-----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, VjSoEl8ftULIHXLmplRJ5GecjONVSZgzz7aIPOt9ZQEB3hy9NFNhRmWQRiBRN3dr FjJNEgLo7YAkGIoygDHqfw== 0000950147-99-000999.txt : 19990910 0000950147-99-000999.hdr.sgml : 19990910 ACCESSION NUMBER: 0000950147-99-000999 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19990630 FILED AS OF DATE: 19990909 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: 99708516 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: 99708517 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: 99708518 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: 99708519 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: 99708520 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 PILGRIM FUNDS ANNUAL REPORT PILGRIM(SM) FUNDS FOR SERIOUS INVESTORS Annual Report Classes: A, B, C and M June 30, 1999 U.S. EQUITY FUNDS Pilgrim MagnaCap Fund Pilgrim LargeCap Leaders Fund Pilgrim LargeCap Growth Fund Pilgrim MidCap Value Fund Pilgrim MidCap Growth Fund Pilgrim SmallCap Growth Fund Pilgrim Bank and Thrift Fund INTERNATIONAL EQUITY FUNDS Pilgrim Worldwide Growth Fund Pilgrim International Core Growth Fund Pilgrim International SmallCap Growth Fund Pilgrim Emerging Countries Fund Pilgrim Asia-Pacific Equity Fund INCOME FUNDS Pilgrim Government Securities Income Fund Pilgrim Strategic Income Fund Pilgrim High Yield Fund Pilgrim High Yield Fund II EQUITY & INCOME FUNDS Pilgrim Balanced Fund Pilgrim Convertible Fund 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.................................................... 34 Report of Independent Auditors............................................. 39 Statements of Assets and Liabilities 40 Statements of Operations................................................... 48 Statements of Changes in Net Assets........................................ 54 Financial Highlights: U.S. Equity Funds........................................................ 64 International Equity Funds............................................... 78 Income Funds............................................................. 88 Equity & Income Funds.................................................... 96 Notes to Financial Statements.............................................. 100 Portfolios of Investments: U.S. Equity Funds........................................................ 118 International Equity Funds............................................... 140 Income Funds............................................................. 167 Equity & Income Funds.................................................... 180 Shareholder Meetings....................................................... 189 Other Information.......................................................... 192 Tax Information............................................................ 193 Pilgrim Funds CHAIRMAN'S MESSAGE - -------------------------------------------------------------------------------- Dear Shareholder: We are pleased to present the Annual Report for the Pilgrim Funds which includes 11 newly acquired funds. Effective May 21, 1999 Pilgrim assumed management of the Nicholas-Applegate retail funds. Our fund family now has 20 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, four Income Funds and two Equity & Income Funds which are included in this Annual Report. MagnaCap, LargeCap Leaders, Bank and Thrift, Government Securities Income, Strategic Income, High Yield, High Yield II and Balanced Funds are all managed by seasoned investment professionals at Pilgrim Investments, Inc. 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. MidCap Value Fund has been advised by Cramer, Rosenthal, McGlynn LLC* and Asia-Pacific Equity Fund is advised by HSBC Asset Management Americas, Inc. and HSBC Asset Management Honk 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 successful investment experience.(TM/SM) Sincerely, /s/ Robert W. Stallings Robert W. Stallings Chairman and Chief Executive Officer Pilgrim Group, Inc. August 25, 1999 * Effective October 1, 1999, Pilgrim Investments, Inc. will begin providing investment advisory services directly for the MidCap Value Fund. 1 U.S. Equity Funds Pilgrim MagnaCap Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- 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: Pilgrim 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 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, an unmanaged index of the stocks of approximately 500 large-capitalization U.S. companies. MARKET OVERVIEW: All indications are that the United States economy is remarkably sound. Through June 1999, the current expansion is now 100 months old. It is already the longest peacetime expansion, and in six months, will be the longest expansion ever. That is why midway through 1999, stock prices are at all-time highs. The Federal Reserve tightening on June 30 was the least aggressive move they could take, and yet still tighten. They raised the Fed funds rate by 25 basis points to 5%, but left the discount rate unchanged and went back to a neutral bias. The fact that the Fed indicated it was returning to a neutral stance has policy significance. It means that the Fed has not prejudged the situation, but will instead focus on upcoming economic data. The second quarter of 1999 was marked by a dramatic shift away from the in-favor "nifty 50" growth names to out-of-favor value stocks. During the quarter, as confidence grew that the worst of the global economic turmoil was over, commodities (ex-energy) and capital goods/manufacturing led the pack. The shift was not just a move to cyclicals, but to value in a general sense. PERFORMANCE: For the 12-month period ending June 30, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 15.93%, compared to the Standard & Poor's 500 Index, which gained 22.76% for the same period. PORTFOLIO SPECIFICS: We believe 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 American International Group (financial), AlliedSignal (manufacturing), Halliburton (energy), Honeywell (manufacturing), SunMicrosystems (computer software & services), and Tellabs (communications). At the end of June, 1999, the top industry groups were office equipment and services, communications, pharmaceuticals, retail, and computer software and service. The top stock holdings were McDonalds, AFLAC, Johnson&Johnson, Bristol-Myers Squibb, and Automatic Data Processing. 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 conditions, the circumstances of the company and the sector within which it falls. The bull market in U. S. stocks is in its eighth year. It has been firmly based on extraordinary changes in the economy that have given us one of the longest 2 - -------------------------------------------------------------------------------- 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 1999 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.
6/30/89 6/90 6/91 6/92 6/93 6/94 ------- ---- ---- ---- ---- ---- Pilgrim MagnaCap Fund Class A With Sales Charge 10000 10731 11290 12638 13676 14924 Pilgrim MagnaCap Fund Class A Without Sales Charge 10000 11384 11977 13406 14508 15832 S & P 500 Index 10000 11646 12506 14181 16111 16337 6/95 6/96 6/97 6/98 6/30/99 ---- ---- ---- ---- ------- Pilgrim MagnaCap Fund Class A With Sales Charge 18000 21835 28564 34428 39911 Pilgrim MagnaCap Fund Class A Without Sales Charge 19095 23164 30302 36522 42339 S & P 500 Index 20591 25941 34940 45474 55823
Average Annual Total Returns for the periods ended June 30, 1999 ---------------------------------------------------------------- Since Inception Since Inception of Class B and M of Class C 1 Year 5 Years 10 Years 7/17/95 6/1/99 ------ ------- -------- ---------------- --------------- Including Sales Charge: Class A (1) 9.27% 19.87% 14.84% -- -- Class B (2) 10.12% -- -- 20.62% -- Class C (3) -- -- -- -- 3.07% Class M (4) 11.40% -- -- 20.25% -- Excluding Sales Charge: Class A 15.93% 21.74% 15.52% -- -- Class B 15.12% -- -- 21.05% -- Class C -- -- -- -- 4.07% Class M 15.41% -- -- 21.34% -- S&P 500 Index 22.76% 27.84% 18.75% 27.63% 5.55%
Based on a $10,000 initial investment, the graph above illustrates the total return of Pilgrim MagnaCap Fund against the Standard & Poor's 500 Composite Stock Price Index, an unmanaged index of the stocks of approximately 500 large-capitalization U.S. companies. 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 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 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. 3 U.S. Equity Funds Pilgrim LargeCap Leaders Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- MANAGEMENT TEAM: G. David Underwood, CFA, Vice President and Senior Portfolio Manager; Robert M. Kloss, Equities Research Analyst. GOAL: Pilgrim LargeCap Leaders Fund seeks long-term capital appreciation by investing in equity securities of large companies that the advisor believes are leaders in their industry, companies with market capitalizations over $10 billion and believed to be leaders in their industry. MARKET OVERVIEW: During most of the 12-month period ending June 30, 1999, the U.S. equity market was characterized by: * A narrow advance among large-capitalization stocks, * Outperformance of growth stocks versus value stocks, and * Outperformance of large-capitalization stocks versus mid- and small-capitalization stocks. Investor attention had been directed toward large-capitalization growth stocks since 1997. Many of these stocks benefited from corporate restructuring that began in the 1980's. Throughout last year however, the largest 50 stocks in the S&P 500, an unmanaged index of the stocks of approximately 500 large-capitalization U.S. companies, accounted for most of the index's appreciation. Several factors accounted for this. The first being that investors grew concerned that the economies of emerging markets would be hampered by deep recessions. Secondly, investors feared these recessionary forces would spread to the U.S. and European economies. Finally, investors suspected that corporate earnings and profitability would wane as a result of a global recession. Consequently, a select few large-capitalization stocks provided the safe haven from these forces. Preference shifted by the beginning of the second quarter of 1999, as it became apparent that growth of the U.S. economy remained strong and that global economic conditions were also improving. Investors migrated to more cyclical stocks, particularly those of the Basic Industries and the Energy sectors, where depressed commodity prices stood to benefit from rising global economic activity. The shifting market preferences in the Spring of 1999 also resulted in broader participation among market sectors. For example, over the past 12 months, only the Technology and Communications Services sectors outperformed the S&P 500 Index. During the second quarter however, six of the 11 sectors of the market -- Basic Industries, Capital Goods, Communication Services, Energy, Technology and Utilities -- outperformed the Index. Still, participation among stocks was relatively narrow, as the 7% gain of the S&P 500 in the quarter was attributed to 70 companies. PERFORMANCE: For the 12-month period ending June 30, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 20.66% compared to the S&P 500 Index, which gained 22.76% and the S&P/Barra Value Index, an unmanaged index comprised of all of the stocks in the S&P 500 Index that have low price-to-book ratios which gained 16.49%, for the same period. PORTFOLIO SPECIFICS: Appropriate sector allocation and good stock selection, combined with a disciplined portfolio management approach, led to the Fund's strong investment performance. The Fund has maintained about 20% in technology-related industries for much of the past year. Holdings in the stocks of Sun Microsystems, IBM, Hewlett Packard, Cisco Systems, America Online and Microsoft performed particularly well. The Fund's holdings in Dupont, Alcoa, Tyco Industries, Chevron and Schlumberger were equally strong in the most recent quarter. As of the end of June, Computers was the largest sector of the Fund, followed by Pharmaceuticals, Retail, Financial and Communications. MARKET OUTLOOK: The market environment still appears favorable for investment in large-capitalization companies. We expect the equity market to broaden further, as more groups and more individual stocks participate in the markets advance. Finally, we still see value in the long-term franchises of the leading companies in which the fund invests. 4 - --------------------------------------------------------------------------------
9/1/95 6/96 6/97 6/98 6/30/99 ------ ---- ---- ---- ------- Pilgrim LargeCap Leaders Fund Class A With Sales Charge 10000 11269 13888 16348 19725 Pilgrim LargeCap Leaders Fund Class A Without Sales Charge 10000 11956 14735 17345 20928 S&P 500 Index 10000 12164 16383 21323 26175 S&P Barra/Value Index 10000 11829 15349 19208 22375
Average Annual Total Returns for the Periods Ended June 30, 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) 13.70% 19.41% -- Class B (2) 14.71% 19.89% -- Class C (3) 1.30% 1.30% 1.30% Class M (4) 15.83% 19.56% -- Excluding Sales Charge: Class A 20.66% 21.27% -- Class B 19.71% 20.35% -- Class C 2.30% 2.30% 2.30% Class M 20.04% 20.67% -- S&P 500 Index 22.76% 28.44% 0.10% S&P/BARRA Value Index 16.49% 23.94% 0.82% Based on a $10,000 initial investment, the graph above illustrates the total return of Pilgrim LargeCap Leaders Fund against the S&P 500 Index and the S&P/Barra Value Index, an unmanaged index comprised of all of the stocks in the S&P 500 Index that have low price-to-book ratios. 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 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. (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. 5 U.S. Equity Funds Pilgrim LargeCap Growth Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- MANAGEMENT TEAM: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Andrew Gallagher, Partner, Portfolio Manager; Bill Chenoweth, CFA, Partner, Portfolio Manager; Thomas Sullivan, Portfolio Manager; Emmy Sobieski, CFA, Portfolio Manager; Trisha Schuster, CFA, Portfolio Manager. GOAL: Pilgrim LargeCap Growth Fund seeks long-term capital appreciation by investing primarily in equity securities of large U.S. companies. MARKET OVERVIEW: During the second quarter of 1999, returns for large-cap stocks were solid. The S&P 500 Index, an unmanaged index of the stocks of approximately 500 large-capitalization U.S. companies, and Russell 1000 Index, an unmanaged index of the 1,000 largest companies in the Russell 3000 Index, each gained 7.1%. However, their returns were exceeded by small-caps and mid-caps for the first time since the third quarter of 1997. For much of the past few years, investors have shown a decided preference for the liquidity and safety of large-cap stocks, especially a select few companies. During the second quarter, investors showed renewed interest in the fundamental strengths and attractive valuations within smaller-cap segments. The U.S. stock market was also characterized by higher long-term interest rates and the outperformance of value versus growth stocks. PERFORMANCE: For the three-month period ending June 30, 1999*, the Fund's Class A shares, excluding sales charges, provided a total return of 12.63%, compared to the Russell 1000 Growth Index, an unmanaged index consisting of those companies among the Russell 1000 Index with higher than average price-to-book ratios and forecasted growth, which gained 3.85% for the same period. PORTFOLIO SPECIFICS: Superior stock selection, especially in the consumer services and technology sectors, resulted in the fund's outperformance. The top-performing holdings in the quarter were MGM Grand, AT&T and Republic Service. In addition to strong gambling operations, MGM benefits from its convention center operations, a recent acquisition and cost-cutting efforts. AT&T continues to build on its traditional strength in long-distance communications by branching out into wireless and cable. During the quarter, as a result of our bottom-up approach, we increased our exposure to technology-related stocks to approximately 30% of the fund. We trimmed exposure to consumer non-durables, consumer services and retail stocks during the quarter. MARKET OUTLOOK: We view the Fed's decision to raise short-term interest rates by 25 basis points on the last day of the quarter as a sign of its proactive approach. That move could keep the economy in a modest growth phase and limit inflation concerns, both positives for the stock market. In addition, the Fed's announcement that it had changed its bias from "tightening" to "neutral" may relieve some investor worries about the potential for additional rate hikes in the near future. This bodes well for growth stocks. We are encouraged by the broader advance stocks displayed in the second quarter. The environment for active management has improved. We continue to see robust growth opportunities within the technology sector, especially the telecommunications and telecommunications equipment industries where demand remains strong. In addition, wireless communications, particularly among companies specializing in digital technology, remains an area of strength. * Effective April 1, 1999, the Fund changed its fiscal year end from March 31 to June 30. 6 - --------------------------------------------------------------------------------
7/21/97 6/98 6/30/99 ------- ---- ------- Pilgrim LargeCap Growth Fund Class A With Sales Charge 10000 12810 21842 Pilgrim LargeCap Growth Fund Class A Without Sales Charge 10000 13589 23170 Russell 1000 Growth Index 10000 12586 16018
Average Annual Total Returns for the periods ended June 30, 1999 ---------------------------- Since Inception 1 Year 7/21/97 ------ --------------- Including Sales Charge: Class A (1) 60.73% 49.59% Class B (2) 64.49% 51.83% Class C (3) 68.26% 53.21% Excluding Sales Charge: Class A 70.50% 54.21% Class B 69.49% 53.22% Class C 69.26% 53.21% Russell 1000 Growth Index 27.27% 27.20% Based on a $10,000 initial investment, the graph above illustrates the total return of Pilgrim LargeCap Growth Fund against the Russell 1000 Growth Index, an unmanaged index consisting of those companies among the Russell 1000 Index with higher price-to-book ratios and forecasted growth. 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 4%, 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. 7 U.S. Equity Funds Pilgrim MidCap Value Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- MANAGEMENT TEAM: Gerald Cramer, Chairman; Edward Rosenthal, Co-Chairman; Ronald McGlynn, President, Co-Chief Investment Officer; Jay Abramson, Co-Chief Investment Officer.* GOAL: Pilgrim MidCap Value Fund seeks to achieve long-term capital appreciation by investing primarily in the equity securities of medium-sized U.S. companies. A medium-capitalization company has a market capitalization between $200 million and $5 billion at the time of the Fund's investment. MARKET OVERVIEW: We saw a capital markets shift during the quarter, with an impressive showing from smaller-cap stocks and value stocks in particular. Quarterly performance for the Russell 2500 Index, an unmanaged index consisting of the 2,500 smallest companies in the Russell 3000 Index, surpassed that of large stocks for the first time since the third quarter of 1997, returning 16.4% versus a gain of 7.1% in large-cap issues. PERFORMANCE: For the 12-month period ending June 30, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of 0.95% compared to the Russell Midcap Index, an unmanaged index consisting of the 800 smallest companies in the Russell 1000 Index which gained 11.31% and the Russell MidCap Value Index, an unmanaged index consisting of companies in the Russell Midcap Index with lower price-to-book ratios and lower forecasted growth values which gained 5.63% for the same period. PORTFOLIO SPECIFICS: Most of our performance came from very company-specific circumstances. For example, Healthsouth was our best performing stock as the company hit their first quarter earnings and initiated a sizeable stock buyback. Also, Republic Services was a new holding for us during the quarter, giving us immediate performance results. MARKET OUTLOOK: We have seen at least the initial stages of a shift in sentiment towards a much broader stock market, including smaller-cap and value stocks. We remain positioned to take advantage of any continuation in this shift and still continue to find businesses that are both sound and attractively priced, with management dedicated to taking aggressive steps to enhance shareholder value. * Effective October 1, 1999, Pilgrim Investments, Inc. will begin providing investment advisory services directly for the MidCap Value Fund. 8 - --------------------------------------------------------------------------------
9/1/95 6/96 6/97 6/98 6/30/99 ------ ---- ---- ---- ------- Pilgrim MidCap Value Fund Class A With Sale Charge 10000 11355 14068 16657 16816 Pilgrim MidCap Value Fund Class A Without Sales Charge 10000 12048 14926 17673 17841 Russell MidCap Value Index 10000 11567 13957 17152 18797 Russell MidCap Index 10000 11432 14349 17779 19146
Average Annual Total Returns for the Periods Ended June 30, 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) -4.83% 14.53% -- Class B (2) -4.41% 14.91% -- Class C (3) -- -- 1.43% Class M (4) -3.06% 14.61% -- Excluding Sales Charge: Class A 0.95% 16.32% -- Class B 0.21% 15.44% -- Class C -- -- 2.43% Class M 0.46% 15.67% -- Russell MidCap Index 11.31% 19.24% 3.81% Russell MidCap Value Index 5.63% 19.13% 1.14% Based on a $10,000 initial investment, the graph above illustrates the total return of Pilgrim MidCap Value Fund against the Russell Midcap 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 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 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 smallcap companies, stocks of smaller companies may entail greater price variability than those of larger companies. 9 U.S. Equity Funds Pilgrim MidCap Growth Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- MANAGEMENT TEAM: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Bill Chenoweth, CFA, Partner, Portfolio Manager; Andrew Gallagher, Partner, Portfolio Manager; Thomas Sullivan, Portfolio Manager; Emmy Sobieski, CFA, Portfolio Manager; Trisha Schuster, CFA, Portfolio Manager; Tom Smith, Investment Analyst. GOAL: Pilgrim MidCap Growth Fund seeks maximum long-term capital appreciation through investments primarily in equity securities of medium-sized U.S. companies. MARKET OVERVIEW: For much of the second quarter, the U.S. equity market was characterized by a resurgence among value stocks. While investors showed renewed interest in the small-cap and mid-cap segments of the market, value stocks outperformed. In this difficult environment, our growth-oriented investment style was not in favor. In addition, rising interest rates during the quarter impacted stocks with strong earnings growth rates and high price-to-earnings ratios, often precisely the types of stocks in which we invest. PERFORMANCE: During the three-month period ended June 30, 1999*, the Fund's Class A shares, excluding sales charges, provided a total return of 7.07%, compared to the Russell MidCap Growth Index, an unmanaged index consisting of the 800 smallest companies in the Russell 1000 Index with higher than average price-to-book ratios and forecasted growth, which gained 10.34% for the same period. PORTFOLIO SPECIFICS: Our significant weighting in technology-related industries negatively affected the fund's performance. Given the market dynamics and investor preference for value-oriented issues, technology stocks were vulnerable. However, later in the quarter, fund returns benefited from the rebound among select technology stocks. We continue to see promise within the technology sector on a stock-specific basis, especially within the telecommunications industry, due to escalating demand. In fact, among the fund's best-performing holdings for the quarter were Conexant Systems, a manufacturer of semiconductor products for communications applications, and Winstar Communications, a local and long-distance telecommunications services provider. As a result of the continued application of our bottom-up stock selection process, we increased our exposure to technology-related and energy-related stocks, and reduced our weighting in financial-related stocks versus the prior quarter. MARKET OUTLOOK: Based on the fundamental strengths, the outlook for all our holdings right now is extremely encouraging. While the potential for rising interest rates remains a concern, we think the Fed's proactive efforts should keep the economy in a modest growth phase and limit inflation, both good factors for stocks. Further, our bottom-up approach is highly adaptable and helps us capture areas of strength wherever they're occurring. We expect earnings will continue to accelerate, and our style of stock picking will continue to do well. * Effective April 1, 1999, the Fund changed its fiscal year end from March 31 to June 30. 10 - --------------------------------------------------------------------------------
4/19/93 6/93 6/94 6/95 6/96 6/97 6/98 6/30/99 ------- ---- ---- ---- ---- ---- ---- ------- Pilgrim MidCap Growth Fund Class A With Sales Charge 10000 10234 9429 11418 14994 15822 19656 24597 Pilgrim MidCap Growth Fund Class A Without Saless Charge 10000 10856 10002 12112 15906 16784 20851 26092 Russell MidCap Growth Index 10000 10429 10646 13460 16636 19566 24264 30881
Average Annual Total Returns for the Periods Ended June 30, 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) 17.96% 19.71% 15.62% -- Class B (2) 19.36% -- -- 21.79% Class C (3) 23.33% 20.44% 16.02% -- Excluding Sales Charge: Class A 25.14% 21.14% 16.73% -- Class B 24.36% -- -- 22.06% Class C 24.33% 20.44% 16.02% -- Russell MidCap Growth Index 20.31% 22.35% 18.98% (4) 22.22% Based on a $10,000 initial investment, the graph above illustrates the total return of Pilgrim MidCap Growth Fund against the Russell MidCap Growth Index, an unmanaged index consisting of the 800 smallest companies in the Russell 1000 Index with higher than average price-to-book ratios and forecasted growth. 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 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. (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 smallcap companies, stocks of smaller companies may entail greater price variability than those of larger companies. 11 U.S. Equity Funds Pilgrim SmallCap Growth Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- MANAGEMENT TEAM: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Thomas E. Bleakley, Partner, Portfolio Manager; Aaron M. Harris, Portfolio Manager; John C. McCraw, Portfolio Manager; Paul E. Cluskey, Portfolio Manager; Travis Prentice, Investment Analyst. GOAL: Pilgrim SmallCap Growth Fund seeks maximum long-term capital appreciation through investments primarily in equity securities of small-sized U.S. companies. MARKET OVERVIEW: Similar to mid-cap stocks, small-cap stocks had been largely overlooked for much of the past few years. However, in the second quarter, investors returned and performance results for small-caps outpaced large-caps for the first time since the third quarter of 1997. In addition to the resurgence of small-cap stocks, the second quarter was characterized by higher long-term interest rates and the outperformance of value versus growth stocks. Amid a rising interest rate environment, investors turned to lower valuation stocks. The Russell 2000 Value Index, an unmanaged index consisting of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values, gained 16.6% versus a 14.8% advance for the Russell 2000 Growth Index, an unmanaged index consisting of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. PERFORMANCE: During the three-month period ended June 30, 1999*, the Fund's Class A shares, excluding sales charges, provided a total return of 14.11% compared to the Russell 2000 Growth Index, which gained 14.75% for the same period. PORTFOLIO SPECIFICS: Holdings in the financial services and healthcare sectors boosted relative performance during the quarter. Among the best-performing financial services stocks were Metris and E-Loan. Strong-performing healthcare-related stocks included Mede America and Andrx. Exposure to technology-related stocks negatively affected relative performance during the quarter. Internet-leveraged stocks that came under profit-taking pressure such as Earthweb, NetObjects and Fatbrain.com detracted from returns. While returns for technology-related stocks were disappointing, especially early in the quarter, they rebounded sharply and we continue to see robust growth opportunities within the technology sector. During the quarter, we reduced our exposure to software stocks amid sluggish sales stemming from uncertainty regarding the Y2K issue. However, we continue to find other exciting stock-specific opportunities within the technology sector. Holdings in the technology-related and healthcare sectors continue to comprise more than 40% of the fund. MARKET OUTLOOK: The fundamental strengths of fund holdings inspire optimism. We continue to find promising stocks meeting our investment criteria. Further, we view the Fed's decision to raise short-term interest rates by 25 basis points on the last day of the quarter as a sign of its proactive approach. That move could keep the economy in a modest growth phase and limit inflation concerns, both positives for the stock market. We are encouraged by the broader advance stocks displayed in the second quarter. The environment for active management has improved. * Effective April 1, 1999, the Fund changed its fiscal year end from March 31 to June 30. 12 - --------------------------------------------------------------------------------
12/27/93 6/94 6/95 6/96 6/97 6/98 6/30/99 -------- ---- ---- ---- ---- ---- ------- Pilgrim SmallCap Growth Fund Class A Shares With Sales Charge 10000 8439 10958 14810 15509 17710 21277 Pilgrim SmallCap Growth Fund Class A Shares Without Sales Charge 10000 8952 11624 15710 16452 18786 22570 Russell 2000 Growth Index 10000 9356 11772 14893 15566 17619 19083
Average Annual Total Returns for the Periods Ended June 30, 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) 13.23% 18.90% 14.69% -- Class B (2) 14.36% -- -- 18.93% Class C (3) 18.36% 19.59% 15.21% -- Excluding Sales Charge: Class A 20.14% 20.32% 15.92% -- Class B 19.36% -- -- 19.21% Class C 19.36% 19.59% 15.21% -- Russell 2000 Growth Index 8.30% 15.33% 12.54% (4) 15.38% Based on a $10,000 initial investment, the graph 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 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. (4) 5-Year performance for index is shown from 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. International investing does pose special risks, including currency fluctuation and political risks not found in investments that are solely domestic. 13 U.S. Equity Funds Pilgrim Bank and Thrift Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- MANAGEMENT TEAM: Carl Dorf, Senior Vice President and Senior Portfolio Manager, Jeffrey B. Cross, Equity Analyst; Steven L. Raynor, CFA, CPA, Equity Research Analyst; Julia Hamilton, Junior Research Analyst. GOAL: Pilgrim Bank and Thrift Fund seeks long-term capital appreciation with income as a secondary objective. The Fund primarily invests 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 allows 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 one and one half 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 while the value style which we favor has been out of favor. During this 12-month period of time the following sectors which we believe have above average risk were the strongest in terms of 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. A slow-down in bank consolidation and recent concern over rising interest rates has contributed to the poor performance of the sector. PERFORMANCE: For the 12-month period ending June 30, 1999, the Fund's Class A shares, excluding sales charges, declined 8.61%. During this same time frame the S&P 500 Index, an unmanaged index of the stocks of approximately 500 large-capitalization U.S. companies, gained 22.76%. The S&P Major Regional Banks Index, an unmanaged index comprised of major regional banks in the S&P 500 Index, gained 4.35%. The NASDAQ 100 Financial Index, an unmanaged index of the 100 largest financial companies traded on NASDAQ, gained 2.49%. PORTFOLIO SPECIFICS: The last 12 months of 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 poor selections in our non-bank and thrift holdings. The substantial inflow of new money into the Fund last year resulted in our holding onto some positions that performed well too long. I also have substantially increased the Fund's weighting in smaller-cap names in anticipation of a pick-up in bank consolidation, which has recently started. This move hurt the last 12-month performance, but has now started to benefit us. Our Fund has recently benefited from three proposed takeovers. Late in calendar 1998, we started to see net outflows from the Fund that are continuing 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. MARKET OUTLOOK: We believe that our Fund currently offers exceptional opportunity on both an absolute and a relative price basis at this time. We do not believe that it is in shareholder's best interests to redeem, and would encourage shareholders to add to their investment in the Fund. The fundamentals that effect the industry are still very good. The modest rise in interest rates that we have experienced in many cases will improve margins and consequently, the earnings outlook for these stocks. The worsening of credit experience is coming from very low 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 deterioration. Also, consolidation has started to pick up again, and we believe that the posture that we took in shifting the Fund into smaller-cap and mid-cap names, which contributed to our poor performance in the last 12 months, is just starting to pay off. 14 - --------------------------------------------------------------------------------
6/30/89 6/90 6/91 6/92 6/93 6/94 ------- ---- ---- ---- ---- ---- Pilgrim Bank And Thrift Fund Class A With Sales Charge 10000 9122 10471 14203 16947 21973 Pilgrim Bank And Thrift Fund Class A Without Sales Charge 10000 9681 11113 15073 17985 23320 S&P 500 Index 10000 11646 12504 14179 16108 20040 S&P Major Regional Banks Index 10000 8554 9672 13332 16778 19938 6/95 6/96 6/97 6/98 6/30/99 ---- ---- ---- ---- ------- Pilgrim Bank And Thrift Fund Class A With Sales Charge 24711 32561 53172 75719 69197 Pilgrim Bank And Thrift Fund Class A Without Sales Charge 26225 34555 56429 80358 73437 S&P 500 Index 25257 31819 42855 55774 68470 S&P Major Regional Banks Index 22418 30069 46190 62467 65222
Average Annual Returns for the Periods Ended June 30, 1999 ---------------------------------------------- Since Inception of Class B 1 Year 5 Year 10 Year 10/17/97 ------ ------ ------- --------------- Including Sales Charge: Class A (1) -13.87% 24.32% 18.66% -- Class B (2) -13.73% -- -- 2.18% Excluding Sales Charge: Class A -8.61% 25.79% 19.84% -- Class B -9.31% -- -- 4.40% S&P 500 Index 22.76% 27.84% 18.75% 26.43% S&P Major Regional Banks Index 4.41% 26.73% 19.07% 13.20% NASDAQ 100 Financial Index 2.49% 22.39% -- 8.99% Based on a $10,000 initial investment, the graph 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 is not shown on the graph above because it 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 4%, 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. 15 International Equity Funds Pilgrim Worldwide Growth Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- 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 J. Morris, Partner, Portfolio Manager; Ernesto Ramos, Ph.D., Senior Portfolio Manager; Melisa A. Grigolite, Portfolio Manager. GOAL: Pilgrim Worldwide Growth Fund seeks maximum long-term capital appreciation through investments in equity securities of issuers located in countries around the world, which may include the U.S. MARKET OVERVIEW: The positive trends of mergers and acquisitions, economic recoveries in Asian countries, as well as the continued low-inflation environment worldwide boosted returns for global equity markets in the second quarter. In the United States, the potent combination of robust economic growth and non-existent inflation drove large-cap stocks to record highs, with the S&P 500 Index, an unmanaged index of the stocks of approximately 500 large-capitalization U.S. Companies, gaining 7.1% in the second quarter. In Japan, a much-anticipated economic recovery in the first quarter carried the country's equity market higher. Japan's gross domestic product grew 1.9% in the first three months of 1999 following six quarters of negative growth. In Europe, optimism that economic growth will pick up in the second half of 1999 also boosted equity market returns. Equity markets around the globe benefited from the positive trends of: * merger and acquisition activities, * corporate restructuring, and * privatization and deregulation of industries. PERFORMANCE: For the three-month period ended June 30, 1999*, the Fund's Class A shares, excluding sales charges, provided a total return of 10.24% compared to the MSCI World Index, an unmanaged index comprised of more than 1400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East, which gained 4.48% for the same period. PORTFOLIO SPECIFICS: Stock selection in Japan, the Netherlands and Finland positively impacted returns. Among the fund's top-performing holdings during the period were Thailand-based Siam Commercial Bank, Japan's Softbank Corp., a software/Internet company, and STMicroelectronics, a semiconductor manufacturer based in the Netherlands. We increased our weighting in the Pacific Rim to over 13% as of June 30 from about 9% at the end of March as we continue to find stocks benefiting from the positive changes in the region. Our bottom-up stock selection approach also helped us uncover exciting opportunities in Europe, where the fund had over a 24% weighting as of the end of June. The fund's weighting in the United States and Canada stood at over 51% during the period. MARKET OUTLOOK: The long-term prospects for global investing remain promising as economic growth in many countries is expected to improve throughout 1999 and 2000. Factors such as the resumption of consumer demand in European countries and the economic recovery in emerging Asian nations and in Japan are seen to provide a favorable backdrop for stock pickers. * Effective April 1, 1999, the Fund changed its fiscal year end from March 31 to June 30. 16 - --------------------------------------------------------------------------------
4/19/93 6/93 6/94 6/95 6/96 6/97 6/98 6/30/99 ------- ---- ---- ---- ---- ---- ---- ------- Pilgrim Worldwide Growth Fund Class A Shares With Sales Charge 10000 9925 11071 11807 14296 17279 21621 29815 Pilgrim Worldwide Growth Fund Class A Shares Without Sales Charge 10000 10528 11744 12524 15165 18329 22936 31628 MSCI World Index 10000 10110 10964 11928 13904 16748 19350 22112
Average Annual Total Returns for the Periods Ended June 30, 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) 29.96% 20.47% 19.27% -- Class B (2) 32.05% -- -- 25.06% Class C (3) 36.05% 21.16% 19.66% -- Excluding Sales Charge: Class A 37.90% 21.19% 20.41% -- Class B 37.05% -- -- 25.30% Class C 37.05% 21.16% 19.66% -- MSCI World Index 14.28% 15.05% 13.86% 16.25% Based on a $10,000 initial investment, the graph 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 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 flucuation 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 investment opportunities. Risks of foreign investing are generally intensified for investments in emerging markets. 17 International Equity Funds Pilgrim International Core Growth Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- MANAGEMENT TEAM: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Lawrence S. Speidell, CFA, Partner, Director of Global/Systematic Portfolio Management and Research; Loretta J. Morris, Partner, Portfolio Manager; Ernesto Ramos, Ph.D., Senior Portfolio Manager; Melisa A. Grigolite, Portfolio Manager. GOAL: Pilgrim International Core Growth Fund seeks maximum long-term capital appreciation through investments primarily in companies located outside the United States and whose capitalizations are in the top 75% of publicly-traded companies in their countries. MARKET OVERVIEW: During the second quarter, evidence of strong economic growth in the United States triggered rising interest rates and inflation concerns. Among international markets, yield curves steepened in concert with the U.S. market as investors feared monetary tightening would be needed to curb inflation pressures and crimp a robust U.S. economy. Extending that scenario, investors looked ahead and feared slower U.S. economic growth would negatively impact the rest of the world. Despite these fears, non-U.S. stocks posted gains. International equity markets benefited from the positive trends of: * merger and acquisition activities, * corporate restructuring, and * privatization and deregulation of industries. In Japan, evidence of economic recovery, as reflected by the 1.9% rise in the country's Gross Domestic Product (GDP) in the first quarter of 1999, contributed to the favorable environment in international investing late in the quarter. The positive GDP figure, which ended six quarters of negative growth, signaled the return of investor confidence in the country during the period. PERFORMANCE: For the three-month period ended June 30, 1999*, the Fund's Class A shares, excluding sales charges, provided a total return of 6.83%, compared to the MSCI EAFE Index, an unmanaged index of major overseas markets, which gained 2.19% for the same period. PORTFOLIO SPECIFICS: Stock selection in Japan and the Netherlands positively impacted returns for the fund. Holdings in the technology, retail trade, and commercial/ industrial sectors contributed to gains. We have uncovered exciting opportunities on a stock-by-stock basis in Japan. Companies such as: Softbank Corp., a software/Internet firm; Ryohin Keikaku, a retail company; and Shohkoh Fund, a lending firm, were among our best-performing holdings in the period. In the United Kingdom, we own ARM Holdings PLC, the fund's top contributor in the second quarter. The company designs reduced instruction set computing (RISC) microprocessors. It licenses and sells its technology and products to semiconductor and electronics manufacturers, including Alcatel, Intel, Lucent, Samsung, Sony and Texas Instruments. As of June 30, the fund had a 51% weighting in Europe and 32% in the Pacific Rim. MARKET OUTLOOK: Looking ahead, the long-term prospects for international investing remain promising as economic growth in many countries is expected to improve throughout 1999 and 2000. Factors such as the resumption of consumer demand in European countries, and the economic recovery in emerging Asian nations and in Japan are seen to provide a favorable backdrop for stock pickers. * Effective April 1, 1999, the Fund changed its fiscal year end from March 31 to June 30. 18 - --------------------------------------------------------------------------------
2/28/97 6/97 6/98 6/30/99 ------- ---- ---- ------- Pilgrim Int'l Core Growth Fund Class A With Sales Charge 10000 11222 13916 14771 Pilgrim Int'l Core Growth Fund Class A Without Sales Charge 10000 11904 14762 15669 MSCI EAFE Index 10000 11281 11794 12508
Average Annual Total Returns for the Periods Ended June 30, 1999 -------------------------- Since Inception 1 Year 2/28/97 ------ --------------- Including Sales Charge: Class A (1) 0.02% 18.14% Class B (2) 0.45% 19.52% Class C (3) 4.47% 20.26% Excluding Sales Charge: Class A 6.14% 21.16% Class B 5.45% 20.53% Class C 5.47% 20.26% MSCI EAFE Index 6.05% 10.06% Based on a $10,000 initial investment, the graph above illustrates the total return of Pilgrim International Core Growth Fund against the Morgan Stanley Capital International Europe, Australia, Far East Index, an unmanaged index of major overseas markets. 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 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): International investing does pose special risks, including fluctuation and political risks not found in investments that are solely domestic. 19 International Equity Funds Pilgrim International SmallCap Growth Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- MANAGEMENT TEAM: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Lawrence S. Speidell, CFA, Partner, Director of Global/Systematic Portfolio Management and Research; Loretta J. Morris, Partner, Portfolio Manager; Ernesto Ramos, Ph.D., Senior Portfolio Manager; Melisa Grigolite, Portfolio Manager. GOAL: Pilgrim International SmallCap Growth Fund seeks maximum long-term capital appreciation through investments primarily in small companies located outside the United States, emphasizing the bottom 75% of publicly-traded companies as measured by market capitalization in each country. MARKET OVERVIEW: International small-caps have delivered solid gains in the second quarter of 1999. The pick-up in economic growth in many countries around the globe, resurgent consumer demand in developing nations and the recovery in commodity prices positively impacted returns for international small-caps. Corporate restructuring was also a major factor that bolstered performance. In Japan, for example, management teams at smaller-cap companies have embraced restructuring programs more quickly than those at more established, large-cap firms. As a result, small-cap stocks in Japan have surged. PERFORMANCE: For the three-month period ended June 30, 1999*, the Fund's Class A shares, excluding sales charges, provided a total return of 13.17% compared to the Salomon EPAC Extended Market Index, an unmanaged index comprised of smaller-capitalization companies in 22 countries excluding Canada and the United States which gained 5.33% for the same period. PORTFOLIO SPECIFICS: Stock selection in Japan, Germany and Hong Kong positively impacted the fund's returns during the period. Stock selection in the technology, consumer services, retail trade and financial services sectors also contributed to gains. As of the end of June, we had a 45% weighting in Europe as we continue to uncover promising opportunities in the region. We raised our weighting in the Pacific Rim to 41% as of June 30 from 33% at the end of the first quarter. Our bottom-up approach to equity investing led us to unearth exciting opportunities in the region. In Japan, the fund owns Hikari Tsushin, a major telecommunications subscription agency. The company benefits from strong cellular phone subscriber growth, focused product offerings and distribution, as well as dynamic management. In the United Kingdom, we own ARM Holdings PLC, the fund's top contributor in the second quarter. The company designs reduced instruction set computing (RISC) microprocessors. It licenses and sells its technology and products to semiconductor and electronics manufacturers, including Alcatel, Intel, Lucent, Samsung, Sony and Texas Instruments. MARKET OUTLOOK: Despite a lack of widespread recognition, the long-term outlook for smaller-cap stocks in non-U.S. markets remains favorable. The growing popularity of national exchanges that list smaller-cap issues, such as Japan's Jasdaq market, the Nouveau Marche in France and the Neuer Markt in Germany, is seen to provide exciting opportunities for stock pickers. Tighter regulations and better listing standards for these markets make them ideal places to look for high-quality stocks. * Effective April 1, 1999, the Fund changed its fiscal year end from March 31 to June 30. 20 - --------------------------------------------------------------------------------
8/31/94 6/95 6/96 6/97 6/98 6/30/99 ------- ---- ---- ---- ---- ------- Pilgrim International SmallCap Growth Fund Class A With Sales Charge 10000 8815 10655 13006 16935 20803 Pilgrim International SmallCap Growth Fund Class A Without Sales Charge 10000 9351 11303 13796 17965 22067 Salomon EPAC EM Index 10000 9303 10889 11023 11104 11507
Average Annual Total Returns for the Periods Ended June 30, 1999 ----------------------------------------------- Since Inception Since Inception of Class A and C of Class B 1 Year 8/31/94 5/31/95 ------ ---------------- --------------- Including Sales Charge: Class A (1) 15.79% 16.38% -- Class B (2) 16.96% -- 22.04% Class C (3) 20.98% 16.94% -- Excluding Sales Charge: Class A 22.84% 17.81% -- Class B 21.96% -- 22.31% Class C 21.98% 16.94% -- Salomon EPAC EM Index -0.39% 2.95% 5.01% Based on a $10,000 initial investment, the graph 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 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 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 subadviser believes they present attractive investment opportunities. Risks of foreign investing are generally intensified for investments in emerging markets. 21 International Equity Funds Pilgrim Emerging Countries Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- 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; Jessica Goncalves, Portfolio Manager; Ernesto Ramos, Ph.D., Portfolio Manager; Jon Borchardt, Investment Analyst; Jason Campbell, Investment Analyst. GOAL: Pilgrim Emerging Countries Fund seeks maximum long-term capital appreciation through investments in equity securities of issuers located in countries with emerging securities markets. MARKET OVERVIEW: Almost two years following a debilitating financial crisis in emerging countries, many markets in Asia and Latin America, as well as those in the Europe, Middle East and Africa (EMEA) region registered gains in the six-month period ending June 30, 1999. The following factors boosted returns: * significant economic recoveries in many emerging countries, * declining interest rates, * government efforts to implement structural reforms, * corporate restructuring, and * recovery in commodity prices. In Asia, banking sector restructuring has helped accelerate the pace of economic reform. In Thailand, where the currency crisis of 1997 started, the government has embarked on a program to recapitalize troubled banks. These banks, which suffered from a rise in non-performing loans, are in the process of repairing their depleted capital bases and raising new funds to cover their bad loans. Another country on the path of economic recovery is South Korea, which continues to benefit from the government's ongoing implementation of economic reforms. PERFORMANCE: For the three-month period ended June 30, 1999*, the Fund's Class A shares, excluding sales charges, provided a total return of 24.65% compared to the MSCI Emerging Markets Free Index, an unmanaged index comprised of companies representative of the market structure of 22 emerging market countries in Europe, Latin America and the Pacific Basin, which gained 23.62% for the same period. PORTFOLIO SPECIFICS: Amid an improving environment for emerging markets, stock selection, especially in Asia, was the greatest contributor to the fund's gains. Holdings in Taiwan, South Korea and Singapore were among the best performers during the period. We significantly increased our weighting in Asia in the period as we uncovered exciting opportunities on a stock-by-stock basis in the region. Datacraft Asia of Singapore, an information technology service provider and the premier systems integrator for Cisco Systems and Ascend Communications, was one of the fund's top performers. MARKET OUTLOOK: Although uncertainties in emerging markets remain, such as political and regulatory issues as well as liquidity problems, long-term prospects are compelling. These countries exhibit the following attractive fundamentals: * important share of world GDP and population, * competitive labor costs, and * rising productivity. * Effective April 1, 1999, the Fund changed its fiscal year end from March 31 to June 30. 22 - --------------------------------------------------------------------------------
11/28/94 6/95 6/96 6/97 6/98 6/30/99 -------- ---- ---- ---- ---- ------- Pilgrim Emerging Countries Class A With Sales Charge 10000 9534 11724 15260 12265 13886 Pilgrim Emerging Countries Class A Without Sales Charge 10000 10114 12437 16187 13011 14730 MSCI EMF Index 10000 8961 9525 10519 6274 7855
Average Annual Total Returns for the Periods Ended June 30, 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) 6.68% 7.41% -- Class B (2) 7.44% -- 9.04% Class C (3) 11.43% 7.81% -- Excluding Sales Charge: Class A 13.22% 8.80% -- Class B 12.44% -- 9.41% Class C 12.43% 7.81% -- MSCI EMF Index 25.20% -6.69% -3.12% Based on a $10,000 initial investment, the graph 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 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 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 subadviser believes they present attractive investment opportunities. Risks of foreign investing are generally intensified for investments in emerging markets. 23 International Equity Funds Pilgrim Asia-Pacific Equity Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- MANAGEMENT TEAM: Ian Burden, Chief Investment Officer; Man Wing Chung, Director; Rosanna Lam, Director; Richard Wong, Associate Director; Simon Yap, Associate Director; Seng Keong Wan, Senior Portfolio Manager; Leilani Lam, Portfolio Manager; Vernon Yu, Portfolio Manager; Sherwin Soo, Portfolio Manager. GOAL: Pilgrim Asia-Pacific Equity Fund (the "Fund") seeks long-term capital appreciation by investing in equity securities listed on stock exchanges in countries in the Asia-Pacific region or issued by companies based in this region, excluding Australia and Japan. MARKET OVERVIEW: During the 12-month period ending June 30, 1999, the Asian stock markets registered strong gains on the back of lower interest rates, substantial liquidity inflows and expectations of an economic recovery. In addition, rallies in the U.S. and Japan were a key influence on sentiment. Korea made the most significant surge as a result of buoyant domestic liquidity and foreign participation. Singapore's low interest rates, attractive macro policy and proactive corporate restructuring were positive for foreign funds inflow. Hong Kong's performance was basically in line with the U.S., while favorable China matters such as the country's effort to reflate its domestic economy and rotational buying in H-shares and China concept stocks, due to cheap valuations, added a sweetener for buying interest. Elsewhere, Indonesia was helped by declining interest rates supported by decelerating inflation, strengthened currency and a peaceful election campaign. Malaysia was helped by the falling interest rates and a possible MSCI reinstallation. Thailand's better-than-expected first quarter Gross Domestic Product of 0.9%, the first increase in seven quarters, confirmed the view that the economy is on the road to recovery. The economic recovery appears to be finding a broader base in the Philippines with improvements starting to show in the consumer sector. Taiwan was a relative laggard among Asian markets as disappointing corporate results and lack of government initiatives to support the market initially affected retail investors' buying interest. The influx of foreign investors was induced later by the better-than-expected industrial output and export growth numbers. PERFORMANCE: For the 12-month period ending June 30, 1999, the Fund's Class A shares, excluding sales charges, earned a total return of 61.88% compared to 87.02% for the Morgan Stanley Capital International All Countries Far East Free ex-Japan Index (the "MSCI"), a performance measurement of Far East markets excluding Japan. PORTFOLIO SPECIFICS: The correct overweight position, relative to the benchmark, in China due to attractive bottom-up valuations of companies contributed to the Fund's performance. The Fund reaped benefits from a subsequent rush of liquidity into neglected China plays following the government's aggressive relation policy. Stock selection was good, particularly on cyclical and recovery concept stocks which did well on growing optimism that Asia has seen the worst. The focus on airlines, banks and petrochemical stocks was correctly identified. The performance was somewhat limited by the underweight stance, relative to the benchmark, in Korea, which has done extremely well on the back of buoyant local liquidity and strong foreign interest as a result of increased weight given by MSCI. MARKET OUTLOOK: Signs of an improving export performance and recovering domestic economies against the background of (generally) low interest rates, continues to be highly supportive of regional equity markets. Further Fed tightening would be more challenging to regional equity markets than the recent extremely modest move, especially for Hong Kong. However, an improving global growth outlook is positive for both absolute, and relative return prospects in the region as a whole. 24 - -------------------------------------------------------------------------------- 9/1/95 6/96 6/97 6/98 6/30/99 ------ ---- ---- ---- ------- Asia Pacific Class A With Sales Charge 10000 9780 10345 4221 6833 Asia Pacific Class A Without Sales Charge 10000 10376 10976 4479 7250 MSCI Far East Free Ex-Japan Index 10000 11385 11707 4781 8942 Average Annual Total Returns for the periods ended June 30, 1999 ----------------------------------------- Since Inception 1 year 3 year 9/1/95 ------ ------ --------------- Including Sales Charge: Class A (1) 52.64% -12.99% -9.46% Class B (2) 55.64% -12.91% -9.53% Class M (3) 55.04% -12.87% -9.46% Excluding Sales Charge: Class A 61.88% -11.26% -8.05% Class B 60.64% -12.03% -8.80% Class M 60.68% -11.84% -8.62% MSCI Far East Free Ex-Japan Index 87.02% -7.74% -2.88% Based on a $10,000 initial investment, the graph above illustrates the total return of Pilgrim Asia-Pacific Equity Fund against the MSCI Far East Ex-Japan Index, an unmanaged index of the performance of Far East markets excluding Japan. 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 3%, 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): Exposure to financial and market risks that accompany investment in equities, and exposure to changes in currency exchange rates, and economic and political risks of foreign investing. 25 Income Funds Pilgrim Government Securities Income Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT TEAM: Robert K. Kinsey, Vice President & Senior Portfolio Manager; Charles G. Ullerich, CFA, Portfolio Manager. GOALS: Pilgrim 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 or instrumentalities. BOND MARKET OVERVIEW: The second half of 1998 witnessed extraordinary price volatility and illiquidity as a number of hedge-funds and emerging markets collapsed. Periods of extreme illiquidity and risk aversion are characterized by a flight to quality with purchases of on-the-run Treasuries at the expense of all other asset classes. Yields on 30-year Treasuries reached a low of 4.72%. Many market observers felt that financial markets stood at the precipice of collapse as credit markets ground to a halt. Once the Federal Reserve stepped in with aggressive easings, the markets stabilized. The long bond closed out the year at 5.10%. Calm returned to the fixed income markets with the new year. Mortgage and agency paper tightened, yet U. S. Treasury yields rose. As it became clear that the economy would not fall into the abyss, the very Fed easings that alleviated the market's liquidity fears were now seen as inflationary. The 30-year Treasury moved to a high of 5.70% during the first quarter. By the second quarter of 1999, risk aversion once again crept back into the fixed income markets. Although memories of last autumn's credit debacle are partially to blame, this period of illiquidity has many different causes. Monumental new debt issuance and broker-dealer hesitancy to inventory non-government bonds are the primary culprits. Fed tightening coupled with renewed troubles in many Latin American debt markets have compounded the problems of a skittish market. Moreover, swap spreads, the levels at which large institutional investors may swap fixed rate paper for floating rate and vice versa, are now posed to match the levels last seen in the worst days of October, 1998. Wide swap spreads have a negative impact on agency and mortgage-backed paper. Consequently, mortgage, agency, and off-the-run Treasury spreads have widened in tandem with the deterioration of sister markets. Faced with a robust economy and subsequent Fed tightening, the 30-year Treasury moved to a high of 6.16% during the second quarter. PERFORMANCE: For the 12-month period ended June 30, 1999, the Funds's Class A Shares, excluding sales charges, provided a total return of 1.89% compared to the Lehman Brothers Intermediate Treasury Index, an unmanaged index containing public obligations of the U.S. Treasury with an intermediate maturity range, which returned 4.49% in the same period. PORTFOLIO SPECIFICS: The mortgage market has been challenged over the last 12 months by a flight to quality, high prepayments, and finally by wide swap spreads. We have moved to limit the allowable duration range of the portfolio in order to dampen price volatility and reduce risk. Our shortening of duration on the eve of renewed inflationary fears has served us well, yet the need for yield compels us to maintain a high degree of mortgage-backed securities in a less than sanguine environment. MARKET OUTLOOK: The supply avalanche that has blighted the corporate bond market directly and government securities indirectly provides an opportunity to add desirable issues at very cheap levels. The spreads on bullet agencies are approaching historic levels. We will focus on adding positions throughout the summer in an effort to exploit the market's illiquidity. Going forward we intend to add securities less vulnerable to the vagaries of prepayments, while remaining cognizant of the income generation of the fund. Anticipation of a further Fed tightening in August may well push interest rates to near-term highs which may provide us with the opportunity to extend duration. 26 - --------------------------------------------------------------------------------
6/30/89 6/90 6/91 6/92 6/93 6/94 ------- ---- ---- ---- ---- ---- Pilgrim Gov't Sec's Income Fund Class A With Sales Charge 9525 10145 11077 12080 13266 12935 Pilgrim Gov't Sec's Income Fund Class A Without Sales Charge 10000 10651 11630 12683 13928 13581 Lehman Government/Mortgage Index 10000 10793 11955 13594 15144 14956 Lehman Intermediate Treasury Index 10000 10764 11889 13420 14783 14755 6/95 6/96 6/97 6/98 6/30/99 ---- ---- ---- ---- ------- Pilgrim Gov't Sec's Income Fund Class A With Sales Charge 14094 14564 15631 16824 17142 Pilgrim Gov't Sec's Income Fund Class A Without Sales Charge 14797 15291 16411 17664 17997 Lehman Government/Mortgage Index 16766 17602 19014 20986 21716 Lehman Intermediate Treasury Index 16192 16982 18146 19674 20556
Average Annual Total Returns for the Periods Ended June 30, 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) -2.93% 4.78% 5.54% -- -- Class B (2) -3.70% -- -- 3.50% -- Class C (3) -- -- -- -- 0.55% Class M(4) -1.96% -- -- 3.57% -- Excluding Sales Charge: Class A 1.89% 5.79% 6.05% -- -- Class B 1.09% -- -- 4.14% -- Class C -- -- -- -- 1.55% Class M 1.31% -- -- 4.45% -- Lehman Government/Mortgage Index 3.48% 7.74% 8.06% 6.88% (5) 1.19% Lehman Intermediate Treasury Index 4.49% 6.86% 7.47% 6.13% 1.02%
Based on a $10,000 initial investment, the graph above illustrates the total return of Pilgrim Government Securities Fund against the Lehman Intermediate Treasury 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 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. (4) Reflects deduction of the maximum Class M sales charge of 3.50%. (5) Since inception performance is shown from 7/31/95. PRINCIPAL RISK FACTOR(S): Exposure to financial and interest rate risks and prepayment risk or 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. 27 Income Funds Pilgrim Strategic Income Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT TEAM: Robert K. Kinsey, Vice President & Senior Portfolio Manager; Kevin Mathews, Senior Vice President & Senior Portfolio Manager. GOALS: Pilgrim Strategic Income Fund (the "Fund") seeks maximum total return by investing primarily in debt securities issued by U.S. and foreign corporations, 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 debt securities rated below investment grade. MARKET OVERVIEW: Risk aversion has once again crept back into the investment-grade fixed income markets. From April 1st through June 30th, spreads widened in the face of monumental new issue supply and broker-dealer hesitancy to inventory non-government bonds. Renewed troubles in many Latin American debt markets, coupled with Fed tightening have moved many issues out to or near the wide levels witnessed in January of this year. Swap spreads, which are seen by some as a barometer of financial system liquidity, are now posed to match the levels seen in October, 1998 during the worst of the hedge fund and credit spread debacle. The high yield market has continued to experience technical weakness through the first six months of 1999. Although there was fear in the market of an economic slowdown and rising interest rates and inflation, high yield bond prices remained stable to slightly lower. As a result, spreads narrowed to Treasuries through early May. As the second quarter ended, the market became increasingly concerned about credit quality and the bias of the Federal Reserve on monetary policy. High yield bond prices moved lower causing spreads to widen slightly in late May and June. PERFORMANCE: For the three-month period ended June 30, 1999*, the Fund's Class A shares, excluding sales charges, were down 1.23% compared to the Lehman Aggregate Bond Index, an unmanaged index of fixed income securities, which was down 0.88%. PORTFOLIO SPECIFICS: The wholesale deterioration in the investment grade fixed income markets was partially offset by our reduction in Latin American names and the paring back of Commercial Mortgage-Backed Securities, two sectors that were subsequently hit very hard. Additions to the portfolio are more tradable, and in some cases multi-billion dollar, issues in anticipation of the markets preference for liquidity. The relative value, or cheapness, of the high yield markets provided an opportunity to increase our allocation from the mid-teens to about 35%. High yield positions were consolidated as smaller holdings were sold and exposure was increased to the Telecommunications sector. Finally, we closed out all non-dollar positions. MARKET OUTLOOK: The supply avalanche that has blighted the investment grade market provides an opportunity to add quality names at very cheap levels. Given that most issuers have decided to complete all their funding needs well before the fourth quarter and Y2K, spreads should revert to their mean in the near future. Although repeated Fed tightenings will eventually moderate the economy, we do not anticipate major profit dislocations. Although high yield bonds have recovered from the liquidity crunch of the third quarter of 1998, we believe they continue to trade relatively cheap to historical averages. Lacking a further dramatic move upward in interest rates or inflation in the coming year, high yield should provide attractive returns versus other fixed income asset classes. * Effective April 1, 1999, the Fund changed its fiscal year end from March 31 to June 30. 28 - -------------------------------------------------------------------------------- 7/27/98 6/30/99 ------- ------- Pilgrim Strategic Income Fund Class A With Sales Charge 10000 9739 Pilgrim Strategic Income Fund Class A Without Sales Charge 10000 10223 Lehman Brothers Aggregate Index 10000 10283 Average Annual Total Returns for the Periods Ended June 30, 1999 ----------------------------------- Since Inception 7/27/98 ----------------------------------- Including Sales Charge: Class A (1) -2.61% Class B (2) -3.04% Class C (3) 1.22% Excluding Sales Charge: Class A 2.23% Class B 1.96% Class C 1.97% Lehman Brothers Aggregate Index 2.83% Based on a $10,000 initial investment, the graph 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%. (3) Reflects deduction of the Class C deferred sales charge of 0.75%. PRINCIPAL RISK FACTOR(S): 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. 29 Income Funds Pilgrim High Yield Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT: Kevin Mathews, Senior Vice President & Senior Portfolio Manager. GOALS: Pilgrim 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 12-month period ending June 30, 1999 began, as one of the most friendly to high yield bonds that we have seen in several years. Shortly after the beginning of the period major shocks were sent through the capital markets giving us some of the widest spreads we have seen since the recession in 1989-1990. High yield spreads widened as a result of a flight to quality, which took place in July and August, 1998. This occurred as a result of major dislocations in foreign markets, primarily based on the fear that the Russian economy might collapse. These fears, in hindsight, were overblown, but there were major repercussions in the global bond market. Credit spreads on high yield bonds widened dramatically to levels not seen since the 1990 recession. Many market participants were caught off guard as liquidity was reduced. Leverage employed by certain market participants, particularly hedge funds, resulted in heavy losses as foreign markets traded off. Many major banks and brokerage firms had loaned money or actually taken equity positions in these funds. As losses mounted, the lenders became more conservative. The major market makers, or dealers, of high yield instruments cut their capital available for trading operations as part of this push towards conservatism. As a result, fewer or no bids were available to sellers of bonds, and bond prices dropped. New issue activity slowed considerably as buyers had less cash to spend. What looked like a potentially record breaking year for new issues after six months, turned out to be just an above average year by the end of December, 1998. As 1999 began, the market stabilized and spreads began to narrow. However, spreads remained wider than they had been in the first half of 1998. Investors were now concerned that the Federal Open Market Committee ("FOMC") had changed its bias from easing monetary policy to a more neutral stance. By the end of our fiscal year June, 1999, more investors had become concerned that inflation might pick up. Interest rates had risen significantly from late 1998. On June 30th, the FOMC raised the Fed Funds rate from 4.75% to 5.00%, tightening monetary policy. It now appears that the FOMC is trying to engineer a soft landing by slowing the economy and keeping inflation under control without driving the country into a recession. If they successfully engineered another soft landing, as they did earlier in the decade, it would be positive for high yield issues. PERFORMANCE: For the 12-month period ended June 30, 1999, the Fund's Class A shares, excluding sales charges, provided a total return of -5.57% compared to the Lehman Brothers High Yield Index, an unmanaged index of high yield bonds, which returned -0.38%, and the First Boston High Yield Index, an unmanaged index of high yield bonds, which returned -0.85% for the same period. PORTFOLIO SPECIFICS: It was a difficult environment for high yield bonds the last 12 months. The Fund was particularly hit hard by exposure to commodity-based industries such as mining and steel. Positively impacting performance was our heavy weighting in the communications sector. This area of the economy continues to grow at rates above the general growth rate in the United States. The fund also benefited from its core investment philosophy, which prevented the ownership of foreign and emerging markets issues. The fund avoided these sectors which underperformed the market for the period. MARKET OUTLOOK: Much depends on the actions the FOMC takes in the next several quarters. We have an economy that is growing, and inflation rates that are reasonable. If through its control of monetary policy the FOMC can keep a lid on inflation and continue economic prosperity, it will be positive for high yield bonds. 30 - -------------------------------------------------------------------------------- High yield issues are trading relatively cheaply to their historical averages. This presents what we believe is an opportunity to achieve returns above the long-term averages for high yield securities on issues purchased in today's market environment.
6/30/89 6/90 6/91 6/92 6/93 6/94 ------- ---- ---- ---- ---- ---- Pilgrim High Yield Fund Class A With Sales Charge 9523 9173 9954 12259 14268 14883 Pilgrim High Yield Fund Class A Without Sales Charge 10000 9633 10454 12874 14984 15629 First Boston High Yield Index 10000 10330 11951 14959 17496 18152 6/95 6/96 6/97 6/98 6/30/99 ---- ---- ---- ---- ------- Pilgrim High Yield Fund Class A With Sales Charge 16316 18392 21545 24067 22727 Pilgrim High Yield Fund Class A Without Sales Charge 17134 19314 22625 25274 23866 First Boston High Yield Index 20421 22457 25751 28579 28336
Average Annual Total Returns for the Periods Ended June 30, 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) -10.10% 7.77% 8.56% -- -- Class B (2) -10.50% -- -- 6.92% -- Class C (3) -- -- -- -- -0.66% Class M (4) -8.88% -- -- 6.91% -- Excluding Sales Charge: Class A -5.57% 8.84% 9.09% -- -- Class B -6.23% -- -- 7.51% -- Class C 0.34% -- -- -- 0.34% Class M -5.85% -- -- 7.82% -- First Boston High Yield Index -0.85% 9.31% 10.47% 8.30% (5) 0.05%
Based on a $10,000 initial investment, the graph above illustrates the total return of Pilgrim High Yield Fund against the First Boston 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 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. (4) Reflects deduction of the maximum Class M sales charge of 3.50%. (5) Since inception return from 7/31/95. PRINCIPAL RISK FACTOR(S): Exposure to financial market and interest rate risk. High Yields reflect the higher credit risks associated with certain lower rated securities in the fund's portfolio and in some cases, have lower market prices for those instruments. 31 Income Funds Pilgrim High Yield Fund II PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT: Kevin Mathews, Senior Vice President & Senior Portfolio Manager. GOALS: Pilgrim 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 12-month period ending June 30, 1999, began as one of the most friendly to high yield bonds that we have seen in several years. Shortly after the beginning of the period, major shocks were sent through the capital markets giving us some of the widest spreads we have seen since the recession in 1989-1990. High yield spreads widened as a result of a flight to quality, which took place in July and August, 1998. This occurred as a result of major dislocations in foreign markets, primarily based on the fear that the Russian economy might collapse. These fears, in hindsight, were overblown, but there were major repercussions in the global bond market. Credit spreads on high yield bonds widened dramatically to levels not seen since the 1990 recession. Many market participants were caught off guard as liquidity was reduced. Leverage employed by certain market participants, particularly hedge funds, resulted in heavy losses as foreign markets traded off. Many major banks and brokerage firms had loaned money or actually taken equity positions in these funds. As losses mounted, the lenders became more conservative. The major market makers, or dealers, of high yield instruments cut their capital available for trading operations as part of this push towards conservatism. As a result, fewer or no bids were available to sellers of bonds, and bond prices dropped. New issue activity slowed considerably as buyers had less cash to spend. What looked like a potentially record breaking year for new issues after six months, turned out to be just an above average year by the end of December, 1998. As 1999 began, the market stabilized and spreads began to narrow. However, spreads remained wider than they had been in the first half of 1998. Investors were now concerned that the Federal Open Market Committee ("FOMC") had changed its bias from easing monetary policy to a more neutral stance. By the end of our fiscal year June, 1999, more investors had become concerned that inflation might pick up. Interest rates had risen significantly from late 1998. On June 30th, the FOMC raised the Fed Funds rate from 4.75% to 5.00%, tightening monetary policy. It now appears that the FOMC is trying to engineer a soft landing by slowing the economy and keeping inflation under control without driving the country into a recession. If they successfully engineered another soft landing, as they did earlier in the decade, it would be positive for high yield issues. PERFORMANCE: During the three-month period ended June 30, 1999*, the Fund's Class A shares, excluding sales charges, were up 1.60% compared to the First Boston High Yield Index, an unmanaged index of high yield bonds, which returned 1.16% for the same period. PORTFOLIO SPECIFICS: In a tough market for high yield bonds over the last 12 months, the fund has performed well. The growth orientation of the holdings has helped the fund avoid downgrades and outperform the market. Helping the fund was a lack of exposure to foreign and emerging markets issues. These issues were particularly volatile after the Russian economic scare. Communications and technology issues were heavily weighted and outperformed the market. Their growth rates continue to exceed the overall growth rates of the economy. Lastly, the fund had a heavy exposure to short maturity, yield-to-call bonds. These are issues that are less sensitive to market price movements because they are about to be called, or repurchased, by their issuers. These issues helped performance in what was generally a negative market. * Effective April 1, 1999, the Fund changed its fiscal year end from March 31 to June 30. 32 - -------------------------------------------------------------------------------- MARKET OUTLOOK: Much depends on the actions the FOMC takes in the next several quarters. We have an economy that is growing, and inflation rates that are reasonable. If through its control of monetary policy the FOMC can keep a lid on inflation and continue economic prosperity, it will be positive for high yield bonds. High yield issues are trading relatively cheaply to their historical averages. This presents what we believe is an opportunity to achieve returns above the long-term averages for high yield securities on issues purchased in today's market environment. 3/27/98 6/98 6/30/99 ------- ---- ------- Pilgrim High Yield Fund II Class A With Sales Charge 10000 9693 9779 Pilgrim High Yield Fund II Class A Without Sales Charge 10000 10174 10264 Lehman High Yield Index 10000 10102 10063 Average Annual Total Returns for the Periods Ended June 30, ------------------------------ Since Inception 1 Year 3/27/98 ------ --------------- Including Sales Charge: Class A (1) -3.91% -1.76% Class B (2) -4.18% -1.32% Class C (3) -0.52% 1.56% Excluding Sales Charge: Class A 0.88% 2.09% Class B 0.40% 1.56% Class C 0.39% 1.56% Lehman High Yield Index -0.38% 0.58% Based on a $10,000 initial investment, the graph above illustrates the total return of Lehman High Yield II 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% for the 1-year return. PRINCIPAL RISK FACTOR(S): 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 price for those instruments. 33 Equity & Income Funds Pilgrim Balanced Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- PORTFOLIO MANAGEMENT TEAM: G. David Underwood, Vice President & Senior Portfolio Manager; Kevin Mathews, Senior Vice President & Senior Portfolio Manager; Robert K. Kinsey, Vice President & Senior Portfolio Manager. GOALS: Pilgrim 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: Investor attention had been on large-capitalization growth stocks since 1997. Many of these stocks benefited from corporate restructuring that began in the 1980's. Throughout last year, however, the largest 50 stocks in the S&P 500 Index, an unmanaged index of the stocks of approximately 500 large- capitalization U.S. companies, accounted for most of the index's appreciation as these select few provided a safe haven from fears of global economic weakness. Preference shifted by the beginning of the second quarter of 1999, as it became apparent that growth of the U.S. economy remained strong, and that global economic conditions were also improving. Investors migrated to more cyclical stocks, particularly those of the Basic Industries and the Energy sectors, where depressed commodity prices stood to benefit from rising global economic activity. The shifting market preferences in the Spring of 1999 also resulted in broader participation among market sectors. For example, over the past 12 months, only the Technology and Communications Services sectors outperformed the S&P 500 Index. During the second quarter however, six of the 11 sectors of the market, Basic Industries, Capital Goods, Communication Services, Energy, Technology and Utilities, outperformed the Index. Still, participation among stocks was relatively narrow, as the 7% gain of the S&P in the quarter was attributed to 70 companies. bond market overview: Risk aversion has once again crept back into the investment-grade fixed income markets. From April 1st through June 30th, spreads widened in the face of monumental new issue supply and broker-dealer hesitancy to inventory non-government bonds. Renewed troubles in many Latin American debt markets coupled with Fed tightening have moved many issues out to or near the wide levels witnessed in January of this year. Swap spreads, which are seen by some as a barometer of financial system liquidity, are now posed to match the levels seen in October, 1998 during the worst of the hedge fund and credit spread debacle. The high yield market has continued to experience technical weakness through the first six months of 1999. Although there was fear in the market of an economic slowdown and rising interest rates and inflation, high yield bond prices remained stable to slightly lower. As a result, spreads narrowed to Treasuries through early May. As the second quarter ended, the market became increasingly concerned about credit quality and the bias of the Federal Reserve on monetary policy. High yield bond prices moved lower causing spreads to widen slightly in late May and June. performance: For the three-month period ended June 30, 1999*, the Fund's Class A shares, excluding sales charges, provided a total return of 1.42%, compared to a composite index, consisting of 60% S&P 500 Index and 40% Lehman Brothers Government/Corporate Bond Index, an unmanaged market-weighted index consisting of all public obligations of the U.S. Government, its agencies and instrumentalities and all corporation issuers of fixed rate, non-convertible, investment grade U.S. dollar denominated bonds having maturities of greater than one year, which gained 3.88% for the same period. portfolio specifics: Appropriate sector allocation and good stock selection, combined with a disciplined portfolio management approach, led to the Fund's strong investment performance. The Fund has maintained about 20% in technology-related industries for much of the past year. Holdings in the stocks of Sun Microsystems, IBM, Hewlett Packard, Cisco Systems, America Online and Microsoft performed particularly well. The Fund's holdings in Dupont, Alcoa, Tyco Industries, Chevron and Schlumberger were equally strong in the most recent quarter. As of the end of June, Technology was the largest sector of the Fund, followed by Consumer Nondurables, Consumer Cyclicals, Retailing and Healthcare. * Effective April 1, 1999, the Fund changed its fiscal year end from March 31 to June 30. 34 - -------------------------------------------------------------------------------- The wholesale deterioration in the investment-grade fixed income markets was partially offset by our reduction in Latin American names, non-dollar positions, and Commercial Mortgage-Backed Securities. Additions to the portfolio are more tradable issues in anticipation of the market's preference for liquidity. The relative value, or cheapness, of the high yield markets provided an opportunity to increase our holdings from the mid-teens to nearly 35% of the total bond allocation. market outlook: The market environment still appears favorable for investment in large-capitalization companies. We expect the equity market to broaden further, as more groups and more individual stocks participate in the markets advance. Finally, we still see value in the long-term franchises of the leading companies in which the fund invests. The supply avalanche that has blighted the bond market provides an opportunity to add desirable names at very cheap levels. Given that most issuers have decided to complete all their 1999 funding needs well before the fourth quarter and Y2K, spreads should revert to their mean in the near future.
4/19/93 6/93 6/94 6/95 6/96 6/97 6/98 6/30/99 ------- ---- ---- ---- ---- ---- ---- ------- Pilgrim Balanced Fund Class A With Sales Charge 10000 10411 9697 11622 13527 15381 19482 22580 Pilgrim Balanced Fund Class A Without Sales Charge 10000 11044 10286 12329 14350 16316 20666 23953 60% S&P 500 / 40% Lehman Aggregate 10000 10219 10080 11955 13898 17210 21142 24577
Average Annual Total Returns for the Periods Ended June 30, 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) 9.24% 17.03% 14.04% -- Class B (2) 10.23% -- -- 17.96% Class C (3) 14.23% 17.65% 14.42% -- Excluding Sales Charge: Class A 15.90% 18.42% 15.13% -- Class B 15.23% -- -- 18.25% Class C 15.14% 17.65% 14.42% -- 60% S&P 500/40% Lehman Aggregate 14.92% 19.83% 15.30% (4) 19.12%
Based on a $10,000 initial investment, the graph 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 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. (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. 35 Equity & Income Funds Pilgrim Convertible Fund PORTFOLIO MANAGER'S REPORT - -------------------------------------------------------------------------------- MANAGEMENT TEAM: Catherine Somhegyi, Partner, Chief Investment Officer, Global Equity Management; Douglas G. Forsyth, Portfolio Manager; William L. Stickney, Portfolio Manager; Michael Carroll, Investment Analyst; Michael Yee, Investment Analyst. GOAL: Pilgrim Convertible Fund seeks maximum total return, consisting of capital appreciation and current income, by investing primarily in convertible securities. MARKET OVERVIEW: Strength in the stock market and narrowing credit spreads continued to help convertible bonds in the second quarter. We viewed the Federal Reserve Board's decision to raise short-term interest rates by 25 basis points on the last day of the quarter as a sign of its proactive approach. That move could keep the economy in a modest growth phase and limit inflation concerns, both positives for the convertible market. Technology-related issues were among the best performers during the quarter, especially in June. PERFORMANCE: For the three-month period ended June 30, 1999*, the Fund's Class A shares, excluding sales charges, provided a total return of 6.62% compared to the First Boston Convertible Index, an unmanaged index representing the universe of convertible securities, which gained 7.53% for the same period. PORTFOLIO SPECIFICS: Investor preference for value- oriented stocks and a sharp selloff among technology issues early in the quarter negatively impacted returns as the fund retained a significant weighting in technology issues throughout the period. Issue-specific disappointments, such as energy providers Williams Companies and Texas Utilities, also weighted on returns. However, later in the quarter, as technology stocks rebounded, fund returns outdistanced those of the benchmark. Among the fund's top-performing holdings late in the quarter were Qualcomm, Analog Devices and LSI Logic. Other strong performers included Ericsson and Citrix. Select issues in the commercial/industrial and retail sectors also contributed to gains. MARKET OUTLOOK: The fund retains its significant weighting in technology issues and we continue to see signs of promise within this sector, especially among telecommunications and telecom equipment providers as a result of increasing demand. Our bottom-up approach also continues to uncover opportunities in other sectors such as retail where pockets of strength coexist with issuer-specific distinctions. Recently, issues such as Ann Taylor, Home Depot and CVS Corp. have delivered strong gains. Convertibles remain an attractive asset class for risk-conscious investors who seek stock market participation with limited downside exposure. * Effective April 1, 1999, the Fund changed its fiscal year end from March 31 to June 30. 36 - --------------------------------------------------------------------------------
4/19/93 6/93 6/94 6/95 6/96 6/97 6/98 6/30/99 ------- ---- ---- ---- ---- ---- ---- ------- Pilgrim Convertible Fund Class A With Sales Charge 10000 10308 10743 11744 14308 17368 21139 26189 Pilgrim Convertible Fund Class A Without Sales Charge 10000 10935 11396 12458 15178 18424 22425 27781 First Boston Convertible Index 10000 10271 10437 12162 14081 16211 18477 20636
Average Annual Total Returns for the Periods Ended June 30, 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) 16.74% 18.10% 16.80% -- Class B (2) 18.09% -- -- 21.92% Class C (3) 22.02% 18.74% 17.14% -- Excluding Sales Charge: Class A 23.88% 19.51% 17.92% -- Class B 23.09% -- -- 22.19% Class C 23.02% 18.74% 17.14% -- First Boston Convertible Index 11.68% 14.62% 12.47%(4) 14.84%
Based on a $10,000 initial investment, the graph 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 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. (4) Since inception performance for index is shown from 4/30/93. PRINCIPAL RISK FACTOR(S): Financial and market risks associated with equity investing, currency fluctuations, and economic and political 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. 37 (THIS PAGE INTENTIONALLY LEFT BLANK) 38 Pilgrim Funds REPORT OF INDEPENDENT AUDITORS - -------------------------------------------------------------------------------- To the Shareholders and Board of Directors The Pilgrim Funds: We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of the Pilgrim MagnaCap Fund, Pilgrim LargeCap Leaders Fund, Pilgrim LargeCap Growth Fund, Pilgrim MidCap Value Fund, Pilgrim MidCap Growth Fund, Pilgrim SmallCap Growth Fund, Pilgrim Bank & Thrift Fund, Pilgrim Worldwide Growth Fund, Pilgrim International Core Growth Fund, Pilgrim International SmallCap Growth Fund, Pilgrim Emerging Countries Fund, Pilgrim Asia-Pacific Equity Fund, Pilgrim Government Securities Income Fund, Pilgrim Strategic Income Fund, Pilgrim High Yield Fund, Pilgrim High Yield Fund II, Pilgrim Balanced Fund and Pilgrim Convertible Fund as of June 30, 1999, and the related statements of operations for the year then ended, statements of changes in net assets for each of the years in the two-year period then ended, and financial highlights for the periods indicated herein, except as described below, for all funds except for the Pilgrim Bank and Thrift Fund, for which we audited the statements of changes in net assets for the year ended June 30, 1999, the six months ended June 30, 1998 and the year ended December 31, 1997, and the 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, Pilgrim High Yield Fund II, Pilgrim Balanced Fund, and Pilgrim Convertible Fund for which we audited the related statements of operations, changes in net assets and financial highlights for the three-month period ended June 30, 1999. These financial statements and financial highlights are the responsibility of the Company's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. For all periods ending prior to January 1, 1995 for the Pilgrim Bank & Thrift Fund, all periods ending prior to July 1, 1994 for the Pilgrim MagnaCap Fund and the Pilgrim Government Securities Fund, and for all periods ending prior to November 1, 1994 for the Pilgrim High Yield Fund, the financial highlights were audited by other auditors whose reports thereon dated January 19, 1995, July 22, 1994 and November 17, 1995, respectively, expressed unqualified opinions on those financial highlights. For all periods ending prior to April 1, 1999 for the 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, Pilgrim High Yield Fund II, Pilgrim Balanced Fund, and Pilgrim Convertible Fund the statements of operations, changes in net assets, and financial highlights were audited by other auditors whose report thereon dated May 7, 1999 expressed an unqualified opinion on those financial statements and financial highlights. We conducted our audits in accordance with generally accepted auditing standards. Those standards required that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 1999 by correspondence with the custodians and other appropriate audit procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide as reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above, excluding those financial statements and financial highlights which were indicated above as having been audited by others, present fairly, in all material respects, the financial position of each of the aforementioned funds as of June 30, 1999, the results of their operations, the changes in their net assets, and their financial highlights for the periods indicated herein, except as noted above, in conformity with generally accepted accounting principles. KPMG LLP Los Angeles, California August 20, 1999 39 U.S. Equity Funds STATEMENTS OF ASSETS AND LIABILITIES as of June 30, 1999 - -------------------------------------------------------------------------------- LargeCap LargeCap MagnaCap Leaders Growth Fund Fund Fund ------------ ----------- ------------ ASSETS: Investments in securities at market value* $460,543,922 $36,906,715 $ 97,870,110 Short-term investments at amortized cost 37,058,000 1,274,000 12,441,000 Cash 5,915 9,709 11,662 Receivables: Fund shares sold 703,714 40,743 4,154,475 Dividends and interest 631,514 30,041 37,922 Due from affiliate -- 270 26,893 Investment securities sold 3,636,561 142,108 31,151 Prepaid expenses 70,824 38,557 5,774 Deferred organization expenses -- 30,508 -- ------------ ----------- ------------ Total Assets 502,650,450 38,472,651 114,578,987 ------------ ----------- ------------ LIABILITIES: Payable for investment securities purchased -- -- 11,406,913 Payable for fund shares redeemed 535,029 38,512 193,181 Payable to affiliate 4,000 -- -- Payable to custodian -- -- -- Other accrued expenses and liabilities 423,956 53,744 14,945 ------------ ----------- ------------ Total Liabilities 962,985 92,256 11,615,039 ------------ ----------- ------------ NET ASSETS $501,687,465 $38,380,395 $102,963,948 ============ =========== ============ NET ASSETS CONSIST OF: Paid-in capital $315,996,628 $28,318,038 $ 79,823,880 Undistributed net investment income 536,313 -- -- Accumulated net realized gain (loss) on investments 49,186,476 3,402,717 7,616,785 Net unrealized appreciation of investments 135,968,048 6,659,640 15,523,283 ------------ ----------- ------------ Net Assets $501,687,465 $38,380,395 $102,963,948 ============ =========== ============ *Cost of securities $324,575,874 $30,247,075 $ 82,346,827
MidCap MidCap SmallCap Value Growth Growth Bank and Thrift Fund Fund Fund Fund ----------- ------------ ------------ -------------- ASSETS: Investments in securities at market value* $58,462,511 $278,493,200 $309,561,671 $738,225,191 Short-term investments at amortized cost 2,025,000 3,347,000 5,561,000 2,321,000 Cash 9,469 210,301 5,657 -- Receivables: Fund shares sold 70,867 765,570 427,935 527,312 Dividends and interest 21,297 52,011 45,140 982,334 Due from affiliate -- 68,153 268,220 -- Investment securities sold -- 4,447,146 4,195,380 6,700,505 Prepaid expenses 36,294 19,574 32,211 113,752 Deferred organization expenses 30,508 -- -- -- ----------- ------------ ------------ ------------ Total Assets 60,655,946 287,402,955 320,097,214 748,870,094 ----------- ------------ ------------ ------------ LIABILITIES: Payable for investment securities purchased -- 6,548,970 2,186,814 340,198 Payable for fund shares redeemed 177,869 589,320 1,133,965 2,225,170 Payable to affiliate 1,000 -- -- 10,000 Payable to custodian -- -- -- 11,174 Other accrued expenses and liabilities 81,337 129,280 203,713 658,597 ----------- ------------ ------------ ------------ Total Liabilities 260,206 7,267,570 3,524,492 3,245,139 ----------- ------------ ------------ ------------ NET ASSETS $60,395,740 $280,135,385 $316,572,722 $745,624,955 =========== ============ ============ ============ NET ASSETS CONSIST OF: Paid-in capital $51,181,658 $137,864,194 $147,496,284 $571,097,211 Undistributed net investment income -- -- -- 3,311,373 Accumulated net realized gain (loss) on investments (523,251) 77,323,000 84,971,279 71,713,677 Net unrealized appreciation of investments 9,737,333 64,948,191 84,105,159 99,502,694 ----------- ------------ ------------ ------------ Net Assets $60,395,740 $280,135,385 $316,572,722 $745,624,955 =========== ============ ============ ============ *Cost of securities $48,725,178 $213,545,009 $225,456,512 $638,722,497
See Accompanying Notes to Financial Statements 40 - --------------------------------------------------------------------------------
LargeCap LargeCap MidCap MidCap SmallCap MagnaCap Leaders Growth Value Growth Growth Bank and Thrift Fund Fund Fund Fund Fund Fund Fund ------------ ----------- ----------- ----------- ------------ ------------ ------------ CLASS A: Net Assets $368,508,478 $ 8,506,030 $30,107,581 $18,621,036 $ 66,586,012 $102,640,911 $402,895,482 Shares authorized 80,000,000 28,000,000 unlimited 28,000,000 unlimited unlimited 100,000,000 Par value $ 1.00 $ 0.10 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.10 Shares outstanding 20,825,734 490,358 1,071,853 1,189,967 3,120,150 5,380,592 16,526,476 Net asset value and redemption price per share $ 17.69 $ 17.35 $ 28.09 $ 15.65 $ 21.34 $ 19.08 $ 24.38 Maximum offering price per share(1) $ 18.77 $ 18.40 $ 29.80 $ 16.60 $ 22.64 $ 20.24 $ 25.87 CLASS B: Net Assets $116,227,171 $24,213,106 $49,057,385 $31,223,185 $ 49,334,533 $ 49,447,954 $342,729,473 Shares authorized 80,000,000 28,000,000 unlimited 28,000,000 unlimited unlimited 100,000,000 Par value $ 1.00 $ 0.10 $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 0.10 Shares outstanding 6,696,203 1,432,476 1,742,728 2,052,618 1,959,417 2,055,763 14,154,855 Net asset value and redemption price per share(2) $ 17.36 $ 16.90 $ 28.15 $ 15.21 $ 25.18 $ 24.05 $ 24.21 Maximum offering price per share $ 17.36 $ 16.90 $ 28.15 $ 15.21 $ 25.18 $ 24.05 $ 24.21 CLASS C: Net Assets $ 601,079 $ 31 $17,755,047 $ 47,132 $144,831,672 $153,470,705 n/a Shares authorized 80,000,000 28,000,000 unlimited 28,000,000 unlimited unlimited n/a Par value $ 1.00 $ 0.10 $ 0.00 $ 0.00 $ 0.00 $ 0.00 n/a Shares outstanding 34,608 2 632,420 3,101 7,323,780 8,158,235 n/a Net asset value and redemption price per share(2) $ 17.37 $ 16.92 $ 28.07 $ 15.20 $ 19.78 $ 18.81 n/a Maximum offering price per share $ 17.37 $ 16.92 $ 28.07 $ 15.20 $ 19.78 $ 18.81 n/a CLASS M: Net Assets $ 16,350,737 $ 5,661,228 n/a $10,504,387 n/a n/a n/a Shares authorized 40,000,000 14,000,000 n/a 14,000,000 n/a n/a n/a Par value $ 1.00 $ 0.10 n/a $ 0.00 n/a n/a n/a Shares outstanding 933,696 331,376 n/a 686,723 n/a n/a n/a Net asset value and redemption price per share $ 17.51 $ 17.08 n/a $ 15.30 n/a n/a n/a Maximum offering price per share(3) $ 18.15 $ 17.70 n/a $ 15.85 n/a n/a n/a CLASS Q: Net Assets n/a n/a $ 6,043,935 n/a $ 19,383,168 $ 11,013,152 n/a Shares authorized n/a n/a unlimited n/a unlimited unlimited n/a Par value n/a n/a $ 0.00 n/a $ 0.00 $ 0.00 n/a Shares outstanding n/a n/a 212,554 n/a 719,569 519,825 n/a Net asset value and redemption price per share(2) n/a n/a $ 28.43 n/a $ 26.94 $ 21.19 n/a Maximum offering price per share n/a n/a $ 28.43 n/a $ 26.94 $ 21.19 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. 41 International Equity Funds STATEMENTS OF ASSETS AND LIABILITIES as of June 30, 1999 - --------------------------------------------------------------------------------
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* $202,401,856 $43,435,908 $111,950,014 $176,341,560 $ 30,246,232 Short-term investments at amortized cost 14,758,000 -- 5,360,000 7,384,000 951,000 Foreign Currency** -- -- 2,580,215 -- 509,803 Cash -- 1,307,535 225,008 -- -- Receivables: Fund shares sold 3,231,038 1,092,349 2,015,853 1,774,077 914,736 Dividends and interest 509,397 281,735 226,990 775,276 51,117 Due from affiliate 283,144 210,661 104,837 63,772 15,223 Investment securities sold 3,029,806 2,611,095 2,462,444 2,495,161 226,252 Prepaid expenses 43,356 20,047 46,835 39,507 15,427 Deferred organization expenses -- -- -- -- 30,508 ------------ ----------- ------------ ------------ ------------ Total Assets 224,256,597 48,959,330 124,972,196 188,873,353 32,960,298 ------------ ----------- ------------ ------------ ------------ LIABILITIES: Payable for investment securities purchased 2,673,655 2,074,806 6,793,906 2,785,288 72,051 Payable for fund shares redeemed 152,807 25,916 64,802 637,237 103,077 Outstanding credit facility loan -- 226,261 -- -- -- Payable to custodian 1,027,471 798,448 -- 1,954,963 4,649 Other accrued expenses and liabilities 99,880 65,367 57,131 311,666 219,984 ------------ ----------- ------------ ------------ ------------ Total Liabilities 3,953,813 3,190,798 6,915,839 5,689,154 399,761 ------------ ----------- ------------ ------------ ------------ NET ASSETS $220,302,784 $45,768,532 $118,056,357 $183,184,199 $ 32,560,537 ============ =========== ============ ============ ============ NET ASSETS CONSIST OF: Paid-in capital $155,670,589 $39,235,943 $ 79,510,671 $234,859,979 $ 55,698,335 Undistributed net investment income -- 69,633 -- -- -- Accumulated net realized gain (loss) on investments and foreign currency transactions 31,948,126 1,365,716 11,055,060 (94,604,331) (31,273,846) Net unrealized appreciation of investments and other assets, liabilities and forward contracts denominated in foreign currencies 32,684,069 5,097,240 27,490,626 42,928,551 8,136,048 ------------ ----------- ------------ ------------ ------------ Net Assets $220,302,784 $45,768,532 $118,056,357 $183,184,199 $ 32,560,537 ============ =========== ============ ============ ============ *Cost of securities $169,684,025 $38,311,857 $ 84,455,498 $133,342,211 $ 21,781,475 **Cost of foreign currency $ -- $ -- $ 2,580,215 $ -- $ 771,104
See Accompanying Notes to Financial Statements 42 - --------------------------------------------------------------------------------
Worldwide International International Emerging Asia-Pacific Growth Core Growth SmallCap Countries Equity Fund Fund Growth Fund Fund Fund ------------ ----------- ----------- ----------- ----------- CLASS A: Net Assets $ 66,244,600 $12,408,651 $37,490,363 $53,483,247 $14,417,490 Shares authorized unlimited unlimited unlimited unlimited 24,000,000 Par value $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 1.00 Shares outstanding 2,809,668 656,006 1,575,287 3,194,053 1,995,972 Net asset value and redemption price per share $ 23.58 $ 18.92 $ 23.80 $ 16.74 $ 7.22 Maximum offering price per share(1) $ 25.02 $ 20.07 $ 25.25 $ 17.77 $ 7.66 CLASS B: Net Assets $ 27,938,296 $12,034,346 $19,331,040 $26,341,616 $12,958,731 Shares authorized unlimited unlimited unlimited unlimited 24,000,000 Par value $ 0.00 $ 0.00 $ 0.00 $ 0.00 $ 1.00 Shares outstanding 1,048,574 630,889 763,313 1,551,677 1,845,611 Net asset value and redemption price per share(2) $ 26.64 $ 19.08 $ 25.33 $ 16.98 $ 7.02 Maximum offering price per share $ 26.64 $ 19.08 $ 25.33 $ 16.98 $ 7.02 CLASS C: Net Assets $111,250,155 $11,935,774 $18,354,420 $24,229,829 n/a Shares authorized unlimited unlimited unlimited unlimited n/a Par value $ 0.00 $ 0.00 $ 0.00 $ 0.00 n/a Shares outstanding 4,697,071 623,761 786,424 1,482,037 n/a Net asset value and redemption price per share(2) $ 23.69 $ 19.14 $ 23.34 $ 16.35 n/a Maximum offering price per share $ 23.69 $ 19.14 $ 23.34 $ 16.35 n/a CLASS M: Net Assets n/a n/a n/a n/a $ 5,184,316 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 733,316 Net asset value and redemption price per share n/a n/a n/a n/a $ 7.07 Maximum offering price per share(3) n/a n/a n/a n/a $ 7.33 CLASS Q: Net Assets $ 14,869,733 $ 9,389,761 $42,880,534 $79,129,507 n/a Shares authorized unlimited unlimited unlimited unlimited n/a Par value $ 0.00 $ 0.00 $ 0.00 $ 0.00 n/a Shares outstanding 548,246 478,250 1,704,613 $ 4,601,297 n/a Net asset value and redemption price per share(2) $ 27.12 $ 19.63 $ 25.16 $ 17.20 n/a Maximum offering price per share $ 27.12 $ 19.63 $ 25.16 $ 17.20 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 Income Funds STATEMENTS OF ASSETS AND LIABILITIES as of June 30, 1999 - --------------------------------------------------------------------------------
Government Strategic Securities Income High Yield High Yield Income Fund Fund Fund Fund II ------------ ------------ ------------- ------------ ASSETS: Investments in securities at market value* $ 33,733,730 $ 15,277,591 $ 404,811,521 $ 74,984,519 Short-term investments at amortized cost 1,581,000 1,883,000 4,323,000 4,639,000 Cash 15,348 49,096 -- -- Receivables: Fund shares sold 6,979 74,489 1,399,665 179,845 Interest 344,116 179,633 9,406,275 1,168,007 Due from affiliate -- 53,233 41,984 134,231 Investment securities sold 99,205 790,641 2,987,778 3,568,801 Prepaid expenses 29,389 8,930 89,471 3,647 ------------ ------------ ------------- ------------ Total Assets 35,809,767 18,316,613 423,059,694 84,678,050 ------------ ------------ ------------- ------------ LIABILITIES: Payable for investment securities purchased 583,786 1,728,412 1,775,497 3,195,425 Payable for fund shares redeemed 918,806 46,602 1,269,071 304,419 Payable to affiliate 350 -- -- -- Payable to custodian -- -- 2,059,007 1,700 Other accrued expenses and liabilities 64,005 11,275 152,159 652,307 ------------ ------------ ------------- ------------ Total Liabilities 1,566,947 1,786,289 5,255,734 4,153,851 ------------ ------------ ------------- ------------ NET ASSETS $ 34,242,820 $ 16,530,324 $ 417,803,960 $ 80,524,199 ============ ============ ============= ============ NET ASSETS CONSIST OF: Paid-in capital $ 41,473,586 $ 17,179,945 $ 468,338,082 $ 86,817,360 Undistributed net investment income (loss) -- 138,021 -- (193,920) Accumulated net realized loss on investments and foreign currency transactions (6,627,609) (444,975) (41,190,494) (4,358,980) Net unrealized depreciation of investments and other assets, liabilities and forward contracts denominated in foreign currencies (603,157) (342,667) (9,343,628) (1,740,261) ------------ ------------ ------------- ------------ Net Assets $ 34,242,820 $ 16,530,324 $ 417,803,960 $ 80,524,199 ============ ============ ============= ============ *Cost of securities $ 34,336,887 $ 15,619,361 $ 414,155,149 $ 76,724,780
See Accompanying Notes to Financial Statements 44 - --------------------------------------------------------------------------------
Government Strategic Securities Income High Yield High Yield Income Fund Fund Fund Fund II ---------------- ------------- -------------- ------------- CLASS A: Net Assets $ 21,059,544 $ 2,735,522 $131,534,749 $16,795,079 Shares authorized 1,000,000,000 unlimited 80,000,000 unlimited Par value $ 0.00 $ 0.00 $ 0.00 $ 0.00 Shares outstanding 1,705,530 217,280 22,169,655 1,451,200 Net asset value and redemption price per share $ 12.35 $ 12.59 $ 5.93 $ 11.57 Maximum offering price per share(1) $ 12.96 $ 13.22 $ 6.23 $ 12.15 CLASS B: Net Assets $ 12,425,538 $ 5,657,942 $261,589,029 $41,882,346 Shares authorized 1,000,000,000 unlimited 80,000,000 unlimited Par value $ 0.00 $ 0.00 $ 0.00 $ 0.00 Shares outstanding 1,009,878 458,971 44,172,526 3,618,337 Net asset value and redemption price per share(2) $ 12.30 $ 12.33 $ 5.92 $ 11.58 Maximum offering price per share $ 12.30 $ 12.33 $ 5.92 $ 11.58 CLASS C: Net Assets $ 6,943 $ 7,965,435 $ 551,266 $18,618,124 Shares authorized 1,000,000,000 unlimited 80,000,000 unlimited Par value $ 0.00 $ 0.00 $ 0.00 $ 0.00 Shares outstanding 558 621,888 93,124 1,608,363 Net asset value and redemption price per share(2) $ 12.43 $ 12.81 $ 5.92 $ 11.58 Maximum offering price per share $ 12.43 $ 12.81 $ 5.92 $ 11.58 CLASS M: Net Assets $ 750,795 n/a $ 24,128,886 n/a Shares authorized 1,000,000,000 n/a 40,000,000 n/a Par value $ 0.00 n/a $ 0.00 n/a Shares outstanding 60,827 n/a 4,071,134 n/a Net asset value and redemption price per share $ 12.34 n/a $ 5.93 n/a Maximum offering price per share(3) $ 12.76 n/a $ 6.13 n/a CLASS Q: Net Assets n/a $ 171,425 $ 30 $ 3,228,650 Shares authorized n/a unlimited 80,000,000 unlimited Par value n/a $ 0.00 $ 0.00 $ 0.00 Shares outstanding n/a 14,299 5 278,622 Net asset value and redemption price per share(2) n/a $ 11.99 $ 5.93 $ 11.59 Maximum offering price per share n/a $ 11.99 $ 5.93 $ 11.59
(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. 45 Equity & Income Funds STATEMENTS OF ASSETS AND LIABILITIES as of June 30, 1999 - -------------------------------------------------------------------------------- Balanced Convertible Fund Fund ------------ ------------- ASSETS: Investments in securities at market value* $ 35,015,316 $ 252,424,733 Short-term investments at amortized cost 3,938,000 5,886,000 Cash 116,334 599,397 Receivables: Fund shares sold 71,661 1,533,006 Dividends and interest 220,872 875,860 Due from affiliate 76,465 61,411 Investment securities sold 2,671,478 3,754,519 Prepaid expenses 2,238 14,973 ------------ ------------- Total Assets 42,112,364 265,149,899 ------------ ------------- LIABILITIES: Payable for investment securities purchased 3,695,309 4,965,105 Payable for fund shares redeemed 33,771 661,180 Distributions payable 56,354 366,252 Other accrued expenses and liabilities 30,686 120,052 ------------ ------------- Total Liabilities 3,816,120 6,112,589 ------------ ------------- NET ASSETS $ 38,296,244 $ 259,037,310 ============ ============= NET ASSETS CONSIST OF: Paid-in capital $ 29,576,001 $ 173,401,712 Undistributed (overdistributed) net investment income (16,013) 195,337 Accumulated net realized gain on investments and foreign currency transactions 6,602,814 35,557,539 Net unrealized appreciation of investments and other assets, liabilities and forward contracts denominated in foreign currencies 2,133,442 49,882,722 ------------ ------------- Net Assets $ 38,296,244 $ 259,037,310 ============ ============= *Cost of securities $ 32,880,976 $ 202,531,965 See Accompanying Notes to Financial Statements 46 - -------------------------------------------------------------------------------- Balanced Convertible Fund Fund ----------- ------------ CLASS A: Net Assets $ 9,618,676 $ 73,132,777 Shares authorized unlimited unlimited Par value $ 0.00 $ 0.00 Shares outstanding 500,291 3,142,135 Net asset value and redemption price per share $ 19.23 $ 23.27 Maximum offering price per share(1) $ 20.40 $ 24.69 CLASS B: Net Assets $ 7,157,205 $ 68,091,068 Shares authorized unlimited unlimited Par value $ 0.00 $ 0.00 Shares outstanding 347,552 2,687,557 Net asset value and redemption price per share(2) $ 20.59 $ 25.34 Maximum offering price per share $ 20.59 $ 25.34 CLASS C: Net Assets $21,330,586 $100,276,199 Shares authorized unlimited unlimited Par value $ 0.00 $ 0.00 Shares outstanding 1,150,957 4,217,155 Net asset value and redemption price per share(2) $ 18.53 $ 23.78 Maximum offering price per share $ 18.53 $ 23.78 CLASS Q: Net Assets $ 189,777 $ 17,537,266 Shares authorized unlimited unlimited Par value $ 0.00 $ 0.00 Shares outstanding 9,967 778,944 Net asset value and redemption price per share(2) $ 19.04 $ 22.51 Maximum offering price per share $ 19.04 $ 22.51 (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. 47 U.S. Equity Funds STATEMENTS OF OPERATIONS - --------------------------------------------------------------------------------
LargeCap MagnaCap Leaders Fund Fund LargeCap Growth Fund ----------- ---------- ------------------------- Year Year Three Months Year Ended Ended Ended Ended June 30, June 30, June 30, March 31, 1999 1999 1999 1999 ----------- ---------- ---------- ----------- INVESTMENT INCOME: Dividends, net of foreign taxes $ 6,371,740 $ 420,051 $ 61,448 $ 88,826 Interest 1,530,199 103,624 79,876 91,130 Securities lending -- -- 5,339 48,659 Redemption fee income -- -- -- -- ----------- ---------- ---------- ----------- Total investment income 7,901,939 523,675 146,663 228,615 ----------- ---------- ---------- ----------- EXPENSES: Investment management fees 3,200,909 300,494 115,161 178,627 Distribution expenses 2,076,209 232,891 124,911 142,925 Transfer agent and registrar fees 770,319 121,707 8,528 34,932 Shareholder reporting 131,020 9,502 4,240 5,111 Miscellaneous 123,230 299 45,349 11,689 Professional fees 116,384 11,056 4,050 18,724 Custodian fees 84,590 6,859 2,154 21,063 Registration and filing fees 84,025 35,827 800 49,256 Recordkeeping and pricing fees 74,316 4,956 2,385 -- Shareholder servicing fee 55,048 6,755 761 -- Directors'/trustees fees 30,592 2,037 400 270 Insurance 30,580 2,066 61 301 Interest and credit facility fee 10,258 -- 25 1,336 Accounting and administration fees 200 -- 7,025 114,863 Organization expense -- 26,017 -- -- ----------- ---------- ---------- ----------- Total expenses 6,787,680 760,466 315,850 579,097 ----------- ---------- ---------- ----------- Less: Waived and reimbursed fees -- 76,094 4,314 154,098 Earnings credits 7,920 262 1,050 -- ----------- ---------- ---------- ----------- Net expenses 6,779,760 684,110 310,486 424,999 ----------- ---------- ---------- ----------- Net investment income (loss) 1,122,179 (160,435) (163,823) (196,384) ----------- ---------- ---------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain from investments 49,186,475 3,547,281 2,418,689 5,409,155 Net change in unrealized appreciation (depreciation) of investments 17,754,811 1,974,289 6,320,924 9,499,395 ----------- ---------- ---------- ----------- Net gain (loss) from investments 66,941,286 5,521,570 8,739,613 14,908,550 ----------- ---------- ---------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $68,063,465 $5,361,135 $8,575,790 $14,712,166 =========== ========== ========== ===========
See Accompanying Notes to Financial Statements 48 - --------------------------------------------------------------------------------
MidCap Value Bank and Thrift Fund MidCap Growth Fund SmallCap Growth Fund Fund ------------ ------------------------------- ------------------------------ ------------- Year Three Months Year Three Months Year Year Ended Ended Ended Ended Ended Ended June 30, June 30, March 31, June 30, March 31, June 30, 1999 1999 1999 1999 1999 1999 ------------ ------------ ------------ ------------ ------------ ------------- $ 596,484 $ 153,517 $ 600,518 $ 105,554 $ 1,186,130 $ 18,005,073 244,291 38,871 484,431 35,385 385,506 1,891,735 -- 52,785 1,036,944 97,226 1,291,855 -- -- -- -- -- -- 408,140 ------------ ------------ ------------ ------------ ------------ ------------- 840,775 245,173 2,121,893 238,165 2,863,491 20,304,948 ------------ ------------ ------------ ------------ ------------ ------------- 670,780 549,879 3,049,230 811,208 5,334,833 5,893,806 482,600 536,357 2,075,413 562,935 2,534,830 4,768,559 175,329 41,000 467,821 45,500 595,466 2,004,671 19,516 20,874 23,813 23,840 22,868 244,610 10,149 217,012 56,413 284,318 98,464 221,727 25,164 24,933 231,642 40,738 287,926 246,464 19,406 31,490 53,515 15,307 47,117 131,185 48,630 5,688 48,494 2,280 87,994 228,625 11,345 1,500 -- 4,763 -- 136,120 12,029 814 -- 608 -- 110,083 4,892 1,883 34,006 2,254 54,131 57,369 5,711 484 5,414 561 7,095 59,455 1,636 467 40,120 619 450,220 19,568 -- 36,302 851,750 40,382 1,061,281 -- 26,017 -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------- 1,513,204 1,468,683 6,937,631 1,835,313 10,582,225 14,122,242 ------------ ------------ ------------ ------------ ------------ ------------- 21,944 1,010 301,613 29,487 518,164 -- 5,668 1,490 -- 1,164 -- 12,426 ------------ ------------ ------------ ------------ ------------ ------------- 1,485,592 1,466,183 6,636,018 1,804,662 10,064,061 14,109,816 ------------ ------------ ------------ ------------ ------------ ------------- (644,817) (1,221,010) (4,514,125) (1,566,497) (7,200,570) 6,195,132 ------------ ------------ ------------ ------------ ------------ ------------- 426,848 37,699,336 47,761,620 67,438,450 86,043,833 86,792,727 (1,161,622) (14,395,996) 8,536,297 (18,557,187) (93,770,559) (179,566,903) ------------ ------------ ------------ ------------ ------------ ------------- (734,774) 23,303,340 56,297,917 48,881,263 (7,726,726) (92,774,176) ------------ ------------ ------------ ------------ ------------ ------------- $ (1,379,591) $ 22,082,330 $ 51,783,792 $ 47,314,766 $(14,927,296) $ (86,579,044) ============ ============ ============ ============ ============ =============
49 International Equity Funds STATEMENTS OF OPERATIONS - --------------------------------------------------------------------------------
International SmallCap Worldwide Growth Fund International Core Growth Fund Growth Fund -------------------------- --------------------------- -------------------------- Three Months Year Three Months Year Three Months Year Ended Ended Ended Ended Ended Ended June 30, March 31, June 30, March 31, June 30, March 31, 1999 1999 1999 1999 1999 1999 ----------- ------------ ---------- ------------ ----------- ----------- INVESTMENT INCOME: Dividends, net of foreign taxes $ 727,739 $ 1,324,136 $ 483,902 $ 1,034,114 $ 307,757 $ 746,291 ----------- ------------ ---------- ------------ ----------- ----------- Interest 194,543 326,825 20,557 362,746 50,065 472,518 Securities lending 8,286 190,621 1,684 41,295 1,407 52,931 ----------- ------------ ---------- ------------ ----------- ----------- Total investment income 930,568 1,841,582 506,143 1,438,155 359,229 1,271,740 ----------- ------------ ---------- ------------ ----------- ----------- EXPENSES: Investment management fees 589,768 1,472,492 253,063 1,061,288 327,972 1,149,529 Distribution expenses 371,306 1,107,696 76,659 248,904 177,661 325,037 Transfer agent and registrar fees 12,500 175,204 12,500 79,193 23,000 89,085 Shareholder reporting 55,123 15,667 12,874 20,270 11,040 14,023 Miscellaneous 12,189 42,555 49,135 25,062 3,405 28,547 Professional fees 35,550 95,641 10,393 64,493 21,932 57,055 Custodian fees 26,557 198,979 15,000 239,497 3,961 200,220 Registration and filing fees 5,688 57,552 5,688 35,343 4,041 52,542 Recordkeeping and pricing fees -- -- -- -- 1,773 -- Shareholder servicing fee 1,590 -- 414 -- 378 -- Directors'/trustees fees 915 1,776 245 999 2,979 1,037 Insurance 371 1,908 280 1,435 338 1,530 Interest and credit facility fee 275 14,192 5,397 3,782 216 1,894 Accounting and administration fees 57,627 361,838 5,955 222,257 1,399 244,633 Organization expense -- -- -- -- -- -- ----------- ------------ ---------- ------------ ----------- ----------- Total expenses 1,169,459 3,545,500 447,603 2,002,523 580,095 2,165,132 ----------- ------------ ---------- ------------ ----------- ----------- Less: Waived and reimbursed fees -- 242,660 11,093 253,811 3,405 168,199 Earnings Credits -- -- -- -- -- -- ----------- ------------ ---------- ------------ ----------- ----------- Net expenses 1,169,459 3,302,840 436,510 1,748,712 576,690 1,996,933 ----------- ------------ ---------- ------------ ----------- ----------- Net investment income (loss) (238,891) (1,461,258) 69,633 (310,557) (217,461) (725,193) ----------- ------------ ---------- ------------ ----------- ----------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from: Investments 5,142,968 34,678,990 4,193,951 793,552 5,411,890 8,536,211 Foreign currency transactions (317,798) (229,650) (280,912) (1,322,452) (79,978) (310,687) Net change in unrealized appreciation (depreciation) of: Investments 20,401,318 12,707,158 4,044,999 13,541,108 11,698,095 14,384,412 Translation of other assets, liabilities and forward contracts denominated in foreign currencies (33,762) (93,137) (26,811) (28,814) (3,890) (26,496) ----------- ------------ ---------- ------------ ----------- ----------- Net gain (loss) from investments and foreign currencies 25,192,726 47,063,361 7,931,227 12,983,394 17,026,117 22,583,440 ----------- ------------ ---------- ------------ ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $24,953,835 $ 45,602,103 $8,000,860 $ 12,672,837 $16,808,656 $21,858,247 =========== ============ ========== ============ =========== ===========
See Accompanying Notes to Financial Statements 50 - -------------------------------------------------------------------------------- Asia-Pacific Emerging Countries Fund Equity Fund ------------------------------ ----------- Three Months Year Year Ended Ended Ended June 30, March 31, June 30, 1999 1999 1999 ----------- ------------- ----------- $ 1,060,721 $ 4,191,769 $ 379,008 43,094 797,757 100,210 9,087 356,077 -- ----------- ------------- ----------- 1,112,902 5,345,603 479,218 ----------- ------------- ----------- 716,000 3,476,180 303,920 193,139 867,645 150,016 12,500 251,494 182,320 55,123 78,110 8,335 82,534 64,151 -- 36,068 180,178 12,227 59,724 940,358 71,279 6,844 80,376 37,915 -- -- 4,138 1,353 -- 11,834 1,500 16,070 1,735 535 3,720 2,205 535 99,031 2,637 46,621 549,474 -- -- -- 26,017 ----------- ------------- ----------- 1,212,476 6,606,787 814,578 ----------- ------------- ----------- 69,001 816,718 249,734 -- -- 2,271 ----------- ------------- ----------- 1,143,475 5,790,069 562,573 ----------- ------------- ----------- (30,573) (444,466) (83,355) ----------- ------------- ----------- 11,704,157 (82,042,109) (6,593,623) (465,273) (1,781,198) (76,798) 51,197,149 10,604,952 20,552,312 (70,798) (87,082) (328,725) ----------- ------------- ----------- 62,365,235 (73,305,437) 13,553,166 ----------- ------------- ----------- $62,334,662 $ (73,749,903) $13,469,811 =========== ============= =========== 51 Income Funds STATEMENTS OF OPERATIONS - --------------------------------------------------------------------------------
Government Securities High Yield Income Fund Strategic Income Fund Fund High Yield Fund II ----------- ----------------------- ------------- ---------------------------- Year Three Months Year Year Three Months Year Ended Ended Ended Ended Ended Ended June 30, June 30, March 31, June 30, June 30, March 31, 1999 1999 1999 1999 1999 1999 ----------- ---------- ---------- ------------- ------------ ------------- INVESTMENT INCOME: Dividends, net of foreign taxes $ -- $ 27,553 $ 115,650 $ -- $ -- $ 305,770 Interest 2,829,050 424,413 1,715,145 37,453,697 2,470,108 7,924,233 ----------- ---------- ---------- ------------- ------------ ------------- Total investment income 2,829,050 451,966 1,830,795 37,453,697 2,470,108 8,230,003 ----------- ---------- ---------- ------------- ------------ ------------- EXPENSES: Investment management fees 189,816 23,699 124,514 2,176,246 132,246 466,926 Distribution expenses 185,172 29,595 52,773 2,670,572 177,661 558,242 Transfer agent and registrar fees 130,781 5,750 25,041 482,786 30,500 55,799 Shareholder reporting 12,647 4,040 27,433 105,753 11,040 97,053 Miscellaneous 13,275 11,397 37,339 6,671 11,110 12,742 Professional fees 15,608 3,261 4,619 62,216 10,293 39,929 Custodian fees 28,474 4,989 25,448 74,455 7,377 16,542 Registration and filing fees 40,037 8,670 43,712 130,996 12,627 44,673 Recordkeeping and pricing fees 6,966 281 -- 70,688 1,334 -- Shareholder servicing fee 3,991 253 -- 30,409 130 -- Directors'/trustees fees 1,863 101 328 19,268 410 1,154 Insurance 1,927 38 384 16,857 180 1,068 Interest and credit facility fee -- -- 281 11,124 160 6,001 Accounting and administration fees -- 2,468 106,606 -- 11,486 159,964 ----------- ---------- ---------- ------------- ------------ ------------- Total expenses 630,557 94,542 448,478 5,858,041 406,554 1,460,093 ----------- ---------- ---------- ------------- ------------ ------------- Less: Waived and reimbursed fees -- 31,139 232,922 441,770 54,363 318,323 Earnings credits 3,531 -- -- 44,802 -- -- ----------- ---------- ---------- ------------- ------------ ------------- Net expenses 627,026 63,403 215,556 5,371,469 352,191 1,141,770 ----------- ---------- ---------- ------------- ------------ ------------- Net investment income 2,202,024 388,563 1,615,239 32,082,228 2,117,917 7,088,233 ----------- ---------- ---------- ------------- ------------ ------------- NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from: Investments (852,058) (774,513) 656,976 (39,880,708) (1,651,059) (2,958,000) Foreign currency transactions -- 314,909 (326,116) -- -- -- Net change in unrealized appreciation (depreciation) of: Investments (887,365) (71,507) (431,343) (9,008,796) 1,222,666 (2,908,667) Translation of other assets, liabilities and forward contracts denominated in foreign currencies -- (897) 58,948 -- -- -- ----------- ---------- ---------- ------------- ------------ ------------- Net loss from investments and foreign currencies (1,739,423) (532,008) (41,535) (48,889,504) (428,393) (5,866,667) ----------- ---------- ---------- ------------- ------------ ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 462,601 $ (143,445) $1,573,704 $ (16,807,276) $ 1,689,524 $ 1,221,566 =========== ========== ========== ============= ============ =============
See Accompanying Notes to Financial Statements 52 Equity & Income Funds STATEMENTS OF OPERATIONS - --------------------------------------------------------------------------------
Balanced Fund Convertible Fund ------------------------------ ------------------------------ Three Months Year Three Months Year Ended Ended Ended Ended June 30, March 31, June 30, March 31, 1999 1999 1999 1999 ------------ ------------ ------------ ------------ INVESTMENT INCOME: Dividends, net of foreign taxes $ 120,239 $ 339,694 $ 972,036 $ 3,782,442 Interest 226,383 922,564 1,296,134 5,736,177 Securities lending -- 17,017 -- 105,947 ------------ ------------ ------------ ------------ Total investment income 346,622 1,279,275 2,268,170 9,624,566 ------------ ------------ ------------ ------------ EXPENSES: Investment management fees 66,601 261,803 438,229 1,997,038 Distribution expenses 77,941 282,974 465,121 1,505,314 Transfer agent and registrar fees 3,300 54,903 45,500 276,626 Shareholder reporting 4,240 2,382 22,592 66,319 Miscellaneous 40,778 22,064 125,083 43,212 Professional fees 4,080 10,621 54,493 157,249 Custodian fees 4,748 24,774 22,555 37,058 Registration and filing fees 800 38,034 4,073 41,995 Recordkeeping and pricing fees 1,836 -- 4,085 -- Shareholder servicing fee 300 -- 564 -- Directors'/trustees fees 230 608 1,153 12,587 Insurance 43 471 347 3,565 Interest and credit facility fee 55 569 303 11,059 Accounting and administration fees 5,259 143,676 31,449 628,160 ------------ ------------ ------------ ------------ Total expenses 210,211 842,879 1,215,547 4,780,182 ------------ ------------ ------------ ------------ Less: Waived and reimbursed fees 12,611 132,033 -- 318,025 Earnings Credit 327 -- 2,258 -- ------------ ------------ ------------ ------------ Net expenses 197,273 710,846 1,213,289 4,462,157 ------------ ------------ ------------ ------------ Net investment income 149,349 568,429 1,054,881 5,162,409 ------------ ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) from: Investments 4,451,834 3,902,620 13,167,798 25,488,999 Foreign currency transactions 39,076 (139,042) -- (33,135) Net change in unrealized appreciation (depreciation) of: Investments (4,166,243) 1,149,796 3,899,895 19,262,546 Translation of other assets, liabilities and forward contracts denominated in foreign currencies (899) 37,594 (10,046) (119) ------------ ------------ ------------ ------------ Net gain from investments and foreign currencies 323,768 4,950,968 17,057,647 44,718,291 ------------ ------------ ------------ ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 473,117 $ 5,519,397 $ 18,112,528 $ 49,880,700 ============ ============ ============ ============
See Accompanying Notes to Financial Statements 53 U.S. Equity Funds STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
MagnaCap Fund LargeCap Leaders Fund -------------------------------- -------------------------------- Year Year Year Year Ended Ended Ended Ended June 30, June 30, June 30, June 30, 1999 1998 1999 1998 ------------- ------------- ------------- ------------- Increase (decrease) in net assets from operations: Net investment income (loss) $ 1,122,179 $ 626,120 $ (160,435) $ (128,521) Net realized gain from investments 49,186,475 63,902,750 3,547,281 2,762,882 Net change in unrealized appreciation (depreciation) of investments 17,754,811 7,551,908 1,974,289 1,905,453 ------------- ------------- ------------- ------------- Net increase (decrease) in net assets from operations 68,063,465 72,080,778 5,361,135 4,539,814 ------------- ------------- ------------- ------------- Distributions to shareholders: From net investment income: Retail class (714,666) (1,297,767) -- -- Advisory and institutional classes n/a n/a n/a n/a From net realized gains: Retail class (45,964,037) (40,859,675) (706,104) (3,428,660) Advisory and institutional classes n/a n/a n/a n/a ------------- ------------- ------------- ------------- Total distributions (46,678,703) (42,157,442) (706,104) (3,428,660) ------------- ------------- ------------- ------------- Capital Share Transactions: Net proceeds from sale of shares 272,199,176 226,880,255 16,009,174 12,124,908 Shares resulting from dividend reinvestments 37,748,339 39,050,738 647,165 3,054,663 Cost of shares redeemed (270,865,970) (189,163,043) (11,675,377) (14,837,322) Redemption of Class I shares n/a n/a n/a n/a ------------- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions 39,081,545 76,767,950 4,980,962 342,249 ------------- ------------- ------------- ------------- Net increase (decrease) in net assets 60,466,307 106,691,286 9,635,993 1,453,403 ------------- ------------- ------------- ------------- Net assets, beginning of period 441,221,158 334,529,872 28,744,402 27,290,999 ------------- ------------- ------------- ------------- Net assets, end of period $ 501,687,465 $ 441,221,158 $ 38,380,395 $ 28,744,402 ============= ============= ============= ============= Undistributed (overdistributed) net investment income $ 536,313 $ -- $ -- $ -- ============= ============= ============= =============
See Accompanying Notes to Financial Statements 54 - --------------------------------------------------------------------------------
LargeCap Growth Fund MidCap Value Fund - --------------------------------------------------- -------------------------------- Three Months Year Year Year Year Ended Ended Ended Ended Ended June 30, March 31, March 31, June 30, June 30, 1999 1999 1998 1999 1998 - ------------- ------------- ------------- ------------- ------------- $ (163,823) $ (196,384) $ (27,991) $ (644,817) $ (673,722) 2,418,689 5,409,155 459,203 426,848 5,591,383 6,320,924 9,499,395 1,684,560 (1,161,622) 5,351,298 - ------------- ------------- ------------- ------------- ------------- 8,575,790 14,712,166 2,115,772 (1,379,591) 10,268,959 - ------------- ------------- ------------- ------------- ------------- -- -- (443) n/a n/a -- (262,973) (5,019) (5,331,934) (2,077,958) -- (41,543) (432,090) n/a n/a - ------------- ------------- ------------- ------------- ------------- -- (304,516) (437,552) (5,331,934) (2,077,958) - ------------- ------------- ------------- ------------- ------------- 52,500,065 35,925,823 11,514,888 13,030,899 48,268,290 -- 292,849 113,728 4,471,463 1,780,738 (3,028,700) (11,532,699) (2,356,437) (31,686,611) (25,569,526) (6,420,194) -- -- n/a n/a - ------------- ------------- ------------- ------------- ------------- 43,051,171 24,685,973 9,272,179 (14,184,249) 24,479,502 - ------------- ------------- ------------- ------------- ------------- 51,626,961 39,093,623 10,950,399 (20,895,774) 32,670,503 - ------------- ------------- ------------- ------------- ------------- 51,336,987 12,243,364 1,292,965 81,291,514 48,621,011 - ------------- ------------- ------------- ------------- ------------- $ 102,963,948 $ 51,336,987 $ 12,243,364 $ 60,395,740 $ 81,291,514 ============= ============= ============= ============= ============= $ -- $ (225,010) $ (28,626) $ -- $ -- ============= ============= ============= ============= =============
55 U.S. Equity Funds STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
MidCap Growth Fund ----------------------------------------------- Three Months Year Year Ended Ended Ended June 30, March 31, March 31, 1999 1999 1998 ------------- ------------- ------------- Increase (decrease) in net assets from operations: Net investment income (loss) $ (1,221,010) $ (4,514,125) $ (5,007,955) Net realized gain from investments 37,699,336 47,761,620 71,334,950 Net change in unrealized appreciation (depreciation) of investments (14,395,996) 8,536,297 91,335,002 ------------- ------------- ------------- Net increase (decrease) in net assets from operations 22,082,330 51,783,792 157,661,997 ------------- ------------- ------------- Distributions to shareholders: From net investment income: Retail class -- -- -- Advisory and institutional classes -- -- -- From net realized gains: Retail class -- (17,157,024) (66,141,970) Advisory and institutional classes -- (6,615,537) (33,872,332) From tax return of capital: Retail class -- -- -- Advisory and institutional classes -- -- -- ------------- ------------- ------------- Total distributions -- (23,772,561) (100,014,302) ------------- ------------- ------------- Capital Share Transactions: Net proceeds from sale of shares 14,162,841 158,133,048 331,132,083 Shares resulting from dividend reinvestments -- 12,306,426 91,914,967 Cost of shares redeemed (21,991,325) (249,866,820) (426,974,305) Redemption of Class I shares (168,592,944) -- -- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions (176,421,428) (79,427,346) (3,927,255) ------------- ------------- ------------- Net increase (decrease) in net assets (154,339,098) (51,416,115) 53,720,440 ------------- ------------- ------------- Net assets, beginning of period 434,474,483 485,890,598 432,170,158 ------------- ------------- ------------- Net assets, end of period $ 280,135,385 $ 434,474,483 $ 485,890,598 ============= ============= ============= Undistributed (overdistributed) net investment income $ -- $ (21,862,409) $ (17,348,284) ============= ============= ============= SmallCap Growth Fund ----------------------------------------------------- Three Months Year Year Ended Ended Ended June 30, March 31, March 31, 1999 1999 1998 --------------- --------------- --------------- Increase (decrease) in net assets from operations: Net investment income (loss) $ (1,566,497) $ (7,200,570) $ (8,756,479) Net realized gain from investments 67,438,450 86,043,833 52,691,131 Net change in unrealized appreciation (depreciation) of investments (18,557,187) (93,770,559) 211,279,518 --------------- --------------- --------------- Net increase (decrease) in net assets from operations 47,314,766 (14,927,296) 255,214,170 --------------- --------------- --------------- Distributions to shareholders: From net investment income: Retail class -- -- -- Advisory and institutional classes -- -- -- From net realized gains: Retail class -- (43,179,861) (50,664,402) Advisory and institutional classes -- (10,999,123) (32,278,587) From tax return of capital: Retail class -- -- -- Advisory and institutional classes -- -- -- --------------- --------------- --------------- Total distributions -- (54,178,984) (82,942,989) --------------- --------------- --------------- Capital Share Transactions: Net proceeds from sale of shares 17,931,971 972,155,767 2,244,359,148 Shares resulting from dividend reinvestments -- 42,870,637 70,967,518 Cost of shares redeemed (33,776,345) (1,191,789,767) (2,236,228,356) Redemption of Class I shares (221,318,827) -- -- --------------- --------------- --------------- Net increase (decrease) in net assets resulting from capital share transactions (237,163,201) (176,763,363) 79,098,310 --------------- --------------- --------------- Net increase (decrease) in net assets (189,848,435) (245,869,643) 251,369,491 --------------- --------------- --------------- Net assets, beginning of period 506,421,157 752,290,800 500,921,309 --------------- --------------- --------------- Net assets, end of period $ 316,572,722 $ 506,421,157 $ 752,290,800 =============== =============== =============== Undistributed (overdistributed) net investment income $ -- $ (36,692,610) $ (29,492,040) =============== =============== ===============
See Accompanying Notes to Financial Statements 56 - --------------------------------------------------------------------------------
Bank and Thrift Fund - ----------------------------------------------- Year Six Months Year Ended Ended Ended June 30, June 30, December 31, 1999 1998 1997 - ------------- ------------- ------------- $ 6,195,132 $ 2,306,539 $ 4,408,320 86,792,727 4,702,961 40,749,713 (179,566,903) 25,621,214 117,597,499 - ------------- ------------- ------------- (86,579,044) 32,630,714 162,755,532 - ------------- ------------- ------------- (4,375,894) -- (4,468,103) n/a n/a n/a (19,782,011) -- (40,868,791) n/a n/a n/a -- -- (3,087,045) n/a n/a n/a - ------------- ------------- ------------- (24,157,905) -- (48,423,939) - ------------- ------------- ------------- 306,625,647 465,635,786 115,009,912 15,433,927 -- 20,808,444 (374,806,089) (48,502,831) (43,147,277) n/a n/a n/a - ------------- ------------- ------------- (52,746,515) 417,132,955 92,671,079 - ------------- ------------- ------------- (163,483,464) 449,763,669 207,002,672 - ------------- ------------- ------------- 909,108,419 459,344,750 252,342,078 - ------------- ------------- ------------- $ 745,624,955 $ 909,108,419 $ 459,344,750 ============= ============= ============= $ 3,311,373 $ 2,306,539 -- ============= ============= =============
57 International Equity Funds STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
Worldwide Growth Fund ----------------------------------------------- Three Months Year Year Ended Ended Ended June 30, March 31, March 31, 1999 1999 1998 ------------- ------------- ------------- Increase (decrease) in net assets from operations: Net investment income (loss) $ (238,891) $ (1,461,258) $ (1,375,278) Net realized gain (loss) from investment and foreign currency transactions 4,825,170 34,449,340 21,743,157 Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies 20,367,556 12,614,021 16,567,799 ------------- ------------- ------------- Net increase (decrease) in net assets from operations 24,953,835 45,602,103 36,935,678 ------------- ------------- ------------- Distributions to shareholders: From net investment income: Retail class -- (136,708) -- Advisory and institutional classes -- (337,084) -- From net realized gains: Retail class -- (20,785,812) (17,323,546) Advisory and institutional classes -- (483,831) (565,515) ------------- ------------- ------------- Total distributions -- (21,743,435) (17,889,061) ------------- ------------- ------------- Capital Share Transactions: Net proceeds from sale of shares 53,831,659 242,170,764 172,316,181 Shares resulting from dividend reinvestments -- 5,494,245 15,508,099 Cost of shares redeemed (25,822,612) (168,874,579) (165,123,599) Redemption of Class I shares (80,662,778) -- -- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions (52,653,731) 78,790,430 22,700,681 ------------- ------------- ------------- Net increase (decrease) in net assets (27,699,896) 102,649,098 41,747,298 ------------- ------------- ------------- Net assets, beginning of period 248,002,680 145,353,582 103,606,284 ------------- ------------- ------------- Net assets, end of period $ 220,302,784 $ 248,002,680 $ 145,353,582 ============= ============= ============= Undistributed (overdistributed) net investment income $ -- $ (7,189,744) $ (5,254,694) ============= ============= ============= International Core Growth Fund ----------------------------------------------- Three Months Year Year Ended Ended Ended June 30, March 31, March 31, 1999 1999 1998 ------------- ------------- ------------- Increase (decrease) in net assets from operations: Net investment income (loss) $ 69,633 $ (310,557) $ (105,124) Net realized gain (loss) from investment and foreign currency transactions 3,913,039 (528,900) (798,230) Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies 4,018,188 13,512,294 8,937,191 ------------- ------------- ------------- Net increase (decrease) in net assets from operations 8,000,860 12,672,837 8,033,837 ------------- ------------- ------------- Distributions to shareholders: From net investment income: Retail class -- (205,129) -- Advisory and institutional classes -- (29,622) -- From net realized gains: Retail class -- (155,723) (94,711) Advisory and institutional classes -- (13,021) (1,082,268) ------------- ------------- ------------- Total distributions -- (403,495) (1,176,979) ------------- ------------- ------------- Capital Share Transactions: Net proceeds from sale of shares 35,644,077 173,884,589 82,647,911 Shares resulting from dividend reinvestments -- 228,203 1,116,210 Cost of shares redeemed (47,242,674) (82,311,581) (37,114,176) Redemption of Class I shares (112,851,333) -- -- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions (124,449,930) 91,801,211 46,649,945 ------------- ------------- ------------- Net increase (decrease) in net assets (116,449,070) 104,070,553 53,506,803 ------------- ------------- ------------- Net assets, beginning of period 162,217,602 58,147,049 4,640,246 ------------- ------------- ------------- Net assets, end of period $ 45,768,532 $ 162,217,602 $ 58,147,049 ============= ============= ============= Undistributed (overdistributed) net investment income $ 69,633 $ (647,924) $ (102,616) ============= ============= =============
See Accompanying Notes to Financial Statements 58 - --------------------------------------------------------------------------------
International SmallCap Growth Fund Emerging Countries Fund - ----------------------------------------------- ----------------------------------------------- Three Months Year Year Three Months Year Year Ended Ended Ended Ended Ended Ended June 30, March 31, March 31, June 30, March 31, March 31, 1999 1999 1998 1999 1999 1998 - ------------- ------------- ------------- ------------- ------------- ------------- $ (217,461) $ (725,193) $ (535,283) $ (30,573) $ (444,466) $ (106,300) 5,331,912 8,225,524 8,493,580 11,238,884 (83,823,307) (17,633,714) 11,694,205 14,357,916 14,373,569 51,126,351 10,517,870 30,115,298 - ------------- ------------- ------------- ------------- ------------- ------------- 16,808,656 21,858,247 22,331,866 62,334,662 (73,749,903) 12,375,284 - ------------- ------------- ------------- ------------- ------------- ------------- -- -- -- -- (105,494) -- -- (76,552) -- -- (676,244) -- -- (2,163,953) (1,578,053) -- (685,405) (7,232,528) -- (1,836,179) (7,618,866) -- (431,659) (6,750,418) - ------------- ------------- ------------- ------------- ------------- ------------- -- (4,076,684) (9,196,919) -- (1,898,802) (13,982,946) - ------------- ------------- ------------- ------------- ------------- ------------- 48,190,262 194,823,908 143,928,187 38,136,033 234,887,012 187,435,315 -- 3,425,742 8,031,905 -- 1,499,434 11,972,685 (30,396,046) (142,304,879) (144,992,679) (31,982,656) (160,102,083) (74,429,466) (73,163,306) -- -- (167,510,018) -- -- - ------------- ------------- ------------- ------------- ------------- ------------- (55,369,090) 55,944,771 6,967,413 (161,356,641) 76,284,363 124,978,534 - ------------- ------------- ------------- ------------- ------------- ------------- (38,560,434) 73,726,334 20,102,360 (99,021,979) 635,658 123,370,872 - ------------- ------------- ------------- ------------- ------------- ------------- 156,616,791 82,890,457 62,788,097 282,206,178 281,570,520 158,199,648 - ------------- ------------- ------------- ------------- ------------- ------------- $ 118,056,357 $ 156,616,791 $ 82,890,457 $ 183,184,199 $ 282,206,178 $ 281,570,520 ============= ============= ============= ============= ============= ============= $ -- $ (1,982,021) $ (1,180,276) $ -- $ (2,164,624) $ (938,420) ============= ============= ============= ============= ============= =============
59 International Equity Funds STATEMENTS OF CHANGES IN NET ASSETS - -------------------------------------------------------------------------------- Asia-Pacific Equity Fund ------------------------------ Year Year Ended Ended June 30, June 30, 1999 1998 ------------- ------------- Increase (decrease) in net assets from operations: Net investment income (loss) $ (83,355) $ 6,895 Net realized loss from investment and foreign currency transactions (6,670,421) (22,769,783) Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies 20,223,587 (17,728,154) ------------- ------------- Net increase (decrease) in net assets from operations 13,469,811 (40,491,042) ------------- ------------- Distributions to shareholders: From net investment income: Retail class -- -- Advisory and institutional classes n/a n/a From net realized gains: Retail class -- -- Advisory and institutional classes n/a n/a ------------- ------------- Total distributions -- -- ------------- ------------- Capital Share Transactions: Net proceeds from sale of shares 137,827,549 82,247,275 Shares resulting from dividend reinvestments -- -- Cost of shares redeemed (143,882,119) (90,420,188) Redemption of Class I shares n/a n/a ------------- ------------- Net decrease in net assets resulting from capital share transactions (6,054,570) (8,172,913) ------------- ------------- Net increase (decrease) in net assets 7,415,241 (48,663,955) ------------- ------------- Net assets, beginning of period 25,145,296 73,809,251 ------------- ------------- Net assets, end of period $ 32,560,537 $ 25,145,296 ============= ============= Overdistributed net investment income $ -- $ (182,809) ============= ============= See Accompanying Notes to Financial Statements 60 Income Funds STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
Government Securities Income Fund ---------------------------- Year Year Ended Ended June 30, June 30, 1999 1998 ------------ ------------ Increase (decrease) in net assets from operations: Net investment income $ 2,202,024 $ 1,461,879 Net realized gain (loss) from investment and foreign currency transactions (852,058) 561,221 Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies (887,365) 100,378 ------------ ------------ Net increase (decrease) in net assets from operations 462,601 2,123,478 ------------ ------------ Distributions to shareholders: From net investment income: Retail class (2,211,069) (1,733,850) Advisory and Institutional classes n/a n/a From net realized gains: Retail class -- -- Advisory and Institutional classes n/a n/a ------------ ------------ Total distributions (2,211,069) (1,733,850) ------------ ------------ Capital Share Transactions: Net proceeds from sale of shares 54,413,622 6,954,416 Net proceeds from shares issued in merger n/a n/a Shares resulting from dividend reinvestmests 1,167,365 740,194 Cost of shares redeemed (46,715,437) (12,453,169) Redemption of Class I shares n/a n/a ------------ ------------ Net increase (decrease) in net assets resulting from capital share transactions 8,865,550 (4,758,559) ------------ ------------ Net increase (decrease) in net assets 7,117,082 (4,368,931) ------------ ------------ Net assets, beginning of period 27,125,738 31,494,669 ------------ ------------ Net assets, end of period $ 34,242,820 $ 27,125,738 ============ ============ Undistributed net investment income $ -- $ -- ============ ============ Strategic Income Fund -------------------------------------------- Three Months Year Year Ended Ended Ended June 30, March 31, March 31, 1999 1999(1) 1998(1) ------------ ------------ ------------ Increase (decrease) in net assets from operations: Net investment income $ 388,563 $ 1,615,239 $ 894,810 Net realized gain (loss) from investment and foreign currency transactions (459,604) 330,860 520,891 Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies (72,404) (372,395) 245,777 ------------ ------------ ------------ Net increase (decrease) in net assets from operations (143,445) 1,573,704 1,661,478 ------------ ------------ ------------ Distributions to shareholders: From net investment income: Retail class (187,766) (621,335) n/a Advisory and Institutional classes (121,982) (934,712) (892,591) From net realized gains: Retail class -- (151,772) n/a Advisory and Institutional classes -- (442,876) (156,503) ------------ ------------ ------------ Total distributions (309,748) (2,150,695) (1,049,094) ------------ ------------ ------------ Capital Share Transactions: Net proceeds from sale of shares 24,148,535 30,254,792 4,978,031 Net proceeds from shares issued in merger n/a 10,271,727 n/a Shares resulting from dividend reinvestmests 108,053 1,714,149 1,048,960 Cost of shares redeemed (25,920,629) (20,857,342) (6,745,829) Redemption of Class I shares (17,917,765) n/a n/a ------------ ------------ ------------ Net increase (decrease) in net assets resulting from capital share transactions (19,581,806) 21,383,326 (718,838) ------------ ------------ ------------ Net increase (decrease) in net assets (20,034,999) 20,806,335 (106,454) ------------ ------------ ------------ Net assets, beginning of period 36,565,323 15,758,988 15,865,442 ------------ ------------ ------------ Net assets, end of period $ 16,530,324 $ 36,565,323 $ 15,758,988 ============ ============ ============ Undistributed net investment income $ 138,021 $ 59,206 $ 14 ============ ============ ============
(1) Advisory and retail classes commenced operations on 7/24/98. See Accompanying Notes to Financial Statements 61 Income Funds STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
High Yield Fund ------------------------------ Year Year Ended Ended June 30, June 30, 1999 1998 ------------- ------------- Increase (decrease) in net assets from operations: Net investment income $ 32,082,228 $ 13,829,456 Net realized gain (loss) from investment and foreign currency transactions (39,880,708) 1,228,407 Net change in unrealized appreciation (depreciation) of investments and transaction of other assets, liabilities and forward contracts denominated in foreign currencies (9,008,796) (2,126,621) ------------- ------------- Net increase (decrease) in net assets from operations (16,807,276) 12,931,242 ------------- ------------- Distributions to shareholders: From net investment income: Retail class (33,382,295) (13,082,949) Advisory and Institutional classes -- -- From net realized gains: Retail class -- -- Advisory and Institutional classes -- -- Tax return of capital Retail class (604,370) -- Advisory and Institutional classes -- -- ------------- ------------- Total distributions (33,986,665) (13,082,949) ------------- ------------- Capital Share Transactions: Net proceeds from sale of shares 338,787,788 266,689,070 Net proceeds from shares issued in merger n/a n/a Shares resulting from dividend reinvestments 15,394,375 6,023,875 Cost of shares redeemed (162,095,950) (81,063,350) Redemption of Class I shares n/a n/a ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions 192,086,213 191,649,595 ------------- ------------- Net increase (decrease) in net assets 141,292,272 191,497,888 ------------- ------------- Net assets, beginning of period 276,511,688 85,013,800 ------------- ------------- Net assets, end of period $ 417,803,960 $ 276,511,688 ============= ============= Undistributed (overdistributed) net investment income $ -- $ 1,300,067 ============= ============= High Yield Fund II ----------------------------------------------- Three Months Year Period Ended Ended Ended June 30, March 31, March 31, 1999 1999 1998(1) ------------- ------------- ------------- Increase (decrease) in net assets from operations: Net investment income $ 2,117,917 $ 7,088,233 $ 499,478 Net realized gain (loss) from investment and foreign currency transactions (1,651,059) (2,958,000) 551,791 Net change in unrealized appreciation (depreciation) of investments and transaction of other assets, liabilities and forward contracts denominated in foreign currencies 1,222,666 (2,908,667) 310,375 ------------- ------------- ------------- Net increase (decrease) in net assets from operations 1,689,524 1,221,566 1,361,644 ------------- ------------- ------------- Distributions to shareholders: From net investment income: Retail class (1,816,752) (6,010,027) -- Advisory and Institutional classes (243,368) (1,342,628) (516,768) From net realized gains: Retail class -- -- -- Advisory and Institutional classes -- -- (551,174) Tax return of capital Retail class -- -- -- Advisory and Institutional classes -- -- -- ------------- ------------- ------------- Total distributions (2,060,120) (7,352,655) (1,067,942) ------------- ------------- ------------- Capital Share Transactions: Net proceeds from sale of shares 5,060,774 103,808,906 10,731,762 Net proceeds from shares issued in merger n/a n/a 16,364,513 Shares resulting from dividend reinvestments 636,667 3,545,605 237,690 Cost of shares redeemed (12,563,115) (31,561,090) (2,500,448) Redemption of Class I shares (11,636,641) -- n/a ------------- ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions (18,502,315) 75,793,421 24,833,517 ------------- ------------- ------------- Net increase (decrease) in net assets (18,872,911) 69,662,332 25,127,219 ------------- ------------- ------------- Net assets, beginning of period 99,397,110 29,734,778 4,607,559 ------------- ------------- ------------- Net assets, end of period $ 80,524,199 $ 99,397,110 $ 29,734,778 ============= ============= ============= Undistributed (overdistributed) net investment income $ (193,920) $ (251,717) $ 12,705 ============= ============= =============
(1) Commenced operations on 3/27/98. See Accompanying Notes to Financial Statements 62 Equity & Income Funds STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
Balanced Fund -------------------------------------------- Three Months Year Year Ended Ended Ended June 30, March 31, March 31, 1999 1999 1998 ------------ ------------ ------------ Increase in net assets from operations: Net investment income $ 149,349 $ 568,429 $ 289,199 Net realized gain from investment and foreign currency transactions 4,490,910 3,763,578 5,874,160 Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies (4,167,142) 1,187,390 3,137,422 ------------ ------------ ------------ Net increase in net assets from operations 473,117 5,519,397 9,300,781 ------------ ------------ ------------ Distributions to shareholders: From net investment income: Retail class (96,590) (606,434) (271,011) Advisory and institutional classes (798) (29,342) (21,242) From net realized gains: Retail class -- (5,988,621) (1,994,836) Advisory and institutional classes -- (133,020) (70,159) ------------ ------------ ------------ Total distributions (97,388) (6,757,417) (2,357,248) ------------ ------------ ------------ Capital Share Transactions: Net proceeds from sale of shares 2,993,582 12,882,116 10,301,467 Shares resulting from dividend reinvestments 41,034 5,548,500 2,115,394 Cost of shares redeemed (2,512,012) (12,665,619) (11,292,750) Redemption of Class I shares n/a n/a n/a ------------ ------------ ------------ Net increase (decrease) in net assets resulting from capital share transactions 522,604 5,764,997 1,124,111 ------------ ------------ ------------ Net increase (decrease) in net assets 898,333 4,526,977 8,067,644 ------------ ------------ ------------ Net assets, beginning of period 37,397,911 32,870,934 24,803,290 ------------ ------------ ------------ Net assets, end of period $ 38,296,244 $ 37,397,911 $ 32,870,934 ============ ============ ============ Undistributed (overdistributed) net investment income $ (16,013) $ (67,974) $ (627) ============ ============ ============ Convertible Fund ----------------------------------------------- Three Months Year Year Ended Ended Ended June 30, March 31, March 31, 1999 1999 1998 ------------- ------------- ------------- Increase in net assets from operations: Net investment income $ 1,054,881 $ 5,162,409 $ 4,493,508 Net realized gain from investment and foreign currency transactions 13,167,798 25,455,864 8,251,684 Net change in unrealized appreciation (depreciation) of investments and translation of other assets, liabilities and forward contracts denominated in foreign currencies 3,889,849 19,262,427 35,936,585 ------------- ------------- ------------- Net increase in net assets from operations 18,112,528 49,880,700 48,681,777 ------------- ------------- ------------- Distributions to shareholders: From net investment income: Retail class (742,927) (2,822,214) (2,637,986) Advisory and institutional classes (88,744) (2,357,057) (1,847,791) From net realized gains: Retail class -- (3,158,579) (12,202,405) Advisory and institutional classes -- (915,964) (2,579,514) ------------- ------------- ------------- Total distributions (831,671) (9,253,814) (19,267,696) ------------- ------------- ------------- Capital Share Transactions: Net proceeds from sale of shares 28,114,039 83,841,725 111,877,548 Shares resulting from dividend reinvestments 465,422 6,950,787 15,169,089 Cost of shares redeemed (13,251,963) (66,351,226) (33,628,541) Redemption of Class I shares (91,378,691) -- -- ------------- ------------- ------------- Net increase (decrease) in net assets resulting from capital share transactions (76,051,193) 24,441,286 93,418,096 ------------- ------------- ------------- Net increase (decrease) in net assets (58,770,336) 65,068,172 122,832,177 ------------- ------------- ------------- Net assets, beginning of period 317,807,646 252,739,474 129,907,297 ------------- ------------- ------------- Net assets, end of period $ 259,037,310 $ 317,807,646 $ 252,739,474 ============= ============= ============= Undistributed (overdistributed) net investment income $ 195,337 $ (27,873) $ (11,011) ============= ============= =============
See Accompanying Notes to Financial Statements 63 U.S. EQUITY FUNDS PILGRIM MAGNACAP FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A ------------------------------------------------------------------- Year Ended June 30, ------------------------------------------------------------------- 1999 1998 1997 1996 1995(a) ------------ ------------- ------------- ------------- ------------ PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period $ 17.07 $ 15.92 $ 16.69 $ 14.03 $ 12.36 - ------------------------------------- -------- ---------- ---------- ---------- ---------- Income from investment operations: Net investment income (loss) 0.07 0.04 0.10 0.09 0.12 - ------------------------------------- -------- ---------- ---------- ---------- ---------- Net realized and unrealized gains on investments 2.37 3.02 4.16 2.87 2.29 - ------------------------------------- -------- ---------- ---------- ---------- ---------- Total from investment operations 2.44 3.06 4.26 2.96 2.41 - ------------------------------------- -------- ---------- ---------- ---------- ---------- Less distributions from: Net investment income 0.04 0.06 0.12 0.06 0.14 - ------------------------------------- -------- ---------- ---------- ---------- ---------- Net realized gains on investments 1.78 1.85 4.91 0.24 0.60 - ------------------------------------- -------- ---------- ---------- ---------- ---------- Net asset value, end of period $ 17.69 $ 17.07 $ 15.92 $ 16.69 $ 14.03 ===================================== ======== ========== ========== ========== ========== TOTAL RETURN(c) 15.93% 20.53% 30.82% 21.31% 20.61% - ------------------------------------- -------- ---------- ---------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's) $368,508 $ 348,759 $ 290,355 $ 235,393 $ 211,330 - ------------------------------------- -------- ---------- ---------- ---------- ---------- Ratios to average net assets: Expenses(d) 1.35% 1.37% 1.46% 1.68% 1.59% - ------------------------------------ -------- ---------- ---------- ---------- ---------- Net investment income(d) 0.41% 0.29% 0.64% 0.54% 0.98% - ------------------------------------- -------- ---------- ---------- ---------- ---------- Portfolio turnover rate 48% 53% 77% 15% 6% - ------------------------------------- -------- ---------- ---------- ---------- ----------
(a) 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. (b) Commencement of offering shares. (c) 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. (d) Annualized. 64 - --------------------------------------------------------------------------------
Class B Class C Class M ---------------------------------------------------- ------------ ---------------------------------------------------- Year Year Year July 17, June 1, Year Year Year July 17, Ended Ended Ended 1995(b) to 1999(b) to Ended Ended Ended 1995(b) to June 30, June 30, June 30, June 30, June 30, June 30, June 30, June 30, June 30, 1999 1998 1997 1996 1999 1999 1998 1997 1996 ------------ ------------ ------------- ------------ ------------ ----------- ------------- ------------- ------------ $ 16.86 $ 15.81 $ 16.59 $ 14.22 $ 16.69 $ 16.95 $ 15.87 $ 16.63 $ 14.22 ----------- ------------ ------------ ---------- --------- ----------- ------------ ---------- ---------- (0.04) (0.04) -- 0.06 -- (0.01) -- 0.02 0.08 ----------- ------------ ------------ ---------- --------- ----------- ------------ ---------- ---------- 2.32 2.97 4.13 2.61 0.68 2.35 2.98 4.16 2.63 ----------- ------------ ------------ ---------- --------- ----------- ------------ ---------- ---------- 2.28 2.93 4.13 2.67 0.68 2.34 2.98 4.18 2.71 ----------- ------------ ------------ ---------- --------- ----------- ------------ ---------- ---------- -- 0.03 -- 0.06 -- -- 0.05 0.03 0.06 ----------- ------------ ------------ ---------- --------- ----------- ------------ ---------- ---------- 1.78 1.85 4.91 0.24 -- 1.78 1.85 4.91 0.24 ----------- ------------ ------------ ---------- --------- ----------- ------------ ---------- ---------- $ 17.36 $ 16.86 $ 15.81 $ 16.59 $ 17.37 $ 17.51 $ 16.95 $ 15.87 $ 16.63 =========== ============ ============ ========== ========= =========== ============ ========== ========== 15.12% 19.76% 29.92% 18.98% 4.07% 15.41% 20.00% 30.26% 19.26% ----------- ------------ ------------ ---------- --------- ----------- ------------ ---------- ---------- $ 116,227 $ 77,787 $ 37,427 $ 10,509 $ 601 $ 16,351 $ 14,675 $ 6,748 $ 1,961 ----------- ------------ ------------ ---------- --------- ----------- ------------ ---------- ---------- 2.05% 2.07% 2.16% 2.38% 0.09% 1.80% 1.82% 1.91% 2.13% ----------- ------------ ------------ ---------- --------- ----------- ------------ ---------- ---------- (0.29)% (0.41)% (0.04)% 0.07% 0.04% (0.04)% (0.16)% 0.22% 0.32% ----------- ------------ ------------ ---------- --------- ----------- ------------ ---------- ---------- 48% 53% 77% 15% 48% 48% 53% 77% 15% ----------- ------------ ------------ ---------- --------- ----------- ------------ ---------- ----------
65 U.S. EQUITY FUNDS PILGRIM LARGECAP LEADERS FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A --------------------------------------------------------- Ten Months Year Ended June 30, Ended -------------------------------------------- June 30, 1999 1998 (b) 1997 1996 (a) ------------ ------------- ------------- ---------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period $ 14.70 $ 14.17 $ 11.77 $ 10.00 - ------------------------------------- ----------- ---------- ---------- ---------- Income from investment operations: Net investment income (loss) -- 0.01 0.06 0.07 - ------------------------------------- ----------- ---------- ---------- ---------- Net realized and unrealized gains on investments 3.00 2.30 2.63 1.87 - ------------------------------------- ----------- ---------- ---------- ---------- Total from investment operations 3.00 2.31 2.69 1.94 - ------------------------------------- ----------- ---------- ---------- ---------- Less distributions from: Net investment income -- -- 0.05 0.08 - ------------------------------------- ----------- ---------- ---------- ---------- Net realized gains on investments 0.35 1.78 0.24 0.09 - ------------------------------------- ----------- ---------- ---------- ---------- Net asset value, end of period $ 17.35 $ 14.70 $ 14.17 $ 11.77 ===================================== =========== ========== ========== ========== TOTAL RETURN(D) 20.66% 17.71% 23.24% 19.56% - ------------------------------------- ----------- ---------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's) $ 8,506 $ 7,606 $ 8,961 $ 2,530 - ------------------------------------- ----------- ---------- ---------- ---------- Ratios to average net assets: Net expenses after expense reimbursement(e) 1.75% 1.75% 1.75% 1.75% - ------------------------------------ ----------- ---------- ---------- ---------- Gross expenses prior to expense reimbursement(e) 1.98% 2.28% 2.33% 5.44% - ------------------------------------ ----------- ---------- ---------- ---------- Net investment income (loss) after expense reimbursement(e) (0.04)% 0.03% 0.41% 0.65% - ------------------------------------- ----------- ---------- ---------- ---------- Portfolio turnover rate 87% 78% 86% 59% - ------------------------------------- ----------- ---------- ---------- ----------
(a) The Fund commenced operations on September 1, 1995. (b) Effective November 1, 1997, Pilgrim Investments, Inc. assumed the portfolio investment responsibilities of the Fund from ARK Asset Management Company, Inc. (c) Commencement of offering shares. (d) 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. (e) Annualized. 66 - --------------------------------------------------------------------------------
Class B Class C ------------------------------------------------------ ------------- Ten Months (June 17, Year Ended June 30, Ended 1999(c) to ---------------------------------------- June 30, June 30, 1999 1998 (b) 1997 1996 (a) 1999 ------------ ------------- ------------- ------------- ------------- $ 14.44 $ 14.04 $ 11.71 $ 10.00 $ 16.54 ---------- ------------- ------------- ------------- ----------- (0.09) (0.10) (0.02) 0.06 -- ---------- ------------- ------------- ------------- ----------- 2.90 2.28 2.59 1.81 0.38 ---------- ------------- ------------- ------------- ----------- 2.81 2.18 2.57 1.87 0.38 ---------- ------------- ------------- ------------- ----------- -- -- -- 0.07 -- ---------- ------------- ------------- ------------- ----------- 0.35 1.78 0.24 0.09 -- ---------- ------------- ------------- ------------- ----------- $ 16.90 $ 14.44 $ 14.04 $ 11.71 $ 16.92 ========== ============= ============= ============= =========== 19.71% 16.91% 22.23% 18.85% 2.30% ---------- ------------- ------------- ------------- ----------- $ 24,213 $ 15,605 $ 13,611 $ 1,424 -- ---------- ------------- ------------- ------------- ----------- 2.50% 2.50% 2.50% 2.50% -- ---------- ------------- ------------- ------------- ----------- 2.73% 3.03% 3.08% 5.79% -- ---------- ------------- ------------- ------------- ----------- (0.79)% (0.72)% (0.35)% (0.25)% -- ---------- ------------- ------------- ------------- ----------- 87% 78% 86% 59% 87% ---------- ------------- ------------- ------------- ----------- Class M ---------------------------------------- Ten Months Year Ended June 30, Ended ---------------------------------------- June 30, 1999 1998 (b) 1997 1996 (a) ------------ ------------- ------------- ------------- $ 14.55 $ 14.10 $ 11.73 $ 10.00 ------------ ------------- ------------- ----------- (0.09) (0.07) -- 0.06 ------------ ------------- ------------- ----------- 2.97 2.30 2.62 1.83 ------------ ------------- ------------- ----------- 2.88 2.23 2.62 1.89 ------------ ------------- ------------- ----------- -- -- 0.01 0.07 ------------ ------------- ------------- ----------- 0.35 1.78 0.24 0.09 ------------ ------------- ------------- ----------- $ 17.08 $ 14.55 $ 14.10 $ 11.73 ============ ============= ============= =========== 20.04% 17.20% 22.58% 19.06% ------------ ------------- ------------- ----------- $ 5,661 $ 5,533 $ 4,719 $ 1,240 ------------ ------------- ------------- ----------- 2.25% 2.25% 2.25% 2.25% ------------ ------------- ------------- ----------- 2.48% 2.78% 2.83% 5.90% ------------ ------------- ------------- ----------- (0.54)% (0.47)% (0.10)% 0.06% ------------ ------------- ------------- ----------- 87% 78% 86% 59% ------------ ------------- ------------- -----------
67 U.S. EQUITY FUNDS PILGRIM LARGECAP GROWTH FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A --------------------------------------------- Three Months Year July 21, 1997(a) Ended Ended to June 30, March 31, March 31, 1999(b) 1999 1998 -------------- ----------- -------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 24.94 $ 15.73 $ 12.50 - ------------------------------------------------------------- ----------- ----------- ----------- Income from investment operations: Net investment income (loss) (0.02) (0.08) (0.03) - ------------------------------------------------------------- ----------- ----------- ----------- Net realized and unrealized gains on investments 3.17 9.77 3.29 - ------------------------------------------------------------- ----------- ----------- ----------- Total from investment operations 3.15 9.69 3.26 - ------------------------------------------------------------- ----------- ----------- ----------- Less distributions from: Net investment income -- -- -- - ------------------------------------------------------------- ----------- ----------- ----------- Net realized gains on investments -- 0.48 0.03 - ------------------------------------------------------------- ----------- ----------- ----------- Net asset value, end of period $ 28.09 $ 24.94 $ 15.73 ============================================================= =========== =========== =========== TOTAL RETURN(C): 12.63% 63.06% 62.35% - ------------------------------------------------------------- ----------- ----------- ----------- RATIOS/SUPPLEMENTAL DATA: Net assets, end of period ($000's) $ 30,108 $ 12,445 $ 4,742 - ------------------------------------------------------------- ----------- ----------- ----------- Ratios to average net assets: Net expenses after expense reimbursement(d) 1.43% 1.59% 1.60% - ------------------------------------------------------------- ----------- ----------- ----------- Gross expenses prior to expense reimbursement(d) 1.45% 2.24% 4.70% - ------------------------------------------------------------- ----------- ----------- ----------- Net investment income (loss) after expense reimbursement(d) (0.56)% (0.65)% (0.87)% - ------------------------------------------------------------- ----------- ----------- ----------- Portfolio turnover 27% 253% 306% - ------------------------------------------------------------- ----------- ----------- -----------
(a) The Fund commenced operations on July 21, 1997. (b) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (c) 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. (d) Annualized 68 - --------------------------------------------------------------------------------
Class B Class C ------------------------------------------- ------------------------------------------ Three Months Year July 21, Three Months Year July 21, Ended Ended 1997(a) to Ended Ended 1997(a) to June 30, March 31, March 31, June 30, March 31, March 31, 1999(b) 1999 1998 1999(b) 1999 1998 -------------- ----------- ------------ -------------- ----------- ----------- $ 25.04 $ 15.64 $ 12.50 $ 24.97 $ 15.63 $ 12.50 ----------- ----------- ----------- ----------- ----------- ----------- (0.05) (0.08) (0.07) (0.06) (0.07) (0.05) ----------- ----------- ----------- ----------- ----------- ----------- 3.16 9.71 3.24 3.16 9.65 3.24 ----------- ----------- ----------- ----------- ----------- ----------- 3.11 9.63 3.17 3.10 9.58 3.19 ----------- ----------- ----------- ----------- ----------- ----------- -- -- -- -- -- -- ----------- ----------- ----------- ----------- ----------- ----------- -- 0.23 0.03 -- 0.24 0.06 ----------- ----------- ----------- ----------- ----------- ----------- $ 28.15 $ 25.04 $ 15.64 $ 28.07 $ 24.97 $ 15.63 =========== =========== =========== =========== =========== =========== 12.42% 62.28% 61.08% 12.41% 61.97% 61.38% ----------- ----------- ----------- ----------- ----------- ----------- $ 49,057 $ 20,039 $ 3,187 $ 17,755 $ 8,004 $ 960 ----------- ----------- ----------- ----------- ----------- ----------- 2.08% 2.24% 2.25% 2.08% 2.25% 2.25% ----------- ----------- ----------- ----------- ----------- ----------- 2.10% 2.89% 4.78% 2.10% 2.90% 7.79% ----------- ----------- ----------- ----------- ----------- ----------- (1.21)% (1.28)% (1.36)% (1.21)% (1.26)% (1.49)% ----------- ----------- ----------- ----------- ----------- ----------- 27% 253% 306% 27% 253% 306% ----------- ----------- ----------- ----------- ----------- -----------
69 U.S. EQUITY FUNDS PILGRIM MIDCAP VALUE FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A -------------------------------------------------------- Ten Months Year Ended June 30, Ended ----------------------------------------- June 30, 1999 1998 1997 1996 (a) ----------- ------------ ------------ ------------ PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period $ 16.79 $ 14.64 $ 11.99 $ 10.00 - ------------------------------------- ----------- ------------ ------------ ---------- Income from investment operations: Net investment income (loss) (0.09) (0.07) (0.02) 0.13 - ------------------------------------- ----------- ------------ ------------ ---------- Net realized and unrealized gains (loss) on investments 0.12 2.71 2.85 1.91 - ------------------------------------- ----------- ------------ ------------ ---------- Total from investment operations 0.03 2.64 2.83 2.04 - ------------------------------------- ----------- ------------ ------------ ---------- Less distributions from: Net investment income -- -- 0.07 0.05 - ------------------------------------- ----------- ------------ ------------ ---------- Net realized gains on investments 1.17 0.49 0.11 -- - ------------------------------------- ----------- ------------ ------------ ---------- Net asset value, end of period $ 15.65 $ 16.79 $ 14.64 $ 11.99 ===================================== =========== ============ ============ ========== TOTAL RETURN(C) 0.95% 18.40% 23.89% 20.48% - ------------------------------------- ----------- ------------ ------------ ---------- RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's) $ 18,621 $ 27,485 $ 16,985 $ 2,389 - ------------------------------------- ----------- ------------ ------------ ---------- Ratios to average net assets: Net expenses after expense reimbursement(d) 1.75% 1.75% 1.75% 1.75% - ------------------------------------ ----------- ------------ ------------ ---------- Gross expenses prior to expense reimbursement(d) 1.79% 1.78% 1.94% 4.91% - ------------------------------------ ----------- ------------ ------------ ---------- Net investment income (loss) after expense reimbursement(d) (0.48)% (0.53)% (0.13)% 2.00% - ------------------------------------- ----------- ------------ ------------ ---------- Portfolio turnover rate 109% 85% 86% 60% - ------------------------------------- ----------- ------------ ------------ ----------
(a) The Fund commenced operations on September 1, 1995. (b) Commencement of offering shares. (c) 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. (d) Annualized. 70 - --------------------------------------------------------------------------------
CLASS B CLASS C CLASS M -------------------------------------------------- ------------- ------------------------------------------------ Ten Months (June 2, Ten Months Year Ended June 30, Ended 1999 to Year Ended June 30, Ended ------------------------------------- June 30, June 30, ------------------------------------ June 30, 1999 1998 1997 1996 (a) 1999)(b) 1999 1998 1997 1996 (a) ----------- ------------ ------------ ------------ ------------- ----------- ------------ ----------- ----------- $ 16.47 $ 14.49 $ 11.94 $ 10.00 $ 14.84 $ 16.52 $ 14.49 $ 11.93 $ 10.00 ----------- ------------ ------------ ---------- ----------- ----------- ------------ ----------- --------- (0.21) (0.18) (0.05) 0.07 (0.02) (0.17) (0.15) (0.03) 0.06 ----------- ------------ ------------ ---------- ----------- ----------- ------------ ----------- --------- 0.12 2.65 2.76 1.90 0.38 0.12 2.67 2.76 1.91 ----------- ------------ ------------ ---------- ----------- ----------- ------------ ----------- --------- (0.09) 2.47 2.71 1.97 0.36 (0.05) 2.52 2.73 1.97 ----------- ------------ ------------ ---------- ----------- ----------- ------------ ----------- --------- -- -- 0.05 0.03 -- -- -- 0.06 0.04 ----------- ------------ ------------ ---------- ----------- ----------- ------------ ----------- --------- 1.17 0.49 0.11 -- -- 1.17 0.49 0.11 -- ----------- ------------ ------------ ---------- ----------- ----------- ------------ ----------- --------- $ 15.21 $ 16.47 $ 14.49 $ 11.94 $ 15.20 $ 15.30 $ 16.52 14.49 11.93 =========== ============ ============ ========== =========== =========== ============ =========== ========= 0.21% 17.40% 22.95% 19.80% 2.43% 0.46% 17.76% 23.21% 19.82% ----------- ------------ ------------ ---------- ----------- ----------- ------------ ----------- --------- $ 31,223 $ 40,575 $ 23,258 $ 2,123 $ 47 $ 10,504 $ 13,232 $ 8,378 $ 1,731 ----------- ------------ ------------ ---------- ----------- ----------- ------------ ----------- --------- 2.50% 2.50% 2.50% 2.50% 2.50% 2.25% 2.25% 2.25% 2.25% ----------- ------------ ------------ ---------- ----------- ----------- ------------ ----------- --------- 2.54% 2.53% 2.69% 5.32% 2.54% 2.29% 2.28% 2.44% 4.72% ----------- ------------ ------------ ---------- ----------- ----------- ------------ ----------- --------- (1.23)% (1.28)% (0.90)% 1.27% (1.23)% (0.98)% (1.03)% (0.63)% 1.16% ----------- ------------ ------------ ---------- ----------- ----------- ------------ ----------- --------- 109% 85% 86% 60% 109% 109% 85% 86% 60% ----------- ------------ ------------ ---------- ----------- ----------- ------------ ----------- ---------
71 U.S. EQUITY FUNDS PILGRIM MIDCAP GROWTH FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A -------------------------------------------------------------------------- Three Months Ended Year Ended March 31, June 30, ----------------------------------------------------------- 1999(a) 1999 1998 1997 1996 1995 -------------- ----------- ----------- ----------- ----------- ----------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 19.93 $ 18.63 $ 16.80 $ 18.37 $ 13.61 $ 13.25 - ------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Income from investment operations: Net investment income (loss) (0.06) (0.50) (0.14) (0.17) (0.18) (0.10) - ------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Net realized and unrealized gains on investments 1.47 3.17 6.50 0.57 4.94 0.46 - ------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 1.41 2.67 6.36 0.40 4.76 0.36 - ------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Less distributions from: Net investment income -- -- -- -- -- -- - ------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Net realized gains on investments -- 1.37 4.53 1.97 -- -- - ------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 21.34 $ 19.93 $ 18.63 $ 16.80 $ 18.37 $ 13.61 ===================================== =========== =========== =========== =========== =========== =========== TOTAL RETURN(C): 7.07% 15.36% 41.81% 1.09% 35.07% 2.72% - ------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's) $ 66,586 $ 67,550 $ 90,619 $ 76,108 $ 77,275 $ 65,292 - ------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Ratios to average net assets: Net expenses after expense reimbursement(d) 1.49% 1.56% 1.57% 1.60% 1.58% 1.59% - ------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Gross expenses prior to expense reimbursement(d) 1.50% 1.64% 1.66% 1.56% 1.56% 1.63% - ------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Net investment income (loss) after expense reimbursement(d) (1.20)% (1.04)% (1.33)% (1.05)% (0.91)% (0.66)% - ------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Portfolio turnover 55% 154% 200% 153% 114% 98% - ------------------------------------- ----------- ----------- ----------- ----------- ----------- -----------
(a) Effective May 24, 1999, Pilgrim Investment Inc. became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (b) Commencement of offering shares. (c) 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. (d) Annualized 72 - --------------------------------------------------------------------------------
Class B ------------------------------------------------------------------ Three Months May 31, Ended Year Ended March 31, 1995(b) to June 30, -------------------------------------- March 31, 1999(a) 1999 1998 1997 1996 -------------- ------------ ------------ ------------ ------------ $ 23.54 $ 21.55 $ 16.33 $ 16.25 $ 12.50 ------------ ------------ ------------ ------------ ------------ (0.11) (0.42) (0.25) (0.17) (0.09) ------------ ------------ ------------ ------------ ------------ 1.75 3.42 6.74 0.25 3.84 ------------ ------------ ------------ ------------ ------------ 1.64 3.00 6.49 0.08 3.75 ------------ ------------ ------------ ------------ ------------ -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ -- 1.01 1.27 -- -- ------------ ------------ ------------ ------------ ------------ $ 25.18 $ 23.54 $ 21.55 $ 16.33 $ 16.25 ============ ============ ============ ============ ============ 6.97% 14.59% 40.84% (0.49)% 30.00% ------------ ------------ ------------ ------------ ------------ $ 49,335 $ 45,876 $ 46,806 $ 29,002 $ 11,186 ------------ ------------ ------------ ------------ ------------ 2.14% 2.22% 2.22% 2.25% 2.22% ------------ ------------ ------------ ------------ ------------ 2.14% 2.29% 2.21% 2.66% 3.39% ------------ ------------ ------------ ------------ ------------ (1.85)% (1.69)% (1.99)% (1.69)% (1.61)% ------------ ------------ ------------ ------------ ------------ 55% 154% 200% 153% 114% ------------ ------------ ------------ ------------ ------------ Class C -------------------------------------------------------------------------------- Three Months Ended Year Ended March 31, June 30, ---------------------------------------------------------------- 1999(a) 1999 1998 1997 1996 1995 ------------- ------------ ------------ ------------ ------------ ------------ $ 18.49 $ 17.15 $ 16.48 $ 18.06 $ 13.45 $ 13.18 ------------ ------------ ------------ ------------ ------------ ------------ (0.09) (0.61) (0.28) (0.32) (0.27) (0.17) ------------ ------------ ------------ ------------ ------------ ------------ 1.38 2.97 6.26 0.62 4.88 0.44 ------------ ------------ ------------ ------------ ------------ ------------ 1.29 2.36 5.98 0.30 4.61 0.27 ------------ ------------ ------------ ------------ ------------ ------------ -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ -- 1.02 5.31 1.88 -- -- ------------ ------------ ------------ ------------ ------------ ------------ $ 19.78 $ 18.49 $ 17.15 $ 16.48 $ 18.06 $ 13.45 ============ ============ ============ ============ ============ ============ 6.98% 14.60% 40.95% 0.56% 34.28% 2.05% ------------ ------------ ------------ ------------ ------------ ------------ $ 144,832 $ 141,685 $ 166,849 $ 157,501 $ 177,461 $ 143,390 ------------ ------------ ------------ ------------ ------------ ------------ 2.14% 2.23% 2.27% 2.14% 2.14% 2.24% ------------ ------------ ------------ ------------ ------------ ------------ 2.14% 2.30% 2.33% 2.17% 2.14% 2.24% ------------ ------------ ------------ ------------ ------------ ------------ (1.85)% (1.70)% (2.01)% (1.59)% (1.47)% (1.30)% ------------ ------------ ------------ ------------ ------------ ------------ 55% 154% 200% 153% 114% 98% ------------ ------------ ------------ ------------ ------------ ------------
73 U.S. EQUITY FUNDS PILGRIM SMALLCAP GROWTH FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A ------------------------------------------------------------------------------- Three Months Ended Year Ended March 31, June 30, ---------------------------------------------------------------- 1999(a) 1999 1998 1997 1996 1995 -------------- ------------ ------------ ------------ ------------ ------------ PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 16.72 $ 19.75 $ 15.15 $ 17.93 $ 13.06 $ 12.10 - ------------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------ Income from investment operations: Net investment income (loss) (0.06) (0.85) (0.08) (0.22) (0.20) (0.16) - ------------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------ Net realized and unrealized gains (loss) on investments 2.42 0.69 6.91 (0.66) 5.09 1.12 - ------------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------ Total from investment operations 2.36 (0.16) 6.83 (0.88) 4.89 0.96 - ------------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------ Less distributions from: Net investment income -- -- -- -- -- -- - ------------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------ Net realized gains on investments -- 2.87 2.23 1.90 0.02 -- - ------------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------ Net asset value, end of period $ 19.08 $ 16.72 $ 19.75 $ 15.15 $ 17.93 $ 13.06 =========================================== ============ ============ ============ ============ ============ ============ TOTAL RETURN(C): 14.11% 0.37% 46.32% (6.26)% 37.48% 7.93% - ------------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's) $ 102,641 $ 94,428 $ 201,943 $ 121,742 $ 138,155 $ 106,725 - ------------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------ Ratio to average net assets: Net expenses after expense reimbursement(d) 1.70% 1.85% 1.89% 1.72% 1.74% 1.86% - ------------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------ Gross expenses prior to expense reimbursement(d) 1.74% 1.95% 1.90% 1.72% 1.74% 1.84% - ------------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------ Net investment income (loss) after expense reimbursement(d) (1.46)% (1.32)% (1.85)% (1.26)% (1.20)% (1.27)% - ------------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------ Portfolio turnover 32% 90% 92% 113% 130% 100% - ------------------------------------------- ------------ ------------ ------------ ------------ ------------ ------------
(a) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (b) Commencement of offering shares. (c) The 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. (d) Annualized Annualized 74 - --------------------------------------------------------------------------------
Class B ---------------------------------------------------- Three Months May 31, Ended Year Ended March 31, 1995(b) to June 30, ------------------------------------- March 31, 1999(a) 1999 1998 1997 1996 ------------- ------------ ----------- ----------- ------------ $ 21.12 $ 22.53 $ 15.51 $ 16.69 $ 12.50 ------------ ------------ ----------- ----------- ------------ (0.12) (0.53) (0.27) (0.21) (0.14) ------------ ------------ ----------- ----------- ------------ 3.05 0.33 7.29 (0.97) 4.33 ------------ ------------ ----------- ----------- ------------ 2.93 (0.20) 7.02 (1.18) 4.19 ------------ ------------ ----------- ----------- ------------ -- -- -- -- -- ------------ ------------ ----------- ----------- ------------ -- 1.21 -- -- -- ------------ ------------ ----------- ----------- ------------ $ 24.05 $ 21.12 $ 22.53 $ 15.51 $ 16.69 ============ ============ =========== =========== ============ 13.87% (0.29)% 45.26% (7.07)% 33.52% ------------ ------------ ----------- ----------- ------------ $ 49,448 $ 45,140 $ 55,215 $ 28,030 $ 13,626 ------------ ------------ ----------- ----------- ------------ 2.35% 2.57% 2.62% 2.61% 2.58% ------------ ------------ ----------- ----------- ------------ 2.39% 2.66% 2.63% 2.73% 3.26% ------------ ------------ ----------- ----------- ------------ (2.11)% (2.03)% (2.59)% (2.13)% (2.09)% ------------ ------------ ----------- ----------- ------------ 32% 90% 92% 113% 130% ------------ ------------ ----------- ----------- ------------ Class C -------------------------------------------------------------------------------- Three Months Ended Year Ended March 31, June 30, ----------------------------------------------------------------- 1999(a) 1999 1998 1997 1996 1995 -------------- ------------ ------------ ------------ ------------ ------------ $ 16.51 $ 18.62 $ 14.69 $ 17.62 $ 12.96 $ 12.07 ------------ ------------ ------------ ------------ ------------ ------------ (0.09) (0.84) (0.38) (0.31) (0.29) (0.22) ------------ ------------ ------------ ------------ ------------ ------------ 2.39 0.61 6.84 (0.63) 5.03 1.11 ------------ ------------ ------------ ------------ ------------ ------------ 2.30 (0.23) 6.46 (0.94) 4.74 0.89 ------------ ------------ ------------ ------------ ------------ ------------ -- -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ -- 1.88 2.53 1.99 0.08 -- ------------ ------------ ------------ ------------ ------------ ------------ $ 18.81 $ 16.51 $ 18.62 $ 14.69 $ 17.62 $ 12.96 ============ ============ ============ ============ ============ ============ 13.93% (0.24)% 45.40% (6.81)% 37.18% 7.37% ------------ ------------ ------------ ------------ ------------ ------------ $ 153,471 $ 144,597 $ 225,025 $ 182,907 $ 207,332 $ 157,292 ------------ ------------ ------------ ------------ ------------ ------------ 2.35% 2.51% 2.57% 2.35% 2.35% 2.44% ------------ ------------ ------------ ------------ ------------ ------------ 2.39% 2.60% 2.59% 2.35% 2.35% 2.44% ------------ ------------ ------------ ------------ ------------ ------------ (2.11)% (1.97)% (2.53)% (1.89)% (1.81)% (1.85)% ------------ ------------ ------------ ------------ ------------ ------------ 32% 90% 92% 113% 130% 100% ------------ ------------ ------------ ------------ ------------ ------------
75 U.S. EQUITY FUNDS PILGRIM BANK AND THRIFT FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A ------------------------------------------------------------------------------ Year Six Months Ended Ended Year Ended December 31, June 30, June 30, --------------------------------------------------- 1999 1998(c) 1997 1996 1995(a) 1994 ------------- ------------ ------------ ------------ ------------ ------------ PER SHARE OPERATING PERFORMANCE Net asset value, beginning of year $ 27.52 $ 25.87 $ 17.84 $ 14.83 $ 10.73 $ 11.87 - ---------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------ Income (loss) from investment operations: Net investment income 0.29 0.11 0.34 0.32 0.31 0.26 - ---------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------ Net realized and unrealized gains (loss) on investments (2.70) 1.54 10.83 5.18 4.78 (0.53) - ---------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------ Total from investment operations (2.41) 1.65 11.17 5.50 5.09 (0.27) - ---------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------ Less distributions from: Net investment income 0.18 -- 0.31 0.35 0.34 0.22 - ---------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------ Net realized gains on investments 0.55 -- 2.65 2.14 0.65 0.65 - ---------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------ Tax return of capital -- -- 0.18 -- -- -- - ---------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------ Net asset value, end of year $ 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(d) -- -- -- 43.48% 52.81% (8.85)% - ---------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------ TOTAL INVESTMENT RETURN AT NET ASSET VALUE(e) (8.61)% 6.38% 64.86% 41.10% 49.69% (1.89)% - ---------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------ RATIOS/SUPPLEMENTAL DATA: Net assets, end of year ($millions) $ 403 $ 549 $ 383 $ 252 $ 210 $ 152 - ---------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------ Ratio to average net assets: Expenses(f) 1.39% 1.20% 1.10% 1.01% 1.05% 1.28% - --------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------ Net investment income(f) 1.09% 0.94% 1.39% 1.94% 2.37% 2.13% - ---------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------ Portfolio turnover rate 29% 2% 22% 21% 13% 14% - ---------------------------------------------- ------------ ---------- ---------- ---------- ---------- ------------
(a) 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. (b) Commencement of offering shares. (c) Effective June 30, 1998, Bank and Thrift Fund changed its year end to June 30. (d) Total return was calculated at market value without deduction of sales commissions and assuming reinvestment of all dividends and distributions during the period. 76 - --------------------------------------------------------------------------------
Class B ------------------------------------------ Year Six Months October 20, Ended Ended 1997(b) to June 30, June 30, December 31, 1999 1998(c) 1997 ------------- ------------ ------------- $ 27.40 $ 25.85 $ 25.25 ----------- --------- --------- 0.08 0.01 0.04 ----------- --------- --------- (2.66) 1.54 2.92 ----------- --------- --------- (2.58) 1.55 2.96 ----------- --------- --------- 0.06 -- 0.04 ----------- --------- --------- 0.55 -- 2.04 ----------- --------- --------- -- -- 0.28 ----------- --------- --------- $ 24.21 $ 27.40 $ 25.85 =========== ========= ========= -- -- -- ----------- --------- --------- -- -- -- ----------- --------- --------- (9.31)% 6.00% 11.88% ----------- --------- --------- $ 343 $ 360 $ 76 ----------- --------- --------- 2.14% 1.95% 1.89% ----------- --------- --------- 0.34% 0.19% 0.99% ----------- --------- --------- 29% 2% 22% ----------- --------- ---------
(e) 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. (f) Annualized. 77 INTERNATIONAL EQUITY FUNDS PILGRIM WORLDWIDE GROWTH FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A --------------------------------------------------------------------------- Three Months Ended Year Ended March 31, June 30, ------------------------------------------------------------ 1999(a) 1999 1998 1997 1996 1995 -------------- ----------- ------------ ----------- ----------- ----------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 21.39 $ 19.33 $ 16.88 $ 16.57 $ 14.29 $ 14.94 - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Income from investment operations: Net investment income (loss) -- (0.02) 0.04 (0.16) (0.07) (0.05) - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Net realized and unrealized gains (loss) on investments 2.19 5.78 5.33 2.20 2.86 (0.09) - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 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 -- 3.64 2.92 1.73 0.39 0.49 - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 23.58 $ 21.39 $ 19.33 $ 16.88 $ 16.57 $ 14.29 ============================================= =========== =========== =========== =========== =========== =========== TOTAL RETURN(C): 10.24% 33.56% 34.55% 12.51% 19.79% (0.90)% - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's) $ 66,245 $ 49,134 $ 38,647 $ 24,022 $ 23,481 $ 22,208 - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Ratios to average net assets: Net expenses after expense reimbursement(d) 1.75% 1.86% 1.86% 1.85% 1.85% 1.85% - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Gross expenses prior to expense reimbursement(d) 1.75% 2.02% 2.21% 2.17% 2.17% 2.18% - -------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Net investment income (loss) after expense reimbursement(d) (0.03)% (0.62)% (0.69)% (0.93)% (0.35)% (0.42)% - -------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Portfolio turnover 57% 247% 202% 182% 132% 99% - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- -----------
(a) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (b) Commencement of offering shares. (c) 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. (d) Annualized 78 - --------------------------------------------------------------------------------
Class B ------------------------------------------------------------------ Three Months May 31, Ended Year Ended March 31, 1995(b) to June 30, -------------------------------------- March 31, 1999(a) 1999 1998 1997 1996 -------------- ------------ ------------ ------------ ------------ $ 24.21 $ 20.10 $ 16.02 $ 14.34 $ 12.50 ------------ ------------ ------------ ------------ ------------ (0.03) (0.08) (0.17) (0.14) (0.05) ------------ ------------ ------------ ------------ ------------ 2.46 6.25 5.44 1.82 1.89 ------------ ------------ ------------ ------------ ------------ 2.43 6.17 5.27 1.68 1.84 ------------ ------------ ------------ ------------ ------------ -- 0.01 -- -- -- ------------ ------------ ------------ ------------ ------------ -- 2.05 1.19 -- -- ------------ ------------ ------------ ------------ ------------ $ 26.64 $ 24.21 $ 20.10 $ 16.02 $ 14.34 ============ ============ ============ ============ ============ 10.04% 32.74% 34.03% 11.72% 14.72% ------------ ------------ ------------ ------------ ------------ $ 27,938 $ 18,556 $ 10,083 $ 5,942 $ 1,972 ------------ ------------ ------------ ------------ ------------ 2.40% 2.51% 2.51% 2.50% 2.50% ------------ ------------ ------------ ------------ ------------ 2.40% 2.67% 2.70% 4.81% 9.50% ------------ ------------ ------------ ------------ ------------ (0.68)% (1.31)% (1.37)% (1.62)% (1.28)% ------------ ------------ ------------ ------------ ------------ 57% 247% 202% 182% 132% ------------ ------------ ------------ ------------ ------------ Class C ------------------------------------------------------------------------------ Three Month Ended Year Ended March 31, June 30, --------------------------------------------------------------- 1999(a) 1999 1998 1997 1996 1995 ------------ ------------ ------------ ------------ ------------ ----------- $ 21.52 $ 19.05 $ 16.92 $ 16.76 $ 14.44 $ 14.86 ------------ ------------ ------------ ------------ ------------ ----------- (0.04) (0.20) (0.19) (0.28) (0.21) (0.15) ------------ ------------ ------------ ------------ ------------ ----------- 2.21 5.83 5.41 2.23 2.92 (0.08) ------------ ------------ ------------ ------------ ------------ ----------- 2.17 5.63 5.22 1.95 2.71 (0.23) ------------ ------------ ------------ ------------ ------------ ----------- -- 0.01 -- -- 0.01 -- ------------ ------------ ------------ ------------ ------------ ----------- -- 3.15 3.09 1.79 0.38 0.19 ------------ ------------ ------------ ------------ ------------ ----------- $ 23.69 $ 21.52 $ 19.05 $ 16.92 $ 16.76 $ 14.44 ============ ============ ============ ============ ============ =========== 10.08% 32.73% 33.72% 11.81% 18.95% (1.49)% ------------ ------------ ------------ ------------ ------------ ----------- $ 111,250 $ 98,470 $ 84,292 $ 70,345 $ 71,155 $ 71,201 ------------ ------------ ------------ ------------ ------------ ----------- 2.40% 2.51% 2.51% 2.50% 2.50% 2.50% ------------ ------------ ------------ ------------ ------------ ----------- 2.40% 2.67% 2.77% 2.61% 2.57% 2.57% ------------ ------------ ------------ ------------ ------------ ----------- (0.68)% (1.28)% (1.34)% (1.57)% (0.99)% (1.06)% ------------ ------------ ------------ ------------ ------------ ----------- 57% 247% 202% 182% 132% 99% ------------ ------------ ------------ ------------ ------------ -----------
79 INTERNATIONAL EQUITY FUNDS PILGRIM INTERNATIONAL CORE GROWTH FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A ---------------------------------------------------------- Three Months February 28, Ended Year Ended March 31, 1997(a) to June 30, ------------------------- March 31, 1999(b) 1999 1998 1997 -------------- ----------- ----------- ------------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 17.71 $ 17.01 $ 12.73 $ 12.50 - ------------------------------------- --------- ----------- ----------- ---------- Income from investment operations: Net investment income (loss) 0.04 (0.01) (0.02) -- - ------------------------------------- --------- ----------- ----------- ---------- Net realized and unrealized gains on investments 1.17 1.02 4.56 0.23 - ------------------------------------- --------- ----------- ----------- ---------- Total from investment operations 1.21 1.01 4.54 0.23 - ------------------------------------- --------- ----------- ----------- ---------- Less distributions from: Net investment income -- 0.18 -- -- - ------------------------------------- --------- ----------- ----------- ---------- Net realized on investments gains -- 0.13 0.26 -- - ------------------------------------- --------- ----------- ----------- ---------- Net assest value, end of period $ 18.92 $ 17.71 $ 17.01 $ 12.73 ===================================== ========= =========== =========== ========== TOTAL RETURN(C): 6.83% 5.90% 36.10% 1.76% - ------------------------------------- --------- ----------- ----------- ---------- RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's) $ 12,409 $ 21,627 $ 12,664 $ 2 - ------------------------------------- --------- ----------- ----------- ---------- Ratios to average net assets: Net expenses after expenses reimbursement(d) 1.77% 1.89% 1.96% 1.95% - ------------------------------------ --------- ----------- ----------- ---------- Gross expenses prior to expense reimbursement(d) 1.86% 2.13% 3.02% 4,579.78% - ------------------------------------ --------- ----------- ----------- ---------- Net investment income (loss) after expense reimbursement(d) 0.50% (0.51)% (0.45)% 0.00% - ------------------------------------- --------- ----------- ----------- ---------- Portfolio turnover 67% 214% 274% 76% - ------------------------------------- --------- ----------- ----------- ----------
(a) The fund commenced operations on February 28, 1997. (b) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (c) 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. (d) Annualized 80 - --------------------------------------------------------------------------------
Class B Class C ----------------------------------------------------- ---------------------------------------------------- Three Months February 28, Three Months February 28, Ended Year Ended March 31, 1997(a) to Ended Year Ended March 31, 1997(a) to June 30, ----------------------- March 31, June 30, ----------------------- March 31, 1999(b) 1999 1998 1997 1999(b) 1999 1998 1997 -------------- ----------- ----------- -------------- -------------- ----------- ----------- ------------- $ 17.89 $ 17.10 $ 12.68 $ 12.50 $ 17.94 $ 17.16 $ 12.68 $ 12.50 ----------- ----------- ----------- ----------- --------- ----------- ----------- ----------- -- (0.16) (0.11) -- -- (0.05) (0.07) -- ----------- ----------- ----------- ----------- --------- ----------- ----------- ----------- 1.19 1.05 4.66 0.18 1.20 0.94 4.55 0.18 ----------- ----------- ----------- ----------- --------- ----------- ----------- ----------- 1.19 0.89 4.55 0.18 1.20 0.89 4.48 0.18 ----------- ----------- ----------- ----------- --------- ----------- ----------- ----------- -- 0.03 -- -- -- 0.11 -- -- ----------- ----------- ----------- ----------- --------- ----------- ----------- ----------- -- 0.07 0.13 -- -- -- -- -- ----------- ----------- ----------- ----------- --------- ----------- ----------- ----------- $ 19.08 $ 17.89 $ 17.10 $ 12.68 $ 19.14 $ 17.94 $ 17.16 $ 12.68 =========== =========== =========== =========== ========= =========== =========== =========== 6.65% 5.24% 35.31% 1.44% 6.69% 5.22% 35.25% 1.44% ----------- ----------- ----------- ----------- --------- ----------- ----------- ----------- $ 12,034 $ 11,033 $ 7,942 $ 1 $ 11,936 $ 10,400 $ 3,517 $ 43 ----------- ----------- ----------- ----------- --------- ----------- ----------- ----------- 2.36% 2.53% 2.61% 2.59% 2.60% 2.55% 2.61% 2.41% ----------- ----------- ----------- ----------- --------- ----------- ----------- ----------- 2.45% 2.77% 3.04% 16,000.25% 3.01% 2.79% 5.10% 25.55% ----------- ----------- ----------- ----------- --------- ----------- ----------- ----------- (0.09)% (1.13)% (1.32)% 0.00% 0.00% (1.19)% (1.27)% (0.07)% ----------- ----------- ----------- ----------- --------- ----------- ----------- ----------- 67% 214% 274% 76% 67% 214% 274% 76% ----------- ----------- ----------- ----------- --------- ----------- ----------- -----------
81 INTERNATIONAL EQUITY FUNDS PILGRIM INTERNATIONAL SMALLCAP GROWTH FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A ---------------------------------------------------------------------------- Three Months August 31, Ended Year Ended March 31, 1994(a) to June 30, ------------------------------------------------- March 31, 1999(c) 1999 1998 1997 1996 1995 -------------- ------------ ----------- ------------ ----------- ----------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 21.03 $ 19.29 $ 14.92 $ 13.15 $ 11.51 $ 12.50 - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Income from investment operations: Net investment income (loss) (0.03) 0.02 (0.15) 0.04 (0.02) -- - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Net realized and unrealized gains (loss) on investments 2.80 3.21 5.36 1.88 1.79 (0.98) - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Total from investment operations 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 -- 1.49 0.84 0.14 -- -- - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Net asset value, end of period $ 23.80 $ 21.03 $ 19.29 $ 14.92 $ 13.15 $ 11.51 ============================================= =========== =========== =========== =========== =========== =========== TOTAL RETURN(D): 13.17% 17.26% 36.31% 14.67% 15.46% (7.85)% - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's) $ 37,490 $ 25,336 $ 11,183 $ 5,569 $ 1,056 $ 610 - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Ratio to average net assets: Net expenses after expense reimbursement(e) 1.84% 1.94% 1.96% 1.95% 1.95% 1.95% - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Gross expenses prior to expense reimbursement(e) 1.86% 2.08% 2.75% 3.76% 10.06% 9.77% - -------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Net investment income (loss) after expense reimbursement(e) (0.69)% (0.82)% (1.56)% (1.05)% (0.27)% (0.07)% - -------------------------------------------- ----------- ----------- ----------- ----------- ----------- ----------- Portfolio turnover 44% 146% 198% 206% 141% 75% - --------------------------------------------- ----------- ----------- ----------- ----------- ----------- -----------
(a) The Fund commenced operations on August 31, 1994. (b) Commencement of share offerings. (c) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (d) 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. (e) Annualized 82 - --------------------------------------------------------------------------------
Class B ------------------------------------------------------------------ Three Months May 31, Ended Year Ended March 31, 1995(b) to June 30, -------------------------------------- March 31, 1999(c) 1999 1998 1997 1996 -------------- ------------ ------------ ------------ ------------ $ 22.43 $ 20.16 $ 15.89 $ 13.96 $ 12.50 ------------ ------------ ------------ ------------ ------------ (0.07) (0.20) (0.15) (0.15) (0.02) ------------ ------------ ------------ ------------ ------------ 2.97 3.46 5.56 2.09 1.48 ------------ ------------ ------------ ------------ ------------ 2.90 3.26 5.41 1.94 1.46 ------------ ------------ ------------ ------------ ------------ -- -- -- 0.01 -- ------------ ------------ ------------ ------------ ------------ -- 0.99 1.14 -- -- ------------ ------------ ------------ ------------ ------------ $ 25.33 $ 22.43 $ 20.16 $ 15.89 $ 13.96 ============ ============ ============ ============ ============ 12.93% 16.55% 35.73% 13.96% 11.68% ------------ ------------ ------------ ------------ ------------ $ 19,331 $ 16,158 $ 12,033 $ 5,080 $ 1,487 ------------ ------------ ------------ ------------ ------------ 2.49% 2.59% 2.61% 2.60% 2.60% ------------ ------------ ------------ ------------ ------------ 2.51% 2.73% 2.98% 4.89% 16.15% ------------ ------------ ------------ ------------ ------------ (1.34)% (1.45)% (2.20)% (1.66)% (0.64)% ------------ ------------ ------------ ------------ ------------ 44% 146% 198% 206% 141% ------------ ------------ ------------ ------------ ------------ Class C -------------------------------------------------------------------------------- Three Months August 31, Ended Year Ended March 31, 1994(a) to June 30, --------------------------------------------------- March 31, 1999(c) 1999 1998 1997 1996 1995 ------------- ------------ ------------ ------------ ------------ ------------ $ 20.60 $ 18.53 $ 14.87 $ 13.05 $ 11.32 $ 12.50 ------------ ------------ ------------ ------------ ------------ ------------ (0.06) (0.10) (0.11) (0.16) 0.01 (0.04) ------------ ------------ ------------ ------------ ------------ ------------ 2.80 3.09 5.09 1.98 1.72 (1.12) ------------ ------------ ------------ ------------ ------------ ------------ 2.74 2.99 4.98 1.82 1.73 (1.16) ------------ ------------ ------------ ------------ ------------ ------------ -- -- -- -- -- 0.02 ------------ ------------ ------------ ------------ ------------ ------------ -- 0.92 1.32 -- -- -- ------------ ------------ ------------ ------------ ------------ ------------ $ 23.34 $ 20.60 $ 18.53 $ 14.87 $ 13.05 $ 11.32 ============ ============ ============ ============ ============ ============ 13.31% 16.55% 35.63% 13.98% 15.30% (9.25)% ------------ ------------ ------------ ------------ ------------ ------------ $ 18,354 $ 13,226 $ 8,014 $ 3,592 $ 933 $ 24 ------------ ------------ ------------ ------------ ------------ ------------ 2.49% 2.59% 2.61% 2.60% 2.60% 2.61% ------------ ------------ ------------ ------------ ------------ ------------ 2.51% 2.73% 3.38% 3.95% 16.15% 75.37% ------------ ------------ ------------ ------------ ------------ ------------ (1.34)% (1.45)% (2.18)% (1.67)% (1.02)% (0.76)% ------------ ------------ ------------ ------------ ------------ ------------ 44% 146% 198% 206% 141% 75% ------------ ------------ ------------ ------------ ------------ ------------
83 INTERNATIONAL EQUITY FUNDS PILGRIM EMERGING COUNTRIES FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A ------------------------------------------------------------------- Three Months November 28 Ended Year Ended March 31, 1994(a) to June 30, ---------------------------------------------------- March 31, 1999(c) 1999 1998 1997 1996 1995 -------------- ------------- ------------ ------------ ------------ ------------ PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 13.43 17.39 $ 17.20 $ 14.03 $ 11.00 $ 12.50 - ------------------------------------------- ------------ ------------ ---------- ------------ ------------ ------------ Income from investment operations: Net investment income (loss) (0.05) (0.06) 0.03 (0.06) (0.04) 0.04 - ------------------------------------------- ------------ ------------ ---------- ------------ ------------ ------------ Net realized and unrealized gains (loss) on investments 3.36 (3.81) 1.22 3.51 3.15 (1.54) - ------------------------------------------- ------------ ------------ ---------- ------------ ------------ ------------ Total from investment operations 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 $ 16.74 $ 13.43 $ 17.39 $ 17.20 $ 14.03 $ 11.00 =========================================== ============ ============ ========== ============ ============ ============ TOTAL RETURN(D): 24.65% (22.23)% 8.06% 24.79% 28.43% (11.98)% - ------------------------------------------- ------------ ------------ ---------- ------------ ------------ ------------ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (000's) $ 53,483 $ 47,180 $ 71,014 $ 38,688 $ 4,718 $ 1,197 - ------------------------------------------- ------------ ------------ ---------- ------------ ------------ ------------ Ratio to average net assets: Net expenses after expense reimbursement(e) 2.13% 2.27% 2.26% 2.25% 2.25% 2.25% - ------------------------------------------- ------------ ------------ ---------- ------------ ------------ ------------ Gross expenses prior to expense reimbursement(e) 2.66% 2.56% 2.48% 3.08% 6.72% 6.15% - ------------------------------------------- ------------ ------------ ---------- ------------ ------------ ------------ Net investment income (loss) after expense reimbursement(e) (1.30)% (0.25)% 0.55% (1.14)% (0.35)% 1.09% - ------------------------------------------- ------------ ------------ ---------- ------------ ------------ ------------ Portfolio turnover 67% 213% 243% 176% 118% 61% - ------------------------------------------- ------------ ------------ ---------- ------------ ------------ ------------
(a) The Fund commenced operations on November 28, 1994. (b) Commencement of offering shares. (c) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (d) 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. (e) Annualized 84 - --------------------------------------------------------------------------------
Class B ------------------------------------------------------------------ Three Months May 31, Ended Year Ended March 31, 1995(b) to June 30, -------------------------------------- March 31, 1999(c) 1999 1998 1997 1996 -------------- ------------ ------------ ------------ ------------ $ 13.64 $ 17.64 $ 17.29 $ 14.02 $ 12.50 ------------ ------------ ------------ ------------ ------------ (0.07) (0.22) (0.07) (0.11) (0.04) ------------ ------------ ------------ ------------ ------------ 3.41 (3.70) 1.26 3.47 1.56 ------------ ------------ ------------ ------------ ------------ 3.34 (3.92) 1.19 3.36 1.52 ------------ ------------ ------------ ------------ ------------ -- -- -- -- -- ------------ ------------ ------------ ------------ ------------ -- 0.08 0.84 0.09 -- ------------ ------------ ------------ ------------ ------------ $ 16.98 $ 13.64 $ 17.64 $ 17.29 $ 14.02 ============ ============ ============ ============ ============ 24.49% (22.23)% 7.47% 24.00% 12.16% ------------ ------------ ------------ ------------ ------------ $ 26,342 $ 22,338 $ 38,796 $ 24,558 $ 3,557 ------------ ------------ ------------ ------------ ------------ 2.75% 2.91% 2.91% 2.90% 2.90% ------------ ------------ ------------ ------------ ------------ 3.28% 3.20% 3.06% 3.66% 7.58% ------------ ------------ ------------ ------------ ------------ (1.92)% (0.80)% (0.20)% (1.77)% (1.05)% ------------ ------------ ------------ ------------ ------------ 67% 213% 243% 176% 118% ------------ ------------ ------------ ------------ ------------ Class C -------------------------------------------------------------------------------- Three Months Ended Year Ended March 31, November 28, June 30, -------------------------------------------------- 1994(a) to 1999(c) 1999 1998 1997 1996 1995 ------------- ------------ ------------ ------------ ----------- ------------- $ 13.14 $ 16.98 $ 16.81 $ 13.71 $ 10.79 $ 12.50 ------------ ------------ ------------ ------------ ----------- ------------ (0.07) (0.27) (0.12) (0.10) (0.05) -- ------------ ------------ ------------ ------------ ----------- ------------ 3.28 (3.49) 1.26 3.37 2.97 (1.70) ------------ ------------ ------------ ------------ ----------- ------------ 3.21 (3.76) 1.14 3.27 2.92 (1.70) ------------ ------------ ------------ ------------ ----------- ------------ -- -- -- -- -- 0.01 ------------ ------------ ------------ ------------ ----------- ------------ -- 0.08 0.97 0.17 -- -- ------------ ------------ ------------ ------------ ----------- ------------ $ 16.35 $ 13.14 $ 16.98 $ 16.81 $ 13.71 $ 10.79 ============ ============ ============ ============ =========== ============ 24.43% (22.21)% 7.47% 23.94% 27.30% (13.64)% ------------ ------------ ------------ ------------ ----------- ------------ $ 24,230 $ 19,246 $ 36,986 $ 29,376 $ 4,345 $ 59 ------------ ------------ ------------ ------------ ----------- ------------ 2.75% 2.90% 2.91% 2.90% 2.90% 2.90% ------------ ------------ ------------ ------------ ----------- ------------ 3.28% 3.19% 3.09% 3.12% 6.23% 242.59% ------------ ------------ ------------ ------------ ----------- ------------ (1.92)% (0.77)% (0.26)% (1.75)% (1.06)% (0.04)% ------------ ------------ ------------ ------------ ----------- ------------ 67% 213% 243% 176% 118% 61% ------------ ------------ ------------ ------------ ----------- ------------
85 INTERNATIONAL EQUITY FUNDS PILGRIM ASIA-PACIFIC EQUITY FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A ------------------------------------------------------- Ten Months Year Ended June 30, Ended ----------------------------------------- June 30, 1999 1998 1997 1996 (a) ----------- ----------- ------------- ------------ PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period $ 4.46 $ 10.93 $ 10.35 $ 10.00 - ------------------------------------- ------- ----------- ---------- ---------- Income from investment operations: Net investment income (loss) -- 0.03 0.02 0.03 - ------------------------------------- ------- ----------- ---------- ---------- Net realized and unrealized gain (loss) on investments 2.76 (6.50) 0.58 0.34 - ------------------------------------- ------- ----------- ---------- ---------- Total from investment operations 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 $ 7.22 $ 4.46 $ 10.93 $ 10.35 ===================================== ======= =========== ========== ========== TOTAL RETURN (B) 61.88% (59.29)% 5.78% 3.76% - ------------------------------------- ------- ----------- ---------- ---------- RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's) $14,417 $ 11,796 $ 32,485 $ 18,371 - ------------------------------------- ------- ----------- ---------- ---------- Ratios to average net assets: Net expenses after expense reimbursement (c) 2.00% 2.00% 2.00% 2.00 - ------------------------------------- ------- ----------- ---------- ---------- Gross expenses prior to expense reimbursement (c) 2.98% 2.80% 2.54% 3.47 - ------------------------------------- ------- ----------- ---------- ---------- Net investment income (loss) after expense reimbursement (c) 0.01% 0.38% 0.00% 0.33 - ------------------------------------- ------- ----------- ---------- ---------- Portfolio turnover rate 111% 81% 38% 15% - ------------------------------------- ------- ----------- ---------- ----------
(a) The Fund commenced operations on September 1, 1995. (b) 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. (c) Annualized. 86 - --------------------------------------------------------------------------------
Class B Class M -------------------------------------------------------- --------------------------------------------------- Ten Months Ten Months Year Ended June 30, Ended Year Ended June 30, Ended -------------------------------------- June 30, ------------------------------------- June 30, 1999 1998 1997 1996 (a) 1999 1998 1997 1996 (a) ----------- ------------- ------------ ----------------- ---------- ------------- ------------ ------------- $ 4.37 $ 10.83 $ 10.31 $ 10.00 $ 4.40 $ 10.86 $ 10.32 $ 10.00 ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------ (0.04) (0.03) (0.07) (0.01) (0.02) -- (0.05) -- ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------ 2.69 (6.43) 0.59 0.32 2.69 (6.46) 0.59 0.33 ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------ 2.65 (6.46) 0.52 0.31 2.67 (6.46) 0.54 0.33 ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------ -- -- -- -- -- -- -- -- ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------ -- -- -- -- -- -- -- 0.01 ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------ -- -- -- -- -- -- -- -- ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------ $ 7.02 $ 4.37 $ 10.83 $ 10.31 $ 7.02 $ 4.40 $ 10.86 $ 10.32 ========== ============ ============ ============ ========== ============ ============ ============ 60.64% (59.65)% 5.04% 3.19% 60.68% (59.48)% 5.26% 3.32% ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------ $ 12,959 $ 9,084 $ 30,169 $ 17,789 $ 5,184 $ 4,265 $ 11,155 $ 6,476 ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------ 2.75% 2.75% 2.75% 2.75% 2.50% 2.50% 2.50% 2.50% ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------ 3.87% 3.55% 3.29% 4.10% 3.48% 3.30% 3.04% 3.88% ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------ (0.74)% (0.39)% (0.79)% (0.38)% (0.49)% (0.07)% (0.55)% (0.16)% ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------ 111% 81% 38% 15% 111% 81% 38% 15% ---------- ------------ ------------ ------------ ---------- ------------ ------------ ------------
87 INCOME FUNDS PILGRIM GOVERNMENT SECURITIES INCOME FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughtout Each Period - --------------------------------------------------------------------------------
Class A ---------------------------------------------------------------- Year Ended June 30, ---------------------------------------------------------------- 1999 1998 1997 1996 1995(a) ----------- ------------- ------------- ----------- ------------ PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period $ 12.88 $ 12.71 $ 12.59 $ 12.97 $ 12.73 - ------------------------------------------- -------- ---------- ---------- -------- ---------- Income (loss) from investment operations: Net investment income 0.76 0.64 0.69 0.75 0.84 - ------------------------------------------- -------- ---------- ---------- -------- ---------- Net realized and unrealized gain (loss) on investments (0.52) 0.30 0.20 (0.32) 0.24 - ------------------------------------------- -------- ---------- ---------- -------- ---------- Total from investment operations 0.24 0.94 0.89 0.43 1.08 - ------------------------------------------- -------- ---------- ---------- -------- ---------- Less distributions from: Net investment income 0.77 0.77 0.73 0.75 0.84 - ------------------------------------------- -------- ---------- ---------- -------- ---------- Tax return of capital -- -- 0.04 0.06 -- - ------------------------------------------- -------- ---------- ---------- -------- ---------- Total distributions 0.77 0.77 0.77 0.81 0.84 - ------------------------------------------- -------- ---------- ---------- -------- ---------- Net asset value, end of period $ 12.35 $ 12.88 $ 12.71 $ 12.59 $ 12.97 =========================================== ======== ========== ========== ======== ========== TOTAL RETURN(C) 1.89% 7.63% 7.33% 3.34% 8.96% - ------------------------------------------- -------- ---------- ---------- -------- ---------- RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's) $ 21,060 $ 23,682 $ 29,900 $ 38,753 $ 43,631 - ------------------------------------------- -------- ---------- ---------- -------- ---------- Ratios to average net assets: Net expenses after expense reimbursement (d) 1.40% 1.50% 1.42% 1.51% 1.40% - ------------------------------------------- -------- ---------- ---------- -------- ---------- Gross expenses prior to expense reimbursement (d) 1.40% 1.58% 1.42% 1.57% 1.54% - ------------------------------------------- -------- ---------- ---------- -------- ---------- Net investment income after expense reimbursement (d) 6.05% 5.13% 5.78% 5.64% 6.37% - ------------------------------------------- -------- ---------- ---------- -------- ---------- Portfolio turnover rate 58% 134% 172% 170% 299% - ------------------------------------------- -------- ---------- ---------- -------- ----------
(a) 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. (b) Commencement of offering shares. (c) 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. (d) Annualized. (e) Commencement of offering shares 88 - --------------------------------------------------------------------------------
Class B Class C Class M --------------------------------------------------- ---------- ------------------------------------------------- July 17, June 11, July 17, Year Ended June 30, 1995(b) to 1999(b) to Year Ended June 30, 1995(b) to --------------------------------------- June 30, June 30, -------------------------------------- June 30, 1999 1998 1997 1996 1999 1999 1998 1997 1996 ----------- ------------- ------------- ----------- ---------- ----------- ------------- ------------ ---------- $ 12.84 $ 12.68 $ 12.59 $ 12.95 $ 12.24 $ 12.88 $ 12.72 $ 12.59 $ 12.95 -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- 0.69 0.60 0.67 0.66 2.05 0.69 0.64 0.70 0.68 -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- (0.54) 0.24 0.11 (0.37) (1.86) (0.52) 0.23 0.14 (0.36) -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- 0.15 0.84 0.78 0.29 0.19 0.17 0.87 0.84 0.32 -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- 0.69 0.68 0.69 0.65 -- (0.71) 0.70 0.70 0.68 -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- -- 0.08 0.02 -- -- -- 0.08 -- -- -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- -- -- -- -- -- -- -- 0.01 -- -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- 0.69 0.68 0.69 0.65 -- (0.71) 0.71 0.71 0.68 -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- $ 12.30 $ 12.84 $ 12.68 $ 12.59 $ 12.43 $ 12.34 $ 12.88 $ 12.72 $ 12.59 ======== ========== ========== ========= ======== ======== ========== ========= ======== 1.09% 6.78% 6.38% 2.25% 1.55% 1.31% 7.02% 6.88% 2.52% -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- $ 12,426 $ 3,220 $ 1,534 $ 73 $ 7 $ 751 $ 224 $ 61 $ 24 -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- 2.15% 2.25% 2.17% 2.26% 2.15% 1.90% 2.00% 1.92% 2.01% -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- 2.15% 2.29% 2.17% 2.41% 2.15% 1.90% 2.05% 1.92% 2.16% -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- 5.30% 4.24% 4.92% 4.98% 5.30% 5.57% 4.29% 5.25% 5.73% -------- ---------- ---------- --------- -------- -------- ---------- --------- -------- 58% 134% 172% 170% 58% 58% 134% 172% 170% -------- ---------- ---------- --------- -------- -------- ---------- --------- --------
89 INCOME FUNDS PILGRIM STRATEGIC INCOME FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A -------------------------- July 27, Three Months 1998(a) Ended to June 30, March 31, 1999(b) 1999 -------------- --------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 12.89 $ 13.08 - ------------------------------------------------------------- ----------- -------- Income from investment operations: Net investment income 0.26 0.53 - ------------------------------------------------------------- ----------- -------- Net realized and unrealized gains (loss) on investments (0.42) (0.08) - ------------------------------------------------------------- ----------- -------- Total from investment operations (0.16) 0.45 - ------------------------------------------------------------- ----------- -------- Less distributions from: Net investment income 0.14 0.53 - ------------------------------------------------------------- ----------- -------- Net realized gains on investments -- 0.11 - ------------------------------------------------------------- ----------- -------- Net asset value, end of period $ 12.59 $ 12.89 ============================================================= =========== ======== TOTAL RETURN(C): (1.23)% 5.60% - ------------------------------------------------------------- ----------- -------- RATIOS/SUPPLEMENTAL DATA: Net assets end of period, ($000) $ 2,736 $ 5,751 - ------------------------------------------------------------- ----------- -------- Ratio to average net assets: Net expenses, after expense reimbursement(d) 0.90% 0.96% - ------------------------------------------------------------- ----------- -------- Gross expenses prior to expense reimbursement(d) 1.56% 1.98% - ------------------------------------------------------------- ----------- -------- Net investment income (loss) after expense reimbursement(d) 5.88% 5.81% - ------------------------------------------------------------- ----------- -------- Portfolio turnover 69% 274% - ------------------------------------------------------------- ----------- --------
(a) The Fund commenced operations on July 27, 1998. (b) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund. (c) Total returns are not annualized for periods of less than one year and do not reflect the impact of sales charges. (d) Annualized 90 - --------------------------------------------------------------------------------
Class B Class C ---------------------------- -------------------------- July 27, July 27, Three Months 1998(a) Three Months 1998(a) Ended to Ended to June 30, March 31, June 30, March 31, 1999(b) 1999 1999(b) 1999 -------------- ----------- -------------- --------- $ 12.61 $ 12.78 $ 13.10 $ 13.27 ----------- -------- ----------- -------- 0.18 0.45 0.19 0.48 ----------- -------- ----------- -------- (0.33) (0.05) (0.35) (0.06) ----------- -------- ----------- -------- (0.15) 0.40 (0.16) 0.42 ----------- -------- ----------- -------- 0.13 0.46 0.13 0.48 ----------- -------- ----------- -------- -- 0.11 -- 0.11 ----------- -------- ----------- -------- $ 12.33 $ 12.61 $ 12.81 $ 13.10 =========== ======== =========== ======== (1.20)% 5.17% (1.21)% 5.19% ----------- -------- ----------- -------- $ 5,658 $ 6,637 $ 7,965 $ 8,128 ----------- -------- ----------- -------- 1.29% 1.37% 1.29% 1.36% ----------- -------- ----------- -------- 1.95% 2.42% 1.95% 2.41% ----------- -------- ----------- -------- 5.49% 5.35% 5.49% 5.36% ----------- -------- ----------- -------- 69% 274% 69% 274% ----------- -------- ----------- --------
91 INCOME FUNDS PILGRIM HIGH YIELD FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A ---------------------------------------------------------------------------- Eight Months Year Year Ended June 30, Ended Ended -------------------------------------------------- June 30, October 31, 1999 1998 1997 1996 1995(a)(c) 1994 ------------- ------------- ------------ --------- ---------- ------------ PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period $ 6.94 $ 6.80 $ 6.36 $ 6.15 $ 5.95 $ 6.47 - -------------------------------------------------- ---------- --------- -------- -------- -------- ------- Income (loss) from investment operations: Net investment income 0.58 0.61 0.61 0.59 0.35 0.54 - -------------------------------------------------- ---------- --------- -------- -------- -------- ------- Net realized and unrealized gain (loss) on investments (0.96) 0.16 0.43 0.16 0.21 (0.51) - -------------------------------------------------- ---------- --------- -------- -------- -------- ------- Total from investment operation (0.38) 0.77 1.04 0.75 0.56 0.03 - -------------------------------------------------- ---------- --------- -------- -------- -------- ------- Less distributions from: Net investment income 0.63 0.63 0.60 0.54 0.36 0.55 - -------------------------------------------------- ---------- --------- -------- -------- -------- ------- In excess of net investment income -- -- -- -- -- -- - -------------------------------------------------- ---------- --------- -------- -------- -------- ------- Total distributions 0.63 0.63 0.60 0.54 0.36 0.55 - -------------------------------------------------- ---------- --------- -------- -------- -------- ------- Net asset value, end of period $ 5.93 $ 6.94 $ 6.80 $ 6.36 $ 6.15 $ 5.95 ================================================== ========== ========= ======== ======== ======== ======= TOTAL RETURN(D) (5.57)% 11.71% 17.14% 12.72% 9.77% 0.47% - -------------------------------------------------- ---------- --------- -------- -------- -------- ------- RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's) $131,535 $ 102,424 $ 35,940 $ 18,691 $ 15,950 $16,046 - -------------------------------------------------- ---------- --------- -------- -------- -------- ------- Ratios to average net assets: Gross expenses prior to expense reimbursement (e) 1.12% 1.17% 1.42% 2.19% 2.35% 2.07% - -------------------------------------------------- ---------- --------- -------- -------- -------- ------- Net expenses after expense reimbursement (e) 1.00% 1.00% 1.00% 1.00% 2.25% 2.00% - -------------------------------------------------- ---------- --------- -------- -------- -------- ------- Net investment income after expense reimbursement (e) 9.32% 9.05% 9.54% 9.46% 8.84% 8.73% - -------------------------------------------------- ---------- --------- -------- -------- -------- ------- Portfolio turnover rate 184% 209% 394% 399% 166% 192% - -------------------------------------------------- ---------- --------- -------- -------- -------- -------
(a) 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. (b) Commencement of offering shares. (c) Effective November 1, 1994, High Yield Fund changed its year end to June 30. (d) 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. (e) Annualized. 92 - --------------------------------------------------------------------------------
Class B Class C Class M ----------------------------------------------------- ------------ --------------------------------------------- July 17, May 27, July 17, Year Ended June 30, 1995(b) to 1999(b) to Year Ended June 30, 1995(b) ---------------------------------------- June 30, June 30, ----------------------------------- June 30, 1999 1998 1997 1996 1999 1999 1998 1997 1996 ------------- ------------- ------------ ------------ ------------ ---------- ------------ ----------- --------- $ 6.92 $ 6.78 $ 6.36 $ 6.20 $ 5.91 $ 6.92 $ 6.78 $ 6.36 $ 6.20 ---------- --------- -------- -------- -------- ---------- -------- -------- -------- 0.53 0.58 0.57 0.48 0.05 0.55 0.59 0.58 0.50 ---------- --------- -------- -------- -------- ---------- -------- -------- -------- (0.96) 0.14 0.41 0.14 0.01 (0.95) 0.14 0.41 0.14 ---------- --------- -------- -------- -------- ---------- -------- -------- -------- (0.43) 0.72 0.98 0.62 0.06 (0.40) 0.73 0.99 0.64 ---------- --------- -------- -------- -------- ---------- -------- -------- -------- 0.57 0.58 0.56 0.46 0.05 0.59 0.59 0.57 0.48 ---------- --------- -------- -------- -------- ---------- -------- -------- -------- $ 5.92 $ 6.92 $ 6.78 $ 6.36 $ 5.92 $ 5.93 $ 6.92 $ 6.78 $ 6.36 ========== ========= ======== ======== ======== ========== ======== ======== ======== (6.23)% 10.90% 16.04% 10.37% 0.34% (5.85)% 11.16% 16.29% 10.69% ---------- --------- -------- -------- -------- ---------- -------- -------- -------- $261,589 $ 154,303 $ 40,225 $ 2,374 $ 551 $ 24,129 $ 19,785 $ 8,848 $ 1,243 ---------- --------- -------- -------- -------- ---------- -------- -------- -------- 1.75% 1.75% 1.75% 1.75% 1.75% 1.50% 1.50% 1.50% 1.50% ---------- --------- -------- -------- -------- ---------- -------- -------- -------- 1.87% 1.92% 2.17% 2.94% 1.87% 1.62% 1.67% 1.92% 2.69% ---------- --------- -------- -------- -------- ---------- -------- -------- -------- 8.57% 8.30% 8.64% 9.02% 8.57% 8.82% 8.55% 8.93% 9.41% ---------- --------- -------- -------- -------- ---------- -------- -------- -------- 184% 209% 394% 339% 184% 184% 209% 394% 339% ---------- --------- -------- -------- -------- ---------- -------- -------- --------
93 INCOME FUNDS PILGRIM HIGH YIELD FUND II FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A ------------------------------------------ Three Months Year March 27, Ended Ended 1998 to June 30, March 31, March 31, 1999(b) 1999 1998(a) -------------- ----------- ----------- PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 11.66 $ 12.72 $ 12.70 - --------------------------------------------- -------- -------- --------- Income from investment operations: Net investment income (loss) 0.28 1.12 0.01 - --------------------------------------------- -------- -------- --------- Net realized and unrealized gains (loss) on investments (0.09) (1.00) 0.01 - --------------------------------------------- -------- -------- --------- Total from investment operations 0.19 0.12 0.02 - --------------------------------------------- -------- -------- --------- Less distributions from: Net investment income 0.28 1.18 -- - --------------------------------------------- -------- -------- --------- Net asset value, end of period $ 11.57 $ 11.66 $ 12.72 ============================================= ======== ======== ========= TOTAL RETURN(C): 1.60% 1.13% 0.16% - --------------------------------------------- -------- -------- --------- RATIOS/SUPPLEMENTAL DATA: Net assets, end of period ($000's) $ 16,795 $ 17,327 $ 4,690 - --------------------------------------------- -------- -------- --------- Ratios to average net assets: Net expenses after expense reimbursement(d) 1.10% 1.12% 1.06% - --------------------------------------------- -------- -------- --------- Gross expenses prior to expense reimbursement(d) 1.37% 1.53% 1.06% - -------------------------------------------- -------- -------- --------- Net investment income (loss) after expense reimbursement(d) 9.68% 9.44% 7.22% - --------------------------------------------- -------- -------- --------- Portfolio turnover 44% 242% 484% - --------------------------------------------- -------- -------- ---------
(a) The Fund commenced operations on March 27, 1998. (b) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund. (c) 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. (d) Annualized 94 - --------------------------------------------------------------------------------
Class B Class C ------------------------------------------ ------------------------------------------ Three Months Year March 27, Three Months Year March 27, Ended Ended 1998 to Ended Ended 1998 to June 30, March 31, March 31, June 30, March 31, March 31, 1999(b) 1999 1998(a) 1999(b) 1999 1998(a) -------------- ----------- ----------- -------------- ----------- ----------- $ 11.66 $ 12.71 $ 12.69 $ 11.66 $ 12.71 $ 12.69 -------- -------- --------- -------- -------- --------- 0.27 1.04 0.01 0.27 1.04 0.01 -------- -------- --------- -------- -------- --------- (0.09) (0.99) 0.01 (0.09) (0.99) 0.01 -------- -------- --------- -------- -------- --------- 0.18 0.05 0.02 0.18 0.05 0.02 -------- -------- --------- -------- -------- --------- 0.26 1.10 -- 0.26 1.10 -- -------- -------- --------- -------- -------- --------- $ 11.58 $ 11.66 $ 12.71 $ 11.58 $ 11.66 $ 12.71 ======== ======== ========= ======== ======== ========= 1.53% 0.55% 0.16% 1.53% 0.55% 0.16% -------- -------- --------- -------- -------- --------- $ 41,882 $ 42,960 $ 8,892 $ 18,618 $ 21,290 $ 4,815 -------- -------- --------- -------- -------- --------- 1.75% 1.77% 1.69% 1.75% 1.77% 1.66% -------- -------- --------- -------- -------- --------- 2.02% 2.18% 1.69% 2.02% 2.18% 1.66% -------- -------- --------- -------- -------- --------- 9.03% 8.84% 6.61% 9.03% 8.79% 6.91% -------- -------- --------- -------- -------- --------- 44% 242% 484% 44% 242% 484% -------- -------- --------- -------- -------- ---------
95 EQUITY & INCOME FUNDS PILGRIM BALANCED FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A ------------------------------------------------------------------------------- Three Months Ended Year Ended March 31, June 30, ---------------------------------------------------------------- 1999(b) 1999 1998 1997 1996 1995 -------------- ------------ ------------ ------------ ------------ ------------ PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 19.03 $ 19.53 $ 15.54 $ 16.16 $ 13.74 $ 13.52 - ----------------------------------------- --------- --------- --------- --------- --------- --------- Income from investment operations: Net investment income 0.10 0.36 0.26 0.32 0.34 0.21 - ----------------------------------------- --------- --------- --------- --------- --------- --------- Net realized and unrealized gains on investments 0.17 2.58 5.70 0.84 2.42 0.22 - ----------------------------------------- --------- --------- --------- --------- --------- --------- Total from investment operations 0.27 2.94 5.96 1.16 2.76 0.43 - ----------------------------------------- --------- --------- --------- --------- --------- --------- Less distributions from: Net investment income 0.07 0.43 0.27 0.32 0.34 0.21 - ----------------------------------------- --------- --------- --------- --------- --------- --------- Net realized gains on investments -- 3.01 1.70 1.46 -- -- - ----------------------------------------- --------- --------- --------- --------- --------- --------- Net asset value, end of period $ 19.23 $ 19.03 $ 19.53 $ 15.54 $ 16.16 $ 13.74 ========================================= ========= ========= ========= ========= ========= ========= TOTAL RETURN(C): 1.42% 17.10% 39.34% 6.74% 20.16% 3.22% - ----------------------------------------- --------- --------- --------- --------- --------- --------- RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in thousands) $ 9,619 $ 9,519 $ 6,675 $ 4,898 $ 5,902 $ 4,980 - ----------------------------------------- --------- --------- --------- --------- --------- --------- Ratio to average net assets: Net expenses after expense reimbursement(d) 1.49% 1.59% 1.61% 1.60% 1.60% 1.60% - ---------------------------------------- --------- --------- --------- --------- --------- --------- Gross expenses prior to expense reimbursement(d) 1.75% 1.97% 2.56% 3.00% 3.30% 2.78% - ---------------------------------------- --------- --------- --------- --------- --------- --------- Net investment income (loss) after expense reimbursement(d) 2.06% 2.08% 3.58% 1.87% 2.16% 1.44% - ----------------------------------------- --------- --------- --------- --------- --------- --------- Portfolio turnover 63% 165% 260% 213% 197% 110% - ----------------------------------------- --------- --------- --------- --------- --------- ---------
(a) Commencement of offering of shares. (b) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund. (c) 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. (d) Annualized 96 - --------------------------------------------------------------------------------
Class B ------------------------------------------------------------------ Three Months May 31, Ended Year Ended March 31, 1995(a) to June 30, -------------------------------------- March 31, 1999(b) 1999 1998 1997 1996 -------------- ------------ ------------ ------------ ------------ $ 20.38 $ 20.07 $ 14.88 $ 14.18 $ 12.50 ---------- ---------- ---------- ---------- ---------- 0.07 0.28 0.15 0.17 0.12 ---------- ---------- ---------- ---------- ---------- 0.18 2.74 5.58 0.70 1.68 ---------- ---------- ---------- ---------- ---------- 0.25 3.02 5.73 0.87 1.80 ---------- ---------- ---------- ---------- ---------- 0.04 0.31 0.15 0.17 0.12 ---------- ---------- ---------- ---------- ---------- -- 2.40 0.39 -- -- ---------- ---------- ---------- ---------- ---------- $ 20.59 $ 20.38 $ 20.07 $ 14.88 $ 14.18 ========== ========== ========== ========== ========== 1.24% 16.49% 38.79% 6.10% 14.45% ---------- ---------- ---------- ---------- ---------- $ 7,157 $ 6,048 $ 4,254 $ 2,133 $ 673 ---------- ---------- ---------- ---------- ---------- 2.14% 2.24% 2.26% 2.25% 2.25% ---------- ---------- ---------- ---------- ---------- 2.40% 2.62% 2.71% 6.44% 13.05% ---------- ---------- ---------- ---------- ---------- 1.41% 1.43% 2.99% 1.25% 1.38% ---------- ---------- ---------- ---------- ---------- 63% 165% 260% 213% 197% ---------- ---------- ---------- ---------- ---------- Class C ----------------------------------------------------------------------------- Three Months Ended Year Ended March 31, June 30, -------------------------------------------------------------- 1999(b) 1999 1998 1997 1996 1995 -------------- ------------ ------------ ------------ ------------ ---------- $ 18.35 $ 19.90 $ 15.59 $ 16.20 $ 13.76 $ 13.54 ---------- ---------- ---------- ---------- ---------- ---------- 0.06 0.26 0.15 0.21 0.24 0.11 ---------- ---------- ---------- ---------- ---------- ---------- 0.16 2.52 5.71 0.85 2.44 0.22 ---------- ---------- ---------- ---------- ---------- ---------- 0.22 2.78 5.86 1.06 2.68 0.33 ---------- ---------- ---------- ---------- ---------- ---------- 0.04 0.28 0.15 0.21 0.24 0.11 ---------- ---------- ---------- ---------- ---------- ---------- -- 4.05 1.40 1.46 -- -- ---------- ---------- ---------- ---------- ---------- ---------- $ 18.53 $ 18.35 $ 19.90 $ 15.59 $ 16.20 $ 13.76 ========== ========== ========== ========== ========== ========== 1.21% 16.34% 38.35% 6.05% 19.58% 2.47% ---------- ---------- ---------- ---------- ---------- ---------- $ 21,331 $ 21,655 $ 20,784 $ 16,990 $ 16,586 $ 16,470 ---------- ---------- ---------- ---------- ---------- ---------- 2.14% 2.23% 2.26% 2.25% 2.25% 2.25% ---------- ---------- ---------- ---------- ---------- ---------- 2.40% 2.61% 2.68% 2.83% 3.01% 2.60% ---------- ---------- ---------- ---------- ---------- ---------- 1.41% 1.43% 2.93% 1.23% 1.53% 0.83% ---------- ---------- ---------- ---------- ---------- ---------- 63% 165% 260% 213% 197% 110% ---------- ---------- ---------- ---------- ---------- ----------
97 EQUITY & INCOME FUNDS PILGRIM CONVERTIBLE FUND FINANCIAL HIGHLIGHTS For a Share Outstanding Throughout Each Period - --------------------------------------------------------------------------------
Class A ------------------------------------------------------------------------------- Three Months Ended Year Ended March 31, June 30, ---------------------------------------------------------------- 1999(a) 1999 1998 1997 1996 1995 -------------- ------------ ------------ ------------ ------------ ------------ PER SHARE OPERATING PERFORMANCE: Net asset value, beginning of period $ 21.92 $ 19.12 $ 16.59 $ 15.68 $ 12.86 $ 14.16 - --------------------------------------------- ---------- ---------- ---------- ---------- ---------- ------------ Income from investment operations: Net investment income (loss) 0.10 0.40 0.44 0.47 0.48 0.49 - --------------------------------------------- ---------- ---------- ---------- ---------- ---------- ------------ Net realized and unrealized gains (loss) on investments 1.35 3.17 4.49 1.64 2.82 (0.89) - --------------------------------------------- ---------- ---------- ---------- ---------- ---------- ------------ Total from investment operations 1.45 3.57 4.93 2.11 3.30 (0.40) - --------------------------------------------- ---------- ---------- ---------- ---------- ---------- ------------ Less distributions from: Net investment income 0.10 0.41 0.44 0.48 0.48 0.49 - --------------------------------------------- ---------- ---------- ---------- ---------- ---------- ------------ Net realized gains on investments -- 0.36 1.96 0.72 -- 0.41 - --------------------------------------------- ---------- ---------- ---------- ---------- ---------- ------------ Net asset value, end of period $ 23.27 $ 21.92 $ 19.12 $ 16.59 $ 15.68 $ 12.86 ============================================= ========== ========== ========== ========== ========== ============ TOTAL RETURN(C): 6.62% 19.17% 31.04% 13.73% 26.00% (2.64)% - --------------------------------------------- ---------- ---------- ---------- ---------- ---------- ------------ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in thousands) $ 73,133 $ 65,742 $ 47,290 $ 32,082 $ 31,712 $ 31,150 - --------------------------------------------- ---------- ---------- ---------- ---------- ---------- ------------ Ratio to average net assets: Net expenses after expense reimbursement(d) 1.45% 1.53% 1.57% 1.60% 1.60% 1.60% - --------------------------------------------- ---------- ---------- ---------- ---------- ---------- ------------ Gross expenses prior to expense reimbursement(d) 2.10% 1.65% 1.74% 1.75% 1.76% 1.76% - -------------------------------------------- ---------- ---------- ---------- ---------- ---------- ------------ Net investment income (loss) after expense reimbursement(d) 1.82% 2.08% 5.64% 2.83% 3.29% 3.71% - -------------------------------------------- ---------- ---------- ---------- ---------- ---------- ------------ Portfolio turnover 28% 138% 160% 167% 145% 126% - --------------------------------------------- ---------- ---------- ---------- ---------- ---------- ------------
(a) Effective May 24, 1999, Pilgrim Investment Inc., became the Investment Manager of the Fund, concurrently Nicholas-Applegate Capital Management was appointed as sub-advisor. (b) Commencement of offering shares. (c) 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. (d) Annualized 98 - --------------------------------------------------------------------------------
Class B ------------------------------------------------------------------ Three Months May 31, Ended Year Ended March 31, 1995(b) to June 30, -------------------------------------- March 31, 1999(a) 1999 1998 1997 1996 -------------- ------------ ------------ ------------ ------------ $ 23.86 $ 20.56 $ 16.60 $ 14.96 $ 12.50 ---------- ---------- ---------- ---------- ---------- 0.07 0.29 0.32 0.31 0.24 ---------- ---------- ---------- ---------- ---------- 1.47 3.47 4.65 1.64 2.46 ---------- ---------- ---------- ---------- ---------- 1.54 3.76 4.97 1.95 2.70 ---------- ---------- ---------- ---------- ---------- 0.06 0.27 0.32 0.31 0.24 ---------- ---------- ---------- ---------- ---------- -- 0.19 0.69 -- -- ---------- ---------- ---------- ---------- ---------- $ 25.34 $ 23.86 $ 20.56 $ 16.60 $ 14.96 ========== ========== ========== ========== ========== 6.47% 18.52% 30.51% 13.01% 21.72% ---------- ---------- ---------- ---------- ---------- $ 68,091 $ 58,736 $ 36,725 $ 12,740 $ 2,125 ---------- ---------- ---------- ---------- ---------- 2.10% 2.18% 2.22% 2.25% 2.25% ---------- ---------- ---------- ---------- ---------- 2.10% 2.30% 2.33% 3.19% 7.08% ---------- ---------- ---------- ---------- ---------- 1.17% 1.44% 5.04% 2.29% 2.59% ---------- ---------- ---------- ---------- ---------- 28% 138% 160% 167% 145% ---------- ---------- ---------- ---------- ---------- Class C ------------------------------------------------------------------------------ Three Months Ended Year Ended March 31, June 30, --------------------------------------------------------------- 1999(a) 1999 1998 1997 1996 1995 -------------- ------------ ------------ ------------ ------------ ----------- $ 22.40 $ 19.55 $ 17.05 $ 15.89 $ 13.03 $ 14.28 ---------- ---------- ---------- ---------- ---------- ----------- 0.07 0.28 0.34 0.37 0.40 0.41 ---------- ---------- ---------- ---------- ---------- ----------- 1.37 3.25 4.60 1.66 2.86 (0.89) ---------- ---------- ---------- ---------- ---------- ----------- 1.44 3.53 4.94 2.03 3.26 (0.48) ---------- ---------- ---------- ---------- ---------- ----------- 0.06 0.25 0.34 0.37 0.40 0.41 ---------- ---------- ---------- ---------- ---------- ----------- -- 0.43 2.10 0.50 -- 0.36 ---------- ---------- ---------- ---------- ---------- ----------- $ 23.78 $ 22.40 $ 19.55 $ 17.05 $ 15.89 $ 13.03 ========== ========== ========== ========== ========== =========== 6.45% 18.45% 30.22% 12.91% 25.24% (3.26)% ---------- ---------- ---------- ---------- ---------- ----------- $ 100,276 $ 95,998 $ 81,561 $ 62,143 $ 58,997 $ 61,792 ---------- ---------- ---------- ---------- ---------- ----------- 2.10% 2.18% 2.22% 2.25% 2.25% 2.25% ---------- ---------- ---------- ---------- ---------- ----------- 2.10% 2.30% 2.31% 2.29% 2.28% 2.29% ---------- ---------- ---------- ---------- ---------- ----------- 1.17% 1.44% 4.99% 2.18% 2.64% 3.05% ---------- ---------- ---------- ---------- ---------- ----------- 28% 138% 160% 167% 145% 126% ---------- ---------- ---------- ---------- ---------- -----------
99 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- 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 eleven 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 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 and Balanced Fund. During the current period, each PMF Fund listed above changed its year-end from March 31 to June 30. 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. 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 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. 100 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- 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. 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 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 101 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- 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 June 30, 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 Leaders MagnaCap Balanced Strategic LargeCap Growth Convertible Income MidCap Value Government MidCap Growth Securities SmallCap Growth Income Bank and Thrift High Yield International Core High Growth Yield II Worldwide Growth Asia-Pacific Equity International SmallCap Growth Emerging Countries 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, 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 102 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- reported as distributions of paid-in capital. Accordingly, amounts as of June 30, 1999 have been increased (decreased) through reclassification as follows: Net unrealized appreciation (depreciation) of Undistrib- Accumulated investments uted net realized and other (over- gains (losses) assets, liabilities distributed) on investments and forward net and foreign contracts Paid-in investment currency denominated in capital income transactions foreign currencies ------------ ------------ ------------ ------------ MagnaCap $ -- $ 128,800 $ (128,800) $ -- LargeCap Leaders (24,248) 160,435 (136,187) -- LargeCap Growth 1,557,648 388,833 -- (1,946,481) MidCap Value (1,258,553) 644,817 613,736 -- MidCap Growth 18,371,070 23,083,419 -- (41,454,489) SmallCap Growth 22,887,326 38,259,107 -- (61,146,433) Bank and Thrift 814,404 (814,404) -- -- Worldwide Growth 22,111,341 7,428,635 -- (29,539,976) International Core Growth 20,779,296 647,924 -- (21,427,220) International SmallCap Growth 17,179,005 2,199,482 -- (19,378,487) Emerging Countries 51,900,118 2,195,197 -- (54,095,315) Asia-Pacific Equity (342,963) 266,164 76,799 -- Government Securities Income (9,045) 9,045 -- -- Strategic Income 25,791 -- -- (25,791) High Yield (8,393,875) 604,370 7,789,505 -- High Yield II 411,403 -- -- (411,403) Convertible 19,649,976 -- -- (19,649,976) 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 103 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- 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 Funds under the Investment 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. 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 year ended, or three-months ended in the case of the Funds in PMF, June 30, 1999, the cost of purchases and proceeds from the sales of securities, excluding short-term securities, were as follows: Purchases Sales ------------ ------------ MagnaCap Fund $203,216,812 $235,055,190 LargeCap Leaders Fund 28,463,250 24,757,854 LargeCap Growth Fund 59,240,108 14,049,122 MidCap Value Fund 68,021,335 81,154,513 MidCap Growth 190,599,012 226,978,963 SmallCap Growth Fund 126,366,698 117,938,952 Bank and Thrift Fund 228,835,550 228,696,333 Worldwide Growth Fund 129,408,670 194,489,617 International Core Growth Fund 70,202,039 79,137,314 International SmallCap Growth Fund 57,437,839 51,402,894 Emerging Countries Fund 156,543,654 213,241,407 Asia-Pacific Equity Fund 24,522,890 29,844,404 Government Securities Income Fund 38,505,865 20,237,293 Strategic Income Fund 17,876,374 16,440,609 High Yield Fund 818,461,416 599,893,081 High Yield Fund II 40,141,518 48,439,924 Balanced Fund 22,463,593 23,173,663 Convertible Fund 76,202,144 64,279,220 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 June 30, 1999, Bank and Thrift Fund has the following holding in affiliated companies: Acquisition Shares Market % of Date Held Cost Value Net Assets ----------- ------ ---------- ---------- ---------- American February 430,000 $4,914,375 $3,628,125 0.49% Safety 13, 1998 to Insurance November Group, Ltd. 6, 1998 21st Century November 177,000 1,330,875 1,216,875 0.16% Holding 5, 1998 Company International November 375,000 3,281,089 2,683,594 0.36% Aircraft 5, 1997 to Investors April 15, 1999 Surety Capital October 527,700 2,155,380 989,437 0.13% Corp. 20, 1997 to November 27, 1998 There was no dividend income from affiliates during the year ended June 30, 1999. 104 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- NOTE 5 -- INVESTMENT MANAGEMENT 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, SmallCap Growth, Worldwide Growth, International Core Growth and International SmallCap Growth -- 1.00%; for LargeCap Growth, MidCap Growth, Balanced and Convertible -- 0.75%; for High Yield and High Yield II -- 0.60%; for Strategic Income -- 0.45%; for MagnaCap -- 1.00% for the first $30 million, 0.75% from $30 million to $250 million, 0.625% from $250 million to $500 million and 0.50% of assets over $500 million; for Bank and Thrift -- 1.00% for the first $30 million, 0.75% from $30 million to $125 million and 0.70% of assets over $125 million; for Government Securities Income, 0.50% for the first $50 million, 0.45% from $500 million to $1.0 billion and 0.40% for assets over $1.0 billion. For the period from April 1, 1999 to May 21, 1999, the PMF Funds paid Nicholas-Applegate Capital Management, as Investment Advisor, the same fees as listed above. 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% N/A 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% For the period from April 1, 1999 to May 21, 1999, the PMF Funds paid Nicholas-Applegate Securities, as distributor of the Funds, the same fees as listed above. For the year ended June 30, 1999 (for the three-months ended June 30, 1999 for PMF Funds) the Funds paid the following distribution fees by class to the Distributor.
Class A Class B Class C Class M Class Q ---------- ---------- -------- -------- ------- MagnaCap $1,023,574 $ 940,480 $ 151 $112,004 $ n/a LargeCap Leaders 18,140 168,756 -- 45,995 n/a LargeCap Growth 16,385 74,952 30,173 n/a 3,401 MidCap Value 53,106 342,900 28 86,566 n/a MidCap Growth 57,410 116,241 352,113 n/a 10,593 SmallCap Growth 82,578 114,383 359,500 n/a 6,474 Bank and Thrift 1,151,468 3,617,091 n/a n/a n/a Worldwide Growth 49,462 54,880 259,213 n/a 7,751 International Core Growth 15,728 28,044 26,291 n/a 6,596 International SmallCap Growth 40,010 45,143 57,211 n/a 35,297 Emerging Countries 42,322 58,402 52,603 n/a 39,812 Asia-Pacific Equity 27,724 92,494 n/a 29,798 n/a Government Securities Income 64,135 114,647 194 6,196 n/a Strategic Income 3,488 11,304 14,669 n/a 134
105 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Class A Class B Class C Class M Class Q -------- ---------- -------- -------- -------- High Yield $299,650 $2,198,732 $ 156 $172,034 $ n/a High Yield II 17,029 110,446 47,179 n/a 3,007 Balanced 8,383 16,071 53,367 n/a 120 Convertible 59,903 155,368 241,580 n/a 8,270 For the periods ended June 30, 1999, the Distributor has retained $871,391 as sales charges from the proceeds of Class A Shares sold, $146,773 from the proceeds of Class B Shares redeemed, $14,263 from the proceeds of Class C Shares sold, and $42,420 from the proceeds of Class M Shares sold. 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 year ended June 30, 1999 are shown in the accompanying Statements of Operations. At June 30, 1999, the Funds owed the following service fees: MagnaCap $ 4,000 LargeCap Leaders 2,000 LargeCap Growth 481 MidCap Value 1,000 MidCap Growth 500 SmallCap Growth 304 Bank and Thrift 10,000 Worldwide Growth 1,313 International Core Growth 250 International SmallCap Growth 189 Emerging Countries 1,147 Asia-Pacific Equity 1,000 Government Securities Income 350 Strategic Income 150 High Yield 3,000 High Yield II 65 Balanced 150 Convertible 282 NOTE 8 -- EXPENSE WAIVERS The Investment Advisor has voluntarily agreed to limit other expenses, excluding distribution fees, interest, taxes, brokerage and extraordinary expenses to the levels listed below: Class A Class B Class C Class M ------- ------- ------- ------- LargeCap Leaders 1.50% 1.50% 1.50% 1.50% LargeCap Growth 1.60% 2.25% 2.25% -- MidCap Value 1.50% 1.50% 1.50% 1.50% 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 1.75% 1.75% 1.75% 1.75% Government Securities Income (1) (1) (1) (1) Strategic Income 0.95% 1.35% 1.35% -- High Yield 0.75% 0.75% 0.75% 0.75% High Yield II 1.10% 1.75% 1.75% -- Balanced 1.60% 2.25% 2.25% -- Convertible 1.60% 2.25% 2.25% -- - ---------- (1) The 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 limitation cannot be changed without shareholder approval. Amounts receivable from the Investment Advisor at June 30, 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. The average amount outstanding on the credit facility and the average interest rate charged were $194,746 and 5.3845%, respectively, for the year ended June 30, 1999. As of June 30, 1999, International Core Growth Fund had $226,261 outstanding under the credit facility. 106 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- NOTE 10 -- CAPITAL SHARES Transactions in capital shares and dollars were as follows:
Class A Shares Class B Shares ------------------------------ ------------------------------ Year Ended June 30, Year Ended June 30, ------------------------------ ------------------------------ 1999 1998 1999 1998 ------------- ------------- ------------- ------------- MAGNACAP FUND (NUMBER OF SHARES) Shares sold 13,502,711 11,183,759 2,873,334 2,344,628 Shares issued as reinvestments of dividends 1,828,625 1,790,521 516,048 380,983 Shares redeemed (14,934,578) (10,784,171) (1,307,942) (478,018) ------------- ------------- ------------- ------------- Net increase in shares outstanding 396,758 2,190,109 2,081,440 2,247,593 ============= ============= ============= ============= MAGNACAP FUND ($) Shares sold $ 222,180,950 $ 185,038,585 $ 46,072,779 $ 39,179,921 Shares issued as reinvestments of dividends 28,388,968 29,653,374 7,888,183 5,144,613 Shares redeemed (246,413,983) (179,526,800) (20,667,305) (7,887,759) ------------- ------------- ------------- ------------- Net increase in shares outstanding $ 4,155,935 $ 33,165,159 $ 33,293,657 $ 36,436,775 ============= ============= ============= ============= Class C Shares Class M Shares ------------ -------------------------- June 1, 1999 Year Ended June 30, to -------------------------- June 30, 1999 1999 1998 ----------- ----------- ----------- MAGNACAP FUND (NUMBER OF SHARES) Shares sold 34,608 210,689 472,559 Shares issued as reinvestments of dividends -- 95,725 74,569 Shares redeemed -- (238,673) (106,454) ----------- ----------- ----------- Net increase in shares outstanding 34,608 67,741 440,674 =========== =========== =========== MAGNACAP FUND ($) Shares sold $ 588,611 $ 3,356,295 $ 7,770,216 Shares issued as reinvestments of dividends -- 1,471,188 1,144,284 Shares redeemed -- (3,784,141) (1,748,484) ----------- ----------- ----------- Net increase in shares outstanding $ 588,611 $ 1,043,342 $ 7,166,016 =========== =========== ===========
Class A Shares Class B Shares ---------------------------- ---------------------------- Year Ended June 30, Year Ended June 30, ---------------------------- ---------------------------- 1999 1998 1999 1998 ------------ ------------ ------------ ------------ LARGECAP LEADERS FUND (NUMBER OF SHARES) Shares sold 251,465 570,993 735,637 202,935 Shares issued as reinvestment of dividends 9,173 79,791 24,514 115,112 Shares redeemed (287,552) (756,854) (408,748) (206,334) ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding (26,914) (115,070) 351,403 111,713 ============ ============ ============ ============ LARGECAP LEADERS FUND ($) Shares sold $ 3,946,541 $ 8,310,728 $ 11,541,367 $ 2,865,690 Shares issued as reinvestment of dividends 146,637 937,280 384,368 1,501,054 Shares redeemed (4,313,891) (10,980,774) (6,043,904) (2,915,958) ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ (220,713) $ (1,732,766) $ 5,881,831 $ 1,450,786 ============ ============ ============ ============ Class C Shares Class M Shares ----------- -------------------------- June 17, 1999 Year Ended June 30, to -------------------------- June 30, 1999 1999 1998 ----------- ----------- ----------- LARGECAP LEADERS FUND (NUMBER OF SHARES) Shares sold 2 32,969 65,704 Shares issued as reinvestment of dividends -- 7,380 46,941 Shares redeemed -- (89,184) (66,998) ----------- ----------- ----------- Net increase (decrease) in shares outstanding 2 (48,835) 45,647 =========== =========== =========== LARGECAP LEADERS FUND ($) Shares sold $ 30 $ 521,236 $ 948,490 Shares issued as reinvestment of dividends -- 116,160 616,329 Shares redeemed -- (1,317,582) (940,590) ----------- ----------- ----------- Net increase (decrease) in shares outstanding $ 30 $ (680,186) $ 624,229 =========== =========== ===========
Class A Shares Class B Shares -------------------------------------------- -------------------------------------------- 3 Months Year July 21, 3 Months Year July 21, Ended Ended 1997 to Ended Ended 1997 to June 30, March 31, March 31, June 30, March 31, March 31, 1999 1999 1998 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ LARGECAP GROWTH FUND (NUMBER OF SHARES) Shares sold 601,704 387,443 314,594 1,006,149 722,166 239,436 Shares issued as reinvestments of dividends -- 9,412 65 -- 4,145 224 Shares redeemed (28,795) (199,495) (13,075) (63,827) (129,658) (35,907) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding 572,909 197,360 301,584 942,322 596,653 203,753 ============ ============ ============ ============ ============ ============ LARGECAP GROWTH FUND ($) Shares sold $ 16,107,475 $ 7,119,334 $ 4,334,894 $ 27,013,724 $ 13,914,112 $ 3,275,198 Shares issued as reinvestments of dividends -- 159,721 871 -- 70,921 3,000 Shares redeemed (769,089) (3,328,040) (177,917) (1,716,619) (2,523,553) (493,670) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding $ 15,338,386 $ 3,951,015 $ 4,157,848 $ 25,297,105 $ 11,461,480 $ 2,784,528 ============ ============ ============ ============ ============ ============
107 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - --------------------------------------------------------------------------------
Class C Shares Class Q Shares ----------------------------------------- ----------------------------------------- 3 Months Year July 21, 3 Months Year Year Ended Ended 1997 to Ended Ended Ended June 30, March 31, March 31, June 30, March 31, March 31, 1999 1999 1998 1999 1999 1998 ----------- ----------- ----------- ----------- ----------- ----------- LARGECAP GROWTH FUND (NUMBER OF SHARES) Shares sold 322,341 293,854 65,178 27,961 176,779 51,175 Shares issued as reinvestments of dividends -- 1,216 55 -- 1,139 11 Shares redeemed (10,496) (35,900) (3,829) (9,901) (34,429) (181) ----------- ----------- ----------- ----------- ----------- ----------- Net increase in shares outstanding 311,845 259,170 61,404 18,060 143,489 51,005 =========== =========== =========== =========== =========== =========== LARGECAP GROWTH FUND ($) Shares sold $ 8,625,780 $ 5,792,910 $ 890,031 $ 753,086 $ 3,396,063 $ 714,785 Shares issued as reinvestments of dividends -- 20,875 742 -- 19,518 153 Shares redeemed (279,527) (642,955) (53,621) (263,465) (600,590) (2,705) ----------- ----------- ----------- ----------- ----------- ----------- Net increase in shares outstanding $ 8,346,253 $ 5,170,830 $ 837,152 $ 489,621 $ 2,814,991 $ 712,233 =========== =========== =========== =========== =========== ===========
Class A Shares Class B Shares ---------------------------- ---------------------------- Year Ended June 30, Year Ended June 30, ---------------------------- ---------------------------- 1999 1998 1999 1998 ------------ ------------ ------------ ------------ MIDCAP VALUE FUND (NUMBER OF SHARES) Shares sold 289,831 1,472,596 418,549 1,195,501 Shares issued as reinvestment of dividends 97,756 36,205 163,266 66,968 Shares redeemed (834,562) (1,031,906) (992,708) (404,459) ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding (446,975) 476,895 (410,893) 858,010 ============ ============ ============ ============ MIDCAP VALUE FUND ($) Shares sold $ 4,389,745 $ 24,410,597 $ 6,191,601 $ 18,867,187 Shares issued as reinvestment of dividends 1,381,287 546,336 2,251,448 894,798 Shares redeemed (12,572,823) (17,333,221) (14,198,024) (6,378,858) ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ (6,801,791) $ 7,623,712 $ (5,754,975) $ 13,383,127 ============ ============ ============ ============ Class C Shares Class M Shares ----------- -------------------------- June 2, 1999 Year Ended June 30, to -------------------------- June 30, 1999 1999 1998 ----------- ----------- ----------- MIDCAP VALUE FUND (NUMBER OF SHARES) Shares sold 3,437 162,221 317,196 Shares issued as reinvestment of dividends -- 60,558 22,792 Shares redeemed (336) (336,945) (117,161) ----------- ----------- ----------- Net increase (decrease) in shares outstanding 3,101 (114,166) 222,827 =========== =========== =========== MIDCAP VALUE FUND ($) Shares sold $ 51,058 $ 2,398,495 $ 4,990,506 Shares issued as reinvestment of dividends -- 838,728 339,604 Shares redeemed (5,064) (4,910,700) (1,857,447) ----------- ----------- ----------- Net increase (decrease) in shares outstanding $ 45,994 (1,673,477) $ 3,472,663 =========== =========== ===========
Class A Shares ----------------------------------------------- Year 3 Months Ended Ended March 31, June 30, ------------------------------ 1999 1999 1998 ------------- ------------- ------------- MIDCAP GROWTH FUND (NUMBER OF SHARES) Shares sold 170,704 5,215,189 12,405,504 Shares issued as reinvestments of dividends -- 130,197 1,012,862 Shares redeemed (440,581) (6,820,248) (13,082,835) ------------- ------------- ------------- Net increase (decrease) in shares outstanding (269,877) (1,474,862) 335,531 ============= ============= ============= MIDCAP GROWTH FUND ($) Shares sold $ 3,480,826 $ 93,222,436 $ 224,326,301 Shares issued as reinvestments of dividends -- 2,271,935 16,459,004 Shares redeemed (9,018,100) (120,721,071) (237,096,577) ------------- ------------- ------------- Net increase (decrease) in shares outstanding $ (5,537,274) $ (25,226,700) $ 3,688,728 ============= ============= ============= Class B Shares -------------------------------------------- Year 3 Months Ended Ended March 31, June 30, ---------------------------- 1999 1999 1998 ------------ ------------ ------------ MIDCAP GROWTH FUND (NUMBER OF SHARES) Shares sold 124,529 549,516 1,072,549 Shares issued as reinvestments of dividends -- 69,791 123,360 Shares redeemed (113,758) (842,979) (799,428) ------------ ------------ ------------ Net increase (decrease) in shares outstanding 10,771 (223,672) 396,481 ============ ============ ============ MIDCAP GROWTH FUND ($) Shares sold $ 3,003,625 $ 11,154,074 $ 20,188,443 Shares issued as reinvestments of dividends -- 1,444,672 2,326,535 Shares redeemed (2,758,710) (16,826,911) (15,026,369) ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ 244,915 $ (4,228,165) $ 7,488,609 ============ ============ ============
108 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - --------------------------------------------------------------------------------
Class C Shares Class Q Shares -------------------------------------------- -------------------------------------------- Year Year 3 Months Ended 3 Months Ended Ended March 31, Ended March 31, June 30, ---------------------------- June 30, ---------------------------- 1999 1999 1998 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ MIDCAP GROWTH FUND (NUMBER OF SHARES) Shares sold 127,317 1,185,161 1,750,377 201,861 194,537 170,070 Shares issued as reinvestments of dividends -- 121,764 2,641,098 -- 37,715 55,785 Shares redeemed (465,369) (3,371,242) (4,220,870) (52,773) (185,074) (430,179) ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding (338,052) (2,064,317) 170,605 149,088 47,178 (204,324) ============ ============ ============ ============ ============ ============ MIDCAP GROWTH FUND ($) Shares sold $ 2,416,875 $ 19,063,447 $ 29,917,347 $ 5,261,515 $ 4,134,744 $ 3,584,125 Shares issued as reinvestments of dividends -- 1,981,095 39,590,055 -- 828,224 1,134,102 Shares redeemed (8,876,675) (52,212,207) (72,773,773) (1,337,840) (3,718,156) (8,868,353) ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ (6,459,800) $(31,167,665) $ (3,266,371) $ 3,923,675 $ 1,244,812 $ (4,150,126) ============ ============ ============ ============ ============ ============
Class A Shares ----------------------------------------------------- Year 3 Months Ended Ended March 31, June 30, ---------------------------------- 1999 1999 1998 --------------- --------------- --------------- SMALLCAP GROWTH FUND (NUMBER OF SHARES) Shares sold 384,655 44,256,415 104,820,578 Shares issued as reinvestments of dividends -- 919,060 830,976 Shares redeemed (652,027) (49,753,506) (103,463,758) --------------- --------------- --------------- Net increase in shares outstanding (267,372) (4,578,031) 2,187,796 =============== =============== =============== SMALLCAP GROWTH FUND ($) Shares sold $ 6,777,887 $ 815,912,790 $ 1,931,764,538 Shares issued as reinvestments of dividends -- 14,800,215 15,132,144 Shares redeemed (11,423,224) (917,280,292) (1,921,657,761) --------------- --------------- --------------- Net increase (decrease) in shares outstanding $ (4,645,337) $ (86,567,287) $ 25,238,921 =============== =============== =============== Class B Shares -------------------------------------------- Year 3 Months Ended Ended March 31, June 30, ---------------------------- 1999 1999 1998 ------------ ------------ ------------ SMALLCAP GROWTH FUND (NUMBER OF SHARES) Shares sold 62,154 1,030,266 1,553,380 Shares issued as reinvestments of dividends -- 121,247 -- Shares redeemed (144,208) (1,464,484) (909,702) ------------ ------------ ------------ Net increase in shares outstanding (82,054) (312,971) 643,678 ============ ============ ============ SMALLCAP GROWTH FUND ($) Shares sold $ 1,379,964 $ 19,580,720 $ 30,441,105 Shares issued as reinvestments of dividends -- 2,371,732 -- Shares redeemed (3,209,533) (28,084,966) (17,600,099) ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ 1,829,569 $ (6,132,514) $ 12,841,006 ============ ============ ============
Class C Shares ----------------------------------------------- Year 3 Months Ended Ended March 31, June 30, ------------------------------ 1999 1999 1998 ------------- ------------- ------------- SMALLCAP GROWTH FUND (NUMBER OF SHARES) Shares sold 82,725 1,806,596 4,136,702 Shares issued as reinvestments of dividends -- 926,112 1,443,201 Shares redeemed (680,850) (6,061,729) (5,945,903) ------------- ------------- ------------- Net increase in shares outstanding (598,125) (3,329,021) (366,000) ============= ============= ============= SMALLCAP GROWTH FUND ($) Shares sold $ 1,433,335 $ 29,105,010 $ 72,644,552 Shares issued as reinvestments of dividends -- 14,800,873 24,837,499 Shares redeemed (11,755,815) (93,185,013) (104,107,897) ------------- ------------- ------------- Net increase (decrease) in shares outstanding $ (10,322,480) $ (49,279,130) $ (6,625,846) ============= ============= ============= Class Q Shares -------------------------------------------- Year 3 Months Ended Ended March 31, June 30, ---------------------------- 1999 1999 1998 ------------ ------------ ------------ SMALLCAP GROWTH FUND (NUMBER OF SHARES) Shares sold 421,173 793,286 1,102,868 Shares issued as reinvestments of dividends -- 18,226 997 Shares redeemed (392,013) (970,001) (531,507) ------------ ------------ ------------ Net increase in shares outstanding 29,160 (158,489) 572,358 ============ ============ ============ SMALLCAP GROWTH FUND ($) Shares sold $ 8,340,785 $ 12,725,287 $ 20,108,210 Shares issued as reinvestments of dividends -- 292,442 17,715 Shares redeemed (7,387,773) (15,962,787) (9,776,365) ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ 953,012 $ (2,945,058) $ 10,349,560 ============ ============ ============
109 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - --------------------------------------------------------------------------------
Class A Shares Class B Shares ----------------------------------------------- ----------------------------------------------- Year Six Months Year Year Six Months Year Ended Ended Ended Ended Ended Ended June 30, June 30, December 31, June 30, June 30, December 31, 1999 1998 1997 1999 1998 1997 ------------- ------------- ------------- ------------- ------------- ------------- BANK AND THRIFT FUND (NUMBER OF SHARES) Shares sold 6,842,658 6,598,183 1,562,472 5,775,191 10,545,101 2,911,186 Shares issued as reinvestment of dividends 387,793 -- 705,087 277,033 -- 111,936 Shares redeemed (10,663,118) (1,439,132) (1,608,708) (5,028,917) (370,014) (66,661) ------------- ------------- ------------- ------------- ------------- ------------- Net increase (decrease) in shares outstanding (3,432,667) 5,159,051 658,851 1,023,307 10,175,087 2,956,461 ============= ============= ============= ============= ============= ============= BANK AND THRIFT FUND ($) Shares sold $ 167,184,964 $ 179,351,328 $ 40,159,509 $ 139,440,683 $ 286,284,458 $ 74,850,403 Shares issued as reinvestment of dividends 9,012,306 -- 17,958,557 6,421,621 -- 2,849,887 Shares redeemed (257,239,846) (38,524,439) (41,390,698) (117,566,243) (9,978,392) (1,756,579) ------------- ------------- ------------- ------------- ------------- ------------- Net increase (decrease) in shares outstanding $ (81,042,576) $ 140,826,889 $ 16,727,368 $ 28,296,061 $ 276,306,066 $ 75,943,711 ============= ============= ============= ============= ============= =============
Class A Shares Class B Shares ----------------------------------------------- -------------------------------------------- Year Year 3 Months Ended 3 Months Ended Ended March 31, Ended March 31, June 30, ------------------------------ June 30, ---------------------------- 1999 1999 1998 1999 1999 1998 ------------- ------------- ------------- ------------ ------------ ------------ WORLDWIDE GROWTH FUND (NUMBER OF SHARES) Shares sold 1,172,285 5,575,910 5,937,921 353,077 544,757 292,727 Shares issued as reinvestments of dividends 86 96,384 213,726 -- 39,170 25,906 Shares redeemed (660,100) (5,374,372) (5,575,601) (70,889) (319,228) (187,737) ------------- ------------- ------------- ------------ ------------ ------------ Net increase in shares outstanding 512,271 297,922 576,046 282,188 264,699 130,896 ============= ============= ============= ============ ============ ============ WORLDWIDE GROWTH FUND ($) Shares sold $ 26,425,907 $ 110,310,826 $ 108,061,899 $ 9,019,106 $ 11,616,885 $ 5,360,286 Shares issued as reinvestments of dividends -- 1,739,418 3,565,008 -- 799,305 449,135 Shares redeemed 14,957,153 (107,031,318) (102,391,906) (1,811,055) (6,778,733) (3,334,259) ------------- ------------- ------------- ------------ ------------ ------------ Net increase in shares outstanding $ 11,468,754 $ 5,018,926 $ 9,235,001 $ 7,208,051 $ 5,637,457 $ 2,475,162 ============= ============= ============= ============ ============ ============
Class C Shares Class Q Shares -------------------------------------------- -------------------------------------------- Year Year 3 Months Ended 3 Months Ended Ended March 31, Ended March 31, June 30, ---------------------------- June 30, ---------------------------- 1999 1999 1998 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ WORLDWIDE GROWTH FUND (NUMBER OF SHARES) Shares sold 316,937 1,258,419 435,836 430,631 350,299 88,591 Shares issued as reinvestments of dividends -- 117,737 663,935 -- 4,352 1,377 Shares redeemed (195,915) (1,224,596) (833,591) (180,058) (89,828) (99,927) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding 121,022 151,560 266,180 250,573 264,823 (9,959) ============ ============ ============ ============ ============ ============ WORLDWIDE GROWTH FUND ($) Shares sold $ 7,199,228 $ 23,846,842 $ 7,995,043 $ 11,187,418 $ 7,773,616 $ 1,508,613 Shares issued as reinvestments of dividends -- 2,145,255 10,934,587 -- 89,521 23,268 Shares redeemed (4,443,951) (22,854,997) (15,192,388) (4,610,453) (1,884,358) (1,693,395) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding $ 2,755,277 $ 3,137,100 $ 3,737,242 $ 6,576,965 $ 5,978,779 $ (161,514) ============ ============ ============ ============ ============ ============
110 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - --------------------------------------------------------------------------------
Class A Shares Class B Shares -------------------------------------------- -------------------------------------------- Year Year 3 Months Ended 3 Months Ended Ended March 31, Ended March 31, June 30, ---------------------------- June 30, ---------------------------- 1999 1999 1998 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ INTERNATIONAL CORE GROWTH FUND (NUMBER OF SHARES) Shares sold 1,699,541 4,111,884 2,435,374 47,812 317,938 500,774 Shares issued as reinvestments of dividends -- 5,819 3,344 -- 2,484 2,781 Shares redeemed (2,264,636) (3,641,067) (1,694,382) (33,706) (168,120) (39,156) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding (565,095) 476,636 744,336 14,106 152,302 464,399 ============ ============ ============ ============ ============ ============ INTERNATIONAL CORE GROWTH FUND ($) Shares sold $ 30,866,314 $ 72,899,494 $ 38,637,232 $ 888,899 $ 5,553,372 $ 7,549,895 Shares issued as reinvestments of dividends -- 109,877 47,981 -- 47,437 40,158 Shares redeemed (41,080,307) (65,603,216) (27,349,807) (610,199) (2,893,130) (593,538) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding $(10,213,993) $ 7,406,155 $ 11,335,406 $ 278,700 $ 2,707,679 $ 6,996,515 ============ ============ ============ ============ ============ ============
Class C Shares Class Q Shares -------------------------------------------- -------------------------------------------- Year Year 3 Months Ended 3 Months Ended Ended March 31, Ended March 31 June 30, ---------------------------- June 30, ---------------------------- 1999 1999 1998 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ INTERNATIONAL CORE GROWTH FUND (NUMBER OF SHARES) Shares sold 113,784 455,651 224,635 93,649 581,442 115,512 Shares issued as reinvestments of dividends -- 1,471 -- -- 1,463 -- Shares redeemed (69,740) (82,349) (23,087) (228,977) (67,954) (16,966) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding 44,044 374,773 201,548 (135,328) 514,951 98,546 ============ ============ ============ ============ ============ ============ INTERNATIONAL CORE GROWTH FUND ($) Shares sold $ 2,117,597 $ 7,964,267 $ 3,488,506 $ 1,771,267 $ 10,297,873 $ 1,808,824 Shares issued as reinvestments of dividends -- 28,148 -- -- 31,169 -- Shares redeemed (1,298,517) (1,412,367) (347,719) (4,253,651) (1,185,061) (265,176) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding $ 819,080 $ 6,580,048 $ 3,140,787 $ (2,482,384) $ 9,143,981 $ 1,543,648 ============ ============ ============ ============ ============ ============
Class A Shares ----------------------------------------------- Year 3 Months Ended Ended March 31, June 30, ------------------------------ 1999 1999 1998 ------------- ------------- ------------- INTERNATIONAL SMALLCAP GROWTH FUND (NUMBER OF SHARES) Shares sold 1,367,921 4,953,991 6,608,889 Shares issued as reinvestments of dividends -- 41,096 24,582 Shares redeemed (997,179) (4,370,199) (6,427,019) ------------- ------------- ------------- Net increase in shares outstanding 370,742 624,888 206,452 ============= ============= ============= INTERNATIONAL SMALLCAP GROWTH FUND ($) Shares sold $ 30,182,958 $ 101,529,799 $ 109,494,069 Shares issued as reinvestments of dividends -- 811,876 383,230 Shares redeemed (22,024,759) (90,418,518) (107,699,737) ------------- ------------- ------------- Net increase in shares outstanding $ 8,158,199 $ 11,923,157 $ 2,177,562 ============= ============= ============= Class B Shares -------------------------------------------- Year 3 Months Ended Ended March 31, June 30, ---------------------------- 1999 1999 1998 ------------ ------------ ------------ INTERNATIONAL SMALLCAP GROWTH FUND (NUMBER OF SHARES) Shares sold 98,528 574,326 463,887 Shares issued as reinvestments of dividends -- 21,611 31,709 Shares redeemed (55,682) (472,298) (218,409) ------------ ------------ ------------ Net increase in shares outstanding 42,846 123,639 277,187 ============ ============ ============ INTERNATIONAL SMALLCAP GROWTH FUND ($) Shares sold $ 2,333,350 $ 12,177,504 $ 8,303,957 Shares issued as reinvestments of dividends -- 452,596 517,182 Shares redeemed (1,302,925) (9,959,007) (3,838,911) ------------ ------------ ------------ Net increase in shares outstanding $ 1,030,425 $ 2,671,093 $ 4,982,228 ============ ============ ============
111 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - --------------------------------------------------------------------------------
Class C Shares Class Q Shares ------------------------------------------ ------------------------------------------ Year Year 3 Months Ended 3 Months Ended Ended March 31, Ended March 31, June 30, --------------------------- June 30, --------------------------- 1999 1999 1998 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ INTERNATIONAL SMALLCAP GROWTH FUND (NUMBER OF SHARES) Shares sold 146,271 660,257 440,799 529,877 1,567,046 458,377 Shares issued as reinvestments of dividends -- 13,435 23,528 -- 12,918 -- Shares redeemed (34,123) (464,252) (273,436) (269,090) (563,058) (2,123) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding 112,148 209,440 190,891 260,787 1,016,906 456,254 ============ ============ ============ ============ ============ ============ INTERNATIONAL SMALLCAP GROWTH FUND ($) Shares sold $ 3,168,229 $ 12,933,840 $ 7,326,296 $ 12,505,725 $ 32,536,160 $ 8,543,873 Shares issued as reinvestments of dividends -- 258,146 352,544 -- 249,737 -- Shares redeemed (740,072) (9,055,952) (4,516,362) (6,328,290) (11,408,948) (34,256) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding $ 2,428,157 $ 4,136,034 $ 3,162,478 $ 6,177,435 $ 21,376,949 $ 8,509,617 ============ ============ ============ ============ ============ ============
Class A Shares Class B Shares ------------------------------------------ ------------------------------------------ Year Year 3 Months Ended 3 Months Ended Ended March 31, Ended March 31, June 30, --------------------------- June 30, --------------------------- 1999 1999 1998 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ EMERGING COUNTRIES FUND (NUMBER OF SHARES) Shares sold 1,064,600 3,262,352 3,249,713 82,535 382,174 1,214,038 Shares issued as reinvestments of dividends -- 17,479 149,478 -- 7,286 101,517 Shares redeemed (1,382,928) (3,852,081) (1,564,308) (168,473) (951,609) (535,990) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding (318,328) (572,250) 1,834,883 (85,938) (562,149) 779,565 ============ ============ ============ ============ ============ ============ EMERGING COUNTRIES FUND ($) Shares sold $ 16,015,629 $ 45,426,994 $ 56,508,617 $ 1,322,669 $ 5,698,657 $ 22,259,145 Shares issued as reinvestments of dividends -- 277,913 2,308,126 -- 118,138 1,591,405 Shares redeeme (20,693,691) (51,942,286) (27,275,872) (2,572,889) (12,756,398) (9,195,436) ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ (4,678,062) $ (6,237,379) $ 31,540,871 $ (1,250,220) $ (6,939,603) $ 14,655,114 ============ ============ ============ ============ ============ ============
Class C Shares Class Q Shares ------------------------------------------ ------------------------------------------ Year Year 3 Months Ended 3 Months Ended Ended March 31, Ended March 31, June 30, --------------------------- June 30, --------------------------- 1999 1999 1998 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ EMERGING COUNTRIES FUND (NUMBER OF SHARES) Shares sold 116,572 521,678 1,150,487 1,208,239 4,616,946 2,910,075 Shares issued as reinvestments of dividends -- 5,264 139,493 -- 36,438 9,663 Shares redeemed (99,525) (1,239,995) (859,084) (459,541) (3,431,547) (814,722) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding 17,047 (713,053) 430,896 748,698 1,221,837 2,105,016 ============ ============ ============ ============ ============ ============ EMERGING COUNTRIES FUND ($) Shares sold $ 1,744,612 $ 7,326,720 $ 20,756,465 $ 19,053,123 $ 65,385,070 $ 51,065,387 Shares issued as reinvestments of dividends -- 82,205 2,109,145 -- 593,577 151,971 Shares redeeme (1,481,896) (16,381,157) (13,967,608) (7,234,180) (45,346,860) (13,654,662) ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ 262,716 $ (8,972,232) $ 8,898,002 $(11,818,943) $ 20,631,787 $ 37,562,696 ============ ============ ============ ============ ============ ============
112 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - --------------------------------------------------------------------------------
Class A Shares Class B Shares Class M Shares ----------------------------- ----------------------------- ----------------------------- Year Ended June 30, Year Ended June 30, Year Ended June 30, ----------------------------- ----------------------------- ----------------------------- 1999 1998 1999 1998 1999 1998 ------------- ------------- ------------- ------------- ------------- ------------- ASIA-PACIFIC EQUITY FUND (NUMBER OF SHARES) Shares sold 25,333,718 11,941,838 2,652,841 760,416 692,204 1,111,797 Shares issued as reinvestment of dividends -- -- -- -- -- -- Shares redeemed (25,985,521) (12,266,159) (2,886,015) (1,467,592) (927,629) (1,169,806) ------------- ------------- ------------- ------------- ------------- ------------- Net decrease in shares outstanding (651,803) (324,321) (233,174) (707,176) (235,425) (58,009) ============= ============= ============= ============= ============= ============= ASIA-PACIFIC EQUITY FUND ($) Shares sold $ 120,602,739 $ 70,165,316 $ 13,490,585 $ 5,448,555 $ 3,734,225 $ 6,633,404 Shares issued as reinvestment of dividends -- -- -- -- -- -- Shares redeemed (124,586,962) (72,683,235) (14,427,377) (10,287,190) (4,867,780) (7,449,763) ------------- ------------- ------------- ------------- ------------- ------------- Net decrease in shares outstanding $ (3,984,223) $ (2,517,919) $ (936,792) $ (4,838,635) $ (1,133,555) $ (816,359) ============= ============= ============= ============= ============= =============
Class A Shares Class B Shares Class C Shares Class M Shares --------------------------- --------------------------- ------------ --------------------------- Year Ended June 30, Year Ended June 30, June 11, 1999 Year Ended June 30, --------------------------- --------------------------- to --------------------------- 1999 1998 1999 1998 June 30, 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ ------------ GOVERNMENT SECURITIES INCOME FUND (NUMBER OF SHARES) Shares sold 1,780,718 247,597 2,303,127 250,027 34,375 136,108 42,995 Shares issued as reinvestment of dividends 63,214 54,444 26,259 3,560 -- 2,551 592 Shares redeemed (1,977,689) (815,395) (1,570,331) (123,763) (33,817) (95,188) (30,971) ------------ ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding (133,757) (513,354) 759,055 129,824 558 43,471 12,616 ============ ============ ============ ============ ============ ============ ============ GOVERNMENT SECURITIES INCOME FUND ($) Shares sold $ 22,807,064 $ 3,180,560 $ 29,433,691 $ 3,221,905 $ 421,428 $ 1,751,439 $ 551,951 Shares issued as reinvestment of dividends 802,923 697,317 332,080 35,275 -- 32,362 7,602 Shares redeemed (25,148,449) (10,465,540) (19,941,959) (1,590,074) (414,258) (1,210,771) (397,555) ------------ ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ (1,538,462) $ (6,587,663) $ 9,823,812 $ 1,667,106 $ 7,170 $ 573,030 $ 161,998 ============ ============ ============ ============ ============ ============ ============
Class A Shares Class B Shares --------------------------- --------------------------- 3 Months Year 3 Months Year Ended Ended Ended Ended June 30, March 31, June 30, March 31, 1999 1999(1) 1999 1999(1) ------------ ------------ ------------ ------------ STRATEGIC INCOME FUND (NUMBER OF SHARES) Shares sold 1,744,498 646,153 65,960 595,169 Shares issued in merger -- 175,454 -- 259,694 Shares issued as reinvestment of dividends 1,712 5,664 3,737 12,860 Shares redeemed (1,797,320) (381,014) (137,015) (341,358) ------------ ------------ ------------ ------------ Net increase in shares outstanding (51,110) 446,257 (67,318) 526,365 ============ ============ ============ ============ STRATEGIC INCOME FUND ($) Shares sold $ 22,358,564 $ 8,383,952 $ 827,887 $ 7,617,290 Shares issued in merger -- 2,260,055 -- 3,265,737 Shares issued as reinvestment of dividends 21,991 73,691 47,004 163,532 Shares redeemed (23,052,137) (4,961,848) (1,710,716) (4,353,363) ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ (671,582) $ 5,755,850 $ (835,825) $ 6,693,196 ============ ============ ============ ============
113 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - --------------------------------------------------------------------------------
Class C Shares Class Q Shares ------------------------- ------------------------- 3 Months Year 3 Months Year Ended Ended Ended Ended June 30, March 31, June 30, March 31, 1999 1999(1) 1999 1999(1) ----------- ----------- ----------- ----------- STRATEGIC INCOME FUND (NUMBER OF SHARES) Shares sold 72,888 533,457 816 1,004 Shares issued in merger -- 342,089 -- 23,390 Shares issued as reinvestment of dividends 2,829 7,510 168 1,220 Shares redeemed (77,064) (262,520) (12,262) (36) ----------- ----------- ----------- ----------- Net increase in shares outstanding (1,347) 620,536 (11,278) 25,578 =========== =========== =========== =========== STRATEGIC INCOME FUND ($) Shares sold $ 952,054 $ 7,079,809 $ 10,030 $ 12,500 Shares issued in merger -- 4,459,907 -- 286,028 Shares issued as reinvestment of dividends 37,021 99,886 2,037 15,045 Shares redeemed (1,006,028) (3,482,921) (151,748) (399) ----------- ----------- ----------- ----------- Net increase (decrease) in shares outstanding $ (16,953) $ 8,156,681 $ (139,681) $ 313,174 =========== =========== =========== ===========
- ---------- (1) Classes commenced operations on 7/27/98.
Class A Shares Class B Shares Class C Shares Class M Shares ----------------------------- ----------------------------- ------------- ----------------------------- Year Ended June 30, Year Ended June 30, May 27, 1999 Year Ended June 30, ----------------------------- ----------------------------- to ----------------------------- 1999 1998 1999 1998 June 30, 1999 1999 1998 ------------- ------------- ------------- ------------- ------------- ------------- ------------- HIGH YIELD FUND (NUMBER OF SHARES) Shares sold 23,077,399 17,205,462 28,533,861 18,361,132 93,124 2,189,902 2,577,308 Shares issued as reinvestment of dividends 1,012,788 401,106 1,285,173 368,963 -- 196,691 95,635 Shares redeemed (16,689,544) (8,125,142) (7,951,333) (2,356,559) -- (1,173,862) (1,118,663) ------------- ------------- ------------- ------------- ------------- ------------- ------------- Net increase in shares outstanding 7,400,643 9,481,426 21,867.701 16,373,535 93,124 1,212,731 1,554,280 ============= ============= ============= ============= ============= ============= ============= HIGH YIELD FUND ($) Shares sold $ 146,786,361 $ 120,395,431 $ 177,876,596 $ 128,294,665 $ 549,513 $ 13,575,288 $ 17,998,974 Shares issued as reinvestment of dividends 6,265,752 2,792,483 7,911,056 2,566,895 58 1,217,509 664,497 Shares redeemed (106,793,532) (56,782,132) (48,182,705) (16,455,583) -- (7,119,713) (7,825,635) ------------- ------------- ------------- ------------- ------------- ------------- ------------- Net increase in shares outstanding $ 46,258,581 $ 66,405,782 $ 137,604,947 $ 114,405,977 $ 549,571 $ 7,673,084 $ 10,837,836 ============= ============= ============= ============= ============= ============= =============
Class Q Shares ----------- June 17, 1999 to June 30, 1999 ----------- HIGH YIELD FUND (NUMBER OF SHARES) Shares sold 30 Shares issued as reinvestment of dividends -- Shares redeemed -- ----------- Net increase in shares outstanding 30 =========== HIGH YIELD FUND ($) Shares sold $ 5 Shares issued as reinvestment of dividends -- Shares redeemed -- ----------- Net increase in shares outstanding $ 5 =========== 114 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - --------------------------------------------------------------------------------
Class A Shares Class B Shares ------------------------------------------ ------------------------------------------ 3 Months Year March 27, 3 Months Year March 27, Ended Ended 1998 to Ended Ended 1998 to June 30, March 31, March 31, June 30, March 31, March 31, 1999 1999 1998 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ HIGH YIELD FUND II (NUMBER OF SHARES) Shares sold 126,155 2,218,475 173,791 191,304 3,516,788 89,467 Shares issued in merger -- -- 326,993 -- -- 612,536 Shares issued as reinvestments of dividends 13,470 68,528 -- 20,903 90,997 -- Shares redeemed (175,029) (1,169,064) (132,119) (279,006) (622,273) (2,379) ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding (35,404) 1,117,939 368,665 (66,799) 2,985,512 699,624 ============ ============ ============ ============ ============ ============ HIGH YIELD FUND II ($) Shares sold $ 1,487,541 $ 27,084,111 $ 2,188,791 $ 2,244,780 $ 42,704,286 $ 1,136,299 Shares issued in merger -- -- 4,153,263 -- -- 7,772,553 Shares issued as reinvestments of dividends 158,555 807,769 -- 246,357 1,044,170 -- Shares redeemed (2,045,836) (14,038,415) (1,658,997) (3,269,300) (7,281,798) (30,039) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding $ (399,740) $ 13,853,465 $ 4,683,057 $ (778,163) $ 36,466,658 $ 8,878,813 ============ ============ ============ ============ ============ ============
Class C Shares Class Q Shares ------------------------------------------ ------------------------------------------ 3 Months Year March 27, 3 Months Year March 27, Ended Ended 1998 to Ended Ended 1998 to June 30, March 31, March 31, June 30, March 31, March 31, 1999 1999 1998 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ HIGH YIELD FUND II (NUMBER OF SHARES) Shares sold 91,597 1,848,332 71,467 21,272 668,988 2,205 Shares issued in merger -- -- 307,307 -- -- -- Shares issued as reinvestments of dividends 11,731 67,635 -- 7,915 23,106 42,382 Shares redeemed (310,405) (468,704) (7) (307,466) (179,780) -- ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding (207,077) 1,447,263 378,767 (278,279) 512,314 44,587 ============ ============ ============ ============ ============ ============ HIGH YIELD FUND II ($) Shares sold $ 1,078,810 $ 22,778,726 $ 907,549 $ 249,643 $ 7,770,126 $ 28,000 Shares issued in merger -- -- 3,900,531 -- -- -- Shares issued as reinvestments of dividends 138,399 775,897 -- 93,356 271,659 -- Shares redeemed (3,633,914) (5,466,380) (91) (3,614,065) (2,101,039) -- ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding $ (2,416,705) $ 18,088,243 $ 4,807,989 $ (3,271,066) $ 5,940,746 $ 28,000 ============ ============ ============ ============ ============ ============
Class A Shares Class B Shares --------------------------------------- --------------------------------------- Year Year 3 Months Ended 3 Months Ended Ended March 31, Ended March 31, June 30, ------------------------- June 30, ------------------------- 1999 1999 1998 1999 1999 1998 ----------- ----------- ----------- ----------- ----------- ----------- BALANCED FUND (NUMBER OF SHARES) Shares sold 69,501 371,709 305,352 62,785 128,292 101,305 Shares issued as reinvestments of dividends 1,015 68,457 29,098 554 29,941 4,600 Shares redeemed (70,425) (281,697) (307,910) (12,468) (73,515) (37,270) ----------- ----------- ----------- ----------- ----------- ----------- Net increase in shares outstanding 91 158,469 26,540 50,871 84,718 68,635 =========== =========== =========== =========== =========== =========== BALANCED FUND ($) Shares sold $ 1,354,890 $ 7,068,981 $ 5,582,957 $ 1,288,434 $ 2,447,844 $ 1,865,891 Shares issued as reinvestments of dividends 19,370 1,216,578 526,715 11,321 566,865 85,892 Shares redeemed (1,361,704) (5,289,069) (5,615,525) (256,849) (1,364,447) (681,006) ----------- ----------- ----------- ----------- ----------- ----------- Net increase (decrease) in shares outstanding $ 12,556 $ 2,996,490 $ 494,147 $ 1,042,906 $ 1,650,262 $ 1,270,777 =========== =========== =========== =========== =========== ===========
115 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 (Continued) - --------------------------------------------------------------------------------
Class C Shares Class Q Shares ----------------------------------------- --------------------------------- Year Year 3 Months Ended 3 Months Ended Ended March 31, Ended March 31, June 30, --------------------------- June 30, --------------------- 1999 1999 1998 1999 1999 1998 ---------- ------------ ------------ --------- --------- -------- BALANCED FUND (NUMBER OF SHARES) Shares sold 17,557 184,748 145,671 1,351 1,105 3,525 Shares issued as reinvestments of dividends 519 210,474 76,757 42 1,173 128 Shares redeemed (47,391) (259,419) (267,567) (781) (1,882) (106) ---------- ------------ ------------ --------- --------- -------- Net increase in shares outstanding (29,315) 135,803 (45,139) 612 396 3,547 ========== ============ ============ ========= ========= ======== BALANCED FUND ($) Shares sold $ 324,318 $ 3,201,753 $ 2,671,793 $ 25,940 $ 19,907 $ 67,581 Shares issued as reinvestments of dividends 9,545 3,603,550 1,410,891 798 20,611 3,310 Shares redeemed (878,533) (4,681,019) (4,877,213) (14,926) (34,726) (9,440) ---------- ------------ ------------ --------- --------- -------- Net increase (decrease) in shares outstanding $ (544,670) $ 2,124,284 $ (794,529) $ 11,812 $ 5,792 $ 61,451 ========== ============ ============ ========= ========= ========
Class A Shares Class B Shares ------------------------------------------ ------------------------------------------ Year Year 3 Months Ended 3 Months Ended Ended March 31, Ended March 31, June 30, --------------------------- June 30, --------------------------- 1999 1999 1998 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ CONVERTIBLE FUND (NUMBER OF SHARES) Shares sold 240,854 1,235,038 709,278 377,405 1,107,458 1,126,063 Shares issued as reinvestments of dividends 8,766 84,764 154,229 4,334 36,617 50,922 Shares redeemed (106,071) (795,095) (323,387) (155,682) (468,699) (158,706) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding 143,549 524,707 540,120 226,057 675,376 1,018,279 ============ ============ ============ ============ ============ ============ CONVERTIBLE FUND ($) Shares sold $ 5,446,752 $ 22,826,352 $ 12,820,279 $ 9,316,686 $ 22,988,795 $ 21,634,970 Shares issued as reinvestments of dividends 201,806 1,677,136 2,762,320 108,485 774,835 972,857 Shares redeemed (2,398,688) (14,627,285) (5,890,494) (3,833,777) (9,912,927) (3,026,200) ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ 3,249,870 $ 9,876,203 $ 9,692,105 $ 5,591,394 $ 13,850,703 $ 19,581,627 ============ ============ ============ ============ ============ ============
Class C Shares Class Q Shares ------------------------------------------ ------------------------------------------ Year Year 3 Months Ended 3 Months Ended Ended March 31, Ended March 31, June 30, --------------------------- June 30, --------------------------- 1999 1999 1998 1999 1999 1998 ------------ ------------ ------------ ------------ ------------ ------------ CONVERTIBLE FUND (NUMBER OF SHARES) Shares sold 204,264 84,820 791,856 393,267 423,276 111,297 Shares issued as reinvestments of dividends 3,236 110,911 407,608 3,568 16,065 28,400 Shares redeemed (276,138) (881,082) (672,422) (29,839) (410,737) (59,172) ------------ ------------ ------------ ------------ ------------ ------------ Net increase in shares outstanding (68,638) 114,649 527,042 366,996 28,604 80,525 ============ ============ ============ ============ ============ ============ CONVERTIBLE FUND ($) Shares sold $ 4,732,365 $ 17,299,957 $ 14,822,064 $ 8,618,236 $ 8,043,910 $ 1,905,912 Shares issued as reinvestments of dividends 75,700 2,256,244 7,387,102 79,431 304,178 490,423 Shares redeemed (6,363,756) (17,113,435) (12,484,704) (655,742) (7,680,884) (1,019,145) ------------ ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in shares outstanding $ (1,555,691) $ 2,442,766 $ 9,724,462 $ 8,041,925 $ 667,204 $ 1,377,190 ============ ============ ============ ============ ============ ============
116 Pilgrim Funds NOTES TO FINANCIAL STATEMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- 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 year ended June 30, 1999, (three months ended June 30, 1999 for the funds in PMF) the Funds received the following earnings credits: MagnaCap Fund $ 7,920 LargeCap Leaders Fund 262 LargeCap Growth Fund 1,050 MidCap Value Fund 5,668 MidCap Growth Fund 1,490 SmallCap Growth Fund 1,164 Bank and Thrift Fund 12,426 Worldwide Growth Fund -- International Core Growth Fund -- International SmallCap Growth Fund -- Emerging Countries Fund -- Asia-Pacific Equity Fund 2,271 Government Securites Income Fund 3,531 Strategic Income Fund -- High Yield Fund 44,802 High Yield Fund II -- Balanced Fund 327 Convertible 2,258 NOTE 12 -- SUBSEQUENT EVENTS On July 27, 1999 Pilgrim Investments, Inc. notified Cramer, Rosenthal, McGlynn, LLC ("CRM") of its intention to terminate CRM as sub-advisor to the Pilgrim MidCap Value Fund, effective September 30, 1999. Beginning October 1, 1999, Pilgrim Investments, Inc. will advise the Fund directly. Subsequent to June 30, 1999, the following funds declared dividends from net investment income of: Per Share Amount Payable Date Record Date ---------------- -------------- ------------- MagnaCap Fund Class A $0.0510 August 4, 1999 July 30, 1999 Class M $0.0138 August 4, 1999 July 30, 1999 High Yield Fund Class A $0.0500 July 6, 1999 June 30, 1999 Class B $0.0460 July 6, 1999 June 30, 1999 Class C $0.0500 July 6, 1999 June 30, 1999 Class M $0.0480 July 6, 1999 June 30, 1999 Class Q $0.0512 July 6, 1999 June 30, 1999 Class A $0.0500 August 4, 1999 July 30, 1999 Class B $0.0460 August 4, 1999 July 30, 1999 Class C $0.0470 August 4, 1999 July 30, 1999 Class M $0.0470 August 4, 1999 July 30, 1999 Class Q $0.0510 August 4, 1999 July 30, 1999 Government Securities Income Fund Class A $0.0645 July 6, 1999 June 30, 1999 Class B $0.0570 July 6, 1999 June 30, 1999 Class C $0.0620 July 6, 1999 June 30, 1999 Class M $0.0600 July 6, 1999 June 30, 1999 Class A $0.0645 August 4, 1999 July 30, 1999 Class B $0.0570 August 4, 1999 July 30, 1999 Class C $0.0580 August 4, 1999 July 30, 1999 Class M $0.0590 August 4, 1999 July 30, 1999 Strategic Income Fund Class A $0.0593 July 6, 1999 June 30, 1999 Class B $0.0541 July 6, 1999 June 30, 1999 Class C $0.0541 July 6, 1999 June 30, 1999 Class Q $0.0594 July 6, 1999 June 30, 1999 Class A $0.0673 August 4, 1999 July 30, 1999 Class B $0.0634 August 4, 1999 July 30, 1999 Class C $0.0634 August 4, 1999 July 30, 1999 Class Q $0.0682 August 4, 1999 July 30, 1999 High Yield Fund II (*) Class A $0.0925 July 1, 1999 Daily Class B $0.0862 July 1, 1999 Daily Class C $0.0862 July 1, 1999 Daily Class Q $0.0935 July 1, 1999 Daily Class A $0.0908 August 2, 1999 Daily Class B $0.0854 August 2, 1999 Daily Class C $0.0854 August 2, 1999 Daily Class Q $0.0926 August 2, 1999 Daily - ---------- (*) Per Share Amount Indicates Monthly Cumulative Income. 117 U.S. Equity Funds Pilgrim MagnaCap Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Value - ------------ ----------- COMMON STOCKS: 90.2% AUTOMOTIVE: 0.9% 85,000 Harley Davidson, Inc. $ 4,621,875 ----------- BANKS: 4.0% 20,000 Bank Of America Corp. 1,466,250 65,000 Chase Manhattan Corp. 5,630,625 119,200 Comerica, Inc. 7,084,950 15,000 First Union Corp. 705,000 150,000 Unionbancal Corp. 5,418,750 ----------- 20,305,575 ----------- BASIC MATERIALS: 2.4% 80,000 Nucor Corp. 3,795,000 165,100 Praxair, Inc. 8,079,581 ----------- 11,874,581 ----------- BEVERAGES: 1.5% 200,000 Pepsico, Inc. 7,737,500 ----------- CAPITAL GOODS: 0.7% 75,000 Parker Hannifin Corp. 3,431,250 ----------- CHEMICALS: 1.6% 120,000 Dupont 8,197,500 ----------- COMMUNICATIONS: 6.0% 80,000 ALLTEL Corp. 5,720,000 120,000 AT&T Corp. 6,697,500 50,000 (a) MCI Worldcom, Inc. 4,312,500 40,000 Nokia Corp. ADR Class A 3,662,500 140,000 (a) Tellabs, Inc. 9,458,750 ----------- 29,851,250 ----------- COMPUTERS HARDWARE: 1.5% 50,000 (a) Cisco Systems 3,225,000 175,000 Compaq Computer 4,145,313 ----------- 7,370,313 ----------- COMPUTER SOFTWARE & SERVICE: 5.1% 224,000 Automatic Data Processing $ 9,856,000 80,000 (a) Computer Sciences 5,535,000 97,900 Equifax 3,493,806 97,000 (a) Sun Microsystems 6,680,875 ----------- 25,565,681 ----------- ELECTRICAL EQUIPMENT: 1.5% 65,000 General Electric 7,345,000 ----------- ELECTRONICS: 1.9% 55,000 Emerson Electric Co. 3,458,125 102,000 Intel Corp. 6,069,000 ----------- 9,527,125 ----------- ENERGY: 2.2% 108,700 Elf Aquitane ADR 7,996,244 69,700 Halliburton Co. 3,153,925 ----------- 11,150,169 ----------- FINANCIAL: 3.1% 47,750 American Int'l Group 5,589,734 67,500 Citigroup, Inc. 3,206,250 60,000 FNMA 4,102,500 50,000 FHLMC 2,900,000 ----------- 15,798,484 ----------- FOODS: 3.3% 70,000 Campbell Soup Co. 3,246,250 130,000 H. J. Heinz Co. 6,516,250 30,000 Kellogg Co. 990,000 250,000 Sara Lee 5,671,875 ----------- 16,424,375 ----------- HEALTH CARE: 3.1% 192,000 Abbott Laboratories 8,736,000 160,000 Hillenbrand Industries 6,920,000 ----------- 15,656,000 ----------- HOME PRODUCTS: 1.6% 170,000 Newell Rubbermaid 7,905,000 ----------- See Accompanying Notes to Financial Statements 118 U.S. Equity Funds Pilgrim MagnaCap Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ INDUSTRIAL EQUIPMENT: 0.7% 40,000 Illinois Tool Works $ 3,280,000 ------------ INSURANCE: 4.2% 240,000 AFLAC, Inc. 11,490,000 135,000 Allstate Corp. 4,843,125 65,000 American General Corp. 4,899,375 ------------ 21,232,500 ------------ INSURANCE BROKERAGE: 0.9% 58,800 Marsh & Mclennan 4,439,400 ------------ INTEGRATED OIL: 3.2% 98,000 Atlantic Richfield 8,189,125 82,000 Chevron Corp. 7,805,375 ------------ 15,994,500 ------------ MACHINERY & EQUIPMENT: 0.8% 120,000 Dover Corp. 4,200,000 ------------ MANUFACTURING: 2.9% 80,000 Alliedsignal, Inc. 5,040,000 83,000 Honeywell, Inc. 9,617,625 ------------ 14,657,625 ------------ MARINE: 1.0% 105,000 Carnival Corp. 5,092,500 ------------ MEDICAL PRODUCTS: 2.4% 137,000 Baxter Int'l 8,305,625 122,000 Becton Dickinson & Co. 3,660,000 ------------ 11,965,625 ------------ OFFICE EQUIPMENT & SERVICES: 6.3% 146,500 Avery-Dennison Corp. 8,844,937 85,000 Hewlett Packard 8,542,500 72,500 Pitney Bowes 4,658,125 157,000 Xerox Corp. 9,272,813 ------------ 31,318,375 ------------ OIL WELL EQUIPMENT & SERVICE: 1.3% 104,000 Schlumberger Ltd. 6,623,500 ------------ PHARMACEUTICALS: 5.9% 142,000 Bristol-Myers Squibb Co. $ 10,002,125 107,000 Johnson & Johnson 10,486,000 45,000 Merck & Co. 3,330,000 110,000 Schering-Plough Corp. 5,830,000 ------------ 29,648,125 ------------ PUBLISHING: 1.1% 155,000 New York Times 5,705,938 ------------ RESTAURANT: 3.8% 290,000 McDonalds Corp. 11,980,625 125,000 (a) Tricon Global Restaurant 6,765,625 ------------ 18,746,250 ------------ RETAIL: 5.4% 54,000 (a) Costco Companies, Inc. 4,323,375 15,000 (a) Dayton Hudson 975,000 117,000 Home Depot, Inc. 7,539,187 120,000 Lowe's Companies 6,802,500 154,000 Wal-Mart Stores, Inc. 7,430,500 ------------ 27,070,562 ------------ SUPERMARKET: 1.0% 102,000 Albertson's, Inc. 5,259,375 ------------ TEXTILE: 0.7% 80,000 V. F. Corp. 3,420,000 ------------ THRIFTS: 3.0% 231,300 Charter One Financial, Inc. 6,433,031 45,000 Golden West Financial Corp. 4,410,000 120,000 Washington Mutual, Inc. 4,245,000 ------------ 15,088,031 ------------ TOBACCO PRODUCTS: 1.1% 140,000 Philip Morris Companies, Inc. 5,626,250 ------------ 119 U.S. Equity Funds Pilgrim MagnaCap Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ Utilities: 4.1% 85,000 Bell Atlantic Corp. $ 5,556,875 110,000 Duke Power Co. 5,981,250 90,500 SBC Communications 5,249,000 140,000 Southern Co. 3,710,000 ------------ 20,497,125 ------------ Total Common Stocks (Cost $319,743,381) 452,627,359 ------------ LIMITED PARTNERSHIP: 1.6% SECURITIES RELATED BUSINESS: 1.6% 245,000 Alliance Capital Management 7,916,563 ------------ Total Limited Partnership (Cost $4,832,493) 7,916,563 ------------ RIGHTS: 0.0% 70,000 (a) Chevron Corp. -- Rights -- ------------ Total Long-Term Investments (Cost $324,575,874) 460,543,922 ------------ Principal Amount Value - ------------ ------------ SHORT-TERM INVESTMENTS: 7.4% COMMERCIAL PAPER: 7.4% $24,830,000 Gillette Commerical Paper, 5.65%, due 07/01/99 $ 24,830,000 12,228,000 Marsh & McLellan Commerical Paper, 5.65%, due 07/01/99 12,228,000 ------------ Total Short-Term Investments (Cost $37,058,000) 37,058,000 ------------ Total Investments in Securities (Cost $361,633,874)* 99.2% 497,601,922 Other Assets and Liabilities, Net 0.8% 4,085,543 ------ ------------ Net Assets 100.0% $501,687,465 ====== ============ (a) 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 $140,432,179 Gross Unrealized Depreciation (4,464,131) ------------ Net Unrealized Appreciation $135,968,048 ============ See Accompanying Notes to Financial Statements 120 U.S. Equity Funds Pilgrim LargeCap Leaders Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ COMMON STOCKS: 96.2% AUTOMOTIVE: 2.6% 6,000 DaimlerChrysler $ 533,250 8,600 Ford Motor Co. 485,363 ------------ 1,018,613 ------------ BANKS: 1.5% 6,800 Chase Manhattan Corp. 589,050 ------------ BEVERAGES: 4.2% 7,300 Anheuser Busch Company 517,844 8,000 Coca-Cola 500,000 15,100 Pepsico, Inc. 584,181 ------------ 1,602,025 ------------ BROADCASTING: 1.5% 15,200 Comcast Corp. 584,250 ------------ CHEMICALS: 1.4% 7,700 Dupont 526,006 ------------ COMMUNICATIONS: 6.1% 10,543 AT&T Corp. 588,431 8,900 Lucent Technologies 600,194 5,900 (a) MCI Worldcom, Inc. 508,875 7,000 Nokia Corp. ADR Class A 640,938 ------------ 2,338,438 ------------ COMPUTERS: 9.3% 10,400 (a) Cisco Systems 670,800 24,300 Compaq Computer 575,606 15,800 (a) Dell Computer Corp. 584,600 5,700 Hewlett Packard 572,850 9,500 Intel Corp. 565,250 4,600 International Business Machines 594,550 ------------ 3,563,656 ------------ COMPUTER SOFTWARE & SERVICES: 4.5% 4,300 (a) America Online, Inc. 475,150 7,200 (a) Microsoft Corp. 649,350 8,800 (a) Sun Microsystems 606,100 ------------ 1,730,600 ------------ CONSUMER DURABLES: 1.5% 5,400 Sony Corp. ADR $ 596,025 ------------ CONSUMER PRODUCTS: 5.3% 5,250 Colgate-Palmolive Company 518,438 10,700 Gillette 438,700 6,400 Procter & Gamble 571,200 13,482 Unilever PLC ADR 502,204 ------------ 2,030,542 ------------ DEFENSE: 1.4% 14,100 Lockheed Martin Corp. 525,225 ------------ DIVERSIFIED CONGLOMERATE: 1.5% 6,000 Tyco International, Ltd. 568,500 ------------ DRUGSTORES: 1.4% 18,300 Walgreen Co. 537,563 ------------ ELECTRICAL EQUIPMENT: 1.5% 5,200 General Electric 587,600 ------------ ENERGY: 1.3% 9,100 Duke Power Co. 494,813 ------------ ENTERTAINMENT: 1.6% 8,100 Time Warner, Inc. 595,350 ------------ FINANCIAL: 7.4% 4,300 American Express 559,537 4,900 American Int'l Group 573,606 13,050 Citigroup, Inc. 619,875 9,400 FHLMC 545,200 7,800 FNMA 533,325 ------------ 2,831,543 ------------ FOODS: 1.3% 22,100 Sara Lee 501,394 ------------ FOOD STORES: 1.5% 11,500 (a) Safeway, Inc. 569,250 ------------ See Accompanying Notes to Financial Statements 121 U.S. Equity Funds Pilgrim LargeCap Leaders Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ INSURANCE: 1.3% 13,900 Allstate Corp. $ 498,663 ------------ MARINE: 1.5% 11,900 Carnival Corp. 577,150 ------------ MEDICAL: 2.6% 11,100 Abbott Laboratories 505,050 6,800 Novartis AG ADR 496,465 ------------ 1,001,515 ------------ METALS & MINERALS: 1.4% 8,800 Alcoa, Inc. 544,500 ------------ NATURAL GAS PIPELINE: 1.4% 6,700 Enron 547,725 ------------ OIL & GAS: 4.2% 5,800 Chevron Corp. 552,087 6,600 Exxon Corp. 509,025 9,400 Royal Dutch Petroleum Company 566,350 ------------ 1,627,462 ------------ OIL WELL EQUIPMENT & SERVICE: 1.5% 9,200 Schlumberger, Ltd. 585,925 ------------ PHARMACEUTICALS: 7.7% 8,100 Bristol-Myers Squibb Co. 570,543 6,300 Johnson & Johnson 617,400 8,100 Merck & Co. 599,400 5,400 Pfizer 592,650 8,500 Warner Lambert Co. 589,687 ------------ 2,969,680 ------------ PUBLISHING: 1.5% 7,900 Gannett Co. 563,863 ------------ Restaurant: 1.4% 12,600 McDonalds Corp. 520,538 ------------ RETAIL: 7.6% 7,100 (a) Costco Companies, Inc. $ 568,444 9,300 Home Depot, Inc. 599,268 11,400 Sears, Roebuck and Company 508,013 12,300 The Gap, Inc. 619,613 12,500 Wal-Mart Stores, Inc. 603,125 ------------ 2,898,463 ------------ TOBACCO PRODUCTS: 1.3% 12,700 Philip Morris Companies, Inc. 510,381 ------------ TRANSPORATION: 1.6% 11,000 (a) FDX Corp. 596,750 ------------ UTILITIES: 4.4% 9,220 Bell Atlantic Corp. 602,757 9,600 SBC Communications 556,800 19,400 Southern Co. 514,100 ------------ 1,673,657 ------------ Total Common Stocks (Cost $30,247,075) 36,906,715 ------------ Total Long-Term Investments (Cost $30,247,075) 36,906,715 ------------ See Accompanying Notes to Financial Statements 122 U.S. Equity Funds Pilgrim LargeCap Leaders Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Amount Value - ------------ ------------ SHORT-TERM INVESTMENTS: 3.3% REPURCHASE AGREEMENT: 3.3% $1,274,000 State Street Bank & Trust Repurchase Agreement, 4.70% due 07/01/99 (Collateralized by $1,265,000 U.S. Treasury Notes, 6.375%, due 09/30/01, Market Value $1,300,863) $ 1,274,000 ------------ Total Short-Term Investments (Cost $1,274,000) 1,274,000 ------------ TOTAL INVESTMENTS IN SECURITIES (COST $31,521,075)* 99.5% 38,180,715 OTHER ASSETS AND LIABILITIES, NET 0.5% 199,680 ------ ------------ NET ASSETS 100.0% $ 38,380,395 ====== ============ (a) Non-income producing security ADR -- American Depository Receipt * Cost for federal income tax purposes is $31,521,540. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 7,526,934 Gross Unrealized Depreciation (867,759) ------------ Net Unrealized Appreciation $ 6,659,175 ============ See Accompanying Notes to Financial Statements 123 U.S. Equity Funds Pilgrim LargeCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ COMMON STOCKS: 95.0% AEROSPACE: 2.7% 38,400 United Technologies $ 2,752,800 ------------ AIRLINES: 2.3% 77,300 Southwest Airlines 2,405,963 ------------ APPAREL: 2.7% 43,300 Nike, Inc. Class B 2,741,431 ------------ BIOTECHNOLOGY: 2.9% 48,400 (a) Amgen, Inc. 2,946,350 ------------ BROADCASTING: 11.8% 73,312 (a) AT&T Corp. Liberty Media 2,694,215 78,200 Comcast Corp. 3,005,813 107,900 (a) Infinity Broadcasting Corp. 3,210,024 44,500 Time Warner, Inc. 3,270,750 ------------ 112,180,802 ------------ COMPUTERS: 6.4% 51,200 (a) Cisco Systems 3,302,400 48,100 (a) Sun Microsystems 3,312,888 ------------ 6,615,288 ------------ COMPUTER SOFTWARE & SERVICE: 9.4% 46,600 (a) Computer Sciences 3,224,137 36,300 (a) Microsoft Corp. 3,273,806 86,100 (a) Oracle Corporation 3,196,463 ------------ 9,694,406 ------------ DRUGS/PHARMACEUTICALS: 2.3% 50,600 (a) Forest Laboratories 2,340,250 ------------ FINANCIAL: 5.2% 24,159 American Int'l Group 2,828,113 35,000 (a) Goldman Sachs Group 2,528,750 ------------ 5,356,863 ------------ GAMING: 2.8% 59,900 (a) MGM Grand Inc. 2,935,100 ------------ INDUSTRIAL: 3.0% 125,900 (a) Republic Services, Inc. $ 3,116,025 ------------ INSURANCE: 2.9% 30,300 Cigna Corp. 2,972,600 ------------ INTERNET SOFTWARE: 3.0% 57,300 (a) At Home Corp. 3,090,619 ------------ MANUFACTURING: 2.9% 32,000 Tyco International Ltd. 3,032,000 ------------ OIL & GAS SERVICES: 3.1% 71,500 Halliburton Co. 3,235,375 ------------ OIL WELL EQUIPMENT & SERVICES: 3.0% 85,600 Weatherford Int'l 3,135,100 ------------ PAPER & RELATED PRODUCTS: 2.2% 44,400 Int'l Paper 2,242,200 ------------ PIPELINES: 2.6% 62,700 Williams Cos., Inc. 2,668,669 ------------ RETAIL: 4.4% 16,900 Home Depot, Inc. 1,088,994 70,500 Wal-Mart Stores Inc. 3,401,625 ------------ 4,490,619 ------------ TELECOMMUNICATIONS EQUIPMENT: 9.5% 47,925 Lucent Technologies 3,231,942 33,900 Motorola, Inc. 3,212,025 36,200 Nokia Corp. ADR Class A 3,314,563 ------------ 9,758,530 ------------ See Accompanying Notes to Financial Statements 124 U.S. Equity Funds Pilgrim LargeCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ TELECOMMUNICATIONS: 9.9% 33,500 ALLTEL Corp. $ 2,395,250 45,339 AT&T Corp. 2,530,482 26,700 (a) MCI Worldcom, Inc. 2,302,875 51,300 (a) Sprint Corp. 2,930,513 ------------ 10,159,120 ------------ Total Common Stocks (Cost $82,346,827) 97,870,110 ------------ Total Long-Term Investments (Cost $82,346,827) 97,870,110 ------------ Principal Amount Value - ------------- ------------ SHORT-TERM INVESTMENTS: 12.1% REPURCHASE AGREEMENT: 12.1% $12,441,000 State Street Bank & Trust Repurchase Agreement, 4.70% due 07/01/99 (Collateralized by $12,050,000 U.S. Treasury Notes, 6.875%, due 05/15/06, Market Value $12,690,156) $ 12,441,000 ------------ Total Short-Term Investments (Cost $12,441,000) 12,441,000 ------------ TOTAL INVESTMENTS IN SECURITIES (COST $94,787,827)* 107.1% 110,311,110 OTHER ASSETS AND LIABILITIES, NET (7.1)% (7,347,162) ------ ------------ NET ASSETS 100.0% $102,963,948 ====== ============ (a) 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 $ 15,706,315 Gross Unrealized Depreciation (183,032) ------------ Net Unrealized Appreciation $ 15,523,283 ============ See Accompanying Notes to Financial Statements 125 U.S. Equity Funds Pilgrim MidCap Value Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ COMMON STOCKS: 95.2% ADVERTISING: 2.9% 52,600 (a) Snyder Communications $ 1,722,650 ------------ AUTO PARTS: 1.9% 31,200 Snap-On Inc. 1,129,050 ------------ BANKS: 1.5% 71,000 Sovereign Bancorp, Inc. 860,875 2,200 Unionbancal Corp. 79,475 ------------ 940,350 ------------ BUSINESS SERVICES: 1.1% 48,800 (a) Modis Professional Services, Inc. 671,000 ------------ COMMUNICATION EQUIPMENT: 3.5% 50,800 (a) Loral Space & Communications 914,400 24,900 (a) L-3 Communications 1,202,981 ------------ 2,117,381 ------------ COMMUNICATIONS: 2.7% 66,000 Cincinnati Bell, Inc. 1,645,875 ------------ COMPUTER HARDWARE: 4.1% 102,900 (a) Quantum Corp. 2,482,462 ------------ COMPUTER SERVICES: 2.4% 40,600 (a) Sterling Commerce, Inc. 1,481,900 ------------ CONSUMER DURABLES: 1.4% 21,000 Fortune Brands, Inc. 868,875 ------------ ELECTRICAL EQUIPMENT: 2.1% 46,500 Applied Power, Inc. Class A 1,270,031 ------------ ENTERTAINMENT: 2.5% 140,000 Loews Cineplex Entertainment 1,522,500 ------------ FINANCIAL: 6.4% 40,000 CIT Group, Inc. $ 1,155,000 71,000 Comdisco, Inc. 1,819,375 16,715 Finova Group, Inc. 879,627 ------------ 3,854,002 ------------ HEALTH CARE: 3.2% 23,100 Wellpoint Health Network 1,960,613 ------------ HOTELS: 2.3% 45,600 Starwood Hotels & Resorts 1,393,650 ------------ INDUSTRIAL: 4.8% 160,075 (a) Safety-Kleen Corp. 2,901,359 ------------ INSURANCE: 2.4% 23,900 Allamerica Financial Corp. 1,453,419 ------------ INSURANCE COMPANIES: 3.7% 32,900 Choicepoint, Inc. 2,208,412 ------------ MEDIA & ENTERTAINMENT: 2.9% 50,600 (a) King World Productions, Inc. 1,761,513 ------------ MEDICAL SERVICES: 5.0% 108,900 (a) Healthsouth Corp. 1,626,694 108,200 Omnicare, Inc. 1,366,025 ------------ 2,992,719 ------------ NATURAL GAS: 2.4% 23,200 Columbia Energy Group 1,454,350 ------------ PHARMACEUTICALS: 2.5% 89,142 Bergen Brunswig Corp. 1,537,699 ------------ OFFICE PRODUCTS & SERVICES: 3.4% 92,700 (a) United Stationers, Inc. 2,039,400 ------------ OIL & GAS: 2.1% 133,180 (a) Ocean Energy, Inc. 1,281,858 ------------ See Accompanying Notes to Financial Statements 126 U.S. Equity Funds Pilgrim MidCap Value Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ POLLUTION CONTROL: 2.4% 58,100 (a) Republic Services, Inc. $ 1,437,975 ------------ PROFESSIONAL SERVICES: 2.9% 90,000 (a) Convergys Corp. 1,732,500 ------------ PUBLISHING: 2.3% 150,300 (a) Hollinger Canadian Publishing 1,367,730 ------------ RETAIL: 3.8% 140,200 Kmart 2,304,538 ------------ RETAIL CLOTHING: 2.3% 73,200 Polo Ralph Lauren Corp. 1,390,800 ------------ TECHNOLOGY: 7.6% 75,000 Comsat Corp. 2,437,500 50,400 General Instrument Corp. 2,142,000 ------------ 4,579,500 ------------ TRUCKING & LEASING: 1.8% 40,900 Ryder 1,063,400 ------------ UTILITIES: 4.9% 41,800 Montana Power Co. 2,946,900 ------------ Total Common Stocks (Cost $47,910,468) 57,514,411 ------------ MUTUAL FUNDS: 1.6% INVESTMENT COMPANIES: 1.6% 99,800 John Hancock Bank & Thrift Opportunity Fund 948,100 ------------ Total Mutual Funds (Cost $814,710) 948,100 ------------ Total Long-Term Investments (Cost $48,725,178) 58,462,511 ------------ Principal Amount Value - ------------- ------------ SHORT-TERM INVESTMENTS: 3.4% REPURCHASE AGREEMENT: 3.4% $2,025,000 State Street Bank & Trust Repurchase Agreement, 4.70% due 07/01/99 (Collateralized by $2,010,000 U.S. Treasury Notes, 6.375% due 09/30/01, Market Value $2,066,984) $ 2,025,000 ------------ Total Short-Term Investments (Cost $2,025,000) 2,025,000 ------------ 4,562,412 TOTAL INVESTMENTS (COST $50,750,178)* 100.2% 60,487,511 OTHER ASSETS AND LIABILITIES, NET (0.2%) (91,771) ------ ------------ NET ASSETS 100.0% $ 60,395,740 ====== ============ (a) Non-incomeeeee producing security * Cost for federal income tax purposes is $50,843,057. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 11,180,372 Gross Unrealized Depreciation (1,535,918) ------------ Net Unrealized Appreciation $ 9,644,454 ============ See Accompanying Notes to Financial Statements 127 U.S. Equity Funds Pilgrim MidCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ COMMON STOCKS: 99.4% ADVERTISING: 1.5% 14,500 (a) Doubleclick, Inc. $ 1,330,375 36,200 Omnicom Group 2,896,000 ------------ 4,226,375 ------------ AIRLINES: 0.7% 66,400 Southwest Airlines 2,066,700 ------------ BIOTECHNOLOGY: 2.0% 29,000 (a) Biogen, Inc. 1,865,063 39,200 (a) Genzyme Corp. -- General Division 1,901,200 13,900 (a) Immunex Corp. 1,771,381 ------------ 5,537,644 ------------ BROADCASTING: 5.4% 1 (a) Clear Channel Communications 11 90,600 (a) Cox Communications, Inc. Class A 3,335,213 33,100 (a) Hispanic Broadcasting Corp. 2,511,462 38,300 (a) Univision Communications Class A 2,527,800 115,800 (a) USA Networks, Inc. 4,646,475 59,400 (a) Westwood One, Inc. 2,119,838 ------------ 15,140,799 ------------ CHEMICALS -- SPECIALTY: 0.8% 72,400 (a) Cytec Industries 2,307,750 ------------ CIRCUITS: 1.5% 43,500 (a) Analog Devices 2,183,156 27,700 (a) Sanmina Corp. 2,101,738 ------------ 4,284,894 ------------ COMPUTERS: 5.8% 41,800 (a) ASM Lithography Holding N.V. 2,481,875 27,700 (a) Comverse Technology, Inc. 2,091,350 50,100 (a) Extreme Networks, Inc. 2,908,931 54,200 (a) Network Appliance, Inc. 3,028,425 23,100 (a) Rambus, Inc. 2,129,531 40,200 (a) Verisign, Inc. 3,467,250 ------------ 16,107,362 ------------ COMPUTER SERVICES: 1.3% 53,200 (a) Computer Sciences $ 3,680,775 ------------ COMPUTER SOFTWARE: 5.4% 73,500 (a) BMC Software 3,969,000 56,700 (a) New Era Of Networks, Inc. 2,491,256 163,000 (a) Novell, Inc. 4,319,500 47,150 (a) Veritas Software Corp. 4,476,303 ------------ 15,256,059 ------------ CONTAINERS - METAL/GLASS: 1.3% 111,000 (a) Owens-Illinois, Inc. 3,628,313 ------------ DRUGS/PHARMACEUTICALS: 2.2% 27,600 Allergan, Inc. 3,063,600 65,400 (a) Forest Laboratories, Inc. Class A 3,024,750 ------------ 6,088,350 ------------ ELECTRIC: 2.3% 67,200 (a) AES Corp. 3,906,000 34,900 Montana Power Co. 2,460,450 ------------ 6,366,450 ------------ ELECTRONICS: 10.9% 31,100 (a) Applied Micro Circuits 2,557,975 129,800 (a) Conexant Systems, Inc. 7,536,512 96,800 (a) LSI Logic Corp. 4,464,900 38,500 (a) PMC-Sierra, Inc. 2,269,094 38,200 (a) Teradyne, Inc. 2,740,850 23,200 (a) Uniphase Corp. 3,851,200 40,100 (a) Vitesse Semiconductor Corp. 2,704,244 74,100 (a) Xilinx, Inc. 4,242,225 ------------ 30,367,000 ------------ FIBER OPTICS: 1.8% 96,900 (a) Ciena Corp. 2,925,169 56,800 (a) Metromedia Fiber Network Class A 2,041,250 ------------ 4,966,419 ------------ See Accompanying Notes to Financial Statements 128 U.S. Equity Funds Pilgrim MidCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ FINANCIAL SERVICES: 5.0% 45,000 Capital One Financial Corp. $ 2,505,937 33,900 Charles Schwab Corp. 3,724,763 34,800 Donaldson, Lufkin & Jenrette 2,096,700 47,600 (a) E*trade Group, Inc. 1,901,025 74,450 (a) Fiserv, Inc. 2,331,216 56,000 (a) TD Waterhouse Group 1,403,500 ------------ 13,963,141 ------------ HEALTH CARE: 0.7% 24,300 (a) Wellpoint Health Network 2,062,463 ------------ INTERNET SOFTWARE: 7.1% 52,800 (a) At Home Corp. Series A 2,847,900 22,500 (a) CMGI, Inc. 2,566,406 24,400 (a) Exodus Communications 2,926,475 48,600 (a) Network Solutions, Inc. 3,845,475 46,600 (a) Northpoint Communications 1,700,900 33,700 (a) Realnetworks, Inc. 2,321,087 32,200 (a) Rythms Netconnections, Inc. 1,879,675 23,800 (a) Vignette Corp. 1,785,000 ------------ 19,872,918 ------------ MEDICAL -- DRUGS: 1.4% 57,100 (a) Medimmune, Inc. 3,868,525 ------------- MEDICAL INFORMATION SYSTEM: 0.7% 67,000 IMS Health, Inc. 2,093,750 ------------ MEDICAL PRODUCTS: 2.3% 7,017 (a) Genzyme Surgical Products 30,920 28,800 (a) Minimed, Inc. 2,215,800 51,900 (a) Visx, Inc. 4,109,831 ------------ 6,356,551 ------------ METAL -- ALUMINUM: 0.7% 33,300 Reynolds Metals Co. 1,964,700 ------------ OFFICE SUPPLIES & FORMS: 0.7% 32,500 Avery-Dennison Corp. 1,962,188 ------------ OIL & GAS: 8.0% 70,800 Apache Corp. $ 2,761,200 59,500 Burlington Resources, Inc. 2,573,375 175,500 Ensco International, Inc. 3,499,031 158,500 (a) Global Industries, Ltd. 2,030,781 157,900 (a) Global Marine, Inc. 2,437,581 119,800 (a) Rowan Companies 2,208,813 102,300 (a) Smith International, Inc. 4,443,656 69,900 (a) Weatherford International, Inc. 2,560,087 ------------ 22,514,524 ------------ OPTICAL SUPPLIES: 1.6% 57,900 Bausch & Lomb, Inc. 4,429,350 ------------ OTHER COMMERCIAL SERVICES: 0.9% 60,500 (a) Concord EFS, Inc. 2,559,906 ------------ PACKAGING & CONTAINERS: 1.1% 147,700 (a) Smurfit-Stone Container Corp. 3,037,081 ------------ PRINTER & RELATED PRODUCTS: 0.9% 36,600 (a) Lexmark International Group, Inc. 2,417,888 ------------ RECREATIONAL PRODUCTS: 1.0% 51,000 Harley Davidson, Inc. 2,773,125 ------------ RETAIL: 13.6% 66,600 (a) Abercrombie & Fitch Co. Class A 3,196,800 55,800 (a) American Eagle Outfitters 2,538,900 73,400 (a) Bed Bath & Beyond, Inc. 2,825,900 59,700 (a) Best Buy Company, Inc. 4,029,750 54,400 Circuit City Stores 5,059,200 27,100 (a) Etoys, Inc. 1,104,325 56,175 Intimate Brands, Inc. 2,661,290 26,200 (a) Kohls Corp. 2,022,313 162,200 (a) Pacific Sunwear of California 3,953,625 17,200 (a) Priceline.com, Inc. 1,987,675 163,250 (a) Staples, Inc. 5,050,547 101,900 (a) Starbucks Corp. 3,827,619 ------------ 38,257,944 ------------ See Accompanying Notes to Financial Statements 129 U.S. Equity Funds Pilgrim MidCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ STEEL -- PRODUCERS: 0.7% 86,300 AK Steel Holding Corp. $ 1,941,750 ------------ TELECOMMUNICATIONS: 10.1% 60,500 (a) American Tower Corp. Class A 1,452,000 63,100 (a) Crown Castle International Corp. 1,313,269 65,700 (a) General Instrument Corp. 2,792,250 41,700 (a) Global Telesystems Group, Inc. 3,377,700 36,600 (a) RF Micro Devices, Inc. 2,731,275 60,100 (a) Sprint Corp. -- PCS Group 3,433,212 80,700 (a) Time Warner Telecom Class A 2,340,300 161,600 (a) Voicestream Wireless Corp. 4,595,500 130,400 (a) Winstar Communications, Inc. 6,357,000 ------------ 28,392,506 ------------ Total Common Stocks (Cost $213,545,009) 278,493,200 ------------ Total Long-Term Investments (Cost $213,545,009) 278,493,200 ------------ Principal Amount Value - ------------ ------------ SHORT-TERM INVESTMENTS: 1.2% REPURCHASE AGREEMENT: 1.2% $3,347,000 State Street Bank & Trust Repurchase Agreement, 4.70% due 07/01/99 (Collateralized by $3,320,000 U.S. Treasury Notes, 6.375% due 09/30/01, Market Value $3,414,122) $ 3,347,000 ------------ Total Short-Term Investments (Cost $3,347,000) 3,347,000 ------------ TOTAL INVESTMENTS (COST $216,892,009)* 100.6% 281,840,200 OTHER ASSETS AND LIABILITIES, NET (0.6)% (1,704,815) ------ ------------ NET ASSETS 100.0% $280,135,385 ====== ============ (a) Non-income producing security * Cost for federal income tax purposes is $217,660,681 Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 69,334,971 Gross Unrealized Depreciation (5,155,452) ------------ Net Unrealized Appreciation $ 64,179,519 ============ See Accompanying Notes to Financial Statements 130 U.S. Equity Funds Pilgrim SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Value - ----------- ------------ COMMON STOCKS: 97.8% ADVERTISING: 0.5% 11,800 (a) Abacus Direct Corp. $ 1,079,700 30,700 (a) Getty Images, Inc. 579,462 ------------ 1,659,162 ------------ AEROSPACE/DEFENSE: 0.8% 11,500 (a) Aeroflex, Inc. 227,125 24,400 (a) Kellstrom Industries, Inc. 445,300 36,400 (a) L-3 Communications Holdings, Inc. 1,758,575 ------------ 2,431,000 ------------ AIRLINES: 0.4% 10,600 (a) Mesaba Holdings, Inc. 135,150 18,600 (a) Midwest Express Holdings 632,400 25,000 (a) Skywest, Inc. 623,437 ------------ 1,390,987 ------------ AUCTION HOUSE/ART DEALER: 0.3% 27,800 Sotheby's Holdings, Inc. Class A 1,059,875 ------------ AUDIO/VIDEO PRODUCTS: 0.3% 22,700 (a) Polycom, Inc. 885,300 ------------ BANKS: 0.5% 30,800 Peoples Heritage Financial Group 579,425 33,174 Provident Bankshares Corp. 771,290 6,300 Western Bancorp 274,050 ------------ 1,624,765 ------------ BIOTECHNOLOGY: 0.9% 37,300 (a) IDEC Pharmaceuticals Corp. 2,874,431 ------------ BROADCASTING: 2.4% 27,000 (a) Citadel Communications Corp. $ 977,063 18,200 (a) Cumulus Media, Inc. Class A 398,125 37,500 (a) Emmis Communications Corp. Class A 1,851,562 32,600 (a) Entercom Communications Corp. 1,393,650 27,500 (a) Pegasus Communications Corp. 1,084,531 5,300 (a) Radio One, Inc. 246,450 39,196 (a) Saga Communications, Inc. Class A 730,026 27,900 (a) SBS Broadcasting S.A. 899,775 ------------ 7,581,182 ------------ BUILDING & CONSTRUCTION PRODUCTS - MISC: 0.4% 11,000 Elcor Corp. 480,562 36,300 (a) Dal-Tile International, Inc. 412,913 9,400 (a) Simpson Manufacturing Co., Inc. 446,500 ------------ 1,339,975 ------------ BUILDING - MOBILE HOMES/ MANUFACTURED HOMES: 0.2% 23,700 Winnebago Industries, Inc. 533,250 ------------ CHEMICALS: 0.4% 18,300 MacDermid, Inc. 850,950 15,200 Spartech Corp. 480,700 ------------ 1,331,650 ------------ CIRCUITS: 0.7% 30,000 (a) Power Integrations, Inc. 2,193,750 ------------ COMMERCIAL SERVICES: 3.9% 2,300 (a) Career Education Corp. 77,769 71,100 (a) Century Business Services, Inc. 1,030,950 11,800 (a) Forrester Research, Inc. 295,000 15,500 Hooper Holmes, Inc. 315,812 18,700 (a) International Telecommunications Data Systems 299,200 39,700 (a) Korn-Ferry Int'l 674,900 35,000 (a) Lason, Inc. 1,736,875 14,200 (a) National Equipment Services 170,400 34,500 (a) NCO Group, Inc. 1,311,000 2,200 (a) Newgen Results Corp. 26,400 18,200 (a) Nielsen Media Research, Inc. 532,350 See Accompanying Notes to Financial Statements 131 U.S. Equity Funds Pilgrim SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ 59,410 (a) NOVA Corp. $ 1,485,250 45,400 (a) Novacare Employee Services 124,850 18,300 (a) On Assignment, Inc. 478,087 6,300 (a) Personnel Group Of America, Inc. 63,000 26,100 (a) Prepaid Legal Services, Inc. 709,594 18,300 (a) Probusiness Services, Inc. 656,513 13,200 (a) Profit Recovery Group Int'l 624,525 13,700 (a) Quanta Services, Inc. 602,800 9,600 Select Appointments Holdings ADR 230,400 9,200 Service Corp. Int'l 177,100 38,800 (a) USWeb Corp. 860,875 ------------ 12,483,650 ------------ COMPUTERS: 6.9% 32,000 (a) Affiliated Computer Services, Inc. Class A 1,620,000 56,050 (a) Apex PC Solutions, Inc. 1,149,025 20,800 (a) Comverse Technology, Inc. 1,570,400 33,500 (a) Electronics For Imaging 1,721,062 19,300 (a) Extreme Networks, Inc. 1,120,606 12,300 Factset Research Systems, Inc. 696,487 5,700 (a) Globix Corp. 251,869 28,850 Henry (Jack) & Associates 1,132,363 6,400 (a) International Integration, Inc. 144,000 6,000 (a) IXL Enterprises, Inc. 161,250 37,400 (a) Mentor Graphics Corp. 479,188 41,200 (a) Network Appliance, Inc. 2,302,050 18,600 (a) Rambus, Inc. 1,714,688 2,500 (a) Redback Networks, Inc. 313,906 48,700 (a) S3, Inc. 442,866 28,500 (a) Sandisk Corp. 1,282,500 41,900 (a) Sequent Computer Systems, Inc. 743,725 32,400 (a) Sykes Enterprises, Inc. 1,081,350 90,700 (a) Whittman-Hart, Inc. 2,879,725 34,500 (a) Xircom, Inc. 1,037,156 ------------ 21,844,216 ------------ COMPUTER SOFTWARE: 8.1% 39,000 (a) Acclaim Entertainment, Inc. 248,625 22,500 (a) Advantage Learning Systems, Inc. 497,812 29,800 (a) AVT Corp. 1,128,675 20,500 (a) BindView Development Corp. 486,875 17,700 (a) Business Objects S.A. ADR 646,050 26,200 (a) Clarify, Inc. $ 1,080,750 9,000 (a) Concur Technologies, Inc. 253,125 7,300 (a) Exchange Applications, Inc. 297,475 35,400 (a) Fundtech, Ltd. 918,188 46,900 (a) Harbinger Corp. 586,250 62,600 (a) ISS Group, Inc. 2,363,150 46,200 (a) Legato Systems, Inc. 2,668,050 36,800 (a) Macromedia, Inc. 1,297,200 110,200 (a) Mercury Interactive Corp. 3,898,325 13,500 (a) National Instruments Corp. 545,062 15,600 (a) New ERA Of Networks, Inc. 685,425 4,800 (a) Onyx Software Corp. 103,800 38,600 (a) Peregrine Systems, Inc. 991,538 60,400 (a) Pinnacle Systems, Inc. 2,030,950 7,100 (a) Razorfish, Inc. 263,144 53,300 Reynolds & Reynolds Class A 1,242,556 8,400 (a) Serena Software, Inc. 112,875 36,200 (a) Symantec Corp. 923,100 27,000 (a) TSI International Software, Ltd. 766,125 12,600 (a) Verity, Inc. 682,762 25,600 (a) Visual Networks, Inc. 819,200 ------------ 25,537,087 ------------ CONSULTING SERVICES: 0.2% 27,000 (a) Superior Consultant Holdings Corp. 666,562 ------------ CONSUMER PRODUCTS: 0.3% 22,000 (a) The Scotts Co. 1,047,750 ------------ DISTRIBUTION/WHOLESALE: 0.8% 56,800 (a) Brightpoint, Inc. 344,350 33,000 (a) CDW Computer Centers, Inc. 1,452,000 34,125 (a) Insight Enterprises, Inc. 844,594 ------------ 2,640,944 ------------ DRUGS/PHARMACEUTICALS: 5.1% 11,600 (a) Advance Paradigm, Inc. 707,600 28,400 (a) Alkermes, Inc. 656,750 28,100 Alpharma, Inc. 999,306 18,200 (a) Andrx Corp. 1,403,675 50,133 Bindley Western Industries, Inc. 1,156,200 65,300 (a) Biomatrix, Inc. 1,412,112 4,600 (a) ChiRex, Inc. 147,775 See Accompanying Notes to Financial Statements 132 U.S. Equity Funds Pilgrim SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ 27,900 (a) Gilead Sciences, Inc. $ 1,457,775 58,700 Jones Medical Industries, Inc. 2,311,313 59,450 (a) Medicis Pharmaceutical Class A 1,508,544 39,000 (a) Medimmune, Inc. 2,642,250 31,600 (a) NBTY, Inc. 205,400 27,700 (a) Nexstar Pharmaceuticals, Inc. 552,269 20,900 (a) Priority Healthcare Corp. 721,050 19,500 (a) Trimeris, Inc. 282,750 ------------ 16,164,769 ------------ ELECTRONIC COMPONENTS & SEMICONDUCTORS: 12.8% 34,400 (a) Alpha Industries, Inc. 1,638,300 42,100 (a) American Xtal Technology, Inc. 1,002,506 38,800 (a) Applied Micro Circuits Corp. 3,191,300 23,000 (a) Burr-Brown Corp. 842,375 30,800 (a) C-Cube Microsystems, Inc. 975,975 41,000 (a) Credence Systems Corp. 1,522,125 9,000 CTS Corp. 630,000 38,300 (a) Cymer, Inc. 957,500 63,000 (a) Cypress Semiconductor Corp. 1,039,500 27,800 (a) DII Group, Inc. 1,037,287 14,700 (a) Electro Scientific Industries, Inc. 614,184 49,700 (a) Flextronics International, Ltd. 2,758,350 11,800 (a) Genesis Microchip, Inc. 278,775 2,700 (a) Globespan, Inc. 107,325 9,300 (a) HI/FN, Inc. 707,962 38,200 (a) Kulicke & Soffa Industries 1,024,237 33,300 (a) LAM Research Corp. 1,554,694 20,000 (a) Micrel, Inc. 1,480,000 25,700 (a) Microchip Technology, Inc. 1,217,537 22,700 (a) MIPS Technologies, Inc. 1,088,181 14,000 (a) Moog, Inc. Class A 481,250 19,200 (a) Novellus Systems, Inc. 1,310,400 26,400 Optical Coating Laboratory, Inc. 2,207,700 41,000 (a) PMC-Sierra, Inc. 2,416,438 29,100 (a) Qlogic Corp. 3,841,200 31,000 (a) SDL, Inc. 1,582,938 53,150 (a) SLI, Inc. 1,435,050 33,300 (a) Transwitch Corp. 1,577,588 9,000 (a) TriQuint Semiconductor, Inc. 511,313 200 (a) Triumph Group, Inc. 5,100 8,000 (a) Uniphase Corp. 1,328,000 ------------ 40,365,090 ------------ ENGINEERING & CONSTRUCTION: 0.9% 49,250 (a) Dycom Industries, Inc. $ 2,758,000 ------------ ENTERTAINMENT: 1.4% 9,700 (a) Championship Auto Racing Teams 290,394 28,100 (a) Cinar Corp. Class B 688,450 13,000 (a) Image Entertainment, Inc. 84,500 17,000 (a) Macrovision Corp. 1,272,875 23,400 (a) SFX Entertainment, Inc. 1,497,600 42,100 (a) Sunterra Corp. 586,769 ------------ 4,420,588 ------------ ENVIRONMENTAL CONTROL: 0.3% 19,600 (a) Casella Waste Systems, Inc. Class A 509,600 33,445 (a) Tetra Tech, Inc. 551,843 ------------ 1,061,443 ------------ FINANCIAL SERVICES: 2.9% 16,000 (a) Affiliated Managers Group 483,000 19,200 American Capital Strategies 350,400 9,600 (a) Coinstar, Inc. 275,400 2,400 (a) E-Loan, Inc. 92,550 18,000 (a) First Sierra Financial, Inc. 450,000 29,100 (a) Hambrecht & Quist, Inc. 1,080,337 55,800 Metris Cos., Inc. 2,273,850 36,500 (a) National Discount Brokers Group, Inc. 2,117,000 9,400 SEI Investments Co. 829,550 16,600 Southwest Securities Group, Inc. 1,191,050 ------------ 9,143,137 ------------ FOOD & BEVERAGES: 0.7% 12,900 (a) Canandaigua Brands, Inc. Class A 676,444 27,100 (a) Hain Food Group, Inc. 558,937 23,700 (a) Merkert American Corp. 225,150 28,100 Michael Foods, Inc. 660,350 ------------ 2,120,881 ------------ FOOTWEAR & RELATED APPAREL: 0.7% 45,000 K-Swiss, Inc. 2,092,500 18,000 (a) Skechers U.S.A., Inc. 189,000 ------------ 2,281,500 ------------ See Accompanying Notes to Financial Statements 133 U.S. Equity Funds Pilgrim SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ---------- ----------- HEALTH CARE: 1.5% 97,100 (a) Apria Healthcare Group $ 1,650,700 16,000 (a) Mede America Corp. 604,000 30,600 (a) MedQuist, Inc. 1,338,750 6,200 (a) Novoste Corp. 130,200 18,100 (a) Perclose, Inc. 869,931 ----------- 4,593,581 ----------- HOME BUILDING: 0.9% 20,100 (a) Crossmann Communities, Inc. 584,156 26,500 M/I Schottenstein Homes, Inc. 488,594 23,500 MDC Holdings, Inc. 505,250 23,550 (a) National RV Holdings, Inc. 571,087 18,500 Ryland Group, Inc. 549,219 ----------- 2,698,306 ----------- HOSPITALS: 0.1% 15,400 (a) Province Healthcare Co. 300,300 ----------- INTERNET: 7.2% 14,800 (a) 24/7 Media, Inc. 569,800 26,800 (a) AboveNet Communications, Inc. 1,082,050 4,700 (a) AppliedTheory Corp. 59,925 12,600 (a) AppNet Systems, Inc. 169,312 5,800 (a) BackWeb Technologies, Ltd. 158,775 19,400 (a) Cdnow, Inc. 341,925 49,800 (a) Concentric Network Corp. 1,979,550 8,200 (a) EarthWeb, Inc. 305,450 32,600 (a) Exodus Communications, Inc. 3,909,962 22,500 (a) F5 Networks, Inc. 922,500 5,700 (a) Fatbrain.com, Inc. 95,475 19,500 (a) Flycast Communications Corp. 372,937 11,600 (a) GoTo.com, Inc. 324,800 4,500 (a) High Speed Access Corp. 115,312 16,200 (a) iMALL, Inc. 309,825 27,700 (a) Infospace.com, Inc. 1,301,900 22,800 (a) InterVU, Inc. 873,525 11,200 (a) Lycos, Inc. 1,029,000 9,000 (a) Mail.com, Inc. 169,312 16,000 (a) MapQuest.com, Inc. 261,000 9,900 (a) NetObjects, Inc. 79,819 20,300 (a) Netopia, Inc. 461,825 3,100 (a) PCOrder.com, Inc. 128,844 6,300 (a) Persistence Software, Inc. $ 85,838 9,700 (a) Proxicom, Inc. 249,169 13,700 (a) RoweCom, Inc. 208,925 2,300 (a) Scient Corp. 109,394 73,000 (a) Security First Technologies Co. 3,294,125 10,800 (a) Software.com, Inc. 250,425 18,600 (a) Sportsline USA, Inc. 667,275 7,200 (a) Stamps.com, Inc. 126,000 1,700 (a) StarMedia Network, Inc. 109,013 27,772 (a) UBID, Inc. 888,715 8,100 (a) USinternetworking, Inc. 340,200 19,000 (a) Verio, Inc. 1,320,500 2,600 (a) VerticalNet, Inc. 272,675 ----------- 22,945,077 ----------- LEISURE/GAMING: 0.5% 20,500 (a) American Classic Voyages Co. 492,000 52,700 (a) Family Golf Centers, Inc. 405,131 45,000 (a) Williams Industries, Inc. 765,000 ----------- 1,662,131 ----------- MACHINERY: 1.6% 83,765 (a) Motivepower Industires, Inc. 1,486,829 26,700 (a) PRI Automation, Inc. 967,875 22,500 (a) SpeedFam-IPEC, Inc. 361,406 72,100 (a) Terex Corp. 2,194,544 ----------- 5,010,654 ----------- MEDICAL PRODUCTS & SERVICES: 2.4% 18,600 (a) Cytyc Corp. 362,700 17,900 (a) Hanger Orthopedic Group, Inc. 253,956 14,200 (a) Laser Vision Centers, Inc. 894,600 47,200 (a) Minimed, Inc. 3,631,450 33,900 (a) Molecular Devices Corp. 1,271,250 5,800 (a) Optimal Robotics Corp. 57,638 18,000 (a) ResMed, Inc. 597,375 13,600 (a) Xomed Surgical Products, Inc. 662,150 ----------- 7,731,119 ----------- See Accompanying Notes to Financial Statements 134 U.S. Equity Funds Pilgrim SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ---------- ---------- MEDICAL SYSTEMS: 1.2% 18,000 (a) Cerner Corp. $ 377,437 27,200 (a) Infocure Corp. 1,439,900 41,050 (a) LCA-Vision, Inc. 382,278 10,800 (a) Mediconsult.com, Inc. 112,725 27,500 (a) TLC The Laser Center, Inc. 1,320,000 ---------- 3,632,340 ---------- METAL FABRICATION/HARDWARE: 0.5% 26,500 (a) Mueller Industries, Inc. 899,344 42,200 (a) Transportation Technologies Industries, Inc. 559,150 ---------- 1,458,494 ---------- NETWORKING PRODUCTS: 1.6% 73,700 (a) Ancor Communications, Inc. 2,386,037 18,700 (a) Black Box Corp. 937,338 19,319 (a) Cisco Systems, Inc. 1,246,068 10,800 (a) MMC Networks, Inc. 483,300 ---------- 5,052,743 ---------- OIL & GAS SERVICES: 2.9% 9,100 (a) Atwood Oceanics, Inc. 284,375 35,400 (a) Barrett Resources Corp. 1,358,475 37,100 (a) BJ Services Co. 1,092,131 27,100 (a) CAL Dive International, Inc. 809,612 12,000 (a) Dril-Quip 275,250 67,600 (a) Global Industries, Ltd. 866,125 34,400 (a) Marine Drilling Cos., Inc. 470,850 18,600 (a) Nabors Industries, Inc. 454,537 4,437 (a) Pool Energy Services Co. 90,127 78,900 (a) Pride International, Inc. 833,381 20,900 (a) Smith International, Inc. 907,844 10,500 (a) Stone Energy Corp. 444,937 49,400 (a) Tuboscope, Inc. 676,162 19,500 (a) Unit Corp. 158,438 18,600 (a) UTI Energy Corp. 308,063 21,000 (a) Varco International, Inc. 229,688 ---------- 9,259,995 ---------- PIPELINES: 0.1% 22,700 Western Gas Resources, Inc. 363,200 ---------- PRINTING -- COMMERCIAL: 1.2% 40,500 (a) Consolidated Graphics, Inc. $2,025,000 112,200 (a) Mail-Well, Inc. 1,816,238 ---------- 3,841,238 ---------- PUBLISHING: 0.5% 27,700 (a) Big Flower Holdings, Inc. 882,938 26,800 (a) Playboy Enterprises, Inc. Class B 711,875 ---------- 1,594,813 ---------- REAL ESTATE INVESTMENT TRUSTS: 0.5% 27,500 Golf Trust Of America, Inc. 672,031 42,825 Kilroy Realty Corp. 1,043,859 ---------- 1,715,890 ---------- RECREATIONAL CENTERS: 0.2% 24,600 (a) Bally Total Fitness Holdings 698,025 ---------- RETAIL: 9.1% 38,481 (a) 99 Cents Only Stores 1,921,645 56,200 (a) Ames Department Stores, Inc. 2,564,125 45,200 (a) Ann Taylor Stores Corp. 2,034,000 28,800 (a) Bebe Stores, Inc. 979,200 19,200 (a) Cheap Tickets, Inc. 700,800 39,400 (a) Creative Computers, Inc. 315,200 1,800 (a) Cutter & Buck, Inc. 30,375 32,700 (a) Dave & Buster's, Inc. 948,300 41,250 Ethan Allen Interiors, Inc. 1,557,187 37,900 (a) Foodmaker, Inc. 1,075,412 27,500 (a) Genesco, Inc. 400,469 53,000 (a) Hollywood Entertainment Corp. 1,036,812 18,500 Kenneth Cole Productions, Inc. Class A 515,687 30,000 (a) Linens 'n Things, Inc. 1,312,500 46,000 (a) Men's Wearhouse, Inc. 1,173,000 64,500 (a) Micro Warehouse, Inc. 1,152,938 42,800 (a) Musicland Stores Corp. 379,850 32,400 (a) O'Reilly Automotive, Inc. 1,632,150 29,850 (a) Pacific Sunwear Of California 727,594 See Accompanying Notes to Financial Statements 135 U.S. Equity Funds Pilgrim SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - --------------- ------------ 48,700 (a) Petsmart, Inc. $ 499,175 36,000 Pier 1 Imports, Inc. 405,000 13,950 (a) Quicksilver, Inc. 363,572 13,500 (a) ShopKo Stores, Inc. 489,375 23,500 (a) Sonic Automotive, Inc. 323,125 51,750 (a) Sonic Corp. 1,688,344 54,160 (a) Sunglass Hut Int'l, Inc. 930,875 23,200 (a) The Timberland Co. Class A 1,579,050 74,400 (a) Trans World Entertainment 837,000 17,600 (a) Whitehall Jewellers, Inc. 469,700 18,600 (a) Williams-Sonoma, Inc. 647,513 ------------ 28,689,973 ------------ SAVINGS & LOANS: 0.9% 19,050 First Washington Bancorp, Inc. 382,191 25,925 MAF Bancorp, Inc. 628,681 45,000 (a) NetB@nk, Inc. 1,710,000 ------------ 2,720,872 ------------ SEISMIC DATA COLLECTOR: 0.2% 1,195 (a) Eagle Geophysical, Inc. 896 18,600 (a) Seitel, Inc. 301,088 18,500 (a) Veritas DGC, Inc. 338,781 ------------ 640,765 ------------ STEEL PIPE & TUBING: 0.0% 5,112 (a) Maverick Tube Corp. 71,249 ------------ TELECOMMUNICATIONS: 10.0% 47,000 (a) American Tower Corp. Class A 1,128,000 18,000 (a) Antec Corp. 577,125 8,100 (a) AudioCodes, Ltd. 218,700 14,800 (a) Aware, Inc. 682,650 30,000 (a) CapRock Communications Corp. 1,215,000 3,400 (a) Copper Mountain Networks, Inc. 262,650 4,900 (a) Digital Microwave Corp. 62,475 36,300 (a) DSP Communications, Inc. 1,048,163 6,900 (a) Echostar Communications Corp. Class A 1,058,719 27,900 (a) Gilat Satellite Networks, Ltd. 1,464,750 79,400 (a) GST Telecommunications, Inc. 1,047,087 27,600 (a) Hyperion Telecommunications, Inc. Class A 519,225 18,100 (a) ICG Communications, Inc. $ 386,888 14,200 (a) Intermedia Communications, Inc. 426,000 38,450 (a) International Network Services 1,552,419 21,400 (a) Metromedia Fiber Network, Inc. 769,063 9,000 (a) Orckit Communications, Ltd. 222,750 45,000 (a) PairGain Technologies, Inc. 517,500 34,800 (a) Pinnacle Holdings, Inc. 852,600 48,200 (a) Powerwave Technologies, Inc. 1,554,450 36,200 (a) Proxim, Inc. 2,099,600 37,900 (a) RF Micro Devices, Inc. 2,828,287 56,300 (a) TALK.com, Inc. 633,375 28,600 (a) Terayon Corp. 1,598,025 27,200 (a) Tut Systems, Inc. 1,331,100 22,500 (a) US LEC Corp. Class A 506,250 51,400 (a) Viatel, Inc. 2,884,825 42,400 (a) VoiceStream Wireless Corp. 1,205,750 29,100 (a) Western Wireless Corp. Class A 785,700 44,300 (a) Winstar Communications, Inc. 2,159,625 ------------ 31,598,751 ------------ TOYS/GAMES/HOBBIES: 0.5% 48,700 (a) Action Performance Co., Inc. 1,607,100 ------------ TRANSPORTATION: 1.4% 15,900 (a) Atlas Air, Inc. 512,775 38,000 Expeditors International, Inc. 1,035,500 13,900 (a) Forward Air Corp. 390,938 25,400 (a) Swift Transportation Co., Inc. 558,800 12,400 USFreightways Corp. 574,275 28,687 Varlen Corp. 1,161,823 ------------ 4,234,111 ------------ Total Common Stocks (Cost $225,456,512) 309,561,671 ------------ WARRANTS: 0.0% MOTION PICTURES & SERVICES: 0.0% 1,687 (a) Iwerks Entertainment, Inc. -- ------------ Total Warrants (Cost $0) -- ------------ Total Long-Term Investments (Cost $225,456,512) 309,561,671 ------------ See Accompanying Notes to Financial Statements 136 U.S. Equity Funds Pilgrim SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Amount Value - ------------ ------------- SHORT-TERM INVESTMENTS: 1.8% REPURCHASE AGREEMENT: 1.8% $5,561,000 State Street Bank & Trust Repurchase Agreement, 4.70% due 07/01/99 (Collateralized by $5,520,000 U.S. Treasury Notes, 6.375% Due 09/30/2001, Market Value $5,676,492) $ 5,561,000 Total Short-Term Investments (Cost $5,561,000) 5,561,000 ------------- TOTAL INVESTMENTS IN SECURITIES (COST $231,017,512)* 99.6% 315,122,671 OTHER ASSETS AND LIABILITIES, NET 0.4% 1,450,051 ------ ------------- NET ASSETS 100.0% $ 316,572,722 ====== ============= (a) Non-income producing security ADR -- American Depository Receipt * Cost for federal income tax purposes is $231,226,894. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 96,254,942 Gross Unrealized Depreciation (12,359,165) ------------- Net Unrealized Appreciation $ 83,895,777 ============= See Accompanying Notes to Financial Statements 137 U.S. Equity Funds Pilgrim Bank and Thrift Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Industry/Issuer Value - ------------ ---------------------------------- ------------ COMMON STOCKS: 99.0% AUTOMOTIVE: 1.0% 413,000 (a) Keystone Automotive Industries, Inc. $ 7,175,875 ------------ BANKS: 58.2% 173,500 Alabama National Bancorp (AL) 4,337,500 276,057 Associated Bancorp (WI) 11,456,366 14,500 BancFirst Corp. (OK) 496,625 196,800 BancWest Corp. (HI) 7,306,200 149,700 Bank Of The Ozarks (AR) 2,713,313 721,000 BankBoston Corp. (MA) 36,861,125 176,000 Banknorth Group, Inc. (VT) 5,808,000 98,500 Bay Bancshares, Inc. (TX) 1,526,750 49,000 (a) BNCCorp., Inc. (ND) 441,000 66,134 (a) BOK Financial Corp. (OK) 1,669,884 280,675 BSB Bancorp, Inc. (NY) 7,578,225 110,000 Chittenden Corp. (VT) 3,437,500 108,600 CNBT Bankshares, Inc. (TX) 1,384,650 290,000 Colonial BancGroup, Inc. (AL) 4,041,875 101,500 Columbia Bancorp (MD) 1,344,875 558,500 Comerica, Inc. (MI) 33,195,844 126,428 Commerce Bancshares, Inc. (MO) 5,088,727 211,500 Community Bank Systems, Inc. (NY) 5,366,813 337,474 Community First Bankshares, Inc. (ND) 8,057,192 245,500 Compass Bancshares, Inc. (AL) 6,689,875 64,500 Cowlitz Bancorp (WA) 427,312 150,000 Financial Institutions (NY) 2,250,000 327,700 First American Corp. (TN) 13,620,031 24,000 First Merchants Corp. (IN) 570,000 2,236 First National Bank Anchorge (AK) 2,306,434 301,955 First Security Corp. (UT) 8,228,274 460,187 First Union Corp. (NC) 21,628,789 125,000 First United Bancshares (AR) 2,328,125 255,908 Fleet Financial Group, Inc. (MA) 11,355,918 184,320 Greater Bay Bancorp (CA) 6,128,640 38,500 (a) Hamilton Bancorp (FL) 924,000 313,250 Hudson United Bancorp (NJ) 9,593,281 179,623 Independent Bank Corp. (MI) 3,120,950 525,800 KeyCorp. (OH) $ 16,891,325 200,000 Lamar Capital Corp. (MS) 1,900,000 19,300 National City Bancorp (MN) 402,887 385,700 National City Corp. (OH) 25,263,350 85,634 North Dallas Bank & Trust Co. (TX) 2,911,556 305,600 North Fork Bancorp (NY) 6,513,100 75,300 North Valley Bancorp (CA) 941,250 953,000 Pacific Century Finl Corp. (HI) 20,549,063 829,000 Peoples Heritage Financial Group (ME) 15,595,562 373,000 Prime Bancshares, Inc. (TX) 6,667,375 240,000 Prosperity Bancshares, Inc. (TX) 3,510,000 190,400 Regions Financial Corp. (AL) 7,318,500 57,000 (a) Six Rivers National Bank (CA) 769,500 200,000 Southwest Bancorp (OK) 4,500,000 484,687 Sterling Bancshares, Inc. (TX) 6,482,688 140,300 Summit Bancorp (NJ) 5,866,293 248,400 Summit Bancshares, Inc (TX) 4,315,950 527,700 (a)(b) Surety Capital Corp. (TX) 989,437 225,000 (a) UCBH Holdings, Inc. (CA) 4,035,937 453,900 Union Planters Corp. (TN) 20,283,656 1,106,800 UnionBanCal Corp. (CA) 39,983,150 143,110 (a) United Security Bancorp (WA) 1,860,430 209,400 USBancorp, Inc. (PA) 3,298,050 135,350 West Coast Bancorp (OR) 2,368,625 ------------ 434,501,777 ------------ BUSINESS SERVICES: 0.4% 244,500 (a) CFI Proservices 2,750,625 ------------ CONSTRUCTION: 0.3% 342,500 (a) Schuff Steel Co. 2,033,594 ------------ FINANCE: 5.3% 375,000 (a)(b) International Aircraft Investors 2,683,594 215,000 Liberty Financial Co., Inc. 6,261,875 440,000 Sea Containers, Ltd. 14,767,500 34,000 (a) Ugly Duckling Corp. 246,500 2,500,000 (a) Unicapital Corp. 15,781,250 ------------ 39,740,719 ------------ HOME BUILDING: 1.4% 614,075 D.R. Horton, Inc. 10,208,997 ------------ See Accompanying Notes to Financial Statements 138 U.S. Equity Funds Pilgrim Bank and Thrift Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Industry/Issuer Value - ------------ ------------------------------ ------------ INSURANCE: 2.7% 177,000 (a)(b) 21st Century Holding Co. $ 1,216,875 430,000 (a)(b) American Safety Insurance Group 3,628,125 1,151,000 ARM Financial Group, Inc. Class A 9,783,500 756,500 Reliance Group Holdings 5,626,469 ------------ 20,254,969 ------------ PRINTING: 1.6% 955,160 (a) Applied Graphics Technologies 12,058,895 ------------ RETAIL: 2.8% 323,106 (a) Consolidated Stores Corp. 8,723,862 395,000 (a) Michael's Stores, Inc. 12,096,875 ------------ 20,820,737 ------------ SECURITIES RELATED BUSINESS: 4.5% 741,900 Alliance Capital Management 23,972,644 573,400 Freedom Securities Corp. 9,819,475 ------------ 33,792,119 ------------ THRIFTS: 20.8% 245,000 Astoria Financial Corp. (NY) 10,764,688 1,746,340 Charter One Financial, Inc. (OH) 48,570,081 1,261,238 Commercial Federal Corp. (NE) 29,244,945 80,100 First Mutual Savings Bank (WA) 961,200 253,300 Golden West Financial Corp. (CA) 24,823,400 149,400 Interwest Bancorp (WA) 3,735,000 63,655 Laurel Capital Group, Inc. (PA) 1,022,458 457,500 (a) Seacoast Financial Services Corp. (MA) 5,204,062 42,500 Timberland Bancorp (WA) 499,375 849,800 Washington Mutual, Inc. (WA) 30,061,675 ------------ 154,886,884 ------------ Total Common Stocks (Cost $638,722,497) 738,225,191 ------------ Principal Amount Value - ------------ ------------- SHORT-TERM INVESTMENTS: 0.3% REPURCHASE AGREEMENTS: 0.3% $2,321,000 State Street Bank & Trust Repurchase Agreement, 4.70% due 07/01/99 (Collateralized by $2,305,000 U.S. Treasury Notes, 6.375% Market Value $2,370,347, Due 09/30/2001) $ 2,321,000 ------------- Total Short-Term Investments (Cost $2,321,000) 2,321,000 ------------- TOTAL INVESTMENTS IN SECURITIES (COST $641,043,497) 99.3% 740,546,191 OTHER ASSETS AND LIABILITIES, NET 0.7% 5,078,764 ------ ------------- NET ASSETS 100.0% $ 745,624,955 ====== ============= (a) Non-income producing security (b) Company in which there is any direct or indirect ownership of 5% or more of the outstanding voting securities. ADR -- American Depository Receipt Cost for federal income tax purposes is $641,047,122. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 159,276,901 Gross Unrealized Depreciation (59,777,832) ------------- Net Unrealized Appreciation $ 99,499,069 ============= See Accompanying Notes to Financial Statements 139 International Equity Funds Pilgrim Worldwide Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Value - ------------ ---------- COMMON STOCKS: 91.8% AUSTRALIA: 0.7% COMMERCIAL BANKS -- PACIFIC RIM: 0.4% 29,200 Commonwealth Bank of Australia $ 464,018 53,200 Suncorp-Metway, Ltd. 316,367 ---------- 780,385 ---------- DIVERSIFIED MINERALS: 0.3% 64,500 Broken Hill Proprietary 745,822 ---------- TOTAL AUSTRALIA 1,526,207 ---------- BELGIUM: 0.8% CELLULAR TELECOMMUNICATION: 0.2% 7,400 (a) Mobistar S.A. 366,016 ---------- DIVERSIFIED FINANCIAL SERVICES: 0.3% 19,200 Fortis 602,442 ---------- PHOTO -- EQUIPMENT/SUPPLIES : 0.3% 36,700 (a) AGFA Gevaert N.V. 738,576 ---------- TOTAL BELGIUM 1,707,034 ---------- BRAZIL: 1.4% MONEY-CENTER BANKS: 0.4% 74,400 Banco Santander Central 774,321 ---------- PAPER & RELATED PRODUCTS: 0.4% 37,700 Aracruz Celulose S.A. ADR 829,400 ---------- STEEL -- SPECIALTY: 0.3% 29,397,000 Cia Siderurgica Nacional 769,011 ---------- TELEPHONE -- LOCAL: 0.3% 41,300 Tele Norte Leste Participacoes ADR 766,631 ---------- TOTAL BRAZIL 3,139,363 ---------- CANADA: 2.8% CABLE TV: 0.1% 19,800 (a) Rogers Communications Class B 318,529 ---------- COMPUTER GRAPHICS: 0.2% 28,400 (a) ATI Technologies, Inc. $ 460,744 ---------- MEDICAL -- BIOMEDICAL/GENE: 1.5% 53,400 (a) Amgen, Inc. 3,250,725 ---------- MEDICAL LASER SYSTEMS: 0.6% 27,300 (a) The Laser Center 1,310,400 ---------- TELECOMMUNICATION EQUIPMENT: 0.4% 9,500 Nortel Networks 824,719 ---------- TOTAL CANADA 6,165,117 ---------- FINLAND: 3.7% PAPER & RELATED PRODUCTS: 0.3% 69,200 Stora Enso OYJ-R Shares 741,594 ---------- TELECOMMUNICATION EQUIPMENT: 3.0% 71,200 Nokia Corp. ADR 6,519,250 ---------- TELEPHONE -- INTEGRATED: 0.4% 39,900 Sonera Group OYJ 871,637 ---------- TOTAL FINLAND 8,132,481 ---------- FRANCE: 4.1% BUILDING PRODUCTS: 0.3% 7,100 Lafarge 674,553 ---------- COMPUTER SERVICES: 0.7% 9,200 Cap Gemini S.A. 1,444,773 ---------- DIVERSIFIED OPERATIONS/COMMERCIAL SERVICES: 0.4% 10,600 Vivendi (EX -- Generale des Eaux) 857,984 ---------- MONEY-CENTER BANKS: 0.3% 9,000 Banque Nationale de Paris 749,343 ---------- OIL COMPANY -- INTEGRATED: 0.9% 4,300 Elf Aquitaine 630,522 10,900 (a) Total Fina S.A. 1,405,111 ---------- 2,035,633 ---------- See Accompanying Notes to Financial Statements 140 International Equity Funds Pilgrim Worldwide Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ---------- OIL FIELD SERVICES: 0.2% 10,300 Coflexip ADR $ 448,050 ---------- RETAIL -- BUILDING PRODUCTS: 0.6% 5,700 Castorama Dubois Investissements SCA 1,350,920 ---------- TELEVISION: 0.7% 6,100 TV Francaise 1,420,578 ---------- TOTAL FRANCE 8,981,834 ---------- GERMANY: 2.4% AUTO -- CARS/LIGHT TRUCKS: 0.4% 9,840 DaimlerChrysler AG 858,826 ---------- ELECTRIC UTILITIES: 0.4% 16,300 Veba AG 960,750 ---------- MACHINERY -- GENERAL INDUSTRY: 0.9% 12,800 Mannesmann AG 1,912,515 ---------- MEDICAL PRODUCTS: 0.5% 18,000 Fresenius Medical Care 1,049,822 ---------- TELEPHONE -- INTEGRATED: 0.2% 10,600 Deutsche Telekom AG 445,103 ---------- TOTAL GERMANY 5,227,016 ---------- GREECE 0.3% BUILDING PRODUCTS -- CEMENT/AGGREGATE: 0.3% 7,000 Titan Cement Co. 643,831 ---------- TOTAL GREECE 643,831 ---------- HONG KONG: 0.9% DIVERSIFIED OPERATIONS: 0.2% 203,000 Beijing Enterprises 418,627 ---------- REAL ESTATE DEVELOPMENT: 0.7% 289,700 New World Development 868,125 67,000 Sun Hung Kai Properties 610,959 ---------- 1,479,084 ---------- TOTAL HONG KONG 1,897,711 ---------- HUNGARY: 0.3% TELEPHONE -- INTEGRATED: 0.3% 21,100 Matav RT ADR $ 580,250 ---------- TOTAL HUNGARY 580,250 ---------- INDIA: 0.0% ELECTRIC -- INTEGRATED: 0.0% 600 BSES Ltd. 2,063 ---------- TOTAL INDIA 2,063 ---------- INDONESIA: 0.6% TELECOMMUNICATION SERVICES: 0.4% 1,427,220 PT Telekomunikasi 833,413 ---------- 258,000 (a) PT Hanjaya Mandala Sampo 595,095 ---------- TOTAL INDONESIA 1,428,508 ---------- IRELAND: 0.4% BUILDING & CONSTRUCTION PROJECT -- MISCELLANEOUS: 0.4% 49,500 CRH PLC 877,325 ---------- TOTAL IRELAND 877,325 ---------- ITALY: 1.5% COMMERCIAL BANKS -- EUROPE: 0.4% 21,500 Banca Popolare Di Bresci 920,527 ---------- LIFE/HEALTH INSURANCE: 0.4% 65,900 Alleanza Assicurazioni SpA 757,159 ---------- PUBLISHING -- PERIODICALS: 0.4% 661,800 Seat-Pagine Gialle SpA 903,586 ---------- TELEVISION: 0.3% 76,600 Mediaset SpA 680,398 ---------- TOTAL ITALY 3,261,670 ---------- See Accompanying Notes to Financial Statements 141 International Equity Funds Pilgrim Worldwide Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ----------- JAPAN: 9.1% AUDIO/VIDEO PRODUCTS: 0.4% 7,800 Sony Corp. $ 840,649 ----------- AUTO -- CARS/LIGHT TRUCKS: 0.4% 20,000 Honda Motor Co., Ltd. 847,339 ----------- CELLULAR TELECOMMUNICATION: 0.4% 730 NITT Mobile Communications 988,727 ----------- CHEMICALS -- DIVERSIFIED: 0.4% 29,000 Shin-etsu Chemical Co. 969,980 ----------- COMPUTERS -- INTEGRATED SYSTEMS: 0.6% 64,200 Fujitsu, Ltd. 1,291,052 ----------- COMPUTER SOFTWARE: 0.3% 9,920 Fuji Soft ABC, Inc. 589,867 ----------- COSMETICS & TOILETRIES: 0.5% 42,000 Kao Corp. 1,179,337 ----------- DISTRIBUTION/WHOLESALE: 1.2% 82,000 Mitsui & Co., Ltd. 571,565 10,000 Softbank Corp. 2,024,198 ----------- 2,595,763 ----------- ELECTRONIC COMPONENTS -- SEMICONDUCTORS: 0.5% 15,000 Tokyo Electron Ltd. 1,017,054 ----------- ELECTRONIC MEASURE INSTRUMENT: 0.4% 8,300 Advantest Corp. 911,674 ----------- FINANCE -- CONSUMER LOANS: 1.2% 2,520 Shohkoh Fund & Co., Ltd. 1,806,467 7,600 Takefuji Corporation 785,200 ----------- 2,591,667 ----------- FORESTRY: 0.4% 168,000 Rengo Company Ltd. 865,772 ----------- MACHINERY -- CONSTRUCTION & MINING: 0.3% 106,000 Komatsu 676,698 ----------- OPTICAL SUPPLIES: 0.3% 10,000 Hoya Corp. $ 564,067 ----------- REAL ESTATE DEVELOPMENT: 0.3% 75,000 Mitsui Fudosan Co., Ltd. 607,012 ----------- RETAIL -- MISCELLANEOUS/DIVERSIFIED: 0.9% 8,300 Ryohin Keikaku Co., Ltd. 2,087,253 ----------- STEEL -- PRODUCERS: 0.3% 302,000 Nippon Steel Corp. 700,847 ----------- TELECOMMUNICATION EQUIPMENT: 0.3% 10,000 Matsushita Communication Industrial Co., Ltd. 714,374 ----------- TOTAL JAPAN 20,039,132 ----------- MEXICO: 0.6% BROADCAST SERVICE/PROGRAM: 0.3% 16,800 (a) Grupo Televisa S.A. GDR 752,850 ----------- BUILDING PRODUCT -- CEMENT/AGGREGATE: 0.3% 109,606 Cemex S.A. -- CPO 540,467 3,800 Cemex S.A. 37,567 ----------- 578,034 ----------- TOTAL MEXICO 1,330,884 ----------- NETHERLANDS: 3.1% COMPUTERS -- INTEGRATED SYSTEMS: 1.2% 18,900 (a) ASM Lithography Holding N.V. 1,122,188 17,200 (a) Equant N.V. 1,618,950 ----------- 2,741,138 ----------- DIVERSIFIED FINANCIAL SERVICES: 0.1% 2,800 Fortis (NL) N.V. 86,414 ----------- ELECTRONIC COMPONENTS -- SEMICONDUCTORS: 0.7% 20,600 STMicroelectronics N.V. 1,429,125 ----------- MONEY-CENTER BANKS: 0.3% 13,300 ING Groep N.V. 719,512 ----------- See Accompanying Notes to Financial Statements 142 International Equity Funds Pilgrim Worldwide Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ---------- OIL COMPANY -- INTEGRATED: 0.3% 10,700 Royal Dutch Petroleum Co. $ 644,675 ---------- TELECOMMUNICATION SERVICES: 0.5% 22,000 (a) United Pan-Europe Communications 1,192,437 ---------- TOTAL NETHERLANDS 6,813,301 ---------- NEW ZEALAND: 0.1% PAPER & RELATED PRODUCTS: 0.1% 454,200 Fletcher Challenge Paper 338,815 ---------- TOTAL NEW ZEALAND 338,815 ---------- SINGAPORE: 0.6% MONEY-CENTER BANKS: 0.2% 61,000 Overseas-Chinese Bank 508,721 ---------- PAPER & RELATED PRODUCTS: 0.2% 50,200 (a) Asia Pulp 7 Paper ADR 483,175 ---------- REAL ESTATE DEVELOPMENT: 0.2% 72,000 City Developments, Ltd. 460,915 ---------- TOTAL SINGAPORE 1,452,811 ---------- SOUTH KOREA: 0.7% STEEL -- PRODUCERS: 0.3% 23,100 Pohang Iron & Steel Co. ADR 776,738 ---------- TELECOMMUNICATION SERVICES: 0.4% 22,000 (a) Korea Telecom ADR 880,000 ---------- TOTAL SOUTH KOREA 1,656,738 ---------- SPAIN: 0.0% PAPER & RELATED PRODUCTS: 0.0% 165 (a) Telefonica S.A. ADR 24,234 ---------- TOTAL SPAIN 24,234 ---------- SWEDEN: 0.4% PAPER & RELATED PRODUCTS: 0.4% 32,400 Svenska Cellulosa Ab-b S 839,551 ---------- TOTAL SWEDEN 839,551 ---------- SWITZERLAND: 1.1% COMMERCIAL BANKS -- EUROPE: 0.3% 250 Julius Baer Holding AG Class B $ 711,738 ---------- MONEY-CENTER BANKS: 0.4% 2,600 United Bank Switzerland AG 775,296 ---------- TELEPHONE -- INTEGRATED: 0.4% 2,300 Swisscom AG 864,689 ---------- TOTAL SWITZERLAND 2,351,723 ---------- TAIWAN: 0.6% ELECTRONIC COMPONENTS -- SEMICONDUCTORS: 0.6% 36,700 (a) Taiwan Semiconductor ADR 1,247,800 ---------- TOTAL TAIWAN 1,247,800 ---------- THAILAND: 0.4% COMMERCIAL BANKS -- PACIFIC RIM: 0.3% 187,200 (a) Thai Farmers Bank Public 578,028 ---------- FINANCIAL: 0.1% 167,200 (a) Siam Commercial Bank 237,757 ---------- TOTAL THAILAND 815,785 ---------- UNITED STATES: 48.7% AREOSPACE/DEFENSE -- EQUIPMENT: 1.7% 51,200 United Technologies 3,670,400 ---------- AIRLINES: 1.3% 94,900 Southwest Airlines 2,953,763 ---------- ATHLETIC FOOTWEAR: 1.1% 39,000 Nike, Inc. Class B 2,469,188 ---------- BROADCAST SERVICE/PROGRAM: 1.7% 103,240 (a) AT&T Corp. Liberty Media 3,794,070 ---------- CABLE TV: 1.6% 88,600 Comcast Corp. Class B 3,405,563 ---------- CASINO HOTELS: 1.9% 86,300 (a) MGM Grand, Inc. 4,228,700 ---------- See Accompanying Notes to Financial Statements 143 International Equity Funds Pilgrim Worldwide Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ CELLULAR TELECOMMUNICATION: 1.5% 56,700 (a) Sprint Corp. -- PCS Group $ 3,238,988 ------------ COMPUTERS -- MICRO.: 1.4% 43,300 (a) Sun Microsystems, Inc. 2,982,288 ------------ COMPUTER SERVICES: 2.4% 35,400 (a) At Home Corp. Series A 1,909,388 50,000 (a) Computer Sciences 3,459,375 ------------ 5,368,763 ------------ COMPUTER SOFTWARE: 2.7% 27,200 (a) Microsoft Corp. 2,453,100 93,600 (a) Oracle Corp. 3,474,900 ------------ 5,928,000 ------------ DIVERSIFIED MANUFACTURING OPERATIONS: 1.9% 45,100 Tyco International, Ltd. 4,273,225 ------------ ELECTRONIC COMPONENTS -- MISCELLANEOUS: 0.2% 9,500 (a) Flextronics International, Ltd. 527,250 ------------ FINANCE -- INVESTMENT BANKER/BROKER: 1.8% 53,600 (a) Goldman Sachs Group 3,872,600 ------------ MEDICAL DRUGS: 1.1% 50,600 (a) Forest Laboratories Class A 2,340,250 ------------ MULTI-LINE INSURANCE: 3.1% 28,592 American International Group 3,347,051 39,100 Cigna Corp. 3,479,900 ------------ 6,826,951 ------------ MULTIMEDIA: 1.7% 51,500 Time Warner, Inc. 3,785,250 ------------ NETWORKING PRODUCTS: 1.9% 65,200 (a) Cisco Systems, Inc. 4,205,400 ------------ NON-HAZARDOUS WASTE DISPOSAL: 1.9% 166,200 (a) Republic Services, Inc. 4,113,450 ------------ OIL COMPANY -- EXPLORATION & PRODUCTION: 0.3% 28,100 (a) Tailsman Energy, Inc. $ 746,406 ------------ OIL FIELD MACHINERY & EQUIPMENT: 1.5% 92,600 (a) Weatherford International, Inc. 3,391,475 ------------ OIL FIELD SERVICES: 1.9% 73,100 Halliburton Co. 3,307,775 13,600 Schlumberger Ltd. 866,150 ------------ 4,173,925 ------------ PAPER & RELATED PRODUCTS: 1.5% 67,300 International Paper Co. 3,398,650 ------------ PIPELINES: 1.3% 70,000 Williams Cos., Inc. 2,979,375 ------------ RADIO: 1.5% 113,000 (a) Infinity Broadcasting Corp. Class A 3,361,750 ------------ RETAIL -- DISCOUNT: 1.5% 67,200 Wal-Mart Stores, Inc. 3,242,400 ------------ TELECOMMUNICATION EQUIPMENT: 1.9% 61,875 Lucent Technologies 4,172,695 ------------ TELECOMMUNICATION SERVICES: 0.4% 10,600 (a) Global Telesystems Group, Inc. 858,600 ------------ TELEPHONE -- INTEGRATED: 1.3% 52,026 AT&T Corp. 2,903,701 ------------ TELEPHONE -- LOCAL: 1.6% 48,900 Alltel Corp. 3,496,350 ------------ TELEPHONE -- LONG DISTANCE: 1.4% 35,600 (a) MCI Worldcom, Inc. 3,070,500 ------------ WIRELESS EQUIPMENT: 1.7% 38,500 Motorola, Inc. 3,647,875 ------------ TOTAL UNITED STATES 107,427,801 ------------ See Accompanying Notes to Financial Statements 144 International Equity Funds Pilgrim Worldwide Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ UNITED KINGDOM: 6.3% AUTO/TRUCK PARTS & EQUIPMENT: 0.3% 34,500 GKN PLC $ 590,630 ------------ BUILDING & CONSTRUCTION -- MISCELLANEOUS: 0.7% 153,200 Barratt Developments PLC 859,756 103,300 Blue Circle 687,601 ------------ 1,547,357 ------------ CABLE TV: 0.2% 108,000 (a) Telewest Communications PLC 481,811 ------------ CELLULAR TELECOMMUNICATION: 0.4% 43,908 Vodafone Group PLC 867,976 ------------ DIVERSIFIED MANUFACTURING OPERATIONS: 0.7% 68,500 General Electric Company 693,253 196,400 Morgan Crucible 837,481 ------------ 1,530,734 ------------ ELECTRONIC COMPONENTS -- SEMICONDUCTORS: 0.3% 20,160 (a) ARM Holdings PLC ADR 703,080 ------------ INVESTMENT COMPANIES -- RESOURCES: 0.3% 12,100 (a) Anglo American PLC 565,472 ------------ MEDICAL -- DRUGS: 0.2% 37,300 Smithkline Beecham PLC 484,216 ------------ MONEY-CENTER BANKS: 1.6% 58,000 Bank Of Tokyo-Mitsubishi $ 825,321 39,800 Barclays PLC 1,160,076 19,000 HSBC Holdings PLC 693,028 56,800 Standard Chartered PLC 931,211 ------------ 3,609,636 ------------ OIL COMPANY -- INTREGRATED: 0.4% 23,800 BP Amoco PLC 426,208 67,900 Shell Transportation 508,964 ------------ 935,172 ------------ RETAIL -- CONSUMER ELECTRONICS: 0.2% 17,800 Dixons Group PLC 333,352 ------------ TELECOMMUNICATION SERVICES: 0.3% 34,700 (a) Colt Telecom Group PLC 728,618 ------------ TELEPHONE -- INTEGRATED: 0.3% 40,200 British Telecom PLC 671,736 ------------ TOBACCO: 0.4% 97,500 British American Tobacco PLC 909,898 ------------ TOTAL UNITED KINGDOM 13,959,688 ------------ VENEZUELA: 0.2% ELECTRIC GENERATION: 0.2% 20,400 La Electricidad de Carac ADR 399,271 ------------ TOTAL VENEZUELA 399,271 ------------ Total Common Stocks (Cost $169,684,025) 202,267,944 ------------ See Accompanying Notes to Financial Statements 145 International Equity Funds Pilgrim Worldwide Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Amount Value - ----------- ------------ WARRANTS: 0.1% SINGAPORE: 0.0% Principal Amount Paper & Related Products: 0.0% 10,040 (a) Asia Pulp And Paper Warrants $ 26,355 ------------ Total Singapore 26,355 ------------ THAILAND: 0.1% Financial: 0.1% 167,200 (a) Siam Commercial Bank Warrants 107,557 ------------ Total Thailand 107,557 ------------ Total Warrants (Cost $0) 133,912 ------------ Total Long-Term Investments (Cost $169,684,025) 202,401,856 ------------ SHORT-TERM INVESTMENTS: 6.7% REPURCHASE AGREEMENT: 6.7% $14,758,000 State Street Bank & Trust Repurchase Agreement, 4.700% due 07/01/1999 (Collateralized by $11,610,000 U.S. Treasury Bonds, 8.875% due 08/15/17 Market Value $15,058,216) $ 14,758,000 ------------ Total Short-Term Investments (Cost $14,758,000) 14,758,000 ------------ Total Investments (Cost $184,442,025)* 98.6% 217,159,856 Other Assets and Liabilities, Net 1.4% 3,142,928 ------ ------------ Net Assets 100.0% $220,302,784 ====== ============ (a) Non-income producing security ADR -- American Depository Receipt GDR -- Global Depository Receipt * Cost for federal income tax purposes is $184,667,391. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 34,476,431 Gross Unrealized Depreciation (1,943,966) ------------ Net Unrealized Appreciation $ 32,532,465 ============ See Accompanying Notes to Financial Statements 146 International Equity Funds Pilgrim International Core Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Value - ------------ ---------- COMMON STOCKS: 94.9% AUSTRALIA: 0.7% OTHER PRODUCTION/MANUFACTURING: 0.7% 26,700 Broken Hill Proprietary Co., Ltd. $ 308,735 ---------- BELGIUM: 0.7% INSURANCE: 0.7% 9,900 Fortis 310,634 ---------- BRAZIL: 2.1% OTHER PRODUCTION/MANUFACTURING: 0.7% 14,400 Aracruz Celulose S.A. ADR 316,800 ---------- STEEL: 0.8% 13,768,000 CIA Siderurgica Nacional 351,209 ---------- TELEPHONE: 0.7% 16,200 Tele Norte Leste Participacoes ADR 300,712 ---------- TOTAL BRAZIL 968,721 ---------- CANADA: 3.9% CABLE TV: 0.5% 13,100 (a) Rogers Communications Class B 210,744 ---------- COMPUTER SERVICES: 0.7% 19,700 (a) ATI Technologies, Inc. 319,601 ---------- OIL WELL EQUIPMENT & SERVICE: 0.8% 14,900 (a) Tailsman Energy, Inc. 395,781 ---------- SEMICONDUCTORS/ELECTRONIC COMPONENTS: 1.9% 17,900 (a) TLC The Laser Center, Inc. 859,200 ---------- TOTAL CANADA 1,785,326 ---------- FINLAND: 4.4% COMMUNICATIONS: 2.2% 11,000 Nokia Corp. ADR 1,007,187 ---------- PAPER RELATED PRODUCTS: 1.0% 41,300 Stora Enso OYJ Class R 442,599 ---------- TELELCOMMUNICATION SERVICES: 1.2% 25,000 Sonera Group OYJ $ 546,139 ---------- TOTAL FINLAND 1,995,925 ---------- FRANCE: 8.7% BUILDING PRODUCTS: 0.7% 3,400 Lafarge S.A. 323,025 ---------- COMPUTER SOFTWARE & SERVICE: 1.5% 4,300 Cap Gemini S.A. 675,274 ---------- ENERGY: 1.3% 4,600 (a) Total Fina S.A. 592,983 ---------- ENTERTAINMENT/BROADCASTING: 1.5% 2,900 Societe Television Francaise 675,357 ---------- HOME PRODUCTS: 1.1% 2,200 Castorama Dubois 521,408 ---------- OIL COMPANY -- INTEGRATED: 0.6% 1,900 Elf Aquitaine S.A. 278,603 ---------- OIL WELL EQUIPMENT & SERVICE: 0.5% 4,900 Coflexip S.A. ADR 213,150 ---------- OTHER PRODUCTION/MANUFACTURING: 0.5% 1,800 Sidel S.A. 218,682 ---------- UTILITIES: 1.0% 5,700 Vivendi 461,369 ---------- TOTAL FRANCE 3,959,851 ---------- GERMANY: 6.3% AUTOMOTIVE: 1.1% 5,700 DaimlerChrysler AG 497,491 ---------- ELECTRIC -- UTILITY: 1.0% 7,900 Veba AG 465,640 ---------- INDUSTRIAL EQUIPMENT: 1.8% 5,600 Mannesmann AG 836,725 ---------- See Accompanying Notes to Financial Statements 147 International Equity Funds Pilgrim International Core Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ---------- MEDICAL: 1.2% 9,600 Fresenius Medical Care AG $ 559,905 ---------- PHOTO-EQUIPMENT/SUPPLIES: 0.8% 17,300 (a) Agfa Gevaert N.V. 348,157 ---------- TELEPHONE: 0.4% 4,600 Deutsche Telekom AG 193,158 ---------- TOTAL GERMANY 2,901,076 ---------- GREECE: 0.6% OTHER PRODUCTION/MANUFACTURING: 0.6% 2,900 Titan Cement Co. S.A. 266,730 ---------- HONG KONG: 2.4% FINANCIAL: 0.8% 10,100 HSBC Holdings PLC 368,399 ---------- PROPERTIES: 1.6% 138,100 New World Development Co. Ltd. 413,835 37,000 Sun Hung Kai Properties Ltd. 337,396 ---------- 751,231 ---------- TOTAL HONG KONG 1,119,630 ---------- HUNGARY: 0.5% TELEPHONE: 0.5% 8,700 Matav RT ADR 239,250 ---------- INDONESIA: 2.2% COMMUNICATIONS: 1.3% 991,440 PT Telekomunikasi Indonesia 578,943 ---------- TOBACCO PRODUCTS: 0.9% 178,000 (a) PT Hanjaya Mandala Sampoerna 410,569 ---------- TOTAL INDONESIA 989,512 ---------- IRELAND: 0.9% INDUSTRIAL ENGINEERING/CONSTRUCTION: 0.9% 22,900 CRH PLC 405,874 ---------- ITALY: 3.3% BANKS: 0.9% 10,000 BIPOP SPA $ 428,152 ---------- BROADCASTING: 0.8% 39,800 Mediaset SPA 353,523 ---------- INSURANCE BROKERAGE: 0.7% 27,900 Alleanza Assicurazioni SPA 320,557 ---------- PUBLISHING: 0.9% 301,305 Seat-Pagine Gialle SPA 411,386 ---------- TOTAL ITALY 1,513,618 ---------- JAPAN: 21.3% AUTOMOBILES: 0.7% 8,000 Honda Motor Co., Ltd. 338,935 ---------- CHEMICALS: 1.0% 13,000 Shin-Etsu Chemical Co., Ltd. 434,818 ---------- COMPUTER SERVICES: 1.5% 33,200 Fujitsu, Ltd. 667,647 ---------- CONSTRUCTION MACHINERY: 0.7% 53,000 Komatsu, Ltd. 338,349 ---------- CONSUMER DURABLES: 0.8% 3,600 Sony Corp. 387,992 ---------- CONSUMER ELECTRICALS: 0.7% 6,000 Hoya Corp. 338,440 ---------- FINANCIAL: 0.7% 3,000 Takefuji Corp. 309,948 ---------- MONEY CENTER BANKS: 0.7% 22,000 Bank Of Tokyo-Mitsubishi, Ltd. 313,053 ---------- OTHER FINANCIAL SERVICES: 1.8% 1,170 Shohkoh Fund & Co., Ltd. 838,717 ---------- See Accompanying Notes to Financial Statements 148 International Equity Funds Pilgrim International Core Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ---------- OTHER PRODUCTION/MANUFACTURING: 2.1% 23,000 Kao Corp. $ 645,827 63,000 Rengo Co., Ltd. 324,664 ---------- 970,491 ---------- OTHER RETAIL TRADE: 2.5% 35,000 Mitsui Fudosan Co., Ltd. 283,272 3,400 Ryohin Keikaku Co., Ltd. 855,019 ---------- 1,138,291 ---------- PHOTO-EQUIPMENT/SUPPLIES: 0.8% 25,000 Olympus Optical Co., Ltd. 369,369 ---------- PUBLISHING: 2.2% 4,900 Softbank Corp. 991,857 ---------- SEMICONDUCTORS/ELECTRONIC COMPONENTS: 2.0% 4,500 Advantest Corp. 494,281 6,000 Tokyo Electron, Ltd. 406,822 ---------- 901,103 ---------- SOFTWARE: 0.6% 4,400 Fuji Soft ABC, Inc. 261,634 ---------- STEEL: 0.7% 138,000 Nippon Steel Corp. 320,254 ---------- TELECOMMUNICATION SERVICES: 1.0% 340 NITT Mobile Communications Network, Inc. 460,503 ---------- WHOLESALE DISTRIBUTION: 0.8% 50,000 Mitsui & Co., Ltd. 348,516 ---------- TOTAL JAPAN 9,729,917 ---------- MEXICO: 1.3% BROADCASTING: 0.7% 7,000 (a) Grupo Televisa S.A. GDR 313,688 ---------- OTHER PRODUCTION/MANUFACTURING: 0.6% 57,009 Cemex S.A. 281,111 ---------- TOTAL MEXICO 594,799 ---------- NETHERLANDS: 7.5% ELECTRONIC COMPONENTS -- SEMICONDUCTORS: 1.7% 11,200 STMicroelectronics N.V. $ 777,000 ---------- MONEY-CENTER BANKS: 0.9% 7,500 ING Groep N.V. 405,740 ---------- OIL & GAS: 1.0% 7,700 Royal Dutch Petroleum Co. 463,925 ---------- TELECOMMUNICATION SERVICES: 3.9% 9,300 (a) ASM Lithography Holdings N.V. 552,187 6,700 (a) Equant N.V. 630,637 11,000 (a) United Pan-Europe Communications N.V. 596,218 ---------- 1,779,042 ---------- TOTAL NETHERLANDS 3,425,707 ---------- NEW ZEALAND: 0.6% PAPER & PAPER PRODUCTS: 0.6% 353,300 Fletcher Challenge Paper 263,548 ---------- SINGAPORE: 2.2% DEFENSE: 0.4% 187,800 Singapore Technology Engineering, Ltd. 212,870 ---------- FINANCIAL: 0.8% 44,000 Overseas-Chinese Banking Corp. 366,947 ---------- OTHER PRODUCTION/MANUFACTURING: 0.5% 22,700 (a) Asia Pulp & Paper ADR 218,488 ---------- PROPERTIES: 0.5% 38,200 City Developments, Ltd. 244,541 ---------- TOTAL SINGAPORE 1,042,846 ---------- See Accompanying Notes to Financial Statements 149 International Equity Funds Pilgrim International Core Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ---------- SOUTH AFRICA: 0.8% INVESTMENT COMPANIES: 0.8% 8,100 (a) Anglo American PLC $ 378,539 ---------- SOUTH KOREA: 1.3% MINES & MINERALS: 0.6% 8,500 Pohang Iron & Steel Co. Ltd. ADR 285,813 ---------- TELECOMMUNICATION SERVICES: 0.7% 7,600 (a) Korea Telecom Corp. ADR 304,000 ---------- TOTAL SOUTH KOREA 589,813 ---------- SPAIN: 1.0% COMMUNICATIONS: 0.1% 204 (a) Telefonica S.A. 30,014 ---------- MONEY-CENTER BANKS: 0.9% 39,800 Banco Santander Central Hispano S.A. 414,220 ---------- TOTAL SPAIN 444,234 ---------- SWEDEN: 1.1% PRODUCTION/MANUFACTURING: 1.1% 18,600 Svenska Cellulosa AB 481,965 ---------- SWITZERLAND: 2.7% MONEY-CENTER BANKS: 1.7% 150 Julius Baer Holding AG Class B 427,043 1,200 UBS AG 357,829 ---------- 784,872 ---------- TELEPHONE: 1.0% 1,200 Swisscom AG 451,142 ---------- TOTAL SWITZERLAND 1,236,014 ---------- TAIWAN: 1.0% ELECTRONIC COMPONENTS -- SEMICONDUCTORS: 1.0% 14,000 (a) Taiwan Semiconductor ADR 476,000 ---------- THAILAND: 0.6% FINANCIAL: 0.6% 90,000 (a) Thai Farmers Bank Public Co., Ltd. $ 277,898 ---------- UNITED KINGDOM: 13.9% AUTOMOTIVE EQUIPMENT: 0.9% 23,900 GKN PLC 409,161 ---------- CABLE TV: 0.7% 74,600 (a) Telewest Communications PLC 332,807 ---------- COMPUTER SYSTEMS/SOFTWARE: 0.7% 10,400 (a) Eidos PLC 341,826 ---------- CONSUMER ELECTRICALS: 0.4% 8,990 Dixons Group PLC 168,362 ---------- DRUGS/PHARMACEUTICALS: 0.6% 21,800 Smithkline Beecham PLC 283,000 ---------- INDUSTRIAL ENGINEERING/CONSTRUCTION: 0.9% 71,200 Barratt Developments PLC 399,573 ---------- INTEGRATED OIL COMPANIES: 0.4% 11,100 BP Amoco PLC 198,778 ---------- MONEY-CENTER BANKS: 1.1% 17,800 Barclays PLC 518,828 ---------- OIL & GAS: 0.8% 48,600 Shell Transport & Trading Co. 364,295 ---------- PRODUCTION/MANUFACTURING: 1.6% 43,000 Blue Circle Industries PLC 286,223 78,400 Morgan Crucible Co. PLC 334,310 26,300 Standard Chartered PLC 431,177 ---------- 1,051,710 ---------- SEMICONDUCTORS/ELECTRONIC COMPONENTS: 1.3% 27,700 (a) ARM Holdings PLC $ 318,327 27,400 General Electric Co. PLC 277,301 ---------- 595,628 ---------- See Accompanying Notes to Financial Statements 150 International Equity Funds Pilgrim International Core Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - --------------- ----------- TELECOMMUNICATION SERVICES: 1.6% 19,214 Vodafone Group PLC 379,824 16,900 (a) Colt Telecom Group PLC 354,860 ----------- 734,684 ----------- TELEPHONE: 0.9% 23,500 British Telecom PLC 392,681 ----------- TOBACCO PRODUCTS: 1.3% 63,800 British American Tobacco 595,400 ----------- TOTAL UNITED KINGDOM 6,386,733 ----------- UNITED STATES: 2.9% OIL WELL EQUIPMENT & SERVICE: 0.9% 6,200 Schlumberger, Ltd. 394,863 ----------- PRODUCTION/MANUFACTURING: 0.8% 6,400 (a) Flextronics Int'l., Ltd. 355,200 ----------- TELECOMMUNICATION SERVICES: 1.2% 7,100 (a) Global Telesystems Group, Inc. 575,100 ----------- TOTAL UNITED STATES 1,325,163 ----------- Total Common Stocks (Cost $38,311,857) 43,418,058 ----------- WARRANTS: 0.0% SINGAPORE: 0.0% PAPER AND RELATED PRODUCTS: 0.0% 6,800 (a) Asia Pulp & Paper Warrants $ 17,850 ----------- Total Warrants (Cost $0) 17,850 ----------- Total Long-Term Investments (Cost $38,311,857) 43,435,908 ----------- TOTAL INVESTMENTS IN SECURITIES (COST $38,311,857)* 94.9% 43,435,908 OTHER ASSETS AND LIABILITIES, NET 5.1% 2,332,624 ------ ----------- NET ASSETS 100.0% $45,768,532 ====== =========== (a) Non-income producing security ADR -- American Depository Receipt GDR -- Global Depository Receipt * Cost for federal income tax purposes is $38,446,332. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 6,160,725 Gross Unrealized Depreciation (1,171,149) ----------- Net Unrealized Appreciation $ 4,989,576 =========== See Accompanying Notes to Financial Statements 151 International Equity Funds Pilgrim International SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Value - ------------ ----------- COMMON STOCKS: 93.1% AUSTRALIA: 2.7% COMPUTER SOFTWARE: 0.7% 369,000 (a) Solution 6 Holdings, Ltd. $ 853,359 ----------- DIVERSIFIED MANUFACTURERS OPERATIONS: 0.4% 131,400 Pacifica Group, Ltd. 538,300 ----------- OIL COMPANY -- EXPLORE & PRODUCTION: 0.8% 136,400 Woodside Petroleum, Ltd. 921,992 ----------- TELECOMMUNICATION SERVICES: 0.8% 308,800 (a) AAPT, Ltd. 958,986 ----------- TOTAL AUSTRALIA 3,272,637 ----------- BELGIUM: 1.0% CELLULAR TELECOMMUNICATIONS: 0.4% 8,600 (a) Mobistar SA 425,370 ----------- TELECOMMUNICATION SERVICES: 0.6% 6,200 Telinfo NV 700,211 ----------- TOTAL BELGIUM 1,125,581 ----------- BRAZIL: 0.3% TELEPHONE -- LOCAL: 0.3% 28,862 (a) Telec Do Rio Janeiro 318,330 ----------- CANADA: 2.7% COMMUNICATIONS SOFTWARE: 1.0% 61,100 (a) Research In Motion 1,228,151 ----------- OIL COMPANY -- EXPLORE & PRODUCTION: 0.8% 181,000 (a) Encal Energy, Ltd. 892,626 ----------- OTHER PRODUCTION/MANUFACTURING: 0.9% 24,600 (a) Celestica, Inc. 1,065,763 ----------- TOTAL CANADA 3,186,540 ----------- DENMARK: 0.6% OTHER COMMERCIAL SERVICES: 0.6% 13,700 (a) ISS Int'l Service System Class B $ 730,844 ----------- FINLAND: 9.3% ELECTRONIC COMPONENTS -- SEMICONDUCTOR: 0.5% 45,000 (a) Perlos OYJ 658,458 ----------- FRANCE: 9.3% ADVERTISING SALES: 0.9% 4,984 Havas Advertising 1,072,861 ----------- APPAREL MANUFACTURERS: 0.9% 10,700 Hermes Int'l 1,068,953 ----------- BUILDING & CONSTRUCTION -- MISCELLANEOUS: 1.0% 4,400 Bouygues 1,162,059 ----------- ENGINEERING/RESEARCH & DEVELOPMENT SERVICES: 1.1% 5,200 Altran Technologies SA 1,371,735 ----------- 21,300 (a) Infogrames Entertainment 1,371,787 ----------- MACHINERY: 1.2% 38,500 (a) Neopost SA 892,627 4,600 Sidel 558,854 ----------- 1,451,481 ----------- METAL PROCESSORS & FABRICA: 1.0% 27,000 Pechiney SA-A SHS 1,159,627 ----------- OIL-FIELD SERVICES: 0.6% 17,700 Coflexip ADR 769,950 ----------- RETAIL -- BUILDING PRODUCTS: 0.7% 3,300 Castorama Dubois Investisse 782,111 ----------- RETAIL -- MAJOR DEPARTMENT STORE: 0.7% 6,000 Galeries Lafayette 793,240 ----------- TOTAL FRANCE 11,003,804 ----------- See Accompanying Notes to Financial Statements 152 International Equity Funds Pilgrim International SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ----------- GERMANY: 13.4% APPLICATIONS SOFTWARE: 0.6% 4,300 (a) Ixos Software AG $ 735,535 ----------- AUDIO/VIDEO PRODUCTS: 0.6% 10,000 (a) Edel Music AG 752,229 ----------- BROADCAST SERVICE/PROGRAM: 4.5% 2,000 EM.TV & Merchandising AG 2,905,869 32,800 (a) Kinowelt Medien AG 2,450,410 ----------- 5,356,279 ----------- BUILDING PRODUCT -- CEMENT: 0.4% 6,100 Heideleberger Zement AG 493,431 ----------- CABLE TV: 1.3% 34,000 (a) Primacom AG 1,559,071 ----------- ELECTRONIC COMPONENTS -- SEMICONDUCTOR: 1.2% 17,400 Aixtron 1,434,386 ----------- FINANCE: 1.1% 16,300 (a) Consors Discount-Broker AG 1,242,929 ----------- FOOD BAKING: 1.9% 54,080 Kamps AG 2,173,343 ----------- RETAIL -- VISION SERVICE CENTER: 1.3% 40,500 Fielmann AG 1,477,356 ----------- TELECOMMUNICATION SERVICES: 0.5% 17,600 (a) Telegate AG 602,113 ----------- TOTAL GERMANY 15,826,672 ----------- GREECE: 0.4% BUILDING PRODUCT -- CEMENT: 0.4% 5,100 Titan Cement Co. 469,077 ----------- COMPUTER SERVICES: 0.0% 2,100 Intrasoft S.A. 56,513 ----------- TOTAL GREECE 525,590 ----------- HONG KONG: 4.2% BANKS: 0.8% 237,000 Dah Sing Financial $ 902,645 ----------- COMPUTERS -- MICRO: 1.1% 1,350,000 Legend Holdings, Ltd. 1,296,287 ----------- ELECTRONIC COMPONENTS: 1.1% 315,000 Johnson Electric Holdings 1,299,187 ----------- PAINT & RELATED PRODUCTS: 0.7% 966,000 China Merchants Holdings Int'l 846,637 ----------- RETAIL -- JEWELRY: 0.5% 883,700 Dickson Concepts Int'l 626,439 ----------- TOTAL HONG KONG 4,971,195 ----------- INDIA: 0.9% COMPUTER SOFTWARE: 0.9% 13,200 Infosys Technologies ADR 1,103,454 ----------- INDONESIA: 1.0% BANKS: 0.5% 8,878,500 (a) PT Lippo Bank TBK 259,226 5,327,000 (a) PT Bank Universal 291,624 ----------- 550,850 ----------- BUILDING -- RESIDENTIAL/COMMERCIAL: 0.5% 3,661,500 (a) PT Jaya Real Property 574,615 ----------- TOTAL INDONESIA 1,125,465 ----------- ITALY: 1.1% MOTORCYCLE/MOTOR SCOOTER: 0.4% 166,100 (a) Ducati Motor Holding SPA 434,741 ----------- PUBLISHING: 0.7% 100,600 Class Editori SPA 803,390 ----------- TOTAL ITALY 1,238,131 ----------- See Accompanying Notes to Financial Statements 153 International Equity Funds Pilgrim International SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ----------- JAPAN: 26.5% APPAREL MANUFACTURERS: 1.4% 22,000 World Co., Ltd. $ 1,598,877 ----------- AUDIO/VIDEO PRODUCTS: 1.0% 20,300 Sony Chemicals Corp. 1,151,761 ----------- AUTO -- CARS/LIGHT TRUCKS: 0.9% 144,000 Fuji Heavy Industries, Ltd. 1,110,757 ----------- COMMERCIAL SERVICES: 3.3% 2,900 Bellsystem 24, Inc. 1,184,333 10,200 Benesse Corp. 1,107,734 8,300 Nichii Gakkan Co. 904,819 21,000 Toyo Information Systems 690,259 ----------- 3,887,145 ----------- COMPUTERS -- MICRO: 0.9% 46,200 Japan Business Computer Co. 1,102,680 ----------- COMPUTER SOFTWARE: 3.1% 20,600 Nippon System Development 1,224,925 15,000 Trans Cosmos 1,090,143 8,200 Trend Micro, Inc. 1,381,509 ----------- 3,696,577 ----------- COSMETICS & TOILETRIES: 1.2% 8,000 Fancl Corporation 1,453,524 ----------- ELECTRONIC COMPONENTS -- SEMICONDUCTOR: 0.7% 12,300 Tokyo Seimitsu Co., Ltd. 783,194 ----------- ELECTRONIC CONNECTORS: 0.6% 7,100 Hirose Electric Co., Ltd. 736,474 ----------- ELECTRONIC PARTS DISTRIBUTION: 0.6% 15,000 Kuroda Electric Co., Ltd. 755,668 ----------- FINANCE: 1.8% 17,240 Aiful Corp. 2,110,062 ----------- MACHINERY: 1.8% 106,000 Hitachi Construction Machine $ 766,866 8,600 Nidec Corp. 1,293,356 ----------- 2,060,222 ----------- MEDICAL: 0.8% 64,000 Kuraya Corp. 946,112 ----------- RETAIL -- APPAREL/SHOE: 1.0% 11,000 Fast Retailing Co., Ltd. 1,180,989 ----------- RETAIL -- CONSUMER ELECTRONIC 1.9% 67,700 Kojima Co., Ltd. 2,253,219 ----------- 6,500 Otsuka Kagu, Ltd. 1,175,620 ----------- RETAIL -- MISCELLANEOUS/DIVERSIFIED: 2.7% 47,600 Homac Corp. 1,198,992 8,100 Ryohin Keikaku Co., Ltd. 2,036,958 ----------- 3,235,950 ----------- TELECOMMUNICATION EQUIPMENT: 1.7% 6,600 Hikari Tsushin, Inc. 2,038,568 ----------- TOTAL JAPAN 31,277,399 ----------- MEXICO: 1.7% FINANCE: 0.7% 551,000 (a) Grupo Financiero 807,197 ----------- MUSIC/CLUBS: 1.0% 168,784 (a) Corp. Interamericana de Entretenmiento S.A. Class L 492,735 202,138 (a) Corp. Interamericana de Entretenmiento S.A. Class B 658,772 ----------- 1,151,507 ----------- TOTAL MEXICO 1,958,704 ----------- NETHERLANDS: 2.7% HUMAN RESOURCES: 0.7% 32,700 Unique International NV 796,904 ----------- MUSIC/CLUBS: 0.4% 17,300 Endemol Entertainment Holdings 508,955 ----------- See Accompanying Notes to Financial Statements 154 International Equity Funds Pilgrim International SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ---------- STEEL -- PRODUCERS: 0.5% 50,300 Ispat Int'l NV $ 556,444 ---------- TELECOMMUNICATION SERVICES: 1.1% 23,900 (a) United Pan-Europe Communications 1,295,420 ---------- TOTAL NETHERLANDS 3,157,723 ---------- NEW ZEALAND: 0.7% CASINO HOTELS: 0.4% 218,900 Sky City, Ltd. 466,710 ---------- DIVERSIFIED OPERATIONS: 0.3% 1,129,200 (a) Brierley Investments, Ltd. 316,624 ---------- TOTAL ZEALAND 783,334 ---------- NORWAY: 1.6% RECYCLING: 0.7% 23,100 Tomra Systems ASA 868,846 ---------- RETAIL -- CONSUMER ELECTRONIC: 0.9% 81,900 Elkjop ASA 1,092,728 ---------- TOTAL NORWAY 1,961,574 ---------- PORTUGAL: 0.2% RETAIL -- RESTAURANTS: 0.2% 4,130 Ibersol SGPS SA 276,624 ---------- SINGAPORE: 3.6% ELECTRONIC COMPONENTS -- MISCELLANEOUS: 1.5% 310,000 JIT Holdings, Ltd. 564,398 155,000 Venture Manufacturing, Ltd. 1,192,518 ---------- 1,756,916 ---------- PAPER & RELATED PRODUCTS: 0.5% 58,300 (a) Asia Pulp 7 Paper ADR 561,137 ---------- TELECOMMUNICATION EQUIPMENT: 1.6% 424,900 Datacraft Asia, Ltd. 1,852,564 ---------- TOTAL SINGAPORE 4,170,617 ---------- SPAIN: 1.9% ADVERTISING SALES: 0.5% 30,000 (a) Telefonica Publicidad E Informacion S.A. $ 598,176 ---------- BEVERAGES -- WINES/SPIRITS: 0.7% 25,600 (a) Baron De Ley S.A. 881,076 ---------- INVESTMENT COMPANIES: 0.7% 60,500 (a) NH Hoteles S.A. 774,290 ---------- TOTAL SPAIN 2,253,542 ---------- SWEDEN: 1.5% MEDICAL: 0.4% 72,100 (a) Orticus AB Class B 399,128 TELEVISION: 1.1% 61,900 (a) Modern Times Group Class B 1,345,137 ---------- TOTAL SWEDEN 1,744,265 ---------- SWITZERLAND: 2.1% BANKS: 0.6% 260 Julius Baer Holding AG Class B 740,208 ---------- ELECTRONIC PARTS DISTRIBUTION: 0.7% 220 (a) Kudelski SA-Bearer 784,679 ---------- MEDICAL: 0.8% 3,120 (a) Synthes-Stratec 990,508 ---------- TOTAL SWITZERLAND 2,515,395 ---------- THAILAND: 0.5% BANKS: 0.5% 196,400 (a) Thai Farmers Bank Public Co., Ltd. 606,436 ---------- UNITED STATES: 2.9% COMPUTER SOFTWARE: 0.8% 24,800 (a) Business Objects SA ADR 905,200 ---------- MEDICAL: 0.7% 17,000 (a) The Laser Center 816,000 ---------- See Accompanying Notes to Financial Statements 155 International Equity Funds Pilgrim International SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ OIL-FIELD SERVICES: 0.7% 54,700 (a) Petroleum Geo-Services ADR $ 813,663 ------------ TELECOMMUNICATION SERVICES: 0.7% 11,100 (a) Global Telesystems Group, Inc. 899,100 ------------ TOTAL UNITED STATES 3,433,963 ------------ UNITED KINGDOM: 8.5% BUILDING -- RESIDENTIAL/COMMERCIAL: 1.1% 414,300 Beaser Group PLC 1,299,674 ------------ BUILDING PRODUCTS -- WOOD: 0.7% 74,100 Travis Perkins PLC 803,077 ------------ DIVERSIFIED OPERATIONS: 1.5% 207,600 Morgan Crucible Co. PLC 885,240 110,500 BBA Group PLC 846,574 ------------ 1,731,814 ------------ ELECTRONIC COMPONENTS -- SEMICONDUCTOR: 0.7% 22,500 (a) Arm Holdings PLC 258,569 18,000 (a) Arm Holdings PLC ADR 627,750 ------------ 886,319 ------------ ENTERTAINMENT SOFTWARE: 0.8% 29,000 (a) Eidos PLC 953,170 ------------ MEDICAL: 0.9% 78,074 (a) Powderject Pharmaceuticals PLC 1,027,683 ------------ OIL COMPANY -- EXPLORE & PRODUCTION: 0.4% 74,100 Enterprise Oil PLC 480,094 ------------ PUBLISHING: 0.8% 134,200 (a) Future Network PLC 893,811 ------------ RADIO: 0.8% 69,100 Capital Radio PLC 914,460 ------------ RETAIL APPAREL/SHOE: 0.1% 42,100 New Look Group PLC $ 136,051 ------------ RETAIL -- CONSUMER ELECTRONIC: 0.2% 15,600 Dixons Group PLC 292,151 ------------ TRANSPORTATION -- SERVICES: 0.5% 42,100 Go Ahead Group PLC 544,205 ------------ TOTAL UNITED KINGDOM 9,962,509 ------------ VENEZUELA: 0.6% ELECTRIC-GENERATION: 0.4% 24,000 La Electricidad De Carac ADR 469,730 ------------ STEEL -- PRODUCERS: 0.2% 4,866,113 Siderurgica Venez Sivensa Class A 208,691 ------------ TOTAL VENEZUELA 678,421 ------------ Total Common Stock (Cost $82,455,498) 109,867,207 ------------ CORPORATE BONDS: 1.7% TAIWAN: 0.8% ELECTRONIC COMPONENTS -- SEMICONDUCTOR: 0.8% 900,000 (a) ASE Test, Ltd. 903,960 ------------ UNITED STATES: 0.9% ELECTRONIC COMPONENTS: 0.9% 1,100,000 (a) Natsteel Electronics, Ltd. 1,135,750 ------------ Total Corporate Bonds (Cost $2,000,000) 2,039,710 ------------ See Accompanying Notes to Financial Statements 156 International Equity Funds Pilgrim International SmallCap Growth Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ WARRANTS AND RIGHTS: 0.0% FRANCE: 0.0% Building & Construction -- Miscellaneous: 0.0% 400 Bouygues Rights $ 12,489 INDONESIA: 0.0% Banks: 0.0% 19,177,200 (a) PT Lippo Bank Rights 0 ------------ SINGAPORE: 0.0% Paper & Related Products: 0.0% 11,660 (a) Aisa Pulp And Paper Warrants 30,608 ------------ Total Warrants (Cost $0) 43,097 ------------ Total Long-Term Investments (Cost $84,455,498) 111,950,014 ------------ Principal Amount Value - ------------ ------------ SHORT-TERM INVESTMENTS: 4.6% REPURCHASE AGREEMENT: 4.6% $5,360,000 State Street Bank & Trust Repurchase Agreement, 4.70% due 07/01/99 (Collateralized by $5,005,000 U.S. Treasury Bonds, 6.875% Market Value $5,467,963, Due 08/15/25) $ 5,360,000 ------------ Total Short-Term Investments (Cost $5,360,000) 5,360,000 ------------ TOTAL INVESTMENTS IN SECURITIES (COST $89,815,498)* 99.4% 117,310,014 OTHER ASSETS AND LIABILITIES, NET 0.6% 746,343 ----- ------------ NET ASSETS 100.0% $118,056,357 ===== ============ (a) Non-income producing security ADR -- American Depository Receipt * Cost for federal income tax purposes is $89,889,999. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 30,989,391 Gross Unrealized Depreciation (3,569,376) ------------ Net Unrealized Appreciation $ 27,420,015 ============ See Accompanying Notes to Financial Statements 157 International Equity Funds Pilgrim Emerging Countries Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Value - ------------ ----------- COMMON STOCK: 96.0% ARGENTINA: 0.9% CONSTRUCTION: 0.1% 54,140 Corcemar SA $ 256,117 ----------- INTEGRATED OIL COMPANIES: 0.8% 262,400 Perez Companc SA-B 1,509,004 ----------- TOTAL ARGENTINA 1,765,121 ----------- BRAZIL: 8.5% BANKS: 1.5% 31,897,000 Banco Estado de Sao Paolo 1,362,117 62,940 Unibanco Sponsored GDR 1,514,494 ----------- 2,876,611 ----------- ELECTRICAL EQUIPMENT: 0.9% 80,353,900 Centrais Eletricas Bras 1,622,531 ----------- INTEGRATED OIL COMPANIES: 1.0% 11,837,400 Petroleo Brasileiro S.A. 1,841,225 ----------- PAPER & RELATED PRODUCTS: 1.0% 80,400 Aracruz Celulose SA ADR 1,768,800 ----------- STEEL: 0.5% 32,122,000 Cia Siderurgica Nacional 840,296 ----------- TELECOMMUNICATION SERVICES: 2.6% 21,800 Tele Centro Sul Participacoes ADR 1,209,900 104,600 Tele Norte Leste Participacoes 1,941,638 73,300 (a) Telesp Participacoes S.A. ADR 1,676,737 48 (a) Tele Centro Oeste Celular Participacoes S.A. ADR 189 ----------- 4,828,464 ----------- UTILITIES: 1.0% 40,098,842 (a) Eletropaulo Metropolitan 1,791,747 ----------- TOTAL BRAZIL 15,569,674 ----------- COLOMBIA: 0.1% BANKS: 0.1% 269,200 Bancolombia S.A. $ 202,735 ----------- CZECH REPUBLIC: 2.3% BANKS: 1.2% 350,900 (a) Komercni Banka AS GDR 2,206,319 ----------- TELECOMMUNICATIONS: 0.4% 48,900 (a) Spt Telecom GDR 792,180 ----------- TELECOMMUNICATION SERVICES: 0.7% 36,480 (a) Ceske Radiokomunikace GDR 1,258,560 ----------- TOTAL CZECH REPUBLIC 4,257,059 ----------- EGYPT: 1.2% BREWERY: 0.5% 33,500 (a) Al-Ahram Beverages GDR 933,501 ----------- RECREATION: 0.1% 42,843 (a) OPTD/Egypt 249,935 ----------- TELECOMMUNICATIONS: 0.6% 50,300 (a) Mobinil-Egyptian Mobile 1,079,868 ----------- TOTAL EGYPT 2,263,304 ----------- GREECE: 3.9% BANKS: 1.9% 21,800 Alpha Credit Bank 1,403,552 13,800 Commercial Bank Of Greece 985,871 17,960 National Bank Of Greece S.A. 1,173,409 ----------- 3,562,832 ----------- CONSTRUCTION: 1.3% 26,200 Titan Cement Co. 2,409,768 ----------- FOOD: 0.1% 6,455 Chipita 168,284 ----------- HOSPITALS: 0.1% 5,780 Athens Medical Care S.A. 143,904 ----------- See Accompanying Notes to Financial Statements 158 International Equity Funds Pilgrim Emerging Countries Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ----------- TELECOMMUNICATIONS EQUIPMENT: 0.5% 13,220 Intracom S.A. $ 851,145 ----------- TOTAL GREECE 7,135,933 ----------- HONG KONG: 1.1% TELECOMMUNICATIONS: 1.1% 743,400 (a) China Telecom Ltd. 2,064,814 ----------- HUNGARY: 2.4% DRUGS/PHARMACEUTICALS: 1.1% 45,900 Gedeon Richter Common 1,992,313 ----------- INTEGRATED OIL COMPANIES: 0.6% 47,400 Mol Magyar Olaj-Es Gazipari 1,141,815 ----------- TELECOMMUNICATIONS: 0.7% 42,550 Matav Rt ADR 1,170,125 ----------- TOTAL HUNGARY 4,304,253 ----------- INDIA: 6.5% AUTOMOBILES: 0.2% 12,000 Punjab Tractors, Ltd. 366,528 ----------- BANKS: 0.0% 100 Oriental Bank Of Commerce 82 ----------- DIVERSIFIED OPERATIONS: 2.1% 71,400 (a) Hindustan Lever, Ltd. 3,917,289 ----------- SOFTWARE: 4.2% 47,900 Infosys Technologies, Ltd. 4,004,199 76,750 NIIT, Ltd. 3,596,851 ----------- 7,601,050 ----------- TOTAL INDIA 11,884,949 ----------- INDONESIA: 2.5% OIL & GAS: 0.6% 92,700 (a) Gulf Indonesia Resources, Ltd. 1,066,050 ----------- PAPER & RELATED PRODUCTS: 0.6% 2,224,500 (a) PT Indah Kiat Pulp & Paper 1,039,182 ----------- TELECOMMUNICATIONS: 0.6% 1,779,300 PT Telekomunikasi $ 1,039,007 ----------- TOBACCO PRODUCTS: 0.7% 512,000 PT Gudang Garam 1,397,723 ----------- Total Indonesia 4,541,962 ----------- ISRAEL: 1.5% BANKS: 0.7% 475,900 Bank Hapoalim, Ltd. 1,220,719 ----------- TELECOMMUNICATION SERVICES: 0.8% 379,100 (a) Bezeq Israel: Telecommunication Corp. 1,526,365 ----------- TOTAL ISRAEL 2,747,084 ----------- MEXICO: 13.5% BEVERAGES: 0.5% 45,900 (a) Coca-Cola Femsa S.A. ADR 889,312 ----------- BROADCASTING: 2.4% 5,000 (a) Grupo Televisa S.A. 111,996 94,100 (a) Grupo Televisa S.A. GDR 4,216,856 ----------- 4,328,852 ----------- CONSTRUCTION: 1.7% 626,522 Cemex S.A. 3,089,379 ----------- DIVERSIFIED OPERATIONS: 1.5% 585,100 (a) Grupo Carso S.A. 2,714,317 ----------- ENTERTAINMENT: 2.7% 476,000 (a) Corp. Interamericana de Entretenmiento S.A. Class L 1,389,597 1,098,430 (a) Corp. Interamericana de Entretenmiento S.A. Class B 3,579,809 ----------- 4,969,406 ----------- PAPER & RELATED PRODUCTS: 1.0% 432,000 Kimberly-Clark de Mexico S.A. Class A 1,779,363 ----------- See Accompanying Notes to Financial Statements 159 International Equity Funds Pilgrim Emerging Countries Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------- ----------- TELECOMMUNICATION SERVICES: 3.7% 375,900 (a) Grupo Carso Global Telecom S.A. $ 2,382,296 55,500 Telefonos De Mexico 4,485,094 ----------- 6,867,390 ----------- TOTAL MEXICO 24,638,019 ----------- PAKISTAN: 0.0% OIL & GAS: 0.0% 1,098 Pakistan State Oil Co., Ltd. 1,970 ----------- PERU: 0.3% CONSTRUCTION: 0.0% 3,302 Cementos Lima S.A. 51,035 1 Cementos Lima ADR 8 ----------- 51,043 ----------- MACHINERY: 0.3% 715,985 Ferreyros S.A. 470,591 ----------- TOTAL PERU 521,634 ----------- PHILIPPINES: 1.4% BANKS: 0.7% 145,180 Bank of Philippine Islands 518,909 77,400 Metropolitan Bank & Trust 772,983 ----------- 1,291,892 ----------- CONSTRUCTION: 0.5% 3,586,000 (a) Benpres Holdings Corp. 848,200 ----------- REAL ESTATE DEVELOPMENT: 0.2% 1,818,600 SM Prime Holdings, Inc. 411,037 ----------- TOTAL PHILIPPINES 2,551,129 ----------- POLAND: 1.8% ELECTRIC PRODUCTS: 0.8% 110,300 Elektrim S.A. 1,559,060 ----------- SOFTWARE: 0.5% 23,800 Softbank S.A. GDR 825,008 ----------- TELECOMMUNICATIONS: 0.5% 132,700 Telekomunikacja Polska GDR $ 930,134 ----------- TOTAL POLAND 3,314,202 ----------- PORTUGAL: 0.0% RESTAURANTS: 0.0% 782 Ibersol SGPS S.A. 52,378 ----------- RUSSIA: 2.4% INTEGRATED OIL COMPANIES: 1.8% 81,300 Lukoil Holding ADR 3,219,480 ----------- OIL & GAS: 0.6% 137,000 Surgutneftegaz ADR 1,087,095 ----------- TOTAL RUSSIA 4,306,575 ----------- SINGAPORE: 5.2% ELECTRIC PRODUCTS: 1.1% 253,700 Venture Manufacturing, Ltd. 1,951,882 ----------- PAPER & RELATED PRODUCTS: 0.5% 89,800 (a) Asia Pulp & Paper ADR 864,325 ----------- REAL ESTATE DEVELOPMENT: 1.4% 845,000 (a) Allgreen Properties 913,138 1,324,000 Wing Tai Holdings 1,749,574 ----------- 2,662,712 ----------- TELECOMMUNICATIONS EQUIPMENT: 2.2% 929,100 Datacraft Asia, Ltd. 4,050,876 ----------- TOTAL SINGAPORE 9,529,795 ----------- SOUTH AFRICA: 5.1% BREWERY: 0.4% 94,847 South African Breweries PLC 823,629 ----------- COMPUTERS: 0.7% 278,417 (a) Dimension Data Holdings, Ltd. 1,231,923 ----------- DIVERSIFIED MINERALS: 1.4% 748,400 (a) Billiton PLC 2,610,258 ----------- See Accompanying Notes to Financial Statements 160 International Equity Funds Pilgrim Emerging Countries Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ----------- INVESTMENT COMPANIES: 1.7% 34,700 (c) Anglo American PLC $ 1,621,643 32,700 Investec Group, Ltd. 1,371,024 ----------- 2,992,667 ----------- JEWELRY: 0.9% 72,000 De Beers Centenary Link 1,725,351 ----------- Total South Africa 9,383,828 ----------- SOUTH KOREA: 15.4% BANKS: 2.8% 50,700 Hana Bank 744,622 34,280 (a) Housing & Commercial Bank Korea 1,080,968 131,890 Shinhan Bank 1,481,270 83,200 (a) Shinhan Bank GDR 1,851,200 ----------- 5,158,060 ----------- CHEMICALS: 0.7% 49,380 LG Chemical 1,343,819 ----------- ELECTRICAL EQUIPMENT: 0.9% 58,800 LG Electronics 1,625,572 ----------- ELECTRIC PRODUCTS: 5.0% 159,230 (a) Samsung Corp. 3,741,733 48,721 Samsung Electronics Co. 5,345,630 ----------- 9,087,363 ----------- STEEL: 1.6% 86,800 Pohang Iron & Steel Co. ADR 2,918,650 ----------- TELECOMMUNICATION SERVICES: 2.0% 53,300 (a) Korea Telecom Corp. ADR 2,132,000 21,590 Korea Telecom Corp. 1,432,494 ----------- 3,564,494 ----------- UTILITIES: 2.4% 73,300 Korea Electric Power Corp. 3,045,987 68,000 Korea Electric Power Corp. ADR 1,394,000 ----------- 4,439,987 ----------- TOTAL SOUTH KOREA 28,137,945 ----------- SRI LANKA: 0.3% DIVERSIFIED OPERATIONS: 0.3% 237,600 John Keels Holdings, Ltd. $ 518,038 ----------- TAIWAN: 7.3% COMPUTERS: 1.9% 890,000 Compal Electronics 3,499,381 ----------- ELECTRIC PRODUCTS: 1.6% 267,000 (a) Asustek Computer, Inc. 3,008,916 ----------- INSURANCE: 0.7% 371,000 Cathay Life Insurance 1,332,384 ----------- SEMICONDUCTORS/ELECTRONIC COMPONENTS: 3.1% 259,000 (a) Hon Hai Precision Industry 2,341,424 94,900 (a) Taiwan Semiconductor ADR 3,226,600 ----------- 5,568,024 ----------- TOTAL TAIWAN 13,408,705 ----------- THAILAND: 6.0% BANKS: 6.0% 1,495,000 (a) Bangkok Bank 5,588,028 603,900 (a) Siam Commercial Bank 858,742 1,494,700 (a) Thai Farmers Bank Public 4,615,271 ----------- 11,062,041 ----------- TURKEY: 2.2% BANKS: 1.2% 63,448,000 Akbank TAS 931,792 91,891,800 Yapi Ve Kredi Bankasi 1,327,948 ----------- 2,259,740 ----------- FOOD: 0.5% 779,300 Migros Turk TAS 969,256 ----------- INSURANCE: 0.5% 31,137,200 Aksigorta 866,746 ----------- TOTAL TURKEY 4,095,742 ----------- See Accompanying Notes to Financial Statements 161 International Equity Funds Pilgrim Emerging Countries Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ U.S.A.: 2.0% BROADCASTING: 1.1% 77,100 (a) MIH, Ltd. $ 2,043,150 ------------ METAL: 0.9% 88,600 Freeport-McMoran Copper Class B 1,589,263 ------------ TOTAL U.S.A. 3,632,413 ------------ UNITED KINGDOM: 0.8% BANKS: 0.8% 37,200 (a) HSBC Holdings PLC 1,356,877 ------------ TOTAL UNITED KINGDOM 1,356,877 ------------ VENEZUELA: 1.4% UTILITIES: 1.4% 128,150 La Electricidad De Carac ADR 2,508,165 ------------ Total Common Stock (Cost $133,162,446) 175,756,344 ------------ PREFERRED STOCK: 0.1% COLOMBIA: 0.1% BANKS: 0.1% 114,000 Bancolombia S.A. 149,593 ------------ (Cost $179,765) Number of Warrants Value - ----------- ------------ WARRANTS: 0.2% SINGAPORE: 0.0% PAPER & RELATED PRODUCTS: 0.0% 17,960 (a) Asia Pulp & Paper Warrants $ 47,145 ------------ THAILAND: 0.2% BANKS: 0.2% 603,900 (a) Siam Commercial Bank Warrants 388,478 ------------ Total Warrants (Cost $0) 435,623 ------------ Total Long-Term Investments (Cost $133,342,211) 176,341,560 ------------ Principal Amount Value - ------------ ------------ SHORT-TERM INVESTMENTS: 4.0% REPURCHASE AGREEMENT: 4.0% $7,384,000 State Street Bank & Trust Repurchase Agreement, 4.70% due 07/01/99 (Collateralized by $6,895,000 U.S. Treasury Bonds, 6.875% Market Value $7,532,787, Due 08/15/25) $ 7,384,000 ------------ Total Short-Term Investments (Cost $7,384,000) 7,384,000 ------------ TOTAL INVESTMENTS IN SECURITIES (COST $140,726,211)* 100.3% 183,725,560 OTHER ASSETS AND LIABILITIES, NET (0.3%) (541,361) ------ ------------ NET ASSETS 100.0% $183,184,199 ====== ============ (a) Non-income producing security ADR -- American Depository Receipt GDR -- Global Depository Receipt * Cost for federal income tax purposes is $141,337,902 Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 45,142,788 Gross Unrealized Depreciation (2,755,130) ------------ Net Unrealized Appreciation $ 42,387,658 ============ See Accompanying Notes to Financial Statements 162 International Equity Funds Pilgrim Asia-Pacific Equity Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Value - ------------ ---------- COMMON STOCKS: 90.9% CHINA: 3.5% CHEMICALS: 1.2% 1,700,000 Shanghai Petrochemical $ 400,969 ---------- MINES & MINERALS: 0.5% 450,000 Yanzhou Coal Mining Co. 160,948 ---------- SHIPPING: 1.2% 1,650,000 (a) China Shipping Development 380,670 ---------- STEEL: 0.6% 1,250,000 Angang New Steel 186,887 ---------- TOTAL CHINA 1,129,474 ---------- HONG KONG: 29.4% BANKS: 1.2% 150,000 (a) Bank Of East Asia 379,896 ---------- COMMUNICATION: 2.1% 250,000 (a) China Telecom 694,382 ---------- DIVERSIFIED HOLDING COMPANY: 3.5% 148,000 (a) First Pacific Co. 125,897 120,000 Dah Sing Financial 457,035 1,100,000 (a) Guangdong Investments 231,096 650,000 JCG Holdings, Ltd. 309,975 ---------- 1,124,003 ---------- FINANCIAL: 0.2% 70,000 (a) Pacific Century Insurance Holdings 56,659 ---------- INFRASTRUCTURE: 0.8% 140,000 (a) New World Infrastructure 263,446 ---------- MULTI-INDUSTRY: 5.5% 150,000 Citic Pacific, Ltd. 478,495 145,000 Hutchison Whampoa, Ltd. 1,312,881 ---------- 1,791,376 ---------- PROPERTIES: 7.0% 170,000 Cheung Kong Holdings, Ltd. $1,511,851 86,000 Sun Hung Kai Properties, Ltd. 784,217 ---------- 2,296,068 ---------- TELECOMMUNICATIONS: 4.0% 500,000 Hong Kong Telecommunications, Ltd. 1,298,542 ---------- TRANSPORTATION: 3.7% 200,000 (a) Cathay Pacific Airlines 306,752 450,000 (a) China Merchants Holdings 394,396 600,000 (a) Cosco Pacific 498,795 ---------- 1,199,943 ---------- UTILITIES: 1.4% 95,000 CLP Holdings, Ltd. 461,611 ---------- TOTAL HONG KONG 9,565,926 ---------- INDONESIA: 2.9% COMMUNICATIONS: 1.4% 60,000 PT Indosat 115,620 602,120 PT Telekomunikasi 351,603 ---------- 467,223 ---------- MERCHANDISING: 0.7% 1,700,000 (a) PT Matahari Putra Prima 223,358 ---------- TOBACCO PRODUCTS: 0.8% 90,000 PT Gudang Garam 245,693 ---------- TOTAL INDONESIA 936,274 ---------- See Accompanying Notes to Financial Statements 163 International Equity Funds Pilgrim Asia-Pacific Equity Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ---------- PHILIPPINES: 3.3% BANKS: 0.7% 60,000 Bank of Philippine Island $ 214,455 ---------- BEVERAGES & TOBACCO: 0.5% 82,500 San Miguel Corp. Class B 179,960 ---------- COMMUNICATIONS: 0.8% 9,000 Philippine Long Distance Telephone Co. ADR 271,125 ---------- REAL ESTATE: 0.9% 1,250,000 SM Prime Holdings, Inc. 282,523 ---------- UTILITIES: 0.4% 34,000 Manila Electric Co. Class B 122,418 ---------- TOTAL PHILIPPINES 1,070,481 ---------- SINGAPORE: 14.6% AEROSPACE: 0.9% 250,000 Singapore Technologies Engineering, Ltd. 283,373 ---------- BANKS: 5.3% 60,000 Development Bank Singapore 732,954 90,000 Overseas-Chinese Bank 750,573 35,000 United Overseas Bank 244,612 ---------- 1,728,139 ---------- ELECTRONICS COMPONENTS/INSTRUMENTS: 1.2% 40,000 Natsteel Electronics, Ltd. 175,016 28,000 Venture Manufacturing 215,423 ---------- 390,439 ---------- PROPERTIES: 1.8% 90,000 City Developments, Ltd. 576,144 ---------- PUBLISHING: 1.5% 30,000 Singapore Press Holdings, Ltd. 510,953 ---------- TELECOMMUNICATIONS: 1.6% 300,000 Singapore Telecommunication 514,477 ---------- TRANSPORTATION: 2.3% 80,000 Singapore Airlines, Ltd. $ 761,144 ---------- TOTAL SINGAPORE 4,764,669 ---------- SOUTH KOREA: 18.7% APPLIANCES & HOUSEHOLD DURABLES: 3.7% 11,024 Samsung Electronics Co. 1,209,545 ---------- BANKS: 3.8% 19,000 Housing & Commercial Bank 599,136 18,000 Kookmin Bank 365,443 24,000 Shinhan Bank 269,546 ---------- 1,234,125 ---------- CHEMICALS: 1.7% 20,000 L.G. Chemical, Ltd. 544,276 ---------- COMMUNICATIONS: 1.0% 8,100 (a) Korea Telecom Corp. ADR 324,000 ---------- FINANCIAL: 0.6% 3,660 Samsung Securities 196,043 ---------- STEEL: 2.9% 8,000 Pohang Iron & Steel 961,071 ---------- UTILITIES: 5.0% 39,000 Korea Electric Power 1,620,648 ---------- TOTAL SOUTH KOREA 6,089,708 ---------- TAIWAN: 12.1% COMPUTER SERVICES: 1.4% 19,890 Synnex Technology 449,514 ---------- DATA PROCESSING & REPRODUCTION: 0.9% 25,000 Acer Inc. GDR 312,500 ---------- 164 International Equity Funds Pilgrim Asia-Pacific Equity Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ----------- ELECTRONIC COMPONENTS/INSTRUMENT: 7.5% 84,700 Asustek Computer, Inc. GDR $ 1,221,797 36,000 Taiwan Semiconductor ADR 1,224,000 ----------- 2,445,797 ----------- FOOD & HOUSEHOLD PRODUCTS: 0.6% 20,730 President Enterprises 186,570 ----------- STEEL: 1.7% 35,385 China Steel Corp. GDR 547,585 ----------- TOTAL TAIWAN 3,941,966 ----------- THAILAND: 6.4% BANKS: 3.2% 274,000 (a) Siam Commercial Bank 389,626 206,200 Thai Farmers Bank Public Co. 636,696 ----------- 1,026,322 ----------- BUILDING MATERIALS: 0.7% 7,000 (a) Siam Cement Public Co. 212,351 ----------- COMMUNICATIONS: 1.2% 30,000 Advanced IFO Services 406,284 ----------- ENERGY SOURCE: 0.9% 40,000 PTT Exploration & Production 305,525 ----------- UTILITIES: 0.4% 70,000 Electricity Generating Public Co. 133,668 ----------- TOTAL THAILAND 2,084,150 ----------- Total Common Stocks (Cost $21,365,725) 29,582,648 ----------- Principal Market Amount Value - ------------ ----------- WARRANTS: 0.5% THAILAND: 0.5% BANKS: 0.5% 274,000 (a) Siam Commercial Bank Warrants $ 176,259 ----------- Total Warrants (Cost $0) 176,259 ----------- CONVERTIBLE BONDS: 1.5% TAIWAN 1.5% CHEMICALS: 0.8% $210,000 Nan Ya Plastic Corp., 1.75%, due 07/19/01 252,525 ----------- ELECTRONIC COMPONENTS/INSTRUMENTS: 0.7% 160,000 United Microelectronics, 0.25%, due 05/16/04 234,800 ----------- Total Convertible Bonds (Cost $415,750) 487,325 ----------- Total Long-Term Investments (Cost $21,781,475) 30,246,232 ----------- See Accompanying Notes to Financial Statements 165 International Equity Funds Pilgrim Asia-Pacific Equity Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Amount Value - ----------- ----------- SHORT-TERM INVESTMENTS: 2.9% REPURCHASE AGREEMENT: 2.9% $951,000 State Street Bank & Trust Repurchase Agreement, 4.70% due 07/01/99 (Collateralized by $945,000 U.S. Treasury Notes, 6.375% due 09/30/01, Market Value $971,791) $ 951,000 ----------- Total Short-Term Investments (Cost $951,000) 951,000 ----------- TOTAL INVESTMENTS (COST $22,732,475)* 95.8% 31,197,232 OTHER ASSETS AND LIABILITIES, NET 4.2% 1,363,305 ------ ----------- NET ASSETS 100.0% $32,560,537 ====== =========== (a) Non-income producing security ADR -- American Depository Receipt GDR -- Global Depository Receipt * Cost for federal income tax purposes is $23,386,060. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 8,308,719 Gross Unrealized Depreciation (497,547) ----------- Net Unrealized Appreciation $ 7,811,172 =========== See Accompanying Notes to Financial Statements 166 Income Funds Pilgrim Government Securities Income Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Principal Market Amount Rate Maturity Value - ------------- ----------- ----------- ------------ U.S. GOVERNMENT SECURITIES: 98.5% U.S. GOVERNMENT AGENCY NOTES: 9.4% $3,205,000 FHLMC 7.010% 2007 $ 3,208,493 ------------ 3,208,493 ------------ FEDERAL HOME LOAN MORTGAGE CORPORATION: 4.5% 179,598 FHLMC 8.500% 2017 189,258 185,701 FHLMC 9.000% 2006-2021 193,386 629,888 FHLMC 9.500% 2005-2014 663,877 60,442 FHLMC 9.905% 2020 64,467 379,388 FHLMC 12.250% 2015 428,234 ------------ 1,539,222 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION: 48.6% 1,000,000 FNMA 5.640% 2008 932,350 5,801,775 FNMA 6.500% 2018-2028 5,642,381 2,470,073 FNMA 7.500% 2028 2,496,306 302,915 FNMA 8.000% 2023 311,285 508,924 FNMA 8.500% 2017-2021 534,164 110,663 FNMA 9.000% 2017 117,129 298,701 FNMA 9.250% 2009-2016 316,073 100,937 FNMA 9.750% 2008 108,201 844,745 FNMA 10.000% 2007-2020 903,195 956,757 FNMA 10.500% 2021 1,052,134 422,743 FNMA 11.000% 2017 459,789 1,459,134 FNMA 11.250% 2016 1,626,085 609,683 FNMA 11.500% 2019 673,821 67,599 FNMA 12.000% 2007 73,574 90,528 FNMA 12.500% 2007 99,435 496,561 FNMA 13.000% 2012 563,441 627,664 FNMA 13.500% 2007-2017 723,784 ------------ 16,633,147 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION: 27.5% 4,461,974 GNMA 6.500% 2026 4,325,497 937,628 GNMA 7.000% 2016-2017 929,539 557,909 GNMA 7.500% 2023 563,811 848,483 GNMA 8.000% 2023-2024 876,990 881,440 GNMA 9.000% 2013-2022 938,661 355,498 GNMA 9.250% 2016-2021 377,391 973,120 GNMA 9.500% 2016-2019 1,041,119 262,692 GNMA 11.250% 2011 291,231 73,473 GNMA 13.000% 2014 83,896 ------------ 9,428,135 ------------ U.S. TREASURY SECURITIES: 8.5% $1,100,000 U.S. Treasury Bonds 4.750% 2004-2008 $ 1,036,453 1,000,000 U.S. Treasury Bonds 4.875% 2001 989,840 1,000,000 U.S. Treasury Bonds 5.250% 2029 898,440 ------------ 2,924,733 ------------ 33,733,730 ------------ 33,733,730 ------------ Principal Amount Value - -------------- ------------ SHORT-TERM INVESTMENTS: 4.6% REPURCHASE AGREEMENTS: 4.6% $ 1,581,000 State Street Bank & Trust Repurchase Agreement, 4.70% due 07/01/99 (Collateralized by $1,570,000 U.S. Treasury Notes, 6.375% due 09/30/01, Market Value $1,614,510) $ 1,581,000 ------------ Total Short-Term Investments (Cost $1,581,000) 1,581,000 ------------ TOTAL INVESTMENTS IN SECURITIES (COST $35,917,887)* 103.1% 35,314,730 OTHER ASSETS AND LIABILITIES, NET (3.1)% (1,071,910) -------- ------------ NET ASSETS 100.0% $ 34,242,820 ======== ============ * Cost for federal income tax purposes is $35,936,637. Net unrealized depreciation consists of: Gross Unrealized Appreciation $ 95,841 Gross Unrealized Depreciation (717,748) ------------ Net Unrealized Depreciation $ (621,907) ============ See Accompanying Notes to Financial Statements 167 Income Funds Pilgrim Strategic Income Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Principal Market Amount Value - ------------- ----------- CORPORATE BONDS: 43.0% AEROSPACE/DEFENSE: 1.0% $230,000 Rockwell Int'l Corp., 5.200%, due 01/15/98 $ 156,809 ----------- APPAREL: 1.4% 240,000 (b) Jones Apparel, 6.250%, due 10/01/01 234,708 ----------- BROADCASTING: 1.8% 50,000 CD Radio, Inc., Step-Up, due 12/01/07 25,438 125,200 (b) Echostar DBS Corp., 9.375%, due 02/01/09 127,704 110,000 News America Holdings, 8.875%, due 04/26/23 121,474 35,000 Source Media, Inc., 12.000%, due 11/01/04 27,825 ----------- 302,441 ----------- COMMUNICATIONS: 1.6% 500,000 Rhythms Netconnections, Step-Up, due 05/15/08 267,500 ----------- COMMUNICATIONS -- COMPETITIVE LOCAL EXCHANGE CARRIER: 3.3% 500,000 ICG Services, Inc., Step-Up, due 02/15/08 315,000 250,000 MGC Communications, Inc., 13.000%, due 10/01/04 229,374 ----------- 544,374 ----------- COMMUNICATIONS -- INTERNET SERVICE PROVIDER: 0.6% 100,000 Global Telesystems Group, Inc., 9.875%, due 02/15/05 99,749 ----------- COMMUNICATIONS -- TELECOMMUNICATIONS: 1.8% 500,000 Pinnacle Holdings, Inc., Step-Up, due 03/15/08 295,000 ----------- COMPUTERS: 0.8% 50,000 Apple Computer, Inc., 6.500%, due 02/15/04 $ 46,375 80,000 Unisys Corp., 12.000%, due 04/15/03 87,200 ----------- 133,575 ----------- COMPUTER SOFTWARE: 1.0% $170,000 Computer Associates Int'l, 6.375%, due 04/15/05 161,403 ----------- DIVERSIFIED FINANCIAL SERVICES: 1.6% 5,000 Amresco, Inc., 9.875%, due 03/15/05 4,050 190,000 AON Capital Trust A, 8.205%, due 01/01/27 202,360 50,000 Countrywide Capital III, 8.050%, due 06/15/27 50,070 ----------- 256,480 ----------- ENTERTAINMENT & LEISURE: 2.1% 100,000 Ascent Entertainment Group, Step-Up, due 12/15/04 70,875 35,000 Bally Total Fitness Holdings, 9.875%, due 10/15/07 33,863 250,000 (b) Hollywood Entertainment, 10.625%, due 08/15/04 246,250 ----------- 350,988 ----------- GAMING & LOTTERY: 1.5% 250,000 (b) Majestic Star Casino, LLC, 10.875%, due 07/01/06 248,125 ----------- HEALTH CARE: 2.0% 130,000 Abbey Healthcare Group, 9.500%, due 11/01/02 130,000 250,000 Global Health Sciences, 11.000%, due 05/01/08 192,500 ----------- 322,500 ----------- See Accompanying Notes to Financial Statements 168 Income Funds Pilgrim Strategic Income Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Market Amount Value - ------------- ----------- HOME BUILDING, BUILDING MATERIALS: 1.7% $115,000 Lennar Corp., 7.625%, due 03/01/09 $ 108,299 160,000 McDermott, Inc., 9.375%, due 03/15/02 166,626 ----------- 274,925 ----------- INSURANCE: 2.2% 290,000 Liberty Financial Co., 7.625%, due 11/15/28 284,658 75,000 (b) Lumbermens Mutual Casualty, 8.300%, due 12/01/37 72,606 ----------- 357,264 ----------- INTERNATIONAL BANKS: 0.4% 70,000 Korea Development Bank, 7.375%, due 09/17/04 67,984 ----------- MEDICAL SUPPLIES/EQUIPMENT: 1.1% 195,000 Guidant Corp., 6.150%, due 02/15/06 180,443 ----------- METALS: 1.6% 90,000 (b) Codelco, Inc., 7.375%, due 05/01/09 85,248 202,995 Scotia Pacific Co. LLC, 6.550% due 01/20/07 186,713 ----------- 271,961 ----------- OIL: 4.5% 60,000 (b) Cerro Negro Finance, Ltd., 7.330%, due 12/01/09 49,189 145,000 Conoco, Inc., 6.950%, due 04/15/29 135,435 100,000 Deeptech Int'l, Inc., 12.000%, due 12/15/00 106,750 185,000 PDVSA Finance, Ltd., 6.800%, due 11/15/08 154,257 75,000 PDVSA Finance, Ltd., 7.500%, due 11/15/28 54,619 90,000 (b) Pemex Finance, Ltd., 9.150%, due 11/15/18 84,600 180,000 (b) Pemex Finance, Ltd., 6.300%, due 05/15/10 172,800 ----------- 757,650 ----------- REAL ESTATE INVESTMENT TRUST: 0.3% $ 50,000 Equity Office Properties, 7.500%, due 04/19/29 $ 45,917 ----------- RENTAL AUTO/EQUIPMENT: 0.2% 30,000 United Rentals, Inc., 6.875%, due 08/15/28 30,375 ----------- RETAIL: 1.1% 130,000 Kmart Corp., 6.780%, due 08/02/1999 130,057 50,000 Musicland Stores Corp., 9.875%, due 03/15/08 50,313 ----------- 180,370 ----------- SHIPPING: 0.7% 115,000 Sea Containers, 12.500%, due 12/01/04 123,769 ----------- TELECOMMUNICATIONS: 3.2% 130,000 International Cabletel, Inc., Step-Up, due 04/15/05 124,800 120,000 MCI Worldcom, Inc., 6.950%, due 08/15/28 113,754 250,000 Winstar Communications, Inc., 15.000%, due 03/01/07 287,500 ----------- 526,054 ----------- TELECOMMUNICATIONS EQUIPMENT: 0.4% 130,000 Covad Communications Group, Step-Up, due 03/15/08 70,688 ----------- TRANSPORTATION -- AIR FREIGHT: 0.4% 80,000 Federal Express Corp., 7.600%, due 07/01/97 73,521 ----------- See Accompanying Notes to Financial Statements 169 Income Funds Pilgrim Strategic Income Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Market Amount Value - ------------- ----------- TRANSPORTATION (AIR, BUS, RAIL): 2.7% $ 80,000 Atlas Air, Inc., 9.375%, due 11/15/06 $ 78,200 165,000 Continental Airlines, Inc., 6.320%, due 11/01/08 152,128 210,000 Continental Airlines, Inc., 6.545%, due 02/02/19 197,996 30,000 Trans World Airlines, 11.375%, due 03/01/06 15,375 ----------- 443,699 ----------- UTILITIES: 2.0% 100,000 (b) East Coast Power LLC, 7.536%, due 06/30/17 95,954 120,000 Empresa Nacional de Electricidad, 8.125%, due 02/01/97 96,775 20,000 Enersis S.A., 6.600%, due 12/01/26 18,706 40,000 Enersis S.A., 7.400%, due 12/01/16 34,375 90,000 United Utilities PLC, 6.875%, due 08/15/28 80,112 ----------- 325,922 ----------- Total Corporate Bonds (Cost $7,412,379) 7,104,194 ----------- U.S. TREASURY OBLIGATIONS: 9.2% U.S. TREASURY BONDS: 9.2% 1,200,000 U.S. Treasury Bonds, 4.750%, due 02/15/04 1,154,625 400,000 U.S. Treasury Bonds, 5.500%, due 08/15/28 366,248 ----------- Total U.S. Treasury Obligations (Cost $1,505,487) 1,520,873 ----------- U.S. GOVERNMENT AGENCY OBLIGATIONS: 4.0% FEDERAL HOME LOAN MORTGAGE CORPORATION: 2.5% 205,120 5.500%, due 01/01/14 194,285 105,322 5.500%, due 02/01/14 99,758 27,573 9.000%, due 06/01/06 28,797 65,760 9.500%, due 11/01/05 69,273 23,546 10.000%, due 10/01/03 24,849 ----------- 416,962 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION: 1.5% $110,507 6.500%, due 02/01/09 $ 109,402 34,707 9.500%, due 05/01/07 36,561 32,760 9.500%, due 06/01/05 34,510 29,658 9.500%, due 07/01/06 31,243 28,997 10.000%, due 10/01/05 30,737 ----------- 242,453 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION: 0.0% 3,772 8.500%, due 02/15/21 3,982 1,326 11.500%, due 02/15/12 1,488 501 11.500%, due 02/15/13 551 1,682 11.500%, due 07/15/13 1,886 ----------- 7,907 ----------- Total U.S. Government Agency Obligations (Cost $674,930) 667,322 ----------- COLLATERALIZED MORTGAGE OBLIGATIONS AND ASSET-BACKED SECURITIES: 21.9% MORTGAGE -- COMMERCIAL: 15.9% 210,000 Allied Capital Commercial Mortgage 1998 1 C, 6.710%, due 12/25/04 208,021 196,134 Asset Securitization Corp. 1996 D2 A1, 6.920%, due 02/14/29 197,398 260,000 Commercial Mortgage Asset Trust 1999 C1 A2, 6.585%, due 07/17/08 252,591 109,336 DLJ Mortgage Acceptance Corp. 1998 A A2, 6.588%, due 05/28/28 107,918 390,000 DLJ Commercial Mortgage Corp. 1998 CF2 A1B, 6.24%, due 11/12/31 372,202 140,000 GMAC Commercial Mortgage Securities, Inc. 1998 C2 A2, 6.420%, due 08/15/08 135,407 240,000 GS Mortgage Securities Corp. 1998 GLII A2, 6.562%, due 04/13/31 233,658 360,000 JP Morgan Commercial Mortgage 1998 C6 A2, 6.533%, due 01/15/30 354,177 See Accompanying Notes to Financial Statements 170 Income Funds Pilgrim Strategic Income Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Market Amount Value - ------------- ----------- $270,000 JP Morgan Commercial Mortgage 1999 C7 A2, 6.507%, due 10/15/35 $ 267,047 145,184 Morgan Capital Funding, Inc. 1998 MC3 A1, 6.001%, due 11/18/31 140,810 210,000 Morgan Stanley Capital I 1998 XL2 A2, 6.170%, due 10/03/08 202,361 160,000 Nomura Asset Securities Corp. 1998 D6 A1B, 6.590%, due 03/17/28 155,614 ----------- 2,627,204 ----------- MORTGAGE -- RESIDENTIAL: 5.5% 170,000 Amresco Residential Securities 1996 3 A5, 7.550%, due 02/25/23 171,963 210,000 Amresco Residential Securities 1997 3 A9, 6.960%, due 03/25/27 210,707 440,000 Bankboston Home Equity Loan Trust 1998 2 A4, 6.110%, due 09/25/13 433,992 100,000 Saxon Asset Securities Trust 1999 1 AF3, 6.170%, due 08/25/21 98,838 ----------- 915,500 ----------- UTILITIES: 0.5% 90,000 Comed Transitional Funding Trust 1998 1 A7, 5.740%, 12/25/10 83,035 ----------- Total CMO's and Asset-Backed Securities (Cost $3,750,348) 3,625,739 ----------- Market Shares Value - ----------- ----------- PREFERRED STOCK: 0.1% TELECOMMUNICATIONS: 0.1% 100 IXC Communications, Inc. $ 9,625 ----------- Total Preferred Stock (Cost $10,000) 9,625 ----------- MUTUAL FUNDS: 14.2% INVESTMENT COMPANIES: 14.2% 74,000 Blackrock 2001 Term Trust $ 666,000 74,900 Blackrock Strategic Term Trust 683,463 106,000 (c) Pilgrim Prime Rate Trust 1,000,375 ----------- Total Mutual Funds (Cost $2,266,217) 2,349,838 ----------- Total Long-Term Investments (Cost $15,619,361) 15,277,591 ----------- See Accompanying Notes to Financial Statements 171 Income Funds Pilgrim Strategic Income Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Amount Value - ------------ ----------- SHORT-TERM INVESTMENTS: 11.4% Repurchase Agreement: 11.4% $1,883,000 State Street Bank & Trust Repurchase Agreement, 4.700% due 07/01/1999 (Collaterized by $1,870,000 U.S. Treasury Notes, 6.375% due 09/30/2001, Market Value $1,923,015) $ 1,883,000 ----------- Total Short-Term Investments (Cost $1,883,000) 1,883,000 ----------- Total Investments (Cost $17,502,361)* 103.8% 17,160,591 Other Assets and Liabilities, Net (3.8)% (630,267) ------ ----------- Net Assets 100.0% $16,530,324 ====== =========== (a) Non-income producing security (b) 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. (c) Related party ADR -- American Depository Receipt EDR -- European 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 $ 147,916 Gross Unrealized Depreciation (489,686) ----------- Net Unrealized Appreciation $ (341,770) =========== See Accompanying Notes to Financial Statements 172 Income Funds Pilgrim High Yield Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Principal Market Amount Value - ------------- ----------- CORPORATE BONDS: 96.7% AUTOMOTIVE: 2.4% $7,500,000 JH Heafner Co., 10.000%, due 05/15/08 $ 7,696,875 2,000,000 (b) JH Heafner, 10.000%, due 11/01/08 2,052,500 ----------- 9,749,375 ----------- BROADCASTING: 1.7% 7,000,000 Pegasus Communications, 9.75%, due 12/01/06 7,201,250 ----------- BUSINESS SERVICES: 2.5% 6,000,000 CEX Holdings, Inc., 9.625%, due 06/01/08 5,640,000 5,000,000 (b) Group Maintenance America, 9.75%, due 1/15/09 4,950,000 ----------- 10,590,000 ----------- COMMUNICATIONS: 14.2% 2,000,000 (b) Caprock Communications, 11.50%, due 05/01/09 2,030,000 6,000,000 CCPR Services, Inc., 10.000%, due 02/01/07 6,645,000 8,000,000 (b) Charter Communications Holdings, 8.625%, due 04/01/09 7,700,000 5,000,000 Covad Communications Group, 12.50%, due 02/15/09 4,825,000 3,000,000 (b) Exodus Communications, 11.25%, due 07/01/08 3,127,500 7,500,000 Globix Corp., 13.000%, due 05/01/05 7,143,750 5,000,000 (b) Hyperion Telecom, 12.000%, due 11/01/07 5,075,000 3,000,000 Logix Communications, 12.25%, due 06/15/08 2,823,750 6,000,000 MGC Communications, Inc., 13.000%, due 10/01/04 5,520,000 8,000,000 Nextlink Communications, 10.75%, due 06/01/09 8,220,000 6,000,000 Teligent, Inc., 11.50%, due 12/01/07 6,165,000 ----------- 59,275,000 ----------- COMPUTER SOFTWARE & SERVICE: 2.0% $9,000,000 Merisel, Inc., 12.50%, due 12/31/04 $ 8,291,250 ----------- CONSTRUCTION: 0.2% 995,000 Kevco, Inc., 10.375%, due 12/01/07 701,475 ----------- CONSUMER PRODUCTS: 1.2% 6,000,000 Drypers Corp., 10.25%,due 06/15/07 4,815,000 ----------- DEFENSE: 1.0% 4,000,000 (b) Fairchild Corp., 10.75%, due 04/15/09 3,940,000 ----------- DIVERSIFIED CONGLOMERATE: 1.2% 5,000,000 Jordan Industries, 10.375%, 08/01/07 5,062,500 ----------- ELECTRONICS -- DEFENSE: 1.2% 5,000,000 (b) Amkor Technologies, Inc., 9.250%, due 05/01/06 4,868,750 ----------- ELECTRONICS -- SEMICONDUCTORS: 1.8% 5,000,000 BGF Industries, 10.250%, due 1/15/09 4,575,000 3,000,000 (b) Fairchild Semiconductor, 10.375%, due 10/01/07 2,977,500 ----------- 7,552,500 ----------- FOODS: 3.1% 8,000,000 Imperial Holly Corp., 9.75%, due 12/15/07 7,920,000 5,000,000 (b) Luigino's, Inc., 10.000%, due 02/01/06 5,012,500 ----------- 12,932,500 ----------- See Accompanying Notes to Financial Statements 173 Income Funds Pilgrim High Yield Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Market Amount Value - ------------- ----------- GAMING: 6.5% $10,000,000 Alliance Gaming Corp., 10.000%, due 08/01/07 $ 7,800,000 2,000,000 Hard Rock Hotel, 9.25%, due 04/01/05 1,900,000 6,000,000 Hollywood Park, Inc., 9.25%, due 02/15/07 5,940,000 4,000,000 (b) International Game Technology, 8.375%, due 05/15/09 3,920,000 7,500,000 (b) Majestic Star Casino LLC, 10.875%, due 07/01/06 7,462,500 ----------- 27,022,500 ----------- HEALTH CARE: 1.1% 6,000,000 Global Health Sciences, 11.000%, due 05/01/08 4,650,000 ----------- HOUSEWARES: 0.8% 4,000,000 Albecca, Inc., 10.750%, due 08/15/08 3,360,000 ----------- INDUSTRIAL: 7.4% 4,000,000 Aqua Chem, Inc., 11.250%, due 07/01/08 2,960,000 7,000,000 Falcon Holdings Group LP, 8.375%, due 04/15/10 6,930,000 6,000,000 (b) Juno Lighting, Inc., 11.875%, due 07/01/09 6,060,000 5,000,000 Norton McNaughton, Inc., 12.50%, due 06/01/05 4,250,000 6,600,000 Packaged Ice, Inc., 9.75%, due 02/01/05 6,608,250 4,000,000 Transportation Manufacturing Operations, 11.25%, due 05/01/09 4,000,000 ----------- 30,808,250 ----------- LEASING: 2.0% 9,000,000 (b) Budget Group, Inc., 9.125%, due 04/01/06 8,437,500 ----------- LEISURE: 2.8% $5,000,000 Bally Total Fitness Holdings, 9.875%, due 10/15/07 $ 4,850,000 4,000,000 Bell Sports, Inc., 11.000%, due 08/15/08 4,035,000 3,000,000 Epic Resorts LLC/CAP, 13.000%, due 06/15/05 2,782,500 ----------- 11,667,500 ----------- MACHINERY & EQUIPMENT: 1.9% 8,000,000 United Rentals, Inc., 8.80%, due 08/15/08 7,870,000 ----------- MANUFACTURING: 0.7% 5,000,000 Paragon Holdings, 9.625%, due 04/01/08 2,975,000 ----------- MEDIA & ENTERTAINMENT: 10.0% 5,000,000 (b) Carmike Cinemas, 9.375%, due 02/01/09 4,900,000 4,000,000 (b) Classic Cable, Inc., 9.875%, due 08/01/08 4,180,000 6,000,000 Coaxial Communications, 10.000%, due 08/15/06 6,270,000 5,000,000 (b) Echostar DBS Corp., 9.375%, due 02/01/09 5,112,500 6,750,000 (b) Hollywood Entertainment, 10.625%, due 08/15/04 6,665,625 10,000,000 Regal Cinemas, 9.50%, due 06/01/08 9,375,000 5,000,000 Star Choice Communications, 13.000%, due 12/15/05 5,100,000 ----------- 41,603,125 ----------- MINES & MINERALS: 1.6% 6,000,000 Anker Coal Group, 9.750%, due 10/01/07 2,932,500 5,000,000 Lodestar Holdings, Inc., 11.50%, due 05/15/05 3,893,750 ----------- 6,826,250 ----------- PACKAGING PRODUCTS: 1.2% 5,000,000 (b) Russell-Stanley, 10.875%, due 02/15/09 4,887,500 ----------- See Accompanying Notes to Financial Statements 174 Income Funds Pilgrim High Yield Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Market Amount Value - -------------- ------------ PAPER AND FOREST PRODUCTS: 2.4% $10,000,000 Stone Container Corp., 12.25%, due 04/01/02 $ 10,037,500 ------------ PHARMACEUTICALS: 2.7% 6,000,000 Biovail Corp. Int'l., 10.875%, due 11/15/05 6,157,500 5,000,000 King Pharmaceuticals, Inc., 10.75%, due 02/15/09 5,175,000 ------------ 11,332,500 ------------ PLASTIC PRODUCTS: 1.5% 7,000,000 Moll Industries, 10.50%, due 07/01/08 6,335,000 ------------ PUBLISHING: 1.4% 6,000,000 Primark Corp., 9.25%, due 12/15/08 5,902,500 ------------ RESTAURANTS: 0.9% 4,000,000 (b) Avado Brands, Inc., 11.75%, due 06/15/09 3,970,000 ------------ RETAIL: 13.6% 6,000,000 Advance Stores Co., 10.250%, due 04/15/08 5,775,000 5,000,000 (b) Ames Dept. Stores, 10.000%, due 04/15/06 4,900,000 8,000,000 Big 5 Corp., 10.875%, due 11/15/07 8,270,000 5,000,000 Cluett American Corp., 10.125%, due 05/15/08 3,750,000 8,000,000 CSK Auto, Inc., 11.000%, due 11/01/06 8,390,000 5,000,000 (b) Jo-Ann Stores, 10.375%, due 05/01/07 4,912,500 6,000,000 Sonic Automotive, Inc., 11.000%, due 08/01/08 5,940,000 3,500,000 Specialty Retail, 8.500%, due 07/15/05 2,555,000 5,000,000 Tuesday Morning, 11.000%, due 12/15/07 5,306,250 8,000,000 United Auto Group, 11.000%, due 7/15/07 7,140,000 ------------ 56,938,750 ------------ STEEL: 0.6% 3,000,000 Schuff Steel Co., 10.500%, due 06/01/08 $ 2,790,000 ------------ TECHNOLOGY: 2.8% $5,000,000 Metromedia Fiber Network, 10.000%, due 11/15/08 5,150,000 7,000,000 (b) Rhythms Netconnections, Inc., 12.750%, due 04/15/09 6,597,500 ------------ 11,747,500 ------------ TRANSPORTATION: 2.3% 5,000,000 Amtran Inc., 9.625%, due 12/15/05 4,875,000 5,000,000 Atlas Air, Inc., 9.250%, due 04/15/08 4,812,500 ------------ 9,687,500 ------------ Total Corporate Bonds (Cost $413,957,541) 403,828,475 ------------ Market Shares Value - ------------- ------------ WARRANTS: 0.2% COMMUNICATIONS: 0.2% 5,500 (a) Bell Technology Group $ 495,000 10,780 (a) MGC Communication Warrants 279,606 ------------ 774,606 ------------ LEISURE: 0.0% 3,000 (a) Epic Resorts Warrants -- ------------ MEDIA & ENTERTAINMENT: 0.0% 115,800 (a) Star Choice Communications Warrants 208,440 ------------ Total Warrants (Cost $197,608) 983,046 ------------ Total Long Term Investments (Cost $414,155,149) 404,811,521 ------------ See Accompanying Notes to Financial Statements 175 Income Funds Pilgrim High Yield Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Market Amount Value - ------------- ------------ SHORT-TERM INVESTMENTS: 1.0% COMMERCIAL PAPER: 1.0% $4,323,000 Gillette, 5.65%, due 07/01/99 $ 4,323,000 ------------ Total Short-Term Investments (Cost $4,323,000) 4,323,000 ------------ TOTAL INVESTMENTS IN SECURITIES (COST $418,478,149)* 97.9% 409,134,521 OTHER ASSETS AND LIABILITIES, NET 2.1% 8,669,439 ----- ------------ NET ASSETS 100.0% $417,803,960 ===== ============ (a) Non-income producing security. (b) 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. * Cost for federal income tax purposes is the same as for financial statement purposes. Net unrealized Depreciation consists of: Gross Unrealized Appreciation $ 4,398,975 Gross Unrealized Depreciation (14,261,353) ------------ Net Unrealized Depreciation $ (9,862,378) ============ See Accompanying Notes to Financial Statements 176 Income Funds Pilgrim High Yield Fund II PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Principal Value - ------------ ------------ CORPORATE BONDS: 89.8% APPAREL: 2.5% 2,000,000 (b) Supreme Int'l Corp., 12.250%, due 04/01/06 $ 2,030,000 ------------ BROADCASTING: 5.7% 1,780,000 CD Radio, Inc., 0.000%, Step-Up, due 12/01/07 905,574 450,000 (b) Echostar DBS Corp., 9.375%, due 02/01/09 459,000 1,110,000 Pegasus Communications Corp., 9.625%, due 10/15/05 1,087,800 1,225,000 Source Media, Inc., 12.000%, due 11/01/04 973,875 1,340,000 Telewest PLC, 0.000%, Step-Up, due 10/01/07 1,194,274 ------------ 4,620,523 ------------ COMMUNICATIONS -- COMPETITIVE LOCAL EXCHANGE CARRIER: 13.0% 1,870,000 Colt Telecom Group PLC, 0.000%, Step-Up, due 12/15/06 1,573,137 1,780,000 Completel Europe N.V., 0.000%, Step-Up, due 02/15/09 970,260 3,000,000 ICG Services, 0.000%, Step-Up, due 02/15/08 1,890,000 2,000,000 Metromedia Fiber, 10.000%, due 11/15/08 2,055,000 1,500,000 MGC Communications, Inc., 13.000%, due 10/01/04 1,376,250 2,230,000 Winstar Communication, Inc., 0.000%, Step-Up, due 03/01/07 2,564,500 ------------ 10,429,147 ------------ COMMUNICATIONS -- GENERAL: 2.7% 2,320,000 Covad Communications Group, 0.000%, Step-Up, due 03/15/08 1,261,500 1,340,000 United Int'l Holdings, 0.000%, Step-Up, due 02/15/08 887,750 ------------ 2,149,250 ------------ COMMUNICATIONS -- INTERNET SERVICE PROVIDER: 3.1% 1,535,000 Global Telesystems Group, 9.875%, due 02/15/05 $ 1,531,163 1,020,000 Globix Corp., 13.000%, due 05/01/05 969,000 ------------ 2,500,163 ------------ COMMUNICATIONS -- LONG DISTANCE: 5.0% 2,000,000 ITC Deltacom, 9.75%, due 11/15/08 2,060,000 1,960,000 Viatel, Inc. 11.250%, due 04/15/08 1,969,800 ------------ 4,029,800 ------------ COMMUNICATIONS -- TELECOMMUNICATIONS: 8.0% 1,250,000 International Cabletel, Inc., 0.000%, Step-Up, due 04/15/05 1,200,000 980,000 Northeast Optic Network, 12.500%, due 08/15/08 1,011,850 3,000,000 Pinnacle Holdings, 0.000%, Step-Up, due 03/15/08 1,770,000 1,110,000 Powertel, Inc., 0.000%, Step-Up, due 02/01/06 931,012 3,000,000 Rhythms Netconnections, 0.000%, Step-Up, due 05/15/08 1,556,250 ------------ 6,469,112 ------------ COMMUNICATIONS -- WIRELESS: 1.8% 1,340,000 Nextel Communications, Inc., 0.000%, Step-Up, due 09/15/07 979,875 915,000 Telesystem Int'l Wireless, 0.000%, Step-Up, due 06/30/07 483,806 ------------ 1,463,681 ------------ COMPUTERS: 5.3% 1,780,000 Apple Computer, Inc., 6.500%, due 02/15/04 1,650,950 940,000 Unisys Corp., 12.000%, due 04/15/03 1,024,600 1,405,000 Unisys Corp., 11.750%, due 10/15/04 1,566,575 ------------ 4,242,125 ------------ See Accompanying Notes to Financial Statements 177 Income Funds Pilgrim High Yield Fund II PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Principal Value - ------------ ------------ DIVERSIFIED FINANCIAL SERVICES: 5.8% 890,000 Amresco, Inc., 8.750%, due 07/01/99 $ 887,774 1,780,000 Coinstar, Inc., 0.000%, Step-Up, due 10/01/06 1,755,525 2,270,000 Resource America, Inc., 12.000%, due 08/01/04 2,043,000 ------------ 4,686,299 ------------ ELECTRONICS: 2.4% 2,000,000 Amkor Technology, Inc., 9.250%, due 05/01/06 1,942,500 ------------ ENTERTAINMENT AND LEISURE: 7.4% 1,878,000 Ascent Entertainment Group, 0.000%, Step-Up, due 12/15/04 1,331,032 1,290,000 Bally Total Fitness Holdings, 9.875%, due 10/15/07 1,248,075 2,000,000 (b) Hollywood Entertainment, 10.625%, due 08/15/04 1,970,000 1,470,000 SFX Entertainment, 9.125%, due 02/01/08 1,436,924 ------------ 5,986,031 ------------ FOOD, BEVERGE & TOBACCO: 1.9% 1,560,000 (b) Triarc Consumer Products Group, Inc., 10.250%, due 02/15/09 1,505,400 ------------ GAMING AND LOTTERY: 2.5% 2,000,000 (b) Majestic Star Casino Llc., 10.875%, due 07/01/06 1,985,000 ------------ HEALTHCARE: 3.6% 1,780,000 Abbey Healthcare Group, Inc., 9.500%, due 11/01/02 1,780,000 1,000,000 Global Health Sciences, Inc., 11.000%, due 05/01/08 770,000 317,000 Twin Laboratories, 10.250%, due 05/15/06 336,812 ------------ 2,886,812 ------------ HOME BUILDING: 2.4% 750,000 Kevco, Inc., 10.375%, due 12/01/07 $ 525,000 1,340,000 McDermott, Inc., 9.375%, due 03/15/02 1,398,960 ------------ 1,923,960 ------------ PRINTING/PUBLISHING: 2.1% 1,780,000 Big Flower Press Holdings, 8.625%, due 12/01/08 1,650,950 ------------ RENTAL EQUIPMENT: 1.4% 1,110,000 United Rentals, Inc., 9.500%, due 06/01/08 1,123,875 ------------ RESTAURANTS: 1.3% 1,050,000 Foodmaker, Inc., 8.375%, due 04/15/08 1,029,000 ------------ RETAIL: 3.7% 1,109,000 Michaels Stores, Inc., 10.875%, due 06/15/06 1,189,402 890,000 Musicland Stores Corp., 9.875%, due 03/15/08 895,562 862,000 Tuesday Morning Corp., 11.000%, due 12/15/07 912,642 ------------ 2,997,606 ------------ SHIPPING: 2.0% 1,495,000 Sea Containers, 12.500%, due 12/01/04 1,608,993 ------------ TRANSPORTATION: 6.2% 1,340,000 Atlas Air, Inc., 9.375%, due 11/15/06 1,309,850 1,340,000 Atlas Air, Inc., 9.250%, due 04/15/08 1,286,400 1,340,000 Trans World Airlines, 11.375%, due 03/01/06 456,125 890,000 Trans World Airlines, 11.500%, due 12/15/04 745,375 890,000 Trans World Airlines, 12.000%, due 04/1/02 1,232,800 ------------ 5,030,550 ------------ Total Corporate Bonds (Cost $74,279,542) 72,290,777 ------------ See Accompanying Notes to Financial Statements 178 Income Funds Pilgrim High Yield Fund II PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ COMMON STOCK: 0.2% Communications -- Long Distance: 3,288 Viatel, Inc. $ 184,533 ------------ (Cost $2,330) Total Common Stock 184,533 ------------ PREFERRED STOCK: 2.9% Broadcasting: 1.8% 12,545 Capstar $ 1,477,173 ------------ Internet: 1.1% 9,250 Concentric Network 13.5% 888,036 ------------ Total Preferred Stock (Cost $2,442,908) 2,365,209 ------------ Number of Market Warrants Value - ------------ ------------ WARRANTS: 0.2% Computers: 0.2% 1,600 (a) Bell Technology Group $ 144,000 ------------ Cost ($0) Total Warrants 144,000 ------------ Total Long-Term Investments (Cost $76,724,780) $ 74,984,519 ------------ Principal Amount Value - ------------ ------------ SHORT-TERM INVESTMENTS: 5.8% Repurchase Agreement: 5.8% $4,639,000 State Street Bank & Trust Repurchase Agreement, 4.70% due 07/01/99 (Collateralized by $4,605,000 U.S. Treasury Notes, 6.375% Market Value $4,735,552, Due 09/30/2001) $ 4,639,000 ------------ Total Short-Term Investments (Cost $4,639,000) $ 4,639,000 ------------ Total Investments in Securities (Cost $81,363,780)* 98.9% $ 79,623,519 Other Assets and Liabilities, Net 1.1% 900,680 ------ ------------ Net Assets 100.0% $ 80,524,199 ====== ============ (a) Non-income producing security (b) 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. 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 $ 1,036,861 Gross Unrealized Depreciation (2,777,122) ------------ Net Unrealized Appreciation $ (1,740,261) ============ See Accompanying Notes to Financial Statements 179 Equity & Income Funds Pilgrim Balanced Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Principal Market Amount Value - ------------- ------------ U.S. GOVERNMENT AGENCY OBLIGATIONS: 5.5% FINANCIAL: 5.5% $ 574,053 FHLMC E00659, 6.000%, due 04/01/14 $ 554,495 1,172,113 FHLMC E74572, 5.500%, due 01/01/14 1,110,202 240,000 FHR 2102 Pe, 6.500%, due 12/15/28 229,274 230,000 FHR 2127 Td, 6.000%, due 12/15/28 227,270 ------------ Total U.S. Government Agency Obligations: (Cost $2,197,083) 2,121,241 ------------ COLLATERALIZED MORTGAGE OBLIGATIONS AND ASSET-BACKED SECURITIES: 5.9% FINANCIAL: 5.9% 170,000 Amres 1997-3 A9, 6.960%, due 03/25/27 170,572 170,000 ASC 1996-D3 A1C, 7.400%, due 10/13/26 174,060 70,000 Comed 1998-1 A7, 5.740%, due 12/25/10 64,583 241,757 CRIIMI Mae 1998-1 A1, 5.697%, due 10/20/01 230,861 170,000 CRIIMI Mae 98-C1 CL A2, 7.000%, due 03/02/11 150,238 260,000 DLJCM 1998-CF2 A1B, 6.240%, due 11/12/31 248,135 160,000 GS Mortgage Securities, 6.562%, due 04/13/31 155,772 276,098 MSC 1997-XL1 A1, 6.590%, due 10/03/30 277,072 150,000 MSC 1998-XL2, 6.170%, due 10/03/08 144,544 165,000 NASC 1998-D6 A1B, 6.590%, due 03/17/28 160,477 125,000 Residential Asset Securities, 6.415%, due 07/25/29 121,869 240,000 SAST 1999-2 AF4, 6.445%, due 08/25/26 235,214 124,731 SLCMT 1997-C1, 6.875%, due 07/25/04 125,505 ------------ Total CMOs and Asset-Backed Securities: (Cost $2,354,459) 2,258,902 ------------ Market Shares Value - ------------ ------------ COMMON STOCKS: 47.5% AUTOMOTIVE: 1.4% 2,900 DaimlerChrysler $ 257,738 4,900 Ford Motor Co. 276,544 ------------ 534,282 ------------ BANKS: 0.7% 3,100 Chase Manhattan Corp. 268,538 ------------ BEVERAGES: 2.1% 3,500 Anheuser Busch Co. 248,281 4,200 Coca-Cola 262,500 7,400 Pepsico, Inc. 286,288 ------------ 797,069 ------------ BROADCASTING: 0.8% 7,800 Comcast Corp. 299,812 ------------ CHEMICALS: 0.8% 4,300 Dupont 293,743 ------------ COMMUNICATIONS: 2.6% 2,400 Ameritech Corp. 176,400 5,200 AT&T Corp. 290,225 2,800 (c) MCI Worldcom, Inc. 241,500 3,100 Nokia Corp. ADR 283,843 ------------ 991,968 ------------ COMPUTERS: 3.7% 4,300 (c) Cisco Systems 277,350 12,400 Compaq Computer 293,725 7,000 (c) Dell Computer Corp. 259,000 3,100 Hewlett Packard 311,550 2,100 International Business Machines 271,425 ------------ 1,413,050 ------------ COMPUTER SOFTWARE & SERVICE: 2.2% 2,600 (c) America Online, Inc. 287,300 3,100 (c) Microsoft Corp. 279,581 4,000 (c) Sun Microsystems 275,500 ------------ 842,381 ------------ See Accompanying Notes to Financial Statements 180 Equity & Income Funds Pilgrim Balanced Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ CONSUMER DURABLES: 0.7% 2,500 Sony Corp. ADR $ 275,937 ------------ CONSUMER PRODUCTS: 2.8% 2,800 Colgate-Palmolive Company 276,500 6,200 Gillette 254,200 3,000 Procter & Gamble 267,750 6,800 Unilever PLC ADR 253,300 ------------ 1,051,750 ------------ DEFENSE: 0.7% 6,900 Lockheed Martin Corp. 257,025 ------------ DIVERSIFIED CONGLOMERATE: 0.5% 2,200 Tyco Int'l, Ltd. 208,450 ------------ DRUGSTORES: 0.7% 9,100 Walgreen Co. 267,313 ------------ ELECTRICAL EQUIPMENT: 0.8% 2,600 General Electric 293,800 ------------ ELECTRONICS -- SEMICONDUCTORS: 0.7% 4,600 Intel Corp. 273,700 ------------ ENERGY: 0.7% 4,800 Duke Power Co. 261,000 ------------ ENTERTAINMENT: 0.7% 3,800 Time Warner, Inc. 279,300 ------------ FINANCIAL: 3.7% 2,300 American Express 299,287 2,446 American Int'l Group 286,335 5,700 Citigroup, Inc. 270,750 4,200 FNMA 287,175 4,800 FHLMC 278,400 ------------ 1,421,947 ------------ FOOD STORES: 0.7% 5,700 (c) Safeway, Inc. 282,150 ------------ FOODS: 0.7% 11,900 Sara Lee $ 269,982 ------------ INSURANCE: 0.7% 7,900 Allstate Corp. 283,413 ------------ MARINE: 0.7% 5,500 Carnival Corp. 266,750 ------------ MEDICAL: 0.7% 3,900 Novartis AG ADR 284,735 ------------ METALS & MINERALS: 0.7% 4,000 Alcoa, Inc. 247,500 ------------ NATURAL GAS PIPELINE: 0.8% 3,700 Enron 302,475 ------------ OIL & GAS: 2.2% 2,800 Chevron Corp. 266,525 3,600 Exxon Corp. 277,650 5,100 Royal Dutch Petroleum Company 307,275 ------------ 851,450 ------------ OIL WELL EQUIPMENT & SERVICE: 0.7% 4,300 Schlumberger, Ltd. 273,855 ------------ PHARMACEUTICALS: 4.5% 5,800 Abbott Laboratories 263,900 3,700 Bristol-Myers Squibb Co. 260,619 2,900 Johnson & Johnson 284,200 4,100 Merck & Co. 303,400 2,700 Pfizer 296,325 4,500 Warner Lambert Co. 312,188 ------------ 1,720,632 ------------ PUBLISHING: 0.7% 3,900 Gannett Co. 278,363 ------------ RESTAURANT: 0.7% 6,400 McDonalds Corp. 264,400 ------------ See Accompanying Notes to Financial Statements 181 Equity & Income Funds Pilgrim Balanced Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ RETAIL: 3.7% 3,700 (c) Costco Companies, Inc. $ 296,231 4,300 Home Depot, Inc. 277,081 5,600 Sears, Roebuck and Company 250,250 5,550 The Gap, Inc. 279,581 6,300 Wal-Mart Stores, Inc. 303,975 ------------ 1,407,118 ------------ TECHNOLOGY: 0.7% 4,000 Lucent Technologies 269,750 ------------ TOBACCO PRODUCTS: 0.6% 6,100 Philip Morris Companies, Inc. 245,143 ------------ TRANSPORATION: 0.7% 5,100 (c) FDX Corp. 276,675 ------------ UTILITIES: 1.7% 4,200 Bell Atlantic Corp. 274,575 2,100 SBC Communications 121,800 10,200 Southern Co. 270,300 ------------ 666,675 ------------ Total Common Stocks: (Cost $15,628,444) 18,222,131 ------------ Principal Market Amount Value - ------------ ------------ CORPORATE BONDS: 15.4% AEROSPACE: 0.4% $200,000 Rockwell Int'l Corp.; 5.200%, due 01/15/98 $ 136,356 ------------ AIRLINES: 0.5% $100,000 Atlas Air, Inc., 9.375%, due 11/15/06 97,750 66,884 (a) Continental Airlines, Inc., 6.465%, due 10/15/04 64,995 50,000 Trans World Airlines, 11.375%, due 03/01/06 25,625 ------------ 188,370 ------------ BROADCASTING: 0.4% 95,000 News America Holdings, 8.875%, due 04/26/23 $ 104,909 75,000 Source Media, Inc., 12.000%, due 11/01/04 59,625 ------------ 164,534 ------------ BUSINESS SERVICES: 0.4% 150,000 Unisys Corp., 12.000%, due 04/15/03 163,500 ------------ COMMUNICATIONS: 4.2% 100,000 Covad Communications Group, 0.000%, due 03/15/08 54,375 50,000 Global Telesystems Group, 9.875%, due 02/15/05 49,875 500,000 ICG Services, 0.000%, due 2/15/08 315,000 100,000 International Cabletel, 0.000%, due 04/15/05 96,000 250,000 (a) MGC Communications, Inc., 13.000%, due 10/01/04 229,375 250,000 Motorola, Inc., 5.220%, due 10/01/97 169,352 500,000 Pinnacle Holdings, 0.000%, due 03/15/08 295,000 250,000 Winstar Communications, Inc., 0.000%, due 03/01/07 287,500 100,000 Worldcom, Inc., 6.950%, due 08/15/28 94,795 ------------ 1,591,272 ------------ COMPUTER SOFTWARE & SERVICE: 0.7% 500,000 Rhythms Netconnections, 0.000%, due 05/15/08 267,500 ------------ CONSTRUCTION: 0.3% 100,000 McDermott, Inc., 9.375%, due 03/15/02 104,141 ------------ FINANCIAL: 0.8% $ 20,000 Amresco, Inc., 9.875%, due 03/15/05 16,200 160,000 Merrill Lynch, 6.875%, due 11/15/18 150,051 150,000 Resource America, Inc., 12.000%, due 08/01/04 135,000 ------------ 301,251 ------------ See Accompanying Notes to Financial Statements 182 Equity & Income Funds Pilgrim Balanced Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Market Amount Value - ------------ ------------ GAMING: 0.6% 250,000 (a) Majestic Star Casino LLC, 10.875%, due 07/01/06 $ 248,125 ------------ INSURANCE: 0.6% 110,000 Allmerica Financial Corp., 7.625%, due 10/15/25 108,333 50,000 Liberty Financial, 7.625%, due 11/15/28 49,079 75,000 (a) Liberty Mutual Insurance, 7.697%, due 10/15/97 68,841 ------------ 226,253 ------------ INVESTMENT COMPANIES: 0.5% 207,917 (a) Dryden Investor, 7.157%, due 07/23/08 196,577 ------------ LEISURE: 0.2% 75,000 Bally Total Fitness Holdings, 9.875%, due 10/15/07 72,563 ------------ MACHINERY & EQUIPMENT: 0.1% 50,000 United Rentals, 9.500%, due 06/01/08 50,625 ------------ MEDIA & ENTERTAINMENT: 1.0% 50,000 Ascent Entertainment, 0.000%, due 12/15/04 35,437 100,000 (a) Echostar DBS Corp., 9.375%, due 02/01/09 102,000 250,000 (a) Hollywood Entertainment, 10.625%, due 08/15/04 246,250 ------------ 383,687 ------------ MEDICAL: 0.3% $100,000 Abbey Healthcare, 9.500%, due 11/01/02 100,000 ------------ OIL & GAS: 0.6% 100,000 (a) Deeptech Int'l, 12.000%, due 12/15/00 106,750 110,000 Union Oil Co. of California, 7.500%, due 02/15/29 108,139 ------------ 214,889 ------------ PHARMACEUTICALS: 0.5% 250,000 Global Health, 11.000%, due 05/01/08 $ 192,500 ------------ PRINTING: 0.5% 200,000 Donnelley & Sons, 6.625%, due 04/15/29 181,379 ------------ REAL ESTATE & FINANCIAL SERVICES: 0.1% 40,000 Equity Office, 7.500%, due 04/19/29 36,733 ------------ REGIONAL BANKS: 0.5% 200,000 Amsouth Bank, 6.450%, due 02/01/08 189,748 ------------ RETAIL: 0.6% 100,000 Kmart Corp., 6.780%, due 08/02/99 100,044 160,000 (a) Lowes Companies, 6.500%, due 03/15/29 142,688 ------------ 242,732 ------------ SHIPPING: 0.3% 100,000 Sea Containers, 12.500%, due 12/01/04 107,625 ------------ TECHNOLOGY: 0.2% 90,000 WMX Technologies, 7.100%, due 08/01/26 91,763 ------------ TRANSPORTATION: 1.1% 139,959 Federal Express, 6.720%, due 01/15/22 133,130 300,000 (a) Railcar Leasing, 7.125%, due 01/15/13 304,281 ------------ 437,411 ------------ Total Corporate Bonds: (Cost $6,129,219) 5,889,534 ------------ See Accompanying Notes to Financial Statements 183 Equity & Income Funds Pilgrim Balanced Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Principal Market Amount Value - ------------ ------------ FOREIGN CORPORATE BONDS: 2.6% FINANCIAL: 2.6% $150,000 Abbey National PLC, 6.700%, due 06/29/49 $ 139,841 160,000 Amvescap PLC, 6.375%, due 05/15/03 157,501 125,000 Bank of Scotland, 7.000%, due 11/29/49 119,276 100,000 (a) Cerro Negro Finance, 7.330%, due 12/01/09 81,981 50,000 Endesa-Chile, 8.125%, due 02/01/97 40,323 125,000 (a) Inversiones CMPC, 7.375%, due 06/15/05 117,051 110,000 PDVSA Finance, Ltd., 7.500%, due 11/15/28 80,108 30,000 (a) Pemex Finance, Ltd., 6.300%, due 05/15/10 28,800 55,000 (a) Pemex Finance, Ltd., 9.150%, due 11/15/18 51,700 200,000 United Utilities PLC, 6.875%, due 08/15/28 177,091 ------------ Total Foreign Corporate Bonds: (Cost $1,094,285) 993,672 ------------ Market Shares Value - ------------ ------------ MUTUAL FUNDS: 7.7% INVESTMENT TRUSTS: 7.7% 60,000 Blackrock 2001 Term Trust $ 540,000 65,800 Blackrock Strategic Term Trust 600,425 190,000 (b) Pilgrim Prime Rate Trust 1,793,125 ------------ Total Mutual Funds: (Cost $2,864,610) 2,933,550 ------------ PREFERRED STOCK: 0.1% COMMUNICATIONS: 0.1% 309 IXC Communications 29,708 ------------ Total Preferred Stock: (Cost $30,636) 29,708 ------------ Principal Market Amount Value - ------------ ------------ U.S. TREASURY OBLIGATIONS: 6.7% U.S. TREASURY BONDS: 2.4% $1,000,000 U.S. Treasury Bonds, 5.500% due 08/15/2028 $ 915,620 ------------ U.S. TREASURY NOTES: 4.3% 300,000 U.S. Treasury CPI Note, 3.625% due 01/15/2008 291,468 200,000 U.S. Treasury, 4.750% due 02/15/2004 192,438 1,170,000 U.S. Treasury Note, 5.750% due 08/15/2003 1,167,052 ------------ 1,650,958 ------------ Total U.S. Treasury Obligations: (Cost $2,582,240) 2,566,578 ------------ Total Long-Term Investments (Cost $32,880,976) 35,015,316 ------------ Principal Amount Value - -------------- ------------ SHORT-TERM INVESTMENTS: 10.3% REPURCHASE AGREEMENT: 10.3% $3,938,000 State Street Bank & Trust Repurchase Agreement, 4.700% due 07/01/1999 (Collateralized by $3,910,000 U.S. Treasury Notes, 6.375% due 09/30/01, Market Value $4,020,849) $ 3,938,000 ------------ Total Short-term Investments (Cost $3,938,000) 3,938,000 ------------ TOTAL INVESTMENTS IN SECURITIES (COST $36,818,976)* 101.7% 38,953,316 OTHER ASSETS AND LIABILITIES, NET (1.7)% (657,072) ------ ------------ NET ASSETS 100.0% $ 38,296,244 ====== ============ (a) 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. (b) Related party (c) 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 $ 3,027,526 Gross Unrealized Depreciation (883,186) ------------ Net Unrealized Appreciation $ 2,134,340 ============ See Accompanying Notes to Financial Statements 184 Equity & Income Funds Pilgrim Convertible Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 - -------------------------------------------------------------------------------- Market Shares Value - ------------ ------------ CONVERTIBLE PREFERRED STOCK: 37.7% ADVERTISING: 0.7% 66,460 Snyder Communications, Inc., 6.500%, (STRYPES) $ 1,898,264 ------------ BROADCASTING: 5.5% 12,800 Chancellor Media Corp., $3.00 1,409,600 31,350 CSC Holdings, Inc. I 8.500% 3,385,800 30,610 (b) Evergreen Media Corp., $3.00 3,370,926 40,650 Mediaone Group, Inc., 4.50% 6,089,878 ------------ 14,256,204 ------------ COMMUNICATIONS: 4.4% 26,632 Airtouch Communications, Inc., C 4.250% 3,933,214 62,700 Global Telesystems Group, Inc., 5.750%, due 07/01/10 4,138,200 18,169 Winstar Communications, Inc. A 6.000% 960,659 42,780 Winstar Communications, Inc. D 7.000% 2,395,699 ------------ 11,427,772 ------------ CONTAINERS: 1.2% 49,440 Sealed Air Corp., A $2 3,090,000 ------------ COSMETICS: 1.1% 28,850 Estee Lauder TRT II 6.250%, (ACES) 2,719,112 ------------ ELECTRIC: 3.5% 35,050 Houston Industries, Inc., (ACES) 4,179,712 86,350 Texas Utilities Co., 9.250% (PRIDES) 4,749,250 ------------ 8,928,962 ------------ ELECTRONICS/MUSIC CHAINS: 1.6% 105,045 Apache Corp., 6.500% 4,096,755 ------------ FINANCIAL PRODUCTS/SERVICES: 14.4% 44,000 Big Flower Trust, 6.000% $ 2,560,250 29,055 CVS Auto Exchange Trust, 6.000% 2,647,637 41,500 Finova Finance Trust, 2.750% 2,863,500 60,490 K Mart Financing I, 7.750% 3,538,665 29,350 Merrill Lynch & Co. CIBER, 7.875% (STRYPES) 1,232,700 25,265 Morgan Stanley Group, Inc., 6.000%, (CSCO) 2,916,528 497,117 (a) Morgan Stanley Group, Inc. WCOM Reset (PERQS) 4,411,913 35,600 Protective Life Capital Trust II, 6.500% (PRIDES) 2,064,800 27,800 Qualcomm Financial Trust, 5.750% 5,615,600 65,900 Qwest Trends Trust, 5.750% 3,805,725 44,550 (b) United Globalcom, 7.000% 2,238,638 21,450 United Rentals, Trust I, 6.500% 992,063 52,750 (b) United Rentals, Trust I, 6.500% (QUIPS) 2,400,125 ------------ 37,288,144 ------------ HOME BUILDING: 0.3% 96,200 Kauf & Broad Homes, 8.250% (PRIDES) 781,625 ------------ INSURANCE: 1.3% 36,300 American General Corp., 6.000% (MIPS) 3,394,050 ------------ INTERNET: 0.7% 39,700 Psinet, Inc. C, 6.750% 1,915,525 ------------ OIL & GAS: 2.5% 75,947 EVI, Inc., 5.000% 3,009,400 17,400 Williams Cos., Inc., $3.50 3,490,875 ------------ 6,500,275 ------------ See Accompanying Notes to Financial Statements 185 Equity & Income Funds Pilgrim Convertible Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Shares Value - ----------- ------------ TELECOMMUNICATIONS EQUIPMENT: 0.5% 154,820 Ericcson Telephone Co., 4.250% $ 1,344,999 ------------ Total Convertible Preferred Stock (Cost $77,864,870) 97,641,687 ------------ Market Principal Value - ------------- ------------ CONVERTIBLE CORPORATE BONDS: 56.8% ADVERTISING: 3.2% $1,230,000 Interpublic Group, Inc. 1.87%, due 06/01/06 $ 1,122,375 568,000 (b) Omnicom Group, Inc., 4.250%, due 01/03/07 1,455,500 3,443,000 Omnicom Group, Inc., 2.250%, due 01/06/13 5,680,950 ------------ 8,258,825 ------------ AEROSPACE: 0.4% 1,292,000 Kellstrom Industries, Inc., 5.500%, due 06/15/03 1,086,895 ------------ BROADCASTING: 2.5% 1,245,000 (b) Cbs Radio, Inc., 7.000%, due 06/30/11 1,992,000 3,569,000 Clear Channel Communications, 2.625%, due 04/01/03 4,523,708 ------------ 6,515,708 ------------ COMMERCIAL SERVICES: 0.9% 2,227,000 Quintiles Transnational, 4.250%, due 05/31/00 2,471,970 ------------ COMMUNICATIONS: 3.3% 950,000 Global Telesystems Group, Inc., 5.750%, due 07/01/10 1,501,000 1,900,000 (b) Nextel Communications, 4.750%, due 07/01/07 2,306,125 2,910,000 (b) NTL, Inc., 7.000%, due 12/15/08 4,761,488 ------------ 8,568,613 ------------ COMPUTER SYSTEMS: 6.0% $ 1,823,000 (b) Affiliated Computer Services, Inc., 4.000%, due 03/15/05 $ 2,388,130 550,000 Affiliated Computer Services, Inc., 4.000%, due 03/15/05 720,500 45,000 Comverse Technology, Inc., 4.500%, due 07/01/05 86,344 3,520,000 (b) Comverse Technology, Inc., 4.500%, due 07/01/05 6,754,000 676,000 (b) EMC Corp., 3.250%, due 03/15/02 3,358,030 2,035,000 (b) Sanmina Corp., 4.250%, due 05/01/04 2,281,744 ------------ 15,588,748 ------------ DATA PROCESSING: 1.6% 3,652,000 (a) Automatic Data Processing, 0.000%, due 02/20/12 4,062,850 ------------ DRUGS: 1.6% 1,258,000 Alpharma, Inc., 5.750%, due 04/01/05 1,750,193 1,695,000 (b) Alpharma, Inc., 5.750%, due 04/01/05 2,358,169 ------------ 4,108,362 ------------ ELECTRIC: 2.2% 9,535,000 (a)(b)Solectron Corp., 0.000%, due 01/27/19 5,589,894 ------------ ELECTRONICS -- SEMICONDUCTORS: 2.1% 3,355,000 (b) LSI Logic Corp., A 4.250%, due 03/15/04 5,514,781 ------------ FINANCIAL PRODUCTS/SERVICES: 6.5% 2,700,000 American Express Credit, 1.25%, due 02/19/03 3,280,500 3,290,000 Merrill Lynch & Co., 1.000%, due 02/08/06 3,055,588 3,751,000 (a) Mutual Risk Management 0.000%, due 10/30/15 2,677,276 3,992,000 (b) Swiss Life Financial, Ltd., 2.000%, due 05/20/03 4,081,820 5,800,000 Xerox Credit Corp., 0.570%, due 04/21/18 3,712,000 ------------ 16,807,184 ------------ See Accompanying Notes to Financial Statements 186 Equity & Income Funds Pilgrim Convertible Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Principal Value - ------------ ------------ HOME BUILDING: 0.9% 5,262,000 (a) Lennar Corp., 0.000%, due 07/29/18 $ 2,315,280 ------------ INTERNET: 2.4% 2,476,000 (b) At Home Corp., 0.525%, due 12/28/18 1,999,370 1,580,000 (b) Exodus Communications, Inc., 5.000%, due 03/15/06 4,119,850 ------------ 6,119,220 ------------ MANUFACTURING: 1.7% 1,763,000 (a) ADT Operations, 0.000%, due 07/06/10 4,409,704 ------------ MEDICAL: 0.8% 3,086,000 (a) Wellpoint Health Network, 0.000%, due 07/02/19 2,173,701 ------------ OIL & GAS: 3.3% 5,226,000 Diamond Offshore Drilling, 3.750%, due 02/15/07 5,180,272 3,190,000 Pennzenergy Co., 4.900%, due 08/15/08 3,289,688 ------------ 8,469,960 ------------ POLLUTION CONTROL: 1.9% 3,638,000 Waste Management, Inc., 4.000%, due 02/01/02 4,861,278 ------------ PRINTING: 1.9% 1,577,000 Mail-Well, Inc., 5.000%, due 11/01/02 1,716,959 3,387,000 World Color Press, 6.000%, due 10/01/07 3,217,650 ------------ 4,934,609 ------------ RETAIL: 7.7% 3,445,000 Action Performance Cos., 4.750%, due 04/01/05 $ 3,182,319 5,452,000 Ann Taylor Stores Corp., 0.550%, due 06/18/19 3,387,055 1,356,000 (a)(b)Costco Cos., Inc., 0.000%, due 08/19/17 1,240,740 3,963,000 (a) Costco Cos., Inc., 0.000%, due 08/19/17 3,626,145 1,512,000 Home Depot, Inc., 3.250%, due 10/01/01 4,210,920 4,985,000 (a) Office Depot, Inc. 0.000%, due 11/01/08 4,255,944 ------------ 19,903,123 ------------ RETIREMENT/AGED CARE: 1.1% 2,724,000 Sunrise Assisted Living, Inc., 5.500%, due 06/15/02 3,003,210 ------------ SOFTWARE: 3.4% 11,690,000 (a)(b)Citrix Systems, 0.000%, due 03/22/19 5,362,788 1,501,000 (b) Veritas Software Corp., 5.250%, due 11/01/04 3,525,474 ------------ 8,888,262 ------------ UTILITIES: 1.4% 2,878,000 AES Corp., 4.500%, due 08/15/05 3,572,313 ------------ Total Convertible Corporate Bonds (Cost $119,390,151) 147,224,490 ------------ See Accompanying Notes to Financial Statements 187 Equity & Income Funds Pilgrim Convertible Fund PORTFOLIO OF INVESTMENTS as of June 30, 1999 (Continued) - -------------------------------------------------------------------------------- Market Principal Value - ------------ ------------ COMMON STOCK: 2.9% Communications: 0.0% 671 (a) Winstar Communications, Inc. $ 32,711 ------------ Electronics -- Semiconductors: 2.0% 104,239 (a) Analog Devices 5,231,495 ------------ Real Estate Investment Trust: 0.5% 57,700 Reckson Associates Realty Corp. 1,355,950 ------------ Telecommunication Equipment: 0.4% 39,100 (a) American Tower Corp. Cl-A 938,400 ------------ Total Common Stock (Cost $5,276,945) 7,558,556 ------------ Total Long Term (Cost $202,531,965) 252,424,733 ------------ Principal Amount Value - ------------ ------------ SHORT-TERM INVESTMENTS: 2.3% Repurchase Agreement: 2.3% $5,886,000 State Street Bank & Trust Repurchase Agreement, 4.70% due 07/01/99 (Collateralized by $5,840,000 U.S. Treasury Notes, 6.375% Market Value $6,005,564, Due 09/30/2001) $ 5,886,000 ------------ Total Short-Term Investments (Cost $5,886,000) 5,886,000 ------------ Total Investments in Securities (Cost $208,417,965)* 99.7% 258,310,733 Other Assets and Liabilities, Net 0.3% 726,577 ------ ------------ Net Assets 100.0% $259,037,310 ====== ============ (a) Non-income producing security (b) 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. ADR -- American Depository Receipt * Cost for federal income tax purposes is $208,813,924. Net unrealized appreciation consists of: Gross Unrealized Appreciation $ 53,098,494 Gross Unrealized Depreciation (3,601,685) ------------ Net Unrealized Appreciation $ 49,496,809 ============ See Accompanying Notes to Financial Statements 188 Pilgrim Funds SHAREHOLDER MEETINGS - -------------------------------------------------------------------------------- I. A special meeting of the shareholders of the Pilgrim Mutual Funds was held in San Diego, California on May 21, 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 qualification of their successors Name - ---- Mary A. Baldwin 142,656,284 5,492,427 -- -- 148,148,711 John P. Burke 142,910,944 5,237,767 -- -- 148,148,711 Al Burton 142,686,102 5,462,609 -- -- 148,148,711 Jock Patton 146,257,855 1,890,856 -- -- 148,148,711 Robert W. Stallings 142,889,767 5,258,944 -- -- 148,148,711 Walter E. Auch 146,286,795 1,861,916 -- -- 148,148,711
2. Approval of the selection of independent public accountants, Ernst & Young LLP, for the fiscal year ended March 31, 1999. Fund - ---- Balanced 1,775,452 39,467 32,767 -- 1,847,686 Convertible 12,390,054 50,773 152,858 -- 12,593,685 Emerging Countries 18,202,157 66,891 112,520 -- 18,381,568 HighYield II 7,222,342 67,000 102,560 -- 7,391,902 International Core Growth 5,921,752 145,354 45,735 -- 6,112,841 International SmallCap Growth 5,440,252 11,810 112,544 -- 5,564,606 LargeCap Growth 1,670,484 12,065 11,958 -- 1,694,507 MidCap Growth 18,091,525 184,077 680,310 -- 18,955,912 SmallCap Growth 27,265,012 205,624 395,187 -- 27,865,823 Strategic Income 2,429,498 18,810 21,542 -- 2,469,850 Worldwide Growth 8,259,863 113,503 126,242 -- 8,499,608
3. Approval of the management agreement between Pilgrim Funds and Pilgrim Investments, Inc. Fund - ---- Balanced 1,724,922 69,197 53,560 -- 1,847,679 Convertible 11,925,087 390,937 277,651 -- 12,593,675 Emerging Countries 14,679,359 3,466,754 235,459 -- 18,381,572 HighYield II 6,997,077 201,141 193,684 -- 7,391,902 International Core Growth 6,011,603 43,556 57,679 -- 6,112,838 International SmallCap Growth 5,416,005 19,714 128,885 -- 5,564,604 LargeCap Growth 1,637,066 37,995 19,438 -- 1,694,499 MidCap Growth 17,399,176 356,229 1,200,558 -- 18,955,963 SmallCap Growth 26,580,695 489,278 795,898 -- 27,865,871 Strategic Income 2,413,718 30,346 25,784 -- 2,469,848 Worldwide Growth 8,016,843 172,784 310,007 -- 8,499,634
4. Approval of sub-advisory agreement between Pilgrim Investments, Inc. and Nicholas Applegate Capital Management Agreement for the following funds: Fund - ---- Convertible 11,881,969 404,451 307,260 -- 12,593,680 Emerging Countries 14,668,964 3,465,840 246,766 -- 18,381,570 International Core Growth 6,016,601 39,673 56,563 -- 6,112,837 International SmallCap Growth 5,408,685 20,368 135,551 -- 5,564,604 Large CapGrowth 1,632,310 39,175 23,015 -- 1,694,500 Mid CapGrowth 17,375,689 361,784 1,218,438 -- 18,955,911 SmallCap Growth 26,565,372 542,162 758,312 -- 27,865,846 Worldwide Growth 7,966,581 190,087 342,966 -- 8,499,634
189 Pilgrim Funds SHAREHOLDER MEETINGS - -------------------------------------------------------------------------------- 5. Approval of the amendment to the fundamental investment limitations clarifying that the limitation on illiquid securities does not apply to Rule 144A securities for the following portfolios Fund - ---- Convertible 8,098,874 195,909 206,348 -- 8,501,131 International Core Growth 4,628,549 48,996 47,941 -- 4,725,486 International SmallCap Growth 3,707,654 14,140 66,523 -- 3,788,317 SmallCap Growth 17,124,787 257,981 387,981 -- 17,770,749 Strategic Income 1,721,000 7,635 21,594 -- 1,750,229
6. Approval of new service and distribution plans
Fund - ---- Balanced Class A 424,753 16,042 12,447 -- 453,242 Class B 205,340 5,120 4,295 -- 214,755 Class C 1,047,244 45,830 38,907 -- 1,131,981 Convertible Class A 2,297,425 258,379 63,771 -- 2,619,575 Class B 1,970,605 19,061 68,503 -- 2,058,169 Class C 3,678,151 95,077 188,623 -- 3,961,851 Class Q 339,300 5,004 14,860 -- 359,164 Emerging Countries Class A 2,837,973 50,000 43,523 -- 2,931,496 Class B 1,343,800 30,548 45,597 -- 1,419,945 Class C 1,306,349 47,346 36,308 -- 1,390,003 Class Q 3,685,020 48,123 56,269 -- 3,789,412 HighYield II Class A 1,278,375 29,389 43,932 -- 1,351,696 Class B 3,155,671 104,933 125,952 -- 3,386,556 Class C 1,584,800 68,571 20,498 -- 1,673,869 Class Q 529,782 6,302 6,399 -- 542,483 International Core Growth Class A 1,101,628 9,805 22,268 -- 1,133,701 Class B 518,291 13,744 18,367 -- 550,402 Class C 427,818 2,373 13,012 -- 443,203 Class Q 496,622 8,277 8,862 -- 513,761 International SmallCap Growth Class A 837,076 6,900 30,391 -- 874,367 Class B 530,487 8,663 20,044 -- 559,194 Class C 459,255 8,683 25,257 -- 493,195 Class Q 792,942 27,567 67,101 -- 887,610 LargeCap Growth Class A 397,890 8,715 1,114 -- 407,719 Class B 551,217 23,490 3,782 -- 578,489 Class C 208,760 223 9,940 -- 218,923 Class Q 180,398 2,944 728 -- 184,070 Mid CapGrowth Class A 2,932,467 72,134 214,096 -- 3,218,697 Class B 1,666,642 30,211 45,823 -- 1,742,676 Class C 6,924,685 268,357 422,590 -- 7,615,632 SmallCap Growth Class A 5,098,049 178,504 163,603 -- 5,440,156 Class B 1,830,396 62,814 70,012 -- 1,963,222 Class C 8,164,624 347,361 547,240 -- 9,059,225 Class Q 154,069 851 73,868 -- 228,788 Strategic Income Class A 204,164 23,918 -- Class B 446,757 6,539 7,307 -- 460,603
190 - -------------------------------------------------------------------------------- Fund - ---- Class C 567,256 1,342 17,084 -- 585,682 Class Q 22,735 -- 2,715 -- 25,450 Worldwide Growth Class A 1,820,194 60,109 60,258 -- 1,940,561 Class B 537,916 42,375 18,507 -- 598,798 Class C 3,999,494 115,185 252,536 -- 4,367,215 Class Q 261,776 4,526 7,407 -- 273,709
II. A special meetin g of the shareholders of the Pilgrim Mutual Funds was held in San Diego, Ca lifornia on June 16, 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. Approval of the amendment to the fundamental investment limitations clarifying that the limitation on illiquid securities does not apply to Rule 144A securities for the following portfolios: Fund - ---- Balanced 1,034,476 35,130 869,345 -- 1,938,951 Emerging Countries 11,057,506 3,506,867 5,360,674 -- 19,925,047 HighYield II 4,375,962 130,989 2,969,212 -- 7,476,163 LargeCap Growth 1,009,247 32,611 681,635 -- 1,723,493 MidCap Growth 11,318,739 212,183 7,777,138 -- 19,308,060 Worldwide Growth 4,574,898 130,029 3,892,008 -- 8,596,935
2. Approval of new service and distribution plans Fund - ---- Balanced Class Q 5,616 3,611 -- -- 9,227
III. A special meeting of the shareholders of the Pilgrim Mutual Funds was held in San Diego, California on June 29, 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. Approval of new service and distribution plans Fund - ---- MidCap Growth Class Q 511,952 21,510 29,954 -- 563,416
191 Pilgrim Funds OTHER INFORMATION - -------------------------------------------------------------------------------- Change in Auditors At a meeting held on May 24, 1999, the Board of Trustees of Pilgrim Mutual Funds (the "Trust"), as well as the Trustees who were members of the Trust's Audit Committee, selected KPMG LLP to act as the independent auditors of the Trust in place of Ernst & Young LLP for the fiscal year ended June 30, 1999. Ernst & Young formally resigned as independent auditors for the Trust on July 13, 1999. Ernst & Young's report on Pilgrim Mutual Funds' financial statements for any of the prior two fiscal years did not contain an adverse opinion or disclaimer and was not qualified or modified as to uncertainty, audit scope, or accounting principles. During Pilgrim Mutual Funds' two prior fiscal years, there were no disagreements with Ernst & Young on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of Ernst & Young, would have caused it to make reference to the subject matter of the disagreement(s) in connection with its report. 192 Pilgrim Funds TAX INFORMATION (Unaudited) - -------------------------------------------------------------------------------- Dividends paid during the tax year ended June 30, 1999 were as follows: Type Per Share Amount ---- ---------------- MagnaCap Fund Class A NII $0.0361 All Classes LTCG $1.7835 MidCap Value Fund All Classes LTCG $1.1738 LargeCap Leaders Fund All Classes STCG $0.1041 All Classes LTCG $0.2501 Asia-Pacific Equity Fund None High Yield Fund Class A NII $0.6244 Class B NII $0.5722 Class C NII $0.0498 Class M NII $0.5868 Government Securities Income Fund Class A NII $0.7740 Class B NII $0.6841 Class M NII $0.7119 Pilgrim High Yield Fund II Class A NII $0.2775 Class B NII $0.2586 Class C NII $0.2586 Class Q NII $0.2805 Pilgrim Strategic Income Fund Class A NII $0.1432 Class B NII $0.1312 Class C NII $0.1340 Class Q NII $0.1401 Pilgrim Balanced Fund Class A NII $0.0691 Class B NII $0.0421 Class C NII $0.0414 Class Q NII $0.0804 Pilgrim Convertible Fund Class A NII $0.0994 Class B NII $0.0624 Class C NII $0.0630 Class Q NII $0.1143 Pilgrim Bank and Thrift Fund Class A NII $0.1775 Class B NII $0.0547 All Classes LTCG $0.5562 NII -- Net investment income STCG -- Short-term capital gain taxable as ordinary income LTCG -- Long-term capital gain Corporate shareholders are generally entitled to take the dividend received deduction on the portion of a Funds' dividend distribution that qualifies under tax law. The percentage of fiscal year 1999 net investment income dividends that qualify for the corporate dividend received deduction is 100%, 26.24%, 100% and 3.88%, respectively, for the MagnaCap, LargeCap Leaders, Bank and Thrift and Strategic Income Funds. 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, will receive an IRS Form 1099 DIV regarding the federal tax status of the dividends and distributions received by you in calendar 1999. 193 Investment Manager PILGRIM INVESTMENTS, INC. 40 North Central Avenue, Suite 1200 Phoenix, Arizona 85004-4408 Distributor PILGRIM SECURITIES, INC. 40 North Central Avenue, Suite 1200 Phoenix, Arizona 85004-4408 Shareholder Servicing Agent 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 Prospectuses 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 prospectuses carefully before you invest or send money. PFANN0699-083099 -----END PRIVACY-ENHANCED MESSAGE-----