-----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, Jhid0Rfuihj2HjQUfmgp7jXbvuX1Vn2dGeatq92gQNeV+RKlMSSWDazJBwlX7YoJ zP6BwnFmejAvUONp0P8dDw== 0000950147-00-000351.txt : 20000307 0000950147-00-000351.hdr.sgml : 20000307 ACCESSION NUMBER: 0000950147-00-000351 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19991231 FILED AS OF DATE: 20000306 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PILGRIM MUTUAL FUNDS CENTRAL INDEX KEY: 0000895430 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: CA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-07428 FILM NUMBER: 561691 BUSINESS ADDRESS: STREET 1: TWO RENAISSANCE SQUARE STREET 2: 40 NORTH CENTRAL AVE #1200 CITY: PHOENIX STATE: AZ ZIP: 85004 BUSINESS PHONE: 6024178100 MAIL ADDRESS: STREET 1: TWO RENAISSANCE SQUARE STREET 2: 40 NORTH CENTRAL AVE #1200 CITY: PHOENIX STATE: AZ ZIP: 85004 FORMER COMPANY: FORMER CONFORMED NAME: NICHOLAS APPLEGATE MUTUAL FUNDS DATE OF NAME CHANGE: 19930328 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PILGRIM INVESTMENT FUNDS INC/MD CENTRAL INDEX KEY: 0000061448 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 136066974 STATE OF INCORPORATION: MD FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-01939 FILM NUMBER: 561692 BUSINESS ADDRESS: STREET 1: TWO RENAISSANCE SQUARE 40 N CENTRAL STREET 2: STE 1200 CITY: PHOENIX STATE: AZ ZIP: 85004-4424 BUSINESS PHONE: 6024178100 MAIL ADDRESS: STREET 1: TWO RENAISSANCE SQ STREET 2: 40 N CENTRAL STE 1200 CITY: PHOENIX STATE: AZ ZIP: 85004-4424 FORMER COMPANY: FORMER CONFORMED NAME: PILGRIM INVESTMENT FUNDS INC DATE OF NAME CHANGE: 19950503 FORMER COMPANY: FORMER CONFORMED NAME: PILGRIM MAGNACAP FUND INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: MAGNACAP FUND INC DATE OF NAME CHANGE: 19850701 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PILGRIM GOVERNMENT SECURITIES INCOME FUND INC CENTRAL INDEX KEY: 0000746575 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 222544280 STATE OF INCORPORATION: CA FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-04031 FILM NUMBER: 561693 BUSINESS ADDRESS: STREET 1: TWO RENAISSANC SQUARE 40 N CENTRAL STREET 2: STE 1200 CITY: PHOENIX STATE: AZ ZIP: 85004-4424 BUSINESS PHONE: 6024178100 MAIL ADDRESS: STREET 1: TWO RENAISSANCE SQ STREET 2: 40 N CENTRAL STE 1200 CITY: PHOENIX STATE: AZ ZIP: 85004-4424 FORMER COMPANY: FORMER CONFORMED NAME: PILGRIM GOVERNMENT SECURITIES INC DATE OF NAME CHANGE: 19950530 FORMER COMPANY: FORMER CONFORMED NAME: PILGRIM GNMA FUND DATE OF NAME CHANGE: 19920703 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PILGRIM BANK & THRIFT FUND INC CENTRAL INDEX KEY: 0000784055 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 954020286 STATE OF INCORPORATION: MD FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-04504 FILM NUMBER: 561694 BUSINESS ADDRESS: STREET 1: 40 NORTH CENTRAL AVE STE 1200 STREET 2: TWO RENAISSANCE SQUARE CITY: PHOENIX STATE: AZ ZIP: 85004-4424 BUSINESS PHONE: 6024178100 MAIL ADDRESS: STREET 1: TWO RENAISSANCE SQ STREET 2: 40 N CENTRAL STE 1200 CITY: PHOENIX STATE: AZ ZIP: 85004-4424 FILER: COMPANY DATA: COMPANY CONFORMED NAME: PILGRIM ADVISORY FUNDS INC CENTRAL INDEX KEY: 0000944689 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 954532342 STATE OF INCORPORATION: MD FISCAL YEAR END: 0630 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-09040 FILM NUMBER: 561695 BUSINESS ADDRESS: STREET 1: 2 RENAISSANCE SQUARE 12TH FLR STREET 2: 40 NORTH CENTRAL CITY: PHOENIX STATE: AZ ZIP: 85004-4424 BUSINESS PHONE: 6024178100 MAIL ADDRESS: STREET 1: 2 RENAISSANCE SQUARE 12TH FLR STREET 2: 40 NORTH CENTRAL CITY: PHOENIX STATE: AZ ZIP: 85004 N-30D 1 SEMI-ANNUAL REPORT DATED 12/31/99 PILGRIM - ------- FUNDS FOR SERIOUS INVESTORS Semi-Annual Report Classes: A, B, C, and M December 31, 1999 U.S. EQUITY FUNDS Pilgrim MagnaCap Pilgrim LargeCap Leaders Pilgrim LargeCap Growth Pilgrim MidCap Value Pilgrim MidCap Growth Pilgrim SmallCap Growth Pilgrim Bank and Thrift INTERNATIONAL EQUITY FUNDS Pilgrim Worldwide Growth Pilgrim International Core Growth Pilgrim International SmallCap Growth Pilgrim Emerging Countries Pilgrim Asia-Pacific Equity INCOME FUNDS Pilgrim Government Securities Income Pilgrim Strategic Income Pilgrim High Yield Pilgrim High Yield II Pilgrim Money Market EQUITY & INCOME FUNDS Pilgrim Balanced Pilgrim Convertible - ------- Pilgrim Funds - ------- TABLE OF CONTENTS - -------------------------------------------------------------------------------- Chairman's Message ......................................................... 1 Portfolio Managers' Reports: U.S. Equity Funds......................................................... 2 International Equity Funds................................................ 16 Income Funds.............................................................. 26 Equity & Income Funds..................................................... 36 Index Descriptions.......................................................... 40 Statements of Assets and Liabilities........................................ 42 Statements of Operations.................................................... 50 Statements of Changes in Net Assets......................................... 54 Financial Highlights........................................................ 64 Notes to Financial Statements............................................... 83 Portfolios of Investments................................................... 104 Shareholder Meetings........................................................ 147 Tax Information............................................................. 148 Primary Institutional Fund.................................................. 149 - ------- Pilgrim Funds - ------- CHAIRMAN'S MESSAGE - -------------------------------------------------------------------------------- Dear Shareholder: We are pleased to present the Semi-Annual Report for the Pilgrim Funds. On October 29, 1999 Reliastar Financial Corporation acquired Pilgrim Investments, Inc. Our fund family now has 32 funds of varying types which provide more core investment choices for the serious investor. There are seven U.S. Equity Funds, five International Equity Funds, five Income Funds and two Equity & Income Funds which are included in this Semi-Annual Report. MagnaCap, LargeCap Leaders, MidCap Value, Bank and Thrift, Government Securities Income, Strategic Income, High Yield, High Yield II and Balanced Funds are all managed by seasoned investment successful professionals at Pilgrim Investments, Inc. Money Market Fund solely invests all of its assets in Class A shares of the Primary Reserve Institutional Fund, a series of Reserve Institutional Trust. LargeCap Growth, MidCap Growth, SmallCap Growth, Worldwide Growth, International Core Growth, International SmallCap Growth, Emerging Countries and Convertible Funds continue to be managed by Nicholas-Applegate Capital Management who has delivered solid gains to shareholders in the past. Asia-Pacific Equity Fund is advised by HSBC Asset Management Americas, Inc. and HSBC Asset Management Hong Kong Limited. Both of these private money managers typically manage portfolios primarily for high net worth individuals and institutional investors. Each money manager has extensive knowledge and proven experience in their specialized market segments. At Pilgrim, we are dedicated to providing core investments for the serious investor. We believe that the key to success is matching quality core investments to the individual needs of investors. Core investments are the foundation of every portfolio and the basis of other important investment decisions. Pilgrim prides itself on providing a family of core investments designed to help you reach your financial goals. Our goal is for every investor to have a investment experience.(SM) Sincerely, Robert W. Stallings Chairman and Chief Executive Officer Pilgrim Group, Inc. February 8, 2000 1 - ----------- U.S. Equity Funds - ----------- Portfolio PILGRIM MAGNACAP FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: Howard N. Kornblue, Senior Vice President and Senior Portfolio Manager; G. David Underwood, CFA, Vice President and Director of Research; Robert M. Kloss, Equity Analyst. Goal: The MagnaCap Fund seeks growth of capital, with dividend income as a secondary consideration. As a disciplined investment philosophy fund, MagnaCap invests in a very select group of companies that have been able to sustain growth over a 10-year period. In selecting portfolio securities, companies are generally assessed with reference to the following criteria as ideal: * A company must pay or had the financial capability from its operations to pay a dividend in 8 out of the last 10 years. * A company must have increased its dividend or had the financial capability from its operations to have increased its dividend at least 100% over the past 10 years. * Dividend payout must be less than 65% of current earnings. * Long-term debt should be no more than 25% of the company's total capitalization, or a company's bonds must be rated at least A- or A-3. * The current price should be in the lower half of the stock's price/earnings ratio range for the past ten years, or the ratio of the price of the company's stock at the time of purchase to its anticipated future earnings must be an attractive value in relation to the average for its industry peer group or that of the S&P 500 Composite Stock Price Index. Market Overview: For the past half decade, the U.S. stock market has been going higher helped by low inflation, healthy economic growth, increasing corporate profits, and falling interest rates. This past year was no exception, although one of the prime contributors to the extended market rise -- falling interest rates -- was not a factor in 1999. Interest rates increased during 1999, as economic growth exceeded expectations, bringing up fears of inflation down the road. The Federal Reserve increased interest rates three times between June and November. There was a decoupling of the equity and bond markets, with the major stock averages rising while bonds, which move in the opposite direction from interest rates, retreated. Bonds experienced their worst year since 1994. Robust consumer spending has put the U. S economy on a pace to grow by more than 4% for the third straight year, continuing its decade long expansion. After a brief stock market decline in the summer, major stock market averages achieved double-digit yearly gains and closed the year at record highs. The Dow Jones Industrial Average went above 10,000 for the first time. The S&P 500 Index gained over 20% for the fifth straight year. Technology stocks led the market as investors embraced the potential of e-commerce and the Internet. But 1999 was not a year in which a rising tide lifted all boats. Many more issues on the New York Stock Exchange fell in price during the year than rose in price in spite of the favorable market environment. Many investors were limiting their purchases to a select group of stocks (most often in technology) and were then bidding up these stocks to extreme levels that challenged all measures of historical valuation. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 12.20%, compared to the Standard & Poor's 500 Index, which gained 21.04% for the same period. Portfolio Specifics: We believe that the Fund's past success can be attributed to the very explicit investment criteria which normally determine the kinds of companies that qualify for inclusion in the portfolio. Out of a universe of approximately 4,000 publicly traded companies, and based upon both in-house and external research, we aim to select the 60 to 80 equities which we believe will be most likely to exhibit a high degree of performance. Among the top performing holdings were Cisco (computers), Tellabs (telecommunication equipment), Sun Microsystems (computers), Wal-Mart (retail), and Hewlett Packard (computers). At the end of December 1999, the top industry groups were oil, pharmaceuticals, computers, communications, and building products. The top stock holdings were AFLAC, Automatic Data Processing, Home Depot, McDonalds, and Avery-Dennison. Market Outlook: Going forward, we will continue to employ a "bottom-up" approach to stock selection, drawing from the pool of companies that come closest to meeting the Fund's strict investment criteria given market 2 Portfolio Manager's Report PILGRIM MAGNACAP FUND - -------------------------------------------------------------------------------- conditions, the circumstances of the company and the sector within which it falls. The bull market in U.S. stocks is in its ninth year. It has been firmly based on extraordinary changes in the economy that have given us one of the longest economic expansions in U.S. history. This bull market has been one of the best in U.S. history and we believe it is likely to continue for several reasons. First, the economic expansion that has propelled stock prices higher has been one of the most durable. It has been accompanied by mild inflation, job creation and high-quality profit growth. Second, the current economic and market cycles have benefited from several long-term structural changes. This includes a notable reduction in the government's budget deficit. There has also been a shift to a more sophisticated, technology driven private sector that has spurred widespread productivity gains, which offers new opportunities for growth and jobs. Most bull markets end when stocks are overpriced. However, it has traditionally been extremely difficult to identify the degree of overpricing at which any particular bull market will end. We believe stock prices can continue to rise selectively in 2000 in concert with improvements in corporate earnings and cash flows. Accordingly, we intend to remain almost fully invested, selecting stocks on the basis described at the beginning of this paragraph. Average Annual Total Returns for the periods ended December 31, 1999 ------------------------------------------------------ Since Since Inception Inception of Class of B and M Class C 1 Year 5 Years 10 Years 7/17/95 6/1/99 ------ ------- -------- ------- ------ Including Sales Charge: Class A (1) 5.77% 20.24% 14.13% -- -- Class B (2) 6.46% -- -- 18.74% -- Class C (3) -- -- -- -- 5.04% Class M (4) 7.74% -- -- 18.32% -- Excluding Sales Charge: Class A 12.20% 21.67% 14.81% -- -- Class B 11.42% -- -- 18.99% -- Class C -- -- -- -- 5.99 Class M 11.67% -- -- 19.28% -- S&P 500 Index 21.04% 28.54% 18.19% 26.23% 14.34% The table above illustrates the total return of Pilgrim MagnaCap Fund against the Standard & Poor's 500 Composite Stock Price Index. The Index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of the sales charges. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 2%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the since inception return. (4) Reflects deduction of the maximum Class M sales charge of 3.50%. Principal Risk Factor(s): Exposure to financial and market risks that accompany investments in equities. See accompanying index descriptions on page 40. 3 - ----------- U.S. Equity Funds - ----------- Portfolio PILGRIM LARGECAP LEADERS FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: G. David Underwood, CFA, Vice President and Senior Portfolio Manager; Robert M. Kloss, Equities Research Analyst. Goal: The LargeCap Leaders Fund seeks long-term capital appreciation by investing in a portfolio of stocks of U.S. companies with market capitalizations over $10 billion and believed to be leaders in their industry. Market Overview: For the six months ending December 31, 1999, the U.S. equity market was characterized by: * A narrow advance of primarily large-capitalization technology and telecommunications stocks * Continued outperformance of growth stocks versus value stocks * Outperformance of large-capitalization stocks versus mid-cap and most small-capitalization stocks Market returns at the end of the period suggest that it moved sideways since mid-year. This masks a market buffeted by concerns about rising inflation and higher interest rates, yet supported by accelerating earnings growth. Entering the second half of 1999, investor sentiment was still buoyed by the fact that a global recession did not develop out of the prior year's financial crisis in Asia, Latin America and Europe. U.S. economic growth remained strong and evidence continued to emerge that the overseas economies were on the mend. The broad market S&P 500 Index set a then new peak in July before surrendering half of its gains over the balance of the third quarter. Interest rates began to rise due to inflation worries brought on by the surprisingly strong U.S. economy and the resuscitating global economies, dampening some of the equity market optimism. The S&P 500 recovered to new highs in the fourth quarter, with the Index led by a select group of technology and telecommunications stocks, registering particularly strong gains in October and December. As inflation worries prompted the Federal Reserve to notch interest rates upward, investors sought the perceived safety of a small group of mostly technology/growth stocks. Only five of the twelve market sectors had positive returns in the last six months: Technology, Conglomerates, Communication Services, Consumer Cyclicals and Basic Industries; only Technology, Conglomerates and Communication Services outperformed the Index. For the year, 25 stocks accounted for the entire gain of the S&P 500 Index. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 18.94% versus 21.04% for the S&P 500 Index and 12.72% for the S&P/BARRA Value Index. Portfolio Specifics: Timely sector allocation and good stock selection, combined with a disciplined portfolio management approach, produced the Fund's strong investment performance. The Consumer Cyclical, Technology, Basic Industries, and Retailing sectors contributed most. Holdings in Sun Microsystems, Texas Instruments, Hewlett Packard, Sony, America Online and Nokia gave handsome returns. The Fund's holdings in Alcoa, and Time Warner were equally strong. Market Outlook: Though challenged more by interest rates the broadening market is conducive for equity investment. The global economies are rebounding with benign inflation, stimulating profitability and revenue growth for a wider assortment of companies. This should gather momentum now that concerns over the transition into the new Millennium are history. 4 Portfolio Manager's Report PILGRIM LARGECAP LEADERS FUND - -------------------------------------------------------------------------------- Average Annual Total Returns for the Periods Ended December 31, 1999 ----------------------------------------------- Since Inception Since Inception of Class A, B and M of Class C 1 Year 9/1/95 6/17/99 ------ ------ ------- Including Sales Charge: Class A (1) 12.12% 18.68% -- Class B (2) 13.19% 19.18% -- Class C (3) -- -- 7.72% Class M (4) 14.10% 18.73% -- Excluding Sales Charge: Class A 18.94% 20.31% -- Class B 18.19% 19.43% -- Class C -- -- 8.68% Class M 18.27% 19.71% -- S&P 500 Index 21.04% 26.99% 10.37% S&P/BARRA Value Index 12.72% 20.57% 0.28% The table above illustrates the total return of Pilgrim LargeCap Leaders Fund against the S&P 500 Index and the S&P/Barra Value Index. The Indices have an inherent performance advantage over the Fund since they have no cash in their portfolios, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fee and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 2%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the since inception return. (4) Reflects deduction of the maximum Class M sales charge of 3.50%. Principal Risk Factor(s): Exposure to financial and market risks that accompany investments in equities. See accompanying index descriptions on page 40. 5 - ----------- U.S. Equity Funds - ----------- Portfolio PILGRIM LARGECAP GROWTH FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Andrew B. Gallagher, Partner, Portfolio Manager; William H. Chenoweth, CFA, Partner, Portfolio Manager; Kenneth H. Lee, Portfolio Manager; Trisha C. Schuster, CFA, Portfolio Manager; Thomas J. Smith, CFA, Investment Analyst; Thomas J. Sullivan, Portfolio Manager. Goal: The Large Cap Growth Fund seeks to maximize long-term capital appreciation by investing primarily in stocks from a universe of U.S. companies with market capitalizations corresponding to the upper 90% of the Russell 1000 Growth Index. Market Overview: During the six-month period ending December 31, 1999, the U.S. market was characterized by: * a strong U.S. economy with subdued inflation * outperformance of growth stocks versus value stocks * investor preference for technology stocks Sizzling returns among technology stocks lifted the S&P 500 Index and Nasdaq Composite to record highs during the period. Large caps, as measured by the S&P 500, delivered their record fifth consecutive year of double-digit percentage gains. The S&P 500 rose 7.7% in the six-month period while the Nasdaq Composite gained 51.5%. Amid continued strength in the US economy, the Federal Reserve Board raised short-term interest rates by a quarter-percentage point three times since June, reversing 1998's loose monetary policy. The interest-rate increases were aimed at combating inflationary pressures. Throughout 1999, stock selection remained critical as a narrow advance masked broader market weakness. For example, 58% of NYSE, AMEX and Nasdaq common stocks underperformed the S&P 500 by 15% or more over the past 12 months ending December 1999. Disparate returns created an environment conducive to active managers. In 1999, the average diversified US stock fund gained 27.5% versus 21.0% for the S&P 500 Index, the first time the average manager outpaced the Index since 1993. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 96.41% compared to 33.16% for the Russell 1000 Growth Index for the same period. Portfolio Specifics: Stock selection within the technology and health technology sectors was the primary contributor to the fund's outperformance against the Russell 1000 Growth Index in the period. Our investment in select issues within the telecommunications, drugs/pharmaceuticals and biotechnology industries had a significant contribution to returns. Among the fund's best-performing holdings during the period were telecommunications equipment providers Qualcomm and Nokia; computer hardware manufacturers Cisco Systems and Sun Microsystems; and biotechnology firms Genentech and Amgen. Market Outlook: The outlook for large-cap growth stocks remains encouraging given low inflation and steady economic growth. We continue to find attractive stocks meeting our strict criteria and remain confident that application of our philosophy will continue to reward investors with long-term capital appreciation. 6 Portfolio Manager's Report PILGRIM LARGECAP GROWTH FUND - -------------------------------------------------------------------------------- Average Annual Total Returns for the periods ended December 31, 1999 ---------------------------- Since Inception 1 Year 7/21/97 ------ ------- Including Sales Charge: Class A (1) 85.11% 60.23% Class B (2) 90.23% 62.51% Class C (3) 94.18% 63.11% Excluding Sales Charge: Class A 96.41% 64.14% Class B 95.23% 63.11% Class C 95.18% 63.11% Russell 1000 Growth Index 33.16% 29.05% Based on a $10,000 initial investment, the table above illustrates the total return of Pilgrim LargeCap Growth Fund against the Russell 1000 Growth Index. The Index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fees and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower has there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75% (2) Reflects deduction of the Class B deferred sales charge of 5% and 3%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1% for the 1 year return. Principal Risk Factor(s): Exposure to financial and market risks that accompany investments in equities. See accompanying index descriptions on page 40. 7 - ----------- U.S. Equity Funds - ----------- Portfolio PILGRIM MIDCAP VALUE FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: G. David Underwood, CFA, Vice President and Senior Portfolio Manager; Robert M. Kloss, Equities Research Analyst.* Goal: The MidCap Value Fund seeks long-term capital appreciation by investing in a portfolio of attractively valued stocks of U.S. companies with market capitalizations between $1.0 billion and $8.0 billion. Market Overview: For the six-months ending December 31, 1999, the U.S. equity market was characterized by: * A narrow advance of primarily large-capitalization technology and telecommunications stocks * Continued outperformance of growth stocks versus value stocks * Outperformance of large-capitalization stocks versus mid-cap and most small capitalization stocks Market returns at the end of the period suggest that it moved sideways since mid year. This masks a market buffeted by concerns about rising inflation and higher interest rates, yet supported by accelerating earnings growth. Entering the second half of 1999, investor sentiment was still buoyed by the fact that a global recession did not develop out of the prior year's financial crisis in Asia, Latin America and Europe. U.S. economic growth remained strong and evidence continued to emerge that the overseas economies were on the mend. The broad market set a then new peak in July before surrendering half of its gains over the balance of the third quarter. Interest rates began to rise due to inflation worries brought on by the surprisingly strong U.S. economy and the resuscitating global economies, dampening some of the equity market optimism. The market recovered to new highs in the fourth quarter, led by a select group of technology and telecommunications stocks, registering particularly strong gains in October and December. As inflation worries prompted the Federal Reserve to notch interest rates upward, investors sought the perceived safety of a small group of mostly technology/growth stocks. Only five of the twelve market sectors had positive returns in the last six months: Technology, Conglomerates, Communication Services, Consumer Cyclicals and Basic Industries; only Technology, Conglomerates and Communication Services outperformed the Index. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, declined 7.32% versus an increase of 18.23% for the Russell MidCap Index and a decline of 0.11% for the Russell MidCap Value Index. Portfolio Specifics: The current team assumed management of the Fund at the beginning of October and restructured the portfolio consistent with revised disciplines. Timely sector allocation and stock selections produced a much improved investment performance. The Technology, Utilities, Basic Industries and Consumer Noncyclical sectors performed very well. Holdings in General Instrument, Parametric Technology, Broadwing, Champion International and Convergys were major contributors. Market Outlook: Though challenged more by interest rates the broadening market is conducive for equity investment. The global economies are rebounding with benign inflation, stimulating profitability and revenue growth for a wider assortment of companies. This should gather momentum now that concerns over the transition into the new Millennium are history. * Effective October 1, 1999, Pilgrim Investments, Inc. began providing investment advisory services directly for the Fund. Prior to that date the Fund had been sub-advised by Cramer, Rosenthal, McGlynn LLC. 8 Portfolio Manager's Report PILGRIM MIDCAP VALUE FUND - -------------------------------------------------------------------------------- Average Annual Total Returns for the Periods Ended December 31, 1999 ---------------------------------------------- Since Inception Since Inception of Class A, B and M of Class C 1 Year 9/1/95 6/2/99 ------ ------ ------ Including Sales Charge: Class A (1) -12.66% 9.77% -- Class B (2) -12.56% 10.11% -- Class C (3) -- -- -9.95% Class M (4) -10.94% 9.78% -- Excluding Sales Charge: Class A -7.32% 11.28% -- Class B -7.98% 10.44% -- Class C -- -- -9.04% Class M -7.74% 10.68% -- Russell MidCap Index 18.23% 18.80% 10.94% Russell MidCap Value Index -0.11% 14.73% -6.21% The table above illustrates the total return of Pilgrim MidCap Value Fund against the Russell Midcap Index and Russell MidCap Value Index. The Indices have an inherent performance advantage over the Fund since they have no cash in their portfolio, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fee and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 2%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the since inception return. (4) Reflects deduction of the maximum Class M sales charge of 3.50%. Principal Risk Factor(s): Exposure to financial and market risks that accompany investments in equities. To the extent the Fund invests in medium-sized companies, it may entail greater price variability than investing in larger companies. See accompanying index descriptions on page 40. 9 - ----------- U.S. Equity Funds - ----------- Portfolio PILGRIM MIDCAP GROWTH FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; William H. Chenoweth, CFA, Partner, Portfolio Manager; Andrew B. Gallagher, Partner, Portfolio Manager; Kenneth H. Lee, Portfolio Manager; Trisha C. Schuster, CFA, Portfolio Manager; Thomas J. Smith, CFA, Investment Analyst; Thomas J. Sullivan, Portfolio Manager. Goal: The Mid Cap Growth Fund seeks to maximize long-term capital appreciation by investing at least 65% of its total assets in equity securities of medium-sized U.S. companies, and at least 75% of its total assets in common stocks. Market Overview: During the six-month period ending December 31, 1999, the U.S. stock market was characterized by: * a strong US economy with subdued inflation * outperformance of growth stocks versus value stocks * investor preference for technology stocks Following the downturn in large- and smaller-cap stocks in the third quarter, US equity indexes from all market-capitalization segments posted impressive gains in the fourth quarter. Escalating investor interest in mid cap growth stocks -- especially technology-related issues -- lifted them to double-digit gains that outdistanced large-cap stocks. The Russell Midcap Growth Index gained 39.5% in the fourth quarter and 51.3% in 1999 versus 14.9% and 21.0% for the larger-cap S&P 500 over the same periods. Investors showed greater recognition for mid caps' strong earnings growth rates and attractive relative valuations. Amid continued strength in the US economy, the Federal Reserve Board raised short-term interest rates by a quarter-percentage point three times since June, reversing 1998's loose monetary policy. The interest-rate increases were aimed at combating inflationary pressures. Throughout 1999, stock selection remained critical as a narrow advance masked broader market weakness. For example, 58% of NYSE, AMEX and Nasdaq common stocks underperformed the S&P 500 by 15% or more over the 12 months ended December 1999. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 97.56% versus 51.29% for the Russell Midcap Growth Index for the same period. Portfolio Specifics: During the period, stock selection in the technology and commercial/industrial sectors was the primary contributor to the fund's outperformance versus the benchmark. Within the technology sector, our investment in select issues within the software, telecommunications and semiconductor industries had a significant contribution to returns. The Fund's top-performing holdings in the period included Veritas Software and Verisign, a provider of digital IDs designed to protect access to data and transactions sent over the Internet, intranets, and extranets. Market Outlook: The outlook for growth stocks remains encouraging given low inflation and steady economic growth. We continue to find attractive stocks meeting our strict criteria and remain confident that application of our philosophy will continue to reward investors with long-term capital appreciation. 10 Portfolio Manager's Report PILGRIM MIDCAP GROWTH FUND - -------------------------------------------------------------------------------- Average Annual Total Returns for the Periods Ended December 31, 1999 -------------------------------------------------- Since Inception Since Inception of Class A and C of Class B 1 Year 5 Year 4/19/93 5/31/95 ------ ------ ------- ------- Including Sales Charge: Class A (1) 86.22% 31.47% 22.99% -- Class B (2) 91.31% -- -- 32.47% Class C (3) 95.29% 32.23% 23.31% -- Excluding Sales Charge: Class A 97.56% 33.03% 24.08% -- Class B 96.31% -- -- 32.63% Class C 96.29% 32.23% 23.31% -- Russell MidCap Growth Index 51.29% 28.02% 22.49%(4) 27.12% Based on a $10,000 initial investment, the table above illustrates the total return of Pilgrim MidCap Growth Fund against the Russell MidCap Growth Index. The Index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fees and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75% (2) Reflects deduction of the Class B deferred sales charge of 5% and 2%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1 year return. (4) Since inception performance for index is shown from 4/30/93. Principal Risk Factor(s): Exposure to financial and market risks that accompany investments in equities. To the extent the Fund invests in mid-size companies, stocks of mid-size companies may entail greater price variability than those of larger companies. See accompanying index descriptions on page 40. 11 - ----------- U.S. Equity Funds - ----------- Portfolio PILGRIM SMALLCAP GROWTH FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Thomas E. Bleakley, Partner, Portfolio Manager; John C. McCraw, Partner, Portfolio Manager; Paul E. Cluskey, Portfolio Manager; Aaron M. Harris, Portfolio Manager; Travis Prentice, Investment Analyst. Goal: The SmallCap Growth Fund seeks to maximize long-term capital appreciation by investing at least 65% of its total assets in equity securities of small U.S. companies and at least 75% of its total assets in common stock. Market Overview: During the six-month period ending December 31, 1999, the U.S. stock market was characterized by: * a strong U.S. economy with subdued inflation * outperformance of growth stocks versus value stocks * investor preference for technology stocks Following the downturn in large- and smaller-cap stocks in the third quarter, U.S. equity indices from all market-capitalization segments posted impressive gains in the fourth quarter. Increased investor recognition of smaller-cap growth stocks -- especially technology-related issues -- lifted them to double-digit gains that outdistanced large-cap stocks. For example, the Russell 2000 Growth Index rose 33.4% and 43.1% in the fourth quarter and in 1999, respectively. Those returns outpaced the S&P 500 Index's gain of 14.9% and 21.0% for the same time periods. The tech-heavy Nasdaq Composite advanced 85.6% for the year. Despite the gains among technology stocks, relative PEs for smaller-cap stocks versus larger caps reached record lows in 1999. While the discount eroded during the later part of the year, smaller caps' relative PEs remain attractive. Amid continued strength in the US economy, the Federal Reserve Board raised short-term interest rates by a quarter-percentage point three times since June, reversing 1998's loose monetary policy. The interest-rate increases were aimed at combating inflationary pressures. Performance: For the one year ended December 31, 1999 the Fund's Class A shares, excluding sales charges, provided a total return of 89.97% compared to the Russell 2000 Growth Index which returned 43.09% for the same period. Portfolio Specifics: Stock selection in the technology sector was the primary contributor to the fund's outperformance versus the Russell 2000 Growth Index. Holdings in the commercial/industrial sector also had a positive impact on returns. Within the technology sector, stock selection in the software, telecommunications and semiconductor industries boosted performance in the period. Among the fund's top-performing holdings included Mercury Interactive, a manufacturer of computer network and web-based software. Legato Systems, a software manufacturer and Infospace.com, an Internet and online content provider, were also significant contributors to the fund's performance during the period. Market Outlook: The outlook for small-cap growth stocks remains encouraging given low inflation and steady economic growth in the United States. We continue to find attractive stocks meeting our strict investment criteria and remain confident that the consistent application of our philosophy will continue to reward investors with long-term capital appreciation. We are encouraged by robust corporate earnings growth in 1999 and expectations for solid results in 2000. 12 Portfolio Manager's Report PILGRIM SMALLCAP GROWTH FUND - -------------------------------------------------------------------------------- Average Annual Total Returns for the Periods Ended December 31, 1999 --------------------------------------------------- Since Inception Since Inception of Class A and C of Class B 1 Year 5 Year 12/27/93 5/31/95 ------ ------ -------- ------- Including Sales Charge: Class A (1) 79.04% 26.94% 21.74% -- Class B (2) 83.85% -- -- 28.04% Class C (3) 87.89% 27.70% 22.20% -- Excluding Sales Charge: Class A 89.97% 28.45% 22.94% -- Class B 88.85% -- -- 28.22% Class C 88.89% 27.70% 22.20% -- Russell 2000 Growth Index 43.09% 18.99% 15.12%(4) 18.76% The table above illustrates the total return of Pilgrim SmallCap Growth Fund against the Russell 2000 Growth Index. The Index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fee and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 2%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1 year return. (4) Since inception performance for index is shown form 12/31/93. Principal Risk Factor(s): In exchange for higher growth potential, stocks of smaller companies may entail greater price variability than those of larger companies. See accompanying index descriptions on page 40. 13 - ----------- U.S. Equity Funds - ----------- Portfolio PILGRIM BANK AND THRIFT FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: Carl Dorf, Senior Vice President and Senior Portfolio Manager, Steven L. Rayner, CFA, CPA, Equity Research Analyst; Julia Hamilton, Junior Research Analyst. Goal: The Bank and Thrift Fund seeks long-term capital appreciation with income as a secondary objective. The Fund invests at least 65% of its total assets in equity securities of national and state-chartered banks (other than money-center banks), thrifts, or their holding or parent companies, and in savings accounts of mutual thrifts that may allow the Fund to participate in stock conversions of the mutual thrift. Market Overview: Financial stocks continue to underperform the overall market. This sector has performed poorly for about two years following five excellent years of performance. Large cap stocks have outperformed the smaller cap names and in our opinion risk has not been factored into stock price performance but liquidity has. Big has been beautiful and the momentum style of investing has been in favor with the value style which we practice being out of favor. During this twelve-month period of time the following sectors, which we believe have above average risk, exhibited the strongest price performance in the financial sector: Money Center Banks, Stock Brokers and Credit Card Companies. We have little or no exposure to these areas and this has hurt our relative performance. The financial sectors that have been among the poorest performers this year were Regional Banks and Thrifts. By charter, we must have at least 65% of our Fund in these sectors. A slowdown in bank consolidation and recent concern over rising interest rates has contributed to the poor performance of the sector. Performance: For the one year ended December 31, 1999 the Fund's Class A shares, excluding sales charges, declined 18.84%. The S&P Major Regional Banks Index declined 14.26% and the NASDAQ 100 Financials Index declined 7.27%. During this same time frame the S&P 500 rose 21.04% and the Dow Jones Industrials increased 27.20%. Portfolio Specifics: The last twelve months' performance represents the most dismal period that I can recall since I started to manage the Fund in January of 1991. Part of this poor performance comes from the sector being out of favor, part from avoiding what I perceived as risk and part from some weak performance in our non-bank and thrift holdings. I have substantially increased the Fund's weighting in smaller cap names in anticipation of a pickup in bank consolidation. Late in calendar 1998 we started to see net outflows from the Fund that continued in 1999. This has forced us to be more active on the sell side and we have had above average success in choosing these candidates. We have continued to shift throughout the year into smaller cap bank and thrift names that, in our opinion, offer better value than their large cap brethren do and should benefit from an inevitable pickup in consolidation activity. This shifting hurt our performance in 1999 but should benefit us this year when consolidation picks up. Market Outlook: The fundamentals that effect the industry are still very good. The worsening of credit experience is coming from very favorable levels and is still very low and only being experienced on a selective basis. We have paid careful attention to credit quality in our stock selection and most of our holdings are not experiencing any significant deterioration. The market remains concerned that the Fed is not through raising interest rates. In fact, prevailing wisdom seems to believe that there might be another 75 basis point increase in 2000. Following this line of thinking, investors are now showing increased concern over the impact that this is having and will have on bank and thrift margins. Consolidation should pick up again this year and help bank valuations. I believe that the weakness in bank stock prices is delaying this since acquirers cannot afford to pay the same valuations that potential sellers saw their peers receive in the past. However, most deals are done for stock. Therefore, since the acquirers stock is now selling at lower valuations, boards hopefully will come to realize that even though the price/book and PE that they are being offered are lower than they could have received in the past, the real value may not be. When this comes to pass, consolidation should pick up. I believe that on a fundamental basis the price reaction has been overdone. As I have been saying for a long 14 Portfolio Manager's Report PILGRIM BANK AND THRIFT FUND - -------------------------------------------------------------------------------- time, earnings estimates that the street was carrying were too high and had to come down. They are. However, the banks and thrifts in our fund are still only selling at about 9.3 times estimated earnings for 2000. How much lower do they have to go? We believe that our Fund currently offers exceptional opportunity on both an absolute and a relative price basis at this time. Average Annual Returns for the Periods Ended December 31, 1999 -------------------------------------------- Since Inception of Class B 1 Year 5 Year 10 Year 10/17/97 ------ ------ ------- -------- Including Sales Charge: Class A (1) -23.50% 21.20% 15.70% -- Class B (2) -23.00% -- -- -6.74% Excluding Sales Charge: Class A -18.84% 22.64% 16.39% -- Class B -19.47% -- -- -5.73% S&P 500 Index 21.04% 28.51% 18.19% 23.94% S&P Major Regional Banks Index -14.26% 25.08% 17.42% 1.22% NASDAQ 100 Financial Index -7.27% 20.80% -- 0.78% The table above illustrates the total return of Pilgrim Bank and Thrift Fund against the S&P 500 Index and the S&P Major Regional Banks Index. In the table, the Fund is also compared to the NASDAQ 100 Financial Index. This index does not have 10 years of total return information available. The Indices have an inherent performance advantage over the Fund since they have no cash in their portfolio, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Prior to October 20, 1997, the Fund operated as a closed-end investment company. All performance information prior to this date reflects the historical expense levels of the Fund as a closed-end investment company without adjustment for the higher annual expenses of the Fund's Class A shares. Performance would have been lower if adjusted for these charges and expenses. Ten-year returns assume no participation in the 1992 rights offering and full participation in the 1993 rights offering, and reflect an additional investment of $3,639 into the fund. A simultaneous investment of the same amount is included in each index for comparative reasons. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 3%, respectively, for the 1 year and since inception returns. Principal Risk Factor(s): Because the Fund's portfolio is concentrated in the banking and thrift industry, it may be subject to greater risk than a portfolio that is not concentrated in one industry. See accompanying index descriptions on page 40. 15 - ------------- International Equity Funds - ------------- Portfolio PILGRIM WORLDWIDE GROWTH FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Lawrence S. Speidell, CFA, Partner, Director of Global/Systematic Portfolio Management and Research; Andrew B. Gallagher, Partner, Portfolio Manager; Loretta Morris, Partner, Portfolio Manager; Randall Kahn, CFA, Portfolio Manager; Pedro V. Marcal, Partner, Portfolio Manager; Jason Campbell, Portfolio Manager; Melisa Grigolite, Portfolio Manager; Jessica Goncalves, Portfolio Manager; Ernesto Ramos, Portfolio Manager; Christopher Angioletti, Investment Analyst; Jon Borchardt, Investment Analyst; John Bracken, Jr., Investment Analyst; Theodora Jamison, Investment Analyst; David Lopez, Investment Analyst; John Mazur, Investment Analyst; Andrew Parmet, Investment Analyst; Jacob Pozharny, Investment Analyst; Rolf Schild, Investment Analyst. Goal: The Worldwide Growth Fund seeks to maximize long-term capital appreciation by investing at least 65% of its total assets in securities of issuers located in at least three different countries, one of which may be the U.S. Market Overview: A favorable mix of themes propelled equity markets worldwide in the six-month period ending December 31, 1999: a strong U.S. economy with subdued inflation; global economic recoveries; robust growth in technology and telecommunications; brisk pace of mergers and acquisitions in Europe; corporate restructuring and the resurgence of economic growth in Japan; and continued implementation of structural reforms in non-Japan Asia. Amid the pick-up in economic growth in many countries, central banks in the United States and Europe moved to increase interest rates to combat potential inflationary pressures during the fourth quarter, reversing 1998's loose monetary policy. In November, the European Central Bank raised interest rates by 50 basis points for the 11-member Economic Monetary Union. Policymakers in the United Kingdom, Australia, Denmark, Sweden and the United States also hiked rates in the period. In the United States, strong returns among technology stocks drove equity prices higher for most of the six-month period ending December 31. The S&P 500 Index rose 7.7% while the Nasdaq Composite Index rose 51.5%. Developed non-U.S. markets also posted gains, with the MSCI EAFE Index rising 22.1% in the period. For the first time since 1994, the EAFE Index outperformed the S&P 500 Index in 1999, rising 27.0% versus 21.0% for the S&P 500. Returns among emerging markets were even better, with the MSCI Emerging Markets Free Index rising 66.2% for the year. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 83.52% compared to 23.56% for the MSCI World Index for the same period. Portfolio Specifics: Stock selection in the United States and Japan was the primary driver of the fund's outperformance in the period. Significant gains among holdings in the technology, commercial/industrial and health technology sectors also contributed to the fund's returns. At year end, our weighting in the United States was approximately 45.3%, 30.2% in Europe and 17.3% in Japan. We continued to uncover promising opportunities on a company-by-company basis in these areas. Market Outlook: The long-term outlook for worldwide investing remains promising. In the United States, the potent combination of robust economic growth and tame inflation creates an ideal investment environment. In Japan and the rest of Asia, as well as in Europe, significant changes in the areas of structural reform, corporate restructuring and consolidation are helping companies with a competitive advantage thrive. Increased distribution capabilities brought on by the technology revolution, especially with the growth of the Internet, also contribute to brighter prospects for companies worldwide. These themes present exciting opportunities for diligent stock pickers. 16 Portfolio Manager's Report PILGRIM WORLDWIDE GROWTH FUND - -------------------------------------------------------------------------------- Average Annual Total Returns for the Periods Ended December 31, 1999 ----------------------------------------------------- Since Inception Since Inception of Class A and C of Class B 1 Year 5 Year 4/19/93 5/31/95 ------ ------ ------- ------- Including Sales Charge: Class A (1) 72.95% 30.39% 24.78% -- Class B (2) 77.26% -- -- 32.79% Class C (3) 81.35% 31.11% 25.09% -- Excluding Sales Charge: Class A 83.52% 31.95% 25.88% -- Class B 82.26% -- -- 32.95% Class C 82.35% 31.11% 25.09% -- MSCI World Index 23.56% 18.09% 14.87% 17.77% The table above illustrates the total return of Pilgrim Worldwide Growth Fund against the Morgan Stanley Capital International (MSCI) World Index. The Index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fees and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75% (2) Reflects deduction of the Class B deferred sales charge of 5% and 2%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1 year return. Principal Risk Factor(s): International investing does pose special risks, including currency fluctuation, economic and political risks not found in investments that are solely domestic. The Fund may invest in companies located in countries with emerging securities markets when the sub-advisor believes they present attractive invesment opportunities. Risks of foreign investing are generally intensified for investments in emerging markets. See accompanying index descriptions on page 40. 17 - ------------- International Equity Funds - ------------- PILGRIM INTERNATIONAL Portfolio CORE GROWTH FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Lawrence S. Speidell, CFA, Partner, Portfolio Manager; Loretta Morris, Partner, Portfolio Manager; Randall Kahn, CFA, Portfolio Manager; Pedro V. Marcal, Partner, Portfolio Manager; Jason Campbell, Portfolio Manager; Melisa Grigolite, Portfolio Manager; Jessica Goncalves, Portfolio Manager; Ernesto Ramos, Portfolio Manager; Christopher Angioletti, Investment Analyst; Jon Borchardt, Investment Analyst; John Bracken, Jr., Investment Analyst; Investment Analyst; Theodora Jamison, Investment Analyst; David Lopez, Investment Analyst; John Mazur, Investment Analyst; Andrew Parmet, Investment Analyst; Jacob Pozharny, Investment Analyst; Rolf Schild, Investment Analyst. Goal: The International Core Growth Fund seeks maximum long-term capital appreciation through investments primarily in companies located outside of the United States and whose capitalizations are in the top 75% of publicly-traded companies in their countries. Market Overview: A mixture of themes propelled international equity markets in the fourth quarter: a strong US economy with subdued inflation; global economic recoveries; robust growth in technology and telecommunications; brisk pace of mergers and acquisitions in Europe; corporate restructuring and the resurgence of economic growth in Japan; and continued implementation of structural reforms in non-Japan Asia. Amid the pick-up in economic growth in many countries, central banks in the United States and Europe moved to increase interest rates to combat potential inflationary pressures during the fourth quarter, reversing 1998's loose monetary policy. In November, the European Central Bank raised interest rates by 50 basis points for the 11-member Economic Monetary Union. Policymakers in the United Kingdom, Australia, Denmark, Sweden and the United States also hiked rates in November. Developed non-US markets posted gains, with the MSCI EAFE Index rising 22.1%. For the first time since 1994, the EAFE Index outperformed the S&P 500 Index in 1999, rising 25.0% versus 21.0% for the S&P 500. Returns among emerging markets were even better, with the MSCI Emerging Markets Free Index rising 66.2% for the year. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 66.69% compared to the MSCI EAFE Index, which returned 25.27% for the same period. Portfolio Specifics: Stock selection in Japan was the primary contributor to the fund's outperformance versus the Index in the period. Stock selection in the United Kingdom, the Netherlands, Finland, Italy and South Korea also boosted returns. Holdings in technology were the top contributors to performance. Holdings in the commercial/industrial, retail trade and consumer services sectors also contributed to returns. At year end, we had an approximate 56.0% weighting in Europe from 54.7% at the end of June, as we continued to uncover attractive investment opportunities on a company-by-company basis in the region. We reduced our weighting in Japan in the period but maintained a slight overweight position of 28.8% versus 27.4% for the Index. Market Outlook: The long-term outlook for international investing remains promising. In Japan and the rest of Asia, as well as in Europe, significant changes in the areas of structural reform, corporate restructuring and consolidation are helping companies with a competitive advantage thrive. Increased distribution capabilities brought on by the technology revolution, especially with the growth of the Internet, should also contribute to brighter prospects for companies worldwide. These themes present exciting opportunities for diligent stock pickers. 18 Portfolio PILGRIM INTERNATIONAL Manager's Report CORE GROWTH FUND - -------------------------------------------------------------------------------- Average Annual Total Returns for the Periods Ended December 31, 1999 ------------------------- Since Inception 1 Year 2/28/97 ------ ------- Including Sales Charge: Class A (1) 57.13% 32.97% Class B (2) 60.45% 34.36% Class C (3) 64.56% 34.74% Excluding Sales Charge: Class A 66.69% 35.76% Class B 65.45% 34.97% Class C 65.56% 34.74% MSCI EAFE Index 25.27% 15.83% The table above illustrates the total return of Pilgrim International Core Growth Fund against the Morgan Stanley Capital International Europe, Australia, Far East Index. The Index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fee and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 3%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1 year return. Principal Risk Factor(s): International investing does pose special risks, including currency fluctuation, economic and political risks not found in investments that are solely domestic. The Fund may invest in companies located in countries with emerging securities markets when the sub-advisor believes they present attractive invesment opportunities. Risks of foreign investing are generally intensified for investments in emerging markets. See accompanying index descriptions on page 40. 19 - ------------- International Equity Funds - ------------- PILGRIM INTERNATIONAL Portfolio SMALLCAP GROWTH FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Lawrence S. Speidell, CFA, Partner, Portfolio Manager; Loretta Morris, Partner, Portfolio Manager; Randall Kahn, CFA, Portfolio Manager; Pedro V. Marcal, Partner, Portfolio Manager; Jason Campbell, Portfolio Manager; Jessica Goncalves, Portfolio Manager; Melisa Grigolite, Portfolio Manager; Ernesto Ramos, Ph.D., Portfolio Manager; Christopher Angioletti, Investment Analyst; Jon Borchardt, Investment Analyst; John Bracken, Jr., Investment Analyst; Investment Analyst; Theodora Jamison, Investment Analyst; David Lopez, Investment Analyst; John Mazur, Investment Analyst; Andrew Parmet, Investment Analyst; Jacob Pozharny, Investment Analyst; Rolf Schild, Investment Analyst. Goal: The International Small Cap Growth Fund seeks to maximize long-term capital appreciation through investing primarily in companies located outside the United States corresponding to the lower 25% market capitalization within each country with a maximum market cap of $5 billion. Market Overview: A mixture of themes propelled non-US equity markets in the fourth quarter: a strong US economy with subdued inflation; global economic recoveries; robust growth in technology and telecommunications; brisk pace of mergers and acquisitions in Europe; corporate restructuring and the resurgence of economic growth in Japan; and continued implementation of structural reforms in non-Japan Asia. Amid the pick-up in economic growth in many countries, central banks in the United States, Europe and Australia moved to increase interest rates to combat potential inflationary pressures in the fourth quarter, reversing 1998's loose monetary policy. International small caps benefited from the favorable investment environment around the world, presenting exciting opportunities for diligent stock pickers. For example, small caps within the Europe, Australasia, Far East (EAFE) region advanced 17.6% year to date through December 31, 1999, as measured by the Morgan Stanley Capital International (MSCI) EAFE Index. Among the biggest gainers for the year was Singapore, with the MSCI Singapore Small Cap Index rising 68.4% in 1999. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sale charges, gained 121.9% versus 23.2% for the Salomon EPAC/EMI (Europe Pacific Australasia Composite Extended Market Index). Portfolio Specifics: Stock selection and overweighting in Japan were major drivers of the fund's outperformance. Stock selection in the United Kingdom and France also boosted returns. Our holdings in technology were the most significant contributors to performance during the period as we continued to find stocks with strong fundamentals in the sector. Holdings in the commercial/industrial, utilities and financial services sectors also bolstered performance. At year end, we significantly increased our weighting in Europe, from 47.0% at the end of June to 57.3% at year end. We continued to identify strong investment candidates in the region based on our bottom-up stock selection approach. We trimmed our exposure in Japan as we uncovered better opportunities in Europe during the period. However, we maintained an overweight position in Japan versus the Salomon EPAC/EMI Index. Market Outlook: A variety of factors contribute to our optimism regarding the outlook for international small-cap investing: expectations for a continued pick-up in economic growth in many countries; corporate restructuring; privatization and deregulation; and the continued brisk pace of mergers and acquisitions. In this environment, our bottom-up search for stocks successfully adapting to change continues to uncover promising investment opportunities 20 Portfolio PILGRIM INTERNATIONAL Manager's Report SMALLCAP GROWTH FUND - -------------------------------------------------------------------------------- Average Annual Total Returns for the Periods Ended December 31, 1999 -------------------------------------------- Since Inception of Class B 1 Year 5 Year 5/31/95 ------ ------ ------- Including Sales Charge: Class A (1) 109.14% 31.89% -- Class B (2) 115.22% -- 35.89% Class C (3) 119.11% 32.30% -- Excluding Sales Charge: Class A 121.93% 33.46% -- Class B 120.22% -- 36.04% Class C 120.11% 32.30% -- Salomon EPAC EM Index 23.19% 7.08% 7.64% The table above illustrates the total return of Pilgrim International SmallCap Growth Fund against the Salomon EPAC Extended Market Index. The Index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fee and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 2%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1 year return. Principal Risk Factor(s): International investing does pose special risks, including currency fluctuation, economic and political risks not found in investments that are solely domestic. In exchange for higher growth potential, stocks of smaller companies may entail greater price variability than those of larger companies. The Fund may invest in companies located in countries with emerging securities markets when the sub-adviser believes they present attractive investment opportunities. Risks of foreign investing are generally intensified for investments in emerging markets. See accompanying index descriptions on page 40. 21 - ------------- International Equity Funds - ------------- Portfolio PILGRIM EMERGING COUNTRIES FUND Manager's Report - -------------------------------------------------------------------------------- Pilgrim Management Team: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Lawrence S. Speidell, CFA, Partner, Director of Global/Systematic Portfolio Management and Research; Pedro V. Marcal, Partner, Portfolio Manager; Ernesto Ramos, Ph.D., Portfolio Manager; Jessica Goncalves, Portfolio Manager; Jason Campbell, Portfolio Manager; Theodora Jamison, Investment Analyst; John Mazur, Investment Analyst; Andrew Parmet, Investment Analyst. Goal: The Emerging Countries Fund seeks to provide long-term capital appreciation through investing in companies of developing countries around the world. Market Overview: Devastating earthquakes in Turkey and Taiwan, as well as fears of higher interest rates in the United States sent equity markets in many emerging countries lower in the third quarter. However, investor interest in the asset class returned in the fourth quarter amid attractive fundamentals. Evidence of stronger consumer demand, rising exports and continued economic improvement among the world's emerging countries contributed to strong returns during the six-month period ending December 31, 1999. Gains among technology stocks, especially within the telecommunications industry, also bolstered stock market performance in a number of the world's emerging markets. Stock Exchanges in Asia, Latin America and the Europe, Middle East and Africa (EMEA) region delivered spectacular gains in 1999, as measured in U.S. dollars. Improving economic growth in Japan and Europe and the U.S. economy's continued robust growth contributed to strong performance among emerging markets. In Latin America, improving economic fundamentals and increasing earnings growth in 1999 were somewhat overshadowed by the negative effects of rising U.S. interest rates on the region and concerns regarding the political environment. Markets in Emerging European countries benefited from the acceleration in economic growth in many developed European economies. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 75.80% compared to 63.70% for the MSCI EMF Index for the same period. Portfolio Specifics: Stock selection in India, South Korea and Mexico significantly bolstered performance in the period. Holdings in the technology, commercial/industrial and consumer services sectors were the top contributors to returns. At year end, we had an approximate 39.3% weighting in Asia, 24.0% in Latin America and 26.8% in Emerging Europe. We slightly trimmed our weighting in Asia and increased our positions in Emerging Europe and Latin America. Among the fund's best-performing holdings were Infosys Technologies and Samsung Electronics. India-based Infosys is a contract software programmer whose client list includes blue-chip companies in the United States. Samsung, based in S. Korea, is the world's largest maker of dynamic random access memory (DRAM) chips. Both companies are expected to benefit from the robust growth in technology worldwide. Market Outlook: The dynamic nature of emerging countries underscores the importance of individual security selection. With an investment philosophy focused on identifying individual companies successfully adapting to change, we believe we are well positioned to distinguish the winners from the laggards and extend our long-term performance excellence in the world's emerging markets. 22 Portfolio Manager's Report PILGRIM EMERGING COUNTRIES FUND - -------------------------------------------------------------------------------- Average Annual Total Returns for the Periods Ended December 31, 1999 ---------------------------------------------- Since Inception Since Inception of Class A and C of Class B 1 Year 11/28/94 5/31/95 ------ -------- ------- Including Sales Charge: Class A (1) 65.74% 12.58% -- Class B (2) 69.71% -- 14.66% Class C (3) 73.71% 12.89% -- Excluding Sales Charge: Class A 75.80% 13.89% -- Class B 74.71% -- 14.93% Class C 74.71% 12.89% -- MSCI EMF Index 63.70% -1.77% 0.84% The table above illustrates the total return of Pilgrim Emerging Countries Fund against the Morgan Stanley Capital International Emerging Markets Free (MSCI EMF) Index. The Index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fee and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 2%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1 year return. Principal Risk Factor(s): International investing does pose special risks, including currency fluctuation, economic and political risks not found in investments that are solely domestic. Risks of foreign investing are generally intensified for investments in emerging markets. See accompanying index descriptions on page 40. 23 - ------------- International Equity Funds - ------------- Portfolio PILGRIM ASIA-PACIFIC EQUITY FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: David Stuart, Regional Chief Investment Officer; Man Wing Chung, Chief Investment Officer, Asia ex-Japan; Marcus Pakenham, Director; Richard Wong, Associate Director; Simon Yap, Associate Director; Seng Keong Wan, Senior Investment Manager; Leilani Lam, Senior Investment Manager; Vernon Yu, Investment Manager; Sebestian Chia, Investment Manager; Sherwin Soo, Investment Manager; Losa Mak, Investment Manager. Goal: The Asia-Pacific Equity Fund seeks long-term capital appreciation by investing in equity securities listed on stock exchanges in the Asia-Pacific region or issued by companies based in this region. Market Overview: During the review period ending December 31, 1999, the Asian stock markets put up mixed performances. Most of the gains were reported during the latter part of year on the back of buoyant liquidity and pre-Y2K optimism. The larger markets were major beneficiaries of foreign money pouring into Asia, particularly in sectors/stocks that were telecom, IT or internet-related. Hong Kong was the best performer, up 25% on the Hang Seng Index in the third and fourth quarters of 1999, driven by positive news including Hutchinson's sale of Orange, the confirmation of the Disney Theme Park, and China's entry into the WTO. Furthermore, Hong Kong was perceived to be a safe haven over the millennium. Korea also made gains on abundant liquidity, Moody's upgrade of five banks, success of the W20 trillion Bond Market Stabilization Fund, and S&P's upgrade of Korea's sovereign rating. Singapore was helped by its GDP upward revision, successful dual listing of Chartered Semiconductor, regional acquisition by DBS, and SIA's purchase of a 49% stake in the UK-incorporated Virgin Airlines. Indonesia eased initially due to political unrest and the "Baligate" scandal, but the index rebounded on domestic liquidity inflows with declining interest rates and political stability. MSCI's re-inclusion of Malaysia offered some hope of new stability. But there was a steady sell-down of the market as investors took advantage of the tax-free conversion of the principal sum to exit the market with the lifting of controls. Taiwan was hit by one of the most serious earthquakes in 100 years, and investors were concerned over the ramifications. The index was also affected by MSCI's decision to postpone inclusion of Taiwan's weighting in its global indices from February to May 31 and in stages. In the third and fourth quarters of 1999, Thailand eased 8% on the SET index on concerns over the weak operating profitability of the banking system, and unexpected capital-raising plans announced by some companies despite a strong rally in the fourth quarter. Philippines, down 14% on the Composite index during the period under review, was the weakest of the Asian markets as investors' confidence was worsened by disappointing economic numbers and negative suggestions on the return of cronyism. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 74.41% compared to 59.40% for the Morgan Stanley Capital International All Countries Far East Free ex-Japan Index (the "MSCI"). Portfolio Specifics: Correct overweight in larger markets such as HK and Singapore, which benefited from the flush of international liquidity into Y2K havens, lifted the fund's performance. Correct bias towards high-tech, electronics, or internet-related concept sectors also helped. Looking ahead, country allocation will continue bias towards North Asian markets such as Taiwan and Korea. Taiwan's strong export growth and healthy corporate earnings should underpin its equity markets, while Korea will benefit from the government's desire to maintain its currently loose monetary policy. In terms of stock selection, focus will be on restructuring concepts and new "growth-oriented" issues such as internet or IT-related companies. Market Outlook: With Y2K behind us, investors should now be able to re-weigh their positions in accordance with the fundamental picture, which should augur well for Asia. In the short term, the markets will be susceptible to profit taking and interest rate driven volatility, but the long-term outlook remains positive. Global growth should provide a favorable backdrop to equities, while domestic restructuring and reinvention will result in better returns to shareholders. We view Asia as attractive among global equities. 24 Portfolio Manager's Report PILGRIM ASIA-PACIFIC EQUITY FUND - -------------------------------------------------------------------------------- Average Annual Total Returns for the periods ended December 31, 1999 ------------------------------------ Since Inception 1 year 3 year 9/1/95 ------ ------ ------ Including Sales Charge: Class A (1) 64.46% -7.90% -3.80% Class B (2) 68.00% -7.79% -3.72% Class M (3) 67.37% -7.78% -3.86% Excluding Sales Charge: Class A 74.41% -6.05% -2.48% Class B 73.00% -6.84% -3.27% Class M 73.36% -6.68% -3.08% MSCI Far East Free Ex-Japan Index 59.40% -6.98% -2.14% The table above illustrates the total return of Pilgrim Asia-Pacific Equity Fund against the MSCI Far East Ex-Japan Index. The index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charge and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of the maximum sales load. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fee and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "foward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75% (2) Reflect deduction of the Class B deferred sales charge of 5%, 3% and 2%, respectively, for the 1 year, 3 year and since inception returns. (3) Reflects deduction of the Class M maximum sales charge of 3.50% Principal Risk Factor(s): Currency fluctuations, economic and political risks of foreign investing. There are also risks associated with investing in a specialized regional fund. Currency devaluation in any one country may have a significant effect on the entire region. Increased political or social unrest in some or all Asian countries could cause further economic and market uncertainty. See accompanying index descriptions on page 40. 25 - ------ Income Funds - ------ PILGRIM GOVERNMENT Portfolio SECURITIES INCOME FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management: Robert K. Kinsey, Vice President and Senior Portfolio Manager Goals: The Government Securities Income Fund seeks high current income, consistent with liquidity and preservation of capital, by investing in securities issued or guaranteed by the U.S. Government and certain of its agencies and instrumentalities. Bond Market Overview: 1999 was a tough year for bonds by any measure: the thirty year Treasury posted its worse return since 1974 while the Lehman Aggregate Index experienced returns nearly as bad as 1994. The summer months witnessed a spread rout nearly as bad as 1998's debacle. Liquidity returned to the investment grade arena with a vengeance during the 4th Quarter. Spreads tightened across the board as managers re-discovered an appetite for risk, and mortgages posted healthy relative returns. However, a very robust domestic economy and Fed tightenings pushed rates higher. By mid December Y2K concern drained liquidity from the bond market as both the buy-side and the sell-side shifted into hibernation. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, declined 1.17%, compared to an increase of 1.93% for the Lehman Government/Mortgage Index and 0.49% for the Lehman Intermediate Treasury Index. Portfolio Specifics: The duration of the fund remained short of the Lehman Mortgage Index, yet longer than the Lehman Intermediate Treasury Index in order to maintain our dividend. Happily our duration was shorter than many of our competitors during a period of rising rates. The fund continues to be concentrated in mortgage backed securities; however, we have added FNMA bonds collateralized by multi-family properties and non-callable agencies at compelling levels. Super premium mortgages were reduced to a de minimis position early in the quarter. Market Outlook: We are poised to shorten our duration with the onset of the new year as we anticipate further central bank tightening here and abroad in 2000. The fund continues to offer a handsome yield advantage over Treasuries. Owing to our restrictive guidelines, our ongoing strategy is to provide the best dividend possible within the context of the market and with few, if any negative surprises. Given the fact that mortgage backed securities offer only fair value, we will continue to exploit market inefficiencies in the multi-family sector of the government market while avoiding large duration bets. 26 Portfolio PILGRIM GOVERNMENT Manager's Report SECURITIES INCOME FUND - --------------------------------------------------------------------------------
Average Annual Total Returns for the Periods Ended December 31, 1999 -------------------------------------------------------------- Since Inception Since Inception of Class B and M of Class C 1 Year 5 Year 10 Year 7/17/95 6/11/99 ------ ------ ------- ------- ------- Including Sales Charge: Class A (1) -5.86% 4.73% 5.14% -- -- Class B (2) -6.56% -- -- 3.18% -- Class C (3) -- -- -- -- 0.04% Class M (4) -4.86% -- -- 3.08% -- Excluding Sales Charge: Class A -1.17% 5.75% 5.66% -- -- Class B -1.92% -- -- 3.55% -- Class C -- -- -- -- 1.02% Class M -1.68% -- -- 3.86% -- Lehman Government/Mortgage Index 1.93% 8.08% 7.87% 6.63%(5) 2.27% Lehman Intermediate Treasury Index 0.49% 6.93% 7.09% 5.77% 1.15%
The table above illustrates the total return of Pilgrim Government Securities Income Fund against the Lehman Government/Mortgage Index and the Lehman Intermediate Treasury Index. The Indices have an inherent performance advantage over the Fund since they have no cash in their portfolios, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fee and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 4.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 2%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the since inception return. (4) Reflects deduction of the maximum Class M sales charge of 3.25%. (5) Since inception performance is shown from 7/31/95. Principal Risk Factor(s): Exposure to financial, market and interest rate risks and prepayment risk on mortgage-related securities. Fluctuations in the value of the Fund's shares can be expected in response to changes in interest rates. The value of an investment in the Fund is not guaranteed and will fluctuate. See accompanying index descriptions on page 40. 27 - ------ Income Funds - ------ Portfolio PILGRIM STRATEGIC INCOME FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: Robert K. Kinsey, Vice President and Senior Portfolio Manager; Kevin Mathews, Senior Vice President and Senior Portfolio Manager. Goals: Pilgrim Strategic Income Fund seeks maximum total return by investing primarily in debt securities issued by U. S. and foreign entities, as well as U. S. and foreign governments and their agencies and instrumentalities, that are rated investment grade by a nationally recognized statistical rating agency, or of comparable quality if unrated. Up to 40% of the fund's assets may be invested in high yield securities rated below investment grade. Bond Market Overview: 1999 was a tough year for bonds by any measure: The summer months witnessed a spread rout nearly as bad as 1998's debacle. Liquidity returned to the investment grade arena with a vengeance during the 4th Quarter. Spreads tightened across the board as managers re-discovered an appetite for risk, and mortgages posted healthy relative returns. However, a very robust domestic economy and Fed tightenings pushed rates higher. By mid December Y2K concern drained liquidity from the bond market as both the buy-side and the sell-side shifted into hibernation. At the end of 1999, fixed income managers stepped back to assess the damage. The thirty year Treasury posted its worst return since 1974 while the Lehman Aggregate Index experienced returns nearly as bad as 1994. The high yield market, in contrast, escaped the year in better shape. High yield spreads in the second half of the year remained relatively unchanged but the higher coupon helped to offset the decline in prices. High yield managers were rewarded for being risk adverse in the second half of 1999 as high yield defaults increased. Defaults were driven by company specific issues and did not reflect upon the overall health of the high yield market. The Merrill Lynch Triple-C/Double-C/Single-C index underperformed the Single-B index by 10.6% for the six months ending December 31, 1999. A total of 119 new issues came to the market in the second half of 1999, representing $35 billion dollars. Outflows from mutual funds caused high yield demand and issuance to be below last year's pace. New issuance was dominated by large deals in benchmark high yield names such as Allied Waste, Nextel, Nextlink, and Global Crossing to name a few. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, declined 1.16% compared to the Lehman Brothers Aggregate Index which was down 0.82%. Portfolio Specifics: The duration of the Fund remained short of the Lehman Aggregate Index up until December at which time we adopted a neutral stance. As a rule the last few weeks of any given year are a perilous time to stray too far away from a benchmark's duration. We exploited the year-end drought in liquidity by adding collateralized mortgage backed securities, some puttable paper, and other corporate paper at compelling levels. In the high yield portion of the Fund we continue to look for smaller positions to eliminate and consolidate with existing holdings. The focus of the high yield portfolio has been on the Communications sector, and secondarily on Media and Cable credits. The average credit rating of the high yield portion is Single-B which we are comfortable with given our belief that the economy will continue to grow without overheating, and that inflation will remain subdued. Our efforts in the coming months will be focused on those issuers that will benefit from the continuing demand for increased bandwidth in Communications by both consumers and business. The high yield portion of the Fund will continue to be fully invested as the market looks attractively priced. Market Outlook: We are poised to shorten our duration with the onset of the new year as we anticipate further central bank tightening here and abroad in 2000. The high grade portion of the Fund is heavily overweighted in spread product and we have added less-liquid, lower quality names in anticipation of their outperformance in the first quarter of 2000. Mortgage backed securities appear to only offer fair value at this juncture, and we are close to neutral to the Lehman Aggregate Index vis a vis this sector. The FOMC has worked diligently to maintain steady, non-inflationary growth. In another month, the U.S. economy will surpass the 106 month record for the longest economic expansion ever. There is a high 28 Portfolio Manager's Report PILGRIM STRATEGIC INCOME FUND - -------------------------------------------------------------------------------- probability that the FOMC will raise the Federal Funds rate further in the first half of 2000. The purpose of the increase(s) will be to moderate economic growth and to prevent any rise in inflation. If the FOMC has continued success in maintaining non-inflationary growth, interest rates should stabilize. An environment of stable interest rates and moderate inflation should prove positive for high yield bonds. Average Annual Total Returns for the Periods Ended December 31, 1999 ---------------------------- Since Inception 1 Year 7/27/98 Including Sales Charge: Class A (1) -5.83% -1.74% Class B (2) -6.15% -1.29% Class C (3) -2.46% 1.31% Excluding Sales Charge: Class A -1.16% 1.65% Class B -1.50% 1.31% Class C -1.53% 1.31% Lehman Brothers Aggregate Index -0.82% 2.37% The table above illustrates the total return of Pilgrim Strategic Income Fund against the Lehman Brothers Aggregate Index. The Index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fee and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 4.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 4%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00%. Principal Risk Factor(s): High yield bonds have exposure to financial, market and interest rate risks. High yields reflect the higher credit risks associated with certain lower rated securities in the Fund's portfolio, and in some cases, the lower market prices for those instruments. The Fund's investments in mortgage-related securities may entail prepayment risk. The Fund may invest up to 30% of its total assets in securities payable in foreign currencies. International investing does pose special risks, including currency fluctuation and political risks not found in domestic investments. See accompanying index descriptions on page 40. 29 - ------ Income Funds - ------ Portfolio PILGRIM HIGH YIELD FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management: Kevin Mathews, Senior Vice President and Senior Portfolio Manager Goals: The High Yield Fund seeks to provide a high level of current income, with capital appreciation as a secondary objective, by investing in high yield debt securities. Market Overview: The second half of 1999 was a continuation of the trends experienced in the first half of the year. The economy continued to show strong growth, inflation remained subdued and interest rates continued their upward trend. The Federal Open Market Committee (FOMC) stepped in during the second half of the year by raising the Federal Funds Rate from 4.75 to 5.50%. The FOMC acted on the perception that economic growth was too strong and that if left unchecked, it would ultimately result in rising inflation. At the end of 1999, fixed income managers stepped back to assess the damage. The thirty year Treasury posted its worst return since 1974 while the Lehman Aggregate Index experienced returns nearly as bad as 1994. The high yield market, in contrast, escaped the year in better shape. High yield spreads in the second half of the year remained relatively unchanged but the higher coupon helped to offset the decline in prices. High yield managers were rewarded for being risk adverse in the second half of 1999 as high yield defaults increased. Defaults were driven by company specific issues and did not reflect upon the overall health of the high yield market. The Merrill Lynch Triple-C/Double-C/Single-C index underperformed the Single-B index by 10.6% for the six months ending December 31, 1999. A total of 119 new issues came to the market in the second half of 1999, representing $35 billion dollars. Outflows from mutual funds caused high yield demand and issuance to be below last year's pace. New issuance was dominated by large deals in benchmark high yield names such as Allied Waste, Nextel, Nextlink, and Global Crossing to name a few. Performance: For the one year ended December 31, 1999, the Fund Class A shares, excluding sales charges, declined 1.13% compared to the Lehman Brothers High Yield Index, an unmanaged index of high yield bonds, which returned 2.39%, and the First Boston High Yield Index, an unmanaged index of high yield bonds, which returned 3.28% for the same period. Portfolio Specifics: The Fund held overweighted positions in the Communications sector, including the wireless, wireline, and internet subsectors, which helped performance for the six months. Underperforming issues in the Manufacturing & Electronics sectors adversely impacted returns for the period. Overall, the Fund's management feels the credit quality of the portfolio is good and positioned for outperformance in 2000. Portfolio cash levels have been held down as we expect the market to perform well. Consistent with our goal of managing a stable dividend fund with an emphasis on domestic cash pay issues, the Fund's management has been taking the opportunity to consolidate positions. Our avoidance of emerging market and foreign issues, while helping performance in past periods, hurt performance in the last six months as these markets rebounded significantly. Average credit quality was held at Single-B as our expectation of continued economic growth with low inflation in the domestic economy was proven correct. Market Outlook: The FOMC has worked diligently to maintain steady, non-inflationary growth. In another month, the U.S. economy will surpass the 106 month record for the longest economic expansion ever. There is a high probability that the FOMC will raise the Federal Funds rate further in the first half of 2000. The purpose of the increase(s) will be to moderate economic growth and to prevent any rise in inflation. If the FOMC has continued success in maintaining non-inflationary growth, interest rates should stabilize. An environment of stable interest rates and moderate inflation should prove positive for high yield bonds. 30 Portfolio Manager's Report PILGRIM HIGH YIELD FUND - --------------------------------------------------------------------------------
Average Annual Total Returns for the Periods Ended December 31, 1999 --------------------------------------------------------------------------- Since Inception Since Inception of Class B and M of Class C 1 Year 5 Year 10 Year 7/17/95 5/27/99 ------ ------ ------- ------- ------- Including Sales Charge: Class A (1) -5.86% 7.44% 8.56% -- -- Class B (2) -6.35% -- -- 5.72% -- Class C (3) -- -- -- -- -3.14% Class M (4) -4.92% -- -- 5.51% -- Excluding Sales Charge: Class A -1.14% 8.49% 9.09% -- -- Class B -1.89% -- -- 6.05% -- Class C -- -- -- -- -2.21% Class M -1.68% -- -- 6.31% -- First Boston High Yield Index 3.28% 9.07% 11.06% 7.43%(5) 0.05% Lehman High Yield Index 2.39% 9.31% 10.72% 7.41% -0.02%
The table above illustrates the total return of Pilgrim High Yield Fund against the First Boston High Yield Index and the Lehman High Yield Index. The Indices have an inherent performance advantage over the Fund since they have no cash in their portfolio, impose no sales charges and incur no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fee and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 4.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 2%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the since inception return. (4) Reflects deduction of the maximum Class M sales charge of 3.25%. (5) Since inception return from 7/31/95. Principal Risk Factor(s): Exposure to financial, market and interest rate risks. Higher yields reflect the higher credit risks associated with certain lower rated securities in the Fund's portfolio, and in some cases, the lower market prices for those instruments. See accompanying index descriptions on page 40. 31 - ------ Income Funds - ------ Portfolio PILGRIM HIGH YIELD FUND II Manager's Report - -------------------------------------------------------------------------------- Portfolio Management: Kevin Mathews, Senior Vice President and Senior Portfolio Manager Goals: The High Yield Fund II seeks to provide a high level of current income and capital growth by investing in high yield debt securities. Market Overview: The second half of 1999 was a continuation of the trends experienced in the first half of the year. The economy continued to show strong growth, inflation remained subdued and interest rates continued their upward trend. The Federal Open Market Committee (FOMC) stepped in during the second half of the year by raising the Federal Funds Rate from 4.75 to 5.50%. The FOMC acted on the perception that economic growth was too strong and that if left unchecked, it would ultimately result in rising inflation. At the end of 1999, fixed income managers stepped back to assess the damage. The thirty year Treasury posted its worst return since 1974 while the Lehman Aggregate Index experienced returns nearly as bad as 1994. The high yield market, in contrast, escaped the year in better shape. High yield spreads in the second half of the year remained relatively unchanged but the higher coupon helped to offset the decline in prices. High yield managers were rewarded for being risk adverse in the second half of 1999 as high yield defaults increased. Defaults were driven by company specific issues and did not reflect upon the overall health of the high yield market. The Merrill Lynch Triple-C/Double-C/Single-C index underperformed the Single-B index by 10.6% for the six months ending December 31, 1999. A total of 119 new issues came to the market in the second half of 1999, representing $35 billion dollars. Outflows from mutual funds caused high yield demand and issuance to be below last year's pace. New issuance was dominated by large deals in benchmark high yield names such as Allied Waste, Nextel, Nextlink, and Global Crossing to name a few. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 5.99% compared to the Lehman Brothers High Yield Index which returned 2.39%. Portfolio Specifics: The Fund outperformed due to a large concentration in the Communications sector. The best performing credits were those on the leading edge of telecommunication technology. These include issuers that provide digital subscriber lines, or DSL, (high bandwidth internet access) to offices and homes throughout the country. Investments have also been made in providers of wireless voice and internet/data connectivity to office buildings and companies that provide computer servers and the access technology for internet data sites. All the aforementioned companies have received strong support from the capital markets in the last quarter. The portfolio's cash position increased as the quarter progressed. The fund received inflows during a time when investment opportunities were low. Management is looking to deploy this cash into sectors outside of telecommunications in the first quarter of 2000. Average credit quality was held at Single-B as our expectation of continued economic growth with low inflation in the domestic economy was proven correct. Overall, the Fund's management feels the credit quality of the portfolio is good and positioned for outperformance in 2000. Market Outlook: The FOMC has work diligently to maintain steady, non-inflationary growth. In another month, the U.S. economy will surpass the 106 month record for the longest economic expansion ever. There is a high probability that the FOMC will raise the Federal Funds rate further in the first half of 2000. The purpose of the increase(s) will be to moderate economic growth and to prevent any rise in inflation. If the FOMC has continued success in maintaining non-inflationary growth, interest rates should stabilize. An environment of stable interest rates and moderate inflation should prove positive for high yield bonds. 32 Portfolio Manager's Report PILGRIM HIGH YIELD FUND II - -------------------------------------------------------------------------------- Average Annual Total Returns for the Periods Ended ---------------------------- Since Inception 1 Year 3/27/98 ------ ------- Including Sales Charge: Class A (1) 1.07% -0.18% Class B (2) 0.53% -0.06% Class C (3) 4.38% 1.97% Excluding Sales Charge: Class A 6.12% 2.58% Class B 5.34% 1.91% Class C 5.34% 1.97% Lehman High Yield Index 2.39% 0.52% The table above illustrates the total return of Pilgrim High Yield II Fund against the Lehman Brothers High Yield Index. The Index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fee and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 4.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 4%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1-year return. Principal Risk Factor(s): Exposure to financial, market and interest rate risks. Higher yields reflect the higher credit risks associated with certain lower rated securities in the Fund's portfolio and in some cases, the lower market price for those instruments. Up to 35% of total assets may be invested in foreign securities. International investing does pose special risks, including currency fluctuation and political risks not found in investments that are solely domestic. Risks of foreign investing are generally intensified for investments in emerging markets. See accompanying index descriptions on page 40. 33 - ------ Income Funds - ------ Portfolio PILGRIM MONEY MARKET FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management: Robert K. Kinsey, Vice President. Goals: The Money Market Fund seeks to provide as high a level of current income as is consistent with the preservation of capital and liquidity by investing all of its assets in the Class A shares of the Primary Institutional Fund, a series of Reserve Institutional Trust, a registered open-end management investment company. Money Market Fund Overview: The money market mutual fund industry continued to expand in 1999 with inflows of $230 billion, a growth of 17% and the fifth year in a row that net inflows have exceeded $200 billion. Asset growth rates were highest in the institutional fund classes, rising 25% for the year. Total money fund assets now exceed $1.6 trillion. From an investment perspective, money fund shareholders were the beneficiaries of continued economic expansion. The FOMC tightened monetary policy three times in 1999, raising Federal Funds from 4.75% in January to 5.50% by year-end. The Fed was able to raise rates incrementally due to the anti-inflationary effects of increased productivity, thus creating very little disruption in the market. The most anticipated non-event in 1999 was Y2K. Buy-side participants, expecting large redemptions, increased their cash positions and the Fed, fearing a liquidity crisis, flooded the short-term market with cash. As we approached year-end, buy-side participants did not experience significant redemptions, resulting in an explosion on the buy-side. Trades committed to over the calendar year end (12/31 to 1/3), which traditionally yield as high as 10%, were being executed at yields as low as 2%. Performance: The Pilgrim Money Market Fund's Class A shares, excluding sales charges, provided a since inception total return of 0.36% for the period November 24, 1999 through December 31, 1999. The Fund's Class B and C shares, excluding sales charges, provided a since inception total return of 1.41% for the period July 12, 1999 through December 31, 1999. Portfolio Specifics: The Reserve Institutional Trust -- Primary Institutional Fund (the "Fund") grew 22.6% for the year versus an industry average of 25%. The Primary Institutional Fund -- Class A had a 30-day SEC yield of 5.65% as of December 31, 1999 and an average maturity of 35 days. The Fund held no commercial paper nor any instruments rated A2/P2. Market Outlook: In the coming year, we expect the FOMC to continue raising rates. On February 2, 2000, Federal Funds were moved 0.25% to 5.75%, the first two, possibly three, 0.25% moves. We expect a second tightening at the FOMC meeting scheduled for 3/21/00. Going forward, we will purchase term securities where we see value versus these potential rate hikes. An investment in the Pilgrim Money Market Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although this Fund seeks to preserve the net asset value at $1.00 per share, it is possible to lose money by investing in this Fund. 34 Portfolio Manager's Report PILGRIM MONEY MARKET FUND - -------------------------------------------------------------------------------- THIS PAGE INTENTIONALLY LEFT BLANK 35 - ------------ Equity & Income Funds - ------------ Portfolio PILGRIM BALANCED FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: G. David Underwood, Vice President and Senior Portfolio Manager; Kevin Mathews, Senior Vice President and Senior Portfolio Manager; Robert K. Kinsey, Vice President and Senior Portfolio Manager. Goals: The Balanced Fund seeks a balance of capital appreciation and current income by investing in a blended portfolio of equity and debt securities with an emphasis on overall total return. Equity Market Overview: For the six months ending December 31, 1999, the U.S. equity market was characterized by: A narrow advance of primarily large-capitalization technology and telecommunications stocks Continued outperformance of growth stocks versus value stocks Outperformance of large-capitalization stocks versus mid-cap and most small-capitalization stocks Market returns at the end of the period suggest that the market moved sideways since mid year. This masks a market buffeted by concerns about rising inflation and higher interest rates, yet supported by accelerating earnings growth. Entering the second half of 1999, investor sentiment was still buoyed by the fact that a global recession did not develop out of the prior year's financial crisis in Asia, Latin America and Europe. U.S. economic growth remained strong and evidence continued to emerge that the overseas economies were on the mend. The broad market S&P 500 Index set a then new peak in July before surrendering half of its gains over the balance of the third quarter. Interest rates began to rise due to inflation worries brought on by the surprisingly strong U.S. economy and the resuscitating global economies, dampening some of the equity market optimism. The S&P 500 recovered to new highs in the fourth quarter, with the Index led by a select group of technology and telecommunications stocks, registering particularly strong gains in October and December. As inflation worries prompted the Federal Reserve to notch interest rates upward, investors sought the perceived safety of a small group of mostly technology/growth stocks. Only five of the twelve market sectors had positive returns in the last six months: Technology, Conglomerates, Communication Services, Consumer Cyclicals and Basic Industries; only Technology, Conglomerates and Communication Services outperformed the Index. For the year, 25 stocks accounted for the entire gain of the S&P 500. Bond Market Overview: 1999 was a tough year for bonds by any measure: The summer months witnessed a credit spread rout nearly as bad as 1998's debacle. However, liquidity returned to the investment grade fixed income arena with a vengeance during the fourth quarter. Spreads tightened across the board as managers re-discovered an appetite for risk. Yet, a very robust domestic economy and Fed tightenings pushed rates higher. By mid December Y2K nervosa drained liquidity from the bond market as both the buy-side and the sell-side shifted into hibernation. At the end of 1999, fixed income managers stepped back to assess the damage. The thirty year Treasury posted its worst return since 1974 while the Lehman Aggregate Index experienced returns nearly as bad as 1994. The high yield market, in contrast, escaped the year in better shape. High yield spreads in the second half of the year remained relatively unchanged but the higher coupon helped to offset the decline in prices. High yield managers were rewarded for being risk adverse in the second half of 1999 as high yield defaults increased. Defaults were driven by company specific issues and did not reflect upon the overall health of the high yield market. The Merrill Lynch Triple-C/Double-C/Single-C index underperformed the Single-B index by 10.6% for the six months ending December 31, 1999. A total of 119 new issues came to the market in the second half of 1999, representing $35 billion dollars. Outflows from mutual funds caused high yield demand and issuance to be below last year's pace. New issuance was dominated by large deals in benchmark high yield names such as Allied Waste, Nextel, Nextlink, and Global Crossing to name a few. Portfolio Specifics: Timely sector allocation and good stock selection, combined with a disciplined portfolio management approach, produced the Fund's strong investment performance. The Consumer Cyclical, Technology, Basic Industries, and Retailing sectors contributed most. Holdings in Sun Microsystems, Texas Instruments, Hewlett Packard, Sony, America Online and Nokia gave handsome returns. The Fund's holdings in Alcoa, and Time Warner were equally strong. The duration of the fixed income component of the Fund remained short of the Lehman Aggregate Index up until December at which time we adopted a neutral stance. As a rule the last few weeks of any given year are a perilous time to stray too far away from a benchmark's duration. We exploited the year-end drought in investment grade 36 Portfolio Manager's Report PILGRIM BALANCED FUND - -------------------------------------------------------------------------------- liquidity by adding collateralized mortgage backed securities, some puttable paper, and other corporate paper at compelling levels. In the high yield portion of the Fund we continue to look for smaller positions to eliminate and consolidate with existing holdings. The focus of the high yield portfolio has been on the Communications sector, and secondarily on Media, Cable, and Broadcasting credits. The average credit rating of the Fund is Single-B which we are comfortable with given our belief that the economy will continue to grow without overheating, and that inflation will remain subdued. In the growth sector of high yield we feel the Communications industry represents the best value. Our efforts in the coming months will be focused on those issuers that will benefit from the continuing demand for increased bandwidth. The high yield portion of the Fund will continue to be fully invested as we believe the market looks attractively priced. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 8.48%, compared to a composite index, consisting of 60% S&P 500 Index and 40% Lehman Brothers Aggregate Index, which gained 11.77% for the same period. Market Outlook: Though challenged more by interest rates the broadening market is conducive for equity investment. The global economies are rebounding with benign inflation, stimulating profitability and revenue growth for a wider assortment of companies. This should gather momentum now that concerns over the transition into the new Millennium are history. With regards to the fixed income component, we are poised to shorten our duration with the onset of the new year as we anticipate further central bank tightening here and abroad in 2000. The high grade portion of the fund is heavily overweighted in spread product and we have added less-liquid, lower quality names in anticipation of their outperformance in the first quarter of 2000. Mortgage backed securities appear to only offer fair value at this juncture, and we are close to neutral to the Lehman Aggregate Index vis a vis this sector. The FOMC has work diligently to maintain steady, non-inflationary growth. In another month, the U.S. economy will surpass the 106 month record for the longest economic expansion ever. There is a high probability that the FOMC will raise the Federal Funds rate further in the first half of 2000. The purpose of the increase(s) will be to moderate economic growth and to prevent any rise in inflation. If the FOMC has continued success in maintaining non-inflationary growth, interest rates should stabilize. An environment of stable interest rates and moderate inflation should prove positive for high yield bonds. Average Annual Total Returns for the Periods Ended December 31, 1999 ------------------------------------------------------ Since Inception Since Inception of Class A and C of Class B 1 Year 5 Year 4/19/93 5/31/95 ------ ------ ------- ------- Including Sales Charge: Class A (1) 2.25% 16.91% 13.37% -- Class B (2) 3.51% -- -- 16.42% Class C (3) 6.89% 17.53% 13.67% -- Excluding Sales Charge: Class A 8.48% 18.29% 14.38% -- Class B 7.76% -- -- 16.67% Class C 7.74% 17.53% 13.67% -- 60% S&P 500/40% Lehman Aggregate 11.77% 20.15% 15.48%(4) 18.52% The table above illustrates the total return of Pilgrim Balanced Fund against the 60% S&P 500, 40% Lehman Aggregate Index. The Index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fee and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deducton of the maximum Class A sales charge of 5.75%. (2) Reflects deduction of the Class B deferred sales charge of 5% and 2%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1-year return. (4) Since inception return from 4/30/93. Principal Risk Factor(s): Price volatility and other risks that accompany an investment in equity securities. Credit, interest rate and other risks that accompany debt investments. The Fund may invest up to 20% of its total assets in foreign securities. International investing does pose special risks, including currency fluctuation, economic and political risks not found in investments that are solely domestic. Higher yields reflect the higher credit risks associated with certain lower rated securities in the Fund's portfolio and in some cases, the lower market prices for those instruments. See accompanying index descriptions on page 40. 37 - ------------ Equity & Income Funds - ------------ Portfolio PILGRIM CONVERTIBLE FUND Manager's Report - -------------------------------------------------------------------------------- Portfolio Management Team: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Douglas G. Forsyth, CFA, Partner, Portfolio Manager; Michael P. Carroll, Portfolio Manager; William L. Stickney, Portfolio Manager; Michael E. Yee, Portfolio Manager. Goal: The Convertible Fund seeks to maximize total return by investing primarily in convertible and equity securities of US companies. Market Overview: During the third quarter, concerns over rising inflation and interest rates and their impact on corporate earnings sent stock prices tumbling. Amid signs of continued strength in the US economy, worries were rife that higher interest rates were needed to combat inflationary pressures. However, strong gains among technology stocks in the fourth quarter helped restore investor confidence. The tech-heavy Nasdaq Composite rose 48.2% from October to December and climbed 85.6% overall in 1999. Improving returns for small- and mid-cap stocks also bolstered investor resolve. Impressive gains among technology stocks throughout the fourth quarter propelled returns among convertible issues, helping offset the effects of a series of interest-rate increases by the Federal Reserve Board. In an effort to thwart potential inflationary pressures amid the US economy's continued expansion, the Fed hiked short-term interest rates by a quarter-percentage point three times in June, August and November. For much of the period, speculative-grade convertible issues tended to deliver better returns than high-grade issues. Qualcomm, the single largest holding in the CS First Boston Convertible Index, gained 94% in December and 2,619% for the year. The second-largest holding in the Index was EMC Corp., which gained 30% in December. Performance: For the one year ended December 31, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 50.20% compared to the First Boston Convertible Index which returned 42.28% for the same period. Portfolio Specifics: Year to date through December 31, the Fund delivered equity-like returns, outperforming the Russell 2000, Russell Midcap, and S&P 500 Indexes. The Fund also registered greater returns compared to the CS First Boston Convertible Index year to date, rising 50.2% versus 42.3% for the Index. A broad-based pullback among blue-chip issues in the third quarter negatively impacted the fund's performance in July. However, strong gains among telecommunications and technology holdings led to the fund's outperformance against the benchmark in the fourth quarter and in 1999. The Fund's top-performing holdings included telecommunications service provider Qualcomm, Veritas Software and Exodus Communications. Market Outlook: Looking ahead, we are encouraged by expectations for continued strength in corporate profits and global economic recovery. Applying our bottom-up approach, we continue to find convertible securities meeting our strict investment criteria. Recent gains in the equity market have lifted US indices close to or above record highs. In this environment, convertible issues may benefit from increased recognition among investors seeking equity market participation with limited downside exposure. 38 Portfolio Manager's Report PILGRIM CONVERTIBLE FUND - -------------------------------------------------------------------------------- Average Annual Total Returns for the Periods Ended December 31, 1999 -------------------------------------------- Since Inception Since Inception of Class A and C of Class B 1 Year 5 Year 4/19/93 5/31/95 Including Sales Charge: Class A (1) 41.54% 25.14% 20.33% -- Class B (2) 44.19% -- -- 26.67% Class C (3) 48.20% 25.81% 20.60% -- Excluding Sales Charge: Class A 50.20% 26.64% 21.40% -- Class B 49.19% -- -- 26.86% Class C 49.20% 25.81% 20.60% -- First Boston Convertible Index 42.28% 20.08% 15.60%(4) 19.24% The table above illustrates the total return of Pilgrim Convertible Fund against the First Boston Convertible Index. The Index has an inherent performance advantage over the Fund since it has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index. The Fund's performance is shown both with and without the imposition of sales charges. Total returns reflect the fact that the Investment Adviser has contractually agreed to waive or defer its management fees and to pay other operating expenses otherwise payable by the Fund, subject to possible later reimbursement during a three-year period. Total returns would have been lower had there been no deferral to the Fund. Performance data represents past performance and is no assurance of future results. Investment return and principal value of an investment in the Fund will fluctuate. Shares, when sold, may be worth more or less than their original cost. This letter contains statements that may be "forward-looking" statements. Actual results may differ materially from those projected in the "forward-looking" statements. The views expressed in this report reflect those of the portfolio manager, only through the end of the period as stated on the cover. The manager's views are subject to change at any time based on market and other conditions. Portfolio holdings are subject to change daily. (1) Reflects deduction of the maximum Class A sales charge of 5.75% (2) Reflects deduction of the Class B deferred sales charge of 5% and 2%, respectively, for the 1 year and since inception returns. (3) Reflects deduction of the Class C deferred sales charge of 1.00% for the 1 year return. (4) Since inception performance for index is shown from 4/20/93. Principal Risk Factor(s): The credit standing of the issuer and other factors may affect the investment value of a convertible security. The market value of convertible debt securities tends to vary inversely with the level of interest rates. Lower rated securities may be less liquid than higher quality investments. This fund also has exposure to financial, market and interest rate risks. Higher yields reflect the higher credit risks associated with certain lower rated securities in the Fund's portfolio and in some cases, the lower market prices for those instruments. See accompanying index descriptions on page 40. 39 - ------- Pilgrim Funds - ------- INDEX DESCRIPTIONS - -------------------------------------------------------------------------------- The S&P 500 Index is a widely recognized index of 500 common stocks. The Dow Jones Industrial Average is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. The S&P Barra Value Index ia a capitalization-weighted index of all the stocks in the S&P 500 that have low price-to-book ratios The Russell 1000 Growth Index is an index that measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The NASDAQ Composite Index is a broad-based capitalization-weighted index of all NASDAQ National Market & SmallCap stocks. The Russell MidCap Index is generally representative of the smallest 800 stocks in the Russell 1000 Index as ranked by total market capitalization. The Russell MidCap Value Index measures the performance of the 800 smallest companies in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values. The Russell MidCap Growth Index consists of securities with capitalizations between $450 million and $3.8 billion with greater than average growth orientation. The Russell 2000 Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. The Russell 2000 Index consists of the smallest 2000 companies in the Russell 3000 Index. The S&P Major Regional Banks Index is a capitalization-weighted index of all stocks designed to measure performance of the major regional banks sector of the S&P 500 Index. The NASDAQ 100 Financial Index is a capitalization-weighted index of the 100 largest financial companies, as well as foreign issues, including American Depositary Receipts, traded on the NASDAQ National Market System and SmallCap Market. The MSCI EAFE Index consists of more than 1,400 securities in the U.S., Europe, Canada, Australia, New Zealand, and the Far East. It is a generally accepted index for major overseas markets. The MSCI Emerging Markets Free (EMF) Index is comprised of companies representative of the market structure of 22 emerging countries in Europe, Latin America and the Pacific Rim Basin. The MSCI World Index consists of more than 1,400 securities located in the U.S., Europe, Canada, Australia, New Zealand and the Far East. The Salomon EPAC Extended Market Index measures the performance of securities of smaller-capitalized companies in 22 countries excluding the U.S. and Canada. The Hang Seng Index is a regional index based on 8 Asian domestic indices comprising a total of over 2000 listed companies. The MSCI Far East Free ex-Japan Index measures performance of securities listed on exchanges in the Far East markets excluding Japan. 40 - ------- Pilgrim Funds - ------- INDEX DESCRIPTIONS(continued) - -------------------------------------------------------------------------------- The Lehman Brothers Aggregate Bond Index is an index of fixed income securities. The Lehman Brothers Government/Mortgage Index measures the performance of U.S. Government agencies and instrumentalities, as well as mortgage pass-through instruments issued by FNMA, FHLMC and GNMA. The Lehman Brothers Intermediate Treasury Index is an index that measures the performance of U.S. Treasuries with maturities of less than ten years. The Merrill Lynch Triple-C/Double-C/Single-C Index is a sub-index of the Merrill Lynch High Yield Index, an index which measures the performance of non-investment grade U.S. domestic bonds. The Merrill Lynch Single-B Index is a sub-index of the Merrill Lynch High Yield Index, an index which measures the performance of non-investment grade U.S. domestic bonds. The Lehman Brothers High Yield Bond Index is comprised of non-investment grade bonds with maturities between seven to ten years. The First Boston High Yield Index is an index of high yield bonds rated BB or below. The First Boston Convertible Index is an index representing the universe of convertible securities. The SET Index is a capitalization-weighted index of all the stocks traded on the Stock Exchange of Thailand. All indices are unmanaged. An investor cannot invest directly in an index. 41 - ----------- U.S. Equity Funds - ----------- STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- LargeCap LargeCap MagnaCap Leaders Growth Fund Fund Fund ---- ---- ---- ASSETS: Investments in securities at market value* $ 464,096,916 $ 37,571,545 $ 432,145,351 Short-term investments at amortized cost 18,125,971 2,036,000 22,913,000 Cash 43,159 8,811 6,574 Receivables: Fund shares sold 273,765 302,222 8,336,929 Dividends and interest 509,716 35,205 145,577 Due from affiliate -- -- -- Investment securities sold -- 157,041 3,175,965 Other -- -- 503 Prepaid expenses 64,883 36,806 46,149 ------------- ------------ ------------- Total Assets 483,114,410 40,147,630 466,770,048 LIABILITIES: Payable for investment securities purchased -- -- 16,073,243 Payable for fund shares redeemed 1,043,903 47,232 409,623 Payable to affiliate 541 5,456 1,446 Payable to custodian -- -- -- Other accrued expenses and liabilities 1,187,130 93,837 386,272 ------------- ------------ ------------- Total Liabilities 2,231,574 146,525 16,870,584 ------------- ------------ ------------- NET ASSETS $ 480,882,836 $ 40,001,105 $ 449,899,464 ============= ============ ============= NET ASSETS CONSIST OF: Paid-in capital $ 335,637,562 $ 31,941,240 $ 309,654,824 Undistributed (overdistributed) net investment income (285,070) (183,723) (1,258,524) Accumulated net realized gain (loss) on investments (2,751,702) 1,199,531 6,662,113 Net unrealized appreciation (depreciation) of investments 148,282,046 7,044,057 134,841,051 ------------- ------------ ------------- Net Assets $ 480,882,836 $ 40,001,105 $ 449,899,464 ============= ============ ============= * Cost of securities $ 315,814,870 $ 30,527,488 $ 297,304,300
MidCap MidCap SmallCap Bank and Value Growth Growth Thrift Fund Fund Fund Fund ---- ---- ---- ---- ASSETS: Investments in securities at market value* $ 37,905,373 $ 424,763,734 $ 446,278,607 $ 460,966,409 Short-term investments at amortized cost 545,000 10,855,000 -- 1,258,000 Cash 6,399 17,087 -- -- Receivables: Fund shares sold 67,428 1,585,358 1,405,097 1,442,050 Dividends and interest 40,346 14,803 54,826 1,070,795 Due from affiliate -- 36,524 43,939 -- Investment securities sold 256,191 637,713 5,763,776 5,461,090 Other -- -- 12,950 -- Prepaid expenses 37,052 31,977 48,619 58,471 ------------ ------------- ------------- ------------- Total Assets 38,857,789 437,942,196 453,607,814 470,256,815 LIABILITIES: Payable for investment securities purchased -- 5,973,222 1,052,907 315,478 Payable for fund shares redeemed 167,374 558,232 522,048 3,500,223 Payable to affiliate 586 -- -- -- Payable to custodian -- -- 1,257,546 4,701 Other accrued expenses and liabilities 140,721 524,445 437,972 1,125,666 ------------ ------------- ------------- ------------- Total Liabilities 308,681 7,055,899 3,270,473 4,946,068 ------------ ------------- ------------- ------------- NET ASSETS $ 38,549,108 $ 430,886,297 $ 450,337,341 $ 465,310,747 ============ ============= ============= ============= NET ASSETS CONSIST OF: Paid-in capital $ 36,838,672 $ 210,919,947 $ 279,553,816 $ 486,593,613 Undistributed (overdistributed) net investment income (253,178) (2,561,964) (2,946,828) 1,883,755 Accumulated net realized gain (loss) on investments 93,895 11,374,498 (16,091,465) 16,116,632 Net unrealized appreciation (depreciation) of investments 1,869,719 211,153,816 189,821,818 (39,283,253) ------------ ------------- ------------- ------------- Net Assets $ 38,549,108 $ 430,886,297 $ 450,337,341 $ 465,310,747 ============ ============= ============= ============= * Cost of securities $ 36,035,654 $ 213,609,918 $ 256,456,789 $ 500,249,662
42 - -------------------------------------------------------------------------------- LargeCap LargeCap MagnaCap Leaders Growth Fund Fund Fund ---- ---- ---- Class A: Net Assets $ 343,627,580 $ 9,305,383 $ 118,231,647 Shares authorized 80,000,000 28,000,000 unlimited Par Value $ 1.00 $ 0.10 $ 0.00 Shares outstanding 21,135,630 566,257 2,930,040 Net asset value and redemption price per share $ 16.26 $ 16.43 $ 40.35 Maximum offering price per share $ 17.25 $ 17.43 $ 42.81 Class B: Net Assets $ 109,428,063 $ 24,747,898 $ 227,042,117 Shares authorized 80,000,000 28,000,000 unlimited Par Value $ 1.00 $ 0.10 $ 0.00 Shares outstanding 6,879,903 1,556,902 5,631,296 Net asset value and redemption price per share $ 15.91 $ 15.90 $ 40.32 Maximum offering price per share $ 15.91 $ 15.90 $ 40.32 Class C: Net Assets $ 2,684,290 $ 353,328 $ 87,228,762 Shares authorized 80,000,000 28,000,000 unlimited Par Value $ 1.00 $ 0.10 $ 0.00 Shares outstanding 168,736 22,207 2,169,290 Net asset value and redemption price per share $ 15.91 $ 15.91 $ 40.21 Maximum offering price per share $ 15.91 $ 15.91 $ 40.21 Class M: Net Assets $ 15,145,899 $ 5,594,496 n/a Shares authorized 40,000,000 14,000,000 n/a Par Value $ 1.00 $ 0.10 n/a Shares outstanding 942,476 347,648 n/a Net asset value and redemption price per share $ 16.07 $ 16.09 n/a Maximum offering price per share $ 16.65 $ 16.67 n/a Class Q: Net Assets $ 9,997,004 $ 0.00 $ 17,396,938 Shares authorized 40,000,000 28,000,000 unlimited Par Value $ 1.00 $ 0.10 $ 0.00 Shares outstanding 615,006 0 425,490 Net asset value and redemption price per share $ 16.26 n/a $ 40.89 Maximum offering price per share $ 16.26 n/a $ 40.89
MidCap MidCap SmallCap Bank and Value Growth Growth Thrift Fund Fund Fund Fund ---- ---- ---- ---- Class A: Net Assets $ 11,220,928 $ 110,999,877 $ 148,392,238 $ 258,383,610 Shares authorized 28,000,000 unlimited unlimited 100,000,000 Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.10 Shares outstanding 809,398 4,296,452 8,462,791 14,902,351 Net asset value and redemption price per share $ 13.86 $ 25.84 $ 17.53 $ 17.34 Maximum offering price per share $ 14.71 $ 27.42 $ 18.60 $ 18.40 Class B: Net Assets $ 20,593,302 $ 85,200,916 $ 76,896,757 $ 206,927,137 Shares authorized 28,000,000 unlimited unlimited 100,000,000 Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.10 Shares outstanding 1,534,790 2,804,402 3,486,799 11,943,222 Net asset value and redemption price per share $ 13.42 $ 30.38 $ 22.05 $ 17.33 Maximum offering price per share $ 13.42 $ 30.38 $ 22.05 $ 17.33 Class C: Net Assets $ 178,918 $ 220,867,071 $ 213,993,524 n/a Shares authorized 28,000,000 unlimited unlimited n/a Par Value $ 0.00 $ 0.00 $ 0.00 n/a Shares outstanding 13,338 9,255,323 12,408,565 n/a Net asset value and redemption price per share $ 13.41 $ 23.86 $ 17.25 n/a Maximum offering price per share $ 13.41 $ 23.86 $ 17.25 n/a Class M: Net Assets $ 6,555,960 n/a n/a n/a Shares authorized 14,000,000 n/a n/a n/a Par Value $ 0.00 n/a n/a n/a Shares outstanding 484,961 n/a n/a n/a Net asset value and redemption price per share $ 13.52 n/a n/a n/a Maximum offering price per share $ 14.01 n/a n/a n/a Class Q: Net Assets $ 0.00 $ 13,818,433 $ 11,054,822 n/a Shares authorized 28,000,000 unlimited unlimited n/a Par Value $ 0.00 $ 0.00 $ 0.00 n/a Shares outstanding 0 422,591 566,739 n/a Net asset value and redemption price per share n/a $ 32.70 $ 19.51 n/a Maximum offering price per share n/a $ 32.70 $ 19.51 n/a
- ---------- (1) Maximum offering price is computed at 100/94.25 of net asset value. On purchases of $50,000 or more, the offering price is reduced. (2) Redemption price per share is equal to the net asset value per share less any applicable contingent deferred sales charge. (3) Maximum offering price is computed at 100/96.50 of net asset value. On purchases of $50,000 or more, the offering price is reduced. 43 - ------------- International Equity Funds - ------------- STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 1999 (Unaudited) - --------------------------------------------------------------------------------
Worldwide International International Emerging Asia-Pacific Growth Core Growth SmallCap Countries Equity Fund Fund Growth Fund Fund Fund ---- ---- ----------- ---- ---- ASSETS: Investments in securities at market value* $ 448,254,573 $ 75,611,707 $ 395,921,134 $ 234,069,820 $ 40,243,292 Short-term investments at amortized cost 17,453,000 292,000 31,803,000 1,379,000 443,000 Foreign Currency** -- 53,117 1,133,073 1,135,371 722,344 Cash 583,402 -- 565,895 -- 10,060 Receivables: Fund shares sold 6,685,799 345,160 9,287,906 740,549 571,577 Dividends and interest 214,331 75,356 74,296 504,553 6,456 Due from affiliate -- 39,543 -- 61,465 -- Investment securities sold 3,283,216 561,153 2,880,062 1,195,840 -- Other -- 9,229 86,172 8,223 -- Prepaid expenses 53,913 45,352 55,469 57,291 27,556 ------------- ------------ ------------- ------------- ------------ Total Assets 476,528,234 77,032,617 441,807,007 239,152,112 42,024,285 ------------- ------------ ------------- ------------- ------------ LIABILITIES: Payable for investment securities purchased 9,072,436 885,454 5,919,653 1,809,966 -- Payable for fund shares redeemed 825,436 31,761 1,164,634 663,075 97,143 Payable to affiliate 2,850 -- -- -- 8,029 Payable to custodian -- 27,579 -- 283,204 -- Estimated tax liability on Indian investments -- -- -- 1,294,392 -- Other accrued expenses and liabilities 616,667 148,150 520,131 588,207 262,964 ------------- ------------ ------------- ------------- ------------ Total Liabilities 10,517,389 1,092,944 7,604,418 4,638,844 368,136 ------------- ------------ ------------- ------------- ------------ NET ASSETS $ 466,010,845 $ 75,939,673 $ 434,202,589 $ 234,513,268 $ 41,656,149 ============= ============ ============= ============= ============ NET ASSETS CONSIST OF: Paid-in capital $ 299,830,877 $ 46,624,852 $ 258,562,364 $ 230,008,734 $ 56,419,427 Undistributed (overdistributed) net investment income (2,245,389) (417,370) (1,216,494) (1,461,149) (177,616) Accumulated net realized gain (loss) on investments and foreign currency transactions (net of foreign tax on the sale of Indian investments of $0, $0, $536,127, $2,217,389 and $0, respectively -- Note 2) 5,941,174 1,419,523 23,684,833 (73,866,966) (27,307,253) Net unrealized appreciation of investments and other assets, liabilities and forward contracts denominated in foreign currencies (net of estimated tax liability on Indian investments of $0, $0, $0, $1,294,392 and $0, respectively -- Note 2) 162,484,183 28,312,668 153,171,886 79,832,649 12,721,591 ------------- ------------ ------------- ------------- ------------ Net Assets $ 466,010,845 $ 75,939,673 $ 434,202,589 $ 234,513,268 $ 41,656,149 ============= ============ ============= ============= ============ * Cost of securities $ 285,746,310 $ 47,315,847 $ 242,767,278 $ 152,857,038 $ 27,433,240 ** Cost of foreign currency $ -- $ 53,070 $ 1,130,289 $ 1,134,720 $ 722,290
See Accompanying Notes to Financial Statements 44 - --------------------------------------------------------------------------------
Worldwide International International Emerging Asia-Pacific Growth Core Growth SmallCap Countries Equity Fund Fund Growth Fund Fund Fund ---- ---- ----------- ---- ---- Class A: Net Assets $ 150,384,169 $ 19,460,387 $ 146,056,798 $ 68,448,657 $ 17,308,808 Shares authorized unlimited unlimited unlimited unlimited 24,000,000 Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 1.00 Shares outstanding 4,834,640 711,486 3,597,228 3,110,207 1,937,674 Net asset value and redemption price per share $ 31.11 $ 27.35 $ 40.60 $ 22.01 $ 8.93 Maximum offering price per share $ 33.00 $ 29.02 $ 43.08 $ 23.35 $ 9.48 Class B: Net Assets $ 82,285,716 $ 19,465,336 $ 77,784,490 $ 33,018,778 $ 16,393,325 Shares authorized unlimited unlimited unlimited unlimited 24,000,000 Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 1.00 Shares outstanding 2,348,993 708,473 1,808,103 1,484,626 1,895,593 Net asset value and redemption price per share $ 35.03 $ 27.48 $ 43.02 $ 22.24 $ 8.65 Maximum offering price per share $ 35.03 $ 27.48 $ 43.02 $ 22.24 $ 8.65 Class C: Net Assets $ 190,853,232 $ 21,104,381 $ 72,787,019 $ 30,441,808 n/a Shares authorized unlimited unlimited unlimited unlimited n/a Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 n/a Shares outstanding 6,128,111 765,476 1,842,815 1,421,241 n/a Net asset value and redemption price per share $ 31.14 $ 27.57 $ 39.50 $ 21.42 n/a Maximum offering price per share $ 31.14 $ 27.57 $ 39.50 $ 21.42 n/a Class M: Net Assets n/a n/a n/a n/a $ 7,954,016 Shares authorized n/a n/a n/a n/a 12,000,000 Par Value n/a n/a n/a n/a $ 1.00 Shares outstanding n/a n/a n/a n/a 911,936 Net asset value and redemption price per share n/a n/a n/a n/a $ 8.72 Maximum offering price per share n/a n/a n/a n/a $ 9.04 Class Q: Net Assets $ 42,487,728 $ 15,909,569 $ 137,574,282 $ 102,604,025 n/a Shares authorized unlimited unlimited unlimited unlimited n/a Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 n/a Shares outstanding 1,186,820 559,611 3,208,072 4,536,725 n/a Net asset value and redemption price per share $ 35.80 $ 28.43 $ 42.88 $ 22.62 n/a Maximum offering price per share $ 35.80 $ 28.43 $ 42.88 $ 22.62 n/a
- ---------- (1) Maximum offering price is computed at 100/94.25 of net asset value. On purchases of $50,000 or more, the offering price is reduced. (2) Redemption price per share is equal to the net asset value per share less any applicable contingent deferred sales charge. (3) Maximum offering price is computed at 100/96.50 of net asset value. On purchases of $50,000 or more, the offering price is reduced. 45 - ------ Income Funds - ------ STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 1999 (Unaudited) - --------------------------------------------------------------------------------
Government Strategic Securities Income High Yield High Yield Money Market Income Fund Fund Fund Fund II Fund ----------- ---- ---- ------- ---- ASSETS: Investments in securities at market value* $ 30,939,502 $ 11,655,208 $ 343,432,611 $ 69,397,575 $ -- Short-term investments at amortized cost 1,550,000 662,000 22,531,603 9,401,000 19,107,700 Cash 10,603 81,916 -- 8,740 13 Receivables: Fund shares sold 51,866 78,086 1,536,751 103,681 988,811 Interest 248,320 166,530 10,499,490 1,051,376 2,647 Due from affiliate -- 74,913 33,922 19,301 76,689 Investment securities sold -- -- 970,604 970,604 -- Other -- 7,452 -- -- -- Prepaid expenses 20,622 66,043 73,153 66,292 2,088 Deferred organization costs -- -- -- -- 39,452 ------------ ------------ ------------- ------------ ----------- Total Assets 32,820,913 12,792,148 379,078,134 81,018,569 20,217,400 ------------ ------------ ------------- ------------ ----------- LIABILITIES: Payable for investment securities purchased -- 289,431 -- 3,119,391 -- Payable for fund shares redeemed 150,379 26,596 2,549,790 495,308 233,289 Payable to custodian -- -- 458,244 -- -- Distributions payable -- 883 -- 343,929 40,693 Other accrued expenses and liabilities 108,321 62,057 573,080 49,036 127,075 ------------ ------------ ------------- ------------ ----------- Total Liabilities 258,700 378,967 3,581,114 4,007,664 401,057 ------------ ------------ ------------- ------------ ----------- NET ASSETS $ 32,562,213 $ 12,413,181 $ 375,497,020 $ 77,010,905 $19,816,343 ============ ============ ============= ============ =========== NET ASSETS CONSIST OF: Paid-in capital $ 40,893,318 $ 13,608,322 $ 455,788,834 $ 86,045,494 $19,816,343 Undistributed (overdistributed) net investment income (81,566) 149,553 (953,951) (213,962) -- Accumulated net realized loss on investments and foreign currency transactions (7,311,898) (1,078,089) (58,252,243) (7,372,266) -- Net unrealized depreciation of investments and other assets, liabilities and forward contracts denominated in foreign currencies (937,641) (266,605) (21,085,620) (1,448,361) -- ------------ ------------ ------------- ------------ ----------- Net Assets $ 32,562,213 $ 12,413,181 $ 375,497,020 $ 77,010,905 $19,816,343 ============ ============ ============= ============ =========== * Cost of securities $ 31,877,143 $ 11,921,450 $ 364,518,231 $ 70,845,936 $19,107,700
46 - --------------------------------------------------------------------------------
Government Strategic Securities Income High Yield High Yield Money Market Income Fund Fund Fund Fund II Fund ----------- ---- ---- ------- ---- Class A: Net Assets $ 19,303,738 $ 2,453,211 $108,040,533 $ 10,415,208 $ 5,732,378 Shares authorized 1,000,000,000 unlimited 80,000,000 unlimited unlimited Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 Shares outstanding 1,615,287 201,699 19,617,873 932,799 5,732,378 Net asset value and redemption price per share $ 11.95 $ 12.16 $ 5.51 $ 11.17 $ 1.00 Maximum offering price per share $ 12.55 $ 12.77 $ 5.78 $ 11.72 $ 1.00 Class B: Net Assets $ 12,333,491 $ 5,406,558 $243,074,580 $ 40,553,266 $11,414,054 Shares authorized 1,000,000,000 unlimited 80,000,000 unlimited unlimited Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 Shares outstanding 1,035,526 454,240 44,228,094 3,632,560 11,414,054 Net asset value and redemption price per share $ 11.91 $ 11.90 $ 5.50 $ 11.16 $ 1.00 Maximum offering price per share $ 11.91 $ 11.90 $ 5.50 $ 11.16 $ 1.00 Class C: Net Assets $ 262,578 $ 4,379,664 $ 5,614,076 $ 16,859,743 $ 2,669,911 Shares authorized 1,000,000,000 unlimited 80,000,000 unlimited unlimited Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.00 Shares outstanding 21,819 353,648 1,022,363 1,509,836 2,669,911 Net asset value and redemption price per share $ 12.03 $ 12.38 $ 5.49 $ 11.17 $ 1.00 Maximum offering price per share $ 12.03 $ 12.38 $ 5.49 $ 11.17 $ 1.00 Class M: Net Assets $ 662,406 n/a $ 18,767,801 n/a n/a Shares authorized 1,000,000,000 n/a 40,000,000 n/a Par Value $ 0.00 n/a n/a $ 0.00 n/a Shares outstanding 55,449 n/a 3,411,754 n/a n/a Net asset value and redemption price per share $ 11.95 n/a $ 5.50 n/a n/a Maximum offering price per share $ 12.35 n/a $ 5.69 n/a n/a Class Q: Net Assets $ 0 $ 173,748 $ 30 $ 9,182,688 n/a Shares authorized 1,000,000,000 unlimited 80,000,000 unlimited n/a Par Value $ 0.00 $ 0.00 $ 0.00 $ 0.00 n/a Shares outstanding 0 15,027 5 821,972 n/a Net asset value and redemption price per share 0 $ 11.56 $ 5.57 $ 11.17 n/a Maximum offering price per share 0 $ 11.56 $ 5.57 $ 11.17 n/a
- ---------- (1) Maximum offering price is computed at 100/95.25 of net asset value. On purchases of $50,000 or more, the offering price is reduced. (2) Redemption price per share is equal to the net asset value per share less any applicable contingent deferred sales charge. (3) Maximum offering price is computed at 100/96.75 of net asset value. On purchases of $50,000 or more, the offering price is reduced. 47 - ------------ Equity & Income Funds - ------------ STATEMENTS OF ASSETS AND LIABILITIES as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Balanced Convertible Fund Fund ---- ---- ASSETS: Investments in securities at market value* $34,942,532 $340,520,062 Short-term investments at amortized cost 2,284,000 12,348,000 Cash 8,463 4,016,083 Receivables: Fund shares sold 329,990 5,129,033 Dividends and interest 253,737 1,386,891 Due from affiliate 25,152 -- Investment securities sold 112,993 -- Other 18,898 -- Prepaid expenses 30,384 23,417 ---------- ------------ Total Assets 38,006,149 363,423,486 ---------- ------------ LIABILITIES: Payable for investment securities purchased 289,431 -- Payable for fund shares redeemed 167,071 323,253 Other accrued expenses and liabilities 2,625 467,331 ----------- ------------ Total Liabilities 459,127 790,584 ----------- ------------ NET ASSETS $37,547,022 $362,632,902 =========== ============ NET ASSETS CONSIST OF: Paid-in capital $36,048,824 $236,117,741 Undistributed (overdistributed) net investment income (248,930) 276,833 Accumulated net realized gain (loss) on investments and foreign currency transactions (412,731) 15,610,521 Net unrealized appreciation of investments and other assets, liabilities and forward contracts denominated in foreign currencies 2,159,859 110,627,807 ----------- ------------ Net Assets $37,547,022 $362,632,902 =========== ============ * Cost of securities $32,782,462 $229,892,255 48 - -------------------------------------------------------------------------------- Balanced Convertible Fund Fund ---- ---- Class A: Net Assets $10,140,692 $ 88,816,034 Shares authorized unlimited unlimited Par Value $ 0.00 $ 0.00 Shares outstanding 650,020 3,384,365 Net asset value and redemption price per share $ 15.60 $ 26.24 Maximum offering price per share $ 16.55 $ 27.84 Class B: Net Assets $ 7,716,361 $108,526,626 Shares authorized unlimited unlimited Par Value $ 0.00 $ 0.00 Shares outstanding 460,985 3,797,345 Net asset value and redemption price per share $ 16.74 $ 28.58 Maximum offering price per share $ 16.74 $ 28.58 Class C: Net Assets $19,493,836 $132,755,648 Shares authorized unlimited unlimited Par Value $ 0.00 $ 0.00 Shares outstanding 1,297,495 4,951,288 Net asset value and redemption price per share $ 15.02 $ 26.81 Maximum offering price per share $ 15.02 $ 26.81 Class Q: Net Assets $ 196,133 $ 32,534,594 Shares authorized unlimited unlimited Par Value $ 0.00 $ 0.00 Shares outstanding 12,702 1,281,758 Net asset value and redemption price per share $ 15.44 $ 25.38 Maximum offering price per share $ 15.44 $ 25.38 - ---------- (1) Maximum offering price is computed at 100/94.25 of net asset value. On purchases of $50,000 or more, the offering price is reduced. (2) Redemption price per share is equal to the net asset value per share less any applicable contingent deferred sales charge. 49 - ----------- U.S. Equity Funds - ----------- STATEMENTS OF OPERATIONS (Unaudited) - -------------------------------------------------------------------------------- LargeCap LargeCap MagnaCap Leaders Growth Fund Fund Fund ---- ---- ---- Six Months Six Months Six Months Ended Ended Ended December 31, December 31, December 31, 1999 1999 1999 ---- ---- ---- INVESTMENT INCOME: Dividends, net of foreign taxes $ 3,277,451 $ 212,476 $ 283,411 Interest 843,870 41,449 362,980 Securities lending -- -- -- ------------ ----------- ------------- Total investment income 4,121,321 253,925 646,391 ------------ ----------- ------------- EXPENSES: Investment management fees 1,715,475 190,841 835,391 Distribution expenses 1,019,080 121,529 648,466 Transfer agent and registrar fees 556,275 51,772 112,555 Shareholder reporting 143,075 8,796 22,058 Shareholder servicing fee 141,025 29,914 233,258 Registration and filing fees 71,330 21,158 14,512 Professional fees 66,315 2,212 7,381 Recordkeeping and pricing fees 63,825 1,583 8,999 Custodian fees 47,815 1,871 13,367 Directors' fees 27,000 1,080 1,080 Miscellaneous 24,875 740 12,135 Insurance 12,707 825 914 Interest and credit facility fee 4,406 342 1,281 Organization expense -- 15,409 -- ------------ ----------- ------------- Total expenses 3,893,203 448,072 1,911,397 ------------ ----------- ------------- Less: Waived and reimbursed fees -- 10,237 -- Earnings credits 865 210 6,054 ------------ ----------- ------------- Net expenses 3,892,338 437,625 1,905,343 ------------ ----------- ------------- Net investment income (loss) 228,983 (183,700) (1,258,952) ------------ ----------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from investments (3,059,907) 2,174,345 2,130,380 Net change in unrealized appreciation (depreciation) of investments 12,313,998 384,417 119,317,768 ------------ ----------- ------------- Net gain (loss) from investments 9,254,091 2,558,762 121,448,148 ------------ ----------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 9,483,074 $ 2,375,062 $ 120,189,196 ============ =========== =============
MidCap MidCap SmallCap Bank and Value Growth Growth Thrift Fund Fund Fund Fund ---- ---- ---- ---- Six Months Six Months Six Months Six Months Ended Ended Ended Ended December 31, December 31, December 31, December 31, 1999 1999 1999 1999 ---- ---- ---- ---- INVESTMENT INCOME: Dividends, net of foreign taxes $ 221,647 $ 107,595 $ 158,187 $ 7,690,715 Interest 53,471 108,000 338,541 160,134 Securities lending -- -- 11,984 -- ----------- ------------- ------------- ------------- Total investment income 275,118 215,595 508,712 7,850,849 ----------- ------------- ------------- ------------- EXPENSES: Investment management fees 236,363 1,159,517 1,717,149 2,202,621 Distribution expenses 141,954 913,391 973,749 1,457,440 Transfer agent and registrar fees 79,884 197,031 229,828 850,625 Shareholder reporting 13,303 80,444 86,323 129,195 Shareholder servicing fee 31,054 327,307 341,605 347,756 Registration and filing fees 36,827 11,663 12,753 84,681 Professional fees 6,783 24,341 24,628 102,487 Recordkeeping and pricing fees 1,289 20,002 23,382 56,575 Custodian fees 5,127 33,572 38,665 51,050 Directors' fees 2,701 5,760 6,300 23,092 Miscellaneous 7,622 45,697 49,316 46,425 Insurance 1,322 4,303 5,149 15,556 Interest and credit facility fee 502 2,161 1,770 6,198 Organization expense 15,409 -- -- -- ----------- ------------- ------------- ------------- Total expenses 580,140 2,825,189 3,510,617 5,373,701 ----------- ------------- ------------- ------------- Less: Waived and reimbursed fees 50,821 39,890 49,697 -- Earnings credits 1,023 1,615 -- -- ----------- ------------- ------------- ------------- Net expenses 528,296 2,783,684 3,460,920 5,373,701 ----------- ------------- ------------- ------------- Net investment income (loss) (253,178) (2,568,089) (2,952,208) 2,477,148 ----------- ------------- ------------- ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from investments 892,425 22,451,411 57,341,218 15,257,682 Net change in unrealized appreciation (depreciation) of investments (7,867,614) 146,205,625 105,716,659 (138,785,947) ----------- ------------- ------------- ------------- Net gain (loss) from investments (6,975,189) 168,657,036 163,057,877 (123,528,265) ----------- ------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $(7,228,367) $ 166,088,947 $ 160,105,669 $(121,051,117) =========== ============= ============= =============
See Accompanying Notes to Financial Statements 50 - ------------- International Equity Funds - ------------- STATEMENTS OF OPERATIONS (Unaudited) - --------------------------------------------------------------------------------
International International Emerging Asia-Pacific Worldwide Core Growth SmallCap Countries Equity Growth Fund Fund Growth Fund Fund Fund ----------- ---- ----------- ---- ---- Six Months Six Months Six Months Six Months Six Months Ended Ended Ended Ended Ended December 31, December 31, December 31, December 31, December 31, 1999 1999 1999 1999 1999 ---- ---- ---- ---- ---- INVESTMENT INCOME: Dividends, net of foreign taxes $ 293,672 $ 34,450 $ 295,394 $ 568,924 $ 213,267 Interest 395,011 48,446 523,579 57,554 35,724 Other investment income 4,335 1,413 16,351 13,841 813 ------------- ------------ ------------- ------------ ----------- Total investment income 693,018 84,309 835,324 640,319 249,804 ------------- ------------ ------------- ------------ ----------- EXPENSES: Investment management fees 1,478,047 271,309 1,117,692 1,171,249 209,002 Distribution expenses 783,336 125,408 382,128 259,892 89,667 Shareholder servicing fee 299,482 57,030 224,129 193,132 16,933 Transfer agent and registrar fees 144,638 62,400 128,825 192,514 87,504 Custodian fees 89,696 74,576 103,114 317,870 71,035 Shareholder reporting 57,133 15,360 17,889 48,505 4,365 Miscellaneous 37,707 11,538 17,023 13,066 6,267 Recordkeeping and pricing fees 20,555 18,464 16,918 41,433 2,290 Professional fees 15,401 4,378 9,546 11,259 312 Registration and filing fees 11,019 10,996 11,975 12,220 14,027 Directors' fees 3,960 1,259 1,980 3,240 1,045 Insurance 2,088 562 6,807 1,948 1,551 Interest and credit facility fee 1,412 7,507 14,067 22,786 4,674 Organization expense -- -- -- -- 15,409 ------------- ------------ ------------- ------------ ----------- Total expenses 2,944,474 660,787 2,052,093 2,289,114 524,081 ------------- ------------ ------------- ------------ ----------- Less: Waived and reimbursed fees -- 91,115 -- 187,646 96,661 ------------- ------------ ------------- ------------ ----------- Net expenses 2,944,474 569,672 2,052,093 2,101,468 427,420 ------------- ------------ ------------- ------------ ----------- Net investment loss (2,251,456) (485,363) (1,216,769) (1,461,149) (177,616) ------------- ------------ ------------- ------------ ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from: Investments (net of foreign tax on the sale of Indian investments of $0, $0, $536,127, $2,217,389 and $0, respectively -- Note 2) 12,055,922 3,186,860 30,390,067 21,071,176 4,004,272 Foreign currency transactions (384,274) (197,027) (666,597) (333,811) (37,679) Net change in unrealized appreciation (depreciation) of: Investments (net of change in estimated tax liability on Indian investments of $0, $0, $0, $1,294,392 and $0, respectively -- Note 2) 129,790,432 23,171,809 125,659,339 36,919,041 4,345,294 Translation of other assets, liabilities and forward contracts denominated in foreign currencies 9,682 43,619 21,921 (14,943) 240,249 ------------- ------------ ------------- ------------ ----------- Net gain from investments and foreign currencies 141,471,762 26,205,261 155,404,730 57,641,463 8,552,136 ------------- ------------ ------------- ------------ ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 139,220,306 $ 25,719,898 $ 154,187,961 $ 56,180,314 $ 8,374,520 ============= ============ ============= ============ ===========
See Accompanying Notes to Financial Statements 51 - ------ Income Funds - ------ STATEMENTS OF OPERATIONS (Unaudited) - --------------------------------------------------------------------------------
Government Strategic Securities Income High Yield High Yield Money Market Income Fund Fund Fund Fund II Fund ----------- ---- ---- ------- ---- Six Months Six Months Six Months Six Months Six Months December 31, December 31, December 31, December 31, December 31, 1999 1999 1999 1999 1999* ---- ---- ---- ---- ----- INVESTMENT INCOME: Dividends, net of foreign taxes $ -- $ 42,655 $ 4,556 $ 5,879 $ -- Interest 1,229,107 571,201 21,966,521 4,283,793 180,467 Other investment income 800 -- 110,009 84,840 -- ----------- --------- ------------ ----------- -------- Total investment income 1,229,907 613,856 22,081,086 4,374,512 180,467 ----------- --------- ------------ ----------- -------- EXPENSES: Investment management fees 85,505 33,218 1,203,016 232,379 -- Distribution expenses 76,974 32,757 1,199,762 239,826 25,177 Transfer agent and registrar fees 63,739 41,599 271,468 49,330 8,650 Registration and filing fees 29,512 11,144 59,666 10,689 29,527 Shareholder servicing fee 15,302 16,228 316,858 86,650 865 Custodian fees 14,533 4,339 27,785 11,667 2,993 Shareholder reporting 9,963 4,543 85,522 13,033 3,633 Professional fees 6,226 1,248 37,080 4,877 6,920 Recordkeeping and pricing fees 4,185 5,408 44,626 7,947 -- Miscellaneous 1,671 4,128 14,770 11,603 8,733 Directors' fees 1,304 1,261 20,520 3,960 346 Insurance 948 229 9,000 937 346 Interest and credit facility fee 328 130 18,333 5,317 -- Organization expenses -- -- -- -- 78,548 Administrative fee -- -- -- -- 8,387 ----------- --------- ------------ ----------- -------- Total expenses 310,190 156,232 3,308,406 678,215 174,125 ----------- --------- ------------ ----------- -------- Less: Waived and reimbursed fees -- 62,580 270,624 54,172 101,689 Earnings credits 1,003 208 3,580 2,492 225 ----------- --------- ------------ ----------- -------- Net expenses 309,187 93,444 3,034,202 621,551 72,211 ----------- --------- ------------ ----------- -------- Net investment income 920,720 520,412 19,046,884 3,752,961 108,256 ----------- --------- ------------ ----------- -------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized loss from: Investments (684,289) (633,114) (17,061,749) (3,013,286) -- Foreign currency transactions -- -- -- -- -- Net change in unrealized appreciation (depreciation) of: Investments (334,484) 75,528 (11,741,992) 291,900 -- Translation of other assets, liabilities and forward contracts denominated in foreign currencies -- 534 -- -- -- ----------- --------- ------------ ----------- -------- Net loss from investments and foreign currencies (1,018,773) (557,052) (28,803,741) (2,721,386) -- ----------- --------- ------------ ----------- -------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (98,053) $ (36,640) $ (9,756,857) $ 1,031,575 $108,256 =========== ========= ============ =========== ========
- ---------- * Fund commenced operations on July 12, 1999. See Accompanying Notes to Financial Statements 52 - ------------ Equity & Income Funds - ------------ STATEMENTS OF OPERATIONS (Unaudited) - -------------------------------------------------------------------------------- Balanced Fund Convertible Fund Six Months Six Months Ended Ended December 31, December 31, 1999 1999 INVESTMENT INCOME: Dividends, net of foreign taxes $196,157 $ 1,698,167 Interest 701,211 2,549,836 Other investment income 8,975 8,559 -------- ----------- Total investment income 906,343 4,256,562 -------- ----------- EXPENSES: Investment management fees 141,840 1,025,999 Distribution expenses 116,748 777,027 Transfer agent and registrar fees 55,851 146,378 Shareholder servicing fee 39,975 290,939 Shareholder reporting 9,221 67,962 Miscellaneous 7,477 36,342 Registration and filing fees 6,971 10,968 Custodian fees 5,707 38,531 Recordkeeping and pricing fees 4,164 21,306 Professional fees 2,353 18,207 Directors' fees 720 4,761 Insurance 525 2,636 Interest and credit facility fee 211 8,176 -------- ----------- Total expenses 391,763 2,449,232 -------- ----------- Less: Waived and reimbursed fees 45,421 -- Earnings credits 383 16,119 -------- ----------- Net expenses 345,959 2,433,113 -------- ----------- Net investment income 560,384 1,823,449 -------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain from: Investments 339,986 22,182,264 Foreign currency transactions -- -- Net change in unrealized appreciation of: Investments 25,730 60,745,085 Translation of other assets, liabilities and forward contracts denominated in foreign currencies 687 -- -------- ----------- Net gain from investments and foreign currencies 366,403 82,927,349 -------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $926,787 $84,750,798 ======== =========== See Accompanying Notes to Financial Statements 53 - ----------- U.S. Equity Funds - ----------- STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
MagnaCap Fund LargeCap Leaders Fund ---------------------------- -------------------------- Six Months Year Six Months Year Ended Ended Ended Ended Dec. 31, 1999 June 30, Dec. 31, 1999 June 30, (Unaudited) 1999 (Unaudited) 1999 ----------- ---- ----------- ---- Increase (decrease) in net assets from operations: Net investment income (loss) $ 228,983 $ 1,122,179 $ (183,700) $ (160,435) Net realized gain (loss) from investments (3,059,907) 49,186,475 2,174,345 3,547,281 Net change in unrealized appreciation (depreciation) of investments 12,313,998 17,754,811 384,417 1,974,289 ------------- ------------- ------------ ------------ Net increase (decrease) in net assets from operations 9,483,074 68,063,465 2,375,062 5,361,135 ------------- ------------- ------------ ------------ Distributions to shareholders: From net investment income: Retail class (1,050,366) (714,666) -- -- Advisory and institutional classes -- -- -- -- From net realized gains: Retail class (48,878,271) (45,964,037) (4,377,554) (706,104) Advisory and institutional classes -- -- -- -- ------------- ------------- ------------ ------------ Total distributions (49,928,637) (46,678,703) (4,377,554) (706,104) ------------- ------------- ------------ ------------ Capital Share Transactions: Net proceeds from sale of shares 92,860,623 272,199,176 6,846,987 16,009,174 Shares resulting from dividend reinvestments 45,856,781 37,748,339 4,015,050 647,165 Cost of shares redeemed (119,076,470) (270,865,970) (7,238,835) (11,675,377) Redemption of Class I shares n/a n/a n/a n/a ------------- ------------- ------------ ------------ Net increase (decrease) in net assets resulting from capital share transactions 19,640,934 39,081,545 3,623,202 4,980,962 ------------- ------------- ------------ ------------ Net increase (decrease) in net assets (20,804,629) 60,466,307 1,620,710 9,635,993 ------------- ------------- ------------ ------------ Net assets, beginning of period 501,687,465 441,221,158 38,380,395 28,744,402 ------------- ------------- ------------ ------------ Net assets, end of period $ 480,882,836 $ 501,687,465 $ 40,001,105 $ 38,380,395 ============= ============= ============ ============ Undistributed net investment income (loss) $ (285,070) $ 536,313 $ (183,723) $ -- ============= ============= ============ ============
See Accompanying Notes to Financial Statements 54 - --------------------------------------------------------------------------------
LargeCap Growth Fund MidCap Value Fund - ---------------------------------------------- ----------------------------- Six Months Three Months Year Six Months Year Ended Ended Ended Ended Ended Dec. 31, 1999 June 30, March 31, Dec. 31, 1999 June 30, (Unaudited) 1999 1999 (Unaudited) 1999 ----------- ---- ---- ----------- ---- $ (1,258,952) $ (163,823) $ (196,384) $ (253,178) $ (644,817) 2,130,380 2,418,689 5,409,155 892,425 426,848 119,317,768 6,320,924 9,499,395 (7,867,614) (1,161,622) - ------------- ------------- ------------ ------------ ------------ 120,189,196 8,575,790 14,712,166 (7,228,367) (1,379,591) - ------------- ------------- ------------ ------------ ------------ - ------------- ------------- ------------ ------------ ------------ - ------------- ------------- ------------ ------------ ------------ (2,952,299) -- (262,973) (275,279) (5,331,934) (132,325) -- (41,543) -- -- - ------------- ------------- ------------ ------------ ------------ (3,084,624) -- (304,516) (275,279) (5,331,934) - ------------- ------------- ------------ ------------ ------------ 256,187,566 52,500,065 35,925,823 2,884,385 13,030,899 2,520,992 -- 292,849 249,426 4,471,463 (28,877,614) (3,028,700) (11,532,699) (17,476,797) (31,686,611) n/a (6,420,194) -- n/a n/a - ------------- ------------- ------------ ------------ ------------ 229,830,944 43,051,171 24,685,973 (14,342,986) (14,184,249) - ------------- ------------- ------------ ------------ ------------ 346,935,516 51,626,961 39,093,623 (21,846,632) (20,895,774) - ------------- ------------- ------------ ------------ ------------ 102,963,948 51,336,987 12,243,364 60,395,740 81,291,514 - ------------- ------------- ------------ ------------ ------------ $ 449,899,464 $ 102,963,948 $ 51,336,987 $ 38,549,108 $ 60,395,740 ============= ============= ============ ============ ============ $ (1,258,524) $ -- $ (225,010) $ (253,178) $ -- ============= ============= ============ ============ ============
55 - ----------- U.S. Equity Funds - ----------- STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
MidCap Growth Fund ------------------------------------------------ Six Months Three Months Year Ended Ended Ended Dec. 31, 1999 June 30, March 31, (Unaudited) 1999 1999 ----------- ---- ---- Increase (decrease) in net assets from operations: Net investment income (loss) $ (2,568,089) $ (1,221,010) $ (4,514,125) Net realized gain from investments 22,451,411 37,699,336 47,761,620 Net change in unrealized appreciation (depreciation) of investments 146,205,625 (14,395,996) 8,536,297 ------------- ------------- --------------- Net increase (decrease) in net assets from operations 166,088,947 22,082,330 51,783,792 ------------- ------------- --------------- Distributions to shareholders: From net investment income: Retail class -- -- -- Advisory and institutional classes -- -- -- From net realized gains: Retail class (85,719,063) -- (17,157,024) Advisory and institutional classes (2,674,725) -- (6,615,537) ------------- ------------- --------------- Total distributions (88,393,788) -- (23,772,561) ------------- ------------- --------------- Capital Share Transactions: Net proceeds from sale of shares 63,746,696 14,162,841 158,133,048 Shares resulting from dividend reinvestments 78,989,743 -- 12,306,426 Cost of shares redeemed (69,680,686) (21,991,325) (249,866,820) Redemption of Class I shares n/a (168,592,944) -- ------------- ------------- --------------- Net increase (decrease) in net assets resulting from capital share transactions 73,055,753 (176,421,428) (79,427,346) ------------- ------------- --------------- Net increase (decrease) in net assets 150,750,912 (154,339,098) (51,416,115) ------------- ------------- --------------- Net assets, beginning of period 280,135,385 434,474,483 485,890,598 ------------- ------------- --------------- Net assets, end of period $ 430,886,297 $ 280,135,385 $ 434,474,483 ============= ============= =============== Undistributed net investment income (loss) $ (2,561,964) $ -- $ (21,862,409) ============= ============= =============== SmallCap Growth Fund ------------------------------------------------ Six Months Three Months Year Ended Ended Ended Dec. 31, 1999 June 30, March 31, (Unaudited) 1999 1999 ----------- ---- ---- Increase (decrease) in net assets from operations: Net investment income (loss) $ (2,952,208) $ (1,566,497) $ (7,200,570) Net realized gain from investments 57,341,218 67,438,450 86,043,833 Net change in unrealized appreciation (depreciation) of investments 105,716,659 (18,557,187) (93,770,559) ------------- ------------- --------------- Net increase (decrease) in net assets from operations 160,105,669 47,314,766 (14,927,296) ------------- ------------- --------------- Distributions to shareholders: From net investment income: Retail class -- -- -- Advisory and institutional classes -- -- -- From net realized gains: Retail class (153,336,602) -- (43,179,861) Advisory and institutional classes (5,061,980) -- (10,999,123) ------------- ------------- --------------- Total distributions (158,398,582) -- (54,178,984) ------------- ------------- --------------- Capital Share Transactions: Net proceeds from sale of shares 78,093,569 17,931,971 972,155,767 Shares resulting from dividend reinvestments 136,804,915 -- 42,870,637 Cost of shares redeemed (82,840,952) (33,776,345) (1,191,789,767) Redemption of Class I shares n/a (221,318,827) n/a ------------- ------------- --------------- Net increase (decrease) in net assets resulting from capital share transactions 132,057,532 (237,163,201) (176,763,363) ------------- ------------- --------------- Net increase (decrease) in net assets 133,764,619 (189,848,435) (245,869,643) ------------- ------------- --------------- Net assets, beginning of period 316,572,722 506,421,157 752,290,800 ------------- ------------- --------------- Net assets, end of period $ 450,337,341 $ 316,572,722 $ 506,421,157 ============= ============= =============== Undistributed net investment income (loss) $ (2,946,828) $ -- $ (36,692,610) ============= ============= ===============
See Accompanying Notes to Financial Statements 56 - -------------------------------------------------------------------------------- Bank and Thrift Fund - ------------------------------- Six Months Year Ended Ended Dec. 31, 1999 June 30, (Unaudited) 1999 ----------- ---- $ 2,477,148 $ 6,195,132 15,257,682 86,792,727 (138,785,947) (179,566,903) - ------------- ------------- (121,051,117) (86,579,044) - ------------- ------------- (3,904,766) (4,375,894) - ------------- ------------- (70,854,727) (19,782,011) - ------------- ------------- - ------------- ------------- (74,759,493) (24,157,905) - ------------- ------------- 32,346,555 306,625,647 58,397,188 15,433,927 (175,247,341) (374,806,089) n/a n/a - ------------- ------------- (84,503,598) (52,746,515) - ------------- ------------- (280,314,208) (163,483,464) - ------------- ------------- 745,624,955 909,108,419 - ------------- ------------- $ 465,310,747 $ 745,624,955 ============= ============= $ 1,883,755 $ 3,311,373 ============= ============= 57 - ------------- International Equity Funds - ------------- STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
Worldwide Growth Fund ------------------------------------------------ Six Months Three Months Year Ended Ended Ended Dec. 31, 1999 June 30, March 31, (Unaudited) 1999 1998 ----------- ---- ---- Increase (decrease) in net assets from operations: Net investment income (loss) $ (2,251,456) $ (238,891) $ (1,461,258) Net realized gain (loss) from investment and foreign currency transactions (net of foreign tax on the sale of Indian investments -- Note 2) 11,671,648 4,825,170 34,449,340 Net change in unrealized appreciation of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies (net of estimated tax liability on Indian investments -- Note 2) 129,800,114 20,367,556 12,614,021 ------------- ------------- ------------- Net increase (decrease) in net assets from operations 139,220,306 24,953,835 45,602,103 ------------- ------------- ------------- Distributions to shareholders: From net investment income: Retail class -- -- (136,708) Advisory and institutional classes -- -- (337,084) From net realized gains: Retail class (34,182,894) -- (20,785,812) Advisory and institutional classes (3,489,639) -- (483,831) ------------- ------------- ------------- Total distributions (37,672,533) -- (21,743,435) ------------- ------------- ------------- Capital Share Transactions: Net proceeds from sale of shares 180,134,322 53,831,659 242,170,764 Shares resulting from dividend reinvestments 33,052,950 -- 5,494,245 Cost of shares redeemed (69,026,984) (25,822,612) (168,874,579) Redemption of Class I shares n/a (80,662,778) -- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions 144,160,288 (52,653,731) 78,790,430 ------------- ------------- ------------- Net increase (decrease) in net assets 245,708,061 (27,699,896) 102,649,098 ------------- ------------- ------------- Net assets, beginning of period 220,302,784 248,002,680 145,353,582 ------------- ------------- ------------- Net assets, end of period $ 466,010,845 $ 220,302,784 $ 248,002,680 ============= ============= ============= Undistributed net investment income (loss) $ (2,245,389) $ -- $ (7,189,744) ============= ============= ============= International Core Growth Fund ----------------------------------------------- Six Months Three Months Year Ended Ended Ended Dec. 31, 1999 June 30, March 31, (Unaudited) 1999 1999 ----------- ---- ---- Increase (decrease) in net assets from operations: Net investment income (loss) $ (485,363) $ 69,633 $ (310,557) Net realized gain (loss) from investment and foreign currency transactions (net of foreign tax on the sale of Indian investments -- Note 2) 2,989,833 3,913,039 (528,900) Net change in unrealized appreciation of investments and translation of other assets, liabilities and forward contract denominated in foreign currencies (net of estimated tax liability on Indian investments -- Note 2) 23,215,428 4,018,188 13,512,294 ------------ ------------- ------------- Net increase (decrease) in net assets from operations 25,719,898 8,000,860 12,672,837 ------------ ------------- ------------- Distributions to shareholders: From net investment income: Retail class -- -- (205,129) Advisory and institutional classes -- -- (29,622) From net realized gains: Retail class (2,344,213) -- (155,723) Advisory and institutional classes (593,453) -- (13,021) ------------ ------------- ------------- Total distributions (2,937,666) -- (403,495) ------------ ------------- ------------- Capital Share Transactions: Net proceeds from sale of shares 49,618,685 35,644,077 173,884,589 Shares resulting from dividend reinvestments 2,747,513 -- 228,203 Cost of shares redeemed (44,977,289) (47,242,674) (82,311,581) Redemption of Class I shares n/a (112,851,333) -- ------------ ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions 7,388,909 (124,449,930) 91,801,211 ------------ ------------- ------------- Net increase (decrease) in net assets 30,171,141 (116,449,070) 104,070,553 ------------ ------------- ------------- Net assets, beginning of period 45,768,532 162,217,602 58,147,049 ------------ ------------- ------------- Net assets, end of period $ 75,939,673 $ 45,768,532 $ 162,217,602 ============ ============= ============= Undistributed net investment income (loss) $ (417,370) $ 69,633 $ (647,924) ============ ============= =============
See Accompanying Notes to Financial Statements 58 - --------------------------------------------------------------------------------
International SmallCap Growth Fund Emerging Countries Fund - ------------------------------------------------ ------------------------------------------------- Six Months Three Months Year Six Months Three Months Year Ended Ended Ended Ended Ended Ended Dec. 31, 1999 June 30, March 31, Dec. 31, 1999 June 30, March 31, (Unaudited) 1999 1999 (Unaudited) 1999 1999 ----------- ---- ---- ----------- ---- ---- $ (1,216,769) $ (217,461) $ (725,193) $ (1,461,149) $ (30,573) $ (444,466) 29,723,470 5,331,912 8,225,524 20,737,365 11,238,884 (83,823,307) 125,681,260 11,694,205 14,357,916 36,904,098 51,126,351 10,517,870 - ------------- ------------- ------------- ------------- ------------- ------------- 154,187,961 16,808,656 21,858,247 56,180,314 62,334,662 (73,749,903) - ------------- ------------- ------------- ------------- ------------- ------------- -- -- -- -- -- (105,494) -- -- (76,552) -- -- (676,244) (11,790,032) -- (2,163,953) -- -- (685,405) (5,303,390) -- (1,836,179) -- -- (431,659) - ------------- ------------- ------------- ------------- ------------- ------------- (17,093,422) -- (4,076,684) -- -- (1,898,802) - ------------- ------------- ------------- ------------- ------------- ------------- 281,218,070 48,190,262 194,823,908 57,531,374 38,136,033 234,887,012 15,794,503 -- 3,425,742 -- -- 1,499,434 (117,960,880) (30,396,046) (142,304,879) (62,382,619) (31,982,656) (160,102,083) n/a (73,163,306) -- n/a (167,510,018) -- - ------------- ------------- ------------- ------------- ------------- ------------- 179,051,693 (55,369,090) 55,944,771 (4,851,245) (161,356,641) 76,284,363 - ------------- ------------- ------------- ------------- ------------- ------------- 316,146,232 (38,560,434) 73,726,334 51,329,069 (99,021,979) 635,658 - ------------- ------------- ------------- ------------- ------------- ------------- 118,056,357 156,616,791 82,890,457 183,184,199 282,206,178 281,570,520 - ------------- ------------- ------------- ------------- ------------- ------------- $ 434,202,589 $ 118,056,357 $ 156,616,791 $ 234,513,268 $ 183,184,199 $ 282,206,178 ============= ============= ============= ============= ============= ============= $ (1,216,494) $ -- $ (1,982,021) $ (1,461,149) $ -- $ (2,164,624) ============= ============= ============= ============= ============= =============
59 - ------------- International Equity Funds - ------------- STATEMENTS OF CHANGES IN NET ASSETS - -------------------------------------------------------------------------------- Asia-Pacific Equity Fund ------------------------------ Six Months Year Ended Ended Dec. 31, 1999 June 30, (Unaudited) 1999 ----------- ---- Increase (decrease) in net assets from operations: Net investment loss $ (177,616) $ (83,355) Net realized gain (loss) from investment and foreign currency transactions 3,966,593 (6,670,421) Net change in unrealized appreciation of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies 4,585,543 20,223,587 ------------ ------------- Net increase in net assets from operations 8,374,520 13,469,811 ------------ ------------- Distributions to shareholders: From net investment income: Retail class -- -- Advisory and institutional classes -- n/a From net realized gains: Retail class -- -- Advisory and institutional classes -- n/a ------------ ------------- Total distributions -- -- ------------ ------------- Capital Share Transactions: Net proceeds from sale of shares 51,914,161 137,827,549 Shares resulting from dividend reinvestments -- -- Cost of shares redeemed (51,193,069) (143,882,119) Redemption of Class I shares n/a n/a ------------ ------------- Net increase (decrease) in net assets resulting from capital share transactions 721,092 (6,054,570) ------------ ------------- Net increase in net assets 9,095,612 7,415,241 ------------ ------------- Net assets, beginning of period 32,560,537 25,145,296 ------------ ------------- Net assets, end of period $ 41,656,149 $ 32,560,537 ============ ============= Overdistributed net investment income $ (177,616) $ -- ============ ============= See Accompanying Notes to Financial Statements 60 - ------ Income Funds - ------ STATEMENTS OF CHANGES IN NET ASSETS - -------------------------------------------------------------------------------- Government Securities Income Fund --------------------------------- Six Months Year Ended Ended Dec. 31, 1999 June 30, (Unaudited) 1999 ----------- ---- Increase (decrease) in net assets from operations: Net investment income $ 920,720 $ 2,202,024 Net realized gain (loss) from investment and foreign currency transactions (684,289) (852,058) Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies (334,484) (887,365) ------------ ------------ Net increase (decrease) in net assets from operations (98,053) 462,601 ------------ ------------ Distributions to shareholders: From net investment income: Retail class (1,002,286) (2,211,069) Advisory and institutional classes -- -- From net realized gains: Retail class -- -- Advisory and institutional classes -- -- ------------ ------------ Total distributions (1,002,286) (2,211,069) ------------ ------------ Capital Share Transactions: Net proceeds from sale of shares 17,579,508 54,413,622 Net proceeds from shares issued in merger n/a n/a Shares resulting from dividend reinvestmests 474,383 1,167,365 Cost of shares redeemed (18,634,159) (46,715,437) Redemption of Class I shares n/a n/a ------------ ------------ Net increase (decrease) in net assets resulting from capital share transactions (580,268) 8,865,550 ------------ ------------ Net increase (decrease) in net assets (1,680,607) 7,117,082 ------------ ------------ Net assets, beginning of period 34,242,820 27,125,738 ------------ ------------ Net capital share transactions $ 32,562,213 $ 34,242,820 ============ ============ Undistributed net investment income (loss) $ (81,566) $ -- ============ ============
Strategic Income Fund --------------------------------------------- Six Months Three Months Year Ended Ended Ended Dec. 31, 1999 June 30, March 31, (Unaudited) 1999 1999 ----------- ---- ---- Increase (decrease) in net assets from operations: Net investment income $ 520,412 $ 388,563 $ 1,615,239 Net realized gain (loss) from investment and foreign currency transactions (633,114) (459,604) 330,860 Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies 76,062 (72,404) (372,395) ------------ ------------ ------------ Net increase (decrease) in net assets from operations (36,640) (143,445) 1,573,704 ------------ ------------ ------------ Distributions to shareholders: From net investment income: Retail class (502,294) (187,766) (621,335) Advisory and institutional classes (6,586) (121,982) (934,712) From net realized gains: Retail class -- -- (151,772) Advisory and institutional classes -- -- (442,876) ------------ ------------ ------------ Total distributions (508,880) (309,748) (2,150,695) ------------ ------------ ------------ Capital Share Transactions: Net proceeds from sale of shares 5,598,746 24,148,535 30,254,792 Net proceeds from shares issued in merger n/a n/a 10,271,727 Shares resulting from dividend reinvestmests 262,621 108,053 1,714,149 Cost of shares redeemed (9,432,990) (25,920,629) (20,857,342) Redemption of Class I shares n/a (17,917,765) n/a ------------ ------------ ------------ Net increase (decrease) in net assets resulting from capital share transactions (3,571,623) (19,581,806) 21,383,326 ------------ ------------ ------------ Net increase (decrease) in net assets (4,117,143) (20,034,999) 20,806,335 ------------ ------------ ------------ Net assets, beginning of period 16,530,324 36,565,323 15,758,988 ------------ ------------ ------------ Net capital share transactions $ 12,413,181 $ 16,530,324 $ 36,565,323 ============ ============ ============ Undistributed net investment income (loss) $ 149,553 $ 138,021 $ 59,206 ============ ============ ============
See Accompanying Notes to Financial Statements 61 - ------ Income Funds - ------ STATEMENTS OF CHANGES IN NET ASSETS - -------------------------------------------------------------------------------- High Yield Fund ------------------------------ Six Months Year Ended Ended Dec. 31, 1999 June 30, (Unaudited) 1999 ----------- ---- Increase (decrease) in net assets from operations: Net investment income $ 19,046,884 $ 32,082,228 Net realized loss from investment and foreign currency transactions (17,061,749) (39,880,708) Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies (11,741,992) (9,008,796) ------------- ------------- Net increase (decrease) in net assets from operations (9,756,857) (16,807,276) ------------- ------------- Distributions to shareholders: From net investment income: Retail class (20,000,833) (33,382,295) Advisory and institutional classes (2) -- Tax return of capital Retail class -- (604,370) Advisory and institutional classes -- -- ------------- ------------- Total distributions (20,000,835) (33,986,665) ------------- ------------- Capital Share Transactions: Net proceeds from sale of shares 76,584,151 338,787,788 Net proceeds from shares issued in merger n/a n/a Shares resulting from dividend reinvestments 7,958,487 15,394,375 Cost of shares redeemed (97,091,886) (162,095,950) Redemption of Class I shares n/a n/a ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions (12,549,248) 192,086,213 ------------- ------------- Net increase (decrease) in net assets (42,306,940) 141,292,272 ------------- ------------- Net assets, beginning of period 417,803,960 276,511,688 ------------- ------------- Net capital share transactions $ 375,497,020 $ 417,803,960 ============= ============= Undistributed net investment income (loss) $ (953,951) $ -- ============= =============
High Yield Fund II ---------------------------------------------- Six Months Three Months Year Ended Ended Ended Dec. 31, 1999 June 30, March 31, (Unaudited) 1999 1999 ----------- ---- ---- Increase (decrease) in net assets from operations: Net investment income $ 3,752,961 $ 2,117,917 $ 7,088,233 Net realized loss from investment and foreign currency transactions (3,013,286) (1,651,059) (2,958,000) Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies 291,900 1,222,666 (2,908,667) ------------ ------------ ------------- Net increase (decrease) in net assets from operations 1,031,575 1,689,524 1,221,566 ------------ ------------ ------------- Distributions to shareholders: From net investment income: Retail class (3,548,741) (1,816,752) (6,010,027) Advisory and institutional classes (224,262) (243,368) (1,342,628) Tax return of capital Retail class -- -- -- Advisory and institutional classes -- -- -- ------------ ------------ ------------- Total distributions (3,773,003) (2,060,120) (7,352,655) ------------ ------------ ------------- Capital Share Transactions: Net proceeds from sale of shares 21,355,286 5,060,774 103,808,906 Net proceeds from shares issued in merger n/a n/a n/a Shares resulting from dividend reinvestments 1,501,404 636,667 3,545,605 Cost of shares redeemed (23,628,556) (12,563,115) (31,561,090) Redemption of Class I shares n/a (11,636,641) -- ------------ ------------ ------------- Net increase (decrease) in net assets resulting from capital share transactions (771,866) (18,502,315) 75,793,421 ------------ ------------ ------------- Net increase (decrease) in net assets (3,513,294) (18,872,911) 69,662,332 ------------ ------------ ------------- Net assets, beginning of period 80,524,199 99,397,110 29,734,778 ------------ ------------ ------------- Net capital share transactions $ 77,010,905 $ 80,524,199 $ 99,397,110 ============ ============ ============= Undistributed net investment income (loss) $ (213,962) $ (193,920) $ (251,717) ============ ============ =============
Money Market Fund ----------------- Period* Ended Dec. 31, 1999 (Unaudited) ----------- Increase (decrease) in net assets from operations: Net investment income $ 108,256 Net realized loss from investment and foreign currency transactions -- Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies -- ------------ Net increase (decrease) in net assets from operations 108,256 ------------ Distributions to shareholders: From net investment income: Retail class (108,256) Advisory and institutional classes -- Tax return of capital Retail class -- Advisory and institutional classes -- ------------ Total distributions (108,256) ------------ Capital Share Transactions: Net proceeds from sale of shares 51,798,028 Net proceeds from shares issued in merger n/a Shares resulting from dividend reinvestments 42,285 Cost of shares redeemed (32,023,970) Redemption of Class I shares n/a ------------ Net increase (decrease) in net assets resulting from capital share transactions 19,816,343 ------------ Net increase (decrease) in net assets 19,816,343 ------------ Net assets, beginning of period -- ------------ Net capital share transactions $ 19,816,343 ============ Undistributed net investment income (loss) -- ============ - ---------- * Fund commenced operations on July 12, 1999. See Accompanying Notes to Financial Statements 62 - ------------ Equity & Income Funds - ------------ STATEMENTS OF CHANGES IN NET ASSETS - -------------------------------------------------------------------------------- Balanced Fund -------------------------------------------- Six Months Three Months Year Ended Ended Ended Dec. 31, 1999 June 30, March 31, (Unaudited) 1999 1999 ----------- ---- ---- Increase (decrease) in net assets from operations: Net investment income $ 560,384 $ 149,349 $ 568,429 Net realized gain from investment and foreign currency transactions 339,986 4,490,910 3,763,578 Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies 26,417 (4,167,142) 1,187,390 ------------ ------------ ------------ Net increase in net assets from operations 926,787 473,117 5,519,397 ------------ ------------ ------------ Distributions to shareholders: From net investment income: Retail class (788,649) (96,590) (606,434) Advisory and institutional classes (4,652) (798) (29,342) From net realized gains: Retail class (7,318,123) -- (5,988,621) Advisory and institutional classes (37,408) -- (133,020) ------------ ------------ ------------ Total distributions (8,148,832) (97,388) (6,757,417) ------------ ------------ ------------ Capital Share Transactions: Net proceeds from sale of shares 4,830,273 2,993,582 12,882,116 Shares resulting from dividend reinvestments 6,970,005 41,034 5,548,500 Cost of shares redeemed (5,327,455) (2,512,012) (12,665,619) Redemption of Class I shares n/a n/a n/a ------------ ------------ ------------ Net increase (decrease) in net assets resulting from capital share transactions 6,472,823 522,604 5,764,997 ------------ ------------ ------------ Net increase (decrease) in net assets (749,222) 898,333 4,526,977 ------------ ------------ ------------ Net assets, beginning of period 38,296,244 37,397,911 32,870,934 ------------ ------------ ------------ Net assets, end of period $ 37,547,022 $ 38,296,244 $ 37,397,911 ============ ============ ============ Undistributed net investment income (loss) $ (248,930) $ (16,013) $ (67,974) ============ ============ ============ Convertible Fund --------------------------------------------- Six Months Three Months Year Ended Ended Ended Dec. 31, 1999 June 30, March 31, (Unaudited) 1999 1999 ----------- ---- ---- Increase (decrease) in net assets from operations: Net investment income $ 1,823,449 $ 1,054,881 $ 5,162,409 Net realized gain from investment and foreign currency transactions 22,182,264 13,167,798 25,455,864 Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies 60,745,085 3,889,849 19,262,427 ------------- ------------- ------------- Net increase in net assets from operations 84,750,798 18,112,528 49,880,700 ------------- ------------- ------------- Distributions to shareholders: From net investment income: Retail class (1,536,909} (742,927) (2,822,214) Advisory and institutional classes (205,044) (88,744) (2,357,057) From net realized gains: Retail class (38,767,375) -- (3,158,579) Advisory and institutional classes (3,361,907) -- (915,964) ------------- ------------- ------------- Total distributions (43,871,235) (831,671) (9,253,814) ------------- ------------- ------------- Capital Share Transactions: Net proceeds from sale of shares 65,358,045 28,114,039 83,841,725 Shares resulting from dividend reinvestments 37,665,804 465,422 6,950,787 Cost of shares redeemed (40,307,820) (13,251,963) (66,351,226) Redemption of Class I shares n/a (91,378,691) -- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions 62,716,029 (76,051,193) 24,441,286 ------------- ------------- ------------- Net increase (decrease) in net assets 103,595,592 (58,770,336) 65,068,172 ------------- ------------- ------------- Net assets, beginning of period 259,037,310 317,807,646 252,739,474 ------------- ------------- ------------- Net assets, end of period $ 362,632,902 $ 259,037,310 $ 317,807,646 ============= ============= ============= Undistributed net investment income (loss) $ 276,833 $ 195,337 $ (27,873) ============= ============= ============= See Accompanying Notes to Financial Statements 63 Financial PILGRIM MAGNACAP FUND Highlights - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A ------------------------------------------------------------------- Six months ended Year ended June 30, Dec. 31, 1999 ------------------------------------------------- (unaudited) 1999 1998 1997 1996 1995(1) ----------- ---- ---- ---- ---- ------- Per Share Operating Performance: Net asset value, beginning of period $ 17.69 17.07 15.92 16.69 14.03 12.36 Income from investment operations: Net investment income (loss) $ 0.02 0.07 0.04 0.10 0.09 0.12 Net realized and unrealized gains on investments $ 0.39 2.37 3.02 4.16 2.87 2.29 Total from investment operations $ 0.41 2.44 3.06 4.26 2.96 2.41 Less distributions from: Net investment income $ 0.05 0.04 0.06 0.12 0.06 0.14 Net realized gains on investments $ 1.79 1.78 1.85 4.91 0.24 0.60 Net asset value, end of period $ 16.26 17.69 17.07 15.92 16.69 14.03 Total Return(3): % 2.28 15.93 20.53 30.82 21.31 20.61 Ratios/Supplemental Data: Net assets, end of period (000's) $ 343,628 368,508 348,759 290,355 235,393 211,330 Ratios to average net assets: Expenses(4) % 1.44 1.35 1.37 1.46 1.68 1.59 Net investment income (loss)(4) % 0.27 0.41 0.29 0.64 0.54 0.98 Portfolio turnover rate % 15 48 53 77 15 6 Class B -------------------------------------------------------- Six months July 17, ended Year ended June 30, 1995(2) to Dec. 31, 1999 -------------------------- June 30, (unaudited) 1999 1998 1997 1996 ----------- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 17.36 16.86 15.81 16.59 14.22 Income from investment operations: Net investment income (loss) $ (0.03) (0.04) (0.04) -- 0.06 Net realized and unrealized gains on investments $ 0.37 2.32 2.97 4.13 2.61 Total from investment operations $ 0.34 2.28 2.93 4.13 2.67 Less distributions from: Net investment income $ -- -- 0.03 -- 0.06 Net realized gains on investments $ 1.79 1.78 1.85 4.91 0.24 Net asset value, end of period $ 15.91 17.36 16.86 15.81 16.59 Total Return(3): % 1.90 15.12 19.76 29.92 18.98 Ratios/Supplemental Data: Net assets, end of period (000's) 109,428 116,227 77,787 37,427 10,509 Ratios to average net $ assets: Expenses(4) 2.14 2.05 2.07 2.16 2.38 Net investment income % (loss)(4) (0.42) (0.29) (0.41) (0.04) 0.07 Portfolio turnover rate % 15 48 53 77 15
% Class C ---------------------------- Six months June 1, ended 1999(2) to Dec. 31, 1999 June 30, (unaudited) 1999 ----------- ---- Per Share Operating Performance: Net asset value, beginning of period $ 17.37 16.69 Income from investment operations: Net investment income (loss) $ (0.08) -- Net realized and unrealized gains on investments $ 0.41 0.68 Total from investment operations $ 0.33 0.68 Less distributions from: Net investment income $ -- -- Net realized gains on investments $ 1.79 -- Net asset value, end of period $ 15.91 17.37 Total Return(3): % 1.84 4.07 Ratios/Supplemental Data: Net assets, end of period (000's) $ 2,684 601 Ratios to average net assets: Expenses(4) % 2.14 1.12 Net investment income (loss)(4) % (0.42) 0.42 Portfolio turnover rate % 15 48 Class M ------------------------------------------------------- Six months July 17, ended Year ended June 30, 1995(2) to Dec. 31, 1999 -------------------------- June 30, (unaudited) 1999 1998 1997 1996 ----------- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 17.51 16.95 15.87 16.63 14.22 Income from investment operations: Net investment income (loss) $ (0.01) (0.01) -- 0.02 0.08 Net realized and unrealized gains on investments $ 0.37 2.35 2.98 4.16 2.63 Total from investment operations $ 0.36 2.34 2.98 4.18 2.71 Less distributions from: Net investment income $ 0.01 -- 0.05 0.03 0.06 Net realized gains on investments $ 1.79 1.78 1.85 4.91 0.24 Net asset value, end of period $ 16.07 17.51 16.95 15.87 16.63 Total Return(3): % 2.02 15.41 20.00 30.26 19.26 Ratios/Supplemental Data: Net assets, end of period (000's) $ 15,146 16,351 14,675 6,748 1,961 Ratios to average net assets: Expenses(4) % 1.89 1.80 1.82 1.91 2.13 Net investment income (loss)(4) % (0.18) (0.04) (0.16) 0.22 0.32 Portfolio turnover rate % 15 48 53 77 15 - ---------- (1) Pilgrim Investments, Inc., the Fund's Investment Manager, acquired certain assets of Pilgrim Management Corporation, the Fund's former Investment Manager, in a transaction that closed on April 7, 1995. (2) Commencement of offering shares. (3) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (4) Annualized. 64 Financial Highlights PILGRIM LARGECAP LEADERS FUND - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A --------------------------------------------------------------- Six months ended Ten months Dec. 31, Year ended June 30, ended 1999 ------------------------------ June 30, (unaudited) 1999 1998(2) 1997 1996(1) ----------- ---- ------- ---- ------- Per Share Operating Performance: Net asset value, beginning of period $ 17.35 14.70 14.17 11.77 10.00 Income from investment operations: Net investment income (loss) $ (0.04) -- 0.01 0.06 0.07 Net realized and unrealized gains on investments $ 1.12 3.00 2.30 2.63 1.87 Total from investment operations $ 1.08 3.00 2.31 2.69 1.94 Less distributions from: Net investment income $ -- -- -- 0.05 0.08 Net realized gains on investments $ 2.00 0.35 1.78 0.24 0.09 Net asset value, end of period $ 16.43 17.35 14.70 14.17 11.77 Total Return(4): % 6.62 20.66 17.71 23.24 19.56 Ratios/Supplemental Data: Net assets, end of period (000's) $ 9,305 8,506 7,606 8,961 2,530 Ratios to average net assets: Net expenses after expense reimbursement(5) % 1.75 1.75 1.75 1.75 1.75 Gross expenses prior to expense reimbursement(5) % 1.80 1.98 2.28 2.33 5.44 Net investment income (loss) after expense reimbursement(5) % (0.42) (0.04) 0.03 0.41 0.65 Portfolio turnover rate % 10 87 78 86 59 Class B --------------------------------------------------- Six months ended Ten months Dec. 31, Year ended June 30, ended 1999 ------------------------ June 30, (unaudited) 1999 1998(2) 1997 1996(1) ----------- ---- ------- ---- ------- Per Share Operating Performance: Net asset value, beginning of period $ 16.90 14.44 14.04 11.71 10.00 Income from investment operations: Net investment income (loss) $ (0.07) (0.09) (0.10) (0.02) 0.06 Net realized and unrealized gains on investments $ 1.07 2.90 2.28 2.59 1.81 Total from investment operations $ 1.00 2.81 2.18 2.57 1.87 Less distributions from: Net investment income $ -- -- -- -- 0.07 Net realized gains on investments $ 2.00 0.35 1.78 0.24 0.09 Net asset value, end of period $ 15.90 16.90 14.44 14.04 11.71 Total Return(4): % 6.31 19.71 16.91 22.23 18.85 Ratios/Supplemental Data: Net assets, end of period (000's) $ 24,748 24,213 15,605 13,611 1,424 Ratios to average net assets: Net expenses after expense reimbursement(5) % 2.50 2.50 2.50 2.50 2.50 Gross expenses prior to expense reimbursement(5) % 2.55 2.73 3.03 3.08 5.79 Net investment income (loss) after expense reimbursement(5) % (1.17) (0.79) (0.72) (0.35) (0.25) Portfolio turnover rate % 10 87 78 86 59 Class C -------------------------- Six months ended June 17, Dec. 31, 1999(3) to 1999 June 30, (unaudited) 1999 ----------- ---- Per Share Operating Performance: Net asset value, beginning of period $ 16.92 16.54 Income from investment operations: Net investment income (loss) $ (0.03) -- Net realized and unrealized gains on investments $ 1.02 0.38 Total from investment operations $ 0.99 0.38 Less distributions from: Net investment income $ -- -- Net realized gains on investments $ 2.00 -- Net asset value, end of period $ 15.91 16.92 Total Return(4): % 6.24 2.30 Ratios/Supplemental Data: Net assets, end of period (000's) $ 353 -- Ratios to average net assets: Net expenses after expense reimbursement(5) % 2.50 -- Gross expenses prior to expense reimbursement(5) % 2.55 -- Net investment income (loss) after expense reimbursement(5) % (1.17) -- Portfolio turnover rate % 10 87 Class M -------------------------------------------------- Six months ended Ten months Dec. 31, Year ended June 30, ended 1999 ------------------------ June 30, (unaudited) 1999 1998(2) 1997 1996(1) ----------- ---- ------- ---- ------- Per Share Operating Performance: Net asset value, beginning of period $ 17.08 14.55 14.10 11.73 10.00 Income from investment operations: Net investment income (loss) $ (0.07) (0.09) (0.07) -- 0.06 Net realized and unrealized gains on investments $ 1.08 2.97 2.30 2.62 1.83 Total from investment operations $ 1.01 2.88 2.23 2.62 1.89 Less distributions from: Net investment income $ -- -- -- 0.01 0.07 Net realized gains on investments $ 2.00 0.35 1.78 0.24 0.09 Net asset value, end of period $ 16.09 17.08 14.55 14.10 11.73 Total Return(4): % 6.30 20.04 17.20 22.58 19.06 Ratios/Supplemental Data: Net assets, end of period (000's) $ 5,594 5,661 5,533 4,719 1,240 Ratios to average net assets: Net expenses after expense reimbursement(5) % 2.25 2.25 2.25 2.25 2.25 Gross expenses prior to expense reimbursement(5) % 2.30 2.48 2.78 2.83 5.90 Net investment income (loss) after expense reimbursement(5) % (0.92) (0.54) (0.47) (0.10) 0.06 Portfolio turnover rate % 10 87 78 86 59 - ---------- (1) The Fund commenced options on September 1, 1995. (2) Effective November 1997, Pilgrim Investments, Inc. assumed the portfolio investmen responsibilities of the Fund from ARK Asset Management Company, Inc. (3) Commencement of offering shares. (4) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return information for less than one year is not annualized. (5) Annualized. 65 Financial PILGRIM LARGECAP GROWTH FUND Highlights - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period. Class A --------------------------------------------- Six months Three ended months Year July 21, Dec. 31, ended ended 1997(1) to 1999 June 30, March 31, March 31, (unaudited) 1999(2) 1999 1998 ----------- ------- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 28.09 24.94 15.73 12.50 Income from investment operations: Net investment income (loss) $ (0.07) (0.02) (0.08) (0.03) Net realized and unrealized gains on investments $ 12.71 3.17 9.77 3.29 Total from investment operations $ 12.64 3.15 9.69 3.26 Less distributions from: Net investment income $ -- -- -- -- Net realized gains on investments $ 0.38 -- 0.48 0.03 Net asset value, end of period $ 40.35 28.09 24.94 15.73 Total Return(3): % 45.32 12.63 63.06 62.35 Ratios/Supplemental Data: Net assets, end of period (000's) $ 118,232 30,108 12,445 4,742 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.25 1.43 1.59 1.60 Gross expenses prior to expense reimbursement(4) % 1.25 1.45 2.24 4.70 Net investment income (loss) after expense reimbursement(4) % (0.69) (0.56) (0.65) (0.87) Portfolio turnover % 84 27 253 306 Class B ----------------------------------------------- Six months Three ended months Year July 21, Dec. 31, ended ended 1997(1) to 1999 June 30, March 31, March 31, (unaudited) 1999(2) 1999 1998 ----------- ------- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 28.15 25.04 15.64 12.50 Income from investment operations: Net investment income (loss) $ (0.13) (0.05) (0.08) (0.07) Net realized and unrealized gains on investments $ 12.68 3.16 9.71 3.24 Total from investment operations $ 12.55 3.11 9.63 3.17 Less distributions from: Net investment income $ -- -- -- -- Net realized gains on investments $ 0.38 -- 0.23 0.03 Net asset value, end of period $ 40.32 28.15 25.04 15.64 Total Return(3): % 44.90 12.42 62.28 61.08 Ratios/Supplemental Data: Net assets, end of period (000's) $ 227,042 49,057 20,039 3,187 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.90 2.08 2.24 2.25 Gross expenses prior to expense reimbursement(4) % 1.90 2.10 2.89 4.78 Net investment income (loss) after expense reimbursement(4) % (1.33) (1.21) (1.28) (1.36) Portfolio turnover % 84 27 253 306 Class C --------------------------------------------- Six months Three ended months Year July 21, Dec. 31, ended ended 1997(1) to 1999 June 30, March 31, March 31, unaudited) 1999(2) 1999 1998 ---------- ------- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 28.07 24.97 15.63 12.50 Income from investment operations: Net investment income (loss) $ (0.13) (0.06) (0.07) (0.05) Net realized and unrealized gains on investments $ 12.65 3.16 9.65 3.24 Total from investment operations $ 12.52 3.10 9.58 3.19 Less distributions from: Net investment income $ -- -- -- -- Net realized gains on investments $ 0.38 -- 0.24 0.06 Net asset value, end of period $ 40.21 28.07 24.97 15.63 Total Return(3): % 44.92 12.41 61.97 61.38 Ratios/Supplemental Data: Net assets, end of period (000's) $ 87,229 17,755 8,004 960 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.90 2.08 2.25 2.25 Gross expenses prior to expense reimbursement(4) % 1.90 2.10 2.90 7.79 Net investment income (loss) after expense reimbursement(4) % (1.33) (1.21) (1.26) (1.49) Portfolio turnover % 84 27 253 306
- ---------- (1) The Fund commenced operations on July 21, 1997. (2) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (3) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (4) Annualized. 66 Financial Highlights PILGRIM MIDCAP VALUE FUND - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period. Class A ------------------------------------------------- Six months Three ended months Dec. 31, Year ended June 30, ended 1999 ------------------------ June 30, (unaudited) 1999 1998 1997 1996(1) ----------- ---- ---- ---- ------- Per Share Operating Performance: Net asset value, beginning of period $ 15.65 16.79 14.64 11.99 10.00 Income from investment operations: Net investment income (loss) $ (0.09) (0.09) (0.07) (0.02) 0.13 Net realized and unrealized gains on investments $ (1.61) 0.12 2.71 2.85 1.91 Total from investment operations $ (1.70) 0.03 2.64 2.83 2.04 Less distributions from: Net investment income $ -- -- -- 0.07 0.05 Net realized gains on investments $ 0.09 1.17 0.49 0.11 -- Net asset value, end of period $ 13.86 15.65 16.79 14.64 11.99 Total Return(3): % (10.88) 0.95 18.40 23.89 20.48 Ratios/Supplemental Data: Net assets, end of period (000's) $ 11,221 18,621 27,485 16,985 2,389 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.75 1.75 1.75 1.75 1.75 Gross expenses prior to expense reimbursement(4) % 1.96 1.79 1.78 1.94 4.91 Net investment income (loss) after expense reimbursement(4) % (0.60) (0.48) (0.53) (0.13) 2.00 Portfolio turnover rate % 95 109 85 86 60 Class B --------------------------------------------------- Six months ended Ten months Dec. 31, ended 1999 June 30, (unaudited) 1999 1998 1997 1996(1) Per Share Operating Performance: Net asset value, beginning of period $ 15.21 16.47 14.49 11.94 10.00 Income from investment operations: Net investment income (loss) $ (0.18) (0.21) (0.18) (0.05) 0.07 Net realized and unrealized gains on investments $ (1.52) 0.12 2.65 2.76 1.90 Total from investment operations $ (1.70) (0.09) 2.47 2.71 1.97 Less distributions from: Net investment income $ -- -- -- 0.05 0.03 Net realized gains on investments $ 0.09 1.17 0.49 0.11 -- Net asset value, end of period $ 13.42 15.21 16.47 14.49 11.94 Total Return(3): % (11.19) 0.21 17.40 22.95 19.80 Ratios/Supplemental Data: Net assets, end of period (000's) $ 20,593 31,223 40,575 23,258 2,123 Ratios to average net assets: Net expenses after expense reimbursement(4) % 2.50 2.50 2.50 2.50 2.50 Gross expenses prior to expense reimbursement(4) % 2.71 2.54 2.53 2.69 5.32 Net investment income (loss) after expense reimbursement(4) % (1.35) (1.23) (1.28) (0.90) 1.27 Portfolio turnover rate % 95 109 85 86 60 Class C ------------------------ Six months ended June 2, Dec. 31, 1999 to 1999 June 30, (unaudited) 1999(2) ----------- ------- Per Share Operating Performance: Net asset value, beginning of period $ 15.20 14.84 Income from investment operations: Net investment income (loss) $ (0.02) (0.02) Net realized and unrealized gains on investments $ (1.68) 0.38 Total from investment operations $ (1.70) 0.36 Less distributions from: Net investment income $ -- -- Net realized gains on investments $ 0.09 -- Net asset value, end of period $ 13.41 15.20 Total Return(3): % (11.20) 2.43 Ratios/Supplemental Data: Net assets, end of period (000's) $ 179 47 Ratios to average net assets: Net expenses after expense reimbursement(4): % 2.50 2.50 Gross expenses prior to expense reimbursement(4): % 2.71 2.54 Net investment income (loss) after expense reimbursement(4): % (1.35) (1.23) Portfolio turnover rate % 95 109 Class M ----------------------------------------------------- Six months ended Ten months Dec. 31, ended 1999 June 30, (unaudited) 1999 1998 1997 1996(1) ----------- ---- ---- ---- ------- Per Share Operating Performance: Net asset value, beginning of period $ 15.30 16.52 14.49 11.93 10.00 Income from investment operations: Net investment income (loss) $ (0.16) (0.17) (0.15) (0.03) 0.06 Net realized and unrealized gains on investments $ (1.53) 0.12 2.67 2.76 1.91 Total from investment operations $ (1.69) (0.05) 2.52 2.73 1.97 Less distributions from: Net investment income $ -- -- -- 0.06 0.04 Net realized gains on investments $ 0.09 1.17 0.49 0.11 -- Net asset value, end of period $ 13.52 15.30 16.52 14.49 11.93 Total Return(3): % (11.06) 0.46 17.76 23.21 19.82 Ratios/Supplemental Data: Net assets, end of period (000's) $ 6,556 10,504 13,232 8,378 1,731 Ratios to average net assets: Net expenses after expense reimbursement(4): % 2.25 2.25 2.25 2.25 2.25 Gross expenses prior to expense reimbursement(4): % 2.46 2.29 2.28 2.44 4.72 Net investment income (loss) after expense reimbursement(4): % (1.10) (0.98) (1.03) (0.63) 1.16 Portfolio turnover rate % 95 109 85 86 60 - ---------- (1) The Fund commenced operations on September 1, 1995. (2) Commencement of offering shares. (3) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (4) Annualized. 67 Financial PILGRIM MIDCAP GROWTH FUND Highlights - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A ---------------------------------------------------------------------- Six months Three ended months Dec. 31, ended Year ended March 31, 1999 June 30, ---------------------------------------------- (unaudited) 1999(1) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 21.34 19.93 18.63 16.80 18.37 13.61 13.25 Income from investment operations: Net investment income (loss) $ (0.11) (0.06) (0.50) (0.14) (0.17) (0.18) (0.10) Net realized and unrealized gains on investments $ 11.64 1.47 3.17 6.50 0.57 4.94 0.46 Total from investment operations $ 11.53 1.41 2.67 6.36 0.40 4.76 0.36 Less distributions from: Net investment income $ -- -- -- -- -- -- -- Net realized gains on investments $ 7.03 -- 1.37 4.53 1.97 -- -- Net asset value, end of period $ 25.84 21.34 19.93 18.63 16.80 18.37 13.61 Total Return(3): % 62.66 7.07 15.36 41.81 1.09 35.07 2.72 Ratios/Supplemental Data: Net assets, end of period (000's) $ 111,000 66,586 67,550 90,619 76,108 77,275 65,292 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.35 1.49 1.56 1.57 1.60 1.58 1.59 Gross expenses prior to expense reimbursement(4) % 1.37 1.50 1.64 1.66 1.56 1.56 1.63 Net investment income (loss) after expense reimbursement(4) % (1.21) (1.20) (1.04) (1.33) (1.05) (0.91) (0.66) Portfolio turnover % 154 55 154 200 153 114 98 Class B ----------------------------------------------------------------- Six months Three ended months May 31, Dec. 31, ended Year ended March 31, 1995(2) to 1999 June 30, -------------------------- March 31, (unaudited) 1999(1) 1999 1998 1997 1996 ----------- ------- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 25.18 23.54 21.55 16.33 16.25 12.50 Income from investment operations: Net investment income (loss) $ (0.19) (0.11) (0.42) (0.25) (0.17) (0.09) Net realized and unrealized gains on investments $ 13.67 1.75 3.42 6.74 0.25 3.84 Total from investment operations $ 13.48 1.64 3.00 6.49 0.08 3.75 Less distributions from: Net investment income $ -- -- -- -- -- -- Net realized gains on investments $ 8.28 -- 1.01 1.27 -- -- Net asset value, end of period $ 30.38 25.18 23.54 21.55 16.33 16.25 Total Return(3): % 62.09 6.97 14.59 40.84 (0.49) 30.00 Ratios/Supplemental Data: Net assets, end of period (000's) $ 85,201 49,335 45,876 46,806 29,002 11,186 Ratios to average net assets: Net expenses after expense reimbursement(4) % 2.00 2.14 2.22 2.22 2.25 2.22 Gross expenses prior to expense reimbursement(4) % 2.02 2.14 2.29 2.21 2.66 3.39 Net investment income (loss) after expense reimbursement(4) % (1.84) (1.85) (1.69) (1.99) (1.69) (1.61) Portfolio turnover % 154 55 154 200 153 114 Class C ------------------------------------------------------------------------- Six months Three ended months Dec. 31, ended Year ended March 31, 1999 June 30, ------------------------------------------------- (unaudited) 1999(1) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 19.78 18.49 17.15 16.48 18.06 13.45 13.18 Income from investment operations: Net investment income (loss) $ (0.16) (0.09) (0.61) (0.28) (0.32) (0.27) (0.17) Net realized and unrealized gains on investments $ 10.74 1.38 2.97 6.26 0.62 4.88 0.44 Total from investment operations $ 10.58 1.29 2.36 5.98 0.30 4.61 0.27 Less distributions from: Net investment income $ -- -- -- -- -- -- -- Net realized gains on investments $ 6.50 -- 1.02 5.31 1.88 -- -- Net asset value, end of period $ 23.86 19.78 18.49 17.15 16.48 18.06 13.45 Total Return(3): % 62.05 6.98 14.60 40.95 0.56 34.28 2.05 Ratios/Supplemental Data: Net assets, end of period (000's) $ 220,867 144,832 141,685 166,849 157,501 177,461 143,390 Ratios to average net assets: Net expenses after expense reimbursement(4) % 2.00 2.14 2.23 2.27 2.14 2.14 2.24 Gross expenses prior to expense reimbursement(4) % 2.02 2.14 2.30 2.33 2.17 2.14 2.24 Net investment income (loss) after expense reimbursement(4) % (1.84) (1.85) (1.70) (2.01) (1.59) (1.47) (1.30) Portfolio turnover % 154 55 154 200 153 114 98
- ---------- (1) Effective May 24, 1999, Pilgrim Investment Inc. became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (2) Commencement of offering shares. (3) Total return is calculated assuming reinvestment of dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (4) Annualized. 68 Financial Highlights PILGRIM SMALLCAP GROWTH FUND - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A ------------------------------------------------------------------------- Six months Three ended months Dec. 31, ended Year ended March 31, 1999 June 30, ------------------------------------------------ (unaudited) 1999(1) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 19.08 16.72 19.75 15.15 17.93 13.06 12.10 Income from investment operations: Net investment income (loss) $ (0.09) (0.06) (0.85) (0.08) (0.22) (0.20) (0.16) Net realized and unrealized gains (loss) on investments $ 8.27 2.42 0.69 6.91 (0.66) 5.09 1.12 Total from investment operations $ 8.18 2.36 (0.16) 6.83 (0.88) 4.89 0.96 Less distributions from: Net investment income $ -- -- -- -- -- -- -- Net realized gains on investments $ 9.73 -- 2.87 2.23 1.90 0.02 -- Net asset value, end of period $ 17.53 19.08 16.72 19.75 15.15 17.93 13.06 Total Return(3): % 53.23 14.11 0.37 46.32 (6.26) 37.48 7.93 Ratios/Supplemental Data: Net assets, end of period (000's) $ 148,392 102,641 94,428 201,943 121,742 138,155 106,725 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.59 1.70 1.85 1.89 1.72 1.74 1.86 Gross expenses prior to expense reimbursement(4) % 1.63 1.74 1.95 1.90 1.72 1.74 1.84 Net investment income (loss) after expense reimbursement(4) % (1.31) (1.46) (1.32) (1.85) (1.26) (1.20) (1.27) Portfolio turnover % 48 32 90 92 113 130 100 Class B ----------------------------------------------------------------- Six months Three ended months May 31, Dec. 31, ended Year ended March 31, 1995(2) to 1999 June 30, -------------------------- March 31, (unaudited) 1999(1) 1999 1998 1997 1996 ----------- ------- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 24.05 21.12 22.53 15.51 16.69 12.50 Income from investment operations: Net investment income (loss) $ (0.16) (0.12) (0.53) (0.27) (0.21) (0.14) Net realized and unrealized gains (loss) on investments $ 10.40 3.05 0.33 7.29 (0.97) 4.33 Total from investment operations $ 10.24 2.93 (0.20) 7.02 (1.18) 4.19 Less distributions from: Net investment income $ -- -- -- -- -- -- Net realized gains on investments $ 12.24 -- 1.21 -- -- -- Net asset value, end of period $ 22.05 24.05 21.12 22.53 15.51 16.69 Total Return(3): % 52.82 13.87 (0.29) 45.26 (7.07) 33.52 Ratios/Supplemental Data: Net assets, end of period (000's) $ 76,897 49,448 45,140 55,215 28,030 13,626 Ratios to average net assets: Net expenses afte expense reimbursement(4) % 2.24 2.35 2.57 2.62 2.61 2.58 Gross expenses prior to expense reimbursement(4) % 2.28 2.39 2.66 2.63 2.73 3.26 Net investment income (loss) after expense reimbursement(4) % (1.96) (2.11) (2.03) (2.59) (2.13) (2.09) Portfolio turnover % 48 32 90 92 113 130 Class C -------------------------------------------------------------------------- Six months Three ended months Dec. 31, ended Year ended March 31, 1999 June 30, ------------------------------------------------- (unaudited) 1999(1) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 18.81 16.51 18.62 14.69 17.62 12.96 12.07 Income from investment operations: Net investment income (loss) $ (0.13) (0.09) (0.84) (0.38) (0.31) (0.29) (0.22) Net realized and unrealized gains on investments $ 8.14 2.39 0.61 6.84 (0.63) 5.03 1.11 Total from investment operations $ 8.11 2.30 (0.23) 6.46 (0.94) 4.74 0.89 Less distributions from: Net investment income $ -- -- -- -- -- -- -- Net realized gains on investments $ 9.57 -- 1.88 2.53 1.99 0.08 -- Net asset value, end of period $ 17.25 18.81 16.51 18.62 14.69 17.62 12.96 Total Return(3): % 52.94 13.93 (0.24) 45.40 (6.81) 37.18 7.37 Ratios/Supplemental Data: Net assets, end of period (000's) $ 213,994 153,471 144,597 225,025 182,907 207,332 157,292 Ratios to average net assets: Net expenses after expense reimbursement(4) % 2.24 2.35 2.51 2.57 2.35 2.35 2.44 Gross expenses prior to expense reimbursement(4) % 2.28 2.39 2.60 2.59 2.35 2.35 2.44 Net investment income (loss) after expense reimbursement(4) % (1.96) (2.11) (1.97) (2.53) (1.89) (1.81) (1.85) Portfolio turnover % 48 32 90 92 113 130 100
- ---------- (1) Effective May 24, 1999, Pilgrim Investments Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (2) Commencement of offering shares. (3) Total return is calculated assuming reinvestment of dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (4) Annualized. 69 Financial PILGRIM BANK AND THRIFT FUND Highlights - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A ------------------------------------------------------------------ Six months Six ended Year months Dec. 31, ended ended Year ended December 31, 1999 June 30, June 30, ------------------------------- (unaudited) 1999 1998(3) 1997 1996 1995(1) 1994 ----------- ---- ------- ---- ---- ------- ---- Per Share Operating Performance: Net asset value, beginning of year $ 24.38 27.52 25.87 17.84 14.83 10.73 11.87 Income (loss) from . investment operations: Net investment income $ 0.15 0.29 0.11 0.34 0.32 0.31 0.26 Net realized and unrealized gains (loss) on investments $ (4.21) (2.70) 1.54 10.83 5.18 4.78 (0.53) Total from investment operations $ (4.06) (2.41) 1.65 11.17 5.50 5.09 (0.27) Less distributions from: Net investment income $ 0.25 0.18 -- 0.31 0.35 0.34 0.22 Net realized gains on investments $ 2.73 0.55 -- 2.65 2.14 0.65 0.65 Tax return of capital $ -- -- -- 0.18 -- -- -- Net asset value, end of year $ 17.34 24.38 27.52 25.87 17.84 14.83 10.73 Closing market price, end of year -- -- -- -- 15.75 12.88 9.13 Total Investment Return At Market Value(4) % -- -- -- -- 43.48 52.81 (8.85) Total Investment Return At Net Asset Value(5) % (18.04) (8.61) 6.38 64.86 41.10 49.69 (1.89) Ratios/Supplemental Data: Net assets, end of year ($millions) $ 258 403 549 383 252 210 152 Ratio to average net assets: Expenses(6) % 1.43 1.39 1.20 1.10 1.01 1.05 1.28 Net investment income(6) % 1.15 1.09 0.94 1.39 1.94 2.37 2.13 Portfolio turnover rate % 5 29 2 22 21 13 14
Class B --------------------------------------------- Six months Six ended Year months Oct. 20, Dec. 31, ended ended 1997(2) to 1999 June 30, June 30, Dec. 31, (unaudited) 1999 1998(3) 1997 ----------- ---- ------- ---- Per Share Operating Performance: Net asset value, beginning of year $ 24.21 27.40 25.85 25.25 Income (loss) from investment operations: Net investment income 0.05 0.08 0.01 0.04 Net realized and $ unrealized gains (loss) on investments (4.17) (2.66) 1.54 2.92 Total from investment $ operations (4.12) (2.58) 1.55 2.96 Less distributions from: $ Net investment income 0.03 0.06 -- 0.04 Net realized gains on $ investments 2.73 0.55 -- 2.04 Tax return of capital $ -- -- -- 0.28 Net asset value, end of year $ 17.33 24.21 27.40 25.85 Closing market price, end % of year -- -- -- -- Total Investment Return At Market Value(4) $ -- -- -- -- Total Investment Return At Net Asset Value(5) (18.34) (9.31) 6.00 11.88 Ratios/Supplemental Data: Net assets, end of year % ($millions) 207 343 360 76 Ratio to average net % assets: Expenses(6) 2.18 2.14 1.95 1.89 Net investment income(6) % 0.40 0.34 0.19 0.99 Portfolio turnover rate % 5 29 2 22 - ---------- (1) Pilgrim Investments, Inc., the Fund's Investment Manager, acquired certain assets of Pilgrim Management Corporation, the Fund's former Investment Manager, in a transaction that closed on April 7, 1995. (2) Commencement of offering shares. (3) Effective June 30, 1998, Bank and Thrift Fund changed its year end to June 30. (4) Total return was calculated at market value without deduction of sales commissions and assuming reinvestment of all dividends and distributions during the period. (5) Total return is calculated at net asset value without deduction of sales commissions and assumes reinvestment of all dividends and distributions during the period. Total investment returns based on net asset value, which can be higher or lower than market value, may result in substantially different returns than total return based on market value. For all periods prior to January 1, 1997, the total returns presented are unaudited. (6) Annualized. 70 Financial Highlights PILGRIM WORLDWIDE GROWTH FUND - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A -------------------------------------------------------------------------- Six months Three ended months Dec. 31, ended Year ended March 31, 1999 June 30, ------------------------------------------------ (unaudited) 1999(1) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 23.58 21.39 19.33 16.88 16.57 14.29 14.94 Income from investment operations: Net investment income (loss) $ (0.11) -- (0.02) 0.04 (0.16) (0.07) (0.05) Net realized and unrealized gains (loss) on investments $ 10.71 2.19 5.78 5.33 2.20 2.86 (0.09) Total from investment operations $ 10.60 2.19 5.76 5.37 2.04 2.79 (0.14) Less distributions from: Net investment income $ -- -- 0.06 -- -- 0.12 0.02 Net realized gains on investments $ 3.07 -- 3.64 2.92 1.73 0.39 0.49 Net asset value, end of period $ 31.11 23.58 21.39 19.33 16.88 16.57 14.29 Total Return(3): % 47.79 10.24 33.56 34.55 12.51 19.79 (0.90) Ratios/Supplemental Data: Net assets, end of period (000's) $ 150,384 66,245 49,134 38,647 24,022 23,481 22,208 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.61 1.75 1.86 1.86 1.85 1.85 1.85 Gross expenses prior to expense reimbursement(4) % 1.61 1.75 2.02 2.21 2.17 2.17 2.18 Net investment income (loss) after expense reimbursement(4) % (1.13) (0.03) (0.62) (0.69) (0.93) (0.35) (0.42) Portfolio turnover % 92 57 247 202 182 132 99 Class B ------------------------------------------------------------------------ Six months Three ended months May 31, Dec. 31, ended Year ended March 31, 1995(2) to 1999 June 30, ----------------------------- March 31, (unaudited) 1999(1) 1999 1998 1997 1996 ----------- ------- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 26.64 24.21 20.10 16.02 14.34 12.50 Income from investment operations: Net investment income (loss) $ (0.17) (0.03) (0.08) (0.17) (0.14) (0.05) Net realized and unrealized gains (loss) on investments $ 12.02 2.46 6.25 5.44 1.82 1.89 Total from investment operations $ 11.85 2.43 6.17 5.27 1.68 1.84 Less distributions from: Net investment income $ -- -- 0.01 -- -- -- Net realized gains on investments $ 3.46 -- 2.05 1.19 -- -- Net asset value, end of period $ 35.03 26.64 24.21 20.10 16.02 14.34 Total Return(3): % 47.25 10.04 32.74 34.03 11.72 14.72 Ratios/Supplemental Data: Net assets, end of period (000's) $ 82,286 27,938 18,556 10,083 5,942 1,972 Ratios to average net assets: Net expenses after expense reimbursement(4) % 2.26 2.40 2.51 2.51 2.50 2.50 Gross expenses prior to expense reimbursement(4) % 2.26 2.40 2.67 2.70 4.81 9.50 Net investment income (loss) after expense reimbursement(4) % (1.78) (0.68) (1.31) (1.37) (1.62) (1.28) Portfolio turnover % 92 57 247 202 182 132 Class C -------------------------------------------------------------------------------------- Six months Three ended months Dec. 31, ended Year ended March 31, 1999 June 30, -------------------------------------------- (unaudited) 1999(1) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 23.69 21.52 19.05 16.92 16.76 14.44 14.86 Income from investment operations: Net investment income (loss) $ (0.19) (0.04) (0.20) (0.19) (0.28) (0.21) (0.15) Net realized and unrealized gains (loss) on investments $ 10.72 2.21 5.83 5.41 2.23 2.92 (0.08) Total from investment operations $ 10.53 2.17 5.63 5.22 1.95 2.71 (0.23) Less distributions from: Net investment income $ -- -- 0.01 -- -- 0.01 -- Net realized gains on investments $ 3.08 -- 3.15 3.09 1.79 0.38 0.19 Net asset value, end of period $ 31.14 23.69 21.52 19.05 16.92 16.76 14.44 Total Return(3): % 47.25 10.08 32.73 33.72 11.81 18.95 (1.49) Ratios/Supplemental Data: Net assets, end of period (000's) $ 190,853 111,250 98,470 84,292 70,345 71,155 71,201 Ratios to average net assets: Net expenses after expense reimbursement(4) % 2.26 2.40 2.51 2.51 2.50 2.50 2.50 Gross expenses prior to expense reimbursement(4) % 2.26 2.40 2.67 2.77 2.61 2.57 2.57 Net investment income (loss) after expense reimbursement(4) % (1.78) (0.68) (1.28) (1.34) (1.57) (0.99) (1.06) Portfolio turnover % 92 57 247 202 182 132 99
- ---------- (1) Effective May 24, 1999, Pilgrim Investments Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (2) Commencement of offering shares. (3) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (4) Annualized. 71 Financial PILGRIM INTERNATIONAL CORE GROWTH FUND Highlights - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A ------------------------------------------------------------- Six months Three ended months February 28, Dec. 31, ended Year ended March 31, 1997(1) to 1999 June 30, -------------------- March 31, (unaudited) 1999(2) 1999 1998 1997 Per Share Operating Performance: Net asset value, beginning of period $ 18.92 17.71 17.01 12.73 12.50 Income from investment operations: Net investment income (loss) $ (0.15) 0.04 (0.01) (0.02) -- Net realized and unrealized gains on investments $ 9.74 1.17 1.02 4.56 0.23 Total from investment operations $ 9.59 1.21 1.01 4.54 0.23 Less distributions from: Net investment income $ -- -- 0.18 -- -- Net realized gains on investments $ 1.16 -- 0.13 0.26 -- Net asset value, end of period $ 27.35 18.92 17.71 17.01 12.73 Total Return(3): % 52.07 6.83 5.90 36.10 1.76 Ratios/Supplemental Data: Net assets, end of period (000's) $ 19,460 12,409 21,627 12,664 2 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.75 1.77 1.89 1.96 1.95 Gross expenses prior to expense reimbursement(4) % 2.11 1.86 2.13 3.02 4,579.78 Net investment income (loss) after expense reimbursement(4) % (1.47) 0.50 (0.51) (0.45) 0.00 Portfolio turnover % 103 67 214 274 76 Class B ---------------------------------------------------------- Six months Three ended months February 28, Dec. 31, ended Year ended March 31, 1997(1) to 1999 June 30, -------------------- March 31, (unaudited) 1999(2) 1999 1998 1997 ----------- ------- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 19.08 17.89 17.10 12.68 12.50 Income from investment operations: Net investment income (loss) $ (0.20) -- (0.16) (0.11) -- Net realized and unrealized gains on investments $ 9.76 1.19 1.05 4.66 0.18 Total from investment operations $ 9.56 1.19 0.89 4.55 0.18 Less distributions from: Net investment income $ -- -- 0.03 -- -- Net realized gains on investments $ 1.16 -- 0.07 0.13 -- Net asset value, end of period $ 27.48 19.08 17.89 17.10 12.68 Total Return(3): % 51.40 6.65 5.24 35.31 1.44 Ratios/Supplemental Data: Net assets, end of period (000's) $ 19,465 12,034 11,033 7,942 1 Ratios to average net assets: Net expenses after expense reimbursement(4) % 2.40 2.36 2.53 2.61 2.59 Gross expenses prior to expense reimbursement(4) % 2.76 2.45 2.77 3.04 16,000.25 Net investment income (loss) after expense reimbursement(4) % (2.12) (0.09) (1.13) (1.32) 0.00 Portfolio turnover % 103 67 214 274 76 Class C ---------------------------------------------------------- Six Months Three ended months February 28, Dec. 31, ended Year ended March 31, 1997(1) to 1999 June 30, ------------------- March 31, (unaudited) 1999(2) 1999 1998 1997 ----------- ------- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 19.14 17.94 17.16 12.68 12.50 Income from investment operations: Net investment income (loss) $ (0.21) -- (0.05) (0.07) -- Net realized and unrealized gains on investments $ 9.80 1.20 0.94 4.55 0.18 Total from investment operations $ 9.59 1.20 0.89 4.48 0.18 Less distributions from: Net investment income $ -- -- 0.11 -- -- Net realized gains on investments $ 1.16 -- -- -- -- Net asset value, end of period $ 27.57 19.14 17.94 17.16 12.68 Total Return(3): % 51.46 6.69 5.22 35.25 1.44 Ratios/Supplemental Data: Net assets, end of period (000's) $ 21,104 11,936 10,400 3,517 43 Ratios to average net assets: Net expenses after expense reimbursement(4) % 2.40 2.36 2.55 2.61 2.41 Gross expenses prior to expense reimbursement(4) % 2.76 2.45 2.79 5.10 25.55 Net investment income (loss) after expense reimbursement(4) % (2.12) (0.09) (1.19) (1.27) (0.07) Portfolio turnover % 103 67 214 274 76
- ---------- (1) The Fund commenced operations on February 28, 1997. (2) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (3) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (4) Annualized. 72 Financial Highlights PILGRIM INTERNATIONAL SMALLCAP GROWTH FUND - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A -------------------------------------------------------------------------- Six months Three ended months August 31, Dec. 31, ended Year ended March 31, 1994(1) to 1999 June 30, ------------------------------------- March 31, (unaudited) 1999(3) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 23.80 21.03 19.29 14.92 13.15 11.51 12.50 Income from investment operations: Net investment income (loss) $ (0.14) (0.03) 0.02 (0.15) 0.04 (0.02) -- Net realized and unrealized gains on investments $ 19.00 2.80 3.21 5.36 1.88 1.79 (0.98) Total from investment . operations $ 18.86 2.77 3.23 5.21 1.92 1.77 (0.98) Less distributions from: Net investment income $ -- -- -- -- 0.01 0.13 0.01 Net realized gains on investments $ 2.06 -- 1.49 0.84 0.14 -- -- Net asset value, end of period $ 40.60 23.80 21.03 19.29 14.92 13.15 11.51 Total Return(4): % 81.29 13.17 17.26 36.31 14.67 15.46 (7.85) Ratios/Supplemental Data: Net assets, end of period (000's) $ 146,057 37,490 25,336 11,183 5,569 1,056 610 Ratios to average net assets: Net expenses after expense reimbursement(5) % 1.65 1.84 1.94 1.96 1.95 1.95 1.95 Gross expenses prior to expense reimbursement(5) % 1.66 1.86 2.08 2.75 3.76 10.06 9.77 Net investment income (loss) after expense reimbursement(5) % (1.40) (0.69) (0.82) (1.56) (1.05) (0.27) (0.07) Portfolio turnover % 71 44 146 198 206 141 75 Class B ----------------------------------------------------------------- Six months Three ended months May 31, Dec. 31, ended Year ended March 31, 1995(2) to 1999 June 30, --------------------------- March 31, (unaudited) 1999(3) 1999 1998 1997 1996 ----------- ------- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 25.33 22.43 20.16 15.89 13.96 12.50 Income from investment operations: Net investment income (loss) $ (0.24) (0.07) (0.20) (0.15) (0.15) (0.02) Net realized and unrealized gains on investments $ 20.12 2.97 3.46 5.56 2.09 1.48 Total from investment operations $ 19.88 2.90 3.26 5.41 1.94 1.46 Less distributions from: Net investment income $ -- -- -- -- 0.01 -- Net realized gains on investments $ 2.19 -- 0.99 1.14 -- -- Net asset value, end of period $ 43.02 25.33 22.43 20.16 15.89 13.96 Total Return(4): % 80.57 12.93 16.55 35.73 13.96 11.68 Ratios/Supplemental Data: Net assets, end of period (000's) $ 77,785 19,331 16,158 12,033 5,080 1,487 Ratios to average net assets: Net expenses after expense reimbursement(5) % 2.30 2.49 2.59 2.61 2.60 2.60 Gross expenses prior to expense reimbursement(5) % 2.31 2.51 2.73 2.98 4.89 16.15 Net investment income (loss) after expense reimbursement(5) % (2.02) (1.34) (1.45) (2.20) (1.66) (0.64) Portfolio turnover % 71 44 146 198 206 141 Class C ----------------------------------------------------------------------------- Six months Three ended months August 31, Dec. 31, ended Year ended March 31, 1994(1) to 1999 June 30, ------------------------------------- March 31, (unaudited) 1999(3) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 23.34 20.60 18.53 14.87 13.05 11.32 12.50 Income from investment operations: Net investment income (loss) $ (0.19) (0.06) (0.10) (0.11) (0.16) 0.01 (0.04) Net realized and unrealized gains on investments $ 18.36 2.80 3.09 5.09 1.98 1.72 (1.12) Total from investment operations $ 18.17 2.74 2.99 4.98 1.82 1.73 (1.16) Less distributions from: Net investment income $ -- -- -- -- -- -- 0.02 Net realized gains on investments $ 2.01 -- 0.92 1.32 -- -- -- Net asset value, end of period $ 39.50 23.34 20.60 18.53 14.87 13.05 11.32 Total Return(4): % 80.48 13.31 16.55 35.63 13.98 15.30 (9.25) Ratios/Supplemental Data: Net assets, end of period (000's) $ 72,787 18,354 13,226 8,014 3,592 933 24 Ratios to average net assets: Net expenses after expense reimbursement(5) % 2.30 2.49 2.59 2.61 2.60 2.60 2.61 Gross expenses prior to expense reimbursement(5) % 2.31 2.51 2.73 3.38 3.95 16.15 75.37 Net investment income (loss) after expense reimbursement(5) % (2.02) (1.34) (1.45) (2.18) (1.67) (1.02) (0.76) Portfolio turnover % 71 44 146 198 206 141 75
- ---------- (1) The Fund commenced operations on August 31, 1994. (2) Commencement of share offerings. (3) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (4) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (5) Annualized. 73 Financial PILGRIM EMERGING COUNTRIES FUND Highlights - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A --------------------------------------------------------------------- Six months Three ended months Nov. 28, Dec. 31, ended Year Ended March 31, 1994(1) to 1999 June 30, -------------------------------- Mar. 31, (unaudited) 1999(3) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 16.74 13.43 17.39 17.20 14.03 11.00 12.50 Income from investment operations: Net investment income (loss) $ (0.12) (0.05) (0.06) 0.03 (0.06) (0.04) 0.04 Net realized and unrealized gains (loss) on investments $ 5.39 3.36 (3.81) 1.22 3.51 3.15 (1.54) Total from investment operations $ 5.27 3.31 (3.87) 1.25 3.45 3.11 (1.50) Less distributions from: Net investment income $ -- -- 0.02 -- -- 0.02 -- Net realized gains on investments $ -- -- 0.07 1.06 0.28 0.06 -- Net asset value, end of period $ 22.01 16.74 13.43 17.39 17.20 14.03 11.00 Total Return(4): % 31.64 24.65 (22.23) 8.06 24.79 28.43 (11.98) Ratios/Supplemental Data: Net assets, end of period (000's) $ 68,449 53,483 47,180 71,014 38,688 4,718 1,197 Ratio to average net assets: Net expenses after expense reimbursement(5) % 2.07 2.13 2.27 2.26 2.25 2.25 2.25 Gross expenses prior to expense reimbursement(5) % 2.29 2.66 2.56 2.48 3.08 6.72 6.15 Net investment income (loss) after expense reimbursement(5) % (1.40) (1.30) (0.25) 0.55 (1.14) (0.35) 1.09 Portfolio turnover % 110 67 213 243 176 118 61 Class B ------------------------------------------------------------- Six months Three ended months May 31, Dec. 31, ended Year Ended March 31, 1995(2) to 1999 June 30, ------------------------ March 31, (unaudited) 1999(3) 1999 1998 1997 1996 ----------- ------- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 16.98 13.64 17.64 17.29 14.02 12.50 Income from investment operations: Net investment income (loss) $ (0.18) (0.07) (0.22) (0.07) (0.11) (0.04) Net realized and unrealized gains (loss) on investments $ 5.44 3.41 (3.70) 1.26 3.47 1.56 Total from investment operations $ 5.26 3.34 (3.92) 1.19 3.36 1.52 Less distributions from: Net investment income $ -- -- -- -- -- -- Net realized gains on investments $ -- -- 0.08 0.84 0.09 -- Net asset value, end of period $ 22.24 16.98 13.64 17.64 17.29 14.02 Total Return(4): % 31.21 24.49 (22.23) 7.47 24.00 12.16 Ratios/Supplemental Data: Net assets, end of period (000's) $ 33,019 26,342 22,338 38,796 24,558 3,557 Ratio to average net assets: Net expenses after expense reimbursement(5) % 2.72 2.75 2.91 2.91 2.90 2.90 Gross expenses prior to expense reimbursement(5) % 2.94 3.28 3.20 3.06 3.66 7.58 Net investment income (loss) after expense reimbursement(5) % (2.07) (1.92) (0.80) (0.20) (1.77) (1.05) Portfolio turnover % 110 67 213 243 176 118 Class C ----------------------------------------------------------------------- Six months Three ended months Nov. 28, Dec. 31, ended Year Ended March 31, 1994(1) to 1999 June 30, --------------------------------- Mar. 31, (unaudited) 1999(3) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 16.35 13.14 16.98 16.81 13.71 10.79 12.50 Income from investment operations: Net investment income (loss) $ (0.17) (0.07) (0.27) (0.12) (0.10) (0.05) -- Net realized and unrealized gains (loss) on investments $ 5.24 3.28 (3.49) 1.26 3.37 2.97 (1.70) Total from investment operations $ 5.07 3.21 (3.76) 1.14 3.27 2.92 (1.70) Less distributions from: Net investment income $ -- -- -- -- -- -- 0.01 Net realized gains on investments $ -- -- 0.08 0.97 0.17 -- -- Net asset value, end of period $ 21.42 16.35 13.14 16.98 16.81 13.71 10.79 Total Return(4): % 31.25 24.43 (22.21) 7.47 23.94 27.30 (13.64) Ratios/Supplemental Data: Net assets, end of period (000's) $ 30,442 24,230 19,246 36,986 29,376 4,345 59 Ratio to average net assets: Net expenses after expense reimbursement(5) % 2.72 2.75 2.90 2.91 2.90 2.90 2.90 Gross expenses prior to expense reimbursement(5) % 2.94 3.28 3.19 3.09 3.12 6.23 242.59 Net investment income (loss) after expense reimbursement(5) % (2.07) (1.92) (0.77) (0.26) (1.75) (1.06) (0.04) Portfolio turnover % 110 67 213 243 176 118 61
- ---------- (1) The Fund commenced operations on November 28, 1994. (2) Commencement of offering shares. (3) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (4) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (5) Annualized. 74 Financial Highlights PILGRIM ASIA-PACIFIC EQUITY FUND - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period. Class A ------------------------------------------------- Six months ended Ten months Dec. 31, Year ended June 30, ended 1999 ------------------------ June 30, (unaudited) 1999 1998 1997 1996(1) ----------- ---- ---- ---- ------- Per Share Operating Performance: Net asset value, beginning of period $ 7.22 4.46 10.93 10.35 10.00 Income from investment operations: Net investment income (loss) $ (0.02) -- 0.03 0.02 0.03 Net realized and unrealized gain (loss) on investments $ 1.73 2.76 (6.50) 0.58 0.34 Total from investment operations $ 1.71 2.76 (6.47) 0.60 0.37 Less distributions from: Net investment income $ -- -- -- -- -- In excess of net investment income $ -- -- -- -- 0.02 Tax return of capital -- -- -- 0.02 -- Net asset value, end of $ period % 8.93 7.22 4.46 10.93 10.35 Total Return(2): 23.68 61.88 (59.29) 5.78 3.76 Ratios/Supplemental Data: Net assets, end of period $ (000's) 17,309 14,417 11,796 32,485 18,371 Ratios to average net assets: Net expenses after % expense reimbursement(3) 2.00 2.00 2.00 2.00 2.00 Gross expenses prior to % expense reimbursement(3) 2.88 2.98 2.80 2.54 3.47 Net investment income (loss) after expense % reimbursement(3) % (0.65) 0.01 0.38 0.00 0.33 Portfolio turnover rate 66 111 81 38 15 Class B ------------------------------------------------------ Six months ended Ten months Dec. 31, Year ended June 30, ended 1999 -------------------------- June 30, (unaudited) 1999 1998 1997 1996(1) ----------- ---- ---- ---- ------- Per Share Operating Performance: Net asset value, beginning of period 7.02 4.37 10.83 10.31 10.00 Income from investment operations: Net investment income (loss) (0.05) (0.04) (0.03) (0.07) (0.01) Net realized and unrealized gain (loss) on investments 1.68 2.69 (6.43) 0.59 0.32 Total from investment operations 1.63 2.65 (6.46) 0.52 0.31 Less distributions from: Net investment income -- -- -- -- -- In excess of net investment income -- -- -- -- -- Tax return of capital -- -- -- -- -- Net asset value, end of period 8.65 7.02 4.37 10.83 10.31 Total Return(2): 23.22 60.64 (59.65) 5.04 3.19 Ratios/Supplemental Data: Net assets, end of period (000's) 16,393 12,959 9,084 30,169 17,789 Ratios to average net assets: Net expenses after expense reimbursement(3) 2.75 2.75 2.75 2.75 2.75 Gross expenses prior to expense reimbursement(3) 3.63 3.73 3.55 3.29 4.10 Net investment income (loss) after expense reimbursement(3) (1.40) (0.74) (0.39) (0.79) (0.38) Portfolio turnover rate 66 111 81 38 15 Class M --------------------------------------------------- Six months ended Ten months Dec. 31, Year ended June 30, ended 1999 -------------------------- June 30, (unaudited) 1999 1998 1997 1996(1) ----------- ---- ---- ---- ------- Per Share Operating Performance: Net asset value, beginning of period $ 7.07 4.40 10.86 10.32 10.00 Income from investment operations: Net investment income (loss) $ (0.04) (0.02) -- (0.05) -- Net realized and unrealized gain (loss) on investments $ 1.69 2.69 (6.46) 0.59 0.33 Total from investment operations $ 1.65 2.67 (6.46) 0.54 0.33 Less distributions from: Net investment income $ -- -- -- -- -- In excess of net investment income $ -- -- -- -- 0.01 Tax return of capital -- -- -- -- -- Net asset value, end of $ period % 8.72 7.07 4.40 10.86 10.32 Total Return(2): 23.34 60.68 (59.48) 5.26 3.32 Ratios/Supplemental Data: Net assets, end of period $ (000's) 7,954 5,184 4,265 11,155 6,476 Ratios to average net assets: Net expenses after % expense reimbursement(3) 2.50 2.50 2.50 2.50 2.50 Gross expenses prior to % expense reimbursement(3) 3.38 3.48 3.30 3.04 3.88 Net investment income (loss) after expense % reimbursement(3) % (1.15) (0.49) (0.07) (0.55) (0.16) Portfolio turnover rate 66 111 81 38 15 - ---------- (1) The Fund commenced operations on September 1, 1995. (2) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return information for less than one year is not annualized. (3) Annualized. 75 Financial PILGRIM GOVERNMENT SECURITIES INCOME FUND Highlights - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A --------------------------------------------------------- Six months ended Dec. 31, Year ended June 30, 1999 ------------------------------------------- (unaudited) 1999 1998 1997 1996 1995(1) ----------- ---- ---- ---- ---- ------- Per Share Operating Performance: Net asset value, beginning of period $ 12.35 12.88 12.71 12.59 12.97 12.73 Income (loss) from investment operations: Net investment income $ 0.35 0.76 0.64 0.69 0.75 0.84 Net realized and unrealized gain (loss) on investments $ (0.37) (0.52) 0.30 0.20 (0.32) 0.24 Total from investment operations $ (0.02) 0.24 0.94 0.89 0.43 1.08 Less distributions from: Net investment income $ 0.38 0.77 0.77 0.73 0.75 0.84 Tax return of capital -- -- -- 0.04 0.06 -- Total distributions $ 0.38 0.77 0.77 0.77 0.81 0.84 Net asset value, end of period $ 11.95 12.35 12.88 12.71 12.59 12.97 Total Return(3): % (0.20) 1.89 7.63 7.33 3.34 8.96 Ratios/Supplemental Data: Net assets, end of period (000's) $ 19,304 21,060 23,682 29,900 38,753 43,631 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.52 1.40 1.50 1.42 1.51 1.40 Gross expenses prior to expense reimbursement(4) % 1.52 1.40 1.58 1.42 1.57 1.54 Net investment income after expense reimbursement(4) % 5.69 6.05 5.13 5.78 5.64 6.37 Portfolio turnover rate % 41 58 134 172 170 299 Class B -------------------------------------------------- Six months ended July 17, Dec. 31, Year ended June 30, 1995(2) to 1999 ----------------------- June 30, (unaudited) 1999 1998 1997 1995(1) ----------- ---- ---- ---- ------- Per Share Operating Performance: Net asset value, beginning of period 12.30 12.84 12.68 12.59 12.95 Income (loss) from investment operations: Net investment income 0.30 0.69 0.60 0.67 0.66 Net realized and unrealized gain (loss) on investments (0.36) (0.54) 0.24 0.11 (0.37) Total from investment operations (0.06) 0.15 0.84 0.78 0.29 Less distributions from: Net investment income 0.33 0.69 0.68 0.69 0.65 Tax return of capital -- -- -- -- -- Total distributions 0.33 0.69 0.68 0.69 0.65 Net asset value, end of period 11.91 12.30 12.84 12.68 12.59 Total Return(3): (0.50) 1.09 6.78 6.38 2.25 Ratios/Supplemental Data: Net assets, end of period (000's) 12,333 12,426 3,220 1,534 73 Ratios to average net assets: Net expenses after expense reimbursement(4) 2.27 2.15 2.25 2.17 2.26 Gross expenses prior to expense reimbursement(4) 2.27 2.15 2.29 2.17 2.41 Net investment income after expense reimbursement(4) 4.93 5.30 4.24 4.92 4.98 Portfolio turnover rate 41 58 134 172 170
Class C ------------------------ Six months ended June 11, Dec. 31, 1999(2) to 1999 June 30, (unaudited) 1999 Per Share Operating Performance: Net asset value, beginning of period $ 12.43 12.24 Income (loss) from investment operations: Net investment income $ (1.62) 2.05 Net realized and unrealized gain (loss) on investments $ 1.56 (1.86) Total from investment operations $ (0.06) 0.19 Less distributions from: Net investment income $ 0.34 -- Tax return of capital -- -- Total distributions $ 0.34 -- Net asset value, end of period $ 12.03 12.43 Total Return(3) % (0.52) 1.55 Ratios/Supplemental Data: Net assets, end of period (000's) $ 263 7 Ratios to average net assets: Net expenses after expense reimbursement(4) % 2.27 2.15 Gross expenses prior to expense reimbursement(4) % 2.27 2.15 Net investment income after expense reimbursement(4) % 4.87 5.30 Portfolio turnover rate % 41 58 Class M --------------------------------------------------- Six months ended July 17, Dec. 31, Year Ended June 30, 1995(2) to 1999 ---------------------- June 30, (unaudited) 1999 1998 1997 1996 ----------- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 12.34 12.88 12.72 12.59 12.95 Income (loss) from investment operations: Net investment income $ 0.36 0.69 0.64 0.70 0.68 Net realized and unrealized gain (loss) on investments $ (0.40) (0.52) 0.23 0.14 (0.36) Total from investment operations $ (0.04) 0.17 0.87 0.84 0.32 Less distributions from: Net investment income $ 0.35 0.71 0.71 0.70 0.68 Tax return of capital -- -- -- 0.01 -- Total distributions $ 0.35 0.71 0.71 0.71 0.68 Net asset value, end of period $ 11.95 12.34 12.88 12.72 12.59 Total Return(3) % (0.36) 1.31 7.02 6.88 2.52 Ratios/Supplemental Data: Net assets, end of period (000's) $ 662 751 224 61 24 Ratios to average net assets: Net expenses after expense reimbursement(4) % 2.02 1.90 2.00 1.92 2.01 Gross expenses prior to expense reimbursement(4) % 2.02 1.90 2.05 1.92 2.16 Net investment income after expense reimbursement(4) % 5.19 5.57 4.29 5.25 5.73 Portfolio turnover rate % 41 58 134 172 170 - ---------- (1) Pilgrim Investments, Inc., the Fund's Investment Manager, acquired certain assets of Pilgrim Management Corporation, the Fund's former Investment Manager, in a transaction that closed on April 7, 1995. (2) Commencement of offering shares. (3) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (4) Annualized. 76 Financial Highlights PILGRIM STRATEGIC INCOME FUND - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A Class B ----------------------------------- ---------------------------------- Six months Three Six months Three ended months July 27, ended months July 27, Dec. 31, ended 1998(1) to Dec. 31, ended 1998(1) to 1999 June 30, March 31, 1999 June 30, March 31, (unaudited) 1999(2) 1999 (unaudited) 1999(2) 1999 ----------- ------- ---- ----------- ------- ---- Per Share Operating Performance: Net asset value, beginning of period 12.59 12.89 13.08 12.33 12.61 12.78 Income from investment operations: Net investment income 0.45 0.26 0.53 0.42 0.18 0.45 Net realized and unrealized gains (loss) on investments (0.44) (0.42) (0.08) (0.43) (0.33) (0.05) Total from investment operations 0.01 (0.16) 0.45 (0.01) (0.15) 0.40 Less distributions from: Net investment income 0.44 0.14 0.53 0.42 0.13 0.46 Net realized gains on investments -- -- 0.11 -- -- 0.11 Net asset value, end of period 12.16 12.59 12.89 11.90 12.33 12.61 Total Return(3): 0.14 (1.23) 5.60 (0.08) (1.20) 5.17 Ratios/Supplemental Data: Net assets, end of period (000's) 2,453 2,736 5,751 5,407 5,658 6,637 Ratios to average net assets: Net expenses after expense reimbursement(4) 0.95 0.90 0.96 1.35 1.29 1.37 Gross expenses prior to expense reimbursement(4) 1.81 1.56 1.98 2.21 1.95 2.42 Net investment income (loss) after expense reimbursement(4) 7.42 5.88 5.81 7.00 5.49 5.35 Portfolio turnover 76 69 274 76 69 274
Class C ---------------------------------- Six months Three ended months July 27, Dec. 31, ended 1998(1) to 1999 June 30, March 31, (unaudited) 1999(2) 1999 ----------- ------- ---- Per Share Operating Performance: Net asset value, beginning of period 12.81 13.10 13.27 Income from investment operations: Net investment income 0.44 0.19 0.48 Net realized and unrealized gains (loss) on investments (0.45) (0.35) (0.06) Total from investment operations (0.01) (0.16) 0.42 Less distributions from: Net investment income 0.42 0.13 0.48 Net realized gains on investments -- -- 0.11 Net asset value, end of period 12.38 12.81 13.10 Total Return(3): (0.08) (1.21) 5.19 Ratios/Supplemental Data: Net assets, end of period (000's) 4,380 7,965 8,128 Ratios to average net assets: Net expenses after expense reimbursement(4) 1.35 1.29 1.36 Gross expenses prior to expense reimbursement(4) 2.21 1.95 2.41 Net investment income (loss) after expense reimbursement(4) 7.00 5.49 5.36 Portfolio turnover 76 69 274 - ---------- (1) The Fund commenced operations on July 27, 1998. (2) Effective May 24, 1999, Pilgrim Investment, Inc., became the Investment Manager of the Fund. (3) Total returns are not annualized for periods of less than one year and do not reflect the impact of sales charges. (4) Annualized. 77 Financial PILGRIM HIGH YIELD FUND Highlights - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A --------------------------------------------------------------------------- Six months Eight ended months Year Dec. 31, Year ended June 30, ended ended 1999 ---------------------------------- June 30, October 31, (unaudited) 1999 1998 1997 1996 1995(1)(3) 1994 Per Share Operating Performance: Net asset value, beginning of period $ 5.93 6.94 6.80 6.36 6.15 5.95 6.47 Income (loss) from investment operations: Net investment income $ 0.28 0.58 0.61 0.61 0.59 0.35 0.54 Net realized and unrealized gain (loss) on investments $ (0.40) (0.96) 0.16 0.43 0.16 0.21 (0.51) Total from investment operations $ (0.12) (0.38) 0.77 1.04 0.75 0.56 0.03 Less distributions from: Net investment income $ 0.30 0.62 0.63 0.60 0.54 0.36 0.55 In excess of net investment income $ -- 0.01 -- -- -- -- -- Total distributions $ 0.30 0.63 0.63 0.60 0.54 0.36 0.55 Net asset value, end of period $ 5.51 5.93 6.94 6.80 6.36 6.15 5.95 Total Return(4): % (2.09) (5.57) 11.71 17.14 12.72 9.77 0.47 Ratios/Supplemental Data: Net assets, end of period (000's) $ 108,041 131,535 102,424 35,940 18,691 15,950 16,046 Ratios to average net assets: Net expenses after expense reimbursement(5) % 1.00 1.00 1.00 1.00 1.00 2.25 2.00 Gross expenses prior to expense reimbursement(5) % 1.15 1.12 1.17 1.42 2.19 2.35 2.07 Net investment income after expense reimbursement(5) % 10.03 9.32 9.05 9.54 9.46 8.84 8.73 Portfolio turnover rate % 47 184 209 394 399 166 192
Class B ------------------------------------------------- Six months ended July 17, Dec. 31, Year ended June 30, 1995(2) to 1999 ---------------------- June 30, (unaudited) 1999 1998 1997 1996 ----------- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 5.92 6.92 6.78 6.36 6.20 Income (loss) from investment operations: Net investment income $ 0.27 0.53 0.58 0.57 0.48 Net realized and unrealized gain (loss) on investments $ (0.41) (0.96) 0.14 0.41 0.14 Total from investment operations $ (0.14) (0.43) 0.72 0.98 0.62 Less distributions from: Net investment income $ 0.28 0.56 0.58 0.56 0.46 In excess of net investment income $ -- 0.01 -- -- -- Total distributions $ 0.28 Net asset value, end of period $ 5.50 5.92 6.92 6.78 6.36 Total Return(4): % (2.45) (6.23) 10.90 16.04 10.37 Ratios/Supplemental Data: Net assets, end of period (000's) $ 243,075 261,589 154,303 40,225 2,374 Ratios to average net assets: Net expenses after expense reimbursement(5) % 1.75 1.75 1.75 1.75 1.75 Gross expenses prior to expense reimbursement(5) % 1.90 1.87 1.92 2.17 2.94 Net investment income after expense reimbursement(5) % 9.27 8.57 8.30 8.64 9.02 Portfolio turnover rate % 47 184 209 394 339 Class C ------------------------- Six months ended May 27, Dec. 31, 1999(2) to 1999 June 30, (unaudited) 1999 Per Share Operating Performance: Net asset value, beginning of period $ 5.92 5.91 Income (loss) from investment operations: Net investment income $ 0.28 0.05 Net realized and unrealized gain (loss) on investments $ (0.43) 0.01 Total from investment operations $ (0.15) 0.06 Less distributions from: Net investment income $ 0.28 0.05 In excess of net investment income $ -- -- Total distributions 0.28 Net asset value, end of period $ 5.49 5.92 Total Return(4): % (2.54) 0.34 Ratios/Supplemental Data: Net assets, end of period (000's) $ 5,614 551 Ratios to average net assets: Net expenses after expense reimbursement(5) % 1.75 1.75 Gross expenses prior to expense reimbursement(5) % 1.90 1.87 Net investment income after expense reimbursement(5) % 9.33 8.57 Portfolio turnover rate % 47 184 Class M ------------------------------------------------ Six months ended July 17, Dec. 31, Year ended June 30, 1995(2) to 1999 ----------------------- June 30, (unaudited) 1999 1998 1997 1996 Per Share Operating Performance: Net asset value, beginning of period 5.93 6.92 6.78 6.36 6.20 Income (loss) from investment operations: Net investment income 0.27 0.55 0.59 0.58 0.50 Net realized and unrealized gain (loss) on investments (0.41) (0.95) 0.14 0.41 0.14 Total from investment operations (0.14) (0.40) 0.73 0.99 0.64 Less distributions from: Net investment income 0.29 0.58 0.59 0.57 0.48 In excess of net investment income -- 0.01 -- -- -- Total distributions 0.29 Net asset value, end of period 5.50 5.93 6.92 6.78 6.36 Total Return(4): (2.50) (5.85) 11.16 16.29 10.69 Ratios/Supplemental Data: Net assets, end of period (000's) 18,768 24,129 19,785 8,848 1,243 Ratios to average net assets: Net expenses after expense reimbursement(5) 1.50 1.50 1.50 1.50 1.50 Gross expenses prior to expense reimbursement(5) 1.65 1.62 1.67 1.92 2.69 Net investment income after expense reimbursement(5) 9.53 8.82 8.55 8.93 9.41 Portfolio turnover rate 47 184 209 394 339 - ---------- (1) Pilgrim Investments, Inc., the Fund's Investment Manager, acquired certain assets of Pilgrim Management Corporation, the Fund's former Investment Manager, in a transaction that closed on April 7, 1995. (2) Commencement of offering shares. (3) Effective November 1, 1994, High Yield Fund changed its year end to June 30. (4) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return information for less than one year is not annualized. (5) Annualized. 78 Financial Highlights PILGRIM HIGH YIELD FUND II - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period. Class A ----------------------------------------------- Six months Three ended months Year March 27, Dec. 31, ended ended 1998 to 1999 June 30, March 31, March 31, (unaudited) 1999(2) 1999 1998(1) Per Share Operating Performance: Net asset value, beginning of period $ 11.57 11.66 12.72 12.70 Income from investment operations: Net investment income $ 0.58 0.28 1.12 0.01 Net realized and unrealized gains (loss) on investments $ (0.40) (0.09) (1.00) 0.01 Total from investment operations $ 0.18 0.19 0.12 0.02 Less distributions from: Net investment income $ 0.58 0.28 1.18 -- Net asset value, end of period $ 11.17 11.57 11.66 12.72 Total Return(3): % 1.91 1.60 1.13 0.16 Ratios/Supplemental Data: Net assets, end of period (000's) $ 10,415 16,795 17,327 4,690 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.10 1.10 1.12 1.06 Gross expenses prior to expense reimbursement(4) % 1.25 1.37 1.53 1.06 Net investment income (loss) after expense reimbursement(4) % 10.28 9.68 9.44 7.22 Portfolio turnover % 55 44 242 484 Class B ------------------------------------------------ Six months Three ended months Year March 27, Dec. 31, ended ended 1998 to 1999 June 30, March 31, March 31, (unaudited) 1999(2) 1999 1998(1) ----------- ------- ---- ------- Per Share Operating Performance: Net asset value, beginning of period $ 11.58 11.66 12.71 12.69 Income from investment operations: Net investment income $ 0.54 0.27 1.04 0.01 Net realized and unrealized gains (loss) on investments $ (0.42) (0.09) (0.99) 0.01 Total from investment operations $ 0.12 0.18 0.05 0.02 Less distributions from: Net investment income $ 0.54 0.26 1.10 -- Net asset value, end of period $ 11.16 11.58 11.66 12.71 Total Return(3): % 1.41 1.53 0.55 0.16 Ratios/Supplemental Data: Net assets, end of period (000's) $ 40,553 41,882 42,960 8,892 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.75 1.75 1.77 1.69 Gross expenses prior to expense reimbursement(4) % 1.90 2.02 2.18 1.69 Net investment income (loss) after expense reimbursement(4) % 9.57 9.03 8.84 6.61 Portfolio turnover % 55 44 242 484 Class C ----------------------------------------------- Six months Three ended months Year March 27, Dec. 31, ended ended 1998 to 1999 June 30, March 31, March 31, (unaudited) 1999(2) 1999 1998(1) ----------- ------- ---- ------- Per Share Operating Performance: Net asset value, beginning of period $ 11.58 11.66 12.71 12.69 Income from investment operations: Net investment income (loss) $ 0.53 0.27 1.04 0.01 Net realized and unrealized gains (loss) on investments $ (0.40) (0.09) (0.99) 0.01 Total from investment operations $ 0.13 0.18 0.05 0.02 Less distributions from: Net investment income $ 0.54 0.26 1.10 -- Net asset value, end of period $ 11.17 11.58 11.66 12.71 Total Return(3): % 1.49 1.53 0.55 0.16 Ratios/Supplemental Data: Net assets, end of period (000's) $ 16,860 18,618 21,290 4,815 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.75 1.75 1.77 1.66 Gross expenses prior to expense reimbursement(4) % 1.90 2.02 2.18 1.66 Net investment income (loss) after expense reimbursement(4) % 9.57 9.03 8.79 6.91 Portfolio turnover % 55 44 242 484 - ---------- (1) The Fund commenced operations on March 27, 1998. (2) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund. (3) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (4) Annualized. 79 Financial PILGRIM MONEY MARKET FUND Highlights - -------------------------------------------------------------------------------- Class A Class B Class C ------- ------- ------- Period Period Period ended ended ended Dec. 31, Dec. 31, Dec. 31, 1999(1) 1999(2) 1999(2) (unaudited) (unaudited) (unaudited) Per Share Operating Performance: Net asset value, beginning of period $ 1.00 1.00 1.00 Income from investment operations: Net investment income $ 0.01 0.01 0.01 Net realized and unrealized gains (loss) on investments $ -- -- -- Total from investment operations $ 0.01 0.01 0.01 Less distributions from: Net investment income $ 0.01 0.01 0.01 Net realized gains on investments $ -- -- -- Net asset value, end of period $ 1.00 1.00 1.00 Total Return(3): % 0.36 1.41 1.41 Ratios/Supplemental Data: Net assets, end of period (000's) $ 5,732 11,414 2,670 Ratios to average net assets: Net expenses after expense reimbursement(4) % 1.50 2.25 2.25 Gross expenses prior to expense reimbursement(4) % 4.67 5.42 5.42 Net investment income (loss) after expense reimbursement(4) % 3.58 3.19 3.19 Portfolio turnover % -- -- -- - ---------- (1) Commenced operations on November 24, 1999. (2) Commenced operations on July 12, 1999. (3) Total returns are not annualized for periods of less than one year and do not reflect the impact of sales charges. (4) Annualized. 80 Financial Highlights PILGRIM BALANCED FUND - ---------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A ----------------------------------------------------------- Six months Three ended months Dec 31, ended Year ended March 31, 1999 June 30, ------------------------------------ (unaudited) 1999(2) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 19.23 19.03 19.53 15.54 16.16 13.74 13.52 Income from investment operations: Net investment income $ 0.30 0.10 0.36 0.26 0.32 0.34 0.21 Net realized and unrealized gains on investments $ 0.17 0.17 2.58 5.70 0.84 2.42 0.22 Total from investment operations $ 0.47 0.27 2.94 5.96 1.16 2.76 0.43 Less distributions from: Net investment income $ 0.39 0.07 0.43 0.27 0.32 0.34 0.21 Net realized gains on investments $ 3.71 -- 3.01 1.70 1.46 -- -- Net asset value, end of period $ 15.60 19.23 19.03 19.53 15.54 16.16 13.74 Total Return(3): % 2.68 1.42 17.10 39.34 6.74 20.16 3.22 Ratio/Supplemental Data: Net assets, end of period (in thousands) $ 10,141 9,619 9,519 6,675 4,898 5,902 4,980 Ratio to average net assets: Net expenses after expense reimbursement(4) % 1.35 1.49 1.59 1.61 1.60 1.60 1.60 Gross expenses prior to expense reimbursement(4) % 1.59 1.75 1.97 2.56 3.00 3.30 2.78 Net investment income (loss) after expense reimbursement(4) % 3.44 2.06 2.08 3.58 1.87 2.16 1.44 Portfolio turnover % 46 63 165 260 213 197 110 Class B --------------------------------------------------------------- Six months Three ended months May 31, Dec 31, ended Year ended March 31, 1995(1) to 1999 June 30, -------------------------- March 31, (unaudited) 1999(2) 1999 1998 1997 1996 ----------- ------- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 20.59 20.38 20.07 14.88 14.18 12.50 Income from investment operations: Net investment income $ 0.25 0.07 0.28 0.15 0.17 0.12 Net realized and unrealized gains on investments $ 0.20 0.18 2.74 5.58 0.70 1.68 Total from investment operations $ 0.45 0.25 3.02 5.73 0.87 1.80 Less distributions from: Net investment income $ 0.33 0.04 0.31 0.15 0.17 0.12 Net realized gains on investments $ 3.97 -- 2.40 0.39 -- -- Net asset value, end of period $ 16.74 20.59 20.38 20.07 14.88 14.18 Total Return(3): % 2.39 1.24 16.49 38.79 6.10 14.45 Ratio/Supplemental Data: Net assets, end of period (in thousands) $ 7,716 7,157 6,048 4,254 2,133 673 Ratio to average net assets: Net expenses after expense reimbursement(4) % 2.00 2.14 2.24 2.26 2.25 2.25 Gross expenses prior to expense reimbursement(4) % 2.24 2.40 2.62 2.71 6.44 13.05 Net investment income (loss) after expense reimbursement(4) % 2.80 1.41 1.43 2.99 1.25 1.38 Portfolio turnover % 46 63 165 260 213 197 Class C ------------------------------------------------------------------------------- Six months Three ended months Dec 31, ended Year ended March 31, 1999 June 30, ---------------------------------------------------- (unaudited) 1999(2) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 18.53 18.35 19.90 15.59 16.20 13.76 13.54 Income from investment operations: Net investment income $ 0.24 0.06 0.26 0.15 0.21 0.24 0.11 Net realized and unrealized gains on investments $ 0.16 0.16 2.52 5.71 0.85 2.44 0.22 Total from investment operations $ 0.40 0.22 2.78 5.86 1.06 2.68 0.33 Less distributions from: Net investment income $ 0.34 0.04 0.28 0.15 0.21 0.24 0.11 Net realized gains on investments $ 3.57 -- 4.05 1.40 1.46 -- -- Net asset value, end of period $ 15.02 18.53 18.35 19.90 15.59 16.20 13.76 Total Return(3): % 2.35 1.21 16.34 38.35 6.05 19.58 2.47 Ratio/Supplemental Data: Net assets, end of period (in thousands) $ 19,494 21,331 21,655 20,784 16,990 16,586 16,470 Ratio to average net assets: Net expenses after expense reimbursement(4) % 2.00 2.14 2.23 2.26 2.25 2.25 2.25 Gross expenses prior to expense reimbursement(4) % 2.24 2.40 2.61 2.68 2.83 3.01 2.60 Net investment income (loss) after expense reimbursement(4) % 2.80 1.41 1.43 2.93 1.23 1.53 0.83 Portfolio turnover % 46 63 165 260 213 197 110
- ---------- (1) Commencement of offering of shares. (2) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund. (3) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (4) Annualized. 81 Financial PILGRIM CONVERTIBLE FUND Highlights - -------------------------------------------------------------------------------- Selected data for a share of beneficial interest outstanding throughout each period.
Class A -------------------------------------------------------------------------------- Six months Three ended months Dec 31, ended Year ended March 31, 1999 June 30, ---------------------------------------------------- (unaudited) 1999(2) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 23.27 21.92 19.12 16.59 15.68 12.86 14.16 Income from investment operations: Net investment income (loss) $ 0.20 0.10 0.40 0.44 0.47 0.48 0.49 Net realized and unrealized gains (loss) on investments $ 6.66 1.35 3.17 4.49 1.64 2.82 (0.89) Total from investment operations $ 6.86 1.45 3.57 4.93 2.11 3.30 (0.40) Less distributions from: Net investment income $ 0.20 0.10 0.41 0.44 0.48 0.48 0.49 Net realized gains on investments $ 3.69 -- 0.36 1.96 0.72 -- 0.41 Net asset value, end of period $ 26.24 23.27 21.92 19.12 16.59 15.68 12.86 Total Return(3): % 31.97 6.62 19.17 31.04 13.73 26.00 (2.64) Ratios/Supplemental Data: Net assets, end of period (in thousands) $ 88,816 73,133 65,742 47,290 32,082 31,712 31,150 Ratio to average net assets: Net expenses after expense reimbursement(4) % 1.33 1.45 1.53 1.57 1.60 1.60 1.60 Gross expenses prior to expense reimbursement(4) % 1.34 2.10 1.65 1.74 1.75 1.76 1.76 Net investment income (loss) after expense reimbursement(4) % 1.75 1.82 2.08 5.64 2.83 3.29 3.71 Portfolio turnover % 68 28 138 160 167 145 126 Class B ---------------------------------------------------------------- Six months Three ended months May 31, Dec 31, ended Year ended March 31, 1995(1) to 1999 June 30, ---------------------- March 31, (unaudited) 1999(2) 1999 1998 1997 1996 ----------- ------- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 25.34 23.86 20.56 16.60 14.96 12.50 Income from investment operations: Net investment income (loss) $ 0.12 0.07 0.29 0.32 0.31 0.24 Net realized and unrealized gains (loss) on investments $ 7.25 1.47 3.47 4.65 1.64 2.46 Total from investment operations $ 7.37 1.54 3.76 4.97 1.95 2.70 Less distributions from: Net investment income $ 0.12 0.06 0.27 0.32 0.31 0.24 Net realized gains on investments $ 4.01 -- 0.19 0.69 -- -- Net asset value, end of period $ 28.58 25.34 23.86 20.56 16.60 14.96 Total Return(3): % 31.56 6.47 18.52 30.51 13.01 21.72 Ratios/Supplemental Data: Net assets, end of period (in thousands) $ 108,527 68,091 58,736 36,725 12,740 2,125 Ratio to average net assets: Net expenses after expense reimbursement(4) % 1.98 2.10 2.18 2.22 2.25 2.25 Gross expenses prior to expense reimbursement(4) % 1.99 2.10 2.30 2.33 3.19 7.08 Net investment income (loss) after expense reimbursement(4) % 1.10 1.17 1.44 5.04 2.29 2.59 Portfolio turnover % 168 28 138 160 167 145 Class C ----------------------------------------------------------------------- Six months Three ended months Dec 31, ended Year ended March 31, 1999 June 30, --------------------------------------------- (unaudited) 1999(2) 1999 1998 1997 1996 1995 ----------- ------- ---- ---- ---- ---- ---- Per Share Operating Performance: Net asset value, beginning of period $ 23.78 22.40 19.55 17.05 15.89 13.03 14.28 Income from investment operations: Net investment income (loss) $ 0.13 0.07 0.28 0.34 0.37 0.40 0.41 Net realized and unrealized gains (loss) on investments $ 6.78 1.37 3.25 4.60 1.66 2.86 (0.89) Total from investment operations $ 6.91 1.44 3.53 4.94 2.03 3.26 (0.48) Less distributions from: Net investment income $ 0.12 0.06 0.25 0.34 0.37 0.40 0.41 Net realized gains on investments $ 3.76 -- 0.43 2.10 0.50 -- 0.36 Net asset value, end of period $ 26.81 23.78 22.40 19.55 17.05 15.89 13.03 Total Return(3): % 31.56 6.45 18.45 30.22 12.91 25.24 (3.26) Ratios/Supplemental Data: Net assets, end of period (in thousands) $ 132,756 100,276 95,998 81,561 62,143 58,997 61,792 Ratio to average net assets: Net expenses after expense reimbursement(4) % 1.98 2.10 2.18 2.22 2.25 2.25 2.25 Gross expenses prior to expense reimbursement(4) % 1.99 2.10 2.30 2.31 2.29 2.28 2.29 Net investment income (loss) after expense reimbursement(4) % 1.10 1.17 1.44 4.99 2.18 2.64 3.05 Portfolio turnover % 68 28 138 160 167 145 126
- ---------- (1) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (2) Commencement of offering shares. (3) Total return is calculated assuming reinvestment of all dividends and capital gain distributions at net asset value and excluding the deduction of sales charges. Total return for less than one year is not annualized. (4) Annualized. 82 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- NOTE 1 -- ORGANIZATION Organization. The Pilgrim Funds are comprised of Pilgrim Mutual Funds ("PMF"), Pilgrim Bank and Thrift Fund, Inc. ("Bank and Thrift Fund"), Pilgrim Investment Funds, Inc. ("PIF"), Pilgrim Advisory Funds, Inc. ("PAF") and Pilgrim Government Securities Income Fund ("Government Securities Income Fund") which are each open-end investment management companies registered under the Investment Company Act of 1940, as amended. PMF, formerly Nicholas-Applegate Mutual Funds, is a Delaware business trust organized in 1992 with twelve separate series (Portfolios). The "Funds" are Pilgrim LargeCap Growth Fund, Pilgrim MidCap Growth Fund, Pilgrim SmallCap Growth Fund, Pilgrim Worldwide Growth Fund, Pilgrim International Core Growth Fund, Pilgrim International SmallCap Growth Fund, Pilgrim Emerging Countries Fund, Pilgrim Strategic Income Fund (formerly High Quality Bond Fund), Pilgrim High Yield Fund II, Pilgrim Money Market Fund, Pilgrim Balanced Fund and Pilgrim Convertible Fund. In a transaction that closed on May 21, 1999, Pilgrim Investments, Inc. became the Investment Manager and Pilgrim Securities, Inc. became the Distributor of the Funds in PMF. While Pilgrim Investments, Inc. manages all the portfolios of PMF, Nicholas-Applegate Capital Management acts as sub-advisor to all the PMF portfolios with the exception of Strategic Income Fund, High Yield Fund II, Money Market Fund and Balanced Fund. Bank and Thrift Fund was organized as a Maryland Corporation in 1986. PIF, a Maryland Corporation organized in 1969, consists of Pilgrim MagnaCap Fund and Pilgrim High Yield Fund. PAF, a Maryland Corporation organized in 1995, consists of Pilgrim MidCap Value Fund, Pilgrim LargeCap Leaders Fund and Pilgrim Asia-Pacific Equity Fund. Government Securities Income Fund, a California Corporation organized in 1984, is the single series of Government Securities Income Fund. The investment objective of each Fund is described in each Fund's prospectus. The Money Market Fund seeks to achieve its investment objective by investing all its assets in Class A shares of the Primary Reserve Institutional Fund, a series of Reserve Institutional Trust, a registered open end investment company. The Primary Reserve Institutional Fund declares dividends of its net investment income daily, which the Money Market Fund records as dividend income. In addition, the Money Market Fund incurs its own expenses. The financial statements of the Primary Reserve Institutional Fund are included in this report and should be read in conjunction with the financial statements of the Money Market Fund. Each Fund offers at least two of the following classes of shares: Class A, Class B, Class C, Class M and Class Q. The separate classes of shares differ principally in the applicable sales charges (if any), distribution fees, shareholder servicing fees and transfer agency fees. Shareholders of each class also bear certain expenses that pertain to that particular class. All shareholders bear the common expenses of the Fund and earn income from the portfolio pro rata based on the average daily net assets of each class, without distinction between share classes. Dividends are determined separately for each class based on income and expenses allocable to each class. Realized gains are allocated to each class pro rata based on the net assets of each class on the date of distribution. No class has preferential dividend rights. Differences in per share dividend rates generally result from the relative weighting of pro rata income and realized gain allocations and from differences in separate class expenses, including distribution, shareholder servicing and transfer agency fees. Class B shares, along with their pro rata reinvested dividend shares, automatically convert to Class A shares approximately eight years after purchase. Reorganization. Before a shareholder approved reorganization effective July 24, 1998, the funds comprising PMF invested all of their assets in corresponding portfolios of Nicholas-Applegate Investment Trust, an arrangement known as a "master/feeder" structure. Upon the reorganization, the Institutional Portfolio series of the Trust were renamed Funds and were authorized to issue multiple classes of shares, and their outstanding shares were classified as Class I shares. At the same time, the A, B, C and Advisory Portfolios of the Trust transferred their assets to the corresponding Funds, and their shareholders received 83 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Class A, B, C and Q shares of the Funds on a tax-free basis. Effective May 7, 1999 and concurrent with the change in investment adviser, the Institutional Classes of PMF were transferred in a tax free reorganization to new funds being managed by Nicholas-Applegate Capital Management. NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES The following significant accounting policies are consistently followed by the Funds in the preparation of their financial statements, and such policies are in conformity with generally accepted accounting principles for investment companies. A. Security Valuation. Investments in equity securities traded on a national securities exchange or included on the NASDAQ National Market System are valued at the last reported sale price. Securities traded on an exchange of NASDAQ for which there has been no sale and securities traded in the over-the-counter-market are valued at the mean between the last reported bid and ask prices. All investments quoted in foreign currencies will be valued daily in U.S. dollars on the basis of the foreign currency exchange rates prevailing at the time such valuation is determined by each Fund's custodian. Debt securities in Pilgrim Strategic Income Fund, Pilgrim Balanced Fund and Pilgrim High Yield Fund II are valued at bid prices (Pilgrim High Yield Fund is valued at the mean between the bid and ask prices) obtained from independent services or from one or more dealers making markets in the securities. U.S. Government obligations are valued by using market quotations or independent pricing services which uses prices provided by market-makers or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics. Securities for which market quotations are not readily available are valued at their respective fair values as determined in good faith and in accordance with policies set by the Board of Directors. Investments in securities maturing in less than 60 days are valued at cost, which, when combined with accrued interest, approximates market value. B. Security Transactions and Revenue Recognition. Securities transactions are accounted for on the trade date. Realized gains and losses are reported on the basis of identified cost of securities delivered. Interest income is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date, or for certain foreign securities, when the information becomes available to the funds. Premium amortization and discount accretion are determined by the effective yield method. C. Foreign Currency Translation. The books and records of the funds are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis: (1) Market value of investment securities, other assets and liabilities -- at the exchange rates prevailing at the end of the day. (2) Purchases and sales of investment securities, income and expenses -- at the rates of exchange prevailing on the respective dates of such transactions. Although the net assets and the market values are presented at the foreign exchange rates at the end of the day, the Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments. For securities which are subject to foreign withholding tax upon disposition, liabilities are recorded on the statement of assets and liabilities for the estimated tax withholding based on the securities current market value. Upon disposition, realized gains or losses on such securities are recorded net of foreign withholding tax. Reported net realized foreign exchange gains or losses arise from sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's 84 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities at fiscal year end, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and the U.S. Government. These risks include but are not limited to re-evaluation of currencies and future adverse political and economic developments which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and the U.S. Government. D. Foreign Currency Transactions. Certain funds may enter into foreign currency exchange transactions to convert to and from different foreign currencies and to and from the U.S. dollar in connection with the planned purchases or sales of securities. The Funds either enter into these transactions on a spot basis at the spot rate prevailing in the foreign currency exchange market or use forward foreign currency contracts to purchase or sell foreign currencies. When the contract is fulfilled or closed, gains or losses are realized. Until then, the gain or loss is included in unrealized appreciation or depreciation. Risks may arise upon entering into forward contracts from the potential inability of counterparties to meet the terms of their forward contracts and from the potential inability of counterparties to meet the terms of their forward contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar. Each Fund may enter into futures contracts involving foreign currency, interest rates, securities and securities indices, for hedging purposes only. A futures contract obligates the seller of the contract to deliver and the purchaser of the contract to take delivery of the type of foreign currency, financial instrument or security called for in the contract at a specified future time for a specified price. Upon entering into such a contract, a Fund is required to deposit and maintain as collateral such initial margin as required by the exchange on which the contract is traded. Pursuant to the contract, a Fund agrees to receive from or pay to the broker an amount equal to the daily fluctuations in the value of the contract. Such receipts or payments are known as variation margins and are recorded as unrealized gains or losses by the Fund. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. There were no open futures contracts at December 31, 1999. E. Distributions to Shareholders. The Funds record distributions to their shareholders on ex-date. Each Fund pays dividends, if any, as follows: Annually Semi-Annually Quarterly Monthly LargeCap MagnaCap Balanced Strategic Leaders Convertible Income LargeCap Government Growth Securities MidCap Income Value High Yield MidCap High Growth Yield II SmallCap Money Growth Market Bank and Thrift International Core Growth Worldwide Growth Asia-Pacific Equity International SmallCap Growth Emerging Countries Pilgrim High Yield II and Pilgrim Money Market declare and go ex-dividend daily and pay dividends monthly. Each Fund distributes capital gains, to the extent available, annually. The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, 85 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- which may differ from generally accepted accounting principles. These "book/tax" differences are either considered temporary or permanent in nature. Key differences are the treatment of short-term capital gains, foreign currency transactions, organization costs and other temporary differences. To the extent that these differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences do not require reclassifications. Distributions which exceed net investment income and net realized capital gains for financial reporting purposes but not for tax purposes, are reported as distributions in excess of net investment income and/or net realized capital gains. To the extent they exceed net investment income and/or net realized capital gains for tax purposes, they are reported as distributions of paid-in capital. F. Federal Income Taxes. It is the policy of the Funds, to comply with the requirements of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of their net investment income and any net realized capital gains to their shareholders. Therefore, a federal income tax or excise tax provision is not required. In addition, by distributing during each calendar year substantially all of its net investment income and net realized capital gains, each Fund intends not to be subject to any federal excise tax. The Board of Directors intends to offset any net capital gains with any available capital loss carryforward until each carryforward has been fully utilized or expires. In addition, no capital gain distribution shall be made until the capital loss carryforward has been fully utilized or expires. Capital loss carryforwards were as follows at June 30, 1999: Amount Expiration Dates ------ ---------------- International Core Growth $ 2,108,292 2005 Emerging Countries 76,846,244 2005 Asia-Pacific Equity 29,974,147 2005 to 2006 Government Securities Income 6,224,461 1999 to 2006 High Yield 9,719,347 2001 to 2002 High Yield II 2,988,771 2007 G. Use of Estimates. Management of the Funds has made certain estimates and assumptions relating to the reporting of assets, liabilities, income, and expenses to prepare these financial statements in conformity with generally accepted accounting principles. Actual results could differ from these estimates. H. Repurchase Agreements. Each Fund may invest in repurchase agreements only with government securities dealers recognized by the Board of Governors of the Federal Reserve System or with member banks of the Federal Reserve System. Under such agreements, the seller of the security agrees to repurchase it at a mutually agreed upon time and price. The resale price is in excess of the purchase price and reflects an agreed upon interest rate for the period of time the agreement is outstanding. The period of the repurchase agreements is usually short, from overnight to one week, while the underlying securities generally have longer maturities. Each Fund will always receive as collateral securities acceptable to it whose market value is equal to at least 100% of the amount being invested by the Fund. If the seller defaults, a Fund might incur a loss or delay in the realization of proceeds if the value of the collateral securing the repurchase agreement declines, and it might incur disposition costs in liquidating the collateral. I. Deferred Organization Expenses. Expenses incurred in connection with the organization and registration of the LargeCap Leaders Fund, MidCap Value Fund and Asia-Pacific Equity Fund under the Investment 86 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Company Act of 1940 and the Securities Act of 1933 are being amortized by each Fund equally over a period of five years from the date of commencement of its operations. Certain registration costs incurred in the organization of Pilgrim Money Market Fund were capitalized and are being amortized over a period of one year. J. Reclassification. Certain prior period amounts in the accompanying financial statements have been reclassified to conform with current period presentation. K. Securities Lending. Through May 21, 1999, each Fund in PMF had the option to temporarily loan securities, up to 30% of its total assets, to brokers, dealers or other financial institutions in exchange for a negotiated lender's fee. The borrower fully collateralized the loans with cash, letters of credit or U.S. Government securities. L. Redemption Fees. During the year ended June 30, 1999, Bank and Thrift Fund's prospectus allowed that, until October 17, 1998, a 2% redemption fee would be imposed on redemptions or exchanges of Class A shares acquired prior to October 17, 1997. Such redemption fee was payable to the Fund and is reflected as redemption fee income in the accompanying financial statements. NOTE 3 -- INVESTMENT TRANSACTIONS For the six months ended December 31, 1999, the cost of purchases and proceeds from the sales of securities, excluding short-term securities, were as follows: Purchases Sales --------- ----- MagnaCap Fund $ 67,530,146 $ 73,230,365 LargeCap Leaders Fund 3,787,457 5,681,389 LargeCap Growth Fund 394,454,270 181,328,678 MidCap Value Fund 43,159,119 56,741,068 MidCap Growth 193,516,557 215,893,014 SmallCap Growth Fund 159,221,578 185,533,720 Bank and Thrift Fund 28,944,383 182,671,906 Worldwide Growth Fund 366,140,202 262,133,840 International Core Growth Fund 60,119,815 54,302,685 International SmallCap Growth Fund 275,837,780 147,652,194 Emerging Countries Fund 203,638,563 208,179,549 Asia-Pacific Equity Fund 21,865,854 20,686,605 Government Securities Income Fund 13,458,630 13,118,580 Strategic Income Fund 10,297,797 13,360,341 High Yield Fund 177,521,231 210,155,438 High Yield Fund II 46,582,809 55,260,795 Balanced Fund 16,168,740 16,619,337 Convertible Fund 186,887,208 180,044,244 Money Market Fund 840,315,687 821,207,987 NOTE 4 -- INVESTMENTS IN AFFILIATES Affiliated companies, as defined in Section 2(a)(3) of the Investment Company Act of 1940, are companies 5% or more of whose outstanding voting shares are held by a fund. At December 31, 1999, Bank and Thrift Fund has the following holdings in affiliated companies: Acquisition Shares Market % of Date Held Cost Value Net Assets ---- ---- ---- ----- ---------- American February 430,000 $4,914,375 $2,821,875 0.61% Safety 13, 1998 to Insurance November Group, Ltd. 6, 1998 21st Century November 177,000 1,330,875 730,125 0.16% Holding 5, 1998 Company International November 375,000 3,281,089 2,343,750 0.50% Aircraft 5, 1997 to Investors April 15, 1999 Southwest March 16, 200,000 4,875,938 4,000,000 0.86% Bancorp. 1999 to March 17, 1999 During the six months ended December 31, 1999 the Fund received $40,000 in dividend income from Southwest Bancorp. There was no other dividend income from affiliates during the period. NOTE 5 -- INVESTMENT MANAGEMENT AND ADMINISTRATIVE FEES Each of the Funds has entered into an Investment Management Agreement with Pilgrim Investments, Inc. ("the Manager"), a wholly-owned subsidiary of Pilgrim Group, Inc. ("PGI"). The investment management agreements compensate the Manager with a fee, computed daily and payable monthly, based on the average daily net assets of each Fund, at the following annual rates: For Emerging Countries and Asia-Pacific Equity -- 1.25%; for LargeCap Leaders, MidCap Value and SmallCap Growth -- 1.00%; for Worldwide Growth, International Core Growth and International SmallCap 87 - ------- Pilgrim Funds - ------ NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Growth -- 1.00% for the first $500 million, 0.90% of the next $500 million and 0.85% in excess of $1.0 billion; for LargeCap Growth, MidCap Growth, Balanced and Convertible -- 0.75% for the first $500 million, 0.675% of the next $500 million and 0.65% in excess of $1.0 billion; for High Yield and High Yield II -- 0.60%; for Strategic Income -- 0.45% for the first $500 million, 0.40% of the next $250 million and 0.35% in excess of $750 million; for MagnaCap -- 1.00% for the first $30 million, 0.75% of the next $220 million, 0.625% of the next $250 million and 0.50% in excess of $500 million; for Bank and Thrift -- 1.00% for the first $30 million, 0.75% of the next $95 million and 0.70% in excess of $125 million; for Government Securities Income -- 0.50% for the first $500 million, 0.45% of the next $500 million and 0.40% in excess of $1.0 billion. The manager does not charge a management fee for Money Market Fund since the Fund invests solely in another open-end regulated investment company. However, the Fund pays the manager an administrative fee of 0.25% computed daily and payable monthly based on average daily net assets. NOTE 6 -- DISTRIBUTION FEES Each share class of the Funds has adopted a Plan pursuant to Rule 12b-1 under the 1940 Act (the "12b-1 Plans"), whereby Pilgrim Securities, Inc. (the "Distributor") is reimbursed or compensated (depending on the class of shares) by the Funds for expenses incurred in the distribution of each Funds' shares. Pursuant to the 12b-1 Plans, the Distributor is entitled to payment each month for actual expenses incurred in the distribution and promotion of each Fund's shares, including the printing of prospectuses and reports used for sales purposes, expenses of preparation and printing of sales literature and other such distribution related expenses, including any distribution or service fees paid to securities dealers who have executed a distribution agreement with the Distributor. Under the 12b-1 Plans, each class of shares of the Fund pays the Distributor the following annual fees: Class A Class B Class C Class M Class Q ------- ------- ------- ------- ------- MagnaCap Fund 0.30% 1.00% 1.00% 0.75% 0.25% LargeCap Leaders Fund 0.25% 1.00% 1.00% 0.75% N/A LargeCap Growth Fund 0.35% 1.00% 1.00% N/A 0.25% MidCap Value Fund 0.25% 1.00% 1.00% 0.75% N/A MidCap Growth 0.35% 1.00% 1.00% N/A 0.25% SmallCap Growth Fund 0.35% 1.00% 1.00% N/A 0.25% Bank and Thrift Fund 0.25% 1.00% N/A N/A N/A Worldwide Growth Fund 0.35% 1.00% 1.00% N/A 0.25% International Core Growth Fund 0.35% 1.00% 1.00% N/A 0.25% International SmallCap Growth Fund 0.35% 1.00% 1.00% N/A 0.25% Emerging Countries Fund 0.35% 1.00% 1.00% N/A 0.25% Asia-Pacific Equity Fund 0.25% 1.00% N/A 0.75% N/A Government Securities Income Fund 0.25% 1.00% 1.00% 0.75% N/A Strategic Income Fund 0.35% 0.75% 0.75% N/A 0.25% High Yield Fund 0.25% 1.00% 1.00% 0.75% 0.25% High Yield Fund II 0.35% 1.00% 1.00% N/A 0.25% Balanced Fund 0.35% 1.00% 1.00% N/A 0.25% Convertible Fund 0.35% 1.00% 1.00% N/A 0.25% Money Market Fund 0.25% 1.00% 1.00% N/A N/A For the six months ended December 31, 1999 the Funds paid the following distribution fees by class to the Distributor. Class A Class B Class C Class M Class Q ------- ------- ------- ------- ------- MagnaCap $526,227 $ 423,690 $ 10,155 $58,266 $ 742 LargeCap Leaders 10,865 89,741 507 20,416 N/A LargeCap Growth 75,070 421,411 151,981 N/A 3 MidCap Value 17,712 93,172 416 30,653 N/A MidCap Growth 96,191 216,713 600,354 N/A 133 SmallCap Growth 141,743 212,722 619,308 N/A (24) Bank and Thrift 414,173 1,043,267 N/A N/A N/A Worldwide Growth 116,624 172,183 494,529 N/A -- International Core Growth 17,981 52,368 55,056 N/A 3 International SmallCap Growth 91,640 159,411 130,851 N/A 226 Emerging Countries 68,577 99,499 91,835 N/A (19) Asia-Pacific Equity 17,877 50,877 N/A 20,914 N/A Government Securities Income 25,943 45,891 2,393 2,747 N/A Strategic Income 3,715 13,775 15,266 N/A -- High Yield 153,559 950,162 13,406 82,635 -- High Yield II 16,957 153,374 69,494 N/A -- Balanced 12,182 28,148 76,418 N/A -- Convertible 85,149 295,845 396,029 N/A 4 Money Market 2,929 18,590 3,657 N/A N/A For the six months ended December 31, 1999, the Distributor has retained $482,270 as sales charges from the proceeds of Class A Shares sold, $3,725,448 from the proceeds of Class B Shares redeemed, $62,804 from the proceeds of Class C Shares redeemed, and $6,441 from the proceeds of Class M Shares sold. 88 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- NOTE 7 -- SHAREHOLDER SERVICING FEES Each of the Funds has entered into a Service Agreement with PGI whereby PGI will act as Shareholder Service Agent for each Fund. The agreement provides that PGI will be compensated for incoming and outgoing shareholder telephone calls and letters, and all reasonable out-of-pocket expenses incurred in connection with the performance of such services. Fees accrued during the six months ended December 31, 1999 are shown in the accompanying Statements of Operations. At December 31, 1999, the Funds owed the following service fees: MagnaCap $34,719 LargeCap Leaders 4,047 LargeCap Growth -- MidCap Value 967 MidCap Growth 4,671 SmallCap Growth 5,263 Bank and Thrift 31,123 Worldwide Growth 7,710 International Core Growth 1,155 International SmallCap Growth 4 Emerging Countries 4,298 Asia-Pacific Equity 1,985 Government Securities Income 3,344 Strategic Income -- High Yield 1,890 High Yield II 479 Balanced 650 Convertible 3,245 Money Market Fund 6,855 NOTE 8 -- EXPENSE WAIVERS For the following Funds, the Investment Manager has voluntarily agreed to limit expenses, excluding interest, taxes, brokerage and extraordinary expenses to the levels listed below: Class A Class B Class C Class M ------- ------- ------- ------- LargeCap Leaders 1.75% 2.50% 2.50% 2.25% LargeCap Growth 1.60% 2.25% 2.25% -- MidCap Value 1.75% 2.50% 2.50% 2.25% MidCap Growth 1.60% 2.25% 2.25% -- SmallCap Growth 1.95% 2.60% 2.60% -- Worldwide Growth 1.85% 2.50% 2.50% -- International Core Growth 1.95% 2.60% 2.60% -- International SmallCap Growth 1.95% 2.60% 2.60% -- Emerging Countries 2.25% 2.90% 2.90% -- Asia-Pacific Equity 2.00% 2.75% -- 2.50% Government Securities Income (1) (1) (1) (1) Strategic Income 0.95% 1.35% 1.35% -- High Yield 1.00% 1.75% 1.75% 1.50% High Yield II 1.10% 1.75% 1.75% -- Balanced 1.60% 2.25% 2.25% -- Convertible 1.60% 2.25% 2.25% -- Money Market 1.50% 2.25% 2.25% -- - ---------- (1) The Investment Manager has agreed to reimburse the Government Securities Income Fund for all gross operating expenses and costs of the Fund, excluding any interest, taxes, brokerage commissions, amortization of organizational expenses, extraordinary expenses, and certain distribution fees which exceed 1.50% of the Fund's daily average net assets on the first $40 million of net assets and 1.00% of average daily net assets in excess of $40 million for any one fiscal year. The expense limitations cannot be changed without shareholder approval. Amounts receivable from the Investment Advisor at December 31, 1999 for expense waivers are included in Receivables due from affiliate in the accompanying Statements of Assets and Liabilities. NOTE 9 -- CREDIT FACILITY The Funds have a $75 million credit facility available to fund temporary or emergency borrowings which expires on May 1, 2000. Each Fund pays its pro rata share of an annual commitment fee plus interest on its specific borrowings. As of December 31, 1999 there was no balance outstanding under the credit facility. 89 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- NOTE 10 -- CAPITAL SHARES Transactions in capital shares and dollars were as follows:
Class A Shares Class B Shares ------------------------------- ------------------------------ Six Months Year Six Months Year Ended Ended Ended Ended Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 ------------- ------------- ------------- ------------- MagnaCap Fund (Number of Shares) Shares sold 4,004,488 13,502,711 749,792 2,873,334 Shares issued as reinvestments of dividends 2,042,316 1,828,625 670,171 516,048 Shares redeemed (5,736,908) (14,934,578) (1,236,263) (1,307,942) ------------ ------------- ------------ ------------ Net increase in shares outstanding 309,896 396,758 183,700 2,081,440 ============ ============= ============ ============ MagnaCap Fund ($) Shares sold $ 67,621,459 $ 222,180,950 $ 12,460,401 $ 46,072,779 Shares issued as reinvestments of dividends 33,393,993 28,388,968 10,716,033 7,888,183 Shares redeemed (96,657,386) (246,413,983) (20,236,125) (20,667,305) ------------ ------------- ------------ ------------ Net increase in shares outstanding $ 4,358,065 $ 4,155,935 $ 2,940,310 $ 33,293,657 ============ ============= ============ ============ Class C Shares Class M Shares ------------------------------- ------------------------------- Six Months June 1, 1999 Six Months Year Ended to Ended Ended Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 --------------- --------------- --------------- --------------- MagnaCap Fund (Number of Shares) Shares sold 121,516 34,608 44,689 210,689 Shares issued as reinvestments of dividends 13,431 -- 94,820 95,725 Shares redeemed (818) -- (130,729) (238,673) ----------- -------- ----------- ----------- Net increase in shares outstanding 134,128 34,608 8,780 67,741 =========== ======== =========== =========== MagnaCap Fund ($) Shares sold $ 2,032,925 $588,611 $ 745,838 $ 3,356,295 Shares issued as reinvestments of dividends 214,754 -- 1,532,001 1,471,188 Shares redeemed (13,529) -- (2,169,430) (3,784,141) ----------- -------- ----------- ----------- Net increase in shares outstanding $ 2,234,150 $588,611 $ 108,409 $ 1,043,342 =========== ======== =========== ===========
Class Q Shares -------------- Nov. 22, 1999 to Dec. 31, 1999 -------------- MagnaCap Fund (Number of Shares) Shares sold 615,006 Shares issued as reinvestments of dividends -- Shares redeemed -- ----------- Net increase in shares outstanding 615,006 =========== MagnaCap Fund ($) Shares sold $10,000,000 Shares issued as reinvestment of dividends -- Shares redeemed -- ----------- Net increase in shares outstanding $10,000,000 ===========
Class A Shares Class B Shares ----------------------------- ----------------------------- Six Months Year Six Months Year Ended Ended Ended Ended Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 ------------- ------------- ------------- ------------- LargeCap Leaders Fund (Number of Shares) Shares sold 81,977 251,465 289,561 735,637 Shares issued as reinvestment of dividends 58,405 9,173 160,941 24,514 Shares redeemed (64,483) (287,552) (326,077) (408,748) ----------- ----------- ----------- ------------ Net increase (decrease) in shares outstanding 75,899 (26,914) 124,426 351,403 =========== =========== =========== ============ LargeCap Leaders Fund ($) Shares sold $ 1,382,264 $ 3,946,541 $ 4,676,408 $ 11,541,367 Shares issued as reinvestment of dividends 929,808 146,637 2,481,716 384,368 Shares redeemed (1,086,859) (4,313,891) (5,333,845) (6,043,904) ----------- ----------- ----------- ------------ Net increase (decrease) in shares outstanding $ 1,225,213 $ (220,713) $ 1,824,279 $ 5,881,831 =========== =========== =========== ============ Class C Shares Class M Shares ----------------------------- ----------------------------- Six Months June 17, 1999 Six Months Year Ended to Ended Ended Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 ------------- ------------- ------------- ------------- LargeCap Leaders Fund (Number of Shares) Shares sold 24,933 2 24,847 32,969 Shares issued as reinvestment of dividends 667 -- 38,028 7,380 Shares redeemed (2,725) -- (46,603) (89,184) ----------- ----------- ----------- ----------- Net increase (decrease) in shares outstanding 22,875 2 16,272 (48,835) =========== =========== =========== =========== LargeCap Leaders Fund ($) Shares sold $ 384,070 $ 30 $ 404,245 $ 521,236 Shares issued as reinvestment of dividends 10,290 -- 593,236 116,160 Shares redeemed (44,339) -- (773,792) (1,317,582) ----------- ----------- ----------- ----------- Net increase (decrease) in shares outstanding $ 350,021 $ 30 $ 223,689 $ (680,186) =========== =========== =========== ===========
90 - ------- Pilgrim Funds - ------ NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - --------------------------------------------------------------------------------
Class A Shares ----------------------------------------------------------- Six Months 3 Months Year July 21, Ended Ended Ended 1997 to Dec. 31, June 30, March 31, March 31, 1999 1999 1999 1998 ------------ ------------ ----------- ----------- LargeCap Growth Fund (Number of Shares) Shares sold 2,369,986 601,704 387,443 314,594 Shares issued as reinvestments of dividends 21,727 -- 9,412 65 Shares redeemed (533,525) (28,795) (199,495) (13,075) ------------ ------------ ----------- ----------- Net increase in shares outstanding 1,858,188 572,909 197,360 301,584 ============ ============ =========== =========== LargeCap Growth Fund ($) Shares sold $ 73,653,042 $ 16,107,475 $ 7,119,334 $ 4,334,894 Shares issued as reinvestments of dividends 707,412 -- 159,721 871 Shares redeemed (17,544,147) (769,089) (3,328,040) (177,917) ------------ ------------ ----------- ----------- Net increase in shares outstanding $ 56,816,307 $ 15,338,386 $ 3,951,015 $ 4,157,848 ============ ============ =========== =========== Class B Shares ------------------------------------------------------------ Six Months 3 Months Year July 21, Ended Ended Ended 1997 to Dec. 31, June 30, March 31, March 31, 1999 1999 1999 1998 ------------- ------------ ------------ ----------- LargeCap Growth Fund (Number of Shares) Shares sold 4,132,387 1,006,149 722,166 239,436 Shares issued as reinvestments of dividends 38,999 -- 4,145 224 Shares redeemed (282,818) (63,827) (129,658) (35,907) ------------- ------------ ------------ ----------- Net increase in shares outstanding 3,888,568 942,322 596,653 203,753 ============= ============ ============ =========== LargeCap Growth Fund ($) Shares sold $ 126,339,458 $ 27,013,724 $ 13,914,112 $ 3,275,198 Shares issued as reinvestments of dividends 1,276,981 -- 70,921 3,000 Shares redeemed (8,834,942) (1,716,619) (2,523,553) (493,670) ------------- ------------ ------------ ----------- Net increase in shares outstanding $ 118,781,497 $ 25,297,105 $ 11,461,480 $ 2,784,528 ============= ============ ============ =========== Class C Shares ------------------------------------------------------------- Six Months 3 Months Year July 21, Ended Ended Ended 1997 to Dec. 31, June 30, March 31, March 31, 1999 1999 1999 1998 ------------- ------------ ------------ ----------- LargeCap Growth Fund (Number of Shares) Shares sold 1,592,198 322,341 293,854 65,178 Shares issued as reinvestments of dividends 13,490 -- 1,216 55 Shares redeemed (68,817) (10,496) (35,900) (3,829) ------------ ----------- ----------- --------- Net increase in shares outstanding 1,536,871 311,845 259,170 61,404 ============ =========== =========== ========= LargeCap Growth Fund ($) Shares sold $ 49,343,883 $ 8,625,780 $ 5,792,910 $ 890,031 Shares issued as reinvestments of dividends 443,448 -- 20,875 742 Shares redeemed (2,133,106) (279,527) (642,955) (53,621) ------------ ----------- ----------- --------- Net increase in shares outstanding $ 47,654,225 $ 8,346,253 $ 5,170,830 $ 837,152 ============ =========== =========== ========= Class Q Shares ------------------------------------------------------------ Six Months 3 Months Year Year Ended Ended Ended Ended Dec. 31, June 30, March 31, March 31, 1999 1999 1999 1998 ------------- ------------ ------------ ----------- LargeCap Growth Fund (Number of Shares) Shares sold 221,752 27,961 176,779 51,175 Shares issued as reinvestments of dividends 2,730 -- 1,139 11 Shares redeemed (11,546) (9,901) (34,429) (181) ------------- ------------ ------------ ----------- Net increase in shares outstanding 212,936 18,060 143,489 51,005 ============= ============ ============ =========== LargeCap Growth Fund ($) Shares sold $ 6,851,183 $ 753,086 $ 3,396,063 $ 714,785 Shares issued as reinvestments of dividends 93,151 -- 19,518 153 Shares redeemed (365,419) (263,465) (600,590) (2,705) ------------- ------------ ------------ ----------- Net increase in shares outstanding $ 6,578,915 $ 489,621 $ 2,814,991 $ 712,233 ============= ============ ============ =========== Class A Shares Class B Shares ------------------------------- ----------------------------- Six Months Year Six Months Year Ended Ended Ended Ended Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 --------------- --------------- -------------- -------------- MidCap Value Fund (Number of Shares) Shares sold 43,276 289,831 109,243 418,549 Shares issued as reinvestment of dividends 5,045 97,756 10,125 163,266 Shares redeemed (428,890) (834,562) (637,196) (992,708) ------------- ------------ ------------ ------------ Net increase (decrease) in shares outstanding (380,569) (446,975) (517,828) (410,893) ============= ============ ============ ============ MidCap Value Fund ($) Shares sold $ 589,575 $ 4,389,745 $ 1,457,832 $ 6,191,601 Shares issued as reinvestment of dividends 69,464 1,381,287 135,063 2,251,448 Shares redeemed (5,769,059) (12,572,823) (8,270,645) (14,198,024) ------------- ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ (5,110,020) $ (6,801,791) $ (6,677,750) $ (5,754,975) ============= ============ ============ ============ Class C Shares Class M Shares ------------------------------- ------------------------------- Six Months June 2, 1999 Six Months Year Ended to Ended Ended Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 ------------- ------------- ------------- ------------- MidCap Value Fund (Number of Shares) Shares sold 10,792 3,437 51,147 162,221 Shares issued as reinvestment of dividends 50 -- 3,293 60,558 Shares redeemed (605) (336) (256,102) (336,945) ------------- ------------ ------------ ----------- Net increase (decrease) in shares outstanding 10,238 3,101 (201,761) (114,166) ============= ============ ============ =========== MidCap Value Fund ($) Shares sold $ 142,663 $ 51,058 $ 694,315 $ 2,398,495 Shares issued as reinvestment of dividends 669 -- 44,230 838,728 Shares redeemed (7,839) (5,064) (3,429,254) (4,910,700) ------------- ------------ ------------ ----------- Net increase (decrease) in shares outstanding $ 135,493 $ 45,994 $ (2,690,709) $(1,673,477) ============= ============ ============ ===========
91 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - --------------------------------------------------------------------------------
Class A Shares ------------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ------------------------------ 1999 1999 1999 1998 ------------ ----------- ------------- ------------- MidCap Growth Fund (Number of Shares) Shares sold 1,887,459 170,704 5,215,189 12,405,504 Shares issued as reinvestments of dividends 974,325 -- 130,197 1,012,862 Shares redeemed (1,685,482) (440,581) (6,820,248) (13,082,835) ------------ ----------- ------------- ------------- Net increase (decrease) in shares outstanding 1,176,302 (269,877) (1,474,862) 335,531 ============ =========== ============= ============= MidCap Growth Fund ($) Shares sold $ 42,479,065 $ 3,480,826 $ 93,222,436 $ 224,326,301 Shares issued as reinvestments of dividends 19,954,182 -- 2,271,935 16,459,004 Shares redeemed (38,462,267) (9,018,100) (120,721,071) (237,096,577) ------------ ----------- ------------- ------------- Net increase (decrease) in shares outstanding $ 23,970,980 $(5,537,274) $ (25,226,700) $ 3,688,728 ============ =========== ============= ============= Class B Shares ------------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ------------------------------ 1999 1999 1999 1998 ------------ ----------- ------------- -------------- MidCap Growth Fund (Number of Shares) Shares sold 443,450 124,529 549,516 1,072,549 Shares issued as reinvestments of dividends 643,199 -- 69,791 123,360 Shares redeemed (241,664) (113,758) (842,979) (799,428) ------------- ------------ -------------- -------------- Net increase (decrease) in shares outstanding 844,985 10,771 (223,672) 396,481 ============= ============ ============== ============== MidCap Growth Fund ($) Shares sold $ 11,751,162 $ 3,003,625 $ 11,154,074 $ 20,188,443 Shares issued as reinvestments of dividends 15,501,088 -- 1,444,672 2,326,535 Shares redeemed (6,402,391) (2,758,710) (16,826,911) (15,026,369) ------------- ------------ -------------- -------------- Net increase (decrease) in shares outstanding $ 20,849,859 $ 244,915 $ (4,228,165) $ 7,488,609 ============= ============ ============== ============== Class C Shares ------------------------------------------------------------ Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ----------------------------- 1999 1999 1999 1998 ------------ ----------- ------------- ------------ MidCap Growth Fund (Number of Shares) Shares sold 341,928 127,317 1,185,161 1,750,377 Shares issued as reinvestments of dividends 2,159,366 -- 121,764 2,641,098 Shares redeemed (569,752) (465,369) (3,371,242) (4,220,870) ------------ ----------- ------------ ------------ Net increase (decrease) in shares outstanding 1,931,542 (338,052) (2,064,317) 170,605 ============ =========== ============ ============ MidCap Growth Fund ($) Shares sold $ 7,157,589 $ 2,416,875 $ 19,063,447 $ 29,917,347 Shares issued as reinvestments of dividends 40,876,806 -- 1,981,095 39,590,055 Shares redeemed (11,726,905) (8,876,675) (52,212,207) (72,773,773) ------------ ----------- ------------ ------------ Net increase (decrease) in shares outstanding $ 36,307,490 $(6,459,800) $(31,167,665) $ (3,266,371) ============ =========== ============ ============ Class Q Shares ----------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, --------------------------- 1999 1999 1999 1998 ------------ ----------- ------------ ----------- MidCap Growth Fund (Number of Shares) Shares sold 82,240 201,861 194,537 170,070 Shares issued as reinvestments of dividends 102,573 -- 37,715 55,785 Shares redeemed (481,792) (52,773) (185,074) (430,179) ------------ ----------- ----------- ----------- Net increase (decrease) in shares outstanding (296,979) 149,088 47,178 (204,324) ============ =========== =========== =========== MidCap Growth Fund ($) Shares sold $ 2,358,880 $ 5,261,515 $ 4,134,744 $ 3,584,125 Shares issued as reinvestments of dividends 2,657,667 -- 828,224 1,134,102 Shares redeemed (13,089,123) (1,337,840) (3,718,156) (8,868,353) ------------ ----------- ----------- ----------- Net increase (decrease) in shares outstanding $ (8,072,576) $ 3,923,675 $ 1,244,812 $(4,150,126) ============ =========== =========== ===========
92 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - --------------------------------------------------------------------------------
Class A Shares ---------------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, -------------------------------- 1999 1999 1999 1998 ------------ ------------ ------------- --------------- SmallCap Growth Fund (Number of Shares) Shares sold 3,283,325 384,655 44,256,415 104,820,578 Shares issued as reinvestments of dividends 3,070,496 -- 919,060 830,976 Shares redeemed (3,271,622) (652,027) (49,753,506) (103,463,758) ------------ ------------ ------------- --------------- Net increase (decrease) in shares outstanding 3,082,199 (267,372) (4,578,031) 2,187,796 ============ ============ ============= =============== SmallCap Growth Fund ($) Shares sold $ 58,892,478 $ 6,777,887 $ 815,912,790 $ 1,931,764,538 Shares issued as reinvestments of dividends 44,737,125 -- 14,800,215 15,132,144 Shares redeemed (59,471,338) (11,423,224) (917,280,292) (1,921,657,761) ------------ ------------ ------------- --------------- Net increase (decrease) in shares outstanding $ 44,158,265 $ (4,645,337) $ (86,567,287) $ 25,238,921 ============ ============ ============= =============== Class B Shares ----------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ---------------------------- 1999 1999 1999 1998 ------------ ----------- ------------ ------------ SmallCap Growth Fund (Number of Shares) Shares sold 330,273 62,154 1,030,266 1,553,380 Shares issued as reinvestments of dividends 1,282,942 -- 121,247 -- Shares redeemed (182,179) (144,208) (1,464,484) (909,702) ------------ ----------- ------------ ------------ Net increase (decrease) in shares outstanding 1,431,036 (82,054) (312,971) 643,678 ============ =========== ============ ============ SmallCap Growth Fund ($) Shares sold $ 7,356,085 $ 1,379,964 $ 19,580,720 $ 30,441,105 Shares issued as reinvestments of dividends 23,529,153 -- 2,371,732 -- Shares redeemed (4,064,699) (3,209,533) (28,084,966) (17,600,099) ------------ ----------- ------------ ------------ Net increase (decrease) in shares outstanding $ 26,820,539 $ 1,829,569 $ (6,132,514) $ 12,841,006 ============ =========== ============ ============ Class C Shares ------------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ----------------------------- 1999 1999 1999 1998 ------------ ------------ ------------ ------------- SmallCap Growth Fund (Number of Shares) Shares sold 399,462 82,725 1,806,596 4,136,702 Shares issued as reinvestments of dividends 4,523,695 -- 926,112 1,443,201 Shares redeemed (672,828) (680,850) (6,061,729) (5,945,903) ------------ ------------ ------------ ------------- Net increase (decrease) in shares outstanding 4,250,329 (598,125) (3,329,021) (366,000) ============ ============ ============ ============= SmallCap Growth Fund ($) Shares sold $ 7,049,327 $ 1,433,335 $ 29,105,010 $ 72,644,552 Shares issued as reinvestments of dividends 64,869,794 -- 14,800,873 24,837,499 Shares redeemed (12,089,939) (11,755,815) (93,185,013) (104,107,897) ------------ ------------ ------------ ------------- Net increase (decrease) in shares outstanding $ 59,829,182 $(10,322,480) $(49,279,130) $ (6,625,846) ============ ============ ============ ============= Class Q Shares ---------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ---------------------------- 1999 1999 1999 1998 ----------- ----------- ------------ ------------ SmallCap Growth Fund (Number of Shares) Shares sold 200,977 421,173 793,286 1,102,868 Shares issued as reinvestments of dividends 226,472 -- 18,226 997 Shares redeemed (380,535) (392,013) (970,001) (531,507) ----------- ----------- ------------ ------------ Net increase (decrease) in shares outstanding 46,914 29,160 (158,489) 572,358 =========== =========== ============ ============ SmallCap Growth Fund ($) Shares sold $ 4,795,679 $ 8,340,785 $ 12,725,287 $ 20,108,210 Shares issued as reinvestments of dividends 3,668,843 -- 292,442 17,715 Shares redeemed (7,214,976) (7,387,773) (15,962,787) (9,776,365) ----------- ----------- ------------ ------------ Net increase (decrease) in shares outstanding 1,249,546 $ 953,012 $ (2,945,058) $ 10,349,560 =========== =========== ============ ============
93 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - --------------------------------------------------------------------------------
Class A Shares -------------------------------------------------------------- Six Months Year Six Months Year Ended Ended Ended Ended Dec. 31, June 30, June 30, December 31, 1999 1999 1998 1997 ------------ ------------- ------------- ------------ Bank and Thrift Fund (Number of Shares) Shares sold 887,271 6,842,658 6,598,183 1,562,472 Shares issued as reinvestment of dividends 1,461,900 387,793 -- 705,087 Shares redeemed (3,973,297) (10,663,118) (1,439,132) (1,608,708) ------------ ------------- ------------- ------------ Net increase (decrease) in shares outstanding (1,624,126) (3,432,667) 5,159,051 658,851 ============ ============= ============= ============ Bank and Thrift Fund ($) Shares sold $ 17,155,924 $ 167,184,964 $ 179,351,328 $ 40,159,509 Shares issued as reinvestment of dividends 28,609,385 9,012,306 -- 17,958,557 Shares redeemed (83,452,527) (257,239,846) (38,524,439) (41,390,698) ------------ ------------- ------------- ------------ Net increase (decrease) in shares outstanding $(37,687,218) $ (81,042,576) $ 140,826,889 $ 16,727,368 ============ ============= ============= ============ Class B Shares --------------------------------------------------------------- Six Months Year Six Months Year Ended Ended Ended Ended Dec. 31, June 30, June 30, December 31, 1999 1999 1998 1997 ------------ ------------- ------------- ------------ Bank and Thrift Fund (Number of Shares) Shares sold 747,302 5,775,191 10,545,101 2,911,186 Shares issued as reinvestment of dividends 1,522,115 277,033 -- 111,936 Shares redeemed (4,459,450) (5,028,917) (370,014) (66,661) ------------ ------------- ------------- ------------ Net increase (decrease) in shares outstanding (2,190,033) 1,023,307 10,175,087 2,956,461 ============ ============= ============= ============ Bank and Thrift Fund ($) Shares sold $ 15,190,631 $ 139,440,683 $ 286,284,458 $ 74,850,403 Shares issued as reinvestment of dividends 29,787,803 6,421,621 -- 2,849,887 Shares redeemed (91,794,814) (117,566,243) (9,978,392) (1,756,579) ------------ ------------- ------------- ------------ Net increase (decrease) in shares outstanding $(46,816,380) $ 28,296,061 $ 276,306,066 $ 75,943,711 ============ ============= ============= ============ Class A Shares -------------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ------------------------------ 1999 1999 1999 1998 ------------ ------------ ------------- ------------- Worldwide Growth Fund (Number of Shares) Shares sold 3,657,074 1,172,285 5,575,910 5,937,921 Shares issued as reinvestments of dividends 422,447 86 96,384 213,726 Shares redeemed (2,054,550) (660,100) (5,374,372) (5,575,601) ------------ ------------ ------------- ------------- Net increase in shares outstanding 2,024,971 512,271 297,922 576,046 ============ ============ ============= ============= Worldwide Growth Fund ($) Shares sold $ 93,237,876 $ 26,425,907 $ 110,310,826 $ 108,061,899 Shares issued as reinvestments of dividends 10,797,796 -- 1,739,418 3,565,008 Shares redeemed (53,006,466) 14,957,153 (107,031,318) (102,391,906) ------------ ------------ ------------- ------------- Net increase in shares outstanding $ 51,029,206 $ 11,468,754 $ 5,018,926 $ 9,235,001 ============ ============ ============= ============= Class B Shares --------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, -------------------------- 1999 1999 1999 1998 ------------ ----------- ------------ ----------- Worldwide Growth Fund (Number of Shares) Shares sold 1,216,539 353,077 544,757 292,727 Shares issued as reinvestments of dividends 192,101 -- 39,170 25,906 Shares redeemed (108,220) (70,889) (319,228) (187,737) ------------ ----------- ------------ ----------- Net increase in shares outstanding 1,300,420 282,188 264,699 130,896 ============ =========== ============ =========== Worldwide Growth Fund ($) Shares sold $ 35,073,982 $ 9,019,106 $ 11,616,885 $ 5,360,286 Shares issued as reinvestments of dividends 5,534,647 -- 799,305 449,135 Shares redeemed (3,077,123) (1,811,055) (6,778,733) (3,334,259) ------------ ----------- ------------ ----------- Net increase in shares outstanding $ 37,531,506 $ 7,208,051 $ 5,637,457 $ 2,475,162 ============ =========== ============ =========== Class C Shares ----------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ---------------------------- 1999 1999 1999 1998 ------------ ----------- ------------ ------------ Worldwide Growth Fund (Number of Shares) Shares sold 1,160,423 316,937 1,258,419 435,836 Shares issued as reinvestments of dividends 554,746 -- 117,737 663,935 Shares redeemed (284,129) (195,915) (1,224,596) (833,591) ------------ ----------- ------------ ------------ Net increase in shares outstanding 1,431,040 121,022 151,560 266,180 ============ =========== ============ ============ Worldwide Growth Fund ($) Shares sold $ 30,065,213 $ 7,199,228 $ 23,846,842 $ 7,995,043 Shares issued as reinvestments of dividends 14,207,038 -- 2,145,255 10,934,587 Shares redeemed (7,213,580) (4,443,951) (22,854,997) (15,192,388) ------------ ----------- ------------ ------------ Net increase (decrease) in shares outstanding $ 37,058,671 $ 2,755,277 $ 3,137,100 $ 3,737,242 ============ =========== ============ ============ Class Q Shares ---------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, --------------------------- 1999 1999 1999 1998 ------------ ------------ ----------- ----------- Worldwide Growth Fund (Number of Shares) Shares sold 736,604 430,631 350,299 88,591 Shares issued as reinvestments of dividends 85,463 -- 4,352 1,377 Shares redeemed (183,493) (180,058) (89,828) (99,927) ------------ ------------ ----------- ----------- Net increase in shares outstanding 638,574 250,573 264,823 (9,959) ============ ============ =========== =========== Worldwide Growth Fund ($) Shares sold $ 21,757,251 $ 11,187,418 $ 7,773,616 $ 1,508,613 Shares issued as reinvestments of dividends 2,513,469 -- 89,521 23,268 Shares redeemed (5,729,815) (4,610,453) (1,884,358) (1,693,395) ------------ ------------ ----------- ----------- Net increase (decrease) in shares outstanding $ 18,540,905 $ 6,576,965 $ 5,978,779 $ (161,514) ============ ============ =========== ===========
94 - ---------- Pilgrim Funds - ---------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - --------------------------------------------------------------------------------
Class A Shares ------------------------------------------------------------ Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ---------------------------- 1999 1999 1999 1998 ------------ ------------ ------------ ------------ International Core Growth Fund (Number of Shares) Shares sold 1,695,962 1,699,541 4,111,884 2,435,374 Shares issued as reinvestments of dividends 33,298 -- 5,819 3,344 Shares redeemed (1,673,778) (2,264,636) (3,641,067) (1,694,382) ------------ ------------ ------------ ------------ Net increase in shares outstanding 55,482 (565,095) 476,636 744,336 ============ ============ ============ ============ International Core Growth Fund ($) Shares sold $ 36,226,021 $ 30,866,314 $ 72,899,494 $ 38,637,232 Shares issued as reinvestments of dividends 740,211 -- 109,877 47,981 Shares redeemed (36,257,042) (41,080,307) (65,603,216) (27,349,807) ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ 709,190 $(10,213,993) $ 7,406,155 $ 11,335,406 ============ ============ ============ ============ Class B Shares --------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, --------------------------- 1999 1999 1999 1998 ------------- ----------- ------------- ---------- International Core Growth Fund (Number of Shares) Shares sold 118,265 47,812 317,938 500,774 Shares issued as reinvestments of dividends 30,807 -- 2,484 2,781 Shares redeemed (71,488) (33,706) (168,120) (39,156) ------------- ----------- ------------- ---------- Net increase in shares outstanding 77,584 14,106 152,302 464,399 ============= =========== ============= ========== International Core Growth Fund ($) Shares sold $ 2,644,212 $ 888,899 $ 5,553,372 $7,549,895 Shares issued as reinvestments of dividends 689,466 -- 47,437 40,158 Shares redeemed (1,549,039) (610,199) (2,893,130) (593,538) ------------- ----------- ------------- ---------- Net increase (decrease) in shares outstanding $ 1,784,639 $ 278,700 $ 2,707,679 $6,996,515 ============= =========== ============= ========== Class C Shares --------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, -------------------------- 1999 1999 1999 1998 ----------- ----------- ----------- ----------- International Core Growth Fund (Number of Shares) Shares sold 415,920 113,784 455,651 224,635 Shares issued as reinvestments of dividends 33,214 -- 1,471 -- Shares redeemed (307,419) (69,740) (82,349) (23,087) ----------- ----------- ----------- ----------- Net increase (decrease) in shares outstanding 141,715 44,044 374,773 201,548 =========== =========== =========== =========== International Core Growth Fund ($) Shares sold $ 8,623,252 $ 2,117,597 $ 7,964,267 $ 3,488,506 Shares issued as reinvestments of dividends 745,649 -- 28,148 -- Shares redeemed (6,338,601) (1,298,517) (1,412,367) (347,719) ----------- ----------- ----------- ----------- Net increase (decrease) in shares outstanding $ 3,030,300 $ 819,080 $ 6,580,048 $ 3,140,787 =========== =========== =========== =========== Class Q Shares -------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, -------------------------- 1999 1999 1999 1998 ----------- ----------- ------------ ----------- International Core Growth Fund (Number of Shares) Shares sold 94,817 93,649 581,442 115,512 Shares issued as reinvestments of dividends 24,738 -- 1,463 -- Shares redeemed (38,194) (228,977) (67,954) (16,966) ----------- ----------- ------------ ----------- Net increase (decrease) in shares outstanding 81,361 (135,328) 514,951 98,546 =========== =========== ============ =========== International Core Growth Fund ($) Shares sold $ 2,125,200 $ 1,771,267 $ 10,297,873 $ 1,808,824 Shares issued as reinvestments of dividends 572,187 -- 31,169 -- Shares redeemed (832,607) (4,253,651) (1,185,061) (265,176) ----------- ----------- ------------ ----------- Net increase (decrease) in shares outstanding $ 1,864,780 $(2,482,384) $ 9,143,981 $ 1,543,648 =========== =========== ============ ===========
95 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - --------------------------------------------------------------------------------
Class A Shares ---------------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended Dec. 31, June 30, ------------------------------ 1999 1999 1999 1998 ------------- ------------ ------------- ------------- International SmallCap Growth Fund (Number of Shares) Shares sold 3,952,355 1,367,921 4,953,991 6,608,889 Shares issued as reinvestments of dividends 168,258 -- 41,096 24,582 Shares redeemed (2,098,673) (997,179) (4,370,199) (6,427,019) ------------- ------------ ------------- ------------- Net increase in shares outstanding 2,021,940 370,742 624,888 206,452 ============= ============ ============= ============= International SmallCap Growth Fund ($) Shares sold $ 123,410,410 $ 30,182,958 $ 101,529,799 $ 109,494,069 Shares issued as reinvestments of dividends 5,490,397 -- 811,876 383,230 Shares redeemed (66,515,786) (22,024,759) (90,418,518) (107,699,737) ------------- ------------ ------------- ------------- Net increase in shares outstanding $ 62,385,021 $ 8,158,199 $ 11,923,157 $ 2,177,562 ============= ============ ============= ============= Class B Shares --------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, --------------------------- 1999 1999 1999 1998 ------------ ----------- ------------ ----------- International SmallCap Growth Fund (Number of Shares) Shares sold 1,070,463 98,528 574,326 463,887 Shares issued as reinvestments of dividends 85,395 -- 21,611 31,709 Shares redeemed (111,068) (55,682) (472,298) (218,409) ------------ ----------- ------------ ----------- Net increase in shares outstanding 1,044,790 42,846 123,639 277,187 ============ =========== ============ =========== International SmallCap Growth Fund ($) Shares sold $ 33,779,956 $ 2,333,350 $ 12,177,504 $ 8,303,957 Shares issued as reinvestments of dividends 2,953,814 -- 452,596 517,182 Shares redeemed (3,843,006) (1,302,925) (9,959,007) (3,838,911) ------------ ----------- ------------ ----------- Net increase in shares outstanding $ 32,890,764 $ 1,030,425 $ 2,671,093 $ 4,982,228 ============ =========== ============ =========== Class C Shares ---------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, --------------------------- 1999 1999 1999 1998 ------------ ----------- ------------ ----------- International SmallCap Growth Fund (Number of Shares) Shares sold 1,307,255 146,271 660,257 440,799 Shares issued as reinvestments of dividends 80,887 -- 13,435 23,528 Shares redeemed (331,751) (34,123) (464,252) (273,436) ------------ ----------- ------------ ----------- Net increase in shares outstanding 1,056,391 112,148 209,440 190,891 ============ =========== ============ =========== International SmallCap Growth Fund ($) Shares sold $ 40,224,511 $ 3,168,229 $ 12,933,840 $ 7,326,296 Shares issued as reinvestments of dividends 2,568,959 -- 258,146 352,544 Shares redeemed (9,871,492) (740,072) (9,055,952) (4,516,362) ------------ ----------- ------------ ----------- Net increase in shares outstanding $ 32,921,978 $ 2,428,157 $ 4,136,034 $ 3,162,478 ============ =========== ============ =========== Class Q Shares ----------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, --------------------------- 1999 1999 1999 1998 ------------ ------------ ------------ ----------- International SmallCap Growth Fund (Number of Shares) Shares sold 2,512,797 529,877 1,567,046 458,377 Shares issued as reinvestments of dividends 138,871 -- 12,918 -- Shares redeemed (1,148,209) (269,090) (563,058) (2,123) ------------ ------------ ------------ ----------- Net increase in shares outstanding 1,503,459 260,787 1,016,906 456,254 ============ ============ ============ =========== International SmallCap Growth Fund ($) Shares sold $ 83,803,193 $ 12,505,725 $ 32,536,160 $ 8,543,873 Shares issued as reinvestments of dividends 4,781,333 -- 249,737 -- Shares redeemed (37,730,596) (6,328,290) (11,408,948) (34,256) ------------ ------------ ------------ ----------- Net increase in shares outstanding $ 50,853,930 $ 6,177,435 $ 21,376,949 $ 8,509,617 ============ ============ ============ ===========
96 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - --------------------------------------------------------------------------------
Class A Shares ------------------------------------------------------------ Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, --------------------------- 1999 1999 1999 1998 ------------ ------------ ------------ ------------ Emerging Countries Fund (Number of Shares) Shares sold 2,062,668 1,064,600 3,262,352 3,249,713 Shares issued as reinvestments of dividends -- -- 17,479 149,478 Shares redeemed (2,146,513) (1,382,928) (3,852,081) (1,564,308) ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding (83,845) (318,328) (572,250) 1,834,883 ============ ============ ============ ============ Emerging Countries Fund ($) Shares sold $ 35,334,599 $ 16,015,629 $ 45,426,994 $ 56,508,617 Shares issued as reinvestments of dividends -- -- 277,913 2,308,126 Shares redeemed (36,947,329) (20,693,691) (51,942,286) (27,275,872) ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ (1,612,730) $ (4,678,062) $ (6,237,379) $ 31,540,871 ============ ============ ============ ============ Class B Shares ---------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ---------------------------- 1999 1999 1999 1998 ----------- ----------- ------------ ------------ Emerging Countries Fund (Number of Shares) Shares sold 115,013 82,535 382,174 1,214,038 Shares issued as reinvestments of dividends -- -- 7,286 101,517 Shares redeemed (182,064) (168,473) (951,609) (535,990) ----------- ----------- ------------ ------------ Net increase (decrease) in shares outstanding (67,051) (85,938) (562,149) 779,565 =========== =========== ============ ============ Emerging Countries Fund ($) Shares sold $ 2,020,992 $ 1,322,669 $ 5,698,657 $ 22,259,145 Shares issued as reinvestments of dividends -- -- 118,138 1,591,405 Shares redeemed (3,190,169) (2,572,889) (12,756,398) (9,195,436) ----------- ----------- ------------ ------------ Net increase (decrease) in shares outstanding $(1,169,177) $(1,250,220) $ (6,939,603) $ 14,655,114 =========== =========== ============ ============ Class C Shares ---------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ---------------------------- 1999 1999 1999 1998 ----------- ----------- ------------ ------------ Emerging Countries Fund (Number of Shares) Shares sold 141,268 116,572 521,678 1,150,487 Shares issued as reinvestments of dividends -- -- 5,264 139,493 Shares redeemed (202,063) (99,525) (1,239,995) (859,084) ----------- ----------- ------------ ------------ Net increase (decrease) in shares outstanding (60,795) 17,047 (713,053) 430,896 =========== =========== ============ ============ Emerging Countries Fund ($) Shares sold $ 2,391,811 $ 1,744,612 $ 7,326,720 $ 20,756,465 Shares issued as reinvestments of dividends -- -- 82,205 2,109,145 Shares redeeme (3,341,049) (1,481,896) (16,381,157) (13,967,608) ----------- ----------- ------------ ------------ Net increase (decrease) in shares outstanding $ (949,238) $ 262,716 $ (8,972,232) $ 8,898,002 =========== =========== ============ ============ Class Q Shares ------------------------------------------------------------ Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ---------------------------- 1999 1999 1999 1998 ------------ ------------ ------------ ------------ Emerging Countries Fund (Number of Shares) Shares sold 1,001,807 1,208,239 4,616,946 2,910,075 Shares issued as reinvestments of dividends -- -- 36,438 9,663 Shares redeemed (1,066,379) (459,541) (3,431,547) (814,722) ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding (64,572) 748,698 1,221,837 2,105,016 ============ ============ ============ ============ Emerging Countries Fund ($) Shares sold $ 17,783,972 $ 19,053,123 $ 65,385,070 $ 51,065,387 Shares issued as reinvestments of dividends -- -- 593,577 151,971 Shares redeeme (18,904,072) (7,234,180) (45,346,860) (13,654,662) ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ (1,120,100) $(11,818,943) $ 20,631,787 $ 37,562,696 ============ ============ ============ ============
97 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Class A Shares ----------------------------- Six Months Year Ended Ended Dec. 31, 1999 June 30, 1999 ------------ ------------- Asia-Pacific Equity Fund (Number of Shares) Shares sold 4,394,879 25,333,718 Shares issued as reinvestment of dividends -- -- Shares redeemed (4,453,176) (25,985,521) ------------ ------------- Net decrease in shares outstanding (58,297) (651,803) ============ ============= Asia-Pacific Equity Fund ($) Shares sold $ 32,024,595 $ 120,602,739 Shares issued as reinvestment of dividends -- -- Shares redeemed (32,836,579) (124,586,962) ------------ ------------- Net increase (decrease) in shares outstanding $ (811,984) $ (3,984,223) ============ =============
Class B Shares Class M Shares ----------------------------- ------------------------------ Six Months Year Six Months Year Ended Ended Ended Ended Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 ------------- ------------- ------------- ------------- Asia-Pacific Equity Fund (Number of Shares) Shares sold 1,396,704 2,652,841 1,360,783 692,204 Shares issued as reinvestment of dividends -- -- -- -- Shares redeemed (1,346,722) (2,886,015) (1,182,162) (927,629) ----------- ------------ ------------ ----------- Net decrease in shares outstanding 49,982 (233,174) 178,621 (235,425) =========== ============ ============ =========== Asia-Pacific Equity Fund ($) Shares sold $ 9,749,898 $ 13,490,585 $ 10,139,668 $ 3,734,225 Shares issued as reinvestment of dividends -- -- -- -- Shares redeemed (9,444,930) (14,427,377) (8,911,560) (4,867,780) ----------- ------------ ------------ ----------- Net increase (decrease) in shares outstanding $ 304,968 $ (936,792) $ 1,228,108 $(1,133,555) =========== ============ ============ =========== Class A Shares Class B Shares ----------------------------- ------------------------------ Six Months Year Six Months Year Ended Ended Ended Ended Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 ------------- ------------- ------------- ------------- Government Securities Income Fund (Number of Shares) Shares sold 612,203 1,780,718 391,804 2,303,127 Shares issued as reinvestment of dividends 25,528 63,214 11,934 26,259 Shares redeemed (727,973) (1,977,689) (378,091) (1,570,331) ----------- ------------ ----------- ------------ Net increase (decrease) in shares outstanding (90,242) (133,757) 25,647 759,055 =========== ============ =========== ============ Government Securities Income Fund ($) Shares sold $ 7,399,563 $ 22,807,064 $ 4,720,454 $ 29,433,691 Shares issued as reinvestment of dividends 308,787 802,923 143,885 332,080 Shares redeemed (8,800,432) (25,148,449) (4,561,438) (19,941,959) ----------- ------------ ----------- ------------ Net increase (decrease) in shares outstanding $(1,092,082) $ (1,538,462) $ 302,901 $ 9,823,812 =========== ============ =========== ============ Class C Shares Class M Shares ----------------------------- ----------------------------- Six Months June 1, 1999 Six Months Year Ended to Ended Ended Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 ------------- ------------- ------------- ------------- Government Securities Income Fund (Number of Shares) Shares sold 424,999 34,375 21,678 136,108 Shares issued as reinvestment of dividends 559 -- 1,233 2,551 Shares redeemed (404,297) (33,817) (28,288) (95,188) ----------- --------- --------- ----------- Net increase (decrease) in shares outstanding 21,261 558 (5,378) 43,471 =========== ========= ========= =========== Government Securities Income Fund ($) Shares sold $ 5,197,149 $ 421,428 $ 262,342 $ 1,751,439 Shares issued as reinvestment of dividends 6,791 -- 14,920 32,362 Shares redeemed (4,931,244) (414,258) (341,045) (1,210,771) ----------- --------- --------- ----------- Net increase (decrease) in shares outstanding $ 272,696 $ 7,170 $ (63,783) $ 573,030 =========== ========= ========= =========== Class A Shares Class B Shares ------------------------------------------ ----------------------------------------- Six Months 3 Months Year Six Months 3 Months Year Ended Ended Ended Ended Ended Ended Dec. 31, June 30, March 31, Dec. 31, June 30, March 31, 1999 1999 1999(1) 1999 1999 1999(1) ----------- ------------ ----------- ----------- ----------- ----------- Strategic Income Fund (Number of Shares) Shares sold 214,882 1,744,498 646,153 144,894 65,960 595,169 Shares issued in merger -- 175,454 -- 259,694 Shares issued as reinvestment of dividends 5,430 1,712 5,664 9,330 3,737 12,860 Shares redeemed (235,892) (1,797,320) (381,014) (158,956) (137,015) (341,358) ----------- ------------ ----------- ----------- ----------- ----------- Net increase (decrease) in shares outstanding (15,580) (51,110) 446,257 (4,732) (67,318) 526,365 =========== ============ =========== =========== =========== =========== Strategic Income Fund ($) Shares sold $ 2,650,559 $ 22,358,564 $ 8,383,952 $ 1,741,069 $ 827,887 $ 7,617,290 Shares issued in merger -- 2,260,055 -- 3,265,737 Shares issued as reinvestment of dividends 66,608 21,991 73,691 112,013 47,004 163,532 Shares redeemed (2,892,336) (23,052,137) (4,961,848) (1,912,030) (1,710,716) (4,353,363) ----------- ------------ ----------- ----------- ----------- ----------- Net increase (decrease) in shares outstanding $ (175,169) $ (671,582) $ 5,755,850 $ (58,948) $ (835,825) $ 6,693,196 =========== ============ =========== =========== =========== ===========
98 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - --------------------------------------------------------------------------------
Class C Shares Class Q Shares ----------------------------------------- ---------------------------------- Six Months 3 Months Year Six Months 3 Months Year Ended Ended Ended Ended Ended Ended Dec. 31, June 30, March 31, Dec. 31, June 30, March 31, 1999 1999 1999(1) 1999 1999 1999(1) ----------- ----------- ----------- -------- --------- --------- Strategic Income Fund (Number of Shares) Shares sold 95,231 72,888 533,457 1,458 816 1,004 Shares issued in merger -- 342,089 -- 23,390 Shares issued as reinvestment of dividends 6,201 2,829 7,510 564 168 1,220 Shares redeemed (369,672) (77,064) (262,520) (1,293) (12,262) (36) ----------- ----------- ----------- -------- --------- --------- Net increase in shares outstanding (268,240) (1,347) 620,536 729 (11,278) 25,578 =========== =========== =========== ======== ========= ========= Strategic Income Fund ($) Shares sold $ 1,190,118 $ 952,054 $ 7,079,809 $ 17,000 $ 10,030 $ 12,500 Shares issued in merger -- 4,459,907 -- 286,028 Shares issued as reinvestment of dividends 77,414 37,021 99,886 6,586 2,037 15,045 Shares redeemed (4,613,634) (1,006,028) (3,482,921) (14,990) (151,748) (399) ----------- ----------- ----------- -------- --------- --------- Net increase (decrease) in shares outstanding $(3,346,102) $ (16,953) $ 8,156,681 $ 8,596 $(139,681) $ 313,174 =========== =========== =========== ======== ========= ========= - ---------- (1) Classes commenced operations on 7/27/98. Class A Shares Class B Shares ----------------------------- ------------------------------ Six Months Year Six Months Year Ended Ended Ended Ended Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 ------------- ------------- ------------- ------------- High Yield Fund (Number of Shares) Shares sold 5,447,267 23,077,399 6,958,178 28,533,861 Shares issued as reinvestment of dividends 536,725 1,012,788 746,401 1,285,173 Shares redeemed (8,535,774) (16,689,544) (7,649,011) (7,951,333) ------------ ------------- ------------ ------------- Net increase (decrease) in shares outstanding (2,551,782) 7,400,643 55,568 21,867.701 ============ ============= ============ ============= High Yield Fund ($) Shares sold $ 30,963,451 $ 146,786,361 $ 39,234,960 $ 177,876,596 Shares issued as reinvestment of dividends 3,062,240 6,265,752 4,242,645 7,911,056 Shares redeemed (48,378,370) (106,793,532) (43,202,515) (48,182,705) ------------ ------------- ------------ ------------- Net increase (decrease) in shares outstanding $(14,352,679) $ 46,258,581 $ 275,090 $ 137,604,947 ============ ============= ============ ============= Class C Shares Class M Shares Class Q Shares ----------------------------- ----------------------------- ------------------------------- Six Months June 1, 1999 Six Months Year Six Months June 17, 1999 Ended to Ended Ended Ended to Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 Dec. 31, 1999 June 30, 1999 ------------- ------------- ------------- ------------- ------------- ------------- High Yield Fund (Number of Shares) Shares sold 1,062,843 93,124 68,340 2,189,902 -- 30 Shares issued as reinvestment of dividends 10,887 -- 103,914 196,691 -- -- Shares redeemed (144,492) -- (831,634) (1,173,862) -- -- ----------- -------- ----------- ------------ ----- ------- Net increase (decrease) in shares outstanding 929,238 93,124 (659,380) 1,212,731 -- 30 =========== ======== =========== ============ ===== ======= High Yield Fund ($) Shares sold $ 5,993,560 $549,513 $ 392,180 $ 13,575,288 -- $ 5 Shares issued as reinvestment of dividends 61,344 58 592,258 1,217,509 -- -- Shares redeemed (810,025) -- (4,700,976) (7,119,713) -- -- ----------- -------- ----------- ------------ ----- ------- Net increase (decrease) in shares outstanding $ 5,244,879 $549,571 $(3,716,538) $ 7,673,084 -- $ 5 =========== ======== =========== ============ ===== =======
99 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - --------------------------------------------------------------------------------
Class A Shares ------------------------------------------------------ Six Months 3 Months Year March 27, Ended Ended Ended 1998 to Dec. 31, June 30, March 31, March 31, 1999 1999 1999 1998 ----------- ----------- ------------ ----------- High Yield Fund II (Number of Shares) Shares sold 266,067 126,155 2,218,475 173,791 Shares issued in merger -- -- 326,993 Shares issued as reinvestments of dividends 30,261 13,470 68,528 -- Shares redeemed (814,728) (175,029) (1,169,064) (132,119) ----------- ----------- ------------ ----------- Net increase (decrease) in shares outstanding (518,400) (35,404) 1,117,939 368,665 =========== =========== ============ =========== High Yield Fund II ($) Shares sold $ 3,021,843 $ 1,487,541 $ 27,084,111 $ 2,188,791 Shares issued in merger -- -- 4,153,263 Shares issued as reinvestments of dividends 342,143 158,555 807,769 -- Shares redeemed (9,163,260) (2,045,836) (14,038,415) (1,658,997) ----------- ----------- ------------ ----------- Net increase (decrease) in shares outstanding $(5,799,274) $ (399,740) $ 13,853,465 $ 4,683,057 =========== =========== ============ =========== Class B Shares ------------------------------------------------------ Six Months 3 Months Year March 27, Ended Ended Ended 1998 to Dec. 31, June 30, March 31, March 31, 1999 1999 1999 1998 ----------- ----------- ------------ ----------- High Yield Fund II (Number of Shares) Shares sold 418,199 191,304 3,516,788 89,467 Shares issued in merger -- -- 612,536 Shares issued as reinvestments of dividends 57,958 20,903 90,997 -- Shares redeemed (461,934) (279,006) (622,273) (2,379) ----------- ----------- ------------ ----------- Net increase (decrease) in shares outstanding 14,223 (66,799) 2,985,512 699,624 =========== =========== ============ =========== High Yield Fund II ($) Shares sold $ 4,671,832 $ 2,244,780 $ 42,704,286 $ 1,136,299 Shares issued in merger -- -- 7,772,553 Shares issued as reinvestments of dividends 651,192 246,357 1,044,170 -- Shares redeemed (5,181,742) (3,269,300) (7,281,798) (30,039) ----------- ----------- ------------ ----------- Net increase (decrease) in shares outstanding $ 141,282 $ (778,163) $ 36,466,658 $ 8,878,813 =========== =========== ============ =========== Class C Shares ------------------------------------------------------- Six Months 3 Months Year March 27, Ended Ended Ended 1998 to Dec. 31, June 30, March 31, March 31, 1999 1999 1999 1998 ----------- ----------- ------------ ----------- High Yield Fund II (Number of Shares) Shares sold 521,949 91,597 1,848,332 71,467 Shares issued in merger -- -- 307,307 Shares issued as reinvestments of dividends 29,683 11,731 67,635 -- Shares redeemed (650,159) (310,405) (468,704) (7) ----------- ----------- ------------ ----------- Net increase (decrease) in shares outstanding $ (98,527) (207,077) 1,447,263 378,767 =========== =========== ============ =========== High Yield Fund II ($) Shares sold $ 5,840,174 $ 1,078,810 $ 22,778,726 $ 907,549 Shares issued in merger -- -- 3,900,531 Shares issued as reinvestments of dividends 333,684 138,399 775,897 -- Shares redeemed (7,264,459) (3,633,914) (5,466,380) (91) ----------- ----------- ------------ ----------- Net increase (decrease) in shares outstanding $(1,090,601) $(2,416,705) $ 18,088,243 $ 4,807,989 =========== =========== ============ =========== Class Q Shares ------------------------------------------------------- Six Months 3 Months Year March 27, Ended Ended Ended 1998 to Dec. 31, June 30, March 31, March 31, 1999 1999 1999 1998 ----------- ----------- ----------- ------- High Yield Fund II (Number of Shares) Shares sold 704,740 21,272 668,988 2,205 Shares issued in merger -- -- -- Shares issued as reinvestments of dividends 15,520 7,915 23,106 42,382 Shares redeemed (176,910) (307,466) (179,780) -- ----------- ----------- ----------- ------- Net increase (decrease) in shares outstanding 543,350 (278,279) 512,314 44,587 =========== =========== =========== ======= High Yield Fund II ($) Shares sold $ 7,821,437 $ 249,643 $ 7,770,126 $28,000 Shares issued in merger -- -- -- Shares issued as reinvestments of dividends 174,385 93,356 271,659 -- Shares redeemed (2,109,095) (3,614,065) (2,101,039) -- ----------- ----------- ----------- ------- Net increase (decrease) in shares outstanding $ 5,976,727 $(3,271,066) $ 5,940,746 $28,000 =========== =========== =========== =======
100 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - --------------------------------------------------------------------------------
Class A Shares Class B Shares Class C Shares -------------- -------------- -------------- Period Ended Period Ended Period Ended December December December 31, 1999(1) 31, 1999(2) 31, 1999(2) ------------ ------------ ----------- Money Market Fund (Number of Shares) Shares sold 15,193,712 26,877,937 9,726,379 Shares issued as reinvestment of dividends 383 35,906 5,996 Shares redeemed (9,461,717) (15,499,789) (7,062,464) ------------ ------------ ----------- Net increase (decrease) in shares outstanding 5,732,378 11,414,054 2,669,911 ============ ============ =========== Money Market Fund ($) Shares sold $ 15,193,712 $ 26,877,937 $ 9,726,379 Shares issued as reinvestment of dividends 383 35,906 5,996 Shares redeemed (9,461,717) (15,499,789) (7,062,464) ------------ ------------ ----------- Net increase (decrease) in shares outstanding $ 5,732,378 $ 11,414,054 $ 2,669,911 ============ ============ =========== - ---------- (1) Commenced operations on November 24, 1999. (2) Commenced operations on July 12, 1999. Class A Shares -------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, -------------------------- 1999 1999 1999 1998 ----------- ----------- ----------- ----------- Balanced Fund (Number of Shares) Shares sold 100,867 69,501 371,709 305,352 Shares issued as reinvestments of dividends 120,349 1,015 68,457 29,098 Shares redeemed (71,488) (70,425) (281,697) (307,910) ----------- ----------- ----------- ----------- Net increase in shares outstanding 149,729 91 158,469 26,540 =========== =========== =========== =========== Balanced Fund ($) Shares sold $ 1,806,927 $ 1,354,890 $ 7,068,981 $ 5,582,957 Shares issued as reinvestments of dividends 1,895,475 19,370 1,216,578 526,715 Shares redeemed (1,299,179) (1,361,704) (5,289,069) (5,615,525) ----------- ----------- ----------- ----------- Net increase in shares outstanding $ 2,403,223 $ 12,556 $ 2,996,490 $ 494,147 =========== =========== =========== =========== Class B Shares -------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, -------------------------- 1999 1999 1999 1998 ----------- ----------- ----------- ----------- Balanced Fund (Number of Shares) Shares sold 98,832 62,785 128,292 101,305 Shares issued as reinvestments of dividends 87,940 554 29,941 4,600 Shares redeemed (73,340) (12,468) (73,515) (37,270) ----------- ----------- ----------- ----------- Net increase in shares outstanding 113,433 50,871 84,718 68,635 =========== =========== =========== =========== Balanced Fund ($) Shares sold $ 1,912,311 $ 1,288,434 $ 2,447,844 $ 1,865,891 Shares issued as reinvestments of dividends 1,482,773 11,321 566,865 85,892 Shares redeemed (1,381,961) (256,849) (1,364,447) (681,006) ----------- ----------- ----------- ----------- Net increase in shares outstanding $ 2,013,123 $ 1,042,906 $ 1,650,262 $ 1,270,777 =========== =========== =========== =========== Class C Shares ------------------------------------------------------ Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, -------------------------- 1999 1999 1999 1998 ----------- --------- ----------- ----------- Balanced Fund (Number of Shares) Shares sold 67,688 17,557 184,748 145,671 Shares issued as reinvestments of dividends 234,571 519 210,474 76,757 Shares redeemed (155,721) (47,391) (259,419) (267,567) ----------- --------- ----------- ----------- Net increase (decrease) in shares outstanding 146,538 (29,315) 135,803 (45,139) =========== ========= =========== =========== Balanced Fund ($) Shares sold $ 1,100,780 $ 324,318 $ 3,201,753 $ 2,671,793 Shares issued as reinvestments of dividends 3,549,698 9,545 3,603,550 1,410,891 Shares redeemed (2,637,068) (878,533) (4,681,019) (4,877,213) ----------- --------- ----------- ----------- Net increase (decrease) in shares outstanding $ 2,013,410 $(544,670) $ 2,124,284 $ (794,529) =========== ========= =========== =========== Class Q Shares --------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, -------------------- 1999 1999 1999 1998 -------- -------- -------- -------- Balanced Fund (Number of Shares) Shares sold 589 1,351 1,105 3,525 Shares issued as reinvestments of dividends 2,693 42 1,173 128 Shares redeemed (548) (781) (1,882) (106) -------- -------- -------- -------- Net increase (decrease) in shares outstanding 2,734 612 396 3,547 ======== ======== ======== ======== Balanced Fund ($) Shares sold $ 10,255 $ 25,940 $ 19,907 $ 67,581 Shares issued as reinvestments of dividends 42,059 798 20,611 3,310 Shares redeemed (9,247) (14,926) (34,726) (9,440) -------- -------- -------- -------- Net increase (decrease) in shares outstanding $ 43,067 $ 11,812 $ 5,792 $ 61,451 ======== ======== ======== ========
101 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - --------------------------------------------------------------------------------
Class A Shares ---------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, --------------------------- 1999 1999 1999 1998 ------------ ----------- ----------- ----------- Convertible Fund (Number of Shares) Shares sold 803,383 240,854 1,235,038 709,278 Shares issued as reinvestments of dividends 419,390 8,766 84,764 154,229 Shares redeemed (980,890) (106,071) (795,095) (323,387) ------------ ----------- ------------ ------------ Net increase in shares outstanding 241,882 143,549 524,707 540,120 ============ =========== ============ ============ Convertible Fund ($) Shares sold $ 18,903,406 $ 5,446,752 $ 22,826,352 $ 12,820,279 Shares issued as reinvestments of dividends 9,675,286 201,806 1,677,136 2,762,320 Shares redeemed (23,219,011) (2,398,688) (14,627,285) (5,890,494) ------------ ----------- ------------ ------------ Net increase in shares outstanding $ 5,359,681 $ 3,249,870 $ 9,876,203 $ 9,692,105 ============ =========== ============ ============ Class B Shares ----------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ---------------------------- 1999 1999 1999 1998 ------------ ----------- ------------ ------------ Convertible Fund (Number of Shares) Shares sold 963,696 377,405 1,107,458 1,126,063 Shares issued as reinvestments of dividends 441,007 4,334 36,617 50,922 Shares redeemed (301,168) (155,682) (468,699) (158,706) ------------ ----------- ------------ ------------ Net increase in shares outstanding 1,103,535 226,057 675,376 1,018,279 ============ =========== ============ ============ Convertible Fund ($) Shares sold $ 24,703,537 $ 9,316,686 $ 22,988,795 $ 21,634,970 Shares issued as reinvestments of dividends 11,067,194 108,485 774,835 972,857 Shares redeemed (7,597,394) (3,833,777) (9,912,927) (3,026,200) ------------ ----------- ------------ ------------ Net increase in shares outstanding $ 28,173,337 $ 5,591,394 $ 13,850,703 $ 19,581,627 ============ =========== ============ ============ Class C Shares ----------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, ---------------------------- 1999 1999 1999 1998 ------------ ----------- ------------ ------------ Convertible Fund (Number of Shares) Shares sold 457,148 204,264 84,820 791,856 Shares issued as reinvestments of dividends 589,483 3,236 110,911 407,608 Shares redeemed (325,484) (276,138) (881,082) (672,422) ------------ ----------- ------------ ------------ Net increase (decrease) in shares outstanding 721,147 (68,638) 114,649 527,042 ============ =========== ============ ============ Convertible Fund ($) Shares sold $ 11,106,850 $ 4,732,365 $ 17,299,957 $ 14,822,064 Shares issued as reinvestments of dividends 13,877,975 75,700 2,256,244 7,387,102 Shares redeemed (7,529,103) (6,363,756) (17,113,435) (12,484,704) ------------ ----------- ------------ ------------ Net increase (decrease) in shares outstanding $ 17,455,722 $(1,555,691) $ 2,442,766 $ 9,724,462 ============ =========== ============ ============ Class Q Shares --------------------------------------------------------- Six Months 3 Months Year Ended Ended Ended March 31, Dec. 31, June 30, -------------------------- 1999 1999 1999 1998 ------------ ----------- ------------ ----------- Convertible Fund (Number of Shares) Shares sold 451,591 393,267 423,276 111,297 Shares issued as reinvestments of dividends 136,398 3,568 16,065 28,400 Shares redeemed (86,875) (29,839) (410,737) (59,172) ------------ ----------- ----------- ----------- Net increase (decrease) in shares outstanding 501,114 366,996 28,604 80,525 ============ =========== =========== =========== Convertible Fund ($) Shares sold $ 10,644,252 $ 8,618,236 $ 8,043,910 $ 1,905,912 Shares issued as reinvestments of dividends 3,045,349 79,431 304,178 490,423 Shares redeemed (1,962,312) (655,742) (7,680,884) (1,019,145) ------------ ----------- ----------- ----------- Net increase (decrease) in shares outstanding $ 11,727,289 $ 8,041,925 $ 667,204 $ 1,377,190 ============ =========== =========== ===========
102 - ------- Pilgrim Funds - ------- NOTES TO FINANCIAL STATEMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- NOTE 11 -- CUSTODIAL AGREEMENT Investors Fiduciary Trust Company ("IFTC") serves as the Funds' custodian and recordkeeper. Custody fees paid to IFTC are reduced by an earnings credit based on the cash balances held by IFTC for each of the Funds. For the six months ended December 31, 1999 the Funds received the following earnings credits: MagnaCap Fund $ 865 LargeCap Leaders Fund 210 LargeCap Growth Fund 6,054 MidCap Value Fund 1,023 MidCap Growth Fund 1,615 SmallCap Growth Fund -- Bank and Thrift Fund -- Worldwide Growth Fund -- International Core Growth Fund -- International SmallCap Growth Fund -- Emerging Countries Fund -- Asia-Pacific Equity Fund -- Government Securites Income Fund 1,003 Strategic Income Fund 208 High Yield Fund 3,580 High Yield Fund II 2,492 Balanced Fund 383 Convertible 16,119 Money Market Fund 225 NOTE 12 -- SUBSEQUENT EVENTS On January 28, 2000 Pilgrim Investments, Inc. notified Nicholas-Applegate Capital Management ("NACM") of its intention to terminate NACM as sub-advisor to the Pilgrim MidCap Growth Fund and Pilgrim SmallCap Growth Fund, effective March 31, 2000. Beginning April 1, 2000, Pilgrim Investments, Inc. will advise the Funds directly. On November 16, 1999 the Board of Trustees approved the following reorganizations: * Pilgrim High Yield III Fund merging into Pilgrim High Yield II Fund * Pilgrim Government Securities Fund merging into Pilgrim Government Securities Income fund * Pilgrim Income & Growth Fund and Pilgrim Balance Sheet Opportunities Fund merging into Pilgrim Balanced Fund. Proxy statements dated February 8, 2000 for these reorganizations have been mailed to the shareholders. Special Meetings of shareholders are to be held on March 24, 2000 to approve such reorganizations. Upon approval, the reorganizations will occur after the close of business on March 31, 2000. Subsequent to December 31, 1999, the following funds declared dividends from net investment income of: Per Share Amount Payable Date Record Date ---------- ------------------ ------------------- High Yield Fund Class A $0.0500 January 5, 2000 December 31, 1999 Class B $0.0460 January 5, 2000 December 31, 1999 Class C $0.0470 January 5, 2000 December 31, 1999 Class M $0.0470 January 5, 2000 December 31, 1999 Class Q $0.0500 January 5, 2000 December 31, 1999 Class A $0.0500 February 3, 2000 January 31, 2000 Class B $0.0460 February 3, 2000 January 31, 2000 Class C $0.0460 February 3, 2000 January 31, 2000 Class M $0.0470 February 3, 2000 January 31, 2000 Class Q $0.0500 February 3, 2000 January 31, 2000 Government Securities Income Fund Class A $0.0615 January 5, 2000 December 31, 1999 Class B $0.0540 January 5, 2000 December 31, 1999 Class C $0.0540 January 5, 2000 December 31, 1999 Class M $0.0560 January 5, 2000 December 31, 1999 Class A $0.0615 February 3, 2000 January 31, 2000 Class B $0.0540 February 3, 2000 January 31, 2000 Class C $0.0520 February 3, 2000 January 31, 2000 Class M $0.0570 February 3, 2000 January 31, 2000 Strategic Income Fund Class A $0.0800 January 5, 2000 December 31, 1999 Class B $0.0760 January 5, 2000 December 31, 1999 Class C $0.0750 January 5, 2000 December 31, 1999 Class Q $0.0810 January 5, 2000 December 31, 1999 Class A $0.0760 February 3, 2000 January 31, 2000 Class B $0.0720 February 3, 2000 January 31, 2000 Class C $0.0720 February 3, 2000 January 31, 2000 Class Q $0.0770 February 3, 2000 January 31, 2000 High Yield Fund II (*) Class A $0.0870 January 5, 2000 Daily Class B $0.0810 January 5, 2000 Daily Class C $0.0810 January 5, 2000 Daily Class Q $0.0880 January 5, 2000 Daily Class A $0.0940 February 1, 2000 Daily Class B $0.0880 February 1, 2000 Daily Class C $0.0880 February 1, 2000 Daily Class Q $0.0950 February 1, 2000 Daily Money Market (*) Class A $0.0029 January 3, 2000 Daily Class B $0.0029 January 3, 2000 Daily Class C $0.0029 January 3, 2000 Daily Class A $0.0032 February 1, 2000 Daily Class B $0.0031 February 1, 2000 Daily Class C $0.0031 February 1, 2000 Daily - ---------- (*) Per Share Amount Indicates Monthly Cumulative Income. 103 Pilgrim MagnaCap Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- COMMON STOCKS: 96.51% Aerospace/Defense: 1.85% 153,750 Honeywell International, Inc. $ 8,869,453 ----------- Banks: 4.42% 50,000 Bank of America Corp. 2,509,375 65,000 Chase Manhattan Corp. 5,049,688 99,200 Comerica, Inc. 4,631,400 90,000 Fleet Boston Financial Corp. 3,133,125 150,000 UnionBanCal Corp. 5,915,625 ----------- 21,239,213 ----------- Beverages: 2.57% 75,000 Anheuser-Busch Companies, Inc. 5,315,625 200,000 Pepsico, Inc. 7,050,000 ----------- 12,365,625 ----------- Chemicals: 2.69% 70,030 Du Pont (E.I.) de Nemours 4,613,226 165,100 Praxair, Inc. 8,306,594 ----------- 12,919,820 ----------- Commercial Services: 1.00% 205,000 Equifax, Inc. 4,830,313 ----------- Computers: 7.57% 50,000 @ Cisco Systems, Inc. 5,356,250 180,000 Compaq Computer Corp. 4,871,250 80,000 @ Computer Sciences Corp. 7,570,000 85,000 Hewlett-Packard Co. 9,684,688 115,000 @ Sun Microsystems, Inc. 8,905,312 ----------- 36,387,500 ----------- Distribution/Wholesale: 1.50% 79,000 @ Costco Wholesale Corp. 7,208,750 ----------- Diversified Financial Services: 4.02% 230,000 Alliance Capital Management Holdings 6,885,625 97,500 Citigroup, Inc. 5,417,344 60,000 Fannie Mae 3,746,250 70,000 Freddie Mac 3,294,375 ----------- 19,343,594 ----------- Electric: 1.98% 120,000 Duke Energy Corp. 6,015,000 150,000 Southern Co. 3,525,000 ----------- 9,540,000 ----------- Electrical Components & Equipment: 0.66% 55,000 Emerson Electric Co. $ 3,155,625 ----------- Food: 2.22% 130,000 Heinz (H.J.) Co. 5,175,625 250,000 Sara Lee Corp. 5,515,625 ----------- 10,691,250 ----------- Health Care: 3.86% 137,000 Baxter International, Inc. 8,605,313 107,000 Johnson & Johnson 9,964,375 ----------- 18,569,688 ----------- Household Products/Wares: 2.22% 146,500 Avery Dennison Corp. 10,676,188 ----------- Insurance: 6.30% 270,000 Aflac, Inc. 12,740,621 65,000 American General Corp. 4,931,875 64,687 American International Group 6,994,282 58,800 Marsh & McLennan Cos. 5,626,425 ----------- 30,293,203 ----------- Leisure Time: 2.31% 125,000 Carnival Corp. 5,976,563 80,000 Harley-Davidson, Inc. 5,125,000 ----------- 11,101,563 ----------- Machinery-Diversified: 2.09% 120,000 Dover Corp. 5,445,000 90,000 Parker Hannifin Corp. 4,618,125 ----------- 10,063,125 ----------- Leisure Time: 2.31% 155,000 New York Times Co. 7,614,375 290,000 Walt Disney (Hldgs) Co. 8,482,500 ----------- 16,096,875 ----------- Metals-Diversified: 0.43% 25,000 Alcoa, Inc. 2,075,000 ----------- Manufacturing: 3.45% 65,000 General Electric Co. 10,058,750 167,500 Tyco International Ltd. 6,511,563 ----------- 16,570,313 ----------- Oil & Gas Producers: 5.90% 98,000 Atlantic Richfield Co. $ 8,477,000 82,000 Chevron Corp. 7,103,250 161,413 Conoco, Inc. 4,015,148 116,933 Total Fina SA ADR 8,097,610 20,134 Transocean Sedco Forex, Inc. 678,278 ----------- 28,371,286 ----------- Oil & Gas Services: 1.80% 69,700 Halliburton Co. 2,805,425 104,000 Schlumberger Ltd. 5,850,000 ----------- 8,655,425 ----------- Pharmaceuticals: 5.16% 192,000 Abbott Laboratories 6,972,000 142,000 Bristol-Myers Squibb Co. 9,114,625 61,100 Merck & Co., Inc. 4,097,519 110,000 Schering-Plough Corp. 4,640,625 ----------- 24,824,769 ----------- Retail: 10.27% 20,000 Dayton-Hudson Corp. 1,468,750 175,500 Home Depot, Inc. 12,032,719 120,000 Lowe's Companies 7,170,000 290,000 McDonald's Corp. 11,690,625 165,000 @ Tricon Global Restaurants, Inc. 6,373,125 154,000 Wal-Mart Stores, Inc. 10,645,250 ----------- 49,380,469 ----------- Savings & Loans: 2.38% 242,865 Charter One Financial, Inc. 4,644,793 109,200 Golden West Financial Corp. 3,658,200 120,000 Washington Mutual, Inc. 3,120,000 ----------- 11,422,993 ----------- Semiconductors: 2.05% 30,000 @ Altera Corp. 1,486,875 102,000 Intel Corp. 8,395,875 ----------- 9,882,750 ----------- Software: 3.42% 224,000 Automatic Data Processing 12,068,000 55,000 @ BMC Software, Inc. 4,396,563 ----------- 16,464,563 ----------- Telecommuncations Equipment: 3.42% 40,000 Nokia OYJ ADR 7,600,000 138,000 @ Tellabs, Inc. 8,857,875 ----------- 16,457,875 ----------- See Accompanying Notes to Financial Statements 104 Pilgrim MagnaCap Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- Telephone: 6.70% 60,000 Alltel Corp. $ 4,961,250 120,000 AT&T Corp. 6,090,000 90,000 Bell Atlantic Corp. 5,540,625 30,000 GTE Corp. 2,116,875 135,000 @ MCI Worldcom, Inc. 7,163,438 130,500 SBC Communications, Inc. 6,361,875 ------------ 32,234,063 ------------ Tobacco: 0.92% 190,000 Philip Morris Companies, Inc. 4,405,625 ------------ Total Common Stocks (Cost $315,814,870) 464,096,916 ------------ RIGHTS: 0.00% 192,000 @ Abbott Labs Rights -- Total Long-Term Investments (Cost $315,814,870) 464,096,916 ------------ Principal Amount Value - --------- ----- SHORT-TERM INVESTMENTS: 3.77% Commercial Paper: 3.77% $18,130,000 Union Bank of Switzerland 4.00%, due 01/03/2000 $ 18,125,971 Total Short-Term Investments (Cost $18,125,971) 18,125,971 ------------ Total Investments in Securities (Cost $333,940,841)* 100.28% 482,222,887 Other Assets and Liabilities, Net -0.28% (1,340,051) ------ ------------ Net Assets 100.00% $480,882,836 ====== ============ @ -- Non-income producing security * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 160,334,455 Gross Unrealized Depreciation (12,052,409) ------------- Net Unrealized Appreciation $ 148,282,046 ============= See Accompanying Notes to Financial Statements 105 Pilgrim LargeCap Leaders Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- COMMON STOCKS: 93.93% Auto Manufacturers: 2.88% 7,500 DaimlerChrysler AG $ 586,875 10,600 Ford Motor Co. 566,438 ----------- 1,153,313 ----------- Banks: 1.42% 7,300 Chase Manhattan Corp. 567,119 ----------- Beverages: 3.95% 7,300 Anheuser-Busch Companies, Inc. 517,388 9,100 Coca-Cola Co. 530,075 15,100 Pepsico, Inc. 532,275 ----------- 1,579,738 ----------- Chemicals: 1.36% 8,294 Du Pont (E.I.) de Nemours 546,367 ----------- Computers: 8.41% 6,350 @ Cisco Systems, Inc. 680,244 23,600 Compaq Computer Corp. 638,675 12,900 @ Dell Computer Corp. 657,900 6,200 Hewlett-Packard Co. 706,412 8,800 @ Sun Microsystems, Inc. 681,450 ----------- 3,364,681 ----------- Cosmetics/Personal Care: 4.56% 10,500 Colgate-Palmolive Co. 682,500 13,400 Gillette Co. 551,912 5,400 Procter & Gamble Co. 591,638 ----------- 1,826,050 ----------- Diversified Financial Services: 6.00% 4,100 American Express Co. 681,625 11,550 Citigroup, Inc. 641,747 9,000 Fannie Mae 561,938 10,900 Freddie Mac 512,981 ----------- 2,398,291 ----------- Electric: 2.54% 10,500 Duke Energy Corp. 526,313 20,900 Southern Co. 491,150 ----------- 1,017,463 ----------- Food: 2.54% 14,300 @ Safeway, Inc. 508,544 23,000 Sara Lee Corp. 507,437 ----------- 1,015,981 ----------- Health Care: 1.35% 5,800 Johnson & Johnson 540,125 ----------- Household Products/Wares: 1.25% 16,482 Unilever PLC ADR $ 499,611 ----------- Insurance: 2.75% 20,200 Allstate Corp. 484,800 5,525 American International Group 597,391 ----------- 1,082,191 ----------- Leisure Time: 3.06% 11,900 Carnival Corp. 568,969 2,300 Sony Corp. ADR 654,925 ----------- 1,223,894 ----------- Media: 4.60% 12,100 Comcast Corp. 608,025 7,900 Gannett Co., Inc. 644,344 8,100 Time Warner, Inc. 586,744 ----------- 1,839,113 ----------- Metals-Diversified: 1.70% 8,200 Alcoa, Inc. 680,600 ----------- Miscellaneous Manufacturing: 3.31% 4,100 General Electric Co. 634,475 17,700 Tyco International Ltd. 688,088 ----------- 1,322,563 ----------- Oil & Gas Producers: 4.01% 5,800 Chevron Corp. 502,425 6,600 Exxon Mobil Corp. 531,713 8,500 Royal Dutch Petroleum Co. ADR 513,719 1,646 Transocean Sedco Forex, Inc. 55,436 ----------- 1,603,293 ----------- Oil & Gas Services: 4.01% 8,500 Schlumberger Ltd. 478,125 ----------- Pharmaceuticals: 7.86% 13,400 Abbott Laboratories 486,588 8,100 Bristol-Myers Squibb Co. 519,914 8,100 Merck & Co., Inc. 543,206 6,800 Novartis AG ADR 496,599 16,200 Pfizer, Inc. 525,487 7,000 Warner-Lambert Co. 573,562 ----------- 3,145,357 ----------- Pipelines: 1.42% 12,800 Enron Corp. 568,000 ----------- Retail: 10.67% 7,100 @ Costco Wholesale Corp. $ 647,875 14,300 Gap, Inc. 657,800 10,200 Home Depot, Inc. 699,337 12,600 McDonald's Corp. 507,938 17,100 Sears, Roebuck And Co. 520,481 19,700 Walgreen Co. 576,225 9,500 Wal-Mart Stores, Inc. 656,688 ----------- 4,266,344 ----------- Semiconductors: 2.87% 7,000 Intel Corp. 576,188 5,900 Texas Instruments, Inc. 571,562 ----------- 1,147,750 ----------- Software: 3.18% 8,200 @ America Online, Inc. 618,588 5,600 @ Microsoft Corp. 653,800 ----------- 1,272,388 ----------- Telecommunication Equipment: 3.27% 8,100 Lucent Technologies, Inc. 605,981 3,700 Nokia OYJ ADR 703,000 ----------- 1,308,981 ----------- Telephone: 5.11% 10,543 AT&T Corp. 535,057 8,220 Bell Atlantic Corp. 506,044 9,600 @ MCI Worldcom, Inc. 509,400 10,100 SBC Communications, Inc. 492,375 ----------- 2,042,876 ----------- Tobacco: 1.32% 22,800 Philip Morris Companies, Inc. 528,675 ----------- Transportation: 1.38% 13,500 @ FDX Corp. 552,656 ----------- Total Common Stocks Cost ($30,527,487) 37,571,545 ----------- RIGHTS: 0.00% 12,900 @ Abbott Labs Rights 0 ----------- Total Long-Term Investments (Cost $30,527,488) 37,571,545 ----------- See Accompanying Notes to Financial Statements 106 Pilgrim LargeCap Leaders Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Principal Amount Value - --------- ----- SHORT-TERM INVESTMENTS: 5.09% Repurchase Agreements: 5.09% $2,036,000 State Street Bank & Trust Repurchase Agreement, 3.00% due 01/03/2000 (Collateralized by $1,710,000 U.S. Treasury Notes, 8.50%, due 02/15/20, Market Value $2,077,650) $ 2,036,000 ------------ Total Short-Term Investments (Cost $2,036,000) 2,036,000 ------------ Total Investments In Securities (cost $32,563,488)* 99.02% 39,607,545 Other Assets and Liabilities, Net 0.98% 393,560 ------- ------------ Net Assets 100.00% $ 40,001,105 ======= ============ - ---------- @ -- Non-income producing security ADR -- American Depository Receipt * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized $ 9,011,756 Appreciation (1,967,699) ------------ $ 7,044,057 ============ See Accompanying Notes to Financial Statements 107 Pilgrim LargeCap Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Industry/Issuer Value - ------ --------------- ----- COMMON STOCKS: 96.06% Biotechnology: 5.76% 202,600 @ Amgen, Inc. $ 12,168,663 102,100 @ Genentech, Inc. 13,732,450 ------------- 25,901,113 ------------- Computers: 8.25% 134,400 @ Cisco Systems 14,397,600 79,100 International Business Machines 8,542,800 182,800 @ Sun Microsystems 14,155,575 ------------- 37,095,975 ------------- Diversified Financial Services: 2.97% 240,500 Citigroup, Inc. 13,362,781 ------------- Electronics: 4.56% 265,300 @ Agilent Technologies, Inc. 20,511,006 ------------- Entertainment: 3.19% 285,600 MGM Grand, Inc. 14,369,250 ------------- Home Furnishings: 3.51% 55,400 Sony Corp. ADR 5,775,150 ------------- Media: 5.18% 239,212 @ AT & T Corp. Liberty Media 13,575,281 444,400 @ Charter Communications, Inc. 9,721,250 ------------- 23,296,531 ------------- Miscellaneous Manufacturing: 3.18% 111,100 Corning, Inc. 14,324,956 ------------- Retail: 6.52% 217,500 Home Depot, Inc. 14,912,344 208,800 Wal-Mart Stores, Inc. 14,433,300 ------------- 29,345,644 ------------- Semiconductors: 6.07% 112,800 @ Applied Materials, Inc. 14,290,350 134,300 Texas Instruments, Inc. 13,010,313 ------------- 27,300,663 ------------- Software: 11.83% 134,200 @ America Online, Inc. 10,123,713 50,400 @ CMGI, Inc. 13,954,500 120,900 @ Microsoft Corp. 14,115,075 134,200 @ Oracle Corp. 15,038,788 ------------- 53,232,076 ------------- Telecommunication Equipment: 13.39% 187,025 Lucent Technologies $ 13,991,809 97,900 Motorola, Inc. 14,415,775 78,200 Nokia Corp. ADR 14,858,000 96,400 @ Qualcomm, Inc. 16,990,500 ------------- 60,256,084 ------------- Telecommunications: 12.75% 132,000 @ General Motors Corp. 12,672,000 172,600 @ Infonet Services Corp. 4,530,750 132,300 @ Nextel Communications, Inc. 13,643,438 340,400 @ Qwest Communications International 14,637,200 115,800 @ Sprint Corp. 11,869,500 ------------- 57,352,888 ------------- Telephone: 6.25% 98,300 Alltel 8,128,181 230,700 AT & T Corp. 11,708,028 155,700 @ MCI Worldcom, Inc. 8,261,831 ------------- 28,098,040 ------------- Transportation: 2.65% 172,800 United Parcel Service, Inc. 11,923,200 ------------- Total Common Stocks (Cost $297,304,300) 432,145,351 ------------- Principal Amount Value - ------ ----- SHORT-TERM INVESTMENTS: 5.09% Repurchase Agreements: 5.09% $22,913,000 State Stree Repurchase Agreement, 3.00% due 01/03/00 (Collateralized by $19,240,000 U.S. Treasury Notes, 8.50% Market Value $23,376,600, Due 02/15/2020) $ 22,913,000 Total Short-Term Investments (Cost $22,913,000) 22,913,000 ------------- Total Investments in Securities (Cost $320,217,300)* 101.15% 455,058,351 Cash and Other Assets in Excess of Liabilities-Net -1.15% (5,158,887) ------ ------------- Total Net Assets 100.0% $ 449,899,464 ====== ============= @ Non-income producing security ADR -- American Depository Receipt * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 136,445,388 Gross Unrealized Depreciation (1,604,337) ------------- Net Unrealized Appreciation $ 134,841,051 ============= See Accompanying Notes to Financial Statements 108 - ------- Pilgrim MidCap Value Fund - ------- PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- COMMON STOCKS: 98.33% Apparel: 1.56% 35,200 @ Polo Ralph Lauren Corp. $ 600,600 ------------ Banks: 4.18% 13,650 Commerce Bancshares, Inc. 462,394 32,000 North Fork Bancorp 560,000 14,900 UnionBanCal Corp. 587,619 ------------ 1,610,013 ------------ Beverages: 1.63% 12,000 Adolph Coors Co. 630,000 ------------ Chemicals: 3.28% 17,000 Rohm & Haas Co. 691,688 19,000 Sigma-Aldrich Corp. 571,187 ------------ 1,262,875 ------------ Commercial Services: 6.95% 14,000 Block H & R, Inc. 612,500 29,000 @ Convergys Corp. 891,750 22,000 Equifax, Inc. 518,375 23,000 @ Robert Half International, Inc. 656,938 ------------ 2,679,563 ------------ Diversified Financial Services: 1.62% 17,615 Finova Group, Inc. 625,333 ------------ Electric: 1.38% 22,000 Cinergy Corp. 530,750 ------------ Electrical Components & Equipment: 3.69% 27,400 @ American Power Conversion Corp. 722,675 19,000 Applied Power, Inc. 698,250 ------------ 1,420,925 ------------ Environmental Control: 2.00% 53,700 @ Republic Services, Inc. 771,938 ------------ Forest Products & Paper: 5.48% 11,000 Champion International Corp. 681,313 18,000 Mead Corp. 781,875 14,000 Willamette Industries, Inc. 650,125 ------------ 2,113,313 ------------ Hand/Machine Tools: 1.32% 19,200 Snap-On, Inc. 510,000 ------------ Health Care: 8.88% 9,000 Bausch & Lomb, Inc. 615,938 20,000 Mallinckrodt, Inc. 636,250 69,300 Omnicare, Inc. 831,600 20,000 @ St. Jude Medical, Inc. 613,750 11,000 @ Wellpoint Health Networks, Inc. 725,312 ------------ 3,422,850 ------------ Home Furnishings: 1.62% 13,000 Maytag Corp. 624,000 ------------ Household Products/Wares: 3.44% 26,000 Dial Corp. 632,125 21,000 Fortune Brands, Inc. 694,313 ------------ 1,326,438 ------------ Insurance: 4.94% 27,500 Everest Reinsurance Holdings, Inc. 613,594 13,000 Hartford Life, Inc. 572,000 10,000 Nationwide Financial Services, Inc. 279,375 6,000 Progressive Corp.-Ohio 438,750 ------------ 1,903,719 ------------ Lodging: 1.68% 27,600 Starwood Hotels & Resorts 648,600 ------------ Media: 1.53% 12,000 New York Times Co. 589,500 ------------ Manufacturing: 8.93% 20,500 Donaldson Co., Inc. 493,281 13,000 Fastenal Co. 584,188 12,000 Grainger (W.W.), Inc. 573,756 9,000 Johnson Controls, Inc. 511,875 26,000 Pall Corp. 560,625 14,000 Parker Hannifin Corp. 718,375 ------------ 3,442,100 ------------ Oil & Gas Producers: 4.71% 10,400 Amerada Hess Corp. 590,200 23,000 Helmerich & Payne, Inc. 501,688 28,000 Santa Fe International Corp. 724,500 ------------ 1,816,388 ------------ Pipelines: 3.35% 11,200 Columbia Energy Group 708,400 15,000 EL Paso Energy Corp. 582,188 ------------ 1,290,588 ------------ Retail: 8.54% 18,000 @ Abercrombie & Fitch Co. 480,375 16,000 @ BJ's Wholesale Club, Inc. 584,000 45,400 Blockbuster, Inc. 607,225 29,000 Ross Stores, Inc. 520,188 22,700 @ Shopko Stores, Inc. 522,100 15,000 @ Tricon Global Restaurants, Inc. 579,375 ------------ 3,293,263 ------------ Savings & Loans: 2.09% 30,000 Charter One Financial, Inc. 573,750 31,000 Sovereign Bancorp, Inc. 231,047 ------------ 804,797 ------------ Semiconductor: 3.22% 13,300 @ Lattice Semiconductor Corp. 626,763 14,400 @ National Semiconductor Corp. 616,500 ------------ 1,243,263 ------------ Software: 3.43% 15,300 @ Lernout & Hauspie Speech Products 707,625 22,700 @ Parametric Technology Corp. 614,319 ------------ 1,321,944 ------------ Telecommunication Equipment: 5.56% 10,000 @ ADC Telecommunications, Inc. 725,625 34,000 @ Andrew Corp. 643,875 9,100 @ General Instrument Corp. 773,500 ------------ 2,143,000 ------------ Telecommunications: 1.72% 18,000 Broadwing, Inc. 663,750 ------------ Telephone: 1.60% 13,000 CenturyTel, Inc. 615,875 ------------ Total Common Stocks (Cost $36,035,654) 37,905,373 ------------ 109 Pilgrim MidCap Value Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Principal Amount Value - ------ ----- SHORT-TERM INVESTMENTS: 1.41% Repurchase Agreements: 1.41% $545,000 State Street Bank & Trust Repurchase Agreement, 3.00% due 01/03/2000 (Collateralized by $460,000 U.S. Treasury Notes, 8.50% due 02/15/20, Market Value $558,900) $ 545,000 ------------ Total Short-Term Investments (Cost $545,000) 545,000 ------------ Total Investments in Securities (cost $36,580,654)* 99.74% 38,450,373 Other Assets and Liabilities, Net 0.26% 98,735 ------ ------------ Net Assets 100.00% $ 38,549,108 ====== ============ @ -- Non-income producing security * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 5,076,008 Gross Unrealized Depreciation (3,206,289) ------------ Net Unrealized Appreciation $ 1,869,719 ============ See Accompanying Notes to Financial Statements 110 Pilgrim MidCap Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Industry/Issuer Value - ------ --------------- ----- COMMON STOCKS: 98.58% Advertising: 0.78% 33,800 Omnicom Group $ 3,380,000 ----------- Applications Software: 3.14% 42,700 @ Citrix Systems, Inc. 5,252,100 63,300 @ Peregrine Systems, Inc. 5,230,163 36,300 @ Siebel Systems, Inc. 3,049,200 ----------- 13,531,463 ----------- Biotechnology: 4.94% 19,500 @ Affymetrix, Inc. 3,308,906 27,200 @ Biogen, Inc. 2,298,400 46,100 @ Genentech, Inc. 6,200,450 47,900 @ Immunex Corp. 5,245,050 28,300 @ PE Corp.-Celera Genomics 4,216,700 ----------- 21,269,506 ----------- Commercial Services: 1.21% 84,750 @ Concord EFS, Inc. 2,182,313 36,100 @ Medical Manager Corp. 3,041,425 ----------- 5,223,738 ----------- Computer Software: 1.67% 38,800 @ Mercury Interactive Corp. 4,187,975 14,600 @ Va Linux, Inc. 3,016,725 ----------- 7,204,700 ----------- Computers: 13.21% 83,800 @ 3-Com Corp. 3,938,600 27,200 @ Apple Computer, Inc. 2,796,500 20,800 @ Brocade Communications System 3,681,600 9,100 @ Foundry Networks, Inc. 2,745,356 101,200 @ Network Appliance, Inc. 8,405,925 18,200 @ Redback Networks 3,230,500 75,000 @ VeriSign, Inc. 14,320,312 105,050 @ Veritas Software Corp. 15,035,281 34,800 @ Visual Networks, Inc. 2,757,900 ----------- 56,911,974 ----------- Diversified Financial Services: 1.86% 41,200 Capital One Financial Corp. 1,985,325 76,700 @ Knight/Trimark Group, Inc. 3,528,200 29,700 Lehman Brothers Holdings, Inc. 2,515,219 ----------- 8,028,744 ----------- Electric: 1.29% 46,600 @ AES Corp. $ 3,483,350 32,200 @ Calpine Corp. 2,060,800 ----------- 5,544,150 ----------- Electronics: 5.66% 66,200 @ Analog Devices 6,156,600 79,400 @ Maxim Integrated Products 3,746,687 47,800 PE Corp.-PE Biosystems Group 5,750,938 24,700 @ Sanmina Corp. 2,466,913 48,700 @ Teradyne, Inc. 3,214,200 58,300 @ Vitesse Semiconductor Corp. 3,057,106 ----------- 24,392,444 ----------- Enterprise Software/Service: 2.39% 50,700 @ BMC Software, Inc. 4,052,831 36,700 @ BroadVision, Inc. 6,241,294 ----------- 10,294,125 ----------- Internet Content: 8.31% 42,800 @ CMGI, Inc. 11,850,250 13,500 @ Doubleclick, Inc. 3,416,344 55,800 @ Internet Capital Group LLC 9,486,000 50,800 @ Network Solutions, Inc. 11,052,175 ----------- 35,804,769 ----------- Internet Software: 10.71% 8,250 @ Akamai Technologies, Inc. 2,702,906 26,000 @ Ariba, Inc. 4,611,752 22,900 @ Cacheflow, Inc. 2,992,744 50,800 @ Covad Communications Group, Inc. 2,841,625 42,100 @ Espeed, Inc. 1,497,181 91,400 @ Exodus Communications, Inc. 8,117,462 23,500 @ F5 Networks, Inc. 2,679,000 30,500 @ Internap Network Services 5,276,500 54,200 @ RealNetworks, Inc. 6,520,938 63,100 @ Verio, Inc. 2,914,431 36,800 @ Vignette Corp. 5,998,400 ----------- 46,152,939 ----------- Media: 4.56% 0 @ Clear Channel Communications $ 15 30,900 @ Hispanic Broadcasting Corp. 2,849,559 48,700 @ Spanish Broadcasting System 1,960,175 80,600 @ TV Guide, Inc. 3,465,800 35,800 @ Univision Communications, Inc. 3,658,313 63,300 @ USA Networks, Inc. 3,497,325 55,500 @ Westwood One, Inc. 4,218,000 ----------- 19,649,187 ----------- Oil & Gas Producers: 1.71% 56,000 Apache Corp. 2,068,500 136,000 Ensco International, Inc. 3,111,000 101,500 @ Rowan Cos., Inc. 2,201,281 ----------- 7,380,781 ----------- Oil & Gas Services: 2.07% 82,400 @ BJ Services Co. 3,445,350 54,400 @ Smith International, Inc. 2,703,000 69,100 @ Weatherford International, Inc. 2,759,681 ----------- 8,908,031 ----------- Packaging & Containers: 0.68% 119,500 @ Smurfit-Stone Container Corp. 2,927,750 ----------- Pharmaceuticals: 3.49% 61,000 @ Forest Laboratories -- Class A 3,747,687 53,400 @ Medimmune, Inc. 8,857,725 67,900 @ Watson Pharmaceutical, Inc. 2,431,669 ----------- 15,037,081 ----------- Retail: 2.90% 34,100 @ American Eagle Outfitters 1,534,500 7,100 @ Freemarkets, Inc. 2,423,319 37,500 @ Kohls Corp. 2,707,031 97,650 @ Pacific Sunwear Of California 3,143,109 110,800 @ Starbucks Corp. 2,686,900 ----------- 12,494,859 ----------- See Accompanying Notes to Financial Statements 111 Pilgrim MidCap Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Market Shares Industry/Issuer Value - ------ --------------- ----- Semiconductor: 7.79% 35,100 @ Applied Micro Circuits Corp. $ 4,466,475 14,200 @ Broadcom Corp. 3,867,725 102,200 @ Conexant Systems, Inc. 6,783,525 32,500 @ Lam Research Corp. 3,625,781 79,800 @ LSI Logic Corp. 5,386,500 25,900 @ Qlogic Corp. 4,140,762 116,600 @ Xilinx, Inc. 5,301,656 ------------ 33,572,424 ------------ Telecommunication Equipment: 8.68% 148,600 @ Ciena Corp. 8,544,500 25,800 @ Comverse Technology, Inc. 3,734,550 69,000 @ JDS Uniphase Corp. 11,130,563 80,500 @ Metromedia Fiber Network, Inc. 3,858,969 37,600 @ Next Level Communications, Inc. 2,815,300 68,700 @ RF Micro Devices, Inc. 4,701,656 8,500 @ Sycamore Networks, Inc. 2,618,000 ------------ 37,403,538 ------------ Telecommunications: 10.74% 114,200 @ Crown Castle International Corp 3,668,675 47,800 @ Echostar Communications Corp. 4,660,500 60,100 @ McLeodUSA, Inc. 3,538,387 71,800 @ Nextel Communications, Inc. 7,404,375 97,200 @ Time Warner Telecom, Inc. 4,853,925 118,300 @ Voicestream Wireless Corporation 16,835,569 70,800 @ Winstar Communications, Inc. 5,301,150 ------------ 46,262,581 ------------ Telephone: 0.79% 40,800 @ Nextlink Communications 3,388,950 ------------ Total Common Stocks (Cost $213,609,918) 424,763,734 ------------ Principal Amount Value - ------ ----- SHORT-TERM INVESTMENTS: 2.52% Repurchase Agreements: 2.52% $10,855,000 State Stree Repurchase Agreement, 3.00% due 01/03/00 (Collateralized by $9,115,000 U.S. Treasury Notes, 8.50% Market Value $11,074,725, Due 02/15/2020) $ 10,855,000 ------------- Total Short-Term Investments (Cost $10,855,000) 10,855,000 ------------- Total Investments in Securities (Cost $224,464,918)* 101.10% 435,618,734 Cash and Other Assets in Excess of Liabilities -- Net -1.10% (4,732,437) ------- ------------- Total Net Assets 100.0% $ 430,886,297 ====== ============= @ Non-income producing security * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 213,832,492 Gross Unrealized Depreciation (2,678,676) ------------- Net Unrealized Appreciation $ 211,153,816 ============= See Accompanying Notes to Financial Statements 112 Pilgrim SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Industry/Issuer Value - ------ --------------- ----- COMMON STOCKS: 99.10% Advertising: 1.17% 40,600 @ Getty Images, Inc. $ 1,984,325 57,300 @ Valuevision International, Inc. -- Class A 3,284,006 ----------- 5,268,331 ----------- Airlines: 0.12% 10,600 @ Mesaba Holdings, Inc. 121,238 14,200 Skywest, Inc. 397,600 ----------- 518,838 ----------- Apparel: 0.60% 1,800 @ Cutter & Buck, Inc. 27,225 51,000 @ Timberland Co. -- Class A 2,696,625 ----------- 2,723,850 ----------- Applications Software: 2.05% 16,500 @ Exchange Applications 921,937 24,600 @ Hnc Software, Inc. 2,601,450 9,200 @ Inso Corp. 296,700 32,250 @ National Instruments Corp. 1,233,563 5,000 @ Ondisplay, Inc. 454,375 42,400 @ Peregrine Systems, Inc. 3,503,300 2,200 @ Quest Software, Inc. 224,400 ----------- 9,235,725 ----------- Auto Manufacturers: 0.09% 14,400 Oshkosh Truck Corp. 422,100 ----------- Banks: 0.38% 20,200 City National Corp. 665,337 30,800 Peoples Heritage Financial Group 463,925 33,173 Provident Bank 574,308 ----------- 1,703,570 ----------- Beverage: 0.28% 25,100 @ Canandaigua Brands, Inc. 1,280,100 ----------- Biotechnology: 2.47% 9,450 @ Affymetrix, Inc. $ 1,603,546 17,800 @ Cell Genesys, Inc. 228,062 12,800 @ Curagen Corp. 892,800 40,600 @ Idec Pharmaceuticals 3,988,950 900 @ Invitrogen Corp. 54,000 5,800 @ Maxygen, Inc. 411,800 24,450 @ Millennium Pharmaceuticals 2,982,900 500 @ Myriad Genetics, Inc. 23,000 13,300 @ Protein Design Labs, Inc. 931,001 ----------- 11,116,059 ----------- Building Materials: 0.23% 36,300 @ Dal-tile Int'l, Inc. 367,538 8,500 Elcor Corp. 256,062 9,400 @ Simpson Manufacturing Co, Inc. 411,250 ----------- 1,034,850 ----------- Chemicals: 0.55% 37,300 Georgia Gulf Corp. 1,135,319 20,100 Macdermid, Inc. 825,356 16,700 Spartech Corp. 538,575 ----------- 2,499,250 ----------- Commercial Services: 4.84% 8,100 @ Agency.com, Ltd. 413,100 13,000 @ Forrester Research, Inc. 895,375 17,000 Hooper Holmes Inc. 437,750 9,800 @ Hotjobs.com, Ltd. 428,137 43,600 @ Korn/Ferry International 1,585,950 4,400 @ Luminant Worldwide Corp. 200,200 112,200 @ Mail-Well, Inc. 1,514,700 13,400 @ Management Network Group, Inc. 437,175 14,200 @ National Equipment Services 88,750 25,200 @ Navisite, Inc. 2,520,000 34,500 @ NCO Group, Inc. 1,039,312 2,200 @ Newgen Results 23,238 59,410 @ Nova Corp./Georgia 1,875,128 18,300 @ On Assignment, Inc. 546,713 6,300 @ Personnel Group Of America, Inc. 63,788 32,700 @ Razorfish, Inc. 3,110,587 4,600 @ Scient Corp. 397,613 30,600 Sotheby's Holdings -- Class A 918,000 19,800 @ Startek, Inc. 717,750 22,800 @ Teletech Holdings, Inc. 768,431 17,550 @ Tickets.com, Inc. 251,184 62,600 @ Usweb Corp. 2,781,788 18,700 @ Xceed, Inc. 776,050 ----------- 21,790,719 ----------- Computer Software: 8.09% 27,100 @ Aspect Development, Inc. $ 1,856,350 32,700 @ AVT Corp. 1,536,900 42,600 @ Bindview Development 2,116,688 18,700 @ Brio Technology, Inc. 785,400 20,800 @ Broadbase Software, Inc. 2,340,000 4,900 @ Bsquare Corp. 205,494 34,300 @ Business Objects 4,583,338 19,900 @ Daleen Technologies, Inc. 435,313 4,900 @ E.piphany, Inc. 1,093,313 4,900 @ Jacada, Ltd. 136,588 4,400 @ Kana Communications, Inc. 902,000 ----------- 36,800 @ Macromedia, Inc. 2,691,000 ----------- 74,900 @ Mercury Interactive Corp. 8,084,519 6,900 @ Metasolv Software, Inc. 564,075 22,900 @ Mission Crtical Software 1,603,000 9,400 @ OpenTV Corp. 754,349 18,800 @ Pinnacle Systems, Inc. 764,925 7,500 @ Pivotal Corp. 316,875 27,400 @ Puma Technology, Inc. 3,579,125 13,800 @ Quintus Corp. 633,074 6,200 @ Vitria Technology, Inc. 1,450,800 ----------- 36,433,126 ----------- See Accompanying Notes to Financial Statements 113 Pilgrim SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- Computers: 8.23% 30,000 @ Advanced Digital Info Corp. $ 1,458,750 35,200 @ Affiliated Computer Services 1,619,200 48,500 @ Ancor Communications, Inc. 3,291,938 20,600 @ Black Box Corp. 1,380,200 3,600 @ Cobalt Networks, Inc. 390,150 36,500 @ Concurrent Computer Corp. 682,094 3,300 @ Crossroads Systems, Inc. 278,850 27,000 Elbit, Ltd. 477,563 19,800 @ Emulex Corp. 2,227,500 13,500 Factset Research Systems 1,074,938 9,400 @ Gadzoox Networks, Inc. 409,488 68,800 @ ISS Group, Inc. 4,893,400 24,200 @ IXL Enterprises, Inc. 1,343,100 7,200 @ McAfee.com Corp. 324,000 25,100 @ M-Systems Flash Disk Pioneer 825,163 18,700 @ Netegrity, Inc. 1,064,731 4,900 @ Netsolve, Inc. 154,350 8,700 @ Paradyne Networks, Inc. 237,075 4,900 @ Predictive Systems, Inc. 320,950 17,800 @ QRS Corp. 1,856,763 2,200 @ Rainmaker Systems, Inc. 44,550 53,500 @ S3, Inc. 618,593 8,900 @ Silicon Storage Technology 367,125 11,600 @ Sonicwall, Inc. 466,900 35,600 @ Sykes Enterprises, Inc. 1,561,950 46,800 @ Technology Solutions Co. 1,532,700 44,100 @ Visual Networks, Inc. 3,494,924 20,100 @ Whittman-Hart, Inc. 1,077,863 48,000 @ Xircom 3,600,000 ----------- 37,074,808 ----------- Data Processing/Mgmt: 1.18% 50,000 @ Documentum, Inc. 2,993,750 53,300 Reynolds & Reynolds 1,199,250 9,400 SEI Investments Co. 1,118,747 ----------- 5,311,747 ----------- Distribution/Wholesale: 0.13% 44,500 @ Brightpoint, Inc. 584,063 ----------- Diversified Financial Services: 0.50% 16,000 @ Affiliated Managers Group 647,000 8,900 London Pacific Group 320,400 35,500 Metris Companies, Inc. 1,266,906 ----------- 2,234,306 ----------- Educational Software: 0.45% 60,600 @ CBT Group Plc-sponsored ADR 2,030,100 ----------- Educational Components & Equipment: 0.85% 39,900 @ C-Cube Microsystems 2,483,775 29,700 @ Power-one, Inc. 1,360,631 ----------- 3,844,406 ----------- Electronics: 5.65% 9,700 @ Amphenol Corp. 645,656 25,500 @ Credence Systems Corp. 2,205,750 15,900 CTS Corp. 1,198,463 42,100 @ Cymer, Inc. 1,936,600 18,400 @ DII Group, Inc. 1,305,825 24,700 @ DSP Group, Inc. 2,297,100 40,000 @ Electro Scientific Industries 2,920,000 35,500 @ Integrated Device Technology, Inc. 1,029,500 18,800 @ LTX Corp. 420,650 30,900 Methode Electronics, Inc. 992,663 44,000 @ Micrel, Inc. 2,505,250 28,200 @ Microchip Technology, Inc. 1,929,938 37,300 @ Molecular Devices Corp. 1,939,600 66,000 @ Power Integrations, Inc. 3,163,874 42,900 @ Varian, Inc. 965,250 ----------- 25,456,119 ----------- Engineering & Construction: 0.23% 23,350 @ Dycom Industries 1,028,859 ----------- Enterprise Software/Services: 1.96% 50,100 @ Genesys Telecomm Labs, Inc. 2,705,400 22,000 @ JDA Software Group, Inc. 360,250 35,700 @ Manugistics Group, Inc. 1,153,556 49,800 @ Symantec Corp. 2,919,525 29,700 @ TSI International Software, Inc. 1,681,763 ----------- 8,820,494 ----------- Entertainment: 1.19% 28,100 @ Cinar Corp. $ 688,450 46,300 @ Macrovision Corp. 3,426,200 20,400 @ SFX Entertainment, Inc. 738,225 42,100 @ Sunterra Corp. 484,150 ----------- 5,337,025 ----------- Environmental Control: 0.20% 19,600 @ Casella Waste Systems 369,950 33,445 @ Tetra Tech, Inc. 514,217 ----------- 884,167 ----------- Food: 0.26% 29,800 @ Hain Food Group, Inc. 666,775 15,900 Michael Foods, Inc. 391,538 3,600 @ Symyx Technologies, Inc. 108,000 ----------- 1,166,313 ----------- Health Care: 0.27% 19,800 @ Resmed, Inc. 826,650 10,000 @ Zoll Medical Corp. 381,875 ----------- 1,208,525 ----------- Home Builders: 0.64% 26,500 M/I Schottenstein Homes, Inc. 412,406 23,500 MDC Holdings, Inc. 368,656 17,700 @ Monaco Coach Corp. 452,456 25,850 @ National R.V. Holdings, Inc. 497,613 18,500 Ryland Corp. 426,656 35,700 Winnebago Industries 716,231 ----------- 2,874,018 ----------- See Accompanying Notes to Financial Statements 114 Pilgrim SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- Home Furnishings: 0.75% 56,150 Ethan Allen Interiors, Inc. $ 1,800,309 24,900 @ Polycom, Inc. 1,585,819 ----------- 3,386,128 ----------- Insurance: 0.06% 13,500 @ Healthextras, Inc. 162,000 8,200 @ Quotesmith.com, Inc. 93,275 ----------- 255,275 ----------- Internet Content: 3.11% 9,200 @ 24/7 Media, Inc. 517,500 16,300 @ About.com, Inc. 1,462,925 14,900 @ Ask Jeeves, Inc. 1,682,769 6,400 @ Backweb Technologies, Ltd. 269,600 5,900 @ Digital Insight Corp. 214,613 8,200 @ Earthweb, Inc. 412,563 21,400 @ Flycast Communications Corp. 2,780,663 4,500 @ GetThere.com, Inc. 181,125 7,800 @ Medicalogic, Inc. 163,800 13,300 @ Mypoints.com, Inc. 984,200 41,900 @ S1 Corp. 3,273,438 19,900 @ Sportsline Usa, Inc. 997,488 42,300 @ Telescan, Inc. 1,044,281 ----------- 13,984,965 ----------- Internet Software: 9.74% 3,000 @ Agile Software Corp. 651,703 17,000 @ Allaire Corp. 2,465,000 2,700 @ Alteon Websystems, Inc. 236,925 42,700 @ Appnet, Inc. 1,868,125 15,500 @ Art Technology Group, Inc. 1,985,938 15,100 @ Be Free, Inc. 1,085,313 9,500 @ Cacheflow, Inc. 1,241,531 25,900 @ Clarent Corp. 2,013,725 8,900 @ Commtouch Software, Ltd. 432,206 36,300 @ Concentric Network Corp. 1,118,494 10,000 @ Cybersource Corp. 517,500 7,200 @ Digital Impact, Inc. 360,900 10,400 @ Digital Island, Inc. 989,300 8,800 @ Digital River, Inc. 293,150 7,400 @ E-Stamp Corp. 164,650 15,700 @ F5 Networks, Inc. 1,789,800 11,400 @ Globix Corp. 684,000 96,600 @ Harbinger Corp. 3,073,088 8,200 @ Interliant, Inc. 213,200 25,100 @ Intervu, Inc. 2,635,500 13,500 @ Interworld Corp. 1,152,563 19,700 @ ITXC Corp. 662,413 11,700 @ Keynote Systems, Inc. 862,875 27,100 @ Liquid Audio $ 711,375 28,500 @ Mail.com, Inc. 534,375 4,500 @ Mediaplex, Inc. 282,375 39,700 @ Mpath Interactive, Inc. 1,057,013 8,900 @ N2H2, Inc. 209,150 9,000 @ National Info Consortium, Inc. 288,000 10,900 @ Netobjects 179,850 37,300 @ Netopia 2,025,856 18,600 @ Pcorder.com, Inc. 948,600 6,400 @ Preview Systmes, Inc. 415,200 19,100 @ Proxicom, Inc. 2,374,368 7,300 @ Retek, Inc. 549,325 18,700 @ Silknet Software, Inc. 3,099,525 22,000 @ Software.com, Inc. 2,112,000 31,900 @ Verio, Inc. 1,473,380 9,100 @ Viant Corp. 900,900 6,750 @ Xpedior, Inc. 194,062 ----------- 43,853,253 ----------- Investment Companies: 0.11% 21,100 @ American Capital Strategies, LTD. 480,025 ----------- Leisure Time: 0.46% 22,500 @ American Classic Voyages 787,500 24,600 @ Bally Total Fitness Holdings 656,513 49,500 WMS Industries, Inc. 649,687 ----------- 2,093,700 ----------- Machinery-Constructing & Mining: 0.44% 72,100 Terex Corp. 2,000,775 ----------- Machinery-Diversified: 0.63% 37,200 @ Kulicke & Soffa Industries 1,583,325 18,700 @ PRI Automation, Inc. 1,255,238 ----------- 2,838,563 ----------- Media: 5.16% 5,900 @ ACME Communications, Inc. $ 196,175 40,000 @ Citadel Communications 2,595,000 18,000 @ Classic Communications, Inc. 658,125 26,900 @ Cumulus Media, Inc. -- Class A 1,365,175 44,700 @ Emmis Communications 5,571,436 45,800 @ Entercom Communications 3,022,800 34,600 @ Pegasus Communications Corp. 3,382,150 29,500 @ Playboy Enterprises -- Class B 717,218 15,800 @ Radio One, Inc. 1,453,600 53,870 @ Saga Communications, Inc. -- Class A 1,090,868 21,050 @ Salem Communications -- Class A 476,256 30,700 @ SBS Broadcasting 1,494,706 14,900 @ Sirius Satellite Radio, Inc. 663,050 14,900 @ XM Satellite Radio Holdings, Inc. -- Class A 568,063 ----------- 23,254,622 ----------- Medical Information Systems: 0.41% 59,800 @ Infocure Corp. 1,865,012 ----------- Metal Fabricate/Hardware: 0.48% 8,612 @ Maverick Tube Corp. 212,609 33,100 @ Mueller Industries, Inc. 1,199,875 42,200 @ Transportation Technologies 762,237 ----------- 2,174,721 ----------- Network Software: 1.20% 54,300 @ Legato Systems, Inc. 3,736,518 8,200 @ Packeteer, Inc. 582,200 35,400 @ Santa Cruz Operation, Inc. 1,075,275 ----------- 5,393,993 ----------- See Accompanying Notes to Financial Statements 115 Pilgrim SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- Oil & Gas Producers: 1.76% 11,300 @ Atwood Oceanics, Inc. $ 436,463 39,900 @ Barrett Resources Corp. 1,174,556 9,200 @ Chieftain Intl, Inc. 158,700 23,000 @ Forest Oil Corp. 303,313 18,400 @ Louis Dreyfus Natural Gas 333,500 82,600 @ Marine Drilling Co. 1,853,338 36,647 @ Nabors Industries, Inc. 1,133,776 22,900 @ Precision Drilling Corp. 588,244 97,000 @ Pride International, Inc. 1,418,625 10,500 @ Stone Energy Corp. 374,062 19,500 @ Unit Corp. 149,906 ----------- 7,924,483 ----------- Oil & Gas Services: 1.35% 41,600 @ BJ Services Co. 1,739,400 29,800 @ Cal Dive Intl, Inc. 987,124 85,800 @ Global Industries, Ltd. 740,025 18,600 @ Seitel, Inc. 125,550 20,900 @ Smith International, Inc. 1,038,469 49,400 @ Tuboscope, Inc. 784,225 18,600 @ UTI Energy Corp. 428,963 21,000 Varco International 213,938 ----------- 6,057,694 ----------- Optimal Recognition Software: 0.13% 15,600 @ Optimal Robotics Corp. 581,100 ----------- Pharmaceuticals: 3.60% 8,800 @ Abgenix, Inc. 1,166,000 25,400 @ Advance Paradigm, Inc. 547,687 33,350 @ Alkermes, Inc. 1,638,319 38,500 Alpharma, Inc. 1,183,875 65,950 @ Cephalon, Inc. 2,279,397 4,900 @ Chirex, Inc. 71,663 18,250 @ Cor Therapeutics, Inc. 490,468 17,900 @ Imclone Systems 709,288 96,750 Jones Pharmaceuticals, Inc. 4,202,578 65,350 @ Medics Pharmaceutical -- Class A 2,781,459 34,700 @ NBTY, Inc. 401,219 8,900 @ Supergen, Inc. 261,437 19,500 @ Trimeris, Inc. 460,688 ----------- 16,194,078 ----------- Pipelines: 0.08% 27,500 Western Gas Resources, Inc. 362,656 ----------- REITS: 0.21% 42,825 Kilroy Realty Corp. 942,150 ----------- Retail: 4.76% 39,200 @ Ames Dept. Stores $ 1,129,450 17,200 @ Bebe Stores, Inc. 464,400 26,400 @ CDW Computer Centers, Inc. 2,075,700 39,400 @ Creative Computers, Inc. 288,113 7,600 @ Expedia, Inc. 266,000 9,900 @ Factory 2-U Stores, Inc. 280,913 20,000 @ Fatbrain.com, Inc. 501,250 4,800 @ Fogdog, Inc. 45,600 30,200 @ Genesco 392,600 30,800 @ Hollywood Entertainment Corp. 446,600 37,525 @ Insight Enterprises 1,524,453 18,600 @ Intertan, Inc. 485,925 37,900 @ Jack In The Box, Inc. 784,056 20,300 @ Kenneth Cole Productions -- Class A 928,725 33,000 @ Linens 'n Things, Inc. 977,625 71,200 @ O'reilly Automotive, Inc. 1,530,800 52,550 @ Pacific Sunwear Of California 1,691,453 6,900 @ Purchasepro.com, Inc. 948,750 13,700 @ Rowecom, Inc. 621,638 6,000 @ Sciquest.com, Inc. 477,000 22,300 @ Shopnow.com, Inc. 422,306 23,500 @ Sonic Automotive, Inc. 229,125 9,700 @ Stamps.com, Inc. 403,763 47,460 @ Sunglass Hut International 533,924 18,000 @ The Buckle, Inc. 266,625 46,000 @ The Men's Wearhouse, Inc. 1,351,250 27,772 @ UBid, Inc. 735,958 23,000 @ Urban Outfitters, Inc. 669,875 21,300 @ Williams Sonoma, Inc. 979,800 ----------- 21,453,677 ----------- Savings & Loans: 0.18% 19,050 First Washington Bancorp. 280,987 25,925 MAF Bancorp, Inc. 542,805 ----------- 823,792 ----------- Semiconductor: 7.34% 14,900 @ Act Manufacturing, Inc. $ 558,750 37,800 Alpha Industries, Inc. 2,166,413 37,950 @ Burr-Brown Corp. 1,370,944 48,300 @ Cypress Semiconductor Corp. 1,563,713 27,500 @ Etec Systems, Inc. 1,234,063 24,900 @ Fairchild Semicon Intl -- Class A 740,775 13,100 @ Globespan, Inc. 853,138 2,900 @ Integrated Silicon Solution 48,031 40,300 @ Intl Rectifier Corp. 1,047,800 60,200 @ Kopin Corp. 2,528,400 30,300 @ Lam Research Group 3,380,343 30,200 @ MEMC Electronics Materials 369,950 24,900 @ MIPS Technology, Inc. -- Class A 1,294,800 27,300 @ Phototronics, Inc. 781,462 34,000 @ Qlogic Corp. 5,435,750 6,300 @ Rambus, Inc. 424,856 9,000 @ Rudolph Technologies, Inc. 301,500 28,600 @ Semtech Corp. 1,490,774 30,900 @ Transwitch Corp. 2,242,181 22,250 @ Triquint Semiconductor, Inc. 2,475,313 55,100 @ Varian Semiconductor Equipment 1,873,400 28,600 @ Virata Corp. 854,425 ----------- 33,036,781 ----------- See Accompanying Notes to Financial Statements 116 Pilgrim SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- Telecommunication Equipment: 7.45% 37,400 @ Advanced Fibre Communications, Inc. $ 1,671,313 7,700 @ Aether Systems 551,513 7,700 @ Airnet Communications Corp. 280,088 51,700 American Tower Corp. 1,580,081 16,300 @ Antec Corp. 594,950 26,200 @ Audiocodes, Ltd. 2,410,400 14,800 @ Aware, Inc. 538,350 14,300 @ C-Cor.net Corp. 1,095,738 36,800 @ Commscope, Inc. 1,483,500 43,900 @ Digital Lightwave, Inc. 2,809,600 50,100 @ Digital Microwave Corp. 1,174,219 16,400 @ Ditech Communications Corp. 1,533,400 19,300 @ Efficient Networks, Inc. 1,312,400 6,300 @ Finisar Corp. 566,212 10,100 @ Harmonic, Inc. 958,869 13,400 @ MRV Communications, Inc. 842,524 26,800 @ Netoptix Corp. 1,788,900 8,600 @ Northeast Optic Network, Inc. 538,037 34,700 @ Orckit Communications, Ltd. 1,190,644 8,900 @ Ortel Corp. 1,068,000 54,100 @ Pairgain Technologies 767,544 48,500 @ Pinnacle Holdings, Inc. 2,055,187 53,000 @ Powerwave Technologies, Inc. 3,093,875 20,200 @ Proxim, Inc. 2,222,000 27,200 @ Tut Systems, Inc. 1,458,600 ------------ 33,585,944 ------------ Telecommunications: 4.86% 20,100 @ Adaptive Broadband Corp. $ 1,483,631 30,300 @ Adelphia Business Solutions, Inc. 1,454,400 81,100 @ Aspect Communications Corp. 3,173,033 23,600 @ Caprock Communications Corp. 765,525 49,500 @ Clearnet Communications -- Class A 1,701,563 9,900 @ Ectel, Ltd. 180,675 79,400 @ GST Telecommunications 719,563 6,800 @ Ibasis, Inc. 195,500 19,900 @ ICG Communications, Inc. 373,125 24,700 @ Inet Technologies, Inc. 1,725,913 16,100 @ Leap Wireless International, Inc. 1,263,850 11,250 @ Pac-west Telecom, Inc. 298,124 50,400 @ Price Communications Corp. 1,401,750 61,900 @ Talk.com, Inc. 1,098,725 24,700 @ US LEC Corp. Class A 796,574 8,800 @ Viasat, Inc. 438,900 32,000 @ Western Wireless Corp. -- Class A 2,136,000 30,400 @ Winstar Communications 2,276,200 10,000 @ Z-Tel Technologies, Inc. 403,750 ------------ 21,886,801 ------------ 38,900 @ Focal Communications Corp. 938,463 15,600 @ Intermedia Communications 605,475 56,500 @ Viatel, Inc. 3,029,813 ------------ 4,573,751 ------------ 34,800 @ American Freightways Corp. 563,325 41,800 Expeditors International 1,831,362 15,300 @ Forward Air Corp. 663,637 31,700 @ Swift Transportation Co, Inc. 558,713 37,100 Us Freightways Corp. 1,776,163 ------------ 5,393,200 ------------ Total Common Stocks (Cost $256,456,789) 446,278,607 ------------ Principal Amount Value - ------ ----- Total Investments in Securities (Cost $256,456,789)* 99.10% 446,278,607 Cash and Other Assets in Excess of Liabilities-Net 0.90% 4,058,734 ------ ------------- Total Net Assets 100.00% $ 450,337,341 ====== ============= @ Non-income producing security * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 196,701,265 Gross Unrealized Depreciation (6,879,447) ------------- Net Unrealized Appreciation $ 189,821,818 ============= See Accompanying Notes to Financial Statements 117 Pilgrim Bank and Thrift Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Industry/Issuer Value - ------ --------------- ----- COMMON STOCKS: 99.07% Automotive: 0.82% 648,000 @ Keystone Automotive Industries, Inc. $ 3,807,000 ------------ Banks: 54.02% 173,500 Alabama National Bancorp (AL) 3,274,812 165,300 Bank of The Ozarks (AR) 3,223,350 176,000 Banknorth Group, Inc. (VT) 4,708,000 98,500 Bay Bancshares, Inc. (TX) 1,760,687 280,675 BSB Bancorp, Inc. (NY) 5,402,994 108,600 CNBT Bancshares, Inc. (TX) 1,167,450 290,000 Colonial Bancgroup, Inc. (AL) 3,008,750 165,000 Columbia Bancorp (MD) 1,866,562 558,500 Comerica, Inc. (MI) 26,074,969 122,749 Commerce Bancshares, Inc. (MO) 4,158,122 211,500 Community Bank System, Inc. (NY) 4,890,937 337,474 Community First Bankshares (ND) 5,315,215 44,300 Compass Bancshares, Inc. (AL) 988,444 172,400 Financial Institutions, Inc. (NY) 2,090,350 2,192 First National Bank/Anchorage (AK) 2,082,400 333,187 First Union Corp. (NC) 10,932,698 115,000 First United Bancshares/Arkansas (AR) 1,538,125 589,360 Fleet Boston Financial Corp. (MA) 20,517,095 38,500 @ Hamilton Bancorp, Inc. (FL) 683,375 322,647 Hudson United Bancorp (NJ) 8,247,664 188,604 Independent Bank Corp. -- Michigan (MI) 2,758,333 525,800 Keycorp (OH) 11,633,325 200,000 Lamar Capital Corp. (MS) 2,225,000 209,100 National City Bancorp (MN) 3,502,425 771,400 National City Corp. (OH) 18,272,537 90,134 North Dallas Bank & Trust (TX) 3,244,824 305,600 North Fork Bancorp (NY) 5,348,000 75,300 North Valley Bancorp (CA) 800,062 41,500 OAK Hill Financial, Inc. (OH) 606,938 953,000 Pacific Century Financial Corp. (HI) $ 17,809,188 829,000 Peoples Heritage Financial Group (ME) 12,486,813 240,000 Prosperity Bancshares, Inc. (TX) 3,840,000 26,500 Regions Financial Corp. (AL) 665,813 20,400 @ SIX Rivers National Bank/Eureka (CA) 271,575 200,000 ! Southwest Bancorp, Inc./Oklahoma (OK) 4,000,000 125,300 Summit Bancorp (NJ) 3,837,313 176,900 Summit Bancshares, Inc./Texas (TX) 3,272,650 355,000 @ UCBH Holdings Inc. (CA) 7,299,688 793,800 UnionBanCal Corp. (CA) 31,305,488 143,110 @ United Security Bancorp (WA) 1,788,875 209,400 US Bancorp, Inc.-Pa (PA) 2,460,450 146,885 West Coast Bancorp-Oregon (OR) 1,982,948 ------------ 251,344,244 ------------ 655,375 D.R. Horton, Inc. 9,052,367 342,500 @ Schuff Steel Co. 1,370,000 ------------ 10,422,367 ------------ 375,000 @! International Aircraft Investor 2,343,750 215,000 Liberty Financial Co., Inc. 4,931,562 440,000 Sea Containers Ltd. 11,715,000 413,000 @ Ugly Duckling Corp. 2,839,375 1,738,900 @ UniCapital Corp. 6,412,194 ------------- 28,241,881 ------------- 177,000 @! 21st Century Holding Co. 730,125 430,000 @! American Safety Insurance Group 2,821,875 756,500 Reliance Group Holdings 5,059,094 ------------- 8,611,094 ------------- 955,160 @ Applied Graphics Technologies 8,238,255 ------------- 323,106 @ Cons Stores Corp. $ 5,250,472 69,100 @ Jo-Ann Stores, Inc. Class B 695,319 15,000 @ Jo-Ann Stores, Inc. Class A 168,750 40,200 @ Michaels Stores Inc. 1,145,700 3,700 @ United Auto Group Inc. 33,069 ------------ 7,293,310 ------------ 633,700 Alliance Capital Management Holdings 18,971,394 573,400 Freedom Securities Corp. 6,450,750 ------------ 25,422,144 ------------ 245,000 Astoria Financial Corp. (NY) 7,457,188 1,833,657 Charter One Financial, Inc. (OH) 35,068,690 1,261,238 Commercial Federal Corp. (NE) 22,465,792 166,100 First Mutual Bancshares, Inc. (WA) 1,993,200 429,200 Golden West Financial Corp. (CA) 14,378,200 198,000 Highland Bancorp, Inc. (CA) 3,762,000 84,400 Interwest Bancorp, Inc. (WA) 1,624,700 63,655 Laurel Capital Group, Inc. (PA) 954,825 612,500 Seacoast Financial Services Corp. (MA) 6,239,844 137,500 Timberland Bancorp, Inc. (WA) 1,546,875 849,800 Washington Mutual, Inc. (WA) 22,094,800 ------------ 117,586,114 ------------ Total Common Stocks (Cost $500,249,662) 460,966,409 ------------ 118 Pilgrim Bank and Thrift Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Principal Amount Value - ------ ----- SHORT-TERM INVESTMENTS: 0.27% Repurchase Agreements: 0.27% $1,258,000 State Stree Repurchase Agreement, 3.00% due 01/03/00 (Collateralized by $1,060,000 U.S. Treasury Bonds, 8.500% Market Value $1,287,900, Due 02/15/20) $ 1,258,000 ------------ Total Short-Term Investments (Cost $1,258,000) 1,258,000 Total Investments in Securities (Cost $501,507,662)* 99.34% 462,224,409 Cash and Other Assets in Excess of Liabilities-Net 0.66% 3,086,338 ------ ------------ Total Net Assets 100.0% $465,310,747 ====== ============ @ Non-income producing security ! Company in which there is any direct or indirect ownership of 5% or more of the outstanding voting securities. * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized depreciation consists of: Gross Unrealized Appreciation $ 52,888,250 Gross Unrealized Depreciation (92,171,503) ------------- Net Unrealized Depreciation $ (39,283,253 ============= See Accompanying Notes to Financial Statements 119 Pilgrim Worldwide Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- COMMON STOCKS: 95.85% BELGIUM: 0.39% 49,800 Fortis $ 1,797,215 ----------- Total Belgium 1,797,215 ----------- BRAZIL: 0.79% 37,700 Aracruz Celulose S.A. ADR 989,625 20,697 Cia Siderurgica Nacional 803,099 47,800 Petroleo Brasileiro S.A. ADR 1,225,974 25,800 Tele Norte Leste Participacoes ADR 657,900 ----------- Total Brazil 3,676,598 ----------- CANADA: 1.66% 81,000 @ Anderson Exploration 966,955 17,500 @ Biovail Corp. Int'l 1,640,625 54,400 Falconbridge, Ltd. 971,294 31,500 Nortel Networks Corp. 3,181,500 38,300 @ Precision Drilling Corp. 983,831 ----------- Total Canada 7,744,205 ----------- CHINA: 0.24% 2,948,400 @ China Shipping Development Co. 584,104 1,866,300 @ Yizheng Chemical Fibre Co. 522,185 ----------- Total China 1,106,289 ----------- DENMARK: 0.48% 30,000 Tele Danmark A/S 2,228,145 ----------- Total Denmark 2,228,145 ----------- FINLAND: 3.61% 67,200 Nokia OYJ ADR 12,768,000 42,300 Sonera OYJ 2,900,104 65,300 Stora Enso OYJ 1,138,819 ----------- Total Finland 16,806,923 ----------- FRANCE: 4.30% 14,100 Axa 1,966,076 2,300 Bouygues 1,462,185 14,000 Carrefour Supermarche 2,582,626 24,600 @ Credit Lyonnais S.A. 1,125,216 27,000 Pechiney S.A. Class A 1,930,017 83,800 Rhodia S.A. 1,894,574 15,570 Total Fina S.A. 2,078,498 9,100 TV Francaise 4,767,490 24,500 Vivendi (EX -- Generale des Eaux) 2,212,898 ----------- Total France 20,019,580 ----------- GERMANY: 4.41% 63,400 Bayerische Motoren Werke AG $ 1,945,009 32,100 Deutsche Bank AG 2,718,240 33,900 Deutsche Telekom AG 2,385,674 23,100 EM.TV & Merchandising AG 1,524,398 22,200 @ Epcos AG 1,655,121 18,000 Fresenius Medical Care 1,527,874 25,400 HypoVereinsbank 1,735,036 4,900 @ Intershop Communications AG 1,402,037 18,900 Mannesmann AG 4,577,637 35,400 Thyssen Krupp AG 1,096,714 ----------- Total Germany 20,567,740 ----------- GREECE: 0.13% 10,200 Titan Cement Co. 603,411 ----------- Total Greece 603,411 ----------- HONG KONG: 0.84% 14,000 @ China Telecom, Ltd. 1,799,875 904,000 @ Pacific Century Cyberworks, Ltd. 2,104,895 ----------- Total Hong Kong 3,904,770 ----------- HUNGARY: 0.16% 21,100 Matav RT ADR 759,600 ----------- Total Hungary 759,600 ----------- ISRAEL: 0.11% 19,000 @ Partner Communications 491,625 ----------- Total Israel 491,625 ----------- ITALY: 2.48% 172,000 Alleanza Assicurazioni 2,098,542 131,100 ENI SpA 721,174 132,600 Mediaset SpA 2,062,699 949,900 Seat-Pagine Gialle SpA 3,119,899 318,000 Telecom Italia Mobile SpA 3,553,070 ----------- Total Italy 11,555,384 ----------- JAPAN: 17.10% 28,300 Asatsu-DK Inc. $ 1,909,545 101,000 Dai-ichi Kangyo Bank 943,235 33,500 Fanuc, Ltd. 4,262,028 9,200 Fuji Soft ABC, Inc. 719,734 29,200 Fujitsu, Ltd. 1,330,647 600 Hikari Tsushin, Inc. 1,202,816 68,000 Hitachi, Ltd. 1,090,553 22,200 KDD Corp. 3,074,047 7,100 Keyence Corp. 2,881,381 17,400 Kyocera Corp. 4,509,094 10,600 Matsushita Communication Industrial Co., Ltd. 2,798,748 22,000 Murata Manufacturing Co., Ltd. 5,163,309 190 Nippon Telegraph & Telephone Corp. 3,251,516 121,000 Nomura Securites Co., Ltd. 2,183,112 154 NTT Data Corp. 3,539,018 98 NITT Mobile Communications Network, Inc. 3,766,282 155,000 Oki Electric Industry Co., Ltd. 912,478 33,000 Omron Corporation 759,975 17,400 Orix Corp. ADR 1,973,813 66 Round One Corp. 890,671 12,000 Ryohin Keikaku Co., Ltd. 2,406,806 83,000 Sakura Bank, Ltd. 480,501 21,400 Seven Eleven 3,390,182 7,800 Softbank Corp. 7,459,808 18,600 Sony Corp. 5,511,246 28,800 Sony Corp. ADR 8,200,879 30,700 THK Co., Ltd. 1,239,888 11,000 Tokyo Electron, Ltd. 1,505,964 60,000 Yamato Transport Co., Ltd. 2,323,488 ----------- Total Japan 79,680,684 ----------- 10,000 @ Grupo Televisa S.A. GDR 682,500 19,700 Telefonos de Mexico 2,216,250 ----------- Total Mexico 2,898,750 ----------- See Accompanying Notes to Financial Statements 120 Pilgrim Worldwide Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- NETHERLANDS: 5.09% 18,500 Aegon N.V. $ 1,787,456 24,200 @ ASM Lithography Holding N.V. 2,752,750 21,700 @ Equant N.V. 2,463,932 11,200 @ Equant N.V. 1,254,400 22,400 Koninklijke Phillips Electronics N.V. 3,024,000 33,500 KPN N.V. 3,270,496 20,500 @ KPNQwest N.V. 1,365,213 22,800 STMicroelectronics N.V. 3,452,775 63,700 TNT Post Group N.V. 1,825,857 19,800 @ United Pan-Europe Communications 2,533,460 ------------ Total Netherlands 23,730,339 ------------ SINGAPORE: 0.32% 275,000 @ Chartered Semiconductor 1,502,552 ------------ Total Singapore 1,502,552 ------------ SOUTH KOREA: 1.32% 4,500 @ Dacom Corp. 2,318,362 38,100 Korea Telecom ADR 2,847,975 4,120 Samsung Electronics Co. 965,143 ------------ Total South Korea 6,131,480 ------------ SPAIN: 0.94% 170,000 Banco Santander Central 1,925,131 501 Telefonica S.A. 39,551 97,300 Telefonica S.A. ADR 2,431,138 ------------ Total Spain 4,395,820 ------------ SWEDEN: 1.57% 77,000 Skandia Forsakrings AB 2,325,409 75,900 Telefonaktiebolaget LM Ericsson 4,985,681 ------------ Total Sweden 7,311,090 ------------ TAIWAN: 0.34% 35,255 @ Taiwan Semiconductor ADR 1,586,475 ------------ Total Taiwan 1,586,475 ------------ UNITED KINGDOM: 5.70% 26,760 @ ARM Holdings PLC ADR $ 5,124,540 362,500 Billiton PLC 2,123,352 42,493 British Aerospace PLC 281,566 46,800 British Telecom PLC 1,135,906 19,600 CMG PLC 1,454,439 31,600 @ Colt Telecom Group PLC 1,633,666 1,035,900 Corus Group PLC 2,707,047 125,800 Hanson PLC 1,042,212 414,600 Invensys PLC 2,247,395 99,100 Marconi PLC 1,754,270 236,200 Saatchi & Saatchi PLC 1,423,677 286,000 Shell Transport & Trading Co. 2,379,829 25,000 @ Shire Pharmaceuticals PLC 728,125 250,000 Smith & Newphew PLC 849,503 122,000 @ Thus PLC 765,944 190,400 Vodafone AirTouch PLC 940,433 ------------ Total United Kingdom 26,591,904 ------------ UNITED STATES: 43.25% 118,100 @ Agilent Technologies, Inc. 9,130,606 37,400 Alltel Corp. 3,092,513 70,200 @ America Online, Inc. 5,295,713 100,000 @ Amgen, Inc. 6,006,250 55,400 @ Applied Materials, Inc. 7,018,488 114,700 AT&T Corp. 5,821,025 123,340 @ AT&T Corp. Liberty Media 6,999,545 230,300 @ Charter Communications, Inc. 5,037,813 66,100 @ Cisco Systems, Inc. 7,080,963 118,500 Citigroup, Inc. 6,584,156 24,800 @ CMGI, Inc. 6,866,500 55,100 Corning, Inc. 7,104,456 26,000 @ Flextronics Int'l, Ltd. 1,196,000 50,200 @ Genentech, Inc. 6,751,900 42,300 General Motors Corp. Class H 4,060,800 94,400 @ Global Telesystems Group, Inc. 3,268,600 110,850 Home Depot, Inc. 7,600,153 85,300 @ Infonet Services Corp. 2,239,125 40,300 International Business Machines 4,352,400 90,575 Lucent Technologies 6,776,142 82,650 @ MCI Worldcom, Inc. 4,385,616 136,200 MGM Grand, Inc. 6,852,563 59,700 @ Microsoft Corp. 6,969,975 47,400 Motorola, Inc. 6,979,650 65,200 @ Nextel Communications, Inc. 6,723,750 9,700 @ NTL, Inc. 1,210,075 65,900 @ Oracle Corp. 7,384,919 46,800 @ Qualcomm, Inc. 8,248,500 129,900 @ Qwest Communications Int'l 5,585,700 38,100 Schlumberger, Ltd. 2,143,125 59,000 @ Sprint Corp. -- PCS Group 6,047,500 88,500 @ Sun Microsystems, Inc. 6,853,219 65,000 Texas Instruments, Inc. 6,296,875 7,376 Transocean Sedco Forex, Inc. 248,484 87,200 United Parcel Service, Inc. 6,016,800 106,300 Wal-Mart Stores, Inc. 7,347,988 ------------ Total United States 201,577,887 ------------ Total Common Stocks (Cost $284,196,790) 446,668,466 ------------ PREFERRED STOCKS: 0.33% Germany: 0.33% 2,600 Sap AG 1,586,107 ------------ Total Preferred Stocks (Cost $1,549,520) 1,586,107 ------------- Total Long-Term Investments (Cost $285,746,310) 448,254,573 ------------- See Accompanying Notes to Financial Statements 121 Pilgrim Worldwide Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Principal Amount Value - ------ ----- SHORT-TERM INVESTMENTS: 3.75% Repurchase Agreement: 3.75% $17,453,000 State Street Bank & Trust Repurchase Agreement, 3.00% due 01/03/00 (Collateralized by $15,500,000 U.S. Treasury Bonds, 7.875% due 02/15/21 Market Value $17,805,625) $ 17,453,000 ------------ Total Short-Term Investments (Cost $17,453,000) 17,453,000 ------------ Total Investments (Cost $303,199,310)* 99.93% 465,707,573 Other Assets and Liabilities, Net 0.07% 303,272 ------- ------------ Net Assets 100.00% $466,010,845 ======= ============ Principal Amount Value - ------ ----- @ Non-income producing security * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized Appreciation $164,457,150 Gross Unrealized Depreciation (1,948,887) ------------ $162,508,263 ============ Percentage of Industry Net Assets - -------- ---------- Advertising 0.71% Aerospace/Defense 0.06% Auto Manufacturers 0.42% Banks 1.92% Biotechnology 2.74% Building Materials 0.35% Chemicals 0.52% Commercial Services 0.47% Computers 5.91% Diversified Financial Services 2.69% Electrical Components & Equipment 0.44% Electronics 6.99% Engineering & Construction 0.31% Entertainment 1.47% Food 0.55% Forest Products & Paper 0.46% Hand/Machine Tools 0.27% Health Care 0.51% Home Furnishings 2.94% Insurance 1.75% Iron/Steel 0.75% Leisure Time 0.19% Machinery-Diversified 0.98% Media 5.74% Metal Fabricate/Hardware 0.41% Metals-Diversified 0.21% Mining 0.46% Miscellaneous Manufacturing 2.24% Oil & Gas Producers 1.85% Oil & Gas Services 0.46% Pharmaceuticals 0.51% Retail 4.45% Semiconductors 5.68% Software 8.54% Telecommunication Equipment 10.65% Telecommunications 12.47% Telephone 6.80% Transportation 2.31% Short-term Investments 3.75% Other Assets and Liabilities, Net 0.07% ------ NET ASSETS 100.00% ====== See Accompanying Notes to Financial Statements 122 - ------------- Pilgrim International Core Growth Fund - ------------- PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- COMMON STOCKS: 98.93% BELGIUM: 0.77% 16,300 Fortis $ 588,245 ----------- Total Belgium 588,245 ----------- BRAZIL: 1.48% 6,200 Aracruz Celulose S.A. ADR 162,750 7,968,000 CIA Siderurgica Nacional 309,180 17,400 Petroleo Brasileiro S.A. ADR 446,275 8,100 Tele Norte Leste Participacoes ADR 206,550 ----------- Total Brazil 1,124,755 ----------- CANADA: 3.50% 23,400 @ Anderson Exploration 279,343 6,600 @ Biovail Corp. Int'l 618,750 17,700 Falconbridge, Ltd. 316,028 11,100 Nortel Networks 1,121,100 12,600 @ Precision Drilling Corp. 323,663 ----------- Total Canada 2,658,884 ----------- CHINA: 0.47% 958,700 @ China Shipping Development 189,927 606,800 @ Yizheng Chemical Fibre 169,781 ----------- Total China 359,708 ----------- DENMARK: 1.08% 11,000 Tele Danmark A/S 816,986 ----------- Total Denmark 816,986 ----------- FINLAND: 3.85% 8,600 Nokia Corp. ADR 1,634,000 13,400 Sonera Group OYJ 918,709 21,200 Stora Enso OYJ Class R 369,724 ----------- Total Finland 2,922,433 ----------- FRANCE: 7.96% 4,500 AXA 627,471 800 Bouygues 508,586 4,200 Carrefour Supermarche 774,788 10,400 @ Credit Lyonnais SA 475,701 8,000 Pechiney SA Class A 571,857 27,400 Rhodia SA 619,467 5,074 Total Fina S.A. 677,347 2,400 TV Francaise 1,257,360 5,900 Vivendi (EX -- Generale des Eaux) 532,902 ----------- Total France 6,045,479 ----------- GERMANY: 9.22% 20,800 Bayerische Motoren Werke AG $ 638,110 10,100 Deutsche Bank AG 855,272 10,800 Deutsche Telekom AG 760,038 7,500 EM.TV & Merchandising AG 494,934 7,300 @ Epcos AG 544,252 9,600 Fresenius Medical Care AG 814,866 8,500 HypoVereinsbank 580,622 1,600 @ Intershop Communications 457,808 6,200 Mannesmann AG 1,501,659 11,500 Thyssen Krupp 356,277 ----------- Total Germany 7,003,838 ----------- GREECE: 0.33% 4,300 Titan Cement Co. S.A. 254,379 ----------- Total Greece 254,379 ----------- HONG KONG: 0.68% 4,000 @ China Telecom 514,250 ----------- Total Hong Kong 514,250 ----------- HUNGARY: 0.41% 8,700 Matav RT ADR 313,200 ----------- Total Hungary 313,200 ----------- INDONESIA: 0.00% 100 @ PT Hanjaya Mandala Sampoerna 254 ----------- Total Indonesia 254 ----------- ISRAEL: 0.21% 6,200 @ Partner Communications 160,425 ----------- Total Israel 160,425 ----------- ITALY: 4.15% 36,000 Alleanza Assicurazioni 439,230 42,500 ENI SPA 233,790 39,800 Mediaset SPA 619,121 301,305 Seat-Pagine Gialle SPA 989,621 77,700 Telecom Italia Mobile SPA 868,156 ----------- Total Italy 3,149,918 ----------- JAPAN: 28.59% 9,200 Asatsu-DK Inc. $ 620,771 33,000 Dai-ichi Kangyo Bank 308,185 10,800 Fanuc, Ltd. 1,374,027 3,000 Fuji Soft ABC, Inc. 234,696 9,200 Fujitsu, Ltd. 419,245 200 Hikari Tsushin, Inc. 400,939 22,000 Hitachi, Ltd. 352,826 7,300 KDD Corp. 1,010,835 1,000 Keyence Corp. 405,828 5,500 Kyocera Corp. 1,425,288 3,400 Matsushita Communication 897,712 7,000 Murata Manufacturing Co., Ltd. 1,642,871 35 Nippon Telegraph & Telephone Corp. 598,963 38,000 Nomura Securites Co., Ltd. 685,605 50 NTT Data Corp. 1,149,032 32 NTT Mobile Communications Network, Inc. 1,229,806 51,000 Oki Electric Industry Co., Ltd. 300,235 12,000 Omron Corp. 276,354 6,300 Orix Corp. ADR 714,656 21 Round One Corp. 283,395 3,700 Ryohin Keikaku Co., Ltd. 742,099 26,000 Sakura Bank, Ltd. 150,518 6,200 Seven Eleven Japan 982,202 2,400 Softbank Corp. 2,295,326 5,500 Sony Corp. 1,629,669 9,600 THK Co., Ltd. 387,718 3,000 Tokyo Electron, Ltd. 410,718 20,000 Yamato Transport Co., Ltd. 774,497 ----------- Total Japan 21,704,016 ----------- MEXICO: 1.22% 3,200 @ Grupo Televisa SA GDR 218,400 6,300 Telefonos de Mexico 708,750 ----------- Total Mexico 927,150 ----------- See Accompanying Notes to Financial Statements 123 Pilgrim International Core Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- NETHERLANDS: 9.47% 6,000 Aegon N.V. $ 579,716 9,600 @ ASM Lithography Holdings N.V. 1,092,000 7,000 @ Equant N.V. 794,817 3,700 @ Equant N.V. 414,400 7,300 Koninklijke Phillips Electronics N.V. 985,500 7,600 KPN N.V. 741,963 6,500 @ KPNQwest N.V. 432,872 7,400 STMicroelectronics N.V. 1,120,638 21,600 TNT Post Group N.V. 619,129 3,200 @ United Pan-Europe Communications N.V. 409,448 ----------- Total Netherlands 7,190,483 ----------- SINGAPORE: 1.55% 90,000 @ Chartered Semiconductor 491,744 9,400 @ Chartered Semiconductor ADR 686,200 ----------- Total Singapore 1,177,944 ----------- SOUTH KOREA: 2.25% 1,500 @ Dacom Corp. 772,787 7,600 Korea Telecom Corp. ADR 568,100 1,560 Samsung Electronics Co. 365,443 ----------- Total South Korea 1,706,330 ----------- SPAIN: 1.87% 55,000 Banco Santander Central Hispano S.A. 622,837 32,000 Telefonica S.A. 799,552 ----------- Total Spain 1,422,389 ----------- SWEDEN: 2.94% 19,000 Skandia Forsakrings AB 573,802 25,300 Telefonaktiebolaget LM Ericsson 1,661,894 ----------- Total Sweden 2,235,696 ----------- TAIWAN: 0.76% 12,820 @ Taiwan Semiconductor ADR 576,900 ----------- Total Taiwan 576,900 ----------- UNITED KINGDOM: 12.67% 25,200 @ ARM Holdings PLC $ 1,688,131 113,300 Billiton PLC 663,657 17,452 British Aerospace PLC 115,638 17,400 British Telecom PLC 422,324 7,400 CMG PLC 549,125 10,300 @ Colt Telecom Group PLC 532,492 330,000 Corus Group PLC 862,366 6,700 @ Eidos PLC 590,849 40,900 Hanson PLC 338,843 133,800 Invensys PLC 725,281 40,700 Marconi PLC 720,472 76,300 Saatchi & Saatchi PLC 459,892 92,300 Shell Transportation 768,036 9,000 @ Shire Pharmaceuticals PLC 262,125 106,700 Smith & Newphew PLC 362,568 39,600 @ Thus PLC 248,618 61,900 Vodafone Airtouch PLC 305,740 ----------- Total United Kingdom 9,616,157 ----------- UNITED STATES: 3.50% 9,800 @ Flextronics Int'l., Ltd. 450,800 30,700 @ Global Telesystems Group, Inc. 1,062,988 3,000 @ NTL, Inc. 374,250 12,200 Schlumberger, Ltd. 686,250 2,362 Transocean Sedco Forex, Inc. 79,567 ----------- Total United States 2,653,855 ----------- Total Common Stocks (Cost $46,839,072) 75,123,674 ----------- PREFERRED STOCKS: 0.64% Germany: 0.64% 800 Sap AG 488,033 ----------- Total Preferred Stocks (Cost $476,775) 488,033 ----------- Total Long-Term Investments (Cost $47,315,847) 75,611,707 ----------- Principal Amount Value - ------ ----- SHORT-TERM INVESTMENTS: 0.38% Repurchase Agreement: 0.38% $ 292,000 State Street Bank & Trust Repurchase Agreement, 3.00% due 01/03/00 (Collateralized by $230,000 U.S. Treasury Bonds, 12.750% Market Value $300,438, Due 11/15/10) $ 292,000 ------------ Total Short-Term Investments (Cost $292,000) 292,000 ------------ Total Investments in Securities (Cost $47,607,847)* 99.95% 75,903,707 Other Assets and Liabilities, Net 0.05% 35,966 ------ ------------ Net Assets 100.00% $ 75,939,673 ====== ============ @ Non-income producing security * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 28,677,764 Gross Unrealized Depreciation (381,904) ------------ Net Unrealized Appreciation $ 28,295,860 ============ See Accompanying Notes to Financial Statements 124 Pilgrim International Core Growth Fund PORTFOLIO OF INVESTMENTS BY INDUSTRY as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Percentage of Industry Net Assets - -------- ---------- Advertising 1.42% Aerospace/Defense 0.15% Auto Manufacturers 0.84% Banks 3.94% Building Materials 0.78% Chemicals 1.04% Commercial Services 0.70% Computers 4.31% Diversified Financial Services 2.62% Electrical Components & Equipment 0.95% Electronics 9.36% Engineering & Construction 0.67% Food 1.02% Forest Products & Paper 0.70% Hand/Machine Tools 0.51% Health Care 1.55% Home Furnishings 2.15% Insurance 2.92% Iron/Steel 1.54% Leisure Time 0.37% Machinery-Diversified 1.98% Media 5.25% Metal Fabricate/Hardware 0.75% Metals-Diversified 0.42% Mining 0.87% Manufacturing 1.43% Oil & Gas Producers 3.70% Oil & Gas Services 0.90% Pharmaceuticals 1.16% Retail 2.27% Semiconductors 6.55% Software 5.36% Telecommunication Equipment 8.87% Telecommunications 13.36% Telephone 7.07% Tobacco 0.00% Transportation 2.09% Short-term Investments 0.38% Other Assets and Liabilities, Net 0.05% ------- NET ASSETS 100.00% ======= See Accompanying Notes to Financial Statements 125 Pilgrim International SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- COMMON STOCKS: 90.43% AUSTRALIA: 1.40% 556,400 @ Solution 6 Holdings, Ltd. $ 6,064,977 ----------- Total Australia 6,064,977 ----------- BRAZIL: 0.24% 26,936 Cia Siderurgica Nacional 1,045,186 ----------- Total Brazil 1,045,186 ----------- CANADA: 2.48% 127,300 @ Anderson Exploration 1,519,671 33,600 @ Celestica, Inc. 1,864,800 51,200 @ Certicom Corp. 3,118,062 113,200 @ Clearnet Communications Class A 3,891,250 17,400 @ Descartes Systems Group 382,318 ----------- Total Canada 10,776,101 ----------- CHINA: 0.08% 12,300 @ Qiao Xing Universal Telephone, Inc. 345,938 ----------- Total China 345,938 ----------- DENMARK: 0.82% 20,150 @ Vestas Wind Systems 3,571,052 ----------- Total Denmark 3,571,052 ----------- FINLAND: 1.22% 150,000 @ Perlos OYJ 5,289,375 ----------- Total Finland 5,289,375 ----------- FRANCE: 13.47% 6,100 Altran Technologies SA 3,687,450 6,200 Bouygues 3,941,542 28,000 @ Business Objects 3,741,500 33,000 Compagnie Generale 2,161,088 16,000 FI System 4,868,240 20,600 Galeries Lafayette 3,420,342 14,484 Havas Advertising 6,172,682 30,400 Hermes Int'l 4,588,074 32,300 @ Infogrames Entertainment 5,336,929 13,300 Metropole Television 6,592,677 41,200 Pechiney SA-A SHS 2,945,064 175,100 Rhodia SA 3,958,713 192,000 Usinor Sacilor 3,607,656 36,600 @ Wavecom SA ADR 3,467,850 ----------- Total France 58,489,807 ----------- GERMANY: 12.43% 40,300 Aixtron $ 5,676,195 63,400 EM.TV & Merchandising AG 4,183,845 68,800 @ Epcos AG 5,129,384 190,000 FAG Kugelfischer Georg Schaefer AG 1,741,968 47,450 Heideleberger Zement AG 3,681,052 43,400 Hochtief AG 1,622,216 15,400 @ Intershop Communications 4,406,402 61,840 Kamps AG 4,298,962 11,900 @ Kamps AG New 797,285 32,800 Kinowelt Medien AG 2,015,806 38,500 @ Primacom AG 2,342,841 53,000 @ Ricardo de AG 6,274,206 34,100 SGL Carbon AG 2,250,302 54,100 @ Singulus Technologies 3,406,609 28,100 @ Software AG 1,712,800 75,900 @ Telegate AG 4,419,923 ----------- Total Germany 53,959,796 ----------- GREECE: 0.15% 10,900 Titan Cement Co. 644,822 ----------- Total Greece 644,822 ----------- HONG KONG: 4.91% 2,848,000 @ Computer & Technologies 3,517,180 1,310,200 Dickson Concepts Int'l 1,651,760 3,135,000 Founder Hong Kong, Ltd. 3,831,286 1,205,000 Global Tech Holdings, Ltd. 1,395,124 32,300 @ I-cable Communications ADR 809,519 476,500 Johnson Electric Holdings 3,058,770 2,042,000 Legend Holdings, Ltd. 5,069,866 3,708,000 Shun Tak Holdings, Ltd. 705,968 2,224,000 Timeless Software, Ltd. 1,287,451 ----------- Total Hong Kong 21,326,924 ----------- INDIA: 0.08% 25,000 @ HCL Technologies, Ltd. 333,333 ----------- Total India 333,333 ----------- INDONESIA: 0.00% 500 @ PT Jaya Real Property 73 ----------- Total Indonesia 73 ----------- ISRAEL: 1.53% 59,800 BATM Advanced Communications, Ltd. $ 4,934,881 34,400 Nice Systems, Ltd. 1,692,050 ----------- Total Israel 6,626,931 ----------- ITALY: 0.72% 183,733 Gruppo Editoriale L'Espresso 2,126,929 282,200 Saipem SpA 1,020,696 ----------- Total Italy 3,147,625 ----------- JAPAN: 21.51% 16,000 Alpha Systems, Inc. 3,363,974 2,800 Bellsystem 24, Inc. 3,066,693 9,000 Benesse Corp. 2,165,069 7,500 Disco Corp. 1,738,216 12,900 Drake Beam Morin Japan, Inc. 4,200,763 7,000 Fancl Corp. 1,875,611 18,000 Fast Retailing Co., Ltd. 7,322,511 384,000 Fukuyama Transporting Co. 2,760,023 5,500 Funai Electric Co. 3,237,825 22,000 Gulliver Int'l Co. 1,979,269 18,700 Hirose Electric Co., Ltd. 4,189,488 29,000 Jafco Co., Ltd. 10,351,066 39,800 Justsystems Corp. 2,413,065 10,650 Nichii Gakkan Co. 2,081,884 30,100 Nippon System Development 4,385,781 109,000 Nitto Denko Corp. 5,446,802 35,000 Q'sai Co., Ltd. 2,190,495 12,000 Ryohin Keikaku Co., Ltd. 2,406,806 500 Softbank Technology Corp. 1,153,921 21,700 Sunkus & Associates 950,675 32,000 Toyo Information Systems 2,253,081 35,000 Trans Cosmos 14,922,746 10,800 Tsuruha Co., Ltd. 1,425,778 248,000 Uchida Yoko Co. 1,515,744 659,000 Yaskawa Electric Corp. 4,678,604 34,600 Zuken, Inc. 1,322,961 ----------- Total Japan 93,398,851 ----------- MEXICO: 0.34% 202,138 @ Corp. Interamericana de Entretenmiento S.A. Class B 804,979 168,784 @ Corp. Interamericana de Entretenmiento S.A. Class L 657,058 ----------- Total Mexico 1,462,037 ----------- See Accompanying Notes to Financial Statements 126 Pilgrim International SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- NETHERLANDS: 2.43% 143,900 @ ASM Int'l N.V. $ 3,309,700 100,000 @ BE Semiconductor Industries N.V. 1,435,688 164,600 @ VersaTel Telecom Int'l N.V. 5,804,208 ------------ Total Netherlands 10,549,596 ------------ NORWAY: 0.77% 67,000 @ Netcom Asa 3,335,200 ------------ Total Norway 3,335,200 ------------ SINGAPORE: 0.59% 309,900 Datacraft Asia, Ltd. 2,572,170 ------------ Total Singapore 2,572,170 ------------ SOUTH KOREA: 0.97% 61,900 @ Korea Thrunet Co., Ltd. Class A 4,201,463 ------------ Total South Korea 4,201,463 ------------ SPAIN: 2.07% 44,000 Acerinox SA 1,755,468 115,000 @ Amadeus Global Travel Distribution SA 1,824,834 53,800 @ Sogecable 3,436,502 36,000 @ Terra Networks SA 1,967,648 ------------ Total Spain 8,984,452 ------------ SWEDEN: 4.63% 119,000 Allgon AB Class B 2,363,248 127,300 @ Cell Network AB 3,545,294 39,500 Enea Data AB 3,040,282 25,000 @ Framtidsfabriken AB 4,524,142 87,400 @ Modern Times Group Class B 4,334,105 72,100 @ Ortivus AB Class B 354,997 1,471,900 Rottneros AB 1,954,485 ------------ Total Sweden 20,116,553 ------------ SWITZERLAND: 2.38% 420 @ Kudelski SA 2,508,330 1,200 Publigroupe SA 1,188,156 3,200 Sez Holdings AG 1,792,418 5,100 Straumann Holdings 2,988,118 4,020 @ Synthes-Stratec, Inc. 1,842,321 ------------ Total Switzerland 10,319,343 ------------ UNITED KINGDOM: 14.87% 60,500 @ Arm Holdings PLC $ 4,052,855 27,700 @ Arm Holdings PLC ADR 5,304,550 40,700 @ Autonomy Corp. 1,973,950 70,600 @ Baltimore Technologies 5,854,690 122,500 Capital Radio PLC 2,966,321 155,100 @ Celltech Chiroscience 1,333,891 31,300 CMG PLC 2,322,650 897,500 Cookson Group 3,761,314 77,400 @ Dialog Semiconductor PLC 5,614,596 26,200 @ Eidos PLC 2,310,485 53,000 Filtronic PLC 1,809,521 233,500 @ Future Network PLC 3,220,970 58,000 @ Independent Energy Holdings ADR 1,932,125 46,700 @ Jazztel PLC ADR 3,041,338 351,200 @ Kingston Communication PLC 4,333,110 330,000 Pace Micro Technology PLC 2,816,708 526,100 Photo-Me Int'l 2,787,950 168,074 @ Powderject Pharmaceuticals PLC 2,236,875 57,700 Psion PLC 2,416,270 395,700 Saatchi & Saatchi PLC 2,385,051 72,400 @ Shire Pharmaceuticals 2,108,650 ------------ Total United Kingdom 64,583,870 ------------ 18,400 @ Opentv Corp. 1,476,600 ------------ Total United States 1,476,600 ------------ Total Common Stock (Cost $240,500,284) 392,622,075 ------------ PREFERRED STOCKS: 0.76% Germany: 0.76% 11,100 Marschollek Lautenschla 3,299,059 ------------ Total Preferred Stocks (Cost $2,266,994) 3,299,059 ------------ Total Long-Term Investments (Cost $242,767,278) 395,921,134 ------------ Principal Amount Value - ------ ----- SHORT-TERM INVESTMENTS: 7.32% Repurchase Agreement: 7.32% $31,803,000 State Street Bank & Trust Repurchase Agreement, 3.00% due 01/03/00 (Collateralized by $32,480,000 U.S. Treasury Notes, 6.125% Market Value $32,439,400, Due 08/15/07) $ 31,803,000 ------------- Total Short-Term Investments (Cost $31,803,000) 31,803,000 ------------- Total Investments in Securities (Cost $274,570,278)* 98.51% 427,724,134 Other Assets and Liabilities, Net 1.49% 6,478,455 ------ ------------- Net Assets 100.00% $ 434,202,589 ====== ============= @ Non-income producing security * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 157,982,142 Gross Unrealized Depreciation (4,828,286) ------------- Net Unrealized Appreciation $ 153,153,856 ============= See Accompanying Notes to Financial Statements 127 Pilgrim International SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Percentage of Industry Net Assets - -------- ---------- Advertising 2.24% Apparel 1.06% Building Materials 1.00% Chemicals 1.43% Commercial Services 3.17% Computers 8.86% Cosmetics/Personal Care 0.43% Distribution/Wholesale 0.38% Diversified Financial Services 0.76% Electric 0.44% Electrical Components & Equipment 2.22% Electronics 7.37% Engineering & Construction 2.13% Entertainment 0.34% Food 1.68% Forest Products & Paper 0.45% Hand/Machine Tools 0.40% Health Care 1.19% Iron/Steel 1.47% Machinery-Diversified 0.78% Media 7.19% Metal Fabricate/Hardware 1.18% Manufacturing 1.91% Office/Business Equipment 0.35% Oil & Gas Producers 0.35% Oil & Gas Services 0.24% Pharmaceuticals 1.31% Real Estate 0.00% Retail 5.80% Semiconductors 7.07% Software 15.38% Technology 0.08% Telecommunication Equipment 1.64% Telecommunications 5.95% Telephone 1.34% Transportation 1.22% Venture Capital 2.38% Short-term Investments 7.32% Other Assets and Liabilities, Net 1.49% ------- NET ASSETS 100.00% ======= See Accompanying Notes to Financial Statements 128 Pilgrim Emerging Countries Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- COMMON STOCK: 96.19% BRAZIL: 9.10% 86,300 Aracruz Celulose SA ADR $ 2,265,375 50,622 Cia Siderurgica Nacional 1,964,268 269,900 Embratel Participacoes ADR 7,354,775 139,300 Globo Cabo S.A. 2,507,400 38,400 Tele Centro Sul Participacoes ADR 3,484,800 147,300 Tele Norte Leste Participacoes 3,756,150 ----------- Total Brazil 21,332,768 ----------- CHINA: 0.89% 2,116,000 @ China Southern Airlines 462,752 5,801,000 @ Yizheng Chemical Fibre 1,623,101 ----------- Total China 2,085,853 ----------- CZECH REPUBLIC: 0.79% 36,480 @ Ceske Radiokomunikace GDR 1,331,520 91,000 @ Komercni Banka AS GDR 516,835 ----------- Total Czech Republic 1,848,355 ----------- EGYPT: 2.11% 67,000 @# Al-Ahram Beverages GDR 1,336,750 88,600 Commercial Int'l Bank 1,298,146 50,300 @ Mobinil-Egyptian Mobile 2,323,292 ----------- Total Egypt 4,958,188 ----------- GREECE: 2.55% 31,900 Alpha Credit Bank 2,507,109 31,728 Intracom S.A. 1,454,273 34,000 Titan Cement Co. 2,011,371 ----------- Total Greece 5,972,753 ----------- HONG KONG: 1.47% 936,000 China Merchants Holdings 770,618 429,400 @ China Telecom, Ltd. 2,684,613 ----------- Total Hong Kong 3,455,231 ----------- HUNGARY: 1.41% 48,700 Matav Rt ADR 1,753,200 81,000 Tiszai Vegyi Kombinat Rt 1,546,340 ----------- Total Hungary 3,299,540 ----------- INDIA: 9.75% 40,000 @ HCL Technologies, Ltd. 533,333 21,300 Hindalco Industries GDR 503,745 48,900 Hindalco Industries, Ltd. 904,931 43,800 @ Hindustan Lever, Ltd. 2,265,517 36,840 @ Infosys Technologies, Ltd. 12,293,762 645,800 @ Reliance Industries, Ltd. 3,469,505 44,300 Satyam Computer Services 2,239,442 26,500 # Videsh Snachar Nigam, Ltd. 657,200 ----------- Total India 22,867,435 ----------- ISRAEL: 5.44% 671,900 Bank Hapoalim, Ltd. 2,095,740 500,200 Bank Leumi Le-Israel 1,053,788 30,600 @ Ectel, Ltd. 558,450 20,100 @ Gilat Satellite Networks 2,386,875 48,000 @ Matav Cable Communications 1,389,577 30,900 @ Nice Systems, Ltd. 1,519,894 14,300 @ Orckit Communications, Ltd. 490,669 74,200 @ Partner Communications 1,919,925 31,200 @ Radware, Ltd. 1,345,500 ----------- Total Israel 12,760,418 ----------- MEXICO: 11.20% 398,000 @ Corp. Interamericana de Entretenmiento S.A. Class L 1,549,371 1,055,430 @ Corp. Interamericana de Entretenmiento S.A. Class B 4,203,064 624,900 @ Grupo Carso Global Telecom S.A. 5,851,555 366,000 @ Grupo Financiero Inbursa 1,494,113 244,000 Grupo Mexico S.A. 1,205,303 562,000 @ Grupo Sanborns S.A. 1,241,728 5,000 @ Grupo Televisa S.A. 168,341 25,400 @ Grupo Televisa S.A. GDR 1,733,550 61,000 Telefonos de Mexico 6,862,500 13,000 Tubos de Acero de Mexico ADR 176,313 199,000 TV Azteca S.A. de CV 1,791,000 ----------- Total Mexico 26,276,838 ----------- POLAND: 0.34% 23,800 Softbank S.A. GDR 793,337 ----------- Total Poland 793,337 ----------- RUSSIA: 3.21% 41,500 Lukoil Holding ADR $ 2,158,000 191,100 Surgutneftegaz ADR 3,248,700 47,500 @ Vimpel- Communications ADR 2,119,688 ----------- Total Russia 7,526,388 ----------- SINGAPORE: 5.43% 460,100 Datacraft Asia, Ltd. 3,818,830 83,736 DBS Group Holdings, Ltd. 1,372,556 1,973,000 @ International Press Softcom, Ltd. 1,036,551 293,000 Natsteel Electronics, Ltd. 1,548,124 161,000 @ Pacific Century Regional Developments, Ltd. 2,310,357 230,700 Venture Manufacturing, Ltd. 2,645,674 ----------- Total Singapore 12,732,092 ----------- SOUTH AFRICA: 4.90% 141,000 Datatec, Ltd. 2,490,866 376,565 @ Dimension Data Holdings, Ltd. 2,364,442 50,500 Impala Platinum Holdings 2,045,466 257,600 @ Ixchange Technology 1,089,484 178,200 Sappi, Ltd. 1,762,434 212,100 Sasol, Ltd. 1,742,342 ----------- Total South Africa 11,495,034 ----------- SOUTH KOREA: 15.78% 9,050 @ Dacom Corp. 4,662,483 69,210 Housing & Commercial Bank Korea 2,194,240 133,724 Hyundai Motor 2,119,799 50,580 @ Hyundai Motor Co., Ltd. GDR 547,276 108,870 Kookmin Bank 1,706,637 37,800 Korea Telecom Corp. ADR 2,825,550 1,350 Korea Telecom Corp. 212,814 44,330 LG Chemical 1,401,538 101,130 LG Electronics 4,185,918 40,700 Pohang Iron & Steel Co. ADR 1,424,500 123,030 Samsung Corp. 1,841,929 38,261 Samsung Electronics Co. 8,962,947 1,370 SK Telecom Co., Ltd. 4,910,524 ----------- Total South Korea 36,996,155 ----------- See Accompanying Notes to Financial Statements 129 Pilgrim Emerging Countries Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- TAIWAN: 11.64% 345,000 @ Accton Technology Corp. $ 1,170,703 199,900 @ Accton Technology Corp. GDR 1,454,273 135,000 Ambit Microsystems Corp. 1,002,230 75,200 @ ASE Test, Ltd. 1,833,000 166,000 Asustek Computer, Inc. 1,750,709 23,250 Cathay Life Insurance 55,930 1,143,000 China Steel 844,913 64,200 China Steel Corp. GDR 961,395 583,600 @ Hon Hai Precision Industry 4,351,200 323,000 @ Systex Corp. 2,202,390 1,537,000 @ Taiwan Semiconductor ADR 8,178,397 257,000 @ United Microelectronics 917,126 108,600 @# Winbound Electronics Corp. GDR 2,580,770 ------------ Total Taiwan 27,303,036 ------------ TURKEY: 4.82% 1,824,800 Arcelik A.S. 1,194,329 6,440,500 Haci Omer Sabanci Holdings 3,740,335 7,660,100 Hurriyet Gazetecilic ve Matbaacilik A.S. 1,412,260 12,259,600 Turkiye Garanti Bankasi A.S. 1,853,406 10,021,700 Yapi ve Kredi Bankasi A.S. 3,094,828 ------------ Total Turkey 11,295,158 ------------ 34,400 Anglo American PLC $ 2,221,521 287,900 Antofagasta Holdings PLC 2,019,464 775,100 Billiton PLC 4,540,165 ------------ Total United Kingdom 8,781,150 ------------ 15,800 @ Comverse Technology, Inc. 2,287,050 25,500 @ MIH, Ltd. 1,504,500 ------------ Total United States 3,791,550 ------------ Total Common Stock (Cost $148,045,646) 225,571,279 ------------ PREFERRED STOCKS: 3.62% BRAZIL: 3.62% 54,499 @ Eletropaulo Metropolitan 3,534,570 19,467 Petroleo Brasileiro S.A. 4,963,971 ------------ Total Preferred Stocks (Cost $4,811,392) 8,498,541 ------------ Total Long-Term Investments (Cost $152,857,038) $234,069,820 ------------ Principal Amount Value - ------ ----- SHORT-TERM INVESTMENTS: 0.59% Repurchase Agreement: 0.59% $1,379,000 State Street Bank & Trust Repurchase Agreement, 3.00% due 01/03/00 (Collateralized by $1,125,000 U.S. Treasury Bonds, 8.875% Market Value $1,407,656, Due 02/15/19) $ 1,379,000 ------------ Total Short-Term Investments (Cost $1,379,000) 1,379,000 ------------ Total Investments in Securities (Cost $154,236,038)* 100.40% 235,448,820 Other Assets and Liabilties, Net -0.40% (935,552) ------ ------------ Net Assets 100.00% $234,513,268 ====== ============ @ Non-income producing security # Securities with purchases pursuant to Rule 144A, under the Securities Act of 1933 may not be resold subject to that rule except to qualified institutional buyers. * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized Appreciation $84,391,246 Gross Unrealized Depreciation (3,178,464) ----------- Net Unrealized Appreciation $81,212,782 =========== See Accompanying Notes to Financial Statements 130 Pilgrim Emerging Countries Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Percentage of Industry Net Assets - -------- ---------- Airlines 0.20% Auto - Cars/Light Trucks 0.23% Auto Manufacturers 0.90% Banks 7.32% Basic Materials 1.79% Building Materials 0.86% Chemicals 3.76% Computers 4.13% Consumer - Cyclical 3.21% Consumer - Non-cyclical 0.57% Diversified Financial Services 0.64% Electric 1.51% Electrical Components & Equipment 6.03% Electronic Components -- Semiconductors 1.10% Electronics 5.17% Energy 2.30% Entertainment 2.45% Financial 0.22% Forest Products & Paper 0.75% Holding Companies - Diversified 1.59% Home Furnishings 0.51% Household Products/Wares 0.97% Industrial 0.07% Insurance 0.02% Investment Companies 0.95% Iron/Steel 1.20% Media 1.27% Metals-Diversified 1.77% Mining 2.80% Oil & Gas Producers 2.86% Real Estate 0.99% Retail 0.53% Semiconductors 3.88% Software 7.10% Steel - Producers 0.41% Technology 8.22% Telecommunication Equipment 2.25% Telecommunications 6.31% Telephone 2.50% Utilities 10.47% Short-term Investments 0.59% Other Assets and Liabilities, Net -0.40% ------- NET ASSETS 100.00% ======= See Accompanying Notes to Financial Statements 131 Pilgrim Asia-Pacific Equity Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- COMMON STOCKS: 92.55% CHINA: 3.95% 2,000,000 @ China Shipping Development $ 396,218 1,000,000 @ Great Wall Technology Co. Class H 971,248 1,000,000 Yanzhou Coal Mining Co. 276,581 ----------- Total China 1,644,047 ----------- HONG KONG: 34.58% 6,200,000 @ AWT Holdings Co., Ltd. 171,480 150,000 Bank Of East Asia 416,801 280,000 Cable & Wireless Hong Kong Telecom, Ltd. 808,645 250,000 Cathay Pacific Airways 445,424 1,200,000 @ CCT Telecom Holdings, Ltd. 887,631 160,000 Cheung Kong Holdings, Ltd. 2,032,546 300,000 @ China Telecom 1,875,603 150,000 Citic Pacific, Ltd. 564,418 150,000 Dah Sing Financial 598,186 152,000 Hutchison Whampoa, Ltd. 2,209,558 750,000 JCG Holdings, Ltd. 422,107 900,000 @ Pacific Century Cyberworks, Ltd. 2,095,581 180,000 Sun Hung Kai Properties, Ltd. 1,875,603 ----------- Total Hong Kong 14,403,583 ----------- INDONESIA: 1.52% 90,000 PT Gudang Garam 242,147 85,000 @ PT Indofood Sukses Makmur TBK 106,440 1,700,000 @ PT Matahari Putra Prima 285,868 ----------- Total Indonesia 634,455 ----------- PHILIPPINES: 0.95% 40,000 Bank of Philippine Island 115,136 5,000 Philippine Long Distance Telephone Co. ADR 129,375 800,000 SM Prime Holdings, Inc. 150,868 ----------- Total Philippines 395,379 ----------- SINGAPORE: 16.11% 60,000 City Developments, Ltd. $ 351,246 90,335 DBS Group Holdings, Ltd. 1,480,724 30,000 Natsteel Electronics, Ltd. 158,511 270,000 Neptune Orient Lines, Ltd. 361,513 75,600 Overseas-Chinese Bank 694,494 70,000 @ Pacific Century Regional Developments, Ltd. 1,004,503 63,000 Singapore Airlines, Ltd. 714,920 26,000 Singapore Press Holdings, Ltd. 563,554 200,000 Singapore Technologies Engineering, Ltd. 309,817 250,000 Singapore Telecommunication 516,361 36,960 United Overseas Bank 326,216 20,000 Venture Manufacturing 229,361 ----------- Total Singapore 6,711,220 ----------- 35,000 H&CB 1,109,643 30,000 Korea Electric Power 929,987 32,000 Korea Technology Banking Co. 309,996 17,500 Korea Telecom Corp. ADR 1,308,125 16,000 L.G. Chemical, Ltd. 505,856 10,000 L.G. Electronics, Inc. 413,915 6,950 Pohang Iron & Steel Co. 765,081 10,000 Samsung Electronics Co. 2,342,580 ----------- Total South Korea 7,685,183 ----------- TAIWAN: 15.01% 53,884 @ Acer Inc. GDR 767,847 66,500 Asustek Computer, Inc. GDR 926,012 44,455 China Steel Corp. GDR 665,714 21,420 @ Far Eastern Textile, Ltd. GDR 514,080 25,900 @ Hon Hai Precision Industry Co., Ltd. GDR 500,518 18,380 @ Ritek Corp. GDR 212,749 22,390 Synnex Technology GDR 588,857 42,230 @ Taiwan Semiconductor ADR 1,900,350 22,802 # Uni-President Enterprises Co. GDR 176,716 ----------- Total Taiwan 6,252,843 ----------- THAILAND: 1.98% 25,000 Advanced IFO Services $ 421,333 ----------- 5,000 Siam Cement Public Co. 166,933 141,200 Thai Farmers Bank Public Co. 237,216 ----------- Total Thailand 825,482 ----------- Total Common Stocks (Cost $26,404,972) 38,552,192 ----------- PREFERRED STOCKS: 1.21% THAILAND: 1.21% 410,000 @ Siam Commercial Bank 502,933 ----------- Total Preferred Stocks (Cost $332,368) 502,933 ----------- See Accompanying Notes to Financial Statements 132 Pilgrim Asia-Pacific Equity Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Number of Warrants Value -------- ----- WARRANTS: 0.31% THAILAND: 0.31% 274,000 @ Siam Commercial Bank Warrants $ 127,867 --------- Total Warrants (Cost $0) 127,867 --------- Principal Amount Value - ------ ----- CONVERTIBLE BONDS: 2.54% TAIWAN: 2.54% $ 460,000 United Microelectronics, 0.25%, due 05/16/04 1,060,300 ----------- Total Convertible Bonds (Cost $695,900) 1,060,300 ----------- Total Long-Term Investments (Cost $27,433,240) 40,243,292 ----------- SHORT-TERM INVESTMENTS: 1.06% Repurchase Agreement: 1.06% $ 443,000 State Street Bank & Trust Repurchase Agreement, 3.00% due 01/03/00 (Collateralized by $375,000 U.S. Treasury Bonds, 8.500% due 02/15/20, Market Value $455,625) $ 443,000 ----------- Total Short-Term Investments (Cost $443,000) 443,000 ----------- Total Investments (Cost $27,876,240)* 97.67% 40,686,292 Other Assets and Liabilities, Net 2.33% 969,857 ------ ----------- Net Assets 100.00% $41,656,149 ====== =========== @ Non-income producing security # Securities with purchases pursuant to Rule 144A, under the Securities Act of 1933 may not be resold subject to that rule except to qualified institutional buyers. ADR -- American Depository Receipt GDR -- Global Depository Receipt * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized Appreciation $13,205,676 Gross Unrealized Depreciation (395,624) ----------- Net Unrealized Appreciation $12,810,052 Percentage of Industry Net Assets - ---------- ------------- Airlines 2.79% Banks 13.47% Building Materials 0.40% Chemicals 1.22% Commercial Services 0.66% Computers 3.77% Diversified Finan Serv 1.01% Electric 2.23% Electrical Components & Equipment 6.62% Electronic Connectors 1.20% Electronics 5.49% Engineering & Construction 0.74% Food 0.68% Holding Companies-Diversified 6.66% Iron/Steel 3.43% Media 1.35% Real Estate 13.00% Retail 0.69% Semiconductors 7.11% Software 5.03% Telecommunication Equip 2.13% Telecommunications 11.84% Telephone 0.31% Textile - Products 1.23% Tobacco 0.58% Transportation 2.23% Venture Capital 0.74% Short-term Investment 1.06% Other Assets and Liabilities, Net 2.33% ------- NET ASSETS 100.00% ======= See Accompanying Notes to Financial Statements 133 Pilgrim Government Securities Income Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Principal Market Amount Rate Maturity Value - ------ ---- -------- ----- U.S. GOVERNMENT SECURITIES: 95.02% U.S. Government Agency Notes: 6.00% $ 2,000,000 FHLMC 5.50% 2002 $ 1,951,880 ----------- 1,951,880 ----------- Federal Home Loan Mortgage Corporation: 8.95% 1,983,857 FHLMC 7.00% 2005 1,922,476 135,829 FHLMC 8.50% 2005 138,927 179,160 FHLMC 9.00% 2006- 185,013 2021 580,220 FHLMC 9.50% 2005- 603,325 2014 60,039 FHLMC 9.91% 2020 63,021 ----------- 2,912,762 ----------- Federal National Mortgage Association: 51.66% 1,000,000 FNMA 5.64% 2008 895,370 1,534,102 FNMA 6.16% 2006 1,459,075 6,650,966 FNMA 6.50% 2014- 6,332,342 2028 2,574,843 FNMA 6.95% 2006 2,548,692 2,288,026 FNMA 7.50% 2028 2,262,286 296,758 FNMA 8.00% 2023 299,168 439,678 FNMA 8.50% 2017- 454,093 2021 96,442 FNMA 9.00% 2017 100,390 289,949 FNMA 9.25% 2009- 302,362 2016 97,572 FNMA 9.75% 2008 103,077 712,252 FNMA 10.00% 2007- 759,897 2020 351,343 FNMA 11.00% 2017 373,467 449,087 FNMA 11.50% 2019 493,587 38,568 FNMA 12.00% 2007 41,093 79,110 FNMA 12.50% 2007 84,190 280,525 FNMA 13.50% 2007- 312,519 2012 ----------- 16,821,608 ----------- Government National Mortgage Association: 22.35% 4,170,366 GNMA 6.50% 2026 3,935,149 918,561 GNMA 7.00% 2016- 892,900 2017 500,990 GNMA 7.50% 2023 495,354 778,067 GNMA 8.00% 2023- 791,868 2024 690,507 GNMA 9.00% 2013- 728,522 2022 351,312 GNMA 9.25% 2016- 369,311 2021 57,164 GNMA 13.00% 2014 65,148 ----------- 7,278,252 ----------- $1,000,000 FFCB 5.88% 2001 $ 991,250 1,000,000 TEN. 6.00% 2002 983,750 ----------- VALLEY AUTHORITY 1,975,000 ----------- Total U.S. Government Securities (Cost $31,877,143) 30,939,502 ----------- SHORT-TERM INVESTMENTS: 4.76% Repurchase Agreement: 4.76% $1,550,000 State Street Bank & Trust Repurchase Agreement, 3.0% due 01/03/00 (Collateralized by $1,305,000 U.S. Treasury Notes, 8.50% due 02/15/20 Market Value $1,585,575) $ 1,550,000 Total Short-Term Investments (Cost $1,550,000) 1,550,000 Total Investments in Securities (Cost $33,427,143)* 99.78% 32,489,502 Other Assets and Liabilities, Net 0.22% 72,711 ------- ------------ Net Assets 100.00% $ 32,562,213 ======= ============ * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized depreciation consists of: Gross Unrealized Appreciation $ 42,600 Gross Unrealized Depreciation (980,241) ------------ Net Unrealized Depreciation $ (937,641) ============ See Accompanying Notes to Financial Statements 134 Pilgrim Strategic Income Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Principal Market Amount Value - ------ ----- CORPORATE BONDS: 48.88% Broadcast, Radio & Television: 2.54% $220,000 CD Radio, Inc., 0/15.000%, due 12/1/2007 $ 109,725 195,000 News America Holdings, 8.875%, due 04/26/23 205,512 ---------- 315,237 ---------- Cable Television: 2.05% 450,000 # United Pan-Europe Communications, 0/12.500% due 8/01/09 254,250 ---------- Communications -- Wireline: 6.85% 250,000 # Globenet Communications Group, Ltd. 13.000%, due 07/15/07 255,000 100,000 Global Telesystems Group, Inc., 9.875%, due 02/15/05 94,750 500,000 ICG Services, Inc., 0/10.000%, due 2/15/08 249,375 250,000 MGC Communications, Inc., 13.000%, due 10/01/04 251,875 ---------- 851,000 ---------- Communications -- Internet: 4.60% 500,000 Covad Communications Group, 0/13.500%, due 03/15/08 312,500 250,000 # Psinet Inc., 11.000%, due 8/01/09 258,125 ---------- 570,625 ---------- Communications -- Wireless: 7.25% 500,000 Pinnacle Holdings, Inc., 0/10.000% due 03/15/08 326,875 250,000 Winstar Communications, Inc., 15.000%, due 03/01/07 336,875 375,000 Crown Castle International Corp. 0/11.250%, due 8/01/11 235,781 ---------- 899,531 ---------- Entertainment & Leisure: 2.13% $350,000 Ascent Entertainment Group, 0/11.875%, due 12/15/04 $ 263,813 ---------- Financial - Other Services: 3.96% 500,000 Caterpillar Financial Services Corp. 6.875%, due 8/01/04 491,575 ---------- Food Stores: 2.31% 300,000 Albertson's, Inc. 286,827 ---------- Gaming & Lottery: 1.96% 250,000 Majestic Star Casino, LLC, 10.875%, due 07/01/06 243,125 ---------- Metals - Diversified: 1.51% 199,304 Scotia Pacific Co. LLC, 6.550% due 01/20/07 187,892 ---------- Oil: 4.40% 60,000 # Cerro Negro Finance, Ltd., 7.330%, due 12/01/09 47,201 500,000 Occidental Petroleum, 7.650%, due 2/15/06 499,215 ---------- 546,416 ---------- Semiconductor/Electronic Components: 1.54% 200,000 Motorola, Inc., 6.500%, due 9/1/25 191,156 ---------- Telephone - Integrated: 3.19% 400,000 Sprint Capital Corp. 396,316 ---------- Transportation (Air, Bus, Rail): 3.72% 250,000 Atlas Air, Inc., 9.250%, due 4/15/08 235,000 249,893 Continental Airlines, Inc., 6.545%, due 02/02/19 227,118 ---------- 462,118 ---------- Utilities: 0.87% 100,000 # East Coast Power LLC, 7.536%, due 06/30/17 88,780 20,000 Enersis S.A., 6.600%, due 12/1/26 19,017 ---------- 107,797 ---------- Total Corporate Bonds (Cost $6,152,721) 6,067,678 ---------- U.S. TREASURY OBLIGATIONS: 8.37% Governments: 8.37% $700,000 U.S. Treasury Note, 5.250%, due 2/15/29 $ 578,809 ---------- 500,000 Federal Home Loan Bank, 5.863%, due 4/22/09 459,955 ---------- Total Governments (Cost $1,066,442) 1,038,764 ---------- U.S. GOVERNMENT AGENCY OBLIGATIONS: 15.80% Federal Home Loan Mortgage Corporation: 6.80% 195,874 5.500%, due 01/01/14 182,284 100,565 5.500%, due 02/01/14 93,462 487,744 7.000%, due 06/01/29 472,653 20,967 9.000%, due 06/01/06 21,871 50,428 9.500%, due 11/01/05 52,933 19,564 10.000%, due 10/01/03 20,572 ---------- 843,775 ---------- Federal National Mortgage Association: 8.96% 97,848 6.500%, due 02/01/09 95,402 940,702 6.500%, due 06/01/14 913,356 27,124 9.500%, due 05/01/07 28,472 24,479 9.500%, due 06/01/05 25,695 23,395 9.500%, due 07/01/06 24,557 23,100 10.000%, due 10/01/05 24,400 ---------- 1,111,882 ---------- Government National Mortgage Association: 0.04% 3,692 8.500%, due 02/15/21 3,831 441 11.500%, due 02/15/13 467 1,099 11.500%, due 07/15/13 1,228 ---------- 5,527 ---------- Total U.S. Government Agency Obligations (Cost $1,992,299) 1,961,184 ---------- See Accompanying Notes to Financial Statements 135 Pilgrim Strategic Income Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Principal Market Amount Value - ------ ----- COLLATERALIZED MORTGAGE OBLIGATIONS AND ASSET-BACKED SECURITIES: 14.58% Mortgage -- Commercial: 11.46% $210,000 # Allied Capital Commercial Mortgage 1998 1 C, 6.710%, due 12/25/04 $ 199,341 260,000 Commercial Mortgage Asset Trust 1999 C1 A2, 6.585%, due 7/17/08 245,309 200,000 First Union National Bank Commercial Mortgage, 7.390%, due 11/15/09 198,748 297,502 GMCC 1999 C-3 A1A 6.974%, due 5/15/08 292,896 500,000 MBNA Master Credit Card Trust 6.350%, due 12/15/06 487,030 ------------ 1,423,324 ------------ Mortgage -- Residential: 3.12% 300,000 Emergent Home Equity Loan Trust 7.080%, due 12/15/28 289,254 100,000 Saxon Asset Securities Trust 1999 1 AF3, 6.170%, due 8/25/21 97,631 ------------ 386,885 ------------ Total CMO's and Asset-Backed Securities (Cost $1,858,492) 1,810,209 ------------ PREFERRED STOCK: 2.11% $2,667 Concentric Network $ 261,373 ------------ Total Preferred Stock (Cost $240,842) 261,373 ------------ MUTUAL FUNDS: 4.16% 64,500 ++ Pilgrim Prime Rate Trust 516,000 ------------ Total Mutual Funds (Cost $610,654) 516,000 ------------ Total Long-Term Investments: 91.90% (Cost $11,921,450) $ 11,655,208 ------------ SHORT-TERM INVESTMENTS: 5.33% Repurchase Agreement: 5.33% $ 662,000 State Street Bank & Trust Repurchase Agreement, 3.000% due 01/03/00 (Collateralized by $1,870,000 U.S. Treasury Notes, 8.500% due 02/15/20, Market Value $680,400) $ 662,000 ------------ Total Short-Term Investments (Cost $662,000) 662,000 ------------ Total Investments (Cost $12,583,450)* 99.23% 12,317,208 Other Assets and Liabilities, Net 0.77% 95,973 ------ ------------ Net Assets 100.00% $ 12,413,181 ====== ============ @ Non-income producing security # Securities with purchases pursuant to Rule 144A, under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. ++ Related party * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized depreciation consists of: Gross Unrealized Appreciation $ 117,499 Gross Unrealized Depreciation (383,741) ------------ Net Unrealized Depreciation $ (266,242) ============ See Accompanying Notes to Financial Statements 136 Pilgrim High Yield Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Principal Value - --------- ----- CORPORATE BONDS: 90.73% Automotive: 1.96% $1,000,000 # Holley Performance, 12.250%, due 09/15/07 $ 955,000 7,000,000 JH Heafner Co., 10.000%, due 05/15/08 6,405,000 ----------- 7,360,000 ----------- Business Services: 4.49% 7,000,000 # Allied Waste North America, 10.000%, due 08/01/09 6,265,000 5,000,000 Group Maintenance America, 9.750%, due 01/15/09 4,975,000 6,000,000 Primark Corp., 9.250%, due 12/15/08 5,617,500 ----------- 16,857,500 ----------- Cable & DBS: 6.04% 4,000,000 Charter Communications Holdings, 8.625%, due 04/01/09 3,710,000 6,000,000 Coaxial Communication, Inc., 10.000%, due 08/15/06 5,910,000 7,000,000 Pegasus Communications, 9.750%, due 12/01/06 7,000,000 6,000,000 Star Choice Communications, 13.000%, due 12/15/05 6,052,500 ----------- 22,672,500 ----------- Chemicals, Plastics, Rubber: 0.70% 7,000,000 Moll Industries, 10.500%, due 07/01/08 2,625,000 ----------- Communications - Internet: 7.84% 7,000,000 Exodus Communications, Inc., 11.250%, due 07/01/08 7,280,000 8,000,000 Globix Corp., 13.000%, due 05/01/05 8,100,000 7,500,000 PSINet, Inc., 11.000%, due 08/01/09 7,762,500 6,500,000 Rhythms Netconnections, 12.750%, due 04/15/09 6,305,000 ----------- 29,447,500 ----------- Communications - Wireless: 5.82% $3,000,000 Crown Castle Int'l Corp., 9.250%, due 08/01/11 $ 3,007,500 9,000,000 # Nextel Communications, 9.375%, due 11/15/09 8,865,000 6,000,000 Teligent, Inc., 11.500%, due 12/01/07 5,850,000 4,000,000 # Voicestream Wire Co., 10.375%, due 11/15/09 4,120,000 ----------- 21,842,500 ----------- Communications - Wireline: 15.62% 8,000,000 # Global Crossing Holdgings, Ltd., 9.500%, due 11/15/09 7,960,000 5,500,000 # Globenet Communications Group, Ltd., 13.000%, due 07/15/07 5,623,750 5,000,000 Hyperion Telecommunication, 12.000%, due 11/01/07 5,287,500 7,000,000 Level 3 Communications, Inc., 9.125%, due 05/01/08 6,597,500 7,000,000 Metromedia Fiber Network, 10.000%, due 11/15/08 7,192,500 7,000,000 MGC Communications, Inc., 13.000%, due 10/01/04 7,070,000 6,000,000 Nextlink Communications, 10.750%, due 06/01/09 6,210,000 5,000,000 Northeast Optic Network, 12.750%, due 08/15/08 5,350,000 7,000,000 Williams Communication Group, Inc., 10.875%, due 10/01/09 7,350,000 ----------- 58,641,250 ----------- Consumer Products: 2.75% 4,000,000 Bell Sports, Inc., 11.000%, due 08/15/08 3,960,000 6,000,000 Drypers Corp., 10.250%, due 06/15/07 4,905,000 4,000,000 Styling Technology Corp., 10.875%, due 07/01/08 1,480,000 ----------- 10,345,000 ----------- Containers, Packaging, Glass: 1.66% $7,000,000 Russell-Stanley Holding, Inc., 10.875%, due 02/15/09 $ 6,230,000 ----------- Electronics: 1.80% 3,000,000 Fairchild Semiconductor, 10.375%, due 10/01/07 3,075,000 9,000,000 Merisel, Inc., 12.500%, due 12/31/04 3,690,000 ----------- 6,765,000 ----------- Entertainment & Leisure: 3.94% 5,000,000 Bally Total Fitness Holdings, 9.875%, due 10/15/07 4,850,000 5,000,000 Epic Resorts LLC/CAP, 13.000%, due 06/15/05 3,700,000 6,750,000 Hollywood Entertainment, 10.625%, due 08/15/04 6,243,750 ----------- 14,793,750 ----------- Finance, Insurance, Banking: 0.75% 3,000,000 MFN Financial Corp., 10.000%, due 03/23/01 2,831,250 ----------- Food, Beverage & Tobacco: 3.47% 3,000,000 Imperial Holly, 9.750%, due 12/15/07 2,175,000 5,000,000 Luigino's, Inc., 10.000%, due 02/01/06 4,450,000 7,000,000 Packaged Ice, Inc., 9.750%, due 02/01/05 6,405,000 ----------- 13,030,000 ----------- Gaming & Lottery: 2.59% 6,000,000 International Game Technology, 8.375%, due 05/15/09 5,805,000 4,000,000 Majestic Star LLC/CAP, 10.875%, due 07/01/06 3,900,000 ----------- 9,705,000 ----------- Health Care: 2.65% 6,000,000 Biovail Corp. Int'l, 10.875%, due 11/15/05 6,300,000 6,000,000 Global Health Sciences, 11.000%, due 05/01/08 3,660,000 ----------- 9,960,000 ----------- See Accompanying Notes to Financial Statements 137 Pilgrim High Yield Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Market Principal Value - --------- ----- Homebuilding, Building Materials: 1.47% $6,000,000 Juno Lighting, Inc., 11.875%, due 07/01/09 $ 5,535,000 ------------ Machinery: 0.61% 4,000,000 Aqua Chem, Inc. 11.250%, due 07/01/09 2,280,000 ------------ Manufacturing: 2.41% 5,000,000 Jordan Industries, 10.375%, due 08/01/07 4,950,000 4,000,000 Transportation Manufacturing Operations, 11.750%, due 05/01/09 4,100,000 ------------ 9,050,000 ------------ Metals & Mining: 1.16% 4,000,000 # Anker Coal Group, Inc., 14.250%, due 09/01/07 2,200,000 4,250,000 Lodestar Holdings, Inc., 11.500%, due 05/15/05 2,167,500 ------------ 4,367,500 ------------ Paper & Forest Products: 1.22% 4,500,000 # American Tissue, Inc., 12.500%, due 07/15/06 4,567,500 ------------ Restaurants: 0.60% 3,000,000 Avado Brands, Inc., 11.750%, due 06/15/09 2,265,000 ------------ Retail: 9.04% 6,000,000 Advance Stores Co., Inc., 10.250%, due 04/15/08 5,220,000 5,000,000 Ames Department Stores, 10.000%, due 04/15/06 4,950,000 6,000,000 Big 5 Corp., 10.875%, due 11/15/07 5,910,000 8,000,000 CSK Auto, Inc., 11.000%, due 11/01/06 8,160,000 5,000,000 Jo-Ann Stores, Inc., 10.375%, due 05/01/07 4,900,000 5,000,000 Tuesday Morning Corp., 11.000%, due 12/15/07 4,800,000 ------------ 33,940,000 ------------ Retail - Automotive: 3.45% $6,000,000 Sonic Automotive, Inc., 11.000%, due 08/01/08 $ 5,760,000 8,000,000 United Auto Group, Inc., 11.000%, due 07/15/07 7,200,000 ------------ 12,960,000 ------------ Textile & Apparel: 1.14% 5,000,000 Norton McNaughton Group, 12.500%, due 06/01/05 4,275,000 ------------ Transportation (Air, Bus, Rail): 7.55% 7,000,000 # Amtran, Inc., 10.500%, due 08/01/04 7,000,000 5,000,000 Atlas Air, Inc., 9.250%, due 04/15/08 4,712,500 6,000,000 Budget Group, Inc., 9.125%, due 04/01/06 5,580,000 6,000,000 # Railworks Corp., 11.500%, due 04/15/09 6,090,000 5,000,000 # Worldwide Flight Service, 12.250%, due 08/15/07 4,950,000 ------------ 28,332,500 ------------ Total Corporate Bonds (Cost $363,745,006) 340,678,750 ------------ Shares - ---------------------------------------------------------- COMMON STOCK: 0.14% Communication -- Wireline: 0.14% 10,778 @ MGC Communications, Inc. (Cost $70,000) $ 540,921 ------------ MUTUAL FUNDS: 0.15% Finance, Insurance, Banking: 0.15% 68,000 Van Kampen Senior Income Trust (Cost $575,705) $ 552,500 ------------ Number of Warrants - ---------------------------------------------------------- WARRANTS: 0.44% Cable & DBS: 0.05% 115,800 NatWest - Star Choice Communications Warrants $ 208,440 ------------ Communications - Internet: 0.39% 5,500 Bell Technology Group Warrants 1,452,000 ------------ Entertainment & Leisure: 0.00% 5,000 Epic Resorts Warrants 0 ------------ Metals & Mining: 0.00% 94 @ Anker Coal Group Warrants 0 Total Warrants (Cost $ 127,520) 1,660,440 ------------ Total Long-Term Investments (Cost $364,518,231) 343,432,611 ------------ Principal Amount Value - ------ ----- SHORT-TERM INVESTMENTS: 6.00% Commercial Paper: 6.00% $3,665,796 Ford Motor Credit Corp., 1.000%, due 01/03/00 $ 3,665,796 18,865,807 Union Bank of Switzerland, 4.000%, due 01/03/00 18,865,807 ------------- Total Short-Term Investments (Cost $22,531,603) 22,531,603 ------------- Total Investments in Securities (Cost $387,049,834)* 97.46% 365,964,214 Other Assets and Liabilities, Net 2.54% 9,532,806 ------ ------------- Total Net Assets 100.00% $ 375,497,020 ====== ============= @ Non-income producing security # Securities with purchases pursuant to Rule 144A, under the Securities Act of 1933 and may noty be resold subject to that rule, except to qualified institutional buyers. * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized depreciation consists of: Gross Unrealized Appreciation $ 6,002,365 Gross Unrealized Depreciation (27,087,985) ------------- Net Unrealized Depreciation $ (21,085,620) ============= See Accompanying Notes to Financial Statements 138 Pilgrim High Yield Fund II PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Principal Value - --------- ----- CORPORATE BONDS: 85.60% Broadcasting, Radio & Television: 4.41% $3,240,000 CD Radio, Inc., 0/15.000%, due 12/01/07 $ 1,615,950 2,000,000 Allied Waste North America, 10.000%, due 08/01/09 1,785,000 ----------- 3,400,950 ----------- Cable & DBS: 9.91% 3,000,000 Charter Communications Holdings, 0/9.920%, due 04/01/11 1,766,250 2,000,000 NTL, Inc., 0/9.750%, due 04/01/08 1,392,500 1,110,000 Pegasus Communications Corp., 9.625%, due 10/15/05 1,123,875 1,000,000 # Star Choice Communications, 13.000%, due 12/15/05 1,006,250 1,340,000 # United Int'l Holdings, 0/12.500%, due 02/15/08 1,491,750 2,600,000 United Pan-Europe Communications, 0/10.750%, due 08/01/09 854,250 ----------- 7,634,875 ----------- Chemicals, Plastics, Rubber: 1.75% 4,550,000 # Huntsman ICI Chemicals, 0.000%, due 12/31/09 1,347,937 ----------- Communications -- Internet: 9.82% 3,000,000 Covad Communications Group, 0.13.500%, due 03/15/08 1,875,000 2,000,000 Globix Corp., 13.000%, due 05/01/05 2,020,000 2,000,000 Psinet Inc., 11.000%, due 08/01/09 2,065,000 3,000,000 # Rhythms Netconnections, 0/13.500%, due 05/15/08 1,601,250 ----------- 7,561,250 ----------- Communication - Wireless: 11.56% $2,250,000 Crown Castle Int'l Corp., 0/11.250%, due 08/01/11 $ 1,414,688 2,000,000 # Nextel Communications, 9.375%, due 11/15/09 1,965,000 3,000,000 Pinnacle Holdings, Inc., 0/10.000%, due 03/15/08 1,961,250 915,000 Telesystem Int'l Wireless, 0/13.250%, due 06/30/07 557,006 2,230,000 # Winstar Communications, Inc., 15.000%, due 03/01/07 3,004,925 ----------- 8,902,869 ----------- Communications - Wireline: 20.91% 1,870,000 Colt Telecom Group PLC, 0/12.000%, due 12/15/06 1,598,850 1,780,000 Completel Europe NV, 0/14.000%, due 02/15/09 932,275 1,535,000 Global Telesystems Group, Inc., 9.875%, due 02/15/05 1,454,413 2,000,000 Globenet Communications Group, Ltd., 13.000%, due 07/15/07 2,040,000 3,000,000 ICG Services, Inc., 0/10.000%, due 02/15/08 1,496,250 2,000,000 # ITC Deltacom, 9.750%, due 11/15/08 2,015,000 2,000,000 Metromedia Fiber Network, 10.000%, due 11/15/08 2,050,000 1,500,000 MGC Communications, Inc., 13.000%, due 10/01/04 1,511,250 1,960,000 Viatel, Inc., 11.250%, due 04/15/08 1,955,100 1,000,000 Williams Communications Group, Inc., 10.875%, due 10/01/09 1,047,500 ----------- 16,100,638 ----------- Consumer Products: 0.48% 1,000,000 Styling Technology Corp., 10.875%, due 07/01/08 367,500 ----------- Electronics: 2.54% $2,000,000 Amkor Technology, Inc., 9.250%, due 05/01/06 $ 1,960,000 ----------- Entertainment & Leisure: 6.94% 2,800,000 Ascent Entertainment Group, 0/11.875%, due 12/15/04 2,110,500 2,000,000 Hollywood Entertainment Corp., 10.625%, due 08/15/04 1,845,000 1,470,000 SFX Entertainment, 9.125%, due 02/01/08 1,389,150 ----------- 5,344,650 ----------- Finance, Insurance, Banking: 1.22% 1,000,000 # MFN Financial Corp., 10.000%, due 03/23/01 941,250 ----------- Gaming & Lottery: 3.90% 3,000,000 Lady Luck Gaming, 11.875%, due 03/01/01 3,000,000 ----------- Health Care: 1.34% 1,300,000 Global Health Sciences, 11.000%, due 05/01/08 789,750 229,000 Twin Laboratories, 10.250%, due 05/15/06 240,736 ----------- 1,030,486 ----------- Paper & Forest Products: 2.23% 2,000,000 Doman Industries, 8.750%, due 03/15/04 1,715,000 ----------- Retail: 1.07% 862,000 Tuesday Morning Corp., 11.000%, due 12/15/07 825,365 ----------- 2,000,000 AK Steel Corp., 7.875%, due 02/15/09 1,900,000 ----------- 1,000,000 Amtran, Inc., 10.500%, due 08/01/04 997,500 2,000,000 Atlas Air, Inc., 9.250%, due 04/15/08 1,880,000 1,000,000 Railworks Corp., 11.500%, due 04/15/09 1,012,500 ----------- 3,890,000 ----------- Total Corporate Bonds (Cost $68,007,696) 65,922,770 ----------- See Accompanying Notes to Financial Statements 139 Pilgrim High Yield Fund II PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Shares - --------------------------------------------------------- COMMON STOCK: 0.23% Communications -- Wireline: 0.23% 17,800 @# Completel Holdings LLC $ 178 3,288 @ Viatel, Inc. 176,313 ---------- Total Common Stock (Cost $2,330) 176,491 ---------- MUTUAL FUNDS: 1.01% Finance, Insurance, Banking: 1.01% 8,719 ++ Pilgrim Prime Rate Trust 69,752 87,750 Van Kampen Senior Income Trust 712,969 ---------- Total Mutual Funds (Cost $801,800) 782,721 ---------- PREFERRED STOCK: 2.72% Communications -- Internet: 2.72% 21,359 @& Concentric Network, 13.500%, 06/01/10 (Cost $2,034,110) 2,093,193 ---------- Number of Warrants - --------------------------------------------------------- WARRANTS: 0.55% Warrants Communications -- Internet: 0.55% 1,600 @ Bell Technology Group Warrants Cost ($0) 422,400 ---------- Total Long-Term Investments (Cost $70,845,936) 69,397,575 ---------- Principal Amount Value - ------ ----- SHORT-TERM INVESTMENTS: 12.21% Repurchase Agreement: 12.21% $9,401,000 State Street Repurchase Agreement, 3.000%, due 01/03/00 (Collateralized by $7,895,000 U.S. Treasury Bonds, 8.500% Market Value $9,592,425, Due 02/15/20) $ 9,401,000 Total Short-Term Investments (Cost $9,401,000) 9,401,000 ------------ Total Investments in Securities (Cost $80,246,936)* 102.32% 78,798,575 Liabilities in Excess of Cash and Other Assets-Net -2.32% (1,787,670) ------ ------------ Total Net Assets 100.00% $ 77,010,905 ====== ============ @ Non-income producing security # Securities with purchases pursuant to Rule 144A, under the Securities Act of 1933 and may noty be resold subject to that rule, except to qualified institutional buyers. ++ Related party & Payment-in-kind * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized depreciation consists of: Gross Unrealized Appreciation $ 1,744,347 Gross Unrealized Depreciation (3,192,708) ------------ Net Unrealized Depreciation $ (1,448,361) ============ See Accompanying Notes to Financial Statements 140 Pilgrim Balanced Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Market Shares Value - ------ ----- COMMON STOCKS: 51.51% Auto Manufacturers: 1.48% 3,400 DaimlerChrysler $ 266,050 5,400 Ford Motor Co. 288,563 ----------- 554,613 ----------- Banks: 0.74% 3,600 Chase Manhattan Corp. 279,675 ----------- Beverages: 2.06% 3,500 Anheuser-Busch Companies, Inc. 248,063 4,500 Coca-Cola Co. 262,125 7,400 PepsiCo, Inc. 260,850 ----------- 771,038 ----------- Chemicals: 0.78% 4,459 Dupont 293,737 ----------- Computers: 4.04% 2,800 Cisco Systems, Inc. 299,950 11,800 Compaq Computer Corp. 319,338 6,000 Dell Computer Corp. 306,000 2,600 Hewlett-Packard Co. 296,238 3,800 Sun Microsystems, Inc. 294,262 ----------- 1,515,788 ----------- Cosmetics/Personal Care: 2.26% 5,100 Colgate-Palmolive Co. 331,500 6,700 The Gillette Co. 275,956 2,200 Procter & Gamble 241,038 ----------- 848,494 ----------- Distribution/Wholesale: 0.82% 3,400 @ Costco Wholesale Corp. 310,250 ----------- Diversified Financial Services: 2.89% 1,600 American Express Co. 266,000 5,700 Citigroup, Inc. 316,706 4,200 Fannie Mae 262,238 5,100 Freddie Mac 240,019 ----------- 1,084,963 ----------- Electric: 1.28% 4,800 Duke Energy Corp. 240,600 10,200 Southern Co. 239,700 ----------- 480,300 ----------- Food: 2.03% 7,200 @ Safeway, Inc. 256,050 11,900 Sara Lee Corp. 262,540 8,000 Unilever PLC ADR 242,500 ----------- 761,090 ----------- Health Care: 0.62% 2,500 Johnson & Johnson $ 232,813 ----------- Home Furnishings: 0.83% 1,100 @@ Sony Corp. ADR 313,225 ----------- 1,707 American Int'l Group, Inc. 184,569 9,800 Allstate Corp. 235,200 ----------- 419,769 ----------- 190,000 ++ Pilgrim Prime Rate Trust 1,520,000 ----------- 5,500 Carnival Corp. 262,969 ----------- Media: 2.44% 5,400 Comcast Corp. Class A 271,350 3,900 Gannett Co., Inc. 318,094 4,500 Time Warner, Inc. 325,969 ----------- 915,413 ----------- Metals - Diversified: 0.86% 3,900 Alcoa, Inc. 323,700 ----------- Manufacturing: 1.67% 2,000 General Electric Co. 309,500 8,200 Tyco Int'l, Ltd. 318,775 ----------- 628,275 ----------- Oil & Gas: 2.82% 2,800 Chevron Corp. 242,550 3,600 Exxon Mobil Corp. 290,025 4,200 @@ Royal Dutch Petroleum Co. ADR 253,838 832 Transocean Sedco Forex, Inc. 28,044 4,300 Schlumberger, Ltd. 241,875 ----------- 1,056,332 ----------- Pipelines: 0.75% 6,400 Enron Corp. 284,000 ----------- Pharmaceuticals: 3.98% 13,100 Abbott Laboratories 243,293 3,700 Bristol-Myers Squibb Co. 237,493 3,400 Merck & Co., Inc. 228,013 3,900 @@ Novartis AG ADR 284,814 8,100 Pfizer, Inc. 262,744 2,900 Warner Lambert Co. 237,619 ----------- 1,493,976 ----------- Retail: 4.55% 7,050 Gap, Inc. $ 324,300 4,200 The Home Depot, Inc. 287,963 6,400 McDonalds Corp. 258,000 8,800 Sears, Roebuck & Co. 267,850 10,100 Walgreen Co. 295,425 4,000 Wal-Mart Stores, Inc. 276,500 ----------- 1,710,038 ----------- Semiconductors: 1.56% 3,700 Intel Corp. 304,556 2,900 Texas Instruments, Inc. 280,938 ----------- 585,494 ----------- Software: 1.57% 3,600 America Online, Inc. 271,575 2,700 Microsoft Corp. 315,225 ----------- 586,800 ----------- 4,000 Lucent Technologies, Inc. 299,250 1,500 @@ Nokia Corp. ADR 285,000 ----------- 584,250 ----------- 5,200 AT&T Corp. 263,900 4,200 Bell Atlantic Corp. 258,562 4,800 MCI WorldCom, Inc. 254,700 5,258 SBC Communications, Inc. 256,328 ----------- 1,033,490 ----------- Tobacco: 0.66% 10,700 Philip Morris Companies, Inc. 248,106 ----------- Transportation: 0.64% 5,900 @ FDX Corp. 241,531 ----------- (Cost $16,756,788) 19,340,129 ----------- PREFERRED STOCKS: 0.70% 31,800 Concentric Network, 13.500%, 06/01/10 261,373 ----------- Total Preferred Stocks (Cost $241,250) 261,373 ----------- See Accompanying Notes to Financial Statements 141 Pilgrim Balanced Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Principal Market Amount Value - ------ ----- CORPORATE BONDS: 19.80% Airlines: 1.41% $250,000 Atlas Air, Inc., 9.250%, due 04/15/08 $ 235,000 66,068 Continental Airlines, Inc., 6.465%, due 10/15/04 62,722 250,892 Continental Airlines, Inc., 6.545%, due 02/02/19 228,026 ---------- 525,748 ---------- Banks: 0.31% 125,000 # Bank Of Scotland, 7.000%, due 11/29/49 115,046 ---------- Computers: 0.71% 500,000 Rhythms Netconnections, 0/13.500%, due 05/15/08 266,875 ---------- Diversified Financial Services: 1.49% 160,000 Amvescap PLC, 6.375%, due 05/15/03 153,493 100,000 # Cerro Negro Finance, Ltd., 7.330%, due 12/01/09 78,668 500,000 Pinnacle Holdings, Inc., 0/10.000%, due 03/15/08 326,875 ---------- 559,036 ---------- Entertainment: 0.70% 350,000 Ascent Entertainment Group, 0/11.875%, due 12/15/04 263,813 ---------- Food: 0.76% 300,000 Albertson's, Inc. 286,827 ---------- Machinery -- Construction/ Mining: 1.30% 500,000 Caterpillar Financial Services Corp., 6.875%, due 08/01/04 491,575 ---------- Media: 1.91% 335,000 News America Holdings, 8.875%, due 04/26/23 353,060 220,000 CD Radio, Inc., 0/15.000%, due 12/01/07 109,725 450,000 # United Pan-Europe Communications, 0/12.500%, due 08/01/09 254,250 ---------- 717,035 ---------- Oil & Gas: 1.33% $500,000 Occidental Petroleum, 7.650%, due 02/15/06 $ 499,215 ---------- Retail: 0.61% 250,000 Hollywood Entertainment Corp., 10.625%, due 08/15/04 230,625 ---------- Semiconductors: 0.89% 350,000 Motorola, Inc., 6.500%, due 09/01/25 334,523 ---------- Software: 0.68% 250,000 Psinet Inc., 11.000%, due 08/01/09 258,125 ---------- Telecommunications: 2.87% 500,000 ICG Services, Inc., 0/10.000% due 02/15/08 249,375 375,000 Crown Castle Int'l Corp., 0/11.250%, due 08/01/11 235,781 250,000 # Globenet Communications Group, Ltd., 13.000%, due 07/15/07 255,000 250,000 Winstar Communications, Inc., 15.000%, due 03/01/07 336,875 ---------- 1,077,031 ---------- 50,000 Global Telesystems Group, Inc., 9.875%, due 02/15/05 47,375 500,000 Covad Communications Group, 0/13.500%, due 03/15/08 312,500 ---------- 359,875 ---------- 250,000 MGC Communications, Inc., 13.000%, due 10/01/04 251,875 600,000 Sprint Capital Corp. 594,474 ---------- 846,349 ---------- $139,650 Federal Express Corp., 6.720%, due 01/15/22 $ 127,256 300,000 Global Health Sciences, 11.000%, due 05/01/08 182,250 300,000 Railcar Leasing, 7.125%, due 01/15/13 294,573 ---------- 604,079 ---------- Total Corporate Bonds (Cost $7,655,708) 7,435,777 ---------- GOVERNMENTS: 6.45% 500,000 Federal Home Loan Bank, 5.863%, due 04/22/09 459,955 1,900,000 U.S. Treasury Note, 5.250%, due 02/15/29 1,571,053 400,000 U.S. Treasury Note, 5.750%, due 08/15/03 391,688 ---------- 2,422,696 ---------- Total Governments (Cost $2,488,153) 2,422,696 ---------- FEDERAL HOME LOAN MORTGAGE CORPORATION: 5.44% 1,119,280 FHLMC, 5.500%, due 01/01/14 1,041,624 552,272 FHLMC, 6.000%, due 04/01/14 525,001 487,744 FHLMC, 7.000%, due 06/01/29 472,653 ---------- 2,039,278 ---------- Total Federal Home Loan Mortgage Corporation (Cost $2,134,462) 2,039,278 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION: 2.43% 940,702 FNCI, 6.500%, due 06/01/14 913,356 ---------- Total Federal National Mortgage Association (Cost $922,991) 913,356 ---------- See Accompanying Notes to Financial Statements 142 Pilgrim Balanced Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Principal Market Amount Value - ------ ----- MORTGAGES: 6.13% $570,971 # CRIIMI Mae 1998 1 A1, 5.697%, due 10/20/01 $ 534,274 300,000 Emergent Home Equity Loan Trust, 7.080%, due 12/15/28 289,254 400,000 First Union National Bank Commercial Mortgage, 7.390%, due 11/15/09 397,496 495,836 GMCC 1999-C3 A1A, 6.974%, due 5/15/08 488,161 500,000 MBNA Master Credit Card Trust, 6.350%, due 12/15/06 487,030 105,780 # SLCMT 1997 C1, 6.875%, due 07/25/04 104,686 ----------- 2,300,901 ----------- Total Mortgages (Cost $2,343,111) 2,300,901 ----------- COLLATERAL MORTGAGE OBLIGATIONS: 0.61% 240,000 SAST 1999 2 AF4, 6.445%, due 08/25/26 229,022 ----------- Total Collateral Mortgage Obligations (Cost $239,999) 229,022 ----------- Total Long-Term Investments (cost $32,782,462) 34,942,532 ----------- SHORT-TERM INVESTMENTS: 6.08% Repurchase Agreement: 6.08% $2,284,000 State Street Bank & Trust Repurchase Agreement, 3.000% due 01/03/00 (Collateralized by $1,920,000 U.S. Treasury Notes, 8.500% due 02/15/20, Market Value $2,332,800) $ 2,284,000 ------------ Total Short-Term Investments (Cost $2,284,000) 2,284,000 ------------ Total Investments in Securities (Cost $35,066,462)* 99.15% 37,226,532 Cash and Other Assets in Excess of Liabilities-Net 0.85% 320,490 ------ ------------ Net Assets 100.00% $ 37,547,022 ====== ============ @ Non-income producing security # Securities with purchases pursuant to Rule 144A, under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. ++ Related party & Payment in-kind security @@ Foreign issuer ADR -- American Depository Receipt * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 3,937,826 Gross Unrealized Depreciation (1,777,756) ------------ Net Unrealized Appreciation $ 2,160,070 ============ See Accompanying Notes to Financial Statements 143 Pilgrim Convertible Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) - -------------------------------------------------------------------------------- Pricipal Market Amount Value - ------ ----- CONVERTIBLE CORPORATE BONDS: 63.54% Advertising: 4.45% $4,328,000 # Interpublic Group, Inc., 1.870%, due 06/01/06 $ 4,988,020 3,188,000 Omnicom Group, Inc., 2.250%, due 01/16/13 6,523,445 3,168,000 Lamar Advertising, 5.250%, due 09/15/06 4,633,200 ----------- 16,144,665 Applications Software: 4.68% 6,484,000 #@ Citrix Systems, Inc., 0.000%, due 03/22/19 5,754,550 2,083,000 HNC Software, Inc., 4.750%, due 3/01/03 5,038,256 3,201,000 # Siebel Systems, Inc., 5.500%, due 09/15/06 6,209,940 ----------- 17,002,746 ----------- Broadcasting, Radio & Television: 3.43% 3,113,000 Clear Channel Communications, 1.500%, due 12/01/02 3,194,716 3,669,000 Clear Channel Communications, 2.625%, due 04/01/03 5,443,879 3,040,000 # Liberty Media Group, 4.000%, due 11/15/29 3,830,400 ----------- 12,468,995 ----------- Computer Services: 0.82% 2,448,000 # Affiliated Computer Services, Inc. 4.000%, due 03/15/05 2,971,260 ----------- Computer Software: 1.68% 328,000 # Bea Systems, Inc., 4.000%, due 06/15/05 1,741,680 3,702,000 Bea Systems, Inc., 4.000%, due 12/15/06 4,335,968 ----------- 6,077,648 ----------- Computers -- Integrated Systems: 1.91% 2,023,000 # Comverse Technology, Inc., 4.500%, due 07/01/05 6,900,959 ----------- Computers - Memory Devices: 4.10% $686,000 # EMC Corp., 3.250%, due 03/15/02 $ 6,625,045 817,000 # Veritas Software Corp., 5.250%, due 11/01/04 8,257,935 ----------- 14,882,980 ----------- Data Processing/Management: 1.45% 3,752,000 Automatic Data Processing, 0.000%,due 02/20/12 5,234,040 ----------- Electric -- Generation: 1.35% 3,318,000 AES Corp., 4.500%, due 08/15/05 4,887,829 ----------- Electronic Components/ Semiconductors: 15.01% 3,700,000 # ASM Lithography @@ Holding, 4.250%, due 11/30/04 4,430,750 6,702,000 # Atmel Corp., 0.000%, due 04/21/18 5,705,077 1,664,000 # Conexant Systems, Inc., 4.250%, due 05/01/06 4,881,760 3,829,000 Credence Systems Corp., 5.250%, due 09/15/02 5,403,676 3,700,000 Cypress Semiconductor, 6.000%, due 10/01/02 5,439,000 3,564,000 LAM Research Corp., 5.000%, due 09/01/02 5,007,420 1,197,000 # Lattice Semiconductor, 4.750%, due 11/01/06 1,569,566 2,056,000 # LSI Logic Corp., 4.250%, due 03/15/04 4,669,690 1,006,000 Oak Industries, Inc., 4.875, due 03/01/08 2,814,285 3,320,000 # Sanmina Corp., 4.500%, due 05/01/04 4,390,700 6,552,000 #@ Solectron Corp., 0.000%, due 01/27/19 4,954,950 947,000 @@ Stmicroelectronics NV, 0.000%, due 06/10/08 2,611,353 1,804,000 @@ Stmicroelectronics NV, 0.000%, due 09/22/09 2,527,855 ----------- 54,406,082 ----------- Financial - Credit Card: 1.24% 3,140,000 American Express Credit, 1.250%, due 02/19/03 4,474,500 ----------- Internet Content: 2.10% 2,446,000 # Doubleclick, Inc., 4.750%, due 03/15/06 $ 7,600,946 ----------- Internet Software: 3.93% 6,600,000 America Online, 0.000%, due 12/6/19 3,645,724 244,000 America Online, Inc., 4.000%, due 11/15/02 2,821,860 4,380,000 # Exodus Communications, 4.750%, due 07/15/08 6,071,775 223,000 # Exodus Communications, 5.000%, due 03/15/06 1,736,055 ----------- 14,275,414 ----------- Laser Systems - Components: 1.36% 4,417,000 Cymer Inc., 3.500%, due 08/06/04 4,913,913 ----------- Medical - Biomedical/Gene: 2.13% 3,190,000 Centocor, Inc., 4.750%, due 02/15/05 4,262,638 2,900,000 # Human Genome, 5.000%, due 12/15/06 3,494,500 ----------- 7,757,138 ----------- Medical - Generic Drugs: 0.99% 3,018,000 # Alpharma, Inc. 5.750%, due 04/01/05 3,597,079 ----------- Multimedia: 1.17% 5,345,000 News America Holdings, 0.000%, due 03/11/13 4,242,460 ----------- Oil & Gas: 1.64% 3,012,000 Devon Energy Corp., 4.900%, due 08/15/08 2,932,935 2,979,000 Diamond Offshore Drilling, 3.750%, due 02/15/07 3,023,685 ----------- 5,956,620 ----------- Printing -- Commercial: 1.34% 1,532,000 Mail-Well, Inc., 5.000%, due 11/01/02 1,441,995 3,447,000 World Color Pres, 6.000%, due 10/01/07 3,421,148 ----------- 4,863,143 ----------- See Accompanying Notes to Financial Statements 144 Pilgrim Convertible Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Pricipal Market Amount Value - ------ ----- Retail -- Apparel/Shoe: 1.01% $6,851,000 # Ann Taylor Stores Corp., 0.550%, due 06/18/19 $ 3,673,849 ------------ Retail -- Hypermarkets: 1.59% 5,399,000 #@ Costco Wholesale Corp., 0.000%, due 08/19/17 5,773,556 ------------ Retail -- Internet: 0.57% 1,831,000 Amazon.com, Inc., 4.750%, due 02/01/09 2,080,474 ------------ Satellite Telecommunications: 1.62% 4,755,000 # Echostar Communications, 4.875%, due 01/01/07 5,854,591 ------------ Telecommunications Services: 2.02% 970,000 # Global Telesystems Group, Inc., 5.750%, due 07/01/10 1,302,224 2,270,000 # NTL Inc., 7.000%, due 12/15/08 6,004,150 ------------ 7,306,374 ------------ Telecommunications Equipment: 0.60% 2,013,000 # Commscope, Inc., 4.000%, due 12/15/06 2,184,105 ------------ Wireless Equipment: 1.35% 2,159,000 # Nextel Communications, Inc., 4.750%, due 07/01/07 4,898,231 ------------ Total Convertible Corporate Bonds (Cost $158,380,913) 230,429,597 ------------ CONVERTIBLE PREFERRED STOCKS: 25.34% Broadcasting, Radio & Television: 2.19% 58,137 # United Global Com, 7.000% 5,179,803 31,800 Emmis Communications Corp., 6.250% 2,738,775 ------------ 7,918,578 ------------ Cable Television: 1.31% 78,644 Cox Communications, Inc., 0.250% $ 4,748,132 ------------ Containers -- Paper/Plastic: 0.70% 50,145 Sealed Air Corp., A 2,532,323 ------------ Cosmetics & Toiletries: 0.51% 19,540 Estee Lauder TRT II 6.250%, (ACES) 1,851,415 ------------ Diversified Financial Services: 10.77% $74,996 Calpine Capital Trust, 5.750% $ 4,921,613 56,900 # Cephalon, Inc., 7.250% 5,725,563 177,736 DECS Trust V, 7.250%, due 08/15/02 5,109,910 26,165 Morgan Stanley Group, Inc., 6.000%, (CSCO) 3,847,890 12,937 Qualcomm Financial Trust, 5.750% 12,718,688 67,565 Qwest Trends Trust, 5.750% 4,847,789 57,693 United Rentals, Trust I, 6.500% 1,895,671 ------------ 39,067,124 ------------ Electric - Integrated: 0.30% 8,920 Houston Industries, Inc., 7.000% (ACES) 1,074,860 ------------ Internet Software: 1.22% 74,947 Psinet, Inc. C, 6.750% 4,440,610 ------------ Life/Health Insurance: 0.97% 37,275 American General Delaware LLC, 6.000%, Series A 3,508,509 ------------ Oil & Gas: 2.33% 40,140 Apache Corp., 6.500% 1,424,970 175,805 Coastal Corp., 5.580% 3,906,959 77,947 EVI, Inc., 5.000% 3,127,623 ------------ 8,459,552 ------------ Telecommunications Services: 5.04% 6,059 @& Winstar Communications, Inc., 6.000%, Series A 472,602 61,765 Winstar Communications, Inc., 7.000%, Series D 4,891,015 9,759 McLeodusa, Inc., 6.750% 5,175,320 22,327 Omnipoint Communications, Inc., 7.000% 4,409,582 58,550 Global Telesystems Group, Inc., 7.250% 3,337,350 ------------ 18,285,869 ------------ Total Convertible Preferred Stocks (Cost $60,316,921) 91,886,972 ------------ Market Shares Value - ------ ----- COMMON STOCKS: 5.02% Cable Television: 0.79% 37,236 Mediaone Group, Inc. $ 2,860,190 ------------ Diversified Financial Services: 2.43% 102,800 DECS Trust VI, 6.250%, due 11/15/02 4,703,100 517,117 Morgan Stanley Group, Inc. 4,136,935 ------------ 8,840,035 ------------ Retail -- Building Products: 1.78% 94,002 The Home Depot, Inc. 6,445,012 ------------ Telecommunication Services: 0.02% 989 McLeodUSA, Inc. 58,254 ------------ Total Common Stocks (Cost $11,194,421) 18,203,493 ------------ Total Long-Term Investments (cost $229,892,255) 340,520,062 ------------ See Accompanying Notes to Financial Statements 145 Pilgrim Convertible Fund PORTFOLIO OF INVESTMENTS as of December 31, 1999 (Unaudited) (Continued) - -------------------------------------------------------------------------------- Pricipal Market Amount Value - ------ ----- SHORT-TERM INVESTMENTS: 3.41% Repurchase Agreement: 3.41% $12,348,000 State Street Bank & Trust Repurchase Agreement, 3.000% due 01/03/00 (Collateralized by $10,370,000 U.S. Treasury Notes, 8.500% due 02/15/20, Market Value $12,599,550) $ 12,348,000 ------------- Total Short-Term Investments (Cost $12,348,000) 12,348,000 ------------- Total Investments in Securities (Cost $242,240,255): 97.31% 352,868,062 Cash and Other Assets in Excess of Liabilities-Net 2.69% 9,764,840 ------- ------------- Net Assets 100.00% $ 362,632,902 ======= ============= @ Non-income producing security # Securities with purchases pursuant to Rule 144A, under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. & Payment in-kind security @@ Foreign issuer * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized appreciation consists of: Gross Unrealized Appreciation $113,127,804 Gross Unrealized Depreciation (2,499,997) ------------ Net Unrealized Appreciation $110,627,807 ============ See Accompanying Notes to Financial Statements 146 SHAREHOLDER MEETINGS - -------------------------------------------------------------------------------- I. A special meeting of the shareholders of the Pilgrim Mutual Funds was held in San Diego, California on October 26, 1999. A brief description of each matter voted upon as well as the results are outlined below:
Shares Shares voted against Shares Broker voted for or withheld abstained non-vote Total --------- ----------- --------- -------- ----- 1. Election of Trustees to serve until the election and qualifications of their successors: Name - ---- Mary A. Baldwin 173,566,928 3,019,701 -- -- 176,586,629 Al Burton 173,526,092 3,110,537 -- -- 176,536,629 Paul S. Doherty 173,562,130 3,024,499 -- -- 176,586,629 Robert B. Goode, Jr. 173,524,538 3,062,091 -- -- 176,586,629 Alan L. Gosule 173,601,730 2,984,899 -- -- 176,586,629 Mark Lipson 173,603,955 2,982,674 -- -- 176,586,629 Walter H. May 173,589,664 2,966,965 -- -- 176,586,629 Jock Patton 173,607,208 2,979,421 -- -- 176,586,629 David W.C. Putnam 173,596,791 2,989,838 -- -- 176,586,629 John R. Smith 173,440,576 3,146,053 -- -- 176,586,629 Robert W. Stallings 173,605,732 2,980,897 -- -- 176,586,629 John G. Turner 173,594,721 2,991,908 -- -- 176,586,629 David W. Wallace 173,459,812 3,125,817 -- -- 176,586,629 2. Approval of the selection of independent public accountants, KPMG LLP, for the fiscal year ended June 30, 2000 Fund - ---- Pilgrim Bank & Thrift Fund, Inc. 22,631,201 506,895 -- -- 23,138,096 Pilgrim Advisory Funds, Inc. 7,158,402 124,438 -- -- 7,282,840 Pilgrim Investment Funds, Inc. 72,087,236 2,071,003 -- -- 74,158,239 Pilgrim Mutual Funds 68,230,426 1,675,090 -- -- 69,905,516 3. a. Approval of the management agreement between Pilgrim Mutual Funds and Nicholas Applegate Fund - ---- Pilgrim Convertible Fund 7,745,962 390,963 -- -- 8,137,925 Pilgrim Emerging Countries Fund 7,742,317 153,510 -- -- 7,895,827 Pilgrim Int'l Core Growth Fund 1,572,037 41,967 -- -- 1,614,004 Pilgrim Int'l SmallCap Growth Fund 3,481,258 94,125 -- -- 3,575,383 Pilgrim LargeCap Growth Fund 4,102,660 150,348 -- -- 4,253,008 Pilgrim MidCap Growth Fund 10,912,221 629,116 -- -- 11,541,337 Pilgrim SmallCap Growth Fund 13,534,326 717,130 -- -- 14,251,456 Pilgrim Worldwide Growth Fund 8,123,819 618,136 -- -- 8,741,955 3. b. Approval of the management agreement between Pilgrim Mutual Funds and HSBC Fund - ---- Pilgrim Asia-Pacific Equity Fund 2,788,432 130,823 -- -- 2,919,255 4. Approval of sub-advisory between Pilgrim Investments, Inc. and the Funds Fund - ---- Pilgrim Bank & Thrift Fund, Inc. 22,043,033 1,095,063 -- -- 23,138,095 Pilgrim LargeCap Leaders Fund 1,667,693 38,937 -- -- 1,706,630 Pilgrim MidCap Value Fund 2,586,750 70,205 -- -- 2,656,955 Pilgrim Asia-Pacific Equity Fund 2,877,917 41,338 -- -- 2,919,255 Pilgrim MagnaCap Fund 16,433,186 953,331 -- -- 17,386,517 Pilgrim High Yield Fund 54,078,191 2,693,531 -- -- 56,771,722 Pilgrim Balanced Fund 1,573,739 58,095 -- -- 1,631,834 Pilgrim Convertible Fund 7,702,985 434,940 -- -- 8,137,925 Pilgrim Emerging Countries Fund 7,735,262 160,565 -- -- 7,895,827 Pilgrim High Yield II Fund 5,259,680 201,342 -- -- 5,461,022 Pilgrim Strategic Income Fund 998,479 41,275 -- -- 1,039,754 Pilgrim Int'l Core Growth Fund 1,576,276 37,728 -- -- 1,614,004 Pilgrim Int'l SmallCap Growth Fund 3,483,148 92,235 -- -- 3,575,383 Pilgrim LargeCap Growth Fund 4,116,432 136,576 -- -- 4,253,008 Pilgrim MidCap Growth Fund 10,794,994 746,343 -- -- 11,541,337 Pilgrim SmallCap Growth Fund 13,511,955 739,501 -- -- 14,251,456 Pilgrim Worldwide Growth Fund 8,086,550 655,405 -- -- 8,741,955 Pilgrim Money Market Fund 1,762,011 0 -- -- 1,762,011
147 TAX INFORMATION (unaudited) - -------------------------------------------------------------------------------- Corporate shareholders are generally entitled to take the dividend received deduction on the portion of the Funds' dividend distribution that qualifies under tax law. The percentage of calendar year 1999 net investment income dividends that qualify for the corporate dividends received deduction are as follows: MagnaCap Fund 99.89% Bank and Thrift Fund 100% Strategic Income Fund 7.39% Shareholders are strongly advised to consult their own tax advisers with respect to the tax consequences of their investments in the Funds. In January 2000, shareholders, excluding corporate shareholders, should have received an IRS Form 1099 DIV regarding their federal tax status of the dividends and distributions received from them in calendar 1999. 148 RESERVE INSTITUTIONAL TRUST PRIMARY INSTITUTIONAL FUND STATEMENT OF NET ASSETS -- DECEMBER 31, 1999 - -------------------------------------------------------------------------------- Principal Value Amount (Note 1) - ------ -------- NEGOTIABLE BANK CERTIFICATES OF DEPOSIT: 67.63% Domestic: 13.17% $5,000,000 Chase Manh Bank, DE, 5.85%, 2/14/00 $ 5,000,000 5,000,000 Wilmington Trust Co., DE, 5.88%, 2/22/00 5,000,000 16,000,000 Bankboston, MA, 5.85%, 2/14/00 16,000,000 18,000,000 Morgan Guarnty Trust Company, NY, 5.65%, 2/03/00 18,000,000 ------------ 44,000,000 ------------ Euro: 7.18% 12,000,000 Bank of Scotland, 6.14%, 1/31/00 12,000,000 12,000,000 International Nederlanden ING Bank, 5.87%, 3/27/00 12,000,000 ------------ 24,000,000 ------------ Yankee: 47.28% 15,000,000 Banque National, Paris, 6.00%, 2/29/00 15,000,000 12,000,000 Bayerische Landesbk, GIR, 6.01%, 2/07/00 12,000,057 17,000,000 Commerzbank, Frankfurt, 5.79%, 2/10/00 17,000,000 12,000,000 Bank Austria, 6.08%, 2/22/00 12,000,000 $17,000,000 Credit Suisse First Bost, 5.73%, 2/07/00 17,000,161 15,000,000 Deutsche Bank, AG, 6.00%, 3/02/00 15,000,000 15,000,000 KBC Bank NV, Brussels, 6.375%, 1/18/00 15,000,031 10,000,000 Lloyd's TSB Bank, PLC, 5.90%, 2/15/00 10,000,000 15,000,000 National Westminster Bank, 6.4112%, 11/22/00 14,990,865 15,000,000 Toronto-Dominion Bank, 6.30%, 1/13/00 15,000,000 15,000,000 Westdeutsche Landesbk, GI, 6.00%, 3/01/00 15,000,000 ------------ 157,991,114 ------------ Total Negotiable Bank Certificates of Deposit (Cost $157,991,114) 225,991,114 ------------ COLLATERALIZED PROMISSORY NOTES: 4.49% (b) 15,000,000 ABN/AMRO, 5.73%, 2/23/00 15,000,000 ------------ Total Collateralized Promissory Notes (Cost $15,000,000) 15,000,000 ------------ REPURCHASE AGREEMENTS: 28.05% $93,724,524 Bear, Stearns & Co. Inc., 3.50%, 1/03/00 (collateralized by FNMA 0% to 8.5% due from 12/15/07 to 05/18/28 valued at $93,724,524) $ 93,724,524 ------------ Total Repurchase Agreements (Cost $93,724,524) $ 93,724,524 ------------ Total Investments (Cost $334,715,638) 100.17% $334,715,638 Liabilities, Less Other Assets -0.17% $ (573,224) ------------ Net Assets 100.00% $334,142,414 ============ Net asset value, offering and redemption price per share of each class based on shares of beneficial interest $.001 par value outstanding and equivalent to the Net Assets of each Class: 50,944,848.520 shares Class A $1.00 15,135,283.510 shares Class B $1.00 45,890,601.630 shares Class C $1.00 222,171,678.350 shares Treasurer's Trust $1.00 See Accompanying Notes to Financial Statements 149 RESERVE INSTITUTIONAL TRUST PRIMARY INSTITUTIONAL FUND STATEMENT OF NET ASSETS -- NOVEMBER 30, 1999 (Unaudited) - -------------------------------------------------------------------------------- Principal Value Amount (Note 1) - ------ -------- NEGOTIABLE BANK CERTIFICATES OF DEPOSIT: 54.6% Domestic: 12.3% $ 16,000,000 BankBoston, NA, 5.85%, 2/14/00 $ 16,000,000 5,000,000 Chase Manhattan Bank, 5.85%, 2/14/00 5,000,000 18,000,000 Morgan Guaranty Trust Co., N.Y., 5.65%, 2/3/00 18,000,000 5,000,000 Wilmington Trust Co., 5.88%, 2/22/00 5,000,000 ------------ 44,000,000 ------------ Euro: 6.7% 12,000,000 ING Bank, NV, 5.87%, 3/27/00 12,000,000 12,000,000 Bank of Scotland, 6.14%, 1/31/00 12,000,000 ------------ 24,000,000 ------------ Yankee: 35.6% 12,000,000 Bank Austria, 6.08%, 2/22/00 12,000,000 15,000,000 Banque National de Paris, 6.00%, 2/29/00 15,000,000 12,000,000 Bayerische Landesbank Girozentrale, 6.01%, 2/7/00 12,000,111 17,000,000 Commerzbank, AG, 5.79%, 2/10/00 17,000,000 17,000,000 Credit Suisse First Boston, 5.73%, 2/7/00 17,000,312 15,000,000 Deutsche Bank AG, 6.00%, 3/2/00 15,000,000 10,000,000 Lloyds TSB Bank PLC, 5.90%, 2/15/00 10,000,000 15,000,000 National Westminster Bank, PLC, 5.5425%, 11/22/00 14,989,934 15,000,000 Westdeutsche Landesbank Girozentrale, 6.00%, 3/1/00 15,000,000 ------------ 127,990,357 ------------ Total Negotiable Bank Certificates of Deposit (Cost $195,990,357) 195,990,357 ------------ COLLATERALIZED PROMISSORY NOTES: 4.1% (a) 15,000,000 ABN/AMRO, N.A., 5.73%, 2/23/00 (Cost $14,799,450) 14,799,450 ------------ REPURCHASE AGREEMENTS: 44.6% $85,000,000 Bear, Stearns & Co. Inc., 5.74%,12/1/99 (collateralized by FNMA 0% due 4/18/27 valued at $7,722,949, FGRA 0% due 8/15/28 to 8/15/29 valued at $5,967,361, FGRM 6.50% to 7.00% due 5/15/24 to 3/15/26 valued at $44,363,501, FNRM 0% due 7/25/08 to 3/25/23 valued at $9,696,443, FNRA 0% due 11/25/10 to 11/25/29 valued at $10,988,532, FNRM 0% due 12/25/26 valued at $9,014,558) 85,000,000 75,000,000 Prudential Securities, Inc., 5.65 to 5.71%, 12/1/99 (collateralized by FNRM 6.50% due 1/29/25 valued at $23,966,480, FGRM 6.00% due 8/19/15 valued at $9,797,358, FHLB 0% due 1/4/06 valued at $43,068,561) 75,000,000 ------------ Total Repurchase Agreements (Cost $160,000,000) 160,000,000 ------------ Total Investments (Cost $370,789,807) 103.3% 370,789,807 Liabilities, Less Other Assets (3.3) (11,667,135) ----- ------------ Net Assets 100.0% $359,122,672 ===== ============ Net asset value, offering and redemption price per share of each Class based on shares of beneficial interest $.001 par value outstanding and equivalent to the Net Assets of each Class: 48,400,150 shares Class A $1.00 16,542,038 shares Class B $1.00 50,760,643 shares Class C $1.00 243,419,841 shares Treasurer's Trust $1.00 See Accompanying Notes to Financial Statements 150 RESERVE INSTITUTIONAL TRUST PRIMARY INSTITUTIONAL FUND STATEMENT OF OPERATIONS (Unaudited) - -------------------------------------------------------------------------------- For the Six Months Ended November 30, 1999 ---------------- Interest Income (Note 1) $8,458,918 ---------- Expenses (Note 2) Comprehensive fees 397,356 12b-1 fees (Class C) 79,729 Shareholder services fees: Class B 9,076 Class C 79,729 Treasurer's Trust 229,799 Other operating expenses 91,919 ---------- Total Expenses before waivers 887,608 Less: expenses waived -- ---------- Net Expenses 887,608 ---------- Net Investment Income, representing Net Increase in Net Assets from Investment Operations $7,571,310 ========== See Accompanying Notes to Financial Statements 151 RESERVE INSTITUTIONAL TRUST PRIMARY INSTITUTIONAL FUND STATEMENTS OF CHANGES IN NET ASSETS - -------------------------------------------------------------------------------- Six Months Ended Year Ended November 30, May 31, 1999* 1999 --------------- --------------- Increase in Net Assets From Investment Operations: Net investment income $ 7,571,310 $ 8,723,962 --------------- --------------- Distributions to Shareholders From Net Investment Income (Note 1): Class A (1,579,989) (1,858,597) Class B (227,147) (206,486) Class C (1,452,930) (137,927) Treasurer's Trust (4,311,244) (6,520,952) --------------- --------------- Total Dividends to Shareholders (7,571,310) (8,723,962) --------------- --------------- From Capital Share Transactions (at net asset value of $1.00 per share): Net proceeds from sale of shares 1,036,132,449 1,544,713,374 Dividends reinvested 7,571,311 8,723,962 Cost of shares redeemed (977,126,261) (1,447,380,639) --------------- --------------- Net increase derived from capital share transactions and from investment operations 66,577,499 106,056,697 Net Assets: Beginning of period 292,545,173 186,488,476 --------------- --------------- End of period $ 359,122,672 $ 292,545,173 =============== =============== - ---------- * Unaudited See Accompanying Notes to Financial Statements 152 RESERVE INSTITUTIONAL TRUST PRIMARY INSTITUTIONAL FUND NOTES TO FINANCIAL STATEMENTS (Unaudited) - -------------------------------------------------------------------------------- (1) Significant Accounting Policies: The Primary Institutional Fund (the "Fund") which is a part of the Reserve Institutional Trust (the "Trust") is registered under the Investment Company Act of 1940 as a non diversified, open end investment company. The policies summarized below are consistently followed in the preparation of its financial statements in conformity with generally accepted accounting principles. A. The Trust's authorized shares of beneficial interest are unlimited, and currently are divided into four series (funds): Primary Institutional, which is included in this report, U.S. Government Institutional, U.S. Treasury Institutional and Interstate Tax Exempt Institutional Funds (collectively the "Funds"). Additionally, each Fund is divided into five classes of shares with similar investment objectives, but with different expense ratios. B. Securities are valued at amortized cost, which approximates market value. The amortized cost method values a security at cost at the time of purchase, and thereafter assumes a constant amortization to maturity of any discount or premium, irrespective of intervening changes in interest rates or market values. The maturity of floating or variable rate instruments in which the Fund may invest will be deemed to be, for floating rate instruments (1) the notice period required before the Fund is entitled to receive payment of the principal amount of the instrument; and for variable rate instruments the longer of (1) above or (2) the period remaining until the instrument's next interest rate adjustment, for purposes of Rule 2a-7 and for computing the portfolio's average weighted life to maturity. C. It is the policy of each Fund within the Trust to comply with Subchapter M of the Internal Revenue Code and to distribute all of its taxable income to its shareholders. Accordingly, no Federal income tax provision is required. D. Security transactions are recorded on a trade date basis; interest income is accrued daily and security premium or discount is amortized or accreted daily. Net investment income is distributed to shareholders daily and automatically reinvested in additional Fund shares. E. Expenses are allocated based on the Fund's net assets and/or number of shareholder accounts. Those expenses recognized as directly attributable to a specific Fund within the Trust are charged to that Fund directly. F. The Funds within the Trust may enter into repurchase agreements with financial institutions and securities dealers who are deemed credit worthy pursuant to guidelines established by the Funds' Board of Trustees. The Funds' Investment Adviser will follow procedures intended to provide that all repurchase agreements are at least 100% collateralized as to principal and interest. The Fund custodian holds the underlying securities subject to repurchase agreements. (2) Management Fee and Other Transactions With Affiliates: Pursuant to an Investment Management Agreement (the "Agreement") between Reserve Management Company, Inc. ("RMCI") and the Funds, RMCI serves as the Fund's Investment Adviser subject to the policies adopted by the Board of Trustees. Under the Agreement, RMCI will furnish continuous investment advisory and management services to the Funds. RMCI receives a fee of 0.25% per year of the average daily net assets of the Fund. RMCI pays all employee and customary operating expenses of the Fund. Excluded from the definition of customary operating expenses are interest, taxes, brokerage fees, extraordinary legal and accounting fees and expenses, and the fees of the disinterested Trustees, for which the Fund pays its direct or allocated share. The Fund's operating expenses are limited to an annual rate of .25% for Class A, .45% for Class B and .60% for Treasurer's Trust of each Class' average daily net assets. Distribution Assistance and Shareholder Services: Pursuant to a Plan of Distribution, the Fund makes payments to firms for distribution assistance and administrative services provided to shareholders of Class C and D at an annual rate of .25% and .50%, respectively. To date, no payments have been made by Class D since it has yet to begin operations. In addition, under the Plan, shareholders of Class B, C, D and Treasurer's Trust may make payments to firms (including RMCI) providing shareholder services, including maintaining shareholder 153 RESERVE INSTITUTIONAL TRUST PRIMARY INSTITUTIONAL FUND NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) - -------------------------------------------------------------------------------- accounts, responding to shareholder inquiries and providing certain other services, at an annual rate of .20%, .25%, .25% and .25%, respectively. (3) Management's Use of Estimates: The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the dates of the financial statements and the reported amounts of income and expenses during the reporting periods. Actual results could differ from those estimates. (4) Composition of Net Assets: At November 30, 1999, the composition of the Fund's net assets was as follows: Par Value $ 359,123 Paid-in-Capital 358,763,549 ------------- Net Assets $ 359,122,672 ============= (5) Capital Share Transactions: For the six months ended November 30, 1999 and the year ended May 31, 1999, the capital share transactions of the Fund was as follows: Six months ended November 30, 1999: -------------------------------------------------------- Treasurer's Class A Class B Trust Class C ------------ ----------- ------------ ------------ Sold 267,949,422 21,959,308 629,301,443 116,922,276 Reinvested 1,579,990 227,147 4,311,244 1,452,930 Redeemed (296,930,623) (9,867,780) (544,272,694) (126,055,164) ------------ ----------- ------------ ------------ Net Increase (Decrease) (27,401,211) 12,318,675 89,339,993 (7,679,958) ============ =========== ============ ============ Year ended May 31, 1999: -------------------------------------------------------- Treasurer's Class A Class B Trust Class C ------------ ----------- ------------ ------------ Sold 591,162,085 10,331,062 876,047,357 67,172,870 Reinvested 1,858,597 206,486 6,520,952 137,928 Redeemed (521,631,338) (16,690,430) (900,188,675) (8,870,196) ------------ ----------- ------------ ----------- Net Increase (Decrease) 71,389,344 (6,152,882) (17,620,366) 58,440,602 ============ =========== ============ =========== 154 RESERVE INSTITUTIONAL TRUST PRIMARY INSTITUTIONAL FUND NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) - -------------------------------------------------------------------------------- (6) Financial Highlights: Contained below is per share operating performance data for a share of beneficial interest outstanding for the periods as indicated.
Class A Class B -------------------------------------- ---------------------------------------------------- Six Months Fiscal Year Six Months Fiscal Year Ended Ended May 31, Ended Ended May 31, Nov. 30, ------------------------ Nov. 30, -------------------------------------- 1999* 1999 1998(a) 1999* 1999 1998 1997(b) ---------- --------- ------------ ---------- --------- --------- --------- Net asset value at beginning of period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 Net investment income from investment operations .0256 .0509 .0332 .0246 .0488 .0529 .0179 Less dividends from net investment income (.0256) (.0509) (.0332) (.0246) (.0488) (.0529) (.0179) -------- -------- -------- -------- -------- -------- -------- Net asset value at end of period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 ======== ======== ======== ======== ======== ======== ======== Total Return 5.12%(d) 5.09% 5.49%(d) 4.92%(d) 4.88% 5.29% 4.95%(d) RATIOS/SUPPLEMENTAL DATA Net assets end of period (millions) $ 48.4 $ 75.8 $ 4.4 $ 16.5 $ 4.2 $ 10.4 $ 2.0 Ratio of expenses to average net assets .25%(d) .25% .25%(d) .45%(d) .45% .45% .50%(d)(e) Ratio of net investment income to average net assets 5.05%(d) 4.79% 5.35%(d) 4.85%(d) 4.79% 5.16% 4.81%(d)(e) Treasurer's Trust Class C -------------------------------------- ------------------------ Six Months Fiscal Year Six Months Period Ended Ended May 31, Ended Ended Nov. 30, ------------------------ Nov. 30, May 31, 1999* 1999 1998(c) 1999* 1999(f) ---------- --------- --------- ---------- --------- Net asset value at beginning of period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 Net investment income from investment operations .0239 .0470 .0322 .0231 .0036 Less dividends from net investment income (.0239) (.0470) (.0322) (.0231) (.0036) -------- -------- -------- -------- -------- Net asset value at end of period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 ======== ======== ======== ======== ======== Total Return 4.77%(d) 4.70% 5.13%(d) 4.61%(d) 4.11%(d) RATIOS/SUPPLEMENTAL DATA Net assets end of period (millions) $ 243.4 $ 154.1 $ 171.7 Ratio of expenses to average net assets .60%(d) .60% .60%(d) $ 50.8 $ 58.4 Ratio of net investment income to .75%(d) .75%(d) average net assets 4.70%(d) 4.59% 5.00%(d) 4.55%(d) 4.12%(d)
(a) From October 23, 1997 (Commencement of Operations) to May 31, 1998. (b) From January 21, 1997 (Commencement of Operations) to May 31, 1997. (c) From October 15, 1997 (Commencement of Operations) to May 31, 1998. (d) Annualized. (e) Due to the voluntary waiver of certain expenses by RMCI, the net expense ratio and net investment income amounted to 48% and 4.83%, respectively, for the period ended May 31, 1997. (f) From April 30, 1999 (Commencement of Operations) to May 31, 1999. * Unaudited. 155 Investment Manager Pilgrim Investments, Inc. 40 North Central Avenue, Suite 1200 Phoenix, Arizona 85004-4408 Administrator Pilgrim Group, Inc. 40 North Central Avenue, Suite 1200 Phoenix, Arizona 85004-4408 Transfer Agent DST Systems, Inc. P.O. Box 419368 Kansas City, Missouri 64141-6368 Custodian Investors Fiduciary Trust Company 801 Pennsylvania Kansas City, Missouri 64105 Legal Counsel Dechert Price & Rhoads 1775 Eye Street, N.W. Washington, D.C. 20006 Independent Auditors KPMG LLP 725 South Figueroa Street Los Angeles, California 90017 Prospectus containing more complete information regarding the Funds, including charges and expenses, may be obtained by calling Pilgrim Securities, Inc. Distributor at 1-800-334-3444. Please read the prospectus carefully before you invest or send money. ABCMSEMI1299-022900 -----END PRIVACY-ENHANCED MESSAGE-----