359 First Tennessee National Corp. .................. 2,000 96,000 MBNA Corp. ...................................... 4,000 146,500 Norwest Corp. ................................... 17,000 956,250 State Street Boston Corp. ....................... 5,200 240,500 TCF Financial Corp. ............................. 2,300 113,563 --------- 2,552,672 --------- Business Machines -- 0.81% Cisco System Inc.* .............................. 3,000 201,375 Comdisco Inc. ................................... 4,950 128,700 Diebold, Inc. ................................... 1,453 56,667 24 Electronic Data Systems Corp. ................... 19,500 799,500 Microsoft Corp.* ................................ 4,000 505,500 Silicon Graphics* ............................... 7,000 105,000 Xilinx, Inc.* ................................... 1,650 80,953 --------- 1,877,695 --------- Business Services -- 1.23% Automatic Data Processing, Inc. ................. 15,600 733,200 CDI Corp.* ...................................... 1,700 70,869 Computer Associates International, Inc. ......... 4,000 222,750 Deluxe Corp. .................................... 19,000 648,375 DST Systems, Inc.* .............................. 3,000 99,938 First Data Corp. ................................ 4,500 197,719 G & K Services, Inc. Class A .................... 800 29,800 Interpublic Group of Companies, Inc. ............ 3,000 183,937 Omnicom Group, Inc. ............................. 1,980 122,018 SunGard Data Systems, Inc.* ..................... 3,200 148,800 Waste Management Inc. ........................... 13,000 417,625 --------- 2,875,031 --------- Chemicals -- 0.59% Great Lakes Chemical Corp. ...................... 6,000 314,250 Praxair, Inc. ................................... 5,000 280,000 RPM, Inc. ....................................... 3,765 69,182 Sigma-Aldrich Corp. ............................. 20,000 701,250 --------- 1,364,682 --------- Construction -- 0.89% Crane Co. ....................................... 4,456 186,317 Fluor Corp. ..................................... 12,000 662,250 Masco Corp. ..................................... 14,000 584,500 York International Corp. ........................ 14,000 644,000 --------- 2,077,067 --------- Consumer Durables -- 0.43% Durakon Industries, Inc.* ....................... 2,100 19,950 Leggett & Platt, Inc. ........................... 3,840 165,120 Newell Co. ...................................... 5,300 210,013 Rubbermaid, Inc. ................................ 20,000 595,000 --------- 990,083 --------- Containers -- 0.39% AptarGroup, Inc. ................................ 3,100 140,275 Crown Cork & Seal Co., Inc. ..................... 14,300 764,156 --------- 904,431 --------- Drugs and Medicine -- 2.13% Abbott Laboratories Corp. ....................... 10,000 667,500 Amgen, Inc.* .................................... 3,500 203,438 Bristol-Myers Squibb Co. ........................ 12,000 972,000 Columbia/HCA Healthcare Corp. ................... 6,250 245,703 Guidant Corp. ................................... 1,500 127,500 25 Health Care & Retirement Corp.* ................. 2,891 96,487 Johnson & Johnson ............................... 3,300 212,438 Mylan Laboratories, Inc. ........................ 7,000 103,250 Pall Corp. ...................................... 5,800 134,850 Pfizer, Inc. .................................... 2,200 262,900 Quorum Health Group, Inc.* ...................... 4,500 160,875 Schering-Plough Corp. ........................... 19,200 919,200 Smithkline Beecham PLC ADR ...................... 3,300 302,362 Stryker Corp. ................................... 4,400 153,450 Sybron International Corp.* ..................... 4,200 167,475 United HealthCare Corp. ......................... 4,400 228,800 --------- 4,958,228 --------- Electronics -- 1.60% AMP, Inc. ....................................... 16,500 688,875 Belden, Inc. .................................... 5,700 194,156 Dynatech Corp.* ................................. 3,000 107,250 Hewlett Packard Co. ............................. 14,000 784,000 Intel Corp. ..................................... 2,400 340,350 Kemet Corp.* .................................... 4,500 111,937 Lucent Technologies, Inc. ....................... 6,500 468,406 Microchip Technology, Inc.* ..................... 2,800 83,300 Molex, Inc. Class A Non-Voting .................. 3,062 106,787 Motorola, Inc. .................................. 9,000 684,000 Teradyne, Inc.* ................................. 3,900 153,075 --------- 3,722,136 --------- Energy and Utilities -- 1.18% AES Corp.* ...................................... 3,500 247,625 Enron Corp. ..................................... 14,500 591,781 FPL Group, Inc. ................................. 14,000 644,875 MCN Corp. ....................................... 22,000 673,750 Pinnacle West Capital Co. ....................... 20,000 601,250 --------- 2,759,281 --------- Energy Raw Materials -- 0.66% Apache Corp. .................................... 5,076 164,970 Noble Affiliates, Inc. .......................... 3,400 131,537 Schlumberger Ltd. ............................... 7,000 875,000 Southwestern Energy Co. ......................... 6,276 81,588 Smith International Inc.* ....................... 1,600 97,200 Western Atlas, Inc.* ............................ 2,500 183,125 --------- 1,533,420 --------- Food and Agriculture -- 1.30% ConAgra, Inc. ................................... 11,000 705,375 CPC International, Inc. ......................... 8,000 738,500 PepsiCo, Inc. ................................... 27,000 1,014,187 Sysco Corp. ..................................... 16,000 584,000 --------- 3,042,062 --------- 26 Insurance -- 0.84% AFLAC, Inc. ..................................... 6,000 283,500 American International Group, Inc. .............. 3,000 448,125 Capital Re Corp. ................................ 3,100 165,850 CapMac Holdings, Inc. ........................... 2,100 70,612 Chubb Corp. ..................................... 9,000 601,875 Transatlantic Holdings, Inc. .................... 1,754 174,085 Unum Corp. ...................................... 5,000 210,000 --------- 1,954,047 --------- International Oil -- 0.26% British Petroleum PLC ADR ....................... 8,144 609,782 --------- Liquor -- 0.27% Anheuser Busch Companies, Inc. .................. 15,000 629,063 --------- Media -- 0.64% Banta Corp. ..................................... 4,435 120,299 Cabletron System Inc.* .......................... 3,000 84,938 Gannett Co., Inc. ............................... 5,000 493,750 Washington Post Co. Class B ..................... 2,000 796,000 --------- 1,494,987 --------- Miscellaneous and Conglomerates -- 0.61% Cognizant Corp. ................................. 17,000 688,500 Culligan Water Technologies, Inc.* .............. 1,700 76,075 Dentsply International, Inc. .................... 2,000 98,000 Elan PLC ADR* ................................... 6,000 271,500 Greenfield Industries, Inc. ..................... 2,100 56,700 Health Management Associates, Inc. Class A* ..... 1,593 45,401 Littlefuse, Inc.* ............................... 4,200 118,650 Wolverine Tube, Inc.* ........................... 2,550 71,081 --------- 1,425,907 --------- Miscellaneous Finance -- 0.83% CMAC Investment Corp. ........................... 4,100 195,775 Edwards (A.G.), Inc. ............................ 3,555 151,976 Everest Reinsurance Holdings, Inc. .............. 5,400 213,975 Executive Risk, Inc. ............................ 2,700 140,400 FINOVA Group, Inc. .............................. 2,335 178,628 First Financial Corp. ........................... 4,650 136,594 Idex Corp. ...................................... 4,006 132,198 MGIC Investment Corp. ........................... 800 38,350 PMI Group, Inc. ................................. 10,700 667,413 Scotsman Industries, Inc. ....................... 2,600 74,100 --------- 1,929,409 --------- Motor Vehicles -- 0.22% Borg Warner Automotive, Inc. .................... 3,700 200,031 Harley-Davidson, Inc. ........................... 2,926 140,265 Myers Industries, Inc. .......................... 3,520 59,400 Tower Automotive, Inc.* ......................... 2,500 107,500 --------- 507,196 --------- 27 Non-Durables and Entertainment -- 0.42% Kimberly Clark Corp. ............................ 11,000 547,250 Lancaster Colony Corp. .......................... 1,564 75,658 Oracle Systems Corp.* ........................... 2,000 100,750 Service Corp. International ..................... 8,100 266,288 --------- 989,946 --------- Non-Ferrous Metals -- 0.06% DT Industries, Inc. ............................. 4,000 143,000 --------- Producer Goods -- 0.64% Dover Corp. ..................................... 11,200 688,800 Federal Signal Corp. ............................ 1,500 37,688 Hubbell, Inc. Class B ........................... 3,502 154,088 Illinois Tool Works, Inc. ....................... 5,600 279,650 Juno Lighting, Inc. ............................. 6,539 106,259 Teleflex, Inc. .................................. 3,380 105,625 Trimas Corp. .................................... 4,335 121,922 --------- 1,494,032 --------- Retail -- 0.83% Home Depot, Inc. ................................ 4,000 275,750 Kohls Corp.* .................................... 1,264 66,913 Nordstrom, Inc. ................................. 14,000 686,875 Proffitts, Inc.* ................................ 3,800 166,725 Toys R Us* ...................................... 13,000 455,000 Walgreen Co. .................................... 3,000 160,875 Zale Corp.* ..................................... 6,500 128,781 --------- 1,940,919 --------- Soaps and Cosmetics -- 0.08% Procter & Gamble Co. ............................ 1,400 197,750 --------- Telephone -- 0.49% AirTouch Communications, Inc.* .................. 5,000 136,875 Century Telephone Enterprises, Inc. ............. 15,000 505,312 MCI Communications Corp. ........................ 13,000 497,656 --------- 1,139,843 --------- Tobacco -- 0.10% Philip Morris Companies, Inc. ................... 5,000 221,875 --------- Travel and Recreation -- 0.32% Callaway Golf Co. ............................... 3,900 138,450 Carnival Corp. Class A .......................... 6,000 247,500 Disney (Walt) Co. ............................... 2,900 232,725 Gaylord Entertainment Co. Class A ............... 5,715 131,802 --------- 750,477 --------- TOTAL COMMON STOCKS ................................. 45,329,325 ---------- (Cost $34,552,617) 28 MUTUAL FUNDS -- 66.99% Pegasus Bond Fund ............................... 6,234,236 63,963,265 Pegasus Growth Fund ............................. 386,350 5,671,618 Pegasus Growth and Value Find ................... 1,235,701 20,277,850 Pegasus International Bond Fund ................. 1,017,961 10,423,921 Pegasus International Equity Fund ............... 1,716,559 22,143,606 Pegasus Intrinsic Value Fund .................... 1,430,745 22,062,094 Pegasus Mid-Cap Opportunity ..................... 254,345 5,112,329 Pegasus Small-Cap Opportunity Fund .............. 410,414 6,525,585 ----------- TOTAL MUTUAL FUNDS .................................. 156,180,268 ----------- (Cost $148,487,268) TOTAL INVESTMENTS ................................... $ 233,141,644 ============= (Cost $213,930,824) * Non-income producing security. See Notes to Financial Statements.
29 Pegasus Managed Assets Balanced Fund PORTFOLIO OF INVESTMENTS - (Continued) June 30, 1997 Notes to Portfolio of Investments The Fund invests in securities whose value is derived from an underlying pool of mortgages or consumer loans. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by U.S. government agencies or by financial institutions and other mortgage lenders which are collateralized by a pool of mortgages held under an indenture. Adjustable Rate (AR) Inverse Floaters (IF) represent securities that pay interest at a rate that increases (decreases) with a decline (increase) in a specified index. Interest Only (IO) represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayments or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. High Coupon Bonds (HB) (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar risks as those associated with IO securities. Unlike IO's the owner also has a right to receive a very small portion of principal. The high interest rate results from taking interest payments from other classes in the REMIC Trust and allocating them to the small principal of the HB class. Principal Only (PO) represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. See Notes to Financial Statements. 30 Pegasus Managed Assets Growth Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Shares Market Value ----------- ------ ------------ MUTUAL FUNDS -- 100.00% Pegasus Bond Fund ................................. 97,714 $ 1,002,541 Pegasus Growth Fund ............................... 28,448 417,620 Pegasus Growth and Value Fund ..................... 76,369 1,253,221 Pegasus International Bond Fund ................... 10,872 111,328 Pegasus International Equity Fund ................. 45,329 584,740 Pegasus Intrinsic Value Fund ...................... 37,921 584,740 Pegasus Mid-Cap Opportunity Fund .................. 16,625 334,171 Pegasus Small-Cap Opportunity Fund ................ 10,577 168,177 ----------- TOTAL MUTUAL FUNDS .................................. $ 4,456,537 =========== (Cost $4,173,060) See Notes to Financial Statements.
31 Pegasus Equity Income Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Face Description Amount Market Value ----------- ------ ------------- TEMPORARY CASH INVESTMENT -- 4.70% Salomon Brothers, Revolving Repurchase Agreement, 6.00%%, 7/1/97 (secured by various U.S. Treasury Strips with maturities ranging from 8/15/97 through 2/15/07 at various interest rates ranging 0.00% to 12.00%, all held at Chase Bank) ........ $14,662,763 $14,662,763 (Cost $14,662,763) CONVERTIBLE BONDS -- 7.14% Costco Wholesale Corp., 5.75%, 5/15/02 ............ 9,558,000 9,761,108 NAC RE Corp., 5.25%, 12/15/02 ..................... 3,095,000 3,462,531 Potomac Electric Power, 5.00%, 9/1/02 ............. 7,769,000 7,166,903 RLI Corp., 6.00%, 7/15/03 ......................... 1,350,000 1,895,062 ---------- (Cost $20,869,568) 22,285,604 ---------- Shares ------ NON-CONVERTIBLE PREFERRED STOCKS -- 3.65% Finance -- 3.65 % Salomon, Inc., 7.625% ........................... 324,400 11,394,550 ---------- (Cost $8,705,900) COMMON STOCKS -- 84.51% Aerospace -- 2.82% Lockheed Martin Corp. ........................... 85,000 8,802,813 ---------- Banks -- 6.91% Bank of New York Co., Inc. ...................... 97,000 4,219,500 Bankers Trust N.Y. Corp. ........................ 90,000 7,830,000 Mercantile Bankshares Corp. ..................... 180,000 7,200,000 Pacific Century Financial Corp. ................. 50,000 2,312,500 ---------- 21,562,000 ---------- Chemicals -- 7.49% Dow Chemical Co. ................................ 100,000 8,712,500 Du Pont (E.I.) De Nemours & Co., Inc. ........... 122,000 7,670,750 NCH Corp. ....................................... 111,900 6,993,750 ---------- 23,377,000 ---------- Consumer Durables -- 0.31% National Presto Industries, Inc. ................ 24,200 975,563 ---------- Domestic Oil -- 3.50% Atlantic Richfield Co. .......................... 110,000 7,755,000 MAPCO, Inc. ..................................... 100,000 3,150,000 ---------- 10,905,000 ---------- Drugs and Medicine -- 3.33% Mid Ocean Ltd. .................................. 197,950 10,380,003 ---------- Energy And Utilities -- 6.36% CINergy Corp. ................................... 130,000 4,525,625 Connecticut Energy Corp. ........................ 162,400 3,938,200 Sierra Pacific Resources ........................ 104,000 3,328,000 SJW Corp. ....................................... 10,000 525,000 Washington Water Power Co. ...................... 383,700 7,530,113 ---------- 19,846,938 ---------- 32 Insurance -- 11.71% American National Insurance Co. ................. 98,375 8,779,969 Lincoln National Corp. .......................... 100,000 6,437,500 Ohio Casualty Corp. ............................. 191,600 8,430,400 Old Republic International Corp. ................ 328,650 9,962,203 SAFECO Corp. .................................... 63,000 2,941,312 ---------- 36,551,384 ---------- International Oil -- 10.19% Amoco Corp. ..................................... 105,000 9,128,438 British Petroleum PLC ADR ....................... 49,604 3,714,099 Mobil Corp. ..................................... 142,000 9,922,250 Texaco, Inc. .................................... 83,000 9,026,250 ---------- 31,791,037 ---------- Miscellaneous and Conglomerates -- 3.07% Guinness PLC ADR ................................ 195,400 9,561,000 ---------- Miscellaneous Finance -- 4.22% Federal National Mortgage Association ........... 302,000 13,174,750 ---------- Motor Vehicles -- 3.02% Ford Motor Co. .................................. 249,597 9,422,287 ---------- Non-Durables and Entertainment -- 4.22% Luby's Cafeterias, Inc. ......................... 313,600 6,252,400 Sbarro, Inc. .................................... 248,500 6,895,875 ---------- 13,148,275 ---------- Non-Ferrous Metals -- 1.64% Phelps Dodge Corp. .............................. 60,000 5,111,250 ---------- Railroads and Shipping -- 3.62% Alexander & Baldwin, Inc. ....................... 280,500 7,328,063 Illinois Central Corp., Series A ................ 113,945 3,980,953 ---------- 11,309,016 ---------- Real Property -- 1.06% Amli Residential Properties Trust ............... 140,000 3,307,500 ---------- Retail -- 2.36% May Department Stores ........................... 72,500 3,425,625 Stanhome, Inc. VTG .............................. 120,000 3,945,000 ---------- 7,370,625 ---------- Telephone -- 2.95% GTE Corp. ....................................... 210,000 9,213,750 ---------- Tires and Rubber Goods -- 1.99% Bandag, Inc., Class A ........................... 125,400 6,105,412 Bandag, Inc. .................................... 2,100 102,900 ---------- 6,208,312 ---------- Tobacco -- 1.55% Loews Corp. ..................................... 48,300 4,836,037 ---------- 33 Travel & Recreation -- 2.19% National Health Investors, Inc. ................. 174,000 6,829,500 ----------- TOTAL COMMON STOCKS ................................. 263,684,040 ----------- (Cost $201,575,374) TOTAL INVESTMENTS ................................... $312,026,957 ============ (Cost $245,813,605) See Notes to Financial Statements.
34 Pegasus Growth Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Face Description Amount Market Value ----------- ------ ------------ TEMPORARY CASH INVESTMENT -- 2.56% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/1/97, (secured by U.S. Treasury obligations with maturities ranging from 8/15/97 through 2/15/97 at various interest rates ranging from 0.00% to 12.00%, all held at Chase Bank) ... $15,737,359 $15,737,359 ----------- (Cost $15,737,359) Shares ------ COMMON STOCKS -- 97.44% Banks -- 5.86% Norwest Corp. ................................... 290,000 16,312,500 MBNA Corp. ...................................... 260,000 9,522,500 State Street Boston Corp. ....................... 220,000 10,175,000 ---------- 36,010,000 ---------- Business Machines -- 10.49% Electronic Data Systems Corp. ................... 125,000 5,125,000 First Data Corp. ................................ 270,000 11,803,125 Microsoft Corp.* ................................ 240,000 30,330,000 Silicon Graphics* ............................... 405,000 6,075,000 Cisco System, Inc.* ............................. 165,000 11,075,625 ---------- 64,468,750 ---------- Business Services -- 5.51% Automatic Data Processing, Inc. ................. 250,000 11,750,000 Computer Associates International, Inc. ......... 210,000 11,694,375 Interpublic Group of Companies, Inc. ............ 170,000 10,423,125 ---------- 33,867,500 ---------- Chemicals -- 2.01% Praxair, Inc. ................................... 220,000 12,320,000 ---------- Construction -- 3.12% Fluor Corp. ..................................... 230,000 12,693,125 York International Corp. ........................ 140,000 6,440,000 ---------- 19,133,125 ---------- Consumer Durables -- 1.92% Newell Co. ...................................... 298,000 11,808,250 ---------- Containers -- 1.74% Crown Cork & Seal Co., Inc. ..................... 200,000 10,687,500 ---------- Drugs and Medicine -- 18.39% American Home Products Corp. .................... 100,000 7,650,000 Amgen, Inc.* .................................... 210,000 12,206,250 Columbia/HCA Healthcare Corp. ................... 369,000 14,506,312 Guidant Corp. ................................... 85,000 7,225,000 Johnson & Johnson ............................... 200,000 12,875,000 Mylan Laboratories, Inc. ........................ 430,000 6,342,500 Pall Corp. ...................................... 275,000 6,393,750 Pfizer, Inc. .................................... 100,000 11,950,000 Smithkline Beecham PLC ADR ...................... 200,000 18,325,000 35 Stryker Corp. ................................... 181,400 6,326,325 United Healthcare Corp. ......................... 176,000 9,152,000 ---------- 112,952,137 ----------- Electronics -- 7.18% Hewlett Packard Co. ............................. 200,000 11,200,000 Intel Corp. ..................................... 160,000 22,690,000 Lucent Technologies, Inc. ....................... 141,600 10,204,050 ----------- 44,094,050 ----------- Energy And Utilities -- 3.51% AES Corp.* ...................................... 134,800 9,537,100 Enron Corp. ..................................... 295,000 12,039,687 ----------- 21,576,787 ----------- Energy Raw Materials -- 3.18% Schlumberger,Ltd. ............................... 45,000 5,625,000 Western Atlas, Inc.* ............................ 190,000 13,917,500 ----------- 19,542,500 ----------- Food and Agriculture -- 1.53% PepsiCo,Inc. .................................... 250,000 9,390,625 ----------- Insurance -- 4.14% AFLAC, Inc. ..................................... 200,000 9,450,000 Unum Corp. ...................................... 380,000 15,960,000 ----------- 25,410,000 ----------- Media -- 1.20% Cabletron System, Inc.* ......................... 260,000 7,361,250 ----------- Miscellaneous & Conglomerates -- 2.65% Elan PLC ADR* ................................... 360,000 16,290,000 ----------- 27,365,625 ----------- Miscellaneous Finance -- 0.26% MGIC Investment Corp. ........................... 33,800 1,620,288 ----------- Non-Durables and Entertainment -- 6.12% Kimberly-Clark Corp. ............................ 220,000 10,945,000 Oracle Systems Corp.* ........................... 190,000 9,571,250 Service Corp. International ..................... 520,000 17,095,000 ----------- 37,611,250 ----------- Producer Goods -- 2.64% Illinois Tool Works, Inc. ....................... 325,000 16,229,688 ----------- Retail -- 4.66% Home Depot, Inc. ................................ 260,000 17,923,750 Walgreen Co. .................................... 200,000 10,725,000 ----------- 28,648,750 ----------- Soaps and Cosmetics -- 2.19% Procter & Gamble Co. ............................ 95,000 13,418,750 ----------- 36 Telephone -- 1.89% AirTouch Communications, Inc.* .................. 425,000 11,634,375 ----------- Tobacco -- 2.17% Philip Morris Companies,Inc. .................... 300,000 13,312,500 ----------- Travel and Recreation -- 5.08% Carnival Corp. Class A .......................... 395,000 16,293,750 Disney (Walt) Co. ............................... 85,000 6,821,250 Gaylord Entertainment Co. Class A ............... 349,550 8,061,497 ----------- 31,176,497 ----------- TOTAL COMMON STOCKS ................................. 598,564,572 ----------- (Cost $408,076,127) TOTAL INVESTMENTS ................................... $614,301,931 ============ (Cost $423,813,486) * Non-income producing security See Notes to Financial Statements.
37 Pegasus Mid-Cap Opportunity Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ TEMPORARY CASH INVESTMENT -- 3.09% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/1/97 (secured by various U.S. Treasury obligations with maturities ranging from 8/15/07 through 2/15/07 at various interest rates ranging from 0.00% to 12.00%, all held at Chase Bank) ... $27,563,629 $27,563,629 ----------- (Cost $27,563,629) Shares ------ COMMON STOCKS -- 96.91% Air Transport -- 1.27% Air Express International Corp. ................. 286,237 11,377,921 ---------- Apparel -- 1.72% Nine West Group, Inc.* .......................... 123,064 4,699,507 Tommy Hilfiger Corp* ............................ 264,052 10,611,590 ---------- 15,311,097 ---------- Banks -- 5.42% Charter One Financial, Inc. ..................... 399,604 21,528,665 First Tennessee National Corp. .................. 202,038 9,697,824 TCF Financial Corp. ............................. 347,010 17,133,619 ---------- 48,360,108 ---------- Business Machines -- 3.26% Comdisco, Inc. .................................. 525,348 13,659,048 Diebold, Inc. ................................... 164,180 6,403,020 Xilinx, Inc.* ................................... 184,422 9,048,204 ---------- 29,110,272 ---------- Business Services -- 6.10% C D I Corp.* .................................... 232,142 9,677,420 DST Systems, Inc.* .............................. 368,267 12,267,894 G & K Services, Inc. Class A .................... 133,664 4,978,984 Omnicom Group, Inc. ............................. 199,868 12,316,866 Sungard Data Systems, Inc.* ..................... 326,346 15,175,089 ---------- 54,416,253 ---------- Chemicals -- 0.80% RPM, Inc. ....................................... 388,422 7,137,254 ---------- Construction -- 2.27% Crane Co. ....................................... 484,879 20,274,003 ---------- Consumer Durables -- 2.13% Durakon Industries, Inc.* ....................... 239,700 2,277,150 Leggett & Platt, Inc. ........................... 389,057 16,729,451 ---------- 19,006,601 ---------- Containers -- 1.59% AptarGroup, Inc. ................................ 312,910 14,159,178 ---------- Drugs and Medicine -- 5.71% Amerisource Health Corp. A* ..................... 151,200 7,541,100 Health Care & Retirement* ....................... 328,370 10,959,349 38 Quorum Health Group, Inc.* ...................... 450,156 16,093,077 Sybron International Corp.* ..................... 411,341 16,402,222 ---------- 50,995,748 ---------- Electronics -- 8.85% Belden, Inc. .................................... 582,227 19,832,107 Dynatech Corp.* ................................. 327,789 11,718,457 KemetCorp.* ..................................... 484,194 12,044,326 Microchip Technology, Inc.* ..................... 236,922 7,048,430 Molex, Inc. Class A ............................. 331,181 11,549,937 Teradyne, Inc.* ................................. 428,018 16,799,707 ----------- 78,992,964 ----------- Energy Raw Materials -- 5.60% Apache Corp. .................................... 499,993 16,249,773 Noble Affiliates, Inc. .......................... 365,659 14,146,433 Smith International, Inc.* ...................... 181,924 11,051,883 Southwestern Energy Co. ......................... 654,955 8,514,415 ----------- 49,962,504 ----------- Insurance -- 4.95% Capital Re Corp. ................................ 328,436 17,571,326 CapMac Holdings, Inc ............................ 239,645 8,058,063 Transatlantic Holdings, Inc. .................... 187,354 18,594,884 ----------- 44,224,273 ----------- Media -- 1.41% Banta Corp. ..................................... 464,204 12,591,534 ----------- Miscellaneous and Conglomerates -- 6.71% Culligan Water Tech., Inc.* ..................... 169,792 7,598,192 Dentsply Int'l, Inc. ............................ 208,507 10,216,843 Greenfield Industries, Inc. ..................... 225,228 6,081,156 Health Management Association, Inc. Class A* .... 170,252 4,852,182 Littelfuse, Inc.* ............................... 479,080 13,534,010 Wolverine Tube, Inc.* ........................... 292,694 8,158,845 Water Corporation* .............................. 262,300 9,410,013 ----------- 59,851,241 ----------- Miscellaneous Finance -- 16.30% CMAC Investment Corp. ........................... 418,408 19,978,982 Edwards (A.G.), Inc. ............................ 384,748 16,447,977 Everest Reinsurance Holdings, Inc. .............. 541,223 21,445,961 Executive Risk, Inc. ............................ 294,199 15,298,348 FINOVA Group, Inc. .............................. 258,335 19,762,627 First Financial Corp. ........................... 435,353 12,788,494 Idex Corp. ...................................... 410,686 13,552,638 PMI Group, Inc. ................................. 295,891 18,456,201 Scotsman Industries, Inc. ....................... 270,711 7,715,263 ----------- 145,446,491 ----------- 39 Motor Vehicles -- 6.71% Borg Warner Automotive .......................... 432,739 23,394,952 Harley-Davidson, Inc. ........................... 346,822 16,625,780 Myers Industries, Inc. .......................... 356,423 6,014,638 Tower Automotive, Inc.* ......................... 323,087 13,892,741 ----------- 59,928,111 ----------- Non-Durables and Entertainment -- 1.29% Lancaster Colony Corp. .......................... 328,361 11,530,713 ----------- Non-Ferrous Metals -- 1.91% DT Industries, Inc. ............................. 476,232 17,025,294 ----------- Producer Goods -- 6.20% Federal Signal Corp. ............................ 161,809 4,065,451 Hubbell, Inc. Class B ........................... 363,595 15,998,180 Juno Lighting, Inc. ............................. 666,537 10,831,226 Teleflex, Inc. .................................. 358,812 11,212,875 TriMas Corp. .................................... 470,027 13,219,509 ----------- 55,327,241 ----------- Retail -- 4.80% Kohls Corp.* .................................... 176,791 9,358,874 Proffitts, Inc.* ................................ 418,009 18,340,145 Zale Corp.* ..................................... 765,452 15,165,518 ----------- 42,864,537 ----------- Travel and Recreation -- 1.91% Callaway Golf Co. ............................... 480,482 17,057,111 ----------- TOTAL COMMON STOCKS ................................. 864,950,448 ----------- (Cost $584,192,556) TOTAL INVESTMENTS ................................... $892,514,077 ============= (Cost $611,756,185) * Non-income producing security. See Notes to Financial Statements.
40 Pegasus Small-Cap Opportunity Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ TEMPORARY CASH INVESTMENT -- 3.30% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/1/97, (secured by various U.S. Treasury obligations with maturities ranging from 8/15/97 through 2/15/07 at various interest rates ranging from 0.00% to 12.00%, all held at Chase Bank) ... $5,902,955 $5,902,955 --------- (Cost $5,902,955) Shares ------ COMMON STOCKS -- 96.70% Apparel -- 1.01% Culp, Inc. ...................................... 100,000 1,812,500 --------- Business Machines -- 5.93% BDM International, Inc.* ........................ 80,000 1,840,000 Boole & Babbage, Inc. ........................... 55,450 1,178,313 Cort Business Services Corp.* ................... 156,400 4,613,800 Perceptron, Inc.* ............................... 110,000 2,983,750 ---------- 10,615,863 ---------- Business Services -- 3.79% Education Management Corp. ...................... 59,700 1,552,200 G & K Services, Inc., Class A ................... 26,700 994,575 Patterson Dental Co.* ........................... 65,000 2,230,313 RemedyTemp, Inc., Class A* ...................... 115,000 2,012,500 ---------- 6,789,588 ---------- Chemicals -- 1.62% Brady (W.H.) Co., Class A ....................... 100,000 2,900,000 ---------- Containers -- 1.75% Aptargroup, Inc. ................................ 69,200 3,131,300 ---------- Domestic Oil -- 0.98% Global Industries LTD* .......................... 75,000 1,751,948 ---------- Drugs & Medicine -- 9.37% Amerisource Health Corp., Class A* .............. 50,000 2,493,750 Arbor Health Care Co.* .......................... 65,000 2,015,000 Arrow International, Inc. ....................... 60,200 1,760,850 Chirex, Inc.* ................................... 150,000 1,781,250 EmCare Holdings, Inc.* .......................... 40,000 1,465,000 Marquette Medical Systems, Inc., Class A* ....... 115,000 2,530,000 Multicare Companies, Inc.* ...................... 110,000 3,011,250 Universal Health Services, Inc., Class B ........ 45,000 1,732,500 ---------- 16,789,600 ---------- Electronics -- 10.61% Allen Telecom, Inc.* ............................ 80,000 1,660,000 Altron, Inc.* ................................... 100,000 1,500,000 Belden, Inc. .................................... 95,000 3,235,937 Burr Brown Corp.* ............................... 80,000 2,760,000 DuPont Photomasks, Inc.* ........................ 60,000 3,240,000 Holphane Corp.* ................................. 120,000 2,400,000 41 Methode Electronics, Inc., Class A .............. 120,000 2,385,000 MTS Systems Corp. ............................... 60,000 1,830,000 ---------- 19,010,937 ---------- Energy Raw Materials -- 3.73% Doncasters Plc Adr* ............................. 100,000 2,312,500 Swift Energy Co.* ............................... 100,000 2,387,500 Unit Corp.* ..................................... 190,000 1,983,125 ---------- 6,683,125 ---------- Insurance -- 4.02% Capital RE Corp. ................................ 75,000 4,012,500 CapMac Holdings, Inc. ........................... 95,000 3,194,375 ---------- 7,206,875 ---------- Media -- 1.46% SPSS, Inc.* ..................................... 90,000 2,610,000 ---------- Miscellaneous & Conglomerates -- 17.41% Essex International, Inc.* ...................... 125,000 3,484,375 General Cable Corp.* ............................ 100,000 2,562,500 Greenfield Industries, Inc. ..................... 50,000 1,350,000 IHOP Corp.* ..................................... 55,000 1,705,000 Littelfuse, Inc.* ............................... 90,000 2,542,500 OmniQuip International, Inc.* ................... 180,000 4,162,500 Pameco Corp., Class A* .......................... 100,000 1,775,000 Panavision, Inc. ................................ 130,000 2,591,875 Racing Champions Corp.* ......................... 30,000 465,000 Robbins & Myers, Inc. ........................... 95,000 3,087,500 Rural Metro Corp.* .............................. 60,000 1,741,872 SBS Technologies, Inc.* ......................... 90,000 2,081,250 Stewart Enterprises, Inc., Class A .............. 50,000 2,100,000 Wolverine Tube, Inc.* ........................... 55,000 1,533,125 ---------- 31,182,497 ---------- Miscellaneous Finance -- 11.21% Arm Financial Group ............................. 70,000 1,400,000 BA Merchant Services, Inc. ...................... 100,000 1,906,250 CMAC Investment Corp. ........................... 76,400 3,648,100 Delta Financial Corp. ........................... 75,000 1,434,375 Executive Risk, Inc. ............................ 55,000 2,860,000 First Financial Corp. ........................... 105,550 3,100,531 Idex Corp. ...................................... 84,000 2,772,000 Triad Guaranty, Inc.* ........................... 65,000 2,949,375 ----------- 20,070,631 ----------- Motor Vehicles -- 5.96% Borg Warner Automotive, Inc. .................... 75,000 4,054,687 Control Devices, Inc. ........................... 170,000 2,167,500 Dura Automotive Systems, Inc. ................... 100,000 2,800,000 Excel Industries, Inc. .......................... 85,000 1,657,500 ----------- 10,679,687 ----------- 42 Non-Ferous Metals -- 2.10% DT Industries, Inc. ............................. 105,000 3,753,750 ----------- Optical Photographic Equipment -- 0.51% II-VI Inc.* ..................................... 43,600 915,600 ----------- Producer Goods -- 4.10% Kuhlman Corp. ................................... 75,000 2,418,750 SPS Technologies, Inc.* ......................... 45,000 3,183,750 Watsco, Inc. .................................... 70,000 1,750,000 ----------- 7,352,500 ----------- Retail -- 8.94% Mens Warehouse, Inc.* ........................... 115,000 3,622,500 99 Cents Only Stores* ........................... 115,000 3,464,375 Pluma, Inc.* .................................... 220,000 3,382,500 Proffitts, Inc.* ................................ 90,000 3,948,750 Zale Corp.* ..................................... 80,000 1,585,000 ----------- 16,003,125 ----------- Soaps & Cosmetics -- 1.04% Alberto Culver Co., Class A ..................... 80,000 1,865,000 ----------- Trucking & Freight -- 1.16% US Freightways Corp. ............................ 80,000 2,070,000 ----------- TOTAL COMMON STOCKS ................................. 173,194,526 ----------- (Cost $134,104,497) TOTAL INVESTMENTS ................................... $179,097,481 ============ (Cost $140,007,452) * Non-income producing security. See Notes to Financial Statements.
43 Pegasus Intrinsic Value Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ TEMPORARY CASH INVESTMENT -- 1.18% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/1/97 (secured by various U.S. Treasury obligations with maturities ranging from 08/15/97 through 2/15/07 at various interest rates ranging from 0.00% to 12.00%, all held at Chase Bank) ... $ 5,779,495 $ 5,779,495 --------- (Cost $5,779,495) CONVERTIBLE BONDS -- 12.12% Consolidated Natural Gas Co., 7.25%, 12/15/15 ..... 4,670,500 4,979,921 Costco Wholesale Corp., 5.75%, 5/15/02 ............ 14,801,000 15,115,521 Hasbro Inc., 6.00%, 11/15/98 ...................... 1,976,000 2,931,890 Leucadia National Corp., 5.25% 2/1/03 ............. 9,526,857 10,348,548 Nac Re Corp., 5.25%, 12/15/02 ..................... 16,384,560 18,330,227 Potomac Electric Power Co., 5.00%, 9/01/02 ........ 8,334,000 7,688,115 ---------- (Cost $55,267,702) 59,394,222 ---------- Shares ------ NON-CONVERTIBLE PREFERRED -- 1.10% Finance -- 1.10% Salomon Inc., 7.625% Preferred .................. 153,392 5,387,894 ---------- (Cost $4,307,714) COMMON STOCKS -- 85.60% Aerospace-- 4.84% Lockheed Martin Corp. ........................... 229,170 23,733,418 ---------- Apparel -- 7.00% Payless Shoesource, Inc.* ....................... 392,106 21,443,297 Unifi, Inc. ..................................... 343,655 12,844,106 ---------- 34,287,403 ---------- Banks -- 3.37% Mercantile Bankshares Corp. ..................... 134,306 5,372,240 Pacific Century Financial Corp. ................. 240,614 11,128,398 ---------- 16,500,638 ---------- Business Services -- 1.21% Grey Advertising, Inc. .......................... 17,996 5,938,680 ---------- Chemicals -- 2.66% NCH Corp. ....................................... 208,711 13,044,438 ---------- Consumer Durables -- 0.89% National Presto Industries, Inc. ................ 108,736 4,383,420 ---------- Domestic Oil -- 4.04% Atlantic Richfield Co. .......................... 71,026 5,007,333 MAPCO, Inc. ..................................... 469,681 14,794,952 ---------- 19,802,285 ---------- Drugs and Medicine -- 3.83% Block Drug, Inc., Class A ....................... 123,666 5,410,388 Mid Ocean Ltd. .................................. 254,743 13,358,086 ---------- 18,768,474 ---------- 44 Energy and Utilities -- 6.20% Equitable Resources, Inc. ....................... 130,885 3,713,862 Sierra Pacific Resources ........................ 342,090 10,946,880 SJW Corp. ....................................... 6,519 342,247 Southwest Gas Corporation ....................... 143,100 2,844,112 St. Joeseph Light & Power Co. ................... 89,095 1,458,931 Washington Water Power Co. ...................... 565,145 11,090,970 ---------- 30,397,002 ---------- Energy Raw Materials -- 1.78% Ashland Coal, Inc. .............................. 305,888 8,717,808 ---------- Food and Agriculture -- 1.74% Farmer Brothers Co. ............................. 67,320 8,549,640 ---------- Insurance -- 15.54% Allmerica Property & Casualty Co. ............... 404,220 13,238,205 AMBAC, Inc. ..................................... 77,870 5,947,321 American National Insurance Co. ................. 96,871 8,645,736 Citizens Corp. .................................. 448,855 12,399,619 Financial Security Assurance Holdings ........... 226,479 8,818,526 Old Republic International Corp. ................ 555,594 16,841,443 RLI Corp. ....................................... 15,500 564,781 Safeco Corp. .................................... 207,461 9,685,835 ---------- 76,141,466 ---------- International Oil -- 0.84% Amoco Corp. ..................................... 47,304 4,112,492 ---------- Miscellaneous and Conglomerates -- 2.87% Guiness Plc Adr ................................. 287,239 14,054,719 ---------- Miscellaneous Finance -- 8.36% Federal National Mortgage Association ........... 379,657 16,562,536 Fund American Enterprises Holdings, Inc. ........ 219,790 23,077,950 Leucadia National Corp. ......................... 42,355 1,310,358 ---------- 40,950,844 ---------- Motor Vehicles -- 0.79% Ford Motor Co. .................................. 102,156 3,856,389 ---------- Non-Durables and Entertainment -- 5.42% Hasbro, Inc. .................................... 201,220 5,709,618 Lubys Cafeterias, Inc. .......................... 470,066 9,371,941 Sbarro, Inc. .................................... 413,219 11,466,827 ---------- 26,548,386 ---------- Producer Goods -- 0.36% Tennant Co. ..................................... 52,586 1,748,485 ---------- Railroads and Shipping -- 3.41% Alexander & Baldwin, Inc. ....................... 450,553 11,770,697 Illinois Central Corp. Series A ................. 141,921 4,958,365 ---------- 16,729,062 ---------- 45 Retail -- 2.82% Stanhome, Inc., ................................. 257,416 8,462,551 May Department Stores Co. ....................... 113,700 5,372,325 ---------- 13,834,876 ---------- Tires and Rubber Goods -- 2.96% Bandag, Inc. Class A ............................ 295,788 4,401,178 Bandag, Inc. .................................... 1,976 96,824 ---------- 14,498,002 ---------- Tobacco -- 4.67% Loews Corp. ..................................... 228,680 22,896,585 ----------- TOTAL COMMON STOCKS ................................. 419,494,512 ----------- (Cost $332,860,529) TOTAL INVESTMENTS ................................... $490,056,123 ============ (Cost $398,215,440) * Non-income producing security. See Notes to Financial Statements.
46 Pegasus Growth and Value Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ TEMPORARY CASH INVESTMENT -- 2.73% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/1/97 (secured by U.S. Treasury obligations with marturities ranging from 8/15/97 through 2/15/07 at various interest rates ranging from 0.00% to 12.00%, all held at Chase Bank) ... $26,381,758 $26,381,758 ----------- (Cost $26,381,758) Shares ------ COMMON STOCKS -- 97.27% Aerospace -- 1.78% Boeing Co. ...................................... 324,000 17,192,250 ---------- Apparel -- 1.76% Russell Corp. ................................... 572,000 16,945,500 ---------- Banks -- 5.46% BankAmerica Corp. ............................... 278,000 17,948,375 Barnett Banks, Inc. ............................. 203,000 10,657,500 Norwest Corp. ................................... 428,000 24,075,000 ---------- 52,680,875 ---------- Business Machines -- 2.56% Electronic Data Systems Corp. ................... 602,000 24,682,000 ---------- Business Services -- 5.82% Auto Data Processing, Inc. ...................... 409,000 19,223,000 Deluxe Corp. .................................... 652,000 22,249,500 Waste Management, Inc. .......................... 456,000 14,649,000 ---------- 56,121,500 ---------- Chemicals -- 3.52% Great Lakes Chemical Corp. ...................... 191,000 10,003,625 Sigma-Aldrich Corp. ............................. 682,000 23,912,625 ---------- 33,916,250 ---------- Construction -- 5.76% Fluor Corp. ..................................... 254,000 14,017,625 Masco Corp. ..................................... 471,000 19,664,250 York International Corp. ........................ 476,000 21,896,000 ---------- 55,577,875 ---------- Consumer Durables -- 2.11% Rubbermaid, Inc. ................................ 685,000 20,378,750 ---------- Containers -- 2.07% Crown Cork & Seal Co., Inc. ..................... 374,000 19,985,625 ---------- Drugs and Medicine -- 9.20% Abbott Laboratories Corp. ....................... 354,000 23,629,500 Bristol-Myers Squibb Co. ........................ 418,000 33,858,000 Schering-Plough Corp. ........................... 654,000 31,310,250 ---------- 88,797,750 ---------- 47 Electronics -- 7.93% AMP, Inc. ....................................... 560,000 23,380,000 Hewlett Packard Co. ............................. 321,000 17,976,000 Lucent Technologies, Inc. ....................... 177,000 12,755,063 Motorola, Inc. .................................. 294,000 22,344,000 ---------- 76,455,063 ---------- Energy and Utilities -- 8.55% Enron Corp. ..................................... 426,000 17,386,125 FPL Group Inc. .................................. 468,000 21,557,250 MCN Corp. ....................................... 746,500 22,861,563 Pinnacle West Capital Corp. ..................... 687,000 20,652,937 ---------- 82,457,875 ---------- Energy Raw Materials -- 2.50% Schlumberger Ltd. ............................... 193,000 24,125,000 ---------- Food and Agriculture -- 9.86% ConAgra, Inc. ................................... 391,000 25,072,875 CPC International, Inc. ......................... 261,000 24,093,563 PepsiCo, Inc. ................................... 687,000 25,805,437 Sysco Corp. ..................................... 551,000 20,111,500 ---------- 95,083,375 ---------- Insurance -- 3.68% American International Group, Inc. .............. 105,000 15,684,375 Chubb Corp. ..................................... 297,000 19,861,875 ---------- 35,546,250 ---------- International Oil -- 2.02% British Petroleum PLC ADR ....................... 259,770 19,450,279 ---------- Liquor -- 2.22% Anheuser-Busch Companies, Inc. .................. 510,000 21,388,125 ---------- Media -- 4.41% Gannett Co., Inc. ............................... 185,000 18,268,750 Washington Post Co. Class B ..................... 61,000 24,278,000 ---------- 42,546,750 ---------- Miscellaneous & Conglomerates -- 2.49% Cognizant Corp. ................................. 592,000 23,976,000 ---------- Miscellaneous Finance -- 1.70% PMI Group, Inc. ................................. 263,000 16,404,625 ---------- Non-Durables and Entertainment -- 1.92% Kimberly-Clark Corp. ............................ 373,000 18,556,750 ---------- Producer Goods -- 2.40% Dover Corp. ..................................... 377,000 23,185,500 ---------- 48 Retail -- 4.10% Nordstrom, Inc. ................................. 490,000 24,040,625 Toys R Us* ...................................... 443,000 15,505,000 ---------- 39,545,625 ---------- Telephone -- 3.45% Century Telephone Enterprises, Inc. ............. 495,000 16,675,313 MCI Communications Corp. ........................ 435,000 16,652,322 ---------- 33,327,635 ------------ TOTAL COMMON STOCKS ................................. 938,327,226 ----------- (Cost $675,300,618) TOTAL INVESTMENTS ................................... $964,708,984 ============ (Cost $700,886,627) * Non-income producing security. See Notes to Financial Statements.
49 Pegasus Equity Index Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ TEMPORARY CASH INVESTMENT -- 0.10% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/1/97 (secured by various U.S. Treasury obligations with maturities ranging from 8/15/97 through 2/15/07 at various interest rates ranging from 0.00% to 12.00%, all held at Chase Bank) ... $ 784,442 $ 784,442 ---------- (COST $784,442) Shares ------ COMMON STOCKS -- 99.90% Aerospace -- 2.16% Boeing Co. ...................................... 78,808 4,181,750 General Dynamics Corp. .......................... 9,041 678,075 Lockheed Martin Corp. ........................... 21,247 2,200,392 McDonnell Douglas Corp. ......................... 25,346 1,736,201 Northrop Grumman Corp. .......................... 5,668 497,721 Raytheon Co. .................................... 25,596 1,305,396 Rockwell International Corp. .................... 24,874 1,467,566 Textron, Inc. ................................... 18,048 1,197,936 TRW, Inc. ....................................... 15,942 905,705 United Technologies Corp. ....................... 25,164 2,088,612 ---------- 16,259,354 ---------- Air Transport -- 0.41% AMR Corp.* ...................................... 9,148 846,190 Delta Air Lines, Inc. ........................... 8,935 732,670 Federal Express Corp.* .......................... 10,809 624,220 Southwest Airlines Co. .......................... 20,953 542,159 US Airways Group, Inc.* ......................... 9,100 318,500 ---------- 3,063,739 ---------- Apparel -- 0.49% Fruit of the Loom, Inc., Class A* ............... 8,497 263,407 Liz Claiborne, Inc. ............................. 5,553 258,909 Nike, Inc., Class B ............................. 32,790 1,914,116 Reebok International Ltd. ....................... 6,193 289,523 Stride Rite Corp. ............................... 31,537 406,039 V.F. Corp. ...................................... 6,227 527,738 ---------- 3,659,732 ---------- Banks -- 8.00% Banc One Corp. .................................. 46,576 2,256,025 Bank of Boston Corp. ............................ 16,796 1,210,362 The Bank of New York Co., Inc. .................. 41,443 1,802,770 BankAmerica Corp. ............................... 79,480 5,131,428 Bankers Trust New York Corp. .................... 8,060 701,220 Barnett Banks, Inc. ............................. 19,751 1,036,928 Chase Manhattan Corp. ........................... 48,403 4,698,116 Citicorp ........................................ 51,056 6,155,439 Comerica, Inc. .................................. 13,393 910,724 Corestates Financial Corp. ...................... 23,736 1,275,810 Dean Witter, Discover & Co. ..................... 65,100 2,803,369 50 First Bank System, Inc. ......................... 14,804 1,263,892 First Chicago NBD Corp. ......................... 34,501 2,087,310 First Union Corp. ............................... 31,226 2,888,405 Fleet Financial Group, Inc. ..................... 28,149 1,780,424 Fifth Third Bancorp ............................. 10,741 881,097 J.P Morgan and Co., Inc. ........................ 20,177 2,105,974 Keycorp ......................................... 24,841 1,387,991 MBNA Corp. ...................................... 36,594 1,340,255 Mellon Bank Corp. ............................... 29,600 1,335,700 Norwest Corp. ................................... 39,316 2,211,525 NationsBank Corp. ............................... 80,698 5,205,021 National City Corp. ............................. 21,905 1,150,013 PNC Bank Corp. .................................. 37,920 1,578,420 Republic NY Corp. ............................... 6,691 719,283 Suntrust Banks, Inc. ............................ 24,492 1,348,591 U.S. Bancorp .................................... 18,337 1,175,860 Wachovia Corp. .................................. 18,053 1,052,716 Wells Fargo & Co. ............................... 10,450 2,816,275 ---------- 60,310,943 ---------- Business Machines -- 6.32% AutoDesk, Inc. .................................. 8,200 314,163 Bay Networks, Inc.* ............................. 18,433 489,626 Ceridian Corp.* ................................. 7,345 310,326 Cisco System, Inc.* ............................. 72,374 4,858,105 Compaq Computer Corp.* .......................... 30,341 3,011,344 Dell Computer Corp.* ............................ 20,161 2,367,657 Digital Equipment Corp.* ........................ 16,379 580,431 DSC Communications Corp.* ....................... 12,900 287,025 Honeywell, Inc. ................................. 14,096 1,069,534 International Business Machines Corp. ........... 109,972 9,918,100 Microsoft Corp.* ................................ 134,143 16,952,321 Novell, Inc.* ................................... 32,170 223,179 Pitney Bowes, Inc. .............................. 18,448 1,282,136 Seagate Technology* ............................. 27,865 980,499 Silicon Graphics* ............................... 15,729 235,935 Sun Microsystems, Inc.* ......................... 39,267 1,461,466 Tandem Computers, Inc.* ......................... 20,900 423,225 Xerox Corp. ..................................... 36,335 2,865,923 ---------- 47,630,995 ---------- Business Services -- 1.92% Allergan, Inc. .................................. 9,200 292,675 Automatic Data Processing, Inc. ................. 31,779 1,493,613 Block (H.& R.), Inc. ............................ 8,057 259,838 Browning-Ferris Industries, Inc. ................ 21,635 719,364 Computer Associates internatinal, Inc. .......... 40,902 2,277,730 Computer Sciences Corp* ......................... 7,676 553,632 Deluxe Corp. .................................... 8,215 280,336 Dun & Bradstreet Corp. .......................... 18,167 476,884 51 Ecolab, Inc. .................................... 11,194 534,514 Equifax, Inc. ................................... 16,600 617,313 First Data Corp. ................................ 48,529 2,132,243 Harland (John H.) Co. ........................... 12,385 282,532 Interpublic Group of Companies, Inc. ............ 8,088 495,896 Laidlaw Inc., Class B ........................... 34,015 469,832 Moore Corp. Ltd. ................................ 16,725 329,273 National Service Industries, Inc. ............... 5,761 280,489 U.S. West Media Group* .......................... 69,144 1,400,166 Waste Management, Inc. .......................... 50,275 1,615,084 ---------- 14,511,414 ---------- Chemicals -- 3.27% Air Products & Chemicals, Inc. .................. 11,190 909,188 Dow Chemical Co. ................................ 27,321 2,380,342 DuPont (E I) de Nemours & Co., Inc. ............. 123,582 7,770,218 Grace (W.R.) & Co. .............................. 9,445 520,656 Great Lakes Chemical Corp. ...................... 8,546 447,597 Hercules, Inc. .................................. 14,810 709,029 Minnesota Mining and Manufacturing Co. .......... 46,893 4,783,086 Monsanto Co. .................................... 67,511 2,907,192 Morton International, Inc. ...................... 13,635 411,607 PPG Industries, Inc. ............................ 20,140 1,170,637 Praxair, Inc. ................................... 17,003 952,168 Rohm & Haas Co. ................................. 6,141 553,073 Sigma-Aldrich Corp. ............................. 11,005 385,863 Union Carbide Corp. ............................. 16,045 755,117 ---------- 24,655,773 ---------- Construction -- 0.44% Armstrong World Industries, Inc. ................ 4,556 334,297 Centex Corp. (with warrants to purchase interest in CDC L.P. Class B units and shares of 3333 Holdings Corp) ............. 6,612 268,612 Fluor Corp. ..................................... 8,470 467,438 Kaufman & Broad Home Corp. ...................... 20,233 355,342 Masco Corp. ..................................... 14,697 613,600 Owens-Corning Fiberglas Corp. ................... 8,129 350,563 Pulte Corp. ..................................... 4,465 154,322 Sherwin Williams Co. ............................ 15,416 475,969 Stanley Works ................................... 7,117 284,680 ---------- 3,304,823 ---------- Consumer Durables -- 0.35% Black & Decker Corp. ............................ 10,929 406,422 Jostens, Inc. ................................... 11,665 312,039 Maytag Corp. .................................... 11,800 308,275 Newell Co. ...................................... 16,158 640,261 Rubbermaid, Inc. ................................ 16,441 489,120 Whirlpool Corp. ................................. 8,355 455,869 ---------- 2,611,986 ---------- 52 Containers -- 0.14% Ball Corp. ...................................... 3,457 103,926 Crown Cork & Seal Co., Inc. ..................... 13,130 701,634 Stone Container Corp. ........................... 17,556 251,270 ---------- 1,056,830 ---------- Domestic Oil -- 1.19% Amerada Hess Corp. .............................. 8,560 475,615 Ashland Oil, Inc. ............................... 8,240 382,130 Atlantic Richfield Co. .......................... 34,960 2,464,680 Kerr-McGee Corp. ................................ 4,408 279,357 Oryx Energy Co.* ................................ 14,900 314,763 Pennzoil Co. .................................... 7,062 542,009 Phillips Petroleum Co. .......................... 29,271 1,280,606 Sun Co., Inc. ................................... 9,600 297,600 Union Pacific Resources Group ................... 33,906 843,411 Unocal Corp. .................................... 29,993 1,164,103 USX-Marathon Group .............................. 31,654 914,009 ---------- 8,958,283 ---------- Drugs and Medicine -- 11.22% Abbott Laboratories ............................. 85,599 5,713,733 ALZA Corp.* ..................................... 9,600 278,400 American Home Products Corp. .................... 70,310 5,378,715 Amgen, Inc.* .................................... 28,792 1,673,535 Bausch & Lomb, Inc. ............................. 6,800 320,450 Bard C R, Inc. .................................. 8,500 308,656 Baxter International, Inc. ...................... 31,385 1,639,866 Becton Dickinson & Co. .......................... 14,362 727,076 Biomet, Inc. .................................... 15,200 283,100 Bristol-Myers Squibb Co. ........................ 110,416 8,943,696 Columbia/HCA Healthcare Corp. ................... 77,833 3,059,810 Guidant Corp. ................................... 8,209 697,765 Healthsouth Corp.* .............................. 35,138 876,254 Humana, Inc.* ................................... 17,137 396,293 Johnson & Johnson ............................... 146,818 9,451,409 Lilly (Eli) & Co. ............................... 60,788 6,644,888 Mallinckrodt Group, Inc. ........................ 7,538 286,444 Manor Care, Inc. ................................ 9,600 313,200 Medtronic, Inc. ................................. 26,952 2,183,112 Merck & Co., Inc. ............................... 134,374 13,907,709 Pall Corp. ...................................... 12,129 281,999 Pfizer, Inc. .................................... 73,488 8,781,816 Pharmacia & Upjohn Co. .......................... 59,708 2,074,853 St. Jude Medical, Inc.* ......................... 8,137 317,343 Schering-Plough Corp. ........................... 82,812 3,964,625 Tenet Healthcare Corp.* ......................... 33,462 989,220 53 United Healthcare Corp. ......................... 19,225 999,700 United States Surgical Co. ...................... 9,200 342,700 Warner Lambert Co. .............................. 29,763 3,698,053 ---------- 84,534,420 ---------- Electronics -- 6.05% 3Com Corp.* ..................................... 36,689 1,651,005 Advanced Micro Devices, Inc.* ................... 16,022 576,792 AMP, Inc. ....................................... 23,240 970,270 Andrew Corp.* ................................... 12,000 337,500 Boston Scientific Corp.* ........................ 19,466 1,195,942 EMC Corp.* ...................................... 27,937 1,089,543 General Signal Corp. ............................ 6,700 292,288 General Instrument Corp.* ....................... 11,161 279,025 Harris Corp. .................................... 5,406 454,104 Hewlett-Packard Co. ............................. 114,555 6,415,080 Intel Corp. ..................................... 91,495 12,975,134 Johnson Controls, Inc. .......................... 9,804 402,577 LSI Logic Corp.* ................................ 15,985 511,520 Lucent Technologies, Inc. ....................... 71,414 5,146,271 Micron Technology, Inc. ......................... 23,749 948,475 Motorola, Inc. .................................. 66,101 5,023,676 National Semiconductor Corp.* ................... 15,132 463,418 Northern Telecom Ltd. ........................... 28,373 2,581,943 Parametric Technology Corp. ..................... 14,000 595,875 Perkin Elmer Corp. .............................. 6,969 554,471 Raychem Corp. ................................... 5,603 416,723 Thermo Electron Corp.* .......................... 16,777 576,709 Texas Instruments, Inc. ......................... 21,693 1,823,568 Thomas & Betts Corp. ............................ 6,000 315,375 ---------- 45,597,284 ---------- Energy and Utilities -- 3.15% American Electric Power Co., Inc. ............... 20,280 851,760 Baltimore Gas & Electric Co. .................... 17,663 471,381 Carolina Power & Light Co. ...................... 16,718 599,758 Central & SouthWest Corp. ....................... 20,293 431,226 CINergy Corp. ................................... 15,367 534,964 Coastal Corp. ................................... 10,572 562,298 Columbia Gas System, Inc. ....................... 7,993 521,543 Consolidated Edison Co. of New York, Inc. ....... 26,877 791,192 Consolidated Natural Gas Co. .................... 9,603 516,761 Dominion Resources, Inc. ........................ 20,419 747,846 DTE Energy, Inc. ................................ 15,571 430,149 Duke Power Co. .................................. 39,188 1,878,575 Edison International ............................ 47,428 1,179,771 Enron Corp. ..................................... 27,583 1,125,731 Enserch Corp. ................................... 13,800 307,050 Entergy Corp. ................................... 29,924 819,170 FPL Group, Inc. ................................. 21,280 980,210 54 General Public Utilities Corp. .................. 13,640 489,335 Houston Industries, Inc. ........................ 32,902 705,336 Nicor, Inc. ..................................... 8,000 287,000 Noram Energy, Inc. .............................. 16,273 248,163 Northern States Power Co. ....................... 7,451 385,589 ONEOK, Inc. ..................................... 5,300 170,594 Ohio Edison Co. ................................. 16,491 359,710 PP&L Resources, Inc. ............................ 21,745 433,541 Pacific Enterprises ............................. 5,882 197,782 Pacific Gas & Electric Co. ...................... 52,151 1,264,662 PacifiCorp ...................................... 31,880 701,360 PECO Energy Co. ................................. 23,809 499,989 Public Service Enterprise Group, Inc. ........... 23,597 589,925 Sonat, Inc. ..................................... 10,691 547,914 Southern Co. .................................... 71,819 1,571,041 Texas Utilities Co. ............................. 24,549 845,406 Unicom Corp. .................................... 23,024 512,284 Union Electric Co. .............................. 12,821 483,191 Williams Companies, Inc. ........................ 15,222 665,963 ---------- 23,708,170 ---------- Energy Raw Materials -- 1.26% Baker Hughes, Inc. .............................. 15,450 597,722 Barricks Gold Corp. ............................. 38,235 841,170 Burlington Resources, Inc. ...................... 11,774 519,528 Dresser Industries, Inc. ........................ 19,462 724,959 Halliburton Co. ................................. 14,054 1,113,780 Helmerich & Payne, Inc. ......................... 8,137 468,894 Occidental Petroleum Corp. ...................... 37,520 940,345 Rowan Companies, Inc.* .......................... 15,553 438,400 Schlumberger Ltd. ............................... 27,487 3,435,875 Western Atlas, Inc.* ............................ 5,727 419,503 ---------- 9,500,176 ---------- Food and Agriculture -- 6.10% Archer Daniels Midland Co. ...................... 61,940 1,455,590 Cardinal Health Inc. ............................ 12,100 692,725 Campbell Soup Co. ............................... 51,986 2,599,300 Coca-Cola Co. ................................... 277,419 18,725,783 ConAgra, Inc. ................................... 26,079 1,672,315 CPC International, Inc. ......................... 15,615 1,441,460 Darden Restaurants, Inc. ........................ 37,561 340,397 General Mills, Inc. ............................. 17,041 1,109,795 Heinz (H.J.) Co. ................................ 38,896 1,794,078 Hershey Foods Corp. ............................. 16,857 932,403 Kellogg Co. ..................................... 23,572 2,018,353 PepsiCo, Inc. ................................... 172,243 6,469,877 Pioneer Hi-Bred International, Inc. ............. 9,739 779,120 Quaker Oats Co. ................................. 13,800 619,275 Ralston-Purina Group ............................ 13,177 1,082,985 55 Sara Lee Corp. .................................. 55,509 2,310,562 Sysco Corp. ..................................... 24,140 881,110 Whitman Corp. ................................... 11,800 283,200 Wrigley (Wm.) Jr Co. ............................ 11,762 788,054 ---------- 45,996,382 ---------- Gold -- 0.10 % Battle Mountain Gold Co. ........................ 23,473 133,502 Homestake Mining Co. ............................ 14,681 191,771 Placer Dome, Inc. ............................... 27,977 458,123 ---------- 783,396 ---------- Insurance -- 3.35% Allstate Corp. .................................. 49,710 3,628,830 American General Corp. .......................... 27,019 1,290,173 American International Group, Inc. .............. 51,436 7,683,253 AON Corp. ....................................... 18,253 944,593 Chubb Corp. ..................................... 17,534 1,172,586 CIGNA Corp. ..................................... 7,816 1,387,340 General Re Corp. ................................ 9,795 1,782,690 ITT Hartford Group, Inc. ........................ 12,002 993,166 Jefferson-Pilot Corp. ........................... 6,463 451,602 Lincoln National Corp. .......................... 11,498 740,184 Marsh & McLennan Companies, Inc. ................ 17,928 1,279,611 SAFECO Corp. .................................... 12,451 581,306 St. Paul Companies .............................. 11,161 851,026 Torchmark Corp. ................................. 9,429 671,816 Transamerica Corp. .............................. 6,815 637,628 UNUM Corp. ...................................... 19,298 810,516 USF&G Corp. ..................................... 13,609 326,616 ---------- 25,232,936 ---------- International Oil -- 6.53% Amoco Corp. ..................................... 57,122 4,966,044 Chevron Corp. ................................... 71,912 5,316,993 Exxon Corp. ..................................... 274,540 16,884,210 Mobil Corp. ..................................... 87,924 6,143,690 Royal Dutch Petroleum Co., N.Y. Registry ........ 236,240 12,697,900 Texaco, Inc. .................................... 29,689 3,228,679 ---------- 49,237,516 ---------- Liquor -- 0.58% Anheuser-Busch Companies, Inc. .................. 54,233 2,274,396 Brown Forman Corp. Class B ...................... 10,768 525,613 Seagram Co. Ltd. ................................ 39,428 1,586,977 ---------- 4,386,986 ---------- Media -- 1.67% Adobe System, Inc. .............................. 8,000 280,500 Cabletron System, Inc.* ......................... 16,806 475,820 Comcast Corp. Class A Special ................... 32,185 687,954 56 Donnelley (R.R.) & Sons Co. ..................... 14,361 525,971 Dow Jones & Co., Inc. ........................... 10,552 424,059 Gannett Co., Inc. ............................... 17,741 1,751,924 Knight-Ridder, Inc. ............................. 12,559 616,176 McGraw Hill Companies, Inc. ..................... 9,911 582,891 New York Times Co. Class A ...................... 13,915 688,793 Tele-Communications, Inc. Class A* .............. 69,863 1,039,212 Time Warner, Inc. ............................... 63,990 3,087,517 Times Mirror Co. Class A ........................ 10,951 605,043 Tribune Co. ..................................... 12,467 599,195 Viacom, Inc. Class B Non-Voting* ................ 39,626 1,188,781 ---------- 12,553,836 ---------- Miscellaneous and Conglomerates -- 0.38% Aegon NV NTFL5 .................................. 1 66 Case Corp. ...................................... 6,265 431,502 Cognizant Corp. ................................. 18,167 735,763 Eastman Chemical Co. ............................ 8,252 524,002 ITT Corp.* ...................................... 11,858 724,079 ITT Industries, Inc. ............................ 17,186 442,540 ---------- 2,857,952 ---------- Miscellaneous Finance -- 3.65% Aetna, Inc. ..................................... 16,312 1,669,941 Ahmanson (H.F.) & Co. ........................... 9,453 406,479 American Express Co. ............................ 52,022 3,875,639 Beneficial Corp. ................................ 7,157 508,594 Countrywide Credit Industry ..................... 11,500 358,656 Federal Home Loan Mortgage Corp. ................ 77,662 2,669,631 Federal National MTG Assn. ...................... 120,478 5,255,853 Golden West Financial Corp. ..................... 6,635 464,450 Great Western Financial Corp. ................... 14,925 802,219 Greentree Financial Corp. ....................... 14,689 523,296 Household International, Inc. ................... 11,776 1,382,944 MBIA, Inc. ...................................... 5,041 568,687 Merrill Lynch & Co., Inc. ....................... 35,652 2,125,751 MGIC Investment Corp. ........................... 12,386 593,754 Providian Financial Corp. ....................... 11,231 360,796 Schwab Charles Corp. ............................ 19,300 785,269 Salomon, Inc. ................................... 11,971 665,887 Travelers, Inc. ................................. 71,836 4,530,158 ---------- 27,548,004 ---------- Motor Vehicles -- 2.02% Autozone, Inc.* ................................. 16,849 397,005 Chrysler Corp. .................................. 80,806 2,651,446 Cummins Engine Co., Inc. ........................ 4,900 345,756 Dana Corp. ...................................... 11,898 452,124 Eaton Corp. ..................................... 8,305 725,130 Fleetwood Enterprises ........................... 9,505 283,368 Ford Motor Co. .................................. 132,359 4,996,552 57 General Motors Corp. ............................ 85,784 4,777,097 Genuine Parts Co. ............................... 18,165 615,339 ---------- 15,243,817 ---------- Non-Durables and Entertainment -- 2.01% American Greetings Corp. Class A ................ 8,425 312,779 CUC International, Inc.* ........................ 44,371 1,145,326 Harcourt General, Inc. .......................... 7,111 338,661 Hasbro, Inc. .................................... 11,511 326,625 Kimberly-Clark Corp. ............................ 63,098 3,139,126 Mattel, Inc. .................................... 28,507 965,675 McDonalds Corp. ................................. 77,605 3,749,292 Oracle Systems Corp.* ........................... 75,990 3,827,996 Service Corp. International ..................... 31,789 1,045,063 Wendy's International, Inc. ..................... 12,594 326,657 ---------- 15,177,200 ---------- Non-Ferrous Metals -- 0.91% Alcan Aluminum Ltd. ............................. 22,182 769,438 Allegheny Teledyne, Inc. ........................ 18,840 508,680 Aluminum Co. of America ......................... 18,969 1,429,788 Asarco, Inc. .................................... 10,081 308,731 Cyprus Amax Mineral Co. ......................... 13,078 320,411 Engelhard Corp. ................................. 17,991 376,687 Freeport McMoran Copper Class B ................. 23,905 744,043 Inco Limited .................................... 18,558 557,900 Newmont Mining Corp. ............................ 18,815 733,785 Phelps Dodge Corp. .............................. 6,738 573,993 Reynolds Metals Co. ............................. 7,160 510,150 ---------- 6,833,606 ---------- Optical Photographic Equipment -- 0.60% Corning Inc. .................................... 28,111 1,563,674 Eastman Kodak Co. ............................... 38,623 2,964,315 ---------- 4,527,989 ---------- Paper and Forest Products -- 0.94 % Bemis, Inc. ..................................... 4,177 180,655 Boise Cascade Corp. ............................. 7,849 277,168 Champion International Corp. .................... 10,768 594,932 Georgia-Pacific Corp. ........................... 10,387 886,790 International Paper Co. ......................... 32,379 1,572,405 James River Corp. of Virginia ................... 9,604 355,348 Mead Corp. ...................................... 7,840 488,040 Temple-Inland, Inc. ............................. 7,723 417,042 Union Camp Corp. ................................ 6,604 330,200 Westvaco Corp. .................................. 11,910 374,421 Weyerhaeuser Co. ................................ 21,792 1,133,184 Willamette Industries, Inc. ..................... 6,985 488,950 ---------- 7,099,135 ---------- 58 Producer Goods -- 6.16% Alco Standard Corp. ............................. 16,392 408,775 Allied Signal, Inc. ............................. 32,276 2,711,184 Applied Materials Co.* .......................... 19,342 1,369,655 Avery Dennison Corp. ............................ 11,909 477,848 Briggs & Stratton Corp. ......................... 7,993 399,650 Caterpillar, Inc. ............................... 21,370 2,294,604 Conseco, Inc. ................................... 21,000 777,000 Cooper Industries, Inc. ......................... 12,499 621,825 Deere & Co. ..................................... 29,106 1,597,192 Dover Corp. ..................................... 12,069 742,244 Emerson Electric Co. ............................ 50,814 2,797,946 FMC Corp.* ...................................... 3,747 297,652 Foster Wheeler Corp. ............................ 7,400 299,700 General Electric Co. ............................ 362,428 23,693,731 Grainger (W.W.), Inc. ........................... 4,833 377,880 Harnischfeger Industries, Inc. .................. 7,400 307,100 Illinois Tool Works, Inc. ....................... 25,428 1,269,810 Ingersoll-Rand Co. .............................. 10,413 643,003 Millipore Corp. ................................. 6,800 299,200 Parker-Hannifin Corp. ........................... 8,651 525,008 Snap-On, Inc. ................................... 7,237 284,957 Tenneco, Inc. ................................... 18,607 840,803 Timken Co. ...................................... 15,122 537,776 Tyco International Ltd. ......................... 17,416 1,211,500 Westinghouse Electric Corp. ..................... 70,324 1,626,242 ---------- 46,412,285 ---------- Railroads and Shipping -- 0.81% Burlington Northern Santa Fe .................... 17,659 1,587,103 CSX Corp. ....................................... 23,142 1,284,381 Norfolk Southern Corp. .......................... 13,375 1,347,531 Union Pacific Corp. ............................. 27,045 1,906,673 ---------- 6,125,688 ---------- Retail -- 4.51% Albertsons, Inc. ................................ 26,979 984,734 American Stores Co. ............................. 16,247 802,196 Circuit City Stores, Inc. ....................... 14,591 518,892 Dayton Hudson Corp. ............................. 21,480 1,142,468 Dillard Department Stores Class A ............... 10,894 377,205 Federated Department Stores, Inc.* .............. 20,305 705,599 Gap, Inc. ....................................... 34,858 1,355,104 Home Depot, Inc. ................................ 53,328 3,676,299 Kmart Corp.* .................................... 59,393 727,564 Kroger Co.* ..................................... 27,858 807,882 Limited, Inc. ................................... 30,520 618,030 Lowes Companies, Inc. ........................... 20,725 769,416 May Department Stores Co. ....................... 27,699 1,308,778 Melville Corp. .................................. 18,345 940,181 59 Mercantile Stores, Inc. ......................... 5,400 339,863 Nordstrom, Inc. ................................. 7,484 367,184 Penney (J.C.) & Co., Inc. ....................... 28,640 1,494,650 Price/Costco, Inc.* ............................. 25,426 835,879 Rite-Aid Corp. .................................. 13,649 680,744 Sears, Roebuck & Co. ............................ 44,812 2,408,645 Tandy Corp. ..................................... 6,580 368,480 TJX Companies, Inc. ............................. 17,138 452,015 Toys R Us* ...................................... 28,561 999,635 Wal Mart Stores, Inc. ........................... 252,421 8,534,985 Walgreen Co. .................................... 31,023 1,663,608 Winn-Dixie Stores, Inc. ......................... 18,270 680,558 Woolworth Corp.* ................................ 18,479 443,496 ---------- 34,004,090 ---------- Soaps and Cosmetics -- 3.33% Alberto-Culver Co. Cl B ......................... 11,000 308,000 Avon Products, Inc. ............................. 17,194 1,213,252 Clorox Co. ...................................... 4,786 631,752 Colgate-Palmolive Co. ........................... 32,872 2,144,898 Gillette Co. .................................... 62,223 5,895,629 International Flavors & Fragrances, Inc. ........ 10,688 539,744 Procter & Gamble Co. ............................ 74,848 10,572,280 Unilever N.V. ................................... 17,259 3,762,462 ---------- 25,068,017 ---------- Steel -- 0.18% Armco, Inc.* .................................... 85,322 330,623 Bethlehem Steel Corp.* .......................... 17,020 177,646 Nucor Corp. ..................................... 8,179 462,114 USX-U.S. Steel Group ............................ 5,637 197,647 Worthington Industries, Inc. .................... 9,134 167,266 ---------- 1,335,296 ---------- Telephone -- 6.25% AT&T Corp. ...................................... 180,664 6,334,534 AirTouch Communications, Inc.* .................. 56,025 1,533,684 ALLTEL Corp. .................................... 25,617 856,568 Ameritech Corp. ................................. 61,570 4,182,912 Bell Atlantic Corp. ............................. 48,882 3,708,922 Bellsouth Corp. ................................. 108,895 5,050,006 Frontier Corp. .................................. 18,361 366,072 GTE Corp. ....................................... 104,331 4,577,522 MCI Communications Corp. ........................ 74,188 2,840,006 NYNEX Corp. ..................................... 48,753 2,809,392 SBC Communications, Inc. ........................ 99,444 6,153,098 Sprint Corp. .................................... 49,944 2,628,303 60 Tellabs, Inc.* .................................. 20,086 1,122,305 US WEST Communications Group .................... 51,184 1,928,997 Worldcom, Inc. .................................. 95,078 3,042,497 ---------- 47,134,818 ---------- Tires and Rubber Goods -- 0.18% Cooper Tire & Rubber Co. ........................ 12,703 279,466 Goodyear Tire & Rubber Co. ...................... 16,591 1,050,418 ---------- 1,329,884 ---------- Tobacco -- 1.94% Fortune Brands, Inc. ............................ 18,700 697,744 Loews Corp. ..................................... 13,695 1,371,212 Philip Morris Companies, Inc. ................... 269,385 11,953,959 UST, Inc. ....................................... 21,612 599,733 ---------- 14,622,648 ---------- Travel and Recreation -- 1.23% Brunswick Corp. ................................. 8,482 265,063 Disney (Walt) Co. ............................... 76,312 6,124,038 Harrahs Entertainment* .......................... 16,300 293,400 HFS, Inc.* ...................................... 17,521 1,016,218 Hilton Hotels Corp. ............................. 28,824 765,638 Marriott International, Inc. .................... 13,707 841,267 ---------- 9,305,624 ---------- Trucking and Freight -- 0.10% Caliber System, Inc. ............................ 11,953 445,250 PACCAR, Inc. .................................... 6,182 287,077 ---------- 732,327 ---------- TOTAL COMMON STOCKS ................................. 752,913,354 ----------- (Cost $492,046,632) TOTAL INVESTMENTS ................................... $753,697,796 ============ (Cost $492,831,072) * Non-income producing security. See Notes to Financial Statements.
61 Pegasus International Equity Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ TEMPORARY CASH INVESTMENT -- 7.27% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/1/97 (secured by various U.S. Treasury Strips with maturities ranging from 8/15/97 through 2/15/07, all held at Chase Bank) ........ $34,960,039 $34,960,039 ---------- (Cost $34,960,039) Shares ------ COMMON STOCKS -- 92.73% Argentina -- 2.35% Banks Bco Frances Rio Pl ............................ 44,415 482,849 Bco De Galicia Bue 'B' ........................ 105,024 698,494 Construction Astra Cia Argentin ............................ 235,670 489,074 Ciadea Sa ..................................... 30,520 133,694 Perez Companc Sa 'B' .......................... 248,760 1,985,345 Ypf Sa Class 'D' .............................. 103,300 3,145,866 Food & Agriculture Molinos Rio Plata 'B' ......................... 61,742 245,763 Liquor & Tobacco Ba Embotelladora 'B'* ......................... 150 11,401 Miscellaneous Comercial Del Plata ........................... 87,590 292,586 Non-Ferrous Metals Siderca Sa* ................................... 455,400 1,170,520 Siderar Sa 'A' ................................ 18,216 74,330 Telephone Telefonica De Argentina Class 'B' ............. 745,600 2,580,088 ---------- 11,310,010 ---------- Australia -- 1.58% Banks National Australia Bank ....................... 77,285 1,098,319 Westpac Bank Corp ............................. 100,910 602,502 Chemicals Ici Australia ................................. 18,853 184,313 Construction Boral Limited ................................. 46,518 145,319 Csr Limited ................................... 50,166 192,794 Pioneer International ......................... 60,480 231,978 Energy Raw Material Broken Hill Pty ............................... 88,739 1,295,198 Santos Limited ................................ 60,978 254,445 Food & Agriculture Amcor Limited ................................. 38,213 251,918 Goodman Fielder Limited ....................... 55,124 80,527 Liquor & Tobacco Coca-Cola Amatil .............................. 24,555 316,398 Fosters Brewing Gp ............................ 71,247 131,301 Southcorp Holdings ............................ 24,447 90,839 62 Media News Corporation (Aust Listing) ............... 88,019 418,713 News Corporation Preferred Limited Voting Shares ...................................... 61,181 239,251 Multi-Industry & Conglomerates Pacific Dunlop Limited ........................ 73,167 214,866 Non-Ferrous Metals Aberfoyle ..................................... 2,400 6,652 Rio Tinto Limited ............................. 26,587 449,738 Mim Holding Limited ........................... 64,970 95,397 North Ltd ..................................... 17,715 67,019 WMC Ltd ....................................... 65,446 409,388 Railroad & Shipping Brambles Inds Limited ......................... 13,527 265,411 Real Property Gen Property Tst Units (Aust Listing) ......... 55,200 109,585 Lend Lease Corp ............................... 6,261 131,331 Westfield Trust Units ......................... 24,738 50,408 Westfield Trust New Units* .................... 1,002 2,042 Retail Coles Myer Limited ............................ 46,375 239,370 ---------- 7,575,022 ---------- Belgium -- 3.29% Banks Generale De Banque ............................ 5,183 1,996,788 Generale De Banque NNPR Strip ................. 353 157 Kredietbank ................................... 3,400 1,371,349 Kredietbank VVPR .............................. 80 31,599 Chemicals Solvay ........................................ 2,525 1,489,012 Energy & Utilities Electrabel .................................... 12,825 2,750,507 Tractebel Inv Cap ............................. 3,175 1,324,756 Soc Gen Belgique .............................. 2,675 28,722 Insurance Fortis Ag ..................................... 11,278 2,330,891 Fortis Ag VVPR Strip .......................... 908 202 International Oil Petrofina Sa .................................. 5,180 1,963,212 Non-Ferrous Metals Union Miniere* ................................ 6,606 619,255 Other Energy Sources Gpe Bruxelles Lam ............................. 8,800 1,476,050 Producer Goods Bekaert Sa .................................... 630 427,156 ---------- 15,809,656 ---------- Brazil -- 1.20% Banks Unibanco Holdings* ............................ 14,000 519,750 63 Miscellaneous Aracruz Celolose ADR .......................... 4,500 91,688 Electrobas ADR ................................ 35,000 1,038,734 PAO De Acucar GDR ............................. 20,000 455,000 Sider Nacional ADR ............................ 6,000 196,739 Cemig Ca Energy ADR ........................... 6,800 342,353 Compania Vale ADR ............................. 21,000 468,161 Klabin Fabricadora ADR ........................ 4,000 38,642 Multicanal Partici ADR* ....................... 28,000 381,500 Petrol Brasileiros ADR ........................ 21,000 575,448 Telephone Telecomunicacoex Brasileiras ADR .............. 11,000 1,669,250 ---------- 5,777,265 ---------- Denmark -- 2.78% Banks Den Danske Bank ............................... 16,750 1,631,875 Unidanmark 'A' (Regd) ......................... 11,735 660,133 Business Machine Iss International Series 'B'* ................. 8,042 288,656 Sophus Berendsen 'B' .......................... 6,927 1,002,896 Drugs & Medicine Novo-Nordisk As 'B' ........................... 19,932 2,176,352 Food & Agriculture Danisco ....................................... 17,858 1,093,449 Liquor & Tobacco Carlsberg 'A' ................................. 7,300 401,842 Carlsberg 'B' ................................. 6,705 370,100 Railroad & Shipping D/S 1912 'B' .................................. 54 1,934,181 D/S Svendborg 'B' ............................. 40 2,069,158 Telephone Tele Danmark 'B' .............................. 33,385 1,737,041 ---------- 13,365,683 ---------- Finland -- 4.03% Banks Merita Ltd 'A' ................................ 386,000 1,285,613 Construction Metro AB 'A' .................................. 8,600 264,908 Metro AB 'B' .................................. 8,600 259,113 Rauma Oy ...................................... 3,592 82,292 Electronics Nokia (AB) Oy Series 'K' ...................... 51,200 3,814,676 Nokia (AB) Oy Series 'A' ...................... 83,000 6,198,329 Food & Agriculture Cultor Oy Series 2 ............................ 5,800 304,837 Cultor Oy Series 1 ............................ 9,200 487,077 64 Insurance Pohjola Series 'B' ............................ 11,500 340,954 Sampo 'A' ..................................... 6,900 670,837 Non-Ferrous Metals Outokumpo Oy 'A' .............................. 58,100 1,152,100 Paper & Forest Products UPM-Kymmene Oy ................................ 129,000 2,980,216 Producer Goods Kone Corp 'B' ................................. 3,800 453,578 Retail Kesko ......................................... 42,000 591,885 Stockmann Oy 'A' .............................. 5,000 300,332 Travel & Recreation Amer Group 'A'* ............................... 11,000 198,007 ---------- 19,384,754 ---------- France -- 4.89% Banks Banque National Paris ......................... 10,336 426,402 Cie De Suez ................................... 158,540 390,211 Cie Fin Paribas 'A' ........................... 6,021 416,378 Societe Generale .............................. 6,208 693,662 Chemicals Air Liquide ('L') ............................. 4,999 794,433 Air Liquide ('L') (Regd) ...................... 1,095 174,016 Rhone Poulenc Sa'A' ........................... 17,824 728,633 Construction Cie De St Gobain .............................. 5,008 731,034 Inmetal ....................................... 1,100 145,956 Lafarge (Br) .................................. 5,119 318,688 Consumer Durables Bic ........................................... 2,100 343,744 Printemps (Av) ................................ 1,250 601,267 Drugs & Medicine L'Oreal ....................................... 3,828 1,614,415 Sanofi ........................................ 6,945 681,377 Electronics Alcatel Alsthom (Cge) ......................... 8,524 1,068,597 Csf (Thomson) ................................. 6,965 179,614 Legrand ....................................... 1,950 343,770 Schneider Sa (Ex-SB) .......................... 8,816 469,711 Energy & Utilities Eaux (Cie Generale) ........................... 8,469 1,086,225 Eaux (Cie Generale) Wts* ...................... 8,469 5,078 Lyonnaise Des Eaux ............................ 3,306 333,363 Food & Agriculture DaNone (Ex Bsn) ............................... 5,713 944,879 Eridania Beghin Sa ............................ 1,611 241,474 Insurance Axa ........................................... 18,412 1,146,254 65 International Oil Elf Aquitaine (Soc Nat) ....................... 14,066 1,518,982 Total B ....................................... 12,139 1,228,180 Liquor & Tobacco Lvmh Moet-Hennessy ............................ 5,050 1,359,068 Pernod-Ricard ................................. 3,864 199,422 Media Canal Plus .................................... 1,550 302,030 Havas ......................................... 2,850 205,585 Multi-Industry & Conglomerates Worms & Cie ................................... 2,800 165,970 Motor Veheciles Peugeot Sa .................................... 3,843 371,802 Miscellaneous Finance CIE Bancaire .................................. 1,634 208,740 Non-Ferrous Metals Usinor Sacilor ................................ 15,950 287,978 Producer Goods Michelin (Cgde) Class 'B' ..................... 7,589 456,172 Valeo ......................................... 3,450 214,489 Real Property Sefimeg (Regd) ................................ 3,836 245,021 Retail Carrefour ..................................... 2,579 1,874,858 Casino Guichard-Perrachon ..................... 4,250 210,584 Promodes ...................................... 1,133 441,742 Travel & Recreation Accor ......................................... 2,351 352,394 ---------- 23,522,198 ---------- Germany -- 5.72% Air Transport Lufthansa Ag .................................. 28,070 540,448 Banks Bayer Vereinsbank ............................. 17,240 706,406 Deutsche Bank ................................. 26,290 1,544,932 Dresdner Bank ................................. 30,190 1,058,578 Chemicals Basf (Var) .................................... 32,810 1,211,640 Bayer (Var) ................................... 40,250 1,552,222 Schering ...................................... 3,900 418,081 Construction Hochtief ...................................... 10,470 468,662 Drugs and Medicine Beiersdorf AG Ser 'A B C' ..................... 6,200 334,455 Electronics Siemens AG .................................... 31,690 1,899,544 SAP AG ........................................ 3,250 652,412 SAP AG N/V Pref ............................... 2,200 453,879 66 Energy & Utilities Deutsche Telekom .............................. 109,500 2,692,673 Rwe AG ........................................ 16,160 695,539 Rwe AGN/V Pref ................................ 9,750 340,474 Veba .......................................... 26,250 1,483,830 Insurance Allianz (Regd) ................................ 11,500 2,458,345 Munchener Ruckvers Reg Vink ................... 495 1,403,301 Miscellaneous Metro AG* ..................................... 6,358 693,255 Motor Vehicles Daimler-Benz (Var) ............................ 25,790 2,100,160 Volkswagen (Var) .............................. 1,356 1,028,750 Producer Goods Linde ......................................... 556 432,347 Mannesmann (Var) .............................. 2,496 1,115,837 Man AG Non Vtg Pref (Var) ..................... 1,500 380,480 Steel Preussag Br (Var) ............................. 2,174 640,023 Thyssen ....................................... 1,816 437,186 Viag (Var) .................................... 1,419 648,615 Viag (RFD 01/01/96)* .......................... 204 92,369 ---------- 27,484,443 ---------- Hong Kong -- 2.18% Air Transport Cathay Pacific Airways ........................ 127,000 263,105 Banks Bank of East Asia ............................. 8,716 36,339 Hang Seng Bank ................................ 97,000 1,383,518 Energy & Utilities China Light & Power ........................... 88,700 502,619 Hong Kong Electric ............................ 20,000 80,544 Hong Kong & China Gas ......................... 259,123 518,428 Multi-Industry & Conglomerates Hutchinson Wampoa ............................ 180,000 1,556,675 Miscellaneous Finance Swire Pacific 'A' ............................. 85,000 765,268 Wharf (Holdings) .............................. 92,000 399,004 Wing Lung Bank ................................ 53,540 341,394 Real Property Cheung Kong (Holdings) ........................ 123,000 1,214,555 Hopewell Holdings ............................. 217,000 137,248 Hysan Development ............................. 60,000 176,965 New World Development Co ...................... 75,089 447,784 Sun Hung Kai Properties ....................... 107,700 1,296,329 Telephone Hong Kong Telecomm ............................ 569,896 1,360,874 ---------- 10,480,649 ---------- 67 Ireland -- 3.97% Banks Allied Irish Banks ............................ 465,362 3,561,152 Bank of Ireland (Dublin Listing) .............. 187,790 2,053,941 Construction CRH ........................................... 407,968 4,259,020 Food & Agriculture Greencore Group ............................... 235,322 1,153,781 Kerry Group 'A' ............................... 162,538 1,569,323 Insurance Irish Life .................................... 328,549 1,685,220 Media Independent News (Dublin Listing) ............. 271,387 1,596,729 Paper & Forest Products Smurfit(Jefferson) (Dublin Listing) ........... 1,097,051 3,177,646 ---------- 19,056,812 ---------- Japan -- 18.81% Air Transport Japan Airlines Co* ............................ 110,000 500,830 Bank Asahi Bank .................................... 114,000 971,336 Bank of Tokyo MITS -- Ex Mitsubishi Bank ...... 142,000 2,854,146 Dai-Ichi Kangyo Bank .......................... 155,000 2,113,082 Fuji Bank ..................................... 144,000 2,164,467 Industrial Bank of Japan ...................... 106,000 1,648,868 Joyo Bank ..................................... 62,000 342,969 Sakura Bank ................................... 127,000 974,447 Sumitomo Bank ................................. 150,000 2,464,388 Tokai Bank .................................... 97,000 1,000,262 Business Machine CaNon Inc ..................................... 45,000 1,226,951 Fujitsu ....................................... 118,000 1,639,605 Ricoh ......................................... 75,000 983,134 Chemicals Asahi Chemical Industries ..................... 140,000 838,067 Dainippon Ink & Chemical ...................... 82,000 353,998 Mitsubishi Gas Chemical ....................... 34,000 139,054 Sekisui Chemical .............................. 40,000 405,488 Shin-Etsu Chemical ............................ 32,000 850,126 Showa Denko Kk* ............................... 131,000 343,441 Sumitomo Chemical ............................. 135,000 612,296 Toray Industries Inc .......................... 147,000 1,049,541 Construction Chichibu Onoda Cement ......................... 67,000 262,894 Daiwa House Industry .......................... 60,000 734,073 Fujita Corp ................................... 35,000 61,173 Haseko Corp* .................................. 136,000 217,495 Kajima Corp ................................... 36,000 211,098 Nihon Cement Co ............................... 34,000 162,824 68 Obayashi Corp ................................. 35,000 234,598 Sato Kogyo Co ................................. 65,000 136,328 Sekisui House ................................. 106,000 1,074,543 Shimizu Corp .................................. 56,000 336,205 Taisei Corp ................................... 73,000 338,748 Toto .......................................... 40,700 501,503 Consumer Durables Matsushita Electric Industries ................ 146,000 2,947,303 Sanyo Electric Co ............................. 154,000 691,741 Sharp Corp .................................... 63,000 869,877 Drugs & Medicine Daiichi Pharm Co .............................. 45,000 794,372 Sankyo Co ..................................... 46,000 1,547,671 Takeda Chemical Industries .................... 78,000 2,194,878 Electronics Hitachi ....................................... 201,000 2,248,361 Kyocera ....................................... 17,000 1,351,918 Mitsubishi Electric Corp ...................... 125,000 700,210 Omron Corp .................................... 36,000 764,485 Sony .......................................... 35,200 3,073,039 Energy & Utilities Kansai Electric Power ......................... 59,100 1,141,405 Osaka Gas Co .................................. 241,000 692,904 Tokyo Electric Power .......................... 95,500 2,011,316 Tokyo Gas Co .................................. 137,000 380,722 Food & Agriculture Ajinomoto Co .................................. 74,000 795,421 Yamazaki Baking Co ............................ 20,000 353,054 International Oil Japan Energy Corp ............................. 138,000 361,793 Nippon Oil Co ................................. 120,000 657,520 Media Dai Nippon Printing ........................... 59,000 1,335,401 Multi-Industry Itochu Corp ................................... 167,000 900,454 Marubeni Corp ................................. 208,000 945,206 Mitsubishi .................................... 78,000 974,744 Sumitomo Corp ................................. 74,000 704,885 Miscellaneous Finance Daiwa Securities .............................. 149,000 1,177,104 Mitsubishi Trust & Banking .................... 50,000 790,876 Nomura Securities ............................. 127,000 1,753,561 Yamaichi Securities ........................... 141,000 420,178 Motor Vehicles Honda Motor Co ................................ 60,000 1,808,966 Nissan Motor Co ............................... 131,000 1,017,731 Toyota Motor Corp ............................. 182,000 5,375,862 69 Non-Ferrous Metals Mitsubishi Steel* ............................. 17,000 60,168 Tostem Corp ................................... 19,000 526,348 Paper & Forest Products Daishowa Paper Manufacturing* ................. 13,000 71,572 Oji Paper Co .................................. 48,000 297,404 Producer Goods Bridgestone Corp .............................. 53,000 1,232,019 Komatsu ....................................... 70,000 568,907 Kubota Corp ................................... 136,000 666,748 Mitsubishi Heavy Industries ................... 247,000 1,897,343 Denso Corp .................................... 52,000 1,245,128 Sumitomo Heavy Industries ..................... 83,000 335,830 Toyo Seikan Kaisha ............................ 15,400 341,833 Toyoda Auto Loom .............................. 20,000 454,426 Railroad & Shipping East Japan Railway ............................ 38 195,263 Hankyu Corp ................................... 89,000 492,327 Hitachi Zosen Corp ............................ 12,000 47,820 Mitsui Osk Lines* ............................. 94,000 193,865 Nagoya Railroad Co ............................ 98,000 404,230 Tokyu Corp .................................... 148,000 919,584 Real Property Mitsubishi Estate ............................. 153,000 2,219,522 Retail Ito-Yokado Co ................................. 32,000 1,859,652 Mycal Corp .................................... 78,000 1,124,705 Seven-Elevan Japan Npv ........................ 28,000 2,119,024 Steel Kawasaki Steel Corp ........................... 131,000 427,012 Kobe Steel* ................................... 142,000 271,764 Nippon Steel Corp ............................. 341,000 1,090,675 Nkk Corp* ..................................... 139,000 298,820 Sumitomo Metal Industries ..................... 262,000 746,412 Telephone Nippon Tel & Tel .............................. 104 999,738 Travel & Recreation Fuji Photo Film ............................... 14,000 564,013 Nikon ......................................... 13,000 219,261 ---------- 90,422,348 ---------- Malaysia -- 1.59% Air Transport Malaysian Airline Systems ..................... 42,000 104,833 Banks Ammb Holdings Berhad .......................... 66,000 410,538 Commerce Asset Holding ........................ 18,000 47,425 Commerce Asset Holding (Rts for Warrants)* .... 2,250 20 Commerce Asset Holding (Rts for Shares)* ...... 3,600 48 RHB Capital ................................... 114,000 361,331 70 Malayan Bkg Berhad ............................ 55,000 577,456 Public Bank Berhad ............................ 14,000 19,968 Public Bank Berhad (Alien Market) ............. 223,000 348,106 Construction Hume Inds (M) Berhad .......................... 39,000 179,239 United Engineers Berhad ....................... 68,000 490,332 Consumer Durables Tech Res Inds Berhad .......................... 115,000 197,741 Energy & Utilities Tenaga Nasional ............................... 161,000 784,587 Food & Agriculture Golden Hope Plants ............................ 159,000 273,399 Nestle Malay Berhad ........................... 19,000 142,274 Liquor & Tobacco Rothmans Pall Mall ............................ 17,000 167,036 Miscellaneous Malayan Utd Inds .............................. 394,000 287,226 Motor Vehicles Edaran Otomobil ............................... 51,000 434,429 Multi-Industry & Conglomerates Sime Darby Berhad ............................. 138,200 459,936 Producer Goods Leader Univ Holdings .......................... 121,333 218,245 Railroad & Shipping Malaysian Int Ship (Alien Market) ............. 22,000 57,092 Real Property Hong Leong Properties ......................... 212,000 241,061 Steel Sungei Way Holdings ........................... 40,000 75,436 Telephone Telekom Malaysia .............................. 209,000 977,098 Travel & Recreation Landmarks Berhad .............................. 108,000 126,656 Magnum Corp Berhad ............................ 284,250 427,951 Resorts World Berhad .......................... 69,000 207,765 ---------- 7,617,228 ---------- Mexico -- 4.25% Banks Gpo Financiero Banamex-Ac Series 'B'* ......... 184,000 481,136 Gpo Financiero Banamex-Ac Series 'L'* ......... 109,017 256,284 Construction Cemex Sa Ser 'A' .............................. 278,937 1,190,508 Food & Agriculture Grupo Ind Bimbo Series 'A' .................... 142,000 1,017,535 Gpo Modelo Sa de C Ser 'C' (Mexican) .......... 188,200 1,291,810 Liquor & Tobacco Empresas La Modern 'A'* ....................... 128,500 667,175 71 Media Fomento Economico Mexico Series 'B' ........... 167,100 993,628 Grupo Televisa Ptg Certs Repr 1 A,L,D Shs* .... 70,200 1,062,551 Miscellaneous Carso Global Telec Ser 'A1'* .................. 16,000 62,153 Miscellaneous Finance Gpo Financiero Inbursa Ser 'B' ................ 558 2,336 Grupo Financiero Bancomer Series 'B' .......... 1,056,800 510,165 Grupo Financiero Bancomer Series 'L' .......... 2,037 730 Grupo Carso Series 'A1' ....................... 207,900 1,445,326 Multi-Industry Desc Sa de Cv Ser 'B' ......................... 109,100 792,755 Apasco Sa Com (Mexican) ....................... 79,900 564,507 GPO Mexico Ser 'B' (Mexican) .................. 203,300 756,511 Multi-Industry & Conglomerates AlfaSa Series 'A' (Cpo) ....................... 229,601 1,564,442 Desc Sa de Cv Ser 'C' ......................... 1,091 7,818 Non-Ferrous Metals Industrias Penoles ............................ 164,000 781,393 Paper & Forest Products Kimberly Clark Mexico 'A' ..................... 384,500 1,522,626 Retail Cifra Sa De Cv 'B' ............................ 663,500 1,217,812 Cifra Sa De Cv 'A' ............................ 81,151 148,335 Telephone Telefonos De Mexico Series 'L' (Ltd Vtg) ...... 1,717,300 4,101,909 ---------- 20,439,445 ---------- Netherlands -- 4.74% Air Transport Klm ........................................... 6,716 207,377 Bank ABN Amro Holding .............................. 101,856 1,902,663 Chemicals Akzo Nobel Nv ................................. 7,042 966,813 Construction Hollandsche Benton ............................ 1,000 228,497 Electronics Philips Electronic ............................ 23,823 1,709,527 Food & Agriculture Ahold (Kon) Nv ................................ 12,176 1,029,104 Unilever Nv Cva ............................... 11,497 2,424,594 Insurance ING Groep Nv Cva .............................. 57,829 2,671,090 International Oil Royal Dutch Petroleum (Br) .................... 147,364 7,679,118 Liquor & Tobacco Heineken Nv ................................... 3,181 543,879 72 Media Elsevier Nv ................................... 55,249 924,895 Wolters Kluwer Cva ............................ 5,473 667,602 Miscellaneous Oce Nv ........................................ 1,500 193,843 Paper & Forest Products KNP BT (Kon) Nv ............................... 7,455 170,078 Steel Kon Hoogovens Nv Cva .......................... 2,415 134,843 Telephone Kon Ptt Nederland ............................. 34,098 1,340,028 ---------- 22,793,951 Norway -- 3.97% Air Transport Helicopter Service ............................ 6,000 77,451 Banks Den Norske Bank ............................... 115,000 450,839 Christiana Bank ............................... 70,000 239,045 Chemicals Dyno Industrier ............................... 18,700 485,330 Construction Aker As 'B' ................................... 10,500 183,587 Drugs & Medicine Nycomed Series 'A' ............................ 38,010 560,742 Nycomed Series 'B' ............................ 28,368 406,874 Energy & Utilities Hafslund Ser 'A' .............................. 49,997 300,496 Hafslund Ser 'B' .............................. 30,219 164,288 Food & Agriculture Orkla As 'A' .................................. 25,757 1,903,419 Orkla As 'B' .................................. 7,350 498,983 Insurance Storebrand Asa'A'* ............................ 159,650 952,998 International Oil Norsk Hydro As ................................ 124,670 6,794,799 Miscellaneous Transocean Offshore ........................... 2,000 137,963 Motor Vehicles Petroleum Geo Svs* ............................ 17,412 839,586 Non-Ferrous Metals ElkeMAsa ..................................... 27,248 534,107 Paper & Forest Products Norske Skogsindust 'A' ........................ 16,700 575,996 Producer Goods Aker Asa Ser 'A' .............................. 26,100 513,387 Kvaerner As Series 'A' ........................ 20,600 1,247,966 Kvaerner As Series 'B' ........................ 7,900 442,438 73 Railroad & Shipping Bergesen Dy As 'A' ............................ 36,050 854,371 Bergesen Dy As 'B' Non-Voting ................. 15,150 358,014 Leif Hoegh & Co ............................... 18,447 395,610 Unitor As ..................................... 11,600 166,375 ---------- 19,084,664 ---------- Singapore -- 2.88% Air Transport Singapore Airlines (Alien Market) ............. 212,000 1,897,821 Bank Dev Bank Singapore (Alien Market) ............. 110,250 1,387,908 Overseas Chinese Bank (Alien Market) .......... 199,699 2,067,032 United Overseas Bank (Alien Market) ........... 148,404 1,525,712 Consumer Durables Amcol Hldgs ................................... 29,000 53,138 Energy & Utilities Singapore Telecom ............................. 1,034,000 1,909,123 Liquor & Tobacco Fraser & Neave ................................ 67,400 480,806 Straits Trading Co ............................ 87,000 189,838 Media Singapore Press Holdings (Alien Market) ....... 51,800 1,043,354 Motor Vehicles Cycle & Carriage .............................. 52,000 538,238 Miscellaneous Singapore Tech Ind ............................ 100,000 257,370 Multi-Industry & Conglomerates Keppel Land Ltd ............................... 84,000 223,240 Producer Goods Jurong Shipyard (Nl) .......................... 24,000 104,067 Keppel Corp ................................... 134,000 595,097 Keppel Corp 'A'* .............................. 33,500 145,260 Real Property City Developments ............................. 131,600 1,288,527 DBS Land ...................................... 50,000 158,059 ---------- 13,864,590 ---------- Spain -- 5.20% Banks Argentaria Corp Bc ............................ 22,133 1,241,566 Banco Bilbao Vizcaya (Regd) ................... 39,331 3,201,142 Banco Central Hispan (Regd) ................... 28,684 1,051,246 Banco Santander (Regd) ........................ 80,499 2,484,975 Construction Fomento Const Y Contra ........................ 3,214 410,628 Energy & Utilities Empresa Nac Electricid ........................ 43,308 3,642,617 Gas Natural Sdg Sa ............................ 6,161 1,348,491 Iberdrola Sa .................................. 127,933 1,617,973 Union Electrical Fenosa ....................... 64,228 585,201 74 Insurance Corporation Mapfre ............................ 7,596 404,927 International Oil Repsol Sa ..................................... 52,224 2,212,249 Liquor & Tobacco Tabacalera Sa Series 'A' (Regd) ............... 7,489 402,788 Non-Ferrous Metals Acerinox Sa (Regd) ............................ 2,227 418,083 Producer Goods Zardoya-Otis .................................. 4,120 543,189 Railroad & Shipping Autopistas Cesa ............................... 50,297 683,987 Real Property Vallehermoso Sa ............................... 8,664 234,170 Telephone Telefonica De Espana .......................... 156,436 4,531,292 ---------- 25,014,524 ---------- Switzerland-- 3.80% Banks Credit Suisse Group (Regd) .................... 9,034 1,161,899 Schweiz Bangesellsch (Br) ..................... 1,026 1,175,306 Schweiz Bangesellsch (Regd) ................... 1,052 241,018 Schweiz Bankverein (Regd) ..................... 4,100 1,098,227 Construction Holderbank Fn Glarus (Br) ..................... 558 527,820 Consumer Durables Smh Ag Neuenburg (Regd) ....................... 725 98,343 Smh Ag Neuenburg (Br) ......................... 165 94,392 Drugs & Medicine Roche Holdings Genusscheine Npv ............... 329 2,980,036 Roche Holdings (Br) ........................... 80 1,100,250 Novartis Ag (Regd) ............................ 2,010 3,217,985 Novartis Ag (Br) .............................. 970 1,551,627 Electronics Abb (Br) ...................................... 410 621,532 Adecco Sa (Br) ................................ 135 51,857 Sgs Holding (Br) .............................. 79 169,071 Food & Agriculture Nestle Sa (Regd) .............................. 1,764 2,330,462 Valora Holding Ag ............................. 80 17,011 Insurance Zurich Versicherun (Regd) ..................... 3,950 1,574,202 Non-Ferrous Metals Alusuisse-Lonza Holdings (Regd) ............... 218 226,097 Producer Goods Sulzer Ag Ptg ................................. 13 11,147 ---------- 18,248,282 ---------- 75 Thailand -- 1.15% Banks Bk of Ayudhya (Alien Mkt) ..................... 89,000 139,143 Bangkok Bank (Fr) ............................. 169,100 1,161,930 Ind Fin Corp Thail ............................ 55,100 62,215 Ind Fin Corp Thail (Alien Mkt) ................ 104,000 132,484 Siam Commercial Bank (Fr) ..................... 83,500 341,671 Thai Farmers Bank (Alien Mkt) ................. 220,400 935,881 Construction Land & House (Alien Mkt) ...................... 26,300 54,823 Siam Cement (Fr) .............................. 37,600 650,253 Tipco Asphalt (Alien Mkt) ..................... 26,500 138,101 Energy Raw Materials Ptt Explortn & Prd (Alien Mkt) ................ 72,200 1,047,952 International Oil Banpu Co (Alien Mkt) .......................... 13,000 189,693 Media Shinawatra C & Comms (Alien Mkt) .............. 32,900 176,533 Miscellaneous Robinson Dept Stores .......................... 59,000 20,953 Miscellaneous Finance Dhana Siam Fin & Sec (Alien Mkt) .............. 14,000 7,431 Phatra Thanakit Co (Alien Mkt) ................ 134,400 166,022 Telephone Thai Tel & Telecom (Alien Mkt)* ............... 110,000 52,017 Utd Commns Indust (Alien Mkt) ................. 79,900 256,001 ---------- 5,533,103 ---------- United Kingdon -- 14.35% Air Transport British Airways ............................... 71,777 817,693 Aerospace British Aerospace ............................. 20,774 462,084 Banks Abbey National ................................ 71,613 977,322 Barclays ...................................... 114,464 2,270,790 Hsbc Holdings (UK Regd) ....................... 84,660 2,508,014 Hsbc Holdings (UK Regd) ....................... 121,260 3,730,515 Lloyds Bank ................................... 326,179 3,344,017 Chemicals Boc Group ..................................... 39,831 692,738 Imperial Chemical Industries .................. 77,314 1,075,069 Construction English China Clay ............................ 43,354 148,998 Hanson ........................................ 69,197 343,766 Rmc Group ..................................... 26,670 432,994 Redland ....................................... 110,297 625,047 76 Taylor Woodrow ................................ 107,986 318,106 Drugs & Medicine Glaxo Holdings ................................ 191,752 3,957,249 Smithkline Beecham ............................ 161,414 2,969,831 Zeneca Group .................................. 57,538 1,901,804 Electronics General Electric Co ........................... 163,908 979,324 Energy & Utilities British Gas ................................... 254,516 936,136 Centrica* ..................................... 254,516 310,281 Energy Group .................................. 55,358 590,568 National Power ................................ 78,850 685,021 Scottish Power ................................ 2,356 15,331 Thames Water .................................. 50,555 583,502 Food & Agriculture Associated British Foods ...................... 66,299 572,121 Cadbury Schweppes ............................. 54,993 490,116 Kingfisher .................................... 48,396 549,320 Sainsbury (J) ................................. 102,221 620,111 Tesco ......................................... 135,902 835,742 Unilever ...................................... 46,426 1,330,148 Insurance Prudential Corp ............................... 197,160 1,908,096 Royal & Sun Alliance .......................... 106,535 785,467 International Oil British Petroleum ............................. 363,126 4,511,479 Liquor & Tobacco BAT Industries ................................ 181,710 1,625,508 Bass .......................................... 69,324 845,706 Grand Metropolitan ............................ 151,962 1,470,674 Guinness ...................................... 179,219 1,753,853 Imperial Tobacco .............................. 31,370 201,788 Safeway ....................................... 122,780 710,091 Media British Sky Broadcasting ...................... 94,124 689,263 Carlton Communications ........................ 36,450 307,869 Reed International ............................ 40,000 387,449 Reuters Holdings .............................. 158,821 1,673,183 Multi-Industry Inchcape ...................................... 14,451 68,064 Producer Goods Btr ........................................... 317,897 1,087,252 Rolls Royce ................................... 122,412 467,561 Rio Tinto Plc (Regd) .......................... 85,419 1,487,735 Smiths Industries ............................. 42,710 546,978 Real Property Mepc .......................................... 124,143 1,018,594 77 Retail Argos ......................................... 30,245 275,594 Boots Co ...................................... 62,274 729,126 Great Univ Stores ............................. 68,436 692,500 Marks & Spencer ............................... 185,891 1,540,705 Sears ......................................... 175,691 195,910 Steel British Steel ................................. 232,983 577,753 Telephone British Telecom ............................... 367,698 2,729,342 Cable & Wireless .............................. 147,251 1,354,011 Vodafone Group ................................ 260,601 1,268,626 Travel & Recreation Emi Group ..................................... 28,368 508,719 Granada ....................................... 80,310 1,055,915 Ladbroke Group ................................ 199,568 780,532 Rank Group .................................... 86,224 546,028 Thorn ......................................... 28,368 81,206 ------------ 68,956,335 ------------ TOTAL COMMON STOCKS ................................. 445,740,962 ------------ (COST $372,986,848) TOTAL INVESTMENTS ................................... $480,701,001 ============ (COST $407,946,887) * Non-income producing security. See Notes to Financial Statements.
78 Notes to Portfolio of Investments (a) Forward Foreign Currency Contracts As of June 30, 1997, the International Equity Fund had entered into one forward foreign currency exchange contract that obligates the Fund to deliver currency at a specified future date. Outstanding contracts as of June 30, 1997 are as follows:
U.S. Dollar U.S. Dollar Unrealized Currency To Value As Of Currency To Value As Of Depreciation Settlement Date Be Delivered June 30, 1997 Be Received June 30, 1997 at 6/30/97 --------------- ------------ ------------- ----------- ------------- ---------- Nov. 19, 1997 ..................... 165,000,000 $6,032,894 5,978,261 $5,978,261 $(54,633) Thailand Bahts U.S. Dollars
(b) Financial Futures Contracts Outstanding contracts as of June 30, 1997 as follows:
Market Value Unrealized Number Covered by Appreciation Type of Contracts Expiration Date Contracts at 6/30/97 ---- ------------ --------------- ----------- ---------- Financial Futures purchased long: Japanese Yen -- TOPIX ((1)) ...................... 131 September 12, 1997 $17,721,572 $333,916 =========== ======== ) ((1) Exchange traded local currency denominated futures contracts.
79 Pegasus Intermediate Bond Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ TEMPORARY CASH INVESTMENTS -- 4.72% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/1/97, (secured by various U.S. Treasury obligations with maturities ranging from 8/15/97 through 2/15/07 at various interest rates ranging from 0.00% to 12.00%, all held at Chase Bank) ... $21,822,537 $21,822,537 ---------- (Cost $ 21,822,537) U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 82.43% U.S. Treasury Securities -- 49.23% Strips from U.S. Treasury Securities due: 5/15/98 ..................................... 6,600,000 6,282,078 11/15/98 .................................... 7,600,000 7,014,344 2/15/99 ..................................... 9,660,000 8,773,502 2/15/01 ..................................... 3,300,000 2,631,915 5/15/05 ..................................... 5,660,000 3,389,604 8/15/08 ..................................... 5,350,000 2,553,662 11/15/10 .................................... 5,000,000 2,027,550 U.S. Treasury Bonds: 12.75%, 11/15/10 ............................ 13,131,000 18,221,364 10.375%, 11/15/12 ........................... 7,765,000 9,856,658 12.50%, 8/15/14 ............................. 1,000,000 1,470,470 U.S. Treasury Notes: 5.875%, 7/31/97 ............................. 5,000,000 5,001,550 8.625%, 8/15/97 ............................. 3,000,000 3,011,731 8.75%, 10/15/97 ............................. 9,950,000 10,041,739 5.25%, 12/31/97 ............................. 19,140,000 19,116,075 7.875%, 1/15/98 ............................. 13,710,000 13,872,737 8.125%, 2/15/98 ............................. 8,300,000 8,420,599 7.875%, 4/15/98 ............................. 10,425,000 10,594,406 5.125%, 4/30/98 ............................. 3,320,000 3,303,931 7.00%, 4/15/99 .............................. 1,000,000 1,015,780 9.125%, 5/15/99 ............................. 8,700,000 9,160,839 6.875%, 7/31/99 ............................. 8,000,000 8,116,240 7.75%, 11/30/99 ............................. 31,000,000 32,080,040 7.125%, 2/29/00 ............................. 19,800,000 20,233,026 6.25%, 05/31/00 ............................. 2,900,000 2,901,363 8.75%, 08/15/00 ............................. 15,000,000 16,042,950 7.25%, 5/15/04 .............................. 1,000,000 1,042,340 3.375%, 1/15/07 ............................. 1,212,252 1,183,839 ----------- ----------- (Cost $227,484,538) 226,523,252 227,360,332 ----------- ----------- Agency Obligations -- 33.20% Federal Home Loan Mortgage Corp. Participation Ctf.: #170269,12.00%, 8/1/15 ...................... 1,040,628 1,166,982 #252600, 7.50%, 9/1/08 ...................... 208,732 211,575 #252601, 8.00%, 6/1/01 ...................... 271,536 273,955 #555238, 12.00%, 7/1/19 ..................... 470,146 527,397 80 Federal Home Loan Mortgage Corp. Gtd. Multi-Class Mortgage Participation Ctfs.: Series 10 Class D, 10.00%, 7/15/18 .......... 611,005 616,922 Series 11 Class D, 9.50%, 7/15/19 ........... 1,300,000 1,415,142 Series 18 Class A, 9.00%, 11/15/19 .......... 11,488 11,464 Series G-21 Class SD, IF, 8/25/22 ........... 2,100,000 1,874,695 Series 23 Class E, 9.40%, 8/15/19 ........... 270,604 276,463 Series G-29 Class SD, IF, IO, 4/25/24 ....... 10,662,726 343,692 Series 30 Class C, 9.50%, 5/15/18 ........... 168,982 169,753 Series 32 Class B, 9.50%, 8/15/19 ........... 432,526 433,032 Series 38 Class C, 9.50%, 1/15/19 ........... 121,032 122,373 Series 39 Class E, 10.00%, 10/15/19 ......... 221,807 223,885 Series 41 Class I, HB, 84.00%, 5/15/20 ...... 71,451 236,868 Series 47 Class F, 10.00%, 6/15/20 .......... 500,000 544,030 Series 99 Class Z, 9.50%, 1/15/21 ........... 1,536,084 1,631,966 Series 204 Class E, HB, IF, 5/15/23 ......... 7,008 165,524 Series 1072 Class A, HB, 1008.50%, 5/15/06 .. 15,982 365,925 Series 1079 Class S, IF, 5/15/21 ............ 733,166 806,629 Series 1084 Class F, AR, 5/15/21 ............ 500,000 509,922 Series 1084 Class S, IF, 5/15/21 ............ 350,000 434,241 Series 1098 Class M, HB, 10.08%, 6/15/06 .... 2,457 56,292 Series 1144 Class KB, 8.50%, 9/15/21 ........ 2,000,000 2,088,876 Series 1172 Class L, HB, 1167.776%, 11/15/21 15,195 509,356 Series 1196 Class B, HB, IF, 1/15/22 ........ 42,078 543,900 Series 1295 Class JB, 4.50%, 3/15/07 ........ 1,500,000 1,345,140 Series 1298 Class L, HB, 981.86%, 6/15/07 ... 6,000 238,567 Series 1329 Class S, IO, IF, 8/15/99 ........ 3,255,765 155,880 Series 1378 Class H, 10.00%, 1/15/21 ........ 1,500,000 1,692,494 Series 1389 Class SA, IF, 10/15/07 .......... 403,027 306,136 Series 1414 Class LB, IF, 11/15/07 .......... 1,225,830 1,159,479 Series 1418 Class B, 6.50%, 11/15/19 ........ 1,250,000 1,230,500 Series 1465 Class SA, IO, IF, 02/15/08 ...... 16,741,330 859,416 Series 1470 Class F, AR, 02/15/23 ........... 987,665 966,026 Series 1489 Class L, 5.50%, 4/15/08 ......... 1,107,607 1,083,639 Series 1506 Class F, AR, 5/15/08 ............ 1,930,583 1,950,644 Series 1506 Class SD, IO, IF, 5/15/08 ....... 9,581,164 466,028 Series 1506 Class S, IF, 05/15/08 ........... 329,766 299,453 Series 1531 Class K, 6.00%, 4/15/08 ......... 1,040,448 993,139 Series 1583 Class NS, IF, 9/15/23 ........... 982,727 713,970 Series 1586 Class A, 6.00%, 9/15/08 ......... 1,306,199 1,266,689 Series 1595 Class S, IO, IF, 10/15/13 ....... 16,417,717 710,493 Series 1628 Class S, IF, 12/15/23 ........... 2,500,000 1,434,350 Series 1635 Class O, AR, 12/15/08 ........... 2,254,078 2,259,325 Series 1640 Class A, 5.50%, 10/15/07 ........ 1,563,851 1,518,397 Series 1646 Class MB, AR, 10/15/22 .......... 1,285,681 1,239,527 Series 1647 Class FB, AR, 12/15/08 .......... 1,243,939 1,117,281 Series 1647 Class SB, IF, 12/15/08 .......... 666,396 651,983 Series 1655 Class F, AR, 12/15/08 ........... 970,128 978,824 Series 1655 Class SA, IF, 12/15/08 .......... 223,945 169,777 81 Series 1689 Class SD, IF, 10/15/23 .......... 1,500,000 1,262,000 Series 1694 Class SE, IF, 5/15/23 ........... 1,038,856 943,454 Series 1723 Class F, IF, 05/15/24 ........... 1,728,782 1,703,915 Series 1796-A, Class S, IF, 2/15/09 ......... 1,391,843 1,086,500 Series 1807 Class G, 9.00%, 1/1/06 .......... 1,073,090 1,133,767 Series 1849 Class A, PO, 12/15/08 ........... 1,000,000 540,150 Series 1854 Class SE, IO, IF, 12/15/23 ...... 2,500,000 712,500 Series 1900 Class FA, AR, 03/015/09 ......... 3,000,000 3,017,985 Series 1900 Class I, PO, 10/15/08 ........... 1,000,000 644,619 Series 1956 Class A, 7.00%, 12/20/21 ........ 1,486,025 1,481,015 Series 1993 Class SJ, IF, IO, 03/15/12 ...... 5,906,433 498,326 Federal Housing Administration Project #07335307, 7.43%, 1/1/22 ............................... 984,693 1,001,630 Federal Housing Administration Greystone 1996-2, 7.43%, 11/1/22 .............................. 1,949,090 1,973,454 Federal National Mortgage Assn. Mortgage Backed Securities Stripped Trust 50, Class 2, IO, 10.50%, 3/25/19 204,467 67,741 Federal National Mortgage Assn. Pass Thru Securities: Guaranteed REMIC Trust: 1988 Class 7-Z, 9.25%, 4/25/18 .............. 589,321 621,276 1988 Class 17-B, 9.40%, 10/25/17 ............ 59,005 60,191 1989 Class 26-D, 10.00%, 5/25/04 ............ 650,770 679,510 1989 Class 27-D, 10.00%, 1/25/16 ............ 503,555 510,136 1989 Class 70-G, 8.00%, 10/25/19 ............ 2,000,000 2,071,818 1989 Class 73-C, PO, 10/25/19 ............... 243,763 212,492 1989 Class 78-H, 9.40%, 11/25/19 ............ 1,750,000 1,902,415 1990 Class 1-D, 8.80%, 1/25/20 .............. 814,263 854,611 1990 Class 60-K, 5.50%, 6/25/20 ............. 1,202,826 1,139,449 1990 Class 63-H, 9.50%, 6/25/20 ............. 755,000 817,878 1990 Class 93-G, 5.50%, 8/25/20 ............. 1,239,243 1,173,799 1990 Class 94-H, HB, 505.00%, 8/25/20 ....... 17,854 313,842 1990 Class 95-J, HB, 1118.04%, 8/25/20 ...... 7,750 340,773 1990 Class 102-J, 6.50%, 8/25/20 ............ 4,114,077 4,007,370 1990 Class 120-H, 9.00%, 10/25/20 ........... 900,000 973,163 1990 Class 134-SC, IF, 11/25/20 ............. 511,651 585,690 1990 Class 140-K, HB, 652.145%, 12/25/20 .... 15,191 479,770 1991 Class 4-N, HB, 758.75%, 1/25/06 ........ 2,562 43,843 1991 Class 7-K, HB, 908.50%, 2/25/21 ........ 1,357 39,805 1991 Class 20-M, HB, 908.75%, 3/25/06 ....... 1,373 27,547 1991 Class 33-J, HB, 1008.25%, 4/25/06 ...... 3,220 74,003 1991 Class 161-H, 7.50%, 2/25/21 ............ 416,377 420,024 1992 Class 13-S, HB, IF, 1/25/99 ............ 7,126 47,478 1992 Class 27-SQ, HB, IF, 5/25/22 ........... 2,881 481,182 1992 Class 85S, IF, 06/25/99 ................ 872,614 922,520 1992 Class 137-BA, 3.50%, 1/25/17 ........... 1,278,147 1,229,342 1992 Class 199-S, IO, IF, 11/25/99 .......... 6,816,525 275,953 1992 Class 204-B, 6.00%, 10/25/20 ........... 2,000,000 1,905,780 1992 Class 206-FA, IF, 06/25/18 ............. 1,250,000 1,210,494 1993 Class 8-SB, IO, IF, 8/25/06 ............ 9,252,810 422,483 82 1993 Class 12-S, IO, IF, 2/25/23 ............ 3,625,613 230,995 1993 Class 12-SB, HB, IF, 2/25/23 ........... 39,988 354,284 1993 Class 19-G, 5.00%, 5/25/19 ............. 3,530,000 3,280,937 1993 Class 38-S, IO, IF, 5.25%, 11/25/22 .... 17,730,772 462,046 1993 Class 58-J, 5.50%, 4/25/23 ............. 1,183,786 1,140,622 1993 Class 94-K, 6.75%, 5/25/23 ............. 762,106 742,783 1993 Class 113-S, IO, IF, 7/25/23 ........... 6,428,404 419,511 1993 Class 139-S, IF, 08/25/23 .............. 2,597,473 1,699,142 1993 Class 152-D, PO, 8/25/23 ............... 700,000 610,070 1993 Class 155-LA, 6.50%, 5/25/23 ........... 1,550,753 1,529,130 1993 Class 155-SB, IO, IF, 9/25/23 .......... 6,627,681 506,348 1993 Class 156-SD, IF, 10/25/19 ............. 1,000,000 695,354 1993 Class 174-SB, IF, 11/25/07 ............. 1,394,135 1,273,589 1993 Class 187-FE, AR, 11/25/16 ............. 1,180,000 1,154,884 1993 Class 207-SC, IF, 11/25/23 ............. 2,350,434 1,586,153 1993 Class 209-KB, 5.659%, 8/25/08 .......... 3,599,652 3,366,971 1993 Class 214-L, 6.00%, 12/25/08 ........... 1,390,606 1,339,668 1993 Class 220-SD, IF, 11/25/13 ............. 1,242,669 859,401 1993 Class 223-FB, AR, 12/25/23 ............. 721,333 694,744 1993 Class 223-SB, IF, 12/25/23 ............. 651,339 546,549 1994 Class 12SB, IF, 01/25/09 ............... 2,188,734 1,961,758 1994 Class 19-C, 5.00%, 1/25/24 ............. 2,082,214 1,889,917 1994 Class 26-G, PO, 2/25/24 ................ 2,199,391 1,346,956 1994 Class 30-LA, 6.50%, 2/25/09 ............ 1,946,576 1,923,154 1994 Class 36-SG, IO, IF, 8/25/23 ........... 3,480,275 297,529 1994 Class 39-F, AR, 3/25/24 ................ 983,780 984,352 1994 Class 39-S, IF, 3/25/24 ................ 378,377 346,353 1994 Class 82-SA, IO, IF, 5/25/23 ........... 17,496,231 566,213 1995 Class 13-B, 6.50%, 3/25/09 ............. 2,357,920 2,293,087 1996 Class 20-L, PO, 9/25/08 ................ 1,655,000 979,581 1996 Class 24-K, PO, 2/25/08 ................ 1,500,000 1,035,993 1996 Class 46-A, 5.00%, 2/25/09 ............. 2,053,734 1,966,304 1997 Class 20, IO, IF, 03/25/27 ............. 18,942,108 1,149,786 1997 Class 29PL, IO, 7.50%, 08/18/26 ........ 1,700,000 791,554 1997 Class 32C, PO, 10/25/21 ............... 1,800,000 1,501,178 1997 Class 50FD6, 8.75%, 04/18/27 ........... 2,392,267 2,391,501 1997 Class MI, A, IF, 01/17/03 .............. 2,217,424 2,226,848 1992-G Class 42-Z, 7.00%, 7/25/22 ........... 704,702 671,193 1993-G Class 8-PG, 6.50%, 7/25/18 ........... 1,000,000 985,690 1993-G Class 19-K, 6.50%, 6/25/19 ........... 2,802,790 2,734,962 1993-G Class 27-SE, IF, 8/25/23 ............. 1,535,674 764,090 1993-G Class 13G, 6.00%, 06/25/20 ........... 1,000,000 966,680 1994-G Class 13-ZB, 7.00%, 11/17/24 ......... 2,634,689 2,454,055 Series 215 Class PM, 7.875%, 11/25/21 ....... 1,200,000 1,251,142 Series G-22 Class G, 6.00%, 12/25/16 ........ 1,500,000 1,413,701 Series X-G1C, Class C, 8.80%, 01/25/25 ...... 1,000,000 1,112,453 Series X, Class VO, IF, 12/25/22 ............ 2,000,000 1,745,174 83 Federal National Mortgage Assn. Pass Thru Pool: #111366, Adjustable Rate, 8/1/19 ............ 436,849 458,704 #116612, Adjustable Rate, 3/1/19 ............ 1,255,157 1,311,412 #160330, 6.345%, 3/1/99 ..................... 2,335,145 2,327,859 #303306, 12.50%, 1/1/16 ..................... 1,001,204 1,157,951 #303532, Adjustable Rate, 3/1/29 ............ 2,121,376 2,102,685 #54844, Adjustable Rate, 09/01/27 ........... 1,934,746 1,913,385 Government National Mortgage Assn. Pass Thru Pool: #297628, 8.00%, 9/15/22 ..................... 1,573,171 1,589,672 #313110, 7.50%, 11/15/22 .................... 1,873,034 1,929,336 ----------- ----------- (Cost $148,807,197) 307,570,333 153,315,098 ----------- ----------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ........ 534,093,585 380,675,430 ----------- ----------- (Cost $376,339,561) CORPORATE BONDS AND NOTES -- 11.41% Finance -- 11.41% American Express Credit Corp., 8.50%, 6/15/99 ... 300,000 311,385 Associates Corp. of North America: 9.125%, 4/1/00 .............................. 1,675,000 1,781,279 8.15%, 8/1/09 ............................... 3,625,000 3,862,329 Case Equipment Loan Trust Asset Backed Ctf.: 1994 Series A, Class A2, 4.65%, 8/15/99 ..... 225,389 225,087 1994 Series C, Class A2, 8.10%, 6/15/01 ..... 1,403,405 1,429,593 1996 Series A, Class A2, 5.50%, 2/15/03 ..... 5,748,763 5,729,217 Chase Manhattan Grantor Trust Automobile Loan Pass Thru Ctfs. Series 1995-B, Class A, 5.90%, 11/15/01 ..... 648,035 649,578 Collaterized Mortgage Obligation Trust CMO: Series 12, Class D, 9.50%, 2/1/17 ........... 319,206 328,530 Series 16, Class Q, IF, 3/20/18 ............. 193,495 209,710 Collaterized Mortgage Securities Corp. CMO: Series 88-2 Class B, 8.80%, 4/20/19 ......... 397,933 413,227 First USA Credit Card Master Trust Asset Backed Pass Thru Ctf. Series 1995-1, Class A, AR, 10/15/01 ........ 2,000,000 2,004,500 Green Tree Financial Corp. Loan Trust Asset Backed Ctf. Series 1996-A, Class A, 5.70%, 2/15/26 ...... 288,673 289,181 Merrill Lynch Home Equity Loan Asset Backed Pass Thru Ctf. Series 1992-1, Class A, AR, 7/15/22 ......... 1,385,420 1,388,205 Merrill Lynch MBS Inc. Project Pass Thru Ctf. Series 144-S, 7.43%, 7/25/24 ................ 540,749 538,197 Merrill Lynch Trust 43-E CMO, Series 43, Class E, 6.50%, 8/27/15 .............................. 1,500,000 1,465,032 Morgan Stanley Mortgage Trust, CMO: Series 35-2, HB, IF, 4/20/21 ................ 2,777 454,665 Series 37-2, HB, IF, 7/20/21 ................ 2,737 410,612 Series 39-3, PO, 12/20/21 ................... 523,647 403,150 Navistar Financial Corp. Owner Trust Asset Backed Pass Thru Ctf. Series 1995-A, Class A2, 6.55%, 11/20/01 .... 1,489,914 1,496,424 Olympic Automobile Receivables Trust Asset Backed Pass Thru Ctf. ................................ Series 1996-C, Class A4, 6.80%, 03/15/02 .... 4,500,000 4,551,615 84 Olympic Automobile Receivables Trust Asset Backed Pass Thru Ctf. ................................ Series 1996-C, Class A5, 7.00%, 03/15/04 .... 2,650,000 2,692,400 Onyx Acceptance Grantor Trust Auto Loan Pass Thru Ctf. Series 1996-1, Class A, 5.40%, 5/15/01 ...... 754,770 747,690 Onyx Acceptance Grantor Trust Auto Loan Pass Thru Ctf. Series 1997-1, Class A, 6.55%, 09/15/03 ..... 2,511,341 2,517,620 Rural Housing Trust 1987-1, Senior Mortgage Pass Thru Ctf. Sub Class 3-B, 7.33%, 4/1/26 ................ 414,083 416,902 Standard Credit Card Master Trust Asset Backed Ctf. Series 1995-10, Class A, 5.90%, 2/7/01 ...... 2,520,000 2,513,473 Superior Wholesale Inventory Fing Trust Asset Backed Ctf. Series 1996-A, Class A, AR, 3/15/01 ......... 2,000,000 2,000,620 Toyota Auto Receivable Grantor Trust Asset Backed Ctf. Series 1995-A, Class A, 5.85%, 3/15/01 ...... 454,150 453,582 Western Financial Owner Trust Asset Backed Pass Thru Ctf. Series 1996-C, Class A4, 6.80%, 12/20/03 .... 6,000,000 6,062,640 World Omni Automobile Asset Backed Ctf. ......... Series 1997-A, Class A4, 6.90%, 06/25/03 .... 3,000,000 3,041,100 World Omni Automobile LSE SEC Trust Asset Backed Ctf. Series 1995-A, Class A, 6.05%, 11/25/01 ..... 4,290,007 4,292,666 ----------- ----------- TOTAL CORPORATE BONDS AND NOTES ..................... 51,364,494 52,680,209 ----------- ----------- (Cost $52,188,761) FOREIGN -- 1.44% African Development Bank Note, 9.30%, 7/1/00 ...... 983,000 1,052,095 Metropolis of Tokyo, 8.70%, 10/5/99 ............... 1,500,000 1,576,602 National Australia Bank Ltd., 9.70%, 10/15/98 ..... 400,000 417,220 Ontario Province of Canada Senior Unsubordinated Debenture, 7.375%, 01/27/03 ...................... 3,500,000 3,603,562 ----------- ----------- (Cost $6,770,442) 6,383,000 6,649,479 ----------- ----------- TOTAL INVESTMENTS ................................... $461,827,655 ============ (Cost $457,121,301) See Notes to Financial Statements.
85 Notes to Portfolio of Investments (a) The Fund invests in securities whose value is derived froMAn underlying pool of mortgages or consumer loans. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by U.S. government agencies or by financial institutions and other mortgage lenders which are collateralized by a pool of mortgages held under an indenture. Descriptions of certain collateralized mortgage obligations are as follows: Adjustable Rate (AR) Inverse Floaters (IF) represent securities that pay interest at a rate that increases (decreases) with a decline (increase) in a specified index. Interest Only (IO) represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayments or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. High Coupon Bonds (HB) (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar risks as those associated with IO securities. Unlike IO's, the owner also has a right to receive a very small portion of principal. The high interest rate results from taking interest payments from other classes in the REMIC Trust and allocating them to the small principal of the HB class. Principal Only (PO) represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. (b) Based upon estimated future cash flows, income is currently not being recognized on certain IO, HB, and CMO securities with an aggregate market value of $841,090. The book cost of certain IO and HB securities includes AWrite down in the amount of $2,239,420 taken during 1993 to properly state the net realizable value of the securities. The write down results in a lower cost of investments than the tax cost disclosed in Note 4 in Notes to Financial Statements. See Notes to Financial Statements. Pegasus Bond Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ TEMPORARY CASH INVESTMENTS -- 7.78% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/2/97 (secured by various U.S. Treasury obligations with maturities ranging from 8/15/97 through 2/15/07 at various interest rates ranging from 0.00% to 12.00%, all held at Chase Bank) ... $43,554,610 $ 43,554,610 Prudential Securities, Inc, Revolving Repurchase Agreement, 6.15%, 7/1/97 (secured by various U.S. Treasury & Agency obligations with maturies ranging from 7/2/97 through 6/26/07 at various interest rates ranging from 0.00% to 8.20%, all held at The Bank of New York) ................... 20,000,000 20,000,000 Lehman Brothers Inc., Revolving Repurchase Agreement, 6.10%, 7/1/97 (secured by U.S. Treasury & Agency obligations with maturities ranging from 7/01/97 through 5/01/04 at various interest rates ranging from 0.00% to 13.00%, all held at Chase Bank) ............................. 17,000,000 17,000,000 ---------- (Cost $80,554,610) 80,554,610 ---------- U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 80.74% U.S. Treasury Securities -- 43.11% Principal Strips from U.S. Treasury Securities due: 5/15/17 ..................................... 10,420,000 2,644,909 8/15/17 ..................................... 33,315,000 8,310,427 Strips from U.S. Treasury Securities due: 5/15/98 ..................................... 1,800,000 1,713,294 8/15/98 ..................................... 1,500,000 1,405,230 11/15/98 .................................... 1,700,000 1,568,998 2/15/99 ..................................... 10,805,000 9,813,425 8/15/99 ..................................... 9,000,000 7,916,580 8/15/00 ..................................... 5,000,000 4,122,890 2/15/01 ..................................... 2,450,000 1,953,998 5/15/05 ..................................... 3,950,000 2,365,537 2/15/11 ..................................... 5,525,000 2,198,342 5/15/11 ..................................... 9,338,000 3,648,730 2/15/12 ..................................... 4,555,000 1,684,257 2/15/13 ..................................... 10,700,000 3,665,713 5/15/13 ..................................... 10,594,000 3,565,517 8/15/13 ..................................... 3,500,000 1,156,855 2/15/14 ..................................... 20,400,000 6,504,744 2/15/15 ..................................... 2,000,000 593,840 5/15/18 ..................................... 15,620,000 3,700,378 11/15/18 .................................... 49,840,000 11,394,919 U.S. Treasury Bonds: 10.75%, 5/15/03 ............................. 1,000,000 1,207,660 11.125%, 8/15/03 ............................ 3,500,000 4,315,395 11.625%, 11/15/04 ........................... 5,000,000 6,478,100 12.75%, 11/15/10 ............................ 67,700,000 93,944,582 10.375%, 11/15/12 ........................... 15,965,000 20,265,492 12.50%, 8/15/14 ............................. 1,300,000 1,911,611 9.875%, 11/15/15 ............................ 1,000,000 1,315,000 7.50%, 11/15/16 ............................. 5,395,000 5,765,043 8.75%, 5/15/17 .............................. 9,945,000 11,965,028 7.875%, 2/15/21 ............................. 2,500,000 2,787,500 87 U.S. Treasury Notes: 3.375%, 1/15/07 Inflation Protection Series . 3,030,630 2,959,598 5.875%, 7/31/97 ............................. 2,100,000 2,100,651 8.625%, 8/15/97 ............................. 18,900,000 18,973,899 8.75%, 10/15/97 ............................. 6,150,000 6,206,703 5.25%, 12/31/97 ............................. 8,410,000 8,399,488 7.875%, 1/15/98 ............................. 8,292,000 8,390,426 8.125%, 2/15/98 ............................. 3,000,000 3,043,590 7.875%, 4/15/98 ............................. 21,125,000 21,468,281 5.00%, 1/31/99 .............................. 6,450,000 6,353,250 7.00%, 4/15/99 .............................. 9,600,000 9,751,488 9.125%, 5/15/99 ............................. 2,400,000 2,527,128 6.875%, 7/31/99 ............................. 7,410,000 7,517,667 7.75%, 11/30/99 ............................. 43,405,000 44,917,230 7.125%, 2/29/00 ............................. 26,300,000 26,875,181 6.75%, 4/30/00 .............................. 6,200,000 6,281,344 6.125%, 7/31/00 ............................. 4,000,000 3,986,240 8.75%, 8/15/00 .............................. 12,250,000 13,101,742 7.75%, 2/15/01 .............................. 2,000,000 2,091,560 7.50%, 11/15/01 ............................. 6,800,000 7,085,804 5.75%, 8/15/03 .............................. 1,250,000 1,207,025 7.25%, 5/15/04 .............................. 9,000,000 9,381,060 6.50%, 8/15/05 .............................. 4,000,000 3,988,760 ------------ (Cost $440,636,274) 446,492,109 ------------ Agency Obligations -- 37.63% Federal Home Loan Mortgage Corp. Participation Ctfs.: #170269, 12.00%, 8/1/15 ..................... 1,315,737 1,475,495 #200070, 7.50%, 4/1/02 ...................... 195,325 195,888 #274081, 7.50%, 7/1/16 ...................... 78,602 79,060 #289711, 7.50%, 4/1/17 ...................... 120,190 120,842 #555238, 12.00%, 7/1/19 ..................... 619,442 694,873 Federal Home Loan Mortgage Corp. Gtd. Multi-Class Mortgage Participation Ctfs.: Series 10 Class D, 10.00%, 7/15/18 .......... 384,061 387,779 Series 11 Class D, 9.50%, 7/15/19 ........... 3,000,000 3,265,713 Series 13 Class SA, IF, 4/25/23 ............. 1,681,783 1,505,643 Series G-21 Class SD, IF, 8/25/22 ........... 3,450,000 3,079,856 Series 22 Class C, 9.50%, 4/15/20 ........... 1,104,876 1,200,695 Series 23 Class E, 9.40%, 8/15/19 ........... 405,906 414,695 Series 23 Class F, 9.60%, 4/15/20 ........... 1,575,000 1,715,928 Series G-29 Class SD, IO, IF, 4/25/24 ....... 18,366,546 592,009 Series 32 Class B, 9.50%, 8/15/19 ........... 159,170 159,356 Series 38 Class C, 9.50%, 1/15/19 ........... 181,548 183,560 Series 41 Class I, HB, 84.00%, 5/15/20 ...... 95,268 315,824 Series 47 Class F, 10.00%, 6/15/20 .......... 500,000 544,030 Series 48 Class BE, IF, IO, 01/25/23 ........ 15,887,574 1,449,741 Series 99 Class Z, 9.50%, 1/15/21 ........... 1,536,084 1,631,966 Series 204 Class E, HB, IF, 5/15/23 ......... 21,745 513,597 88 Series 1045 Class G, HB, 1066.2085%, 2/15/21 3,648 121,100 Series 1051 Class D, 7.00%, 11/15/19 ........ 769,935 775,825 Series 1065 Class J, 9.00%, 4/15/21 ......... 2,000,000 2,129,114 Series 1072 Class A, HB, 1008.50%, 5/15/06 .. 24,056 550,790 Series 1079 Class S, IF, 5/15/21 ............ 977,554 1,075,505 Series 1084 Class F, AR, 5/15/21 ............ 2,350,000 2,396,633 Series 1084 Class S, IF, 5/15/21 ............ 1,645,000 2,040,933 Series 1089 Class C, HB, IO, IF, 6/15/21 .... 61,514 855,994 Series 1098 Class M, HB, 10.08%, 6/15/06 .... 11,058 253,314 Series 1144 Class KB, 8.50%, 9/15/21 ........ 2,000,000 2,088,876 Series 1172 Class L, HB, 1167.776%, 11/15/21 17,594 589,783 Series 1196 Class B, HB, IF, 1/15/22 ........ 64,312 831,306 Series 1295 Class JB, 4.50%, 3/15/07 ........ 2,400,000 2,152,224 Series 1297 Class H, 7.50%, 1/15/20 ......... 1,901,091 1,897,707 Series 1298 Class L, HB, 981.8667%, 6/15/07 . 9,000 357,850 Series 1329 Class S, IO, IF, 8/15/99 ........ 3,798,893 181,883 Series 1370 Class F, 6.75%, 3/15/19 ......... 600,000 598,446 Series 1378 Class H, 10.00%, 1/15/21 ........ 3,800,000 4,287,650 Series 1378 Class JZ, 7.50%, 11/15/21 ....... 3,331,178 3,356,206 Series 1389 Class SA, IF, 10/15/07 .......... 1,249,383 949,023 Series 1414 Class LA, AR, 11/15/07 .......... 2,002,047 1,928,069 Series 1414 Class LB, IF, 11/15/07 .......... 2,761,444 2,611,975 Series 1418 Class B, 6.50%, 11/15/19 ........ 2,250,000 2,214,900 Series 1465 Class SA, IO, IF, 2/15/08 ....... 18,162,764 932,386 Series 1470 Class F, AR, 2/15/23 ............ 1,975,331 1,932,051 Series 1483 Class E, 6.50%, 2/15/20 ......... 3,407,500 3,358,125 Series 1489 Class L, 5.50%, 4/15/08 ......... 1,324,889 1,296,218 Series 1506 Class F, AR, 5/15/08 ............ 2,392,255 2,417,113 Series 1506 Class S, IF, 5/15/08 ............ 494,648 449,179 Series 1506 Class SD, IO, IF, 5/15/08 ....... 17,391,020 845,899 Series 1531 Class K, 6.00%, 4/15/08 ......... 1,127,152 1,075,900 Series 1544 Class TA, IF, 07/15/08 .......... 1,862,666 1,815,210 Series 1561 Class SC, IF, 8/15/08 ........... 1,575,139 1,393,471 Series 1575 Class FB, AR, 8/15/08 ........... 2,685,107 2,748,454 Series 1575 Class SB, IF, 8/15/08 ........... 895,036 581,284 Series 1583 Class NS, IF, 9/15/23 ........... 1,270,128 922,772 Series 1586 Class A, 6.00%, 9/15/08 ......... 1,401,775 1,359,374 Series 1595 Class S, IO, IF, 10/15/13 ....... 11,647,286 504,048 Series 1601 Class S, IF, 10/15/08 ........... 2,648,070 2,638,140 Series 1602 Class O, 6.00%, 10/15/23 ........ 2,463,000 2,260,103 Series 1604 Class SE, IF, 11/15/08 .......... 935,165 798,975 Series 1606 Class LC, AR, 5/15/08 ........... 1,883,250 1,946,320 Series 1606 Class LD, IF, 05/15/08 .......... 424,411 312,889 Series 1612 Class SD, IF, 11/15/08 .......... 3,202,495 2,385,859 Series 1628 Class S, IF, 12/15/23 ........... 2,550,000 1,463,037 Series 1633 Class SE, IF, 12/15/23 .......... 1,278,652 1,280,854 Series 1635 Class O, IF, 12/15/08 ........... 4,508,156 4,518,650 Series 1640 Class A, 5.50%, 10/15/07 ........ 865,109 839,964 Series 1646 Class MB, IF, 10/15/22 .......... 2,571,363 2,479,053 Series 1647 Class FB, AR, 12/15/08 .......... 746,606 730,458 89 Series 1647 Class SB, IF, 12/15/08 .......... 2,096,926 1,883,417 Series 1655 Class F, AR, 12/15/08 ........... 1,494,755 1,508,154 Series 1655 Class SA, IF, 12/15/08 .......... 344,875 261,457 Series 1681 Class K, 7.00%, 8/15/23 ......... 1,041,789 1,016,374 Series 1686 Class SH, IF, 2/15/24 ........... 1,535,892 1,037,068 Series 1686 Class SL, IF, 2/15/24 ........... 1,201,836 1,029,117 Series 1689 Class SD, IF, 10/15/23 .......... 1,725,000 1,451,299 Series 1694 Class SE, IF, 5/15/23 ........... 1,355,933 1,231,412 Series 1701 Class S, IF, 03/15/09 ........... 4,137,943 3,734,493 Series 1706 Class LA, 7.00%, 3/15/24 ........ 4,258,897 4,223,050 Series 1716 Class F, IF, 04/15/09 ........... 2,524,525 2,536,983 Series 1723 Class F, IF, 05/15/04 ........... 5,013,466 4,941,353 Series 1796-A, Class S, IF, 2/15/09 ......... 1,000,000 780,620 Series 1807 Class G, 9.00%, 1/1/06 .......... 2,074,640 2,191,949 Series 1825 Class C, 5.7999%, 12/15/23 ...... 2,000,000 1,817,612 Series 1849 Class A, PO, 12/15/08 ........... 3,015,568 1,628,859 Series 1854 Class C, PO, 4/15/08 ............ 2,725,000 1,750,221 Series 1854 Class SE, IO, IF, 12/15/23 ...... 9,886,816 2,817,743 Series 1900 Class FA, IF, 03/15/09 .......... 10,820,440 10,885,309 Series 1900 Class I, IF, PO, 10/15/08 ....... 4,412,727 2,844,528 Series 1930 Class SJ, IF, IO, 07/15/16 ...... 13,764,763 1,161,333 Series 1946 Class 1, IO, 10/15/08 ........... 3,006,111 1,796,807 Series 1956 Class A, 7.00%, 12/20/21 ........ 4,656,211 4,640,515 Series 1993 Class SJ, IO, IF, 03/15/12 ...... 26,262,954 2,215,805 Federal Housing Adminstration Merrill Lynch Project Pass Thru Ctfs., 7.43%, 8/1/20 ................ 1,331,878 1,348,793 Federal Housing Administration Project #07335307, 7.43%, 1/1/22 ................................. 1,772,448 1,802,934 Federal Housing Administration Greystone, 7.43%, 11/1/22 ....................................... 2,581,654 2,613,925 Federal National Mortgage Assn. Mortgage Backed Securities, Stripped Trust: 23, Class 2, IO, 10.00%, 9/1/17 ............. 970,224 304,893 50, Class 2, IO, 10.50%, 3/25/19 ............ 129,137 42,784 Federal National Mortgage Assn. Pass Thru Securities: Pool #44699, 7.00%, 4/1/17 .................. 261,601 258,987 Pool #50966, 7.00%, 1/1/24 .................. 1,811,516 1,788,961 Pool #54844, Adjustable Rate, 9/01/27 ....... 5,589,513 5,527,799 Pool #70226, Adjustable Rate, 1/1/19 ........ 506,078 496,273 Pool #116612, Adjustable Rate, 3/1/19 ....... 1,956,568 2,044,260 Pool #160330, 6.345%, 3/1/99 ................ 2,335,145 2,327,859 Pool #303306, 12.50%, 1/1/16 ................ 1,516,975 1,754,472 Pool #303532, Adjustable Rate, 3/1/29 ....... 5,696,288 5,646,098 Federal National Mortgage Assn. Pass Thru Securities Guaranteed Remic Trust: 1988 Class 7-Z, 9.25%, 4/25/18 .............. 602,132 634,782 1988 Class 17-B, 9.40%, 10/25/17 ............ 339,516 346,339 1989 Class 27-D, 10.00%, 1/25/16 ............ 275,921 279,527 1989 Class 34-E, 9.85%, 8/25/14 ............. 791,865 811,595 1989 Class 70-G, 8.00%, 10/25/19 ............ 2,000,000 2,071,818 1989 Class 73-C, PO, 10/25/19 ............... 1,148,500 1,001,166 90 1989 Class 78-H, 9.40%, 11/25/19 ............ 1,250,000 1,358,868 1990 Class 1-D, 8.80%, 1/25/20 .............. 2,742,780 2,878,690 1990 Class 60-K, 5.50%, 6/25/20 ............. 721,696 683,670 1990 Class 63-H, 9.50%, 6/25/20 ............. 900,000 974,954 1990 Class 93-G, 5.50%, 8/25/20 ............. 1,487,092 1,408,559 1990 Class 94-H, HB, 505.00%, 8/25/20 ....... 30,143 529,860 1990 Class 95-J, HB, 1118.04%, 8/25/20 ...... 15,500 681,545 1990 Class 102-J, 6.50%, 8/25/20 ............ 3,577,459 3,484,670 1990 Class 120-H, 9.00%, 10/25/20 ........... 3,100,000 3,352,005 1990 Class 134-SC, IF, 11/25/20 ............. 860,777 985,337 1990 Class 140-K, HB, 652.1454%, 12/25/20 ... 16,276 514,044 1991 Class 4-N, HB, 758.75%, 1/25/06 ........ 7,260 124,234 1991 Class 7-K, HB, 908.50%, 2/25/21 ........ 5,428 159,218 1991 Class 24-Z, 5.00%, 3/25/21 ............. 1,365,951 1,184,348 1991 Class 33-J, HB, 1008.25%, 4/25/06 ...... 6,899 158,577 1991 Class 144-PZ, 8.50%, 6/25/21 ........... 2,424,036 2,534,783 1992 Class 13-S, HB, IF, 1/25/99 ............ 24,065 160,345 1992 Class 27-SQ, HB, IF, 5/25/22 ........... 5,705 952,742 1992 Class 85-S, IF, 6/25/99 ................ 3,490,458 3,690,080 1992 Class 134-B, IO, 9.00%, 8/15/22 ........ 858,291 261,779 1992 Class 135-LC, 7.50%, 9/25/07 ........... 1,000,000 1,024,896 1992 Class 137-BA, 3.50%, 1/25/17 ........... 1,491,171 1,434,232 1992 Class 186-M, 6.00%, 9/25/07 ............ 1,025,831 964,619 1992 Class 199-S, IO, IF, 11/25/99 .......... 9,782,687 396,033 1992 Class 201-SB, IF, 10/25/22 ............. 500,000 461,823 1992 Class 204-B, 6.00%, 10/25/20 ........... 4,300,000 4,097,427 1992 Class 206-FA, IF, 6/25/18 .............. 3,484,000 3,373,888 1992 Class 215-PM, 7.875%, 11/25/21 ......... 1,600,000 1,668,189 1993 Class 8-SB, IO, IF, 8/25/06 ............ 9,622,922 439,383 1993 Class 12-S, IO, 6.25%, 2/25/23 ......... 5,731,668 365,176 1993 Class 12-SB, HB, IF, 2/25/23 ........... 45,320 401,522 1993 Class 13-G, 6.00%, 6/25/20 ............. 2,000,000 1,933,360 1993 Class 19-G, 5.00%, 5/25/19 ............. 3,265,000 3,034,635 1993 Class 19-K, 6.50%, 6/25/19 ............. 3,397,321 3,315,106 1993 Class 27-SE, IF, 8/25/23 ............... 1,343,715 668,579 1993 Class 32-K, 6.00%, 3/25/23 ............. 1,915,747 1,800,701 1993 Class 38-S, IO, IF, 11/25/22 ........... 18,883,038 492,073 1993 Class 44-S, IO, IF, 4/25/23 ............ 10,556,396 525,402 1993 Class 58-J, 5.50%, 4/25/23 ............. 1,578,381 1,520,830 1993 Class 94-K, 6.75%, 5/25/23 ............. 1,143,159 1,114,175 1993 Class 113-S, IO, IF, 7/25/23 ........... 7,178,848 468,484 1993 Class 139-SG, IF, 8/25/23 .............. 3,779,324 2,472,252 1993 Class 152-D, PO, 8/25/23 ............... 1,000,000 871,529 1993 Class 155-LA, 6.50%, 5/25/23 ........... 4,070,727 4,013,965 1993 Class 155-SB, IO, IF, 9/25/23 .......... 9,205,112 703,261 1993 Class 156-SD, IF, 10/25/19 ............. 1,250,000 869,193 1993 Class 107-F, IF, 6/25/08 ............... 956,087 921,473 1993 Class 174-SB, IF, 11/25/07 ............. 1,510,313 1,379,721 91 1993 Class 175-FE, AR, 9/25/08 .............. 1,000,000 967,146 1993 Class 186-SA, IF, 9/25/08 .............. 963,534 1,005,662 1993 Class 187-SA, IF, 9/25/23 .............. 987,304 960,348 1993 Class X-188A, IO, 8/25/06 .............. 6,745,833 538,958 1993 Class 189-SH, IF, 3/25/22 .............. 2,000,000 1,734,742 1993 Class 206-SD, IF, 11/25/23 ............. 1,250,000 1,092,666 1993 Class 207-SC, IF, 11/25/23 ............. 3,411,920 2,302,480 1993 Class 209-KB, 5.659%, 8/25/08 .......... 6,063,310 5,671,378 1993 Class 214-L, 6.00%, 12/25/08 ........... 903,894 870,785 1993 Class 220-SD, IF, 11/25/13 ............. 2,087,684 1,443,794 1993 Class 221-FH, IF, 12/25/08 ............. 2,000,000 2,038,994 1993 Class 223-FB, AR, 12/25/23 ............. 7,114,174 6,851,938 1993 Class 223-SB, IF, 12/25/23 ............. 3,081,707 2,585,909 1993 Class X-225C-FP, AR, 12/25/22 .......... 1,600,000 1,396,139 1993 Class XG23A-A, PO, 7/25/20 ............. 6,700,000 5,727,194 1994 Class 12-FB, IF, 1/25/09 ............... 353,022 345,905 1994 Class 12-SB, IF, 1/25/09 ............... 2,376,956 2,130,461 1994 Class 13-ZB, 7.00%, 11/17/24 ........... 2,634,689 2,454,055 1994 Class 19-C, 5.00%, 1/25/24 ............. 2,819,317 2,558,947 1994 Class 26-G, PO, 2/25/24 ................ 2,278,569 1,395,446 1994 Class 30-LA, 6.50%, 2/25/09 ............ 1,790,850 1,769,301 1994 Class 32-F, IF, 3/25/09 ................ 1,618,924 1,570,665 1994 Class 32-S, IF, 3/25/09 ................ 2,914,062 2,700,604 1994 Class 33-FA, IF, 3/25/09 ............... 2,910,683 2,828,331 1994 Class 36-SG, IO, IF, 8/25/23 ........... 7,651,123 654,095 1994 Class 39-F, AR, 3/25/24 ................ 1,093,089 1,093,724 1994 Class 39-S, IF, 3/25/24 ................ 420,419 384,837 1994 Class 76-FA, IF, 4/25/24 ............... 2,252,007 2,184,749 1994 Class 82-SA, IO, IF, 5/25/23 ........... 35,494,902 1,148,686 1995 Class 13-B, 6.50%, 3/25/09 ............. 3,763,604 3,660,120 1995 Class XG1C C, 8.80%, 1/25/25 ........... 1,774,000 1,973,492 1996 Class 7-C 6.50%, 12/25/10 .............. 1,000,000 946,435 1996-20, Class L, PO, 9/25/08 ............... 3,165,000 1,873,338 1996 Class 24-K, PO, 2/25/08 ................ 3,775,000 2,607,249 1996 Class 24-B, PO, 10/25/08 ............... 3,800,000 2,065,543 1996 Class 46-A, 5.00%, 2/25/09 ............. 5,750,000 5,505,217 1997 Class 20, IO, IF, 3/25/27 .............. 64,734,653 3,929,393 1997 Class 20-S, IF, 3/25/27 ................ 3,054,459 1,763,385 1997 Class 29-PL, IO, 7.50%, 8/18/26 ........ 7,875,000 3,666,758 1997 Class 32-C, PO, 10/25/21 ............... 4,400,000 3,669,547 1997 Class 48-FB, IF, 3/25/25 ............... 4,686,626 4,686,626 1997 Class 50-FD, 6.0875%, 4/18/27 .......... 6,000,000 5,998,080 1997 Class M1-B, IF, 10/17/09 ............... 3,750,000 3,817,125 1992-G Class 15-Z, 7.00%, 1/25/22 ........... 1,813,742 1,676,520 1992-G Class 31-W, 8.00%, 9/25/21 ........... 2,234,769 2,261,899 1992-G Class 35-G, 1184.775%, HB, IO, 7/25/22 733,699 1,373,496 1992-G Class 42-Z, 7.00%, 7/25/22 ........... 2,466,457 2,349,177 1992-G Class 59-C, 6.00%, 12/25/21 .......... 3,700,000 3,558,919 1992-G Class 59-F, AR, 10/25/22 ............. 1,709,415 1,661,642 1992-G Class 61-GJ, IF, 10/25/22 ............ 3,816,281 3,762,822 92 1992-G Class 61-Z, 7.00%, 10/25/22 .......... 1,074,053 968,504 Government National Mortgage Assn. Pass Thru Securities Guaranteed Remic Trust: 1994 Class 4-SA, IO, IF, 10/16/22 ........... 6,454,360 387,835 1996 Class 15-OB, 9.00%, 11/20/21 ........... 4,528,250 4,840,441 1996 Class 26-S, IO, IF, 12/16/20 ........... 24,806,696 1,457,393 Government National Mortgage Assn. Pass Thru Pool: #023594, 8.50%, 7/15/08 ..................... 357,137 378,356 #190923, 9.00%, 12/15/16 .................... 358,594 385,489 #297628, 8.00%, 9/15/22 ..................... 2,809,551 2,894,003 #313110, 7.50%, 11/15/22 .................... 2,170,976 2,193,747 #345288, 7.50%, 3/15/23 ..................... 723,265 730,078 ------------ (Cost $377,380,406) 389,806,988 ------------ TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ........ 836,299,097 ------------ (Cost $818,016,680) CORPORATE BONDS AND NOTES -- 9.85% Finance -- 8.82% ABN Amro Bank NV, 7.25%, 5/31/05 ................ 2,000,000 2,021,710 Associates Corp. of North America: 9.125%, 4/1/00 .............................. 2,350,000 2,499,107 8.15%, 8/1/09 ............................... 3,085,000 3,286,975 American Re Corp., Series B, 7.45%, 12/15/26 .... 1,500,000 1,485,300 Case Equipment Loan Trust Asset Backed Ctf.: 5.50%, 2/15/03 .............................. 6,270,337 6,249,018 7.30%, 3/15/02 .............................. 1,957,859 1,984,271 Chase Manhattan Grantor Trust, Series 95-B, 5.90%, 11/15/01 ............................... 756,041 757,841 Chase Manhattan Corp., Subordinated Note, 9.75%, 11/1/01 ....................................... 2,000,000 2,223,724 Chevy Chase Automobile Recievable Trust Asset Backed Pass Thru Ctf.: Series 1995-2, Class A, 5.80%, 6/15/02 ...... 974,243 974,691 Collateralized Mortgage Obligation Trust CMO: Trust 12-D, 9.50%, 2/1/17 ................... 638,411 657,060 Trust 16-Q, IF, 3/20/18 ..................... 343,076 371,826 Dayton Hudson Credit Card Master Trust Asset Backed Ctf. Series A, 6.10%, 2/25/02 .................... 1,500,000 1,505,130 First USA Credit Card Master Trust, VR, 10/15/01 4,100,000 4,109,225 Ford Credit Grantor Trust, Series 94-A, 6.35%, 5/15/99 ....................................... 582,649 584,443 Government National Mortgage Assn. Backed Trust I CMO, Class A, Zero Coupon, PO, 5/20/17 ........ 239,356 192,106 Green Tree Financial Corp. Loan Trust Asset Backed Ctf.: Series 1995-A, Class A6, 7.30%, 7/15/25 ..... 3,000,000 3,023,340 Series 1996-A, Class A, 5.70%, 2/15/26 ...... 378,883 379,550 Merrill Lynch Trust Series 43 Class E CMO, 6.50%, 8/27/15 ....................................... 4,000,000 3,906,752 Merrill Lynch Home Equity Loan, 1992-1, Class A, Variable Rate, 7/15/22 ..................................... 1,731,775 1,735,256 Merrill Lynch MBS 144-S, 7.43%, 7/25/24 ......... 4,686,493 4,664,373 93 Morgan Stanley Mortgage Trust CMO: Series 35-2, HB, IF, 4/20/21 ................ 3,644 596,725 Series 37-2, HB, IF, 7/20/21 ................ 4,038 605,625 Series 39-3, PO, 12/20/21 ................... 673,261 518,336 Navistar, Class A-2, 6.55%, 11/20/01 ............ 1,915,603 1,923,974 Olympic Automobile Receivables Trust Asset Backed Pass Thru Ctf. ................................ Series 1996-C, Class A5, 7.00%, 12/15/01 .... 3,500,000 3,556,000 Series 1996-C, Class A4, 6.80%, 3/15/02 ..... 7,000,000 7,080,290 ONYX Acceptance CMO Trust, 5.40%, 2/15/01 ....... 754,770 747,690 ONYX Accpetance Grantor Trust Auto Loan Pass Thru Ctf. Series 1997-1, Class A5, 6.55%, 9/15/03 ..... 5,157,219 5,170,112 PaineWebber CMO Trust: Series H-4, 8.75%, 4/1/18 ................... 706,307 734,148 Series P-4, 8.50%, 8/1/19 ................... 2,815,246 2,917,293 Rural Housing Trust 1987-1 Sr. Mortgage Pass Thru Ctf., Class 3-B, 7.33%, 4/1/26 .................... 925,474 931,777 Salomon Inc. Note, 6.70%, 12/1/98 ............... 2,500,000 2,512,285 Sears Credit Account Master Trust Asset Backed Ctf. Series 1995-3, Class A, 7.00%, 10/15/04 ..... 1,600,000 1,627,504 Standard Credit Card Master Trust Asset Backed Ctf., Series 1994-2, Class A, 7.25%, 4/7/08 ....... 1,800,000 1,841,724 Superior Wholesale, 1996-A, Adjustable Rate, 3/15/01 ....................................... 2,700,000 2,700,837 Toyota Auto Receivables Grantor Trust, Series 95-A Class A, 5.85%, 3/15/01 ..................... 455,141 454,572 Western Financial Asset Backed Pass Thru Ctf. Series 1996-C, Class A4, 6.80%, 12/20/03 .... 4,150,000 4,193,326 World Omni Automobile LSE SEC Trust, Series 95-5 Class A, 6.05%, 11/25/01 .................... 6,021,063 6,024,796 World Omni Asset Backed Pass Thru Ctf. Series 1997-A, Class A4, 6.90%, 6/25/03 ..... 4,600,000 4,663,020 ------------ (Cost $89,744,615) 91,411,732 ------------ Industrial -- 0.80% Boeing Co., 7.95%, 8/15/24 ...................... 1,730,000 1,889,229 Dayton Hudson Co., 7.875%, 6/15/23 .............. 1,800,000 1,791,094 General Motors Corp., 8.80%, 3/1/21 ............. 2,695,000 3,068,257 Monsanto Co., 8.20%, 4/15/25 .................... 1,500,000 1,540,953 ------------ (Cost $7,519,813) 8,289,533 ------------ Public Utility -- 0.23% Nippon Telegraph & Telephone Corp., 9.50%, 7/27/98 ....................................... 1,355,000 1,401,693 West Texas Utilities, 6.375%, 10/1/05 ........... 1,000,000 960,967 ------------ (Cost $2,388,783) 2,362,660 ------------ TOTAL CORPORATE BONDS AND NOTES ..................... 102,063,925 ------------ (Cost $99,653,211) 94 FOREIGN -- 1.63% African Development Bank Note, 9.30%, 7/1/00 ...... 1,572,000 1,682,496 Kingdom of Belgium Put Euro Dollar, 9.20%, 6/28/00 2,000,000 2,383,750 Metropolis of Tokyo, 8.70%, 10/5/99 ............... 2,250,000 2,364,903 National Australia Bank Ltd, 9.70%, 10/15/98 ...... 800,000 834,440 Province of Ontario Eurobond, 7.375%, 1/27/03 ..... 4,400,000 4,530,192 Province of Quebec, 9.125%, 8/22/01 ............... 2,515,000 2,713,056 Quebec Province of Canada, 6.50%, 1/17/06 ......... 2,500,000 2,404,075 -------------- (Cost $16,658,456) 16,912,912 -------------- TOTAL INVESTMENTS ................................... $1,035,830,544 ============== (Cost $1,014,882,957) See Notes to Financial Statements.
95 Notes to Portfolio of Investments (a) The Fund invests in securities whose value is derived froMAn underlying pool of mortgages or consumer loans. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by U.S. government agencies or by financial institutions and other mortgage lenders which are collateralized by a pool of mortgages held under an indenture. Descriptions of certain collateralized mortgage obligations are as follows: Adjustable Rate (AR) Inverse Floaters (IF) represent securities that pay interest at a rate that increases (decreases) with a decline (increase) in a specified index. Interest Only (IO) represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayments or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. High Coupon Bonds (HB) (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar risks as those associated with IO securities. Unlike IO's, the owner also has a right to receive a very small portion of principal. The high interest rate results from taking interest payments from other classes in the REMIC Trust and allocating them to the small principal of the HB class. Principal Only (PO) represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. (b) Based upon estimated future cash flows, income is currently not being recognized on certain IO, HB, and CMO securities with an aggregate market value of $1,446,028. The book cost of certain IO and HB securities includes AWrite down in the amount of $5,725,668 taken during 1993 to properly state the net realizable value of the securities. The write down results in a lower cost of investments than the tax cost disclosed in Note 4 in Notes to Financial Statements. See Notes to Financial Statements. 96 Pegasus Short Bond Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ TEMPORARY CASH INVESTMENT -- 0.14% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/1/97 (secured by various U.S. Treasury obligations with maturities ranging from 8/15/97 through 2/15/07 at various interest rates ranging from 0.00% to 12.00%, all held at Chase Bank) ... $ 260,813 $ 260,813 (Cost $260,813) ------------ U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 71.19% U.S. Treasury Securities -- 55.00% Strip from U.S. Treasury Note Principal due: 8/15/98 ....................................... 500,000 468,410 U.S. Treasury Notes: 7.875%, 1/15/98 ............................... 765,000 774,081 5.625%, 1/31/98 ............................... 17,610,000 17,530,227 7.875%, 4/15/98 ............................... 1,000,000 1,037,190 6.125%, 5/15/98 ............................... 7,600,000 7,622,572 9.00%, 5/15/98 ................................ 4,500,000 4,621,635 6.00%, 5/31/98 ................................ 700,000 701,309 8.25%, 7/15/98 ................................ 2,200,000 2,253,625 5.25%, 7/31/98 ................................ 3,000,000 2,981,250 6.25%, 7/31/98 ................................ 6,265,000 6,290,436 6.125%, 8/31/98 ............................... 6,040,000 6,055,100 5.50%, 11/15/98 ............................... 5,000,000 4,970,300 8.875%, 2/15/99 ............................... 1,000,000 1,043,750 7.00%, 4/15/99 ................................ 1,000,000 1,015,780 6.375%, 4/30/99 ............................... 7,000,000 7,039,375 6.25%, 5/31/99 ................................ 3,000,000 3,009,375 6.75%, 5/31/99 ................................ 2,200,000 2,225,432 6.875%, 7/31/99 ............................... 1,000,000 1,014,530 6.875%, 8/31/99 ............................... 2,000,000 2,029,680 7.125%, 9/30/99 ............................... 1,000,000 1,020,470 7.50%, 10/31/99 ............................... 4,035,000 4,149,755 7.875%, 11/15/99 .............................. 3,000,000 3,048,750 7.75%, 11/30/99 ............................... 8,750,000 9,054,850 7.75%, 12/31/99 ............................... 1,000,000 1,035,780 7.75%, 1/31/00 ................................ 9,100,000 9,431,331 8.50%, 2/15/00 ................................ 960,000 1,012,502 7.125%, 2/29/00 ............................... 2,000,000 2,043,740 6.875%, 3/31/00 ............................... 500,000 508,125 6.75%, 4/30/00 ................................ 1,700,000 1,722,304 ----------- ----------- (Cost $105,774,773) 104,425,000 105,711,664 ----------- ----------- Agency Obligations -- 16.19% Federal Home Loan Bank Series GI98, 4.83%, 09/21/98 .................. 500,000 492,265 Federal Home Loan Mortgage Corp. Gtd. Multi-Class Mortgage Participation Ctfs.: Series 2 Class Z, 9.30%, 3/15/19 ............ 982,115 1,035,243 Series 10 Class D, 10.00%, 7/15/18 .......... 87,287 88,132 Series 11 Class C, 9.50%, 4/15/19 ........... 338,724 348,204 Series 26 Class F, 9.50%, 2/15/20 ........... 1,279,206 1,358,070 97 Series 81 Class A, 8.125%, 11/15/20 ......... 339,766 349,078 Series 85 Class C, 8.60%, 1/15/21 ........... 758,439 785,004 Series 99 Class Z, 9.50%, 1/15/21 ........... 768,042 815,983 Series 192 Class H, 9.00%, 7/15/21 .......... 219,610 222,885 Series 1045 Class G, HB, 1066.208%, 2/15/21 . 1,824 60,551 Series 1096 Class D, 7.00%, 6/15/20 ......... 344,861 346,044 Series 1424 Class IF, 11/15/22 .............. 876,888 835,785 Series 1477 Class F, 6.65%, 5/15/18 ......... 300,000 300,105 Series 1490 Class PE, 5.75%, 07/15/06 ....... 250,000 247,793 Series 1497 Class CC, 5.50%, 07/15/14 ....... 1,000,000 995,590 Series 1541 Class EA, 4.00%, 12/15/16 ....... 1,000,000 954,420 Series 1552 Class F, 6.00%,06/15/19 ......... 553,000 539,656 Series 1555 Class PK, 7.00%, 07/15/07 ....... 2,000,000 2,000,500 Series 1559 Class VF, 6.25%, 2/15/20 ........ 500,000 492,825 Series 1560 Class X, Accrual Bond, 6.00%, 11/15/16 .................................. 943,409 931,333 Series 1561 Class EA, IF, 06/15/07 .......... 500,000 493,895 Series 1570 Class D, P/O, 7/15/20 ........... 252,596 232,997 Series 1578 Class C, 5.50%, 11/15/12 ........ 334,199 333,911 Series 1614 Class G, 5.80%,2/15/19 .......... 1,100,000 1,083,951 Series 1623 Class PC, 5.00%, 11/15/07 ....... 233,752 233,380 Series 1669 Class C, 5.10%, 8/15/12 ......... 490,571 489,453 Series 1671 Class D, 5.75%, 11/15/16 ........ 250,000 249,180 Series 1698 Class PE, 6.00%, 11/15/05 ....... 250,000 247,260 Series 1727 Class E, 6.50%, 4/15/18 ......... 1,000,000 998,930 Series 1807 Class G, 9.00%, 1/1/06 .......... 715,393 755,844 Federal National Mortgage Assn. Medium Term Note, 4.92%, 9/28/98 ................................ 220,000 217,421 Federal National Mortgage Assn. Mortgage Backed Securities Stripped Trust 268, Class 2, IO,9.00%, 12/25/21 ............................ 205,461 65,043 Federal National Mortgage Assn. Pass Thru Securities: Pool #070226, AR, 1/1/19 ...................... 303,647 297,764 Pool #111366, AR, 8/1/19 ...................... 352,839 370,491 Pool #116612, AR, 3/1/19 ...................... 701,411 732,848 Federal National Mortgage Assn. Pass Thru Securities Gtd. REMIC Trust: 1994-23 Class PJ, 6.00%, 01/25/02 ........... 250,000 246,810 1997 32C, Class GP, P/O, 10/25/21 ........... 700,000 583,792 1997 Class A, IF, 01/17/03 .................. 377,434 379,038 1988 Class 7-Z, 9.25%, 4/25/18 .............. 640,566 675,300 1988 Class 15-A, 9.00%, 6/25/18 ............. 133,681 139,793 1988 Class 16-B, 9.50%, 6/25/18 ............. 815,016 868,816 1988 Class 17-B, 9.40%, 10/25/17 ............ 29,503 30,096 1989 Class 27-D, 10.00%, 1/25/16 ............ 68,981 69,882 1989 Class 31-D, 9.15%, 8/25/18 ............. 141,253 143,350 1989 Class 73-C, PO, 10/25/19 ............... 187,510 163,456 1990 Class 77-C, 9.00%, 7/25/19 ............. 216,931 222,661 1990 Class 94-C, 8.00%, 1/25/19 ............. 34,340 34,406 1991 Class 16-G, 8.00%, 3/25/04 ............. 158,986 158,789 1991 Class 41-O, 9.00%, 8/25/06 ............. 375,000 385,515 98 1991 Class 56-K, 8.60%, 2/25/20 ............. 669,026 678,933 1992 Class 13-S, HB, IF, 1/25/99 ............ 3,029 20,179 1992 Class 137-BA, 3.50%, 1/25/17 ........... 213,024 204,890 1993 Class 85-PD, 5.50%, 7/25/03 ............ 249,544 248,798 1993 Class 86-E, 6.00%, 1/25/07 ............. 1,425,000 1,413,401 1993 Class 103-PC, 5.30%, 11/25/11 .......... 27,123 27,055 1993 Class 107-D, 6.50%, 12/25/06 ........... 900,000 895,491 1993 Class 252-C, 5.40%, 1/25/12 ............ 115,777 115,447 1994 Class 17-E, 6.00%, 2/25/07 ............. 425,000 419,403 1994 Class 32-PB, 5.50%, 3/25/03 ............ 2,017,872 2,013,271 Federal National Mortgage Assn. Debenture, 4.70%, 9/10/98 ....................................... 1,000,000 985,412 ------------ (Cost $30,843,538) 31,125,818 ------------ TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ........ 136,837,482 ------------ (Cost $136,618,311) CORPORATE BONDS AND NOTES -- 28.67% Finance -- 27.03% Association Corp of North America 5.25%, 09/01/98 ............................... 675,000 668,565 Associates Corp. of North America 9.125%, 4/1/00 ................................ 835,000 887,981 Association Corp of North America Medium Term Note 6.80%, 12/15/97 ............................... 800,000 803,551 8.50%, 01/10/00 ............................... 500,000 522,586 7.55%, 08/23/01 ............................... 250,000 256,555 Association Corp of North America Medium Term Note Series G, 5.49%, 01/28/99 ..................... 270,000 266,846 Association Corp of North America Medium Term Note Tranche #00455, 7.48%, 07/27/02 ............... 300,000 307,635 American Express Credit Corp 7.375%, 02/01/99 .............................. 295,000 300,077 Beneficial Finance Corp. Medium Term Note: 9.125%, 2/15/98 ............................... 1,326,000 1,350,666 8.90%, 7/27/98 ................................ 500,000 514,494 Tranche #00659, 7.34%, 11/26/99 ............... 200,000 203,841 Case Equipment Loan Trust Asset Backed Pass Thru Ctf., Series 1994-C, Class A2, 8.10%, 06/15/01 ...... 750,822 764,832 Case Equipment Loan Trust Asset Backed Pass Thru Ctf., Series 1995-A, Class A, 7.30%, 03/15/02 ....... 340,294 344,885 Chrysler Financial Corp., 5.625%, 01/15/99 .............................. 900,000 892,849 Citicorp Mortgage Securities, Inc. Remic Pass Thru Ctf., Series 89-16, Class A-1, AR, 4/1/19 ........... 247,441 244,347 Collaterized Mortgage Obligations Trust CMO, Trust 12, Class D, 9.50%, 2/1/17 .............. 159,603 164,265 Ford Credit Auto Owner Trust Asset Backed Pass Thru Ctf., Series 1996-A, Class A4, 6.75%, 09/15/00 ...... 507,000 512,182 Ford Credit Grantor Trust Asset Backed Ctf., Series 1994-B, Class A, 7.30%, 10/15/99 ....... 205,504 207,446 99 Ford Holdings Inc., 9.25%, 3/1/00 ................................. 3,516,000 3,746,769 Ford Motor Credit Co.: 7.25%, 5/15/99 ................................ 784,000 796,450 8.00%, 01/15/99 ............................... 400,000 410,233 8.875%, 06/15/99 .............................. 1,000,000 1,045,339 9.50%, 4/15/00 ................................ 830,000 889,674 Ford Motor Credit Co. Medium Term Note, Tranche #TR 00493, 6.45%, 7/21/97 ............. 300,000 300,145 Tranche #00281, 7.47%, 7/29/99 ................ 1,000,000 1,019,846 Tranche #00442, 7.59%, 4/6/00 ................. 300,000 307,542 General Electric Capital Corp. Medium Term Note, 8.10%, 01/26/99 ............................... 5,000,000 5,148,575 Greentree Collateralized Mortgage Obligation, Series 1997-3, Class A2, 6.49%, 07/15/28 ...... 3,000,000 3,008,430 Golden Sachs Group, Private Placement Note 144A, 6.20%, 02/15/01 ............................... 1,500,000 1,470,958 Lehman Brothers Holdings Inc., 5.75%, 02/15/98 ............................... 550,000 549,081 MBNA Master Credit Card Trust Asset Backed Ctf., Trust 92-1, Series 1992-1A, 7.25%, 6/15/99 .... 375,000 376,196 Trust 93-3, Series 1993-3A, 5.40%, 9/15/00 .... 650,000 645,463 Merrill Lynch Home Equity Loan Asset Backed Pass Thru Ctf., Series 1992-1, Class A, IF, 7/15/22 ........... 577,258 578,419 Morgan Stanley Mortgage Trust, CMO, Series 38-4, PO, 11/20/21 .................................. 50,151 38,340 Navistar Financial Corp. Owner Trust Asset Backed Pass Thru Ctf., Series 1995-A, Class A2, 6.55%, 11/20/01 ...... 1,230,243 1,235,619 Olympic Automobile Rec. Trust Asset Backed Pass Thru Ctf., Series 1996-D Class A3, 5.95%, 06/15/01 ....... 1,200,000 1,198,704 Olympic Automobile Rec. Trust Asset Backed Pass Thru Ctf., Series 1996-C Class A2, 6.30%, 01/15/00 ....... 345,302 347,098 Olympic Automobile Rec. Trust Asset Backed Pass Thru Ctf., Series 1996-C Class A5, 7.00%, 03/15/04 ....... 1,150,000 1,168,400 Olympic Automobile Rec. Trust Asset Backed Pass Thru Ctf., Series 1996-B Class A4, 6.70%, 03/15/02 ....... 1,500,000 1,513,890 Olympic Automobile Rec. Trust Asset Backed Pass Thru Ctf., Series 1996-C Class A4, 6.80%, 03/15/02 ....... 1,000,000 1,011,470 Ryland Acceptance Corp. Four, CMO, Series 78, Class 78-B, 9.55%,3/1/16 ...................... 266,499 273,136 Standard Credit Card Master Trust Asset Backed Ctf., Series 1991-6, Class A, 7.875%, 01/07/00 ...... 2,725,000 2,792,089 Standard Credit Card Master Trust Asset Backed Ctf., Series 1993-3, Class A, 5.50%, 02/07/00 ....... 1,900,000 1,885,750 Standard Credit Card Master Trust Asset Backed Ctf., Series 1995-6, Class A, 6.75%, 06/07/00 ....... 856,000 864,098 Standard Credit Card Master Trust Asset Backed Ctf., Series 1995-10, Class A, 5.90%, 02/07/01 ...... 450,000 448,834 100 Standard Credit Card Trust, Series 1991-3, Participation Ctf., Class A,8.875%, 9/7/99 ........................ 2,275,000 2,343,796 Western Financial Owner Trust Asset Backed Pass Thru Ctf., Series 1996-B, Class A2, 6.20%, 05/20/99 ...... 406,043 407,399 Western Financial Owner Trust Asset Backed Pass Thru Ctf., Series 1996-B, Class A4, 6.95%, 11/20/03 ...... 917,000 929,930 Western Financial Asset Backed Pass Thru Ctf., Series 1996-C, Class A4, 6.80%, 12/20/03 ...... 4,000,000 4,041,760 Western Financial Grantor Trust Auto Receivable P/T Ctf: 1993-4, Class A1, 4.60%, 4/1/99 ............... 194,892 194,311 1993-3, Class A, 6.65%, 12/1/99 ............... 237,119 239,120 World Omni Automobile LSE SEC Trust Asset Backed Pass Thru Cft., Series 1995-A, Class A, 6.05%, 11/25/01 ....... 1,505,266 1,506,199 ------------ 51,946,666 ------------ (Cost $51,916,417) Industrial -- 1.64% KFW International, 9.375%, 07/15/98 .............................. 800,000 824,690 Texaco Capital, Inc.: 8.65%, 1/30/98 ................................ 2,000,000 2,030,966 9.00%, 11/15/97 ............................... 300,000 303,474 ------------ (Cost $3,152,589) 3,159,130 ------------ TOTAL CORPORATE BONDS AND NOTES ..................... 55,105,796 (Cost $55,069,005) ------------ TOTAL INVESTMENTS ................................... $192,204,091 ============ (Cost $191,948,129)
101 Notes to Portfolio of Investments The Fund invests in securities whose value is derived froMAn underlying pool of mortgages or consumer loans. Some of these securities are collateralized mortgage obligations (CMOs). CMOs are debt securities issued by U.S. government agencies or by financial institutions and other mortgage lenders which are collateralized by a pool of mortgages held under an indenture. Adjustable Rate (AR) Inverse Floaters (IF) represent securities that pay interest at a rate that increases (decreases) with a decline (increase) in a specified index. Interest Only (IO) represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. The face amount shown represents the par value on the underlying pool. The yields on these securities are generally higher than prevailing market yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayments or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. High Coupon Bonds (HB) (a.k.a. "IOettes") represent the right to receive interest payments on an underlying pool of mortgages with similar risks as those associated with IO securities. Unlike IO's the owner also has a right to receive a very small portion of principal. The high interest rate results from taking interest payments from other classes in the REMIC Trust and allocating them to the small principal of the HB class. Principal Only (PO) represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases. 102 Pegasus Income Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ TEMPORARY CASH INVESTMENT -- 0.37% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/1/97, (secured by U.S. Treasury obligations with maturities ranging from 8/15/97 through 2/15/07 at various interest rates ranging from 0.00% to 12.00%, all held at Chase Bank).... $ 512,209 $ 512,209 (Cost $512,209) U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 45.27% U.S. Treasury Securities -- 37.25% U.S. Treasury Bonds: 12.75%, 11/15/10 ............................ 6,900,000 9,574,854 10.375%, 11/15/12 ........................... 5,000,000 6,346,850 7.875%, 2/15/21 ............................. 4,675,000 5,212,625 8.125%, 5/15/21 ............................. 5,770,000 6,604,861 6.50%, 11/15/26 ............................. 2,555,000 2,449,606 U.S. Treasury Notes: 7.75%, 1/31/00 .............................. 5,450,000 5,648,435 8.50%, 2/15/00 .............................. 6,010,000 6,338,687 6.75%, 4/30/00 .............................. 5,000,000 5,065,600 6.125%, 7/31/00 ............................. 5,000,000 4,982,800 ------------ (Cost $52,314,253) 52,224,318 ------------ Agency Obligations -- 8.02% Federal Home Loan Bank, Series EG01, 5.94%, 1/30/01 ....................................... 3,000,000 2,947,632 Federal Home Loan Mortgage Corp. Debentures, 7.35%, 3/22/05 ................................ 8,000,000 8,299,840 ----------- (Cost $11,100,480) 11,247,472 ----------- TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS ........ 63,471,790 ----------- (Cost $63,414,733) CORPORATE BONDS AND NOTES -- 51.19% Finance -- 43.24% ABN AMRO Bank N.V., 7.25%, 5/31/05 .............. 4,800,000 4,852,104 Advanta Mortgage Loan Trust Asset Backed Ctf., Series 1994-3, Class A2, 7.60%, 7/25/10 ..... 2,511,227 2,535,611 American RE Corp., 7.45%, 12/15/26 .............. 6,000,000 5,941,200 Chemical Master Credit Card Trust 1 Asset Backed Ctf., Series 1995-3, Class A, 6.23%, 8/15/02 ...... 2,500,000 2,461,025 Chevy Chase Auto Receivables Trust Asset Backed Pass Thru Ctf., Series 1995-2, Class A, 5.80%, 6/15/02 ...... 1,461,364 1,462,037 Dayton Hudson Credit Card Master Trust Assest Backed Ctf., Series 1995-1, Class A, 6.10%, 2/25/02 ...... 2,500,000 2,508,550 Ford Motor Credit Co., 9.25%, 6/15/98 ........... 470,000 483,784 General Electric Capital Corp., 8.85%, 4/1/05 ... 3,500,000 3,915,317 Goldman Sachs Group, Note 144A, 6.10%, 4/15/98 .. 3,000,000 2,996,490 Grand Metro Investment Corp. Guaranteed Note, 7.45%, 4/15/35 .............................. 4,500,000 4,695,912 Green Tree Financial Corp. Asset Backed Pass Thru Ctf., Series 1994-B1, Class A1, 7.15%, 7/15/14 .... 538,875 543,953 MBNA Master Credit Card Trust Asset Backed Pass Thru Ctf., Series 1994-C, Class A, Adjustable Rate, .... 31,655,000 1,667,330 Mellon Financial Corp., 7.625%, 11/15/99 ........ 2,310,000 2,367,244 103 National Rural Utilities Coop Financial Corp., 6.75%, 9/1/01 ................................. 4,290,000 4,301,977 Norwest Corp., Senior Medium Term Note, 7.75%, 3/1/02 ........................................ 1,500,000 1,559,098 Olympic Automobile Receivables Trust Asset Backed Pass Thru Ctf. Series 1995-D, Class A5, 6.15%, 7/15/01 ..... 2,300,000 2,295,377 Series 1996-C, Class A5, 7.00%, 12/15/01 .... 3,000,000 3,048,000 Salomon Inc., 6.70%, 12/1/98 .................... 3,700,000 3,718,182 Security Pacific Acceptance Corp. Asset Backed Pass Thru Ctf., Series 1995-1, Class A3, 7.25%, 4/10/20 ..... 2,000,000 2,033,240 Standard Credit Card Trust Participation Ctf., Series 1991-3, Class A, 8.875%, 9/7/99 ...... 3,100,000 3,193,744 Western Financial Asset Backed Pass Thru Ctf., Series 1996-C, Class A4, 6.80%, 12/20/03 .... 4,000,000 4,041,760 ------------ (Cost $60,177,899) 60,621,935 ------------ Industrial -- 2.17% Beckman Instruments, 7.05%, 6/1/26 .............. 3,000,000 3,041,262 ------------ (Cost $2,990,596) Public Utility -- 5.78% Bell Telephone Co. Pennsylvania, 8.35%, 12/15/30 4,000,000 4,664,668 US West Capital Funding Inc., Put, 6.95%, 1/15/37 2,500,000 2,479,285 West Texas Utilities Co. First Mortgage, 6.375%, 10/1/05 ....................................... 1,000,000 960,967 ------------ (Cost $7,972,454) 8,104,920 ------------ TOTAL CORPORATE BONDS AND NOTES ..................... 71,768,117 ------------ (Cost $71,140,949) FOREIGN -- 3.17% Chevron Canada Finance Ltd., 5.60%, 4/01/98 ......... 4,450,000 4,437,985 ------------ (Cost $4,433,622) TOTAL INVESTMENTS ................................... $140,190,101 ============ (Cost $139,501,513)
104 Pegasus International Bond Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ TEMPORARY CASH INVESTMENT -- 3.72% Salomon Brothers, Revolving Repurchase Agreement, 6.00%, 7/1/97 (secured by various U.S. Treasury Strips with maturities ranging from 8/15/97 through 2/15/07, all held at Chase Bank) ........ 2,729,742 2,729,742 (Cost $2,729,742) Par --- FOREIGN BONDS -- 88.53% Australia -- 2.86% Australia (Commonwealth), 9%, 09/15/04 ............ 2,500,000 2,098,617 ----------- Austria -- 1.33% Republic of Austria, 6%, 04/01/98 ................. 600,000 351,041 Republic of Austria, 7%, 01/20/03 ................. 7,000,000 626,865 ----------- 977,906 ----------- Belgium -- 2.27% Belgium Government, Series 19, 6.50%, 03/31/05 .... 56,000,000 1,661,151 ----------- Canada -- 7.33% Canada Government, 9.75%, 10/01/97 ................ 200,000 147,526 Canada Government, 10.75%, 03/15/98 ............... 500,000 380,013 Canada Government, 6.50%, 06/01/04 ................ 3,800,000 2,824,332 Ontario Hydro, 8.625%, 02/06/02 ................... 2,500,000 2,022,079 ----------- 5,373,950 ----------- Denmark -- 1.95% Kingdom of Denmark, 9%, 11/15/98 .................. 2,000,000 321,624 Kingdom of Denmark, 7%, 11/15/07 .................. 7,000,000 1,109,006 ----------- 1,430,630 ----------- Finland -- 2.87% Republic of Finland, 5.50%, 02/09/01 .............. 2,000,000 1,193,664 Republic of Finland, 6.%, 01/29/02 ................ 30,000,000 310,015 Republic of Finland, 7.25%, 04/18/06 .............. 3,000,000 600,132 ----------- 2,103,811 ----------- France -- 8.69% Government of France, 5.75%, 03/12/01 ............. 10,000,000 1,790,345 Government of France, 5.50%, 04/25/04 ............. 20,100,000 3,501,019 Government of France, 6.50%, 04/25/11 ............. 6,000,000 1,079,726 ----------- 6,371,090 ----------- Germany -- 9.22% Deutsche Bundespost, 5.75%, 04/02/01 .............. 5,500,000 3,311,614 Deutsche Bundespost, 7.50%, 08/02/04 .............. 600,000 388,297 Federal Republic of Germany, 9%, 10/20/00 ......... 600,000 395,596 Federal Republic of Germany, 6%, 01/05/06 ......... 4,500,000 2,662,502 ----------- 6,758,009 ----------- International -- 11.23% Asian Development Bank, 3.125%, 06/29/05 .......... 300,000,000 2,759,328 Asian Development Bank, 5%, 02/05/03 .............. 40,000,000 404,614 Council of Europe 6.875%, 03/05/01 ................ 30,000,000 311,326 105 European Investment Bank, 7.50%, 11/04/02 ......... 600,000 386,162 European Investment Bank, 8%, 06/10/03 ............ 1,300,000 2,233,907 Inter-American Development Bank, 2.25%, 02/05/02 .. 200,000,000 1,782,749 Inter-American Development Bank, 7.25%, 05/15/00 .. 35,000,000 357,096 ----------- 8,235,182 ----------- Italy -- 7.82% Italian Government, 8.50%, 01/01/99 ............... 5,500,000,000 3,333,617 Italian Government, 9.50%, 02/01/06 ............... 3,500,000,000 2,402,586 ----------- 5,736,203 ----------- Japan -- 10.57% Export-Import Bank of Japan, 4.375%, 10/01/03 ..... 30,000,000 296,251 Export-Import Bank of Japan, 2.875%, 07/28/05 ..... 400,000,000 3,622,301 Government of Japan, 4.50%, 12/20/04 .............. 40,000,000 402,307 International Bank of Reconstruction & Development, 5.25%, 03/20/02 ................................. 100,000,000 1,013,174 International Bank of Reconstruction & Development, 4.75%, 12/20/04 ................................. 200,000,000 2,046,010 Japan Development Bank, 6.50%, 09/20/01 ........... 35,000,000 366,272 ----------- 7,746,315 ----------- Netherlands -- 4.62% Netherland Government, 5.75%, 01/15/04 ............ 6,000,000 3,166,401 Unilever NV, 9.875%, 09/04/97 ..................... 1,300,000 223,644 ----------- 3,390,045 ----------- New Zealand -- 2.93% New Zealand Government, 8%, 04/15/04 .............. 3,000,000 2,144,810 ----------- Spain -- 3.78% Spanish Government, 8%, 05/30/04 .................. 370,000,000 2,773,678 ----------- South Africa -- 1.45% Republic of South Africa, 9.625%, 12/15/99 ........ 1,000,000 1,061,250 ----------- Sweden -- 1.75% Swedish Government, 8%, 08/15/07 .................. 9,000,000 1,279,399 ----------- United Kingdom -- 7.86% Barclays Bank, 10.25%, 12/10/97 ................... 120,000 202,222 Exchequer, 12.25%, 03/26/99 ....................... 250,000 450,921 United Kingdom Treasury, 7%, Stock 2001 ........... 2,000,000 3,315,079 United Kingdom Treasury, 8%, Stock 2013 ........... 1,000,000 1,793,804 ----------- 5,762,026 ----------- TOTAL FOREIGN BONDS ................................. 64,904,072 ----------- (Cost $67,127,935) U.S. Government Obligation -- 7.75% United States Treasury Bill, 06/25/98 ............... 6,000,000 5,681,238 ----------- (Cost $5,681,238) TOTAL INVESTMENTS ................................... $73,315,052 =========== (Cost $75,538,915) See Notes to Financial Statements.
106 Pegasus Municipal Bond Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ MUNICIPAL BONDS -- 99.82% Alabama -- 2.22% Courtland Industrial Development Board Solid Waste Disposal Revenue, Series A, 6.50%, 9/1/25 ....... $ 5,000,000 $ 5,171,550 Huntsville General Obligation Unlimited Tax Warrants Series A, 5.50%, 2/1/20 ................ 3,000,000 2,978,760 ------------ 8,150,310 ------------ Alaska -- 0.93% Alaska Student Loan Revenue State Assisted Series A (AMBAC Insured), 6.125%, 7/1/05 ................. 800,000 831,520 FairBanks North Star Boro Refunding Series S (MBIA Insured), 5.45%, 3/1/06 ......................... 2,500,000 2,600,475 ------------ 3,431,995 ------------ Arizona -- 2.21% Maricopa County General Obligation Unlimited Tax School District No. 28 Series B (FGIC Insured), 6.00%, 7/1/14 ................................... 2,500,000 2,599,050 Salt River Project Agricultural Improvement Power District Revenue, Electric System Series D, 6.00%, 1/1/08 ................................... 625,000 679,581 Salt River Project Agricultural Refunding Series B, 5.25%, 1/1/19 ................................... 5,000,000 4,834,300 ------------ 8,112,931 ------------ California -- 6.51% Anaheim California Public Finance Authority Lease Revenue Series C (FSA Insured), 6.00%, 9/1/16 ... 2,000,000 2,158,260 Northern California Public Power Agency Revenue Refunding Geothermal Project A (AMBAC Insured): 5.60%, 7/1/06 ................................... 3,500,000 3,735,690 5.65%, 7/1/07 ................................... 4,800,000 5,142,768 Orange Co. Recovery CTFS PRTN CA Series A (MBIA Insured), 5.80%, 7/1/16 ................................... 5,315,000 5,421,140 Sacramento Cogeneration Authority Revenue: 7.00%, 7/1/05 ................................... 1,500,000 1,660,440 6.20%, 7/1/06 ................................... 2,500,000 2,644,775 Sacramento, California M.U.D. (MBIA Insured) 5.75%, 1/1/...................................... 103,000,000 3,132,120 ------------ 23,895,193 ------------ Colorado -- 5.23 % Denver City & Co. Airport Revenue: Series B, 7.25%, 11/15/05 ....................... 3,000,000 3,328,230 Series C, 6.50%, 11/15/06 ....................... 2,000,000 2,092,020 Series D, 7.75%, 11/15/13 ....................... 6,925,000 8,410,135 Series A, 8.50%, 11/15/23 ....................... 2,500,000 2,832,900 Series A, 8.00%, 11/15/25 ....................... 2,295,000 2,547,702 ------------ 19,210,987 ------------ Connecticut -- 0.94% Connecticut Housing Finance Authority Revenue Mortgage Subseries D-1, 5.90%, 5/15/16 .......... 3,400,000 3,451,544 ------------ 107 Florida -- 11.18% Lakeland Electric & Water Revenue Refunding Series B (FGIC Insured) 6.00%, 10/1/11 ................. 4,000,000 4,359,040 Lee County Transportation Facilities Revenue (MBIA Insured), 5.75%, 10/1/27 ........................ 9,640,000 9,754,427 Florida Ports Fing Community Revenue (MBIA Insured), 5.375%, 6/1/16 2,000,000 1,939,860 Florida State Board of Education Capital Outlay General Obligation Unlimited Tax Refunding: Series C, 5.75%, 6/1/13 ......................... 5,000,000 5,115,600 Series F, 5.50%, 6/1/26 ......................... 8,250,000 8,126,250 Series F, 6.40%, 6/1/19 ......................... 11,000,000 11,742,610 ------------ 41,037,787 ------------ Georgia -- 10.10% Fulton County School District General Obligation Unlimited Tax Refunding, 6.375%, 5/1/10 ......... 5,000,000 5,617,300 Gainesville Water & Sewer Revenue Series B (FGIC Insured), 6.00%, 11/15/12 ....................... 3,950,000 4,301,155 Georgia General Obligation Unlimited Tax: 7.10%, 9/1/09 ................................... 8,500,000 10,128,175 6.75%, 9/1/11 ................................... 10,000,000 11,677,100 Georgia State Housing And Finance Authority Revenue Series B, 6.10%, 12/1/12 ........................ 650,000 672,444 Rockdale Country Water and Sewer Authority Revenue (FSA Insured), 5.00%, 7/1/18 .................... 5,000,000 4,672,150 ------------ 37,068,324 ------------ Hawaii -- 1.18% Hawaii Airport Systems Revenue Refunding Third Series (AMBAC Insured) .......................... 4,200,000 4,343,052 ------------ Illinois -- 9.95% Chicago Metropolitan Water Capital Improvement, 5.50%, 12/1/12 .................................. 1,000,000 1,021,370 Chicago O'Hare International Airport Revenue Series A (AMBAC Insured): 5.625%, 1/1/13 .................................. 5,000,000 5,049,350 5.625%, 1/1/14 .................................. 5,000,000 5,029,550 Cook County Community College Participation Ctfs. District #508 Series C (MBIA Insured), 7.70%, 12/1/04 .................................. 5,000,000 5,919,850 DuPage Co. Forest Preservation District Ref1,750,000.00%, 11/1/03 ....................... 1,882,720 Illinois Health Facilities Authority Revenue Northwestern Memorial Hospital Series A, 5.60%, 8/15/06 .................................. 1,000,000 1,046,450 Illinois Health Facilities Authority Revenue Refunding (FGIC Insured), 6.00%, 8/15/05 ........ 1,000,000 1,076,400 Illinois Housing Development Series A, 5.95%, 7/1/21 ................................... 2,000,000 2,014,980 108 Illinois State Sales Tax Revenue Refunding Series Q, 5.75%, 6/15/06 ........................ 5,000,000 5,314,400 Northlake Illinois Public Imp. General Obligation (MBIA Insured), 5.60%, 12/1/14 .................. 4,000,000 4,042,280 Winnebago & Boone Counties General Obligation Unlimited Tax 7.35%, 2/1/04 ..................... 3,600,000 4,149,108 ------------ 36,546,458 ------------ Indiana -- 3.58% Ball State University Revenue Student Fee Series G (FGIC Insured), 6.125%, 7/1/09 .................. 400,000 421,604 Indiana State Vocational Technology Revenue Series D, 5.90%, 7/1/06 ......................... 1,000,000 1,070,590 Indiana Transportation Finance Authority, Series A Series A, 6.25%, 11/1/16 ........................ 130,000 135,610 Series A, 6.25%, 11/1/16 ........................ 1,370,000 1,503,781 Series A, 5.00%, 11/1/16 ........................ 9,500,000 8,943,490 St. Joseph Co. Hospital Authority Facilities Revenue (MBIA Insured), Memorial Hospital South Bend Project, 6.25%, 8/15/12 .............. 1,000,000 1,061,130 ------------ 13,136,205 ------------ Massachusetts -- 1.76% Massachusetts State Housing Finance Agency Revenue Single Family Series 47 (AMBAC Insured), 6.00%, 12/1/15.................................. 4,000,000 4,096,240 Massachusetts State Industrial Finance Agency Revenue (MBIA Insured), 6.00%, 1/1/15 ........... 2,265,000 2,373,788 ------------ 6,470,028 ------------ Michigan -- 7.54% Caledonia Community Schools General Obligation Unlimited Tax (MBIA Insured), 5.85%, 5/1/22 ..... 1,500,000 1,527,360 Grand Rapids Water Supply System Revenue (FGIC Insured), 6.30%, 1/1/04 ......................... 250,000 267,240 Kalamazoo Hospital Finance Authority, (AMBAC Insured), 5.875%, 5/15/26 ................ 4,675,000 4,734,606 Michigan State Building Authority Revenue Series I, 6.40%, 10/1/04 .................................. 600,000 648,336 Michigan State Building Authority Revenue Series II, 6.75%, 10/1/11 ....................... 5,150,000 5,596,145 Michigan State Hospital Finance Authority Revenue Detroit Medical Center, 6.50%, 8/15/18 .......... 6,500,000 6,897,605 Michigan State Housing Development Authority Revenue: Series C, 6.375%, 12/1/11 ....................... 1,450,000 1,517,265 Series D, 5.95%, 12/1/16 ........................ 5,000,000 5,086,800 Rochester Community School District School Building & Site Unlimited Tax, 6.50%, 5/1/06 ............. 250,000 271,778 Royal Oak Hospital Finance Authority Revenue, William Beaumont Hospital: Series G, 5.60%, 11/15/11 ....................... 850,000 860,990 Saranac Community School District, 6.00%, 5/1/13 .. 250,000 260,838 ------------ 27,668,963 ------------ Minnesota -- 1.81% Minnesota State Housing Finance Agency Series D (MBIA Insured) 5.90%, 8/1/15 .................... 6,540,000 6,644,836 ------------ 109 Missouri -- 1.09% Sikeston Electric Revenue Refunding (MBIA Insured), 6.00%, 6/1/05 ................................... 3,710,000 4,011,697 ------------ Nevada -- 1.25% Clark County Industrial Development Revenue Project C Refunding (AMBAC Insured), 7.20%, 10/1/22 ..... 4,115,000 4,600,858 ------------ New Jersey -- 0.12% Gloucester Co. Improvement Authority Gtd. Revenue, Solid Waste Landfill Project Series AA, 6.20%, 9/1/07 ................................... 400,000 423,928 ------------ New Mexico -- 0.95% New Mexico Mortgage Finance Authority Revenue, 5.90%, 7/1/16 ................................... 3,445,000 3,483,412 ------------ New York -- 3.92% New York State Dormitory Authority Revenue, 5.875%, 7/1/08 .................................. 5,000,000 5,224,650 New York State Location Assistance Corp. Refunding Series E, 5.00%, 4/1/21 ......................... 9,500,000 8,867,585 Tri-Borough Bridge & Tunnel Authority Revenue General Purpose Series X, 6.625%, 1/1/12 ........ 250,000 285,555 ------------ 14,377,790 ------------ North Carolina -- 2.62% North Carolina Housing Finance Agency Single Family Revenue: Series BB, 6.50%, 9/1/26 ........................ 4,315,000 4,490,362 Series FF, 6.25%, 3/1/28 ........................ 5,000,000 5,128,650 ------------ 9,619,012 ------------ Ohio -- 3.19% Columbus School District Private Placement, Installment Lease Agreement, 9.39%, 5/1/97 Franklin Co. Hospital Revenue, Children's Hospital Series A, 6.50%, 5/1/07 ......................... 950,000 1,025,193 Montgomery County Hospital Revenue Refunding (MBIA Insured), 5.625%, 4/1/16 ........................ 4,500,000 4,532,040 Ohio General Obligation State of Public & Sewer Imports Unlimited Tax, 6.00%, 8/1/07 ............ 1,000,000 1,095,690 Ohio Housing Financial Agency Mortgage Revenue Residential GNMA Series A-1, 6.20%, 9/1/14 ...... 1,670,000 1,737,552 Ohio State Building Authority Revenue, State Facilities Adult Correctional Building Fun Series A, 6.125%, 10/1/09 ....................... 250,000 267,670 Ohio State Community Turnpike Revenue Series A (MBIA Insured), 5.70%, 2/15/17 .................. 3,000,000 3,053,610 ------------ 11,711,755 ------------ Pennsylvania -- 0.55% Pennsylvania State Higher Educational Facilities Authority Revenue (MBIA Insured), 5.625%, 5/1/14 .................................. 2,000,000 2,022,560 ------------ Rhode Island -- 1.39% Rhode Island Depositors Economic Protection Series A (MBIA Insured), 6.30%, 8/1/05 .......... 4,640,000 5,100,056 ------------ 110 South Carolina -- 0.55% Greenville Hospital System Facilities Revenue SC Health Hospital Nursing Home Improvements Series A, 5.60%, 5/1/10.......................... 2,000,000 2,033,960 ------------ South Dakota -- 2.01% Heartland Consumers Power District Electric Revenue Refunding Electric Light & Power Improvements, 6.00%, 1/1/17 ................................... 2,500,000 2,668,550 South Dakota Housing Development Authority Series A, 5.70%, 5/1/08 ......................... 2,300,000 2,351,681 South Dakota Housing Development Authority Revenue Series C, 6.25%, 5/1/15 ......................... 1,000,000 1,031,760 South Dakota State Building Authority Lease Revenue (AMBAC Insured), 6.625%, 9/1/12 ................. 1,200,000 1,331,916 ------------ 7,383,907 ------------ Tennessee -- 1.54% Knox County Health, Educational, & Housing Facilities Revenue (MBIA Insured), 7.25%, 1/1/09 ................................... 1,360,000 1,608,826 Memphis General Obligation Unlimited Tax, 5.25%, 7/1/13 ................................... 3,775,000 3,748,763 Metropolitan Government Nashville /Davis County Revenue Refunding, 7.00%, 1/1/14 ................ 295,000 298,679 ------------ 5,656,268 ------------ Texas -- 8.17% Austin Utility System Revenue (AMBAC Insured), 6.50%, 5/15/11 .................................. 250,000 273,148 Harris Co. Flood Control District Refunding General Obligation Limited, 6.25%,10/1/05 ............... 250,000 264,215 Houston General Obligation Refunding Series C, 6.00%, 3/1/05 ................................... 400,000 420,944 Richardson Hospital Authority, 6.50%, 12/1/12 ..... 3,925,000 4,036,274 San Antonio Hotel Occupancy Tax Revenue (FGIC Insured), 5.70%, 8/15/26 .................. 10,000,000 10,052,400 San Antonio Water Revenue Refunding (MBIA Insured), 6.50%, 5/15/10 .................................. 250,000 272,400 Texas College Student Loan, 6.50%, 8/1/07 ......... 4,000,000 4,226,800 Texas General Obligation Unlimited Tax: 7.70%, 8/1/06 ................................... 1,305,000 1,356,247 Series B, 5.625%, 10/1/12 ....................... 5,000,000 5,126,350 Texas General Obligation Refunding Series A Unlimited Tax, 6.00%, 10/1/05 ................... 1,000,000 1,084,790 Texas Turnpike Austin Dallas Northway RV (FGIC Insured) President George Bush Turnpike Highway Improvements, 5.25%, 1/1/23 ............. 3,000,000 2,872,050 ------------ 29,985,618 ------------ Virginia -- 3.04% Virginia State Housing Development Authority Revenue, 5.60%, 11/1/10 ......................... 1,500,000 1,503,840 Virginia State Housing Development Commonwealth Series H, 6.20%, 1/1/08 ......................... 1,000,000 1,031,120 111 Virginia State Transportation Board Contract Revenue: #58 Corridor Series B, 5.125%, 5/15/16,320,000 .. 6,320,000 6,090,710 #58 Corridor, 6.00%, 5/15/19 .................... 2,500,000 2,537,175 ------------ 11,162,845 ------------ Utah -- 1.55% Utah Housing Finance Agency Single Family Revenue: Series A-2, 6.25%, 7/1/25 ....................... 5,545,000 5,696,101 ------------ Washington -- 0.58% Washington General Obligation Unlimited Tax Refunding, 5.75%, 9/1/09 ........................ 2,000,000 2,138,180 ------------ West Virginia -- 1.24% Braxton Co. Solid Waste Disposal Revenue, 6.125%, 4/1/26 .................................. 4,475,000 4,567,767 ------------ Wisconsin -- 0.70% Wisconsin Housing & Economic Development Authority Revenue Series A, 6.15%, 9/1/17 ................. 1,495,000 1,525,408 Wisconsin State Transportation Revenue Series B, 5.75%, 7/1/12 ................................... 1,000,000 1,057,960 ------------ 2,583,368 ------------ Wyoming -- 0.22% Wyoming Community Development Authority Series D, 7.60%, 6/1/17 ................................... 800,000 813,968 ------------ TOTAL MUNICIPAL BONDS ............................... 366,541,663 ------------ (Cost $353,383,490) TEMPORARY CASH INVESTMENT -- 0.18% Pegasus Municipal Money Market Fund ............... 664,557 ------------ (Cost $664,557) TOTAL INVESTMENTS ................................... $367,206,220 ============ (Cost $354,048,047)
112 Pegasus Intermediate Municipal Bond Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ MUNICIPAL BONDS -- 98.79% Alabama -- 0.93 % Courtland Industrial Development Board Solid Waste Disposal Revenue, Series A, 6.50%, 9/1/25 ....... $ 3,500,000 $ 3,620,085 ------------ Alaska -- 0.26 % Alaska Student Loan Revenue State Assisted Series A, 5.50%, 7/1/04 ................................ 1,000,000 1,014,270 ------------ Arizona -- 0.56 % Maricopa Co. General Obligation School District No. 41 Series C (FGIC Insured), 6.10%, 7/1/14 ... 2,000,000 2,179,740 ------------ California -- 4.80% MSR Public Power Agency San Juan Project Revenue Refunding Series F (AMBAC Insured), 5.55%, 7/1/02 ................................... 1,615,000 1,702,404 Northern California Power Agency Refunding Series B-1, 8.00%, 7/1/24 Orange Co. Recovery CTFS PRTN CA Series A (MBIA Insured), 5.70%, 7/1/10 ................... 4,000,000 4,154,400 Sacramento Cogeneration Authority Revenue: 5.60%, 7/1/99 ................................... 3,300,000 3,347,949 5.80%, 7/1/01 ................................... 1,300,000 1,342,536 5.90%, 7/1/02 ................................... 1,000,000 1,038,950 University of California Revenues Refunding Multiple Purpose (MBIA Insured), 6.20%, 9/1/01 .. 6,675,000 7,171,019 ------------ 18,757,258 ------------ Colorado -- 8.33% Adams Co. Single Family Mortgage Revenue, 8.875%, 8/1/03 .................................. 1,230,000 1,503,810 Colorado Water Power Development Authority Revenue (AMBAC Insured) Revolving Fund, Series A, 6.00%, 9/1/10 ................................... 3,410,000 3,710,012 Denver City & Co. Airport Revenue: Series D, 7.30%, 11/15/00 ....................... 2,900,000 3,122,923 Series C, 6.55%, 11/15/03 ....................... 1,145,000 1,218,303 Series B, 7.25%, 11/15/05 ....................... 2,000,000 2,218,820 Series A (MBIA Insured), 8.50%. 11/15/07 ........ 2,000,000 2,258,940 Series A, 8.00%, 11/15/25 ....................... 1,360,000 1,514,768 Denver City & Co. General Obligation Refunding Water Unlimited Tax, 7.00%, 10/1/99 ............. 8,665,000 9,198,764 Jefferson Co. School District No. R-001 General Obligation (AMBAC Insured), 5.90%, 12/15/05 ..... 3,500,000 3,710,735 Poudre Valley Hospital Revenue (AMBAC Insured), 6.625%, 12/1/11 ................................. 3,750,000 4,111,763 ------------ 32,568,838 ------------ District of Columbia -- 1.61 % Series B-3 (MBIA Insured), 5.20%, 6/1/04 ........ 2,000,000 2,035,940 District of Columbia General Obligation Unlimited Tax Series A (AMBAC Insured), 7.25%, 6/1/00 ..... 1,000,000 1,096,440 District of Columbia Hospital Revenue Series A, 8.75%, 1/1/15 ................................... 2,750,000 3,173,857 ------------ 6,306,237 ------------ Florida -- 1.44 % Lakeland Electric & Water Revenue Series B (FGIC Insured), 6.00%, 10/1/10 .................................. 5,170,000 5,637,265 ------------ 113 Hawaii -- 3.29 % Hawaii State Airports System Revenue, Series II, 7.00%, 7/1/18 ................................... 10,000,000 10,732,500 Hawaii State Department of Budget & Finance Revenue, 5.60%, 7/1/02 .......................... 2,065,000 2,118,318 ------------ 12,850,818 ------------ Illinois -- 7.06 % Chicago Metropolitan Water General Obligation Unlimited Tax Refunding, 5.00%, 12/1/02 ......... 4,500,000 4,608,045 Chicago O'Hare International Airport Revenue Series A (AMBAC Insured), 5.625%, 1/1/13 ........ 5,000,000 5,049,350 Metropolitan Pier & Exposition Authority Dedicated State Tax Revenue: 6.40%, 6/1/03 ................................... 10,495,000 11,418,455 6.50%, 6/1/05 ................................... 2,960,000 3,277,874 Regional Transit Authority (AMBAC Insured), Series A, 8.00%, 6/1/03 ......................... 2,785,000 3,254,969 ------------ 27,608,693 ------------ Indiana -- 3.75% Indianapolis Airport Authority Revenue, 7.10%, 1/15/17 ......................................... 6,900,000 7,628,364 Indiana Bond Bank Revenue, 6.00%, 2/1/04 .......... 3,670,000 3,913,872 Indiana State Office Building Commission Revenue Limited Tax, .................................... 6.50%, 7/1/99 ................................... 3,000,000 3,108,450 ------------ 14,650,686 ------------ Maryland -- 2.51% Maryland State Community Development Administration Department Revenue Fifth Series, 5.95%, 4/1/16 .. 3,000,000 3,054,540 Maryland State Public Improvement General Obligation Second Series, 5.25%, 6/15/02 .................................. 2,500,000 2,596,500 Montgomery County Public Improvement Series A, 5.20%, 10/1/01 .................................. 4,000,000 4,142,200 ------------ 9,793,240 ------------ Massachusetts -- 4.26% Massachusetts Bay Transit Authority Series A, 7.00%, 3/1/22 ................................... 3,500,000 3,874,080 Massachusetts General Obligation Unlimited Tax: Series B, 9.25%, 7/1/00 ......................... 2,000,000 2,271,160 Series A, 6.25%, 7/1/02 ......................... 4,500,000 4,844,070 New England Educational Loan Refunding Senior A: 6.50%, 9/1/02 ................................... 5,250,000 5,638,972 ------------ 16,628,282 ------------ Michigan -- 6.77% Michigan State Building Authority Revenue Refunding Series I, 6.75%, 10/1/11 ........................ 5,575,000 6,057,962 Michigan State Hospital Financing Authority Revenue Refunding: Detroit Medical Center Obligation Group A 6.25%, 8/15/13 .................................. 6,750,000 7,039,440 Royal Oak Hospital Financing Authority Revenue Refunding: Wm. Beaumont Hospital, 6.25%, 1/1/11 ................................... 5,445,000 5,917,408 6.25%, 1/1/12 ................................... 6,850,000 7,437,593 ------------ 26,452,403 ------------ 114 Minnesota -- 4.97% Minnesota Housing Finance Agency Revenue: Series D, 5.90%, 8/1/15 ......................... 2,575,000 2,616,277 Series G, 6.25%, 7/1/26 ......................... 3,475,000 3,571,953 Series L, 6.25%, 7/1/27 ......................... 12,910,000 13,244,498 ------------ 19,432,728 ------------ Missouri -- 1.39% Kansas City Utility System Revenue Refunding, (FGIC Insured), 6.375%, 9/1/23 ................. 5,000,000 5,430,750 ------------ Nevada -- 3.02% Clark County General Obligation Limited Tax, 7.00%, 9/1/00 .......................................... 6,705,000 7,234,494 Las Vegas General Obligation Refunding Limited Tax, 6.40%, 10/1/03 .................................. 2,250,000 2,453,648 Nevada General Obligation Limited Tax: Series C, 5.90%, 4/1/01 ......................... 1,000,000 1,051,820 Series A, 6.00%, 5/1/02 ......................... 1,000,000 1,061,210 ------------ 11,801,172 ------------ New Jersey -- 1.85% New Jersey State Transit Fund Authority, 5.00%, 6/15/04 ......................................... 7,090,000 7,225,348 ------------ New York -- 10.88% New York City General Obligation Unlimited Tax Refunding Series I, 5.75%, 3/15/07 .............. 6,500,000 6,699,290 New York City General Obligation Unlimited Tax Series A, 6.00%, 8/1/06 ......................... 5,000,000 5,260,600 New York City Municipal Water Authority Series C, (FGIC Insured), 7.00%, 6/15/16 .................. 3,805,000 4,219,745 New York State Dormitory Authority Revenue Series A, 5.20%, 5/15/05 ........................ 4,300,000 4,313,502 New York State Environment Pollution Control Facilities, 6.50%, 6/15/14 ...................... 7,000,000 7,533,610 New York State Location Assistance Corp. Series B, 7.50%, 4/1/20 ......................... 4,255,000 4,796,747 Tri-Borough Bridge & Tunnel Authority Revenue General Purpose Series Y, 5.90%, 1/1/08 ......... 9,000,000 9,683,820 ------------ 42,507,314 ------------ North Carolina -- 1.41% North Carolina University and College Improvements Unlimited Tax General Obligation, 5.00%, 6/1/01.. 2,535,000 2,604,282 North Carolina Municipal Power Agency (MBIA Insured), 7.25%, 1/1/07 ................... 2,500,000 2,921,375 ------------ 5,525,657 ------------ Ohio -- 1.05% Ohio State Highway Capital Improvements General Obligation Unlimited Tax, Series B, 5.00%, 5/1/05 ................................... 4,000,000 4,086,840 ------------ 115 Pennsylvania -- 8.72% Geisinger Authority Health System Revenue Series A, 5.50%, 7/1/03 ................................... 2,895,000 2,985,903 Pennsylvania Intergovernmental Coop Authority Special Tax Revenue (FGIC Insured): 6.00%, 6/15/00 .................................. 7,000,000 7,332,080 6.80%, 6/15/22 .................................. 9,375,000 10,347,563 Philadelphia Gas Works Revenue Fourteenth Series (CAPMAC Insured), 7.00%, 7/1/02 ................. 12,090,000 13,421,955 ------------ 34,087,501 ------------ South Carolina -- 2.03% Beaufort County School District General Obligation Unlimited Tax Series B (MBIA Insured), 4.75%, 3/1/03 ................................... 2,800,000 2,829,624 South Carolina State Public Service Authority Revenue Refunding Series A, 5.00%, 7/1/01 ....... 5,000,000 5,103,500 ------------ 7,933,124 ------------ Tennessee -- 2.20% Hamilton County General Obligation Unlimited Tax Series A, 5.00%, 5/1/09 ......................... 3,370,000 3,377,246 Memphis-Shelby County Airport Authority Revenue Refunding, 6.75%, 9/1/12 ........................ 2,000,000 2,166,880 Tennesse State General Obligation Refunding Series B, 5.00%, 5/1/00 ......................... 3,000,000 3,065,370 ------------ 8,609,496 ------------ Texas -- 3.52% Dallas Independent School District General Obligation Unlimited Tax, 8.70%, 8/1/00 ......... 1,000,000 1,125,870 Humble Independent School District General Obligation Unlimited Tax Refunding, 6.00%, 2/15/04 .................................. 2,035,000 2,164,833 Texas A & M University Permanent Fund Revenue, 5.60%, 7/1/05 ................................... 5,000,000 5,302,400 Texas State General Obligation Unlimited Tax Refunding Series B, 5.625%, 10/1/11 ............. 5,000,000 5,144,800 ------------ 13,737,903 ------------ Virginia -- 1.38% Virginia Beach General Obligation Unlimited Tax Series A, 6.85%, 5/1/99 ......................... 1,100,000 1,147,850 Loudoun County Sanitation Authority Water and Sewer Refunding, (FGIC Insured), 6.25%, 1/1/16 ......... 4,000,000 4,254,360 ------------ 5,402,210 ------------ Washington -- 3.99% Seattle General Obligation Limited Tax Series A, 5.75%, 1/15/17 .................................. 10,000,000 10,212,700 Snohomish County Mukilteo Refunding General Obligation, (FGIC Insured), 5.70%, 12/1/12 ...... 5,140,000 5,368,319 ------------ 15,581,019 ------------ 116 Wisconsin -- 6.81% Durand Hospital Facilities Revenue, Chippewa Valley Hospital and Nursing Project, 7.10%, 9/1/12 ..... 5,850,000 6,752,713 Wisconsin Clean Water Revenue Series 2, 6.00%, 6/1/07 ................................... 2,500,000 2,716,975 Wisconsin General Obligation Unlimited Tax Series B: 7.00%, 5/1/01 ................................... 3,950,000 4,316,599 7.00%, 5/1/02 ................................... 4,155,000 4,612,091 7.00%, 5/1/03 ................................... 4,625,000 5,200,951 Wisconsin State Health & Educational Facilities Authority Revenue: (MBIA Insured), 5.10%, 8/15/05 .................. 3,000,000 3,025,620 ------------ 26,624,949 ------------ TOTAL MUNICIPAL BONDS ............................... 386,053,826 (Cost $374,968,461) ------------ TEMPORARY CASH INVESTMENT -- 1.21% Pegasus Municipal Money Market Fund ............... 4,738,518 (Cost $4,738,518) ------------ TOTAL INVESTMENTS ................................... $390,792,344 (Cost $379,706,979) ============ See Notes to Financial Statements.
117 Pegasus Michigan Municipal Bond Fund PORTFOLIO OF INVESTMENTS June 30, 1997 (Unaudited)
Description Face Amount Market Value ----------- ----------- ------------ MUNICIPAL BONDS -- 97.97% Michigan -- 91.30% Allegan Public School District General Obligation (AMBAC Insured), Unlimited Tax, 5.75%, 5/1/12 ... $ 200,000 $ 206,842 Dearborn Economic Division Oakwood Obligation Group Series, 5.60%, 11/15/08 ......................... 1,690,000 1,764,664 Dearborn School District, General Obligation, Unlimited Tax, 6.00%, 5/1/14 .................... 1,000,000 1,032,390 Dearborn Sewage Disposal (MBIA Insured), 5.125%, 4/1/14 .................................. 1,830,000 1,773,837 Detroit Sewer Disposal Revenue (FGIC Insured), 6.00%, 7/1/00 ................................... 1,225,000 1,283,959 Detroit Wayne Co. (FGIC Insured), Public Improvements, 5.50%, 2/1/17 ..................... 1,800,000 1,786,050 Dexter Community Schools, 5.80%, 5/1/19 ........... 2,000,000 2,028,080 Dickinson Co. Economic Development Corporation Pollution Control Revenue, 5.85%, 10/1/18 ....... 3,000,000 3,017,160 Eastern Michigan University General Sinking Fund, 6.375%, 6/1/14 .................................. 1,000,000 1,070,490 Ferndale School District, 5.50%, 5/1/11 ........... 1,000,000 1,018,480 Hartland Consolidated School District General Obligation (AMBAC Insured), Unlimited Tax, 6.00%, 5/1/11 .......................................... 650,000 680,725 Huron Valley School District (FGIC Insured), Unlimited Tax, 5.875%, 5/1/16 ................... 1,000,000 1,027,730 Kalamazoo Economic Development, Friendship Vlg-A: 6.125%, 5/15/12 ................................. 1,250,000 1,268,125 6.125%, 5/15/17 ................................. 600,000 600,600 Kalamazoo Hospital Finance Authority Revenue (FGIC Insured), 5.25%, 6/1/17 ................................... 1,000,000 950,770 Lansing Building Authority (AMBAC Insured), 6.00%, 6/1/05 .......................................... 1,000,000 1,084,750 Livingston Co. General Obligation Bldg. Authority Limited Tax, 5.80%, 7/1/08 ................................... 1,330,000 1,408,802 Marysville Public School District, General Obligation, Unlimited Tax, 5.60%, 5/1/09 ................................... 620,000 640,224 Michigan General Obligation Environmental Protection Program, 6.25%, 11/1/08 .............. 450,000 494,618 Michigan Higher Education Student Loan (AMBAC Insured), 5.75%,6/1/13 ................... 1,000,000 1,006,390 Michigan Municipal Bond Authority Revenue, 5.70%, 8/1/07 .......................................... 1,145,000 1,200,555 Michigan Municipal Bond Authority Revenue (FGIG Insured), 6.00%, 12/1/13 ........................ 1,500,000 1,570,770 Michigan State Hospital Finance Authority Revenue (AMBAC Insured): 6.00%, 9/1/11 ................................... 1,250,000 1,302,650 5.375%, 8/15/16 ................................. 1,000,000 968,590 Michigan State Hospital Finance Authority Revenue: Mercy Mt. Clemens, 6.25%, 5/15/11 ............... 500,000 522,520 Daughters of Charity, 5.25%, 11/1/15 ............ 1,000,000 967,350 Mercy Health Services, 5.625%, 8/15/16 .......... 2,000,000 1,991,740 Henry Ford Hospital, 5.75%, 9/1/17 .............. 750,000 753,645 Detroit Medical Center, 6.50%, 8/15/18 .......... 2,000,000 2,122,340 118 Michigan State Housing Development Authority Revenue: 6.375%, 12/1/11 ................................. 750,000 784,793 6.00%, 12/1/15 .................................. 4,750,000 4,848,895 A/R, 4/1/19 ..................................... 2,800,000 2,800,000 Michigan State University Revenue, 6.25%, 8/15/15 . 2,000,000 2,113,720 Newaygo Public Schools General Obligation Unlimited Tax, 6.00%, 5/1/12 .............................. 300,000 312,846 Norway Vulcan Area Schools, 5.75%, 5/1/13 ......... 250,000 254,313 Novi Community Schools, 6.125%, 5/1/13 ............ 750,000 786,743 Oak Park School District (AMBAC Insured), 6.00%, 6/1/09 ................................... 250,000 264,835 Ottawa Co. General Obligation Water Supply System, 6.00%, 8/1/08 ................................... 1,950,000 2,068,365 Perry Public Schools, General Obligation, Unlimited Tax, 6.00%, 5/1/12 .............................. 250,000 260,512 Rockford Public Schools, 5.875%, 5/1/12 ........... 500,000 514,680 Royal Oak Hospital Finance Authority Revenue-William Beaumont Hospital-G, 5.60%, 11/15/11 ........................................ 2,000,000 2,025,860 Saranac Community School District, 6.00%, 5/1/13 .. 250,000 260,837 Traverse City Area Public School District, Series I, 5.70%, 5/1/12 ......................... 2,400,000 2,477,304 University of Michigan Revenue, 6.20%, 12/1/03 .... 1,000,000 1,080,690 University of Michigan Revenue, 5.75%, 12/1/12 .... 850,000 86,532 University of Michigan University Revenues, 5.50%, 12/1/21 .................................. 450,000 437,324 Wayne State University (AMBAC Insured): 5.50%, 11/15/07 ................................. 1,000,000 1,037,020 5.65%, 11/15/15 ................................. 800,000 807,960 Wayne Westland Community Schools (FGIC Insured), Unlimited Tax, 5.75%, 5/1/11 .................... 350,000 358,806 Western University Revenue (FGIC Insured), 6.25%, 11/15/12 ................................. 250,000 266,983 Wyoming Public School, 5.875%, 5/1/13 ............. 350,000 361,043 ----------- 60,531,907 ----------- Puerto Rico -- 6.67% Puerto Rico Commonwealth General Obligation (MBIA Insured) Unlimited Tax, Public Improvements, 6.25%, 7/1/12 ................................... 1,000,000 1,114,540 Puerto Rico Commonwealth, General Obligation, 5.75%, 7/1/17 ................................... 3,280,000 3,306,896 ----------- TOTAL MUNICIPAL BONDS ............................... 4,421,436 (Cost $63,234,707) ----------- TEMPORARY CASH INVESTMENT -- 2.03% Pegasus Michigan Tax-Exempt Money Market Fund ..... 1,346,682 1,346,682 (Cost $1,346,682) ----------- TOTAL INVESTMENTS ................................... $66,300,025 (Cost $64,581,389) =========== See Notes to Financial Statements.
119 Pegasus Funds NOTES TO FINANCIAL STATEMENTS (Unaudited) (1) Organization and Commencement of Operations The Pegasus Funds (Pegasus), formerly "The Woodward Funds", was organized as a Massachusetts business trust on April 21, 1987, and registered under the Investment Company Act of 1940, as amended (the "Act"), as an open-end management investment company. As of June 30, 1997, the Trust consisted of twenty-seven separate series of which there were twenty asset allocation, equity and bond funds, as described below. Given that the High Yield Bond Fund commenced operations with an initial seed investment on June 30, 1997, financial statements as of that date were not prepared.
Commencement Date ------------ ASSET ALLOCATION FUNDS Managed Assets Conservative Fund 1/23/86 Managed Assets Balanced Fund 1/1/94 Managed Assets Growth Fund 12/17/96 EQUITY FUNDS Equity Income Fund 1/27/95 Growth Fund 1/27/95 Mid-Cap Opportunity Fund 6/1/91 Small-Cap Opportunity Fund 1/27/95 Intrinsic Value Fund 6/1/91 Growth and Value Fund 6/1/91 Equity Index Fund 7/10/92 International Equity Fund 12/3/94 BOND FUNDS Intermediate Bond Fund 6/1/91 Bond Fund 6/1/91 Short Bond Fund 9/17/94 Income Fund 3/5/93 High Yield Bond Fund 6/30/97 International Bond Fund 1/27/95 MUNICIPAL BOND FUNDS Municipal Bond Fund 3/1/88 Intermediate Municipal Bond Fund 3/1/88 Michigan Municipal Bond Fund 2/1/93
During the period August 23, 1996 through September 23, 1996 various portfolios of Pegasus and the Prairie Funds reorganized pursuant to an Agreement and Plan of Reorganization (the "Plan"). Shareholders of each reorganizing portfolio approved the Plan as required which called for the transfer of the assets, subject to the liabilities, of each Prairie portfolio to the corresponding Pegasus Fund. The Plan also called for the issuance of shares by each Pegasus Fund to the shareholders of the corresponding Prairie Fund, such shares being equal in value to the net assets so transferred. In accordance with generally accepted accounting principles, the historical cost of investment securities was carried foward to the surviving fund (the Prairie Fund or Pegasus Fund which is the accounting survivor for performance measurement purposes as noted in the table that follows) and the results of operations for pre-combination periods for the surviving fund was not restated. The financial statements do not reflect the expenses of the reorganization. The combination of the funds was treated as a tax free business combination and accordingly was accounted for by a method of accounting for tax free mergers of investment companies (sometimes referred to as the pooling without restatement method). 120 The following table sets forth the date on which such reorganizations occurred and the name of the surviving fund (for the number of shares issued in connection with the various mergers and net assets transferred, see Note 6):
Former Current Woodward Former Prairie Pegasus Date of Merger Fund Fund Fund /Name Change -------- -------------- ------- -------------- -- * Managed Assets Income Managed Assets Conservative September 21, 1996 * Balanced Managed Assets Managed Assets Balanced August 26, 1996 -- * Equity Income Equity Income September 21, 1996 Capital Growth * Growth Growth August 26, 1996 * Opportunity -- Mid-Cap Opportunuity September 23, 1996 -- * Special Opportunities Small-Cap Opportunity September 21, 1996 * Intrinsic Value -- Intrinsic Value September 23, 1996 * Growth/Value -- Growth and Value September 23, 1996 * Equity Index -- Equity Index September 23, 1996 * International Equity International Equity International Equity August 26, 1996 * Intermediate Bond -- Intermediate Bond September 23, 1996 * Bond Bond Bond August 26, 1996 * Short Bond -- Short Bond September 23, 1996 -- * Intermediate Bond Income September 21, 1996 -- * International Bond International Bond September 21, 1996 Municipal Bond * Municipal Bond Municipal Bond September 14, 1996 -- * Intermediate Municipal Bond Intermediate Municipal Bond September 21, 1996 * Michigan Municipal Bond -- Michigan Municipal Bond September 23, 1996 * Surviving fund for accounting and performance measurement purposes.
On the date of reorganization, unrealized appreciation (depreciation) transferred from the Non-surviving funds amounted to $1,342,149, $43,749,490, $3,808,550, $(796,831), and $1,597,784 for the Prairie Managed Assets, Woodward Capital Growth, Prairie International Equity, Prairie Bond, and Woodward Municipal Bond Funds, respectively. The Woodward Municipal Bond Fund also had a capital loss of $1,708,301 which was transferred into the surviving fund on the reorganization date. The number of shares redeemed in connection with the reorganization totaled 877,085, 16,316,879, 13,340,453, 13,043,015 and 9,810,385 for the Prairie Managed Assets, Woodward Capital Growth, Prairie International Equity, Prairie Bond and Woodward Municipal Bond Funds, respectively. (2) Significant Accounting Policies The following is a summary of significant accounting policies followed by Pegasus in preparation of its financial statements. The policies are in conformity with generally accepted accounting principles for investment companies. Following generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements and reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. 121 Investments The Funds value investment securities at market value which is determined by a pricing service based upon quoted market prices or dealer quotes at the close of the respective domestic and foreign securities exchange. Securities for which market prices or dealer quotes are not readily available are valued by the investment advisor, First Chicago NBD Investment Management Company (FCNIMCO), in accordance with procedures approved by the Board of Trustees. Fixed income securities with maturities less than 60 days are carried at amortized cost, which approximates market value. Shares of open-end management investment companies (mutual funds) in which the Funds invest are valued at their respective net asset values as determined under the 1940 Act. Such mutual funds value securities in their portfolios for which market quotations are readily available at their current market value (generally the last reported sale price) and all other securities and assets at fair value pursuant to methods established in good faith by the Board of Trustees or Directors of the underlying mutual fund. Money market funds in which the funds also invest generally value securities in their portfolios on an amortized cost basis, which approximates market. Investment security purchases and sales are accounted for on the day after trade date. Pegasus invests in securities subject to repurchase agreements. Such transactions are entered into only with institutions included on the Federal Reserve System's list of institutions with whom the Federal Reserve Open Market Desk will do business. FCNIMCO, acting under the supervision of the Board of Trustees, has established the following additional policies and procedures relating to Pegasus' investments in securities subject to repurchase agreements: 1) the value of the underlying collateral is required to equal or exceed 102% of the funds advanced under the repurchase agreement including accrued interest; 2) collateral is marked to market daily by FCNIMCO to assure its value remains at least equal to 102% of the repurchase agreement amount; and 3) funds are not disbursed by Pegasus or its agent unless collateral is presented or acknowledged by the collateral custodian. Investment Income Interest income is recorded daily on the accrual basis adjusted for amortization of premium and accretion of discount on debt instruments. Bond premiums and discounts are amortized/accreted as required by the Internal Revenue Code as amended (the Code). Premiums and discounts on mortgage-backed securities are amortized/accreted using the effective interest rate method. As prepayments on the underlying mortgages increase or decrease the expected life, the yield is adjusted to amortize/accrete the security to its new expected life. Dividends are recorded on the ex-dividend date. For the International Equity Fund dividends are recorded on the ex-dividend date or upon receipt of ex-dividend notification in the case of certain foreign securities. For the International Equity Fund and the International Bond Fund, investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Forward Foreign Currency Contracts The International Equity Fund and the International Bond Fund may enter into a forward foreign currency contract which is an agreement between two parties to buy and sell a currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is "marked-to-market" daily using the prevailing exchange rate and the change in market value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was entered into and the value at the time it was closed. The International Equity Fund and the International Bond Fund may enter into forward foreign currency contracts with the objective of minimizing its risk from adverse changes in the relationship between currencies or to enhance income. The International Equity Fund and the International Bond Fund may also enter into a forward contract in a foreign currency of dividend payments in order to "lock in" the U. S. dollar price of a security or the U.S. dollar equivalent of such dividend or interest payments. These contracts involve market risk in excess of the amounts reflected in the International Equity Fund's and the International Bond Fund's Statement of Assets and Liabilities. The face or contract amount in U.S. dollars, as reflected in notes to the Portfolio of Investments of the International Equity Fund, reflects the total 122 exposure the fund has in that particular currency contract. Losses may arise due to changes in the value of the foreign currency or if the counterparty does not perform under the contract. Futures contracts The International Equity Fund may engage in futures contracts for the purpose of hedging against changes in the value of its portfolio securities and in the value of securities it intends to purchase. Upon entering into a futures contract, the Fund is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the "initial margin". Subsequent payments ("variation margin") are made or received by the Fund each day, depending on the daily fluctuation of the value of the contract. The daily changes in the value of the contract are recorded as unrealized gains or losses. The International Equity Fund recognizes, when the contract is closed, a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the time it was closed. Futures contracts open at June 30, 1997 and their related unrealized market appreciation (depreciation) are set forth in the notes to the Portfolio of Investments of the International Equity Fund. There are several risks in connection with the use of futures contracts as a hedging device. The change in value of futures contracts primarily corresponds with the value of their underlying instruments or indices, which may not correlate with the change in value of the hedged investments. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market. Foreign Currency Translations The accounting records of the International Equity Fund and the International Bond Fund are maintained in U.S. dollars. Foreign currency-denominated assets and liabilities are "marked-to-market" daily using the prevailing exchange rate and the change in value is recorded as an unrealized gain or loss. Upon receipt or payment, a realized gain or loss is recorded equal to the difference between the original value and the settlement value of the asset or liability. Purchases and sales of securities, income, and expenses are translated into U.S. dollars at prevailing exchange rates on the respective dates of the transactions. Net realized gains and losses on foreign currency transactions represent gains and losses from sales and maturities of forward foreign currency contracts, disposition of foreign currencies and currency gains and losses realized between trade and settlement dates on securities transactions and between the ex, pay and settlement dates on dividend income. Exchange rate fluctuations on investments are not segregated in the statement of operations from changes arising in market price movements. The effects of changes in foreign currency exchange rates on investments in securities are included within the net realized gain or loss on securities sold and net unrealized appreciation or depreciation on investment securities held. Federal Income Taxes It is Pegasus' policy to comply with the requirements of Subchapter M of the Code applicable to regulated investment companies and to distribute net investment income and realized gains to its shareholders. Therefore, no federal income tax provision is required in the accompanying financial statements. Net investment income and net realized gains (losses) may differ for financial statement and tax purposes primarily due to differing treatments for foreign currency transactions, wash sales and post-October 31 capital losses. Also, due to the timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the year that the net investment income or realized gains were recorded by the Fund. Certain book-to-tax timing differences for the Funds are reflected as excess distributions in the Statements of Changes in Net Assets. These distributions do not constitute a tax return of capital. During the period ended June 30, 1997, the Mid-Cap Opportunity, Intrinsic Value and Equity Index Funds made redemptions in kind to shareholders which resulted in GAAP-basis realized gains of approximately $2 million, $2 million and $115 million, respectively. For tax purposes these realized gains were distributed only to the redeeming shareholders with the transfer of specific fund assets. These transactions resulted in permanent book-tax differences that were reclassified to paid-in capital in the respective funds. 123 As of December 31, 1996, the following Pegasus Funds had capital loss carryforwards and related expiration dates as follows:
Fund 2002 2003 2004 Total ---- ---- ---- ---- ----- Bond $15,659,343 $1,041,792 $ -- $16,701,135 Intermediate Bond 3,916,956 2,190,497 168,406 6,275,859 Income -- -- 30,819 30,819 Municipal Bond 96,878 333,098 1,928,844 2,358,820 Michigan Municipal Bond 29,400 -- 94,571 123,971 International Equity -- 97,147 1,083,369 1,180,516
Shareholder Dividends Dividends from net investment income are declared and paid quarterly by the Equity Funds (with the exception of the Managed Assets Conservative and Equity Income Funds which pay dividends monthly) and monthly by the Bond Funds. Net realized capital gains are distributed annually. Distributions from net investment income and net realized gains are made during each year to avoid the 4% excise tax imposed on regulated investment companies by the Code. However, to the extent that net realized capital gains of a Fund can be reduced by capital loss carryovers, if any, such gains will not be distributed. Deferred Organization Costs Organization costs are being amortized on a straight-line basis over the five year period beginning with the commencement of operations of each Series. Concentration of Risk Investing in securities of foreign issuers and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and U.S. government securities. These risks include revaluation of currencies, adverse fluctuations in foreign currency values and possible adverse political, social and economic developments, including those particular to a specific industry, country or region, which could cause the securities and their markets to be less liquid and price more volatile than those of comparable U.S. companies and U. S. government securities. Although the Intermediate Municipal Bond Fund has a diversified investment portfolio, it currently has investments in excess of 10% of its total investments in the Commonwealth of Pennsylvania. The Michigan Municipal Bond Fund does not have a diversified portfolio since 91% of its investments are within the State of Michigan. Such concentrations within a particular state may subject the funds more significantly to economic changes occurring within those states. Expenses Expenses directly attributable to a Fund are charged to that Fund's operations; expenses which are applicable to all Funds are allocated among them on the basis of relative average daily net assets. Fund expenses directly attributable to a class of shares are charged to that class; expenses which are applicable to all classes are allocated among them. Pegasus monitors the rate at which expenses are charged to ensure that a proper amount of expense is charged to income each year. This percentage is subject to revision if there is a change in the estimate of the future net assets of Pegasus or a change in expectations as to the level of actual expenses. When Issued/To Be Announced (TBA) Securities. The Bond Funds may purchase securities on a "when issued" basis. These securities have been registered by a municipality or government agency, but have not yet been issued to the public. These transactions involve a commitment by the Funds to purchase particular securities, with payment and delivery taking place at a future date, for which all specific information, such as the face amount and maturity date of such investment security, is not known at the time of the trade. These transactions are subject to market fluctuations and the risk that the value at delivery may be more or less than the purchase price at which the transactions were entered. The current value of these securities is determined in the same manner as that of other portfolio securities. Although the Bond Funds generally purchase these securities with the intention of acquisition, such securities may be sold before the settlement date. 124 Multiple Classes of Capital Shares of Beneficial Interest The Fund offers Class A, Class B and Class I shares. Each class of shares has equal rights as to earnings, assets and voting privileges except that each class bears different distribution and shareholder service expenses. Each class of shares has exclusive voting rights with respect to matters that effect only that class. Income, expenses (other than expenses attributable to a specific class) and realized and unrealized gains or losses on investments are allocated to each class of shares based on relative net assets. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share dividend rates are generally due to differences in separate class expenses. Class B shares automatically convert to Class A shares at the beginning of the eighth year (the third year in the case of the Short Bond Fund and the seventh year in the case of the Equity Index, Income, Intermediate Bond and Intermediate Municipal Bond Funds) after the date of purchase. (3) Investment Advisory Fee, Administration Fee and Other Transactions With Affiliates FCNIMCO is the investment advisor pursuant to the Advisory Agreement whereby FCNIMCO has agreed to provide the day-to-day management of each of the Fund's investments. For its advisory services to Pegasus, FCNIMCO is entitled to a fee, computed daily and payable monthly. The Trust has a Co-Administration Agreement with NBD Bank, FCNIMCO and BISYS Fund Services (BISYS) (collectively, the "Co-Administrators") pursuant to which the Co-Administrators have agreed to assist in all aspects of the Funds' operations for an administration fee, at an annual rate of 0.15% of each Fund's average daily net assets. BISYS serves as the Trust's principal underwriter and distributor of the Funds' shares. NBD Bank, an affiliate of FCNIMCO, is also compensated for its services as Pegasus' custodian and is reimbursed for certain out of pocket expenses incurred on behalf of Pegasus. See Note 5 for a summary of fee rates and expenses pursuant to these agreements. Pegasus maintains an unfunded, Nonqualified deferred compensation plan. This plan allows for an individual trustee to elect to defer receipt of all or a percentage of fees which otherwise would be payable for services performed. 125 (4) Investment Securities Transactions The following summarizes the securities transactions entered into by the Funds, excluding short-term investments, for the period ended June 30, 1997:
Federal Tax Purchases Sales Cost --------- ----- ----------- Managed Assets Conservative ......................... $ 9,883,801 $ 40,561,601 $ 85,224,290 Managed Assets Balanced ............................. 76,045,799 58,056,400 214,110,749 Managed Assets Growth ............................... 2,829,003 184,143 4,173,060 Equity Income ....................................... 56,169,646 90,556,263 245,813,605 Growth .............................................. 51,095,087 91,405,283 423,845,773 Mid-Cap Opportunity ................................. 134,283,493 131,784,708 612,561,144 Small-Cap Opportunity ............................... 66,227,758 44,553,757 140,007,746 Intrinsic Value ..................................... 159,418,299 89,877,534 398,215,440 Growth and Value .................................... 158,569,250 127,930,558 701,032,394 Equity Index ........................................ 62,832,052 53,806,651 496,681,471 International Equity ................................ 669,482,532 36,286,881 407,952,543 Intermediate Bond ................................... 68,003,208 30,954,766 459,639,310 Bond Fund ........................................... 166,476,155 31,706,549 1,021,412,070 Short Bond .......................................... 80,304,498 53,860,668 191,948,129 Income Fund ......................................... 46,129,343 103,006,455 139,505,138 International Bond .................................. 2,668,214,489 1,621,280 75,538,915 Municipal Bond ...................................... 93,804,359 87,229,288 354,048,047 Intermediate Municipal Bond ......................... 109,368,349 108,229,870 379,706,979 Michigan Municipal Bond ............................. 20,970,656 14,512,078 64,581,389
At June 30, 1997, accumulated net unrealized appreciation (depreciation) on investments based on Federal Tax Cost was as follows:
Net Unrealized Unrealized Unrealized Appreciation/ Appreciation Depreciation (Depreciation) ------------ ------------ -------------- Managed Assets Conservative ......................... $ 6,534,343 $ (283,105) $ 6,251,238 Managed Assets Balanced ............................. 20,058,031 (1,027,136) 19,030,895 Managed Assets Growth ............................... 286,430 (2,953) 283,477 Equity Income ....................................... 66,830,798 (617,446) 66,213,352 Growth .............................................. 202,486,282 (12,030,124) 190,456,158 Mid-Cap Opportunity ................................. 289,275,012 (9,322,080) 279,952,932 Small-Cap Opportunity ............................... 40,797,927 (1,708,192) 39,089,735 Intrinsic Value ..................................... 93,948,750 (2,108,067) 91,840,683 Growth and Value .................................... 266,060,000 (2,383,410) 263,676,590 Equity Index ........................................ 268,444,256 (11,427,931) 257,016,325 International Equity ................................ 94,134,717 (21,386,259 72,748,458 Intermediate Bond ................................... 9,090,856 (6,902,511) 2,188,345 Bond Fund ........................................... 28,757,996 (14,339,522) 14,418,474 Short Bond .......................................... 720,028 (464,066) 255,962 Income Fund ......................................... 1,437,889 (752,926) 684,963 International Bond .................................. 828,181 (3,052,045) (2,223,864) Municipal Bond ...................................... 13,186,598 (28,425) 13,158,173 Intermediate Municipal Bond ......................... 11,104,309 (18,944) 11,085,365 Michigan Municipal Bond ............................. 1,734,532 (15,896) 1,718,636 * For the International Equity and International Bond Funds, the Gross Unrealized Appreciation and Depreciation is inclusive of foreign exchange gains and losses on foreign equity and bond holdings.
126 (5) Expenses Following is a summary of total expense rates charged for the period ended June 30, 1997.
Managed Assets Managed Assets Managed Assets Effective Date Conservative Balanced Growth - -------------- -------------- -------------- -------------- CLASS A SHARES Expense Rates: January 1 1.22% 1.21% 1.20% June 2 1.25% 1.25% 1.25% CLASS B SHARES Expense Rates: January 1 1.97% 1.96% 1.95% June 2 2.00% 2.00% 2.00% CLASS I SHARES Expense Rates: January 1 0.97% 0.96% 0.95% June 2 1.00% 1.00% 1.00%
For the period ended June 30, 1997, FCNIMCO voluntarily agreed to reimburse a portion of the operating expenses of the Funds to the extent that the Funds' expenses exceeded the following amounts (as a percentage of each Fund's daily average net assets):
Managed Assets Managed Assets Managed Assets Conservative Balanced Growth -------------- -------------- -------------- Class A Shares 1.25% 1.25% 1.25% Class B Shares 2.00% 2.00% 2.00% Class I Shares 1.00% 1.00% 1.00%
Following is a summary of advisory fee rates payable to FCNIMCO and amounts paid to FCNIMCO and BISYS pursuant to the agreements described in Note 3 for the period ended June 30, 1997. The rates are stated as a percentage of each fund's average net assets.
Managed Assets Managed Assets Managed Assets Effective Date Conservative Balanced Growth -------------- -------------- -------------- -------------- FCNIMCO Advisory Fee: January 1 0.65% 0.65% 0.65% Amounts Paid: Advisory Fee to FCNIMCO 267,185 588,537 7,563 Administration Fee to FCNIMCO and BISYS 61,658 135,816 1,745 Other Fees & Out of Pocket Expenses to FCNIMCO 9,318 40,459 11,901 Expense Reimbursements by FCNIMCO (33,257) (68,757) (28,567)
127 Following is a summary of total expense rates charged for the period ended June 30, 1997.
Equity Mid-Cap Small-Cap Effective Date Income Growth Opportunity Opportunity - -------------- ------ ------ ----------- ----------- CLASS A SHARES Expense Rates: January 1 0.95% 1.04% 1.06% 1.20% May 1 0.95% 1.04% 1.10% 1.17% CLASS B SHARES Expense Rates: January 1 1.70% 1.79% 1.81% 1.95% May 1 1.70% 1.79% 1.85% 1.92% CLASS I SHARES Expense Rates: January 1 0.70% 0.79% 0.81% 0.95% May 1 0.70% 0.79% 0.85% 0.92%
For the period ended June 30, 1997, FCNIMCO voluntarily agreed to reimburse a portion of the operating expenses of the Funds to the extent that the Funds' expenses exceeded the following amounts (as a percentage of each Fund's average net assets):
Equity Mid-Cap Small-Cap Income Growth Opportunity Opportunity ------ ------ ----------- ----------- Class A Shares 1.14% 1.34% 1.36% 1.75% Class B Shares 1.89% 2.09% 2.11% 2.50% Class I Shares 1.01% 0.98% 0.92% 1.10%
Following is a summary of advisory fee rates payable to FCNIMCO and amounts paid to FCNIMCO and BISYS pursuant to the agreements described in Note 3 for the period ended June 30, 1997. The rates are stated as a percentage of each fund's average net assets.
Equity Mid-Cap Small-Cap Effective Date Income Growth Opportunity Opportunity - -------------- ------ ------ ----------- ----------- FCNIMCO Advisory Fee: January 1 0.50% 0.60% 0.60% 0.70% Amounts Paid: Advisory Fee to FCNIMCO $777,880 1,692,653 2,380,669 513,922 Administration Fee to FCNIMCO and BISYS 233,364 423,163 595,167 110,126 Other Fees & Out of Pocket Expenses to FCNIMCO 27,481 19,197 47,214 14,842
128 Following is a summary of total expense rates charged for the period ended June 30, 1997.
Intrinsic Growth and Equity International Effective Date Value Value Index Equity --------- ---------- ------ ------------- CLASS A SHARES Expense Rates: January 1 1.06% 1.05% 0.54% 1.30% May 1 1.06% 1.11% 0.57% 1.37% June 2 1.06% 1.10% 0.57% 1.37% CLASS B SHARES Expense Rates: January 1 1.81% 1.80% 1.29% 2.05% May 1 1.81% 1.86% 1.32% 2.12% June 2 1.81% 1.85% 1.32% 2.12% CLASS I SHARES Expense Rates: January 1 0.81% 0.80% 0.29% 1.05% May 1 0.81% 0.86% 0.32% 1.12% June 2 0.81% 0.85% 0.32% 1.12%
For the period ended June 30, 1997, FCNIMCO voluntarily agreed to reimburse a portion of the operating expenses of the Funds to the extent that the Funds' expenses exceeded the following amounts (as a percentage of each Fund's average net assets):
Intrinsic Growth and Equity International Value Value Index Equity --------- ---------- ------ ------------- Class A Shares 1.27% 1.10% 0.60% 1.71% Class B Shares 2.02% 2.02% 1.35% 2.46% Class I Shares 1.01% 0.85% 0.37% 1.18%
Following is a summary of advisory fee rates payable to FCNIMCO and amounts paid to FCNIMCO and BISYS pursuant to the agreements described in Note 3 for the period ended June 30, 1997. The rates are stated as a percentage of each fund's average net assets.
Intrinsic Growth and Equity International Effective Date Value Value Index Equity -------------- --------- ---------- ------- ------------- FCNIMCO Advisory Fee: January 1 0.60% 0.60% 0.10% 0.80% Amounts Paid: Advisory Fee to FCNIMCO. $1,275,963 $2,581,691 $354,488 $1,713,852 Administration Fee to FCNIMCO and BISYS 318,991 645,423 531,731 321,347 Other Fees & Out of Pocket Expenses to FCNIMCO 27,311 46,745 55,169 230,934 Expense Reimbursements by FCNIMCO -- (14,628) -- --
129 Following is a summary of total expense rates charged for the period ended June 30, 1997.
Intermediate Short Effective Date Bond Bond Bond Income - -------------- ------------ ---- ----- ------ CLASS A SHARES Expense Rates: January 1 0.85% 0.84% 0.82% 0.87% May 1 0.86% 0.86% 0.84% 0.87% June 2 0.86% 0.86% 0.82% 0.87% CLASS B SHARES Expense Rates: January 1 1.60% 1.59% 1.57% 1.62% May 1 1.61% 1.61% 1.59% 1.62% June 2 1.61% 1.61% 1.57% 1.62% CLASS I SHARES Expense Rates: January 1 0.60% 0.59% 0.57% 0.62% May 1 0.61% 0.61% 0.59% 0.62% June 2 0.61% 0.61% 0.57% 0.62%
For the period ended June 30, 1997, FCNIMCO voluntarily agreed to reimburse a portion of the operating expenses of the Funds to the extent that the Funds' expenses exceeded the following amounts (as a percentage of each Fund's average net assets):
Intermediate Short Bond Bond Bond Income ------------ ---- ----- ------ Class A Shares 1.05% 1.09% 0.86% 1.09% Class B Shares 1.80% 1.84% 1.61% 1.84% Class I Shares 0.61% 0.93% 0.57% 0.93%
Following is a summary of advisory fee rates payable to FCNIMCO and amounts paid to FCNIMCO and BISYS pursuant to the agreements described in Note 3 for the period ended June 30, 1997. The rates are stated as a percentage of each fund's average net assets.
Intermediate Short Effective Date Bond Bond Bond Income -------------- ------------ ---- ---- ------ FCNIMCO Advisory Fee: January 1 0.40% 0.40% 0.35% 0.40% Amounts Paid: Advisory Fee to FCNIMCO $870,992 $1,822,864 $318,190 $332,141 Administration Fee to FCNIMCO and BISYS 326,622 683,574 136,367 124,553 Other Fees & Out of Pocket Expenses to FCNIMCO 32,690 55,259 18,091 11,378 Expense Reimbursements by FCNIMCO -- -- (1,547) --
130 Following is a summary of total expense rates charged for the period ended June 30, 1997.
International Municipal Intermediate Michigan Effective Date Bond Bond Municipal Bond Municipal Bond - -------------- ------------- --------- -------------- -------------- CLASS A SHARES Expense Rates: January 1 1.09% 0.85% 0.85% 0.94% May 1 1.09% 0.85% 0.84% 0.94% June 2 1.09% 0.85% 0.84% 0.91% CLASS B SHARES Expense Rates: January 1 1.84% 1.60% 1.60% 1.69% May 1 1.84% 1.60% 1.59% 1.69% June 2 1.84% 1.60% 1.59% 1.66% CLASS I SHARES Expense Rates: January 1 0.84% 0.60% 0.60% 0.69% May 1 0.84% 0.60% 0.59% 0.69% June 2 0.84% 0.60% 0.59% 0.66%
For the period ended June 30, 1997, FCNIMCO voluntarily agreed to reimburse a portion of the operating expenses of the Funds to the extent that the Funds' expenses exceeded the following amounts (as a percentage of each Fund's average net assets):
International Municipal Intermediate Michigan Bond Bond Municipal Bond Municipal Bond ------------- --------- -------------- -------------- Class A Shares 1.48% 0.97% 0.99% 0.94% Class B Shares 2.23% 1.72% 1.74% 1.66% Class I Shares 0.84% 0.70% 0.75% 0.82%
Following is a summary of advisory fee rates payable to FCNIMCO and amounts paid to FCNIMCO and BISYS pursuant to the agreements described in Note 3 for the period ended June 30, 1997. The rates are stated as a percentage of each fund's average net assets.
International Municipal Intermediate Michigan Effective Date Bond Bond Municipal Bond Municipal Bond -------------- ------------ --------- -------------- -------------- FCNIMCO Advisory Fee: January 1 0.70% 0.40% 0.40% 0.40% Amounts Paid: Advisory Fee to FCNIMCO $240,423 $751,159 $783,295 $123,692 Administration Fee to FCNIMCO and BISYS 51,519 281,684 293,736 46,384 Other Fees & Out of Pocket Expenses to FCNIMCO 49,239 19,474 16,789 10,155 Expense Reimbursements by FCNIMCO (81,418) -- -- (14,123)
131 The Funds' Class A shares and Class B shares have a Shareholder Services Plan (the"Plan") pursuant to which the Funds pay BISYS (the "Distributor") a fee, at an annual rate not to exceed 0.25% of the value of the average daily net assets of the outstanding Class A shares and Class B shares. Pursuant to the terms of the Plan, the Distributor has agreed to provide certain shareholder services to the holders of these shares. Additionally, under the terms of the Plan, the Distributor may make payments to other shareholder service agents which may include FCNIMCO, and its affiliates. For the period ended June 30, 1997, the Funds paid the following amounts under the Plan to BISYS:
Amounts paid ------------ Managed Assets Conservative $ 91,838 Managed Assets Balanced 72,660 Managed Assets Growth 2,064 Equity Income 20,115 Growth 38,944 Mid-Cap Opportunity 129,093 Small-Cap Opportunity 10,387 Intrinsic Value 40,973 Growth and Value 95,550 Equity Index 73,252 International Equity 19,820 Intermediate Bond 25,464 Bond Fund 73,279 Short Bond 2,080 Income Fund 11,236 International Bond 3,821 Municipal Bond 35,403 Intermediate Municipal Bond 23,944 Michigan Municipal Bond 22,098
The Funds' Class B shares have a Distribution Plan adopted pursuant to Rule 12b-1 under the Act (the "12b-1 Plan") pursuant to which the Funds have agreed to pay the Distributor for advertising, marketing and distributing Class B Shares of the Funds at an annual rate not to exceed 0.75% of the value of the average daily net assets of the Funds' outstanding Class B Shares. Under the terms of the 12b-1 Plan, the Distributor may make payments to FCNIMCO, and its affiliates in respect of these services. A contingent deferred sales charge (CDSC) payable to the Distributor is imposed on redemptions of Class B shares depending on the number of years such shares were held by the investor. For the period ended June 30, 1997, the Funds made the following payments under the 12b-1 plan, all of which was retained by the Distributor:
12b-1 Fees CDSC paid paid ---------- ---- Managed Assets Conservative $25,677 $22,262 Managed Assets Balanced 9,780 13,515 Managed Assets Growth 3,015 5,600 Equity Income 6,820 2,411 Growth 2,886 3,972 Mid-Cap Opportunity 2,722 9,105 Small-Cap Opportunity 1,003 2,740 Intrinsic Value 2,342 6,562 Growth and Value 3,660 10,013 Equity Index 1,389 2,243 International Equity 4,215 2,681 Intermediate Bond 702 589 Bond Fund 2,410 5,945 Short Bond 225 238 Income Fund 1,476 129 International Bond 205 549 Municipal Bond 2,817 3,835 Intermediate Municipal Bond 2,325 775 Michigan Municipal Bond 620 1,458
132 (6) Capital Share Transactions Transactions in shares of the Funds are summarized below:
Managed Assets Conservative Fund ------------------------------------------------ Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 ------------------- ------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 14,901,719 965,552 $ 21,035,492 1,395,287 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 1,422,386 91,642 2,064,528 138,061 Shares Redeemed (11,067,377) (716,318) (8,804,666) (591,724) ------------- ---------- ------------ --------- Net Increase $ 5,256,728 340,876 $ 14,295,354 941,624 ============= ========== ============ ========= Class B Shares: Shares Issued $ 2,598,816 166,830 $ 3,341,366 234,768 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 117,691 7,568 118,027 7,867 Shares Redeemed (379,315) (24,577) (280,570) (18,618) ------------- ---------- ------------ --------- Net Increase $ 2,337,192 149,821 $ 3,178,823 224,017 ============= ========== ============ ========= Class I Shares: Shares Issued $ 6,840,900 442,213 $ 918,992 59,611 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 67,780 4,338 6,383 428 Shares Redeemed (3,207,178) (207,603) (784,575) (51,259) ------------- -------- ------------ --------- Net Increase $ 3,701,502 238,948 $ 140,800 8,780 ============= ========== ============ ========= Net Increase in Fund $ 11,295,422 729,645 $ 17,614,977 1,174,421 ============= ========== ============ ========= Managed Assets Balanced Fund ----------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 ------------- ----------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 66,133,373 5,613,705 $ 8,426,899 711,227 Shares Issued in Connection with Merger -- -- 9,463,276 852,362 Dividends Reinvested 949,079 77,650 817,537 72,314 Shares Redeemed (11,158,835) (937,750) (2,536,126) (221,289) ------------- ---------- ------------ --------- Net Increase $ 55,923,617 4,753,605 $ 16,171,586 1,414,614 ============= ========== ============ ========= Class B Shares: Shares Issued $ 2,079,572 158,133 $ 1,032,698 80,980 Shares Issued in Connection with Merger -- -- 807,188 66,363 Dividends Reinvested 32,538 2,412 9,168 716 Shares Redeemed (131,057) (10,132) (6,339) (515) ------------- ---------- ------------ --------- Net Increase $ 1,981,053 150,413 $ 1,842,715 147,544 ============= ========== ============ ========= Class I Shares: Shares Issued $ 69,985,166 5,999,673 $ 49,005,246 4,288,634 Shares Issued in Connection with Merger -- -- 435,984 39,271 Dividends Reinvested 1,798,637 148,568 7,286,098 648,042 Shares Redeemed (41,225,521) (3,503,396) (41,766,635) (3,653,436) ------------- ---------- ------------ -------- Net Increase $ 30,558,282 2,644,845 $ 14,960,693 1,322,511 ============= ========== ============ ========= Net Increase in Fund $ 88,462,952 7,548,863 $ 32,974,994 2,884,669 ============= ========== ============ ========= Managed Assets Growth Fund ----------------------------------------- Period Ended December 17, 1996 June 30, 1997 to (Unaudited) December 31, 1996 -------------------- ----------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 1,753,254 168,516 $ 75,494 7,476 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 10,378 966 -- -- Shares Redeemed (273,815) (25,436) -- -- ----------- ------- --------- ------ Net Increase $ 1,489,817 144,046 $ 75,494 7,476 =========== ======= ========= ====== Class B Shares: Shares Issued $ 1,930,725 186,571 $ 16,600 1,659 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 9,945 933 -- -- Shares Redeemed (6,019) (591) -- -- ----------- ------- --------- ------ Net Increase $ 1,934,651 186,913 $ 16,600 1,659 =========== ======= ========= ====== Class I Shares: Shares Issued $ 68,905 6,591 $ 586,711 58,671 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 10 -- -- -- Shares Redeemed -- -- -- -- ----------- ------- --------- ------ Net Increase $ 68,906 6,591 $ 586,711 58,671 =========== ======= ========= ====== Net Increase in Fund $ 3,493,374 337,550 $ 678,805 67,806 =========== ======= ========= ======
133 (6) Capital Share Transactions -- (Continued)
Equity Income Fund ----------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------- ----------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 3,795,342 278,433 $ 11,093,531 852,135 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 197,214 14,379 160,285 12,297 Shares Redeemed (6,312,648) (455,456) (1,604,818) (124,553) ------------ ---------- ------------ --------- Net Increase (Decrease) $ (2,320,092) (162,644) $ 9,648,998 739,879 ============ ========== ============ ========== Class B Shares: Shares Issued $ 520,979 38,302 $ 1,308,057 102,562 Dividends Reinvested 21,596 1,564 28,902 2,231 Shares Redeemed (404,966) (30,452) (152,379) (11,467) -------- ---------- ------------ ---------- Net Increase (Decrease) $ 137,608 9,414 $ 1,184,580 93,326 ============ ========== ============ ========== Class I Shares: Shares Issued $ 9,754,605 715,798 $ 45,081,757 3,527,231 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 58,996 4,386 218,010 16,975 Shares Redeemed (47,309,598) (3,487,977) (39,544,438) (3,063,638) ----------- ---------- ----------- ---------- Net Increase (Decrease) $(37,495,997) (2,767,793) $ 5,755,329 480,568 ============= ========== ============ ========== Net Increase (Decrease) in Fund $(39,678,481) (2,921,023) $ 16,588,907 1,313,773 ============= ========== ============ ========== Growth Fund ------------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 ----------------- ----------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 14,130,860 1,065,950 $ 13,444,141 1,080,205 Shares Issued in Connection with Merger -- -- 5,930,465 512,787 Dividends Reinvested 8,852 674 841,743 72,662 Shares Redeemed (5,540,454) (398,268) (2,311,238) (186,293) ------------ ---------- ------------ ---------- Net Increase (Decrease) $ 8,599,258 668,356 $ 17,905,111 1,479,361 ============ ========== ============ ========== Class B Shares: Shares Issued $ 495,728 36,664 $ 782,000 62,854 Dividends Reinvested -- -- 94,605 8,218 Shares Redeemed (535,702) (42,952) (79,233) (6,367) ------------- ---------- ------------ --------- Net Increase (Decrease) $ (39,974) (6,288) $ 797,372 64,705 ============ ========== ============ ========== Class I Shares: Shares Issued $ 9,176,401 2,945,839 $ 41,360,067 3,369,088 Shares Issued in Connection with Merger -- -- 222,424,201 19,236,854 Dividends Reinvested 246,492 18,087 27,429,285 2,372,057 Shares Redeemed (78,650,196) (5,920,709) (90,415,801) (7,318,686) ------------ ---------- ------------ ---------- Net Increase (Decrease) $(39,227,303) (2,956,783) $200,797,752 17,659,313 ============ ========== ============ ========== Net Increase (Decrease) in Fund $(30,668,019) (2,294,715) $219,500,235 19,203,379 ============ ========== ============ ========== Mid-Cap Opportunity ---------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------------- ---------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 26,935,862 1,511,049 $ 23,692,655 1,355,358 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 13,026 749 108,810 6,534 Shares Redeemed (8,294,765) (457,788) (15,056,564) (907,440) ------------- ---------- -------------- ----------- Net Increase (Decrease) $ 18,654,123 1,054,010 $ 8,744,901 454,452 ============== ========== ============== =========== Class B Shares: Shares Issued $ 1,220,715 125,777 $ 162,993 16,148 Dividends Reinvested -- -- 86 9 Shares Redeemed (17,388) (1,784) -- -- ------------- ---------- -------------- ----------- Net Increase (Decrease) $ 1,203,327 123,993 $ 163,079 16,157 ============== ========== ============== =========== Class I Shares: Shares Issued $ 96,579,562 5,361,186 $ 172,410,355 10,192,078 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 345,732 18,476 1,169,588 69,096 Shares Redeemed (103,501,987) (5,762,388) (167,383,102) (10,003,854) ------------- ---------- ------------- ----------- Net Increase (Decrease) $ (6,576,693) (382,726) $ 6,196,841 257,320 ============== ========== ============== =========== Net Increase (Decrease) in Fund $ 13,280,757 795,277 $ 15,104,821 727,929 ============== ========== ============== ===========
134 (6) Capital Share Transactions -- (Continued)
Small-Cap Opportunity ------------------------------------------------ Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------------- -------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 4,120,307 294,426 $ 6,588,789 492,296 Dividends Reinvested -- -- 548,267 40,137 Shares Redeemed (2,553,243) (176,625) (1,261,317) (98,737) ------------- --------- ------------- --------- Net Increase $ 1,567,064 117,801 $ 5,875,739 433,696 ============= ========= ============= ========= Class B Shares: Shares Issued $ 296,986 21,591 $ 88,109 6,603 Dividends Reinvested -- -- 8,638 638 Shares Redeemed (1,039) (69) (5,113) (378) ------------- --------- ------------- --------- Net Increase $ 295,947 21,522 $ 91,634 6,863 ============= ========= ============= ========= Class I Shares: Shares Issued $ 30,975,987 2,206,092 $ 26,677,330 1,999,204 Dividends Reinvested -- -- 7,414,201 538,441 Shares Redeemed (12,153,525) (868,654) (13,774,348) (1,044,928) ------------- --------- ------------- --------- Net Increase $ 18,822,462 1,337,438 $ 20,317,183 1,492,717 ============= ========= ============= ========= Net Increase in Fund $ 20,685,473 1,476,761 $ 26,284,556 1,933,276 ============= ========= ============= ========= Intrinsic Value Fund --------------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------------- --------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 22,280,540 1,567,046 $ 4,813,365 337,213 Dividends Reinvested 298,929 20,287 392,449 30,190 Shares Redeemed (4,765,207) (332,957) (3,069,127) (237,189) ------------- --------- ------------- ---------- Net Increase $ 17,814,262 1,254,376 $ 2,136,687 130,214 ============= ========= ============= ========== Class B Shares: Shares Issued $ 1,090,839 102,359 $ 181,790 17,729 Dividends Reinvested 9,458 862 690 68 Shares Redeemed (14,428) (1,356) -- -- ------------- --------- ------------- ---------- Net Increase $ 1,085,869 101,865 $ 182,480 17,797 ============= ========= ============= ========== Class I Shares: Shares Issued $ 91,863,525 6,411,002 $ 139,927,769 10,692,276 Dividends Reinvested 2,348,419 160,249 4,797,959 367,462 Shares Redeemed (49,346,657) (3,452,171) (65,319,700) (5,010,787) ------------- --------- ------------- ---------- Net Increase $ 44,865,287 3,119,080 $ 79,406,028 6,048,951 ============= ========= ============= ========== Net Increase in Fund $ 63,765,418 4,475,321 $ 81,725,195 6,196,962 ============= ========= ============= ========== Growth and Value Fund ---------------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------------- --------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 31,873,710 2,127,176 $ 16,028,372 1,124,155 Dividends Reinvested 363,268 23,594 560,494 39,583 Shares Redeemed (5,873,413) (390,524) (10,821,842) (772,283) ------------- -------- ------------- ---------- Net Increase $ 26,363,565 1,760,246 $ 5,767,024 391,455 ============== ========= ============== ========== Class B Shares: Shares Issued $ 1,686,335 172,077 $ 196,222 19,580 Dividends Reinvested 5,326 519 601 64 Shares Redeemed (37,296) (3,766) -- -- ------------- ---------- ------------ ------------- Net Increase $ 1,654,365 168,830 $ 196,823 19,644 ============= ========== ============ ============ Class I Shares: Shares Issued $ 118,523,931 8,041,831 $ 187,744,205 13,228,960 Dividends Reinvested 1,709,361 114,079 5,853,778 413,067 Shares Redeemed (108,839,139) (7,319,512) (195,990,296) (13,908,643) ------------- ---------- ------------- ----------- Net Increase $ 11,394,153 836,398 $ (2,392,313) (266,616) ============= ========== ============= ============ Net Increase in Fund $ 39,412,083 2,765,474 $ 3,571,534 144,483 ============= ========== ============= ============
135 (6) Capital Share Transactions -- (Continued)
Equity Index Fund --------------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 --------------------- --------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 44,131,918 2,520,168 $ 31,801,287 1,957,460 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 433,554 22,978 206,905 12,734 Shares Redeemed (20,376,758) (1,137,406) (2,209,647) (143,624) ------------- ----------- ------------- ----------- Net Increase $ 24,188,714 1,405,740 $ 29,798,545 1,826,570 ============= =========== ============= =========== Class B Shares: Shares Issued $ 627,814 54,262 $ 111,829 10,652 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 5,530 464 466 44 Shares Redeemed -- -- -- -- ------------- ----------- ------------- ----------- Net Increase $ 633,344 54,726 $ 112,295 10,696 ============= =========== ============= =========== Class I Shares: Shares Issued $ 71,754,645 3,966,903 $ 411,754,518 27,064,141 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 3,690,137 199,257 12,028,976 766,473 Shares Redeemed (351,112,137) (19,890,570) (235,108,926) (15,057,677) ------------- ----------- ------------- ----------- Net Increase (Decrease) $(275,667,355) (15,724,410) $ 188,674,568 12,772,937 ============= =========== ============= =========== Net Increase (Decrease) in Fund $(250,845,297) (14,263,944) $ 218,585,408 14,610,203 ============= =========== ============= =========== International Equity Fund ------------------------------------------------------ Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------------- -------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 7,898,916 669,473 $ 5,469,113 471,883 Shares Issued in Connection with Merger -- -- 5,000,559 437,253 Dividends Reinvested 83,234 6,514 25,480 2,217 Shares Redeemed (1,412,099) (117,393) (925,372) (80,361) ------------- ---------- ------------ ---------- Net Increase $ 6,570,051 558,594 $ 9,569,780 830,992 ============= ========== ============ ========== Class B Shares: Shares Issued $ 344,678 30,736 $ 207,457 19,628 Shares Issued in Connection with Merger -- -- 902,000 83,241 Dividends Reinvested 3,667 305 3,879 363 Shares Redeemed (180,157) (16,378) (12,832) (1,174) ------------- ---------- ------------ ---------- Net Increase $ 168,188 14,663 $ 1,100,504 102,058 ============= ========== ============ ========== Class I Shares: Shares Issued $ 57,695,997 4,887,170 $156,316,681 13,690,888 Shares Issued in Connection with Merger -- -- 139,065,560 12,158,206 Dividends Reinvested 951,241 75,296 1,166,795 101,789 Shares Redeemed (26,867,503) (2,285,457) (28,938,741) (2,506,907) ------------- ---------- ------------ ---------- Net Increase (Decrease) $ 31,779,736 2,677,009 $267,610,295 23,443,976 ============= ========== ============ ========== Net Increase (Decrease) in Fund $ 38,517,976 3,250,265 $278,280,579 24,377,026 ============= ========== ============ ==========
136 (6) Capital Share Transactions -- (Continued)
Intermediate Bond Fund --------------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------------- --------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 5,057,844 493,841 $ 8,796,002 850,551 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 561,872 54,943 608,725 59,665 Shares Redeemed (2,183,290) (213,145) (2,595,255) (254,168) ------------ ---------- ------------- ----------- Net Increase (Decrease) $ 3,436,426 335,639 $ 6,809,472 656,048 ============ ========== ============= =========== Class B Shares: Shares Issued $ 120,076 11,812 $ 120,890 11,847 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 3,336 330 726 71 Shares Redeemed (16,757) (1,656) -- -- ------------ ---------- ------------- ----------- Net Increase (Decrease) $ 106,655 10,486 $ 121,616 11,918 ============ ========== ============= =========== Class I Shares: Shares Issued $ 97,291,132 9,484,546 $ 109,594,960 10,695,590 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 8,632,875 844,199 18,582,923 1,823,614 Shares Redeemed (59,081,705) (5,761,832) (123,973,501) (12,103,697) ------------ ---------- ------------- ----------- Net Increase (Decrease) $ 46,842,302 4,566,913 $ 4,204,382 415,507 ============ ========== ============= =========== Net Increase (Decrease) in Fund $ 50,385,383 4,913,037 $ 11,135,470 1,083,473 ============ ========== ============= =========== Bond Fund -------------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------------- -------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 27,929,901 2,738,790 $ 18,025,833 1,759,192 Shares Issued in Connection with Merger -- -- 3,578,204 54,183 Dividends Reinvested 1,578,659 155,256 1,569,989 154,343 Shares Redeemed (8,050,470) (787,232) (7,420,659) (728,002) ------------ ---------- ------------ ---------- Net Increase (Decrease) $ 21,458,090 2,106,814 $ 15,753,367 1,539,716 ============ ========== ============ ========== Class B Shares: Shares Issued $ 901,873 88,416 $ 158,728 15,396 Shares Issued in Connection with Merger -- -- 119,311 11,877 Dividends Reinvested 16,133 1,584 3,723 365 Shares Redeemed (71,355) (6,990) (4,168) (416) ------------ ---------- ------------ ---------- Net Increase (Decrease) $ 846,651 83,012 $ 277,594 27,222 ============ ========== ============ ========== Class I Shares: Shares Issued $244,804,352 23,990,707 $210,681,955 20,613,883 Shares Issued in Connection with Merger -- -- 127,168,386 12,587,564 Dividends Reinvested 16,403,984 1,612,494 28,011,422 2,757,955 Shares Redeemed (49,755,856) (4,880,111) (88,910,686) (8,695,219) ------------ ---------- ------------ ---------- Net Increase (Decrease) $211,452,480 20,723,090 $276,951,077 27,264,183 ============ ========== ============ ========== Net Increase (Decrease) in Fund $233,757,221 22,912,916 $292,982,038 28,831,121 ============ ========== ============ ========== Short Bond Fund -------------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------------- --------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 914,924 90,314 $ 486,197 47,796 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 42,531 4,225 35,923 3,549 Shares Redeemed (514,050) (50,754) (244,422) (24,031) ------------ --------- ------------- --------- Net Increase (Decrease) $ 433,405 43,785 $ 277,698 27,314 ============ ========= ============= ========= Class B Shares: Shares Issued $ 32,500 3,248 $ 55,979 5,552 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 610 60 375 38 Shares Redeemed (20,443) (2,048) -- -- ------------ --------- ------------- --------- Net Increase (Decrease) $ 12,667 1,260 $ 56,354 5,590 ============ ========= ============= ========= Class I Shares: Shares Issued $ 45,290,229 4,496,910 $ 40,830,609 4,022,313 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 1,949,913 193,657 3,598,870 355,518 Shares Redeemed (25,502,441) (2,527,513) (33,628,814) (3,310,328) ------------ --------- ------------- --------- Net Increase (Decrease) $ 21,737,701 2,163,054 $ 10,800,665 1,067,503 ============ ========= ============= ========= Net Increase (Decrease) in Fund $ 22,193,773 2,208,099 $ 11,134,717 1,100,407 ============ ========= ============= =========
137 (6) Capital Share Transactions -- (Continued)
Income Fund ------------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------------- -------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 1,453,270 186,524 $ 6,282,665 802,997 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 237,392 30,629 325,086 41,392 Shares Redeemed (3,254,483) (418,873) (3,419,713) (467,477) ------------ ---------- ------------ ---------- Net Increase $ (1,563,821) (201,720) $ 3,188,038 376,912 ============ ========== ============ ========== Class B Shares: Shares Issued $ 115,267 14,844 $ 352,863 42,575 Dividends Reinvested 7,292 940 12,777 1,628 Shares Redeemed (212,667) (27,347) (93,950) (11,916) ------------ ---------- ------------ ---------- Net Increase $ (90,108) (11,563) $ 271,690 32,287 ============ ========== ============ ========== Class I Shares: Shares Issued $ 4,754,029 610,321 $ 57,231,153 7,271,595 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 20,290 2,614 267,331 33,983 Shares Redeemed (56,157,021) (7,207,579) (54,915,467) (6,929,097) ------------ ---------- ------------ ---------- Net Increase $(51,382,700) (6,594,644) $ 2,583,017 376,481 ============ ========== ============ ========== Net Increase in Fund $(52,036,629) (6,807,927) $ 6,042,745 785,680 ============ ========== ============ ========== International Bond Fund --------------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 ------------------- ------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 2,379,036 234,140 $ 1,566,208 146,224 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 68,001 6,708 47,338 4,420 Shares Redeemed (261,093) (25,760) (107,494) (10,002) ------------ --------- ------------ --------- Net Increase $ 2,185,945 215,088 $ 1,506,052 140,642 ============ ========= ============ ========= Class B Shares: Shares Issued $ 27,798 2,724 $ 41,186 3,768 Dividends Reinvested 1,060 104 541 50 Shares Redeemed -- -- -- -- ------------ --------- ------------ --------- Net Increase $ 28,858 2,828 $ 41,727 3,818 ============ ========= ============ ========= Class I Shares: Shares Issued $ 23,265,329 2,230,025 $ 40,613,308 3,806,690 Shares Issued in Connection with Merger -- -- -- -- Dividends Reinvested 780,669 76,455 795,338 73,443 Shares Redeemed (3,741,072) (366,536) (2,780,800) (259,630) ------------ --------- ------------ --------- Net Increase $ 20,304,926 1,939,944 $ 38,627,846 3,620,503 ============ ========= ============ ========= Net Increase in Fund $ 22,519,729 2,157,860 $ 40,175,625 3,764,963 ============ ========= ============ ========= Municipal Bond Fund ---------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------------- ------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 6,100,854 495,150 $ 13,282,083 1,066,331 Shares Issued in Connection with Merger -- -- 11,575,160 947,394 Dividends Reinvested 384,733 31,062 457,891 37,159 Shares Redeemed (5,185,353) (422,576) (3,271,199) (264,538) ------------- ---------- ------------- ---------- Net Increase $ 1,300,234 103,636 $ 22,043,935 1,786,346 ============= ========== ============= ========== Class B Shares: Shares Issued $ 201,284 16,281 $ 435,395 34,380 Dividends Reinvested 12,610 1,026 14,804 1,201 Shares Redeemed (59,959) (4,869) -- -- ------------- ---------- ------------- ---------- Net Increase $ 153,935 12,438 $ 450,199 35,581 ============= ========== ============= ========== Class I Shares: Shares Issued $ 59,513,539 4,839,026 $ 44,396,921 3,630,551 Shares Issued in Connection with Merger -- -- 91,002,940 7,456,140 Dividends Reinvested 374,113 30,560 689,255 56,095 Shares Redeemed (58,911,055) (4,774,379) (34,399,736) (2,790,753) ------------- ---------- ------------- ---------- Net Increase $ 976,597 95,207 $ 101,689,380 8,352,033 ============= ========== ============= ========== Net Increase in Fund $ 2,430,766 211,281 $ 124,183,514 10,173,960 ============= ========== ============= ==========
138 (6) Capital Share Transactions -- (Continued)
Intermediate Municipal Bond Fund ------------------------------------------------ Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------------- -------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 1,993,884 165,691 $ 5,404,061 366,796 Dividends Reinvested 294,928 24,522 524,344 43,521 Shares Redeemed (2,107,874) (175,537) (3,525,775) (287,987) ------------ ---------- ------------ ---------- Net Increase (Decrease) $ 180,938 14,676 $ 2,402,630 122,330 ============ ========== ============ ========== Class B Shares: Shares Issued $ 40,661 3,352 $ 306,006 24,466 Dividends Reinvested 8,065 671 10,793 886 Shares Redeemed (31,769) (2,641) (31,817) (2,637) ------------ ---------- ------------ ---------- Net Increase $ 16,957 1,382 $ 284,982 22,715 ============ ========== ============ ========== Class I Shares: Shares Issued $ 34,591,936 2,867,477 $ 61,280,262 5,150,519 Dividends Reinvested 94,450 7,852 195,229 16,192 Shares Redeemed (31,129,029) (2,584,633) (57,603,084) (4,790,142) ------------ ---------- ------------ ---------- Net Increase $ 3,557,357 290,696 $ 3,872,407 376,569 ============ ========== ============ ========== Net Increase in Fund $ 3,755,252 306,754 $ 6,560,019 521,614 ============ ========== ============ ==========
Michigan Municipal Bond Fund ----------------------------------------------- Period Ended June 30, 1997 Year Ended (Unaudited) December 31, 1996 -------------------- ------------------- Amount Shares Amount Shares ------ ------ ------ ------ Class A Shares: Shares Issued $ 651,199 62,331 $ 911,973 79,044 Dividends Reinvested 313,014 29,953 657,970 63,485 Shares Redeemed (2,165,833) (206,844) (3,759,125) (354,815) ----------- --------- ----------- --------- Net Increase (Decrease) $(1,201,620) (114,560) $(2,189,182) (212,286) =========== ========= =========== ========= Class B Shares: Shares Issued $ 154,774 15,320 $ 110,019 10,827 Dividends Reinvested 1,442 142 63 6 Shares Redeemed (22,479) (2,223) -- -- ----------- --------- ----------- --------- Net Increase $ 133,737 13,239 $ 110,082 10,833 =========== ========= =========== ========= Class I Shares: Shares Issued $10,719,028 1,023,291 $16,351,477 1,572,801 Dividends Reinvested 148,548 14,214 196,702 18,959 Shares Redeemed (3,922,806) (376,034) (6,798,951) (652,256) ----------- --------- ----------- --------- Net Increase $ 6,944,770 661,471 $ 9,749,228 939,504 =========== ========= =========== ========= Net Increase in Fund $ 5,876,887 560,150 $ 7,670,128 738,051 =========== ========= =========== =========
139 Pegasus Funds - ------------------------------------------------------------------------------ FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout the Period
Investment Operations ---------------------------------------------------------------- Net Realized Total Net Asset and Unrealized Income From Value Net Gain (Loss) from Net Beginning Investment on Investment Investment of Period Income Investments Operations Income --------- ------ ----------- ---------- ------ MANAGED ASSETS CONSERVATIVE FUND Class A Shares For the period ended 6/30/97 (unaudited) $15.34 0.31 0.72 $ 1.03 (0.32) December 31, 1996 $14.54 0.56 0.89 $ 1.45 (0.56) December 31, 1995 $12.13 0.64 2.48 $ 3.12 (0.68) December 31, 1994 $13.11 0.73 (0.98) $(0.25) (0.72) December 31, 1993 $12.68 0.72 0.61 $ 1.33 (0.72) December 31, 1992 $12.56 0.79 0.26 $ 1.05 (0.77) Class B Shares For the period ended 6/30/97 (unaudited) $15.36 0.25 0.72 $ 0.97 (0.27) December 31, 1996 $14.56 0.44 0.89 $ 1.33 (0.44) For the period ended 12/31/95(2) $12.42 0.45 2.17 $ 2.62 (0.45) For the period ended 12/2/94(1) $13.05 0.51 (0.91) $(0.40) (0.54) Class I Shares For the period ended 6/30/97 (unaudited) $15.38 0.32 0.74 $ 1.06 (0.33) December 31, 1996 $14.57 0.60 0.89 $ 1.49 (0.59) For the period ended 12/31/1995(4) $12.42 0.57 2.18 $ 2.75 (0.57) - ------------------------------------------------------------------------------------------------------------ MANAGED ASSETS BALANCED FUND Class A Shares For the period ended 6/30/97 (unaudited) $11.63 0.16 0.85 $ 1.01 (0.17) December 31, 1996 $11.24 0.35 1.06 $ 1.41 (0.34) December 31, 1995 $ 9.53 0.35 1.83 $ 2.18 (0.35) December 31, 1994 $10.00 0.28 (0.48) $(0.20) (0.27) Class B Shares For the period ended 6/30/97 (unaudited) $12.81 0.13 0.94 $ 1.07 (0.13) For the period ended 12/31/96(5) $12.16 0.08 0.81 $ 0.89 (0.07) Class I Shares For the period ended 6/30/97 (unaudited) $11.59 0.17 0.88 $ 1.05 (0.18) December 31, 1996 $11.24 0.39 1.02 $ 1.41 (0.38) December 31, 1995 $ 9.53 0.35 1.83 $ 2.18 (0.35) December 31, 1994 $10.00 0.28 (0.48) $(0.20) (0.27) - ------------------------------------------------------------------------------------------------------------ MANAGED ASSETS GROWTH FUND Class A Shares For the period ended 6/30/97 (unaudited) $10.08 0.09 1.02 $ 1.11 (0.10) For the period ended 12/31/1996(6) $10.00 -- 0.08 $ 0.08 -- Class B Shares For the period ended 6/30/97 (unaudited) $ 9.99 0.07 0.97 $ 1.04 (0.09) For the period ended 12/31/1996(6) $10.00 -- (0.01) $(0.01) -- Class I Shares For the period ended 6/30/97 (unaudited) $10.13 0.14 0.97 $ 1.11 (0.11) For the period ended 12/31/1996(6) $10.00 -- 0.13 $ 0.13 -- Less Distributions - ------------------------------------------------------------------------ From Net Realized In Excess In Excess Gain on of Net of Net Investments & Realized Investment Foreign Currency Gain on Return of Total Income Transactions Investments Capital Distributions - ---------- ---------------- ------------ --------- ------------- -- -- -- -- $(0.32) -- (0.09) -- -- $(0.65) -- (0.03) -- -- $(0.71) -- (0.01) -- -- $(0.73) -- (0.18) -- -- $(0.90) -- (0.16) -- -- $(0.93) -- -- -- -- $(0.27) -- (0.09) -- -- $(0.53) -- (0.03) -- -- $(0.48) -- (0.01) -- -- $(0.55) -- -- -- -- $(0.33) -- (0.09) -- -- $(0.68) -- (0.03) -- -- $(0.60) - ----------------------------------------------------------------------------- -- -- -- -- $(0.17) -- (0.68) -- -- $(1.02) -- (0.12) -- -- $(0.47) -- -- -- -- $(0.27) -- -- -- -- $(0.13) (0.17) -- -- $(0.24) -- -- -- -- $(0.18) -- (0.68) -- -- $(1.06) -- (0.12) -- -- $(0.47) -- -- -- -- $(0.27) - ----------------------------------------------------------------------------- -- -- -- -- $(0.10) -- -- -- -- -- -- -- -- -- $(0.09) -- -- -- -- -- -- -- -- -- $(0.11) -- -- -- -- -- 140
Ratios/Supplemental Data - --------------------------------------------------------------------------------------- Net Conversion Assets Ratio of to Net Change Net Asset End of Expenses Class A In Net Value, End Total Period to Average Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%) - --------------------------------------------------------------------------------------- -- 0.71 $16.05 13.64%+ $ 78,001 1.22%+ -- 0.80 $15.34 10.11% $ 69,301 1.18% -- 2.41 $14.54 26.40% $ 51,997 1.17% -- (0.98) $12.13 (1.92)% $ 44,367 0.63% -- 0.43 $13.11 10.70% $ 51,586 0.39% -- 0.12 $12.68 8.68% $ 34,262 0.02% -- 0.71 $16.07 12.92%+ $ 8,409 1.97%+ -- 0.80 $15.36 9.26% $ 5,736 1.93% -- 2.14 $14.56 21.42%++ $ 2,175 1.92%+ (12.10)(3) - -- (3.13)%++ -- 1.21%+ -- 0.73 $16.11 13.92%+ $ 5,420 0.97%+ -- 0.81 $15.38 10.43% $ 1,501 0.93% -- 2.15 $14.57 22.55%++ $ 1,294 0.77%+ - --------------------------------------------------------------------------------------- -- 0.84 $12.47 17.40%+ $ 88,010 1.22%+ -- 0.39 $11.63 12.99% $ 26,775 1.09% -- 1.71 $11.24 23.18% $ 9,986 0.91% -- (0.47) $ 9.53 (1.95)% $ 8,168 0.85% -- 0.94 $13.75 16.78%+ $ 4,097 1.96%+ -- 0.65 $12.81 7.30%++ $ 1,890 1.96%+ -- 0.87 $12.46 18.08%+ $142,097 0.97%+ -- 0.35 $11.59 13.04% $101,596 0.94% -- 1.71 $11.24 23.18% $ 83,638 0.91% -- (0.47) $ 9.53 (1.95)% $ 45,999 0.85% - --------------------------------------------------------------------------------------- -- 1.01 $11.09 22.06%+ $ 1,680 1.21%+ -- 0.08 $10.08 0.80%++ $ 75 1.20%+ -- 0.95 $10.94 20.88%+ $ 2,064 1.96%+ -- (0.01) $ 9.99 (0.10)%++ $ 17 1.95%+ -- 1.00 $11.13 22.00%+ $ 727 0.96%+ -- 0.13 $10.13 1.30%++ $ 594 0.95%+
Ratios/Supplemental Data (Continued) - --------------------------------------------------------------------------------------- Ratio of Ratio of Net Investment Expenses to Income to Ratio of Net Average Net Average Net Investment Assets(%) Assets(%) Income to without Fee without Fee Average Average Net Waivers/ Waivers/ Portfolio Commission Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate - --------------------------------------------------------------------------------------- 4.07%+ 1.30%+ 3.99%+ 26.41% $0.06 3.64% 1.33% 3.49% 63.41% $0.05 4.88% 1.54% 4.51% 8.23%++ -- 5.77% 1.67% 4.73% 28.69%++ -- 5.54% 1.65% 4.28% 16.40% -- 6.24% 1.88% 4.38% 22.14% - 3.32%+ 2.05%+ 3.24%+ 26.41% $0.06 2.89% 2.07% 2.75% 63.41% $0.05 3.89%+ 2.12%+ 3.70%+ 8.23%++ -- 4.10%+ 2.17%+ 3.14%+ 28.69% - 4.32%+ 1.05% 4.24%+ 26.41% $0.06 3.89% 1.19% 3.63% 63.41% $0.05 5.12%+ 1.22%+ 4.66%+ 8.23%++ - - ------------------------------------------------------------------------ 3.06%+ 1.28%+ 3.00%+ 41.66% $0.05 3.13% 1.16% 3.06% 50.50% $0.07 3.40% 1.09% 3.22% 31.76% -- 3.41% 1.56% 2.70% 37.49% - 2.31%+ 2.02%+ 2.25%+ 41.66% $0.05 1.35%+ 2.03%+ 1.28%+ 50.50% $0.07+ 3.31%+ 1.03%+ 3.25%+ 41.66% $0.05 3.28% 1.01% 3.21% 50.50% $0.07 3.40% 1.09% 3.22% 31.76% -- 3.41% 1.56% 2.70% 37.49% - - ------------------------------------------------------------------------ 2.20%+ 2.48% 0.93%+ 10.88% - (0.45)%+ (3.50)%+ (2.75)%+ 0.00% - 1.45%+ 3.09% 0.46%+ 10.88% -- (1.20)%+ (4.25)%+ (3.50)%+ 0.00% - 2.45%+ 2.93% 0.67%+ 10.88% -- (0.20)%+ (3.25)%+ (2.50)%+ 0.00% -- See Notes to Financial Statements.
141
Investment Operations -------------------------------------------------------------------- Net Realized Total Net Asset and Unrealized Income From Value Net Gain (Loss) from Net Beginning Investment on Investment Investment of Period Income Investments Operations Income -------------------------------------------------------------------- EQUITY INCOME FUND Class A Shares For the period ended 6/30/97 (unaudited) $13.29 0.22 1.13 $ 1.35 (0.22) December 31, 1996 $12.22 0.39 1.90 $ 2.29 (0.38) For the period ended 12/31/1995(7) $10.00 0.36 2.57 $ 2.93 (0.36) Class B Shares For the period ended 6/30/97 (unaudited) $13.28 0.19 1.11 $ 1.29 (0.17) December 31, 1996 $12.22 0.30 1.88 $ 2.18 (0.28) For the period ended 12/31/1995(7) $10.00 0.29 2.56 $ 2.85 (0.29) Class I Shares For the period ended 6/30/97 (unaudited) $13.25 0.23 1.14 $ 1.37 (0.24) December 31, 1996 $12.21 0.45 1.87 $ 2.32 (0.44) For the period ended 12/31/1995(7) $10.00 0.42 2.55 $ 2.97 (0.42) - ------------------------------------------------------------------------------------------------------------- GROWTH FUND Class A Shares For the period ended 6/30/97 (unaudited) $12.64 0.00 2.04 $ 2.04 -- December 31, 1996 $11.97 0.05 1.04 $ 1.09 (0.06) For the period ended 12/31/1995(7) $10.00 0.11 2.86 $ 2.97 (0.11) Class B Shares For the period ended 6/30/97 (unaudited) $12.56 (0.04) 2.03 $ 1.99 -- December 31, 1996 $11.95 (0.02) 0.99 $ 0.97 -- For the period ended 12/31/1995(7) $10.00 0.06 2.84 $ 2.90 (0.06) Class I Shares For the period ended 6/30/97 (unaudited) $12.63 0.02 2.06 $ 2.05 (0.02) December 31, 1996 $11.97 0.09 1.02 $ 1.11 (0.09) For the period ended 12/31/1995(7) $10.00 0.15 2.86 $ 3.01 (0.15) - ------------------------------------------------------------------------------------------------------------- MID-CAP OPPORTUNITY FUND Class A Shares For the period ended 6/30/97 (unaudited) $17.61 (0.01) 2.48 $ 2.47 -- December 31, 1996 $15.15 0.02 3.74 $ 3.76 (0.02) December 31, 1995 $13.34 0.06 2.57 $ 2.63 (0.06) December 31, 1994 $14.49 0.07 (0.54) $(0.47) (0.07) December 31, 1993 $12.37 0.10 2.87 $ 2.97 (0.10) December 31, 1992(22) $10.95 0.08 1.88 $ 1.96 (0.08) Class B Shares For the period ended 6/30/97 (unaudited) $ 9.57 (0.01) 1.32 $ 1.31 -- December 31, 1996(8) $10.00 0.00 0.79 $ 0.79 (0.01) Class I Shares For the period ended 6/30/97 (unaudited) $17.61 0.01 2.48 $ 2.49 (0.01) December 31, 1996 $15.15 0.04 3.74 $ 3.78 (0.04) December 31, 1995 $13.34 0.06 2.57 $ 2.63 (0.06) December 31, 1994 $14.49 0.07 (0.54) $(0.47) (0.07) December 31, 1993 $12.37 0.10 2.87 $ 2.97 (0.10) December 31, 1992 $10.40 0.11 2.43 $ 2.54 (0.11) Less Distributions - ----------------------------------------------------------------------------- From Net Realized In Excess In Excess Gain on of Net of Net Investments & Realized Investment Foreign Currency Gain on Return of Total Income Transactions Investments Capital Distributions - ----------------------------------------------------------------------------- -- -- -- -- $(0.22) -- (0.84) -- - $(1.22) (0.01) (0.34) -- - $(0.71) -- -- -- -- $(0.17) -- (0.84) -- -- $(1.12) -- (0.34) -- -- $(0.63) -- -- -- -- $(0.24) -- (0.84) -- -- $(1.28) -- (0.34) -- -- $(0.76) - ----------------------------------------------------------------------------- -- -- -- -- -- -- (0.36) -- -- $(0.42) -- (0.89) -- -- $(1.00) -- -- -- -- -- -- (0.36) -- -- $(0.36) -- (0.89) -- -- $(0.95) -- -- -- -- $(0.02) -- (0.36) -- -- $(0.45) -- (0.89) -- -- $(1.04) - ----------------------------------------------------------------------------- -- -- -- -- -- -- (1.28) -- -- $(1.30) -- (0.76) -- -- $(0.82) -- (0.49) (0.02) (0.10) $(0.68) -- (0.75) -- -- $(0.85) -- (0.46) -- -- $(0.54) -- -- -- -- -- -- (1.21) -- -- $(1.22) -- -- -- -- $(0.01) -- (1.28) -- -- $(1.32) -- (0.76) -- -- $(0.82) -- (0.49) (0.02) (0.10) $(0.68) -- (0.75) -- -- $(0.85) -- (0.46) -- -- $(0.57) See Notes to Financial Statements.
142
Ratios/Supplemental Data - -------------------------------------------------------------------------------------- Net Conversion Assets Ratio of to Net Change Net Asset End of Expenses Class A In Net Value End Total Period to Average Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%) - -------------------------------------------------------------------------------------- -- 1.13 $14.42 20.46%+ $ 11,714 0.95%+ -- 1.07 $13.29 19.29% $ 12,956 0.91% -- 2.22 $12.22 29.78%++ $ 2,873 1.11%+ -- 1.13 $14.41 19.74%+ $ 2,181 1.70%+ -- 1.06 $13.28 18.28% $ 1,885 1.66% -- 2.22 $12.22 28.97%++ $ 593 1.90%+ -- 1.13 $14.38 20.82%+ $301,609 0.70%+ -- 1.04 $13.25 19.58% $314,649 0.66% -- 2.21 $12.21 30.27%++ $283,927 0.65%+ - -------------------------------------------------------------------------------------- -- 2.04 $14.68 32.38%+ $ 36,843 1.04%+ -- 0.67 $12.64 20.10% $ 23,273 1.04% -- 1.97 $11.97 29.98%++ $ 4,329 1.21%+ -- 1.99 $14.55 31.68%+ $ 1,176 1.79%+ -- 0.61 $12.56 19.04% $ 1,094 1.79% -- 1.95 $11.95 29.15%++ $ 268 2.04%+ -- 2.05 $14.68 32.72%+ $576,226 0.79%+ -- 0.66 $12.63 20.36% $533,406 0.79% -- 1.97 $11.97 30.38%++ $293,944 0.80%+ - -------------------------------------------------------------------------------------- -- 2.47 $20.08 28.00%+ $125,492 1.07%+ -- 2.46 $17.61 24.91% $ 91,516 0.93% -- 1.81 $15.15 19.88% $ 71,858 0.89% -- (1.15) $13.34 (3.27)% $ 64,326 0.90% -- 2.12 $14.49 24.01% $ 53,977 0.86% -- 1.42 $12.37 27.93% $ 5,111 0.85%+ -- 1.31 $10.88 27.30%+ $ 1,524 1.82%+ -- (0.43) $ 9.57 7.94%++ $ 154 1.81%+ -- 2.48 $20.09 28.46%+ $765,704 0.82%+ -- 2.46 $17.61 25.03% $677,608 0.81% -- 1.81 $15.15 19.88% $579,094 0.89% -- (1.15) $13.34 3.27% $460,673 0.90% -- 2.12 $14.49 24.01% $311,688 0.86% -- 1.97 $12.37 24.56% $161,312 0.84% Ratios/Supplemental Data (Continued) - ------------------------------------------------------------------------------ Ratio of Ratio of Net Investment Expenses to Income to Ratio of Net Average Net Average Net Investment Assets(%) Assets(%) Income to without fee without Fee Average Average Net Waivers/ Waivers/ Portfolio Commission Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate - ------------------------------------------------------------------------------ 3.18%+ -- -- 19.11% $0.05 3.29% 0.95% 3.25% 61.41% $0.04 3.33%+ 1.44%+ 2.99%+ 44.07%++ -- 2.43%+ -- -- 19.11% $0.05 2.54% 1.81% 2.39% 61.41% $0.04 2.65%+ 2.65%+ 1.90%+ 44.07%++ -- 3.43%+ -- -- 19.11% $0.05 3.54% 0.74% 3.46% 61.41% $0.04 4.08%+ 0.77%+ 3.96%+ 44.07%++ -- - ------------------------------------------------------------------------------ 0.04%+ -- -- 9.00% $0.05 0.43% 1.07% 0.40% 61.95% $0.02 0.86%+ 1.39%+ 0.68%+ 106.02%++ -- (0.71)%+ -- -- 9.00% $0.05 (0.32)% 1.89% (0.42)% 61.95% $0.02 0.02%+ 2.60%+ (0.54)%+ 106.02%++ -- 0.29%+ -- -- 9.00% $0.05 0.68% 0.85% 0.62% 61.95% $0.02 1.46%+ 0.92%+ 1.34%+ 106.02%++ -- - ------------------------------------------------------------------------------ (0.09)%+ -- -- 16.95% $0.04 0.12% -- -- 34.87% $0.04 0.37% -- -- 53.55% -- 0.53% -- -- 37.51% -- 0.71% -- -- 33.99% -- 1.05%+ -- -- 34.44%+ -- (0.84)%+ -- -- 16.95% $0.04 (0.59)%+ -- -- 34.87% $0.04 0.17%+ -- -- 16.95% $0.04 0.24% -- -- 34.87% $0.04 0.37% -- -- 53.55% -- 0.53% -- -- 37.51% -- 0.71% -- -- 33.99% -- 1.09% -- -- 34.44% -- See Notes to Financial Statements.
143
Investment Operations --------------------------------------------------------------------- Net Realized Total Net Asset and Unrealized Income From Value Net Gain (Loss) from Net Beginning Investment on Investment Investment of Period Income Investments Operations Income --------------------------------------------------------------------- SMALL-CAP OPPORTUNITY FUND Class A Shares For the period ended 6/30/97 (unaudited) $13.70 (0.04) 2.11 $ 2.07 -- December 31, 1996 $12.20 (0.02) 3.02 $ 3.00 -- For the period ended 12/31/1995(7) $10.00 0.02 2.45 $ 2.47 (0.02) Class B Shares For the period ended 6/30/97 (unaudited) $13.58 (0.06) 2.04 $ 1.98 -- December 31, 1996 $12.12 (0.04) 3.00 $ 2.96 -- For the period ended 12/31/1995(7) $10.00 (0.03) 2.40 $ 2.37 -- Class I Shares For the period ended 6/30/97 (unaudited) $13.80 (0.03) 2.13 $ 2.10 -- December 31, 1996 $12.19 (0.01) 3.13 $ 3.12 -- For the period ended 12/31/1995(7) $10.00 0.06 2.44 $ 2.50 (0.06) - ----------------------------------------------------------------------------------------------------------------- INTRINSIC VALUE FUND Class A Shares For the period ended 6/30/97 (unaudited) $13.70 0.11 1.72 $ 1.83 (0.12) December 31, 1996 $11.89 0.28 2.50 $ 2.78 (0.28) December 31, 1995 $10.48 0.29 2.24 $ 2.53 (0.30) December 31, 1994 $11.05 0.31 (0.38) $(0.07) (0.30) December 31, 1993 $10.40 0.29 1.23 $ 1.52 (0.28) December 31, 1992(22) $10.70 0.22 0.33 $ 0.55 (0.21) Class B Shares For the period ended 6/30/97 (unaudited) $10.18 0.08 1.26 $ 1.34 (0.11) December 31, 1996(8) $10.00 0.04 0.79 $ 0.83 (0.06) Class I Shares For the period ended 6/30/97 (unaudited) $13.71 0.14 1.71 $ 1.85 (0.14) December 31, 1996 $11.89 0.29 2.51 $ 2.80 (0.29) December 31, 1995 $10.48 0.29 2.24 $ 2.53 (0.30) December 31, 1994 $11.05 0.31 (0.38) $(0.07) (0.30) December 31, 1993 $10.40 0.29 1.23 $ 1.52 (0.28) December 31, 1992 $ 9.89 0.29 1.14 $ 1.43 (0.28) - ----------------------------------------------------------------------------------------------------------------- GROWTH AND VALUE FUND Class A Shares For the period ended 6/30/97 (unaudited) $14.12 0.05 2.30 $ 2.35 (0.07) December 31, 1996 $13.16 0.16 2.37 $ 2.53 (0.16) December 31, 1995 $10.67 0.21 2.76 $ 2.97 (0.22) December 31, 1994 $11.16 0.23 (0.17) $ 0.06 (0.21) December 31, 1993 $10.51 0.20 1.24 $ 1.44 (0.20) December 31, 1992(22) $10.16 0.17 0.45 $ 0.62 (0.17) Class B Shares For the period ended 6/30/97 (unaudited) $ 9.32 0.05 1.45 $ 1.50 (0.05) December 31, 1996(8) $10.00 0.01 0.62 $ 0.63 (0.03) Class I Shares For the period ended 6/30/97 (unaudited) $14.12 0.08 2.30 $ 2.38 (0.09) December 31, 1996 $13.16 0.18 2.36 $ 2.54 (0.17) December 31, 1995 $10.67 0.21 2.76 $ 2.97 (0.22) December 31, 1994 $11.16 0.23 (0.17) $ 0.06 (0.21) December 31, 1993 $10.51 0.20 1.24 $ 1.44 (0.20) December 31, 1992 $ 9.86 0.22 0.75 $ 0.97 (0.22) Less Distributions - ----------------------------------------------------------------------------- From Net Realized In Excess In Excess Gain on of Net of Net Investments & Realized Investment Foreign Currency Gain on Return of Total Income Transactions Investments Capital Distributions - ----------------------------------------------------------------------------- -- -- -- -- $ 0.00 -- (1.50) -- -- $(1.50) -- (0.25) -- -- $(0.27) -- -- -- -- $ 0.00 -- (1.50) -- -- $(1.50) -- (0.25) -- -- $(0.25) -- -- -- -- $ 0.00 (0.01) (1.50) - -- $(1.51) -- (0.25) -- -- $(0.31) - ----------------------------------------------------------------------------- -- -- -- -- $(0.12) -- (0.69) -- -- $(0.97) -- (0.82) -- -- $(1.12) -- (0.20) -- -- $(0.50) -- (0.59) -- -- $(0.87) -- (0.64) -- -- $(0.85) -- -- -- -- $(0.11) -- (0.59) -- -- $(0.65) -- -- -- -- $(0.14) -- (0.69) -- -- $(0.98) -- (0.82) -- -- $(1.12) -- (0.20) -- -- $(0.50) -- (0.59) -- -- $(0.87) -- (0.64) -- -- $(0.92) - ----------------------------------------------------------------------------- -- -- -- -- $(0.07) -- (1.41) -- -- $(1.57) -- (0.26) -- -- $(0.48) -- (0.30) (0.01) (0.03) $(0.55) -- (0.59) -- -- $(0.79) -- (0.10) -- -- $(0.27) -- -- -- -- $(0.05) -- (1.28) -- -- $(1.31) -- -- -- -- $(0.09) -- (1.41) -- -- $(1.58) -- (0.26) -- -- $(0.48) -- (0.30) (0.01) (0.03) $(0.55) -- (0.59) -- -- $(0.79) -- (0.10) -- -- $(0.32) See Notes to Financial Statements.
144
Ratios/Supplemental Data - ---------------------------------------------------------------------------------------- Net Conversion Assets Ratio of to Net Change Net Asset End of Expenses Class A In Net Value End Total Period to Average Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%) - ---------------------------------------------------------------------------------------- -- 2.07 $15.77 30.18%+ $ 9,564 1.19%+ -- 1.50 $13.70 24.59% $ 6,697 1.13% -- 2.20 $12.20 24.80%++ $ 672 1.25%+ -- 1.98 $15.56 29.22%+ $ 462 1.94%+ -- 1.46 $13.58 24.42% $ 110 1.88% -- 2.12 $12.12 23.76%++ $ 15 2.00%+ -- 2.10 $15.90 30.50%+ $166,248 0.94%+ -- 1.61 $13.80 25.63% $125,840 0.88% 2.19 $12.19 25.08%++ $ 92,926 0.85%+ - ---------------------------------------------------------------------------------------- -- 1.71 $15.41 26.92%+ $ 44,499 1.06%+ -- 1.81 $13.70 23.79% $ 22,370 0.94% -- 1.41 $11.89 24.38% $ 17,858 0.91% -- (0.57) $10.48 (0.60)% $ 15,730 0.91% -- 0.65 $11.05 14.71% $ 14,098 0.86% -- (0.30) $10.40 6.82% $ 4,729 0.85%+ -- 1.23 $11.41 26.36%+ $ 1,365 1.81%+ -- 0.18 $10.18 8.31%++ $ 182 1.81%+ -- 1.71 $15.42 27.04%+ $450,063 0.81%+ -- 1.82 $13.71 23.99% $357,360 0.83% -- 1.41 $11.89 24.38% $238,027 0.91% -- (0.57) $10.48 (0.60)% $204,298 0.91% -- 0.65 $11.05 14.71% $178,457 0.86% -- 0.51 $10.40 14.56% $102,532 0.84% - ---------------------------------------------------------------------------------------- -- 2.28 $16.40 33.38%+ $ 97,438 1.07%+ -- 0.96 $14.12 19.24% $ 59,027 0.91% -- 2.49 $13.16 28.04% $ 49,872 0.84% -- (0.49) $10.67 0.55% $ 42,274 0.84% -- 0.65 $11.16 13.79% $ 29,467 0.83% -- 0.35 $10.51 8.19% $ 4,338 0.83%+ -- 1.45 $10.77 32.58%+ $ 2,030 1.82%+ -- (0.68) $ 9.32 6.10%++ $ 183 1.80%+ -- 2.29 $16.41 33.74%+ $866,102 0.82%+ -- 0.96 $14.12 19.35% $733,632 0.80% -- 2.49 $13.16 28.04% $687,295 0.84% -- (0.49) $10.67 0.55% $529,097 0.84% -- 0.65 $11.16 13.79% $400,168 0.83% -- 0.65 $10.51 9.87% $283,007 0.83% Ratios/Supplemental Data (Continued) - ----------------------------------------------------------------------------- Ratio of Ratio of Net Investment Expense to Income to Ratio of Net Average Net Average Net Investment Assets(%) Assets(%) Income to without fee without Fee Average Average Net Waivers/ Waivers/ Portfolio Commission Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate - ----------------------------------------------------------------------------- (0.65)%+ -- -- 30.95% $0.05 (0.29)% 1.24% (0.40)% 93.82% $0.05 0.19%+ 2.56%+ (1.12)%+ 38.89%++ -- (1.40)%+ -- -- 30.95% $0.05 (1.04)% 3.04% (2.20)% 93.82% $0.05 (0.51)%+ 9.52%+ (8.04)%+ 38.89%++ -- (0.40)%+ -- -- 30.95% $0.05 (0.04)% 1.02% (0.18)% 93.82% $0.05 0.59%+ 1.09%+ 0.36%+ 38.89%++ -- - ----------------------------------------------------------------------------- 1.75%+ -- -- 21.73% $0.05 2.16% -- -- 34.24% $0.04 2.49% -- -- 45.55% -- 2.92% -- -- 58.62% -- 2.67% -- -- 63.90% -- 3.12%+ -- -- 48.52%+ -- 1.00%+ -- -- 21.73% $0.05 0.25%+ -- -- 34.24%+ $0.04 2.00%+ -- -- 21.73% $0.05 2.27% -- -- 34.24% $0.04 2.49% -- -- 45.55% -- 2.92% -- -- 58.62% -- 2.67% -- -- 63.90% -- 2.78% -- -- 48.52% -- - ----------------------------------------------------------------------------- 0.79%+ -- -- 15.20% $0.04 1.17% -- -- 43.21% $0.04 1.73% -- -- 26.80% -- 2.07% -- -- 28.04% -- 1.84% -- -- 42.31% -- 2.49%+ -- -- 16.28%+ -- 0.04%+ -- -- 15.20% $0.04 0.25%+ -- -- 43.21%+ $0.04 1.04%+ -- -- 15.20% $0.04 1.28% -- -- 43.21% $0.04 1.73% -- -- 26.80% -- 2.07% -- -- 28.04% -- 1.84% -- -- 42.31% -- 2.20% -- -- 16.28% -- See Notes to Financial Statements.
145
Investment Operations -------------------------------------------------------------------- Net Realized Total Net Asset and Unrealized Income From Value Net Gain (Loss) from Net Beginning Investment on Investment Investment of Period Income Investments Operations Income -------------------------------------------------------------------- EQUITY INDEX FUND Class A Shares For the period ended 6/30/97 (unaudited) $16.75 0.13 3.25 $ 3.38 (0.14) December 31, 1996 $14.15 0.30 2.85 $ 3.15 (0.29) December 31, 1995 $10.65 0.30 3.65 $ 3.95 (0.31) December 31, 1994 $11.15 0.31 (0.20) $ 0.11 (0.30) December 31, 1993 $10.52 0.28 0.75 $ 1.03 (0.27) December 31, 1992(23) $10.00 0.12 0.52 $ 0.64 (0.12) Class B Shares For the period ended 6/30/97 (unaudited) $10.50 0.09 1.98 $ 2.07 (0.13) December 31, 1996(8) $10.00 0.05 0.76 $ 0.81 (0.06) Class I Shares For the period ended 6/30/97 (unaudited) $16.75 0.15 3.24 $ 3.39 (0.15) December 31, 1996 $14.15 0.31 2.85 $ 3.16 (0.30) December 31, 1995 $10.65 0.30 3.65 $ 3.95 (0.31) December 31, 1994 $11.15 0.31 (0.20) $ 0.11 (0.30) December 31, 1993 $10.52 0.28 0.75 $ 1.03 (0.27) December 31, 1992(23) $10.00 0.12 0.52 $ 0.64 (0.12) - -------------------------------------------------------------------------------------------------------------- INTERNATIONAL EQUITY FUND Class A Shares For the period ended 6/30/97 (unaudited) $11.77 0.02 1.15 $ 1.17 (0.06) December 31, 1996 $11.05 0.10 0.72 $ 0.82 (0.10) December 31, 1995 $10.01 0.10 1.05 $ 1.15 (0.11) Class B Shares For the period ended 6/30/97 (unaudited) $11.08 (0.02) 1.08 $ 1.06 (0.03) December 31, 1996(5) $10.84 0.04 0.24 $ 0.28 (0.04) Class I Shares For the period ended 6/30/97 (unaudited) $11.79 0.04 1.15 $ 1.19 (0.08) December 31, 1996 $11.05 0.11 0.74 $ 0.85 (0.11) December 31, 1995 $10.01 0.10 1.05 $ 1.15 (0.11) December 31, 1994(9) $10.00 0.01 -- $ 0.01 -- - -------------------------------------------------------------------------------------------------------------- INTERMEDIATE BOND FUND Class A Shares For the period ended 6/30/97 (unaudited) $10.29 0.32 (0.01) $ 0.31 (0.32) December 31, 1996 $10.37 0.64 (0.07) $ 0.57 (0.65) December 31, 1995 $ 9.21 0.59 1.16 $ 1.75 (0.59) December 31, 1994 $10.41 0.56 (1.20) $(0.64) (0.55) December 31, 1993 $10.28 0.59 0.26 $ 0.85 (0.59) December 31, 1992(22) $10.32 0.49 0.13 $ 0.62 (0.49) Class B Shares For the period ended 6/30/97 (unaudited) $10.20 0.26 0.01 $ 0.27 (0.28) December 31, 1996(8) $10.00 0.15 0.20 $ 0.35 (0.15) Class I Shares For the period ended 6/30/97 (unaudited) $10.29 0.33 0.00 $ 0.33 (0.33) December 31, 1996 $10.37 0.64 (0.07) $ 0.57 (0.65) December 31, 1995 $ 9.21 0.59 1.16 $ 1.75 (0.59) December 31, 1994 $10.41 0.56 (1.20) $(0.64) (0.55) December 31, 1993 $10.28 0.59 0.26 $ 0.85 (0.59) December 31, 1992 $10.55 0.71 (0.10) $ 0.61 (0.71) Less Distributions - ----------------------------------------------------------------------------- From Net Realized In Excess In Excess Gain on of Net of Net Investments & Realized Investment Foreign Currency Gain on Return of Total Income Transactions Investments Capital Distributions - ----------------------------------------------------------------------------- -- -- -- -- $(0.14) -- (0.26) - -- $(0.55) -- (0.14) - -- $(0.45) -- (0.23) (0.08) -- $(0.61) -- (0.13) -- -- $(0.40) -- -- -- -- $(0.12) -- -- -- -- $(0.13) -- (0.25) -- -- $(0.31) -- -- -- -- $(0.15) -- (0.26) -- -- $(0.56) -- (0.14) -- -- $(0.45) -- (0.23) (0.08) -- $(0.61) -- (0.13) -- -- $(0.40) -- -- -- -- $(0.12) - ----------------------------------------------------------------------------- -- -- -- -- $(0.06) -- - -- -- $(0.10) -- - -- -- $(0.11) -- -- -- -- $(0.03) -- -- -- -- $(0.04) -- -- -- -- $(0.08) -- -- -- -- $(0.11) -- -- -- -- $(0.11) -- -- -- -- $ 0.00 - ----------------------------------------------------------------------------- -- -- -- -- $(0.32) -- -- -- -- $(0.65) -- -- -- -- $(0.59) -- (0.01) -- -- $(0.56) -- (0.13) -- -- $(0.72) -- (0.17) -- -- $(0.66) -- -- -- -- $(0.28) -- -- -- -- $(0.15) -- -- -- -- $(0.33) -- -- -- -- $(0.65) -- -- -- -- $(0.59) -- (0.01) -- -- $(0.56) -- (0.13) -- -- $(0.72) -- (0.17) -- -- $(0.88) See Notes to Financial Statements.
146
Ratios/Supplemental Data - -------------------------------------------------------------------------------------- Net Conversion Assets Ratio of to Net Change Net Asset End of Expenses Class A In Net Value End Total Period to Average Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%) - -------------------------------------------------------------------------------------- -- 3.24 $19.99 40.44%+ $ 70,272 0.55%+ -- 2.60 $16.75 22.49% $ 35,336 0.37% -- 3.50 $14.15 37.35% $ 4,007 0.15% -- (0.50) $10.65 1.02% $ 1,197 0.17% -- 0.63 $11.15 9.77% $ 960 0.20% -- 0.52 $10.52 13.61%+ $ 151 0.22%+ -- 1.94 $12.44 39.52%+ $ 814 1.30%+ -- 0.50 $10.50 8.09%++ $ 113 1.29%+ -- 3.24 $19.99 40.64%+ $681,619 0.30%+ -- 2.60 $16.75 22.58% $834,368 0.21% -- 3.50 $14.15 37.35% $524,195 0.15% -- (0.50) $10.65 1.02% $339,611 0.17% -- 0.63 $11.15 9.77% $324,369 0.20% -- 0.52 $10.52 13.61%+ $241,907 0.22%+ - -------------------------------------------------------------------------------------- -- 1.11 $12.88 19.92%+ $ 19,053 1.37%+ -- 0.72 $11.77 7.50% $ 10,836 1.23% -- 1.04 $11.05 11.47% $ 988 1.16% -- 1.03 $12.11 19.16%+ $ 1,413 2.12%+ -- 0.24 $11.08 2.62%++ $ 1,131 2.05%+ -- 1.11 $12.90 20.24%+ $461,229 1.12%+ -- 0.74 $11.79 7.90% $389,997 1.10% -- 1.04 $11.05 11.47% $106,300 1.16% -- 0.01 $10.01 1.26%+ $ 36,545 1.15%+ - -------------------------------------------------------------------------------------- -- (0.01) $10.28 6.12%+ $ 21,759 0.85%+ -- (0.08) $10.29 5.65% $ 18,324 0.79% -- 1.16 $10.37 19.48% $ 11,654 0.73% -- (1.20) $ 9.21 6.31% $ 11,983 0.74% -- 0.13 $10.41 8.41% $ 16,491 0.74% -- (0.04) $10.28 11.17%+ $ 4,509 0.75%+ -- - $10.20 5.46%+ $ 228 1.60%+ -- 0.20 $10.20 3.50%++ $ 122 1.60%+ -- 0.00 $10.29 6.46%+ $441,856 0.60%+ -- (0.08) $10.29 5.78% $395,105 0.67% -- 1.16 $10.37 19.48% $393,656 0.73% -- (1.20) $ 9.21 (6.31)% $381,036 0.74% -- 0.13 $10.41 8.41% $413,299 0.74% -- (0.27) $10.28 6.00% $215,923 0.74% Ratios/Supplemental Data (Continued) - ----------------------------------------------------------------------------- Ratio of Ratio of Net Investment Expenses to Income to Ratio of Net Average Net Average Net Investment Assets(%) Assets(%) Income to without Fee without Fee Average Average Net Waivers/ Waivers/ Portfolio Commission Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate - ----------------------------------------------------------------------------- 1.33%+ -- -- 7.45% $0.03 1.89% -- -- 12.25% $0.03 2.39% -- -- 10.66% -- 2.71% -- -- 24.15% -- 2.59% -- -- 16.01% -- 2.71%+ -- -- 0.50%++ -- 0.58%+ -- -- 7.45% $0.03 0.57%+ -- -- 12.25%+ $0.03 1.58%+ -- -- 7.45% $0.03 2.05% -- -- 12.25% $0.03 2.39% -- -- 10.66% -- 2.71% -- -- 24.15% -- 2.59% -- -- 16.01% -- 2.71%+ -- -- 0.50%++ -- - ----------------------------------------------------------------------------- 1.51%+ -- -- 8.40% $0.07 0.88% 1.23% 0.88% 6.37% $0.07 1.43% 1.24% 1.35% 2.09% -- 0.75%+ -- -- 8.40% $0.07 0.75%+ 2.05%+ 0.75%+ 6.37%+ $0.07 1.69%+ -- -- 8.40% $0.07 1.01% 1.10% 1.01% 6.37% $0.07 1.43% 1.24% 1.35% 2.09% -- 1.18%+ 1.92%+ 0.41%+ 0.30%++ -- - ----------------------------------------------------------------------------- 6.26%+ -- -- 9.24% -- 6.17% -- -- 31.62% -- 5.98% -- -- 36.47% -- 5.73% -- -- 54.60% -- 5.44% -- -- 92.80% -- 7.04%+ -- -- 56.30%+ -- 5.51%+ -- -- 9.24% -- 1.52%+ -- -- 31.62% -- 6.51%+ -- -- 9.24% -- 6.29% -- -- 31.62% -- 5.98% -- -- 36.47% -- 5.73% -- -- 54.60% -- 5.44% -- -- 92.80% -- 6.91% -- -- 56.30% -- See Notes to Financial Statements.
147
Investment Operations --------------------------------------------------------------------- Net Realized Total Net Asset and Unrealized Income From Value Net Gain (Loss) from Net Beginning Investment on Investment Investment of Period Income Investments Operations Income --------------------------------------------------------------------- BOND FUND Class A Shares For the period ended 6/30/97 (unaudited) $10.27 0.32 (0.02) $ 0.30 (0.32) December 31, 1996 $10.45 0.67 (0.18) $ 0.49 (0.67) December 31, 1995 $ 9.01 0.63 1.45 $ 2.08 (0.64) December 31, 1994 $10.32 0.61 (1.31) $(0.70) (0.59) December 31, 1993 $10.25 0.76 0.38 $ 1.14 (0.76) December 31, 1992(22) $10.23 0.56 0.15 $ 0.71 (0.56) Class B Shares For the period ended 6/30/97 (unaudited) $10.27 0.28 - $ 0.28 (0.29) December 31, 1996(5) $10.00 0.21 0.27 $ 0.48 (0.21) Class I Shares For the period ended 6/30/97 (unaudited) $10.27 0.33 -- $ 0.33 (0.34) December 31, 1996 $10.45 0.68 (0.18) $ 0.50 (0.68) December 31, 1995 $ 9.01 0.63 1.45 $ 2.08 (0.64) December 31, 1994 $10.32 0.61 (1.31) $(0.70) (0.59) December 31, 1993 $10.25 0.76 0.38 $ 1.14 (0.76) December 31, 1992 $10.55 0.83 (0.17) $ 0.66 (0.83) - ------------------------------------------------------------------------------------------------------------- SHORT BOND FUND Class A Shares For the period ended 6/30/97 (unaudited) $10.11 0.26 - $ 0.26 (0.27) December 31, 1996 $10.23 0.55 (0.10) $ 0.45 (0.55) December 31, 1995 $ 9.84 0.58 0.39 $ 0.97 (0.58) December 31, 1994(10) $10.00 0.17 (0.16) $ 0.01 (0.17) Class B Shares For the period ended 6/30/97 (unaudited) $10.02 0.22 0.00 $ 0.22 (0.23) December 31, 1996(8) $10.00 0.12 0.04 $ 0.16 (0.12) Class I Shares For the period ended 6/30/97 (unaudited) $10.11 0.28 (0.01) $ 0.27 (0.28) December 31, 1996 $10.23 0.55 (0.10) $ 0.45 (0.55) December 31, 1995 $ 9.84 0.58 0.39 $ 0.97 (0.58) December 31, 1994(10) $10.00 0.17 (0.16) $ 0.01 (0.17) - ------------------------------------------------------------------------------------------------------------- INCOME FUND Class A Shares For the period ended 6/30/97 (unaudited) $ 7.84 0.23 (0.05) $ 0.18 (0.22) December 31, 1996 $ 8.18 0.41 (0.25) $ 0.16 (0.40) For the period ended 12/31/1995(11) $ 7.68 0.44 0.72 $ 1.16 (0.44) January 31, 1995 $ 8.25 0.52 (0.57) $(0.05) (0.52) For the period ended 1/31/1994(12) $ 8.36 0.47 (0.09) $ 0.38 (0.47) Class B Shares For the period ended 6/30/97 (unaudited) $ 7.85 0.20 (0.05) $ 0.15 (0.20) December 31, 1996 $ 8.18 0.45 (0.23) $ 0.22 (0.45) For the period ended 12/31/1995(13) $ 8.13 0.24 0.27 $ 0.51 (0.24) For the period ended 12/2/1994(14) $ 8.16 0.40 (0.55) $(0.15) (0.40) Class I Shares For the period ended 6/30/97 (unaudited) $ 7.85 0.25 (0.03) $ 0.22 (0.23) December 31, 1996 $ 8.18 0.46 (0.24) $ 0.22 (0.45) For the period ended 12/31/1995(11) $ 7.68 0.47 0.72 $ 1.19 (0.47) January 31, 1995 $ 8.25 0.52 (0.57) $(0.05) (0.52) For the period ended 1/31/1994(12) $ 8.36 0.47 (0.09) $ 0.38 (0.47) Less Distributions - ----------------------------------------------------------------------------- From Net Realized In Excess In Excess Gain on of Net of Net Investments & Realized Investment Foreign Currency Gain on Return of Total Income Transactions Investments Capital Distributions - ----------------------------------------------------------------------------- -- -- -- -- $(0.32) -- -- -- -- $(0.67) -- -- -- -- $(0.64) -- (0.02) -- -- $(0.61) -- (0.31) -- -- $(1.07) -- (0.13) -- -- $(0.69) -- -- -- -- $(0.29) -- -- -- -- $(0.21) -- -- -- -- $(0.34) -- -- -- -- $(0.68) -- -- -- -- $(0.64) -- (0.02) -- -- $(0.61) -- (0.31) -- -- $(1.07) -- (0.13) -- -- $(0.96) - ----------------------------------------------------------------------------- -- - -- -- $(0.27) -- (0.02) -- -- $(0.57) -- - -- -- $(0.58) -- -- -- -- $(0.17) -- -- -- -- $(0.23) -- (0.02) -- -- $(0.14) -- -- -- -- $(0.28) -- (0.02) -- -- $(0.57) -- - -- -- $(0.58) -- -- -- -- $(0.17) - ----------------------------------------------------------------------------- -- -- -- -- $(0.22) -- (0.10) -- -- $(0.50) -- (0.22) -- -- $(0.66) -- -- -- -- $(0.52) -- (0.02) -- -- $(0.49) -- -- -- -- $(0.20) -- (0.10) -- -- $(0.55) -- (0.22) -- -- $(0.46) -- -- -- -- $(0.40) -- -- -- -- $(0.23) -- (0.10) -- -- $(0.55) -- (0.22) -- -- $(0.69) -- -- -- -- $(0.52) -- (0.02) -- -- $(0.49) See Notes to Financial Statements.
148
Ratios/Supplemental Data - ---------------------------------------------------------------------------------------- Net Conversion Assets Ratio of to Net Change Net Asset End of Expenses Class A In Net Value End Total Period to Average Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%) - ---------------------------------------------------------------------------------------- -- (0.02) $10.25 6.12%+ $ 68,509 0.85%+ -- (0.18) $10.27 4.98% $ 46,977 0.78% -- 1.44 $10.45 23.75% $ 31,714 0.74% -- (1.31) $ 9.01 (6.99)% $ 32,053 0.74% -- 0.07 $10.32 11.39% $ 45,410 0.73% -- 0.02 $10.25 9.59%+ $ 9,392 0.74%+ -- (0.01) $10.26 5.48%+ $ 1,131 1.60%+ -- 0.27 $10.27 4.81%++ $ 280 1.59%+ -- (0.01) $10.26 6.44%+ $968,910 0.60%+ -- (0.18) $10.27 5.08% $757,627 0.66% -- 1.44 $10.45 23.75% $485,851 0.74% -- (1.31) $ 9.01 (6.99)% $395,116 0.74% -- 0.07 $10.32 11.39% $455,786 0.73% -- (0.30) $10.25 6.56% $312,366 0.73% - ---------------------------------------------------------------------------------------- -- (0.01) $10.10 5.22%+ $ 1,475 0.82%+ -- (0.12) $10.11 (4.45)% $ 1,033 0.80% -- 0.39 $10.23 10.07% $ 766 0.75% -- (0.16) $ 9.84 0.21%+ $ 308 0.75%+ -- (0.01) $10.01 4.54%+ $ 69 1.57%+ -- 0.02 $10.02 2.04%++ $ 56 1.57%+ -- (0.01) $10.10 5.50%+ $193,121 0.57%+ -- (0.12) $10.11 4.56% $171,427 0.70% -- 0.39 $10.23 10.07% $162,571 0.75% -- (0.16) $ 9.84 0.21%+ $ 63,931 0.75%+ - ---------------------------------------------------------------------------------------- -- (0.04) $ 7.80 4.68%+ $ 7,175 0.87%+ -- (0.34) $ 7.84 2.75% $ 8,798 0.84% -- 0.50 $ 8.18 15.55%++ $ 6,095 0.94%+ -- (0.57) $ 7.68 (0.45)% $ 69 0.04% -- (0.11) $ 8.25 5.16%+ $ 65 -- -- (0.05) $ 7.80 3.88%+ $ 409 1.62%+ -- (0.33) $ 7.85 2.09% $ 502 1.58% -- 0.05 $ 8.18 6.41%++ $ 259 1.60%+ 7.61(3) -- -- (1.82)%++ -- -- -- (0.04) $ 7.81 4.94%+ $134,589 0.62%+ -- (0.33) $ 7.85 3.14% $187,112 0.57% -- 0.50 $ 8.18 15.90%++ $191,930 0.55%+ -- (0.57) $ 7.68 (0.48)% $ 7,101 0.04% -- (0.11) $ 8.25 5.16%++ $ 5,128 -- Ratios/Supplemental Data (Continued) - ----------------------------------------------------------------------------- Ratio of Ratio of Net Investment Expenses to Income to Ratio of Net Average Net Average Net Investment Assets(%) Assets(%) Income to without Fee without Fee Average Average Net Waivers/ Waivers/ Portfolio Commission Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate - ----------------------------------------------------------------------------- 6.35%+ -- -- 5.27% -- 6.59% -- -- 24.92% -- 6.39% -- -- 41.91% -- 6.36% -- -- 75.67% -- 7.20% -- -- 115.20% -- 8.12%+ -- -- 90.45%+ -- 5.60%+ -- -- 5.27% -- 3.01%+ -- -- 24.92%+ -- 6.60%+ -- -- 5.27% -- 6.71% -- -- 24.92% -- 6.39% -- -- 41.91% -- 6.36% -- -- 75.67% -- 7.20% -- -- 115.20% -- 8.08% -- -- 90.45% -- - ---------------------------------------------------------------------- 5.36%+ -- -- 36.43% -- 5.35% 0.82% 5.33% 109.58% -- 5.74% 0.81% 5.68% 30.94% -- 5.92%+ 0.93%+ 5.74%+ 10.20%++ -- 4.61%+ -- -- 36.43% -- 1.47%+ 1.59%+ 1.45%+ 109.58%+ -- 5.61%+ -- -- 36.43% -- 5.45% 0.72% 5.43% 109.58% -- 5.74% 0.81% 5.68% 30.94% -- 5.92%+ 0.93%+ 5.74%+ 10.20%++ -- - ---------------------------------------------------------------------- 5.92%+ -- -- 28.34% -- 5.75% 0.90% 5.69% 103.93% -- 5.72%+ 1.15%+ 5.51%+ 173.26%++ -- 6.70% 2.78% 3.96% 71.65% -- 5.96%+ 3.67%+ 2.29%+ 26.54%++ -- 5.17%+ -- -- 28.34% -- 5.01% 1.67% 4.92% 103.93% -- 5.00%+ 1.78%+ 4.83%+ 173.26%++ -- 6.48%+ 2.58%+ 3.90%+ 71.65%++ -- 6.17%+ -- -- 28.34% -- 6.02% 0.66% 5.93% 103.93% -- 6.34%+ 0.67%+ 6.22%+ 173.26%++ -- 6.70% 2.78% 3.96% 71.65% -- 6.21%+ 2.64%+ 3.57%+ 26.54%++ -- See Notes to Financial Statements.
149
-------------------------------------------------------------------- Investment Operations Net Realized Total Net Asset and Unrealized Income From Value Net Gain (Loss) from Net Beginning Investment on Investment Investment of Period Income Investments Operations Income -------------------------------------------------------------------- INTERNATIONAL BOND FUND Class A Shares For the period ended 6/30/97 (unaudited) $10.79 0.19 (0.58) $(0.39) (0.22) December 31, 1996 $10.75 0.54 0.04 $ 0.58 (0.54) For the period ended 12/31/1995(7) $10.00 0.98 1.10 $ 2.08 (0.98) Class B Shares For the period ended 6/30/97 (unaudited) $10.87 0.16 (0.58) $(0.42) (0.19) December 31, 1996 $10.81 0.47 0.06 $ 0.53 (0.47) For the period ended 12/31/1995(7) $10.00 0.91 1.16 $ 2.07 (0.91) Class I Shares For the period ended 6/30/97 (unaudited) $10.85 0.25 (0.62) $(0.37) (0.23) December 31, 1996 $10.81 0.59 0.04 $ 0.63 (0.59) For the period ended 12/31/1995(7) $10.00 1.02 1.16 $ 2.18 (1.02) - ----------------------------------------------------------------------------------------------------------------- MUNICIPAL BOND FUND Class A Shares For the period ended 6/30/97 (unaudited) $12.36 0.29 0.08 $ 0.37 (0.29) December 31, 1996 $12.64 0.59 (0.18) $ 0.41 (0.58) For the period ended 12/31/1995(15) $12.06 0.48 0.82 $ 1.30 (0.48) 02/28/95 $12.13 0.60 (0.07) $ 0.53 (0.60) 02/28/94 $13.25 0.63 (0.15) $ 0.48 (0.63) 02/28/93 $12.49 0.70 1.01 $ 1.71 (0.70) 02/29/92 $12.10 0.76 0.47 $ 1.23 (0.76) Class B Shares For the period ended 6/30/97 (unaudited) $12.36 0.23 0.08 $ 0.31 (0.25) December 31, 1996 $12.65 0.52 (0.21) $ 0.31 (0.49) For the period ended 12/31/95(16) $12.17 0.34 0.72 $ 1.06 (0.34) For the period ended 12/2/94(17) $12.14 0.41 (0.70) $(0.29) (0.41) 02/28/94(18) $12.37 0.03 (0.23) $(0.20) (0.03) Class I Shares For the period ended 6/30/97 (unaudited) $12.36 0.30 0.07 $ 0.37 (0.30) December 31, 1996 $12.63 0.65 (0.20) $ 0.45 (0.61) For the period ended 12/31/95(15) $12.06 0.52 0.81 $ 1.33 (0.52) For the period ended 2/28/95(19) $12.06 0.05 -- $ 0.05 (0.05) - ----------------------------------------------------------------------------------------------------------------- INTERMediaTE MUNICIPAL BOND FUND Class A Shares For the period ended 6/30/97 (unaudited) $12.10 0.27 (0.01) $ 0.28 (0.27) December 31, 1996 $12.25 0.53 (0.09) $ 0.44 (0.51) For the period ended 12/31/95(15) $11.79 0.44 0.56 $ 1.00 (0.44) February 28, 1995 $12.18 0.55 (0.36) $ 0.19 (0.55) February 28, 1994 $12.79 0.61 0.01 $ 0.62 (0.61) February 28, 1993 $12.25 0.64 0.68 $ 1.32 (0.64) February 29, 1992 $11.95 0.76 0.37 $ 1.13 (0.76) Class B Shares For the period ended 6/30/97 (unaudited) $12.10 0.22 -- $ 0.22 (0.23) December 31, 1996 $12.25 0.44 (0.09) $ 0.35 (0.42) For the period ended 12/31/95(15) $11.80 0.37 0.55 $ 0.92 (0.37) For the period ended 2/28/95(16) $11.57 0.04 0.23 $ 0.27 (0.04) For the period ended 12/2/94(17) $12.18 0.37 (0.72) $(0.35) (0.37) For the period ended 2/28/94(18) $12.32 0.03 (0.14) $(0.11) (0.03) Class I Shares For the period ended 6/30/97 (unaudited) $12.11 0.28 (0.01) $ 0.29 (0.29) December 31, 1996 $12.25 0.56 (0.08) $ 0.48 (0.54) For the period ended 12/31/95(15) $11.80 0.47 0.55 $ 1.02 (0.47) For the period ended 2/28/95(19) $11.57 0.04 0.23 $ 0.27 (0.04) Less Distributions - ----------------------------------------------------------------------------- From Net Realized In Excess In Excess Gain on of Net of Net Investments & Realized Investment Foreign Currency Gain on Return of Total Income Transactions Investments Capital Distributions - ----------------------------------------------------------------------------- -- -- -- -- $(0.22) -- -- -- -- $(0.54) (0.01) (0.34) -- -- $(1.33) -- -- -- -- $(0.19) -- -- -- -- $(0.47) (0.01) (0.34) -- -- $(1.26) -- -- -- -- $(0.23) -- -- -- -- $(0.59) (0.01) (0.34) -- -- $(1.37) - ----------------------------------------------------------------------------- -- -- -- -- $(0.29) -- (0.01) (0.10) -- $(0.69) -- (0.24) -- -- $(0.72) -- -- -- -- $(0.60) -- (0.96) (0.01) -- $(1.60) -- (0.25) -- -- $(0.95) -- (0.08) -- -- $(0.84) -- -- -- -- $(0.25) -- (0.01) (0.10) -- $(0.60) -- (0.24) -- -- $(0.58) -- -- -- -- $(0.41) -- -- -- -- $(0.03) -- -- -- -- $(0.30) -- (0.01) (0.10) -- $(0.72) -- (0.24) -- -- $(0.76) -- -- -- -- $(0.05) - ----------------------------------------------------------------------------- -- -- -- -- $(0.27) -- (0.08) -- -- $(0.59) -- (0.10) -- -- $(0.54) -- (0.03) -- -- $(0.58) -- (0.62) -- -- $(1.23) -- (0.14) -- -- $(0.78) -- (0.07) -- -- $(0.83) -- -- -- -- $(0.23) -- (0.08) -- -- $(0.50) -- (0.10) -- -- $(0.47) -- -- -- -- $(0.04) -- (0.03) -- -- $(0.40) -- -- -- -- $(0.03) -- -- -- -- $(0.29) -- (0.08) -- -- $(0.62) -- (0.10) -- -- $(0.57) -- -- -- -- $(0.04) See Notes to Financial Statements.
150
Ratios/Supplemental Data - ---------------------------------------------------------------------------------------- Net Conversion Assets Ratio of to Net Change Net Asset End of Expenses Class A In Net Value End Total Period to Average Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%) - ---------------------------------------------------------------------------------------- -- (0.61) $10.18 (7.22)%+ $ 4,081 1.11%+ -- 0.04 $10.79 5.62% $ 2,006 1.15% -- 0.75 $10.75 21.10%++ $ 487 1.33%+ -- (0.61) $10.26 (7.70)%+ $ 72 1.86%+ -- 0.06 $10.87 5.01% $ 46 1.90% -- 0.61 $10.81 20.90%++ $ 4 2.03%+ -- (0.61) $10.24 (7.00)%+ $ 70,651 0.86%+ -- 0.04 $10.85 5.99% $ 53,845 0.90% -- 0.81 $10.81 22.13%++ $ 14,504 0.95%+ - ---------------------------------------------------------------------------------------- -- 0.08 $12.44 6.02%+ $ 30,818 0.85%+ -- (0.28) $12.36 3.36% $ 29,352 0.83% -- 0.58 $12.64 10.95%++ $ 7,426 0.89%+ -- (0.07) $12.06 4.45% $ 6,840 1.98% -- (1.12) $12.13 3.70% $ 9,234 -- -- 0.76 $13.25 14.37% $ 11,290 -- -- 0.39 $12.49 10.50% $ 6,591 -- -- 0.07 $12.43 5.14%+ $ 830 1.60%+ -- (0.29) $12.36 2.56% $ 672 1.58% -- 0.48 $12.65 8.81%++ $ 238 1.66%+ (11.44)(3) -- -- (4.30)%++ -- 3.18%+ -- (0.23) $12.14 (1.64)%++ -- 0.50%+ -- 0.07 $12.43 6.12%+ $341,315 0.60%+ -- (0.27) $12.36 3.76% $338,104 0.58% -- 0.57 $12.63 11.20%++ $240,160 0.54%+ -- -- $12.06 0.39%++ $220,143 0.65%+ - ---------------------------------------------------------------------------------------- -- 0.01 $12.11 4.70%+ $ 19,241 0.85%+ -- (0.15) $12.10 3.69% $ 19,049 0.83% -- 0.48 $12.25 8.58%++ $ 17,777 0.83%+ -- (0.39) $11.79 1.64% $ 17,243 0.29% -- (0.61) $12.18 4.94% $ 28,826 0.06% -- 0.54 $12.79 11.26% $ 27,885 -- -- 0.30 $12.25 9.78% $ 18,310 -- -- -- $12.10 3.82%+ $ 629 1.60%+ -- (0.15) $12.10 2.90% $ 611 1.58% -- 0.45 $12.25 7.75%++ $ 341 1.71%+ -- 0.23 $11.80 2.30%++ $ 6 1.36%+ (11.43)(17) -- $11.43 (2.98)%++ -- 0.76%+ -- (12.18) $12.18 (0.93)%++ $ 12 0.75%+ -- 0.01 $12.12 4.90%+ $377,748 0.60%+ -- (0.14) $12.11 4.05% $373,970 0.58% -- 0.45 $12.25 8.76%++ $373,753 0.55%+ -- 0.23 $11.80 2.37%++ $365,801 0.50%+ Ratios/Supplemental Data (Continued) - -------------------------------------------------------------------------------- Ratio of Ratio of Net Investment Expenses to Income to Ratio of Net Average Net Average Net Investment Assets(%) Assets(%) Income to without Fee without Fee Average Average Net Waivers/ Waivers/ Portfolio Commission Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate - -------------------------------------------------------------------------------- 4.71%+ 1.26%+ 4.48%+ 2.34% -- 4.74% 1.94% 3.95% 97.82% -- 4.91%+ 3.65%+ 2.59%+ 48.03%++ -- 4.17%+ 2.01%+ 3.94%+ 2.34% -- 3.99% 4.08% 1.81% 97.82% -- 4.39%+ 8.69%+ (2.28)%+ 48.03%++ -- 4.94%+ 1.01%+ 4.71%+ 2.34% -- 4.99% 1.40% 4.49% 97.82% -- 5.71%+ 1.93%+ 4.73%+ 48.03%++ -- - -------------------------------------------------------------------------------- 4.70%+ -- -- 23.62% -- 4.54% 0.89% 4.48% 64.51% -- 4.57%+ 1.04%+ 4.43%+ 69.31%++ -- 5.09% 3.89% 3.18% 60.78% -- 4.85% 1.44% 3.41% 175.06% -- 5.49% 1.59% 3.90% 88.53% -- 5.99% 2.75% 3.24% 66.28% -- 3.95%+ -- -- 23.62% -- 3.79% 1.70% 3.67% 64.51% -- 3.61%+ 2.04%+ 3.23%+ 69.31%++ -- 4.51%+ 5.85%+ 1.84%+ 60.78%++ -- 4.10%+ 2.91%+ 1.69%+ 175.06%++ -- 4.95%+ -- -- 23.62% -- 4.79% 0.68% 4.69% 64.51% -- 4.95%+ 0.67%+ 4.81%+ 69.31%++ -- 5.45%+ 0.79%+ 5.31%+ 60.78%++ -- - -------------------------------------------------------------------------------- 4.49%+ -- -- 28.38% -- 4.37% 0.88% 4.32% 52.95% -- 4.30%+ 0.97%+ 4.16%+ 44.75%++ -- 4.73% 1.38% 3.64% 128.02% -- 4.78% 1.27% 3.57% 167.95% -- 5.16% 1.31% 3.85% 63.67% -- 6.15% 1.72% 4.43% 86.91% -- 3.74%+ -- -- 28.38% -- 3.62% 1.68% 3.52% 52.95% -- 3.36%+ 2.01%+ 3.06%+ 44.75%++ -- 3.72%+ 1.64%+ 3.44%+ 128.02%++ -- 4.03%+ 2.00%+ 2.79%+ 128.02%++ -- 1.68%+ 3.00%+ (0.57)%+ 167.95%++ -- 4.74%+ -- -- 28.38% -- 4.62% 0.64% 4.56% 52.95% -- 4.78%+ 0.68%+ 4.65%+ 44.75%++ -- 4.79%+ 0.60%+ 4.69%+ 128.02%++ -- See Notes to Financial Statements.
151
Investment Operations -------------------------------------------------------------------- Net Realized Total Net Asset and Unrealized Income From Value Net Gain (Loss) from Net Beginning Investment on Investment Investment of Period Income Investments Operations Income -------------------------------------------------------------------- MICHIGAN MUNICIPAL BOND FUND Class A Shares For the period ended 6/30/97 (unaudited) $10.48 0.24 0.09 $ 0.33 (0.24) December 31, 1996 $10.60 0.48 (0.14) $ 0.34 (0.46) December 31, 1995 $ 9.54 0.48 1.06 $ 1.54 (0.48) December 31, 1994 $10.60 0.50 (1.06) $(0.56) (0.50) December 31, 1993(21) $10.00 0.44 0.59 $ 1.03 (0.43) Class B Shares For the period ended 6/30/97 (unaudited) $10.18 0.20 0.07 $ 0.27 (0.21) For the period ended 12/31/96(8) $10.00 0.07 0.17 $ 0.24 (0.06) Class I Shares For the period ended 6/30/97 (unaudited) $10.48 0.25 0.08 $ 0.33 (0.25) December 31, 1996 $10.60 0.49 (0.14) $ 0.35 (0.47) December 31, 1995 $ 9.54 0.48 1.06 $ 1.54 (0.48) December 31, 1994 $10.60 0.50 (1.06) $(0.56) (0.50) December 31, 1993(21) $10.00 0.44 0.59 $ 1.03 (0.43) Less Distributions - ----------------------------------------------------------------------------- From Net Realized In Excess In Excess Gain on of Net of Net Investments & Realized Investment Foreign Currency Gain on Return of Total Income Transactions Investments Capital Distributions - ----------------------------------------------------------------------------- -- -- -- -- $(0.24) -- -- -- -- $(0.46) -- -- -- -- $(0.48) -- -- -- -- $(0.50) -- -- -- -- $(0.43) -- -- -- -- $(0.21) -- -- -- -- $(0.06) -- -- -- -- $(0.25) -- -- -- -- $(0.47) -- -- -- -- $(0.48) -- -- -- -- $(0.50) -- -- -- -- $(0.43) See Notes to Financial Statements.
152
Ratios/Supplemental Data - -------------------------------------------------------------------------------------- Net Conversion Assets Ratio of to Net Change Net Asset End of Expenses Class A In Net Value End Total Period to Average Shares Asset Value of Period Return(a) (000's omitted) Net Assets(%) - -------------------------------------------------------------------------------------- -- 0.09 $10.57 6.28%+ $17,508 0.95%+ -- (0.12) $10.48 3.32% $18,575 0.88% -- 1.06 $10.60 16.49% $21,034 0.79% -- (1.06) $ 9.54 (5.42)% $21,106 0.53% -- 0.60 $10.60 11.50%+ $26,342 0.19%+ -- 0.06 $10.24 5.36%+ $ 247 1.70%+ -- 0.18 $10.18 2.45%++ $ 110 1.69%+ -- 0.08 $10.56 6.52%+ $49,218 0.70%+ -- (0.12) $10.48 3.44% $41,909 0.77% -- 1.06 $10.60 16.49% $32,419 0.79% -- (1.06) $ 9.54 (5.42)% $24,157 0.53% -- 0.60 $10.60 11.50%+ $15,772 0.19%+ Ratios/Supplemental Data (Continued) - ------------------------------------------------------------------------------ Ratio of Ratio of Net Investment Expenses to Income to Ratio of Net Average Net Average Net Investment Assets(%) Assets(%) Income to without fee without Fee Average Average Net Waivers/ Waivers/ Portfolio Commission Assets(%) Reimbursed Exp. Reimbursed Exp. Turover(%) Rate 4.62%+ 0.96%+ 4.61%+ 27.40% -- - ------------------------------------------------------------------------------ 4.62%+ 0.96%+ 4.61%+ 27.40% -- 4.57% 0.96% 4.49% 24.90% -- 4.71% 1.04% 4.46% 26.97% -- 5.01% 1.05% 4.49% 25.93% -- 5.12%+ 1.21%+ 4.10%+ 41.70%++ -- 3.87%+ 1.71%+ 3.86%+ 27.40% -- 2.01%+ 1.77%+ 1.93%+ 24.49%+ -- 4.75%+ 0.71%+ 4.74%+ 27.40% -- 4.68% 0.85% 4.60% 24.49% -- 4.71% 1.04% 4.46% 26.97% -- 5.01% 1.05% 4.49% 25.93% -- 5.12%+ 1.21%+ 4.10%+ 41.70%++ -- See Notes to Financial Statements.
153 Notes to Financial Highlights (1) For the period February 8, 1994 (initial offering date of Class B Shares) through December 2, 1994. On December 2, 1994, the Fund terminated its offering of Class B Shares under the then-current sales load schedule and such shares converted to Class A Shares. (2) For the period March 3, 1995 (re-offering date of Class B Shares) through December 31, 1995. (3) On December 2, 1994, the Fund terminated its offering of Class B Shares under the then-current sales load schedule and such shares converted to Class A Shares. (4) For the period March 3, 1995 (initial offering date of Class I Shares) through December 31, 1995. (5) For the period August 24, 1996 (initial offering date of Class B Shares) through December 31, 1996. (6) For the period December 17, 1996 (commencement of operations) through December 31, 1996. (7) For the period January 27, 1995 (commencement of operations) through December 31, 1995. (8) For the period September 23, 1996 (initial offering date of Class B Shares) through December 31, 1996. (9) For the period December 3, 1994 (commencement of operations) through December 31, 1994. (10) For the period September 17, 1994 (commencement of operations) through December 31, 1994. (11) For the period February 1, 1995 (commencement of operations) through December 31, 1995. Effective February 1, 1995, the Fund changed its fiscal year end from January 31 to December 31. (12) For the period March 5, 1993 (commencement of operations) through January 31, 1994. (13) For the period May 31, 1995 (re-offering date of Class B Shares) through December 31, 1995. Effective February 1, 1995, the Fund changed its fiscal year end from January 31, to December 31. (14) For the period February 8, 1994 (initial offering date of Class B Shares) through December 2, 1994. On December 2, 1994, the Fund terminated its offering of Class B Shares and such shares converted to Class A shares. (15) For the period March 1, 1995 through December 31, 1995. Effective March 1, 1995, the Fund changed its fiscal year end from February 28 to December 31. (16) For the period April 4, 1995 (re-offering date of Class B Shares) through December 31, 1995. Effective March 1, 1995, the Fund changed its fiscal year end from February 28 to December 31. (17) For the period March 1, 1994 through December 2, 1994. On December 2, 1994, the Fund terminated its offering of Class B Shares and such shares converted to Class A Shares. (18) For the period February 8, 1994 (initial offering date of Class B Shares) through February 28, 1994. (19) For the period February 1, 1995 (initial offering date of Class I Shares) to February 28, 1995. (20) For the period January 30, 1995 (re-offering date of Class B Shares) through February 28, 1995. (21) For the period February 1, 1993 (commencement of operations) through December 31, 1993. (22) For the period May 1, 1992 (initial offering date of Class A shares) through December 31, 1992. (23) For the period July 10, 1992 (inception) through December 31, 1992. (a) Total returns as presented do not include any applicable sales load or redemption charges. + Annualized. ++ Not Annualized. 154 [BACKCOVER] [LOGO] [LOGO] PGSA - 6 97 Pegasus Funds Strength in Investing -----END PRIVACY-ENHANCED MESSAGE-----